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: | Anne E. Robinson, Esquire | |
P.O. Box 876 | ||
Valley Forge, PA 19482 | ||
Registrant’s telephone number, including area code: (610) 669-1000 | ||
Date of fiscal year end: August 31 | ||
Date of reporting period: September 1, 2016 – February 28, 2017 | ||
Item 1: Reports to Shareholders |
Semiannual Report | February 28, 2017
Vanguard Explorer Value™ Fund
A new format, unwavering commitment
As you begin reading this report, you’ll notice that we’ve made some improvements to the opening sections—based on feedback from you, our clients.
Page 1 starts with a new ”Your Fund’s Performance at a Glance,” a concise, handy summary of how your fund performed during the period.
In the renamed ”Chairman’s Perspective,” Bill McNabb will focus on enduring principles and investment insights.
We’ve modified some tables, and eliminated some redundancy, but we haven’t removed any information.
At Vanguard, we’re always looking for better ways to communicate and to help you make sound investment decisions. Thank you for entrusting your assets to us.
Contents | |
Your Fund’s Performance at a Glance. | 1 |
Chairman’s Perspective. | 2 |
Advisors’ Report. | 5 |
Fund Profile. | 9 |
Performance Summary. | 10 |
Financial Statements. | 11 |
About Your Fund’s Expenses. | 21 |
Trustees Approve Advisory Arrangements. | 23 |
Glossary. | 25 |
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: No matter what language you speak, Vanguard has one consistent message and set of principles. Our primary
focus is on you, our clients. We conduct our business with integrity as a faithful steward of your assets. This message is shown
translated into seven languages, reflecting our expanding global presence.
Your Fund’s Performance at a Glance
• Vanguard Explorer Value Fund returned more than 10% for the six months ended February 28, 2017, trailing the nearly 13% result for the benchmark Russell 2500 Value Index and the nearly 14% average return of its peer small-capitalization value funds.
• Value stocks outperformed their growth counterparts, and mid- and small-cap stocks topped large-caps for the period. Eight of the fund’s industry sectors recorded gains, five of them in double digits. Energy and real estate were the only sectors that produced negative returns for the fund.
• Based on relative performance, consumer staples, real estate, information technology, and utilities were the fund’s strongest sectors. Energy, materials, and industrials detracted the most from fund performance.
• The fund had no exposure to telecommunication services stocks. This helped boost performance, as the sector produced a negative return for the benchmark.
Total Returns: Six Months Ended February 28, 2017 | |
Total | |
Returns | |
Vanguard Explorer Value Fund | 10.31% |
Russell 2500 Value Index | 12.72 |
Small-Cap Value Funds Average | 13.77 |
Small-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Expense Ratios | ||
Your Fund Compared With Its Peer Group | ||
Peer Group | ||
Fund | Average | |
Explorer Value Fund | 0.63% | 1.32% |
The fund expense ratio shown is from the prospectus dated December 22, 2016, and represents estimated costs for the current fiscal year. | ||
For the six months ended February 28, 2017, the fund’s annualized expense ratio was 0.53%. The peer-group expense ratio is derived from | ||
data provided by Lipper, a Thomson Reuters Company, and captures information through year-end 2016. | ||
Peer group: Small-Cap Value Funds. |
Chairman’s Perspective
Bill McNabb
Chairman and Chief Executive Officer
Dear Shareholder,
More than a decade ago, a Vanguard client asked us to help improve its defined contribution retirement plan. New hires were participating in the plan at lower rates than in previous years, and the client wanted to reverse this trend. Another priority was to help more participants invest their retirement savings in balanced portfolios.
The overall goal of this longtime client: Give employees a better chance to achieve financial security in retirement.
Today, that plan automatically enrolls employees at a 5% contribution rate, puts them in a low-cost target-date fund that takes on less risk as they near retirement, and offers a comprehensive suite of advice services. On top of that, employees get an employer contribution of 5% and are eligible for a company match.
Because of this combination of attractive features and generous employer contributions, nearly all new hires now participate in the plan, 81% of plan participants invest their retirement savings in balanced portfolios, and 87% of participants meet or exceed Vanguard’s recommended total retirement savings target. (Vanguard generally recommends that retirement investors save 12%–15% of pay, including company matches.)
2
Changing the retirement landscape
Am I singling out an isolated Vanguard success story? Absolutely not.
Stories like these are becoming increasingly common with employer-based retirement plans, particularly among large and midsize companies. Solutions such as automatic enrollment, automatic contribution increases, and default investment in target-date funds are having a positive effect.
Insights from the relatively new discipline of behavioral finance have contributed to the advances. Simply put, retirement plans are making natural human inertia work for future retirees, rather than against them, by putting savings on autopilot as much as possible.
More than 60% of Vanguard participants are in plans with automatic enrollment, which has led to a big jump in participation. Today, more than four-fifths of eligible employees are saving for retirement, compared with only two-thirds ten years ago.
In addition, many plans have adopted automatic-escalation features, which increase plan contributions at regular intervals until a maximum level is reached or an employee opts out. Automatic increases are a crucial tool for boosting retirement savings rates.
The growing use of target-date funds is another enormous benefit. More than 70% of all participants in Vanguard plans invest at least part of their retirement savings in
Market Barometer | |||
Total Returns | |||
Periods Ended February 28, 2017 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 10.10% | 25.53% | 13.94% |
Russell 2000 Index (Small-caps) | 12.61 | 36.11 | 12.89 |
Russell 3000 Index (Broad U.S. market) | 10.29 | 26.29 | 13.85 |
FTSE All-World ex US Index (International) | 5.40 | 19.87 | 4.00 |
Bonds | |||
Bloomberg Barclays U.S. Aggregate Bond Index | |||
(Broad taxable market) | -2.19% | 1.42% | 2.24% |
Bloomberg Barclays Municipal Bond Index | |||
(Broad tax-exempt market) | -2.80 | 0.25 | 3.07 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.19 | 0.32 | 0.10 |
CPI | |||
Consumer Price Index | 1.14% | 2.74% | 1.36% |
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these age-appropriate, diversified strategies. And nearly 50% of Vanguard participants are invested solely in a single target-date fund.
Consider a do-it-yourself autopilot
But what if you don’t have access to a world-class, employer-based retirement plan? Unfortunately, not everyone does, which is an important policy issue.
However, you can still put the features of these plans to work. For example, you can set up automatic contributions from your paycheck to an IRA. And you can adopt your own automatic escalation by investing any pay raises.
You can also take a page from top-quality retirement plans by considering a low-cost, globally diversified target-date fund. The beauty of this approach is that you don’t need to remember to rebalance your portfolio—the fund does it for you.
Of course, you can take a more active role in picking your own investments, and this can be a good choice for some. But keep in mind the lessons from successful employer-based plans: Busy workers, faced with a lot of competing priorities, are often best served by putting their retirement savings on autopilot.
Winning by default
In highlighting some recent successes in retirement savings, I don’t want to minimize the challenges we still face. We’re living in a slow-growth, uncertain world, and investment returns for both stocks and bonds could well be modest in the coming decade.
But I believe the innovations we’ve seen in the last ten years in many retirement plans—you might call it the “default revolution”—point the way toward a solution. And that even goes for people whose employers don’t have a world-class retirement plan.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
March 14, 2017
4
Advisors’ Report
For the six months ended February 28, 2017, Vanguard Explorer Value Fund returned 10.31%, behind the return of its benchmark, the Russell 2500 Value Index, and the average return of its small-capitalization value peers. Your fund is managed by two 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 six months and of how their portfolio positioning reflects this assessment. (Please note that the Frontier discussion refers 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 13, 2017.
Vanguard Explorer Value Fund Investment Advisors | |||
Fund Assets Managed | |||
Investment Advisor | % | $ Million | Investment Strategy |
Cardinal Capital Management, | 48 | 296 | The advisor seeks stocks that are able to generate |
L.L.C. | excess cash flow and reinvest the cash to increase | ||
shareholder value. | |||
Frontier Capital Management Co., | 47 | 293 | 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. | |||
Cash Investments | 5 | 28 | 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. |
5
Cardinal Capital Management, L.L.C.
Portfolio Managers:
Eugene Fox III, Managing Partner
Robert B. Kirkpatrick, CFA,
Managing Partner
Rachel D. Matthews, Partner
Robert Fields, Partner
The performance of small- and mid-capitalization stocks during the six months ended February 28, 2017, can best be described as cyclical. Sector strength was concentrated in financials (specifically, banks), information technology, materials, and industrials, while telecommunication services, consumer staples, and health care lagged.
Stocks with the smallest market caps and those with the highest price/earnings ratios performed best. These results were primarily because of a more optimistic view of the economy and equities after the U.S. presidential election.
In this environment, our selection in consumer discretionary and consumer staples stocks, as well as our decision to avoid subpar performers in utilities, aided fund performance. Our portfolio benefited from exposure to Wendy’s, which climbed after management raised its long-term profitability and free-cash-flow targets. Shares of Lamb Weston Holdings, a maker of value-added frozen potato products, also rose sharply following its spin-off from ConAgra Foods, as many ConAgra shareholders had sold their Lamb Weston shares, initially depressing the stock price.
Stock selection in information technology and energy and our decision to avoid insurance companies in financials detracted from performance. In information technology, Silicon Motion Technology, which designs, manufactures, and sells semiconductor products, fell during the period because of a component shortage that will temporarily dampen the company’s growth. In energy, share prices of Parsley Energy and Callon Petroleum, two Permian Basin-focused exploration and production companies, fell following strong performance in the previous six months as both firms pursued mergers and acquisitions to build their asset value.
In contrast to market consensus, we expect economic growth to remain lackluster in 2017 because of the headwinds created by the strong dollar, higher interest rates, and uncertainty over potential tax changes. Consumer and business confidence has risen since the election, but anecdotal data suggest there has been no broad-based acceleration in economic activity. Short-term interest rates are likely to rise, as inflation approaches the Federal Reserve’s 2% target rate, and the unemployment rate is below 5%. The direction of long-term interest rates is less clear, however, as inflation remains under control and U.S. interest rates are well above those of most major industrialized economies. Based on valuations and our near-term economic concerns, we are cautious on stocks.
6
Our focus remains on the stocks of companies whose performance is less dependent on the U.S. economy’s growth rate. By limiting macroeconomic risks and taking them only when we are being appropriately compensated, the portfolio’s overall risk is reduced because tools under management’s control, such as capital allocation, are generally more predictable. As such, our short-term market views have limited impact on our portfolio. However, we have used post-election market strength to reduce exposure to or exit investments where the fundamentals are less certain, while adding to stocks of businesses with greater visibility and financial flexibility that have not fully participated in the rally.
Frontier Capital Management Co., LLC
Portfolio Managers:
Thomas W. Duncan, Jr.,
Senior Vice President
William A. Teichner, CFA,
Senior Vice President
Sector exposure helped our portion of the fund but stock selection hurt it during the six months ended February 28, 2017. Our portfolio benefited from positive performance in five of the nine Russell sectors, with financial services producing the strongest performance. Materials and processing was the weakest performing sector.
The portfolio’s ten best-performing stocks contributed, on average, approximately 0.70% each to performance. These holdings were spread across three sectors: six from financial services, three from producer durables, and one from technology.
Our top-performing holdings in financial services included three banks and three property and casualty insurers. Bank stocks have been particularly strong since the presidential election. In addition to the prospect of lower tax rates, these stocks benefited from expectations of faster economic growth, rising lending interest rates relative to deposit rates, and potentially less regulation.
Texas Capital Bancshares, a commercial bank focused on midsize businesses in the five largest metropolitan areas of Texas, was our top performer in this sector. In recent years, management has invested in new products and services that have enhanced long-term earnings potential. The stock contributed approximately 1.10% to performance, as the company exceeded consensus earnings estimates for the third and fourth quarters of its fiscal year and expanded tangible book value per share on rising loan production.
At the beginning of the period, some investors had been wary of Texas Capital Bancshares because of its exposure to energy-related lending, even though this represented only 7% of the bank’s loans. The company is a careful underwriter, and historically, losses on energy production loans have been low. The stock was helped as West Texas Intermediate spot oil prices, which were $45 per barrel at the end of August, rallied 20% to $54 by the end of February.
7
The portfolio’s ten largest detractors trimmed, on average, approximately 0.30% each from performance. These stocks were in five sectors: three each from consumer discretionary and energy, two in materials and processing, and one each from technology and producer durables.
Our biggest detractor was Kraton, a chemical company whose products are used in a range of applications, such as adhesives, coatings, sealants, and lubricants. Its Cariflex product is a hypoallergenic synthetic rubber that replaces natural latex in surgical gloves. Our position in this company detracted from performance by about 0.60%.
Kraton fell short of consensus earnings estimates during the third and fourth quarters of its fiscal year. Results were partly impacted by higher raw materials costs in its polymer segment. However, it recently announced price increases to offset these higher costs. In addition, management has been focused on substantial cost reduction.
During the period we bought 11 new stocks in five sectors and sold 13 others in six sectors. The net effect was increased exposure to financial services, materials and processing, and consumer staples and reduced exposure to producer durables, utilities, and consumer discretionary. As is typical with our approach to investing, these changes were because of company-specific reasons rather than top-down positioning.
8
Explorer Value Fund
Fund Profile
As of February 28, 2017
Portfolio Characteristics | |||
Russell | DJ | ||
2500 | U.S. Total | ||
Value | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 123 | 1,713 | 3,807 |
Median Market Cap | $3.0B | $4.0B | $57.6B |
Price/Earnings Ratio | 29.8x | 28.3x | 24.8x |
Price/Book Ratio | 2.1x | 1.8x | 3.0x |
Return on Equity | 10.3% | 8.6% | 16.4% |
Earnings Growth | |||
Rate | 10.2% | 8.1% | 7.6% |
Dividend Yield | 1.5% | 1.9% | 1.9% |
Foreign Holdings | 0.7% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 36% | — | — |
Ticker Symbol | VEVFX | — | — |
Expense Ratio1 | 0.63% | — | — |
30-Day SEC Yield | 0.98% | — | — |
Short-Term Reserves | 8.0% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. | |||
Russell | Total | ||
2500 | Market | ||
Value | FA | ||
Fund | Index | Index | |
Consumer Discretionary | 8.9% | 8.6% | 12.4% |
Consumer Staples | 2.7 | 2.7 | 8.4 |
Energy | 5.0 | 7.3 | 6.2 |
Financials | 24.9 | 27.4 | 15.3 |
Health Care | 5.9 | 4.5 | 13.4 |
Industrials | 19.9 | 12.9 | 10.8 |
Information Technology | 12.1 | 9.4 | 20.7 |
Materials | 8.2 | 5.7 | 3.4 |
Real Estate | 9.6 | 14.3 | 4.1 |
Telecommunication | |||
Services | 0.0 | 0.5 | 2.1 |
Utilities | 2.8 | 6.7 | 3.2 |
Volatility Measures | ||
Russell | DJ | |
2500 | U.S. Total | |
Value | Market | |
Index | FA Index | |
R-Squared | 0.96 | 0.76 |
Beta | 1.05 | 1.13 |
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) | ||
PacWest Bancorp | Regional Banks | 2.5% |
KAR Auction Services | Diversified Support | |
Inc. | Services | 1.9 |
Columbia Banking | ||
System Inc. | Regional Banks | 1.8 |
MB Financial Inc. | Regional Banks | 1.8 |
IAC/InterActiveCorp | Internet Software & | |
Services | 1.7 | |
Genesee & Wyoming | ||
Inc. | Railroads | 1.7 |
Howard Hughes Corp. | Real Estate | |
Development | 1.7 | |
BWX Technologies Inc. | Aerospace & | |
Defense | 1.6 | |
Ligand Pharmaceuticals | ||
Inc. | Biotechnology | 1.6 |
Starwood Property Trust | ||
Inc. | Mortgage REITs | 1.4 |
Top Ten | 17.7% | |
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, 2016, and represents estimated costs for the current fiscal year. For the six months ended February 28, 2017, the annualized expense ratio was 0.53%.
9
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 28, 2017
Note: For 2017, performance data reflect the six months ended February 28, 2017.
Average Annual Total Returns: Periods Ended December 31, 2016
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 | 20.67% | 15.05% | 13.11% |
See Financial Highlights for dividend and capital gains information.
10
Explorer Value Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2017
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 (92.6%)1 | |||
Consumer Discretionary (8.1%) | |||
Six Flags Entertainment | |||
Corp. | 116,850 | 7,082 | |
Lithia Motors Inc. Class A | 58,930 | 5,638 | |
Wendy’s Co. | 357,957 | 4,990 | |
DSW Inc. Class A | 227,493 | 4,784 | |
Chico’s FAS Inc. | 275,975 | 3,996 | |
^,* | LGI Homes Inc. | 132,280 | 3,837 |
* | Modine Manufacturing Co. | 320,003 | 3,632 |
Libbey Inc. | 162,326 | 2,273 | |
^ | Rent-A-Center Inc. | 255,022 | 2,211 |
* | Del Taco Restaurants Inc. | 173,819 | 2,157 |
^,* | Boot Barn Holdings Inc. | 182,618 | 1,876 |
* | Career Education Corp. | 222,736 | 1,855 |
* | Deckers Outdoor Corp. | 31,841 | 1,682 |
Vista Outdoor Inc. | 73,137 | 1,480 | |
Oxford Industries Inc. | 25,320 | 1,423 | |
* | Global Eagle | ||
Entertainment Inc. | 274,869 | 1,204 | |
50,120 | |||
Consumer Staples (2.5%) | |||
Pinnacle Foods Inc. | 136,390 | 7,792 | |
Lamb Weston Holdings Inc. | 119,170 | 4,670 | |
* | Central Garden & Pet Co. | ||
Class A | 84,752 | 2,708 | |
15,170 | |||
Energy (4.7%) | |||
* | Parsley Energy Inc. Class A | 225,870 | 6,864 |
* | Callon Petroleum Co. | 376,090 | 4,746 |
* | Carrizo Oil & Gas Inc. | 137,069 | 4,462 |
* | RSP Permian Inc. | 110,310 | 4,356 |
* | PDC Energy Inc. | 41,340 | 2,794 |
* | QEP Resources Inc. | 146,984 | 2,023 |
SM Energy Co. | 76,591 | 1,888 | |
World Fuel Services Corp. | 42,190 | 1,526 | |
28,659 |
Financials (23.3%) | |||
PacWest Bancorp | 284,575 | 15,680 | |
Columbia Banking System | |||
Inc. | 274,590 | 10,953 | |
MB Financial Inc. | 239,970 | 10,804 | |
Starwood Property Trust | |||
Inc. | 386,610 | 8,838 | |
Argo Group International | |||
Holdings Ltd. | 124,103 | 8,309 | |
Aspen Insurance Holdings | |||
Ltd. | 134,954 | 7,564 | |
Popular Inc. | 171,157 | 7,541 | |
BGC Partners Inc. Class A | 668,380 | 7,539 | |
First Horizon National Corp. | 355,079 | 7,080 | |
* | Texas Capital Bancshares | ||
Inc. | 79,395 | 7,078 | |
Flushing Financial Corp. | 247,506 | 6,915 | |
Affiliated Managers Group | |||
Inc. | 38,110 | 6,400 | |
Washington Federal Inc. | 183,274 | 6,204 | |
Navigators Group Inc. | 111,302 | 6,127 | |
Renasant Corp. | 113,067 | 4,640 | |
James River Group | |||
Holdings Ltd. | 105,037 | 4,519 | |
* | First BanCorp | 703,103 | 4,486 |
FirstCash Inc. | 88,710 | 3,934 | |
Selective Insurance Group | |||
Inc. | 86,083 | 3,814 | |
Investment Technology | |||
Group Inc. | 186,396 | 3,732 | |
WSFS Financial Corp. | 37,302 | 1,701 | |
143,858 | |||
Health Care (5.1%) | |||
* | Ligand Pharmaceuticals Inc. | 95,640 | 10,007 |
* | Merit Medical Systems Inc. | 185,320 | 5,708 |
* | Air Methods Corp. | 101,120 | 3,827 |
* | Myriad Genetics Inc. | 173,116 | 3,364 |
11
Explorer Value Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Chemed Corp. | 17,970 | 3,209 | |
* | Akorn Inc. | 140,140 | 2,916 |
* | Diplomat Pharmacy Inc. | 196,995 | 2,669 |
31,700 | |||
Industrials (18.7%) | |||
KAR Auction Services Inc. | 266,590 | 11,949 | |
* | Genesee & Wyoming Inc. | ||
Class A | 142,804 | 10,588 | |
BWX Technologies Inc. | 218,090 | 10,128 | |
* | Teledyne Technologies Inc. | 52,952 | 6,958 |
* | Beacon Roofing Supply Inc. | 143,181 | 6,506 |
CEB Inc. | 70,520 | 5,469 | |
Kaman Corp. | 94,990 | 4,918 | |
* | KLX Inc. | 97,235 | 4,895 |
Altra Industrial Motion Corp. | 120,674 | 4,688 | |
HNI Corp. | 95,755 | 4,388 | |
* | Advisory Board Co. | 97,110 | 4,370 |
* | BMC Stock Holdings Inc. | 197,403 | 4,145 |
* | Saia Inc. | 85,370 | 4,128 |
Encore Wire Corp. | 74,325 | 3,530 | |
* | MRC Global Inc. | 166,159 | 3,358 |
* | Wesco Aircraft Holdings Inc. | 271,992 | 3,291 |
Interface Inc. Class A | 166,511 | 3,147 | |
EnerSys | 40,776 | 3,129 | |
Actuant Corp. Class A | 101,382 | 2,692 | |
* | Team Inc. | 77,347 | 2,657 |
* | WESCO International Inc. | 36,724 | 2,552 |
* | DXP Enterprises Inc. | 63,526 | 2,223 |
Briggs & Stratton Corp. | 97,854 | 2,094 | |
Celadon Group Inc. | 240,138 | 1,933 | |
Brady Corp. Class A | 42,327 | 1,619 | |
115,355 | |||
Information Technology (10.9%) | |||
* | IAC/InterActiveCorp | 143,960 | 10,644 |
* | ON Semiconductor Corp. | 480,066 | 7,263 |
* | ACI Worldwide Inc. | 305,750 | 5,983 |
j2 Global Inc. | 72,080 | 5,869 | |
Jabil Circuit Inc. | 214,017 | 5,460 | |
* | Semtech Corp. | 147,257 | 4,926 |
* | Integrated Device | ||
Technology Inc. | 193,537 | 4,627 | |
Silicon Motion Technology | |||
Corp. ADR | 113,200 | 4,595 | |
* | FormFactor Inc. | 280,068 | 2,983 |
* | Infinera Corp. | 225,788 | 2,450 |
* | Veeco Instruments Inc. | 81,638 | 2,233 |
* | Insight Enterprises Inc. | 51,669 | 2,189 |
* | Ultratech Inc. | 66,843 | 1,928 |
* | Itron Inc. | 28,634 | 1,853 |
* | Virtusa Corp. | 57,689 | 1,789 |
^,* | Match Group Inc. | 86,720 | 1,401 |
Convergys Corp. | 60,930 | 1,333 | |
67,526 |
Materials (7.7%) | |||
Silgan Holdings Inc. | 117,880 | 7,028 | |
FMC Corp. | 109,840 | 6,329 | |
Ashland Global Holdings Inc. | 50,130 | 6,049 | |
^ | Valvoline Inc. | 216,570 | 4,855 |
* | Boise Cascade Co. | 172,079 | 4,663 |
PH Glatfelter Co. | 180,528 | 3,990 | |
Innophos Holdings Inc. | 65,778 | 3,486 | |
^ | Allegheny Technologies Inc. | 162,034 | 3,113 |
Carpenter Technology Corp. | 76,150 | 3,089 | |
* | Kraton Corp. | 112,503 | 3,063 |
Eagle Materials Inc. | 18,624 | 1,931 | |
47,596 | |||
Real Estate (9.0%) | |||
* | Howard Hughes Corp. | 90,040 | 10,478 |
Medical Properties Trust | |||
Inc. | 548,220 | 7,357 | |
New York REIT Inc. | 625,190 | 6,152 | |
Mack-Cali Realty Corp. | 209,685 | 6,112 | |
Gaming and Leisure | |||
Properties Inc. | 190,850 | 6,107 | |
Colony Starwood Homes | 166,670 | 5,483 | |
Cousins Properties Inc. | 490,729 | 4,196 | |
Hersha Hospitality Trust | |||
Class A | 128,055 | 2,498 | |
EPR Properties | 30,920 | 2,380 | |
Sunstone Hotel Investors | |||
Inc. | 115,507 | 1,704 | |
National Retail Properties | |||
Inc. | 36,041 | 1,631 | |
* | Parkway Inc. | 57,257 | 1,201 |
55,299 | |||
Utilities (2.6%) | |||
Portland General Electric | |||
Co. | 154,059 | 6,984 | |
MDU Resources Group | |||
Inc. | 167,623 | 4,544 | |
Unitil Corp. | 94,377 | 4,209 | |
15,737 | |||
Total Common Stocks | |||
(Cost $486,031) | 571,020 | ||
Temporary Cash Investments (9.0%)1 | |||
Money Market Fund (8.6%) | |||
2,3 | Vanguard Market | ||
Liquidity Fund, | |||
0.864% | 531,957 | 53,201 |
12
Explorer Value Fund
Face | Market | ||
Amount | Value• | ||
($000) | ($000) | ||
U.S. Government and Agency Obligations (0.4%) | |||
4 | United States Treasury | ||
Bill, 0.501%, 5/4/17 | 300 | 300 | |
4 | United States Treasury | ||
Bill, 0.591%–0.652%, | |||
5/18/17 | 600 | 599 | |
4 | United States Treasury | ||
Bill, 0.607%, 5/25/17 | 1,000 | 998 | |
United States Treasury | |||
Bill, 0.602%, 7/20/17 | 500 | 499 | |
2,396 | |||
Total Temporary Cash Investments | |||
(Cost $55,592) | 55,597 | ||
Total Investments (101.6%) | |||
(Cost $541,623) | 626,617 | ||
Other Assets and Liabilities (-1.6%) | |||
Other Assets | 2,547 | ||
Liabilities 3 | (12,121) | ||
(9,574) | |||
Net Assets (100%) | |||
Applicable to 18,124,830 outstanding | |||
$.001 par value shares of beneficial | |||
interest (unlimited authorization) | 617,043 | ||
Net Asset Value Per Share | $34.04 |
Amount | |
($000) | |
Statement of Assets and Liabilities | |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers | 573,416 |
Affiliated Vanguard Funds | 53,201 |
Total Investments in Securities | 626,617 |
Investment in Vanguard | 48 |
Receivables for Investment Securities Sold | 1,172 |
Receivables for Accrued Income | 492 |
Receivables for Capital Shares Issued | 835 |
Total Assets | 629,164 |
Liabilities | |
Payables for Investment Securities | |
Purchased | 4,070 |
Collateral for Securities on Loan | 5,930 |
Payables to Investment Advisor | 363 |
Payables for Capital Shares Redeemed | 857 |
Payables to Vanguard | 445 |
Other Liabilities | 456 |
Total Liabilities | 12,121 |
Net Assets | 617,043 |
At February 28, 2017, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 524,707 |
Overdistributed Net Investment Income | (871) |
Accumulated Net Realized Gains | 8,319 |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 84,994 |
Futures Contracts | (106) |
Net Assets | 617,043 |
• See Note A in Notes to Financial Statements.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $5,537,000.
* Non-income-producing security.
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 97.4% and 4.2%, 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 $5,930,000 of collateral received for securities on loan.
4 Securities with a value of $1,558,000 have been segregated as initial margin for open futures contracts.
ADR—American Depositary Receipt.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
13
Explorer Value Fund
Statement of Operations
Six Months Ended | |
February 28, 2017 | |
($000) | |
Investment Income | |
Income | |
Dividends | 3,083 |
Interest1 | 143 |
Securities Lending—Net | 44 |
Total Income | 3,270 |
Expenses | |
Investment Advisory Fees—Note B | |
Basic Fee | 751 |
Performance Adjustment | (91) |
The Vanguard Group—Note C | |
Management and Administrative | 469 |
Marketing and Distribution | 48 |
Custodian Fees | 10 |
Shareholders’ Reports | 8 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 1,196 |
Net Investment Income | 2,074 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | 7,067 |
Futures Contracts | 2,859 |
Realized Net Gain (Loss) | 9,926 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 31,925 |
Futures Contracts | (1,163) |
Change in Unrealized Appreciation (Depreciation) | 30,762 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 42,762 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $137,000 and $1,000, respectively. |
See accompanying Notes, which are an integral part of the Financial Statements.
14
Explorer Value Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
February 28, | August 31, | |
2017 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 2,074 | 3,120 |
Realized Net Gain (Loss) | 9,926 | 5,539 |
Change in Unrealized Appreciation (Depreciation) | 30,762 | 26,349 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 42,762 | 35,008 |
Distributions | ||
Net Investment Income | (4,203) | (2,298) |
Realized Capital Gain1 | (6,166) | (15,125) |
Total Distributions | (10,369) | (17,423) |
Capital Share Transactions | ||
Issued | 244,591 | 108,001 |
Issued in Lieu of Cash Distributions | 9,836 | 16,350 |
Redeemed | (47,079) | (55,907) |
Net Increase (Decrease) from Capital Share Transactions | 207,348 | 68,444 |
Total Increase (Decrease) | 239,741 | 86,029 |
Net Assets | ||
Beginning of Period | 377,302 | 291,273 |
End of Period2 | 617,043 | 377,302 |
1 Includes fiscal 2017 and 2016 short-term gain distributions totaling $345,000 and $252,000, 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 ($871,000) and $1,258,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
15
Explorer Value Fund
Financial Highlights
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $31.55 | $30.09 | $32.97 | $29.39 | $23.44 | $21.94 | |
Investment Operations | |||||||
Net Investment Income | .1481 | .293 | .259 | .251 | .255 | .232 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 3.102 | 2.964 | (1.284) | 5.539 | 6.429 | 2.476 | |
Total from Investment Operations | 3.250 | 3.257 | (1.025) | 5.790 | 6.684 | 2.708 | |
Distributions | |||||||
Dividends from Net Investment Income | (. 308) | (. 237) | (. 272) | (.168) | (. 290) | (.189) | |
Distributions from Realized Capital Gains | (.452) | (1.560) | (1.583) | (2.042) | (.444) | (1.019) | |
Total Distributions | (.760) | (1.797) | (1.855) | (2.210) | (.734) | (1.208) | |
Net Asset Value, End of Period | $34.04 | $31.55 | $30.09 | $32.97 | $29.39 | $23.44 | |
Total Return2 | 10.31% | 11.41% | -3.12% | 20.34% | 29.19% | 13.10% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $617 | $377 | $291 | $323 | $222 | $123 | |
Ratio of Total Expenses to | |||||||
Average Net Assets3 | 0.53% | 0.57% | 0.56% | 0.57% | 0.60% | 0.59% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.17% | 1.03% | 0.78% | 0.83% | 0.88% | 1.00% | |
Portfolio Turnover Rate | 36% | 61% | 35% | 36% | 46% | 38% | |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized. | |||||||
1 Calculated based on average shares outstanding. | |||||||
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information | |||||||
about any applicable account service fees. | |||||||
3 Includes performance-based investment advisory fee increases (decreases) of (0.04%), (0.01%), (0.02%), (0.02%), 0.04%, and 0.03%. |
See accompanying Notes, which are an integral part of the Financial Statements.
16
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 are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The 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 Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended February 28, 2017, the fund’s average investments in long and short futures contracts represented 5% 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, 2013–2016), and for the period ended February 28, 2017, 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.
17
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. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 28, 2017, 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 Cardinal Capital Management, L.L.C., and Frontier Capital Management Co., 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 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 to the current benchmark, Russell 3000 Value Custom Index, beginning March 1, 2015, for the
18
Explorer Value Fund
preceding three years. The benchmark change will be fully phased in by February 2018. 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 Vanguard Group manages the cash reserves of the fund on an at-cost basis.
For the six months ended February 28, 2017, the aggregate investment advisory fee represented an effective annual basic rate of 0.33% of the fund’s average net assets, before a decrease of $91,000 (0.04%) 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 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 28, 2017, the fund had contributed to Vanguard capital in the amount of $48,000, representing 0.01% of the fund’s net assets and 0.02% 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 28, 2017, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 571,020 | — | — |
Temporary Cash Investments | 53,201 | 2,396 | — |
Futures Contracts—Liabilities1 | (456) | — | — |
Total | 623,765 | 2,396 | — |
1 Represents variation margin on the last day of the reporting period. |
19
Explorer Value Fund
E. At February 28, 2017, 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 2017 | 428 | 29,639 | (106) |
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 28, 2017, the cost of investment securities for tax purposes was $541,623,000. Net unrealized appreciation of investment securities for tax purposes was $84,994,000, consisting of unrealized gains of $94,499,000 on securities that had risen in value since their purchase and $9,505,000 in unrealized losses on securities that had fallen in value since their purchase.
G. During the six months ended February 28, 2017, the fund purchased $264,936,000 of investment securities and sold $76,745,000 of investment securities, other than temporary cash investments.
H. Capital shares issued and redeemed were:
Six Months Ended | Year Ended | |
February 28, 2017 | August 31, 2016 | |
Shares | Shares | |
(000) | (000) | |
Issued | 7,295 | 3,629 |
Issued in Lieu of Cash Distributions | 290 | 569 |
Redeemed | (1,420) | (1,919) |
Net Increase (Decrease) in Shares Outstanding | 6,165 | 2,279 |
I. Management has determined that no material events or transactions occurred subsequent to February 28, 2017, that would require recognition or disclosure in these financial statements.
20
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.
21
Six Months Ended February 28, 2017 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
Explorer Value Fund | 8/31/2016 | 2/28/2017 | Period |
Based on Actual Fund Return | $1,000.00 | $1,103.12 | $2.76 |
Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,022.17 | 2.66 |
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 0.53%. 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 (181/365).
22
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), and Frontier Capital Management Co., LLC (Frontier). The board determined that renewing the fund’s advisory arrangements was in the best interests of the fund and its shareholders. Please note that in May, the fund’s trustees modified its investment advisory arrangement. Sterling Capital Management LLC no longer serves as one of the fund’s advisors.
The board based its decisions upon an evaluation of each advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisors and made monthly presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.
The board, or an investment committee made up of board members, also received information throughout the year during advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, the board received monthly reports, which included a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report.
Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the 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.
The board concluded that each advisor’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangements.
23
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 compared with a relevant benchmark and peer group. The board concluded that the performance was such that each advisory arrangement should continue. Information about the fund’s performance can be found in the Performance Summary section of this report.
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 the fund’s advisors 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 schedules. 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.
24
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.
25
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.
26
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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 195 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
InterestedTrustee1
F. William McNabb III
Born 1957. Trustee Since July 2009. Chairman of the Board. Principal Occupation(s) During the Past Five Years and Other Experience: Chairman of the Board of The Vanguard Group, Inc., and of each of the investment companies served by The Vanguard Group, since January 2010; Director of The Vanguard Group since 2008; Chief Executive Officer and President of The Vanguard Group, and of each of the investment companies served by The Vanguard Group, since 2008; Director of Vanguard Marketing Corporation; Managing Director of The Vanguard Group (1995–2008).
IndependentTrustees
Emerson U. Fullwood
Born 1948. Trustee Since January 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Executive Chief Staff and Marketing Officer for North America and Corporate Vice President (retired 2008) of Xerox Corporation (document management products and services); Executive in Residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology; Lead Director of SPX FLOW, Inc. (multi-industry manufacturing); Director of the United Way of Rochester, the University of Rochester Medical Center, Monroe Community College Foundation, North Carolina A&T University, and Roberts Wesleyan College.
Rajiv L. Gupta
Born 1945. Trustee Since December 2001.2 Principal Occupation(s) During the Past Five Years and Other Experience: Chairman and Chief Executive Officer (retired 2009) and President (2006–2008) of Rohm and Haas Co. (chemicals); Director of Arconic Inc. (diversified manufacturer), HP Inc. (printer and personal computer manufacturing), and Delphi Automotive plc (automotive components); Senior Advisor at New Mountain Capital.
Amy Gutmann
Born 1949. Trustee Since June 2006. Principal Occupation(s) During the Past Five Years and Other Experience: President of the University of Pennsylvania; Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and Professor of Communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania; Trustee of the National Constitution Center; Chair of the Presidential Commission for the Study of Bioethical Issues.
JoAnn Heffernan Heisen
Born 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years and Other Experience: Corporate Vice President and Chief Global Diversity Officer (retired 2008) and 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
Born 1949. Trustee Since October 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2009) of Cummins Inc. (industrial machinery); Chairman of the Board of Hillenbrand, Inc. (specialized consumer services), Oxfam America, and the Lumina
Foundation for Education; Director of SKF AB (industrial machinery), Hyster-Yale Materials Handling, Inc. (forklift trucks), and the V Foundation for Cancer Research; Member of the Advisory Council for the College of Arts and Letters and Chair of the Advisory Board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born 1953. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Senior Vice President and Chief Financial Officer (retired 2013) at IBM (information technology services); Fiduciary Member of IBM’s Retirement Plan Committee (2004–2013); Director of the Dow Chemical Company; Member of the Council on Chicago Booth.
Scott C. Malpass
Born 1962. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Chief Investment Officer and Vice President at the University of Notre Dame; Assistant Professor of Finance at the Mendoza College of Business at Notre Dame; Member of the Notre Dame 403(b) Investment Committee, the Board of Advisors for Spruceview Capital Partners, and the Investment Advisory Committee of Major League Baseball; Board Member of TIFF Advisory Services, Inc., and Catholic Investment Services, Inc. (investment advisors); Member of the Board of Superintendence of the Institute for the Works of Religion.
André F. Perold
Born 1952. Trustee Since December 2004. Principal Occupation(s) During the Past Five Years and Other Experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011); Chief Investment Officer and Co-Managing Partner of HighVista Strategies LLC (private investment firm); Overseer of the Museum of Fine Arts Boston.
Peter F. Volanakis
Born 1955. Trustee Since July 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2010) of Corning Incorporated (communications equipment); Chairman of the Board of Trustees of Colby-Sawyer College; Member of the Board of Hypertherm, Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born 1967. Investment Stewardship Officer Since February 2017. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Treasurer (2015–2017), Controller (2010–2015), and Assistant Controller (2001–2010) of each of the investment companies served by The Vanguard Group.
Thomas J. Higgins
Born 1957. Chief Financial Officer Since September 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Chief Financial Officer of each of the investment companies served by The Vanguard Group; Treasurer of each of the investment companies served by The Vanguard Group (1998–2008).
Peter Mahoney
Born 1974. Controller Since May 2015. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Controller of each of the investment companies served by The Vanguard Group; Head of International Fund Services at The Vanguard Group (2008–2014).
Anne E. Robinson
Born 1970. Secretary Since September 2016. Principal Occupation(s) During the Past Five Years and Other Experience: Managing Director of The Vanguard Group, Inc.; General Counsel of The Vanguard Group; Secretary of The Vanguard Group and of each of the investment companies served by The Vanguard Group; Director and Senior Vice President of Vanguard Marketing Corporation; Managing Director and General Counsel of Global Cards and Consumer Services at Citigroup (2014–2016); Counsel at American Express (2003–2014).
Michael Rollings
Born 1963. Treasurer Since February 2017. Principal Occupation(s) During the Past Five Years and Other Experience: Managing Director of The Vanguard Group, Inc.; Treasurer of each of the investment companies served by The Vanguard Group; Executive Vice President and Chief Financial Officer of MassMutual Financial Group (2006–2016).
Vanguard Senior Management Team | |
Mortimer J. Buckley | James M. Norris |
John James | Thomas M. Rampulla |
Martha G. King | Glenn W. Reed |
John T. Marcante | Karin A. Risi |
Chris D. McIsaac | |
Chairman Emeritus and Senior Advisor | |
John J. Brennan | |
Chairman, 1996–2009 | |
Chief Executive Officer and President, 1996–2008 | |
Founder | |
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 | CFA® is a registered trademark owned by CFA Institute. | |
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. | ||
© 2017 The Vanguard Group, Inc. | ||
All rights reserved. | ||
Vanguard Marketing Corporation, Distributor. | ||
Q16902 042017 |
Semiannual Report | February 28, 2017
Vanguard Russell 1000 Index Funds
Vanguard Russell 1000 Index Fund
Vanguard Russell 1000 Value Index Fund
Vanguard Russell 1000 Growth Index Fund
A new format, unwavering commitment
As you begin reading this report, you’ll notice that we’ve made some improvements to the opening sections—based on feedback from you, our clients.
Page 1 starts with a new ”Your Fund’s Performance at a Glance,” a concise, handy summary of how your fund performed during the period.
In the renamed ”Chairman’s Perspective,” Bill McNabb will focus on enduring principles and investment insights.
We’ve modified some tables, and eliminated some redundancy, but we haven’t removed any information.
At Vanguard, we’re always looking for better ways to communicate and to help you make sound investment decisions. Thank you for entrusting your assets to us.
Contents | |
Your Fund’s Performance at a Glance. | 1 |
Chairman’s Perspective. | 3 |
Russell 1000 Index Fund. | 6 |
Russell 1000 Value Index Fund. | 21 |
Russell 1000 Growth Index Fund. | 36 |
About Your Fund’s Expenses. | 51 |
Glossary. | 53 |
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: No matter what language you speak, Vanguard has one consistent message and set of principles. Our primary
focus is on you, our clients. We conduct our business with integrity as a faithful steward of your assets. This message is shown
translated into seven languages, reflecting our expanding global presence.
Your Fund’s Performance at a Glance
• For the six months ended February 28, 2017, results for the three funds reviewed in this report ranged from about 11% for Vanguard Russell 1000 Value Index Fund to about 9% for Vanguard Russell 1000 Growth Index Fund. Vanguard Russell 1000 Index Fund, which includes both growth and value stocks, returned slightly more than 10%.
• The Russell 1000 Index Fund and the Russell 1000 Growth Index Fund exceeded the average return of their peers. The Russell 1000 Value Index Fund slightly trailed the average performance of its peer group.
• The Value Index Fund benefited from a rally in financial services stocks in the wake of the Federal Reserve’s interest rate hike. The technology sector contributed the most to the Russell 1000 Growth Index Fund. Both sectors drove the Russell 1000 Index Fund’s performance.
• Utilities and consumer-oriented stocks contributed the least to all three funds.
• All of the funds closely tracked their target indexes.
Total Returns: Six Months Ended February 28, 2017 | |
Total | |
Returns | |
Vanguard Russell 1000 Index Fund | |
ETF Shares | |
Market Price | 10.03% |
Net Asset Value | 10.04 |
Institutional Shares | 10.06 |
Russell 1000 Index | 10.10 |
Large-Cap Core Funds Average | 9.23 |
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 | 10.99% |
Net Asset Value | 11.00 |
Institutional Shares | 11.02 |
Russell 1000 Value Index | 11.07 |
Large-Cap Value Funds Average | 11.57 |
Large-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
1
Total | |
Returns | |
Vanguard Russell 1000 Growth Index Fund | |
ETF Shares | |
Market Price | 9.07% |
Net Asset Value | 9.09 |
Institutional Shares | 9.11 |
Russell 1000 Growth Index | 9.15 |
Large-Cap Growth Funds Average | 7.44 |
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.
Expense Ratios | |||
Your Fund Compared With Its Peer Group | |||
ETF | Institutional | Peer Group | |
Shares | Shares | Average | |
Russell 1000 Index Fund | 0.12% | 0.08% | 1.07% |
Russell 1000 Value Index Fund | 0.12 | 0.08 | 1.09 |
Russell 1000 Growth Index Fund | 0.12 | 0.08 | 1.14 |
The fund expense ratios shown are from the prospectus dated December 22, 2016, and represent estimated costs for the current fiscal year.
For the six months ended February 28, 2017, the funds’ annualized expense ratios were: for the Russell 1000 Index Fund, 0.12% for ETF
Shares and 0.08% for Institutional Shares; for the Russell 1000 Value Index Fund, 0.13% for ETF Shares and 0.08% for Institutional Shares;
and for the Russell 1000 Growth Index Fund, 0.12% for ETF Shares and 0.08% for Institutional Shares. Peer-group expense ratios are derived
from data provided by Lipper, a Thomson Reuters Company, and capture information through year-end 2016.
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.
2
Chairman’s Perspective
Bill McNabb
Chairman and Chief Executive Officer
Dear Shareholder,
More than a decade ago, a Vanguard client asked us to help improve its defined contribution retirement plan. New hires were participating in the plan at lower rates than in previous years, and the client wanted to reverse this trend. Another priority was to help more participants invest their retirement savings in balanced portfolios.
The overall goal of this longtime client: Give employees a better chance to achieve financial security in retirement.
Today, that plan automatically enrolls employees at a 5% contribution rate, puts them in a low-cost target-date fund that takes on less risk as they near retirement, and offers a comprehensive suite of advice services. On top of that, employees get an employer contribution of 5% and are eligible for a company match.
Because of this combination of attractive features and generous employer contributions, nearly all new hires now participate in the plan, 81% of plan participants invest their retirement savings in balanced portfolios, and 87% of participants meet or exceed Vanguard’s recommended total retirement savings target. (Vanguard generally recommends that retirement investors save 12%–15% of pay, including company matches.)
3
Changing the retirement landscape
Am I singling out an isolated Vanguard success story? Absolutely not.
Stories like these are becoming increasingly common with employer-based retirement plans, particularly among large and midsize companies. Solutions such as automatic enrollment, automatic contribution increases, and default investment in target-date funds are having a positive effect.
Insights from the relatively new discipline of behavioral finance have contributed to the advances. Simply put, retirement plans are making natural human inertia work for future retirees, rather than against them, by putting savings on autopilot as much as possible.
More than 60% of Vanguard participants are in plans with automatic enrollment, which has led to a big jump in participation. Today, more than four-fifths of eligible employees are saving for retirement, compared with only two-thirds ten years ago.
In addition, many plans have adopted automatic-escalation features, which increase plan contributions at regular intervals until a maximum level is reached or an employee opts out. Automatic increases are a crucial tool for boosting retirement savings rates.
The growing use of target-date funds is another enormous benefit. More than 70% of all participants in Vanguard plans invest at least part of their retirement savings in
Market Barometer | |||
Total Returns | |||
Periods Ended February 28, 2017 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 10.10% | 25.53% | 13.94% |
Russell 2000 Index (Small-caps) | 12.61 | 36.11 | 12.89 |
Russell 3000 Index (Broad U.S. market) | 10.29 | 26.29 | 13.85 |
FTSE All-World ex US Index (International) | 5.40 | 19.87 | 4.00 |
Bonds | |||
Bloomberg Barclays U.S. Aggregate Bond Index | |||
(Broad taxable market) | -2.19% | 1.42% | 2.24% |
Bloomberg Barclays Municipal Bond Index | |||
(Broad tax-exempt market) | -2.80 | 0.25 | 3.07 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.19 | 0.32 | 0.10 |
CPI | |||
Consumer Price Index | 1.14% | 2.74% | 1.36% |
4
these age-appropriate, diversified strategies. And nearly 50% of Vanguard participants are invested solely in a single target-date fund.
Consider a do-it-yourself autopilot
But what if you don’t have access to a world-class, employer-based retirement plan? Unfortunately, not everyone does, which is an important policy issue.
However, you can still put the features of these plans to work. For example, you can set up automatic contributions from your paycheck to an IRA. And you can adopt your own automatic escalation by investing any pay raises.
You can also take a page from top-quality retirement plans by considering a low-cost, globally diversified target-date fund. The beauty of this approach is that you don’t need to remember to rebalance your portfolio—the fund does it for you.
Of course, you can take a more active role in picking your own investments, and this can be a good choice for some. But keep in mind the lessons from successful employer-based plans: Busy workers, faced with a lot of competing priorities, are often best served by putting their retirement savings on autopilot.
Winning by default
In highlighting some recent successes in retirement savings, I don’t want to minimize the challenges we still face. We’re living in a slow-growth, uncertain world, and investment returns for both stocks and bonds could well be modest in the coming decade.
But I believe the innovations we’ve seen in the last ten years in many retirement plans—you might call it the “default revolution”—point the way toward a solution. And that even goes for people whose employers don’t have a world-class retirement plan.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
March 14, 2017
5
Russell 1000 Index Fund
Fund Profile
As of February 28, 2017
Share-Class Characteristics | ||
ETF | Institutional | |
Shares | Shares | |
Ticker Symbol | VONE | VRNIX |
Expense Ratio1 | 0.12% | 0.08% |
30-Day SEC Yield | 1.85% | 1.89% |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
Russell | Total | ||
1000 | Market | ||
Fund | Index FA Index | ||
Number of Stocks | 1,004 | 1,001 | 3,807 |
Median Market Cap | $76.1B | $76.1B | $57.6B |
Price/Earnings Ratio | 24.1x | 24.1x | 24.8x |
Price/Book Ratio | 3.0x | 3.0x | 3.0x |
Return on Equity | 17.2% | 17.0% | 16.4% |
Earnings Growth Rate | 7.4% | 7.7% | 7.6% |
Dividend Yield | 2.0% | 2.0% | 1.9% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 6% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. | |||
Total | |||
Russell | Market | ||
1000 | FA | ||
Fund | Index | Index | |
Consumer Discretionary 13.8% | 13.8% | 13.7% | |
Consumer Staples | 7.9 | 7.9 | 7.5 |
Energy | 6.4 | 6.4 | 6.2 |
Financial Services | 20.9 | 21.0 | 21.4 |
Health Care | 13.3 | 13.3 | 13.3 |
Materials & Processing | 3.6 | 3.6 | 3.9 |
Producer Durables | 10.8 | 10.8 | 10.9 |
Technology | 17.9 | 17.8 | 17.8 |
Utilities | 5.4 | 5.4 | 5.3 |
Volatility Measures | ||
DJ | ||
Russell | U.S. Total | |
1000 | Market | |
Index | FA Index | |
R-Squared | 1.00 | 1.00 |
Beta | 1.00 | 0.98 |
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 | 3.3% | |
Alphabet Inc. | Computer Services | |
Software & Systems | 2.2 | |
Microsoft Corp. | Computer Services | |
Software & Systems | 2.1 | |
Exxon Mobil Corp. | Oil: Integrated | 1.5 |
Johnson & Johnson | Pharmaceuticals | 1.5 |
JPMorgan Chase & Co. | Diversified Financial | |
Services | 1.5 | |
Amazon.com Inc. | Diversified Retail | 1.4 |
Berkshire Hathaway Inc. Insurance: Multi-Line | 1.4 | |
Facebook Inc. | Computer Services | |
Software & Systems | 1.3 | |
General Electric Co. | Diversified | |
Manufacturing | ||
Operations | 1.2 | |
Top Ten | 17.4% | |
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, 2016, and represent estimated costs for the current fiscal year. For the six months ended February 28, 2017, the annualized expense ratios were 0.12% for ETF Shares and 0.08% for Institutional Shares.
6
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 28, 2017
Note: For 2017, performance data reflect the six months ended February 28, 2017.
Average Annual Total Returns: Periods Ended December 31, 2016
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 | 11.78% | 14.53% | 13.56% | |
Net Asset Value | 11.75 | 14.52 | 13.56 | |
Institutional Shares | 10/15/2010 | 11.79 | 14.57 | 13.19 |
See Financial Highlights for dividend and capital gains information.
7
Russell 1000 Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 28, 2017
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. | 43,245 | 36,544 | 1.4% |
Home Depot Inc. | 138,327 | 20,045 | 0.8% |
Comcast Corp. Class A | 535,461 | 20,037 | 0.8% |
Walt Disney Co. | 180,254 | 19,844 | 0.8% |
Wal-Mart Stores Inc. | 168,130 | 11,925 | 0.5% |
McDonald’s Corp. | 92,294 | 11,781 | 0.4% |
Consumer Discretionary—Other † | 227,911 | 9.0% | |
348,087 | 13.7% | ||
Consumer Staples | |||
Procter & Gamble Co. | 284,693 | 25,927 | 1.0% |
Philip Morris International Inc. | 172,183 | 18,828 | 0.7% |
Coca-Cola Co. | 432,975 | 18,168 | 0.7% |
PepsiCo Inc. | 160,510 | 17,717 | 0.7% |
Altria Group Inc. | 217,700 | 16,310 | 0.7% |
Consumer Staples—Other † | 102,406 | 4.1% | |
199,356 | 7.9% | ||
Energy | |||
Exxon Mobil Corp. | 463,727 | 37,710 | 1.5% |
Chevron Corp. | 209,097 | 23,524 | 0.9% |
Schlumberger Ltd. | 154,546 | 12,419 | 0.5% |
Energy—Other † | 87,098 | 3.4% | |
160,751 | 6.3% | ||
Financial Services | |||
JPMorgan Chase & Co. | 404,722 | 36,676 | 1.5% |
* Berkshire Hathaway Inc. Class B | 210,212 | 36,035 | 1.4% |
Wells Fargo & Co. | 507,830 | 29,393 | 1.2% |
Bank of America Corp. | 1,142,676 | 28,201 | 1.1% |
Visa Inc. Class A | 211,829 | 18,628 | 0.7% |
Citigroup Inc. | 308,693 | 18,463 | 0.7% |
8
Russell 1000 Index Fund | |||
Market | Percentage | ||
Value• | of Net | ||
Shares | ($000) | Assets | |
Mastercard Inc. Class A | 107,025 | 11,822 | 0.5% |
Goldman Sachs Group Inc. | 42,903 | 10,643 | 0.4% |
US Bancorp | 180,405 | 9,922 | 0.4% |
Financial Services—Other † | 328,051 | 13.0% | |
527,834 | 20.9% | ||
Health Care | |||
Johnson & Johnson | 305,439 | 37,328 | 1.5% |
Pfizer Inc. | 666,711 | 22,748 | 0.9% |
Merck & Co. Inc. | 307,926 | 20,283 | 0.8% |
UnitedHealth Group Inc. | 104,254 | 17,242 | 0.7% |
Amgen Inc. | 83,548 | 14,749 | 0.6% |
Medtronic plc | 156,004 | 12,622 | 0.5% |
AbbVie Inc. | 180,039 | 11,134 | 0.4% |
* Celgene Corp. | 85,476 | 10,557 | 0.4% |
Bristol-Myers Squibb Co. | 185,723 | 10,532 | 0.4% |
Gilead Sciences Inc. | 147,455 | 10,393 | 0.4% |
Health Care—Other † | 168,374 | 6.7% | |
335,962 | 13.3% | ||
Materials & Processing † | 90,543 | 3.6% | |
1Other † | 39 | 0.0% | |
Producer Durables | |||
General Electric Co. | 1,022,702 | 30,487 | 1.2% |
3M Co. | 65,377 | 12,183 | 0.5% |
Boeing Co. | 66,338 | 11,956 | 0.5% |
Honeywell International Inc. | 84,636 | 10,537 | 0.4% |
Union Pacific Corp. | 93,613 | 10,105 | 0.4% |
United Technologies Corp. | 86,248 | 9,707 | 0.4% |
Producer Durables—Other † | 187,698 | 7.4% | |
272,673 | 10.8% | ||
Technology | |||
Apple Inc. | 609,353 | 83,475 | 3.3% |
Microsoft Corp. | 842,335 | 53,893 | 2.1% |
* Facebook Inc. Class A | 249,535 | 33,822 | 1.3% |
* Alphabet Inc. Class A | 32,604 | 27,548 | 1.1% |
* Alphabet Inc. Class C | 33,014 | 27,177 | 1.1% |
Cisco Systems Inc. | 559,430 | 19,121 | 0.8% |
Intel Corp. | 525,621 | 19,028 | 0.7% |
International Business Machines Corp. | 97,721 | 17,572 | 0.7% |
Oracle Corp. | 328,950 | 14,010 | 0.6% |
Technology—Other † | 154,137 | 6.1% | |
449,783 | 17.8% | ||
Utilities | |||
AT&T Inc. | 684,814 | 28,618 | 1.1% |
Verizon Communications Inc. | 453,670 | 22,516 | 0.9% |
Utilities—Other † | 85,791 | 3.4% | |
136,925 | 5.4% | ||
Total Common Stocks (Cost $2,055,386) | 2,521,953 | 99.7%2 |
9
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 | 0.864% | 81,919 | 8,193 | 0.3% |
5U.S. Government and Agency Obligations † | 698 | 0.1% | ||
Total Temporary Cash Investments (Cost $8,891) | 8,891 | 0.4%2 | ||
6Total Investments (Cost $2,064,277) | 2,530,844 | 100.1% | ||
Amount | ||||
($000) | ||||
Other Assets and Liabilities | ||||
Other Assets | ||||
Investment in Vanguard | 177 | |||
Receivables for Investment Securities Sold | 5,715 | |||
Receivables for Accrued Income | 5,013 | |||
Receivables for Capital Shares Issued | 282 | |||
Other Assets | 156 | |||
Total Other Assets | 11,343 | 0.4% | ||
Liabilities | ||||
Payables for Investment Securities Purchased | (9,768) | |||
Collateral for Securities on Loan | (3,496) | |||
Payables for Capital Shares Redeemed | (20) | |||
Payables to Vanguard | (617) | |||
Other Liabilities | (12) | |||
Total Liabilities | (13,913) | (0.5%) | ||
Net Assets | 2,528,274 | 100.0% |
10
Russell 1000 Index Fund | |
At February 28, 2017, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 2,095,047 |
Undistributed Net Investment Income | 6,538 |
Accumulated Net Realized Losses | (40,091) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 466,567 |
Futures Contracts | 213 |
Net Assets | 2,528,274 |
ETF Shares—Net Assets | |
Applicable to 6,175,000 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 670,975 |
Net Asset Value Per Share—ETF Shares | $108.66 |
Institutional Shares—Net Assets | |
Applicable to 8,823,197 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,857,299 |
Net Asset Value Per Share—Institutional Shares | $210.50 |
• 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 0.2%, 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 $3,496,000 of collateral received for securities on loan.
5 Securities with a value of $300,000 have been segregated as initial margin for open futures contracts.
6 The total value of securities on loan is $3,243,000.
See accompanying Notes, which are an integral part of the Financial Statements.
11
Russell 1000 Index Fund
Statement of Operations
Six Months Ended | |
February 28, 2017 | |
($000) | |
Investment Income | |
Income | |
Dividends | 23,476 |
Interest1 | 38 |
Securities Lending—Net | 78 |
Total Income | 23,592 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 167 |
Management and Administrative—ETF Shares | 324 |
Management and Administrative—Institutional Shares | 498 |
Marketing and Distribution—ETF Shares | 28 |
Marketing and Distribution—Institutional Shares | 22 |
Custodian Fees | 65 |
Shareholders’ Reports—ETF Shares | 8 |
Shareholders’ Reports—Institutional Shares | 1 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 1,114 |
Net Investment Income | 22,478 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | 64,025 |
Futures Contracts | 876 |
Realized Net Gain (Loss) | 64,901 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 145,801 |
Futures Contracts | (94) |
Change in Unrealized Appreciation (Depreciation) | 145,707 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 233,086 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $36,000 and ($1,000), respectively. |
See accompanying Notes, which are an integral part of the Financial Statements.
12
Russell 1000 Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
February 28, | August 31, | |
2017 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 22,478 | 40,787 |
Realized Net Gain (Loss) | 64,901 | 11,430 |
Change in Unrealized Appreciation (Depreciation) | 145,707 | 164,142 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 233,086 | 216,359 |
Distributions | ||
Net Investment Income | ||
ETF Shares | (7,541) | (11,541) |
Institutional Shares | (17,419) | (26,919) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (24,960) | (38,460) |
Capital Share Transactions | ||
ETF Shares | (68,381) | 110,695 |
Institutional Shares | 160,527 | 174,442 |
Net Increase (Decrease) from Capital Share Transactions | 92,146 | 285,137 |
Total Increase (Decrease) | 300,272 | 463,036 |
Net Assets | ||
Beginning of Period | 2,228,002 | 1,764,966 |
End of Period1 | 2,528,274 | 2,228,002 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $6,538,000 and $9,020,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
13
Russell 1000 Index Fund
Financial Highlights
ETF Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $99.81 | $91.37 | $92.70 | $75.40 | $64.29 | $55.94 | |
Investment Operations | |||||||
Net Investment Income | .959 | 1.892 | 1.679 | 1.553 | 1.444 | 1.176 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 8.976 | 8.383 | (1.355) | 17.272 | 11.068 | 8.307 | |
Total from Investment Operations | 9.935 | 10.275 | .324 | 18.825 | 12.512 | 9.483 | |
Distributions | |||||||
Dividends from Net Investment Income | (1.085) | (1.835) | (1.654) | (1.525) | (1.402) | (1.133) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (1.085) | (1.835) | (1.654) | (1.525) | (1.402) | (1.133) | |
Net Asset Value, End of Period | $108.66 | $99.81 | $91.37 | $92.70 | $75.40 | $64.29 | |
Total Return | 10.04% | 11.41% | 0.29% | 25.18% | 19.70% | 17.19% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $671 | $679 | $514 | $380 | $219 | $148 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.93% | 2.05% | 1.84% | 1.85% | 2.09% | 2.06% | |
Portfolio Turnover Rate1 | 6% | 9% | 4% | 7% | 11% | 36% | |
The expense ratio, net investment 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.
14
Russell 1000 Index Fund
Financial Highlights
Institutional Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $193.36 | $176.99 | $179.58 | $146.04 | $124.53 | $108.35 | |
Investment Operations | |||||||
Net Investment Income | 1.901 | 3.732 | 3.329 | 3.060 | 2.850 | 2.314 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 17.377 | 16.259 | (2.641) | 33.485 | 21.424 | 16.100 | |
Total from Investment Operations | 19.278 | 19.991 | .688 | 36.545 | 24.274 | 18.414 | |
Distributions | |||||||
Dividends from Net Investment Income | (2.138) | (3.621) | (3.278) | (3.005) | (2.764) | (2.234) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (2.138) | (3.621) | (3.278) | (3.005) | (2.764) | (2.234) | |
Net Asset Value, End of Period | $210.50 | $193.36 | $176.99 | $179.58 | $146.04 | $124.53 | |
Total Return | 10.06% | 11.47% | 0.33% | 25.24% | 19.73% | 17.25% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $1,857 | $1,549 | $1,251 | $944 | $677 | $334 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.97% | 2.09% | 1.88% | 1.89% | 2.13% | 2.10% | |
Portfolio Turnover Rate1 | 6% | 9% | 4% | 7% | 11% | 36% |
The expense ratio, net investment 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.
15
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 are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The 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 28, 2017, 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.
16
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, 2013–2016), and for the period ended February 28, 2017, 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. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 28, 2017, 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.
17
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 28, 2017, the fund had contributed to Vanguard capital in the amount of $177,000, 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 28, 2017, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 2,521,953 | — | — |
Temporary Cash Investments | 8,193 | 698 | — |
Futures Contracts—Liabilities1 | (12) | — | — |
Total | 2,530,134 | 698 | — |
1 Represents variation margin on the last day of the reporting period. |
18
Russell 1000 Index Fund
D. At February 28, 2017, 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 2017 | 42 | 4,962 | 213 |
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 28, 2017, the fund realized $60,163,000 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, 2016, the fund had available capital losses totaling $44,523,000 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, 2017; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2017, the cost of investment securities for tax purposes was $2,064,277,000. Net unrealized appreciation of investment securities for tax purposes was $466,567,000, consisting of unrealized gains of $508,283,000 on securities that had risen in value since their purchase and $41,716,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 28, 2017, the fund purchased $309,675,000 of investment securities and sold $216,210,000 of investment securities, other than temporary cash investments. Purchases and sales include $25,143,000 and $143,819,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
19
Russell 1000 Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
February 28, 2017 | August 31, 2016 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 75,525 | 750 | 277,860 | 2,950 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (143,906) | (1,375) | (167,165) | (1,775) |
Net Increase (Decrease)—ETF Shares | (68,381) | (625) | 110,695 | 1,175 |
Institutional Shares | ||||
Issued | 284,389 | 1,439 | 267,141 | 1,450 |
Issued in Lieu of Cash Distributions | 15,799 | 81 | 24,538 | 137 |
Redeemed | (139,661) | (709) | (117,237) | (643) |
Net Increase (Decrease)—Institutional Shares | 160,527 | 811 | 174,442 | 944 |
H. Management has determined that no material events or transactions occurred subsequent to February 28, 2017, that would require recognition or disclosure in these financial statements.
20
Russell 1000 Value Index Fund
Fund Profile
As of February 28, 2017
Share-Class Characteristics | ||
ETF | Institutional | |
Shares | Shares | |
Ticker Symbol | VONV | VRVIX |
Expense Ratio1 | 0.12% | 0.08% |
30-Day SEC Yield | 2.29% | 2.33% |
Portfolio Characteristics | |||
DJ | |||
Russell | U.S. | ||
1000 | Total | ||
Value | Market | ||
Fund | Index FA Index | ||
Number of Stocks | 697 | 696 | 3,807 |
Median Market Cap | $62.0B | $62.0B | $57.6B |
Price/Earnings Ratio | 23.5x | 23.5x | 24.8x |
Price/Book Ratio | 2.1x | 2.1x | 3.0x |
Return on Equity | 12.1% | 12.1% | 16.4% |
Earnings Growth Rate | 3.9% | 3.9% | 7.6% |
Dividend Yield | 2.4% | 2.4% | 1.9% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 10% | — | — |
Short-Term Reserves | -0.2% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. | |||
Russell | Total | ||
1000 | Market | ||
Value | FA | ||
Fund | Index | Index | |
Consumer Discretionary | 5.5% | 5.5% | 13.7% |
Consumer Staples | 7.4 | 7.3 | 7.5 |
Energy | 12.2 | 12.2 | 6.2 |
Financial Services | 31.8 | 31.9 | 21.4 |
Health Care | 10.8 | 10.7 | 13.3 |
Materials & Processing | 3.2 | 3.2 | 3.9 |
Producer Durables | 10.0 | 10.0 | 10.9 |
Technology | 9.4 | 9.4 | 17.8 |
Utilities | 9.7 | 9.8 | 5.3 |
Volatility Measures | ||
Russell | DJ | |
1000 | U.S. Total | |
Value | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.95 |
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 | 3.0% |
JPMorgan Chase & Co. | Diversified Financial | |
Services | 2.9 | |
Berkshire Hathaway Inc. Insurance: Multi-Line | 2.8 | |
Johnson & Johnson | Pharmaceuticals | 2.4 |
Wells Fargo & Co. | Banks: Diversified | 2.3 |
AT&T Inc. | Utilities: | |
Telecommunications | 2.3 | |
Bank of America Corp. | Banks: Diversified | 2.2 |
Procter & Gamble Co. | Personal Care | 2.0 |
General Electric Co. | Diversified | |
Manufacturing | ||
Operations | 1.9 | |
Chevron Corp. | Oil: Integrated | 1.9 |
Top Ten | 23.7% | |
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, 2016, and represent estimated costs for the current fiscal year. For the six
months ended February 28, 2017, the annualized expense ratios were 0.13% for ETF Shares and 0.08% for Institutional Shares.
21
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 28, 2017
Note: For 2017, performance data reflect the six months ended February 28, 2017.
Average Annual Total Returns: Periods Ended December 31, 2016
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 | 17.08% | 14.65% | 13.20% | |
Net Asset Value | 17.03 | 14.63 | 13.19 | |
Institutional Shares | 12/10/2010 | 17.08 | 14.68 | 12.41 |
See Financial Highlights for dividend and capital gains information.
22
Russell 1000 Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 28, 2017
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. | 340,879 | 24,179 | 0.9% |
General Motors Co. | 315,898 | 11,638 | 0.5% |
Ford Motor Co. | 875,037 | 10,964 | 0.4% |
Consumer Discretionary—Other † | 95,660 | 3.7% | |
142,441 | 5.5% | ||
Consumer Staples | |||
Procter & Gamble Co. | 577,408 | 52,585 | 2.0% |
Philip Morris International Inc. | 312,217 | 34,141 | 1.3% |
Mondelez International Inc. Class A | 336,765 | 14,791 | 0.6% |
Walgreens Boots Alliance Inc. | 153,809 | 13,286 | 0.5% |
Colgate-Palmolive Co. | 160,357 | 11,703 | 0.5% |
Consumer Staples—Other † | 62,551 | 2.4% | |
189,057 | 7.3% | ||
Energy | |||
Exxon Mobil Corp. | 940,846 | 76,510 | 3.0% |
Chevron Corp. | 424,203 | 47,723 | 1.9% |
Schlumberger Ltd. | 314,089 | 25,240 | 1.0% |
ConocoPhillips | 279,778 | 13,309 | 0.5% |
Occidental Petroleum Corp. | 171,920 | 11,269 | 0.4% |
Energy—Other † | 139,411 | 5.4% | |
313,462 | 12.2% | ||
Financial Services | |||
JPMorgan Chase & Co. | 820,923 | 74,392 | 2.9% |
* Berkshire Hathaway Inc. Class B | 426,426 | 73,098 | 2.8% |
Wells Fargo & Co. | 1,030,558 | 59,649 | 2.3% |
Bank of America Corp. | 2,317,243 | 57,190 | 2.2% |
Citigroup Inc. | 625,191 | 37,393 | 1.4% |
Goldman Sachs Group Inc. | 86,861 | 21,547 | 0.8% |
US Bancorp | 365,352 | 20,094 | 0.8% |
23
Russell 1000 Value Index Fund | |||
Market | Percentage | ||
Value• | of Net | ||
Shares | ($000) | Assets | |
Morgan Stanley | 321,877 | 14,700 | 0.6% |
American International Group Inc. | 229,519 | 14,671 | 0.6% |
American Express Co. | 182,270 | 14,593 | 0.6% |
Chubb Ltd. | 103,901 | 14,356 | 0.6% |
PNC Financial Services Group Inc. | 112,471 | 14,310 | 0.6% |
Bank of New York Mellon Corp. | 235,968 | 11,124 | 0.4% |
Prudential Financial Inc. | 99,628 | 11,013 | 0.4% |
MetLife Inc. | 209,668 | 10,995 | 0.4% |
BlackRock Inc. | 28,184 | 10,920 | 0.4% |
Financial Services—Other † | 359,783 | 14.0% | |
819,828 | 31.8% | ||
Health Care | |||
Johnson & Johnson | 512,625 | 62,648 | 2.4% |
Pfizer Inc. | 1,260,597 | 43,012 | 1.7% |
Merck & Co. Inc. | 625,033 | 41,171 | 1.6% |
Medtronic plc | 315,912 | 25,560 | 1.0% |
Abbott Laboratories | 347,670 | 15,673 | 0.6% |
Health Care—Other † | 88,478 | 3.4% | |
276,542 | 10.7% | ||
Materials & Processing | |||
Dow Chemical Co. | 252,735 | 15,735 | 0.6% |
Materials & Processing—Other † | 65,798 | 2.6% | |
81,533 | 3.2% | ||
1Other † | 44 | 0.0% | |
Producer Durables | |||
General Electric Co. | 1,671,753 | 49,835 | 1.9% |
United Technologies Corp. | 174,883 | 19,683 | 0.8% |
Union Pacific Corp. | 160,193 | 17,291 | 0.7% |
Caterpillar Inc. | 125,816 | 12,161 | 0.5% |
Producer Durables—Other † | 158,088 | 6.1% | |
257,058 | 10.0% | ||
Technology | |||
Cisco Systems Inc. | 1,134,529 | 38,778 | 1.5% |
Intel Corp. | 970,131 | 35,119 | 1.4% |
Oracle Corp. | 601,115 | 25,601 | 1.0% |
QUALCOMM Inc. | 262,587 | 14,831 | 0.6% |
Apple Inc. | 103,754 | 14,213 | 0.5% |
International Business Machines Corp. | 62,037 | 11,155 | 0.4% |
Technology—Other † | 102,271 | 4.0% | |
241,968 | 9.4% | ||
Utilities | |||
AT&T Inc. | 1,389,871 | 58,083 | 2.3% |
Verizon Communications Inc. | 459,879 | 22,824 | 0.9% |
NextEra Energy Inc. | 103,939 | 13,616 | 0.5% |
Duke Energy Corp. | 155,315 | 12,821 | 0.5% |
Southern Co. | 211,604 | 10,754 | 0.4% |
Utilities—Other † | 132,832 | 5.1% | |
250,930 | 9.7% | ||
Total Common Stocks (Cost $2,247,041) | 2,572,863 | 99.8%2 |
24
Russell 1000 Value Index Fund | ||||
Market | Percentage | |||
Value• | of Net | |||
Coupon | Shares | ($000) | Assets | |
Temporary Cash Investments | ||||
Money Market Fund | ||||
3,4 Vanguard Market Liquidity Fund | 0.864% | 20,014 | 2,002 | 0.1% |
5U.S. Government and Agency Obligations † | 299 | 0.0% | ||
Total Temporary Cash Investments (Cost $2,301) | 2,301 | 0.1%2 | ||
6Total Investments (Cost $2,249,342) | 2,575,164 | 99.9% | ||
Amount | ||||
($000) | ||||
Other Assets and Liabilities | ||||
Other Assets | ||||
Investment in Vanguard | 175 | |||
Receivables for Investment Securities Sold | 5,275 | |||
Receivables for Accrued Income | 6,468 | |||
Receivables for Capital Shares Issued | 1,351 | |||
Total Other Assets | 13,269 | 0.5% | ||
Liabilities | ||||
Payables for Investment Securities Purchased | (6,934) | |||
Collateral for Securities on Loan | (2,000) | |||
Payables for Capital Shares Redeemed | (22) | |||
Payables to Vanguard | (625) | |||
Other Liabilities | (79) | |||
Total Liabilities | (9,660) | (0.4%) | ||
Net Assets | 2,578,773 | 100.0% |
25
Russell 1000 Value Index Fund | |
At February 28, 2017, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 2,276,727 |
Undistributed Net Investment Income | 7,444 |
Accumulated Net Realized Losses | (31,420) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 325,822 |
Futures Contracts | 200 |
Net Assets | 2,578,773 |
ETF Shares—Net Assets | |
Applicable to 9,900,000 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,009,015 |
Net Asset Value Per Share—ETF Shares | $101.92 |
Institutional Shares—Net Assets | |
Applicable to 7,887,555 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,569,758 |
Net Asset Value Per Share—Institutional Shares | $199.02 |
• 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 0.0%, 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 $2,000,000 of collateral received for securities on loan.
5 Securities with a value of $299,000 have been segregated as initial margin for open futures contracts.
6 The total value of securities on loan is $1,873,000.
See accompanying Notes, which are an integral part of the Financial Statements.
26
Russell 1000 Value Index Fund
Statement of Operations
Six Months Ended | |
February 28, 2017 | |
($000) | |
Investment Income | |
Income | |
Dividends | 29,712 |
Interest1 | 20 |
Securities Lending—Net | 63 |
Total Income | 29,795 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 164 |
Management and Administrative—ETF Shares | 373 |
Management and Administrative—Institutional Shares | 441 |
Marketing and Distribution—ETF Shares | 33 |
Marketing and Distribution—Institutional Shares | 22 |
Custodian Fees | 76 |
Shareholders’ Reports—ETF Shares | 8 |
Shareholders’ Reports—Institutional Shares | 1 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 1,119 |
Net Investment Income | 28,676 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | 47,173 |
Futures Contracts | 705 |
Realized Net Gain (Loss) | 47,878 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 174,761 |
Futures Contracts | (133) |
Change in Unrealized Appreciation (Depreciation) | 174,628 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 251,182 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $20,000 and $1,000, respectively. |
See accompanying Notes, which are an integral part of the Financial Statements.
27
Russell 1000 Value Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
February 28, | August 31, | |
2017 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 28,676 | 48,174 |
Realized Net Gain (Loss) | 47,878 | 65,494 |
Change in Unrealized Appreciation (Depreciation) | 174,628 | 113,269 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 251,182 | 226,937 |
Distributions | ||
Net Investment Income | ||
ETF Shares | (10,879) | (11,809) |
Institutional Shares | (21,742) | (33,672) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (32,621) | (45,481) |
Capital Share Transactions | ||
ETF Shares | 262,499 | 210,387 |
Institutional Shares | (55,173) | 71,161 |
Net Increase (Decrease) from Capital Share Transactions | 207,326 | 281,548 |
Total Increase (Decrease) | 425,887 | 463,004 |
Net Assets | ||
Beginning of Period | 2,152,886 | 1,689,882 |
End of Period1 | 2,578,773 | 2,152,886 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $7,444,000 and $11,389,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
28
Russell 1000 Value Index Fund
Financial Highlights
ETF Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $93.14 | $84.77 | $89.83 | $73.82 | $61.49 | $53.57 | |
Investment Operations | |||||||
Net Investment Income | 1.159 | 2.205 | 1.990 | 1.774 | 1.610 | 1.228 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 8.980 | 8.312 | (5.097) | 15.967 | 12.290 | 7.833 | |
Total from Investment Operations | 10.139 | 10.517 | (3.107) | 17.741 | 13.900 | 9.061 | |
Distributions | |||||||
Dividends from Net Investment Income | (1.359) | (2.147) | (1.953) | (1.731) | (1.570) | (1.141) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (1.359) | (2.147) | (1.953) | (1.731) | (1.570) | (1.141) | |
Net Asset Value, End of Period | $101.92 | $93.14 | $84.77 | $89.83 | $73.82 | $61.49 | |
Total Return | 11.00% | 12.65% | -3.59% | 24.27% | 22.90% | 17.17% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $1,009 | $668 | $407 | $283 | $137 | $46 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.13% | 0.12% | 0.12% | 0.12% | 0.15% | 0.15% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 2.52% | 2.58% | 2.26% | 2.22% | 2.39% | 2.48% | |
Portfolio Turnover Rate1 | 10% | 18% | 18% | 16% | 26% | 29% |
The expense ratio, net investment 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.
29
Russell 1000 Value Index Fund
Financial Highlights
Institutional Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $181.86 | $165.50 | $175.38 | $144.13 | $120.04 | $104.59 | |
Investment Operations | |||||||
Net Investment Income | 2.295 | 4.359 | 3.946 | 3.528 | 3.228 | 2.474 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 17.545 | 16.249 | (9.955) | 31.182 | 24.017 | 15.262 | |
Total from Investment Operations | 19.840 | 20.608 | (6.009) | 34.710 | 27.245 | 17.736 | |
Distributions | |||||||
Dividends from Net Investment Income | (2.680) | (4.248) | (3.871) | (3.460) | (3.155) | (2.286) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (2.680) | (4.248) | (3.871) | (3.460) | (3.155) | (2.286) | |
Net Asset Value, End of Period | $199.02 | $181.86 | $165.50 | $175.38 | $144.13 | $120.04 | |
Total Return | 11.02% | 12.72% | -3.55% | 24.33% | 23.00% | 17.23% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $1,570 | $1,485 | $1,283 | $1,222 | $797 | $541 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 2.57% | 2.62% | 2.30% | 2.26% | 2.46% | 2.55% | |
Portfolio Turnover Rate1 | 10% | 18% | 18% | 16% | 26% | 29% |
The expense ratio, net investment 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.
30
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 are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The 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 28, 2017, 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.
31
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, 2013–2016), and for the period ended February 28, 2017, 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. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 28, 2017, 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.
32
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 28, 2017, the fund had contributed to Vanguard capital in the amount of $175,000, 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 28, 2017, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 2,572,863 | — | — |
Temporary Cash Investments | 2,002 | 299 | — |
Futures Contracts—Liabilities1 | (10) | — | — |
Total | 2,574,855 | 299 | — |
1 Represents variation margin on the last day of the reporting period. |
33
Russell 1000 Value Index Fund
D. At February 28, 2017, 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 2017 | 36 | 4,253 | 200 |
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 28, 2017, the fund realized $44,024,000 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, 2016, the fund had available capital losses totaling $34,941,000 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, 2017; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2017, the cost of investment securities for tax purposes was $2,249,349,000. Net unrealized appreciation of investment securities for tax purposes was $325,815,000, consisting of unrealized gains of $392,885,000 on securities that had risen in value since their purchase and $67,070,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 28, 2017, the fund purchased $486,355,000 of investment securities and sold $278,543,000 of investment securities, other than temporary cash investments. Purchases and sales include $266,431,000 and $163,517,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
34
Russell 1000 Value Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
February 28, 2017 | August 31, 2016 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 366,824 | 3,800 | 553,382 | 6,375 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (104,325) | (1,075) | (342,995) | (4,000) |
Net Increase (Decrease)—ETF Shares | 262,499 | 2,725 | 210,387 | 2,375 |
Institutional Shares | ||||
Issued | 233,236 | 1,257 | 352,730 | 2,075 |
Issued in Lieu of Cash Distributions | 20,695 | 111 | 32,049 | 192 |
Redeemed | (309,104) | (1,644) | (313,618) | (1,855) |
Net Increase (Decrease)—Institutional Shares | (55,173) | (276) | 71,161 | 412 |
H. Management has determined that no material events or transactions occurred subsequent to
February 28, 2017, that would require recognition or disclosure in these financial statements.
35
Russell 1000 Growth Index Fund
Fund Profile
As of February 28, 2017
Share-Class Characteristics | ||
ETF | Institutional | |
Shares | Shares | |
Ticker Symbol | VONG | VRGWX |
Expense Ratio1 | 0.12% | 0.08% |
30-Day SEC Yield | 1.41% | 1.45% |
Portfolio Characteristics | |||
DJ | |||
Russell | U.S. | ||
1000 | Total | ||
Growth | Market | ||
Fund | Index FA Index | ||
Number of Stocks | 612 | 610 | 3,807 |
Median Market Cap | $82.4B | $82.4B | $57.6B |
Price/Earnings Ratio | 24.7x | 24.7x | 24.8x |
Price/Book Ratio | 5.9x | 5.9x | 3.0x |
Return on Equity | 22.9% | 22.5% | 16.4% |
Earnings Growth Rate | 10.9% | 11.6% | 7.6% |
Dividend Yield | 1.5% | 1.5% | 1.9% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 8% | — | — |
Short-Term Reserves | -0.2% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. | |||
Russell | Total | ||
1000 | Market | ||
Growth | FA | ||
Fund | Index | Index | |
Consumer Discretionary 22.2% | 22.2% | 13.7% | |
Consumer Staples | 8.5 | 8.5 | 7.5 |
Energy | 0.5 | 0.5 | 6.2 |
Financial Services | 9.9 | 9.9 | 21.4 |
Health Care | 15.9 | 15.9 | 13.3 |
Materials & Processing | 4.0 | 4.0 | 3.9 |
Producer Durables | 11.6 | 11.6 | 10.9 |
Technology | 26.3 | 26.3 | 17.8 |
Utilities | 1.1 | 1.1 | 5.3 |
Volatility Measures | ||
DJ | ||
U.S. Total | ||
Russell 1000 | Market | |
Growth Index | FA Index | |
R-Squared | 1.00 | 0.93 |
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 | 6.1% | |
Alphabet Inc. | Computer Services | |
Software & Systems | 4.4 | |
Microsoft Corp. | Computer Services | |
Software & Systems | 4.3 | |
Amazon.com Inc. | Diversified Retail | 2.9 |
Facebook Inc. | Computer Services | |
Software & Systems | 2.7 | |
Home Depot Inc. | Specialty Retail | 1.6 |
Walt Disney Co. | Entertainment | 1.6 |
Visa Inc. | Financial Data & | |
Systems | 1.5 | |
Comcast Corp. | Cable Television | |
Services | 1.5 | |
UnitedHealth Group Inc. | Health Care | |
Management | ||
Services | 1.4 | |
Top Ten | 28.0% | |
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, 2016, and represent estimated costs for the current fiscal year. For the six
months ended February 28, 2017, the annualized expense ratios were 0.12% for ETF Shares and 0.08% for Institutional Shares.
36
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 28, 2017
Note: For 2017, performance data reflect the six months ended February 28, 2017.
Average Annual Total Returns: Periods Ended December 31, 2016
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 | 6.99% | 14.38% | 13.85% | |
Net Asset Value | 6.97 | 14.36 | 13.84 | |
Institutional Shares | 12/6/2010 | 7.02 | 14.42 | 12.53 |
See Financial Highlights for dividend and capital gains information.
37
Russell 1000 Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 28, 2017
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. | 115,234 | 97,377 | 2.9% |
Home Depot Inc. | 368,598 | 53,413 | 1.6% |
Walt Disney Co. | 480,768 | 52,928 | 1.6% |
Comcast Corp. Class A | 1,320,911 | 49,428 | 1.5% |
McDonald’s Corp. | 246,164 | 31,423 | 0.9% |
* Priceline Group Inc. | 14,669 | 25,291 | 0.7% |
Starbucks Corp. | 422,557 | 24,031 | 0.7% |
Costco Wholesale Corp. | 129,108 | 22,875 | 0.7% |
NIKE Inc. Class B | 391,827 | 22,397 | 0.7% |
Lowe’s Cos. Inc. | 265,066 | 19,713 | 0.6% |
* Charter Communications Inc. Class A | 59,380 | 19,183 | 0.6% |
* Netflix Inc. | 120,813 | 17,171 | 0.5% |
TJX Cos. Inc. | 195,705 | 15,353 | 0.5% |
Time Warner Inc. | 153,042 | 15,030 | 0.4% |
Consumer Discretionary—Other † | 275,282 | 8.2% | |
740,895 | 22.1% | ||
Consumer Staples | |||
Altria Group Inc. | 579,219 | 43,395 | 1.3% |
PepsiCo Inc. | 372,114 | 41,074 | 1.2% |
Coca-Cola Co. | 862,976 | 36,210 | 1.1% |
CVS Health Corp. | 299,409 | 24,126 | 0.7% |
Consumer Staples—Other † | 137,961 | 4.1% | |
282,766 | 8.4% | ||
Energy † | 16,561 | 0.5% | |
Financial Services | |||
Visa Inc. Class A | 564,545 | 49,646 | 1.5% |
Mastercard Inc. Class A | 285,489 | 31,535 | 0.9% |
38
Russell 1000 Growth Index Fund | |||
Market | Percentage | ||
Value• | of Net | ||
Shares | ($000) | Assets | |
Simon Property Group Inc. | 82,580 | 15,228 | 0.5% |
Financial Services—Other † | 233,605 | 7.0% | |
330,014 | 9.9% | ||
Health Care | |||
UnitedHealth Group Inc. | 277,777 | 45,939 | 1.4% |
Amgen Inc. | 222,517 | 39,281 | 1.2% |
AbbVie Inc. | 479,271 | 29,638 | 0.9% |
* Celgene Corp. | 227,549 | 28,105 | 0.8% |
Bristol-Myers Squibb Co. | 494,511 | 28,044 | 0.8% |
Gilead Sciences Inc. | 392,385 | 27,655 | 0.8% |
Eli Lilly & Co. | 289,064 | 23,937 | 0.7% |
* Biogen Inc. | 64,802 | 18,702 | 0.6% |
Johnson & Johnson | 140,813 | 17,209 | 0.5% |
Health Care—Other † | 273,636 | 8.2% | |
532,146 | 15.9% | ||
Materials & Processing | |||
EI du Pont de Nemours & Co. | 258,877 | 20,332 | 0.6% |
Materials & Processing—Other † | 114,247 | 3.4% | |
134,579 | 4.0% | ||
1Other † | 44 | 0.0% | |
Producer Durables | |||
3M Co. | 174,251 | 32,472 | 1.0% |
Boeing Co. | 176,855 | 31,875 | 0.9% |
Honeywell International Inc. | 225,271 | 28,046 | 0.8% |
Accenture plc Class A | 184,859 | 22,645 | 0.7% |
United Parcel Service Inc. Class B | 204,936 | 21,674 | 0.6% |
Lockheed Martin Corp. | 75,343 | 20,085 | 0.6% |
General Electric Co. | 529,666 | 15,789 | 0.5% |
Producer Durables—Other † | 216,589 | 6.5% | |
389,175 | 11.6% | ||
Technology | |||
Apple Inc. | 1,487,658 | 203,794 | 6.1% |
Microsoft Corp. | 2,244,319 | 143,592 | 4.3% |
* Facebook Inc. Class A | 664,889 | 90,119 | 2.7% |
* Alphabet Inc. Class A | 87,032 | 73,536 | 2.2% |
* Alphabet Inc. Class C | 87,891 | 72,353 | 2.2% |
International Business Machines Corp. | 178,937 | 32,176 | 1.0% |
Broadcom Ltd. | 111,526 | 23,524 | 0.7% |
Texas Instruments Inc. | 297,802 | 22,818 | 0.7% |
* Adobe Systems Inc. | 144,381 | 17,086 | 0.5% |
* salesforce.com Inc. | 189,448 | 15,412 | 0.4% |
NVIDIA Corp. | 150,581 | 15,281 | 0.4% |
Technology—Other † | 171,289 | 5.1% | |
880,980 | 26.3% | ||
Utilities | |||
Verizon Communications Inc. | 604,261 | 29,990 | 0.9% |
Utilities—Other † | 5,646 | 0.2% | |
35,636 | 1.1% | ||
Total Common Stocks (Cost $2,677,802) | 3,342,796 | 99.8%2 |
39
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 | 0.864% | 75,382 | 7,539 | 0.2% |
5U.S. Government and Agency Obligations † | 399 | 0.0% | ||
Total Temporary Cash Investments (Cost $7,938) | 7,938 | 0.2%2 | ||
6Total Investments (Cost $2,685,740) | 3,350,734 | 100.0% | ||
Amount | ||||
($000) | ||||
Other Assets and Liabilities | ||||
Other Assets | ||||
Investment in Vanguard | 220 | |||
Receivables for Investment Securities Sold | 4,234 | |||
Receivables for Accrued Income | 4,503 | |||
Receivables for Capital Shares Issued | 864 | |||
Total Other Assets | 9,821 | 0.3% | ||
Liabilities | ||||
Payables for Investment Securities Purchased | (8) | |||
Collateral for Securities on Loan | (7,530) | |||
Payables for Capital Shares Redeemed | (1,313) | |||
Payables to Vanguard | (736) | |||
Other Liabilities | (1,770) | |||
Total Liabilities | (11,357) | (0.3%) | ||
Net Assets | 3,349,198 | 100.0% |
40
Russell 1000 Growth Index Fund | |
At February 28, 2017, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 2,759,630 |
Undistributed Net Investment Income | 6,694 |
Accumulated Net Realized Losses | (82,419) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 664,994 |
Futures Contracts | 299 |
Net Assets | 3,349,198 |
ETF Shares—Net Assets | |
Applicable to 8,726,711 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,009,242 |
Net Asset Value Per Share—ETF Shares | $115.65 |
Institutional Shares—Net Assets | |
Applicable to 10,523,019 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 2,339,956 |
Net Asset Value Per Share—Institutional Shares | $222.37 |
• 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 0.0%, 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 $7,530,000 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 $7,035,000.
See accompanying Notes, which are an integral part of the Financial Statements.
41
Russell 1000 Growth Index Fund
Statement of Operations
Six Months Ended | |
February 28, 2017 | |
($000) | |
Investment Income | |
Income | |
Dividends | 22,465 |
Interest1 | 37 |
Securities Lending—Net | 133 |
Total Income | 22,635 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 206 |
Management and Administrative—ETF Shares | 376 |
Management and Administrative—Institutional Shares | 605 |
Marketing and Distribution—ETF Shares | 32 |
Marketing and Distribution—Institutional Shares | 30 |
Custodian Fees | 62 |
Shareholders’ Reports—ETF Shares | 9 |
Shareholders’ Reports—Institutional Shares | 1 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 1,322 |
Net Investment Income | 21,313 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | 26,249 |
Futures Contracts | 854 |
Realized Net Gain (Loss) | 27,103 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 218,611 |
Futures Contracts | (43) |
Change in Unrealized Appreciation (Depreciation) | 218,568 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 266,984 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $37,000 and $1,000, respectively. |
See accompanying Notes, which are an integral part of the Financial Statements.
42
Russell 1000 Growth Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
February 28, | August 31, | |
2017 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 21,313 | 37,741 |
Realized Net Gain (Loss) | 27,103 | 62,530 |
Change in Unrealized Appreciation (Depreciation) | 218,568 | 136,392 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 266,984 | 236,663 |
Distributions | ||
Net Investment Income | ||
ETF Shares | (6,290) | (8,068) |
Institutional Shares | (17,430) | (25,753) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (23,720) | (33,821) |
Capital Share Transactions | ||
ETF Shares | 202,270 | 237,351 |
Institutional Shares | 176,733 | 274,768 |
Net Increase (Decrease) from Capital Share Transactions | 379,003 | 512,119 |
Total Increase (Decrease) | 622,267 | 714,961 |
Net Assets | ||
Beginning of Period | 2,726,931 | 2,011,970 |
End of Period1 | 3,349,198 | 2,726,931 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $6,694,000 and $9,101,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
43
Russell 1000 Growth Index Fund
Financial Highlights
ETF Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $106.90 | $98.24 | $95.74 | $77.02 | $67.41 | $58.31 | |
Investment Operations | |||||||
Net Investment Income | .763 | 1.602 | 1.466 | 1.293 | 1.226 | .900 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 8.876 | 8.556 | 2.481 | 18.713 | 9.611 | 9.023 | |
Total from Investment Operations | 9.639 | 10.158 | 3.947 | 20.006 | 10.837 | 9.923 | |
Distributions | |||||||
Dividends from Net Investment Income | (.889) | (1.498) | (1.447) | (1.286) | (1.227) | (.823) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (.889) | (1.498) | (1.447) | (1.286) | (1.227) | (.823) | |
Net Asset Value, End of Period | $115.65 | $106.90 | $98.24 | $95.74 | $77.02 | $67.41 | |
Total Return | 9.09% | 10.44% | 4.11% | 26.15% | 16.27% | 17.18% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $1,009 | $738 | $452 | $295 | $148 | $76 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.12% | 0.12% | 0.12% | 0.12% | 0.15% | 0.15% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.45% | 1.60% | 1.47% | 1.51% | 1.73% | 1.59% | |
Portfolio Turnover Rate1 | 8% | 15% | 20% | 18% | 29% | 25% |
The expense ratio, net investment 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.
44
Russell 1000 Growth Index Fund
Financial Highlights
Institutional Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $205.53 | $188.88 | $184.06 | $148.07 | $129.59 | $112.09 | |
Investment Operations | |||||||
Net Investment Income | 1.508 | 3.147 | 2.882 | 2.544 | 2.446 | 1.812 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 17.081 | 16.449 | 4.782 | 35.986 | 18.488 | 17.342 | |
Total from Investment Operations | 18.589 | 19.596 | 7.664 | 38.530 | 20.934 | 19.154 | |
Distributions | |||||||
Dividends from Net Investment Income | (1.749) | (2.946) | (2.844) | (2.540) | (2.454) | (1.654) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (1.749) | (2.946) | (2.844) | (2.540) | (2.454) | (1.654) | |
Net Asset Value, End of Period | $222.37 | $205.53 | $188.88 | $184.06 | $148.07 | $129.59 | |
Total Return | 9.11% | 10.48% | 4.15% | 26.20% | 16.35% | 17.26% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $2,340 | $1,989 | $1,560 | $1,460 | $992 | $576 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.49% | 1.64% | 1.51% | 1.55% | 1.80% | 1.66% | |
Portfolio Turnover Rate1 | 8% | 15% | 20% | 18% | 29% | 25% |
The expense ratio, net investment 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.
45
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 are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The 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 28, 2017, 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.
46
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, 2013–2016), and for the period ended February 28, 2017, 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. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 28, 2017, 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.
47
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 28, 2017, the fund had contributed to Vanguard capital in the amount of $220,000, 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 28, 2017, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 3,342,796 | — | — |
Temporary Cash Investments | 7,539 | 399 | — |
Futures Contracts—Liabilities1 | (15) | — | — |
Total | 3,350,320 | 399 | — |
1 Represents variation margin on the last day of the reporting period. |
48
Russell 1000 Growth Index Fund
D. At February 28, 2017, 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 2017 | 54 | 6,380 | 299 |
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 28, 2017, the fund realized $23,650,000 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, 2016, the fund had available capital losses totaling $85,531,000 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, 2017; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2017, the cost of investment securities for tax purposes was $2,685,740,000. Net unrealized appreciation of investment securities for tax purposes was $664,994,000, consisting of unrealized gains of $706,013,000 on securities that had risen in value since their purchase and $41,019,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 28, 2017, the fund purchased $556,676,000 of investment securities and sold $178,294,000 of investment securities, other than temporary cash investments. Purchases and sales include $256,144,000 and $55,811,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
49
Russell 1000 Growth Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
February 28, 2017 | August 31, 2016 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 258,738 | 2,350 | 471,904 | 4,600 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (56,468) | (525) | (234,553) | (2,300) |
Net Increase (Decrease)—ETF Shares | 202,270 | 1,825 | 237,351 | 2,300 |
Institutional Shares | ||||
Issued | 324,276 | 1,551 | 620,161 | 3,160 |
Issued in Lieu of Cash Distributions | 15,816 | 77 | 24,379 | 126 |
Redeemed | (163,359) | (783) | (369,772) | (1,866) |
Net Increase (Decrease)—Institutional Shares | 176,733 | 845 | 274,768 | 1,420 |
H. Management has determined that no material events or transactions occurred subsequent to February 28, 2017, that would require recognition or disclosure in these financial statements.
50
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.
51
Six Months Ended February 28, 2017 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
8/31/2016 | 2/28/2017 | Period | |
Based on Actual Fund Return | |||
Russell 1000 Index Fund | |||
ETF Shares | $1,000.00 | $1,100.43 | $0.62 |
Institutional Shares | 1,000.00 | 1,100.55 | 0.42 |
Russell 1000 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,110.01 | $0.68 |
Institutional Shares | 1,000.00 | 1,110.16 | 0.42 |
Russell 1000 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,090.87 | $0.62 |
Institutional Shares | 1,000.00 | 1,091.14 | 0.41 |
Based on Hypothetical 5% Yearly Return | |||
Russell 1000 Index Fund | |||
ETF Shares | $1,000.00 | $1,024.20 | $0.60 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
Russell 1000 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.15 | $0.65 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
Russell 1000 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.20 | $0.60 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
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, 0.12% for ETF Shares and 0.08% for Institutional Shares; for the Russell 1000 Value Index Fund,
0.13% for ETF Shares and 0.08% for Institutional Shares; and for the Russell 1000 Growth Index Fund, 0.12% for ETF Shares and 0.08% 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 (181/365).
52
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.
53
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.
54
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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 195 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
InterestedTrustee1
F. William McNabb III
Born 1957. Trustee Since July 2009. Chairman of the Board. Principal Occupation(s) During the Past Five Years and Other Experience: Chairman of the Board of The Vanguard Group, Inc., and of each of the investment companies served by The Vanguard Group, since January 2010; Director of The Vanguard Group since 2008; Chief Executive Officer and President of The Vanguard Group, and of each of the investment companies served by The Vanguard Group, since 2008; Director of Vanguard Marketing Corporation; Managing Director of The Vanguard Group (1995–2008).
IndependentTrustees
Emerson U. Fullwood
Born 1948. Trustee Since January 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Executive Chief Staff and Marketing Officer for North America and Corporate Vice President (retired 2008) of Xerox Corporation (document management products and services); Executive in Residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology; Lead Director of SPX FLOW, Inc. (multi-industry manufacturing); Director of the United Way of Rochester, the University of Rochester Medical Center, Monroe Community College Foundation, North Carolina A&T University, and Roberts Wesleyan College.
Rajiv L. Gupta
Born 1945. Trustee Since December 2001.2 Principal Occupation(s) During the Past Five Years and Other Experience: Chairman and Chief Executive Officer (retired 2009) and President (2006–2008) of Rohm and Haas Co. (chemicals); Director of Arconic Inc. (diversified manufacturer), HP Inc. (printer and personal computer manufacturing), and Delphi Automotive plc (automotive components); Senior Advisor at New Mountain Capital.
Amy Gutmann
Born 1949. Trustee Since June 2006. Principal Occupation(s) During the Past Five Years and Other Experience: President of the University of Pennsylvania; Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and Professor of Communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania; Trustee of the National Constitution Center; Chair of the Presidential Commission for the Study of Bioethical Issues.
JoAnn Heffernan Heisen
Born 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years and Other Experience: Corporate Vice President and Chief Global Diversity Officer (retired 2008) and 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
Born 1949. Trustee Since October 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2009) of Cummins Inc. (industrial machinery); Chairman of the Board of Hillenbrand, Inc. (specialized consumer services), Oxfam America, and the Lumina
Foundation for Education; Director of SKF AB (industrial machinery), Hyster-Yale Materials Handling, Inc. (forklift trucks), and the V Foundation for Cancer Research; Member of the Advisory Council for the College of Arts and Letters and Chair of the Advisory Board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born 1953. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Senior Vice President and Chief Financial Officer (retired 2013) at IBM (information technology services); Fiduciary Member of IBM’s Retirement Plan Committee (2004–2013); Director of the Dow Chemical Company; Member of the Council on Chicago Booth.
Scott C. Malpass
Born 1962. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Chief Investment Officer and Vice President at the University of Notre Dame; Assistant Professor of Finance at the Mendoza College of Business at Notre Dame; Member of the Notre Dame 403(b) Investment Committee, the Board of Advisors for Spruceview Capital Partners, and the Investment Advisory Committee of Major League Baseball; Board Member of TIFF Advisory Services, Inc., and Catholic Investment Services, Inc. (investment advisors); Member of the Board of Superintendence of the Institute for the Works of Religion.
André F. Perold
Born 1952. Trustee Since December 2004. Principal Occupation(s) During the Past Five Years and Other Experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011); Chief Investment Officer and Co-Managing Partner of HighVista Strategies LLC (private investment firm); Overseer of the Museum of Fine Arts Boston.
Peter F. Volanakis
Born 1955. Trustee Since July 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2010) of Corning Incorporated (communications equipment); Chairman of the Board of Trustees of Colby-Sawyer College; Member of the Board of Hypertherm, Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born 1967. Investment Stewardship Officer Since February 2017. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Treasurer (2015–2017), Controller (2010–2015), and Assistant Controller (2001–2010) of each of the investment companies served by The Vanguard Group.
Thomas J. Higgins
Born 1957. Chief Financial Officer Since September 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Chief Financial Officer of each of the investment companies served by The Vanguard Group; Treasurer of each of the investment companies served by The Vanguard Group (1998–2008).
Peter Mahoney
Born 1974. Controller Since May 2015. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Controller of each of the investment companies served by The Vanguard Group; Head of International Fund Services at The Vanguard Group (2008–2014).
Anne E. Robinson
Born 1970. Secretary Since September 2016. Principal Occupation(s) During the Past Five Years and Other Experience: Managing Director of The Vanguard Group, Inc.; General Counsel of The Vanguard Group; Secretary of The Vanguard Group and of each of the investment companies served by The Vanguard Group; Director and Senior Vice President of Vanguard Marketing Corporation; Managing Director and General Counsel of Global Cards and Consumer Services at Citigroup (2014–2016); Counsel at American Express (2003–2014).
Michael Rollings
Born 1963. Treasurer Since February 2017. Principal Occupation(s) During the Past Five Years and Other Experience: Managing Director of The Vanguard Group, Inc.; Treasurer of each of the investment companies served by The Vanguard Group; Executive Vice President and Chief Financial Officer of MassMutual Financial Group (2006–2016).
Vanguard Senior Management Team | |
Mortimer J. Buckley | James M. Norris |
John James | Thomas M. Rampulla |
Martha G. King | Glenn W. Reed |
John T. Marcante | Karin A. Risi |
Chris D. McIsaac | |
Chairman Emeritus and Senior Advisor | |
John J. Brennan | |
Chairman, 1996–2009 | |
Chief Executive Officer and President, 1996–2008 | |
Founder | |
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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licensed for use by The Vanguard Group, Inc. The | |
Institutional Investor Services > 800-523-1036 | products are not sponsored, endorsed, sold, or |
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Who Are Deaf or Hard of Hearing > 800-749-7273 | Investments makes no representation regarding the |
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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. | |
© 2017 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q18482 042017 |
Semiannual Report | February 28, 2017
Vanguard Russell 2000 Index Funds
Vanguard Russell 2000 Index Fund
Vanguard Russell 2000 Value Index Fund
Vanguard Russell 2000 Growth Index Fund
A new format, unwavering commitment
As you begin reading this report, you’ll notice that we’ve made some improvements to the opening sections—based on feedback from you, our clients.
Page 1 starts with a new ”Your Fund’s Performance at a Glance,” a concise, handy summary of how your fund performed during the period.
In the renamed ”Chairman’s Perspective,” Bill McNabb will focus on enduring principles and investment insights.
We’ve modified some tables, and eliminated some redundancy, but we haven’t removed any information.
At Vanguard, we’re always looking for better ways to communicate and to help you make sound investment decisions. Thank you for entrusting your assets to us.
Contents | |
Your Fund’s Performance at a Glance. | 1 |
Chairman’s Perspective. | 3 |
Russell 2000 Index Fund. | 6 |
Russell 2000 Value Index Fund. | 21 |
Russell 2000 Growth Index Fund. | 36 |
About Your Fund’s Expenses. | 51 |
Glossary. | 53 |
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: No matter what language you speak, Vanguard has one consistent message and set of principles. Our primary
focus is on you, our clients. We conduct our business with integrity as a faithful steward of your assets. This message is shown
translated into seven languages, reflecting our expanding global presence.
Your Fund’s Performance at a Glance
• Value stocks generally outpaced their growth-oriented counterparts and small-capitalization stocks beat large-caps for the six months ended February 28, 2017. The broad trends were reflected in the performance of the three Vanguard Russell 2000 Index Funds.
• Results ranged from more than 9% for Vanguard Russell 2000 Growth Index Fund to nearly 16% for Vanguard Russell 2000 Value Index Fund. Vanguard Russell 2000 Index Fund, which includes both growth and value stocks, returned nearly 13%.
• All three funds closely tracked their target indexes and exceeded the average returns of their small-cap peers.
• The financial services and technology sectors were among the top contributors for all three funds. Producer durables and materials and processing also added significantly to returns. Consumer staples, energy, and utilities were some of the weakest sectors.
Total Returns: Six Months Ended February 28, 2017 | |
Total | |
Returns | |
Vanguard Russell 2000 Index Fund | |
ETF Shares | |
Market Price | 12.60% |
Net Asset Value | 12.62 |
Institutional Shares | 12.66 |
Russell 2000 Index | 12.61 |
Small-Cap Core Funds Average | 12.04 |
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 | 15.64% |
Net Asset Value | 15.78 |
Institutional Shares | 15.84 |
Russell 2000 Value Index | 15.80 |
Small-Cap Value Funds Average | 13.77 |
Small-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
1
Total | |
Returns | |
Vanguard Russell 2000 Growth Index Fund | |
ETF Shares | |
Market Price | 9.53% |
Net Asset Value | 9.40 |
Institutional Shares | 9.46 |
Russell 2000 Growth Index | 9.39 |
Small-Cap Growth Funds Average | 8.61 |
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.
Expense Ratios | |||
Your Fund Compared With Its Peer Group | |||
ETF | Institutional | Peer Group | |
Shares | Shares | Average | |
Russell 2000 Index Fund | 0.15% | 0.08% | 1.24% |
Russell 2000 Value Index Fund | 0.20 | 0.08 | 1.32 |
Russell 2000 Growth Index Fund | 0.20 | 0.08 | 1.34 |
The fund expense ratios shown are from the prospectus dated December 22, 2016, and represent estimated costs for the current fiscal year.
For the six months ended February 28, 2017, the funds’ annualized expense ratios were: for the Russell 2000 Index Fund, 0.16% for ETF
Shares and 0.08% for Institutional Shares; for the Russell 2000 Value Index Fund, 0.21% for ETF Shares and 0.08% for Institutional Shares;
and for the Russell 2000 Growth Index Fund, 0.21% for ETF Shares and 0.08% 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 2016.
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.
2
Chairman’s Perspective
Bill McNabb
Chairman and Chief Executive Officer
Dear Shareholder,
More than a decade ago, a Vanguard client asked us to help improve its defined contribution retirement plan. New hires were participating in the plan at lower rates than in previous years, and the client wanted to reverse this trend. Another priority was to help more participants invest their retirement savings in balanced portfolios.
The overall goal of this longtime client: Give employees a better chance to achieve financial security in retirement.
Today, that plan automatically enrolls employees at a 5% contribution rate, puts them in a low-cost target-date fund that takes on less risk as they near retirement, and offers a comprehensive suite of advice services. On top of that, employees get an employer contribution of 5% and are eligible for a company match.
Because of this combination of attractive features and generous employer contributions, nearly all new hires now participate in the plan, 81% of plan participants invest their retirement savings in balanced portfolios, and 87% of participants meet or exceed Vanguard’s recommended total retirement savings target. (Vanguard generally recommends that retirement investors save 12%–15% of pay, including company matches.)
3
Changing the retirement landscape
Am I singling out an isolated Vanguard success story? Absolutely not.
Stories like these are becoming increasingly common with employer-based retirement plans, particularly among large and midsize companies. Solutions such as automatic enrollment, automatic contribution increases, and default investment in target-date funds are having a positive effect.
Insights from the relatively new discipline of behavioral finance have contributed to the advances. Simply put, retirement plans are making natural human inertia work for future retirees, rather than against them, by putting savings on autopilot as much as possible.
More than 60% of Vanguard participants are in plans with automatic enrollment, which has led to a big jump in participation. Today, more than four-fifths of eligible employees are saving for retirement, compared with only two-thirds ten years ago.
In addition, many plans have adopted automatic-escalation features, which increase plan contributions at regular intervals until a maximum level is reached or an employee opts out. Automatic increases are a crucial tool for boosting retirement savings rates.
The growing use of target-date funds is another enormous benefit. More than 70% of all participants in Vanguard plans invest at least part of their retirement savings in
Market Barometer | |||
Total Returns | |||
Periods Ended February 28, 2017 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 10.10% | 25.53% | 13.94% |
Russell 2000 Index (Small-caps) | 12.61 | 36.11 | 12.89 |
Russell 3000 Index (Broad U.S. market) | 10.29 | 26.29 | 13.85 |
FTSE All-World ex US Index (International) | 5.40 | 19.87 | 4.00 |
Bonds | |||
Bloomberg Barclays U.S. Aggregate Bond Index | |||
(Broad taxable market) | -2.19% | 1.42% | 2.24% |
Bloomberg Barclays Municipal Bond Index | |||
(Broad tax-exempt market) | -2.80 | 0.25 | 3.07 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.19 | 0.32 | 0.10 |
CPI | |||
Consumer Price Index | 1.14% | 2.74% | 1.36% |
4
these age-appropriate, diversified strategies. And nearly 50% of Vanguard participants are invested solely in a single target-date fund.
Consider a do-it-yourself autopilot
But what if you don’t have access to a world-class, employer-based retirement plan? Unfortunately, not everyone does, which is an important policy issue.
However, you can still put the features of these plans to work. For example, you can set up automatic contributions from your paycheck to an IRA. And you can adopt your own automatic escalation by investing any pay raises.
You can also take a page from top-quality retirement plans by considering a low-cost, globally diversified target-date fund. The beauty of this approach is that you don’t need to remember to rebalance your portfolio—the fund does it for you.
Of course, you can take a more active role in picking your own investments, and this can be a good choice for some. But keep in mind the lessons from successful employer-based plans: Busy workers, faced with a lot of competing priorities, are often best served by putting their retirement savings on autopilot.
Winning by default
In highlighting some recent successes in retirement savings, I don’t want to minimize the challenges we still face. We’re living in a slow-growth, uncertain world, and investment returns for both stocks and bonds could well be modest in the coming decade.
But I believe the innovations we’ve seen in the last ten years in many retirement plans—you might call it the “default revolution”—point the way toward a solution. And that even goes for people whose employers don’t have a world-class retirement plan.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
March 14, 2017
5
Russell 2000 Index Fund
Fund Profile
As of February 28, 2017
Share-Class Characteristics | ||
ETF | Institutional | |
Shares | Shares | |
Ticker Symbol | VTWO | VRTIX |
Expense Ratio1 | 0.15% | 0.08% |
30-Day SEC Yield | 1.19% | 1.26% |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
Russell | Total | ||
2000 | Market | ||
Fund | Index FA | Index | |
Number of Stocks | 1,967 | 1,956 | 3,807 |
Median Market Cap | $2.0B | $2.0B | $57.6B |
Price/Earnings Ratio | 36.4x | 36.3x | 24.8x |
Price/Book Ratio | 2.4x | 2.4x | 3.0x |
Return on Equity | 10.3% | 10.3% | 16.4% |
Earnings Growth Rate | 8.3% | 8.3% | 7.6% |
Dividend Yield | 1.3% | 1.3% | 1.9% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 20% | — | — |
Short-Term Reserves | 0.4% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. | |||
Total | |||
Russell | Market | ||
2000 | FA | ||
Fund | Index | Index | |
Consumer Discretionary 12.7% | 12.7% | 13.7% | |
Consumer Staples | 2.4 | 2.4 | 7.5 |
Energy | 3.2 | 3.2 | 6.2 |
Financial Services | 28.3 | 28.3 | 21.4 |
Health Care | 12.9 | 12.9 | 13.3 |
Materials & Processing | 7.8 | 7.8 | 3.9 |
Producer Durables | 13.5 | 13.5 | 10.9 |
Technology | 14.6 | 14.6 | 17.8 |
Utilities | 4.6 | 4.6 | 5.3 |
Volatility Measures | ||
DJ | ||
Russell | U.S. Total | |
2000 | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.72 |
Beta | 1.00 | 1.25 |
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) | ||
Advanced Micro Devices Semiconductors & | ||
Inc. | Components | 0.6% |
Chemours Co. | Chemicals: Specialty | 0.3 |
Microsemi Corp. | Semiconductors & | |
Components | 0.3 | |
TESARO Inc. | Biotechnology | 0.3 |
Olin Corp. | Chemicals: | |
Diversified | 0.3 | |
Webster Financial Corp. | Banks: Diversified | 0.3 |
New Residential | ||
Investment Corp. | Mortgage REITs | 0.3 |
XPO Logistics Inc. | Transportation | |
Miscellaneous | 0.3 | |
Prosperity Bancshares | ||
Inc. | Banks: Diversified | 0.3 |
Exelixis Inc. | Biotechnology | 0.3 |
Top Ten | 3.3% | |
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, 2016, and represent estimated costs for the current fiscal year. For the six
months ended February 28, 2017, the annualized expense ratios were 0.16% for ETF Shares and 0.08% for Institutional Shares.
6
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 28, 2017
Note: For 2017, performance data reflect the six months ended February 28, 2017.
Average Annual Total Returns: Periods Ended December 31, 2016
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 | 21.47% | 14.49% | 13.45% | |
Net Asset Value | 21.33 | 14.45 | 13.43 | |
Institutional Shares | 12/22/2010 | 21.41 | 14.53 | 10.97 |
See Financial Highlights for dividend and capital gains information.
7
Russell 2000 Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 28, 2017
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 † | 198,044 | 12.6% | |
Consumer Staples † | 37,556 | 2.4% | |
Energy | |||
* RSP Permian Inc. | 79,832 | 3,153 | 0.2% |
* PDC Energy Inc. | 45,447 | 3,072 | 0.2% |
Energy—Other † | 44,624 | 2.9% | |
50,849 | 3.3% | ||
Financial Services | |||
Webster Financial Corp. | 75,145 | 4,128 | 0.3% |
New Residential Investment Corp. | 242,886 | 4,097 | 0.3% |
Prosperity Bancshares Inc. | 54,474 | 4,060 | 0.3% |
Bank of the Ozarks Inc. | 72,356 | 3,960 | 0.3% |
PrivateBancorp Inc. | 63,986 | 3,622 | 0.2% |
* Texas Capital Bancshares Inc. | 40,380 | 3,600 | 0.2% |
Investors Bancorp Inc. | 242,876 | 3,553 | 0.2% |
Hudson Pacific Properties Inc. | 93,550 | 3,422 | 0.2% |
Umpqua Holdings Corp. | 180,283 | 3,391 | 0.2% |
Fair Isaac Corp. | 25,222 | 3,281 | 0.2% |
Radian Group Inc. | 175,248 | 3,261 | 0.2% |
Medical Properties Trust Inc. | 242,523 | 3,255 | 0.2% |
Hancock Holding Co. | 68,335 | 3,242 | 0.2% |
* Gramercy Property Trust | 114,508 | 3,202 | 0.2% |
DuPont Fabros Technology Inc. | 61,495 | 3,166 | 0.2% |
Primerica Inc. | 38,266 | 3,090 | 0.2% |
Wintrust Financial Corp. | 41,839 | 3,084 | 0.2% |
IBERIABANK Corp. | 36,154 | 3,064 | 0.2% |
CNO Financial Group Inc. | 146,100 | 3,055 | 0.2% |
* MGIC Investment Corp. | 280,706 | 2,990 | 0.2% |
Financial Services—Other † | 372,720 | 23.8% | |
441,243 | 28.2% |
8
Russell 2000 Index Fund | |||
Market | Percentage | ||
Value• | of Net | ||
Shares | ($000) | Assets | |
Health Care | |||
* TESARO Inc. | 23,250 | 4,380 | 0.3% |
* Exelixis Inc. | 184,949 | 3,982 | 0.2% |
HealthSouth Corp. | 72,384 | 3,063 | 0.2% |
* NuVasive Inc. | 40,486 | 3,027 | 0.2% |
* Masimo Corp. | 33,233 | 3,003 | 0.2% |
Health Care—Other † | 183,636 | 11.7% | |
201,091 | 12.8% | ||
Materials & Processing | |||
Chemours Co. | 149,629 | 5,037 | 0.3% |
Olin Corp. | 135,096 | 4,199 | 0.3% |
US Silica Holdings Inc. | 60,536 | 3,061 | 0.2% |
Materials & Processing—Other † | 108,991 | 6.9% | |
121,288 | 7.7% | ||
1Other † | 363 | 0.0% | |
Producer Durables | |||
* XPO Logistics Inc. | 79,812 | 4,070 | 0.3% |
* Teledyne Technologies Inc. | 27,809 | 3,654 | 0.2% |
Curtiss-Wright Corp. | 36,043 | 3,526 | 0.2% |
MAXIMUS Inc. | 52,176 | 3,113 | 0.2% |
Woodward Inc. | 43,361 | 3,055 | 0.2% |
EMCOR Group Inc. | 49,477 | 3,042 | 0.2% |
Producer Durables—Other † | 190,196 | 12.2% | |
210,656 | 13.5% | ||
Technology | |||
* Advanced Micro Devices Inc. | 614,471 | 8,885 | 0.6% |
* Microsemi Corp. | 92,834 | 4,811 | 0.3% |
LogMeIn Inc. | 42,402 | 3,890 | 0.3% |
* Take-Two Interactive Software Inc. | 67,982 | 3,874 | 0.2% |
* Aspen Technology Inc. | 63,429 | 3,688 | 0.2% |
* Coherent Inc. | 19,694 | 3,596 | 0.2% |
* Cavium Inc. | 53,047 | 3,475 | 0.2% |
Mentor Graphics Corp. | 87,285 | 3,238 | 0.2% |
Science Applications International Corp. | 34,444 | 2,996 | 0.2% |
Technology—Other † | 189,235 | 12.1% | |
227,688 | 14.5% | ||
Utilities | |||
WGL Holdings Inc. | 41,215 | 3,441 | 0.3% |
IDACORP Inc. | 41,119 | 3,410 | 0.2% |
Portland General Electric Co. | 72,782 | 3,299 | 0.2% |
Southwest Gas Holdings Inc. | 38,446 | 3,288 | 0.2% |
j2 Global Inc. | 38,227 | 3,112 | 0.2% |
Utilities—Other † | 54,899 | 3.5% | |
71,449 | 4.6% | ||
Total Common Stocks (Cost $1,424,434) | 1,560,227 | 99.6%2 |
9
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 | 0.864% | 317,557 | 31,759 | 2.1% |
Face | ||||
Maturity | Amount | |||
Date | ($000) | |||
5U.S. Government and Agency Obligations | ||||
United States Treasury Bill | 7/20/17 | 300 | 299 | 0.0% |
Total Temporary Cash Investments (Cost $32,057) | 32,058 | 2.1%2 | ||
6Total Investments (Cost $1,456,491) | 1,592,285 | 101.7% | ||
Amount | ||||
($000) | ||||
Other Assets and Liabilities | ||||
Other Assets | ||||
Investment in Vanguard | 108 | |||
Receivables for Investment Securities Sold | 22,931 | |||
Receivables for Accrued Income | 950 | |||
Receivables for Capital Shares Issued | 116 | |||
Other Assets7 | 497 | |||
Total Other Assets | 24,602 | 1.5% | ||
Liabilities | ||||
Payables for Investment Securities Purchased | (12,785) | |||
Collateral for Securities on Loan | (19,359) | |||
Payables for Capital Shares Redeemed | (14,702) | |||
Payables to Vanguard | (366) | |||
Other Liabilities | (3,300) | |||
Total Liabilities | (50,512) | (3.2%) | ||
Net Assets | 1,566,375 | 100.0% |
10
Russell 2000 Index Fund | |
At February 28, 2017, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 1,463,590 |
Undistributed Net Investment Income | 405 |
Accumulated Net Realized Losses | (33,416) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 135,794 |
Futures Contracts | 2 |
Net Assets | 1,566,375 |
ETF Shares—Net Assets | |
Applicable to 9,150,000 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,010,991 |
Net Asset Value Per Share—ETF Shares | $110.49 |
Institutional Shares—Net Assets | |
Applicable to 2,627,714 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 555,384 |
Net Asset Value Per Share—Institutional Shares | $211.36 |
• 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 1.7%, 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 $19,359,000 of collateral received for securities on loan.
5 Securities with a value of $299,000 have been segregated as initial margin for open futures contracts.
6 The total value of securities on loan is $17,546,000.
7 Cash of $14,000 has been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
11
Russell 2000 Index Fund
Statement of Operations
Six Months Ended | |
February 28, 2017 | |
($000) | |
Investment Income | |
Income | |
Dividends | 8,080 |
Interest1 | 18 |
Securities Lending—Net | 934 |
Total Income | 9,032 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 98 |
Management and Administrative—ETF Shares | 390 |
Management and Administrative—Institutional Shares | 81 |
Marketing and Distribution—ETF Shares | 33 |
Marketing and Distribution—Institutional Shares | 9 |
Custodian Fees | 216 |
Shareholders’ Reports—ETF Shares | 19 |
Shareholders’ Reports—Institutional Shares | 1 |
Total Expenses | 847 |
Net Investment Income | 8,185 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | 11,516 |
Futures Contracts | 437 |
Realized Net Gain (Loss) | 11,953 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 138,678 |
Futures Contracts | 2 |
Change in Unrealized Appreciation (Depreciation) | 138,680 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 158,818 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $18,000 and $1,000, respectively. |
See accompanying Notes, which are an integral part of the Financial Statements.
12
Russell 2000 Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
February 28, | August 31, | |
2017 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 8,185 | 16,012 |
Realized Net Gain (Loss) | 11,953 | 43,554 |
Change in Unrealized Appreciation (Depreciation) | 138,680 | 28,503 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 158,818 | 88,069 |
Distributions | ||
Net Investment Income | ||
ETF Shares | (6,882) | (9,645) |
Institutional Shares | (4,720) | (9,668) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (11,602) | (19,313) |
Capital Share Transactions | ||
ETF Shares | 226,572 | 102,679 |
Institutional Shares | 15,333 | (76,587) |
Net Increase (Decrease) from Capital Share Transactions | 241,905 | 26,092 |
Total Increase (Decrease) | 389,121 | 94,848 |
Net Assets | ||
Beginning of Period | 1,177,254 | 1,082,406 |
End of Period1 | 1,566,375 | 1,177,254 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $405,000 and $3,819,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
13
Russell 2000 Index Fund
Financial Highlights
ETF Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $98.98 | $92.71 | $93.72 | $80.46 | $64.74 | $57.66 | |
Investment Operations | |||||||
Net Investment Income | .618 | 1.302 | 1.2241 | 1.054 | 1.161 | .8691 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 11.805 | 6.537 | (1.163) | 13.163 | 15.604 | 6.749 | |
Total from Investment Operations | 12.423 | 7.839 | .061 | 14.217 | 16.765 | 7.618 | |
Distributions | |||||||
Dividends from Net Investment Income | (.913) | (1.569) | (1.071) | (.957) | (1.045) | (.538) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (.913) | (1.569) | (1.071) | (.957) | (1.045) | (.538) | |
Net Asset Value, End of Period | $110.49 | $98.98 | $92.71 | $93.72 | $80.46 | $64.74 | |
Total Return | 12.62% | 8.62% | 0.03% | 17.69% | 26.23% | 13.30% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $1,011 | $698 | $554 | $375 | $257 | $149 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.16% | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.31% | 1.52% | 1.28% | 1.23% | 1.71% | 1.45% | |
Portfolio Turnover Rate 2 | 20% | 19% | 17% | 16% | 32% | 35% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
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.
14
Russell 2000 Index Fund
Financial Highlights
Institutional Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $189.31 | $177.40 | $179.29 | $153.88 | $123.77 | $110.21 | |
Investment Operations | |||||||
Net Investment Income | 1.247 | 2.606 | 2.4531 | 2.110 | 2.306 | 1.7331 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 22.599 | 12.503 | (2.212) | 25.206 | 29.858 | 12.899 | |
Total from Investment Operations | 23.846 | 15.109 | .241 | 27.316 | 32.164 | 14.632 | |
Distributions | |||||||
Dividends from Net Investment Income | (1.796) | (3.199) | (2.131) | (1.906) | (2.054) | (1.072) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (1.796) | (3.199) | (2.131) | (1.906) | (2.054) | (1.072) | |
Net Asset Value, End of Period | $211.36 | $189.31 | $177.40 | $179.29 | $153.88 | $123.77 | |
Total Return | 12.66% | 8.69% | 0.11% | 17.78% | 26.33% | 13.37% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $555 | $479 | $528 | $320 | $278 | $202 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.39% | 1.59% | 1.35% | 1.30% | 1.78% | 1.52% | |
Portfolio Turnover Rate2 | 20% | 19% | 17% | 16% | 32% | 35% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
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.
15
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 are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The 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 28, 2017, 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.
16
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, 2013–2016), and for the period ended February 28, 2017, 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. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 28, 2017, 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.
17
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 28, 2017, the fund had contributed to Vanguard capital in the amount of $108,000, 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 28, 2017, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 1,560,013 | 6 | 208 |
Temporary Cash Investments | 31,759 | 299 | — |
Futures Contracts—Liabilities1 | (100) | — | — |
Total | 1,591,672 | 305 | 208 |
1 Represents variation margin on the last day of the reporting period. |
18
Russell 2000 Index Fund
D. At February 28, 2017, 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 2017 | 94 | 6,510 | 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 28, 2017, the fund realized $10,037,000 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, 2016, the fund had available capital losses totaling $35,330,000 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, 2017; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2017, the cost of investment securities for tax purposes was $1,456,525,000. Net unrealized appreciation of investment securities for tax purposes was $135,760,000, consisting of unrealized gains of $254,723,000 on securities that had risen in value since their purchase and $118,963,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 28, 2017, the fund purchased $403,500,000 of investment securities and sold $164,773,000 of investment securities, other than temporary cash investments. Purchases and sales include $252,032,000 and $32,856,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
19
Russell 2000 Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
February 28, 2017 | August 31, 2016 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 259,849 | 2,425 | 369,546 | 4,075 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (33,277) | (325) | (266,867) | (3,000) |
Net Increase (Decrease)—ETF Shares | 226,572 | 2,100 | 102,679 | 1,075 |
Institutional Shares | ||||
Issued | 96,284 | 491 | 172,053 | 993 |
Issued in Lieu of Cash Distributions | 4,252 | 21 | 8,838 | 51 |
Redeemed | (85,203) | (417) | (257,478) | (1,490) |
Net Increase (Decrease) —Institutional Shares | 15,333 | 95 | (76,587) | (446) |
H. Management has determined that no material events or transactions occurred subsequent to February 28, 2017, that would require recognition or disclosure in these financial statements.
20
Russell 2000 Value Index Fund
Fund Profile
As of February 28, 2017
Share-Class Characteristics | ||
ETF | Institutional | |
Shares | Shares | |
Ticker Symbol | VTWV | VRTVX |
Expense Ratio1 | 0.20% | 0.08% |
30-Day SEC Yield | 1.67% | 1.77% |
Portfolio Characteristics | |||
DJ | |||
Russell | U.S. | ||
2000 | Total | ||
Value | Market | ||
Fund | Index FA Index | ||
Number of Stocks | 1,365 | 1,358 | 3,807 |
Median Market Cap | $1.9B | $1.9B | $57.6B |
Price/Earnings Ratio | 31.5x | 31.5x | 24.8x |
Price/Book Ratio | 1.7x | 1.7x | 3.0x |
Return on Equity | 8.0% | 8.0% | 16.4% |
Earnings Growth Rate | 6.1% | 6.0% | 7.6% |
Dividend Yield | 1.8% | 1.8% | 1.9% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 12% | — | — |
Short-Term Reserves | -0.1% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. | |||
Russell | Total | ||
2000 | Market | ||
Value | FA | ||
Fund | Index | Index | |
Consumer Discretionary | 9.7% | 9.7% | 13.7% |
Consumer Staples | 2.1 | 2.1 | 7.5 |
Energy | 5.4 | 5.4 | 6.2 |
Financial Services | 42.7 | 42.8 | 21.4 |
Health Care | 4.6 | 4.6 | 13.3 |
Materials & Processing | 5.8 | 5.7 | 3.9 |
Producer Durables | 12.8 | 12.8 | 10.9 |
Technology | 10.2 | 10.1 | 17.8 |
Utilities | 6.7 | 6.8 | 5.3 |
Volatility Measures | ||
Russell | DJ | |
2000 | U.S. Total | |
Value | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.64 |
Beta | 1.00 | 1.14 |
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) | ||
Advanced Micro Devices Semiconductors & | ||
Inc. | Components | 0.6% |
Olin Corp. | Chemicals: | |
Diversified | 0.5 | |
Webster Financial Corp. | Banks: Diversified | 0.5 |
New Residential | ||
Investment Corp. | Mortgage REITs | 0.5 |
Prosperity Bancshares | ||
Inc. | Banks: Diversified | 0.5 |
XPO Logistics Inc. | Transportation | |
Miscellaneous | 0.5 | |
PrivateBancorp Inc. | Banks: Diversified | 0.4 |
Investors Bancorp Inc. | Banks: Diversified | 0.4 |
IDACORP Inc. | Utilities: Electrical | 0.4 |
Hudson Pacific | ||
Properties Inc. | Office REITs | 0.4 |
Top Ten | 4.7% | |
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, 2016, and represent estimated costs for the current fiscal year. For the six
months ended February 28, 2017, the annualized expense ratios were 0.21% for ETF Shares and 0.08% for Institutional Shares.
21
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 28, 2017
Note: For 2017, performance data reflect the six months ended February 28, 2017.
Average Annual Total Returns: Periods Ended December 31, 2016
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 | 31.61% | 14.77% | 13.30% | |
Net Asset Value | 31.55 | 14.88 | 13.28 | |
Institutional Shares | 7/13/2012 | 31.70 | — | 14.77 |
See Financial Highlights for dividend and capital gains information.
22
Russell 2000 Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 28, 2017
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 † | 32,050 | 9.7% | |
Consumer Staples | |||
Snyder’s-Lance Inc. | 26,811 | 1,061 | 0.3% |
Consumer Staples—Other † | 5,912 | 1.8% | |
6,973 | 2.1% | ||
Energy | |||
* RSP Permian Inc. | 32,628 | 1,288 | 0.4% |
* PDC Energy Inc. | 18,655 | 1,261 | 0.4% |
* Oasis Petroleum Inc. | 77,592 | 1,099 | 0.3% |
Energy—Other † | 14,008 | 4.2% | |
17,656 | 5.3% | ||
Financial Services | |||
Webster Financial Corp. | 30,583 | 1,680 | 0.5% |
New Residential Investment Corp. | 99,229 | 1,674 | 0.5% |
Prosperity Bancshares Inc. | 22,321 | 1,664 | 0.5% |
PrivateBancorp Inc. | 26,126 | 1,479 | 0.5% |
Investors Bancorp Inc. | 99,263 | 1,452 | 0.4% |
Hudson Pacific Properties Inc. | 38,154 | 1,396 | 0.4% |
Umpqua Holdings Corp. | 73,718 | 1,387 | 0.4% |
* Texas Capital Bancshares Inc. | 15,309 | 1,365 | 0.4% |
Radian Group Inc. | 71,732 | 1,335 | 0.4% |
Hancock Holding Co. | 27,922 | 1,325 | 0.4% |
Wintrust Financial Corp. | 17,083 | 1,259 | 0.4% |
IBERIABANK Corp. | 14,757 | 1,251 | 0.4% |
CNO Financial Group Inc. | 59,626 | 1,247 | 0.4% |
Healthcare Realty Trust Inc. | 38,086 | 1,217 | 0.4% |
* MGIC Investment Corp. | 113,714 | 1,211 | 0.4% |
UMB Financial Corp. | 14,963 | 1,179 | 0.4% |
* Stifel Financial Corp. | 21,334 | 1,151 | 0.4% |
MB Financial Inc. | 25,265 | 1,137 | 0.3% |
23
Russell 2000 Value Index Fund | |||
Market | Percentage | ||
Value• | of Net | ||
Shares | ($000) | Assets | |
* Gramercy Property Trust | 39,940 | 1,117 | 0.3% |
Fulton Financial Corp. | 57,356 | 1,097 | 0.3% |
FNB Corp. | 69,900 | 1,088 | 0.3% |
Sunstone Hotel Investors Inc. | 72,582 | 1,071 | 0.3% |
Sterling Bancorp | 42,287 | 1,047 | 0.3% |
United Bankshares Inc. | 23,216 | 1,039 | 0.3% |
Washington Federal Inc. | 30,310 | 1,026 | 0.3% |
LaSalle Hotel Properties | 35,468 | 1,025 | 0.3% |
Valley National Bancorp | 82,348 | 1,019 | 0.3% |
Financial Services—Other † | 107,244 | 32.3% | |
141,182 | 42.5% | ||
Health Care † | 15,164 | 4.6% | |
Materials & Processing | |||
Olin Corp. | 55,155 | 1,714 | 0.5% |
Materials & Processing—Other † | 17,186 | 5.2% | |
18,900 | 5.7% | ||
1Other † | 28 | 0.0% | |
Producer Durables | |||
* XPO Logistics Inc. | 32,594 | 1,662 | 0.5% |
* Teledyne Technologies Inc. | 8,227 | 1,081 | 0.3% |
EMCOR Group Inc. | 16,818 | 1,034 | 0.3% |
Producer Durables—Other † | 38,503 | 11.6% | |
42,280 | 12.7% | ||
Technology | |||
* Advanced Micro Devices Inc. | 130,528 | 1,887 | 0.6% |
Mentor Graphics Corp. | 35,603 | 1,321 | 0.4% |
* Finisar Corp. | 35,819 | 1,199 | 0.4% |
SYNNEX Corp. | 9,724 | 1,137 | 0.3% |
* NetScout Systems Inc. | 29,886 | 1,104 | 0.3% |
MKS Instruments Inc. | 16,801 | 1,102 | 0.3% |
* CACI International Inc. Class A | 8,131 | 1,020 | 0.3% |
Technology—Other † | 24,733 | 7.5% | |
33,503 | 10.1% | ||
Utilities | |||
IDACORP Inc. | 16,847 | 1,397 | 0.4% |
Portland General Electric Co. | 29,840 | 1,353 | 0.4% |
WGL Holdings Inc. | 15,917 | 1,329 | 0.4% |
Southwest Gas Holdings Inc. | 14,083 | 1,204 | 0.4% |
ONE Gas Inc. | 17,368 | 1,138 | 0.4% |
Black Hills Corp. | 17,214 | 1,117 | 0.3% |
ALLETE Inc. | 16,562 | 1,113 | 0.3% |
New Jersey Resources Corp. | 26,259 | 1,035 | 0.3% |
Utilities—Other † | 12,566 | 3.8% | |
22,252 | 6.7% | ||
Total Common Stocks (Cost $285,599) | 329,988 | 99.4%2 |
24
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 | 0.864% | 38,442 | 3,845 | 1.2% |
5U.S. Government and Agency Obligations † | 100 | 0.0% | ||
Total Temporary Cash Investments (Cost $3,944) | 3,945 | 1.2%2 | ||
6Total Investments (Cost $289,543) | 333,933 | 100.6% | ||
Amount | ||||
($000) | ||||
Other Assets and Liabilities | ||||
Other Assets | ||||
Investment in Vanguard | 24 | |||
Receivables for Investment Securities Sold | 2,041 | |||
Receivables for Accrued Income | 250 | |||
Receivables for Capital Shares Issued | 373 | |||
Other Assets | 22 | |||
Total Other Assets | 2,710 | 0.8% | ||
Liabilities | ||||
Payables for Investment Securities Purchased | (2,029) | |||
Collateral for Securities on Loan | (2,653) | |||
Payables to Vanguard | (68) | |||
Other Liabilities | (20) | |||
Total Liabilities | (4,770) | (1.4%) | ||
Net Assets | 331,873 | 100.0% |
25
Russell 2000 Value Index Fund | |
At February 28, 2017, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 299,310 |
Undistributed Net Investment Income | 40 |
Accumulated Net Realized Losses | (11,872) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 44,390 |
Futures Contracts | 5 |
Net Assets | 331,873 |
ETF Shares—Net Assets | |
Applicable to 1,700,000 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 176,310 |
Net Asset Value Per Share—ETF Shares | $103.71 |
Institutional Shares—Net Assets | |
Applicable to 760,474 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 155,563 |
Net Asset Value Per Share—Institutional Shares | $204.56 |
• 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 0.7%, 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 $2,653,000 of collateral received for securities on loan.
5 Securities with a value of $100,000 have been segregated as initial margin for open futures contracts.
6 The total value of securities on loan is $2,308,000.
See accompanying Notes, which are an integral part of the Financial Statements.
26
Russell 2000 Value Index Fund
Statement of Operations
Six Months Ended | |
February 28, 2017 | |
($000) | |
Investment Income | |
Income | |
Dividends | 2,291 |
Interest1 | 4 |
Securities Lending—Net | 221 |
Total Income | 2,516 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 21 |
Management and Administrative—ETF Shares | 109 |
Management and Administrative—Institutional Shares | 23 |
Marketing and Distribution—ETF Shares | 6 |
Marketing and Distribution—Institutional Shares | 2 |
Custodian Fees | 45 |
Shareholders’ Reports—ETF Shares | 4 |
Shareholders’ Reports—Institutional Shares | — |
Total Expenses | 210 |
Net Investment Income | 2,306 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | 1,864 |
Futures Contracts | 188 |
Realized Net Gain (Loss) | 2,052 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 37,035 |
Futures Contracts | 9 |
Change in Unrealized Appreciation (Depreciation) | 37,044 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 41,402 |
1 Interest income and realized net gain (loss) from affiliated companies of the fund were $4,000, and $0, respectively. |
See accompanying Notes, which are an integral part of the Financial Statements.
27
Russell 2000 Value Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
February 28, | August 31, | |
2017 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 2,306 | 3,730 |
Realized Net Gain (Loss) | 2,052 | 1,305 |
Change in Unrealized Appreciation (Depreciation) | 37,044 | 23,037 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 41,402 | 28,072 |
Distributions | ||
Net Investment Income | ||
ETF Shares | (1,633) | (2,075) |
Institutional Shares | (1,760) | (2,259) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (3,393) | (4,334) |
Capital Share Transactions | ||
ETF Shares | 37,186 | 35,395 |
Institutional Shares | 7,491 | 45,812 |
Net Increase (Decrease) from Capital Share Transactions | 44,677 | 81,207 |
Total Increase (Decrease) | 82,686 | 104,945 |
Net Assets | ||
Beginning of Period | 249,187 | 144,242 |
End of Period1 | 331,873 | 249,187 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $40,000 and $1,127,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
28
Russell 2000 Value Index Fund
Financial Highlights
ETF Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $90.64 | $81.88 | $87.76 | $75.48 | $61.97 | $55.14 | |
Investment Operations | |||||||
Net Investment Income | .736 | 1.561 | 1.530 | 1.284 | 1.639 | 1.1261 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 13.471 | 9.305 | (5.907) | 12.219 | 13.109 | 6.424 | |
Total from Investment Operations | 14.207 | 10.866 | (4.377) | 13.503 | 14.748 | 7.550 | |
Distributions | |||||||
Dividends from Net Investment Income | (1.137) | (2.106) | (1.503) | (1.223) | (1.238) | (.720) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (1.137) | (2.106) | (1.503) | (1.223) | (1.238) | (.720) | |
Net Asset Value, End of Period | $103.71 | $90.64 | $81.88 | $87.76 | $75.48 | $61.97 | |
Total Return | 15.78% | 13.62% | -5.10% | 17.92% | 24.14% | 13.81% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $176 | $120 | $74 | $70 | $45 | $19 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.21% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.82% | 2.02% | 1.80% | 1.83% | 2.12% | 2.02% | |
Portfolio Turnover Rate 2 | 12% | 31% | 28% | 36% | 60% | 40% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
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.
29
Russell 2000 Value Index Fund
Financial Highlights
Institutional Shares | |||||||
Six Months | July 13, | ||||||
Ended | 20121 to | ||||||
For a Share Outstanding | February 28, | Year Ended August 31, | Aug. 31, | ||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $178.76 | $161.59 | $173.15 | $148.87 | $122.12 | $120.40 | |
Investment Operations | |||||||
Net Investment Income | 1.568 | 3.265 | 3.195 | 2.724 | 3.360 | .2762 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 26.574 | 18.355 | (11.619) | 24.103 | 25.888 | 1.444 | |
Total from Investment Operations | 28.142 | 21.620 | (8.424) | 26.827 | 29.248 | 1.720 | |
Distributions | |||||||
Dividends from Net Investment Income | (2.342) | (4.450) | (3.136) | (2.547) | (2.498) | — | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (2.342) | (4.450) | (3.136) | (2.547) | (2.498) | — | |
Net Asset Value, End of Period | $204.56 | $178.76 | $161.59 | $173.15 | $148.87 | $122.12 | |
Total Return | 15.84% | 13.76% | -4.97% | 18.07% | 24.29% | 1.43% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $156 | $129 | $71 | $82 | $51 | $6 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08%3 | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.95% | 2.14% | 1.92% | 1.95% | 2.24% | 2.14%3 | |
Portfolio Turnover Rate 4 | 12% | 31% | 28% | 36% | 60% | 40% |
The expense ratio, net investment 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.
30
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 are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The 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).
31
Russell 2000 Value Index Fund
During the six months ended February 28, 2017, 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.
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, 2013–2016), and for the period ended February 28, 2017, 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. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 28, 2017, or at any time during the period then ended.
32
Russell 2000 Value Index Fund
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.
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 28, 2017, the fund had contributed to Vanguard capital in the amount of $24,000, 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 28, 2017, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 329,977 | — | 11 |
Temporary Cash Investments | 3,845 | 100 | — |
Futures Contracts—Liabilities1 | (19) | — | — |
Total | 333,803 | 100 | 11 |
1 Represents variation margin on the last day of the reporting period. |
33
Russell 2000 Value Index Fund
D. At February 28, 2017, 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 2017 | 23 | 1,593 | 5 |
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 28, 2017, the fund realized $1,786,000 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, 2016, the fund had available capital losses totaling $12,141,000 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, 2017; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2017, the cost of investment securities for tax purposes was $289,551,000. Net unrealized appreciation of investment securities for tax purposes was $44,382,000, consisting of unrealized gains of $59,399,000 on securities that had risen in value since their purchase and $15,017,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 28, 2017, the fund purchased $66,350,000 of investment securities and sold $22,697,000 of investment securities, other than temporary cash investments. Purchases and sales include $37,176,000 and $5,186,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
34
Russell 2000 Value Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
February 28, 2017 | August 31, 2016 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 42,380 | 425 | 67,427 | 825 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (5,194) | (50) | (32,032) | (400) |
Net Increase (Decrease)—ETF Shares | 37,186 | 375 | 35,395 | 425 |
Institutional Shares | ||||
Issued | 19,419 | 98 | 69,100 | 433 |
Issued in Lieu of Cash Distributions | 1,536 | 8 | 2,218 | 14 |
Redeemed | (13,464) | (68) | (25,506) | (161) |
Net Increase (Decrease)—Institutional Shares | 7,491 | 38 | 45,812 | 286 |
H. Management has determined that no material events or transactions occurred subsequent to February 28, 2017, that would require recognition or disclosure in these financial statements.
35
Russell 2000 Growth Index Fund
Fund Profile
As of February 28, 2017
Share-Class Characteristics | ||
ETF | Institutional | |
Shares | Shares | |
Ticker Symbol | VTWG | VRTGX |
Expense Ratio1 | 0.20% | 0.08% |
30-Day SEC Yield | 0.57% | 0.70% |
Portfolio Characteristics | |||
DJ | |||
Russell | U.S. | ||
2000 | Total | ||
Growth | Market | ||
Fund | Index FA Index | ||
Number of Stocks | 1,171 | 1,164 | 3,807 |
Median Market Cap | $2.2B | $2.2B | $57.6B |
Price/Earnings Ratio | 43.4x | 43.1x | 24.8x |
Price/Book Ratio | 4.1x | 4.1x | 3.0x |
Return on Equity | 13.3% | 13.3% | 16.4% |
Earnings Growth Rate | 11.0% | 10.9% | 7.6% |
Dividend Yield | 0.8% | 0.8% | 1.9% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 16% | — | — |
Short-Term Reserves | 0.4% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. | |||
Russell | Total | ||
2000 | Market | ||
Growth | FA | ||
Fund | Index | Index | |
Consumer Discretionary 15.9% | 15.9% | 13.7% | |
Consumer Staples | 2.7 | 2.7 | 7.5 |
Energy | 1.0 | 1.0 | 6.2 |
Financial Services | 12.6 | 12.6 | 21.4 |
Health Care | 21.8 | 21.8 | 13.3 |
Materials & Processing | 10.0 | 10.0 | 3.9 |
Other | 0.1 | 0.0 | 0.0 |
Producer Durables | 14.3 | 14.3 | 10.9 |
Technology | 19.4 | 19.4 | 17.8 |
Utilities | 2.2 | 2.3 | 5.3 |
Volatility Measures | ||
DJ | ||
U.S. Total | ||
Russell 2000 | Market | |
Growth Index | FA Index | |
R-Squared | 1.00 | 0.74 |
Beta | 1.00 | 1.34 |
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) | ||
Microsemi Corp. | Semiconductors & | |
Components | 0.6% | |
TESARO Inc. | Biotechnology | 0.6 |
Advanced Micro Devices Semiconductors & | ||
Inc. | Components | 0.6 |
Chemours Co. | Chemicals: Specialty | 0.6 |
Bank of the Ozarks Inc. | Banks: Diversified | 0.5 |
LogMeIn Inc. | Computer Services | |
Software & Systems | 0.5 | |
Take-Two Interactive | Electronic | |
Software Inc. | Entertainment | 0.5 |
Aspen Technology Inc. | Computer Services | |
Software & Systems | 0.5 | |
Coherent Inc. | Electronics | 0.5 |
Fair Isaac Corp. | Financial Data & | |
Systems | 0.4 | |
Top Ten | 5.3% | |
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, 2016, and represent estimated costs for the current fiscal year. For the six
months ended February 28, 2017, the annualized expense ratios were 0.21% for ETF Shares and 0.08% for Institutional Shares.
36
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 28, 2017
Note: For 2017, performance data reflect the six months ended February 28, 2017.
Average Annual Total Returns: Periods Ended December 31, 2016
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 | 11.36% | 13.74% | 13.30% | |
Net Asset Value | 11.40 | 13.75 | 13.31 | |
Institutional Shares | 5/25/2011 | 11.54 | 13.89 | 10.30 |
See Financial Highlights for dividend and capital gains information.
37
Russell 2000 Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 28, 2017
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 | |||
* Tenneco Inc. | 27,839 | 1,790 | 0.4% |
* Bright Horizons Family Solutions Inc. | 21,675 | 1,498 | 0.3% |
Cracker Barrel Old Country Store Inc. | 8,990 | 1,447 | 0.3% |
Consumer Discretionary—Other † | 67,538 | 14.9% | |
72,273 | 15.9% | ||
Consumer Staples † | 12,317 | 2.7% | |
Energy † | 4,521 | 1.0% | |
Financial Services | |||
Bank of the Ozarks Inc. | 43,866 | 2,401 | 0.5% |
Fair Isaac Corp. | 15,330 | 1,994 | 0.5% |
DuPont Fabros Technology Inc. | 36,923 | 1,901 | 0.4% |
Primerica Inc. | 23,279 | 1,880 | 0.4% |
Home BancShares Inc. | 59,864 | 1,685 | 0.4% |
Evercore Partners Inc. Class A | 19,338 | 1,538 | 0.3% |
CoreSite Realty Corp. | 16,576 | 1,493 | 0.3% |
Financial Services—Other † | 44,424 | 9.8% | |
57,316 | 12.6% | ||
Health Care | |||
* TESARO Inc. | 14,130 | 2,662 | 0.6% |
HealthSouth Corp. | 43,939 | 1,860 | 0.4% |
* NuVasive Inc. | 24,458 | 1,829 | 0.4% |
* Masimo Corp. | 20,213 | 1,826 | 0.4% |
* PAREXEL International Corp. | 25,922 | 1,677 | 0.4% |
* Ultragenyx Pharmaceutical Inc. | 19,146 | 1,629 | 0.4% |
* Medicines Co. | 30,481 | 1,598 | 0.4% |
* Medidata Solutions Inc. | 27,153 | 1,518 | 0.3% |
* Exelixis Inc. | 69,540 | 1,497 | 0.3% |
38
Russell 2000 Growth Index Fund | |||
Market | Percentage | ||
Value• | of Net | ||
Shares | ($000) | Assets | |
* Prestige Brands Holdings Inc. | 26,270 | 1,487 | 0.3% |
Cantel Medical Corp. | 17,722 | 1,455 | 0.3% |
Health Care—Other † | 80,134 | 17.6% | |
99,172 | 21.8% | ||
Materials & Processing | |||
Chemours Co. | 75,641 | 2,546 | 0.6% |
US Silica Holdings Inc. | 36,781 | 1,860 | 0.4% |
Sensient Technologies Corp. | 21,999 | 1,759 | 0.4% |
* Louisiana-Pacific Corp. | 66,456 | 1,567 | 0.4% |
Belden Inc. | 20,714 | 1,463 | 0.3% |
Materials & Processing—Other † | 36,081 | 7.9% | |
45,276 | 10.0% | ||
1Other † | 212 | 0.1% | |
Producer Durables | |||
MAXIMUS Inc. | 31,730 | 1,893 | 0.4% |
Woodward Inc. | 26,175 | 1,844 | 0.4% |
Deluxe Corp. | 24,219 | 1,782 | 0.4% |
Littelfuse Inc. | 10,982 | 1,773 | 0.4% |
Curtiss-Wright Corp. | 15,886 | 1,554 | 0.3% |
Producer Durables—Other † | 55,947 | 12.3% | |
64,793 | 14.2% | ||
Technology | |||
* Microsemi Corp. | 56,354 | 2,920 | 0.6% |
* Advanced Micro Devices Inc. | 178,236 | 2,577 | 0.6% |
LogMeIn Inc. | 25,675 | 2,356 | 0.5% |
* Take-Two Interactive Software Inc. | 41,145 | 2,344 | 0.5% |
* Aspen Technology Inc. | 38,582 | 2,243 | 0.5% |
* Coherent Inc. | 12,014 | 2,194 | 0.5% |
* Cavium Inc. | 27,832 | 1,823 | 0.4% |
Science Applications International Corp. | 20,862 | 1,814 | 0.4% |
* Ciena Corp. | 68,024 | 1,792 | 0.4% |
* EPAM Systems Inc. | 23,812 | 1,753 | 0.4% |
* Universal Display Corp. | 20,504 | 1,740 | 0.4% |
Monolithic Power Systems Inc. | 19,272 | 1,695 | 0.4% |
* Cirrus Logic Inc. | 30,980 | 1,675 | 0.4% |
Blackbaud Inc. | 23,306 | 1,667 | 0.4% |
* Integrated Device Technology Inc. | 66,727 | 1,595 | 0.3% |
* Proofpoint Inc. | 20,159 | 1,588 | 0.3% |
* Ellie Mae Inc. | 16,225 | 1,550 | 0.3% |
* ViaSat Inc. | 22,341 | 1,538 | 0.3% |
Technology—Other † | 53,049 | 11.7% | |
87,913 | 19.3% | ||
Utilities | |||
j2 Global Inc. | 23,252 | 1,893 | 0.4% |
Utilities—Other † | 8,279 | 1.8% | |
10,172 | 2.2% | ||
Total Common Stocks (Cost $412,712) | 453,965 | 99.8%2 |
39
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 | 0.864% | 91,381 | 9,139 | 2.0% |
5U.S. Government and Agency Obligations † | 100 | 0.0% | ||
Total Temporary Cash Investments (Cost $9,238) | 9,239 | 2.0%2 | ||
6Total Investments (Cost $421,950) | 463,204 | 101.8% | ||
Amount | ||||
($000) | ||||
Other Assets and Liabilities | ||||
Other Assets | ||||
Investment in Vanguard | 32 | |||
Receivables for Investment Securities Sold | 1,009 | |||
Receivables for Accrued Income | 204 | |||
Receivables for Capital Shares Issued | 495 | |||
Other Assets | 47 | |||
Total Other Assets | 1,787 | 0.4% | ||
Liabilities | ||||
Payables for Investment Securities Purchased | (3,063) | |||
Collateral for Securities on Loan | (6,884) | |||
Payables for Capital Shares Redeemed | (2) | |||
Payables to Vanguard | (126) | |||
Other Liabilities | (17) | |||
Total Liabilities | (10,092) | (2.2%) | ||
Net Assets | 454,899 | 100.0% |
40
Russell 2000 Growth Index Fund | |
At February 28, 2017, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 458,184 |
Undistributed Net Investment Income | 204 |
Accumulated Net Realized Losses | (44,739) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 41,254 |
Futures Contracts | (4) |
Net Assets | 454,899 |
ETF Shares—Net Assets | |
Applicable to 1,575,000 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 183,093 |
Net Asset Value Per Share—ETF Shares | $116.25 |
Institutional Shares—Net Assets | |
Applicable to 1,227,344 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 271,806 |
Net Asset Value Per Share—Institutional Shares | $221.46 |
• 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 1.9%, 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 $6,884,000 of collateral received for securities on loan.
5 Securities with a value of $100,000 have been segregated as initial margin for open futures contracts.
6 The total value of securities on loan is $6,426,000.
See accompanying Notes, which are an integral part of the Financial Statements.
41
Russell 2000 Growth Index Fund
Statement of Operations
Six Months Ended | |
February 28, 2017 | |
($000) | |
Investment Income | |
Income | |
Dividends | 1,729 |
Interest1 | 6 |
Securities Lending—Net | 249 |
Total Income | 1,984 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 30 |
Management and Administrative—ETF Shares | 132 |
Management and Administrative—Institutional Shares | 61 |
Marketing and Distribution—ETF Shares | 6 |
Marketing and Distribution—Institutional Shares | 4 |
Custodian Fees | 24 |
Shareholders’ Reports—ETF Shares | 5 |
Shareholders’ Reports—Institutional Shares | — |
Total Expenses | 262 |
Net Investment Income | 1,722 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | 6,861 |
Futures Contracts | 268 |
Realized Net Gain (Loss) | 7,129 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 29,529 |
Futures Contracts | (47) |
Change in Unrealized Appreciation (Depreciation) | 29,482 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 38,333 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $6,000 and $0, respectively. |
See accompanying Notes, which are an integral part of the Financial Statements.
42
Russell 2000 Growth Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
February 28, | August 31, | |
2017 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,722 | 3,938 |
Realized Net Gain (Loss) | 7,129 | (1,392) |
Change in Unrealized Appreciation (Depreciation) | 29,482 | 6,601 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 38,333 | 9,147 |
Distributions | ||
Net Investment Income | ||
ETF Shares | (1,026) | (1,472) |
Institutional Shares | (1,700) | (2,744) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (2,726) | (4,216) |
Capital Share Transactions | ||
ETF Shares | 25,309 | (6,957) |
Institutional Shares | 30,974 | 29,431 |
Net Increase (Decrease) from Capital Share Transactions | 56,283 | 22,474 |
Total Increase (Decrease) | 91,890 | 27,405 |
Net Assets | ||
Beginning of Period | 363,009 | 335,604 |
End of Period1 | 454,899 | 363,009 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $204,000 and $1,208,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
43
Russell 2000 Growth Index Fund
Financial Highlights
ETF Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $106.98 | $104.34 | $99.83 | $85.58 | $67.37 | $60.02 | |
Investment Operations | |||||||
Net Investment Income | . 431 | . 989 | .680 | .646 | .699 | . 4021 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 9.575 | 2.721 | 4.471 | 14.153 | 18.073 | 7.133 | |
Total from Investment Operations | 10.006 | 3.710 | 5.151 | 14.799 | 18.772 | 7.535 | |
Distributions | |||||||
Dividends from Net Investment Income | (.736) | (1.070) | (. 641) | (. 549) | (. 562) | (.185) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (.736) | (1.070) | (. 641) | (. 549) | (. 562) | (.185) | |
Net Asset Value, End of Period | $116.25 | $106.98 | $104.34 | $99.83 | $85.58 | $67.37 | |
Total Return | 9.40% | 3.62% | 5.17% | 17.30% | 28.07% | 12.58% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $183 | $144 | $149 | $100 | $68 | $20 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.21% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 0.71% | 0.99% | 0.67% | 0.60% | 0.96% | 0.63% | |
Portfolio Turnover Rate2 | 16% | 33% | 34% | 35% | 50% | 51% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
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.
44
Russell 2000 Growth Index Fund
Financial Highlights
Institutional Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $203.79 | $198.85 | $190.26 | $162.99 | $128.23 | $114.21 | |
Investment Operations | |||||||
Net Investment Income | .946 | 2.121 | 1.478 | 1.412 | 1.412 | .8591 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 18.247 | 5.185 | 8.565 | 26.992 | 34.504 | 13.616 | |
Total from Investment Operations | 19.193 | 7.306 | 10.043 | 28.404 | 35.916 | 14.475 | |
Distributions | |||||||
Dividends from Net Investment Income | (1.523) | (2.366) | (1.453) | (1.134) | (1.156) | (.455) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (1.523) | (2.366) | (1.453) | (1.134) | (1.156) | (.455) | |
Net Asset Value, End of Period | $221.46 | $203.79 | $198.85 | $190.26 | $162.99 | $128.23 | |
Total Return | 9.46% | 3.74% | 5.29% | 17.44% | 28.23% | 12.72% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $272 | $219 | $187 | $171 | $185 | $87 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 0.84% | 1.11% | 0.79% | 0.72% | 1.08% | 0.75% | |
Portfolio Turnover Rate 2 | 16% | 33% | 34% | 35% | 50% | 51% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
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.
45
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 are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The 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).
46
Russell 2000 Growth Index Fund
During the six months ended February 28, 2017, 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.
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, 2013–2016), and for the period ended February 28, 2017, 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. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 28, 2017, or at any time during the period then ended.
47
Russell 2000 Growth Index Fund
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.
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 28, 2017, the fund had contributed to Vanguard capital in the amount of $32,000, 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 28, 2017, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 453,820 | 4 | 141 |
Temporary Cash Investments | 9,139 | 100 | — |
Futures Contracts—Liabilities1 | (17) | — | — |
Total | 462,942 | 104 | 141 |
1 Represents variation margin on the last day of the reporting period. |
48
Russell 2000 Growth Index Fund
D. At February 28, 2017, 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 2017 | 6 | 416 | (4) |
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 28, 2017, the fund realized $2,479,000 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, 2016, the fund had available capital losses totaling $49,347,000 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, 2017; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2017, the cost of investment securities for tax purposes was $421,950,000. Net unrealized appreciation of investment securities for tax purposes was $41,254,000, consisting of unrealized gains of $75,089,000 on securities that had risen in value since their purchase and $33,835,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 28, 2017, the fund purchased $96,368,000 of investment securities and sold $40,668,000 of investment securities, other than temporary cash investments. Purchases and sales include $33,568,000 and $8,286,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
49
Russell 2000 Growth Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
February 28, 2017 | August 31, 2016 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 33,649 | 300 | 125,137 | 1,275 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (8,340) | (75) | (132,094) | (1,350) |
Net Increase (Decrease)—ETF Shares | 25,309 | 225 | (6,957) | (75) |
Institutional Shares | ||||
Issued | 50,076 | 245 | 152,112 | 788 |
Issued in Lieu of Cash Distributions | 1,700 | 8 | 2,744 | 14 |
Redeemed | (20,802) | (98) | (125,425) | (669) |
Net Increase (Decrease)—Institutional Shares | 30,974 | 155 | 29,431 | 133 |
H. Management has determined that no material events or transactions occurred subsequent to February 28, 2017, that would require recognition or disclosure in these financial statements.
50
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.
51
Six Months Ended February 28, 2017 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
8/31/2016 | 2/28/2017 | Period | |
Based on Actual Fund Return | |||
Russell 2000 Index Fund | |||
ETF Shares | $1,000.00 | $1,126.20 | $0.84 |
Institutional Shares | 1,000.00 | 1,126.59 | 0.42 |
Russell 2000 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,157.82 | $1.12 |
Institutional Shares | 1,000.00 | 1,158.44 | 0.43 |
Russell 2000 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,094.01 | $1.09 |
Institutional Shares | 1,000.00 | 1,094.65 | 0.42 |
Based on Hypothetical 5% Yearly Return | |||
Russell 2000 Index Fund | |||
ETF Shares | $1,000.00 | $1,024.00 | $0.80 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
Russell 2000 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,023.75 | $1.05 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
Russell 2000 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,023.75 | $1.05 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
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, 0.16% for ETF Shares and 0.08% for Institutional Shares; for the Russell 2000 Value Index Fund,
0.21% for ETF Shares and 0.08% for Institutional Shares; and for the Russell 2000 Growth Index Fund, 0.21% for ETF Shares and 0.08% 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 (181/365).
52
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.
53
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.
54
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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 195 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
InterestedTrustee1
F. William McNabb III
Born 1957. Trustee Since July 2009. Chairman of the Board. Principal Occupation(s) During the Past Five Years and Other Experience: Chairman of the Board of The Vanguard Group, Inc., and of each of the investment companies served by The Vanguard Group, since January 2010; Director of The Vanguard Group since 2008; Chief Executive Officer and President of The Vanguard Group, and of each of the investment companies served by The Vanguard Group, since 2008; Director of Vanguard Marketing Corporation; Managing Director of The Vanguard Group (1995–2008).
IndependentTrustees
Emerson U. Fullwood
Born 1948. Trustee Since January 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Executive Chief Staff and Marketing Officer for North America and Corporate Vice President (retired 2008) of Xerox Corporation (document management products and services); Executive in Residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology; Lead Director of SPX FLOW, Inc. (multi-industry manufacturing); Director of the United Way of Rochester, the University of Rochester Medical Center, Monroe Community College Foundation, North Carolina A&T University, and Roberts Wesleyan College.
Rajiv L. Gupta
Born 1945. Trustee Since December 2001.2 Principal Occupation(s) During the Past Five Years and Other Experience: Chairman and Chief Executive Officer (retired 2009) and President (2006–2008) of Rohm and Haas Co. (chemicals); Director of Arconic Inc. (diversified manufacturer), HP Inc. (printer and personal computer manufacturing), and Delphi Automotive plc (automotive components); Senior Advisor at New Mountain Capital.
Amy Gutmann
Born 1949. Trustee Since June 2006. Principal Occupation(s) During the Past Five Years and Other Experience: President of the University of Pennsylvania; Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and Professor of Communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania; Trustee of the National Constitution Center; Chair of the Presidential Commission for the Study of Bioethical Issues.
JoAnn Heffernan Heisen
Born 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years and Other Experience: Corporate Vice President and Chief Global Diversity Officer (retired 2008) and 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
Born 1949. Trustee Since October 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2009) of Cummins Inc. (industrial machinery); Chairman of the Board of Hillenbrand, Inc. (specialized consumer services), Oxfam America, and the Lumina
Foundation for Education; Director of SKF AB (industrial machinery), Hyster-Yale Materials Handling, Inc. (forklift trucks), and the V Foundation for Cancer Research; Member of the Advisory Council for the College of Arts and Letters and Chair of the Advisory Board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born 1953. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Senior Vice President and Chief Financial Officer (retired 2013) at IBM (information technology services); Fiduciary Member of IBM’s Retirement Plan Committee (2004–2013); Director of the Dow Chemical Company; Member of the Council on Chicago Booth.
Scott C. Malpass
Born 1962. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Chief Investment Officer and Vice President at the University of Notre Dame; Assistant Professor of Finance at the Mendoza College of Business at Notre Dame; Member of the Notre Dame 403(b) Investment Committee, the Board of Advisors for Spruceview Capital Partners, and the Investment Advisory Committee of Major League Baseball; Board Member of TIFF Advisory Services, Inc., and Catholic Investment Services, Inc. (investment advisors); Member of the Board of Superintendence of the Institute for the Works of Religion.
André F. Perold
Born 1952. Trustee Since December 2004. Principal Occupation(s) During the Past Five Years and Other Experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011); Chief Investment Officer and Co-Managing Partner of HighVista Strategies LLC (private investment firm); Overseer of the Museum of Fine Arts Boston.
Peter F. Volanakis
Born 1955. Trustee Since July 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2010) of Corning Incorporated (communications equipment); Chairman of the Board of Trustees of Colby-Sawyer College; Member of the Board of Hypertherm, Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born 1967. Investment Stewardship Officer Since February 2017. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Treasurer (2015–2017), Controller (2010–2015), and Assistant Controller (2001–2010) of each of the investment companies served by The Vanguard Group.
Thomas J. Higgins
Born 1957. Chief Financial Officer Since September 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Chief Financial Officer of each of the investment companies served by The Vanguard Group; Treasurer of each of the investment companies served by The Vanguard Group (1998–2008).
Peter Mahoney
Born 1974. Controller Since May 2015. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Controller of each of the investment companies served by The Vanguard Group; Head of International Fund Services at The Vanguard Group (2008–2014).
Anne E. Robinson
Born 1970. Secretary Since September 2016. Principal Occupation(s) During the Past Five Years and Other Experience: Managing Director of The Vanguard Group, Inc.; General Counsel of The Vanguard Group; Secretary of The Vanguard Group and of each of the investment companies served by The Vanguard Group; Director and Senior Vice President of Vanguard Marketing Corporation; Managing Director and General Counsel of Global Cards and Consumer Services at Citigroup (2014–2016); Counsel at American Express (2003–2014).
Michael Rollings
Born 1963. Treasurer Since February 2017. Principal Occupation(s) During the Past Five Years and Other Experience: Managing Director of The Vanguard Group, Inc.; Treasurer of each of the investment companies served by The Vanguard Group; Executive Vice President and Chief Financial Officer of MassMutual Financial Group (2006–2016).
Vanguard Senior Management Team | |
Mortimer J. Buckley | James M. Norris |
John James | Thomas M. Rampulla |
Martha G. King | Glenn W. Reed |
John T. Marcante | Karin A. Risi |
Chris D. McIsaac | |
Chairman Emeritus and Senior Advisor | |
John J. Brennan | |
Chairman, 1996–2009 | |
Chief Executive Officer and President, 1996–2008 | |
Founder | |
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 |
Direct Investor Account Services > 800-662-2739 | trademarks of Russell Investments and have been |
licensed for use by The Vanguard Group, Inc. The | |
Institutional Investor Services > 800-523-1036 | products are not sponsored, endorsed, sold, or |
Text Telephone for People | promoted by Russell Investments and Russell |
Who Are Deaf or Hard of Hearing > 800-749-7273 | Investments makes no representation regarding the |
advisability of investing in the products. | |
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. | |
© 2017 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q18512 042017 |
Semiannual Report | February 28, 2017
Vanguard Russell 3000 Index Fund
A new format, unwavering commitment
As you begin reading this report, you’ll notice that we’ve made some improvements to the opening sections—based on feedback from you, our clients.
Page 1 starts with a new ”Your Fund’s Performance at a Glance,” a concise, handy summary of how your fund performed during the period.
In the renamed ”Chairman’s Perspective,” Bill McNabb will focus on enduring principles and investment insights.
We’ve modified some tables, and eliminated some redundancy, but we haven’t removed any information.
At Vanguard, we’re always looking for better ways to communicate and to help you make sound investment decisions. Thank you for entrusting your assets to us.
Contents | |
Your Fund’s Performance at a Glance. | 1 |
Chairman’s Perspective. | 3 |
Fund Profile. | 6 |
Performance Summary. | 7 |
Financial Statements. | 8 |
About Your Fund’s Expenses. | 21 |
Glossary. | 23 |
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: No matter what language you speak, Vanguard has one consistent message and set of principles. Our primary
focus is on you, our clients. We conduct our business with integrity as a faithful steward of your assets. This message is shown
translated into seven languages, reflecting our expanding global presence.
Your Fund’s Performance at a Glance
• Vanguard Russell 3000 Index Fund, which represents the broad U.S. stock market, returned more than 10% for the six months ended February 28, 2017. The fund’s return was in line with that of its benchmark index and exceeded the average return of its multicapitalization core peers.
• In general for the period, small-cap stocks outperformed large-caps, and value stocks topped growth.
• Amid a broad stock market rally, each of the Russell 3000 Index Fund’s nine industry sectors produced positive results. Financial services stocks, which accounted for about 22% of the index, contributed most to performance. Technology and producer durables also helped drive returns.
• The consumer staples, utilities, and energy sectors contributed the least to performance.
Total Returns: Six Months Ended February 28, 2017 | |
Total | |
Returns | |
Vanguard Russell 3000 Index Fund | |
ETF Shares | |
Market Price | 10.21% |
Net Asset Value | 10.23 |
Institutional Shares | 10.27 |
Russell 3000 Index | 10.29 |
Multi-Cap Core Funds Average | 9.34 |
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.
1
Expense Ratios | |||
Your Fund Compared With Its Peer Group | |||
ETF | Institutional | Peer Group | |
Shares | Shares | Average | |
Russell 3000 Index Fund | 0.15% | 0.08% | 1.12% |
The fund expense ratios shown are from the prospectus dated December 22, 2016, and represent estimated costs for the current fiscal year.
For the six months ended February 28, 2017, the annualized expense ratios were 0.16% for ETF Shares and 0.08% 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 2016.
Peer group: Multi-Cap Core Funds.
2
Chairman’s Perspective
Bill McNabb
Chairman and Chief Executive Officer
Dear Shareholder,
More than a decade ago, a Vanguard client asked us to help improve its defined contribution retirement plan. New hires were participating in the plan at lower rates than in previous years, and the client wanted to reverse this trend. Another priority was to help more participants invest their retirement savings in balanced portfolios.
The overall goal of this longtime client: Give employees a better chance to achieve financial security in retirement.
Today, that plan automatically enrolls employees at a 5% contribution rate, puts them in a low-cost target-date fund that takes on less risk as they near retirement, and offers a comprehensive suite of advice services. On top of that, employees get an employer contribution of 5% and are eligible for a company match.
Because of this combination of attractive features and generous employer contributions, nearly all new hires now participate in the plan, 81% of plan participants invest their retirement savings in balanced portfolios, and 87% of participants meet or exceed Vanguard’s recommended total retirement savings target. (Vanguard generally recommends that retirement investors save 12%–15% of pay, including company matches.)
3
Changing the retirement landscape
Am I singling out an isolated Vanguard success story? Absolutely not.
Stories like these are becoming increasingly common with employer-based retirement plans, particularly among large and midsize companies. Solutions such as automatic enrollment, automatic contribution increases, and default investment in target-date funds are having a positive effect.
Insights from the relatively new discipline of behavioral finance have contributed to the advances. Simply put, retirement plans are making natural human inertia work for future retirees, rather than against them, by putting savings on autopilot as much as possible.
More than 60% of Vanguard participants are in plans with automatic enrollment, which has led to a big jump in participation. Today, more than four-fifths of eligible employees are saving for retirement, compared with only two-thirds ten years ago.
In addition, many plans have adopted automatic-escalation features, which increase plan contributions at regular intervals until a maximum level is reached or an employee opts out. Automatic increases are a crucial tool for boosting retirement savings rates.
The growing use of target-date funds is another enormous benefit. More than 70% of all participants in Vanguard plans invest at least part of their retirement savings in
Market Barometer | |||
Total Returns | |||
Periods Ended February 28, 2017 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 10.10% | 25.53% | 13.94% |
Russell 2000 Index (Small-caps) | 12.61 | 36.11 | 12.89 |
Russell 3000 Index (Broad U.S. market) | 10.29 | 26.29 | 13.85 |
FTSE All-World ex US Index (International) | 5.40 | 19.87 | 4.00 |
Bonds | |||
Bloomberg Barclays U.S. Aggregate Bond Index | |||
(Broad taxable market) | -2.19% | 1.42% | 2.24% |
Bloomberg Barclays Municipal Bond Index | |||
(Broad tax-exempt market) | -2.80 | 0.25 | 3.07 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.19 | 0.32 | 0.10 |
CPI | |||
Consumer Price Index | 1.14% | 2.74% | 1.36% |
4
these age-appropriate, diversified strategies. And nearly 50% of Vanguard participants are invested solely in a single target-date fund.
Consider a do-it-yourself autopilot
But what if you don’t have access to a world-class, employer-based retirement plan? Unfortunately, not everyone does, which is an important policy issue.
However, you can still put the features of these plans to work. For example, you can set up automatic contributions from your paycheck to an IRA. And you can adopt your own automatic escalation by investing any pay raises.
You can also take a page from top-quality retirement plans by considering a low-cost, globally diversified target-date fund. The beauty of this approach is that you don’t need to remember to rebalance your portfolio—the fund does it for you.
Of course, you can take a more active role in picking your own investments, and this can be a good choice for some. But keep in mind the lessons from successful employer-based plans: Busy workers, faced with a lot of competing priorities, are often best served by putting their retirement savings on autopilot.
Winning by default
In highlighting some recent successes in retirement savings, I don’t want to minimize the challenges we still face. We’re living in a slow-growth, uncertain world, and investment returns for both stocks and bonds could well be modest in the coming decade.
But I believe the innovations we’ve seen in the last ten years in many retirement plans—you might call it the “default revolution”—point the way toward a solution. And that even goes for people whose employers don’t have a world-class retirement plan.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
March 14, 2017
5
Russell 3000 Index Fund
Fund Profile
As of February 28, 2017
Share-Class Characteristics | ||
ETF | Institutional | |
Shares | Shares | |
Ticker Symbol | VTHR | VRTTX |
Expense Ratio1 | 0.15% | 0.08% |
30-Day SEC Yield | 1.78% | 1.84% |
Portfolio Characteristics | |||
DJ | |||
Russell | U.S. Total | ||
3000 | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 2,801 | 2,957 | 3,807 |
Median Market Cap | $58.9B | $58.9B | $57.6B |
Price/Earnings Ratio | 24.7x | 24.7x | 24.8x |
Price/Book Ratio | 3.0x | 3.0x | 3.0x |
Return on Equity | 16.7% | 16.5% | 16.4% |
Earnings Growth | |||
Rate | 7.5% | 7.8% | 7.6% |
Dividend Yield | 1.9% | 1.9% | 1.9% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 23% | — | — |
Short-Term Reserves | -0.1% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. | |||
Total | |||
Russell | Market | ||
3000 | FA | ||
Fund | Index | Index | |
Consumer Discretionary | 13.7% | 13.7% | 13.7% |
Consumer Staples | 7.5 | 7.5 | 7.5 |
Energy | 6.1 | 6.1 | 6.2 |
Financial Services | 21.5 | 21.5 | 21.4 |
Health Care | 13.3 | 13.3 | 13.3 |
Materials & Processing | 3.9 | 3.9 | 3.9 |
Producer Durables | 11.0 | 11.0 | 10.9 |
Technology | 17.6 | 17.6 | 17.8 |
Utilities | 5.4 | 5.4 | 5.3 |
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 | 3.0% | |
Alphabet Inc. | Computer Services | |
Software & Systems | 2.0 | |
Microsoft Corp. | Computer Services | |
Software & Systems | 2.0 | |
Exxon Mobil Corp. | Oil: Integrated | 1.4 |
Johnson & Johnson | Pharmaceuticals | 1.4 |
Amazon.com Inc. | Diversified Retail | 1.3 |
JPMorgan Chase & Co. | Diversified Financial | |
Services | 1.3 | |
Berkshire Hathaway Inc. Insurance: Multi-line | 1.3 | |
Facebook Inc. | Computer Services | |
Software & Systems | 1.2 | |
General Electric Co. | Diversified | |
Manufacturing | ||
Operations | 1.1 | |
Top Ten | 16.0% | |
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, 2016, and represent estimated costs for the current fiscal year. For the six
months ended February 28, 2017, the annualized expense ratios were 0.16% for ETF Shares and 0.08% for Institutional Shares.
6
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 28, 2017
Note: For 2017, performance data reflect the six months ended February 28, 2017.
Average Annual Total Returns: Periods Ended December 31, 2016
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 | 12.53% | 14.51% | 13.54% | |
Net Asset Value | 12.48 | 14.48 | 13.52 | |
Institutional Shares | 11/1/2010 | 12.56 | 14.57 | 13.13 |
See Financial Highlights for dividend and capital gains information.
7
Russell 3000 Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 28, 2017
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. | 19,455 | 16,440 | 1.4% |
Home Depot Inc. | 62,299 | 9,028 | 0.7% |
Comcast Corp. Class A | 240,979 | 9,017 | 0.7% |
Walt Disney Co. | 81,211 | 8,941 | 0.7% |
Wal-Mart Stores Inc. | 75,843 | 5,380 | 0.5% |
McDonald’s Corp. | 41,617 | 5,312 | 0.4% |
Consumer Discretionary—Other † | 114,678 | 9.3% | |
168,796 | 13.7% | ||
Consumer Staples | |||
Procter & Gamble Co. | 127,175 | 11,582 | 0.9% |
Philip Morris International Inc. | 77,462 | 8,470 | 0.7% |
Coca-Cola Co. | 194,716 | 8,170 | 0.7% |
PepsiCo Inc. | 71,424 | 7,884 | 0.6% |
Altria Group Inc. | 95,993 | 7,192 | 0.6% |
CVS Health Corp. | 53,795 | 4,335 | 0.3% |
Consumer Staples—Other † | 44,096 | 3.6% | |
91,729 | 7.4% | ||
Energy | |||
Exxon Mobil Corp. | 208,627 | 16,966 | 1.4% |
Chevron Corp. | 94,108 | 10,587 | 0.9% |
Schlumberger Ltd. | 69,732 | 5,604 | 0.4% |
Energy—Other † | 42,280 | 3.4% | |
75,437 | 6.1% | ||
Financial Services | |||
JPMorgan Chase & Co. | 180,426 | 16,350 | 1.3% |
* Berkshire Hathaway Inc. Class B | 93,600 | 16,045 | 1.3% |
Wells Fargo & Co. | 228,447 | 13,223 | 1.1% |
Bank of America Corp. | 513,418 | 12,671 | 1.0% |
Visa Inc. Class A | 95,377 | 8,387 | 0.7% |
Citigroup Inc. | 138,469 | 8,282 | 0.7% |
8
Russell 3000 Index Fund | |||
Market | Percentage | ||
Value• | of Net | ||
Shares | ($000) | Assets | |
Mastercard Inc. Class A | 47,896 | 5,291 | 0.4% |
Goldman Sachs Group Inc. | 19,261 | 4,778 | 0.4% |
Financial Services—Other † | 179,363 | 14.6% | |
264,390 | 21.5% | ||
Health Care | |||
Johnson & Johnson | 137,581 | 16,814 | 1.4% |
Pfizer Inc. | 300,348 | 10,248 | 0.8% |
Merck & Co. Inc. | 138,710 | 9,137 | 0.7% |
UnitedHealth Group Inc. | 46,919 | 7,759 | 0.6% |
Amgen Inc. | 37,929 | 6,696 | 0.5% |
Medtronic plc | 70,480 | 5,703 | 0.5% |
AbbVie Inc. | 80,854 | 5,000 | 0.4% |
* Celgene Corp. | 39,052 | 4,823 | 0.4% |
Bristol-Myers Squibb Co. | 83,379 | 4,728 | 0.4% |
Gilead Sciences Inc. | 66,089 | 4,658 | 0.4% |
Health Care—Other † | 87,710 | 7.1% | |
163,276 | 13.2% | ||
Materials & Processing † | 48,105 | 3.9% | |
1Other † | 41 | 0.0% | |
Producer Durables | |||
General Electric Co. | 458,942 | 13,681 | 1.1% |
3M Co. | 29,058 | 5,415 | 0.4% |
Boeing Co. | 29,815 | 5,374 | 0.4% |
Honeywell International Inc. | 38,096 | 4,743 | 0.4% |
Union Pacific Corp. | 42,265 | 4,562 | 0.4% |
United Technologies Corp. | 38,723 | 4,358 | 0.4% |
Producer Durables—Other † | 97,334 | 7.9% | |
135,467 | 11.0% | ||
Technology | |||
Apple Inc. | 273,959 | 37,530 | 3.0% |
Microsoft Corp. | 379,118 | 24,256 | 2.0% |
* Facebook Inc. Class A | 112,183 | 15,205 | 1.2% |
* Alphabet Inc. Class C | 14,967 | 12,321 | 1.0% |
* Alphabet Inc. Class A | 14,540 | 12,285 | 1.0% |
Cisco Systems Inc. | 251,825 | 8,607 | 0.7% |
Intel Corp. | 236,143 | 8,548 | 0.7% |
International Business Machines Corp. | 43,785 | 7,873 | 0.6% |
Oracle Corp. | 148,208 | 6,312 | 0.5% |
Technology—Other † | 83,335 | 6.8% | |
216,272 | 17.5% | ||
Utilities | |||
AT&T Inc. | 308,431 | 12,889 | 1.1% |
Verizon Communications Inc. | 204,336 | 10,141 | 0.8% |
Utilities—Other † | 42,977 | 3.5% | |
66,007 | 5.4% | ||
Total Common Stocks (Cost $1,061,786) | 1,229,520 | 99.7%2 |
9
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 | 0.864% | 33,221 | 3,322 | 0.3% |
5U.S. Government and Agency Obligations † | 300 | 0.0% | ||
Total Temporary Cash Investments (Cost $3,622) | 3,622 | 0.3%2 | ||
6Total Investments (Cost $1,065,408) | 1,233,142 | 100.0% | ||
Amount | ||||
($000) | ||||
Other Assets and Liabilities | ||||
Other Assets | ||||
Investment in Vanguard | 84 | |||
Receivables for Investment Securities Sold | 6,290 | |||
Receivables for Accrued Income | 2,250 | |||
Receivables for Capital Shares Issued | 19 | |||
Other Assets4 | 138 | |||
Total Other Assets | 8,781 | 0.7% | ||
Liabilities | ||||
Payables for Investment Securities Purchased | (6,353) | |||
Collateral for Securities on Loan | (1,960) | |||
Payables for Capital Shares Redeemed | (606) | |||
Payables to Vanguard | (292) | |||
Other Liabilities | (8) | |||
Total Liabilities | (9,219) | (0.7%) | ||
Net Assets | 1,232,704 | 100.0% |
10
Russell 3000 Index Fund | |
At February 28, 2017, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 1,086,288 |
Undistributed Net Investment Income | 2,776 |
Accumulated Net Realized Losses | (24,213) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 167,734 |
Futures Contracts | 119 |
Net Assets | 1,232,704 |
ETF Shares—Net Assets | |
Applicable to 2,900,000 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 315,552 |
Net Asset Value Per Share—ETF Shares | $108.81 |
Institutional Shares—Net Assets | |
Applicable to 4,354,610 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 917,152 |
Net Asset Value Per Share—Institutional Shares | $210.62 |
• 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 0.0%, 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 a portion of $1,960,000 of collateral received for securities on loan.
5 Securities with a value of $300,000 have been segregated as initial margin for open futures contracts.
6 The total value of securities on loan is $1,794,000.
See accompanying Notes, which are an integral part of the Financial Statements.
11
Russell 3000 Index Fund | |
Statement of Operations | |
Six Months Ended | |
February 28, 2017 | |
($000) | |
Investment Income | |
Income | |
Dividends | 10,983 |
Interest1 | 12 |
Securities Lending—Net | 70 |
Total Income | 11,065 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 80 |
Management and Administrative—ETF Shares | 133 |
Management and Administrative—Institutional Shares | 102 |
Marketing and Distribution—ETF Shares | 12 |
Marketing and Distribution—Institutional Shares | 13 |
Custodian Fees | 219 |
Shareholders’ Reports—ETF Shares | 3 |
Shareholders’ Reports—Institutional Shares | — |
Total Expenses | 562 |
Net Investment Income | 10,503 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | (515) |
Futures Contracts | 271 |
Realized Net Gain (Loss) | (244) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 101,388 |
Futures Contracts | 95 |
Change in Unrealized Appreciation (Depreciation) | 101,483 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 111,742 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $11,000 and ($2,000), respectively.
See accompanying Notes, which are an integral part of the Financial Statements.
12
Russell 3000 Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
February 28, | August 31, | |
2017 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 10,503 | 20,351 |
Realized Net Gain (Loss) | (244) | 37,590 |
Change in Unrealized Appreciation (Depreciation) | 101,483 | 58,583 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 111,742 | 116,524 |
Distributions | ||
Net Investment Income | ||
ETF Shares | (3,051) | (3,948) |
Institutional Shares | (9,230) | (15,210) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (12,281) | (19,158) |
Capital Share Transactions | ||
ETF Shares | 7,603 | 90,853 |
Institutional Shares | (2,936) | (16,462) |
Net Increase (Decrease) from Capital Share Transactions | 4,667 | 74,391 |
Total Increase (Decrease) | 104,128 | 171,757 |
Net Assets | ||
Beginning of Period | 1,128,576 | 956,819 |
End of Period1 | 1,232,704 | 1,128,576 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $2,776,000 and $4,554,000.
See accompanying Notes, which are an integral part of the Financial Statements.
13
Russell 3000 Index Fund | |||||||
Financial Highlights | |||||||
ETF Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $99.77 | $91.43 | $92.82 | $75.79 | $64.28 | $55.97 | |
Investment Operations | |||||||
Net Investment Income | .913 | 1.850 | 1.649 | 1.485 | 1.313 | 1.037 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 9.202 | 8.248 | (1.396) | 17.004 | 11.484 | 8.255 | |
Total from Investment Operations | 10.115 | 10.098 | .253 | 18.489 | 12.797 | 9.292 | |
Distributions | |||||||
Dividends from Net Investment Income | (1.075) | (1.758) | (1.643) | (1.459) | (1.287) | (.982) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (1.075) | (1.758) | (1.643) | (1.459) | (1.287) | (.982) | |
Net Asset Value, End of Period | $108.81 | $99.77 | $91.43 | $92.82 | $75.79 | $64.28 | |
Total Return | 10.23% | 11.20% | 0.21% | 24.58% | 20.14% | 16.80% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $316 | $282 | $169 | $121 | $76 | $39 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.16% | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.84% | 1.98% | 1.76% | 1.77% | 2.03% | 1.99% | |
Portfolio Turnover Rate1 | 23% | 8% | 4% | 8% | 16% | 20% |
The expense ratio, net investment 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.
14
Russell 3000 Index Fund | |||||||
Financial Highlights | |||||||
Institutional Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $193.10 | $176.98 | $179.64 | $146.68 | $124.40 | $108.32 | |
Investment Operations | |||||||
Net Investment Income | 1.841 | 3.689 | 3.318 | 2.986 | 2.630 | 2.087 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 17.822 | 15.965 | (2.689) | 32.903 | 22.226 | 15.972 | |
Total from Investment Operations | 19.663 | 19.654 | .629 | 35.889 | 24.856 | 18.059 | |
Distributions | |||||||
Dividends from Net Investment Income | (2.143) | (3.534) | (3.289) | (2.929) | (2.576) | (1.979) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (2.143) | (3.534) | (3.289) | (2.929) | (2.576) | (1.979) | |
Net Asset Value, End of Period | $210.62 | $193.10 | $176.98 | $179.64 | $146.68 | $124.40 | |
Total Return | 10.27% | 11.28% | 0.30% | 24.66% | 20.21% | 16.89% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $917 | $847 | $788 | $600 | $426 | $126 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.92% | 2.05% | 1.83% | 1.84% | 2.10% | 2.06% | |
Portfolio Turnover Rate1 | 23% | 8% | 4% | 8% | 16% | 20% |
The expense ratio, net investment 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.
15
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 are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The 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 28, 2017, 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.
16
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, 2013–2016), and for the period ended February 28, 2017, 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. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 28, 2017, 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.
17
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 28, 2017, the fund had contributed to Vanguard capital in the amount of $84,000, 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 28, 2017, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 1,229,507 | — | 13 |
Temporary Cash Investments | 3,322 | 300 | — |
Futures Contracts—Liabilities1 | (8) | — | — |
Total | 1,232,821 | 300 | 13 |
1 Represents variation margin on the last day of the reporting period. |
18
Russell 3000 Index Fund
D. At February 28, 2017, 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 2017 | 28 | 3,308 | 119 |
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 28, 2017, the fund realized $1,272,000 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, 2016, the fund had available capital losses totaling $22,673,000 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, 2017; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2017, the cost of investment securities for tax purposes was $1,065,409,000. Net unrealized appreciation of investment securities for tax purposes was $167,733,000, consisting of unrealized gains of $201,757,000 on securities that had risen in value since their purchase and $34,024,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 28, 2017, the fund purchased $145,849,000 of investment securities and sold $141,598,000 of investment securities, other than temporary cash investments. Purchases and sales include $12,569,000 and $4,969,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
19
Russell 3000 Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
February 28, 2017 | August 31, 2016 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 12,575 | 125 | 356,389 | 3,775 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (4,972) | (50) | (265,536) | (2,800) |
Net Increase (Decrease)—ETF Shares | 7,603 | 75 | 90,853 | 975 |
Institutional Shares | ||||
Issued | 88,095 | 435 | 203,851 | 1,138 |
Issued in Lieu of Cash Distributions | 8,974 | 46 | 14,875 | 83 |
Redeemed | (100,005) | (511) | (235,188) | (1,287) |
Net Increase (Decrease) —Institutional Shares | (2,936) | (30) | (16,462) | (66) |
H. Management has determined that no material events or transactions occurred subsequent to February 28, 2017, that would require recognition or disclosure in these financial statements.
20
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.
21
Six Months Ended February 28, 2017 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
Russell 3000 Index Fund | 8/31/2016 | 2/28/2017 | Period |
Based on Actual Fund Return | |||
ETF Shares | $1,000.00 | $1,102.26 | $0.83 |
Institutional Shares | 1,000.00 | 1,102.68 | 0.42 |
Based on Hypothetical 5% Yearly Return | |||
ETF Shares | $1,000.00 | $1,024.00 | $0.80 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
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 0.16% for ETF Shares and 0.08% 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 (181/365).
22
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.
23
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.
24
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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 195 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
InterestedTrustee1
F. William McNabb III
Born 1957. Trustee Since July 2009. Chairman of the Board. Principal Occupation(s) During the Past Five Years and Other Experience: Chairman of the Board of The Vanguard Group, Inc., and of each of the investment companies served by The Vanguard Group, since January 2010; Director of The Vanguard Group since 2008; Chief Executive Officer and President of The Vanguard Group, and of each of the investment companies served by The Vanguard Group, since 2008; Director of Vanguard Marketing Corporation; Managing Director of The Vanguard Group (1995–2008).
IndependentTrustees
Emerson U. Fullwood
Born 1948. Trustee Since January 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Executive Chief Staff and Marketing Officer for North America and Corporate Vice President (retired 2008) of Xerox Corporation (document management products and services); Executive in Residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology; Lead Director of SPX FLOW, Inc. (multi-industry manufacturing); Director of the United Way of Rochester, the University of Rochester Medical Center, Monroe Community College Foundation, North Carolina A&T University, and Roberts Wesleyan College.
Rajiv L. Gupta
Born 1945. Trustee Since December 2001.2 Principal Occupation(s) During the Past Five Years and Other Experience: Chairman and Chief Executive Officer (retired 2009) and President (2006–2008) of Rohm and Haas Co. (chemicals); Director of Arconic Inc. (diversified manufacturer), HP Inc. (printer and personal computer manufacturing), and Delphi Automotive plc (automotive components); Senior Advisor at New Mountain Capital.
Amy Gutmann
Born 1949. Trustee Since June 2006. Principal Occupation(s) During the Past Five Years and Other Experience: President of the University of Pennsylvania; Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and Professor of Communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania; Trustee of the National Constitution Center; Chair of the Presidential Commission for the Study of Bioethical Issues.
JoAnn Heffernan Heisen
Born 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years and Other Experience: Corporate Vice President and Chief Global Diversity Officer (retired 2008) and 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
Born 1949. Trustee Since October 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2009) of Cummins Inc. (industrial machinery); Chairman of the Board of Hillenbrand, Inc. (specialized consumer services), Oxfam America, and the Lumina
Foundation for Education; Director of SKF AB (industrial machinery), Hyster-Yale Materials Handling, Inc. (forklift trucks), and the V Foundation for Cancer Research; Member of the Advisory Council for the College of Arts and Letters and Chair of the Advisory Board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born 1953. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Senior Vice President and Chief Financial Officer (retired 2013) at IBM (information technology services); Fiduciary Member of IBM’s Retirement Plan Committee (2004–2013); Director of the Dow Chemical Company; Member of the Council on Chicago Booth.
Scott C. Malpass
Born 1962. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Chief Investment Officer and Vice President at the University of Notre Dame; Assistant Professor of Finance at the Mendoza College of Business at Notre Dame; Member of the Notre Dame 403(b) Investment Committee, the Board of Advisors for Spruceview Capital Partners, and the Investment Advisory Committee of Major League Baseball; Board Member of TIFF Advisory Services, Inc., and Catholic Investment Services, Inc. (investment advisors); Member of the Board of Superintendence of the Institute for the Works of Religion.
André F. Perold
Born 1952. Trustee Since December 2004. Principal Occupation(s) During the Past Five Years and Other Experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011); Chief Investment Officer and Co-Managing Partner of HighVista Strategies LLC (private investment firm); Overseer of the Museum of Fine Arts Boston.
Peter F. Volanakis
Born 1955. Trustee Since July 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2010) of Corning Incorporated (communications equipment); Chairman of the Board of Trustees of Colby-Sawyer College; Member of the Board of Hypertherm, Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born 1967. Investment Stewardship Officer Since February 2017. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Treasurer (2015–2017), Controller (2010–2015), and Assistant Controller (2001–2010) of each of the investment companies served by The Vanguard Group.
Thomas J. Higgins
Born 1957. Chief Financial Officer Since September 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Chief Financial Officer of each of the investment companies served by The Vanguard Group; Treasurer of each of the investment companies served by The Vanguard Group (1998–2008).
Peter Mahoney
Born 1974. Controller Since May 2015. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Controller of each of the investment companies served by The Vanguard Group; Head of International Fund Services at The Vanguard Group (2008–2014).
Anne E. Robinson
Born 1970. Secretary Since September 2016. Principal Occupation(s) During the Past Five Years and Other Experience: Managing Director of The Vanguard Group, Inc.; General Counsel of The Vanguard Group; Secretary of The Vanguard Group and of each of the investment companies served by The Vanguard Group; Director and Senior Vice President of Vanguard Marketing Corporation; Managing Director and General Counsel of Global Cards and Consumer Services at Citigroup (2014–2016); Counsel at American Express (2003–2014).
Michael Rollings
Born 1963. Treasurer Since February 2017. Principal Occupation(s) During the Past Five Years and Other Experience: Managing Director of The Vanguard Group, Inc.; Treasurer of each of the investment companies served by The Vanguard Group; Executive Vice President and Chief Financial Officer of MassMutual Financial Group (2006–2016).
Vanguard Senior Management Team | |
Mortimer J. Buckley | James M. Norris |
John James | Thomas M. Rampulla |
Martha G. King | Glenn W. Reed |
John T. Marcante | Karin A. Risi |
Chris D. McIsaac | |
Chairman Emeritus and Senior Advisor | |
John J. Brennan | |
Chairman, 1996–2009 | |
Chief Executive Officer and President, 1996–2008 | |
Founder | |
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 | |
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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. | |
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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 | |
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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 | |
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© 2017 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q18542 042017 |
| February 28, 2017
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
A new format, unwavering commitment
As you begin reading this report, you’ll notice that we’ve made some improvements to the opening sections—based on feedback from you, our clients.
Page 1 starts with a new ”Your Fund’s Performance at a Glance,” a concise, handy summary of how your fund performed during the period.
In the renamed ”Chairman’s Perspective,” Bill McNabb will focus on enduring principles and investment insights.
We’ve modified some tables, and eliminated some redundancy, but we haven’t removed any information.
At Vanguard, we’re always looking for better ways to communicate and to help you make sound investment decisions. Thank you for entrusting your assets to us.
Contents | |
Your Fund’s Performance at a Glance | 1 |
Chairman’s Perspective | 4 |
Short-Term Government Bond Index Fund. | 7 |
Intermediate-Term Government Bond Index Fund | 22 |
Long-Term Government Bond Index Fund. | 37 |
Short-Term Corporate Bond Index Fund. | 51 |
Intermediate-Term Corporate Bond Index Fund | 67 |
Long-Term Corporate Bond Index Fund | 83 |
Mortgage-Backed Securities Index Fund. | 100 |
About Your Fund’s Expenses. | 117 |
Glossary. | 120 |
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: No matter what language you speak, Vanguard has one consistent message and set of principles. Our primary
focus is on you, our clients. We conduct our business with integrity as a faithful steward of your assets. This message is shown
translated into seven languages, reflecting our expanding global presence.
Your Fund’s Performance at a Glance
• Bond prices moved lower during the six months ended February 28, 2017, as the markets grew more upbeat about the prospect of faster growth and higher inflation. That trend accelerated following the November election of a new administration that promised more spending on infrastructure, greater deregulation, and possible changes in the federal tax code.
• Although prices recovered a little ground toward the end of the period, returns of the funds in this report ranged from virtually flat for Vanguard Short-Term Corporate Bond Index Fund to about –11% for Vanguard Long-Term Government Bond Index Fund. The funds performed in line with their benchmarks but mostly lagged their peer groups.
• Treasuries saw the steepest price declines; corporate bond prices slid as well.
• By maturity, long bonds significantly underperformed shorter-term bonds. By quality, lower-rated investment-grade bonds did better than their higher-rated counterparts.
Total Returns: Six Months Ended February 28, 2017 | ||||
30-Day SEC | Income | Capital | Total | |
Yield | Returns | Returns | Returns | |
Vanguard Short-Term Government Bond Index Fund | ||||
ETF Shares | 1.12% | |||
Market Price | -0.13% | |||
Net Asset Value | -0.13 | |||
Admiral™ Shares | 1.12 | 0.43% | -0.57% | -0.14 |
Institutional Shares | 1.16 | 0.44 | -0.53 | -0.09 |
Bloomberg Barclays U.S. 1– 3 Year Government Float | ||||
Adjusted Index | -0.09 | |||
Short U.S. Government Funds Average | -0.11 | |||
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 | 1.91% | |||
Market Price | -2.49% | |||
Net Asset Value | -2.49 | |||
Admiral Shares | 1.90 | 0.75% | -3.22% | -2.47 |
Institutional Shares | 1.93 | 0.75 | -3.25 | -2.50 |
Bloomberg Barclays U.S. 3– 10 Year Government Float | ||||
Adjusted Index | -2.48 | |||
Intermediate U.S. Government Funds Average | -1.76 | |||
Intermediate U.S. Government Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
1
30-Day SEC | Income | Capital | Total | |
Yield | Returns | Returns | Returns | |
Vanguard Long-Term Government Bond Index Fund | ||||
ETF Shares | 2.89% | |||
Market Price | -11.19% | |||
Net Asset Value | -11.13 | |||
Admiral Shares | 2.90 | 1.15% | -12.28% | -11.13 |
Institutional Shares | 2.91 | 1.16 | -12.28 | -11.12 |
Bloomberg Barclays U.S. Long Government Float Adjusted | ||||
Index | -11.19 | |||
General U.S. Government Funds Average | -2.95 | |||
General U.S. Government Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Vanguard Short-Term Corporate Bond Index Fund | ||||
ETF Shares | 2.17% | |||
Market Price | -0.10% | |||
Net Asset Value | 0.01 | |||
Admiral Shares | 2.17 | 1.05% | -1.01% | 0.04 |
Institutional Shares | 2.19 | 1.05 | -1.04 | 0.01 |
Bloomberg Barclays U.S. 1– 5 Year Corporate Bond Index | 0.16 | |||
Short-Intermediate Investment-Grade Debt Funds Average | -0.14 | |||
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 | 3.35% | |||
Market Price | -1.83% | |||
Net Asset Value | -1.78 | |||
Admiral Shares | 3.35 | 1.56% | -3.36% | -1.80 |
Institutional Shares | 3.37 | 1.58 | -3.33 | -1.75 |
Bloomberg Barclays U.S. 5– 10 Year Corporate Bond Index | -1.58 | |||
Core Bond Funds Average | -1.71 | |||
Core Bond Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Vanguard Long-Term Corporate Bond Index Fund | ||||
ETF Shares | 4.42% | |||
Market Price | -3.77% | |||
Net Asset Value | -4.00 | |||
Admiral Shares | 4.42 | 2.03% | -6.01% | -3.98 |
Institutional Shares | 4.44 | 2.04 | -6.03 | -3.99 |
Bloomberg Barclays U.S. 10+ Year Corporate Bond Index | -3.94 | |||
Corporate Debt Funds BBB-Rated Average | -1.66 | |||
Corporate Debt Funds BBB-Rated Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
30-Day SEC | Income | Capital | Total | |
Yield | Returns | Returns | Returns | |
Vanguard Mortgage-Backed Securities Index Fund | ||||
ETF Shares | 2.08% | |||
Market Price | -1.24% | |||
Net Asset Value | -1.20 | |||
Admiral Shares | 2.07 | 0.85% | -2.02% | -1.17 |
Institutional Shares | 2.09 | 0.86 | -2.03 | -1.17 |
Bloomberg Barclays U.S. MBS Float Adjusted Index | -1.17 | |||
U.S. Mortgage Funds Average | -0.77 | |||
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 tocertain institutional investorswho meetspecificadministrative,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 4p.m., Easterntime). Thenetasset valueisalso determinedas oftheNYSEclosingtime. For moreinformationabout
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 theNAV.
Expense Ratios | ||||
Your Fund Compared With Its Peer Group | ||||
ETF | Admiral | Institutional | Peer Group | |
Shares | Shares | Shares | Average | |
Short-Term Government Bond Index Fund | 0.07% | 0.07% | 0.05% | 0.80% |
Intermediate-Term Government Bond Index | ||||
Fund | 0.07 | 0.07 | 0.05 | 0.91 |
Long-Term Government Bond Index Fund | 0.07 | 0.07 | 0.05 | 1.02 |
Short-Term Corporate Bond Index Fund | 0.07 | 0.07 | 0.05 | 0.77 |
Intermediate-Term Corporate Bond Index Fund | 0.07 | 0.07 | 0.05 | 0.78 |
Long-Term Corporate Bond Index Fund | 0.07 | 0.07 | 0.05 | 0.86 |
Mortgage-Backed Securities Index Fund | 0.07 | 0.07 | 0.05 | 0.86 |
The fund expense ratios shown are from the prospectus dated December 22, 2016, and represent estimated costs for the current fiscal year.
For the six months ended February 28, 2017, the funds’ annualized expense ratios were: for the Short-Term Government Bond Index Fund,
0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.06% for Institutional Shares; for the Intermediate-Term Government Bond Index Fund,
0.07% for ETFShares,0.07%forAdmiralShares,and0.05%forInstitutionalShares; fortheLong-TermGovernmentBondIndexFund,0.07%
for ETFShares, 0.07%for Admiral Shares,and 0.05%forInstitutionalShares; for theShort-Term Corporate BondIndexFund, 0.07% for ETF
Shares, 0.07%forAdmiralShares,and 0.05%forInstitutionalShares;fortheIntermediate-TermCorporateBondIndexFund,0.07%forETF
Shares, 0.07%for Admiral Shares,and 0.05% forInstitutionalShares; fortheLong-Term Corporate Bond Index Fund, 0.07% for ETFShares,
0.07% for Admiral Shares, and 0.05% for Institutional Shares; and for the Mortgage-Backed Securities Index Fund, 0.07% for ETF Shares,
0.07% for Admiral Shares, and 0.05% for Institutional Shares. Peer-group expense ratios are derived from data provided by Lipper, a Thomson
Reuters Company, and capture information through year-end 2016.
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.
3
Chairman’s Perspective
Bill McNabb
Chairman and Chief Executive Officer
Dear Shareholder,
More than a decade ago, a Vanguard client asked us to help improve its defined contribution retirement plan. New hires were participating in the plan at lower rates than in previous years, and the client wanted to reverse this trend. Another priority was to help more participants invest their retirement savings in balanced portfolios.
The overall goal of this longtime client: Give employees a better chance to achieve financial security in retirement.
Today, that plan automatically enrolls employees at a 5% contribution rate, puts them in a low-cost target-date fund that takes on less risk as they near retirement, and offers a comprehensive suite of advice services. On top of that, employees get an employer contribution of 5% and are eligible for a company match.
Because of this combination of attractive features and generous employer contributions, nearly all new hires now participate in the plan, 81% of plan participants invest their retirement savings in balanced portfolios, and 87% of participants meet or exceed Vanguard’s recommended total retirement savings target. (Vanguard generally recommends that retirement investors save 12%–15% of pay, including company matches.)
4
Changing the retirement landscape Am I singling out an isolated Vanguard success story? Absolutely not.
Stories like these are becoming increasingly common with employer-based retirement plans, particularly among large and midsize companies. Solutions such as automatic enrollment, automatic contribution increases, and default investment in target-date funds are having a positive effect.
Insights from the relatively new discipline of behavioral finance have contributed to the advances. Simply put, retirement plans are making natural human inertia work for future retirees, rather than against them, by putting savings on autopilot as much as possible.
More than 60% of Vanguard participants are in plans with automatic enrollment, which has led to a big jump in participation. Today, more than four-fifths of eligible employees are saving for retirement, compared with only two-thirds ten years ago.
In addition, many plans have adopted automatic-escalation features, which increase plan contributions at regular intervals until a maximum level is reached or an employee opts out. Automatic increases are a crucial tool for boosting retirement savings rates.
The growing use of target-date funds is another enormous benefit. More than 70% of all participants in Vanguard plans invest at least part of their retirement savings in
Market Barometer | |||
Total Returns | |||
Periods Ended February 28, 2017 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 10.10% | 25.53% | 13.94% |
Russell 2000 Index (Small-caps) | 12.61 | 36.11 | 12.89 |
Russell 3000 Index (Broad U.S. market) | 10.29 | 26.29 | 13.85 |
FTSE All-World ex US Index (International) | 5.40 | 19.87 | 4.00 |
Bonds | |||
Bloomberg Barclays U.S. Aggregate Bond Index | |||
(Broad taxable market) | -2.19% | 1.42% | 2.24% |
Bloomberg Barclays Municipal Bond Index | |||
(Broad tax-exempt market) | -2.80 | 0.25 | 3.07 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.19 | 0.32 | 0.10 |
CPI | |||
Consumer Price Index | 1.14% | 2.74% | 1.36% |
5 |
these age-appropriate, diversified strategies. And nearly 50% of Vanguard participants are invested solely in a single target-date fund.
Consider a do-it-yourself autopilot
But what if you don’t have access to a world-class, employer-based retirement plan? Unfortunately, not everyone does, which is an important policy issue.
However, you can still put the features of these plans to work. For example, you can set up automatic contributions from your paycheck to an IRA. And you can adopt your own automatic escalation by investing any pay raises.
You can also take a page from top-quality retirement plans by considering a low-cost, globally diversified target-date fund. The beauty of this approach is that you don’t need to remember to rebalance your portfolio—the fund does it for you.
Of course, you can take a more active role in picking your own investments, and this can be a good choice for some. But keep in mind the lessons from successful employer-based plans: Busy workers, faced with a lot of competing priorities, are often best served by putting their retirement savings on autopilot.
Winning by default
In highlighting some recent successes in retirement savings, I don’t want to minimize the challenges we still face. We’re living in a slow-growth, uncertain world, and investment returns for both stocks and bonds could well be modest in the coming decade.
But I believe the innovations we’ve seen in the last ten years in many retirement plans—you might call it the “default revolution”—point the way toward a solution. And that even goes for people whoseemployers don’t haveaworld-class retirement plan.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
March 14, 2017
6
Short-Term Government Bond Index Fund
Fund Profile
As of February 28, 2017
Share-Class Characteristics | |||
ETF | Admiral Institutional | ||
Shares | Shares | Shares | |
Ticker Symbol | VGSH | VSBSX | VSBIX |
Expense Ratio1 | 0.07% | 0.07% | 0.05% |
30-Day SEC Yield | 1.12% | 1.12% | 1.16% |
Financial Attributes | |||
Bloomberg | |||
Barclays | |||
1–3 Year | Bloomberg | ||
Gov’t | Barclays | ||
Float Adj | Aggregate | ||
Fund | Index | FA Index | |
Number of Bonds | 146 | 384 | 10,166 |
Yield toMaturity | |||
(before expenses) | 1.2% | 1.2% | 2.5% |
Average Coupon | 1.3% | 1.5% | 3.0% |
Average Duration | 1.9 years | 2.0 years | 6.1 years |
Average Effective | |||
Maturity | 1.9 years | 2.0 years | 8.3 years |
Short-Term | |||
Reserves | 0.4% | — | — |
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 | ||
Bloomberg | ||
Barclays | ||
1–3 Year | Bloomberg | |
Gov’t | Barclays | |
Float Adj | Aggregate | |
Index | FA Index | |
R-Squared | 0.99 | 0.67 |
Beta | 1.03 | 0.22 |
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 | 7.1% |
1 - 3 Years | 92.9 |
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
agenciesare used, the lowerrating foreach issueis 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, 2016, and represent estimated costs for the current fiscal year. For the six
months ended February 28, 2017, the annualized expense ratios were 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.06% for Institutional
Shares.
7
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 28, 2017 | ||
Bloomberg | ||
Barclays | ||
1 – 3 | ||
Year | ||
Gov’t | ||
ETF Shares Net Asset Value | Float Adj | |
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 | 0.98 | 1.06 |
2017 | -0.13 | -0.09 |
Note: For 2017, performance data reflect the six months ended February 28, 2017. |
Average Annual Total Returns: Periods Ended December 31, 2016
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 | 0.89% | 0.51% | 0.80% | |||
Net Asset Value | 0.79 | 0.49 | 0.79 | |||
Admiral Shares | 12/28/2009 | 0.78 | 0.49 | 0.55% | 0.31% | 0.86 |
Institutional Shares | 8/23/2010 | 0.83 | 0.52 | 0.57 | 0.08 | 0.65 |
See Financial Highlights for dividend and capital gains information.
Short-Term Government Bond Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2017
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 (99.5%) | ||||
U.S. Government Securities (89.5%) | ||||
United States Treasury Note/Bond | 4.250% | 11/15/17 | 1,860 | 1,905 |
United States Treasury Note/Bond | 0.750% | 12/31/17 | 6,465 | 6,458 |
United States Treasury Note/Bond | 3.500% | 2/15/18 | 7,850 | 8,040 |
United States Treasury Note/Bond | 0.750% | 2/28/18 | 150 | 150 |
United States Treasury Note/Bond | 2.750% | 2/28/18 | 13,745 | 13,986 |
United States Treasury Note/Bond | 1.000% | 3/15/18 | 11,175 | 11,178 |
United States Treasury Note/Bond | 0.750% | 3/31/18 | 27,450 | 27,381 |
United States Treasury Note/Bond | 0.875% | 3/31/18 | 14,678 | 14,662 |
United States Treasury Note/Bond | 2.875% | 3/31/18 | 4,118 | 4,201 |
United States Treasury Note/Bond | 0.750% | 4/15/18 | 36,950 | 36,852 |
United States Treasury Note/Bond | 0.625% | 4/30/18 | 32,370 | 32,228 |
United States Treasury Note/Bond | 0.750% | 4/30/18 | 32,104 | 32,009 |
United States Treasury Note/Bond | 1.000% | 5/15/18 | 2,750 | 2,750 |
United States Treasury Note/Bond | 0.875% | 5/31/18 | 14,821 | 14,798 |
United States Treasury Note/Bond | 1.000% | 5/31/18 | 22,467 | 22,460 |
United States Treasury Note/Bond | 2.375% | 5/31/18 | 8,500 | 8,642 |
United States Treasury Note/Bond | 1.125% | 6/15/18 | 12,566 | 12,582 |
United States Treasury Note/Bond | 0.625% | 6/30/18 | 10,332 | 10,274 |
United States Treasury Note/Bond | 1.375% | 6/30/18 | 12,130 | 12,181 |
United States Treasury Note/Bond | 2.375% | 6/30/18 | 6,596 | 6,711 |
United States Treasury Note/Bond | 0.875% | 7/15/18 | 15,500 | 15,461 |
United States Treasury Note/Bond | 0.750% | 7/31/18 | 37,097 | 36,923 |
United States Treasury Note/Bond | 1.375% | 7/31/18 | 19,465 | 19,547 |
United States Treasury Note/Bond | 2.250% | 7/31/18 | 6,000 | 6,099 |
United States Treasury Note/Bond | 1.000% | 8/15/18 | 15,100 | 15,081 |
United States Treasury Note/Bond | 0.750% | 8/31/18 | 20,291 | 20,186 |
United States Treasury Note/Bond | 1.500% | 8/31/18 | 27,455 | 27,618 |
United States Treasury Note/Bond | 1.000% | 9/15/18 | 41,294 | 41,216 |
United States Treasury Note/Bond | 0.750% | 9/30/18 | 10,855 | 10,791 |
United States Treasury Note/Bond | 1.375% | 9/30/18 | 43,595 | 43,765 |
United States Treasury Note/Bond | 0.875% | 10/15/18 | 24,635 | 24,531 |
United States Treasury Note/Bond | 0.750% | 10/31/18 | 29,000 | 28,805 |
United States Treasury Note/Bond | 1.250% | 10/31/18 | 34,792 | 34,846 |
United States Treasury Note/Bond | 1.750% | 10/31/18 | 3,688 | 3,724 |
United States Treasury Note/Bond | 1.250% | 11/15/18 | 27,922 | 27,961 |
United States Treasury Note/Bond | 3.750% | 11/15/18 | 11,331 | 11,829 |
United States Treasury Note/Bond | 1.000% | 11/30/18 | 6,575 | 6,557 |
United States Treasury Note/Bond | 1.250% | 11/30/18 | 11,050 | 11,064 |
9
Short-Term Government Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 1.375% | 11/30/18 | 6,000 | 6,021 |
United States Treasury Note/Bond | 1.250% | 12/15/18 | 32,854 | 32,890 |
United States Treasury Note/Bond | 1.250% | 12/31/18 | 23,845 | 23,867 |
United States Treasury Note/Bond | 1.375% | 12/31/18 | 10,000 | 10,030 |
United States Treasury Note/Bond | 1.500% | 12/31/18 | 36,063 | 36,260 |
United States Treasury Note/Bond | 1.125% | 1/15/19 | 36,472 | 36,409 |
United States Treasury Note/Bond | 1.125% | 1/31/19 | 21,000 | 20,961 |
United States Treasury Note/Bond | 1.250% | 1/31/19 | 10,000 | 10,005 |
United States Treasury Note/Bond | 1.500% | 1/31/19 | 26,750 | 26,888 |
United States Treasury Note/Bond | 0.750% | 2/15/19 | 36,478 | 36,136 |
United States Treasury Note/Bond | 2.750% | 2/15/19 | 11,000 | 11,320 |
United States Treasury Note/Bond | 1.125% | 2/28/19 | 10,000 | 9,980 |
United States Treasury Note/Bond | 1.375% | 2/28/19 | 10,000 | 10,025 |
United States Treasury Note/Bond | 1.500% | 2/28/19 | 13,000 | 13,065 |
United States Treasury Note/Bond | 1.000% | 3/15/19 | 10,406 | 10,352 |
United States Treasury Note/Bond | 1.500% | 3/31/19 | 5,500 | 5,525 |
United States Treasury Note/Bond | 1.625% | 3/31/19 | 33,760 | 34,008 |
United States Treasury Note/Bond | 0.875% | 4/15/19 | 12,980 | 12,873 |
United States Treasury Note/Bond | 1.250% | 4/30/19 | 5,000 | 4,995 |
United States Treasury Note/Bond | 1.625% | 4/30/19 | 33,935 | 34,174 |
United States Treasury Note/Bond | 0.875% | 5/15/19 | 42,949 | 42,560 |
United States Treasury Note/Bond | 3.125% | 5/15/19 | 13,500 | 14,032 |
United States Treasury Note/Bond | 1.125% | 5/31/19 | 5,000 | 4,979 |
United States Treasury Note/Bond | 1.500% | 5/31/19 | 15,000 | 15,066 |
United States Treasury Note/Bond | 0.875% | 6/15/19 | 14,000 | 13,858 |
United States Treasury Note/Bond | 1.000% | 6/30/19 | 13,000 | 12,900 |
United States Treasury Note/Bond | 1.625% | 6/30/19 | 37,885 | 38,134 |
United States Treasury Note/Bond | 0.750% | 7/15/19 | 22,950 | 22,634 |
United States Treasury Note/Bond | 0.875% | 7/31/19 | 2,500 | 2,472 |
United States Treasury Note/Bond | 1.625% | 7/31/19 | 33,645 | 33,855 |
United States Treasury Note/Bond | 0.750% | 8/15/19 | 45,630 | 44,967 |
United States Treasury Note/Bond | 3.625% | 8/15/19 | 15,000 | 15,820 |
United States Treasury Note/Bond | 1.000% | 8/31/19 | 7,850 | 7,778 |
United States Treasury Note/Bond | 1.625% | 8/31/19 | 24,400 | 24,549 |
United States Treasury Note/Bond | 0.875% | 9/15/19 | 18,315 | 18,083 |
United States Treasury Note/Bond | 1.000% | 9/30/19 | 12,000 | 11,880 |
United States Treasury Note/Bond | 1.750% | 9/30/19 | 22,635 | 22,840 |
United States Treasury Note/Bond | 1.000% | 10/15/19 | 17,000 | 16,819 |
United States Treasury Note/Bond | 1.250% | 10/31/19 | 9,100 | 9,060 |
United States Treasury Note/Bond | 1.500% | 10/31/19 | 34,520 | 34,585 |
United States Treasury Note/Bond | 1.000% | 11/15/19 | 15,625 | 15,444 |
United States Treasury Note/Bond | 3.375% | 11/15/19 | 15,000 | 15,778 |
United States Treasury Note/Bond | 1.000% | 11/30/19 | 34,270 | 33,874 |
United States Treasury Note/Bond | 1.500% | 11/30/19 | 17,010 | 17,034 |
United States Treasury Note/Bond | 1.375% | 12/15/19 | 39,990 | 39,902 |
United States Treasury Note/Bond | 1.125% | 12/31/19 | 10,000 | 9,906 |
United States Treasury Note/Bond | 1.625% | 12/31/19 | 19,200 | 19,284 |
United States Treasury Note/Bond | 1.375% | 1/15/20 | 42,040 | 41,928 |
United States Treasury Note/Bond | 1.250% | 1/31/20 | 15,000 | 14,902 |
United States Treasury Note/Bond | 1.375% | 1/31/20 | 5,070 | 5,054 |
United States Treasury Note/Bond | 1.375% | 2/15/20 | 41,339 | 41,203 |
United States Treasury Note/Bond | 3.625% | 2/15/20 | 15,000 | 15,928 |
United States Treasury Note/Bond | 1.250% | 2/29/20 | 15,000 | 14,888 |
United States Treasury Note/Bond | 1.375% | 2/29/20 | 25,000 | 24,898 |
1,768,130 |
10
Short-Term Government Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Agency Bonds and Notes (10.0%) | ||||
1 AID-Jordan | 1.945% | 6/23/19 | 200 | 202 |
1 AID-Ukraine | 1.844% | 5/16/19 | 200 | 202 |
2 Federal Farm Credit Banks | 0.750% | 4/18/18 | 2,000 | 1,994 |
2 Federal Farm Credit Banks | 1.100% | 6/1/18 | 100 | 100 |
2 Federal Farm Credit Banks | 5.150% | 11/15/19 | 300 | 329 |
2 Federal Home Loan Banks | 1.375% | 3/9/18 | 4,200 | 4,217 |
2 Federal Home Loan Banks | 0.875% | 3/19/18 | 3,920 | 3,916 |
2 Federal Home Loan Banks | 1.125% | 4/25/18 | 10,345 | 10,356 |
2 Federal Home Loan Banks | 0.875% | 6/29/18 | 5,000 | 4,985 |
2 Federal Home Loan Banks | 0.625% | 8/7/18 | 3,000 | 2,979 |
2 Federal Home Loan Banks | 0.875% | 10/1/18 | 8,500 | 8,457 |
2 Federal Home Loan Banks | 1.250% | 1/16/19 | 4,000 | 3,998 |
2 Federal Home Loan Banks | 1.500% | 3/8/19 | 1,000 | 1,003 |
2 Federal Home Loan Banks | 1.875% | 3/8/19 | 1,070 | 1,082 |
2 Federal Home Loan Banks | 1.125% | 6/21/19 | 9,875 | 9,816 |
2 Federal Home Loan Banks | 0.875% | 8/5/19 | 4,000 | 3,946 |
2 Federal Home Loan Banks | 1.000% | 9/26/19 | 1,500 | 1,482 |
2 Federal Home Loan Banks | 1.375% | 11/15/19 | 4,875 | 4,858 |
3 Federal Home Loan Mortgage Corp. | 0.875% | 3/7/18 | 14,770 | 14,755 |
3 Federal Home Loan Mortgage Corp. | 0.750% | 4/9/18 | 1,200 | 1,196 |
3 Federal Home Loan Mortgage Corp. | 4.875% | 6/13/18 | 500 | 524 |
3 Federal Home Loan Mortgage Corp. | 0.875% | 10/12/18 | 7,700 | 7,660 |
3 Federal Home Loan Mortgage Corp. | 3.750% | 3/27/19 | 11,775 | 12,351 |
3 Federal Home Loan Mortgage Corp. | 1.125% | 4/15/19 | 4,300 | 4,278 |
3 Federal Home Loan Mortgage Corp. | 1.750% | 5/30/19 | 400 | 403 |
3 Federal Home Loan Mortgage Corp. | 0.875% | 7/19/19 | 6,500 | 6,417 |
3 Federal Home Loan Mortgage Corp. | 1.250% | 8/1/19 | 3,450 | 3,435 |
3 Federal Home Loan Mortgage Corp. | 1.250% | 10/2/19 | 3,229 | 3,210 |
3 Federal Home Loan Mortgage Corp. | 1.500% | 1/17/20 | 2,000 | 1,997 |
3 Federal National Mortgage Assn. | 0.875% | 3/28/18 | 1,400 | 1,398 |
3 Federal National Mortgage Assn. | 0.875% | 5/21/18 | 6,280 | 6,267 |
3 Federal National Mortgage Assn. | 1.125% | 7/20/18 | 7,340 | 7,341 |
3 Federal National Mortgage Assn. | 1.875% | 9/18/18 | 3,292 | 3,327 |
3 Federal National Mortgage Assn. | 1.125% | 10/19/18 | 1,200 | 1,199 |
3 Federal National Mortgage Assn. | 1.625% | 11/27/18 | 2,100 | 2,114 |
3 Federal National Mortgage Assn. | 1.125% | 12/14/18 | 4,497 | 4,487 |
3 Federal National Mortgage Assn. | 1.375% | 1/28/19 | 1,000 | 1,002 |
3 Federal National Mortgage Assn. | 1.875% | 2/19/19 | 1,750 | 1,769 |
3 Federal National Mortgage Assn. | 1.000% | 2/26/19 | 9,510 | 9,451 |
3 Federal National Mortgage Assn. | 1.750% | 6/20/19 | 800 | 806 |
3 Federal National Mortgage Assn. | 0.875% | 8/2/19 | 8,500 | 8,386 |
3 Federal National Mortgage Assn. | 1.000% | 8/28/19 | 4,000 | 3,956 |
3 Federal National Mortgage Assn. | 1.750% | 9/12/19 | 5,350 | 5,387 |
3 Federal National Mortgage Assn. | 0.000% | 10/9/19 | 1,150 | 1,097 |
3 Federal National Mortgage Assn. | 1.000% | 10/24/19 | 6,000 | 5,923 |
3 Federal National Mortgage Assn. | 1.750% | 11/26/19 | 750 | 755 |
3 Federal National Mortgage Assn. | 1.625% | 1/21/20 | 7,840 | 7,857 |
3 Federal National Mortgage Assn. | 1.500% | 2/28/20 | 2,340 | 2,333 |
2 Financing Corp. | 9.800% | 4/6/18 | 200 | 219 |
2 Financing Corp. | 10.350% | 8/3/18 | 250 | 282 |
2 Financing Corp. | 9.700% | 4/5/19 | 50 | 58 |
NCUA Guaranteed Notes | 3.000% | 6/12/19 | 180 | 186 |
Private Export Funding Corp. | 1.875% | 7/15/18 | 50 | 50 |
11
Short-Term Government Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Private Export Funding Corp. | 4.375% | 3/15/19 | 700 | 741 |
Private Export Funding Corp. | 1.450% | 8/15/19 | 125 | 125 |
2 Tennessee Valley Authority | 1.750% | 10/15/18 | 625 | 630 |
197,294 | ||||
Total U.S. Government and Agency Obligations (Cost $1,972,270) | 1,965,424 | |||
Shares | ||||
Temporary Cash Investment (0.4%) | ||||
Money Market Fund (0.4%) | ||||
4 Vanguard Market Liquidity Fund (Cost $7,355) | 0.864% | 73,550 | 7,356 | |
Total Investments (99.9%) (Cost $1,979,625) | 1,972,780 | |||
Other Assets and Liabilities (0.1%) | ||||
Other Assets | 109,719 | |||
Liabilities | (108,345) | |||
1,374 | ||||
Net Assets (100%) | 1,974,154 | |||
Amount | ||||
($000) | ||||
Statement of Assets and Liabilities | ||||
Assets | ||||
Investments in Securities, at Value | ||||
Unaffiliated Issuers | 1,965,424 | |||
Affiliated Vanguard Funds | 7,356 | |||
Total Investments in Securities | 1,972,780 | |||
Investment in Vanguard | 138 | |||
Receivables for Investment Securities Sold | 103,252 | |||
Receivables for Accrued Income | 5,682 | |||
Receivables for Capital Shares Issued | 637 | |||
Other Assets | 10 | |||
Total Assets | 2,082,499 | |||
Liabilities | ||||
Payables for Investment Securities Purchased | 106,093 | |||
Payables for Capital Shares Redeemed | 1,516 | |||
Payables for Distributions | 152 | |||
Payables to Vanguard | 345 | |||
Other Liabilities | 239 | |||
Total Liabilities | 108,345 | |||
Net Assets | 1,974,154 |
12
Short-Term Government Bond Index Fund | |
At February 28, 2017, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 1,980,102 |
Undistributed Net Investment Income | 1,000 |
Accumulated Net Realized Losses | (103) |
Unrealized Appreciation (Depreciation) | (6,845) |
Net Assets | 1,974,154 |
ETF Shares—Net Assets | |
Applicable to 22,147,516 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,346,272 |
Net Asset Value Per Share—ETF Shares | $60.79 |
Admiral Shares—Net Assets | |
Applicable to 21,466,600 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 434,949 |
Net Asset Value Per Share—Admiral Shares | $20.26 |
Institutional Shares—Net Assets | |
Applicable to 7,579,021 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 192,933 |
Net Asset Value Per Share—Institutional Shares | $25.46 |
• See Note A in Notes toFinancial 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 Theissuer wasplacedunder federalconservatorshipinSeptember 2008;sincethat time,its dailyoperations have been managedbythe
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.
13
Short-Term Government Bond Index Fund | |
Statement of Operations | |
Six Months Ended | |
February 28, 2017 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 7,551 |
Total Income | 7,551 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 26 |
Management and Administrative—ETF Shares | 288 |
Management and Administrative—Admiral Shares | 103 |
Management and Administrative—Institutional Shares | 31 |
Marketing and Distribution—ETF Shares | 43 |
Marketing and Distribution—Admiral Shares | 21 |
Marketing and Distribution—Institutional Shares | 2 |
Custodian Fees | 6 |
Shareholders’ Reports—ETF Shares | 11 |
Shareholders’ Reports—Admiral Shares | 3 |
Shareholders’ Reports—Institutional Shares | 10 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 545 |
Net Investment Income | 7,006 |
Realized Net Gain (Loss) on Investment Securities Sold1 | 62 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | (8,564) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,496) |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $27,000 and $1,000, respectively. |
See accompanying Notes, which are an integral part of the Financial Statements.
14
Short-Term Government Bond Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
February 28, | August 31, | |
2017 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 7,006 | 9,251 |
Realized Net Gain (Loss) | 62 | 1,013 |
Change in Unrealized Appreciation (Depreciation) | (8,564) | 1,216 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,496) | 11,480 |
Distributions | ||
Net Investment Income | ||
ETF Shares | (4,232) | (5,809) |
Admiral Shares | (1,717) | (2,541) |
Institutional Shares | (773) | (547) |
Realized Capital Gain1 | ||
ETF Shares | (153) | (269) |
Admiral Shares | (62) | (106) |
Institutional Shares | (28) | (24) |
Total Distributions | (6,965) | (9,296) |
Capital Share Transactions | ||
ETF Shares | 443,690 | 271,434 |
Admiral Shares | 73,045 | 142,241 |
Institutional Shares | 102,247 | 24,698 |
Net Increase (Decrease) from Capital Share Transactions | 618,982 | 438,373 |
Total Increase (Decrease) | 610,521 | 440,557 |
Net Assets | ||
Beginning of Period | 1,363,633 | 923,076 |
End of Period2 | 1,974,154 | 1,363,633 |
1 Includes fiscal 2017 and 2016 short-term gain distributions totaling $38,000 and $200,000, 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 $1,000,000 and $716,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
15
Short-Term Government Bond Index Fund | |||||||
Financial Highlights | |||||||
ETF Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $61.14 | $61.03 | $60.95 | $60.75 | $60.98 | $61.11 | |
Investment Operations | |||||||
Net Investment Income | .259 | .478 | .351 | .198 | .158 | .270 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | (.338) | .118 | .102 | .227 | (.134) | (.028) | |
Total from Investment Operations | (.079) | .596 | .453 | .425 | .024 | .242 | |
Distributions | |||||||
Dividends from Net Investment Income | (.261) | (.462) | (.340) | (.177) | (.158) | (.267) | |
Distributions from Realized Capital Gains | (.010) | (.024) | (.033) | (.048) | (.096) | (.105) | |
Total Distributions | (.271) | (.486) | (.373) | (.225) | (.254) | (.372) | |
Net Asset Value, End of Period | $60.79 | $61.14 | $61.03 | $60.95 | $60.75 | $60.98 | |
Total Return | -0.13% | 0.98% | 0.75% | 0.70% | 0.04% | 0.40% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $1,346 | $908 | $635 | $497 | $307 | $183 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% | 0.12% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 0.89% | 0.80% | 0.59% | 0.34% | 0.26% | 0.44% | |
Portfolio Turnover Rate1 | 67% | 73% | 64% | 64% | 73% | 72% | |
The expense ratio, net investment 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.
16
Short-Term Government Bond Index Fund | |||||||
Financial Highlights | |||||||
Admiral Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $20.38 | $20.35 | $20.33 | $20.27 | $20.35 | $20.39 | |
Investment Operations | |||||||
Net Investment Income | .087 | .158 | .116 | .068 | .053 | .089 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | (.116) | .040 | .031 | .074 | (.048) | (.007) | |
Total from Investment Operations | (.029) | .198 | .147 | .142 | .005 | .082 | |
Distributions | |||||||
Dividends from Net Investment Income | (.088) | (.160) | (.116) | (.066) | (.053) | (.087) | |
Distributions from Realized Capital Gains | (.003) | (.008) | (.011) | (.016) | (.032) | (.035) | |
Total Distributions | (.091) | (.168) | (.127) | (.082) | (.085) | (.122) | |
Net Asset Value, End of Period | $20.26 | $20.38 | $20.35 | $20.33 | $20.27 | $20.35 | |
Total Return1 | -0.14% | 0.98% | 0.72% | 0.70% | 0.02% | 0.40% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $435 | $364 | $221 | $126 | $53 | $37 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% | 0.12% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 0.89% | 0.80% | 0.59% | 0.34% | 0.26% | 0.44% | |
Portfolio Turnover Rate2 | 67% | 73% | 64% | 64% | 73% | 72% | |
The expense ratio, net investment 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.
17
Short-Term Government Bond Index Fund | |||||||
Financial Highlights | |||||||
Institutional Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $25.60 | $25.57 | $25.54 | $25.47 | $25.57 | $25.62 | |
Investment Operations | |||||||
Net Investment Income | .111 | .207 | .156 | .095 | .075 | .121 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | (.135) | .042 | .043 | .088 | (.059) | (.007) | |
Total from Investment Operations | (.024) | .249 | .199 | .183 | .016 | .114 | |
Distributions | |||||||
Dividends from Net Investment Income | (.112) | (.209) | (.155) | (.093) | (.075) | (.120) | |
Distributions from Realized Capital Gains | (.004) | (.010) | (.014) | (.020) | (.041) | (.044) | |
Total Distributions | (.116) | (.219) | (.169) | (.113) | (.116) | (.164) | |
Net Asset Value, End of Period | $25.46 | $25.60 | $25.57 | $25.54 | $25.47 | $25.57 | |
Total Return1 | -0.09% | 0.98% | 0.78% | 0.72% | 0.06% | 0.45% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $193 | $92 | $67 | $49 | $17 | $44 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.06% | 0.05% | 0.07% | 0.09% | 0.09% | 0.09% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 0.90% | 0.82% | 0.62% | 0.37% | 0.29% | 0.47% | |
Portfolio Turnover Rate2 | 67% | 73% | 64% | 64% | 73% | 72% | |
The expense ratio, net investment 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.
18
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 are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the 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, 2013–2016), and for the period ended February 28, 2017, 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 $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 28, 2017, 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
19
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 28, 2017, the fund had contributed to Vanguard capital in the amount of $138,000, 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 28, 2017, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 1,965,424 | — |
Temporary Cash Investments | 7,356 | — | — |
Total | 7,356 | 1,965,424 | — |
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 28, 2017, the fund realized $36,000 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.
20
Short-Term Government Bond Index Fund
At February 28, 2017, the cost of investment securities for tax purposes was $1,979,625,000. Net unrealized depreciation of investment securities for tax purposes was $6,845,000, consisting of unrealized gains of $102,000 on securities that had risen in value since their purchase and $6,947,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 28, 2017, the fund purchased $1,185,962,000 of investment securities and sold $556,712,000 of investment securities, other than temporary cash investments. Purchases and sales include $464,108,000 and $24,036,000, 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 28, 2017 | August 31, 2016 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 468,078 | 7,700 | 439,524 | 7,197 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (24,388) | (400) | (168,090) | (2,750) |
Net Increase (Decrease)—ETF Shares | 443,690 | 7,300 | 271,434 | 4,447 |
Admiral Shares | ||||
Issued | 180,764 | 8,903 | 372,695 | 18,300 |
Issued in Lieu of Cash Distributions | 1,363 | 67 | 2,119 | 104 |
Redeemed | (109,082) | (5,375) | (232,573) | (11,408) |
Net Increase (Decrease)—Admiral Shares | 73,045 | 3,595 | 142,241 | 6,996 |
Institutional Shares | ||||
Issued | 103,948 | 4,064 | 37,398 | 1,458 |
Issued in Lieu of Cash Distributions | 491 | 19 | 360 | 14 |
Redeemed | (2,192) | (86) | (13,060) | (510) |
Net Increase (Decrease)—Institutional Shares | 102,247 | 3,997 | 24,698 | 962 |
G. Management has determined that no material events or transactions occurred subsequent to February 28, 2017, that would require recognition or disclosure in these financial statements.
21
Intermediate-Term Government Bond Index Fund
Fund Profile
As of February 28, 2017
Share-Class Characteristics | |||
ETF | Admiral Institutional | ||
Shares | Shares | Shares | |
Ticker Symbol | VGIT | VSIGX | VIIGX |
Expense Ratio1 | 0.07% | 0.07% | 0.05% |
30-Day SEC Yield | 1.91% | 1.90% | 1.93% |
Financial Attributes | |||
Bloomberg | |||
Barclays | |||
3–10 Year | Bloomberg | ||
Gov’t | Barclays | ||
Float Adj | Aggregate | ||
Fund | Index | FA Index | |
Number of Bonds | 163 | 275 | 10,166 |
Yield to Maturity | |||
(before expenses) | 1.9% | 2.0% | 2.5% |
Average Coupon | 2.0% | 2.0% | 3.0% |
Average Duration | 5.1 years | 5.2 years | 6.1 years |
Average Effective | |||
Maturity | 5.4 years | 5.6 years | 8.3 years |
Short-Term | |||
Reserves | 0.5% | — | — |
Sector Diversification (% of portfolio) | |
Treasury/Agency | 99.3% |
Other | 0.7 |
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 | ||
Bloomberg | ||
Barclays | ||
3–10 Year | Bloomberg | |
Gov’t | Barclays | |
Float Adj | Aggregate | |
Index | FA Index | |
R-Squared | 1.00 | 0.87 |
Beta | 1.02 | 1.08 |
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 | 0.7% |
1 - 3 Years | 2.3 |
3 - 5 Years | 51.0 |
5 - 10 Years | 46.0 |
Distribution by Credit Quality (% of portfolio) | |
U.S. Government | 99.3% |
Aaa | 0.7 |
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.Formoreinformationabouttheseratings,seethe
Glossary entry for Credit Quality.
Investment Focus
1 The expense ratios shown are from the prospectus dated December 22, 2016, and represent estimated costs for the current fiscal year. For the six
months ended February 28, 2017, the annualized expense ratios were 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional
Shares.
22
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 28, 2017 | ||
Bloomberg | ||
Barclays | ||
3 – 10 | ||
Year | ||
Gov’t | ||
ETF Shares Net Asset Value | Float Adj | |
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 | 4.37 | 4.47 |
2017 | -2.49 | -2.48 |
Note: For 2017, performance data reflect the six months ended February 28, 2017. |
Average Annual Total Returns: Periods Ended December 31, 2016
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 | 1.10% | 1.34% | 2.98% | |||
Net Asset Value | 1.12 | 1.35 | 2.98 | |||
Admiral Shares | 8/4/2010 | 1.10 | 1.35 | 1.66% | 0.78% | 2.44 |
Institutional Shares | 3/19/2010 | 1.15 | 1.38 | 1.73 | 1.43 | 3.16 |
See Financial Highlights for dividend and capital gains information.
23
Intermediate-Term Government Bond Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2017
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 (99.6%) | ||||
U.S. Government Securities (96.4%) | ||||
United States Treasury Note/Bond | 1.125% | 3/31/20 | 1,050 | 1,037 |
United States Treasury Note/Bond | 1.375% | 3/31/20 | 3,789 | 3,771 |
United States Treasury Note/Bond | 1.125% | 4/30/20 | 1,176 | 1,161 |
United States Treasury Note/Bond | 1.375% | 4/30/20 | 35,624 | 35,424 |
United States Treasury Note/Bond | 3.500% | 5/15/20 | 33,689 | 35,716 |
United States Treasury Note/Bond | 8.750% | 5/15/20 | 1,500 | 1,836 |
United States Treasury Note/Bond | 1.375% | 5/31/20 | 16,145 | 16,039 |
United States Treasury Note/Bond | 1.500% | 5/31/20 | 7,243 | 7,224 |
United States Treasury Note/Bond | 1.625% | 6/30/20 | 8,000 | 8,006 |
United States Treasury Note/Bond | 1.875% | 6/30/20 | 5,150 | 5,197 |
United States Treasury Note/Bond | 1.625% | 7/31/20 | 34,680 | 34,680 |
United States Treasury Note/Bond | 2.000% | 7/31/20 | 13,160 | 13,327 |
United States Treasury Note/Bond | 2.625% | 8/15/20 | 42,785 | 44,216 |
United States Treasury Note/Bond | 8.750% | 8/15/20 | 1,950 | 2,416 |
United States Treasury Note/Bond | 1.375% | 8/31/20 | 33,130 | 32,830 |
United States Treasury Note/Bond | 2.125% | 8/31/20 | 36,392 | 36,995 |
United States Treasury Note/Bond | 1.375% | 9/30/20 | 6,978 | 6,907 |
United States Treasury Note/Bond | 2.000% | 9/30/20 | 5,059 | 5,119 |
United States Treasury Note/Bond | 1.375% | 10/31/20 | 6,789 | 6,715 |
United States Treasury Note/Bond | 1.750% | 10/31/20 | 9,445 | 9,469 |
United States Treasury Note/Bond | 2.625% | 11/15/20 | 49,082 | 50,731 |
United States Treasury Note/Bond | 1.625% | 11/30/20 | 5,750 | 5,732 |
United States Treasury Note/Bond | 2.000% | 11/30/20 | 8,875 | 8,969 |
United States Treasury Note/Bond | 1.750% | 12/31/20 | 17,850 | 17,861 |
United States Treasury Note/Bond | 2.375% | 12/31/20 | 10,580 | 10,840 |
United States Treasury Note/Bond | 1.375% | 1/31/21 | 20,932 | 20,638 |
United States Treasury Note/Bond | 2.125% | 1/31/21 | 14,122 | 14,327 |
United States Treasury Note/Bond | 3.625% | 2/15/21 | 12,857 | 13,787 |
United States Treasury Note/Bond | 7.875% | 2/15/21 | 1,966 | 2,425 |
United States Treasury Note/Bond | 1.125% | 2/28/21 | 8,800 | 8,583 |
United States Treasury Note/Bond | 2.000% | 2/28/21 | 16,705 | 16,867 |
United States Treasury Note/Bond | 1.250% | 3/31/21 | 28,265 | 27,673 |
United States Treasury Note/Bond | 2.250% | 3/31/21 | 5,925 | 6,034 |
United States Treasury Note/Bond | 1.375% | 4/30/21 | 16,290 | 16,015 |
United States Treasury Note/Bond | 2.250% | 4/30/21 | 4,000 | 4,074 |
United States Treasury Note/Bond | 3.125% | 5/15/21 | 31,607 | 33,296 |
United States Treasury Note/Bond | 8.125% | 5/15/21 | 1,340 | 1,682 |
24
Intermediate-Term Government Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 1.375% | 5/31/21 | 25,925 | 25,459 |
United States Treasury Note/Bond | 2.000% | 5/31/21 | 26,610 | 26,814 |
United States Treasury Note/Bond | 1.125% | 6/30/21 | 16,150 | 15,678 |
United States Treasury Note/Bond | 2.125% | 6/30/21 | 21,375 | 21,642 |
United States Treasury Note/Bond | 1.125% | 7/31/21 | 15,490 | 15,016 |
United States Treasury Note/Bond | 2.250% | 7/31/21 | 6,200 | 6,305 |
United States Treasury Note/Bond | 2.125% | 8/15/21 | 34,672 | 35,068 |
United States Treasury Note/Bond | 8.125% | 8/15/21 | 1,775 | 2,250 |
United States Treasury Note/Bond | 1.125% | 8/31/21 | 19,628 | 19,015 |
United States Treasury Note/Bond | 2.000% | 8/31/21 | 21,325 | 21,452 |
United States Treasury Note/Bond | 1.125% | 9/30/21 | 24,440 | 23,638 |
United States Treasury Note/Bond | 2.125% | 9/30/21 | 41,690 | 42,146 |
United States Treasury Note/Bond | 1.250% | 10/31/21 | 11,750 | 11,420 |
United States Treasury Note/Bond | 2.000% | 10/31/21 | 38,770 | 38,964 |
United States Treasury Note/Bond | 2.000% | 11/15/21 | 6,013 | 6,043 |
United States Treasury Note/Bond | 8.000% | 11/15/21 | 7,115 | 9,072 |
United States Treasury Note/Bond | 1.750% | 11/30/21 | 5,500 | 5,467 |
United States Treasury Note/Bond | 1.875% | 11/30/21 | 28,725 | 28,707 |
United States Treasury Note/Bond | 2.000% | 12/31/21 | 12,185 | 12,240 |
United States Treasury Note/Bond | 2.125% | 12/31/21 | 12,350 | 12,477 |
United States Treasury Note/Bond | 1.500% | 1/31/22 | 16,500 | 16,180 |
United States Treasury Note/Bond | 1.875% | 1/31/22 | 13,500 | 13,483 |
United States Treasury Note/Bond | 2.000% | 2/15/22 | 31,394 | 31,521 |
United States Treasury Note/Bond | 1.750% | 2/28/22 | 13,346 | 13,231 |
United States Treasury Note/Bond | 1.875% | 2/28/22 | 24,600 | 24,577 |
United States Treasury Note/Bond | 1.750% | 3/31/22 | 14,606 | 14,471 |
United States Treasury Note/Bond | 1.750% | 4/30/22 | 8,500 | 8,415 |
United States Treasury Note/Bond | 1.750% | 5/15/22 | 5,000 | 4,945 |
United States Treasury Note/Bond | 1.875% | 5/31/22 | 11,375 | 11,325 |
United States Treasury Note/Bond | 2.125% | 6/30/22 | 8,900 | 8,964 |
United States Treasury Note/Bond | 2.000% | 7/31/22 | 5,300 | 5,302 |
United States Treasury Note/Bond | 1.625% | 8/15/22 | 4,399 | 4,314 |
United States Treasury Note/Bond | 7.250% | 8/15/22 | 975 | 1,239 |
United States Treasury Note/Bond | 1.875% | 8/31/22 | 15,626 | 15,516 |
United States Treasury Note/Bond | 1.750% | 9/30/22 | 8,300 | 8,179 |
United States Treasury Note/Bond | 1.875% | 10/31/22 | 7,300 | 7,236 |
United States Treasury Note/Bond | 1.625% | 11/15/22 | 39,700 | 38,800 |
United States Treasury Note/Bond | 7.625% | 11/15/22 | 1,975 | 2,570 |
United States Treasury Note/Bond | 2.000% | 11/30/22 | 23,295 | 23,233 |
United States Treasury Note/Bond | 2.125% | 12/31/22 | 10,902 | 10,939 |
United States Treasury Note/Bond | 1.750% | 1/31/23 | 14,200 | 13,943 |
United States Treasury Note/Bond | 2.000% | 2/15/23 | 25,575 | 25,471 |
United States Treasury Note/Bond | 7.125% | 2/15/23 | 2,590 | 3,327 |
United States Treasury Note/Bond | 1.500% | 2/28/23 | 24,265 | 23,465 |
United States Treasury Note/Bond | 1.500% | 3/31/23 | 30,140 | 29,113 |
United States Treasury Note/Bond | 1.625% | 4/30/23 | 16,430 | 15,970 |
United States Treasury Note/Bond | 1.750% | 5/15/23 | 37,625 | 36,825 |
United States Treasury Note/Bond | 1.625% | 5/31/23 | 37,920 | 36,824 |
United States Treasury Note/Bond | 1.375% | 6/30/23 | 18,150 | 17,342 |
United States Treasury Note/Bond | 1.250% | 7/31/23 | 16,725 | 15,837 |
United States Treasury Note/Bond | 2.500% | 8/15/23 | 11,495 | 11,746 |
United States Treasury Note/Bond | 6.250% | 8/15/23 | 1,725 | 2,157 |
United States Treasury Note/Bond | 1.375% | 8/31/23 | 18,975 | 18,088 |
United States Treasury Note/Bond | 1.375% | 9/30/23 | 20,600 | 19,615 |
United States Treasury Note/Bond | 1.625% | 10/31/23 | 14,750 | 14,266 |
25
Intermediate-Term Government Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 2.750% | 11/15/23 | 11,995 | 12,430 |
United States Treasury Note/Bond | 2.125% | 11/30/23 | 14,360 | 14,329 |
United States Treasury Note/Bond | 2.250% | 12/31/23 | 12,500 | 12,560 |
United States Treasury Note/Bond | 2.250% | 1/31/24 | 8,500 | 8,537 |
United States Treasury Note/Bond | 2.750% | 2/15/24 | 39,430 | 40,853 |
United States Treasury Note/Bond | 2.125% | 2/29/24 | 20,000 | 19,916 |
United States Treasury Note/Bond | 2.500% | 5/15/24 | 43,280 | 44,105 |
United States Treasury Note/Bond | 2.375% | 8/15/24 | 33,010 | 33,314 |
United States Treasury Note/Bond | 2.250% | 11/15/24 | 24,416 | 24,378 |
United States Treasury Note/Bond | 7.500% | 11/15/24 | 1,690 | 2,324 |
United States Treasury Note/Bond | 2.000% | 2/15/25 | 40,873 | 39,992 |
United States Treasury Note/Bond | 7.625% | 2/15/25 | 300 | 418 |
United States Treasury Note/Bond | 2.125% | 5/15/25 | 51,785 | 51,057 |
United States Treasury Note/Bond | 2.000% | 8/15/25 | 27,840 | 27,131 |
United States Treasury Note/Bond | 6.875% | 8/15/25 | 1,150 | 1,557 |
United States Treasury Note/Bond | 2.250% | 11/15/25 | 44,405 | 44,065 |
United States Treasury Note/Bond | 1.625% | 2/15/26 | 33,235 | 31,267 |
United States Treasury Note/Bond | 1.625% | 5/15/26 | 37,740 | 35,428 |
United States Treasury Note/Bond | 1.500% | 8/15/26 | 38,565 | 35,715 |
United States Treasury Note/Bond | 2.000% | 11/15/26 | 32,747 | 31,683 |
United States Treasury Note/Bond | 6.500% | 11/15/26 | 3,000 | 4,076 |
United States Treasury Note/Bond | 2.250% | 2/15/27 | 17,500 | 17,328 |
2,027,384 | ||||
Agency Bonds and Notes (3.2%) | ||||
1 AID-Iraq | 2.149% | 1/18/22 | 825 | 826 |
1 AID-Israel | 5.500% | 9/18/23 | 125 | 148 |
1 AID-Israel | 5.500% | 12/4/23 | 500 | 594 |
1 AID-Israel | 5.500% | 4/26/24 | 500 | 597 |
1 AID-Jordan | 2.503% | 10/30/20 | 175 | 180 |
1 AID-Jordan | 2.578% | 6/30/22 | 500 | 510 |
1 AID-Tunisia | 1.416% | 8/5/21 | 510 | 497 |
1 AID-Ukraine | 1.847% | 5/29/20 | 300 | 304 |
1 AID-Ukraine | 1.471% | 9/29/21 | 525 | 513 |
2 Federal Farm Credit Banks | 3.500% | 12/20/23 | 100 | 107 |
2 Federal Home Loan Banks | 1.875% | 3/13/20 | 150 | 151 |
2 Federal Home Loan Banks | 4.125% | 3/13/20 | 8,760 | 9,413 |
2 Federal Home Loan Banks | 3.375% | 6/12/20 | 125 | 132 |
2 Federal Home Loan Banks | 3.125% | 12/11/20 | 1,000 | 1,049 |
2 Federal Home Loan Banks | 5.250% | 12/11/20 | 250 | 282 |
2 Federal Home Loan Banks | 1.375% | 2/18/21 | 975 | 959 |
2 Federal Home Loan Banks | 5.625% | 6/11/21 | 400 | 461 |
2 Federal Home Loan Banks | 1.125% | 7/14/21 | 1,500 | 1,452 |
2 Federal Home Loan Banks | 1.875% | 11/29/21 | 4,200 | 4,181 |
2 Federal Home Loan Banks | 2.000% | 9/9/22 | 1,265 | 1,259 |
2 Federal Home Loan Banks | 2.125% | 3/10/23 | 475 | 474 |
2 Federal Home Loan Banks | 2.875% | 6/14/24 | 200 | 206 |
2 Federal Home Loan Banks | 2.875% | 9/13/24 | 1,000 | 1,028 |
3 Federal Home Loan Mortgage Corp. | 1.375% | 5/1/20 | 2,225 | 2,208 |
3 Federal Home Loan Mortgage Corp. | 1.125% | 8/12/21 | 1,000 | 966 |
3 Federal Home Loan Mortgage Corp. | 2.375% | 1/13/22 | 10,635 | 10,822 |
3 Federal National Mortgage Assn. | 1.625% | 1/21/20 | 20 | 20 |
3 Federal National Mortgage Assn. | 1.500% | 6/22/20 | 1,200 | 1,194 |
3 Federal National Mortgage Assn. | 1.500% | 11/30/20 | 1,000 | 990 |
3 Federal National Mortgage Assn. | 1.875% | 12/28/20 | 2,000 | 2,007 |
3 Federal National Mortgage Assn. | 1.375% | 2/26/21 | 3,285 | 3,232 |
26
Intermediate-Term Government Bond Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
3 | Federal National Mortgage Assn. | 1.250% | 8/17/21 | 1,500 | 1,456 |
3 | Federal National Mortgage Assn. | 1.375% | 10/7/21 | 2,200 | 2,145 |
3 | Federal National Mortgage Assn. | 2.000% | 1/5/22 | 1,000 | 1,000 |
3 | Federal National Mortgage Assn. | 2.625% | 9/6/24 | 4,995 | 5,068 |
3 | Federal National Mortgage Assn. | 2.125% | 4/24/26 | 2,200 | 2,098 |
3 | Federal National Mortgage Assn. | 1.875% | 9/24/26 | 3,090 | 2,874 |
Private Export Funding Corp. | 2.250% | 3/15/20 | 150 | 152 | |
Private Export Funding Corp. | 2.300% | 9/15/20 | 1,075 | 1,089 | |
Private Export Funding Corp. | 2.050% | 11/15/22 | 175 | 173 | |
Private Export Funding Corp. | 3.550% | 1/15/24 | 75 | 80 | |
Private Export Funding Corp. | 2.450% | 7/15/24 | 205 | 203 | |
Private Export Funding Corp. | 3.250% | 6/15/25 | 75 | 78 | |
2 Tennessee Valley Authority | 3.875% | 2/15/21 | 225 | 243 | |
2 Tennessee Valley Authority | 1.875% | 8/15/22 | 125 | 123 | |
2 Tennessee Valley Authority | 2.875% | 9/15/24 | 400 | 410 | |
2 Tennessee Valley Authority | 6.750% | 11/1/25 | 1,225 | 1,604 | |
2 Tennessee Valley Authority | 2.875% | 2/1/27 | 750 | 752 | |
66,310 | |||||
Total U.S. Government and Agency Obligations (Cost $2,130,720) | 2,093,694 | ||||
Shares | |||||
Temporary Cash Investment (0.5%) | |||||
Money Market Fund (0.5%) | |||||
4 | Vanguard Market Liquidity Fund (Cost $11,339) | 0.864% | 113,379 | 11,339 | |
Total Investments (100.1%) (Cost $2,142,059) | 2,105,033 | ||||
Amount | |||||
($000) | |||||
Other Assets and Liabilities (-0.1%) | |||||
Other Assets | |||||
Investment in Vanguard | 148 | ||||
Receivables for Investment Securities Sold | 52,144 | ||||
Receivables for Accrued Income | 8,643 | ||||
Receivables for Capital Shares Issued | 15,418 | ||||
Total Other Assets | 76,353 | ||||
Liabilities | |||||
Payables for Investment Securities Purchased | (61,862) | ||||
Payables for Capital Shares Redeemed | (13,950) | ||||
Payables for Distributions | (206) | ||||
Payables to Vanguard | (375) | ||||
Other Liabilities | (1,648) | ||||
Total Liabilities | (78,041) | ||||
Net Assets (100%) | 2,103,345 |
27
Intermediate-Term Government Bond Index Fund | |
At February 28, 2017, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 2,140,648 |
Undistributed Net Investment Income | 1,219 |
Accumulated Net Realized Losses | (1,496) |
Unrealized Appreciation (Depreciation) | (37,026) |
Net Assets | 2,103,345 |
ETF Shares—Net Assets | |
Applicable to 16,251,191 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,045,136 |
Net Asset Value Per Share—ETF Shares | $64.31 |
Admiral Shares—Net Assets | |
Applicable to 31,863,462 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 691,304 |
Net Asset Value Per Share—Admiral Shares | $21.70 |
Institutional Shares—Net Assets | |
Applicable to 13,629,060 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 366,905 |
Net Asset Value Per Share—Institutional Shares | $26.92 |
• See Note A in Notes toFinancial 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 Theissuer wasplacedunder federalconservatorshipinSeptember 2008;sincethat time,its dailyoperations have been managedbythe
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.
28
Intermediate-Term Government Bond Index Fund | |
Statement of Operations | |
Six Months Ended | |
February 28, 2017 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 16,106 |
Total Income | 16,106 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 32 |
Management and Administrative—ETF Shares | 264 |
Management and Administrative—Admiral Shares | 203 |
Management and Administrative—Institutional Shares | 80 |
Marketing and Distribution—ETF Shares | 39 |
Marketing and Distribution—Admiral Shares | 38 |
Marketing and Distribution—Institutional Shares | 6 |
Custodian Fees | 6 |
Shareholders’ Reports—ETF Shares | 28 |
Shareholders’ Reports—Admiral Shares | 4 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 701 |
Net Investment Income | 15,405 |
Realized Net Gain (Loss) on Investment Securities Sold1 | 898 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | (68,836) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (52,533) |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $14,000 and $2,000, respectively. |
See accompanying Notes, which are an integral part of the Financial Statements.
29
Intermediate-Term Government Bond Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
February 28, | August 31, | |
2017 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 15,405 | 21,805 |
Realized Net Gain (Loss) | 898 | 4,551 |
Change in Unrealized Appreciation (Depreciation) | (68,836) | 27,039 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (52,533) | 53,395 |
Distributions | ||
Net Investment Income | ||
ETF Shares | (7,224) | (8,980) |
Admiral Shares | (5,468) | (8,458) |
Institutional Shares | (2,738) | (3,688) |
Realized Capital Gain1 | ||
ETF Shares | (1,196) | (180) |
Admiral Shares | (889) | (178) |
Institutional Shares | (450) | (92) |
Total Distributions | (17,965) | (21,576) |
Capital Share Transactions | ||
ETF Shares | 170,342 | 534,498 |
Admiral Shares | 5,636 | 339,752 |
Institutional Shares | 107,542 | 58,786 |
Net Increase (Decrease) from Capital Share Transactions | 283,520 | 933,036 |
Total Increase (Decrease) | 213,022 | 964,855 |
Net Assets | ||
Beginning of Period | 1,890,323 | 925,468 |
End of Period2 | 2,103,345 | 1,890,323 |
1 Includes fiscal 2017 and 2016 short-term gain distributions totaling $417,000 and $200,000, 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 $1,219,000 and $1,244,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
30
Intermediate-Term Government Bond Index Fund | |||||||
Financial Highlights | |||||||
ETF Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $66.54 | $64.80 | $64.14 | $62.96 | $66.58 | $64.91 | |
Investment Operations | |||||||
Net Investment Income | .487 | 1.035 | 1.054 | .920 | .861 | 1.097 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | (2.143) | 1.770 | .649 | 1.292 | (2.940) | 1.791 | |
Total from Investment Operations | (1.656) | 2.805 | 1.703 | 2.212 | (2.079) | 2.888 | |
Distributions | |||||||
Dividends from Net Investment Income | (.493) | (1.038) | (1.043) | (.843) | (.861) | (1.094) | |
Distributions from Realized Capital Gains | (.081) | (.027) | — | (.189) | (.680) | (.124) | |
Total Distributions | (.574) | (1.065) | (1.043) | (1.032) | (1.541) | (1.218) | |
Net Asset Value, End of Period | $64.31 | $66.54 | $64.80 | $64.14 | $62.96 | $66.58 | |
Total Return | -2.49% | 4.37% | 2.67% | 3.54% | -3.18% | 4.50% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $1,045 | $908 | $360 | $164 | $123 | $133 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% | 0.12% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.54% | 1.61% | 1.67% | 1.50% | 1.32% | 1.67% | |
Portfolio Turnover Rate1 | 33% | 37% | 35% | 43% | 54% | 51% | |
The expense ratio, net investment 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.
31
Intermediate-Term Government Bond Index Fund | |||||||
Financial Highlights | |||||||
Admiral Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $22.45 | $21.86 | $21.64 | $21.27 | $22.50 | $21.94 | |
Investment Operations | |||||||
Net Investment Income | .165 | .349 | .355 | .317 | .292 | .369 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | (.719) | .601 | .220 | .432 | (1.000) | .602 | |
Total from Investment Operations | (.554) | .950 | .575 | .749 | (.708) | .971 | |
Distributions | |||||||
Dividends from Net Investment Income | (.168) | (.351) | (.355) | (.315) | (.292) | (.369) | |
Distributions from Realized Capital Gains | (.028) | (.009) | — | (.064) | (.230) | (.042) | |
Total Distributions | (.196) | (.360) | (.355) | (.379) | (.522) | (.411) | |
Net Asset Value, End of Period | $21.70 | $22.45 | $21.86 | $21.64 | $21.27 | $22.50 | |
Total Return1 | -2.47% | 4.38% | 2.67% | 3.55% | -3.21% | 4.47% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $691 | $710 | $358 | $232 | $95 | $35 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% | 0.12% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.54% | 1.61% | 1.67% | 1.50% | 1.32% | 1.67% | |
Portfolio Turnover Rate2 | 33% | 37% | 35% | 43% | 54% | 51% | |
The expense ratio, net investment 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.
32
Intermediate-Term Government Bond Index Fund | |||||||
Financial Highlights | |||||||
Institutional Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $27.86 | $27.12 | $26.85 | $26.39 | $27.91 | $27.21 | |
Investment Operations | |||||||
Net Investment Income | .206 | .437 | .447 | .400 | .368 | .466 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | (.901) | .752 | .271 | .536 | (1.235) | .752 | |
Total from Investment Operations | (.695) | 1.189 | .718 | .936 | (.867) | 1.218 | |
Distributions | |||||||
Dividends from Net Investment Income | (.211) | (.438) | (.448) | (.397) | (.368) | (.465) | |
Distributions from Realized Capital Gains | (.034) | (.011) | — | (.079) | (.285) | (.053) | |
Total Distributions | (.245) | (.449) | (.448) | (.476) | (.653) | (.518) | |
Net Asset Value, End of Period | $26.92 | $27.86 | $27.12 | $26.85 | $26.39 | $27.91 | |
Total Return1 | -2.50% | 4.42% | 2.69% | 3.58% | -3.17% | 4.52% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $367 | $272 | $208 | $54 | $59 | $117 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.05% | 0.05% | 0.07% | 0.09% | 0.09% | 0.09% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.56% | 1.63% | 1.70% | 1.53% | 1.35% | 1.70% | |
Portfolio Turnover Rate2 | 33% | 37% | 35% | 43% | 54% | 51% | |
The expense ratio, net investment 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.
33
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 are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the 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, 2013–2016), and for the period ended February 28, 2017, 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 $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 28, 2017, 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
34
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 28, 2017, the fund had contributed to Vanguard capital in the amount of $148,000, 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 28, 2017, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 2,093,694 | — |
Temporary Cash Investments | 11,339 | — | — |
Total | 11,339 | 2,093,694 | — |
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 28, 2017, the fund realized $1,590,000 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.
35
Intermediate-Term Government Bond Index Fund
At February 28, 2017, the cost of investment securities for tax purposes was $2,142,059,000.
Net unrealized depreciation of investment securities for tax purposes was $37,026,000, consisting of unrealized gains of $1,259,000 on securities that had risen in value since their purchase and $38,285,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 28, 2017, the fund purchased $742,070,000 of investment securities and sold $456,300,000 of investment securities, other than temporary cash investments. Purchases and sales include $293,958,000 and $125,510,000, 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 28, 2017 | August 31, 2016 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 297,204 | 4,550 | 609,814 | 9,250 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (126,862) | (1,950) | (75,316) | (1,150) |
Net Increase (Decrease)—ETF Shares | 170,342 | 2,600 | 534,498 | 8,100 |
Admiral Shares | ||||
Issued | 173,998 | 7,925 | 520,311 | 23,394 |
Issued in Lieu of Cash Distributions | 5,544 | 254 | 7,829 | 352 |
Redeemed | (173,906) | (7,963) | (188,388) | (8,485) |
Net Increase (Decrease)—Admiral Shares | 5,636 | 216 | 339,752 | 15,261 |
Institutional Shares | ||||
Issued | 132,307 | 4,792 | 225,833 | 8,188 |
Issued in Lieu of Cash Distributions | 2,757 | 102 | 3,524 | 128 |
Redeemed | (27,522) | (1,016) | (170,571) | (6,217) |
Net Increase (Decrease)—Institutional Shares | 107,542 | 3,878 | 58,786 | 2,099 |
G. Management has determined that no material events or transactions occurred subsequent to February 28, 2017, that would require recognition or disclosure in these financial statements.
36
Long-Term Government Bond Index Fund
Fund Profile
As of February 28, 2017
Share-Class Characteristics | |||
ETF | Admiral Institutional | ||
Shares | Shares | Shares | |
Ticker Symbol | VGLT | VLGSX | VLGIX |
Expense Ratio1 | 0.07% | 0.07% | 0.05% |
30-Day SEC Yield | 2.89% | 2.90% | 2.91% |
Financial Attributes | |||
Bloomberg | |||
Barclays | Bloomberg | ||
Long Gov | Barclays | ||
Float Adj | Aggregate | ||
Fund | Index | FA Index | |
Number of Bonds | 70 | 81 | 10,166 |
Yield toMaturity | |||
(before expenses) | 2.9% | 2.9% | 2.5% |
Average Coupon | 3.5% | 3.5% | 3.0% |
Average Duration 17.1 years | 17.4 years | 6.1 years | |
Average Effective | |||
Maturity | 24.6 years | 24.9 years | 8.3 years |
Short-Term | |||
Reserves | 0.8% | — | — |
Sector Diversification (% of portfolio) | |
Treasury/Agency | 99.2% |
Other | 0.8 |
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 creditof the U.S.
government.
Volatility Measures | ||
Bloomberg | ||
Barclays | Bloomberg | |
Long Gov | Barclays | |
Float Adj | Aggregate | |
Index | FA Index | |
R-Squared | 0.99 | 0.87 |
Beta | 1.05 | 3.47 |
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 | 0.8% |
5 - 10 Years | 0.3 |
10 - 20 Years | 12.3 |
20 - 30 Years | 86.3 |
Over 30 Years | 0.3 |
Distribution by Credit Quality (% of portfolio) | |
U.S. Government | 99.2% |
Aaa | 0.8 |
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.Formoreinformationabouttheseratings,seethe Glossary entry for Credit Quality.
Investment Focus
1 The expense ratios shown are from the prospectus dated December 22, 2016, and represent estimated costs for the current fiscal year. For the six
months ended February 28, 2017, the annualized expense ratios were 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional
Shares.
37
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 28, 2017 | ||
Bloomberg | ||
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 | 16.96 | 16.59 |
2017 | -11.13 | -11.19 |
Note: For 2017, performance data reflect the six months ended February 28, 2017. |
Average Annual Total Returns: Periods Ended December 31, 2016
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% | 2.44% | 6.17% | |||
Net Asset Value | 1.33 | 2.45 | 6.17 | |||
Admiral Shares | 3/1/2010 | 1.30 | 2.45 | 3.14% | 3.49% | 6.63 |
Institutional Shares | 7/30/2010 | 1.38 | 2.48 | 3.11 | 2.41 | 5.52 |
See Financial Highlights for dividend and capital gains information.
38
Long-Term Government Bond Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2017
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 (99.5%) | ||||
U.S. Government Securities (95.1%) | ||||
United States Treasury Note/Bond | 6.500% | 11/15/26 | 255 | 346 |
United States Treasury Note/Bond | 6.375% | 8/15/27 | 4,088 | 5,590 |
United States Treasury Note/Bond | 6.125% | 11/15/27 | 3,028 | 4,088 |
United States Treasury Note/Bond | 5.500% | 8/15/28 | 9,053 | 11,800 |
United States Treasury Note/Bond | 5.250% | 11/15/28 | 6,119 | 7,848 |
United States Treasury Note/Bond | 5.250% | 2/15/29 | 4,425 | 5,696 |
United States Treasury Note/Bond | 6.125% | 8/15/29 | 3,225 | 4,484 |
United States Treasury Note/Bond | 6.250% | 5/15/30 | 5,037 | 7,168 |
United States Treasury Note/Bond | 5.375% | 2/15/31 | 12,048 | 16,171 |
United States Treasury Note/Bond | 4.500% | 2/15/36 | 2,610 | 3,337 |
United States Treasury Note/Bond | 4.750% | 2/15/37 | 7,285 | 9,585 |
United States Treasury Note/Bond | 4.375% | 2/15/38 | 6,639 | 8,359 |
United States Treasury Note/Bond | 4.500% | 5/15/38 | 6,266 | 8,017 |
United States Treasury Note/Bond | 3.500% | 2/15/39 | 12,551 | 13,920 |
United States Treasury Note/Bond | 4.250% | 5/15/39 | 10,531 | 12,965 |
United States Treasury Note/Bond | 4.500% | 8/15/39 | 9,300 | 11,834 |
United States Treasury Note/Bond | 4.375% | 11/15/39 | 15,447 | 19,328 |
United States Treasury Note/Bond | 4.625% | 2/15/40 | 19,197 | 24,857 |
United States Treasury Note/Bond | 4.375% | 5/15/40 | 14,698 | 18,395 |
United States Treasury Note/Bond | 3.875% | 8/15/40 | 13,873 | 16,169 |
United States Treasury Note/Bond | 4.250% | 11/15/40 | 14,818 | 18,242 |
United States Treasury Note/Bond | 4.750% | 2/15/41 | 12,943 | 17,095 |
United States Treasury Note/Bond | 4.375% | 5/15/41 | 11,749 | 14,749 |
United States Treasury Note/Bond | 3.750% | 8/15/41 | 10,665 | 12,195 |
United States Treasury Note/Bond | 3.125% | 11/15/41 | 2,436 | 2,513 |
United States Treasury Note/Bond | 3.125% | 2/15/42 | 15,406 | 15,895 |
United States Treasury Note/Bond | 3.000% | 5/15/42 | 4,770 | 4,811 |
United States Treasury Note/Bond | 2.750% | 8/15/42 | 22,635 | 21,758 |
United States Treasury Note/Bond | 2.750% | 11/15/42 | 27,349 | 26,272 |
United States Treasury Note/Bond | 3.125% | 2/15/43 | 25,755 | 26,507 |
United States Treasury Note/Bond | 2.875% | 5/15/43 | 31,345 | 30,801 |
United States Treasury Note/Bond | 3.625% | 8/15/43 | 22,070 | 24,815 |
United States Treasury Note/Bond | 3.750% | 11/15/43 | 22,962 | 26,385 |
United States Treasury Note/Bond | 3.625% | 2/15/44 | 37,525 | 42,204 |
United States Treasury Note/Bond | 3.375% | 5/15/44 | 32,930 | 35,472 |
United States Treasury Note/Bond | 3.125% | 8/15/44 | 41,770 | 42,997 |
United States Treasury Note/Bond | 3.000% | 11/15/44 | 30,655 | 30,799 |
39
Long-Term Government Bond Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 2.500% | 2/15/45 | 25,460 | 23,109 |
United States Treasury Note/Bond | 3.000% | 5/15/45 | 28,980 | 29,102 |
United States Treasury Note/Bond | 2.875% | 8/15/45 | 31,195 | 30,561 |
United States Treasury Note/Bond | 3.000% | 11/15/45 | 33,734 | 33,871 |
United States Treasury Note/Bond | 2.500% | 2/15/46 | 45,910 | 41,577 |
United States Treasury Note/Bond | 2.500% | 5/15/46 | 28,835 | 26,105 |
United States Treasury Note/Bond | 2.250% | 8/15/46 | 20,570 | 17,603 |
United States Treasury Note/Bond | 2.875% | 11/15/46 | 28,075 | 27,544 |
United States Treasury Note/Bond | 3.000% | 2/15/47 | 11,970 | 12,052 |
844,991 | ||||
Agency Bonds and Notes (4.4%) | ||||
1 AID-Israel | 5.500% | 9/18/33 | 150 | 197 |
2 Federal Home Loan Banks | 5.500% | 7/15/36 | 1,550 | 2,052 |
3 Federal Home Loan Mortgage Corp. | 6.750% | 9/15/29 | 913 | 1,277 |
3 Federal Home Loan Mortgage Corp. | 6.750% | 3/15/31 | 2,990 | 4,262 |
3 Federal Home Loan Mortgage Corp. | 6.250% | 7/15/32 | 2,924 | 4,076 |
3 Federal National Mortgage Assn. | 6.250% | 5/15/29 | 700 | 939 |
3 Federal National Mortgage Assn. | 7.125% | 1/15/30 | 1,730 | 2,499 |
3 Federal National Mortgage Assn. | 7.250% | 5/15/30 | 3,575 | 5,240 |
3 Federal National Mortgage Assn. | 6.625% | 11/15/30 | 3,830 | 5,390 |
3 Federal National Mortgage Assn. | 5.625% | 7/15/37 | 675 | 911 |
3 Federal National Mortgage Assn. | 6.210% | 8/6/38 | 300 | 431 |
2 Tennessee Valley Authority | 7.125% | 5/1/30 | 650 | 931 |
2 Tennessee Valley Authority | 4.700% | 7/15/33 | 100 | 118 |
2 Tennessee Valley Authority | 4.650% | 6/15/35 | 575 | 674 |
2 Tennessee Valley Authority | 5.880% | 4/1/36 | 2,010 | 2,684 |
2 Tennessee Valley Authority | 6.150% | 1/15/38 | 165 | 228 |
2 Tennessee Valley Authority | 5.500% | 6/15/38 | 586 | 759 |
2 Tennessee Valley Authority | 5.250% | 9/15/39 | 2,392 | 3,026 |
2 Tennessee Valley Authority | 3.500% | 12/15/42 | 250 | 248 |
2 Tennessee Valley Authority | 4.875% | 1/15/48 | 245 | 288 |
2 Tennessee Valley Authority | 5.375% | 4/1/56 | 815 | 1,048 |
2 Tennessee Valley Authority | 4.625% | 9/15/60 | 850 | 970 |
2 Tennessee Valley Authority | 4.250% | 9/15/65 | 600 | 637 |
38,885 | ||||
Total U.S. Government and Agency Obligations (Cost $932,915) | 883,876 | |||
Shares | ||||
Temporary Cash Investment (0.9%) | ||||
Money Market Fund (0.9%) | ||||
4 Vanguard Market Liquidity Fund (Cost $7,356) | 0.864% | 73,555 | 7,356 | |
Total Investments (100.4%) (Cost $940,271) | 891,232 |
40
Long-Term Government Bond Index Fund | |
Amount | |
($000) | |
Other Assets and Liabilities (-0.4%) | |
Other Assets | |
Investment in Vanguard | 65 |
Receivables for Investment Securities Sold | 4,054 |
Receivables for Accrued Income | 4,849 |
Receivables for Capital Shares Issued | 1,194 |
Total Other Assets | 10,162 |
Liabilities | |
Payables for Investment Securities Purchased | (12,017) |
Payables for Capital Shares Redeemed | (681) |
Payables for Distributions | (68) |
Payables to Vanguard | (241) |
Other Liabilities | (291) |
Total Liabilities | (13,298) |
Net Assets (100%) | 888,096 |
At February 28, 2017, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 957,429 |
Undistributed Net Investment Income | 889 |
Accumulated Net Realized Losses | (21,183) |
Unrealized Appreciation (Depreciation) | (49,039) |
Net Assets | 888,096 |
ETF Shares—Net Assets | |
Applicable to 5,963,283 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 448,136 |
Net Asset Value Per Share—ETF Shares | $75.15 |
Admiral Shares—Net Assets | |
Applicable to 10,746,226 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 271,057 |
Net Asset Value Per Share—Admiral Shares | $25.22 |
Institutional Shares—Net Assets | |
Applicable to 5,276,084 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 168,903 |
Net Asset Value Per Share—Institutional Shares | $32.01 |
• See Note A in Notes toFinancial 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 Theissuer wasplacedunder federalconservatorshipinSeptember 2008;sincethat time,its dailyoperations have been managedbythe
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.
41
Long-Term Government Bond Index Fund | |
Statement of Operations | |
Six Months Ended | |
February 28, 2017 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 12,774 |
Total Income | 12,774 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 15 |
Management and Administrative—ETF Shares | 135 |
Management and Administrative—Admiral Shares | 88 |
Management and Administrative—Institutional Shares | 30 |
Marketing and Distribution—ETF Shares | 21 |
Marketing and Distribution—Admiral Shares | 16 |
Marketing and Distribution—Institutional Shares | 2 |
Custodian Fees | 4 |
Shareholders’ Reports—ETF Shares | 15 |
Shareholders’ Reports—Admiral Shares | 5 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 332 |
Net Investment Income | 12,442 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | (4,918) |
Futures Contracts | 51 |
Realized Net Gain (Loss) | (4,867) |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | (132,786) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (125,211) |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $7,000 and $0, respectively. |
See accompanying Notes, which are an integral part of the Financial Statements.
42
Long-Term Government Bond Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
February 28, | August 31, | |
2017 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 12,442 | 20,744 |
Realized Net Gain (Loss) | (4,867) | 25,043 |
Change in Unrealized Appreciation (Depreciation) | (132,786) | 81,087 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (125,211) | 126,874 |
Distributions | ||
Net Investment Income | ||
ETF Shares | (6,911) | (11,086) |
Admiral Shares | (3,991) | (5,615) |
Institutional Shares | (1,847) | (3,463) |
Realized Capital Gain | ||
ETF Shares | — | — |
Admiral Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (12,749) | (20,164) |
Capital Share Transactions | ||
ETF Shares | (56,803) | 266,095 |
Admiral Shares | (55,361) | 215,021 |
Institutional Shares | 48,102 | (33,186) |
Net Increase (Decrease) from Capital Share Transactions | (64,062) | 447,930 |
Total Increase (Decrease) | (202,022) | 554,640 |
Net Assets | ||
Beginning of Period | 1,090,118 | 535,478 |
End of Period1 | 888,096 | 1,090,118 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $889,000 and $1,196,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
43
Long-Term Government Bond Index Fund | |||||||
Financial Highlights | |||||||
ETF Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $85.64 | $75.13 | $73.93 | $66.33 | $78.69 | $68.07 | |
Investment Operations | |||||||
Net Investment Income | .975 | 2.021 | 2.073 | 2.100 | 2.055 | 2.213 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | (10.476) | 10.511 | 1.206 | 7.429 | (12.216) | 10.611 | |
Total from Investment Operations | (9.501) | 12.532 | 3.279 | 9.529 | (10.161) | 12.824 | |
Distributions | |||||||
Dividends from Net Investment Income | (.989) | (2.022) | (2.079) | (1.929) | (2.056) | (2.204) | |
Distributions from Realized Capital Gains | — | — | — | — | (.143) | — | |
Total Distributions | (.989) | (2.022) | (2.079) | (1.929) | (2.199) | (2.204) | |
Net Asset Value, End of Period | $75.15 | $85.64 | $75.13 | $73.93 | $66.33 | $78.69 | |
Total Return | -11.13% | 16.96% | 4.44% | 14.65% | -13.13% | 19.06% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $448 | $578 | $252 | $107 | $63 | $75 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% | 0.12% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 2.56% | 2.58% | 2.76% | 3.17% | 2.80% | 2.99% | |
Portfolio Turnover Rate1 | 28% | 18% | 24% | 23% | 54% | 46% | |
The expense ratio, net investment 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.
44
Long-Term Government Bond Index Fund | |||||||
Financial Highlights | |||||||
Admiral Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $28.75 | $25.21 | $24.81 | $22.32 | $26.48 | $22.91 | |
Investment Operations | |||||||
Net Investment Income | .328 | .679 | .698 | .711 | .693 | .746 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | (3.524) | 3.540 | .399 | 2.491 | (4.112) | 3.567 | |
Total from Investment Operations | (3.196) | 4.219 | 1.097 | 3.202 | (3.419) | 4.313 | |
Distributions | |||||||
Dividends from Net Investment Income | (.334) | (.679) | (.697) | (.712) | (.693) | (.743) | |
Distributions from Realized Capital Gains | — | — | — | — | (.048) | — | |
Total Distributions | (.334) | (.679) | (.697) | (.712) | (.741) | (.743) | |
Net Asset Value, End of Period | $25.22 | $28.75 | $25.21 | $24.81 | $22.32 | $26.48 | |
Total Return1 | -11.13% | 16.97% | 4.40% | 14.63% | -13.13% | 19.05% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $271 | $374 | $130 | $44 | $6 | $5 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% | 0.12% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 2.56% | 2.58% | 2.76% | 3.17% | 2.80% | 2.99% | |
Portfolio Turnover Rate2 | 28% | 18% | 24% | 23% | 54% | 46% | |
The expense ratio, net investment 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.
45
Long-Term Government Bond Index Fund | |||||||
Financial Highlights | |||||||
Institutional Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $36.49 | $32.00 | $31.48 | $28.32 | $33.60 | $29.06 | |
Investment Operations | |||||||
Net Investment Income | .422 | .868 | .896 | .910 | .890 | .956 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | (4.474) | 4.492 | .517 | 3.161 | (5.219) | 4.537 | |
Total from Investment Operations | (4.052) | 5.360 | 1.413 | 4.071 | (4.329) | 5.493 | |
Distributions | |||||||
Dividends from Net Investment Income | (.428) | (.870) | (.893) | (.911) | (.890) | (.953) | |
Distributions from Realized Capital Gains | — | — | — | — | (.061) | — | |
Total Distributions | (.428) | (.870) | (.893) | (.911) | (.951) | (.953) | |
Net Asset Value, End of Period | $32.01 | $36.49 | $32.00 | $31.48 | $28.32 | $33.60 | |
Total Return1 | -11.12% | 16.99% | 4.47% | 14.66% | -13.10% | 19.13% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $169 | $138 | $154 | $95 | $37 | $84 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.05% | 0.05% | 0.07% | 0.09% | 0.09% | 0.09% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 2.58% | 2.60% | 2.79% | 3.20% | 2.83% | 3.02% | |
Portfolio Turnover Rate2 | 28% | 18% | 24% | 23% | 54% | 46% | |
The expense ratio, net investment 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.
46
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 are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the 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 28, 2017, the fund’s average investments in long and short futures contracts each represented 0% 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 28, 2017.
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, 2013–2016), and for the period ended February 28, 2017, 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. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 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,
47
Long-Term Government Bond Index Fund
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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 28, 2017, 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 28, 2017, the fund had contributed to Vanguard capital in the amount of $65,000, 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).
48
Long-Term Government Bond Index Fund
The following table summarizes the market value of the fund’s investments as of February 28, 2017, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 883,876 | — |
Temporary Cash Investments | 7,356 | — | — |
Total | 7,356 | 883,876 | — |
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 28, 2017, the fund realized $5,824,000 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, 2016, the fund had available capital losses totaling $10,492,000 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, 2017; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2017, the cost of investment securities for tax purposes was $940,271,000. Net unrealized depreciation of investment securities for tax purposes was $49,039,000, consisting of unrealized gains of $942,000 on securities that had risen in value since their purchase and $49,981,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 28, 2017, the fund purchased $387,833,000 of investment securities and sold $447,682,000 of investment securities, other than temporary cash investments. Purchases and sales include $251,821,000 and $308,905,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
49
Long-Term Government Bond Index Fund
F. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
February 28, 2017 | August 31, 2016 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 255,653 | 3,308 | 471,835 | 5,903 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (312,456) | (4,100) | (205,740) | (2,500) |
Net Increase (Decrease)—ETF Shares | (56,803) | (792) | 266,095 | 3,403 |
Admiral Shares | ||||
Issued | 88,018 | 3,365 | 306,304 | 11,244 |
Issued in Lieu of Cash Distributions | 3,625 | 140 | 5,157 | 190 |
Redeemed | (147,004) | (5,772) | (96,440) | (3,572) |
Net Increase (Decrease)—Admiral Shares | (55,361) | (2,267) | 215,021 | 7,862 |
Institutional Shares | ||||
Issued | 54,056 | 1,693 | 29,337 | 869 |
Issued in Lieu of Cash Distributions | 1,847 | 57 | 3,462 | 102 |
Redeemed | (7,801) | (243) | (65,985) | (2,007) |
Net Increase (Decrease)—Institutional Shares | 48,102 | 1,507 | (33,186) | (1,036) |
G. Management has determined that no material events or transactions occurred subsequent to February 28, 2017, that would require recognition or disclosure in these financial statements.
50
Short-Term Corporate Bond Index Fund
Fund Profile
As of February 28, 2017
Share-Class Characteristics | |||
ETF | Admiral Institutional | ||
Shares | Shares | Shares | |
Ticker Symbol | VCSH | VSCSX | VSTBX |
Expense Ratio1 | 0.07% | 0.07% | 0.05% |
30-Day SEC Yield | 2.17% | 2.17% | 2.19% |
Financial Attributes | |||
Bloomberg | |||
Barclays | Bloomberg | ||
1–5 Year | Barclays | ||
Corporate | Aggregate | ||
Fund | Index | FA Index | |
Number of Bonds | 2,132 | 2,175 | 10,166 |
Yield to Maturity | |||
(before expenses) | 2.2% | 2.2% | 2.5% |
Average Coupon | 3.4% | 3.5% | 3.0% |
Average Duration | 2.7 years | 2.8 years | 6.1 years |
Average Effective | |||
Maturity | 2.9 years | 2.9 years | 8.3 years |
Short-Term | |||
Reserves | 0.9% | — | — |
Sector Diversification (% of portfolio) | |
Finance | 40.7% |
Industrial | 53.6 |
Treasury/Agency | 0.2 |
Utilities | 5.0 |
Other | 0.5 |
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 creditof the U.S.
government.
Volatility Measures | ||
Bloomberg | ||
Barclays | Bloomberg | |
1–5 Year | Barclays | |
Corporate | Aggregate | |
Index | FA Index | |
R-Squared | 0.99 | 0.77 |
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 | 3.5% |
1 - 3 Years | 50.4 |
3 - 5 Years | 45.9 |
5 - 10 Years | 0.2 |
Distribution by Credit Quality (% of portfolio) | |
U.S. Government | 0.2% |
Aaa | 1.7 |
Aa | 14.9 |
A | 39.7 |
Baa | 43.5 |
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
agenciesare used, the lowerrating foreach issueis 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, 2016, and represent estimated costs for the current fiscal year. For the six
months ended February 28, 2017, the annualized expense ratios were 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional
Shares.
51
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 28, 2017 | ||
Bloomberg | ||
Barclays | ||
1 – 5 | ||
Year | ||
ETF Shares Net Asset Value | Corporate | |
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 | 3.71 | 3.78 |
2017 | 0.01 | 0.16 |
Note: For 2017, performance data reflect the six months ended February 28, 2017. |
Average Annual Total Returns: Periods Ended December 31, 2016
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 | 2.57% | 2.51% | 3.01% | |||
Net Asset Value | 2.63 | 2.58 | 2.98 | |||
Admiral Shares | 11/18/2010 | 2.63 | 2.58 | 2.09% | 0.41% | 2.50 |
Institutional Shares | 11/19/2009 | 2.65 | 2.60 | 2.15 | 0.87 | 3.02 |
See Financial Highlights for dividend and capital gains information.
52
Short-Term Corporate Bond Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 28, 2017
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 | 1.375% | 2/15/20 | 115,285 | 114,907 | 0.5% |
United States Treasury | |||||
Note/Bond | 1.875% | 2/28/22 | 63,890 | 63,830 | 0.3% |
1 United States Treasury | |||||
Note/Bond | 1.125% | 1/31/19 | 55,000 | 54,897 | 0.3% |
United States Treasury | |||||
Note/Bond | 1.125%–1.250% | 12/31/18–2/28/19 | 9,938 | 9,943 | 0.0% |
Total U.S. Government and Agency Obligations (Cost $243,742) | 243,577 | 1.1% | |||
Corporate Bonds | |||||
Finance | |||||
Banking | |||||
Associates Corp. of North America | 6.950% | 11/1/18 | 90 | 97 | 0.0% |
Bank of America Corp. | 6.875% | 4/25/18 | 57,756 | 61,057 | 0.3% |
Bank of America Corp. | 2.600% | 1/15/19 | 50,995 | 51,624 | 0.2% |
Bank of America Corp. | 2.650% | 4/1/19 | 38,072 | 38,570 | 0.2% |
Bank of America Corp. | 5.650% | 5/1/18 | 36,353 | 37,926 | 0.2% |
Bank of America Corp. | 5.700% | 1/24/22 | 32,766 | 36,759 | 0.2% |
Bank of America Corp. | 5.625% | 7/1/20 | 32,515 | 35,795 | 0.2% |
2 Bank of America Corp. | 1.950%–7.625% | 9/1/17–1/20/23 | 178,687 | 186,716 | 0.9% |
Bank of America NA | 1.650%–2.050% | 3/26/18–12/7/18 | 59,261 | 59,461 | 0.3% |
Bear Stearns Cos. LLC | 4.650% | 7/2/18 | 7,890 | 8,172 | 0.0% |
Citigroup Inc. | 2.900% | 12/8/21 | 37,871 | 37,934 | 0.2% |
Citigroup Inc. | 4.500% | 1/14/22 | 33,983 | 36,350 | 0.2% |
Citigroup Inc. | 1.700%–8.500% | 4/27/18–8/2/21 | 285,646 | 287,958 | 1.3% |
Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 54,096 | 60,942 | 0.3% |
Goldman Sachs Group Inc. | 6.150% | 4/1/18 | 41,894 | 43,860 | 0.2% |
Goldman Sachs Group Inc. | 5.250% | 7/27/21 | 35,363 | 38,846 | 0.2% |
53
Short-Term Corporate Bond Index Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
Goldman Sachs Group Inc. | 2.000%–7.500% | 7/19/18–4/26/22 | 310,274 | 319,003 | 1.5% |
HSBC Bank USA NA | 4.875% | 8/24/20 | 12,986 | 13,837 | 0.1% |
HSBC Holdings plc | 2.650% | 1/5/22 | 44,650 | 43,957 | 0.2% |
HSBC Holdings plc | 3.400% | 3/8/21 | 35,414 | 36,290 | 0.2% |
HSBC Holdings plc | 2.950%–5.100% | 4/5/21–1/14/22 | 62,257 | 65,530 | 0.3% |
HSBC USA Inc. | 1.700%–5.000% | 3/5/18–9/27/20 | 79,052 | 79,592 | 0.4% |
JPMorgan Chase & Co. | 2.250% | 1/23/20 | 50,728 | 50,927 | 0.2% |
JPMorgan Chase & Co. | 4.500% | 1/24/22 | 41,205 | 44,461 | 0.2% |
JPMorgan Chase & Co. | 2.295% | 8/15/21 | 37,130 | 36,685 | 0.2% |
JPMorgan Chase & Co. | 2.750% | 6/23/20 | 34,165 | 34,685 | 0.1% |
JPMorgan Chase & Co. | 1.625%–6.300% | 3/1/18–8/15/21 | 306,796 | 317,273 | 1.5% |
JPMorgan Chase Bank NA | 1.450%–1.650% | 9/21/18–9/23/19 | 14,107 | 14,063 | 0.1% |
Mitsubishi UFJ Financial | |||||
Group Inc. | 2.950% | 3/1/21 | 42,907 | 43,319 | 0.2% |
Morgan Stanley | 2.500% | 4/21/21 | 40,046 | 39,794 | 0.2% |
Morgan Stanley | 5.625% | 9/23/19 | 36,564 | 39,579 | 0.2% |
Morgan Stanley | 2.650% | 1/27/20 | 37,814 | 38,227 | 0.2% |
Morgan Stanley | 6.625% | 4/1/18 | 33,821 | 35,560 | 0.1% |
Morgan Stanley | 2.125%–7.300% | 4/25/18–11/17/21 | 282,714 | 294,401 | 1.4% |
UBS AG | 2.375% | 8/14/19 | 36,998 | 37,306 | 0.2% |
Wells Fargo & Co. | 2.100% | 7/26/21 | 42,875 | 41,986 | 0.2% |
Wells Fargo & Co. | 2.600% | 7/22/20 | 36,793 | 37,224 | 0.2% |
Wells Fargo & Co. | 2.125%–4.600% | 1/15/19–4/1/21 | 141,365 | 143,370 | 0.7% |
Wells Fargo Bank NA | 1.750%–2.150% | 11/28/18–12/6/19 | 57,095 | 57,192 | 0.3% |
3 Banking—Other † | 3,842,402 | 18.2% | |||
Brokerage † | 167,476 | 0.8% | |||
Finance Companies | |||||
GE Capital International Funding Co. | 2.342% | 11/15/20 | 77,649 | 78,234 | 0.4% |
HSBC Finance Corp. | 6.676% | 1/15/21 | 30,647 | 34,608 | 0.1% |
3 Finance Companies—Other † | 228,422 | 1.1% | |||
Insurance | |||||
Berkshire Hathaway Finance | |||||
Corp. | 1.300%–5.400% | 3/7/18–1/15/21 | 79,617 | 81,067 | 0.4% |
Berkshire Hathaway Inc. | 1.150%–3.750% | 8/15/18–1/31/22 | 36,565 | 37,188 | 0.2% |
Insurance—Other † | 621,261 | 2.9% | |||
Other Finance † | 60 | 0.0% | |||
Real Estate Investment Trusts † | 390,171 | 1.9% | |||
8,367,217 | 39.8% | ||||
Industrial | |||||
Basic Industry | |||||
Lubrizol Corp. | 8.875% | 2/1/19 | 4,466 | 5,065 | 0.0% |
3 Basic Industry—Other † | 567,474 | 2.7% | |||
Capital Goods | |||||
General Electric Capital | |||||
Corp. | 1.625%–6.000% | 4/2/18–10/17/21 | 147,880 | 159,381 | 0.8% |
Precision Castparts Corp. | 2.250% | 6/15/20 | 7,025 | 7,065 | 0.0% |
3 Capital Goods—Other † | 901,145 | 4.3% | |||
Communication | |||||
AT&T Inc. | 2.300%–5.875% | 5/15/18–3/1/22 | 227,839 | 236,352 | 1.1% |
Verizon Communications Inc. | 4.500% | 9/15/20 | 42,885 | 45,800 | 0.2% |
Verizon Communications Inc. | 3.650% | 9/14/18 | 34,231 | 35,252 | 0.2% |
3 Communication—Other † | 1,005,020 | 4.8% |
54
Short-Term Corporate Bond Index Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
Consumer Cyclical | ||||||
Ford Motor Co. | 6.500% | 8/1/18 | 850 | 903 | 0.0% | |
Ford Motor Credit Co. LLC | 1.897%–8.125% | 5/15/18–1/9/22 | 251,063 | 258,517 | 1.3% | |
Visa Inc. | 2.200% | 12/14/20 | 42,060 | 42,274 | 0.2% | |
Consumer Cyclical—Other † | 1,350,465 | 6.4% | ||||
Consumer Noncyclical | ||||||
Abbott Laboratories | 2.900% | 11/30/21 | 41,020 | 41,100 | 0.2% | |
AbbVie Inc. | 2.500% | 5/14/20 | 48,095 | 48,347 | 0.2% | |
Actavis Funding SCS | 3.000% | 3/12/20 | 36,178 | 36,797 | 0.2% | |
Anheuser-Busch Cos. LLC | 5.000% | 3/1/19 | 5,156 | 5,472 | 0.0% | |
Anheuser-Busch InBev Finance Inc. | 2.650% | 2/1/21 | 96,292 | 97,311 | 0.4% | |
Anheuser-Busch InBev Finance Inc. | 1.900% | 2/1/19 | 51,938 | 52,076 | 0.2% | |
Anheuser-Busch InBev Finance Inc. | 2.150% | 2/1/19 | 21,884 | 22,065 | 0.1% | |
Anheuser-Busch InBev | ||||||
Worldwide Inc. | 5.375% | 1/15/20 | 31,975 | 34,911 | 0.2% | |
Anheuser-Busch InBev | ||||||
Worldwide Inc. | 2.200%–7.750% | 7/15/18–1/15/22 | 63,819 | 69,582 | 0.3% | |
Medtronic Inc. | 2.500% | 3/15/20 | 36,476 | 37,001 | 0.2% | |
Novartis Securities Investment Ltd. | 5.125% | 2/10/19 | 34,778 | 37,096 | 0.2% | |
Shire Acquisitions Investments | ||||||
Ireland DAC | 1.900% | 9/23/19 | 39,200 | 38,883 | 0.2% | |
Shire Acquisitions Investments | ||||||
Ireland DAC | 2.400% | 9/23/21 | 38,263 | 37,400 | 0.2% | |
Teva Pharmaceutical Finance | ||||||
Netherlands III BV | 2.200% | 7/21/21 | 36,674 | 35,313 | 0.2% | |
3 Consumer Noncyclical—Other † | 2,435,372 | 11.6% | ||||
Energy † | 1,642,480 | 7.8% | ||||
Other Industrial † | 3,554 | 0.0% | ||||
Technology | ||||||
Apple Inc. | 1.000% | 5/3/18 | 44,198 | 44,066 | 0.2% | |
Apple Inc. | 2.250% | 2/23/21 | 39,475 | 39,617 | 0.2% | |
Apple Inc. | 1.100%–2.850% | 2/8/19–2/9/22 | 163,631 | 163,787 | 0.8% | |
3 Broadcom Corp. / Broadcom | ||||||
Cayman Finance Ltd. | 3.000% | 1/15/22 | 39,450 | 39,450 | 0.2% | |
3 Diamond 1 Finance Corp. / | ||||||
Diamond 2 Finance Corp. | 4.420% | 6/15/21 | 49,567 | 52,025 | 0.2% | |
3 Diamond 1 Finance Corp. / | ||||||
Diamond 2 Finance Corp. | 3.480% | 6/1/19 | 44,880 | 45,869 | 0.2% | |
Hewlett Packard Enterprise Co. | 3.600% | 10/15/20 | 36,776 | 37,719 | 0.2% | |
Microsoft Corp. | 1.000%–4.200% | 5/1/18–2/12/22 | 220,861 | 221,300 | 1.1% | |
Oracle Corp. | 1.900% | 9/15/21 | 49,990 | 49,039 | 0.2% | |
3 Technology—Other † | 1,009,786 | 4.8% | ||||
Transportation | ||||||
Burlington Northern Santa | ||||||
Fe LLC | 3.450%–5.750% | 3/15/18–9/15/21 | 29,848 | 31,477 | 0.1% | |
Transportation—Other † | 189,987 | 0.9% | ||||
11,213,595 | 53.3% | |||||
Utilities | ||||||
Electric | ||||||
Berkshire Hathaway Energy | ||||||
Co. | 2.000%–5.750% | 4/1/18–2/1/20 | 19,143 | 19,691 | 0.1% | |
MidAmerican Energy Co. | 2.400%–5.300% | 3/15/18–3/15/19 | 3,433 | 3,505 | 0.0% | |
Nevada Power Co. | 6.500%–7.125% | 5/15/18–3/15/19 | 19,743 | 21,428 | 0.1% |
55
Short-Term Corporate Bond Index Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
PacifiCorp | 2.950%–5.650% | 7/15/18–2/1/22 | 19,258 | 20,220 | 0.1% |
3 Electric—Other † | 915,975 | 4.4% | |||
Natural Gas † | 70,901 | 0.3% | |||
Other Utility † | 3,127 | 0.0% | |||
1,054,847 | 5.0% | ||||
Total Corporate Bonds (Cost $20,613,648) | 20,635,659 | 98.1% | |||
Taxable Municipal Bonds (Cost $10,882) † | 10,828 | 0.1% | |||
Shares | |||||
Temporary Cash Investment | |||||
Money Market Fund | |||||
4 Vanguard Market Liquidity Fund | |||||
(Cost $200,109) | 0.864% | 2,000,887 | 200,109 | 0.9% | |
Total Investments (Cost $21,068,381) | 21,090,173 | 100.2% | |||
Amount | |||||
($000) | |||||
Other Assets and Liabilities | |||||
Other Assets | |||||
Investment in Vanguard | 1,410 | ||||
Receivables for Investment Securities Sold | 68,009 | ||||
Receivables for Accrued Income | 176,671 | ||||
Receivables for Capital Shares Issued | 46,897 | ||||
Other Assets | 2,806 | ||||
Total Other Assets | 295,793 | 1.4% | |||
Liabilities | |||||
Payables for Investment Securities Purchased | (335,467) | ||||
Payables for Capital Shares Redeemed | (3,663) | ||||
Payables for Distributions | (1,284) | ||||
Payables to Vanguard | (4,530) | ||||
Other Liabilities | (1,575) | ||||
Total Liabilities | (346,519) | (1.6%) | |||
Net Assets | 21,039,447 | 100.0% | |||
At February 28, 2017, net assets consisted of: | |||||
Amount | |||||
($000) | |||||
Paid-in Capital | 21,007,021 | ||||
Undistributed Net Investment Income | 31,947 | ||||
Accumulated Net Realized Losses | (21,313) | ||||
Unrealized Appreciation (Depreciation) | 21,792 | ||||
Net Assets | 21,039,447 |
56
Short-Term Corporate Bond Index Fund | |
Amount | |
($000) | |
ETF Shares—Net Assets | |
Applicable to 219,020,976 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 17,453,896 |
Net Asset Value Per Share—ETF Shares | $79.69 |
Admiral Shares—Net Assets | |
Applicable to 110,472,373 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 2,393,560 |
Net Asset Value Per Share—Admiral Shares | $21.67 |
Institutional Shares—Net Assets | |
Applicable to 44,945,963 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,191,991 |
Net Asset Value Per Share—Institutional Shares | $26.52 |
• See Note A in Notes toFinancial 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 Securities with a value of $1,978,000 have been segregated as initial margin for recently closed futures contracts.
2 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and
prepayments or the possibility of the issue being called.
3 Certainofthe fund’s securitiesareexemptfromregistration underRule 144AoftheSecuritiesActof1933.Suchsecurities may besoldin
transactions exempt from registration, normally toqualified institutional buyers. At February 28,2017,the aggregate value of these
securities was $257,027,000, representing 1.2% of net assets.
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.
57
Short-Term Corporate Bond Index Fund | |
Statement of Operations | |
Six Months Ended | |
February 28, 2017 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 207,877 |
Total Income | 207,877 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 299 |
Management and Administrative—ETF Shares | 4,787 |
Management and Administrative—Admiral Shares | 594 |
Management and Administrative—Institutional Shares | 235 |
Marketing and Distribution—ETF Shares | 483 |
Marketing and Distribution—Admiral Shares | 112 |
Marketing and Distribution—Institutional Shares | 17 |
Custodian Fees | 60 |
Shareholders’ Reports—ETF Shares | 182 |
Shareholders’ Reports—Admiral Shares | 12 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 7 |
Total Expenses | 6,788 |
Net Investment Income | 201,089 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | 4,538 |
Futures Contracts | 115 |
Realized Net Gain (Loss) | 4,653 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | (190,861) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 14,881 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $350,000 and $6,000, respectively. |
See accompanying Notes, which are an integral part of the Financial Statements.
58
Short-Term Corporate Bond Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
February 28, | August 31, | |
2017 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 201,089 | 297,082 |
Realized Net Gain (Loss) | 4,653 | (18,790) |
Change in Unrealized Appreciation (Depreciation) | (190,861) | 239,761 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 14,881 | 518,053 |
Distributions | ||
Net Investment Income | ||
ETF Shares | (159,545) | (238,185) |
Admiral Shares | (22,295) | (32,914) |
Institutional Shares | (11,497) | (18,203) |
Realized Capital Gain1 | ||
ETF Shares | — | (8,713) |
Admiral Shares | — | (1,082) |
Institutional Shares | — | (649) |
Total Distributions | (193,337) | (299,746) |
Capital Share Transactions | ||
ETF Shares | 3,481,161 | 3,563,464 |
Admiral Shares | 455,062 | 711,799 |
Institutional Shares | 182,124 | 261,911 |
Net Increase (Decrease) from Capital Share Transactions | 4,118,347 | 4,537,174 |
Total Increase (Decrease) | 3,939,891 | 4,755,481 |
Net Assets | ||
Beginning of Period | 17,099,556 | 12,344,075 |
End of Period2 | 21,039,447 | 17,099,556 |
1 Includes fiscal 2017 and 2016 short-term gain distributions totaling $0 and $614,000, 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 $31,947,000 and $24,195,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
59
Short-Term Corporate Bond Index Fund | |||||||
Financial Highlights | |||||||
ETF Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $80.52 | $79.33 | $80.21 | $78.97 | $79.78 | $78.06 | |
Investment Operations | |||||||
Net Investment Income | .840 | 1.661 | 1.504 | 1.436 | 1.523 | 1.793 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | (.836) | 1.240 | (.743) | 1.305 | (.699) | 1.808 | |
Total from Investment Operations | .004 | 2.901 | .761 | 2.741 | .824 | 3.601 | |
Distributions | |||||||
Dividends from Net Investment Income | (.834) | (1.648) | (1.492) | (1.321) | (1.517) | (1.789) | |
Distributions from Realized Capital Gains | — | (.063) | (.149) | (.180) | (.117) | (.092) | |
Total Distributions | (.834) | (1.711) | (1.641) | (1.501) | (1.634) | (1.881) | |
Net Asset Value, End of Period | $79.69 | $80.52 | $79.33 | $80.21 | $78.97 | $79.78 | |
Total Return | 0.01% | 3.71% | 0.96% | 3.50% | 1.03% | 4.68% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $17,454 | $14,121 | $10,377 | $8,430 | $6,705 | $3,686 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% | 0.12% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 2.18% | 2.11% | 1.90% | 1.82% | 1.92% | 2.33% | |
Portfolio Turnover Rate1 | 59% | 57% | 62% | 56% | 61% | 65% | |
The expense ratio, net investment 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.
60
Short-Term Corporate Bond Index Fund | |||||||
Financial Highlights | |||||||
Admiral Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $21.89 | $21.57 | $21.81 | $21.51 | $21.73 | $21.26 | |
Investment Operations | |||||||
Net Investment Income | .230 | .451 | .409 | .395 | .414 | .488 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | (.222) | .337 | (.199) | .347 | (.189) | .494 | |
Total from Investment Operations | .008 | .788 | .210 | .742 | .225 | .982 | |
Distributions | |||||||
Dividends from Net Investment Income | (.228) | (.451) | (.410) | (.393) | (.413) | (.487) | |
Distributions from Realized Capital Gains | — | (.017) | (.040) | (.049) | (.032) | (.025) | |
Total Distributions | (.228) | (.468) | (.450) | (.442) | (.445) | (.512) | |
Net Asset Value, End of Period | $21.67 | $21.89 | $21.57 | $21.81 | $21.51 | $21.73 | |
Total Return1 | 0.04% | 3.70% | 0.97% | 3.47% | 1.03% | 4.69% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $2,394 | $1,959 | $1,222 | $821 | $76 | $25 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% | 0.12% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 2.18% | 2.11% | 1.90% | 1.82% | 1.92% | 2.33% | |
Portfolio Turnover Rate2 | 59% | 57% | 62% | 56% | 61% | 65% | |
The expense ratio, net investment 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.
61
Short-Term Corporate Bond Index Fund | |||||||
Financial Highlights | |||||||
Institutional Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $26.80 | $26.41 | $26.71 | $26.33 | $26.60 | $26.03 | |
Investment Operations | |||||||
Net Investment Income | .286 | .558 | .509 | .491 | .516 | .605 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | (.284) | .413 | (.249) | .437 | (.233) | .599 | |
Total from Investment Operations | .002 | .971 | .260 | .928 | .283 | 1.204 | |
Distributions | |||||||
Dividends from Net Investment Income | (.282) | (.560) | (.510) | (.488) | (.514) | (.603) | |
Distributions from Realized Capital Gains | — | (.021) | (.050) | (.060) | (.039) | (.031) | |
Total Distributions | (.282) | (.581) | (.560) | (.548) | (.553) | (.634) | |
Net Asset Value, End of Period | $26.52 | $26.80 | $26.41 | $26.71 | $26.33 | $26.60 | |
Total Return1 | 0.01% | 3.72% | 0.98% | 3.55% | 1.06% | 4.70% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $1,192 | $1,020 | $745 | $634 | $262 | $161 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.05% | 0.05% | 0.07% | 0.09% | 0.09% | 0.09% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 2.20% | 2.13% | 1.93% | 1.85% | 1.95% | 2.36% | |
Portfolio Turnover Rate2 | 59% | 57% | 62% | 56% | 61% | 65% | |
The expense ratio, net investment 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.
62
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 are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the 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 28, 2017, 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. The fund had no open futures contracts at February 28, 2017.
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, 2013–2016), and for the period ended February 28, 2017, 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.
63
Short-Term Corporate Bond Index Fund
5. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 28, 2017, 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 28, 2017, the fund had contributed to Vanguard capital in the amount of $1,410,000, representing 0.01% of the fund’s net assets and 0.56% 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).
64
Short-Term Corporate Bond Index Fund
The following table summarizes the market value of the fund’s investments as of February 28, 2017, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 243,577 | — |
Corporate Bonds | — | 20,635,659 | — |
Taxable Municipal Bonds | — | 10,828 | — |
Temporary Cash Investments | 200,109 | — | — |
Futures Contracts—Assets1 | 965 | — | — |
Total | 201,074 | 20,890,064 | — |
1 Represents variation margin on the last day of the reporting period for recently closed futures contracts. |
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 28, 2017, the fund realized $312,000 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, 2016, the fund had available capital losses totaling $22,947,000 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, 2017; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2017, the cost of investment securities for tax purposes was $21,071,043,000. Net unrealized appreciation of investment securities for tax purposes was $19,130,000, consisting of unrealized gains of $77,447,000 on securities that had risen in value since their purchase and $58,317,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 28, 2017, the fund purchased $6,894,840,000 of investment securities and sold $2,855,549,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $2,898,256,000 and $2,712,919,000, respectively. Total purchases and sales include $3,446,364,000 and $61,263,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capitalshares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 28, 2017, such purchases and sales were $1,684,486,000 and $102,951,000 respectively; these amounts are included in the purchases and sales of investment securities noted above.
65
Short-Term Corporate Bond Index Fund
F. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
February 28, 2017 | August 31, 2016 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 3,544,668 | 44,442 | 3,706,576 | 46,374 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (63,507) | (800) | (143,112) | (1,800) |
Net Increase (Decrease)—ETF Shares | 3,481,161 | 43,642 | 3,563,464 | 44,574 |
Admiral Shares | ||||
Issued | 971,262 | 44,808 | 1,294,752 | 59,705 |
Issued in Lieu of Cash Distributions | 17,960 | 829 | 28,222 | 1,301 |
Redeemed | (534,160) | (24,655) | (611,175) | (28,178) |
Net Increase (Decrease)—Admiral Shares | 455,062 | 20,982 | 711,799 | 32,828 |
Institutional Shares | ||||
Issued | 276,705 | 10,451 | 395,051 | 14,846 |
Issued in Lieu of Cash Distributions | 8,993 | 339 | 15,170 | 571 |
Redeemed | (103,574) | (3,900) | (148,310) | (5,567) |
Net Increase (Decrease)—Institutional Shares | 182,124 | 6,890 | 261,911 | 9,850 |
G. Management has determined that no material events or transactions occurred subsequent to February 28, 2017, that would require recognition or disclosure in these financial statements.
66
Intermediate-Term Corporate Bond Index Fund
Fund Profile
As of February 28, 2017
Share-Class Characteristics | |||
ETF | Admiral | Institutional | |
Shares | Shares | Shares | |
Ticker Symbol | VCIT | VICSX | VICBX |
Expense Ratio1 | 0.07% | 0.07% | 0.05% |
30-Day SEC Yield | 3.35% | 3.35% | 3.37% |
Financial Attributes | |||
Bloomberg | |||
Barclays | Bloomberg | ||
5–10 Year | Barclays | ||
Corporate | Aggregate | ||
Fund | Index | FA Index | |
Number of Bonds | 1,833 | 1,864 | 10,166 |
Yield to Maturity | |||
(before expenses) | 3.3% | 3.4% | 2.5% |
Average Coupon | 3.6% | 3.7% | 3.0% |
Average Duration | 6.3 years | 6.5 years | 6.1 years |
Average Effective | |||
Maturity | 7.3 years | 7.3 years | 8.3 years |
Short-Term | |||
Reserves | 1.2% | — | — |
Sector Diversification (% of portfolio) | |
Finance | 33.1% |
Industrial | 60.9 |
Utilities | 5.5 |
Other | 0.5 |
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 creditof the U.S.
government.
Volatility Measures | ||
Bloomberg | ||
Barclays | Bloomberg | |
5–10 Year | Barclays | |
Corporate | Aggregate | |
Index | FA Index | |
R-Squared | 0.99 | 0.89 |
Beta | 1.02 | 1.26 |
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 | 0.8% |
1 - 3 Years | 0.1 |
3 - 5 Years | 4.6 |
5 - 10 Years | 94.5 |
Distribution by Credit Quality (% of portfolio) | |
Aaa | 2.1% |
Aa | 7.6 |
A | 35.6 |
Baa | 54.6 |
Less Than Baa | 0.1 |
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 agenciesare used, the lowerrating foreach issueis 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, 2016, and represent estimated costs for the current fiscal year. For the six
months ended February 28, 2017, the annualized expense ratios were 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional
Shares.
67
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 28, 2017 | ||
Bloomberg | ||
Barclays | ||
5 – 10 | ||
Year | ||
ETF Shares Net Asset Value | Corporate | |
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 | 9.58 | 9.46 |
2017 | -1.78 | -1.58 |
Note: For 2017, performance data reflect the six months ended February 28, 2017. |
Average Annual Total Returns: Periods Ended December 31, 2016
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 | 5.27% | 4.40% | 5.80% | |||
Net Asset Value | 5.30 | 4.54 | 5.75 | |||
Admiral Shares | 3/2/2010 | 5.30 | 4.55 | 3.61% | 2.05% | 5.66 |
Fee-Adjusted Returns | 5.03 | 4.50 | 5.62 | |||
Institutional Shares | 11/19/2009 | 5.35 | 4.57 | 3.66 | 2.13 | 5.79 |
Fee-Adjusted Returns | 5.08 | 4.52 | 5.76 |
Vanguard fundreturnsareadjustedtoreflectthe0.25%feeon purchasesof fundshares. Thefee does notapplytothe ETFShares. The
Fiscal-YearTotalReturnstableisnotadjustedforfees.
See Financial Highlights for dividend and capital gains information.
68
Intermediate-Term Corporate Bond Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 28, 2017
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 2.250% | 2/15/27 | 65,915 | 65,266 | 0.5% | ||
U.S. Government Securities—Other † | 22,414 | 0.1% | ||||
Total U.S. Government and Agency Obligations (Cost $87,694) | 87,680 | 0.6% | ||||
Corporate Bonds | ||||||
Finance | ||||||
Banking | ||||||
Bank of America Corp. | 3.300% | 1/11/23 | 37,350 | 37,583 | 0.3% | |
Bank of America Corp. | 3.875% | 8/1/25 | 30,807 | 31,435 | 0.2% | |
Bank of America Corp. | 4.200% | 8/26/24 | 29,022 | 29,941 | 0.2% | |
Bank of America Corp. | 4.000% | 4/1/24 | 28,342 | 29,365 | 0.2% | |
Bank of America Corp. | 4.125% | 1/22/24 | 26,472 | 27,622 | 0.2% | |
Bank of America Corp. | 3.950% | 4/21/25 | 26,424 | 26,512 | 0.2% | |
1 | Bank of America Corp. | 2.503%–6.220% | 5/13/21–1/20/28 | 130,263 | 131,280 | 1.0% |
Bank One Corp. | 7.625% | 10/15/26 | 5,520 | 7,073 | 0.1% | |
Citigroup Inc. | 3.200% | 10/21/26 | 32,170 | 30,948 | 0.2% | |
1 | Citigroup Inc. | 3.300%–5.500% | 7/30/22–1/10/28 | 181,217 | 184,314 | 1.3% |
Credit Suisse AG | 3.625% | 9/9/24 | 29,700 | 30,157 | 0.2% | |
Goldman Sachs Group Inc. | 4.000% | 3/3/24 | 30,186 | 31,399 | 0.2% | |
Goldman Sachs Group Inc. | 3.500% | 11/16/26 | 29,050 | 28,529 | 0.2% | |
Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 28,058 | 28,035 | 0.2% | |
Goldman Sachs Group Inc. | 3.000%–5.950% | 4/26/22–1/26/27 | 133,602 | 136,356 | 1.0% | |
HSBC Bank plc | 7.650% | 5/1/25 | 776 | 946 | 0.0% | |
HSBC Holdings plc | 4.300% | 3/8/26 | 28,745 | 30,031 | 0.2% | |
HSBC Holdings plc | 3.600%–5.100% | 4/5/21–11/23/26 | 109,724 | 111,834 | 0.8% | |
HSBC USA Inc. | 3.500% | 6/23/24 | 5,675 | 5,758 | 0.1% | |
JPMorgan Chase & Co. | 3.250% | 9/23/22 | 26,915 | 27,462 | 0.2% | |
JPMorgan Chase & Co. | 3.900% | 7/15/25 | 26,155 | 27,136 | 0.2% | |
1 | JPMorgan Chase & Co. | 2.700%–4.350% | 8/15/21–2/1/28 | 253,967 | 254,032 | 1.8% |
Mitsubishi UFJ Financial | ||||||
Group Inc. | 3.850% | 3/1/26 | 26,653 | 27,406 | 0.2% |
69
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 | 31,583 | 32,647 | 0.3% |
Morgan Stanley | 4.000% | 7/23/25 | 31,504 | 32,497 | 0.3% |
Morgan Stanley | 3.875% | 1/27/26 | 30,850 | 31,393 | 0.2% |
Morgan Stanley | 3.700% | 10/23/24 | 28,334 | 28,936 | 0.2% |
Morgan Stanley | 3.125%–6.250% | 11/1/22–1/20/27 | 145,826 | 150,035 | 1.1% |
Wachovia Corp. | 6.605%–7.574% | 10/1/25–8/1/26 | 2,250 | 2,794 | 0.0% |
Wells Fargo & Co. | 3.000% | 10/23/26 | 30,810 | 29,493 | 0.2% |
Wells Fargo & Co. | 3.069% | 1/24/23 | 27,500 | 27,673 | 0.2% |
Wells Fargo & Co. | 3.550% | 9/29/25 | 26,768 | 26,982 | 0.2% |
Wells Fargo & Co. | 3.000% | 2/19/25 | 27,765 | 26,936 | 0.2% |
Wells Fargo & Co. | 3.000%–4.480% | 3/8/22–6/3/26 | 127,595 | 129,237 | 0.9% |
2 Banking—Other † | 1,150,209 | 8.3% | |||
Brokerage † | 197,596 | 1.4% | |||
Finance Companies † | 68,936 | 0.5% | |||
Insurance | |||||
Berkshire Hathaway Finance | |||||
Corp. | 3.000% | 5/15/22 | 6,811 | 6,982 | 0.1% |
Berkshire Hathaway Inc. | 2.750%–3.125% | 2/11/23–3/15/26 | 53,189 | 53,419 | 0.4% |
Insurance—Other † | 607,580 | 4.3% | |||
Other Finance † | 963 | 0.0% | |||
2 Real Estate Investment Trusts † | 677,384 | 4.9% | |||
4,556,846 | 32.9% | ||||
Industrial | |||||
2 Basic Industry † | 424,984 | 3.1% | |||
Capital Goods | |||||
Precision Castparts Corp. | 2.500%–3.250% | 1/15/23–6/15/25 | 19,604 | 19,529 | 0.1% |
2 Capital Goods—Other † | 624,982 | 4.5% | |||
Communication | |||||
AT&T Inc. | 3.400% | 5/15/25 | 32,451 | 31,339 | 0.2% |
AT&T Inc. | 3.000% | 6/30/22 | 29,840 | 29,629 | 0.2% |
AT&T Inc. | 3.600% | 2/17/23 | 29,038 | 29,310 | 0.2% |
AT&T Inc. | 3.950% | 1/15/25 | 26,825 | 26,984 | 0.2% |
AT&T Inc. | 2.625%–4.450% | 3/1/22–2/17/26 | 76,702 | 77,542 | 0.6% |
Charter Communications | |||||
Operating LLC / Charter | |||||
Communications | |||||
Operating Capital | 4.908% | 7/23/25 | 37,431 | 39,500 | 0.3% |
Charter Communications | |||||
Operating LLC / Charter | |||||
Communications | |||||
Operating Capital | 4.464% | 7/23/22 | 26,900 | 28,251 | 0.2% |
Pacific Bell Telephone Co. | 7.125% | 3/15/26 | 1,202 | 1,477 | 0.0% |
Verizon Communications | |||||
Inc. | 5.150% | 9/15/23 | 73,391 | 80,791 | 0.6% |
2 Verizon Communications | |||||
Inc. | 2.450%–4.150% | 3/15/22–8/15/26 | 92,982 | 91,163 | 0.6% |
2 Communication—Other † | 652,635 | 4.7% | |||
Consumer Cyclical | |||||
Visa Inc. | 3.150% | 12/14/25 | 36,950 | 37,484 | 0.3% |
Consumer Cyclical—Other † | 923,207 | 6.6% | |||
Consumer Noncyclical | |||||
Abbott Laboratories | 3.750% | 11/30/26 | 28,310 | 28,282 | 0.2% |
AbbVie Inc. | 3.600% | 5/14/25 | 33,395 | 33,273 | 0.2% |
AbbVie Inc. | 2.900% | 11/6/22 | 27,727 | 27,576 | 0.2% |
Actavis Funding SCS | 3.800% | 3/15/25 | 41,649 | 41,953 | 0.3% |
70
Intermediate-Term Corporate Bond Index Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
Anheuser-Busch InBev | |||||
Finance Inc. | 3.650% | 2/1/26 | 96,869 | 98,481 | 0.7% |
Anheuser-Busch InBev | |||||
Finance Inc. | 3.300% | 2/1/23 | 52,129 | 53,126 | 0.4% |
Anheuser-Busch InBev | |||||
Finance Inc. | 2.625%–3.700% | 1/17/23–2/1/24 | 24,938 | 25,360 | 0.2% |
Anheuser-Busch InBev | |||||
Worldwide Inc. | 2.500% | 7/15/22 | 31,154 | 30,882 | 0.2% |
2 Anheuser-Busch North | |||||
American Holding Corp. | 3.750% | 1/15/22 | 750 | 790 | 0.0% |
Gilead Sciences Inc. | 3.650% | 3/1/26 | 26,418 | 26,780 | 0.2% |
Medtronic Inc. | 3.500% | 3/15/25 | 33,129 | 33,919 | 0.3% |
Shire Acquisitions Investments | |||||
Ireland DAC | 2.875% | 9/23/23 | 35,555 | 34,357 | 0.3% |
Teva Pharmaceutical Finance | |||||
Netherlands III BV | 3.150% | 10/1/26 | 30,891 | 28,581 | 0.2% |
Consumer Noncyclical—Other † | 1,778,181 | 12.8% | |||
2 Energy † | 1,368,920 | 9.9% | |||
Other Industrial † | 26,239 | 0.2% | |||
Technology | |||||
Apple Inc. | 2.400% | 5/3/23 | 52,988 | 52,135 | 0.4% |
Apple Inc. | 3.250% | 2/23/26 | 26,413 | 26,801 | 0.2% |
Apple Inc. | 2.450%–3.450% | 5/13/22–2/9/27 | 135,147 | 135,633 | 1.0% |
2 Broadcom Corp. / Broadcom | |||||
Cayman Finance Ltd. | 3.875% | 1/15/27 | 42,200 | 42,517 | 0.3% |
2 Diamond 1 Finance Corp. / | |||||
Diamond 2 Finance Corp. | 6.020% | 6/15/26 | 39,698 | 43,753 | 0.3% |
2 Diamond 1 Finance Corp. / | |||||
Diamond 2 Finance Corp. | 5.450% | 6/15/23 | 38,140 | 41,246 | 0.3% |
Microsoft Corp. | 3.300% | 2/6/27 | 33,200 | 33,844 | 0.3% |
Microsoft Corp. | 2.400% | 8/8/26 | 35,558 | 33,700 | 0.2% |
Microsoft Corp. | 2.000%–3.625% | 11/3/22–11/3/25 | 114,991 | 114,580 | 0.8% |
Oracle Corp. | 2.400%–3.625% | 5/15/22–7/15/26 | 140,227 | 139,621 | 1.0% |
2 Technology—Other † | 611,017 | 4.4% | |||
Transportation | |||||
1 BNSF Funding Trust I | 6.613% | 12/15/55 | 1,890 | 2,157 | 0.0% |
Burlington Northern Santa | |||||
Fe LLC | 3.000%–7.000% | 3/15/22–12/15/25 | 51,017 | 53,477 | 0.4% |
Transportation—Other † | 232,198 | 1.7% | |||
8,318,186 | 60.0% | ||||
Utilities | |||||
Electric | |||||
Berkshire Hathaway | |||||
Energy Co. | 3.500%–3.750% | 11/15/23–2/1/25 | 11,160 | 11,593 | 0.1% |
MidAmerican Energy Co. | 3.500%–3.700% | 9/15/23–10/15/24 | 4,823 | 5,002 | 0.0% |
PacifiCorp | 2.950%–3.600% | 6/1/23–7/1/25 | 8,910 | 9,105 | 0.1% |
Sierra Pacific Power Co. | 2.600%–3.375% | 8/15/23–5/1/26 | 5,300 | 5,141 | 0.1% |
2 Electric—Other † | 656,093 | 4.7% | |||
Natural Gas † | 45,459 | 0.3% | |||
Other Utility † | 10,819 | 0.1% | |||
743,212 | 5.4% | ||||
Total Corporate Bonds (Cost $13,559,676) | 13,618,244 | 98.3% | |||
Taxable Municipal Bonds (Cost $1,485) † | 1,507 | 0.0% |
71
Intermediate-Term Corporate Bond Index Fund | ||||
Market | Percentage | |||
Value• | of Net | |||
Coupon | Shares | ($000) | Assets | |
Temporary Cash Investment | ||||
Money Market Fund | ||||
3 Vanguard Market Liquidity Fund | ||||
(Cost $165,415) | 0.864% | 1,653,978 | 165,415 | 1.2% |
Total Investments (Cost $13,814,270) | 13,872,846 | 100.1% | ||
Amount | ||||
($000) | ||||
Other Assets and Liabilities | ||||
Other Assets | ||||
Investment in Vanguard | 944 | |||
Receivables for Investment Securities Sold | 74,303 | |||
Receivables for Accrued Income | 131,389 | |||
Receivables for Capital Shares Issued | 35,570 | |||
Other Assets | 494 | |||
Total Other Assets | 242,700 | 1.8% | ||
Liabilities | ||||
Payables for Investment Securities Purchased | (250,136) | |||
Payables for Capital Shares Redeemed | (903) | |||
Payables for Distributions | (786) | |||
Payables to Vanguard | (2,613) | |||
Other Liabilities | (6,319) | |||
Total Liabilities | (260,757) | (1.9%) | ||
Net Assets | 13,854,789 | 100.0% | ||
At February 28, 2017, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 13,793,363 | |||
Undistributed Net Investment Income | 33,741 | |||
Accumulated Net Realized Losses | (30,891) | |||
Unrealized Appreciation (Depreciation) | 58,576 | |||
Net Assets | 13,854,789 |
72
Intermediate-Term Corporate Bond Index Fund | |
Amount | |
($000) | |
ETF Shares—Net Assets | |
Applicable to 146,111,528 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 12,635,182 |
Net Asset Value Per Share—ETF Shares | $86.48 |
Admiral Shares—Net Assets | |
Applicable to 33,709,176 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 784,483 |
Net Asset Value Per Share—Admiral Shares | $23.27 |
Institutional Shares—Net Assets | |
Applicable to 15,130,877 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 435,124 |
Net Asset Value Per Share—Institutional Shares | $28.76 |
• See Note A in Notes toFinancial 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 Certainofthe fund’s securitiesareexemptfromregistration underRule 144AoftheSecuritiesActof1933.Suchsecurities may besoldin
transactions exempt from registration, normally toqualified institutional buyers. At February 28,2017,the aggregate value of these
securities was $292,961,000, representing 2.1% 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.
See accompanying Notes, which are an integral part of the Financial Statements.
73
Intermediate-Term Corporate Bond Index Fund | ||
Statement of Operations | ||
Six Months Ended | ||
February 28, 2017 | ||
($000) | ||
Investment Income | ||
Income | ||
Interest1 | 197,797 | |
Total Income | 197,797 | |
Expenses | ||
The Vanguard Group—Note B | ||
Investment Advisory Services | 189 | |
Management and Administrative—ETF Shares | 3,064 | |
Management and Administrative—Admiral Shares | 209 | |
Management and Administrative—Institutional Shares | 83 | |
Marketing and Distribution—ETF Shares | 415 | |
Marketing and Distribution—Admiral Shares | 38 | |
Marketing and Distribution—Institutional Shares | 6 | |
Custodian Fees | 44 | |
Shareholders’ Reports—ETF Shares | 178 | |
Shareholders’ Reports—Admiral Shares | 6 | |
Shareholders’ Reports—Institutional Shares | — | |
Trustees’ Fees and Expenses | 4 | |
Total Expenses | 4,236 | |
Net Investment Income | 193,561 | |
Realized Net Gain (Loss) | ||
Investment Securities Sold1 | 8,407 | |
Futures Contracts | (310) | |
Realized Net Gain (Loss) | 8,097 | |
Change in Unrealized Appreciation (Depreciation) | ||
Investment Securities | (389,022) | |
Futures Contracts | (22) | |
Change in Unrealized Appreciation (Depreciation) | (389,044) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (187,386) | |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $184,000 and $2,000, respectively. |
See accompanying Notes, which are an integral part of the Financial Statements.
74
Intermediate-Term Corporate Bond Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
February 28, | August 31, | |
2017 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 193,561 | 278,340 |
Realized Net Gain (Loss) | 8,097 | (13,790) |
Change in Unrealized Appreciation (Depreciation) | (389,044) | 535,211 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (187,386) | 799,761 |
Distributions | ||
Net Investment Income | ||
ETF Shares | (168,340) | (237,627) |
Admiral Shares | (11,733) | (17,675) |
Institutional Shares | (6,307) | (11,793) |
Realized Capital Gain | ||
ETF Shares | — | — |
Admiral Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (186,380) | (267,095) |
Capital Share Transactions | ||
ETF Shares | 2,923,333 | 4,175,449 |
Admiral Shares | 108,944 | 245,617 |
Institutional Shares | 61,013 | 27,275 |
Net Increase (Decrease) from Capital Share Transactions | 3,093,290 | 4,448,341 |
Total Increase (Decrease) | 2,719,524 | 4,981,007 |
Net Assets | ||
Beginning of Period | 11,135,265 | 6,154,258 |
End of Period1 | 13,854,789 | 11,135,265 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $33,741,000 and $26,560,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
75
Intermediate-Term Corporate Bond Index Fund | |||||||
Financial Highlights | |||||||
ETF Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $89.47 | $84.39 | $86.98 | $82.31 | $86.78 | $81.49 | |
Investment Operations | |||||||
Net Investment Income | 1.391 | 2.831 | 2.767 | 2.724 | 2.715 | 2.966 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments1 | (2.985) | 5.083 | (2.473) | 5.024 | (4.042) | 5.350 | |
Total from Investment Operations | (1.594) | 7.914 | .294 | 7.748 | (1.327) | 8.316 | |
Distributions | |||||||
Dividends from Net Investment Income | (1.396) | (2.834) | (2.754) | (2.496) | (2.713) | (2.963) | |
Distributions from Realized Capital Gains | — | — | (.130) | (.582) | (.430) | (.063) | |
Total Distributions | (1.396) | (2.834) | (2.884) | (3.078) | (3.143) | (3.026) | |
Net Asset Value, End of Period | $86.48 | $89.47 | $84.39 | $86.98 | $82.31 | $86.78 | |
Total Return | -1.78% | 9.58% | 0.32% | 9.60% | -1.64% | 10.43% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $12,635 | $10,048 | $5,393 | $4,010 | $3,161 | $2,751 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% | 0.12% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 3.31% | 3.34% | 3.25% | 3.25% | 3.16% | 3.62% | |
Portfolio Turnover Rate2 | 61% | 71% | 56% | 65% | 73% | 69% | |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized. | |||||||
1 Includes increases from purchase fees of $.01, $.01, $.02, $.02, $.00, and $.03. | |||||||
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.
76
Intermediate-Term Corporate Bond Index Fund | |||||||
Financial Highlights | |||||||
Admiral Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $24.08 | $22.71 | $23.40 | $22.20 | $23.40 | $21.98 | |
Investment Operations | |||||||
Net Investment Income | .376 | .764 | .745 | .736 | .732 | .800 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments1 | (.810) | 1.371 | (.654) | 1.355 | (1.085) | 1.437 | |
Total from Investment Operations | (.434) | 2.135 | .091 | 2.091 | (.353) | 2.237 | |
Distributions | |||||||
Dividends from Net Investment Income | (.376) | (.765) | (.746) | (.734) | (.731) | (.800) | |
Distributions from Realized Capital Gains | — | — | (.035) | (.157) | (.116) | (.017) | |
Total Distributions | (.376) | (.765) | (.781) | (.891) | (.847) | (.817) | |
Net Asset Value, End of Period | $23.27 | $24.08 | $22.71 | $23.40 | $22.20 | $23.40 | |
Total Return2 | -1.80% | 9.57% | 0.37% | 9.60% | -1.62% | 10.41% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $784 | $700 | $423 | $239 | $55 | $51 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% | 0.12% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 3.31% | 3.34% | 3.25% | 3.25% | 3.16% | 3.62% | |
Portfolio Turnover Rate3 | 61% | 71% | 56% | 65% | 73% | 69% | |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized. | |||||||
SignalShares wererenamed Admiral Shares in October 2013. Prior periods’ Financial Highlightsare for the Signal class. | |||||||
1 Includes increases from purchase fees of $.00, $.00, $.00, $.01, $.00, and $.01. | |||||||
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.
77
Intermediate-Term Corporate Bond Index Fund | |||||||
Financial Highlights | |||||||
Institutional Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $29.75 | $28.06 | $28.92 | $27.44 | $28.93 | $27.17 | |
Investment Operations | |||||||
Net Investment Income | .468 | .949 | .931 | .919 | .913 | .999 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments1 | (.990) | 1.690 | (.816) | 1.671 | (1.347) | 1.780 | |
Total from Investment Operations | (.522) | 2.639 | .115 | 2.590 | (.434) | 2.779 | |
Distributions | |||||||
Dividends from Net Investment Income | (.468) | (.949) | (.932) | (.916) | (.913) | (.998) | |
Distributions from Realized Capital Gains | — | — | (.043) | (.194) | (.143) | (.021) | |
Total Distributions | (.468) | (.949) | (.975) | (1.110) | (1.056) | (1.019) | |
Net Asset Value, End of Period | $28.76 | $29.75 | $28.06 | $28.92 | $27.44 | $28.93 | |
Total Return2 | -1.75% | 9.58% | 0.37% | 9.62% | -1.61% | 10.46% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $435 | $387 | $338 | $307 | $164 | $185 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.05% | 0.05% | 0.07% | 0.09% | 0.09% | 0.09% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 3.33% | 3.36% | 3.28% | 3.28% | 3.19% | 3.65% | |
Portfolio Turnover Rate3 | 61% | 71% | 56% | 65% | 73% | 69% | |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized. | |||||||
1 Includes increases from purchase fees of $.00, $.00, $.01, $.01, $.00, and $.01. | |||||||
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.
78
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 are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the 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 28, 2017, 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. The fund had no open futures contracts at February 28, 2017.
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, 2013–2016), and for the period ended February 28, 2017, 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 $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 28, 2017, 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 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 28, 2017, the fund had contributed to Vanguard capital in the amount of $944,000, representing 0.01% of the fund’s net assets and 0.38% 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).
80
Intermediate-Term Corporate Bond Index Fund
The following table summarizes the market value of the fund’s investments as of February 28, 2017, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 87,680 | — |
Corporate Bonds | — | 13,618,244 | — |
Taxable Municipal Bonds | — | 1,507 | — |
Temporary Cash Investments | 165,415 | — | — |
Futures Contracts—Assets1 | 494 | — | — |
Futures Contracts—Liabilities1 | (573) | — | — |
Total | 165,336 | 13,707,431 | — |
1 Represents variation margin on the last day of the reporting period for recently closed futures contracts. |
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 28, 2017, the fund realized $5,320,000 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, 2016, the fund had available capital losses totaling $28,978,000 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, 2017; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2017, the cost of investment securities for tax purposes was $13,818,892,000. Net unrealized appreciation of investment securities for tax purposes was $53,954,000, consisting of unrealized gains of $138,552,000 on securities that had risen in value since their purchase and $84,598,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 28, 2017, the fund purchased $4,997,829,000 of investment securities and sold $2,011,140,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $1,846,746,000 and $1,758,995,000, respectively. Total purchases and sales include $2,926,419,000 and $135,978,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capitalshares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 28, 2017, such purchases and sales were $474,722,000 and $1,680,345,000 respectively; these amounts are included in the purchases and sales of investment securities noted above.
81
Intermediate-Term Corporate Bond Index Fund
F. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
February 28, 2017 | August 31, 2016 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued1 | 3,062,444 | 35,402 | 4,483,789 | 52,004 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (139,111) | (1,600) | (308,340) | (3,600) |
Net Increase (Decrease)—ETF Shares | 2,923,333 | 33,802 | 4,175,449 | 48,404 |
Admiral Shares | ||||
Issued1 | 244,706 | 10,478 | 366,221 | 15,690 |
Issued in Lieu of Cash Distributions | 9,891 | 424 | 15,255 | 654 |
Redeemed | (145,653) | (6,263) | (135,859) | (5,881) |
Net Increase (Decrease)—Admiral Shares | 108,944 | 4,639 | 245,617 | 10,463 |
Institutional Shares | ||||
Issued1 | 78,999 | 2,758 | 30,428 | 1,053 |
Issued in Lieu of Cash Distributions | 3,674 | 127 | 6,542 | 227 |
Redeemed | (21,660) | (760) | (9,695) | (336) |
Net Increase (Decrease)—Institutional Shares | 61,013 | 2,125 | 27,275 | 944 |
1 Includes purchase fees for fiscal 2017 and 2016 of $856,000 and $1,011,000, respectively (fund totals). |
G. Management has determined that no material events or transactions occurred subsequent to February 28, 2017, that would require recognition or disclosure in these financial statements.
82
Long-Term Corporate Bond Index Fund
Fund Profile
As of February 28, 2017
Share-Class Characteristics | |||
ETF | Admiral | Institutional | |
Shares | Shares | Shares | |
Ticker Symbol | VCLT | VLTCX | VLCIX |
Expense Ratio1 | 0.07% | 0.07% | 0.05% |
30-Day SEC Yield | 4.42% | 4.42% | 4.44% |
Financial Attributes | |||
Bloomberg | |||
Barclays | Bloomberg | ||
10+ Year | Barclays | ||
Corporate | Aggregate | ||
Fund | Bond Index | FA Index | |
Number of Bonds | 1,818 | 1,907 | 10,166 |
Yield toMaturity | |||
(before expenses) | 4.4% | 4.4% | 2.5% |
Average Coupon | 5.2% | 5.3% | 3.0% |
Average Duration 13.8 years | 13.9 years | 6.1 years | |
Average Effective | |||
Maturity | 23.5 years | 23.5 years | 8.3 years |
Short-Term | |||
Reserves | 1.1% | — | — |
Sector Diversification (% of portfolio) | |
Finance | 17.2% |
Industrial | 69.3 |
Utilities | 12.9 |
Other | 0.6 |
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 creditof the U.S.
government.
Volatility Measures | ||
Bloomberg | ||
Barclays | Bloomberg | |
10+ Year | Barclays | |
Corporate | Aggregate | |
Bond Index | FA Index | |
R-Squared | 0.99 | 0.80 |
Beta | 1.03 | 2.43 |
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 | 0.9% |
5 - 10 Years | 2.0 |
10 - 20 Years | 26.7 |
20 - 30 Years | 66.3 |
Over 30 Years | 4.1 |
Distribution by Credit Quality (% of portfolio) | |
Aaa | 3.9% |
Aa | 8.8 |
A | 39.8 |
Baa | 47.5 |
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
agenciesare used, the lowerrating foreach issueis 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, 2016, and represent estimated costs for the current fiscal year. For the six
months ended February 28, 2017, the annualized expense ratios were 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional
Shares.
83
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 28, 2017 | ||
Bloomberg | ||
Barclays | ||
10+ Year | ||
Corporate | ||
ETF Shares Net Asset Value | Bond 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 | 18.21 | 17.71 |
2017 | -4.00 | -3.94 |
Note: For 2017, performance data reflect the six months ended February 28, 2017. |
Average Annual Total Returns: Periods Ended December 31, 2016
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 | 10.72% | 5.19% | 7.53% | |||
Net Asset Value | 10.59 | 5.40 | 7.44 | |||
Admiral Shares | 1/19/2010 | 10.60 | 5.40 | 4.94% | 2.53% | 7.47 |
Fee-Adjusted Returns | 9.49 | 5.19 | 7.32 | |||
Institutional Shares | 11/19/2009 | 10.61 | 5.42 | 4.96 | 2.52 | 7.48 |
Fee-Adjusted Returns | 9.50 | 5.21 | 7.33 |
Vanguard fundreturnsareadjustedtoreflectthe1.00%feeon purchasesof fundshares. Thefee does notapplytothe ETFShares. The
Fiscal-YearTotalReturnstableisnotadjustedforfees.
See Financial Highlights for dividend and capital gains information.
84
Long-Term Corporate Bond Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 28, 2017
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 2.875% | 11/15/46 | 10,055 | 9,865 | 0.5% | ||
U.S. Government Securities—Other † | 460 | 0.0% | ||||
Total U.S. Government and Agency Obligations (Cost $10,313) | 10,325 | 0.5% | ||||
Corporate Bonds | ||||||
Finance | ||||||
Banking | ||||||
Bank of America Corp. | 5.000% | 1/21/44 | 4,080 | 4,511 | 0.2% | |
Bank of America Corp. | 6.110% | 1/29/37 | 3,450 | 4,119 | 0.2% | |
1 | Bank of America Corp. | 3.248%–7.750% | 10/21/27–1/20/48 | 13,833 | 15,415 | 0.7% |
Bank of America NA | 6.000% | 10/15/36 | 1,595 | 1,959 | 0.1% | |
Bank One Capital III | 8.750% | 9/1/30 | 845 | 1,193 | 0.1% | |
Bank One Corp. | 8.000% | 4/29/27 | 500 | 653 | 0.0% | |
Citigroup Inc. | 4.450% | 9/29/27 | 4,755 | 4,867 | 0.2% | |
Citigroup Inc. | 8.125% | 7/15/39 | 2,877 | 4,300 | 0.2% | |
Citigroup Inc. | 4.125%–6.675% | 6/10/25–5/18/46 | 13,750 | 15,385 | 0.7% | |
Goldman Sachs Capital I | 6.345% | 2/15/34 | 1,280 | 1,542 | 0.1% | |
Goldman Sachs Group Inc. | 6.750% | 10/1/37 | 7,410 | 9,284 | 0.4% | |
Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 3,658 | 4,583 | 0.2% | |
Goldman Sachs Group Inc. | 4.750%–6.450% | 2/15/33–10/21/45 | 12,507 | 14,006 | 0.7% | |
HSBC Holdings plc | 6.500% | 9/15/37 | 3,780 | 4,678 | 0.2% | |
1 | JPMorgan Chase & Co. | 3.625%–6.400% | 10/1/27–2/22/48 | 19,203 | 22,030 | 1.1% |
Morgan Stanley | 4.300% | 1/27/45 | 4,846 | 4,892 | 0.2% | |
Morgan Stanley | 6.375% | 7/24/42 | 3,261 | 4,168 | 0.2% | |
Wachovia Bank NA | 5.850% | 2/1/37 | 1,145 | 1,377 | 0.1% | |
Wachovia Corp. | 5.500%–7.500% | 4/15/35–10/15/35 | 1,079 | 1,299 | 0.1% | |
Wells Fargo & Co. | 5.606% | 1/15/44 | 4,042 | 4,727 | 0.2% | |
Wells Fargo & Co. | 3.900%–5.375% | 7/22/27–12/7/46 | 20,338 | 21,240 | 1.0% | |
Wells Fargo Bank NA | 5.950%–6.600% | 8/26/36–1/15/38 | 2,520 | 3,202 | 0.2% | |
1 | Wells Fargo Capital X | 5.950% | 12/1/86 | 1,150 | 1,228 | 0.1% |
2 | Banking—Other † | 44,296 | 2.1% |
85
Long-Term Corporate Bond Index Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value• | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
Brokerage † | 6,516 | 0.3% | ||||
Finance Companies | ||||||
GE Capital International Funding Co. | 4.418% | 11/15/35 | 15,367 | 16,456 | 0.7% | |
Finance Companies—Other † | 1,055 | 0.1% | ||||
Insurance | ||||||
Berkshire Hathaway | ||||||
Finance Corp. | 4.300%–5.750% | 1/15/40–5/15/43 | 2,704 | 3,054 | 0.1% | |
Berkshire Hathaway Inc. | 4.500% | 2/11/43 | 1,490 | 1,617 | 0.1% | |
Insurance—Other † | 117,761 | 5.6% | ||||
Real Estate Investment Trusts † | 13,772 | 0.7% | ||||
355,185 | 16.9% | |||||
Industrial | ||||||
Basic Industry | ||||||
Lubrizol Corp. | 6.500% | 10/1/34 | 315 | 409 | 0.0% | |
Vale Overseas Ltd. | 6.875% | 11/21/36 | 4,220 | 4,610 | 0.2% | |
2 Basic Industry—Other † | 88,345 | 4.2% | ||||
Capital Goods | ||||||
General Electric | ||||||
Capital Corp. | 5.875% | 1/14/38 | 4,402 | 5,649 | 0.3% | |
General Electric | ||||||
Capital Corp. | 6.750% | 3/15/32 | 3,960 | 5,398 | 0.3% | |
General Electric | ||||||
Capital Corp. | 6.150%–6.875% | 8/7/37–1/10/39 | 3,958 | 5,520 | 0.3% | |
General Electric Co. | 4.125%–4.500% | 10/9/42–3/11/44 | 5,386 | 5,736 | 0.3% | |
Precision Castparts Corp. | 3.900%–4.375% | 6/15/35–6/15/45 | 1,815 | 1,879 | 0.1% | |
United Technologies Corp. | 4.500% | 6/1/42 | 4,880 | 5,232 | 0.2% | |
2 Capital Goods—Other † | 81,027 | 3.8% | ||||
Communication | ||||||
Ameritech Capital Funding Corp. | 6.550% | 1/15/28 | 385 | 434 | 0.0% | |
AT&T Corp. | 8.250% | 11/15/31 | 822 | 1,124 | 0.1% | |
AT&T Inc. | 4.500% | 3/9/48 | 5,575 | 5,032 | 0.2% | |
AT&T Inc. | 4.750% | 5/15/46 | 4,798 | 4,488 | 0.2% | |
AT&T Inc. | 4.350% | 6/15/45 | 4,849 | 4,280 | 0.2% | |
AT&T Inc. | 5.250% | 3/1/37 | 4,000 | 4,120 | 0.2% | |
AT&T Inc. | 4.250%–6.550% | 3/1/27–3/1/57 | 34,613 | 35,214 | 1.7% | |
AT&T Mobility LLC | 7.125% | 12/15/31 | 772 | 972 | 0.0% | |
Bellsouth Capital Funding Corp. | 7.875% | 2/15/30 | 498 | 616 | 0.0% | |
BellSouth LLC | 6.000%–6.875% | 10/15/31–11/15/34 | 1,093 | 1,218 | 0.1% | |
BellSouth | ||||||
Telecommunications LLC | 6.375% | 6/1/28 | 422 | 478 | 0.0% | |
British Telecommunications plc | 9.125% | 12/15/30 | 3,082 | 4,631 | 0.2% | |
Charter Communications Operating | ||||||
LLC / Charter Communications | ||||||
Operating Capital | 6.484% | 10/23/45 | 4,547 | 5,275 | 0.3% | |
Charter Communications Operating | ||||||
LLC / Charter Communications | ||||||
Operating Capital | 6.384%–6.834% | 10/23/35–10/23/55 | 3,375 | 3,869 | 0.2% | |
Comcast Corp. | 3.200%–7.050% | 1/15/33–7/15/46 | 27,513 | 30,803 | 1.5% | |
Deutsche Telekom | ||||||
International Finance BV | 8.750% | 6/15/30 | 4,564 | 6,706 | 0.3% | |
GTE Corp. | 6.940% | 4/15/28 | 732 | 924 | 0.0% | |
NBCUniversal Media LLC | 4.450%–6.400% | 4/30/40–1/15/43 | 3,820 | 4,655 | 0.2% | |
New Cingular Wireless | ||||||
Services Inc. | 8.750% | 3/1/31 | 970 | 1,367 | 0.1% |
86
Long-Term Corporate Bond Index Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
Orange SA | 9.000% | 3/1/31 | 3,395 | 5,087 | 0.2% |
TCI Communications Inc. | 7.125% | 2/15/28 | 545 | 717 | 0.0% |
Time Warner Cable LLC | 4.500%–7.300% | 5/1/37–9/15/42 | 10,741 | 11,919 | 0.6% |
Time Warner Entertainment | |||||
Co. LP | 8.375% | 7/15/33 | 1,448 | 1,946 | 0.1% |
Verizon Communications | |||||
Inc. | 5.012% | 8/21/54 | 7,024 | 6,806 | 0.3% |
Verizon Communications | |||||
Inc. | 4.862% | 8/21/46 | 6,260 | 6,136 | 0.3% |
Verizon Communications | |||||
Inc. | 6.550% | 9/15/43 | 4,795 | 5,871 | 0.3% |
Verizon Communications | |||||
Inc. | 4.672% | 3/15/55 | 6,169 | 5,593 | 0.3% |
Verizon Communications | |||||
Inc. | 4.522% | 9/15/48 | 5,770 | 5,342 | 0.3% |
Verizon Communications | |||||
Inc. | 4.272% | 1/15/36 | 4,629 | 4,393 | 0.2% |
Verizon Communications | |||||
Inc. | 4.400% | 11/1/34 | 4,344 | 4,188 | 0.2% |
2 Verizon Communications | |||||
Inc. | 3.850%–7.750% | 12/1/30–4/15/49 | 18,198 | 18,891 | 0.9% |
2 Communication—Other † | 87,098 | 4.1% | |||
Consumer Cyclical | |||||
CVS Health Corp. | 5.125% | 7/20/45 | 5,225 | 5,825 | 0.3% |
Home Depot Inc. | 5.875% | 12/16/36 | 4,077 | 5,205 | 0.2% |
Visa Inc. | 4.300% | 12/14/45 | 4,667 | 5,012 | 0.2% |
Wal-Mart Stores Inc. | 6.500% | 8/15/37 | 3,875 | 5,232 | 0.3% |
Wal-Mart Stores Inc. | 5.250% | 9/1/35 | 4,037 | 4,791 | 0.2% |
Wal-Mart Stores Inc. | 4.000%–7.550% | 4/5/27–4/22/44 | 15,180 | 18,245 | 0.9% |
Consumer Cyclical—Other † | 91,836 | 4.4% | |||
Consumer Noncyclical | |||||
Abbott Laboratories | 4.900% | 11/30/46 | 4,350 | 4,495 | 0.2% |
Amgen Inc. | 4.663% | 6/15/51 | 4,696 | 4,729 | 0.2% |
Anheuser-Busch Cos. LLC | 5.750%–6.800% | 8/20/32–5/1/42 | 2,918 | 3,676 | 0.2% |
Anheuser-Busch InBev | |||||
Finance Inc. | 4.900% | 2/1/46 | 13,802 | 15,162 | 0.7% |
Anheuser-Busch InBev | |||||
Finance Inc. | 4.700% | 2/1/36 | 9,183 | 9,876 | 0.5% |
Anheuser-Busch InBev | |||||
Finance Inc. | 4.000%–4.625% | 1/17/43–2/1/44 | 2,090 | 2,082 | 0.1% |
Anheuser-Busch InBev | |||||
Worldwide Inc. | 3.750%–8.200% | 1/15/39–7/15/42 | 7,819 | 9,147 | 0.4% |
GlaxoSmithKline Capital Inc. | 6.375% | 5/15/38 | 3,820 | 5,055 | 0.2% |
Medtronic Inc. | 4.625% | 3/15/45 | 5,393 | 5,823 | 0.3% |
Pfizer Inc. | 7.200% | 3/15/39 | 2,905 | 4,186 | 0.2% |
Consumer Noncyclical—Other † | 287,415 | 13.7% | |||
Energy | |||||
ConocoPhillips | 6.500% | 2/1/39 | 3,680 | 4,650 | 0.3% |
El Paso Natural Gas Co. LLC | 8.375% | 6/15/32 | 297 | 379 | 0.0% |
Kinder Morgan Energy | |||||
Partners LP | 4.700%–7.750% | 3/15/31–9/1/44 | 11,818 | 13,018 | 0.6% |
Kinder Morgan Inc. | 5.300%–7.750% | 1/15/32–6/1/45 | 5,585 | 6,064 | 0.3% |
Tennessee Gas Pipeline | |||||
Co. LLC | 7.000%–7.625% | 3/15/27–4/1/37 | 2,071 | 2,497 | 0.1% |
2 Energy—Other † | 203,628 | 9.7% |
87
Long-Term Corporate Bond Index Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
Other Industrial † | 11,283 | 0.5% | |||
Technology | |||||
Apple Inc. | 4.650% | 2/23/46 | 5,470 | 5,947 | 0.3% |
Apple Inc. | 3.850% | 5/4/43 | 4,295 | 4,123 | 0.2% |
Apple Inc. | 3.450%–4.500% | 2/23/36–2/9/47 | 12,724 | 12,635 | 0.6% |
Microsoft Corp. | 3.700% | 8/8/46 | 5,735 | 5,390 | 0.3% |
Microsoft Corp. | 4.250% | 2/6/47 | 4,950 | 5,128 | 0.2% |
Microsoft Corp. | 4.450% | 11/3/45 | 3,940 | 4,184 | 0.2% |
Microsoft Corp. | 3.450%–5.300% | 2/12/35–2/6/57 | 28,555 | 28,752 | 1.4% |
Oracle Corp. | 3.250%–6.500% | 5/15/30–5/15/55 | 21,983 | 23,717 | 1.1% |
2 Technology—Other † | 46,943 | 2.2% | |||
Transportation | |||||
Burlington Northern | |||||
Santa Fe LLC | 3.900%–7.950% | 8/15/30–8/1/46 | 14,068 | 15,762 | 0.7% |
Transportation—Other † | 60,381 | 2.9% | |||
1,426,271 | 67.8% | ||||
Utilities | |||||
Electric | |||||
Berkshire Hathaway | |||||
Energy Co. | 4.500%–8.480% | 9/15/28–2/1/45 | 6,296 | 7,741 | 0.4% |
Duke Energy Carolinas LLC | 3.750%–6.450% | 12/1/28–3/15/46 | 6,967 | 7,986 | 0.4% |
Duke Energy Corp. | 3.750%–4.800% | 12/15/45–9/1/46 | 2,910 | 2,780 | 0.1% |
Duke Energy Florida LLC | 3.400%–6.400% | 9/15/37–10/1/46 | 3,571 | 4,207 | 0.2% |
1 Duke Energy Florida | |||||
Project Finance LLC | 2.538%–3.112% | 9/1/29–9/1/36 | 1,725 | 1,632 | 0.1% |
Duke Energy Indiana LLC | 3.750%–6.450% | 10/15/35–5/15/46 | 2,787 | 3,288 | 0.2% |
Duke Energy Ohio Inc. | 3.700% | 6/15/46 | 530 | 503 | 0.0% |
Duke Energy Progress LLC | 3.700%–6.300% | 4/1/38–10/15/46 | 4,683 | 4,878 | 0.2% |
MidAmerican Energy Co. | 3.100%–6.750% | 5/1/27–8/1/47 | 4,360 | 5,111 | 0.2% |
MidAmerican Funding LLC | 6.927% | 3/1/29 | 250 | 331 | 0.0% |
Nevada Power Co. | 5.375%–6.750% | 4/1/36–5/15/41 | 2,146 | 2,754 | 0.1% |
Pacific Gas & Electric Co. | 6.050% | 3/1/34 | 4,195 | 5,313 | 0.3% |
PacifiCorp | 4.100%–7.700% | 11/15/31–2/1/42 | 4,580 | 5,900 | 0.3% |
Progress Energy Inc. | 6.000%–7.750% | 3/1/31–12/1/39 | 2,262 | 3,015 | 0.1% |
Sierra Pacific Power Co. | 6.750% | 7/1/37 | 655 | 870 | 0.0% |
2 Electric—Other † | 188,884 | 9.0% | |||
Natural Gas | |||||
Piedmont Natural | |||||
Gas Co. Inc. | 3.640%–4.650% | 9/18/34–11/1/46 | 1,095 | 1,082 | 0.1% |
Natural Gas—Other † | 15,581 | 0.7% | |||
Other Utility † | 3,802 | 0.2% | |||
265,658 | 12.6% | ||||
Total Corporate Bonds (Cost $2,033,289) | 2,047,114 | 97.3% | |||
Taxable Municipal Bonds (Cost $5,300) † | 5,295 | 0.2% | |||
Shares | |||||
Temporary Cash Investment | |||||
Money Market Fund | |||||
3 Vanguard Market Liquidity Fund | |||||
(Cost $22,268) | 0.864% | 222,655 | 22,268 | 1.1% | |
Total Investments (Cost $2,071,170) | 2,085,002 | 99.1% |
88
Long-Term Corporate Bond Index Fund | ||
Percentage | ||
Amount | of Net | |
($000) | Assets | |
Other Assets and Liabilities | ||
Other Assets | ||
Investment in Vanguard | 143 | |
Receivables for Investment Securities Sold | 12,805 | |
Receivables for Accrued Income | 26,467 | |
Receivables for Capital Shares Issued | 31,479 | |
Other Assets4 | 276 | |
Total Other Assets | 71,170 | 3.4% |
Liabilities | ||
Payables for Investment Securities Purchased | (50,493) | |
Payables for Capital Shares Redeemed | (51) | |
Payables for Distributions | (120) | |
Payables to Vanguard | (587) | |
Other Liabilities | (557) | |
Total Liabilities | (51,808) | (2.5%) |
Net Assets | 2,104,364 | 100.0% |
At February 28, 2017, net assets consisted of: | ||
Amount | ||
($000) | ||
Paid-in Capital | 2,122,117 | |
Undistributed Net Investment Income | 5,725 | |
Accumulated Net Realized Losses | (37,271) | |
Unrealized Appreciation (Depreciation) | ||
Investment Securities | 13,832 | |
Futures Contracts | (39) | |
Net Assets | 2,104,364 | |
ETF Shares—Net Assets | ||
Applicable to 16,803,591 outstanding $.001 par value shares of | ||
beneficial interest (unlimited authorization) | 1,522,404 | |
Net Asset Value Per Share—ETF Shares | $90.60 | |
Admiral Shares—Net Assets | ||
Applicable to 4,624,826 outstanding $.001 par value shares of | ||
beneficial interest (unlimited authorization) | 112,108 | |
Net Asset Value Per Share—Admiral Shares | $24.24 |
89
Long-Term Corporate Bond Index Fund | |
Amount | |
($000) | |
Institutional Shares—Net Assets | |
Applicable to 15,615,778 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 469,852 |
Net Asset Value Per Share—Institutional Shares | $30.09 |
• See Note A in Notes toFinancial 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 Certainofthe fund’s securitiesareexemptfromregistration underRule 144AoftheSecuritiesActof1933.Suchsecurities may besoldin
transactions exempt from registration, normally toqualified institutional buyers. At February 28,2017,the aggregate value of these
securities was $19,731,000, representing 0.9% 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 Cash of $202,000 has been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
90
Long-Term Corporate Bond Index Fund | ||
Statement of Operations | ||
Six Months Ended | ||
February 28, 2017 | ||
($000) | ||
Investment Income | ||
Income | ||
Interest1 | 43,272 | |
Total Income | 43,272 | |
Expenses | ||
The Vanguard Group—Note B | ||
Investment Advisory Services | 32 | |
Management and Administrative—ETF Shares | 420 | |
Management and Administrative—Admiral Shares | 27 | |
Management and Administrative—Institutional Shares | 89 | |
Marketing and Distribution—ETF Shares | 59 | |
Marketing and Distribution—Admiral Shares | 5 | |
Marketing and Distribution—Institutional Shares | 5 | |
Custodian Fees | 15 | |
Shareholders’ Reports—ETF Shares | 21 | |
Shareholders’ Reports—Admiral Shares | 1 | |
Shareholders’ Reports—Institutional Shares | — | |
Trustees’ Fees and Expenses | 1 | |
Total Expenses | 675 | |
Net Investment Income | 42,597 | |
Realized Net Gain (Loss) | ||
Investment Securities Sold1 | 2,404 | |
Futures Contracts | (42) | |
Realized Net Gain (Loss) | 2,362 | |
Change in Unrealized Appreciation (Depreciation) | ||
Investment Securities | (127,969) | |
Futures Contracts | (44) | |
Change in Unrealized Appreciation (Depreciation) | (128,013) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (83,054) | |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $31,000 and $0, respectively. |
See accompanying Notes, which are an integral part of the Financial Statements.
91
Long-Term Corporate Bond Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
February 28, | August 31, | |
2017 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 42,597 | 69,102 |
Realized Net Gain (Loss) | 2,362 | (18,470) |
Change in Unrealized Appreciation (Depreciation) | (128,013) | 215,453 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (83,054) | 266,085 |
Distributions | ||
Net Investment Income | ||
ETF Shares | (31,090) | (50,023) |
Admiral Shares | (2,095) | (3,526) |
Institutional Shares | (8,705) | (14,304) |
Realized Capital Gain | ||
ETF Shares | — | — |
Admiral Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (41,890) | (67,853) |
Capital Share Transactions | ||
ETF Shares | 123,203 | 375,872 |
Admiral Shares | 27,508 | 12,353 |
Institutional Shares | 110,600 | 46,986 |
Net Increase (Decrease) from Capital Share Transactions | 261,311 | 435,211 |
Total Increase (Decrease) | 136,367 | 633,443 |
Net Assets | ||
Beginning of Period | 1,967,997 | 1,334,554 |
End of Period1 | 2,104,364 | 1,967,997 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $5,725,000 and $5,018,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
92
Long-Term Corporate Bond Index Fund | |||||||
Financial Highlights | |||||||
ETF Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $96.37 | $85.25 | $92.38 | $82.11 | $92.15 | $80.80 | |
Investment Operations | |||||||
Net Investment Income | 1.926 | 3.905 | 3.910 | 3.964 | 4.018 | 3.980 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments1 | (5.788) | 11.127 | (7.127) | 9.937 | (9.816) | 11.351 | |
Total from Investment Operations | (3.862) | 15.032 | (3.217) | 13.901 | (5.798) | 15.331 | |
Distributions | |||||||
Dividends from Net Investment Income | (1.908) | (3.912) | (3.913) | (3.631) | (4.018) | (3.981) | |
Distributions from Realized Capital Gains | — | — | — | — | (.224) | — | |
Total Distributions | (1.908) | (3.912) | (3.913) | (3.631) | (4.242) | (3.981) | |
Net Asset Value, End of Period | $90.60 | $96.37 | $85.25 | $92.38 | $82.11 | $92.15 | |
Total Return | -4.00% | 18.21% | -3.64% | 17.35% | -6.55% | 19.40% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $1,522 | $1,494 | $972 | $878 | $624 | $1,032 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% | 0.12% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 4.35% | 4.46% | 4.37% | 4.63% | 4.47% | 4.73% | |
Portfolio Turnover Rate2 | 49% | 59% | 64% | 54% | 57% | 71% | |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized. | |||||||
1 Includes increases from purchase fees of $.09, $.03, $.11, $.05, $.07, and $.02. | |||||||
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.
93
Long-Term Corporate Bond Index Fund | |||||||
Financial Highlights | |||||||
Admiral Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $25.79 | $22.80 | $24.71 | $22.04 | $24.74 | $21.69 | |
Investment Operations | |||||||
Net Investment Income | .518 | 1.047 | 1.048 | 1.066 | 1.078 | 1.068 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments1 | (1.550) | 2.991 | (1.911) | 2.669 | (2.640) | 3.051 | |
Total from Investment Operations | (1.032) | 4.038 | (.863) | 3.735 | (1.562) | 4.119 | |
Distributions | |||||||
Dividends from Net Investment Income | (.518) | (1.048) | (1.047) | (1.065) | (1.078) | (1.069) | |
Distributions from Realized Capital Gains | — | — | — | — | (.060) | — | |
Total Distributions | (.518) | (1.048) | (1.047) | (1.065) | (1.138) | (1.069) | |
Net Asset Value, End of Period | $24.24 | $25.79 | $22.80 | $24.71 | $22.04 | $24.74 | |
Total Return2 | -3.98% | 18.21% | -3.66% | 17.37% | -6.57% | 19.43% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $112 | $90 | $67 | $44 | $18 | $15 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% | 0.12% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 4.35% | 4.46% | 4.37% | 4.63% | 4.47% | 4.73% | |
Portfolio Turnover Rate3 | 49% | 59% | 64% | 54% | 57% | 71% | |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized. | |||||||
SignalShares wererenamed Admiral Shares in October 2013. Prior periods’ Financial Highlightsare for the Signal class. | |||||||
1 Includes increases from purchase fees of $.02, $.01, $.02, $.01, $.01, and $.01. | |||||||
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.
94
Long-Term Corporate Bond Index Fund | |||||||
Financial Highlights | |||||||
Institutional Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $32.02 | $28.31 | $30.68 | $27.37 | $30.71 | $26.93 | |
Investment Operations | |||||||
Net Investment Income | .646 | 1.306 | 1.310 | 1.331 | 1.347 | 1.337 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments1 | (1.930) | 3.710 | (2.370) | 3.308 | (3.265) | 3.780 | |
Total from Investment Operations | (1.284) | 5.016 | (1.060) | 4.639 | (1.918) | 5.117 | |
Distributions | |||||||
Dividends from Net Investment Income | (.646) | (1.306) | (1.310) | (1.329) | (1.347) | (1.337) | |
Distributions from Realized Capital Gains | — | — | — | — | (.075) | — | |
Total Distributions | (.646) | (1.306) | (1.310) | (1.329) | (1.422) | (1.337) | |
Net Asset Value, End of Period | $30.09 | $32.02 | $28.31 | $30.68 | $27.37 | $30.71 | |
Total Return2 | -3.99% | 18.22% | -3.62% | 17.38% | -6.50% | 19.44% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $470 | $384 | $296 | $250 | $206 | $164 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.05% | 0.05% | 0.07% | 0.09% | 0.09% | 0.09% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 4.37% | 4.48% | 4.40% | 4.66% | 4.50% | 4.76% | |
Portfolio Turnover Rate3 | 49% | 59% | 64% | 54% | 57% | 71% | |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized. | |||||||
1 Includes increases from purchase fees of $.03, $.01, $.03, $.02, $.01, and $.00. | |||||||
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.
95
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 are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the 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 28, 2017, 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, 2013–2016), and for the period ended February 28, 2017, 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.
96
Long-Term Corporate Bond Index Fund
5. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 28, 2017, 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 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 28, 2017, the fund had contributed to Vanguard capital in the amount of $143,000, 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).
97
Long-Term Corporate Bond Index Fund
The following table summarizes the market value of the fund’s investments as of February 28, 2017, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 10,325 | — |
Corporate Bonds | — | 2,043,672 | 3,442 |
Taxable Municipal Bonds | — | 5,295 | — |
Temporary Cash Investments | 22,268 | — | — |
Futures Contracts—Assets1 | 74 | — | — |
Futures Contracts—Liabilities1 | (92) | — | — |
Total | 22,250 | 2,059,292 | 3,442 |
1 Represents variation margin on the last day of the reporting period. |
D. At February 28, 2017, 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) |
30-Year U.S. Treasury Bond | June 2017 | 80 | 12,133 | 1 |
Ultra 10-Year U.S. Treasury Note | June 2017 | 34 | 4,554 | (14) |
Ultra Long U.S. Treasury Bond | June 2017 | (16) | (2,589) | (26) |
(39) |
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 28, 2017, the fund realized $7,481,000 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, 2016, the fund had available capital losses totaling $30,958,000 that may be carried forward indefinitely to offset future capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2017; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
98
Long-Term Corporate Bond Index Fund
At February 28, 2017, the cost of investment securities for tax purposes was $2,072,359,000. Net unrealized appreciation of investment securities for tax purposes was $12,643,000, consisting of unrealized gains of $41,828,000 on securities that had risen in value since their purchase and $29,185,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 28, 2017, the fund purchased $783,690,000 of investment securities and sold $553,027,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $245,815,000 and $236,172,000, respectively. Total purchases and sales include $410,247,000 and $304,087,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 28, 2017, such purchases and sales were $134,998,000 and $194,701,000 respectively; these amounts are included in the purchases and sales of investment securities noted above.
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
February 28, 2017 | August 31, 2016 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued1 | 435,381 | 4,802 | 587,866 | 6,602 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (312,178) | (3,500) | (211,994) | (2,500) |
Net Increase (Decrease)—ETF Shares | 123,203 | 1,302 | 375,872 | 4,102 |
Admiral Shares | ||||
Issued1 | 45,059 | 1,865 | 49,620 | 2,062 |
Issued in Lieu of Cash Distributions | 1,580 | 65 | 2,788 | 117 |
Redeemed | (19,131) | (795) | (40,055) | (1,605) |
Net Increase (Decrease)—Admiral Shares | 27,508 | 1,135 | 12,353 | 574 |
Institutional Shares | ||||
Issued1 | 118,571 | 3,892 | 43,967 | 1,424 |
Issued in Lieu of Cash Distributions | 8,584 | 286 | 14,304 | 485 |
Redeemed | (16,555) | (557) | (11,285) | (380) |
Net Increase (Decrease)—Institutional Shares | 110,600 | 3,621 | 46,986 | 1,529 |
1 Includes purchase fees for fiscal 2017 and 2016 of $2,066,000 and $724,000, respectively (fund totals). |
H. Management has determined that no material events or transactions occurred subsequent to February 28, 2017, that would require recognition or disclosure in these financial statements.
99
Mortgage-Backed Securities Index Fund
Fund Profile
As of February 28, 2017
Share-Class Characteristics | |||
ETF | Admiral | Institutional | |
Shares | Shares | Shares | |
Ticker Symbol | VMBS | VMBSX | VMBIX |
Expense Ratio1 | 0.07% | 0.07% | 0.05% |
30-Day SEC Yield | 2.08% | 2.07% | 2.09% |
Financial Attributes | |||
Bloomberg | |||
Barclays | Bloomberg | ||
MBS | Barclays | ||
Float Adj | Aggregate | ||
Fund | Index | FA Index | |
Number of Bonds | 5442 | 340 | 10,166 |
Yield to Maturity | |||
(before expenses) | 2.8% | 2.8% | 2.5% |
Average Coupon | 3.6% | 3.6% | 3.0% |
Average Duration | 4.4 years | 4.6 years | 6.1 years |
Average Effective | |||
Maturity | 6.7 years | 7.0 years | 8.3 years |
Short-Term | |||
Reserves | 13.5% | — | — |
Sector Diversification (% of portfolio) | |
Government Mortgage-Backed | 100.0% |
The agency and mortgage-backed securities sectors may include
issues from government-sponsored enterprises; such issues are
generallynotbackedbythefullfaithandcreditofthe U.S.
government.
Volatility Measures | ||
Bloomberg | ||
Barclays | Bloomberg | |
MBS | Barclays | |
Float Adj | Aggregate | |
Index | FA Index | |
R-Squared | 0.99 | 0.78 |
Beta | 1.07 | 0.57 |
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 | 2.1% |
1 - 3 Years | 1.4 |
3 - 5 Years | 16.2 |
5 - 10 Years | 80.2 |
10 - 20 Years | 0.1 |
Distribution by Credit Quality (% of portfolio) | |
U.S. Government | 98.0% |
Aaa | 2.0 |
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 | 95.8% |
More Than 5.0 - 5.5 | 2.4 |
More Than 5.5 - 6.0 | 1.5 |
More Than 6.0 - 6.5 | 0.3 |
1 The expense ratios shown are from the prospectus dated December 22, 2016, and represent estimated costs for the current fiscal year. For the six
months ended February 28, 2017, the annualized expense ratios were 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional
Shares.
2 Issues are mortgage pools grouped by coupon.
100
Mortgage-Backed Securities Index Fund
Investment Focus
101
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 28, 2017 | ||
Bloomberg | ||
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 | 3.70 | 3.76 |
2017 | -1.20 | -1.17 |
Note: For 2017, performance data reflect the six months ended February 28, 2017. |
Average Annual Total Returns: Periods Ended December 31, 2016
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 | 1.29% | 1.92% | 2.83% | |||
Net Asset Value | 1.43 | 1.95 | 2.84 | |||
Admiral Shares | 12/3/2009 | 1.47 | 1.96 | 1.68% | 1.15% | 2.83 |
Institutional Shares | 10/31/2013 | 1.47 | — | 1.70 | 0.72 | 2.42 |
See Financial Highlights for dividend and capital gains information.
102
Mortgage-Backed Securities Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2017
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 (99.3%) | |||||
Conventional Mortgage-Backed Securities (98.8%) | |||||
1,2 | Fannie Mae Pool | 2.000% | 11/1/27–11/1/31 | 6,603 | 6,443 |
1,2,3 Fannie Mae Pool | 2.500% | 11/1/26–10/1/46 | 145,301 | 145,993 | |
1,2,3 Fannie Mae Pool | 3.000% | 11/1/25–3/1/47 | 473,944 | 475,808 | |
1,2,3 Fannie Mae Pool | 3.500% | 10/1/20–4/1/47 | 451,120 | 464,564 | |
1,2,3 Fannie Mae Pool | 4.000% | 7/1/18–4/1/47 | 278,810 | 294,145 | |
1,2,3 Fannie Mae Pool | 4.500% | 2/1/18–3/1/47 | 123,020 | 132,641 | |
1,2,3 Fannie Mae Pool | 5.000% | 10/1/17–3/1/47 | 60,941 | 66,968 | |
1,2 | Fannie Mae Pool | 5.500% | 9/1/17–2/1/42 | 46,895 | 52,411 |
1,2 | Fannie Mae Pool | 6.000% | 3/1/18–5/1/41 | 32,051 | 36,434 |
1,2 | Fannie Mae Pool | 6.500% | 10/1/21–10/1/39 | 9,174 | 10,383 |
1,2 | Fannie Mae Pool | 7.000% | 12/1/22–10/1/37 | 872 | 1,007 |
1,2 | Fannie Mae Pool | 7.500% | 11/1/22 | 7 | 8 |
1,2 | Freddie Mac Gold Pool | 2.000% | 1/1/28–1/1/29 | 3,763 | 3,689 |
1,2,3 Freddie Mac Gold Pool | 2.500% | 8/1/22–10/1/46 | 102,758 | 103,202 | |
1,2,3 Freddie Mac Gold Pool | 3.000% | 1/1/26–3/1/47 | 329,797 | 330,735 | |
1,2,3 Freddie Mac Gold Pool | 3.500% | 9/1/25–4/1/47 | 275,303 | 283,486 | |
1,2,3 Freddie Mac Gold Pool | 4.000% | 7/1/18–4/1/47 | 159,337 | 168,078 | |
1,2,3 Freddie Mac Gold Pool | 4.500% | 1/1/18–3/1/47 | 69,577 | 74,849 | |
1,2 | Freddie Mac Gold Pool | 5.000% | 10/1/17–3/1/42 | 35,915 | 39,369 |
1,2 | Freddie Mac Gold Pool | 5.500% | 4/1/21–6/1/41 | 29,930 | 33,374 |
1,2 | Freddie Mac Gold Pool | 6.000% | 6/1/17–5/1/40 | 19,669 | 22,324 |
1,2 | Freddie Mac Gold Pool | 6.500% | 10/1/28–9/1/39 | 4,193 | 4,727 |
1,2 | Freddie Mac Gold Pool | 7.000% | 7/1/28–12/1/38 | 342 | 399 |
1,2 | Freddie Mac Gold Pool | 8.000% | 11/1/22 | 1 | 1 |
1 | Ginnie Mae I Pool | 3.000% | 1/15/26–3/15/45 | 20,228 | 20,546 |
1,3 | Ginnie Mae I Pool | 3.500% | 2/15/26–3/1/47 | 21,625 | 22,568 |
1,3 | Ginnie Mae I Pool | 4.000% | 7/15/24–3/1/47 | 35,020 | 37,169 |
1,3 | Ginnie Mae I Pool | 4.500% | 9/15/18–3/1/47 | 34,038 | 36,851 |
1 | Ginnie Mae I Pool | 5.000% | 1/15/18–4/15/41 | 21,503 | 23,765 |
1 | Ginnie Mae I Pool | 5.500% | 10/15/32–2/15/40 | 9,683 | 10,904 |
1 | Ginnie Mae I Pool | 6.000% | 4/15/28–5/15/41 | 3,998 | 4,571 |
1 | Ginnie Mae I Pool | 6.500% | 5/15/24–1/15/39 | 210 | 246 |
1 | Ginnie Mae I Pool | 7.000% | 10/15/27 | 6 | 7 |
1 | Ginnie Mae II Pool | 2.500% | 6/20/27–11/20/46 | 15,550 | 15,382 |
1,3 | Ginnie Mae II Pool | 3.000% | 10/20/26–4/1/47 | 314,829 | 319,426 |
1,3 | Ginnie Mae II Pool | 3.500% | 12/20/25–4/1/47 | 394,102 | 410,605 |
1,3 | Ginnie Mae II Pool | 4.000% | 9/20/25–4/1/47 | 174,677 | 185,326 |
103
Mortgage-Backed Securities Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
1,3 | Ginnie Mae II Pool | 4.500% | 4/20/18–3/1/47 | 77,707 | 83,830 |
1 | Ginnie Mae II Pool | 5.000% | 6/20/33–3/1/47 | 34,818 | 37,987 |
1 | Ginnie Mae II Pool | 5.500% | 11/20/33–5/20/45 | 12,896 | 14,242 |
1 | Ginnie Mae II Pool | 6.000% | 3/20/31–9/20/41 | 5,796 | 6,528 |
1 | Ginnie Mae II Pool | 6.500% | 10/20/28–9/20/40 | 584 | 671 |
1 | Ginnie Mae II Pool | 7.000% | 4/20/38–11/20/38 | 107 | 129 |
3,981,791 | |||||
Nonconventional Mortgage-Backed Securities (0.5%) | |||||
1,2 | Fannie Mae Pool | 2.110% | 3/1/43 | 600 | 603 |
1,2 | Fannie Mae Pool | 2.177% | 6/1/42 | 1,522 | 1,582 |
1,2 | Fannie Mae Pool | 2.184% | 10/1/42 | 260 | 262 |
1,2 | Fannie Mae Pool | 2.186% | 6/1/43 | 368 | 372 |
1,2 | Fannie Mae Pool | 2.207% | 9/1/42 | 738 | 766 |
1,2 | Fannie Mae Pool | 2.259% | 7/1/43 | 1,007 | 1,005 |
1,2 | Fannie Mae Pool | 2.387% | 7/1/42 | 2,614 | 2,648 |
1,2 | Fannie Mae Pool | 2.430% | 5/1/43 | 1,171 | 1,180 |
1,2 | Fannie Mae Pool | 2.438% | 10/1/42 | 484 | 490 |
1,2,4 Fannie Mae Pool | 2.495% | 5/1/42 | 166 | 172 | |
1,2,4 Fannie Mae Pool | 2.551% | 9/1/37 | 29 | 31 | |
1,2,4 Fannie Mae Pool | 2.631% | 12/1/41 | 144 | 148 | |
1,2 | Fannie Mae Pool | 2.717% | 12/1/43 | 826 | 853 |
1,2 | Fannie Mae Pool | 2.753% | 3/1/42 | 345 | 359 |
1,2 | Fannie Mae Pool | 2.910% | 12/1/40 | 78 | 81 |
1,2,4 Fannie Mae Pool | 2.936% | 9/1/43 | 540 | 568 | |
1,2,4 Fannie Mae Pool | 2.950% | 3/1/41 | 264 | 282 | |
1,2,4 Fannie Mae Pool | 2.966% | 3/1/42 | 119 | 128 | |
1,2,4 Fannie Mae Pool | 3.003% | 5/1/41 | 61 | 64 | |
1,2,4 Fannie Mae Pool | 3.041% | 5/1/40 | 4 | 5 | |
1,2 | Fannie Mae Pool | 3.088% | 2/1/41 | 55 | 58 |
1,2,4 Fannie Mae Pool | 3.090% | 8/1/39 | 22 | 23 | |
1,2,4 Fannie Mae Pool | 3.092% | 10/1/40 | 81 | 85 | |
1,2,4 Fannie Mae Pool | 3.127% | 10/1/39 | 26 | 27 | |
1,2,4 Fannie Mae Pool | 3.158% | 5/1/42 | 52 | 54 | |
1,2,4 Fannie Mae Pool | 3.161% | 3/1/41 | 234 | 246 | |
1,2,4 Fannie Mae Pool | 3.193% | 2/1/42 | 183 | 195 | |
1,2,4 Fannie Mae Pool | 3.194% | 11/1/39 | 28 | 30 | |
1,2,4 Fannie Mae Pool | 3.257% | 12/1/39 | 270 | 282 | |
1,2,4 Fannie Mae Pool | 3.282% | 11/1/41 | 40 | 42 | |
1,2,4 Fannie Mae Pool | 3.286% | 10/1/40 | 15 | 16 | |
1,2,4 Fannie Mae Pool | 3.294% | 12/1/40 | 258 | 272 | |
1,2,4 Fannie Mae Pool | 3.305% | 11/1/41 | 106 | 113 | |
1,2,4 Fannie Mae Pool | 3.309% | 12/1/41 | 128 | 136 | |
1,2,4 Fannie Mae Pool | 3.315% | 11/1/40 | 9 | 10 | |
1,2,4 Fannie Mae Pool | 3.316% | 2/1/41 | 6 | 6 | |
1,2,4 Fannie Mae Pool | 3.334% | 12/1/40 | 12 | 13 | |
1,2 | Fannie Mae Pool | 3.344% | 8/1/42 | 163 | 165 |
1,2,4 Fannie Mae Pool | 3.396% | 1/1/42 | 234 | 246 | |
1,2,4 Fannie Mae Pool | 3.435% | 12/1/40 | 10 | 11 | |
1,2,4 Fannie Mae Pool | 3.446% | 1/1/40 | 3 | 4 | |
1,2 | Fannie Mae Pool | 3.566% | 7/1/41 | 247 | 261 |
1,2 | Fannie Mae Pool | 3.620% | 4/1/41 | 64 | 66 |
1,2 | Fannie Mae Pool | 3.771% | 6/1/41 | 137 | 146 |
1,2,4 Fannie Mae Pool | 3.785% | 9/1/40 | 263 | 279 | |
1,2,4 Fannie Mae Pool | 3.813% | 11/1/39 | 23 | 24 | |
1,2,4 Fannie Mae Pool | 4.006% | 8/1/39 | 65 | 67 |
104
Mortgage-Backed Securities Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
1,2,4 Fannie Mae Pool | 4.433% | 10/1/37 | 110 | 114 | |
1,2 | Fannie Mae Pool | 5.188% | 3/1/38 | 6 | 6 |
1,2 | Fannie Mae Pool | 5.542% | 4/1/37 | 15 | 15 |
1,2 | Freddie Mac Non Gold Pool | 2.542% | 11/1/43 | 462 | 468 |
1,2 | Freddie Mac Non Gold Pool | 2.796% | 1/1/41 | 139 | 145 |
1,2,4 Freddie Mac Non Gold Pool | 3.035% | 2/1/41 | 10 | 11 | |
1,2 | Freddie Mac Non Gold Pool | 3.051% | 1/1/41 | 102 | 107 |
1,2,4 Freddie Mac Non Gold Pool | 3.059% | 2/1/41 | 164 | 174 | |
1,2,4 Freddie Mac Non Gold Pool | 3.074% | 5/1/40 | 2 | 2 | |
1,2,4 Freddie Mac Non Gold Pool | 3.075% | 10/1/37 | 14 | 15 | |
1,2,4 Freddie Mac Non Gold Pool | 3.130% | 6/1/41 | 119 | 124 | |
1,2,4 Freddie Mac Non Gold Pool | 3.131% | 6/1/40 | 47 | 49 | |
1,2,4 Freddie Mac Non Gold Pool | 3.137% | 2/1/37 | 19 | 20 | |
1,2,4 Freddie Mac Non Gold Pool | 3.231% | 6/1/37 | 425 | 452 | |
1,2 | Freddie Mac Non Gold Pool | 3.281% | 12/1/39 | 21 | 22 |
1,2,4 Freddie Mac Non Gold Pool | 3.364% | 12/1/40 | 38 | 39 | |
1,2 | Freddie Mac Non Gold Pool | 3.397% | 2/1/42 | 67 | 70 |
1,2 | Freddie Mac Non Gold Pool | 3.421% | 3/1/42 | 622 | 656 |
1,2 | Freddie Mac Non Gold Pool | 3.580% | 6/1/40 | 96 | 101 |
1,2 | Freddie Mac Non Gold Pool | 3.678% | 9/1/40 | 86 | 90 |
1,2 | Freddie Mac Non Gold Pool | 5.233% | 3/1/38 | 102 | 108 |
1,4 | Ginnie Mae II Pool | 2.000% | 1/20/41–2/20/41 | 585 | 605 |
1,4 | Ginnie Mae II Pool | 2.125% | 4/20/41 | 8 | 8 |
1,4 | Ginnie Mae II Pool | 2.250% | 11/20/40–12/20/42 | 634 | 652 |
1,4 | Ginnie Mae II Pool | 2.500% | 7/20/41–1/20/42 | 1,199 | 1,220 |
1,4 | Ginnie Mae II Pool | 2.625% | 5/20/41 | 12 | 12 |
1 | Ginnie Mae II Pool | 3.000% | 11/20/40 | 17 | 18 |
19,779 | |||||
Total U.S. Government and Agency Obligations (Cost $4,036,965) | 4,001,570 | ||||
Shares | |||||
Temporary Cash Investment (15.5%) | |||||
Money Market Fund (15.5%) | |||||
5 | Vanguard Market Liquidity Fund (Cost $625,537) | 0.864% | 6,255,057 | 625,568 | |
Total Investments (114.8%) (Cost $4,662,502) | 4,627,138 | ||||
Other Assets and Liabilities (-14.8%) | |||||
Other Assets | 147,354 | ||||
Liabilities | (745,371) | ||||
(598,017) | |||||
Net Assets (100%) | 4,029,121 |
105
Mortgage-Backed Securities Index Fund | |
Amount | |
($000) | |
Statement of Assets and Liabilities | |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers | 4,001,570 |
Affiliated Vanguard Funds | 625,568 |
Total Investments in Securities | 4,627,138 |
Investment in Vanguard | 260 |
Receivables for Investment Securities Sold | 66,987 |
Receivables for Accrued Income | 11,094 |
Receivables for Capital Shares Issued | 68,092 |
Other Assets | 921 |
Total Assets | 4,774,492 |
Liabilities | |
Payables for Investment Securities Purchased | 741,910 |
Payables for Capital Shares Redeemed | 1,233 |
Payables for Distributions | 432 |
Payables to Vanguard | 679 |
Other Liabilities | 1,117 |
Total Liabilities | 745,371 |
Net Assets | 4,029,121 |
At February 28, 2017, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 4,071,048 |
Undistributed Net Investment Income | 5,894 |
Accumulated Net Realized Losses | (12,457) |
Unrealized Appreciation (Depreciation) | (35,364) |
Net Assets | 4,029,121 |
ETF Shares—Net Assets | |
Applicable to 65,826,190 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 3,458,443 |
Net Asset Value Per Share—ETF Shares | $52.54 |
Admiral Shares—Net Assets | |
Applicable to 24,887,722 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 522,302 |
Net Asset Value Per Share—Admiral Shares | $20.99 |
106
Mortgage-Backed Securities Index Fund | |
Amount | |
($000) | |
Institutional Shares—Net Assets | |
Applicable to 1,701,157 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 48,376 |
Net Asset Value Per Share—Institutional Shares | $28.44 |
• See Note A in Notes toFinancial Statements.
1 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and
prepayments or the possibility of the issue being called.
2 Theissuer wasplacedunder federalconservatorshipinSeptember 2008;sincethat time,its dailyoperations have been managedbythe
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 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of February 28, 2017.
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.
107
Mortgage-Backed Securities Index Fund | |
Statement of Operations | |
Six Months Ended | |
February 28, 2017 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 32,846 |
Total Income | 32,846 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 57 |
Management and Administrative—ETF Shares | 701 |
Management and Administrative—Admiral Shares | 138 |
Management and Administrative—Institutional Shares | 10 |
Marketing and Distribution—ETF Shares | 120 |
Marketing and Distribution—Admiral Shares | 29 |
Marketing and Distribution—Institutional Shares | — |
Custodian Fees | 58 |
Shareholders’ Reports—ETF Shares | 194 |
Shareholders’ Reports—Admiral Shares | 6 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 1,314 |
Net Investment Income | 31,532 |
Realized Net Gain (Loss) on Investment Securities Sold1 | (12,149) |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | (64,260) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (44,877) |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $2,252,000 and $52,000, respectively. |
See accompanying Notes, which are an integral part of the Financial Statements.
108
Mortgage-Backed Securities Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
February 28, | August 31, | |
2017 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 31,532 | 48,343 |
Realized Net Gain (Loss) | (12,149) | 16,405 |
Change in Unrealized Appreciation (Depreciation) | (64,260) | 28,093 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (44,877) | 92,841 |
Distributions | ||
Net Investment Income | ||
ETF Shares | (24,738) | (36,243) |
Admiral Shares | (4,683) | (8,968) |
Institutional Shares | (405) | (814) |
Realized Capital Gain1 | ||
ETF Shares | (9,143) | (8,196) |
Admiral Shares | (1,699) | (2,007) |
Institutional Shares | (139) | (197) |
Total Distributions | (40,807) | (56,425) |
Capital Share Transactions | ||
ETF Shares | 692,323 | 1,357,217 |
Admiral Shares | (18,067) | 122,904 |
Institutional Shares | 2,887 | 2,429 |
Net Increase (Decrease) from Capital Share Transactions | 677,143 | 1,482,550 |
Total Increase (Decrease) | 591,459 | 1,518,966 |
Net Assets | ||
Beginning of Period | 3,437,662 | 1,918,696 |
End of Period2 | 4,029,121 | 3,437,662 |
1 Includes fiscal 2017 and 2016 short-term gain distributions totaling $10,880,000 and $10,400,000, 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 $5,894,000 and $4,188,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
109
Mortgage-Backed Securities Index Fund | |||||||
Financial Highlights | |||||||
ETF Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $53.79 | $53.05 | $52.65 | $50.85 | $52.63 | $51.90 | |
Investment Operations | |||||||
Net Investment Income | .450 | .967 | .748 | .887 | .292 | .875 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments1 | (1.097) | .968 | .554 | 1.741 | (1.524) | .976 | |
Total from Investment Operations | (.647) | 1.935 | 1.302 | 2.628 | (1.232) | 1.851 | |
Distributions | |||||||
Dividends from Net Investment Income | (.440) | (.955) | (.741) | (.828) | (.294) | (.868) | |
Distributions from Realized Capital Gains | (.163) | (.240) | (.161) | — | (.254) | (.253) | |
Total Distributions | (.603) | (1.195) | (.902) | (.828) | (.548) | (1.121) | |
Net Asset Value, End of Period | $52.54 | $53.79 | $53.05 | $52.65 | $50.85 | $52.63 | |
Total Return | -1.20% | 3.70% | 2.49% | 5.21% | -2.36% | 3.62% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $3,458 | $2,837 | $1,451 | $542 | $417 | $247 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% | 0.12% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.76% | 1.85% | 1.43% | 1.72% | 0.57% | 1.57% | |
Portfolio Turnover Rate2 | 345% | 380% | 713% | 514% | 840% | 529% | |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized. | |||||||
1 Includes increases from purchase fees of $.00, $.01, $.01, $.01, $.01, and $.02. | |||||||
2 Includes 131%, 175%, 331%, 294%, 371%, and 231% attributable to mortgage -dollar-roll activity. |
See accompanying Notes, which are an integral part of the Financial Statements.
110
Mortgage-Backed Securities Index Fund | |||||||
Financial Highlights | |||||||
Admiral Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $21.49 | $21.20 | $21.05 | $20.35 | $21.06 | $20.76 | |
Investment Operations | |||||||
Net Investment Income | .181 | .388 | .298 | .356 | .118 | .344 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | (.434) | .387 | .214 | .699 | (.608) | .399 | |
Total from Investment Operations | (.253) | .775 | .512 | 1.055 | (.490) | .743 | |
Distributions | |||||||
Dividends from Net Investment Income | (.182) | (.389) | (.297) | (.355) | (.118) | (.342) | |
Distributions from Realized Capital Gains | (.065) | (.096) | (.065) | — | (.102) | (.101) | |
Total Distributions | (.247) | (.485) | (.362) | (.355) | (.220) | (.443) | |
Net Asset Value, End of Period | $20.99 | $21.49 | $21.20 | $21.05 | $20.35 | $21.06 | |
Total Return1 | -1.17% | 3.70% | 2.44% | 5.22% | -2.35% | 3.63% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $522 | $554 | $424 | $305 | $295 | $211 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% | 0.12% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.76% | 1.85% | 1.43% | 1.72% | 0.57% | 1.57% | |
Portfolio Turnover Rate2 | 345% | 380% | 713% | 514% | 840% | 529% | |
The expense ratio, net investment 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 131%, 175%, 331%, 294%, 371%, and 231% attributable to mortgage-dollar-roll activity. |
See accompanying Notes, which are an integral part of the Financial Statements.
111
Mortgage-Backed Securities Index Fund | |||||||
Financial Highlights | |||||||
Institutional Shares | |||||||
Six Months | Oct. 31, | Sept. 1, | May 9, | ||||
Ended | Year Ended | 2013 3 to | 2012, to | 2012 1 to | |||
For a Share Outstanding | February 28, | August 31, | Aug. 31, | Jan. 22, | Aug. 31, | ||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 20132 | 2012 | |
Net Asset Value, Beginning of Period | $29.12 | $28.73 | $28.52 | $28.04 | $28.34 | $28.10 | |
Investment Operations | |||||||
Net Investment Income | .248 | .532 | .412 | .390 | .042 | .137 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | (.591) | .522 | .295 | .504 | (.146) | .218 | |
Total from Investment Operations | (.343) | 1.054 | .707 | .894 | (.104) | .355 | |
Distributions | |||||||
Dividends from Net Investment Income | (.249) | (.534) | (.410) | (.414) | (.049) | (.115) | |
Distributions from Realized Capital Gains | (.088) | (.130) | (.087) | — | (.137) | — | |
Total Distributions | (.337) | (.664) | (.497) | (.414) | (.186) | (.115) | |
Net Asset Value, End of Period | $28.44 | $29.12 | $28.73 | $28.52 | $28.052 | $28.34 | |
Total Return4 | -1.17% | 3.72% | 2.49% | 3.22% | -0.37% | 1.27% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $48 | $47 | $44 | $109 | $0 | $15 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.05% | 0.05% | 0.07% | 0.09%5 | 0.09%5 | 0.09%5 | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.78% | 1.87% | 1.46% | 1.75%5 | 0.35%5 | 1.60%5 | |
Portfolio Turnover Rate6 | 345% | 380% | 713% | 514% | 840% | 529% | |
The expense ratio, net investment 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 131%, 175%, 331%, 294%, 371%, and 231% attributable to mortgage-dollar-roll activity. |
See accompanying Notes, which are an integral part of the Financial Statements.
112
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 are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the 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 fairvalue.
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. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. 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 28, 2017, counterparties had deposited in segregated accounts securities and cash with a value of $961,000 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
113
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 Assets and Liabilities.
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, 2013–2016), and for the period ended February 28, 2017, 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 $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 28, 2017, 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.
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 Assets and Liabilities.
114
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 28, 2017, the fund had contributed to Vanguard capital in the amount of $260,000, representing 0.01% of the fund’s net assets and 0.10% 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 28, 2017, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 4,001,570 | — |
Temporary Cash Investments | 625,568 | — | — |
Total | 625,568 | 4,001,570 | — |
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.
At February 28, 2017, the cost of investment securities for tax purposes was $4,662,541,000.
Net unrealized depreciation of investment securities for tax purposes was $35,403,000, consisting of unrealized gains of $3,699,000 on securities that had risen in value since their purchase and $39,102,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 28, 2017, the fund purchased $6,951,870,000 of investment securities and sold $6,266,481,000 of investment securities, other than temporary cash investments.
115
Mortgage-Backed Securities Index Fund
F. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
February 28, 2017 | August 31, 2016 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued1 | 876,249 | 16,575 | 1,515,415 | 28,375 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (183,926) | (3,500) | (158,198) | (2,975) |
Net Increase (Decrease)—ETF Shares | 692,323 | 13,075 | 1,357,217 | 25,400 |
Admiral Shares | ||||
Issued1 | 106,089 | 5,014 | 257,546 | 12,060 |
Issued in Lieu of Cash Distributions | 3,454 | 164 | 5,214 | 245 |
Redeemed | (127,610) | (6,051) | (139,856) | (6,556) |
Net Increase (Decrease)—Admiral Shares | (18,067) | (873) | 122,904 | 5,749 |
Institutional Shares | ||||
Issued1 | 3,915 | 137 | 6,235 | 216 |
Issued in Lieu of Cash Distributions | 544 | 19 | 1,011 | 35 |
Redeemed | (1,572) | (55) | (4,817) | (167) |
Net Increase (Decrease)—Institutional Shares | 2,887 | 101 | 2,429 | 84 |
1 Includes purchase fees for fiscal 2017 and 2016 of $0 and $727,000, respectively (fund totals). |
At February 28, 2017, one shareholder was the record or beneficial owner of 29% of the fund’s net assets. If the shareholder were to redeem its investment in the fund, the redemption might result in an increaseinthe fund’s expense ratio.
G. Management has determined that no material events or transactions occurred subsequent to February 28, 2017, that would require recognition or disclosure in these financial statements.
116
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.
117
Six Months Ended February 28, 2017 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
8/31/2016 | 2/28/2017 | Period | |
Based on Actual Fund Return | |||
Short-Term Government Bond Index Fund | |||
ETF Shares | $1,000.00 | $998.70 | $0.35 |
Admiral Shares | 1,000.00 | 998.59 | 0.35 |
Institutional Shares | 1,000.00 | 999.07 | 0.30 |
Intermediate-Term Government Bond Index Fund | |||
ETF Shares | $1,000.00 | $975.07 | $0.34 |
Admiral Shares | 1,000.00 | 975.28 | 0.34 |
Institutional Shares | 1,000.00 | 975.03 | 0.24 |
Long-Term Government Bond Index Fund | |||
ETF Shares | $1,000.00 | $888.71 | $0.33 |
Admiral Shares | 1,000.00 | 888.66 | 0.33 |
Institutional Shares | 1,000.00 | 888.78 | 0.23 |
Short-Term Corporate Bond Index Fund | |||
ETF Shares | $1,000.00 | $1,000.10 | $0.35 |
Admiral Shares | 1,000.00 | 1,000.41 | 0.35 |
Institutional Shares | 1,000.00 | 1,000.12 | 0.25 |
Intermediate-Term Corporate Bond Index Fund | |||
ETF Shares | $1,000.00 | $982.21 | $0.34 |
Admiral Shares | 1,000.00 | 982.03 | 0.34 |
Institutional Shares | 1,000.00 | 982.51 | 0.25 |
Long-Term Corporate Bond Index Fund | |||
ETF Shares | $1,000.00 | $960.01 | $0.34 |
Admiral Shares | 1,000.00 | 960.17 | 0.34 |
Institutional Shares | 1,000.00 | 960.08 | 0.24 |
Mortgage-Backed Securities Index Fund | |||
ETF Shares | $1,000.00 | $987.99 | $0.35 |
Admiral Shares | 1,000.00 | 988.27 | 0.35 |
Institutional Shares | 1,000.00 | 988.27 | 0.25 |
118
Six Months Ended February 28, 2017 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
8/31/2016 | 2/28/2017 | Period | |
Based on Hypothetical 5% Yearly Return | |||
Short-Term Government Bond Index Fund | |||
ETF Shares | $1,000.00 | $1,024.45 | $0.35 |
Admiral Shares | 1,000.00 | 1,024.45 | 0.35 |
Institutional Shares | 1,000.00 | 1,024.50 | 0.30 |
Intermediate-Term Government Bond Index Fund | |||
ETF Shares | $1,000.00 | $1,024.45 | $0.35 |
Admiral Shares | 1,000.00 | 1,024.45 | 0.35 |
Institutional Shares | 1,000.00 | 1,024.55 | 0.25 |
Long-Term Government Bond Index Fund | |||
ETF Shares | $1,000.00 | $1,024.45 | $0.35 |
Admiral Shares | 1,000.00 | 1,024.45 | 0.35 |
Institutional Shares | 1,000.00 | 1,024.55 | 0.25 |
Short-Term Corporate Bond Index Fund | |||
ETF Shares | $1,000.00 | $1,024.45 | $0.35 |
Admiral Shares | 1,000.00 | 1,024.45 | 0.35 |
Institutional Shares | 1,000.00 | 1,024.55 | 0.25 |
Intermediate-Term Corporate Bond Index Fund | |||
ETF Shares | $1,000.00 | $1,024.45 | $0.35 |
Admiral Shares | 1,000.00 | 1,024.45 | 0.35 |
Institutional Shares | 1,000.00 | 1,024.55 | 0.25 |
Long-Term Corporate Bond Index Fund | |||
ETF Shares | $1,000.00 | $1,024.45 | $0.35 |
Admiral Shares | 1,000.00 | 1,024.45 | 0.35 |
Institutional Shares | 1,000.00 | 1,024.55 | 0.25 |
Mortgage-Backed Securities Index Fund | |||
ETF Shares | $1,000.00 | $1,024.45 | $0.35 |
Admiral Shares | 1,000.00 | 1,024.45 | 0.35 |
Institutional Shares | 1,000.00 | 1,024.55 | 0.25 |
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, 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.06% forInstitutional
Shares; for the Intermediate-Term Government Bond Index Fund, 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional
Shares; for the Long-Term Government Bond Index Fund, 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares;
for theShort-Term Corporate BondIndexFund, 0.07%for ETFShares, 0.07%for AdmiralShares, and 0.05%forInstitutionalShares; forthe
Intermediate-TermCorporateBondIndexFund,0.07%for ETFShares,0.07%forAdmiralShares,and0.05%forInstitutionalShares;forthe
Long-Term Corporate Bond Index Fund, 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares; and for the
Mortgage-Backed Securities Index Fund, 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.05% 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
(181/365).
119
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.
120
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.
121
Vanguard Sector Bond Index Funds are not sponsored, endorsed, issued, sold, or promoted by Barclays Risk Analytics and
Index Solutions Limited or any of its affiliates (“Barclays”). Barclays makes no representation or warranty, express or implied,
to the owners or purchasers of the Vanguard Sector Bond Index Funds or any member of the public regarding the advisability
ofinvestinginsecuritiesgenerallyorintheVanguardSectorBondIndexFundsparticularlyortheabilityoftheBarclays
indexes to track general bond market performance. Barclays has not passed on the legality or suitability of the Vanguard
Sector Bond Index Funds with respect to any person orentity. Barclays’ onlyrelationship to Vanguard and the Vanguard
Sector Bond Index Funds is the licensing of the Barclays indexes, which are determined, composed, and calculated by Barclays
without regard to Vanguard or the Vanguard Sector Bond Index Funds or any owners or purchasers of the Vanguard Sector
Bond Index Funds. Barclays has no obligation to take the needs of Vanguard, the Vanguard Sector Bond Index Funds, or the
owners of the Vanguard Sector Bond Index 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 Vanguard Sector Bond Index Funds to be issued. Barclays has no obligation or liability in connection with the
administration,marketing,ortradingoftheVanguardSectorBondIndex Funds.
BARCLAYS SHALL HAVENOLIABILITY TOTHIRDPARTIES FORTHEQUALITY, ACCURACY AND/ORCOMPLETENESS OFTHE
INDEX OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE INDEX. BARCLAYS MAKES
NOWARRANTY, EXPRESS OR IMPLIED, ASTO RESULTSTO BEOBTAINED BY OWNERSOF THE VANGUARD SECTOR BOND
INDEX FUNDS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX 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 BLOOMBERG BARCLAYS INDICES, AND BARCLAYS SHALL NOT BE LIABLE FOR ANY MISCALCULATION OF OR ANY
INCORRECT, DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT TO ANY OF THE BLOOMBERG BARCLAYS INDICES.
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 INDEX 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 INDEX OR ANY DATA INCLUDED THEREIN.
© 2017 Barclays. Used with Permission.
Source: Barclays Global Family of Indices. Copyright 2017, Barclays. All rights reserved.
122
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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 195 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustee1
F. William McNabb III
Born 1957. Trustee Since July 2009. Chairman of the Board. Principal Occupation(s) During the Past Five Years and Other Experience: Chairman of the Board of The Vanguard Group, Inc., and of each of the investment companies served by The Vanguard Group, since January 2010; Director of The Vanguard Group since 2008; Chief Executive Officer and President of The Vanguard Group, and of each of the investment companies served by The Vanguard Group, since 2008; Director of Vanguard Marketing Corporation; Managing Director of The Vanguard Group (1995–2008).
Independent Trustees
Emerson U. Fullwood
Born 1948. Trustee Since January 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Executive Chief Staff and Marketing Officer for North America and Corporate Vice President (retired 2008) of Xerox Corporation (document management products and services); Executive in Residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology; Lead Director of SPX FLOW, Inc. (multi-industry manufacturing); Director of the United Way of Rochester, the University of Rochester Medical Center, Monroe Community College Foundation, North Carolina A&T University, and Roberts Wesleyan College.
Rajiv L. Gupta
Born 1945. Trustee Since December 2001.2 Principal Occupation(s) During the Past Five Years and Other Experience: Chairman and Chief Executive Officer (retired 2009) and President (2006–2008) of Rohm and Haas Co. (chemicals); Director of Arconic Inc. (diversified manufacturer), HP Inc. (printer and personal computer manufacturing), and Delphi Automotive plc (automotive components); Senior Advisor at New Mountain Capital.
Amy Gutmann
Born 1949. Trustee Since June 2006. Principal Occupation(s) During the Past Five Years and Other Experience: President of the University of Pennsylvania; Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and Professor of Communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania; Trustee of the National Constitution Center; Chair of the Presidential Commission for the Study of Bioethical Issues.
JoAnn Heffernan Heisen
Born 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years and Other Experience: Corporate Vice President and Chief Global Diversity Officer (retired 2008) and 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
Born 1949. Trustee Since October 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2009) of Cummins Inc. (industrial machinery); Chairman of the Board of Hillenbrand, Inc. (specialized consumer services), Oxfam America, and the Lumina
Foundation for Education; Director of SKF AB (industrial machinery), Hyster-Yale Materials Handling, Inc. (forklift trucks), and the V Foundation for Cancer Research; Member of the Advisory Council for the College of Arts and Letters and Chair of the Advisory Board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born 1953. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Senior Vice President and Chief Financial Officer (retired 2013) at IBM (information technology services); Fiduciary Member of IBM’s Retirement Plan Committee (2004–2013); Director of the Dow Chemical Company; Member of the Council on Chicago Booth.
Scott C. Malpass
Born 1962. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Chief Investment Officer and Vice President at the University of Notre Dame; Assistant Professor of Finance at the Mendoza College of Business at Notre Dame; Member of the Notre Dame 403(b) Investment Committee, the Board of Advisors for Spruceview Capital Partners, and the Investment Advisory Committee of Major League Baseball; Board Member of TIFF Advisory Services, Inc., and Catholic Investment Services, Inc. (investment advisors); Member of the Board of Superintendence of the Institute for the Works of Religion.
André F. Perold
Born 1952. Trustee Since December 2004. Principal Occupation(s) During the Past Five Years and Other Experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011); Chief Investment Officer and Co-Managing Partner of HighVista Strategies LLC (private investment firm); Overseer of the Museum of Fine Arts Boston.
Peter F. Volanakis
Born 1955. Trustee Since July 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2010) of Corning Incorporated (communications equipment); Chairman of the Board of Trustees of Colby-Sawyer College; Member of the Board of Hypertherm, Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born 1967. Investment Stewardship Officer Since February 2017. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Treasurer (2015–2017), Controller (2010–2015), and Assistant Controller (2001–2010) of each of the investment companies served by The Vanguard Group.
Thomas J. Higgins
Born 1957. Chief Financial Officer Since September 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Chief Financial Officer of each of the investment companies served by The Vanguard Group; Treasurer of each of the investment companies served by The Vanguard Group (1998–2008).
Peter Mahoney
Born 1974. Controller Since May 2015. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Controller of each of the investment companies served by The Vanguard Group; Head of International Fund Services at The Vanguard Group (2008–2014).
Anne E. Robinson
Born 1970. Secretary Since September 2016. Principal Occupation(s) During the Past Five Years and Other Experience: Managing Director of The Vanguard Group, Inc.; General Counsel of The Vanguard Group; Secretary of The Vanguard Group and of each of the investment companies served by The Vanguard Group; Director and Senior Vice President of Vanguard Marketing Corporation; Managing Director and General Counsel of Global Cards and Consumer Services at Citigroup (2014–2016); Counsel at American Express (2003–2014).
Michael Rollings
Born 1963. Treasurer Since February 2017. Principal Occupation(s) During the Past Five Years and Other Experience: Managing Director of The Vanguard Group, Inc.; Treasurer of each of the investment companies served by The Vanguard Group; Executive Vice President and Chief Financial Officer of MassMutual Financial Group (2006–2016).
Vanguard Senior Management Team | |
Mortimer J. Buckley | James M. Norris |
John James | Thomas M. Rampulla |
Martha G. King | Glenn W. Reed |
John T. Marcante | Karin A. Risi |
Chris D. McIsaac | |
Chairman Emeritus and Senior Advisor | |
John J. Brennan | |
Chairman, 1996–2009 | |
Chief Executive Officer and President, 1996–2008 | |
Founder | |
John C. Bogle | |
Chairman and Chief Executive Officer, 1974–1996 |
1.Mr. McNabbisconsideredan “interested person,” as definedintheInvestmentCompany Actof1940,becauseheisan officerofthe 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 |
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. | |
© 2017 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q16422 042017 |
Item 2: Code of Ethics. The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.
Item 3: Audit Committee Financial Expert.
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 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.7%)1 | |||
Consumer Discretionary (13.7%) | |||
* | Amazon.com Inc. | 43,245 | 36,544 |
Home Depot Inc. | 138,327 | 20,045 | |
Comcast Corp. Class A | 535,461 | 20,037 | |
Walt Disney Co. | 180,254 | 19,844 | |
Wal-Mart Stores Inc. | 168,130 | 11,925 | |
McDonald's Corp. | 92,294 | 11,781 | |
* | Priceline Group Inc. | 5,503 | 9,488 |
Starbucks Corp. | 158,318 | 9,004 | |
Costco Wholesale Corp. | 48,490 | 8,591 | |
Time Warner Inc. | 87,280 | 8,572 | |
NIKE Inc. Class B | 146,964 | 8,400 | |
Lowe's Cos. Inc. | 99,616 | 7,408 | |
* | Charter Communications Inc. Class A | 22,281 | 7,198 |
* | Netflix Inc. | 45,329 | 6,443 |
TJX Cos. Inc. | 73,263 | 5,748 | |
General Motors Co. | 155,424 | 5,726 | |
Ford Motor Co. | 430,494 | 5,394 | |
* | eBay Inc. | 118,494 | 4,017 |
Target Corp. | 65,695 | 3,861 | |
Twenty-First Century Fox Inc. Class A | 121,201 | 3,626 | |
^,* | Tesla Inc. | 13,848 | 3,462 |
Marriott International Inc. Class A | 35,846 | 3,118 | |
Ross Stores Inc. | 43,685 | 2,996 | |
* | O'Reilly Automotive Inc. | 10,535 | 2,862 |
CBS Corp. Class B | 42,081 | 2,774 | |
Newell Brands Inc. | 52,477 | 2,573 | |
Yum! Brands Inc. | 39,116 | 2,555 | |
Carnival Corp. | 45,009 | 2,518 | |
* | AutoZone Inc. | 3,278 | 2,414 |
Delphi Automotive plc | 30,149 | 2,295 | |
Dollar General Corp. | 31,419 | 2,294 | |
Omnicom Group Inc. | 26,051 | 2,217 | |
Las Vegas Sands Corp. | 40,216 | 2,129 | |
Estee Lauder Cos. Inc. Class A | 23,962 | 1,985 | |
VF Corp. | 37,583 | 1,971 | |
* | Dollar Tree Inc. | 25,003 | 1,917 |
Royal Caribbean Cruises Ltd. | 18,565 | 1,784 | |
Nielsen Holdings plc | 39,819 | 1,766 | |
* | Ulta Beauty Inc. | 6,449 | 1,763 |
Twenty-First Century Fox Inc. | 54,480 | 1,599 | |
Viacom Inc. Class B | 36,752 | 1,597 | |
Expedia Inc. | 13,172 | 1,568 | |
Genuine Parts Co. | 16,194 | 1,550 | |
* | Mohawk Industries Inc. | 6,817 | 1,543 |
* | DISH Network Corp. Class A | 24,321 | 1,508 |
Whirlpool Corp. | 8,201 | 1,465 | |
L Brands Inc. | 26,812 | 1,411 | |
* | CarMax Inc. | 21,539 | 1,390 |
* | MGM Resorts International | 52,444 | 1,379 |
Best Buy Co. Inc. | 30,767 | 1,358 | |
* | Chipotle Mexican Grill Inc. Class A | 3,155 | 1,321 |
Advance Auto Parts Inc. | 7,826 | 1,226 | |
DR Horton Inc. | 37,975 | 1,215 | |
Coach Inc. | 31,812 | 1,212 | |
Hasbro Inc. | 12,506 | 1,211 | |
Lear Corp. | 8,137 | 1,155 | |
Macy's Inc. | 34,498 | 1,146 | |
Harley-Davidson Inc. | 20,246 | 1,141 | |
Foot Locker Inc. | 14,813 | 1,121 | |
* | Hilton Worldwide Holdings Inc. | 19,515 | 1,116 |
Tiffany & Co. | 11,987 | 1,101 |
1
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Interpublic Group of Cos. Inc. | 44,866 | 1,081 |
Domino's Pizza Inc. | 5,570 | 1,057 |
* Discovery Communications Inc. Class A | 36,709 | 1,056 |
* LKQ Corp. | 33,396 | 1,055 |
Goodyear Tire & Rubber Co. | 30,075 | 1,054 |
Tractor Supply Co. | 14,731 | 1,045 |
* Yum China Holdings Inc. | 38,764 | 1,031 |
Wyndham Worldwide Corp. | 12,175 | 1,013 |
^ Sirius XM Holdings Inc. | 197,493 | 1,005 |
BorgWarner Inc. | 23,783 | 1,003 |
Fortune Brands Home & Security Inc. | 17,305 | 1,001 |
Mattel Inc. | 38,360 | 987 |
* Liberty Broadband Corp. | 11,262 | 968 |
Aramark | 26,991 | 965 |
Darden Restaurants Inc. | 12,874 | 961 |
Coty Inc. Class A | 50,427 | 947 |
* Liberty Interactive Corp. QVC Group Class A | 49,257 | 930 |
Lennar Corp. Class A | 18,490 | 902 |
* Norwegian Cruise Line Holdings Ltd. | 17,660 | 895 |
Kohl's Corp. | 20,314 | 866 |
Harman International Industries Inc. | 7,719 | 862 |
Wynn Resorts Ltd. | 8,896 | 855 |
Hanesbrands Inc. | 41,199 | 824 |
PVH Corp. | 8,951 | 820 |
* Liberty Media Corp-Liberty SiriusXM Class C Shares | 20,609 | 802 |
PulteGroup Inc. | 35,735 | 788 |
Vail Resorts Inc. | 4,296 | 778 |
* NVR Inc. | 389 | 753 |
Scripps Networks Interactive Inc. Class A | 9,201 | 743 |
Leggett & Platt Inc. | 14,829 | 729 |
* Lululemon Athletica Inc. | 10,919 | 713 |
* Burlington Stores Inc. | 7,898 | 703 |
KAR Auction Services Inc. | 15,166 | 680 |
* Adient plc | 10,037 | 674 |
Bed Bath & Beyond Inc. | 16,528 | 668 |
* Michael Kors Holdings Ltd. | 17,986 | 657 |
Gentex Corp. | 31,061 | 653 |
* WABCO Holdings Inc. | 5,796 | 651 |
Nordstrom Inc. | 13,894 | 648 |
Garmin Ltd. | 12,542 | 647 |
Staples Inc. | 70,871 | 637 |
Service Corp. International | 20,632 | 634 |
Gap Inc. | 24,976 | 620 |
Brunswick Corp. | 10,130 | 607 |
TEGNA Inc. | 23,591 | 605 |
Thor Industries Inc. | 5,398 | 598 |
* ServiceMaster Global Holdings Inc. | 14,939 | 595 |
News Corp. Class A | 45,719 | 586 |
* Toll Brothers Inc. | 17,092 | 584 |
^ Polaris Industries Inc. | 6,779 | 578 |
Dunkin' Brands Group Inc. | 10,346 | 569 |
* Panera Bread Co. Class A | 2,462 | 568 |
* TripAdvisor Inc. | 12,655 | 525 |
Pool Corp. | 4,475 | 513 |
Ralph Lauren Corp. Class A | 6,296 | 499 |
Carter's Inc. | 5,559 | 489 |
Cinemark Holdings Inc. | 11,575 | 485 |
Signet Jewelers Ltd. | 7,548 | 480 |
Six Flags Entertainment Corp. | 7,848 | 476 |
H&R Block Inc. | 22,737 | 468 |
Dick's Sporting Goods Inc. | 9,512 | 466 |
Williams-Sonoma Inc. | 9,565 | 465 |
* Under Armour Inc. Class A | 20,271 | 418 |
* Liberty Media Corp-Liberty SiriusXM Class A Shares | 10,499 | 413 |
2
Vanguard® Russell 1000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Live Nation Entertainment Inc. | 14,375 | 408 |
* | AMC Networks Inc. Class A | 6,808 | 407 |
CST Brands Inc. | 8,445 | 406 | |
* | Madison Square Garden Co. Class A | 2,176 | 390 |
* | Liberty Ventures Class A | 8,844 | 388 |
* | Skechers U.S.A. Inc. Class A | 14,779 | 379 |
* | Under Armour Inc. | 20,419 | 379 |
* | Visteon Corp. | 3,790 | 351 |
* | Sally Beauty Holdings Inc. | 15,998 | 350 |
Tupperware Brands Corp. | 5,406 | 326 | |
* | Kate Spade & Co. | 13,608 | 325 |
* | AutoNation Inc. | 6,968 | 320 |
Cable One Inc. | 510 | 319 | |
Wendy's Co. | 22,517 | 314 | |
* | Pandora Media Inc. | 24,550 | 304 |
* | Avis Budget Group Inc. | 8,677 | 300 |
GameStop Corp. Class A | 11,810 | 289 | |
Tribune Media Co. Class A | 8,243 | 285 | |
CalAtlantic Group Inc. | 7,943 | 281 | |
* | Lions Gate Entertainment Corp. Class B | 11,189 | 280 |
AMERCO | 702 | 271 | |
International Game Technology plc | 10,021 | 271 | |
Graham Holdings Co. Class B | 499 | 269 | |
* | Liberty Expedia Holdings Inc. Class A | 6,191 | 268 |
* | Cabela's Inc. | 5,711 | 268 |
* | Tempur Sealy International Inc. | 5,715 | 264 |
* | Urban Outfitters Inc. | 10,053 | 262 |
* | Liberty Broadband Corp. Class A | 3,102 | 261 |
John Wiley & Sons Inc. Class A | 5,000 | 261 | |
* | Murphy USA Inc. | 3,852 | 245 |
Brinker International Inc. | 5,552 | 235 | |
^,* | JC Penney Co. Inc. | 33,879 | 215 |
Choice Hotels International Inc. | 3,504 | 212 | |
Penske Automotive Group Inc. | 4,081 | 205 | |
* | Michaels Cos. Inc. | 9,950 | 200 |
* | Hyatt Hotels Corp. Class A | 3,851 | 198 |
Regal Entertainment Group Class A | 9,136 | 197 | |
* | Hertz Global Holdings Inc. | 8,274 | 188 |
* | Hilton Grand Vacations Inc. | 5,605 | 168 |
Lennar Corp. Class B | 3,635 | 143 | |
News Corp. Class B | 10,326 | 136 | |
* | Vista Outdoor Inc. | 6,568 | 133 |
Extended Stay America Inc. | 7,587 | 131 | |
* | Lions Gate Entertainment Corp. Class A | 4,713 | 126 |
Dillard's Inc. Class A | 2,121 | 116 | |
Viacom Inc. Class A | 2,434 | 111 | |
* | Discovery Communications Inc. | 3,758 | 106 |
* | Fitbit Inc. Class A | 13,485 | 84 |
* | Clear Channel Outdoor Holdings Inc. Class A | 3,276 | 16 |
348,087 | |||
Consumer Staples (7.9%) | |||
Procter & Gamble Co. | 284,693 | 25,927 | |
Philip Morris International Inc. | 172,183 | 18,828 | |
Coca-Cola Co. | 432,975 | 18,168 | |
PepsiCo Inc. | 160,510 | 17,717 | |
Altria Group Inc. | 217,700 | 16,310 | |
CVS Health Corp. | 119,299 | 9,613 | |
Walgreens Boots Alliance Inc. | 95,563 | 8,255 | |
Mondelez International Inc. Class A | 165,796 | 7,282 | |
Colgate-Palmolive Co. | 96,536 | 7,045 | |
Kraft Heinz Co. | 66,387 | 6,075 | |
Reynolds American Inc. | 91,884 | 5,657 | |
Kimberly-Clark Corp. | 39,860 | 5,283 | |
General Mills Inc. | 65,801 | 3,972 |
3
Vanguard® Russell 1000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Kroger Co. | 105,571 | 3,357 | |
Sysco Corp. | 58,452 | 3,082 | |
Archer-Daniels-Midland Co. | 63,991 | 3,006 | |
Constellation Brands Inc. Class A | 18,499 | 2,938 | |
Kellogg Co. | 27,463 | 2,034 | |
Tyson Foods Inc. Class A | 32,144 | 2,011 | |
Conagra Brands Inc. | 48,265 | 1,989 | |
Clorox Co. | 14,305 | 1,957 | |
* | Monster Beverage Corp. | 46,166 | 1,913 |
Dr Pepper Snapple Group Inc. | 20,460 | 1,912 | |
Molson Coors Brewing Co. Class B | 19,028 | 1,910 | |
Mead Johnson Nutrition Co. | 20,714 | 1,818 | |
JM Smucker Co. | 12,794 | 1,813 | |
Hershey Co. | 15,501 | 1,680 | |
Church & Dwight Co. Inc. | 28,553 | 1,423 | |
McCormick & Co. Inc. | 13,282 | 1,307 | |
Bunge Ltd. | 15,234 | 1,247 | |
Campbell Soup Co. | 20,701 | 1,229 | |
Whole Foods Market Inc. | 35,624 | 1,093 | |
Hormel Foods Corp. | 30,412 | 1,072 | |
* | WhiteWave Foods Co. Class A | 19,217 | 1,058 |
Brown-Forman Corp. Class B | 20,752 | 1,012 | |
Ingredion Inc. | 7,939 | 960 | |
Pinnacle Foods Inc. | 12,647 | 723 | |
* | Rite Aid Corp. | 115,355 | 692 |
Lamb Weston Holdings Inc. | 15,931 | 624 | |
* | Post Holdings Inc. | 6,977 | 571 |
* | TreeHouse Foods Inc. | 6,059 | 515 |
Casey's General Stores Inc. | 4,343 | 498 | |
* | Edgewell Personal Care Co. | 6,375 | 471 |
^,* | Herbalife Ltd. | 8,070 | 456 |
* | Hain Celestial Group Inc. | 11,136 | 394 |
Energizer Holdings Inc. | 7,032 | 386 | |
Spectrum Brands Holdings Inc. | 2,811 | 381 | |
Flowers Foods Inc. | 19,789 | 381 | |
Nu Skin Enterprises Inc. Class A | 6,122 | 303 | |
Brown-Forman Corp. Class A | 5,848 | 292 | |
* | Sprouts Farmers Market Inc. | 14,502 | 268 |
* | Blue Buffalo Pet Products Inc. | 6,621 | 162 |
* | US Foods Holding Corp. | 5,200 | 143 |
Pilgrim's Pride Corp. | 6,951 | 142 | |
^,* | AquaBounty Technologies Inc. | 86 | 1 |
199,356 | |||
Energy (6.3%) | |||
Exxon Mobil Corp. | 463,727 | 37,710 | |
Chevron Corp. | 209,097 | 23,524 | |
Schlumberger Ltd. | 154,546 | 12,419 | |
ConocoPhillips | 137,615 | 6,546 | |
EOG Resources Inc. | 60,966 | 5,913 | |
Occidental Petroleum Corp. | 84,778 | 5,557 | |
Halliburton Co. | 95,136 | 5,086 | |
Kinder Morgan Inc. | 214,189 | 4,564 | |
Anadarko Petroleum Corp. | 61,934 | 4,004 | |
Phillips 66 | 50,200 | 3,925 | |
Valero Energy Corp. | 52,250 | 3,550 | |
Pioneer Natural Resources Co. | 18,129 | 3,372 | |
Baker Hughes Inc. | 48,769 | 2,940 | |
Marathon Petroleum Corp. | 58,570 | 2,905 | |
Devon Energy Corp. | 57,671 | 2,501 | |
Williams Cos. Inc. | 83,611 | 2,370 | |
Apache Corp. | 41,859 | 2,201 | |
* | Concho Resources Inc. | 15,558 | 2,061 |
Noble Energy Inc. | 46,923 | 1,709 | |
National Oilwell Varco Inc. | 41,869 | 1,692 |
4
Vanguard® Russell 1000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Hess Corp. | 31,125 | 1,601 | |
Marathon Oil Corp. | 93,657 | 1,499 | |
Cimarex Energy Co. | 10,476 | 1,317 | |
ONEOK Inc. | 23,391 | 1,264 | |
EQT Corp. | 19,231 | 1,152 | |
Tesoro Corp. | 13,394 | 1,141 | |
Cabot Oil & Gas Corp. | 51,702 | 1,132 | |
Targa Resources Corp. | 19,713 | 1,114 | |
* | Cheniere Energy Inc. | 22,088 | 1,061 |
* | Diamondback Energy Inc. | 9,978 | 1,006 |
* | Newfield Exploration Co. | 21,952 | 800 |
^ | Helmerich & Payne Inc. | 10,661 | 729 |
* | Parsley Energy Inc. Class A | 20,728 | 630 |
Range Resources Corp. | 22,431 | 620 | |
* | Weatherford International plc | 107,672 | 610 |
* | WPX Energy Inc. | 43,363 | 559 |
* | Energen Corp. | 10,645 | 559 |
HollyFrontier Corp. | 18,312 | 536 | |
* | Transocean Ltd. | 38,082 | 526 |
Patterson-UTI Energy Inc. | 18,957 | 524 | |
Murphy Oil Corp. | 17,995 | 509 | |
* | Antero Resources Corp. | 19,939 | 478 |
Nabors Industries Ltd. | 29,710 | 435 | |
* | Continental Resources Inc. | 9,337 | 422 |
* | Southwestern Energy Co. | 55,415 | 416 |
* | CONSOL Energy Inc. | 24,953 | 389 |
* | Chesapeake Energy Corp. | 66,111 | 360 |
* | QEP Resources Inc. | 25,720 | 354 |
* | Rice Energy Inc. | 17,594 | 328 |
Ensco plc Class A | 32,984 | 321 | |
* | First Solar Inc. | 8,697 | 315 |
Oceaneering International Inc. | 11,007 | 312 | |
* | Gulfport Energy Corp. | 17,141 | 297 |
PBF Energy Inc. Class A | 11,714 | 287 | |
World Fuel Services Corp. | 7,529 | 272 | |
SM Energy Co. | 11,046 | 272 | |
* | Superior Energy Services Inc. | 16,274 | 269 |
* | Dril-Quip Inc. | 4,190 | 257 |
* | Rowan Cos. plc Class A | 13,903 | 252 |
* | Whiting Petroleum Corp. | 22,198 | 241 |
* | Laredo Petroleum Inc. | 16,723 | 231 |
Noble Corp. plc | 26,329 | 176 | |
^ | RPC Inc. | 6,604 | 132 |
* | Diamond Offshore Drilling Inc. | 7,553 | 127 |
* | Kosmos Energy Ltd. | 18,371 | 113 |
* | Extraction Oil & Gas Inc. | 5,201 | 92 |
Valvoline Inc. | 3,665 | 82 | |
^,* | SunPower Corp. Class A | 5,059 | 44 |
^ | Frank's International NV | 3,148 | 39 |
160,751 | |||
Financial Services (20.9%) | |||
JPMorgan Chase & Co. | 404,722 | 36,676 | |
* | Berkshire Hathaway Inc. Class B | 210,212 | 36,035 |
Wells Fargo & Co. | 507,830 | 29,393 | |
Bank of America Corp. | 1,142,676 | 28,201 | |
Visa Inc. Class A | 211,829 | 18,628 | |
Citigroup Inc. | 308,693 | 18,463 | |
Mastercard Inc. Class A | 107,025 | 11,822 | |
Goldman Sachs Group Inc. | 42,903 | 10,643 | |
US Bancorp | 180,405 | 9,922 | |
Morgan Stanley | 158,672 | 7,247 | |
American International Group Inc. | 113,304 | 7,242 | |
American Express Co. | 89,061 | 7,130 | |
Chubb Ltd. | 51,284 | 7,086 |
5
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
PNC Financial Services Group Inc. | 55,428 | 7,052 |
Simon Property Group Inc. | 34,272 | 6,320 |
Bank of New York Mellon Corp. | 116,122 | 5,474 |
Prudential Financial Inc. | 49,018 | 5,418 |
MetLife Inc. | 103,050 | 5,404 |
BlackRock Inc. | 13,866 | 5,373 |
American Tower Corporation | 46,719 | 5,363 |
* PayPal Holdings Inc. | 125,512 | 5,272 |
Charles Schwab Corp. | 129,206 | 5,221 |
Capital One Financial Corp. | 53,458 | 5,018 |
CME Group Inc. | 37,463 | 4,550 |
BB&T Corp. | 90,281 | 4,353 |
Marsh & McLennan Cos. Inc. | 57,716 | 4,241 |
Travelers Cos. Inc. | 32,365 | 3,956 |
S&P Global Inc. | 29,271 | 3,790 |
Intercontinental Exchange Inc. | 65,293 | 3,730 |
Crown Castle International Corp. | 39,843 | 3,727 |
Public Storage | 16,377 | 3,725 |
State Street Corp. | 43,931 | 3,502 |
Allstate Corp. | 41,442 | 3,405 |
Aon plc | 29,221 | 3,379 |
Synchrony Financial | 92,707 | 3,360 |
SunTrust Banks Inc. | 56,040 | 3,334 |
Aflac Inc. | 44,633 | 3,229 |
Discover Financial Services | 43,699 | 3,109 |
Fidelity National Information Services Inc. | 35,939 | 2,957 |
Prologis Inc. | 57,888 | 2,955 |
Equinix Inc. | 7,642 | 2,874 |
* Fiserv Inc. | 24,506 | 2,828 |
AvalonBay Communities Inc. | 15,283 | 2,809 |
Welltower Inc. | 39,867 | 2,806 |
M&T Bank Corp. | 16,694 | 2,787 |
Weyerhaeuser Co. | 82,019 | 2,766 |
Progressive Corp. | 64,584 | 2,530 |
Equity Residential | 39,292 | 2,478 |
Ventas Inc. | 37,279 | 2,425 |
Boston Properties Inc. | 16,893 | 2,349 |
Fifth Third Bancorp | 84,444 | 2,317 |
KeyCorp | 119,084 | 2,235 |
Citizens Financial Group Inc. | 58,530 | 2,187 |
Ameriprise Financial Inc. | 16,395 | 2,156 |
Regions Financial Corp. | 140,128 | 2,140 |
Hartford Financial Services Group Inc. | 43,138 | 2,109 |
Moody's Corp. | 18,688 | 2,081 |
Vornado Realty Trust | 18,934 | 2,080 |
Northern Trust Corp. | 22,823 | 1,994 |
T. Rowe Price Group Inc. | 26,763 | 1,906 |
Digital Realty Trust Inc. | 17,543 | 1,895 |
Lincoln National Corp. | 26,357 | 1,849 |
Principal Financial Group Inc. | 29,480 | 1,844 |
Realty Income Corp. | 28,515 | 1,747 |
* FleetCor Technologies Inc. | 10,146 | 1,725 |
Franklin Resources Inc. | 40,001 | 1,722 |
Equifax Inc. | 13,082 | 1,715 |
HCP Inc. | 51,729 | 1,696 |
Huntington Bancshares Inc. | 119,259 | 1,686 |
Essex Property Trust Inc. | 7,175 | 1,684 |
First Republic Bank | 17,185 | 1,612 |
* GGP Inc. | 63,620 | 1,582 |
Alliance Data Systems Corp. | 6,368 | 1,547 |
* Markel Corp. | 1,503 | 1,473 |
Host Hotels & Resorts Inc. | 81,336 | 1,463 |
Invesco Ltd. | 45,360 | 1,460 |
Loews Corp. | 30,943 | 1,454 |
6
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Thomson Reuters Corp. | 33,260 | 1,407 |
Comerica Inc. | 19,371 | 1,381 |
Global Payments Inc. | 17,004 | 1,355 |
Unum Group | 26,465 | 1,292 |
Annaly Capital Management Inc. | 115,956 | 1,287 |
Mid-America Apartment Communities Inc. | 12,352 | 1,269 |
SL Green Realty Corp. | 10,905 | 1,229 |
* Arch Capital Group Ltd. | 12,671 | 1,198 |
Cincinnati Financial Corp. | 16,422 | 1,198 |
* CBRE Group Inc. Class A | 33,231 | 1,184 |
Alexandria Real Estate Equities Inc. | 9,848 | 1,175 |
XL Group Ltd. | 28,827 | 1,167 |
* Vantiv Inc. Class A | 17,335 | 1,133 |
Arthur J Gallagher & Co. | 19,655 | 1,119 |
Kimco Realty Corp. | 46,120 | 1,118 |
FNF Group | 29,050 | 1,113 |
Ally Financial Inc. | 49,391 | 1,111 |
Raymond James Financial Inc. | 14,056 | 1,104 |
Federal Realty Investment Trust | 7,754 | 1,091 |
Everest Re Group Ltd. | 4,634 | 1,090 |
* SVB Financial Group | 5,683 | 1,085 |
TD Ameritrade Holding Corp. | 27,627 | 1,080 |
UDR Inc. | 29,388 | 1,073 |
Macerich Co. | 15,867 | 1,069 |
Western Union Co. | 54,281 | 1,066 |
Extra Space Storage Inc. | 13,454 | 1,065 |
* E*TRADE Financial Corp. | 30,637 | 1,057 |
Iron Mountain Inc. | 29,063 | 1,056 |
* Alleghany Corp. | 1,634 | 1,055 |
Zions Bancorporation | 22,809 | 1,024 |
Torchmark Corp. | 13,143 | 1,019 |
Affiliated Managers Group Inc. | 5,963 | 1,001 |
Total System Services Inc. | 18,171 | 990 |
Duke Realty Corp. | 38,282 | 982 |
VEREIT Inc. | 106,216 | 963 |
Leucadia National Corp. | 36,061 | 960 |
Voya Financial Inc. | 22,754 | 938 |
CIT Group Inc. | 21,817 | 936 |
* Signature Bank | 5,888 | 927 |
Reinsurance Group of America Inc. Class A | 7,103 | 924 |
MSCI Inc. Class A | 9,693 | 917 |
Broadridge Financial Solutions Inc. | 13,079 | 907 |
* Colony NorthStar Inc. Class A | 60,646 | 890 |
Nasdaq Inc. | 12,513 | 890 |
East West Bancorp Inc. | 16,274 | 881 |
Kilroy Realty Corp. | 10,722 | 827 |
Jack Henry & Associates Inc. | 8,650 | 811 |
Apartment Investment & Management Co. | 17,387 | 809 |
Regency Centers Corp. | 11,487 | 808 |
MarketAxess Holdings Inc. | 4,079 | 796 |
New York Community Bancorp Inc. | 51,873 | 793 |
Camden Property Trust | 9,337 | 790 |
FactSet Research Systems Inc. | 4,430 | 788 |
WR Berkley Corp. | 10,704 | 760 |
PacWest Bancorp | 13,288 | 732 |
American Campus Communities Inc. | 14,292 | 730 |
SEI Investments Co. | 14,346 | 722 |
American Financial Group Inc. | 7,608 | 716 |
CBOE Holdings Inc. | 9,134 | 713 |
National Retail Properties Inc. | 15,744 | 712 |
WP Carey Inc. | 11,281 | 712 |
AGNC Investment Corp. | 36,015 | 707 |
RenaissanceRe Holdings Ltd. | 4,747 | 701 |
Lamar Advertising Co. Class A | 9,242 | 698 |
7
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Axis Capital Holdings Ltd. | 9,757 | 676 |
Endurance Specialty Holdings Ltd. | 7,198 | 669 |
Equity LifeStyle Properties Inc. | 8,387 | 668 |
People's United Financial Inc. | 34,583 | 664 |
Gaming and Leisure Properties Inc. | 20,703 | 663 |
Omega Healthcare Investors Inc. | 20,223 | 660 |
Synovus Financial Corp. | 15,447 | 652 |
Starwood Property Trust Inc. | 27,914 | 638 |
Liberty Property Trust | 16,004 | 631 |
Sun Communities Inc. | 7,519 | 623 |
Douglas Emmett Inc. | 15,413 | 622 |
Lazard Ltd. Class A | 14,249 | 614 |
Assurant Inc. | 6,170 | 611 |
Assured Guaranty Ltd. | 14,626 | 601 |
Forest City Realty Trust Inc. Class A | 25,531 | 583 |
Eaton Vance Corp. | 12,417 | 579 |
EPR Properties | 7,498 | 577 |
Hospitality Properties Trust | 18,108 | 575 |
Spirit Realty Capital Inc. | 52,151 | 573 |
Highwoods Properties Inc. | 10,870 | 571 |
* First Data Corp. Class A | 35,285 | 568 |
Brown & Brown Inc. | 13,138 | 566 |
Commerce Bancshares Inc. | 9,537 | 563 |
Jones Lang LaSalle Inc. | 4,868 | 558 |
Old Republic International Corp. | 26,903 | 557 |
* Western Alliance Bancorp | 10,547 | 545 |
Senior Housing Properties Trust | 26,374 | 541 |
Cullen/Frost Bankers Inc. | 5,778 | 534 |
CubeSmart | 19,259 | 525 |
Navient Corp. | 33,965 | 523 |
Allied World Assurance Co. Holdings AG | 9,858 | 521 |
First Horizon National Corp. | 25,256 | 504 |
Brixmor Property Group Inc. | 21,152 | 494 |
Healthcare Trust of America Inc. Class A | 15,247 | 491 |
Popular Inc. | 11,070 | 488 |
Validus Holdings Ltd. | 8,457 | 488 |
* WEX Inc. | 4,378 | 487 |
* SLM Corp. | 40,399 | 484 |
DDR Corp. | 33,256 | 481 |
Weingarten Realty Investors | 13,228 | 469 |
First American Financial Corp. | 11,991 | 469 |
DCT Industrial Trust Inc. | 9,738 | 466 |
Life Storage Inc. | 5,182 | 459 |
* Howard Hughes Corp. | 3,940 | 459 |
Realogy Holdings Corp. | 16,355 | 453 |
* Euronet Worldwide Inc. | 5,398 | 447 |
CoreCivic Inc. | 13,256 | 447 |
Taubman Centers Inc. | 6,364 | 444 |
White Mountains Insurance Group Ltd. | 471 | 441 |
American Homes 4 Rent Class A | 18,394 | 437 |
Hanover Insurance Group Inc. | 4,805 | 433 |
Legg Mason Inc. | 11,465 | 432 |
BankUnited Inc. | 10,747 | 426 |
STORE Capital Corp. | 17,040 | 424 |
* Equity Commonwealth | 13,562 | 424 |
Dun & Bradstreet Corp. | 3,950 | 417 |
Associated Banc-Corp | 16,173 | 416 |
Retail Properties of America Inc. | 26,967 | 416 |
Outfront Media Inc. | 15,658 | 406 |
* Zillow Group Inc. | 11,931 | 405 |
Bank of Hawaii Corp. | 4,676 | 395 |
Uniti Group Inc. | 13,602 | 394 |
CyrusOne Inc. | 7,734 | 394 |
Chimera Investment Corp. | 20,450 | 393 |
8
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Rayonier Inc. | 13,432 | 385 |
Aspen Insurance Holdings Ltd. | 6,823 | 382 |
* CoreLogic Inc. | 9,614 | 377 |
LPL Financial Holdings Inc. | 9,528 | 377 |
Apple Hospitality REIT Inc. | 18,745 | 368 |
Piedmont Office Realty Trust Inc. Class A | 16,023 | 368 |
Two Harbors Investment Corp. | 39,126 | 364 |
Corporate Office Properties Trust | 10,342 | 353 |
Paramount Group Inc. | 20,052 | 350 |
Tanger Factory Outlet Centers Inc. | 10,296 | 349 |
ProAssurance Corp. | 5,752 | 340 |
Erie Indemnity Co. Class A | 2,807 | 333 |
Equity One Inc. | 10,422 | 330 |
MFA Financial Inc. | 41,056 | 329 |
Park Hotels & Resorts Inc. | 12,650 | 323 |
Brandywine Realty Trust | 19,257 | 321 |
Columbia Property Trust Inc. | 13,338 | 308 |
Empire State Realty Trust Inc. | 13,554 | 296 |
TCF Financial Corp. | 16,702 | 291 |
Federated Investors Inc. Class B | 9,966 | 271 |
Interactive Brokers Group Inc. | 7,121 | 261 |
Care Capital Properties Inc. | 9,385 | 247 |
BOK Financial Corp. | 2,989 | 246 |
* TransUnion | 6,208 | 230 |
AmTrust Financial Services Inc. | 9,359 | 215 |
* Credit Acceptance Corp. | 944 | 189 |
* Quality Care Properties Inc. | 9,749 | 185 |
* Santander Consumer USA Holdings Inc. | 12,268 | 181 |
* Zillow Group Inc. Class A | 5,383 | 181 |
Mercury General Corp. | 2,898 | 170 |
* OneMain Holdings Inc. Class A | 5,570 | 156 |
Morningstar Inc. | 1,819 | 146 |
CNA Financial Corp. | 2,757 | 118 |
Artisan Partners Asset Management Inc. Class A | 4,145 | 118 |
TFS Financial Corp. | 6,320 | 107 |
American National Insurance Co. | 792 | 95 |
* Square Inc. | 5,058 | 88 |
First Hawaiian Inc. | 2,371 | 75 |
* Donnelley Financial Solutions Inc. | 2,606 | 60 |
527,834 | ||
Health Care (13.3%) | ||
Johnson & Johnson | 305,439 | 37,328 |
Pfizer Inc. | 666,711 | 22,748 |
Merck & Co. Inc. | 307,926 | 20,283 |
UnitedHealth Group Inc. | 104,254 | 17,242 |
Amgen Inc. | 83,548 | 14,749 |
Medtronic plc | 156,004 | 12,622 |
AbbVie Inc. | 180,039 | 11,134 |
* Celgene Corp. | 85,476 | 10,557 |
Bristol-Myers Squibb Co. | 185,723 | 10,532 |
Gilead Sciences Inc. | 147,455 | 10,393 |
Allergan plc | 37,191 | 9,105 |
Eli Lilly & Co. | 108,432 | 8,979 |
Abbott Laboratories | 190,345 | 8,581 |
* Biogen Inc. | 24,345 | 7,026 |
Thermo Fisher Scientific Inc. | 43,641 | 6,881 |
Danaher Corp. | 67,007 | 5,732 |
* Express Scripts Holding Co. | 70,294 | 4,966 |
Aetna Inc. | 37,752 | 4,861 |
Anthem Inc. | 29,263 | 4,823 |
Stryker Corp. | 37,354 | 4,802 |
Becton Dickinson and Co. | 23,248 | 4,256 |
Cigna Corp. | 28,201 | 4,199 |
* Boston Scientific Corp. | 149,807 | 3,678 |
9
Vanguard® Russell 1000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
McKesson Corp. | 23,546 | 3,535 | |
Humana Inc. | 16,535 | 3,493 | |
* | Regeneron Pharmaceuticals Inc. | 8,646 | 3,229 |
* | Alexion Pharmaceuticals Inc. | 24,101 | 3,163 |
* | Intuitive Surgical Inc. | 4,186 | 3,085 |
* | HCA Holdings Inc. | 34,233 | 2,987 |
Cardinal Health Inc. | 36,382 | 2,960 | |
Baxter International Inc. | 55,359 | 2,819 | |
* | Illumina Inc. | 16,278 | 2,725 |
Zoetis Inc. | 50,701 | 2,703 | |
* | Vertex Pharmaceuticals Inc. | 27,173 | 2,462 |
Zimmer Biomet Holdings Inc. | 20,590 | 2,411 | |
* | Incyte Corp. | 18,002 | 2,396 |
* | Edwards Lifesciences Corp. | 23,282 | 2,189 |
* | Mylan NV | 50,501 | 2,113 |
CR Bard Inc. | 8,198 | 2,011 | |
Agilent Technologies Inc. | 35,935 | 1,843 | |
* | Cerner Corp. | 32,426 | 1,785 |
* | BioMarin Pharmaceutical Inc. | 18,895 | 1,775 |
AmerisourceBergen Corp. Class A | 18,168 | 1,663 | |
Dentsply Sirona Inc. | 25,507 | 1,620 | |
* | Laboratory Corp. of America Holdings | 11,334 | 1,612 |
* | Henry Schein Inc. | 9,071 | 1,556 |
Quest Diagnostics Inc. | 15,723 | 1,532 | |
* | IDEXX Laboratories Inc. | 9,793 | 1,419 |
* | Centene Corp. | 18,613 | 1,312 |
* | Hologic Inc. | 31,198 | 1,266 |
* | DaVita Inc. | 17,566 | 1,219 |
* | Quintiles IMS Holdings Inc. | 15,631 | 1,210 |
Universal Health Services Inc. Class B | 9,600 | 1,206 | |
Perrigo Co. plc | 15,336 | 1,147 | |
ResMed Inc. | 15,493 | 1,116 | |
Cooper Cos. Inc. | 5,265 | 1,049 | |
* | Alkermes plc | 16,724 | 945 |
Teleflex Inc. | 4,874 | 932 | |
* | Varian Medical Systems Inc. | 10,609 | 890 |
* | Envision Healthcare Corp. | 12,682 | 888 |
* | Align Technology Inc. | 7,870 | 809 |
* | VCA Inc. | 8,631 | 785 |
* | MEDNAX Inc. | 10,217 | 727 |
* | DexCom Inc. | 9,224 | 721 |
* | United Therapeutics Corp. | 4,829 | 713 |
* | Seattle Genetics Inc. | 10,738 | 705 |
* | QIAGEN NV | 24,398 | 694 |
* | WellCare Health Plans Inc. | 4,829 | 682 |
* | Ionis Pharmaceuticals Inc. | 13,585 | 676 |
West Pharmaceutical Services Inc. | 8,052 | 664 | |
PerkinElmer Inc. | 12,117 | 657 | |
* | Mallinckrodt plc | 12,204 | 640 |
Bioverativ Inc. | 12,076 | 629 | |
* | ABIOMED Inc. | 4,383 | 517 |
* | athenahealth Inc. | 4,291 | 506 |
Hill-Rom Holdings Inc. | 7,175 | 477 | |
* | Charles River Laboratories International Inc. | 5,266 | 458 |
* | Veeva Systems Inc. Class A | 10,406 | 455 |
* | Bio-Rad Laboratories Inc. Class A | 2,312 | 450 |
Bio-Techne Corp. | 4,096 | 436 | |
* | Neurocrine Biosciences Inc. | 9,818 | 434 |
* | Alnylam Pharmaceuticals Inc. | 8,260 | 427 |
Patterson Cos. Inc. | 9,163 | 416 | |
* | ACADIA Pharmaceuticals Inc. | 10,641 | 406 |
* | Alere Inc. | 9,641 | 369 |
* | Acadia Healthcare Co. Inc. | 8,113 | 363 |
^,* | OPKO Health Inc. | 36,865 | 309 |
10
Vanguard® Russell 1000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Endo International plc | 21,872 | 299 |
* | Brookdale Senior Living Inc. | 19,769 | 285 |
Bruker Corp. | 11,685 | 282 | |
* | Allscripts Healthcare Solutions Inc. | 21,701 | 264 |
* | LifePoint Health Inc. | 3,982 | 255 |
* | Intercept Pharmaceuticals Inc. | 1,871 | 239 |
* | VWR Corp. | 8,338 | 234 |
* | Akorn Inc. | 8,851 | 184 |
* | Tenet Healthcare Corp. | 8,686 | 168 |
* | Agios Pharmaceuticals Inc. | 3,363 | 163 |
* | Juno Therapeutics Inc. | 6,746 | 162 |
* | Premier Inc. Class A | 4,744 | 149 |
^,* | Intrexon Corp. | 6,632 | 148 |
* | Varex Imaging Corp. | 4,060 | 141 |
* | Patheon NV | 3,854 | 121 |
* | Quorum Health Corp. | 35 | — |
335,962 | |||
Materials & Processing (3.6%) | |||
Dow Chemical Co. | 124,483 | 7,750 | |
EI du Pont de Nemours & Co. | 97,239 | 7,637 | |
Monsanto Co. | 48,342 | 5,503 | |
Praxair Inc. | 31,743 | 3,768 | |
Ecolab Inc. | 28,895 | 3,582 | |
LyondellBasell Industries NV Class A | 36,747 | 3,353 | |
Air Products & Chemicals Inc. | 21,772 | 3,058 | |
PPG Industries Inc. | 29,417 | 3,013 | |
Sherwin-Williams Co. | 8,924 | 2,753 | |
International Paper Co. | 45,866 | 2,417 | |
Ingersoll-Rand plc | 29,220 | 2,319 | |
Nucor Corp. | 35,199 | 2,202 | |
Newmont Mining Corp. | 58,790 | 2,013 | |
* | Freeport-McMoRan Inc. | 146,242 | 1,960 |
Vulcan Materials Co. | 14,594 | 1,760 | |
Fastenal Co. | 31,829 | 1,592 | |
Martin Marietta Materials Inc. | 6,984 | 1,508 | |
WestRock Co. | 27,659 | 1,486 | |
Celanese Corp. Class A | 16,321 | 1,455 | |
Ball Corp. | 19,033 | 1,400 | |
Eastman Chemical Co. | 16,222 | 1,302 | |
Masco Corp. | 36,856 | 1,245 | |
Albemarle Corp. | 12,256 | 1,244 | |
Mosaic Co. | 38,870 | 1,212 | |
International Flavors & Fragrances Inc. | 8,833 | 1,110 | |
Acuity Brands Inc. | 4,865 | 1,028 | |
Sealed Air Corp. | 21,675 | 1,007 | |
Valspar Corp. | 8,720 | 970 | |
Packaging Corp. of America | 10,334 | 955 | |
Steel Dynamics Inc. | 26,067 | 954 | |
FMC Corp. | 14,786 | 852 | |
Ashland Global Holdings Inc. | 6,832 | 824 | |
CF Industries Holdings Inc. | 25,968 | 816 | |
* | Crown Holdings Inc. | 14,909 | 799 |
RPM International Inc. | 14,497 | 773 | |
Owens Corning | 12,541 | 734 | |
Lennox International Inc. | 4,356 | 717 | |
* | Berry Plastics Group Inc. | 14,136 | 712 |
United States Steel Corp. | 17,209 | 666 | |
Reliance Steel & Aluminum Co. | 7,753 | 656 | |
Sonoco Products Co. | 11,099 | 592 | |
Hexcel Corp. | 10,238 | 563 | |
* | Alcoa Corp. | 16,031 | 555 |
WR Grace & Co. | 7,759 | 550 | |
Bemis Co. Inc. | 10,699 | 530 | |
* | Axalta Coating Systems Ltd. | 18,211 | 530 |
11
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Eagle Materials Inc. | 5,081 | 527 |
AptarGroup Inc. | 6,719 | 501 |
Huntsman Corp. | 21,410 | 484 |
Graphic Packaging Holding Co. | 35,975 | 480 |
Royal Gold Inc. | 7,179 | 474 |
Scotts Miracle-Gro Co. | 5,100 | 462 |
Watsco Inc. | 2,817 | 418 |
Cabot Corp. | 6,982 | 405 |
Valmont Industries Inc. | 2,506 | 394 |
NewMarket Corp. | 805 | 351 |
Southern Copper Corp. | 9,530 | 349 |
Timken Co. | 7,716 | 341 |
* Owens-Illinois Inc. | 17,193 | 340 |
* Versum Materials Inc. | 10,884 | 330 |
* USG Corp. | 9,405 | 317 |
* Platform Specialty Products Corp. | 21,878 | 289 |
Compass Minerals International Inc. | 3,742 | 284 |
Tahoe Resources Inc. | 32,260 | 273 |
Westlake Chemical Corp. | 4,192 | 266 |
Silgan Holdings Inc. | 4,328 | 258 |
Domtar Corp. | 6,739 | 257 |
* Armstrong World Industries Inc. | 5,055 | 233 |
* AdvanSix Inc. | 3,109 | 85 |
90,543 | ||
Other (0.0%)2 | ||
Invitation Homes Inc. | 960 | 21 |
Enbridge Inc. | 436 | 18 |
39 | ||
Producer Durables (10.8%) | ||
General Electric Co. | 1,022,702 | 30,487 |
3M Co. | 65,377 | 12,183 |
Boeing Co. | 66,338 | 11,956 |
Honeywell International Inc. | 84,636 | 10,537 |
Union Pacific Corp. | 93,613 | 10,105 |
United Technologies Corp. | 86,248 | 9,707 |
Accenture plc Class A | 69,258 | 8,484 |
United Parcel Service Inc. Class B | 76,934 | 8,137 |
Lockheed Martin Corp. | 28,269 | 7,536 |
Caterpillar Inc. | 61,960 | 5,989 |
FedEx Corp. | 27,650 | 5,336 |
Automatic Data Processing Inc. | 50,525 | 5,185 |
CSX Corp. | 105,818 | 5,139 |
General Dynamics Corp. | 27,054 | 5,135 |
Raytheon Co. | 32,964 | 5,081 |
Northrop Grumman Corp. | 18,464 | 4,562 |
Illinois Tool Works Inc. | 32,694 | 4,316 |
Delta Air Lines Inc. | 85,792 | 4,284 |
Johnson Controls International plc | 101,917 | 4,274 |
Emerson Electric Co. | 70,931 | 4,263 |
Southwest Airlines Co. | 70,963 | 4,102 |
Norfolk Southern Corp. | 32,773 | 3,967 |
Deere & Co. | 34,938 | 3,825 |
Eaton Corp. plc | 51,471 | 3,705 |
Waste Management Inc. | 49,134 | 3,603 |
American Airlines Group Inc. | 58,967 | 2,734 |
* United Continental Holdings Inc. | 35,372 | 2,621 |
Cummins Inc. | 17,574 | 2,610 |
PACCAR Inc. | 38,784 | 2,591 |
Roper Technologies Inc. | 11,027 | 2,307 |
Parker-Hannifin Corp. | 14,727 | 2,280 |
Paychex Inc. | 35,591 | 2,186 |
Rockwell Automation Inc. | 14,355 | 2,169 |
Stanley Black & Decker Inc. | 16,513 | 2,100 |
Fortive Corp. | 33,449 | 1,928 |
12
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Republic Services Inc. Class A | 26,097 | 1,617 |
WW Grainger Inc. | 6,113 | 1,516 |
L3 Technologies Inc. | 8,581 | 1,444 |
TransDigm Group Inc. | 5,563 | 1,414 |
Textron Inc. | 29,841 | 1,411 |
* Verisk Analytics Inc. Class A | 17,001 | 1,410 |
Arconic Inc. | 48,848 | 1,406 |
* Mettler-Toledo International Inc. | 2,917 | 1,389 |
Rockwell Collins Inc. | 14,455 | 1,382 |
AMETEK Inc. | 25,289 | 1,365 |
Dover Corp. | 16,866 | 1,351 |
* Waters Corp. | 8,454 | 1,310 |
Alaska Air Group Inc. | 13,235 | 1,295 |
CH Robinson Worldwide Inc. | 15,706 | 1,262 |
* United Rentals Inc. | 9,809 | 1,256 |
Cintas Corp. | 10,210 | 1,205 |
Huntington Ingalls Industries Inc. | 5,205 | 1,137 |
Expeditors International of Washington Inc. | 20,045 | 1,130 |
Snap-on Inc. | 6,375 | 1,082 |
Kansas City Southern | 12,093 | 1,072 |
Pentair plc | 18,380 | 1,067 |
Xylem Inc. | 19,822 | 954 |
JB Hunt Transport Services Inc. | 9,695 | 952 |
* HD Supply Holdings Inc. | 21,979 | 945 |
* Middleby Corp. | 6,361 | 882 |
* Trimble Inc. | 27,889 | 865 |
Fluor Corp. | 15,277 | 846 |
Spirit AeroSystems Holdings Inc. Class A | 13,520 | 833 |
AO Smith Corp. | 16,332 | 823 |
Xerox Corp. | 110,308 | 821 |
Avery Dennison Corp. | 9,901 | 799 |
Allegion plc | 10,788 | 783 |
IDEX Corp. | 8,468 | 781 |
* Stericycle Inc. | 9,264 | 768 |
Nordson Corp. | 6,384 | 766 |
Wabtec Corp. | 9,549 | 765 |
Jacobs Engineering Group Inc. | 13,294 | 750 |
* CoStar Group Inc. | 3,600 | 731 |
Carlisle Cos. Inc. | 7,022 | 725 |
ManpowerGroup Inc. | 7,448 | 723 |
Toro Co. | 11,936 | 719 |
* JetBlue Airways Corp. | 35,930 | 717 |
Hubbell Inc. Class B | 6,014 | 713 |
B/E Aerospace Inc. | 11,178 | 711 |
* Keysight Technologies Inc. | 18,880 | 710 |
* Old Dominion Freight Line Inc. | 7,513 | 689 |
Robert Half International Inc. | 14,016 | 676 |
Flowserve Corp. | 14,428 | 670 |
* Copart Inc. | 11,015 | 651 |
Macquarie Infrastructure Corp. | 8,380 | 645 |
* AECOM | 17,044 | 620 |
Donaldson Co. Inc. | 14,137 | 607 |
* Quanta Services Inc. | 15,892 | 593 |
Orbital ATK Inc. | 6,323 | 584 |
Lincoln Electric Holdings Inc. | 6,837 | 576 |
FLIR Systems Inc. | 15,333 | 563 |
Allison Transmission Holdings Inc. | 15,377 | 553 |
Graco Inc. | 6,069 | 551 |
Oshkosh Corp. | 7,999 | 543 |
* Zebra Technologies Corp. | 5,881 | 533 |
* Genesee & Wyoming Inc. Class A | 6,863 | 509 |
MSC Industrial Direct Co. Inc. Class A | 4,780 | 481 |
BWX Technologies Inc. | 10,152 | 471 |
AGCO Corp. | 7,610 | 464 |
13
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Trinity Industries Inc. | 16,989 | 456 |
Ryder System Inc. | 5,900 | 449 |
Booz Allen Hamilton Holding Corp. Class A | 12,305 | 440 |
ITT Inc. | 10,202 | 418 |
* Spirit Airlines Inc. | 7,937 | 414 |
Air Lease Corp. Class A | 10,467 | 408 |
* Colfax Corp. | 10,702 | 407 |
* Kirby Corp. | 5,804 | 402 |
Landstar System Inc. | 4,588 | 398 |
Rollins Inc. | 10,542 | 385 |
Chicago Bridge & Iron Co. NV | 11,442 | 384 |
Crane Co. | 5,301 | 383 |
* Genpact Ltd. | 15,445 | 374 |
* WESCO International Inc. | 5,302 | 369 |
* Conduent Inc. | 22,822 | 367 |
Regal Beloit Corp. | 4,925 | 367 |
National Instruments Corp. | 11,303 | 364 |
Terex Corp. | 11,521 | 360 |
Copa Holdings SA Class A | 3,348 | 357 |
* Clean Harbors Inc. | 5,654 | 328 |
HEICO Corp. Class A | 4,149 | 294 |
Pitney Bowes Inc. | 21,115 | 288 |
* Manitowoc Foodservice Inc. | 14,195 | 271 |
KBR Inc. | 15,351 | 231 |
Covanta Holding Corp. | 12,558 | 203 |
HEICO Corp. | 2,407 | 198 |
* Herc Holdings Inc. | 2,739 | 142 |
RR Donnelley & Sons Co. | 8,137 | 136 |
LSC Communications Inc. | 2,606 | 74 |
272,673 | ||
Technology (17.8%) | ||
Apple Inc. | 609,353 | 83,475 |
Microsoft Corp. | 842,335 | 53,893 |
* Facebook Inc. Class A | 249,535 | 33,822 |
* Alphabet Inc. Class A | 32,604 | 27,548 |
* Alphabet Inc. Class C | 33,014 | 27,177 |
Cisco Systems Inc. | 559,430 | 19,121 |
Intel Corp. | 525,621 | 19,028 |
International Business Machines Corp. | 97,721 | 17,572 |
Oracle Corp. | 328,950 | 14,010 |
QUALCOMM Inc. | 163,387 | 9,228 |
Broadcom Ltd. | 41,946 | 8,848 |
Texas Instruments Inc. | 111,777 | 8,564 |
* Adobe Systems Inc. | 54,106 | 6,403 |
* salesforce.com Inc. | 70,998 | 5,776 |
NVIDIA Corp. | 56,577 | 5,741 |
* Yahoo! Inc. | 96,363 | 4,400 |
Applied Materials Inc. | 121,426 | 4,398 |
Hewlett Packard Enterprise Co. | 191,689 | 4,374 |
* Cognizant Technology Solutions Corp. Class A | 67,144 | 3,980 |
Intuit Inc. | 27,062 | 3,395 |
HP Inc. | 192,898 | 3,351 |
Corning Inc. | 105,117 | 2,902 |
Activision Blizzard Inc. | 62,366 | 2,815 |
Analog Devices Inc. | 34,225 | 2,804 |
* Electronic Arts Inc. | 32,311 | 2,795 |
* Micron Technology Inc. | 115,270 | 2,702 |
Western Digital Corp. | 31,455 | 2,418 |
Amphenol Corp. Class A | 33,938 | 2,349 |
Lam Research Corp. | 17,632 | 2,090 |
* Autodesk Inc. | 23,379 | 2,018 |
Skyworks Solutions Inc. | 20,919 | 1,983 |
Symantec Corp. | 67,615 | 1,932 |
Linear Technology Corp. | 26,245 | 1,695 |
14
Vanguard® Russell 1000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Microchip Technology Inc. | 23,314 | 1,691 | |
Xilinx Inc. | 28,069 | 1,651 | |
* | Red Hat Inc. | 19,933 | 1,651 |
* | SBA Communications Corp. Class A | 13,773 | 1,595 |
KLA-Tencor Corp. | 17,249 | 1,555 | |
* | Dell Technologies Inc. Class V | 24,022 | 1,525 |
Harris Corp. | 13,863 | 1,524 | |
Motorola Solutions Inc. | 19,249 | 1,520 | |
* | ServiceNow Inc. | 17,442 | 1,516 |
* | Palo Alto Networks Inc. | 9,643 | 1,465 |
Maxim Integrated Products Inc. | 31,335 | 1,388 | |
* | Citrix Systems Inc. | 17,237 | 1,361 |
NetApp Inc. | 32,424 | 1,356 | |
* | Akamai Technologies Inc. | 19,186 | 1,201 |
* | Synopsys Inc. | 16,578 | 1,184 |
Juniper Networks Inc. | 41,724 | 1,168 | |
CDK Global Inc. | 17,196 | 1,142 | |
* | Twitter Inc. | 70,597 | 1,113 |
CDW Corp. | 18,179 | 1,071 | |
* | Workday Inc. Class A | 12,903 | 1,070 |
* | F5 Networks Inc. | 7,356 | 1,054 |
Computer Sciences Corp. | 15,213 | 1,043 | |
* | ANSYS Inc. | 9,754 | 1,041 |
CA Inc. | 31,901 | 1,029 | |
* | Cadence Design Systems Inc. | 32,830 | 1,014 |
Amdocs Ltd. | 16,286 | 988 | |
* | Qorvo Inc. | 14,217 | 940 |
* | Gartner Inc. | 8,914 | 920 |
* | Splunk Inc. | 14,571 | 899 |
* | VeriSign Inc. | 10,388 | 857 |
^,* | VMware Inc. Class A | 8,838 | 794 |
Leidos Holdings Inc. | 14,658 | 781 | |
* | Arrow Electronics Inc. | 9,928 | 717 |
Marvell Technology Group Ltd. | 44,775 | 699 | |
* | ON Semiconductor Corp. | 45,746 | 692 |
Cognex Corp. | 8,924 | 685 | |
* | PTC Inc. | 12,501 | 674 |
SS&C Technologies Holdings Inc. | 18,999 | 665 | |
* | NCR Corp. | 13,568 | 652 |
Avnet Inc. | 14,077 | 649 | |
Teradyne Inc. | 22,005 | 626 | |
* | Fortinet Inc. | 16,357 | 611 |
* | IAC/InterActiveCorp | 7,941 | 587 |
* | Ultimate Software Group Inc. | 3,014 | 583 |
Brocade Communications Systems Inc. | 45,013 | 554 | |
CSRA Inc. | 18,375 | 548 | |
* | ARRIS International plc | 21,224 | 548 |
* | Tyler Technologies Inc. | 3,590 | 544 |
* | CommScope Holding Co. Inc. | 13,877 | 528 |
Jabil Circuit Inc. | 20,337 | 519 | |
* | Arista Networks Inc. | 4,325 | 515 |
Sabre Corp. | 22,435 | 492 | |
* | Teradata Corp. | 14,713 | 458 |
* | IPG Photonics Corp. | 3,839 | 454 |
Cypress Semiconductor Corp. | 33,693 | 447 | |
* | Guidewire Software Inc. | 8,032 | 439 |
DST Systems Inc. | 3,641 | 435 | |
* | Nuance Communications Inc. | 24,351 | 415 |
* | Manhattan Associates Inc. | 8,152 | 409 |
* | Tableau Software Inc. Class A | 6,108 | 322 |
* | Cree Inc. | 11,125 | 302 |
Dolby Laboratories Inc. Class A | 5,672 | 277 | |
* | EchoStar Corp. Class A | 4,889 | 260 |
* | VeriFone Systems Inc. | 12,198 | 252 |
15
Vanguard® Russell 1000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Yelp Inc. Class A | 7,464 | 252 |
* Zynga Inc. Class A | 82,224 | 218 |
* GoDaddy Inc. Class A | 5,490 | 202 |
* FireEye Inc. | 15,927 | 179 |
* Groupon Inc. Class A | 39,301 | 166 |
* Black Knight Financial Services Inc. Class A | 2,443 | 94 |
* Atlassian Corp. plc Class A | 3,114 | 89 |
* Twilio Inc. Class A | 2,236 | 71 |
* Inovalon Holdings Inc. Class A | 5,722 | 69 |
* Match Group Inc. | 3,325 | 54 |
* Nutanix Inc. | 1,779 | 53 |
* CommerceHub Inc. | 2,640 | 43 |
* CommerceHub Inc. Class A | 1,299 | 21 |
449,783 | ||
Utilities (5.4%) | ||
AT&T Inc. | 684,814 | 28,618 |
Verizon Communications Inc. | 453,670 | 22,516 |
NextEra Energy Inc. | 51,156 | 6,702 |
Duke Energy Corp. | 76,588 | 6,322 |
Dominion Resources Inc. | 68,398 | 5,310 |
Southern Co. | 104,320 | 5,302 |
PG&E Corp. | 55,222 | 3,686 |
American Electric Power Co. Inc. | 54,572 | 3,655 |
Exelon Corp. | 98,526 | 3,617 |
Sempra Energy | 27,852 | 3,072 |
Edison International | 35,234 | 2,810 |
PPL Corp. | 74,928 | 2,763 |
Consolidated Edison Inc. | 33,996 | 2,619 |
Public Service Enterprise Group Inc. | 55,859 | 2,568 |
Xcel Energy Inc. | 56,161 | 2,455 |
WEC Energy Group Inc. | 34,896 | 2,103 |
Eversource Energy | 35,105 | 2,059 |
DTE Energy Co. | 19,835 | 2,011 |
* T-Mobile US Inc. | 31,548 | 1,973 |
* Level 3 Communications Inc. | 32,213 | 1,844 |
American Water Works Co. Inc. | 19,759 | 1,541 |
Entergy Corp. | 19,808 | 1,519 |
FirstEnergy Corp. | 46,772 | 1,517 |
Ameren Corp. | 26,714 | 1,461 |
CenturyLink Inc. | 59,625 | 1,447 |
CMS Energy Corp. | 30,789 | 1,371 |
CenterPoint Energy Inc. | 48,267 | 1,319 |
Pinnacle West Capital Corp. | 12,297 | 1,011 |
SCANA Corp. | 14,436 | 1,001 |
Alliant Energy Corp. | 24,838 | 981 |
UGI Corp. | 19,224 | 927 |
Atmos Energy Corp. | 11,067 | 866 |
NiSource Inc. | 35,899 | 858 |
Westar Energy Inc. Class A | 15,769 | 851 |
AES Corp. | 72,490 | 835 |
OGE Energy Corp. | 21,840 | 804 |
* Sprint Corp. | 82,802 | 730 |
Great Plains Energy Inc. | 23,689 | 688 |
Aqua America Inc. | 19,322 | 613 |
* Zayo Group Holdings Inc. | 18,341 | 578 |
MDU Resources Group Inc. | 21,133 | 573 |
NRG Energy Inc. | 34,128 | 565 |
Vectren Corp. | 9,140 | 515 |
National Fuel Gas Co. | 8,164 | 492 |
* Calpine Corp. | 38,842 | 455 |
Hawaiian Electric Industries Inc. | 12,211 | 406 |
^ Frontier Communications Corp. | 125,051 | 366 |
Telephone & Data Systems Inc. | 10,857 | 294 |
Avangrid Inc. | 6,329 | 277 |
16
Vanguard® Russell 1000 Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Market | ||||
Value | ||||
Shares | ($000) | |||
* United States Cellular Corp. | 1,588 | 59 | ||
136,925 | ||||
Total Common Stocks (Cost $2,055,386) | 2,521,953 | |||
Coupon | ||||
Temporary Cash Investments (0.4%)1 | ||||
Money Market Fund (0.3%) | ||||
3,4 Vanguard Market Liquidity Fund | 0.864% | 81,919 | 8,193 | |
Face | ||||
Maturity | Amount | |||
Date | ($000) | |||
U.S. Government and Agency Obligations (0.1%) | ||||
5 United States Treasury Bill | 0.556% | 6/15/17 | 300 | 299 |
United States Treasury Bill | 0.602% | 7/20/17 | 400 | 399 |
698 | ||||
Total Temporary Cash Investments (Cost $8,891) | 8,891 | |||
Total Investments (100.1%) (Cost $2,064,277) | 2,530,844 | |||
Other Assets and Liabilities—Net (-0.1%)4 | (2,570) | |||
Net Assets (100%) | 2,528,274 |
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $3,243,000.
* Non-income-producing security.
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 99.9% 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 $3,496,000 of collateral received for securities on loan.
5 Securities with a value of $300,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
17
Vanguard® Russell 1000 Value Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.8%)1 | |||
Consumer Discretionary (5.5%) | |||
Wal-Mart Stores Inc. | 340,879 | 24,179 | |
General Motors Co. | 315,898 | 11,638 | |
Ford Motor Co. | 875,037 | 10,964 | |
Target Corp. | 118,692 | 6,976 | |
Time Warner Inc. | 60,794 | 5,971 | |
Carnival Corp. | 91,737 | 5,133 | |
Royal Caribbean Cruises Ltd. | 37,863 | 3,639 | |
Comcast Corp. Class A | 81,398 | 3,046 | |
Best Buy Co. Inc. | 62,527 | 2,759 | |
Whirlpool Corp. | 14,998 | 2,678 | |
* | MGM Resorts International | 96,523 | 2,538 |
L Brands Inc. | 44,551 | 2,344 | |
Macy's Inc. | 69,416 | 2,306 | |
Tiffany & Co. | 24,635 | 2,263 | |
Goodyear Tire & Rubber Co. | 59,738 | 2,094 | |
Coach Inc. | 50,955 | 1,941 | |
* | Liberty Broadband Corp. | 22,517 | 1,935 |
Coty Inc. Class A | 96,818 | 1,818 | |
BorgWarner Inc. | 42,967 | 1,813 | |
Kohl's Corp. | 41,527 | 1,770 | |
PVH Corp. | 18,157 | 1,663 | |
Twenty-First Century Fox Inc. Class A | 55,450 | 1,659 | |
* | Norwegian Cruise Line Holdings Ltd. | 32,460 | 1,646 |
* | Liberty Media Corp-Liberty SiriusXM Class C Shares | 40,044 | 1,559 |
Marriott International Inc. Class A | 17,718 | 1,541 | |
News Corp. Class A | 107,180 | 1,374 | |
Staples Inc. | 145,679 | 1,310 | |
Garmin Ltd. | 25,252 | 1,303 | |
TEGNA Inc. | 49,350 | 1,265 | |
Bed Bath & Beyond Inc. | 30,137 | 1,218 | |
PulteGroup Inc. | 53,458 | 1,179 | |
Gap Inc. | 47,199 | 1,171 | |
Aramark | 30,952 | 1,106 | |
* | Adient plc | 16,388 | 1,100 |
DR Horton Inc. | 34,122 | 1,092 | |
Lennar Corp. Class A | 20,191 | 985 | |
H&R Block Inc. | 46,212 | 950 | |
Harman International Industries Inc. | 8,438 | 942 | |
Ralph Lauren Corp. Class A | 11,726 | 930 | |
* | Liberty Media Corp-Liberty SiriusXM Class A Shares | 21,545 | 847 |
* | Liberty Interactive Corp. QVC Group Class A | 43,979 | 830 |
CST Brands Inc. | 16,960 | 816 | |
Nielsen Holdings plc | 17,708 | 786 | |
Twenty-First Century Fox Inc. | 24,324 | 714 | |
* | Madison Square Garden Co. Class A | 3,910 | 701 |
* | DISH Network Corp. Class A | 11,169 | 692 |
* | Mohawk Industries Inc. | 2,865 | 648 |
* | Liberty Ventures Class A | 14,675 | 644 |
* | Toll Brothers Inc. | 18,543 | 633 |
* | Burlington Stores Inc. | 6,883 | 613 |
International Game Technology plc | 21,203 | 572 | |
GameStop Corp. Class A | 23,174 | 566 | |
Tribune Media Co. Class A | 15,950 | 551 | |
* | Liberty Broadband Corp. Class A | 6,483 | 546 |
Graham Holdings Co. Class B | 995 | 536 | |
John Wiley & Sons Inc. Class A | 10,167 | 531 | |
CalAtlantic Group Inc. | 14,816 | 523 | |
Gentex Corp. | 22,123 | 465 | |
* | Cabela's Inc. | 9,715 | 455 |
*,^ | JC Penney Co. Inc. | 68,101 | 432 |
Penske Automotive Group Inc. | 8,578 | 431 |
18
Vanguard® Russell 1000 Value Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Liberty Expedia Holdings Inc. Class A | 9,813 | 425 |
Viacom Inc. Class B | 9,643 | 419 |
* AutoNation Inc. | 8,991 | 413 |
* Tesla Inc. | 1,628 | 407 |
Lear Corp. | 2,862 | 406 |
* Live Nation Entertainment Inc. | 12,569 | 357 |
* Hyatt Hotels Corp. Class A | 6,875 | 353 |
* Hertz Global Holdings Inc. | 13,128 | 298 |
Wendy's Co. | 20,726 | 289 |
Regal Entertainment Group Class A | 13,167 | 284 |
* Hilton Worldwide Holdings Inc. | 4,708 | 269 |
Extended Stay America Inc. | 14,815 | 256 |
Foot Locker Inc. | 3,126 | 237 |
Brunswick Corp. | 3,933 | 236 |
* Vista Outdoor Inc. | 11,322 | 229 |
Dillard's Inc. Class A | 3,967 | 216 |
Dick's Sporting Goods Inc. | 4,315 | 211 |
* Murphy USA Inc. | 3,215 | 205 |
AMERCO | 527 | 204 |
Genuine Parts Co. | 1,978 | 189 |
Wynn Resorts Ltd. | 1,659 | 159 |
Choice Hotels International Inc. | 2,142 | 130 |
* Urban Outfitters Inc. | 4,719 | 123 |
* Lions Gate Entertainment Corp. Class B | 4,426 | 111 |
* Lions Gate Entertainment Corp. Class A | 3,536 | 95 |
* Discovery Communications Inc. | 3,309 | 93 |
* Michaels Cos. Inc. | 4,519 | 91 |
Signet Jewelers Ltd. | 1,411 | 90 |
* Pandora Media Inc. | 6,469 | 80 |
* Discovery Communications Inc. Class A | 2,540 | 73 |
News Corp. Class B | 5,212 | 69 |
* Hilton Grand Vacations Inc. | 1,393 | 42 |
* Fitbit Inc. Class A | 4,914 | 30 |
* Clear Channel Outdoor Holdings Inc. Class A | 4,608 | 22 |
Lennar Corp. Class B | 5 | — |
142,441 | ||
Consumer Staples (7.3%) | ||
Procter & Gamble Co. | 577,408 | 52,585 |
Philip Morris International Inc. | 312,217 | 34,141 |
Mondelez International Inc. Class A | 336,765 | 14,791 |
Walgreens Boots Alliance Inc. | 153,809 | 13,286 |
Colgate-Palmolive Co. | 160,357 | 11,703 |
Kraft Heinz Co. | 117,087 | 10,715 |
Coca-Cola Co. | 221,343 | 9,288 |
Archer-Daniels-Midland Co. | 129,705 | 6,092 |
PepsiCo Inc. | 42,331 | 4,672 |
Reynolds American Inc. | 71,329 | 4,392 |
Molson Coors Brewing Co. Class B | 38,707 | 3,886 |
JM Smucker Co. | 26,043 | 3,691 |
Bunge Ltd. | 31,212 | 2,555 |
Mead Johnson Nutrition Co. | 26,898 | 2,361 |
Tyson Foods Inc. Class A | 34,729 | 2,173 |
Whole Foods Market Inc. | 59,517 | 1,825 |
Kimberly-Clark Corp. | 11,928 | 1,581 |
Pinnacle Foods Inc. | 25,990 | 1,485 |
CVS Health Corp. | 13,993 | 1,128 |
* Edgewell Personal Care Co. | 13,236 | 977 |
Conagra Brands Inc. | 20,832 | 858 |
* TreeHouse Foods Inc. | 8,283 | 705 |
Clorox Co. | 4,330 | 592 |
Ingredion Inc. | 4,692 | 567 |
Energizer Holdings Inc. | 9,646 | 529 |
* Post Holdings Inc. | 6,138 | 502 |
Nu Skin Enterprises Inc. Class A | 8,987 | 445 |
19
Vanguard® Russell 1000 Value Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Kellogg Co. | 4,334 | 321 |
Lamb Weston Holdings Inc. | 6,998 | 274 |
Hormel Foods Corp. | 7,750 | 273 |
Pilgrim's Pride Corp. | 11,516 | 235 |
* Hain Celestial Group Inc. | 6,057 | 214 |
Brown-Forman Corp. Class B | 1,704 | 83 |
Flowers Foods Inc. | 3,463 | 67 |
Brown-Forman Corp. Class A | 1,295 | 65 |
189,057 | ||
Energy (12.2%) | ||
Exxon Mobil Corp. | 940,846 | 76,510 |
Chevron Corp. | 424,203 | 47,723 |
Schlumberger Ltd. | 314,089 | 25,240 |
ConocoPhillips | 279,778 | 13,309 |
Occidental Petroleum Corp. | 171,920 | 11,269 |
EOG Resources Inc. | 110,099 | 10,679 |
Halliburton Co. | 193,459 | 10,342 |
Kinder Morgan Inc. | 433,618 | 9,240 |
Anadarko Petroleum Corp. | 126,124 | 8,154 |
Phillips 66 | 101,554 | 7,941 |
Valero Energy Corp. | 105,813 | 7,190 |
Pioneer Natural Resources Co. | 36,653 | 6,816 |
Baker Hughes Inc. | 98,648 | 5,946 |
Marathon Petroleum Corp. | 118,476 | 5,876 |
Devon Energy Corp. | 107,250 | 4,650 |
* Concho Resources Inc. | 31,714 | 4,201 |
Williams Cos. Inc. | 140,556 | 3,983 |
Noble Energy Inc. | 95,328 | 3,471 |
National Oilwell Varco Inc. | 84,926 | 3,433 |
Hess Corp. | 63,382 | 3,260 |
Marathon Oil Corp. | 190,191 | 3,043 |
EQT Corp. | 38,551 | 2,309 |
Tesoro Corp. | 26,735 | 2,278 |
Targa Resources Corp. | 39,915 | 2,255 |
Cimarex Energy Co. | 17,661 | 2,220 |
* Cheniere Energy Inc. | 44,786 | 2,152 |
* Diamondback Energy Inc. | 15,278 | 1,541 |
^ Helmerich & Payne Inc. | 21,739 | 1,486 |
Apache Corp. | 26,494 | 1,393 |
Range Resources Corp. | 45,977 | 1,270 |
* Weatherford International plc | 218,735 | 1,238 |
* Newfield Exploration Co. | 33,343 | 1,216 |
* Energen Corp. | 22,031 | 1,157 |
* Parsley Energy Inc. Class A | 38,016 | 1,155 |
* WPX Energy Inc. | 86,483 | 1,116 |
* Transocean Ltd. | 76,769 | 1,061 |
HollyFrontier Corp. | 36,124 | 1,058 |
Murphy Oil Corp. | 36,448 | 1,031 |
Patterson-UTI Energy Inc. | 36,856 | 1,018 |
* Antero Resources Corp. | 39,876 | 956 |
Nabors Industries Ltd. | 62,612 | 917 |
* CONSOL Energy Inc. | 50,621 | 788 |
* QEP Resources Inc. | 53,907 | 742 |
Cabot Oil & Gas Corp. | 30,927 | 677 |
* Chesapeake Energy Corp. | 123,680 | 674 |
* Rice Energy Inc. | 35,223 | 657 |
Ensco plc Class A | 67,088 | 653 |
* Gulfport Energy Corp. | 35,864 | 622 |
Oceaneering International Inc. | 21,836 | 618 |
* First Solar Inc. | 16,734 | 606 |
PBF Energy Inc. Class A | 24,553 | 601 |
* Superior Energy Services Inc. | 33,843 | 558 |
World Fuel Services Corp. | 15,401 | 557 |
SM Energy Co. | 21,508 | 530 |
20
Vanguard® Russell 1000 Value Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Dril-Quip Inc. | 8,608 | 528 |
* | Rowan Cos. plc Class A | 27,848 | 505 |
* | Whiting Petroleum Corp. | 45,862 | 498 |
* | Continental Resources Inc. | 10,994 | 497 |
* | Laredo Petroleum Inc. | 32,146 | 445 |
Noble Corp. plc | 53,242 | 356 | |
^ | RPC Inc. | 13,137 | 263 |
* | Diamond Offshore Drilling Inc. | 14,814 | 249 |
* | Kosmos Energy Ltd. | 36,570 | 225 |
^ | Valvoline Inc. | 6,893 | 155 |
* | Extraction Oil & Gas Inc. | 8,633 | 153 |
*,^ | SunPower Corp. Class A | 12,320 | 108 |
^ | Frank's International NV | 7,742 | 94 |
313,462 | |||
Financial Services (31.8%) | |||
JPMorgan Chase & Co. | 820,923 | 74,392 | |
* | Berkshire Hathaway Inc. Class B | 426,426 | 73,098 |
Wells Fargo & Co. | 1,030,558 | 59,649 | |
Bank of America Corp. | 2,317,243 | 57,190 | |
Citigroup Inc. | 625,191 | 37,393 | |
Goldman Sachs Group Inc. | 86,861 | 21,547 | |
US Bancorp | 365,352 | 20,094 | |
Morgan Stanley | 321,877 | 14,700 | |
American International Group Inc. | 229,519 | 14,671 | |
American Express Co. | 182,270 | 14,593 | |
Chubb Ltd. | 103,901 | 14,356 | |
PNC Financial Services Group Inc. | 112,471 | 14,310 | |
Bank of New York Mellon Corp. | 235,968 | 11,124 | |
Prudential Financial Inc. | 99,628 | 11,013 | |
MetLife Inc. | 209,668 | 10,995 | |
BlackRock Inc. | 28,184 | 10,920 | |
Capital One Financial Corp. | 110,005 | 10,325 | |
CME Group Inc. | 76,074 | 9,240 | |
BB&T Corp. | 183,011 | 8,825 | |
Travelers Cos. Inc. | 65,730 | 8,035 | |
State Street Corp. | 88,949 | 7,090 | |
Allstate Corp. | 84,221 | 6,920 | |
Synchrony Financial | 190,847 | 6,916 | |
SunTrust Banks Inc. | 113,114 | 6,729 | |
Aflac Inc. | 90,636 | 6,557 | |
Prologis Inc. | 117,747 | 6,011 | |
AvalonBay Communities Inc. | 30,844 | 5,668 | |
Welltower Inc. | 80,410 | 5,659 | |
Weyerhaeuser Co. | 166,881 | 5,627 | |
M&T Bank Corp. | 33,654 | 5,619 | |
Equity Residential | 80,096 | 5,052 | |
Fifth Third Bancorp | 172,524 | 4,734 | |
Progressive Corp. | 118,542 | 4,644 | |
Discover Financial Services | 64,473 | 4,587 | |
KeyCorp | 243,294 | 4,567 | |
Regions Financial Corp. | 286,676 | 4,378 | |
Hartford Financial Services Group Inc. | 88,221 | 4,313 | |
Vornado Realty Trust | 38,616 | 4,243 | |
Northern Trust Corp. | 46,729 | 4,082 | |
Boston Properties Inc. | 28,656 | 3,984 | |
Intercontinental Exchange Inc. | 68,700 | 3,925 | |
Principal Financial Group Inc. | 60,440 | 3,780 | |
Realty Income Corp. | 57,718 | 3,537 | |
Franklin Resources Inc. | 81,129 | 3,492 | |
HCP Inc. | 104,979 | 3,442 | |
Huntington Bancshares Inc. | 241,773 | 3,419 | |
Ventas Inc. | 52,226 | 3,397 | |
Ameriprise Financial Inc. | 24,541 | 3,227 | |
* | GGP Inc. | 129,368 | 3,216 |
21
Vanguard® Russell 1000 Value Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Markel Corp. | 3,075 | 3,013 |
Host Hotels & Resorts Inc. | 165,320 | 2,974 |
Loews Corp. | 63,072 | 2,963 |
Lincoln National Corp. | 41,766 | 2,930 |
Thomson Reuters Corp. | 67,518 | 2,856 |
Comerica Inc. | 39,374 | 2,807 |
Unum Group | 53,675 | 2,621 |
Citizens Financial Group Inc. | 70,089 | 2,619 |
Mid-America Apartment Communities Inc. | 25,188 | 2,588 |
Fidelity National Information Services Inc. | 31,394 | 2,583 |
Annaly Capital Management Inc. | 226,874 | 2,518 |
Invesco Ltd. | 77,045 | 2,480 |
SL Green Realty Corp. | 21,955 | 2,474 |
Cincinnati Financial Corp. | 33,635 | 2,454 |
* Arch Capital Group Ltd. | 25,904 | 2,450 |
Ally Financial Inc. | 101,268 | 2,277 |
FNF Group | 58,903 | 2,258 |
Raymond James Financial Inc. | 28,493 | 2,238 |
Everest Re Group Ltd. | 9,370 | 2,203 |
Kimco Realty Corp. | 90,703 | 2,200 |
Charles Schwab Corp. | 53,874 | 2,177 |
UDR Inc. | 59,493 | 2,171 |
Macerich Co. | 32,214 | 2,171 |
* E*TRADE Financial Corp. | 62,866 | 2,169 |
* Alleghany Corp. | 3,341 | 2,158 |
Alexandria Real Estate Equities Inc. | 17,807 | 2,125 |
Torchmark Corp. | 26,831 | 2,080 |
Zions Bancorporation | 45,629 | 2,049 |
Essex Property Trust Inc. | 8,522 | 2,000 |
Duke Realty Corp. | 77,815 | 1,995 |
Leucadia National Corp. | 74,243 | 1,976 |
VEREIT Inc. | 217,881 | 1,976 |
CIT Group Inc. | 44,685 | 1,917 |
Voya Financial Inc. | 45,959 | 1,895 |
Reinsurance Group of America Inc. Class A | 14,412 | 1,874 |
Nasdaq Inc. | 25,138 | 1,788 |
East West Bancorp Inc. | 32,461 | 1,757 |
Kilroy Realty Corp. | 21,672 | 1,672 |
Apartment Investment & Management Co. | 35,150 | 1,635 |
Camden Property Trust | 19,229 | 1,628 |
New York Community Bancorp Inc. | 106,462 | 1,627 |
XL Group Ltd. | 39,414 | 1,596 |
WR Berkley Corp. | 21,657 | 1,538 |
American Campus Communities Inc. | 29,506 | 1,508 |
PacWest Bancorp | 26,704 | 1,471 |
WP Carey Inc. | 23,321 | 1,471 |
American Financial Group Inc. | 15,529 | 1,461 |
National Retail Properties Inc. | 32,262 | 1,460 |
AGNC Investment Corp. | 74,185 | 1,456 |
Axis Capital Holdings Ltd. | 20,371 | 1,412 |
RenaissanceRe Holdings Ltd. | 9,464 | 1,397 |
Regency Centers Corp. | 19,253 | 1,354 |
People's United Financial Inc. | 69,551 | 1,335 |
Endurance Specialty Holdings Ltd. | 14,351 | 1,334 |
Liberty Property Trust | 32,637 | 1,287 |
Starwood Property Trust Inc. | 56,175 | 1,284 |
Douglas Emmett Inc. | 31,714 | 1,279 |
Assurant Inc. | 12,783 | 1,265 |
Sun Communities Inc. | 14,911 | 1,235 |
Assured Guaranty Ltd. | 29,704 | 1,221 |
Simon Property Group Inc. | 6,451 | 1,190 |
* Colony NorthStar Inc. Class A | 80,794 | 1,186 |
Synovus Financial Corp. | 28,045 | 1,184 |
Spirit Realty Capital Inc. | 107,432 | 1,181 |
22
Vanguard® Russell 1000 Value Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Forest City Realty Trust Inc. Class A | 51,600 | 1,179 |
Commerce Bancshares Inc. | 19,837 | 1,171 |
Jones Lang LaSalle Inc. | 10,191 | 1,169 |
Hospitality Properties Trust | 36,658 | 1,165 |
Digital Realty Trust Inc. | 10,768 | 1,163 |
Highwoods Properties Inc. | 21,625 | 1,135 |
Old Republic International Corp. | 54,424 | 1,127 |
Cullen/Frost Bankers Inc. | 12,121 | 1,121 |
EPR Properties | 14,364 | 1,105 |
Lazard Ltd. Class A | 24,761 | 1,066 |
Navient Corp. | 69,158 | 1,066 |
Brown & Brown Inc. | 24,654 | 1,063 |
First Horizon National Corp. | 52,732 | 1,051 |
Allied World Assurance Co. Holdings AG | 19,823 | 1,047 |
Popular Inc. | 22,959 | 1,012 |
Brixmor Property Group Inc. | 43,106 | 1,006 |
DDR Corp. | 68,635 | 992 |
DCT Industrial Trust Inc. | 20,351 | 974 |
Validus Holdings Ltd. | 16,710 | 963 |
* Howard Hughes Corp. | 8,218 | 956 |
Senior Housing Properties Trust | 46,385 | 951 |
First American Financial Corp. | 24,098 | 941 |
T. Rowe Price Group Inc. | 12,981 | 924 |
Weingarten Realty Investors | 25,937 | 920 |
Realogy Holdings Corp. | 32,702 | 906 |
White Mountains Insurance Group Ltd. | 959 | 898 |
CoreCivic Inc. | 26,427 | 891 |
Legg Mason Inc. | 23,467 | 885 |
American Homes 4 Rent Class A | 37,018 | 880 |
BankUnited Inc. | 22,045 | 874 |
* Equity Commonwealth | 27,861 | 871 |
Associated Banc-Corp | 33,485 | 862 |
Crown Castle International Corp. | 9,113 | 852 |
Hanover Insurance Group Inc. | 9,393 | 846 |
Omega Healthcare Investors Inc. | 25,491 | 832 |
STORE Capital Corp. | 33,385 | 832 |
Bank of Hawaii Corp. | 9,715 | 820 |
Rayonier Inc. | 28,254 | 809 |
Retail Properties of America Inc. | 52,304 | 806 |
Uniti Group Inc. | 27,811 | 806 |
Chimera Investment Corp. | 41,235 | 793 |
* Signature Bank | 4,836 | 762 |
Aspen Insurance Holdings Ltd. | 13,366 | 749 |
Piedmont Office Realty Trust Inc. Class A | 32,332 | 742 |
Paramount Group Inc. | 41,635 | 726 |
Corporate Office Properties Trust | 21,227 | 724 |
Apple Hospitality REIT Inc. | 36,575 | 718 |
Arthur J Gallagher & Co. | 12,431 | 708 |
Two Harbors Investment Corp. | 76,080 | 708 |
ProAssurance Corp. | 11,924 | 705 |
Outfront Media Inc. | 26,158 | 679 |
Brandywine Realty Trust | 39,917 | 665 |
Equity One Inc. | 20,776 | 658 |
MFA Financial Inc. | 81,788 | 656 |
LPL Financial Holdings Inc. | 16,426 | 649 |
Columbia Property Trust Inc. | 27,470 | 634 |
TCF Financial Corp. | 35,127 | 611 |
First Republic Bank | 6,506 | 610 |
* SVB Financial Group | 3,021 | 577 |
Dun & Bradstreet Corp. | 4,844 | 511 |
BOK Financial Corp. | 5,821 | 480 |
* Western Alliance Bancorp | 9,167 | 473 |
Taubman Centers Inc. | 6,717 | 469 |
Interactive Brokers Group Inc. | 12,638 | 464 |
23
Vanguard® Russell 1000 Value Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Care Capital Properties Inc. | 17,376 | 457 |
Moody's Corp. | 3,936 | 438 |
AmTrust Financial Services Inc. | 18,682 | 430 |
* Quality Care Properties Inc. | 21,426 | 407 |
* Santander Consumer USA Holdings Inc. | 24,748 | 366 |
* OneMain Holdings Inc. Class A | 12,778 | 358 |
Mercury General Corp. | 6,060 | 355 |
CubeSmart | 12,693 | 346 |
* CoreLogic Inc. | 8,102 | 317 |
Life Storage Inc. | 3,462 | 307 |
CNA Financial Corp. | 6,221 | 267 |
Affiliated Managers Group Inc. | 1,551 | 260 |
Healthcare Trust of America Inc. Class A | 8,091 | 260 |
Empire State Realty Trust Inc. | 11,491 | 251 |
TD Ameritrade Holding Corp. | 6,346 | 248 |
TFS Financial Corp. | 13,832 | 235 |
* Zillow Group Inc. | 6,869 | 233 |
American National Insurance Co. | 1,657 | 199 |
Erie Indemnity Co. Class A | 1,577 | 187 |
First Hawaiian Inc. | 5,481 | 174 |
* SLM Corp. | 13,884 | 166 |
* Zillow Group Inc. Class A | 3,680 | 124 |
Park Hotels & Resorts Inc. | 3,875 | 99 |
CyrusOne Inc. | 1,816 | 92 |
Tanger Factory Outlet Centers Inc. | 1,877 | 64 |
* Donnelley Financial Solutions Inc. | 1,918 | 44 |
819,828 | ||
Health Care (10.7%) | ||
Johnson & Johnson | 512,625 | 62,648 |
Pfizer Inc. | 1,260,597 | 43,012 |
Merck & Co. Inc. | 625,033 | 41,171 |
Medtronic plc | 315,912 | 25,560 |
Abbott Laboratories | 347,670 | 15,673 |
Danaher Corp. | 100,303 | 8,581 |
Thermo Fisher Scientific Inc. | 48,123 | 7,588 |
Allergan plc | 30,781 | 7,536 |
Anthem Inc. | 43,199 | 7,120 |
Aetna Inc. | 50,740 | 6,533 |
Cigna Corp. | 38,160 | 5,682 |
Baxter International Inc. | 99,982 | 5,091 |
Dentsply Sirona Inc. | 51,766 | 3,288 |
Quest Diagnostics Inc. | 31,807 | 3,099 |
* Mylan NV | 70,123 | 2,935 |
Agilent Technologies Inc. | 54,103 | 2,776 |
Perrigo Co. plc | 30,887 | 2,309 |
Zimmer Biomet Holdings Inc. | 19,429 | 2,275 |
* HCA Holdings Inc. | 22,299 | 1,945 |
Universal Health Services Inc. Class B | 14,525 | 1,824 |
* Laboratory Corp. of America Holdings | 12,688 | 1,805 |
* DaVita Inc. | 22,896 | 1,589 |
Teleflex Inc. | 8,036 | 1,536 |
* QIAGEN NV | 49,535 | 1,410 |
* Mallinckrodt plc | 24,739 | 1,297 |
* Express Scripts Holding Co. | 16,726 | 1,182 |
* United Therapeutics Corp. | 7,181 | 1,061 |
PerkinElmer Inc. | 19,421 | 1,054 |
* Bio-Rad Laboratories Inc. Class A | 4,733 | 921 |
* Centene Corp. | 9,970 | 703 |
* Endo International plc | 46,247 | 631 |
* Alere Inc. | 15,660 | 600 |
* Brookdale Senior Living Inc. | 40,850 | 588 |
* Envision Healthcare Corp. | 7,586 | 531 |
* LifePoint Health Inc. | 8,260 | 529 |
* Allscripts Healthcare Solutions Inc. | 42,683 | 520 |
24
Vanguard® Russell 1000 Value Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Quintiles IMS Holdings Inc. | 6,355 | 492 |
* Acadia Healthcare Co. Inc. | 10,951 | 490 |
Cooper Cos. Inc. | 2,416 | 481 |
* VWR Corp. | 16,831 | 473 |
Cardinal Health Inc. | 5,508 | 448 |
* MEDNAX Inc. | 6,224 | 443 |
Humana Inc. | 2,029 | 429 |
* Premier Inc. Class A | 7,332 | 230 |
* Alnylam Pharmaceuticals Inc. | 2,292 | 118 |
* WellCare Health Plans Inc. | 755 | 107 |
* Patheon NV | 2,768 | 87 |
Hill-Rom Holdings Inc. | 948 | 63 |
* OPKO Health Inc. | 5,725 | 48 |
* Juno Therapeutics Inc. | 1,254 | 30 |
276,542 | ||
Materials & Processing (3.2%) | ||
Dow Chemical Co. | 252,735 | 15,735 |
International Paper Co. | 92,418 | 4,870 |
Nucor Corp. | 71,853 | 4,496 |
Newmont Mining Corp. | 119,364 | 4,087 |
LyondellBasell Industries NV Class A | 43,637 | 3,981 |
Monsanto Co. | 34,455 | 3,922 |
* Freeport-McMoRan Inc. | 234,231 | 3,139 |
WestRock Co. | 56,530 | 3,037 |
Celanese Corp. Class A | 30,127 | 2,686 |
Eastman Chemical Co. | 33,174 | 2,662 |
Albemarle Corp. | 25,150 | 2,553 |
Mosaic Co. | 78,603 | 2,452 |
Ingersoll-Rand plc | 28,798 | 2,285 |
Ashland Global Holdings Inc. | 13,987 | 1,688 |
CF Industries Holdings Inc. | 52,609 | 1,653 |
Steel Dynamics Inc. | 45,103 | 1,651 |
Owens Corning | 25,770 | 1,507 |
Reliance Steel & Aluminum Co. | 15,741 | 1,333 |
United States Steel Corp. | 34,344 | 1,330 |
Sonoco Products Co. | 22,369 | 1,193 |
* Alcoa Corp. | 32,726 | 1,132 |
Huntsman Corp. | 44,941 | 1,016 |
Praxair Inc. | 7,877 | 935 |
Royal Gold Inc. | 13,693 | 904 |
Bemis Co. Inc. | 18,164 | 900 |
Masco Corp. | 26,369 | 891 |
Air Products & Chemicals Inc. | 5,730 | 805 |
Cabot Corp. | 13,640 | 791 |
AptarGroup Inc. | 10,281 | 766 |
Timken Co. | 15,807 | 699 |
* USG Corp. | 19,678 | 664 |
Tahoe Resources Inc. | 68,005 | 576 |
* Platform Specialty Products Corp. | 43,236 | 570 |
^ Compass Minerals International Inc. | 7,461 | 566 |
Domtar Corp. | 14,206 | 541 |
Westlake Chemical Corp. | 8,420 | 534 |
WR Grace & Co. | 7,175 | 508 |
* Armstrong World Industries Inc. | 10,319 | 475 |
Southern Copper Corp. | 10,475 | 384 |
FMC Corp. | 5,804 | 334 |
Graphic Packaging Holding Co. | 21,366 | 285 |
Martin Marietta Materials Inc. | 1,297 | 280 |
Vulcan Materials Co. | 1,998 | 241 |
Valmont Industries Inc. | 1,006 | 158 |
Lennox International Inc. | 642 | 106 |
* Versum Materials Inc. | 2,873 | 87 |
Scotts Miracle-Gro Co. | 868 | 79 |
25
Vanguard® Russell 1000 Value Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
NewMarket Corp. | 106 | 46 |
81,533 | ||
Other (0.0%)2 | ||
Enbridge Inc. | 750 | 32 |
Invitation Homes Inc. | 563 | 12 |
44 | ||
Producer Durables (10.0%) | ||
General Electric Co. | 1,671,753 | 49,835 |
United Technologies Corp. | 174,883 | 19,683 |
Union Pacific Corp. | 160,193 | 17,291 |
Caterpillar Inc. | 125,816 | 12,161 |
CSX Corp. | 215,146 | 10,447 |
Norfolk Southern Corp. | 66,577 | 8,058 |
Eaton Corp. plc | 103,136 | 7,424 |
Emerson Electric Co. | 121,116 | 7,279 |
Johnson Controls International plc | 162,089 | 6,798 |
Raytheon Co. | 41,381 | 6,379 |
General Dynamics Corp. | 32,176 | 6,107 |
Deere & Co. | 53,369 | 5,843 |
American Airlines Group Inc. | 119,218 | 5,527 |
* United Continental Holdings Inc. | 71,505 | 5,298 |
Cummins Inc. | 35,604 | 5,287 |
PACCAR Inc. | 70,429 | 4,705 |
Parker-Hannifin Corp. | 30,131 | 4,665 |
Stanley Black & Decker Inc. | 29,573 | 3,760 |
Republic Services Inc. Class A | 52,777 | 3,270 |
L3 Technologies Inc. | 17,188 | 2,893 |
Fortive Corp. | 50,133 | 2,890 |
Arconic Inc. | 98,909 | 2,848 |
Dover Corp. | 34,464 | 2,761 |
Roper Technologies Inc. | 10,878 | 2,276 |
AMETEK Inc. | 41,957 | 2,264 |
Pentair plc | 37,381 | 2,170 |
Kansas City Southern | 24,204 | 2,145 |
Textron Inc. | 41,796 | 1,977 |
Delta Air Lines Inc. | 38,487 | 1,922 |
Fluor Corp. | 31,214 | 1,729 |
Xerox Corp. | 226,214 | 1,683 |
Jacobs Engineering Group Inc. | 27,099 | 1,529 |
* Keysight Technologies Inc. | 38,893 | 1,462 |
ManpowerGroup Inc. | 15,050 | 1,460 |
* JetBlue Airways Corp. | 66,463 | 1,327 |
Macquarie Infrastructure Corp. | 16,789 | 1,292 |
Waste Management Inc. | 17,239 | 1,264 |
* AECOM | 33,893 | 1,232 |
Orbital ATK Inc. | 13,244 | 1,224 |
Allison Transmission Holdings Inc. | 31,561 | 1,136 |
FLIR Systems Inc. | 30,869 | 1,133 |
Oshkosh Corp. | 16,517 | 1,121 |
Carlisle Cos. Inc. | 9,948 | 1,028 |
* Genesee & Wyoming Inc. Class A | 13,659 | 1,013 |
AGCO Corp. | 15,514 | 945 |
Xylem Inc. | 19,414 | 934 |
Ryder System Inc. | 11,974 | 912 |
Rockwell Automation Inc. | 6,028 | 911 |
Trinity Industries Inc. | 33,327 | 895 |
* Quanta Services Inc. | 23,877 | 891 |
* Colfax Corp. | 22,218 | 845 |
* Spirit Airlines Inc. | 16,071 | 839 |
ITT Inc. | 20,344 | 834 |
* Kirby Corp. | 11,788 | 816 |
Spirit AeroSystems Holdings Inc. Class A | 13,158 | 811 |
Chicago Bridge & Iron Co. NV | 23,728 | 797 |
Crane Co. | 10,899 | 788 |
26
Vanguard® Russell 1000 Value Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
* WESCO International Inc. | 11,067 | 769 |
Terex Corp. | 23,990 | 749 |
Regal Beloit Corp. | 9,970 | 742 |
* Conduent Inc. | 45,901 | 739 |
Copa Holdings SA Class A | 6,934 | 738 |
Expeditors International of Washington Inc. | 11,873 | 669 |
* Clean Harbors Inc. | 11,012 | 638 |
Snap-on Inc. | 3,486 | 591 |
MSC Industrial Direct Co. Inc. Class A | 5,819 | 585 |
Flowserve Corp. | 11,630 | 540 |
* Old Dominion Freight Line Inc. | 5,801 | 532 |
Hubbell Inc. Class B | 4,443 | 527 |
KBR Inc. | 32,054 | 482 |
Alaska Air Group Inc. | 4,839 | 473 |
Air Lease Corp. Class A | 11,064 | 431 |
Lincoln Electric Holdings Inc. | 5,104 | 430 |
Huntington Ingalls Industries Inc. | 1,759 | 384 |
* United Rentals Inc. | 2,978 | 381 |
* Trimble Inc. | 11,861 | 368 |
* Manitowoc Foodservice Inc. | 16,137 | 308 |
* Herc Holdings Inc. | 4,316 | 223 |
* Zebra Technologies Corp. | 2,246 | 204 |
National Instruments Corp. | 4,896 | 158 |
IDEX Corp. | 1,214 | 112 |
Avery Dennison Corp. | 1,239 | 100 |
Donaldson Co. Inc. | 2,328 | 100 |
RR Donnelley & Sons Co. | 5,098 | 86 |
* Stericycle Inc. | 951 | 79 |
LSC Communications Inc. | 1,918 | 55 |
Booz Allen Hamilton Holding Corp. Class A | 1,426 | 51 |
257,058 | ||
Technology (9.4%) | ||
Cisco Systems Inc. | 1,134,529 | 38,778 |
Intel Corp. | 970,131 | 35,119 |
Oracle Corp. | 601,115 | 25,601 |
QUALCOMM Inc. | 262,587 | 14,831 |
Apple Inc. | 103,754 | 14,213 |
International Business Machines Corp. | 62,037 | 11,155 |
* Yahoo! Inc. | 195,395 | 8,922 |
Hewlett Packard Enterprise Co. | 389,326 | 8,884 |
HP Inc. | 390,153 | 6,777 |
Corning Inc. | 214,083 | 5,911 |
Analog Devices Inc. | 69,026 | 5,655 |
* Micron Technology Inc. | 233,171 | 5,465 |
Western Digital Corp. | 63,553 | 4,886 |
Symantec Corp. | 118,541 | 3,387 |
Harris Corp. | 28,126 | 3,091 |
* Dell Technologies Inc. Class V | 43,510 | 2,762 |
Motorola Solutions Inc. | 34,819 | 2,750 |
NetApp Inc. | 64,996 | 2,719 |
Applied Materials Inc. | 70,244 | 2,544 |
Juniper Networks Inc. | 83,751 | 2,345 |
Xilinx Inc. | 38,945 | 2,291 |
* Synopsys Inc. | 30,603 | 2,186 |
Computer Sciences Corp. | 31,228 | 2,141 |
CA Inc. | 65,392 | 2,110 |
Amdocs Ltd. | 33,259 | 2,017 |
Linear Technology Corp. | 28,331 | 1,830 |
* Qorvo Inc. | 25,991 | 1,718 |
* ANSYS Inc. | 14,668 | 1,566 |
* Arrow Electronics Inc. | 20,511 | 1,481 |
Marvell Technology Group Ltd. | 90,670 | 1,414 |
Avnet Inc. | 28,460 | 1,311 |
Teradyne Inc. | 45,886 | 1,305 |
27
Vanguard® Russell 1000 Value Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | ON Semiconductor Corp. | 83,716 | 1,267 |
* | SBA Communications Corp. Class A | 10,196 | 1,180 |
*,^ | VMware Inc. Class A | 12,533 | 1,127 |
Brocade Communications Systems Inc. | 90,535 | 1,114 | |
Jabil Circuit Inc. | 42,299 | 1,079 | |
Cypress Semiconductor Corp. | 70,380 | 934 | |
* | ARRIS International plc | 32,939 | 850 |
Lam Research Corp. | 7,083 | 840 | |
Leidos Holdings Inc. | 14,693 | 783 | |
* | PTC Inc. | 14,431 | 778 |
* | Autodesk Inc. | 8,772 | 757 |
Dolby Laboratories Inc. Class A | 11,252 | 550 | |
* | EchoStar Corp. Class A | 10,056 | 536 |
* | Zynga Inc. Class A | 161,050 | 427 |
* | Cree Inc. | 14,337 | 389 |
Skyworks Solutions Inc. | 3,508 | 333 | |
* | FireEye Inc. | 25,466 | 287 |
* | Akamai Technologies Inc. | 4,376 | 274 |
* | Twitter Inc. | 16,590 | 262 |
* | IAC/InterActiveCorp | 3,514 | 260 |
* | Nuance Communications Inc. | 12,663 | 216 |
* | IPG Photonics Corp. | 1,361 | 161 |
* | Yelp Inc. Class A | 3,710 | 125 |
SS&C Technologies Holdings Inc. | 2,553 | 89 | |
* | CommerceHub Inc. Class A | 4,195 | 69 |
* | CommerceHub Inc. | 3,337 | 55 |
* | Twilio Inc. Class A | 1,140 | 36 |
* | Nutanix Inc. | 821 | 25 |
241,968 | |||
Utilities (9.7%) | |||
AT&T Inc. | 1,389,871 | 58,083 | |
Verizon Communications Inc. | 459,879 | 22,824 | |
NextEra Energy Inc. | 103,939 | 13,616 | |
Duke Energy Corp. | 155,315 | 12,821 | |
Southern Co. | 211,604 | 10,754 | |
Dominion Resources Inc. | 130,333 | 10,119 | |
PG&E Corp. | 111,777 | 7,461 | |
American Electric Power Co. Inc. | 110,886 | 7,426 | |
Exelon Corp. | 200,002 | 7,342 | |
Sempra Energy | 56,344 | 6,214 | |
Edison International | 71,168 | 5,675 | |
PPL Corp. | 153,144 | 5,648 | |
Consolidated Edison Inc. | 68,623 | 5,287 | |
Public Service Enterprise Group Inc. | 113,715 | 5,229 | |
Xcel Energy Inc. | 114,429 | 5,002 | |
WEC Energy Group Inc. | 70,893 | 4,273 | |
Eversource Energy | 71,281 | 4,181 | |
DTE Energy Co. | 40,276 | 4,083 | |
* | Level 3 Communications Inc. | 65,808 | 3,768 |
American Water Works Co. Inc. | 39,847 | 3,108 | |
FirstEnergy Corp. | 95,545 | 3,099 | |
Entergy Corp. | 40,203 | 3,082 | |
Ameren Corp. | 54,603 | 2,986 | |
CenturyLink Inc. | 120,384 | 2,921 | |
CMS Energy Corp. | 62,530 | 2,784 | |
CenterPoint Energy Inc. | 97,784 | 2,671 | |
Pinnacle West Capital Corp. | 24,913 | 2,048 | |
SCANA Corp. | 29,332 | 2,034 | |
Alliant Energy Corp. | 51,237 | 2,023 | |
UGI Corp. | 38,886 | 1,875 | |
Atmos Energy Corp. | 22,671 | 1,775 | |
NiSource Inc. | 73,149 | 1,749 | |
Westar Energy Inc. Class A | 31,744 | 1,714 | |
AES Corp. | 148,608 | 1,712 |
28
Vanguard® Russell 1000 Value Index Fund | |||||
Schedule of Investments | |||||
February 28, 2017 | |||||
Market | |||||
Value | |||||
Shares | ($000) | ||||
OGE Energy Corp. | 45,139 | 1,662 | |||
* | T-Mobile US Inc. | 24,471 | 1,530 | ||
* | Sprint Corp. | 170,633 | 1,503 | ||
Great Plains Energy Inc. | 48,655 | 1,414 | |||
Aqua America Inc. | 39,955 | 1,268 | |||
MDU Resources Group Inc. | 43,580 | 1,181 | |||
NRG Energy Inc. | 70,237 | 1,163 | |||
Vectren Corp. | 18,731 | 1,055 | |||
National Fuel Gas Co. | 16,720 | 1,008 | |||
* | Calpine Corp. | 79,602 | 932 | ||
Hawaiian Electric Industries Inc. | 24,110 | 802 | |||
^ | Frontier Communications Corp. | 264,114 | 774 | ||
Telephone & Data Systems Inc. | 21,373 | 578 | |||
Avangrid Inc. | 12,733 | 557 | |||
* | United States Cellular Corp. | 3,098 | 116 | ||
250,930 | |||||
Total Common Stocks (Cost $2,247,041) | 2,572,863 | ||||
Coupon | |||||
Temporary Cash Investments (0.1%)1 | |||||
Money Market Fund (0.1%) | |||||
3,4 | Vanguard Market Liquidity Fund | 0.864% | 20,014 | 2,002 | |
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.0%) | |||||
5 | United States Treasury Bill | 0.556% | 6/15/17 | 300 | 299 |
Total Temporary Cash Investments (Cost $2,301) | 2,301 | ||||
Total Investments (99.9%) (Cost $2,249,342) | 2,575,164 | ||||
Other Assets and Liabilities—Net (0.1%)4 | 3,609 | ||||
Net Assets (100%) | 2,578,773 |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,873,000.
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 99.9% and 0.0%, 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 $2,000,000 of collateral received for securities on loan.
5 Securities with a value of $299,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
29
Vanguard® Russell 1000 Growth Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.8%)1 | |||
Consumer Discretionary (22.1%) | |||
* | Amazon.com Inc. | 115,234 | 97,377 |
Home Depot Inc. | 368,598 | 53,413 | |
Walt Disney Co. | 480,768 | 52,928 | |
Comcast Corp. Class A | 1,320,911 | 49,428 | |
McDonald's Corp. | 246,164 | 31,423 | |
* | Priceline Group Inc. | 14,669 | 25,291 |
Starbucks Corp. | 422,557 | 24,031 | |
Costco Wholesale Corp. | 129,108 | 22,875 | |
NIKE Inc. Class B | 391,827 | 22,397 | |
Lowe's Cos. Inc. | 265,066 | 19,713 | |
* | Charter Communications Inc. Class A | 59,380 | 19,183 |
* | Netflix Inc. | 120,813 | 17,171 |
TJX Cos. Inc. | 195,705 | 15,353 | |
Time Warner Inc. | 153,042 | 15,030 | |
* | eBay Inc. | 316,004 | 10,712 |
^,* | Tesla Inc. | 34,637 | 8,659 |
Ross Stores Inc. | 116,559 | 7,994 | |
* | O'Reilly Automotive Inc. | 27,984 | 7,603 |
Twenty-First Century Fox Inc. Class A | 248,995 | 7,450 | |
CBS Corp. Class B | 112,961 | 7,446 | |
Newell Brands Inc. | 139,249 | 6,827 | |
Yum! Brands Inc. | 103,254 | 6,745 | |
* | AutoZone Inc. | 8,687 | 6,398 |
Marriott International Inc. Class A | 72,003 | 6,263 | |
Delphi Automotive plc | 80,793 | 6,151 | |
Dollar General Corp. | 84,214 | 6,149 | |
Omnicom Group Inc. | 69,890 | 5,948 | |
Las Vegas Sands Corp. | 107,697 | 5,703 | |
Estee Lauder Cos. Inc. Class A | 64,136 | 5,314 | |
VF Corp. | 100,742 | 5,284 | |
* | Dollar Tree Inc. | 67,091 | 5,144 |
* | Ulta Beauty Inc. | 17,360 | 4,747 |
Expedia Inc. | 35,371 | 4,211 | |
Genuine Parts Co. | 40,603 | 3,886 | |
Viacom Inc. Class B | 88,928 | 3,864 | |
Nielsen Holdings plc | 83,497 | 3,704 | |
* | CarMax Inc. | 57,279 | 3,697 |
^,* | Chipotle Mexican Grill Inc. Class A | 8,384 | 3,511 |
Advance Auto Parts Inc. | 21,007 | 3,290 | |
Twenty-First Century Fox Inc. | 111,916 | 3,285 | |
* | Mohawk Industries Inc. | 14,365 | 3,252 |
Hasbro Inc. | 33,105 | 3,207 | |
* | DISH Network Corp. Class A | 49,828 | 3,089 |
Harley-Davidson Inc. | 53,228 | 3,001 | |
Interpublic Group of Cos. Inc. | 118,259 | 2,850 | |
* | LKQ Corp. | 89,850 | 2,837 |
Tractor Supply Co. | 39,631 | 2,810 | |
Domino's Pizza Inc. | 14,686 | 2,787 | |
* | Yum China Holdings Inc. | 102,809 | 2,734 |
Foot Locker Inc. | 35,885 | 2,715 | |
Wyndham Worldwide Corp. | 32,569 | 2,711 | |
^ | Sirius XM Holdings Inc. | 529,145 | 2,693 |
Fortune Brands Home & Security Inc. | 45,217 | 2,615 | |
* | Hilton Worldwide Holdings Inc. | 45,266 | 2,589 |
Mattel Inc. | 100,620 | 2,589 | |
Darden Restaurants Inc. | 34,441 | 2,572 | |
Lear Corp. | 18,021 | 2,559 | |
Hanesbrands Inc. | 111,782 | 2,237 | |
Vail Resorts Inc. | 11,412 | 2,068 | |
Wynn Resorts Ltd. | 21,438 | 2,061 | |
* | NVR Inc. | 1,036 | 2,005 |
30
Vanguard® Russell 1000 Growth Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Scripps Networks Interactive Inc. Class A | 24,219 | 1,956 |
Leggett & Platt Inc. | 38,968 | 1,916 |
* Lululemon Athletica Inc. | 28,516 | 1,861 |
KAR Auction Services Inc. | 40,813 | 1,829 |
DR Horton Inc. | 55,112 | 1,764 |
* WABCO Holdings Inc. | 15,628 | 1,755 |
* Michael Kors Holdings Ltd. | 47,606 | 1,738 |
Service Corp. International | 55,445 | 1,704 |
Nordstrom Inc. | 36,333 | 1,695 |
* Discovery Communications Inc. | 59,836 | 1,680 |
* ServiceMaster Global Holdings Inc. | 40,100 | 1,597 |
Thor Industries Inc. | 14,223 | 1,576 |
^ Polaris Industries Inc. | 17,826 | 1,519 |
* Panera Bread Co. Class A | 6,550 | 1,512 |
Dunkin' Brands Group Inc. | 26,808 | 1,475 |
* TripAdvisor Inc. | 33,546 | 1,391 |
* Liberty Interactive Corp. QVC Group Class A | 72,913 | 1,377 |
Pool Corp. | 11,881 | 1,363 |
Cinemark Holdings Inc. | 31,569 | 1,322 |
Brunswick Corp. | 21,848 | 1,308 |
Carter's Inc. | 14,761 | 1,299 |
Six Flags Entertainment Corp. | 21,205 | 1,285 |
Lennar Corp. Class A | 26,168 | 1,277 |
Williams-Sonoma Inc. | 25,868 | 1,257 |
* Discovery Communications Inc. Class A | 41,919 | 1,206 |
Signet Jewelers Ltd. | 18,601 | 1,183 |
Gentex Corp. | 53,414 | 1,123 |
Target Corp. | 18,994 | 1,116 |
Aramark | 30,943 | 1,106 |
Harman International Industries Inc. | 9,798 | 1,094 |
* Under Armour Inc. Class A | 52,896 | 1,091 |
* Burlington Stores Inc. | 11,807 | 1,051 |
* Under Armour Inc. | 56,472 | 1,048 |
* AMC Networks Inc. Class A | 17,407 | 1,041 |
Dick's Sporting Goods Inc. | 20,129 | 985 |
* Skechers U.S.A. Inc. Class A | 38,162 | 980 |
* Visteon Corp. | 10,092 | 935 |
* Sally Beauty Holdings Inc. | 42,399 | 927 |
* Kate Spade & Co. | 38,237 | 912 |
Tupperware Brands Corp. | 14,823 | 895 |
Cable One Inc. | 1,364 | 853 |
* Avis Budget Group Inc. | 23,059 | 797 |
* Toll Brothers Inc. | 21,896 | 747 |
* Tempur Sealy International Inc. | 15,697 | 725 |
* Pandora Media Inc. | 56,674 | 702 |
L Brands Inc. | 12,973 | 683 |
* Lions Gate Entertainment Corp. Class B | 26,124 | 653 |
* Live Nation Entertainment Inc. | 21,984 | 625 |
Brinker International Inc. | 14,201 | 600 |
Coach Inc. | 15,745 | 600 |
PulteGroup Inc. | 26,306 | 580 |
* Urban Outfitters Inc. | 20,447 | 532 |
Wendy's Co. | 35,474 | 494 |
AMERCO | 1,147 | 443 |
* Michaels Cos. Inc. | 21,603 | 434 |
* Hilton Grand Vacations Inc. | 14,016 | 420 |
Choice Hotels International Inc. | 6,852 | 415 |
Whirlpool Corp. | 2,234 | 399 |
* Adient plc | 5,812 | 390 |
* Murphy USA Inc. | 6,060 | 386 |
* MGM Resorts International | 13,007 | 342 |
* AutoNation Inc. | 7,323 | 336 |
BorgWarner Inc. | 7,783 | 328 |
* Lions Gate Entertainment Corp. Class A | 8,111 | 217 |
31
Vanguard® Russell 1000 Growth Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Liberty Ventures Class A | 4,809 | 211 |
* | Norwegian Cruise Line Holdings Ltd. | 4,064 | 206 |
* | Fitbit Inc. Class A | 32,175 | 200 |
Bed Bath & Beyond Inc. | 4,834 | 195 | |
Viacom Inc. Class A | 3,811 | 174 | |
Regal Entertainment Group Class A | 7,088 | 153 | |
* | Liberty Expedia Holdings Inc. Class A | 3,325 | 144 |
Coty Inc. Class A | 7,647 | 144 | |
Lennar Corp. Class B | 3,549 | 139 | |
Gap Inc. | 4,589 | 114 | |
* | Hertz Global Holdings Inc. | 4,696 | 107 |
Ralph Lauren Corp. Class A | 1,335 | 106 | |
CalAtlantic Group Inc. | 2,932 | 104 | |
* | Cabela's Inc. | 2,035 | 95 |
* | Madison Square Garden Co. Class A | 483 | 87 |
Tribune Media Co. Class A | 2,317 | 80 | |
* | Vista Outdoor Inc. | 3,657 | 74 |
Extended Stay America Inc. | 3,853 | 67 | |
* | Clear Channel Outdoor Holdings Inc. Class A | 7,102 | 34 |
* | Hyatt Hotels Corp. Class A | 617 | 32 |
740,895 | |||
Consumer Staples (8.4%) | |||
Altria Group Inc. | 579,219 | 43,395 | |
PepsiCo Inc. | 372,114 | 41,074 | |
Coca-Cola Co. | 862,976 | 36,210 | |
CVS Health Corp. | 299,409 | 24,126 | |
Kimberly-Clark Corp. | 90,702 | 12,023 | |
General Mills Inc. | 176,031 | 10,627 | |
Reynolds American Inc. | 150,612 | 9,273 | |
Kroger Co. | 281,410 | 8,949 | |
Sysco Corp. | 155,454 | 8,196 | |
Constellation Brands Inc. Class A | 49,001 | 7,782 | |
Philip Morris International Inc. | 49,079 | 5,367 | |
* | Monster Beverage Corp. | 123,883 | 5,134 |
Dr Pepper Snapple Group Inc. | 54,856 | 5,126 | |
Kellogg Co. | 67,643 | 5,010 | |
Walgreens Boots Alliance Inc. | 52,338 | 4,521 | |
Hershey Co. | 41,387 | 4,484 | |
Clorox Co. | 32,519 | 4,449 | |
Conagra Brands Inc. | 102,476 | 4,223 | |
Church & Dwight Co. Inc. | 76,038 | 3,790 | |
Colgate-Palmolive Co. | 46,028 | 3,359 | |
McCormick & Co. Inc. | 34,052 | 3,351 | |
Campbell Soup Co. | 54,900 | 3,258 | |
* | WhiteWave Foods Co. Class A | 51,331 | 2,827 |
Brown-Forman Corp. Class B | 52,139 | 2,542 | |
Tyson Foods Inc. Class A | 40,432 | 2,529 | |
Hormel Foods Corp. | 69,514 | 2,450 | |
Kraft Heinz Co. | 22,451 | 2,054 | |
* | Rite Aid Corp. | 301,269 | 1,808 |
Ingredion Inc. | 14,948 | 1,807 | |
Mead Johnson Nutrition Co. | 19,774 | 1,736 | |
Lamb Weston Holdings Inc. | 34,405 | 1,348 | |
Casey's General Stores Inc. | 11,365 | 1,302 | |
^,* | Herbalife Ltd. | 21,691 | 1,225 |
Spectrum Brands Holdings Inc. | 7,225 | 981 | |
* | Post Holdings Inc. | 11,109 | 910 |
Flowers Foods Inc. | 46,599 | 898 | |
* | Hain Celestial Group Inc. | 22,215 | 786 |
Brown-Forman Corp. Class A | 14,928 | 744 | |
* | Sprouts Farmers Market Inc. | 38,914 | 718 |
Whole Foods Market Inc. | 15,970 | 490 | |
* | TreeHouse Foods Inc. | 5,154 | 439 |
* | Blue Buffalo Pet Products Inc. | 17,589 | 430 |
32
Vanguard® Russell 1000 Growth Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
* US Foods Holding Corp. | 13,599 | 375 |
Energizer Holdings Inc. | 5,941 | 326 |
Nu Skin Enterprises Inc. Class A | 4,969 | 246 |
Pilgrim's Pride Corp. | 3,315 | 68 |
282,766 | ||
Energy (0.5%) | ||
Apache Corp. | 77,115 | 4,056 |
ONEOK Inc. | 61,688 | 3,334 |
Cabot Oil & Gas Corp. | 95,225 | 2,085 |
EOG Resources Inc. | 18,162 | 1,762 |
* Southwestern Energy Co. | 146,071 | 1,097 |
Williams Cos. Inc. | 37,269 | 1,056 |
* Diamondback Energy Inc. | 6,634 | 669 |
Devon Energy Corp. | 13,954 | 605 |
* Newfield Exploration Co. | 15,289 | 558 |
Cimarex Energy Co. | 4,311 | 542 |
* Continental Resources Inc. | 11,100 | 502 |
* Parsley Energy Inc. Class A | 4,849 | 147 |
* Chesapeake Energy Corp. | 16,404 | 89 |
* Extraction Oil & Gas Inc. | 2,054 | 36 |
^ Valvoline Inc. | 1,005 | 23 |
16,561 | ||
Financial Services (9.9%) | ||
Visa Inc. Class A | 564,545 | 49,646 |
Mastercard Inc. Class A | 285,489 | 31,535 |
Simon Property Group Inc. | 82,580 | 15,228 |
American Tower Corporation | 124,688 | 14,313 |
* PayPal Holdings Inc. | 335,360 | 14,085 |
Marsh & McLennan Cos. Inc. | 154,538 | 11,355 |
Charles Schwab Corp. | 274,381 | 11,088 |
S&P Global Inc. | 78,044 | 10,104 |
Public Storage | 43,722 | 9,945 |
Aon plc | 77,853 | 9,004 |
Crown Castle International Corp. | 94,189 | 8,809 |
Equinix Inc. | 20,495 | 7,708 |
* Fiserv Inc. | 65,750 | 7,588 |
Moody's Corp. | 45,000 | 5,012 |
Intercontinental Exchange Inc. | 83,446 | 4,767 |
* FleetCor Technologies Inc. | 27,143 | 4,614 |
Equifax Inc. | 35,107 | 4,603 |
Fidelity National Information Services Inc. | 54,835 | 4,511 |
Alliance Data Systems Corp. | 16,981 | 4,126 |
T. Rowe Price Group Inc. | 55,073 | 3,922 |
Global Payments Inc. | 45,105 | 3,594 |
Digital Realty Trust Inc. | 33,131 | 3,578 |
First Republic Bank | 34,523 | 3,239 |
* CBRE Group Inc. Class A | 88,416 | 3,149 |
* Vantiv Inc. Class A | 45,589 | 2,981 |
Federal Realty Investment Trust | 21,058 | 2,963 |
Western Union Co. | 144,677 | 2,841 |
Extra Space Storage Inc. | 35,856 | 2,839 |
Iron Mountain Inc. | 76,853 | 2,794 |
Discover Financial Services | 38,040 | 2,706 |
Total System Services Inc. | 49,187 | 2,680 |
TD Ameritrade Holding Corp. | 65,274 | 2,552 |
MSCI Inc. Class A | 25,415 | 2,404 |
Citizens Financial Group Inc. | 64,207 | 2,399 |
Broadridge Financial Solutions Inc. | 34,574 | 2,397 |
Affiliated Managers Group Inc. | 13,765 | 2,312 |
Jack Henry & Associates Inc. | 23,350 | 2,190 |
* SVB Financial Group | 11,263 | 2,150 |
FactSet Research Systems Inc. | 11,915 | 2,120 |
MarketAxess Holdings Inc. | 10,759 | 2,100 |
Ventas Inc. | 31,347 | 2,039 |
33
Vanguard® Russell 1000 Growth Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Arthur J Gallagher & Co. | 35,400 | 2,016 | |
SEI Investments Co. | 37,705 | 1,898 | |
Essex Property Trust Inc. | 8,014 | 1,881 | |
CBOE Holdings Inc. | 23,808 | 1,858 | |
Lamar Advertising Co. Class A | 24,303 | 1,834 | |
Equity LifeStyle Properties Inc. | 22,584 | 1,798 | |
Ameriprise Financial Inc. | 13,161 | 1,731 | |
Gaming and Leisure Properties Inc. | 48,681 | 1,558 | |
Eaton Vance Corp. | 32,177 | 1,500 | |
* | First Data Corp. Class A | 92,780 | 1,494 |
* | Signature Bank | 9,272 | 1,460 |
* | WEX Inc. | 11,348 | 1,262 |
* | Euronet Worldwide Inc. | 14,566 | 1,206 |
Lincoln National Corp. | 15,948 | 1,119 | |
Boston Properties Inc. | 7,677 | 1,067 | |
XL Group Ltd. | 25,924 | 1,050 | |
Healthcare Trust of America Inc. Class A | 30,262 | 974 | |
CubeSmart | 35,655 | 972 | |
CyrusOne Inc. | 18,669 | 950 | |
Tanger Factory Outlet Centers Inc. | 24,769 | 839 | |
* | Colony NorthStar Inc. Class A | 54,555 | 801 |
* | Western Alliance Bancorp | 15,312 | 791 |
Life Storage Inc. | 8,803 | 780 | |
Federated Investors Inc. Class B | 27,338 | 743 | |
Park Hotels & Resorts Inc. | 28,584 | 730 | |
Omega Healthcare Investors Inc. | 20,270 | 662 | |
Progressive Corp. | 16,801 | 658 | |
Invesco Ltd. | 20,357 | 655 | |
* | Zillow Group Inc. | 19,224 | 652 |
* | CoreLogic Inc. | 15,683 | 615 |
Erie Indemnity Co. Class A | 5,177 | 614 | |
* | TransUnion | 15,899 | 590 |
Taubman Centers Inc. | 8,442 | 589 | |
Empire State Realty Trust Inc. | 22,246 | 485 | |
^,* | Credit Acceptance Corp. | 2,392 | 479 |
Dun & Bradstreet Corp. | 4,367 | 461 | |
Morningstar Inc. | 5,321 | 427 | |
* | Zillow Group Inc. Class A | 12,059 | 406 |
Regency Centers Corp. | 5,757 | 405 | |
Artisan Partners Asset Management Inc. Class A | 10,985 | 313 | |
Alexandria Real Estate Equities Inc. | 2,447 | 292 | |
* | Square Inc. | 14,472 | 251 |
Lazard Ltd. Class A | 4,803 | 207 | |
Senior Housing Properties Trust | 8,506 | 174 | |
Outfront Media Inc. | 6,283 | 163 | |
LPL Financial Holdings Inc. | 3,943 | 156 | |
* | Donnelley Financial Solutions Inc. | 5,810 | 134 |
Brown & Brown Inc. | 2,478 | 107 | |
Interactive Brokers Group Inc. | 2,529 | 93 | |
Care Capital Properties Inc. | 2,076 | 55 | |
AmTrust Financial Services Inc. | 2,102 | 48 | |
First Hawaiian Inc. | 648 | 21 | |
330,014 | |||
Health Care (15.9%) | |||
UnitedHealth Group Inc. | 277,777 | 45,939 | |
Amgen Inc. | 222,517 | 39,281 | |
AbbVie Inc. | 479,271 | 29,638 | |
* | Celgene Corp. | 227,549 | 28,105 |
Bristol-Myers Squibb Co. | 494,511 | 28,044 | |
Gilead Sciences Inc. | 392,385 | 27,655 | |
Eli Lilly & Co. | 289,064 | 23,937 | |
* | Biogen Inc. | 64,802 | 18,702 |
Johnson & Johnson | 140,813 | 17,209 | |
Allergan plc | 58,662 | 14,362 |
34
Vanguard® Russell 1000 Growth Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Stryker Corp. | 99,599 | 12,804 |
* Express Scripts Holding Co. | 165,418 | 11,687 |
Becton Dickinson and Co. | 61,884 | 11,328 |
* Boston Scientific Corp. | 399,452 | 9,807 |
McKesson Corp. | 62,655 | 9,406 |
Humana Inc. | 41,520 | 8,771 |
* Regeneron Pharmaceuticals Inc. | 22,970 | 8,579 |
* Alexion Pharmaceuticals Inc. | 64,323 | 8,442 |
Thermo Fisher Scientific Inc. | 52,849 | 8,333 |
* Intuitive Surgical Inc. | 11,178 | 8,238 |
Cardinal Health Inc. | 89,430 | 7,277 |
* Illumina Inc. | 43,272 | 7,244 |
Zoetis Inc. | 134,963 | 7,195 |
* Vertex Pharmaceuticals Inc. | 72,857 | 6,602 |
* Incyte Corp. | 48,188 | 6,414 |
* Edwards Lifesciences Corp. | 62,531 | 5,880 |
* HCA Holdings Inc. | 61,603 | 5,374 |
CR Bard Inc. | 21,660 | 5,312 |
* Cerner Corp. | 87,079 | 4,793 |
* BioMarin Pharmaceutical Inc. | 50,594 | 4,752 |
AmerisourceBergen Corp. Class A | 48,840 | 4,469 |
Aetna Inc. | 33,812 | 4,354 |
Pfizer Inc. | 124,670 | 4,254 |
* Henry Schein Inc. | 24,269 | 4,164 |
Danaher Corp. | 47,296 | 4,046 |
* IDEXX Laboratories Inc. | 26,121 | 3,786 |
Cigna Corp. | 25,033 | 3,727 |
Anthem Inc. | 21,314 | 3,513 |
Zimmer Biomet Holdings Inc. | 29,096 | 3,407 |
* Hologic Inc. | 82,099 | 3,332 |
ResMed Inc. | 41,122 | 2,962 |
* Centene Corp. | 36,456 | 2,570 |
* Quintiles IMS Holdings Inc. | 33,150 | 2,566 |
* Alkermes plc | 44,174 | 2,496 |
* Varian Medical Systems Inc. | 28,256 | 2,370 |
Abbott Laboratories | 49,713 | 2,241 |
* Align Technology Inc. | 21,461 | 2,205 |
Cooper Cos. Inc. | 10,869 | 2,164 |
* VCA Inc. | 22,864 | 2,078 |
* Laboratory Corp. of America Holdings | 13,565 | 1,930 |
* DexCom Inc. | 24,277 | 1,898 |
* Seattle Genetics Inc. | 28,356 | 1,862 |
* Mylan NV | 42,939 | 1,797 |
* Ionis Pharmaceuticals Inc. | 35,777 | 1,781 |
West Pharmaceutical Services Inc. | 21,177 | 1,747 |
Bioverativ Inc. | 32,707 | 1,703 |
* Envision Healthcare Corp. | 24,244 | 1,697 |
* WellCare Health Plans Inc. | 11,989 | 1,693 |
* ABIOMED Inc. | 11,642 | 1,373 |
* MEDNAX Inc. | 19,190 | 1,366 |
* athenahealth Inc. | 11,529 | 1,360 |
Agilent Technologies Inc. | 25,044 | 1,285 |
* DaVita Inc. | 18,173 | 1,261 |
* Veeva Systems Inc. Class A | 28,509 | 1,246 |
Hill-Rom Holdings Inc. | 18,234 | 1,212 |
* Charles River Laboratories International Inc. | 13,816 | 1,202 |
Bio-Techne Corp. | 10,966 | 1,166 |
Patterson Cos. Inc. | 24,604 | 1,118 |
* Neurocrine Biosciences Inc. | 25,098 | 1,108 |
* ACADIA Pharmaceuticals Inc. | 27,857 | 1,062 |
* Alnylam Pharmaceuticals Inc. | 19,447 | 1,004 |
Baxter International Inc. | 16,152 | 823 |
Universal Health Services Inc. Class B | 6,150 | 772 |
Bruker Corp. | 31,309 | 756 |
35
Vanguard® Russell 1000 Growth Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | OPKO Health Inc. | 86,669 | 727 |
^,* | Intercept Pharmaceuticals Inc. | 4,757 | 607 |
* | United Therapeutics Corp. | 3,514 | 519 |
* | Akorn Inc. | 24,907 | 518 |
Teleflex Inc. | 2,444 | 467 | |
* | Tenet Healthcare Corp. | 23,597 | 455 |
* | Agios Pharmaceuticals Inc. | 9,236 | 447 |
* | Juno Therapeutics Inc. | 16,713 | 402 |
* | Varex Imaging Corp. | 11,056 | 385 |
^,* | Intrexon Corp. | 16,566 | 369 |
PerkinElmer Inc. | 6,381 | 346 | |
* | Acadia Healthcare Co. Inc. | 7,025 | 314 |
* | Patheon NV | 6,095 | 192 |
* | Alere Inc. | 4,834 | 185 |
* | Premier Inc. Class A | 3,895 | 122 |
* | VWR Corp. | 1,941 | 55 |
532,146 | |||
Materials & Processing (4.0%) | |||
EI du Pont de Nemours & Co. | 258,877 | 20,332 | |
Ecolab Inc. | 77,084 | 9,556 | |
Monsanto Co. | 83,798 | 9,539 | |
Praxair Inc. | 74,295 | 8,820 | |
PPG Industries Inc. | 78,466 | 8,037 | |
Sherwin-Williams Co. | 23,834 | 7,354 | |
Air Products & Chemicals Inc. | 50,524 | 7,097 | |
Vulcan Materials Co. | 36,550 | 4,408 | |
Fastenal Co. | 85,268 | 4,266 | |
LyondellBasell Industries NV Class A | 42,819 | 3,907 | |
Ball Corp. | 50,349 | 3,702 | |
Martin Marietta Materials Inc. | 16,960 | 3,663 | |
Ingersoll-Rand plc | 38,396 | 3,047 | |
International Flavors & Fragrances Inc. | 23,544 | 2,959 | |
Acuity Brands Inc. | 12,806 | 2,706 | |
Sealed Air Corp. | 57,896 | 2,691 | |
Valspar Corp. | 23,188 | 2,579 | |
Packaging Corp. of America | 27,628 | 2,554 | |
* | Crown Holdings Inc. | 39,981 | 2,143 |
Masco Corp. | 63,245 | 2,136 | |
RPM International Inc. | 38,259 | 2,039 | |
* | Berry Plastics Group Inc. | 37,347 | 1,880 |
FMC Corp. | 31,682 | 1,826 | |
Lennox International Inc. | 10,934 | 1,800 | |
Hexcel Corp. | 27,133 | 1,492 | |
Eagle Materials Inc. | 13,888 | 1,440 | |
* | Axalta Coating Systems Ltd. | 48,096 | 1,400 |
* | Freeport-McMoRan Inc. | 84,083 | 1,127 |
Watsco Inc. | 7,563 | 1,121 | |
Scotts Miracle-Gro Co. | 12,183 | 1,104 | |
* | Owens-Illinois Inc. | 47,580 | 942 |
NewMarket Corp. | 2,041 | 889 | |
Graphic Packaging Holding Co. | 66,261 | 885 | |
Valmont Industries Inc. | 5,266 | 828 | |
WR Grace & Co. | 11,528 | 817 | |
* | Versum Materials Inc. | 25,687 | 779 |
Silgan Holdings Inc. | 11,098 | 662 | |
Southern Copper Corp. | 11,021 | 404 | |
Steel Dynamics Inc. | 10,585 | 387 | |
Celanese Corp. Class A | 4,065 | 362 | |
AptarGroup Inc. | 4,735 | 353 | |
* | AdvanSix Inc. | 9,327 | 254 |
Bemis Co. Inc. | 3,983 | 197 | |
Royal Gold Inc. | 1,440 | 95 | |
134,579 |
36
Vanguard® Russell 1000 Growth Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Other (0.0%)2 | ||
Invitation Homes Inc. | 1,676 | 37 |
Enbridge Inc. | 178 | 7 |
44 | ||
Producer Durables (11.6%) | ||
3M Co. | 174,251 | 32,472 |
Boeing Co. | 176,855 | 31,875 |
Honeywell International Inc. | 225,271 | 28,046 |
Accenture plc Class A | 184,859 | 22,645 |
United Parcel Service Inc. Class B | 204,936 | 21,674 |
Lockheed Martin Corp. | 75,343 | 20,085 |
General Electric Co. | 529,666 | 15,789 |
FedEx Corp. | 73,881 | 14,258 |
Automatic Data Processing Inc. | 134,933 | 13,847 |
Northrop Grumman Corp. | 49,296 | 12,180 |
Illinois Tool Works Inc. | 87,218 | 11,514 |
Southwest Airlines Co. | 189,536 | 10,955 |
Delta Air Lines Inc. | 177,809 | 8,878 |
Waste Management Inc. | 108,511 | 7,956 |
Paychex Inc. | 95,631 | 5,874 |
General Dynamics Corp. | 30,175 | 5,727 |
Raytheon Co. | 33,537 | 5,170 |
Rockwell Automation Inc. | 30,532 | 4,613 |
Union Pacific Corp. | 39,103 | 4,221 |
WW Grainger Inc. | 16,396 | 4,066 |
* Verisk Analytics Inc. Class A | 45,418 | 3,766 |
TransDigm Group Inc. | 14,759 | 3,752 |
Rockwell Collins Inc. | 38,610 | 3,691 |
* Mettler-Toledo International Inc. | 7,743 | 3,687 |
* Waters Corp. | 22,604 | 3,503 |
CH Robinson Worldwide Inc. | 42,256 | 3,396 |
Roper Technologies Inc. | 15,018 | 3,142 |
Cintas Corp. | 26,146 | 3,085 |
* United Rentals Inc. | 22,228 | 2,846 |
Alaska Air Group Inc. | 29,057 | 2,842 |
JB Hunt Transport Services Inc. | 26,200 | 2,572 |
* HD Supply Holdings Inc. | 59,196 | 2,545 |
Deere & Co. | 23,067 | 2,526 |
Huntington Ingalls Industries Inc. | 11,450 | 2,502 |
Johnson Controls International plc | 58,322 | 2,446 |
* Middleby Corp. | 16,777 | 2,327 |
AO Smith Corp. | 42,894 | 2,160 |
Expeditors International of Washington Inc. | 37,739 | 2,128 |
Snap-on Inc. | 12,456 | 2,113 |
Allegion plc | 28,273 | 2,052 |
Wabtec Corp. | 25,228 | 2,021 |
Nordson Corp. | 16,799 | 2,016 |
Avery Dennison Corp. | 24,680 | 1,992 |
IDEX Corp. | 20,986 | 1,935 |
B/E Aerospace Inc. | 30,015 | 1,909 |
* CoStar Group Inc. | 9,387 | 1,907 |
* Stericycle Inc. | 22,940 | 1,901 |
Toro Co. | 31,531 | 1,898 |
Emerson Electric Co. | 30,781 | 1,850 |
* Trimble Inc. | 58,795 | 1,824 |
Robert Half International Inc. | 37,462 | 1,807 |
* Copart Inc. | 28,748 | 1,700 |
Donaldson Co. Inc. | 34,579 | 1,485 |
Graco Inc. | 16,351 | 1,484 |
Fortive Corp. | 23,539 | 1,357 |
Xylem Inc. | 27,267 | 1,312 |
BWX Technologies Inc. | 27,316 | 1,269 |
Hubbell Inc. Class B | 10,477 | 1,243 |
Textron Inc. | 24,684 | 1,168 |
37
Vanguard® Russell 1000 Growth Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Old Dominion Freight Line Inc. | 12,439 | 1,141 |
Spirit AeroSystems Holdings Inc. Class A | 18,481 | 1,139 |
* Zebra Technologies Corp. | 12,552 | 1,139 |
Booz Allen Hamilton Holding Corp. Class A | 31,593 | 1,130 |
Landstar System Inc. | 12,507 | 1,086 |
Flowserve Corp. | 23,203 | 1,078 |
Rollins Inc. | 28,392 | 1,038 |
* Genpact Ltd. | 41,412 | 1,004 |
Lincoln Electric Holdings Inc. | 11,194 | 943 |
HEICO Corp. Class A | 11,469 | 814 |
National Instruments Corp. | 24,223 | 781 |
Pitney Bowes Inc. | 55,315 | 754 |
Stanley Black & Decker Inc. | 5,422 | 689 |
AMETEK Inc. | 12,637 | 682 |
PACCAR Inc. | 9,015 | 602 |
Carlisle Cos. Inc. | 5,632 | 582 |
Covanta Holding Corp. | 34,234 | 555 |
MSC Industrial Direct Co. Inc. Class A | 5,495 | 553 |
Air Lease Corp. Class A | 14,054 | 547 |
HEICO Corp. | 5,475 | 450 |
* Quanta Services Inc. | 11,756 | 439 |
* Manitowoc Foodservice Inc. | 16,826 | 321 |
RR Donnelley & Sons Co. | 14,495 | 243 |
LSC Communications Inc. | 5,745 | 163 |
* JetBlue Airways Corp. | 6,444 | 129 |
* Herc Holdings Inc. | 1,722 | 89 |
* Clean Harbors Inc. | 1,379 | 80 |
389,175 | ||
Technology (26.3%) | ||
Apple Inc. | 1,487,658 | 203,794 |
Microsoft Corp. | 2,244,319 | 143,592 |
* Facebook Inc. Class A | 664,889 | 90,119 |
* Alphabet Inc. Class A | 87,032 | 73,536 |
* Alphabet Inc. Class C | 87,891 | 72,353 |
International Business Machines Corp. | 178,937 | 32,176 |
Broadcom Ltd. | 111,526 | 23,524 |
Texas Instruments Inc. | 297,802 | 22,818 |
* Adobe Systems Inc. | 144,381 | 17,086 |
* salesforce.com Inc. | 189,448 | 15,412 |
NVIDIA Corp. | 150,581 | 15,281 |
* Cognizant Technology Solutions Corp. Class A | 178,937 | 10,606 |
Intuit Inc. | 72,161 | 9,052 |
Applied Materials Inc. | 230,362 | 8,344 |
Activision Blizzard Inc. | 165,783 | 7,482 |
* Electronic Arts Inc. | 86,098 | 7,447 |
Amphenol Corp. Class A | 88,837 | 6,148 |
QUALCOMM Inc. | 90,327 | 5,102 |
Skyworks Solutions Inc. | 51,583 | 4,891 |
Intel Corp. | 125,788 | 4,554 |
Microchip Technology Inc. | 62,150 | 4,507 |
Lam Research Corp. | 37,806 | 4,481 |
* Autodesk Inc. | 51,328 | 4,430 |
* Red Hat Inc. | 53,335 | 4,417 |
KLA-Tencor Corp. | 46,173 | 4,161 |
* ServiceNow Inc. | 46,720 | 4,061 |
* Palo Alto Networks Inc. | 25,782 | 3,916 |
Maxim Integrated Products Inc. | 83,707 | 3,708 |
Oracle Corp. | 85,494 | 3,641 |
* Citrix Systems Inc. | 46,059 | 3,636 |
CDK Global Inc. | 46,172 | 3,067 |
* Workday Inc. Class A | 34,390 | 2,852 |
* F5 Networks Inc. | 19,756 | 2,830 |
CDW Corp. | 48,003 | 2,827 |
* Akamai Technologies Inc. | 45,037 | 2,819 |
38
Vanguard® Russell 1000 Growth Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Cadence Design Systems Inc. | 88,628 | 2,739 |
* | SBA Communications Corp. Class A | 23,505 | 2,721 |
* | Twitter Inc. | 164,627 | 2,596 |
* | Gartner Inc. | 23,659 | 2,442 |
* | Splunk Inc. | 38,436 | 2,373 |
* | VeriSign Inc. | 28,088 | 2,316 |
Linear Technology Corp. | 33,017 | 2,132 | |
Cognex Corp. | 23,989 | 1,843 | |
* | NCR Corp. | 36,744 | 1,766 |
SS&C Technologies Holdings Inc. | 45,891 | 1,607 | |
* | Fortinet Inc. | 42,574 | 1,590 |
* | Ultimate Software Group Inc. | 8,069 | 1,560 |
* | Tyler Technologies Inc. | 9,760 | 1,480 |
CSRA Inc. | 48,408 | 1,444 | |
* | CommScope Holding Co. Inc. | 37,544 | 1,429 |
Xilinx Inc. | 23,630 | 1,390 | |
* | Arista Networks Inc. | 11,641 | 1,385 |
Sabre Corp. | 61,328 | 1,344 | |
* | IAC/InterActiveCorp | 16,520 | 1,221 |
* | Teradata Corp. | 38,323 | 1,192 |
* | Guidewire Software Inc. | 21,231 | 1,160 |
DST Systems Inc. | 9,561 | 1,143 | |
Leidos Holdings Inc. | 19,828 | 1,057 | |
* | Manhattan Associates Inc. | 20,829 | 1,045 |
* | IPG Photonics Corp. | 8,748 | 1,035 |
* | Nuance Communications Inc. | 50,461 | 859 |
* | Tableau Software Inc. Class A | 15,999 | 844 |
* | PTC Inc. | 14,925 | 804 |
Symantec Corp. | 26,330 | 752 | |
* | ANSYS Inc. | 6,835 | 730 |
* | VeriFone Systems Inc. | 32,546 | 673 |
^,* | VMware Inc. Class A | 7,478 | 672 |
* | Yelp Inc. Class A | 15,767 | 531 |
* | GoDaddy Inc. Class A | 13,440 | 495 |
Motorola Solutions Inc. | 5,936 | 469 | |
* | Groupon Inc. Class A | 105,915 | 448 |
* | Dell Technologies Inc. Class V | 6,730 | 427 |
* | ARRIS International plc | 12,959 | 334 |
* | Synopsys Inc. | 4,349 | 311 |
* | Cree Inc. | 10,200 | 277 |
* | Black Knight Financial Services Inc. Class A | 6,698 | 258 |
* | Qorvo Inc. | 3,766 | 249 |
* | Inovalon Holdings Inc. Class A | 18,720 | 225 |
* | Atlassian Corp. plc Class A | 7,803 | 222 |
* | ON Semiconductor Corp. | 11,211 | 170 |
^,* | Match Group Inc. | 9,051 | 146 |
* | Twilio Inc. Class A | 4,198 | 133 |
* | FireEye Inc. | 10,668 | 120 |
^,* | Nutanix Inc. | 3,530 | 106 |
* | CommerceHub Inc. Class A | 2,710 | 45 |
* | CommerceHub Inc. | 1 | — |
880,980 | |||
Utilities (1.1%) | |||
Verizon Communications Inc. | 604,261 | 29,990 | |
* | T-Mobile US Inc. | 51,865 | 3,243 |
* | Zayo Group Holdings Inc. | 48,349 | 1,524 |
Dominion Resources Inc. | 11,320 | 879 | |
AT&T Inc. | 2 | — | |
35,636 | |||
Total Common Stocks (Cost $2,677,802) | 3,342,796 |
39
Vanguard® Russell 1000 Growth Index Fund | |||||
Schedule of Investments | |||||
February 28, 2017 | |||||
Market | |||||
Value | |||||
Coupon | Shares | ($000) | |||
Temporary Cash Investments (0.2%)1 | |||||
Money Market Fund (0.2%) | |||||
3,4 | Vanguard Market Liquidity Fund | 0.864% | 75,382 | 7,539 | |
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.0%) | |||||
5 | United States Treasury Bill | 0.564% | 5/4/17 | 200 | 200 |
5 | United States Treasury Bill | 0.597%-0.607% | 5/25/17 | 200 | 199 |
399 | |||||
Total Temporary Cash Investments (Cost $7,938) | 7,938 | ||||
Total Investments (100.0%) (Cost $2,685,740) | 3,350,734 | ||||
Other Assets and Liabilities—Net (0.0%)4 | (1,536) | ||||
Net Assets (100%) | 3,349,198 |
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $7,035,000.
* Non-income-producing security.
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 0.0%, 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 $7,530,000 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.
40
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© 2017 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA18482 042017
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.6%)1 | |||
Consumer Discretionary (12.6%) | |||
* | Tenneco Inc. | 45,914 | 2,953 |
Cracker Barrel Old Country Store Inc. | 15,773 | 2,539 | |
Jack in the Box Inc. | 26,452 | 2,479 | |
* | Bright Horizons Family Solutions Inc. | 35,583 | 2,459 |
Nexstar Media Group Inc. Class A | 35,370 | 2,439 | |
* | Buffalo Wild Wings Inc. | 15,366 | 2,382 |
Dana Inc. | 120,957 | 2,285 | |
Texas Roadhouse Inc. Class A | 53,748 | 2,274 | |
* | Helen of Troy Ltd. | 23,043 | 2,251 |
Cheesecake Factory Inc. | 36,873 | 2,251 | |
* | Grand Canyon Education Inc. | 36,517 | 2,241 |
American Eagle Outfitters Inc. | 135,475 | 2,147 | |
Sinclair Broadcast Group Inc. Class A | 53,584 | 2,138 | |
* | LCI Industries | 19,223 | 2,070 |
Wolverine World Wide Inc. | 78,730 | 1,982 | |
Meredith Corp. | 30,895 | 1,937 | |
Office Depot Inc. | 454,395 | 1,895 | |
* | Steven Madden Ltd. | 50,630 | 1,891 |
Big Lots Inc. | 36,564 | 1,877 | |
Cooper Tire & Rubber Co. | 45,502 | 1,841 | |
Lithia Motors Inc. Class A | 19,173 | 1,834 | |
* | Sotheby's | 40,556 | 1,830 |
* | Dave & Buster's Entertainment Inc. | 31,150 | 1,781 |
Papa John's International Inc. | 22,294 | 1,759 | |
ILG Inc. | 92,806 | 1,752 | |
Marriott Vacations Worldwide Corp. | 18,431 | 1,731 | |
Matthews International Corp. Class A | 25,938 | 1,708 | |
* | Dorman Products Inc. | 21,505 | 1,681 |
* | Stamps.com Inc. | 13,277 | 1,674 |
Churchill Downs Inc. | 11,130 | 1,673 | |
* | Five Below Inc. | 43,260 | 1,668 |
DeVry Education Group Inc. | 51,477 | 1,655 | |
*,^ | Cimpress NV | 20,575 | 1,650 |
* | Avon Products Inc. | 362,924 | 1,597 |
* | IMAX Corp. | 48,478 | 1,568 |
Children's Place Inc. | 15,397 | 1,560 | |
Chico's FAS Inc. | 107,429 | 1,556 | |
Time Inc. | 84,622 | 1,485 | |
Monro Muffler Brake Inc. | 25,797 | 1,483 | |
Aaron's Inc. | 54,100 | 1,476 | |
New York Times Co. Class A | 102,153 | 1,471 | |
Bloomin' Brands Inc. | 85,496 | 1,461 | |
PriceSmart Inc. | 16,510 | 1,459 | |
* | TRI Pointe Group Inc. | 121,951 | 1,456 |
AMC Entertainment Holdings Inc. Class A | 45,765 | 1,435 | |
* | Deckers Outdoor Corp. | 26,719 | 1,412 |
* | Cooper-Standard Holdings Inc. | 12,281 | 1,375 |
* | Boyd Gaming Corp. | 68,007 | 1,338 |
Group 1 Automotive Inc. | 17,075 | 1,327 | |
* | Popeyes Louisiana Kitchen Inc. | 16,544 | 1,307 |
* | Shutterfly Inc. | 28,483 | 1,293 |
* | American Axle & Manufacturing Holdings Inc. | 63,143 | 1,251 |
Travelport Worldwide Ltd. | 94,932 | 1,206 | |
Columbia Sportswear Co. | 21,906 | 1,204 | |
^ | KB Home | 66,977 | 1,189 |
DSW Inc. Class A | 55,496 | 1,167 | |
* | Liberty Media Corp-Liberty Formula One | 37,161 | 1,141 |
* | Houghton Mifflin Harcourt Co. | 102,577 | 1,133 |
* | Meritor Inc. | 68,369 | 1,118 |
* | 2U Inc. | 30,242 | 1,105 |
Nutrisystem Inc. | 23,748 | 1,104 |
1
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | EW Scripps Co. Class A | 47,904 | 1,103 |
La-Z-Boy Inc. | 40,407 | 1,091 | |
* | Gentherm Inc. | 29,989 | 1,087 |
* | Meritage Homes Corp. | 30,575 | 1,087 |
Caleres Inc. | 35,316 | 1,055 | |
SeaWorld Entertainment Inc. | 54,664 | 1,053 | |
* | Etsy Inc. | 86,586 | 1,049 |
* | Asbury Automotive Group Inc. | 16,030 | 1,044 |
* | MSG Networks Inc. | 47,656 | 1,039 |
Scholastic Corp. | 22,164 | 999 | |
*,^ | Wayfair Inc. | 26,117 | 987 |
*,^ | RH | 32,048 | 976 |
HSN Inc. | 25,849 | 975 | |
MDC Holdings Inc. | 33,209 | 969 | |
* | American Woodmark Corp. | 11,033 | 954 |
* | Genesco Inc. | 16,313 | 951 |
* | La Quinta Holdings Inc. | 68,057 | 943 |
Sonic Corp. | 36,648 | 926 | |
Tailored Brands Inc. | 40,065 | 926 | |
Bob Evans Farms Inc. | 15,890 | 901 | |
ClubCorp Holdings Inc. | 52,504 | 898 | |
* | Penn National Gaming Inc. | 61,547 | 891 |
* | G-III Apparel Group Ltd. | 34,469 | 887 |
* | American Outdoor Brands Corp. | 45,278 | 880 |
* | Scientific Games Corp. Class A | 42,426 | 876 |
* | Belmond Ltd. Class A | 66,742 | 864 |
DineEquity Inc. | 14,322 | 857 | |
* | Central Garden & Pet Co. Class A | 26,600 | 850 |
Gannett Co. Inc. | 96,259 | 839 | |
Standard Motor Products Inc. | 17,082 | 819 | |
* | Select Comfort Corp. | 34,583 | 812 |
* | Universal Electronics Inc. | 11,784 | 810 |
* | Cavco Industries Inc. | 6,772 | 808 |
* | Liberty TripAdvisor Holdings Inc. Class A | 59,843 | 805 |
International Speedway Corp. Class A | 21,069 | 782 | |
Callaway Golf Co. | 77,298 | 781 | |
Viad Corp. | 16,469 | 777 | |
*,^ | GoPro Inc. Class A | 82,365 | 774 |
* | Denny's Corp. | 60,388 | 758 |
^ | Sturm Ruger & Co. Inc. | 15,187 | 757 |
* | Pinnacle Entertainment Inc. | 43,099 | 748 |
Winnebago Industries Inc. | 22,124 | 730 | |
* | Gray Television Inc. | 53,434 | 727 |
Capella Education Co. | 9,308 | 708 | |
* | BJ's Restaurants Inc. | 19,395 | 705 |
Oxford Industries Inc. | 12,149 | 683 | |
* | Express Inc. | 60,745 | 683 |
*,^ | Shutterstock Inc. | 15,626 | 681 |
* | Taylor Morrison Home Corp. Class A | 33,480 | 674 |
Abercrombie & Fitch Co. | 55,670 | 666 | |
* | Strayer Education Inc. | 8,567 | 664 |
* | Ascena Retail Group Inc. | 143,604 | 661 |
* | Fossil Group Inc. | 34,256 | 648 |
National CineMedia Inc. | 49,965 | 641 | |
Guess? Inc. | 50,011 | 635 | |
* | Quotient Technology Inc. | 52,113 | 620 |
* | Liberty Media-C Corp-Liberty Braves | 27,604 | 607 |
World Wrestling Entertainment Inc. Class A | 28,597 | 600 | |
New Media Investment Group Inc. | 37,600 | 580 | |
* | Caesars Acquisition Co. Class A | 39,408 | 577 |
Ethan Allen Interiors Inc. | 20,076 | 577 | |
* | Liberty Media Corp-Liberty Formula One Class A | 18,765 | 565 |
Finish Line Inc. Class A | 34,589 | 564 | |
Red Rock Resorts Inc. Class A | 25,221 | 554 |
2
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Hibbett Sports Inc. | 18,640 | 550 |
* | Francesca's Holdings Corp. | 31,213 | 530 |
Cato Corp. Class A | 20,830 | 521 | |
* | Chegg Inc. | 65,590 | 518 |
* | Ollie's Bargain Outlet Holdings Inc. | 16,508 | 518 |
^ | Fred's Inc. Class A | 29,124 | 516 |
* | HealthStream Inc. | 20,853 | 510 |
Barnes & Noble Inc. | 51,434 | 504 | |
* | K12 Inc. | 28,083 | 502 |
* | Fox Factory Holding Corp. | 18,664 | 500 |
* | Isle of Capri Casinos Inc. | 20,499 | 498 |
Inter Parfums Inc. | 14,281 | 494 | |
Sonic Automotive Inc. Class A | 22,654 | 492 | |
* | Red Robin Gourmet Burgers Inc. | 10,642 | 486 |
Tower International Inc. | 17,447 | 482 | |
* | Tile Shop Holdings Inc. | 26,933 | 474 |
Planet Fitness Inc. Class A | 21,636 | 465 | |
^ | Buckle Inc. | 23,155 | 460 |
* | Shake Shack Inc. Class A | 12,826 | 460 |
Superior Industries International Inc. | 20,485 | 459 | |
* | MarineMax Inc. | 20,330 | 457 |
* | M/I Homes Inc. | 19,273 | 455 |
* | Carrols Restaurant Group Inc. | 28,708 | 454 |
* | Career Education Corp. | 54,033 | 450 |
Marcus Corp. | 14,352 | 448 | |
Pier 1 Imports Inc. | 65,622 | 442 | |
* | Caesars Entertainment Corp. | 45,593 | 431 |
* | Fiesta Restaurant Group Inc. | 21,705 | 431 |
* | Motorcar Parts of America Inc. | 14,951 | 424 |
* | Vitamin Shoppe Inc. | 19,626 | 418 |
* | Nautilus Inc. | 25,866 | 416 |
* | Crocs Inc. | 59,680 | 397 |
* | XO Group Inc. | 21,477 | 396 |
* | Lumber Liquidators Holdings Inc. | 22,267 | 395 |
* | National Presto Industries Inc. | 3,960 | 394 |
Ruth's Hospitality Group Inc. | 23,094 | 389 | |
* | SiteOne Landscape Supply Inc. | 9,795 | 384 |
* | William Lyon Homes Class A | 20,476 | 377 |
* | Chuy's Holdings Inc. | 13,239 | 377 |
* | Eldorado Resorts Inc. | 23,147 | 377 |
* | Regis Corp. | 30,511 | 376 |
* | Biglari Holdings Inc. | 858 | 368 |
Rent-A-Center Inc. | 42,322 | 367 | |
* | Stoneridge Inc. | 21,724 | 367 |
*,^ | LGI Homes Inc. | 12,552 | 364 |
MDC Partners Inc. Class A | 41,584 | 364 | |
Haverty Furniture Cos. Inc. | 15,208 | 353 | |
Wingstop Inc. | 13,270 | 349 | |
* | FTD Cos. Inc. | 14,179 | 343 |
Entercom Communications Corp. Class A | 21,411 | 335 | |
* | Horizon Global Corp. | 18,199 | 333 |
*,^ | Weight Watchers International Inc. | 22,849 | 329 |
* | Acushnet Holdings Corp. | 18,651 | 327 |
Camping World Holdings Inc. Class A | 9,204 | 324 | |
* | Barnes & Noble Education Inc. | 33,668 | 323 |
* | Party City Holdco Inc. | 22,109 | 319 |
* | Revlon Inc. Class A | 9,402 | 316 |
* | tronc Inc. | 21,354 | 312 |
* | Intrawest Resorts Holdings Inc. | 13,231 | 312 |
* | Beazer Homes USA Inc. | 25,395 | 310 |
Carriage Services Inc. Class A | 11,982 | 309 | |
Hooker Furniture Corp. | 9,355 | 309 | |
* | Del Frisco's Restaurant Group Inc. | 19,341 | 308 |
* | American Public Education Inc. | 12,702 | 307 |
3
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Movado Group Inc. | 12,607 | 306 | |
* | Central Garden & Pet Co. | 9,043 | 305 |
* | Malibu Boats Inc. Class A | 14,738 | 303 |
* | Zumiez Inc. | 14,533 | 296 |
* | Century Communities Inc. | 12,738 | 291 |
Metaldyne Performance Group Inc. | 12,328 | 287 | |
Entravision Communications Corp. Class A | 52,306 | 280 | |
*,^ | Eros International plc | 24,225 | 279 |
* | Zoe's Kitchen Inc. | 15,373 | 275 |
Shoe Carnival Inc. | 10,843 | 275 | |
* | Iconix Brand Group Inc. | 34,497 | 266 |
Flexsteel Industries Inc. | 5,277 | 265 | |
* | Perry Ellis International Inc. | 11,009 | 256 |
Libbey Inc. | 18,081 | 253 | |
* | Potbelly Corp. | 19,288 | 252 |
* | Del Taco Restaurants Inc. | 18,849 | 234 |
Bassett Furniture Industries Inc. | 8,509 | 233 | |
* | Hovnanian Enterprises Inc. Class A | 97,079 | 230 |
*,^ | Lands' End Inc. | 12,206 | 226 |
* | Monarch Casino & Resort Inc. | 8,591 | 219 |
* | elf Beauty Inc. | 7,891 | 219 |
* | Reading International Inc. Class A | 13,531 | 216 |
* | 1-800-Flowers.com Inc. Class A | 21,279 | 213 |
Speedway Motorsports Inc. | 9,764 | 208 | |
* | El Pollo Loco Holdings Inc. | 16,446 | 206 |
* | America's Car-Mart Inc. | 6,414 | 204 |
* | Arctic Cat Inc. | 10,961 | 203 |
Winmark Corp. | 1,784 | 202 | |
* | Overstock.com Inc. | 10,932 | 202 |
Citi Trends Inc. | 11,721 | 195 | |
* | Instructure Inc. | 8,503 | 195 |
* | Eastman Kodak Co. | 13,530 | 194 |
^ | Big 5 Sporting Goods Corp. | 14,394 | 194 |
* | Daily Journal Corp. | 903 | 189 |
*,^ | Central European Media Enterprises Ltd. Class A | 64,194 | 183 |
*,^ | Trade Desk Inc. Class A | 4,320 | 182 |
CSS Industries Inc. | 7,081 | 174 | |
* | Bojangles' Inc. | 8,263 | 174 |
* | Vera Bradley Inc. | 16,561 | 173 |
* | Angie's List Inc. | 31,891 | 170 |
*,^ | Duluth Holdings Inc. | 7,832 | 165 |
* | Conn's Inc. | 16,657 | 159 |
* | Nathan's Famous Inc. | 2,510 | 156 |
Saga Communications Inc. Class A | 3,027 | 151 | |
* | Habit Restaurants Inc. Class A | 11,071 | 149 |
* | Franklin Covey Co. | 8,287 | 149 |
Collectors Universe Inc. | 6,293 | 147 | |
Weyco Group Inc. | 5,168 | 141 | |
Johnson Outdoors Inc. Class A | 4,007 | 141 | |
* | Liberty Media-A Corp-Liberty Braves | 6,254 | 138 |
* | Tuesday Morning Corp. | 37,051 | 135 |
* | West Marine Inc. | 14,696 | 135 |
* | ZAGG Inc. | 22,217 | 134 |
* | Kirkland's Inc. | 11,766 | 133 |
* | Bridgepoint Education Inc. | 14,134 | 132 |
* | Rosetta Stone Inc. | 16,309 | 128 |
Lifetime Brands Inc. | 8,779 | 127 | |
*,^ | Sequential Brands Group Inc. | 31,934 | 125 |
* | Century Casinos Inc. | 18,083 | 124 |
Superior Uniform Group Inc. | 6,459 | 118 | |
* | New Home Co. Inc. | 11,207 | 117 |
* | Boot Barn Holdings Inc. | 11,104 | 114 |
Escalade Inc. | 8,568 | 111 | |
* | Care.com Inc. | 10,828 | 110 |
4
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Tilly's Inc. Class A | 9,608 | 106 | |
Golden Entertainment Inc. | 8,878 | 105 | |
* | Lindblad Expeditions Holdings Inc. | 11,351 | 102 |
* | At Home Group Inc. | 6,678 | 100 |
* | J Alexander's Holdings Inc. | 10,704 | 100 |
* | Sportsman's Warehouse Holdings Inc. | 20,420 | 99 |
* | Build-A-Bear Workshop Inc. | 10,676 | 97 |
* | Delta Apparel Inc. | 5,472 | 96 |
* | QuinStreet Inc. | 29,031 | 94 |
Stein Mart Inc. | 25,926 | 93 | |
* | Red Lion Hotels Corp. | 12,176 | 91 |
* | Destination XL Group Inc. | 30,203 | 91 |
* | Ruby Tuesday Inc. | 46,801 | 89 |
MCBC Holdings Inc. | 6,049 | 89 | |
Strattec Security Corp. | 2,751 | 82 | |
* | Jamba Inc. | 8,305 | 81 |
Liberty Tax Inc. | 5,293 | 79 | |
Marine Products Corp. | 7,160 | 76 | |
* | Townsquare Media Inc. Class A | 6,674 | 73 |
* | Marchex Inc. Class B | 26,852 | 72 |
*,^ | Sears Holdings Corp. | 8,675 | 68 |
*,^ | Empire Resorts Inc. | 2,845 | 66 |
* | JAKKS Pacific Inc. | 12,312 | 65 |
* | Fogo De Chao Inc. | 4,477 | 63 |
* | Luby's Inc. | 18,116 | 61 |
Salem Media Group Inc. Class A | 8,550 | 61 | |
Unique Fabricating Inc. | 5,105 | 58 | |
* | Container Store Group Inc. | 13,607 | 57 |
* | Cambium Learning Group Inc. | 11,570 | 56 |
^ | Stage Stores Inc. | 23,141 | 54 |
* | Hemisphere Media Group Inc. Class A | 4,534 | 53 |
* | Radio One Inc. | 19,082 | 52 |
* | Gaia Inc. Class A | 6,037 | 52 |
*,^ | Cogint Inc. | 11,740 | 43 |
* | Kona Grill Inc. | 6,409 | 41 |
*,^ | Noodles & Co. Class A | 8,459 | 32 |
* | Sears Hometown and Outlet Stores Inc. | 8,672 | 32 |
* | Vince Holding Corp. | 18,048 | 32 |
198,044 | |||
Consumer Staples (2.4%) | |||
Snyder's-Lance Inc. | 66,224 | 2,621 | |
B&G Foods Inc. | 54,001 | 2,295 | |
Lancaster Colony Corp. | 15,471 | 2,039 | |
* | United Natural Foods Inc. | 40,165 | 1,729 |
Vector Group Ltd. | 75,009 | 1,709 | |
J&J Snack Foods Corp. | 12,375 | 1,656 | |
Sanderson Farms Inc. | 16,449 | 1,563 | |
Fresh Del Monte Produce Inc. | 25,952 | 1,502 | |
Dean Foods Co. | 75,300 | 1,373 | |
WD-40 Co. | 11,532 | 1,267 | |
Universal Corp. | 18,213 | 1,233 | |
Core-Mark Holding Co. Inc. | 37,529 | 1,220 | |
* | Boston Beer Co. Inc. Class A | 7,311 | 1,160 |
SpartanNash Co. | 29,754 | 1,038 | |
^ | Cal-Maine Foods Inc. | 25,341 | 962 |
Andersons Inc. | 22,059 | 872 | |
* | SUPERVALU Inc. | 217,253 | 821 |
Seaboard Corp. | 211 | 766 | |
Calavo Growers Inc. | 12,879 | 726 | |
* | Performance Food Group Co. | 30,587 | 722 |
Coca-Cola Bottling Co. Consolidated | 3,875 | 667 | |
National Beverage Corp. | 9,760 | 570 | |
^ | Tootsie Roll Industries Inc. | 14,399 | 564 |
Ingles Markets Inc. Class A | 11,388 | 534 |
5
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
AdvancePierre Foods Holdings Inc. | 18,097 | 524 | |
* | Diplomat Pharmacy Inc. | 37,298 | 505 |
* | USANA Health Sciences Inc. | 8,402 | 488 |
Weis Markets Inc. | 7,879 | 473 | |
^ | GNC Holdings Inc. Class A | 56,028 | 465 |
MGP Ingredients Inc. | 10,385 | 459 | |
Omega Protein Corp. | 17,956 | 457 | |
John B Sanfilippo & Son Inc. | 6,972 | 428 | |
Medifast Inc. | 8,496 | 381 | |
PetMed Express Inc. | 16,132 | 340 | |
* | Primo Water Corp. | 19,017 | 273 |
* | Smart & Final Stores Inc. | 19,438 | 271 |
*,^ | Amplify Snack Brands Inc. | 24,057 | 241 |
Nutraceutical International Corp. | 6,897 | 232 | |
* | Chefs' Warehouse Inc. | 15,978 | 224 |
^ | Orchids Paper Products Co. | 7,652 | 218 |
* | Farmer Brothers Co. | 6,647 | 217 |
* | Seneca Foods Corp. Class A | 5,315 | 200 |
*,^ | Freshpet Inc. | 18,488 | 187 |
Village Super Market Inc. Class A | 6,028 | 179 | |
Limoneira Co. | 9,693 | 178 | |
Natural Health Trends Corp. | 5,891 | 164 | |
* | Craft Brew Alliance Inc. | 10,372 | 152 |
* | Alliance One International Inc. | 7,241 | 104 |
* | Natural Grocers by Vitamin Cottage Inc. | 7,764 | 94 |
* | Synutra International Inc. | 16,101 | 93 |
* | Inventure Foods Inc. | 15,601 | 87 |
Nature's Sunshine Products Inc. | 6,869 | 78 | |
Alico Inc. | 2,757 | 71 | |
* | Turning Point Brands Inc. | 4,623 | 61 |
* | Lifevantage Corp. | 10,618 | 59 |
* | Lifeway Foods Inc. | 4,165 | 44 |
37,556 | |||
Energy (3.3%) | |||
* | RSP Permian Inc. | 79,832 | 3,153 |
* | PDC Energy Inc. | 45,447 | 3,072 |
* | Oasis Petroleum Inc. | 191,758 | 2,715 |
Western Refining Inc. | 66,340 | 2,423 | |
Golar LNG Ltd. | 77,809 | 2,125 | |
SemGroup Corp. Class A | 54,269 | 1,908 | |
* | Callon Petroleum Co. | 150,304 | 1,897 |
* | Matador Resources Co. | 71,255 | 1,715 |
* | NOW Inc. | 88,519 | 1,694 |
* | Carrizo Oil & Gas Inc. | 50,738 | 1,652 |
* | Oil States International Inc. | 41,386 | 1,523 |
* | McDermott International Inc. | 195,041 | 1,435 |
* | Synergy Resources Corp. | 153,152 | 1,251 |
Delek US Holdings Inc. | 50,606 | 1,218 | |
* | Unit Corp. | 42,047 | 1,141 |
* | Forum Energy Technologies Inc. | 48,254 | 1,047 |
* | Helix Energy Solutions Group Inc. | 114,098 | 942 |
* | SEACOR Holdings Inc. | 13,099 | 902 |
* | TerraForm Power Inc. Class A | 71,334 | 821 |
* | Exterran Corp. | 25,934 | 789 |
* | Denbury Resources Inc. | 290,660 | 788 |
Archrock Inc. | 57,098 | 779 | |
Green Plains Inc. | 30,216 | 757 | |
* | Fairmount Santrol Holdings Inc. | 74,382 | 705 |
* | Clayton Williams Energy Inc. | 4,936 | 668 |
* | Atwood Oceanics Inc. | 62,433 | 656 |
* | Sanchez Energy Corp. | 55,893 | 643 |
*,^ | Flotek Industries Inc. | 45,779 | 619 |
*,^ | Seadrill Ltd. | 310,962 | 544 |
* | Newpark Resources Inc. | 67,924 | 523 |
6
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | SunCoke Energy Inc. | 52,165 | 509 |
* | California Resources Corp. | 26,403 | 472 |
* | TETRA Technologies Inc. | 94,232 | 423 |
* | Ring Energy Inc. | 33,831 | 418 |
* | REX American Resources Corp. | 4,561 | 380 |
* | Par Pacific Holdings Inc. | 24,620 | 359 |
* | Matrix Service Co. | 21,681 | 351 |
* | Pioneer Energy Services Corp. | 61,480 | 323 |
TerraForm Global Inc. Class A | 73,866 | 321 | |
* | Tesco Corp. | 37,238 | 311 |
Alon USA Energy Inc. | 25,305 | 308 | |
^ | CVR Energy Inc. | 13,124 | 301 |
*,^ | Sunrun Inc. | 50,854 | 289 |
* | Renewable Energy Group Inc. | 32,212 | 287 |
* | Bill Barrett Corp. | 51,310 | 283 |
* | Abraxas Petroleum Corp. | 121,723 | 258 |
* | Natural Gas Services Group Inc. | 9,820 | 256 |
Panhandle Oil and Gas Inc. Class A | 12,929 | 255 | |
* | CARBO Ceramics Inc. | 18,714 | 240 |
* | Cobalt International Energy Inc. | 335,171 | 238 |
* | Era Group Inc. | 15,945 | 220 |
* | Westmoreland Coal Co. | 15,160 | 219 |
* | Clean Energy Fuels Corp. | 78,890 | 193 |
* | Trecora Resources | 15,761 | 190 |
* | Green Brick Partners Inc. | 19,889 | 188 |
* | RigNet Inc. | 10,562 | 186 |
* | Parker Drilling Co. | 97,205 | 185 |
* | Pacific Ethanol Inc. | 23,392 | 184 |
* | Geospace Technologies Corp. | 10,785 | 178 |
Evolution Petroleum Corp. | 19,752 | 173 | |
* | Smart Sand Inc. | 9,448 | 162 |
* | Independence Contract Drilling Inc. | 26,021 | 155 |
*,^ | EP Energy Corp. Class A | 32,014 | 151 |
*,^ | Jones Energy Inc. Class A | 47,110 | 151 |
* | Mammoth Energy Services Inc. | 6,294 | 135 |
* | Contango Oil & Gas Co. | 18,087 | 134 |
* | Dawson Geophysical Co. | 15,577 | 120 |
* | EnerNOC Inc. | 21,976 | 120 |
* | Hornbeck Offshore Services Inc. | 25,649 | 115 |
*,^ | Northern Oil and Gas Inc. | 36,085 | 108 |
* | Willbros Group Inc. | 33,389 | 100 |
* | Eclipse Resources Corp. | 45,243 | 98 |
* | TPI Composites Inc. | 5,483 | 96 |
* | Ameresco Inc. Class A | 17,012 | 86 |
* | W&T Offshore Inc. | 30,772 | 77 |
* | Isramco Inc. | 582 | 71 |
Adams Resources & Energy Inc. | 1,705 | 69 | |
*,^ | Vivint Solar Inc. | 18,542 | 64 |
* | EXCO Resources Inc. | 114,649 | 64 |
*,^ | TerraVia Holdings Inc. | 63,497 | 59 |
*,^ | FuelCell Energy Inc. | 35,459 | 55 |
*,^ | Erin Energy Corp. | 10,517 | 35 |
* | Earthstone Energy Inc. | 1,593 | 21 |
* | Global Geophysical Services Inc. | 127 | — |
50,849 | |||
Financial Services (28.2%) | |||
Webster Financial Corp. | 75,145 | 4,128 | |
New Residential Investment Corp. | 242,886 | 4,097 | |
Prosperity Bancshares Inc. | 54,474 | 4,060 | |
Bank of the Ozarks Inc. | 72,356 | 3,960 | |
PrivateBancorp Inc. | 63,986 | 3,622 | |
* | Texas Capital Bancshares Inc. | 40,380 | 3,600 |
Investors Bancorp Inc. | 242,876 | 3,553 | |
Hudson Pacific Properties Inc. | 93,550 | 3,422 |
7
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Umpqua Holdings Corp. | 180,283 | 3,391 |
Fair Isaac Corp. | 25,222 | 3,281 |
Radian Group Inc. | 175,248 | 3,261 |
Medical Properties Trust Inc. | 242,523 | 3,255 |
Hancock Holding Co. | 68,335 | 3,242 |
* Gramercy Property Trust | 114,508 | 3,202 |
DuPont Fabros Technology Inc. | 61,495 | 3,166 |
Primerica Inc. | 38,266 | 3,090 |
Wintrust Financial Corp. | 41,839 | 3,084 |
IBERIABANK Corp. | 36,154 | 3,064 |
CNO Financial Group Inc. | 146,100 | 3,055 |
* MGIC Investment Corp. | 280,706 | 2,990 |
Healthcare Realty Trust Inc. | 93,012 | 2,973 |
GEO Group Inc. | 60,491 | 2,880 |
UMB Financial Corp. | 36,520 | 2,879 |
Chemical Financial Corp. | 53,562 | 2,853 |
* Stifel Financial Corp. | 52,155 | 2,814 |
Home BancShares Inc. | 98,378 | 2,768 |
MB Financial Inc. | 61,403 | 2,764 |
Fulton Financial Corp. | 141,403 | 2,704 |
FNB Corp. | 170,635 | 2,657 |
Pinnacle Financial Partners Inc. | 38,131 | 2,646 |
Sunstone Hotel Investors Inc. | 176,948 | 2,610 |
Sterling Bancorp | 103,066 | 2,551 |
First Industrial Realty Trust Inc. | 94,744 | 2,549 |
United Bankshares Inc. | 56,767 | 2,540 |
Washington Federal Inc. | 74,807 | 2,532 |
Education Realty Trust Inc. | 59,868 | 2,523 |
Evercore Partners Inc. Class A | 31,688 | 2,521 |
LaSalle Hotel Properties | 86,867 | 2,510 |
Valley National Bancorp | 201,924 | 2,498 |
CoreSite Realty Corp. | 27,371 | 2,465 |
Cathay General Bancorp | 60,523 | 2,377 |
Cousins Properties Inc. | 275,253 | 2,353 |
Glacier Bancorp Inc. | 62,690 | 2,315 |
National Health Investors Inc. | 30,470 | 2,307 |
Ryman Hospitality Properties Inc. | 35,746 | 2,305 |
First Financial Bankshares Inc. | 51,751 | 2,277 |
RLJ Lodging Trust | 99,262 | 2,259 |
Hope Bancorp Inc. | 104,480 | 2,236 |
Physicians Realty Trust | 111,358 | 2,218 |
First Citizens BancShares Inc. Class A | 6,218 | 2,215 |
BancorpSouth Inc. | 71,310 | 2,211 |
Lexington Realty Trust | 189,909 | 2,119 |
Acadia Realty Trust | 66,083 | 2,117 |
Mack-Cali Realty Corp. | 72,609 | 2,117 |
* Essent Group Ltd. | 60,533 | 2,107 |
Community Bank System Inc. | 35,377 | 2,102 |
Great Western Bancorp Inc. | 48,588 | 2,077 |
Selective Insurance Group Inc. | 46,167 | 2,045 |
Urban Edge Properties | 72,892 | 2,021 |
BGC Partners Inc. Class A | 178,745 | 2,016 |
QTS Realty Trust Inc. Class A | 38,033 | 2,001 |
Old National Bancorp | 108,047 | 1,983 |
Washington REIT | 59,458 | 1,945 |
CVB Financial Corp. | 81,756 | 1,942 |
EastGroup Properties Inc. | 26,068 | 1,938 |
Retail Opportunity Investments Corp. | 87,765 | 1,931 |
South State Corp. | 21,487 | 1,923 |
Financial Engines Inc. | 43,275 | 1,917 |
American Equity Investment Life Holding Co. | 70,672 | 1,902 |
Columbia Banking System Inc. | 47,117 | 1,879 |
PS Business Parks Inc. | 16,047 | 1,865 |
RLI Corp. | 31,451 | 1,838 |
8
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Trustmark Corp. | 54,712 | 1,808 | |
DiamondRock Hospitality Co. | 164,949 | 1,793 | |
HRG Group Inc. | 96,256 | 1,769 | |
* | Enstar Group Ltd. | 9,123 | 1,768 |
Colony Starwood Homes | 53,446 | 1,758 | |
STAG Industrial Inc. | 67,190 | 1,736 | |
FirstCash Inc. | 39,082 | 1,733 | |
Alexander & Baldwin Inc. | 38,401 | 1,722 | |
Hilltop Holdings Inc. | 60,610 | 1,720 | |
* | Genworth Financial Inc. Class A | 415,264 | 1,698 |
Pebblebrook Hotel Trust | 58,794 | 1,690 | |
International Bancshares Corp. | 44,100 | 1,678 | |
United Community Banks Inc. | 57,552 | 1,663 | |
* | Blackhawk Network Holdings Inc. | 45,089 | 1,643 |
First Midwest Bancorp Inc. | 66,554 | 1,626 | |
* | Cardtronics plc Class A | 36,387 | 1,604 |
EverBank Financial Corp. | 82,252 | 1,599 | |
ServisFirst Bancshares Inc. | 37,795 | 1,571 | |
* | Eagle Bancorp Inc. | 25,115 | 1,563 |
Argo Group International Holdings Ltd. | 23,305 | 1,560 | |
*,^ | BofI Holding Inc. | 49,261 | 1,554 |
LegacyTexas Financial Group Inc. | 36,438 | 1,552 | |
Capitol Federal Financial Inc. | 102,783 | 1,551 | |
Kite Realty Group Trust | 67,077 | 1,519 | |
* | PRA Group Inc. | 37,212 | 1,518 |
Xenia Hotels & Resorts Inc. | 85,045 | 1,494 | |
Potlatch Corp. | 33,499 | 1,482 | |
LTC Properties Inc. | 30,676 | 1,480 | |
Janus Capital Group Inc. | 116,737 | 1,478 | |
Towne Bank/Portsmouth VA | 45,084 | 1,467 | |
Kennedy-Wilson Holdings Inc. | 66,287 | 1,462 | |
* | LendingClub Corp. | 271,796 | 1,451 |
Renasant Corp. | 35,313 | 1,449 | |
Sabra Health Care REIT Inc. | 53,192 | 1,447 | |
Northwest Bancshares Inc. | 79,190 | 1,437 | |
Banner Corp. | 24,623 | 1,431 | |
American Assets Trust Inc. | 32,456 | 1,428 | |
Monogram Residential Trust Inc. | 138,653 | 1,427 | |
Invesco Mortgage Capital Inc. | 91,372 | 1,421 | |
NBT Bancorp Inc. | 34,992 | 1,413 | |
Astoria Financial Corp. | 75,582 | 1,398 | |
CBL & Associates Properties Inc. | 138,910 | 1,393 | |
Simmons First National Corp. Class A | 24,059 | 1,383 | |
Horace Mann Educators Corp. | 32,775 | 1,373 | |
First Financial Bancorp | 49,398 | 1,371 | |
Select Income REIT | 52,630 | 1,368 | |
Global Net Lease Inc. | 166,674 | 1,367 | |
Kemper Corp. | 32,031 | 1,360 | |
Ameris Bancorp | 28,121 | 1,358 | |
Independent Bank Corp. | 20,876 | 1,357 | |
Yadkin Financial Corp. | 40,144 | 1,347 | |
Provident Financial Services Inc. | 50,626 | 1,344 | |
First Merchants Corp. | 33,369 | 1,339 | |
WesBanco Inc. | 32,939 | 1,329 | |
Washington Prime Group Inc. | 139,768 | 1,296 | |
Union Bankshares Corp. | 34,817 | 1,262 | |
Rexford Industrial Realty Inc. | 53,922 | 1,239 | |
Waddell & Reed Financial Inc. Class A | 63,534 | 1,222 | |
Apollo Commercial Real Estate Finance Inc. | 65,814 | 1,210 | |
Chesapeake Lodging Trust | 49,645 | 1,199 | |
BNC Bancorp | 33,358 | 1,199 | |
* | FCB Financial Holdings Inc. Class A | 24,509 | 1,191 |
Government Properties Income Trust | 57,056 | 1,176 | |
Park National Corp. | 10,884 | 1,169 |
9
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Westamerica Bancorporation | 19,848 | 1,148 |
* MBIA Inc. | 109,475 | 1,130 |
Boston Private Financial Holdings Inc. | 64,960 | 1,117 |
Summit Hotel Properties Inc. | 72,059 | 1,109 |
Four Corners Property Trust Inc. | 49,857 | 1,106 |
Kearny Financial Corp. | 71,837 | 1,103 |
Tompkins Financial Corp. | 12,021 | 1,079 |
Franklin Street Properties Corp. | 85,968 | 1,065 |
WSFS Financial Corp. | 23,100 | 1,053 |
Redwood Trust Inc. | 63,921 | 1,046 |
Terreno Realty Corp. | 37,065 | 1,027 |
* Green Dot Corp. Class A | 34,959 | 1,025 |
Navigators Group Inc. | 18,544 | 1,021 |
First Commonwealth Financial Corp. | 73,065 | 1,018 |
Ramco-Gershenson Properties Trust | 64,944 | 1,017 |
AMERISAFE Inc. | 15,751 | 1,013 |
Agree Realty Corp. | 20,309 | 1,008 |
CYS Investments Inc. | 124,965 | 1,002 |
S&T Bancorp Inc. | 28,112 | 1,001 |
CenterState Banks Inc. | 40,389 | 998 |
Employers Holdings Inc. | 26,220 | 986 |
National General Holdings Corp. | 39,991 | 973 |
PennyMac Mortgage Investment Trust | 56,997 | 961 |
Heartland Financial USA Inc. | 19,361 | 959 |
Berkshire Hills Bancorp Inc. | 26,686 | 943 |
Beneficial Bancorp Inc. | 57,633 | 939 |
* Walker & Dunlop Inc. | 22,788 | 926 |
* Pacific Premier Bancorp Inc. | 22,501 | 900 |
Pennsylvania REIT | 54,402 | 898 |
Brookline Bancorp Inc. | 56,581 | 897 |
EVERTEC Inc. | 52,428 | 883 |
Lakeland Financial Corp. | 19,272 | 875 |
HFF Inc. Class A | 29,478 | 874 |
Maiden Holdings Ltd. | 56,282 | 870 |
Hanmi Financial Corp. | 25,910 | 865 |
WisdomTree Investments Inc. | 93,954 | 856 |
Stewart Information Services Corp. | 19,005 | 844 |
Piper Jaffray Cos. | 11,845 | 838 |
National Storage Affiliates Trust | 34,520 | 836 |
Sandy Spring Bancorp Inc. | 19,404 | 836 |
Infinity Property & Casualty Corp. | 8,842 | 833 |
CareTrust REIT Inc. | 52,732 | 832 |
Safety Insurance Group Inc. | 11,719 | 832 |
Capital Bank Financial Corp. | 20,354 | 830 |
Capstead Mortgage Corp. | 78,380 | 829 |
RE/MAX Holdings Inc. Class A | 14,122 | 812 |
Cardinal Financial Corp. | 25,966 | 811 |
FelCor Lodging Trust Inc. | 111,620 | 809 |
Monmouth Real Estate Investment Corp. | 54,882 | 801 |
First Busey Corp. | 25,762 | 797 |
* Ambac Financial Group Inc. | 35,838 | 792 |
Central Pacific Financial Corp. | 24,994 | 789 |
Banc of California Inc. | 40,390 | 786 |
Alexander's Inc. | 1,783 | 779 |
* Customers Bancorp Inc. | 22,699 | 779 |
Meridian Bancorp Inc. | 40,263 | 767 |
Stock Yards Bancorp Inc. | 17,297 | 765 |
United Fire Group Inc. | 18,076 | 763 |
City Holding Co. | 11,615 | 761 |
Southside Bancshares Inc. | 21,537 | 759 |
State Bank Financial Corp. | 27,803 | 754 |
* Parkway Inc. | 35,489 | 745 |
Nelnet Inc. Class A | 16,511 | 740 |
^ Seritage Growth Properties Class A | 15,829 | 736 |
10
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
United Financial Bancorp Inc. | 41,011 | 732 |
Universal Insurance Holdings Inc. | 27,009 | 728 |
Hannon Armstrong Sustainable Infrastructure Capital Inc. | 36,743 | 727 |
Moelis & Co. Class A | 19,657 | 723 |
Tier REIT Inc. | 39,004 | 705 |
Banco Latinoamericano de Comercio Exterior SA | 24,856 | 699 |
* St. Joe Co. | 42,177 | 698 |
* FNFV Group | 55,260 | 688 |
Greenhill & Co. Inc. | 23,265 | 687 |
Enterprise Financial Services Corp. | 15,628 | 687 |
First Interstate BancSystem Inc. Class A | 15,632 | 685 |
* iStar Inc. | 56,836 | 684 |
* Third Point Reinsurance Ltd. | 54,839 | 680 |
Lakeland Bancorp Inc. | 34,333 | 676 |
ARMOUR Residential REIT Inc. | 30,059 | 676 |
Hersha Hospitality Trust Class A | 33,889 | 661 |
Washington Trust Bancorp Inc. | 12,118 | 657 |
Universal Health Realty Income Trust | 10,204 | 655 |
Investors Real Estate Trust | 100,706 | 655 |
MainSource Financial Group Inc. | 19,093 | 654 |
National Bank Holdings Corp. Class A | 19,788 | 653 |
* Encore Capital Group Inc. | 19,475 | 649 |
Cohen & Steers Inc. | 17,129 | 644 |
New Senior Investment Group Inc. | 59,178 | 627 |
Northfield Bancorp Inc. | 33,420 | 627 |
* First BanCorp | 98,132 | 626 |
MTGE Investment Corp. | 37,756 | 625 |
BancFirst Corp. | 6,521 | 622 |
ConnectOne Bancorp Inc. | 24,769 | 622 |
* LendingTree Inc. | 5,209 | 617 |
OceanFirst Financial Corp. | 21,100 | 616 |
Flushing Financial Corp. | 22,037 | 616 |
Silver Bay Realty Trust Corp. | 28,377 | 611 |
1st Source Corp. | 12,894 | 602 |
Heritage Financial Corp. | 24,042 | 601 |
TrustCo Bank Corp. NY | 71,932 | 601 |
TriCo Bancshares | 16,512 | 600 |
Chatham Lodging Trust | 29,522 | 591 |
Cass Information Systems Inc. | 8,987 | 586 |
* HomeStreet Inc. | 21,447 | 586 |
Meta Financial Group Inc. | 6,776 | 580 |
National Western Life Group Inc. Class A | 1,822 | 579 |
Altisource Residential Corp. | 43,014 | 577 |
Independent Bank Group Inc. | 9,086 | 575 |
Community Trust Bancorp Inc. | 12,470 | 572 |
New York Mortgage Trust Inc. | 90,026 | 570 |
* Seacoast Banking Corp. of Florida | 24,501 | 569 |
Getty Realty Corp. | 21,507 | 568 |
Preferred Bank | 10,045 | 564 |
Univest Corp. of Pennsylvania | 20,237 | 564 |
NorthStar Realty Europe Corp. | 46,066 | 559 |
Investment Technology Group Inc. | 27,741 | 555 |
Dime Community Bancshares Inc. | 25,602 | 550 |
InfraREIT Inc. | 33,041 | 550 |
German American Bancorp Inc. | 11,561 | 549 |
PJT Partners Inc. | 14,808 | 548 |
FBL Financial Group Inc. Class A | 7,981 | 546 |
Urstadt Biddle Properties Inc. Class A | 24,231 | 540 |
Oritani Financial Corp. | 31,316 | 539 |
Bryn Mawr Bank Corp. | 13,057 | 536 |
* Greenlight Capital Re Ltd. Class A | 23,893 | 533 |
Camden National Corp. | 12,542 | 533 |
* CU Bancorp | 13,548 | 532 |
Bridge Bancorp Inc. | 14,899 | 531 |
11
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Easterly Government Properties Inc. | 25,684 | 531 | |
CoBiz Financial Inc. | 30,760 | 524 | |
Ladder Capital Corp. Class A | 36,195 | 522 | |
Park Sterling Corp. | 42,623 | 506 | |
Diamond Hill Investment Group Inc. | 2,513 | 504 | |
Saul Centers Inc. | 7,854 | 503 | |
James River Group Holdings Ltd. | 11,633 | 500 | |
OM Asset Management plc | 33,198 | 495 | |
First of Long Island Corp. | 17,586 | 484 | |
* | Flagstar Bancorp Inc. | 16,998 | 483 |
First Potomac Realty Trust | 48,216 | 482 | |
First Bancorp | 16,003 | 481 | |
* | Nationstar Mortgage Holdings Inc. | 26,180 | 475 |
Stonegate Bank | 10,200 | 473 | |
* | INTL. FCStone Inc. | 12,525 | 473 |
Virtus Investment Partners Inc. | 4,274 | 469 | |
* | KCG Holdings Inc. Class A | 33,621 | 466 |
* | NMI Holdings Inc. Class A | 40,922 | 454 |
OFG Bancorp | 35,038 | 452 | |
Great Southern Bancorp Inc. | 8,992 | 450 | |
Anworth Mortgage Asset Corp. | 82,584 | 449 | |
Independence Realty Trust Inc. | 48,577 | 446 | |
Peoples Bancorp Inc. | 13,498 | 439 | |
Mercantile Bank Corp. | 12,874 | 431 | |
Pacific Continental Corp. | 16,970 | 427 | |
Horizon Bancorp | 16,444 | 427 | |
Armada Hoffler Properties Inc. | 30,267 | 422 | |
Gladstone Commercial Corp. | 20,276 | 422 | |
Federal Agricultural Mortgage Corp. | 7,296 | 420 | |
QCR Holdings Inc. | 9,631 | 418 | |
Ashford Hospitality Trust Inc. | 63,374 | 416 | |
AG Mortgage Investment Trust Inc. | 23,297 | 416 | |
* | TriState Capital Holdings Inc. | 17,643 | 415 |
Fidelity Southern Corp. | 17,417 | 411 | |
Suffolk Bancorp | 9,635 | 410 | |
Financial Institutions Inc. | 11,753 | 402 | |
Southwest Bancorp Inc. | 15,039 | 401 | |
Peapack Gladstone Financial Corp. | 12,772 | 400 | |
Cedar Realty Trust Inc. | 67,712 | 397 | |
Bar Harbor Bankshares | 9,075 | 387 | |
Waterstone Financial Inc. | 20,758 | 385 | |
First Financial Corp. | 8,246 | 383 | |
* | Franklin Financial Network Inc. | 9,489 | 374 |
Live Oak Bancshares Inc. | 15,994 | 367 | |
* | Forestar Group Inc. | 27,554 | 366 |
Blue Hills Bancorp Inc. | 19,956 | 366 | |
* | EZCORP Inc. Class A | 41,541 | 366 |
* | Ocwen Financial Corp. | 81,817 | 361 |
Virtu Financial Inc. Class A | 20,767 | 360 | |
HCI Group Inc. | 7,197 | 355 | |
CatchMark Timber Trust Inc. Class A | 32,581 | 352 | |
First Defiance Financial Corp. | 7,157 | 352 | |
Independent Bank Corp. | 16,421 | 351 | |
Western Asset Mortgage Capital Corp. | 33,777 | 351 | |
* | First Foundation Inc. | 21,390 | 351 |
NexPoint Residential Trust Inc. | 14,633 | 349 | |
Guaranty Bancorp | 14,097 | 349 | |
*,^ | Citizens Inc. Class A | 38,118 | 348 |
State National Cos. Inc. | 24,765 | 346 | |
Westwood Holdings Group Inc. | 6,078 | 346 | |
CorEnergy Infrastructure Trust Inc. | 9,667 | 345 | |
First Community Bancshares Inc. | 12,728 | 344 | |
Bank of Marin Bancorp | 4,961 | 340 | |
* | Triumph Bancorp Inc. | 12,607 | 339 |
12
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Marcus & Millichap Inc. | 12,327 | 337 |
State Auto Financial Corp. | 12,549 | 337 | |
United Community Financial Corp. | 39,076 | 336 | |
* | Allegiance Bancshares Inc. | 9,102 | 336 |
* | Republic First Bancorp Inc. | 41,742 | 334 |
* | Bank of NT Butterfield & Son Ltd. | 10,092 | 329 |
Whitestone REIT | 22,928 | 325 | |
Arrow Financial Corp. | 9,210 | 321 | |
Houlihan Lokey Inc. Class A | 10,201 | 321 | |
* | HomeTrust Bancshares Inc. | 13,380 | 321 |
Bank Mutual Corp. | 33,035 | 320 | |
UMH Properties Inc. | 21,568 | 320 | |
Heritage Insurance Holdings Inc. | 21,475 | 317 | |
* | Enova International Inc. | 22,044 | 316 |
* | MoneyGram International Inc. | 24,738 | 316 |
Carolina Financial Corp. | 10,234 | 307 | |
*,^ | Wins Finance Holdings Inc. | 1,084 | 303 |
RMR Group Inc. Class A | 5,755 | 302 | |
Heritage Commerce Corp. | 21,220 | 301 | |
* | Nicolet Bankshares Inc. | 6,173 | 301 |
Opus Bank | 13,917 | 301 | |
* | Cowen Group Inc. Class A | 20,550 | 294 |
Ares Commercial Real Estate Corp. | 21,735 | 294 | |
City Office REIT Inc. | 22,427 | 292 | |
West Bancorporation Inc. | 12,981 | 288 | |
* | Green Bancorp Inc. | 16,753 | 286 |
Clifton Bancorp Inc. | 17,729 | 285 | |
People's Utah Bancorp | 10,643 | 283 | |
Arlington Asset Investment Corp. Class A | 19,144 | 282 | |
Preferred Apartment Communities Inc. Class A | 20,624 | 282 | |
Farmers National Banc Corp. | 20,399 | 282 | |
Sierra Bancorp | 9,774 | 280 | |
First Connecticut Bancorp Inc. | 11,483 | 277 | |
CNB Financial Corp. | 11,476 | 276 | |
Heritage Oaks Bancorp | 19,986 | 275 | |
Republic Bancorp Inc. Class A | 7,931 | 274 | |
* | Veritex Holdings Inc. | 9,562 | 274 |
* | Global Indemnity Ltd. | 6,884 | 273 |
One Liberty Properties Inc. | 11,117 | 273 | |
OneBeacon Insurance Group Ltd. Class A | 16,515 | 270 | |
Old Second Bancorp Inc. | 24,393 | 267 | |
* | World Acceptance Corp. | 5,001 | 262 |
* | Tejon Ranch Co. | 11,362 | 262 |
* | National Commerce Corp. | 6,916 | 259 |
^ | Fidelity & Guaranty Life | 9,612 | 256 |
* | Atlantic Capital Bancshares Inc. | 14,184 | 255 |
Community Healthcare Trust Inc. | 10,724 | 255 | |
Enterprise Bancorp Inc. | 7,673 | 254 | |
Dynex Capital Inc. | 36,663 | 252 | |
RAIT Financial Trust | 73,934 | 248 | |
^ | Orchid Island Capital Inc. | 25,068 | 246 |
Farmland Partners Inc. | 21,514 | 246 | |
Ashford Hospitality Prime Inc. | 18,773 | 245 | |
MidWestOne Financial Group Inc. | 6,707 | 245 | |
American National Bankshares Inc. | 6,686 | 244 | |
* | PICO Holdings Inc. | 17,820 | 244 |
GAIN Capital Holdings Inc. | 30,823 | 242 | |
United Insurance Holdings Corp. | 14,169 | 240 | |
Merchants Bancshares Inc. | 4,598 | 237 | |
Farmers Capital Bank Corp. | 6,076 | 236 | |
* | HarborOne Bancorp Inc. | 11,827 | 233 |
Peoples Financial Services Corp. | 5,565 | 231 | |
Ames National Corp. | 7,173 | 231 | |
Sun Bancorp Inc. | 8,770 | 227 |
13
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
First Bancorp Inc. | 8,346 | 226 | |
Charter Financial Corp. | 11,573 | 226 | |
Bluerock Residential Growth REIT Inc. Class A | 18,035 | 225 | |
* | Altisource Portfolio Solutions SA | 9,337 | 224 |
Citizens & Northern Corp. | 9,496 | 223 | |
* | WMIH Corp. | 164,805 | 222 |
Macatawa Bank Corp. | 21,903 | 222 | |
* | Cascade Bancorp | 26,085 | 215 |
National Bankshares Inc. | 5,658 | 214 | |
* | Safeguard Scientifics Inc. | 16,706 | 211 |
* | Bancorp Inc. | 40,511 | 210 |
Resource Capital Corp. | 24,782 | 208 | |
* | On Deck Capital Inc. | 38,947 | 208 |
First Mid-Illinois Bancshares Inc. | 6,263 | 207 | |
Federated National Holding Co. | 10,301 | 206 | |
Western New England Bancorp Inc. | 20,231 | 203 | |
Territorial Bancorp Inc. | 6,310 | 203 | |
Hingham Institution for Savings | 1,082 | 203 | |
Old Line Bancshares Inc. | 6,959 | 195 | |
WashingtonFirst Bankshares Inc. | 7,067 | 194 | |
* | PennyMac Financial Services Inc. Class A | 10,788 | 193 |
* | FRP Holdings Inc. | 5,042 | 190 |
Consolidated-Tomoka Land Co. | 3,427 | 189 | |
BankFinancial Corp. | 12,542 | 187 | |
^ | Access National Corp. | 6,750 | 186 |
Capital City Bank Group Inc. | 9,076 | 185 | |
* | Equity Bancshares Inc. Class A | 5,697 | 185 |
EMC Insurance Group Inc. | 6,605 | 184 | |
*,^ | Trupanion Inc. | 11,724 | 182 |
Shore Bancshares Inc. | 10,482 | 182 | |
MedEquities Realty Trust Inc. | 16,520 | 180 | |
* | BSB Bancorp Inc. | 6,471 | 180 |
* | Ladenburg Thalmann Financial Services Inc. | 80,781 | 179 |
* | NewStar Financial Inc. | 18,005 | 179 |
* | Regional Management Corp. | 8,506 | 179 |
Penns Woods Bancorp Inc. | 3,730 | 177 | |
Baldwin & Lyons Inc. | 7,423 | 177 | |
Codorus Valley Bancorp Inc. | 6,787 | 177 | |
First Business Financial Services Inc. | 6,998 | 176 | |
* | FB Financial Corp. | 5,518 | 175 |
Home Bancorp Inc. | 4,815 | 173 | |
Southern Missouri Bancorp Inc. | 4,873 | 171 | |
* | eHealth Inc. | 15,386 | 169 |
* | Xenith Bankshares Inc. | 6,310 | 168 |
* | AV Homes Inc. | 10,155 | 168 |
Summit Financial Group Inc. | 6,936 | 166 | |
Investors Title Co. | 1,199 | 165 | |
* | Southern First Bancshares Inc. | 4,901 | 164 |
Northrim BanCorp Inc. | 5,630 | 164 | |
LCNB Corp. | 7,415 | 162 | |
Southern National Bancorp of Virginia Inc. | 9,439 | 160 | |
Great Ajax Corp. | 12,170 | 160 | |
Kinsale Capital Group Inc. | 5,401 | 159 | |
MBT Financial Corp. | 14,864 | 158 | |
Bankwell Financial Group Inc. | 4,795 | 158 | |
Century Bancorp Inc. Class A | 2,467 | 156 | |
* | Stratus Properties Inc. | 5,213 | 156 |
Central Valley Community Bancorp | 7,480 | 154 | |
* | Trinity Place Holdings Inc. | 17,774 | 152 |
First Internet Bancorp | 4,808 | 148 | |
* | First Community Financial Partners Inc. | 11,128 | 147 |
* | Planet Payment Inc. | 35,689 | 146 |
ACNB Corp. | 5,024 | 146 | |
Premier Financial Bancorp Inc. | 7,880 | 145 |
14
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Bear State Financial Inc. | 14,963 | 142 | |
MutualFirst Financial Inc. | 4,422 | 140 | |
Associated Capital Group Inc. Class A | 3,750 | 140 | |
SI Financial Group Inc. | 9,395 | 138 | |
^ | Union Bankshares Inc. | 3,242 | 134 |
Owens Realty Mortgage Inc. | 8,031 | 134 | |
Middleburg Financial Corp. | 3,751 | 134 | |
Orrstown Financial Services Inc. | 6,031 | 132 | |
C&F Financial Corp. | 2,727 | 130 | |
Oppenheimer Holdings Inc. Class A | 7,731 | 128 | |
* | Hallmark Financial Services Inc. | 11,576 | 128 |
County Bancorp Inc. | 4,644 | 125 | |
First Financial Northwest Inc. | 6,124 | 125 | |
* | First Northwest Bancorp | 7,972 | 123 |
B. Riley Financial Inc. | 7,939 | 122 | |
GAMCO Investors Inc. Class A | 4,055 | 121 | |
* | Atlas Financial Holdings Inc. | 8,839 | 119 |
Donegal Group Inc. Class A | 7,138 | 119 | |
Tiptree Inc. | 18,493 | 117 | |
* | Impac Mortgage Holdings Inc. | 8,193 | 114 |
Pzena Investment Management Inc. Class A | 11,321 | 114 | |
Global Medical REIT Inc. | 13,514 | 114 | |
ESSA Bancorp Inc. | 7,034 | 111 | |
Crawford & Co. Class B | 10,125 | 110 | |
Provident Financial Holdings Inc. | 5,611 | 105 | |
Blue Capital Reinsurance Holdings Ltd. | 5,178 | 102 | |
Independence Holding Co. | 5,545 | 101 | |
* | Real Industry Inc. | 19,717 | 101 |
Midland States Bancorp Inc. | 2,813 | 99 | |
Chemung Financial Corp. | 2,653 | 96 | |
* | Pacific Mercantile Bancorp | 11,828 | 87 |
FBR & Co. | 4,454 | 81 | |
* | Provident Bancorp Inc. | 3,772 | 74 |
CPI Card Group Inc. | 16,241 | 73 | |
Silvercrest Asset Management Group Inc. Class A | 5,421 | 72 | |
Manning & Napier Inc. | 11,559 | 72 | |
* | UCP Inc. | 6,263 | 68 |
Hennessy Advisors Inc. | 2,213 | 59 | |
*,^ | First NBC Bank Holding Co. | 12,153 | 54 |
* | Capstar Financial Holdings Inc. | 2,576 | 51 |
^ | Greene County Bancorp Inc. | 2,297 | 51 |
* | Walter Investment Management Corp. | 14,408 | 49 |
Medley Management Inc. Class A | 4,833 | 45 | |
* | Paragon Commercial Corp. | 687 | 34 |
California First National Bancorp | 2,076 | 33 | |
Fifth Street Asset Management Inc. | 4,583 | 24 | |
Griffin Industrial Realty Inc. | 546 | 17 | |
Value Line Inc. | 938 | 17 | |
441,243 | |||
Health Care (12.8%) | |||
* | TESARO Inc. | 23,250 | 4,380 |
* | Exelixis Inc. | 184,949 | 3,982 |
HealthSouth Corp. | 72,384 | 3,063 | |
* | NuVasive Inc. | 40,486 | 3,027 |
* | Masimo Corp. | 33,233 | 3,003 |
* | Bluebird Bio Inc. | 32,965 | 2,889 |
* | Medicines Co. | 54,699 | 2,867 |
* | PAREXEL International Corp. | 42,823 | 2,770 |
* | Ultragenyx Pharmaceutical Inc. | 31,039 | 2,641 |
* | Medidata Solutions Inc. | 44,695 | 2,499 |
* | Prestige Brands Holdings Inc. | 43,358 | 2,455 |
Cantel Medical Corp. | 29,218 | 2,399 | |
* | Catalent Inc. | 82,092 | 2,356 |
Chemed Corp. | 13,187 | 2,355 |
15
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Wright Medical Group NV | 83,701 | 2,334 |
* | Kite Pharma Inc. | 32,315 | 2,287 |
* | Horizon Pharma plc | 132,788 | 2,131 |
* | Integra LifeSciences Holdings Corp. | 49,078 | 2,098 |
* | Insulet Corp. | 46,641 | 2,032 |
* | Neogen Corp. | 29,592 | 1,919 |
* | Nevro Corp. | 19,809 | 1,901 |
* | Exact Sciences Corp. | 87,132 | 1,875 |
Owens & Minor Inc. | 50,818 | 1,834 | |
* | ICU Medical Inc. | 12,131 | 1,825 |
* | Clovis Oncology Inc. | 30,252 | 1,749 |
*,^ | Ironwood Pharmaceuticals Inc. Class A | 102,601 | 1,733 |
* | Molina Healthcare Inc. | 35,569 | 1,725 |
* | Sage Therapeutics Inc. | 24,925 | 1,680 |
*,^ | Prothena Corp. plc | 27,647 | 1,622 |
* | Zeltiq Aesthetics Inc. | 29,210 | 1,617 |
* | Penumbra Inc. | 20,953 | 1,609 |
* | Globus Medical Inc. | 57,838 | 1,608 |
* | AMN Healthcare Services Inc. | 38,927 | 1,602 |
* | Array BioPharma Inc. | 137,911 | 1,586 |
* | Ligand Pharmaceuticals Inc. | 15,139 | 1,584 |
* | Haemonetics Corp. | 42,176 | 1,574 |
* | WebMD Health Corp. | 30,160 | 1,565 |
* | HealthEquity Inc. | 35,442 | 1,549 |
* | Nektar Therapeutics Class A | 117,637 | 1,539 |
* | NxStage Medical Inc. | 52,420 | 1,497 |
* | INC Research Holdings Inc. Class A | 34,048 | 1,486 |
* | Cambrex Corp. | 26,298 | 1,482 |
* | Halyard Health Inc. | 37,854 | 1,479 |
* | Portola Pharmaceuticals Inc. | 39,536 | 1,371 |
* | Pacira Pharmaceuticals Inc. | 30,143 | 1,317 |
* | Magellan Health Inc. | 18,808 | 1,301 |
* | HMS Holdings Corp. | 69,354 | 1,292 |
* | Sarepta Therapeutics Inc. | 41,383 | 1,287 |
* | Select Medical Holdings Corp. | 87,800 | 1,264 |
* | Cynosure Inc. Class A | 19,095 | 1,260 |
* | Surgical Care Affiliates Inc. | 22,162 | 1,257 |
* | PRA Health Sciences Inc. | 20,029 | 1,182 |
* | Halozyme Therapeutics Inc. | 90,752 | 1,163 |
* | Aerie Pharmaceuticals Inc. | 23,707 | 1,123 |
* | Amedisys Inc. | 23,041 | 1,111 |
* | Radius Health Inc. | 26,228 | 1,105 |
* | Myriad Genetics Inc. | 56,203 | 1,092 |
* | Omnicell Inc. | 28,586 | 1,087 |
* | FibroGen Inc. | 43,247 | 1,081 |
* | Merit Medical Systems Inc. | 34,581 | 1,065 |
* | Air Methods Corp. | 27,833 | 1,053 |
* | Theravance Biopharma Inc. | 32,959 | 1,009 |
* | Spark Therapeutics Inc. | 15,641 | 998 |
* | Natus Medical Inc. | 26,609 | 985 |
* | Supernus Pharmaceuticals Inc. | 38,321 | 985 |
* | Five Prime Therapeutics Inc. | 21,163 | 971 |
* | Synergy Pharmaceuticals Inc. | 167,609 | 970 |
* | Spectranetics Corp. | 33,826 | 941 |
* | Acorda Therapeutics Inc. | 35,116 | 929 |
* | Inogen Inc. | 13,513 | 927 |
CONMED Corp. | 22,175 | 923 | |
* | Integer Holdings Corp. | 25,022 | 905 |
* | Repligen Corp. | 28,303 | 892 |
* | Community Health Systems Inc. | 90,349 | 881 |
* | Alder Biopharmaceuticals Inc. | 38,260 | 874 |
Abaxis Inc. | 17,485 | 872 | |
* | Emergent BioSolutions Inc. | 27,232 | 855 |
Analogic Corp. | 10,253 | 844 |
16
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Puma Biotechnology Inc. | 22,827 | 838 |
* | Impax Laboratories Inc. | 58,511 | 834 |
* | Depomed Inc. | 50,482 | 827 |
* | Momenta Pharmaceuticals Inc. | 53,389 | 825 |
*,^ | TherapeuticsMD Inc. | 122,898 | 772 |
* | Amicus Therapeutics Inc. | 116,399 | 755 |
* | Tivity Health Inc. | 26,074 | 754 |
* | Cardiovascular Systems Inc. | 26,520 | 753 |
US Physical Therapy Inc. | 9,942 | 752 | |
* | Insmed Inc. | 46,969 | 748 |
Ensign Group Inc. | 39,570 | 746 | |
* | Xencor Inc. | 29,345 | 729 |
*,^ | Innoviva Inc. | 63,017 | 728 |
*,^ | MiMedx Group Inc. | 83,253 | 713 |
* | Blueprint Medicines Corp. | 20,239 | 712 |
National HealthCare Corp. | 9,133 | 682 | |
* | Dermira Inc. | 20,044 | 675 |
* | Coherus Biosciences Inc. | 28,093 | 663 |
* | Progenics Pharmaceuticals Inc. | 57,330 | 644 |
* | AMAG Pharmaceuticals Inc. | 28,485 | 640 |
*,^ | ZIOPHARM Oncology Inc. | 99,631 | 633 |
* | Retrophin Inc. | 29,440 | 626 |
* | Luminex Corp. | 33,352 | 620 |
* | Glaukos Corp. | 13,607 | 619 |
* | Quality Systems Inc. | 40,362 | 616 |
* | PharMerica Corp. | 24,839 | 611 |
* | Loxo Oncology Inc. | 13,437 | 597 |
* | Acceleron Pharma Inc. | 22,277 | 595 |
Kindred Healthcare Inc. | 65,236 | 587 | |
* | LHC Group Inc. | 12,205 | 586 |
* | BioTelemetry Inc. | 22,494 | 572 |
* | Versartis Inc. | 26,151 | 571 |
* | MacroGenics Inc. | 26,785 | 566 |
* | Eagle Pharmaceuticals Inc. | 7,284 | 559 |
* | Corcept Therapeutics Inc. | 61,389 | 552 |
*,^ | Lexicon Pharmaceuticals Inc. | 34,242 | 550 |
* | Anika Therapeutics Inc. | 11,678 | 546 |
* | Orthofix International NV | 14,302 | 511 |
Atrion Corp. | 1,045 | 510 | |
*,^ | Heron Therapeutics Inc. | 35,256 | 504 |
*,^ | Lannett Co. Inc. | 22,692 | 499 |
* | OraSure Technologies Inc. | 44,010 | 493 |
*,^ | Accelerate Diagnostics Inc. | 18,917 | 482 |
* | Genomic Health Inc. | 15,861 | 479 |
* | AtriCure Inc. | 25,679 | 469 |
* | Epizyme Inc. | 32,614 | 463 |
* | Heska Corp. | 4,986 | 462 |
* | Quidel Corp. | 21,929 | 461 |
* | Almost Family Inc. | 9,233 | 458 |
* | Endologix Inc. | 67,617 | 447 |
* | Amphastar Pharmaceuticals Inc. | 28,877 | 447 |
Meridian Bioscience Inc. | 34,680 | 446 | |
* | Teladoc Inc. | 19,992 | 441 |
* | Flexion Therapeutics Inc. | 21,801 | 437 |
* | K2M Group Holdings Inc. | 21,657 | 434 |
* | Aimmune Therapeutics Inc. | 21,397 | 434 |
* | Providence Service Corp. | 10,648 | 433 |
Phibro Animal Health Corp. Class A | 15,378 | 428 | |
* | Vanda Pharmaceuticals Inc. | 29,808 | 425 |
* | CryoLife Inc. | 26,035 | 417 |
* | SciClone Pharmaceuticals Inc. | 41,293 | 409 |
* | GenMark Diagnostics Inc. | 36,010 | 408 |
Landauer Inc. | 7,725 | 404 | |
* | Cross Country Healthcare Inc. | 26,085 | 404 |
17
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Spectrum Pharmaceuticals Inc. | 62,793 | 402 |
*,^ | Omeros Corp. | 32,932 | 401 |
*,^ | Immunomedics Inc. | 78,685 | 393 |
* | Inovio Pharmaceuticals Inc. | 54,350 | 383 |
* | La Jolla Pharmaceutical Co. | 11,413 | 382 |
* | Global Blood Therapeutics Inc. | 13,726 | 382 |
* | Capital Senior Living Corp. | 22,676 | 381 |
* | Cotiviti Holdings Inc. | 10,150 | 380 |
* | Achillion Pharmaceuticals Inc. | 94,573 | 379 |
* | PTC Therapeutics Inc. | 27,797 | 379 |
* | ANI Pharmaceuticals Inc. | 6,360 | 376 |
* | Intra-Cellular Therapies Inc. Class A | 28,271 | 369 |
* | BioCryst Pharmaceuticals Inc. | 58,946 | 368 |
* | Enanta Pharmaceuticals Inc. | 12,632 | 364 |
* | Triple-S Management Corp. Class B | 19,413 | 362 |
* | AngioDynamics Inc. | 21,624 | 354 |
* | Revance Therapeutics Inc. | 16,794 | 353 |
* | Lion Biotechnologies Inc. | 45,681 | 349 |
* | Ardelyx Inc. | 25,689 | 349 |
* | Cerus Corp. | 83,232 | 349 |
* | NeoGenomics Inc. | 42,878 | 346 |
* | Universal American Corp. | 34,521 | 344 |
* | Surgery Partners Inc. | 14,977 | 337 |
* | Accuray Inc. | 64,016 | 330 |
*,^ | Aduro Biotech Inc. | 29,266 | 329 |
* | Pacific Biosciences of California Inc. | 64,920 | 328 |
* | Keryx Biopharmaceuticals Inc. | 65,161 | 328 |
* | Novavax Inc. | 216,788 | 327 |
* | STAAR Surgical Co. | 32,793 | 326 |
* | Novocure Ltd. | 42,709 | 325 |
* | Arena Pharmaceuticals Inc. | 200,695 | 317 |
* | Esperion Therapeutics Inc. | 12,108 | 317 |
Invacare Corp. | 25,972 | 314 | |
* | Albany Molecular Research Inc. | 20,836 | 312 |
* | REGENXBIO Inc. | 16,631 | 306 |
* | Merrimack Pharmaceuticals Inc. | 98,952 | 304 |
* | CorVel Corp. | 7,517 | 304 |
* | Akebia Therapeutics Inc. | 29,564 | 296 |
* | Avexis Inc. | 4,817 | 295 |
* | Cytokinetics Inc. | 27,509 | 292 |
* | Aclaris Therapeutics Inc. | 9,336 | 292 |
PDL BioPharma Inc. | 135,243 | 289 | |
* | Atara Biotherapeutics Inc. | 18,649 | 288 |
* | Foundation Medicine Inc. | 11,557 | 287 |
* | Otonomy Inc. | 19,269 | 286 |
* | NewLink Genetics Corp. | 17,844 | 280 |
* | Intersect ENT Inc. | 20,511 | 279 |
*,^ | Celldex Therapeutics Inc. | 78,574 | 278 |
* | Adamas Pharmaceuticals Inc. | 14,595 | 270 |
*,^ | Cara Therapeutics Inc. | 16,823 | 270 |
* | Agenus Inc. | 62,989 | 267 |
*,^ | Geron Corp. | 122,052 | 262 |
* | Sangamo Therapeutics Inc. | 57,183 | 260 |
* | Advaxis Inc. | 29,482 | 259 |
* | Rigel Pharmaceuticals Inc. | 105,541 | 259 |
* | Surmodics Inc. | 10,419 | 258 |
* | NanoString Technologies Inc. | 13,231 | 250 |
* | Axovant Sciences Ltd. | 19,558 | 249 |
^ | Computer Programs & Systems Inc. | 9,202 | 248 |
*,^ | Insys Therapeutics Inc. | 19,335 | 247 |
* | ImmunoGen Inc. | 72,350 | 246 |
*,^ | Organovo Holdings Inc. | 78,624 | 245 |
* | Oxford Immunotec Global plc | 18,015 | 243 |
LeMaitre Vascular Inc. | 10,919 | 242 |
18
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Teligent Inc. | 33,643 | 241 |
* | Invitae Corp. | 22,967 | 237 |
*,^ | Rockwell Medical Inc. | 39,176 | 233 |
* | BioSpecifics Technologies Corp. | 4,397 | 232 |
*,^ | iRhythm Technologies Inc. | 6,018 | 232 |
* | Karyopharm Therapeutics Inc. | 22,075 | 229 |
* | Civitas Solutions Inc. | 12,068 | 223 |
* | Sucampo Pharmaceuticals Inc. Class A | 18,653 | 219 |
* | AxoGen Inc. | 20,882 | 218 |
* | Paratek Pharmaceuticals Inc. | 14,589 | 218 |
* | Zogenix Inc. | 20,476 | 212 |
* | Ignyta Inc. | 24,028 | 211 |
* | Quorum Health Corp. | 24,722 | 211 |
* | BioTime Inc. | 65,007 | 211 |
*,^ | Bellicum Pharmaceuticals Inc. | 16,972 | 209 |
* | Enzo Biochem Inc. | 32,419 | 209 |
* | Curis Inc. | 89,290 | 206 |
* | Natera Inc. | 21,558 | 206 |
* | Exactech Inc. | 8,422 | 205 |
* | CytomX Therapeutics Inc. | 16,364 | 205 |
* | Addus HomeCare Corp. | 6,248 | 201 |
* | Chimerix Inc. | 34,112 | 194 |
* | OncoMed Pharmaceuticals Inc. | 19,068 | 194 |
*,^ | XBiotech Inc. | 14,190 | 191 |
* | Medpace Holdings Inc. | 6,544 | 189 |
* | Cutera Inc. | 9,271 | 189 |
*,^ | Collegium Pharmaceutical Inc. | 13,966 | 185 |
*,^ | WaVe Life Sciences Ltd. | 6,030 | 182 |
Utah Medical Products Inc. | 2,927 | 181 | |
* | RadNet Inc. | 30,184 | 180 |
*,^ | Aratana Therapeutics Inc. | 26,949 | 178 |
* | RTI Surgical Inc. | 47,421 | 178 |
* | TG Therapeutics Inc. | 30,826 | 176 |
* | American Renal Associates Holdings Inc. | 7,365 | 166 |
*,^ | Anavex Life Sciences Corp. | 28,498 | 164 |
* | Idera Pharmaceuticals Inc. | 83,706 | 157 |
* | Cellular Biomedicine Group Inc. | 12,088 | 155 |
* | Tetraphase Pharmaceuticals Inc. | 29,224 | 151 |
* | Fluidigm Corp. | 22,849 | 150 |
* | Ra Pharmaceuticals Inc. | 7,148 | 150 |
* | Trevena Inc. | 36,851 | 150 |
* | Ocular Therapeutix Inc. | 17,770 | 148 |
* | MediciNova Inc. | 22,942 | 148 |
* | ConforMIS Inc. | 29,132 | 147 |
*,^ | Dynavax Technologies Corp. | 31,907 | 144 |
*,^ | MannKind Corp. | 265,421 | 141 |
* | BioScrip Inc. | 92,345 | 139 |
* | Editas Medicine Inc. | 5,509 | 137 |
* | Seres Therapeutics Inc. | 14,182 | 137 |
* | Arrowhead Pharmaceuticals Inc. | 58,740 | 133 |
* | Minerva Neurosciences Inc. | 15,085 | 132 |
* | Edge Therapeutics Inc. | 13,267 | 130 |
* | Stemline Therapeutics Inc. | 18,116 | 127 |
* | MyoKardia Inc. | 10,400 | 126 |
* | ChemoCentryx Inc. | 19,049 | 126 |
National Research Corp. Class A | 6,743 | 126 | |
*,^ | Reata Pharmaceuticals Inc. Class A | 4,888 | 124 |
* | Cempra Inc. | 36,438 | 124 |
*,^ | Voyager Therapeutics Inc. | 9,551 | 124 |
* | Concert Pharmaceuticals Inc. | 13,041 | 121 |
* | Castlight Health Inc. Class B | 33,434 | 119 |
* | Veracyte Inc. | 15,177 | 118 |
* | Codexis Inc. | 28,019 | 115 |
*,^ | Sorrento Therapeutics Inc. | 21,121 | 110 |
19
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | InVivo Therapeutics Holdings Corp. | 25,632 | 108 |
* | Durect Corp. | 104,246 | 107 |
* | IRIDEX Corp. | 6,755 | 107 |
* | Pfenex Inc. | 14,739 | 107 |
* | Infinity Pharmaceuticals Inc. | 37,273 | 104 |
*,^ | Nobilis Health Corp. | 46,945 | 103 |
* | Aevi Genomic Medicine Inc. | 21,880 | 103 |
* | Vital Therapies Inc. | 21,981 | 102 |
* | Genesis Healthcare Inc. | 31,180 | 100 |
*,^ | Neos Therapeutics Inc. | 16,518 | 99 |
* | Proteostasis Therapeutics Inc. | 6,523 | 95 |
* | Myovant Sciences Ltd. | 8,560 | 93 |
* | Entellus Medical Inc. | 6,613 | 92 |
* | Protagonist Therapeutics Inc. | 6,557 | 91 |
* | Ophthotech Corp. | 24,833 | 89 |
*,^ | Osiris Therapeutics Inc. | 15,081 | 87 |
* | Athersys Inc. | 71,995 | 86 |
*,^ | Egalet Corp. | 17,102 | 85 |
*,^ | AcelRx Pharmaceuticals Inc. | 27,322 | 83 |
*,^ | Fortress Biotech Inc. | 26,300 | 81 |
* | Intellia Therapeutics Inc. | 5,389 | 77 |
* | Cidara Therapeutics Inc. | 10,561 | 76 |
* | Applied Genetic Technologies Corp. | 9,778 | 76 |
*,^ | AAC Holdings Inc. | 8,231 | 75 |
* | Adeptus Health Inc. Class A | 11,174 | 75 |
* | Synthetic Biologics Inc. | 93,833 | 74 |
* | Mirati Therapeutics Inc. | 13,130 | 73 |
*,^ | TransEnterix Inc. | 53,893 | 71 |
* | Zafgen Inc. | 17,645 | 70 |
* | Audentes Therapeutics Inc. | 4,396 | 68 |
* | Asterias Biotherapeutics Inc. | 17,535 | 67 |
* | Tabula Rasa HealthCare Inc. | 4,508 | 64 |
*,^ | T2 Biosystems Inc. | 11,284 | 64 |
* | Tactile Systems Technology Inc. | 3,122 | 63 |
* | Endocyte Inc. | 29,920 | 61 |
* | NantKwest Inc. | 12,875 | 61 |
* | Bio-Path Holdings Inc. | 73,619 | 60 |
* | Clearside Biomedical Inc. | 7,672 | 60 |
* | Immune Design Corp. | 11,207 | 57 |
* | GlycoMimetics Inc. | 9,038 | 55 |
* | Titan Pharmaceuticals Inc. | 14,524 | 54 |
* | Selecta Biosciences Inc. | 4,129 | 54 |
* | Lipocine Inc. | 12,789 | 51 |
* | Senseonics Holdings Inc. | 21,457 | 50 |
* | Adverum Biotechnologies Inc. | 17,807 | 47 |
PharmAthene Inc. | 52,405 | 47 | |
* | Trovagene Inc. | 22,500 | 44 |
* | Obalon Therapeutics Inc. | 4,579 | 43 |
* | Syndax Pharmaceuticals Inc. | 3,665 | 42 |
* | Syros Pharmaceuticals Inc. | 3,660 | 40 |
* | Eiger BioPharmaceuticals Inc. | 3,558 | 40 |
* | NantHealth Inc. | 5,271 | 40 |
* | Axsome Therapeutics Inc. | 8,588 | 39 |
* | OvaScience Inc. | 26,210 | 39 |
* | vTv Therapeutics Inc. Class A | 6,372 | 38 |
* | Corvus Pharmaceuticals Inc. | 2,590 | 37 |
* | Avinger Inc. | 14,583 | 37 |
* | Fulgent Genetics Inc. | 3,164 | 36 |
* | Tandem Diabetes Care Inc. | 14,362 | 34 |
* | Flex Pharma Inc. | 8,191 | 34 |
*,^ | Corindus Vascular Robotics Inc. | 42,448 | 34 |
*,^ | Kadmon Holdings Inc. | 8,944 | 33 |
* | CytRx Corp. | 76,537 | 33 |
* | Regulus Therapeutics Inc. | 29,959 | 31 |
20
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Ampio Pharmaceuticals Inc. | 34,453 | 28 |
*,^ | ViewRay Inc. | 5,151 | 27 |
* | iRadimed Corp. | 3,145 | 26 |
* | Agile Therapeutics Inc. | 11,465 | 25 |
* | Aptevo Therapeutics Inc. | 12,703 | 25 |
*,^ | Novan Inc. | 3,999 | 23 |
* | Inotek Pharmaceuticals Corp. | 13,470 | 22 |
* | Second Sight Medical Products Inc. | 11,235 | 19 |
*,^ | Anthera Pharmaceuticals Inc. | 23,903 | 16 |
* | Dimension Therapeutics Inc. | 9,462 | 16 |
*,^ | Argos Therapeutics Inc. | 12,387 | 14 |
*,^ | Galena Biopharma Inc. | 8,827 | 7 |
*,^ | Tokai Pharmaceuticals Inc. | 7,064 | 6 |
* | Asterias Biotherapeutics Inc. Warrants Exp. 09/29/2017 | 1,281 | — |
201,091 | |||
Materials & Processing (7.7%) | |||
Chemours Co. | 149,629 | 5,037 | |
Olin Corp. | 135,096 | 4,199 | |
US Silica Holdings Inc. | 60,536 | 3,061 | |
Sensient Technologies Corp. | 36,185 | 2,893 | |
* | Louisiana-Pacific Corp. | 117,308 | 2,766 |
* | Cliffs Natural Resources Inc. | 228,916 | 2,440 |
Belden Inc. | 33,807 | 2,388 | |
PolyOne Corp. | 68,307 | 2,301 | |
Balchem Corp. | 25,830 | 2,252 | |
* | Beacon Roofing Supply Inc. | 48,555 | 2,206 |
Minerals Technologies Inc. | 28,081 | 2,169 | |
* | AK Steel Holding Corp. | 256,017 | 2,133 |
* | Summit Materials Inc. Class A | 86,454 | 2,065 |
HB Fuller Co. | 40,725 | 2,012 | |
Commercial Metals Co. | 92,902 | 1,963 | |
Mueller Industries Inc. | 46,703 | 1,953 | |
* | Masonite International Corp. | 24,893 | 1,944 |
* | Ingevity Corp. | 34,625 | 1,869 |
Worthington Industries Inc. | 36,536 | 1,792 | |
Hecla Mining Co. | 313,327 | 1,748 | |
* | Chemtura Corp. | 52,342 | 1,735 |
* | Stillwater Mining Co. | 101,039 | 1,724 |
Allegheny Technologies Inc. | 89,227 | 1,714 | |
* | RBC Bearings Inc. | 18,329 | 1,710 |
* | Trex Co. Inc. | 24,224 | 1,647 |
KapStone Paper and Packaging Corp. | 71,168 | 1,608 | |
Mueller Water Products Inc. Class A | 127,963 | 1,585 | |
Universal Forest Products Inc. | 16,306 | 1,562 | |
Carpenter Technology Corp. | 38,203 | 1,550 | |
Trinseo SA | 22,331 | 1,544 | |
* | GCP Applied Technologies Inc. | 58,224 | 1,534 |
* | MRC Global Inc. | 75,262 | 1,521 |
* | Rexnord Corp. | 66,460 | 1,473 |
Simpson Manufacturing Co. Inc. | 33,937 | 1,465 | |
* | Headwaters Inc. | 60,065 | 1,382 |
Quaker Chemical Corp. | 10,413 | 1,371 | |
Cabot Microelectronics Corp. | 19,522 | 1,351 | |
Apogee Enterprises Inc. | 22,811 | 1,304 | |
Innospec Inc. | 19,553 | 1,277 | |
* | Coeur Mining Inc. | 147,335 | 1,266 |
Stepan Co. | 16,116 | 1,219 | |
Greif Inc. Class A | 20,640 | 1,177 | |
Comfort Systems USA Inc. | 30,383 | 1,159 | |
* | Univar Inc. | 35,605 | 1,146 |
Kaiser Aluminum Corp. | 14,306 | 1,128 | |
AAON Inc. | 32,247 | 1,085 | |
* | Gibraltar Industries Inc. | 26,177 | 1,085 |
Schweitzer-Mauduit International Inc. | 24,777 | 1,017 |
21
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Interface Inc. Class A | 53,312 | 1,008 | |
Neenah Paper Inc. | 13,724 | 1,005 | |
* | BMC Stock Holdings Inc. | 45,762 | 961 |
* | Patrick Industries Inc. | 11,977 | 956 |
* | Ferro Corp. | 68,013 | 952 |
Tronox Ltd. Class A | 53,240 | 923 | |
* | Boise Cascade Co. | 31,961 | 866 |
* | Builders FirstSource Inc. | 65,793 | 851 |
Innophos Holdings Inc. | 15,823 | 838 | |
A Schulman Inc. | 23,639 | 798 | |
PH Glatfelter Co. | 35,830 | 792 | |
* | Installed Building Products Inc. | 16,640 | 783 |
* | Clearwater Paper Corp. | 13,843 | 770 |
* | Koppers Holdings Inc. | 17,021 | 746 |
* | US Concrete Inc. | 11,690 | 736 |
* | Continental Building Products Inc. | 29,426 | 719 |
* | TimkenSteel Corp. | 32,463 | 679 |
* | Kraton Corp. | 24,468 | 666 |
* | Caesarstone Ltd. | 19,407 | 648 |
Deltic Timber Corp. | 8,686 | 646 | |
Advanced Drainage Systems Inc. | 28,375 | 626 | |
Griffon Corp. | 24,469 | 615 | |
Global Brass & Copper Holdings Inc. | 17,609 | 593 | |
* | Century Aluminum Co. | 41,618 | 586 |
Calgon Carbon Corp. | 41,528 | 586 | |
Ferroglobe plc | 53,518 | 577 | |
Materion Corp. | 16,204 | 565 | |
Quanex Building Products Corp. | 27,817 | 544 | |
Chase Corp. | 5,710 | 522 | |
Insteel Industries Inc. | 14,314 | 517 | |
Schnitzer Steel Industries Inc. | 20,030 | 477 | |
Rayonier Advanced Materials Inc. | 35,035 | 465 | |
NN Inc. | 21,572 | 434 | |
* | Armstrong Flooring Inc. | 19,484 | 416 |
Haynes International Inc. | 10,592 | 414 | |
Tredegar Corp. | 20,904 | 397 | |
* | PGT Innovations Inc. | 39,426 | 396 |
Hawkins Inc. | 7,742 | 383 | |
* | Veritiv Corp. | 6,731 | 375 |
American Vanguard Corp. | 23,442 | 369 | |
Aceto Corp. | 23,826 | 366 | |
* | NCI Building Systems Inc. | 22,016 | 352 |
Greif Inc. Class B | 4,996 | 348 | |
* | Unifi Inc. | 12,607 | 344 |
* | OMNOVA Solutions Inc. | 34,006 | 315 |
Culp Inc. | 9,225 | 314 | |
* | Ply Gem Holdings Inc. | 17,760 | 309 |
* | Multi Packaging Solutions International Ltd. | 17,290 | 308 |
* | Forterra Inc. | 15,188 | 301 |
* | Landec Corp. | 21,779 | 274 |
KMG Chemicals Inc. | 7,340 | 270 | |
FutureFuel Corp. | 20,083 | 266 | |
Kronos Worldwide Inc. | 18,721 | 259 | |
Myers Industries Inc. | 17,537 | 246 | |
Gold Resource Corp. | 40,904 | 212 | |
LSI Industries Inc. | 19,446 | 192 | |
*,^ | LSB Industries Inc. | 17,657 | 192 |
Olympic Steel Inc. | 7,417 | 179 | |
DMC Global Inc. | 11,811 | 177 | |
* | GMS Inc. | 5,870 | 177 |
Oil-Dri Corp. of America | 4,330 | 153 | |
* | Lawson Products Inc. | 5,233 | 145 |
* | UFP Technologies Inc. | 5,327 | 128 |
United States Lime & Minerals Inc. | 1,600 | 122 |
22
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Omega Flex Inc. | 2,505 | 114 |
* Ryerson Holding Corp. | 9,966 | 108 |
Ampco-Pittsburgh Corp. | 6,580 | 96 |
Valhi Inc. | 20,283 | 68 |
* ChromaDex Corp. | 22,087 | 61 |
* Handy & Harman Ltd. | 2,246 | 54 |
* AgroFresh Solutions Inc. | 17,014 | 46 |
* NL Industries Inc. | 7,515 | 44 |
CompX International Inc. | 1,202 | 18 |
* Ferroglobe R&W Trust | 46,440 | — |
121,288 | ||
Other (0.0%)2 | ||
* Dyax Corp CVR Expire 12/31/2019 | 83,094 | 92 |
* Tobira Therapeutics Inc. CV Rights | 6,227 | 86 |
* JELD-WEN Holding Inc. | 1,325 | 41 |
* REV Group Inc. | 1,347 | 38 |
* Jagged Peak Energy Inc. | 2,120 | 29 |
* Media General Inc. CVR | 85,418 | 25 |
* Keane Group Inc. | 1,083 | 19 |
* Jounce Therapeutics Inc. | 401 | 8 |
* AnaptysBio Inc. | 321 | 8 |
Second Sight Medical Rights | 10,922 | 6 |
Ramaco Resources Inc. | 414 | 5 |
* Chelsea Therapeutics International Ltd. CVR | 31,094 | 4 |
* Omthera Pharmaceuticals Inc. CVR | 2,012 | 1 |
* Durata Therapeutics Inc CVR Expire 12/31/2018 | 680 | 1 |
* Clinical Data Contingent Value Rights | 913 | — |
* Gerber Scientific Inc. CVR | 2,358 | — |
* Cubist Pharmaceuticals, Inc. CVR | 13,664 | — |
363 | ||
Producer Durables (13.5%) | ||
* XPO Logistics Inc. | 79,812 | 4,070 |
* Teledyne Technologies Inc. | 27,809 | 3,654 |
Curtiss-Wright Corp. | 36,043 | 3,526 |
MAXIMUS Inc. | 52,176 | 3,113 |
Woodward Inc. | 43,361 | 3,055 |
EMCOR Group Inc. | 49,477 | 3,042 |
Deluxe Corp. | 39,974 | 2,942 |
Littelfuse Inc. | 18,027 | 2,910 |
EnerSys | 35,483 | 2,723 |
Healthcare Services Group Inc. | 57,318 | 2,372 |
Kennametal Inc. | 63,935 | 2,371 |
* WageWorks Inc. | 29,714 | 2,288 |
Joy Global Inc. | 80,122 | 2,259 |
* Esterline Technologies Corp. | 24,325 | 2,162 |
* KLX Inc. | 42,818 | 2,155 |
John Bean Technologies Corp. | 23,567 | 2,107 |
* MasTec Inc. | 53,622 | 2,105 |
* Hawaiian Holdings Inc. | 42,741 | 2,079 |
* Generac Holdings Inc. | 53,035 | 2,070 |
Barnes Group Inc. | 41,230 | 2,066 |
* Dycom Industries Inc. | 25,136 | 2,066 |
CEB Inc. | 26,028 | 2,018 |
* Advanced Energy Industries Inc. | 32,077 | 1,992 |
Brink's Co. | 37,098 | 1,983 |
* On Assignment Inc. | 41,762 | 1,971 |
GATX Corp. | 33,039 | 1,919 |
Allegiant Travel Co. Class A | 10,864 | 1,891 |
Tetra Tech Inc. | 46,806 | 1,884 |
Applied Industrial Technologies Inc. | 29,741 | 1,875 |
ABM Industries Inc. | 45,164 | 1,842 |
MSA Safety Inc. | 25,012 | 1,807 |
Knight Transportation Inc. | 55,029 | 1,799 |
* Electronics For Imaging Inc. | 38,612 | 1,779 |
23
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Itron Inc. | 27,440 | 1,775 |
* Moog Inc. Class A | 26,268 | 1,775 |
Hillenbrand Inc. | 48,663 | 1,769 |
* Darling Ingredients Inc. | 134,723 | 1,753 |
Granite Construction Inc. | 32,559 | 1,726 |
HNI Corp. | 36,267 | 1,662 |
UniFirst Corp. | 12,275 | 1,634 |
Convergys Corp. | 72,946 | 1,596 |
Franklin Electric Co. Inc. | 37,807 | 1,584 |
* Advisory Board Co. | 33,805 | 1,521 |
G&K Services Inc. Class A | 15,946 | 1,507 |
Herman Miller Inc. | 49,357 | 1,471 |
Watts Water Technologies Inc. Class A | 22,858 | 1,462 |
Korn/Ferry International | 47,055 | 1,454 |
SkyWest Inc. | 41,155 | 1,447 |
Brady Corp. Class A | 36,869 | 1,410 |
* Hub Group Inc. Class A | 27,485 | 1,388 |
* FTI Consulting Inc. | 34,125 | 1,373 |
* Swift Transportation Co. | 61,429 | 1,334 |
* TopBuild Corp. | 30,958 | 1,300 |
Actuant Corp. Class A | 46,487 | 1,234 |
AZZ Inc. | 20,782 | 1,219 |
Matson Inc. | 35,599 | 1,208 |
Forward Air Corp. | 24,352 | 1,207 |
Exponent Inc. | 20,987 | 1,206 |
Mobile Mini Inc. | 36,618 | 1,192 |
* ExlService Holdings Inc. | 26,651 | 1,190 |
EnPro Industries Inc. | 17,895 | 1,168 |
* ACCO Brands Corp. | 85,339 | 1,144 |
Kaman Corp. | 22,045 | 1,141 |
* Atlas Air Worldwide Holdings Inc. | 20,055 | 1,140 |
Steelcase Inc. Class A | 70,883 | 1,134 |
Wabash National Corp. | 53,421 | 1,130 |
ESCO Technologies Inc. | 20,781 | 1,126 |
* TASER International Inc. | 43,142 | 1,107 |
* Navistar International Corp. | 40,841 | 1,104 |
Triumph Group Inc. | 39,177 | 1,089 |
* OSI Systems Inc. | 14,386 | 1,085 |
* Proto Labs Inc. | 19,845 | 1,084 |
Insperity Inc. | 13,005 | 1,083 |
Cubic Corp. | 20,006 | 1,051 |
Albany International Corp. | 22,750 | 1,032 |
Werner Enterprises Inc. | 36,505 | 1,022 |
Tennant Co. | 14,384 | 1,010 |
Astec Industries Inc. | 15,823 | 1,000 |
* SPX FLOW Inc. | 29,314 | 997 |
* Saia Inc. | 20,611 | 997 |
Standex International Corp. | 10,173 | 972 |
* Aerojet Rocketdyne Holdings Inc. | 49,572 | 961 |
Aircastle Ltd. | 39,855 | 958 |
* Tutor Perini Corp. | 31,065 | 946 |
Greenbrier Cos. Inc. | 22,329 | 939 |
AAR Corp. | 27,042 | 931 |
* Harsco Corp. | 65,784 | 928 |
* TriNet Group Inc. | 34,343 | 922 |
* SPX Corp. | 34,504 | 910 |
US Ecology Inc. | 17,897 | 908 |
* Chart Industries Inc. | 25,405 | 904 |
* TrueBlue Inc. | 34,527 | 896 |
Raven Industries Inc. | 30,114 | 890 |
* Navigant Consulting Inc. | 37,975 | 885 |
Knoll Inc. | 39,532 | 884 |
* Sykes Enterprises Inc. | 32,020 | 872 |
CIRCOR International Inc. | 13,771 | 855 |
24
Vanguard® Russell 2000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Badger Meter Inc. | 23,129 | 847 |
* Rush Enterprises Inc. Class A | 24,373 | 840 |
Primoris Services Corp. | 33,682 | 837 |
* TriMas Corp. | 37,483 | 826 |
Triton International Ltd./Bermuda | 33,203 | 820 |
* Team Inc. | 23,862 | 820 |
Encore Wire Corp. | 16,813 | 799 |
Multi-Color Corp. | 11,128 | 798 |
Heartland Express Inc. | 38,098 | 790 |
Altra Industrial Motion Corp. | 19,960 | 775 |
MTS Systems Corp. | 13,966 | 767 |
* Huron Consulting Group Inc. | 17,635 | 766 |
Argan Inc. | 11,006 | 758 |
Briggs & Stratton Corp. | 34,813 | 745 |
Federal Signal Corp. | 48,952 | 728 |
McGrath RentCorp | 19,166 | 721 |
^ Ship Finance International Ltd. | 48,628 | 717 |
* Lydall Inc. | 13,706 | 695 |
Lindsay Corp. | 8,663 | 694 |
H&E Equipment Services Inc. | 26,358 | 692 |
* Air Transport Services Group Inc. | 39,875 | 679 |
General Cable Corp. | 40,553 | 677 |
Sun Hydraulics Corp. | 18,286 | 677 |
Quad/Graphics Inc. | 24,068 | 653 |
^ Nordic American Tankers Ltd. | 81,642 | 648 |
* ICF International Inc. | 14,744 | 633 |
* Babcock & Wilcox Enterprises Inc. | 38,116 | 629 |
* Manitowoc Co. Inc. | 103,333 | 628 |
* Paylocity Holding Corp. | 17,578 | 620 |
* Aegion Corp. Class A | 26,770 | 609 |
Douglas Dynamics Inc. | 18,015 | 601 |
Alamo Group Inc. | 7,840 | 589 |
ArcBest Corp. | 19,411 | 570 |
* PHH Corp. | 43,809 | 553 |
Kadant Inc. | 8,874 | 549 |
* Astronics Corp. | 16,297 | 546 |
* Wesco Aircraft Holdings Inc. | 45,082 | 545 |
* Thermon Group Holdings Inc. | 26,884 | 542 |
* CBIZ Inc. | 40,430 | 538 |
Kforce Inc. | 20,141 | 519 |
* Echo Global Logistics Inc. | 23,427 | 512 |
Scorpio Tankers Inc. | 132,673 | 511 |
Kelly Services Inc. Class A | 23,810 | 509 |
Kimball International Inc. Class B | 30,289 | 497 |
Essendant Inc. | 31,044 | 495 |
^ GasLog Ltd. | 31,770 | 491 |
Titan International Inc. | 35,788 | 474 |
* Engility Holdings Inc. | 15,118 | 473 |
* FARO Technologies Inc. | 13,431 | 463 |
* Aerovironment Inc. | 16,827 | 455 |
* MYR Group Inc. | 12,107 | 454 |
* SP Plus Corp. | 14,081 | 454 |
* DXP Enterprises Inc. | 12,807 | 448 |
Hyster-Yale Materials Handling Inc. | 7,314 | 445 |
Gorman-Rupp Co. | 14,301 | 445 |
* Modine Manufacturing Co. | 38,573 | 438 |
Marten Transport Ltd. | 17,700 | 435 |
Bristow Group Inc. | 27,507 | 432 |
* CSW Industrials Inc. | 11,643 | 432 |
TeleTech Holdings Inc. | 13,838 | 419 |
* RPX Corp. | 38,721 | 416 |
Columbus McKinnon Corp. | 15,974 | 412 |
^ Frontline Ltd. | 58,677 | 405 |
* Advanced Disposal Services Inc. | 18,208 | 398 |
25
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Teekay Corp. | 40,475 | 397 | |
Resources Connection Inc. | 23,391 | 395 | |
* | Kratos Defense & Security Solutions Inc. | 47,849 | 395 |
Hackett Group Inc. | 18,976 | 383 | |
Heidrick & Struggles International Inc. | 15,107 | 369 | |
* | Casella Waste Systems Inc. Class A | 31,531 | 368 |
Barrett Business Services Inc. | 5,707 | 365 | |
* | YRC Worldwide Inc. | 26,987 | 346 |
DHT Holdings Inc. | 74,257 | 344 | |
* | Scorpio Bulkers Inc. | 46,314 | 343 |
Ennis Inc. | 20,609 | 337 | |
* | Mistras Group Inc. | 13,798 | 311 |
Park-Ohio Holdings Corp. | 6,897 | 308 | |
Forrester Research Inc. | 8,403 | 307 | |
* | InnerWorkings Inc. | 31,443 | 305 |
Textainer Group Holdings Ltd. | 19,151 | 302 | |
American Railcar Industries Inc. | 6,672 | 297 | |
VSE Corp. | 7,192 | 293 | |
Mesa Laboratories Inc. | 2,292 | 287 | |
* | Ducommun Inc. | 8,778 | 270 |
CECO Environmental Corp. | 23,927 | 270 | |
* | GP Strategies Corp. | 10,262 | 253 |
* | Atkore International Group Inc. | 9,638 | 253 |
* | Control4 Corp. | 16,497 | 246 |
* | International Seaways Inc. | 13,072 | 245 |
Miller Industries Inc. | 9,476 | 237 | |
Powell Industries Inc. | 7,203 | 235 | |
* | Energy Recovery Inc. | 27,609 | 232 |
CRA International Inc. | 6,424 | 230 | |
* | NV5 Global Inc. | 6,090 | 224 |
* | Milacron Holdings Corp. | 12,316 | 224 |
* | Vectrus Inc. | 9,123 | 221 |
* | Vicor Corp. | 13,500 | 219 |
Teekay Tankers Ltd. Class A | 93,082 | 218 | |
* | Great Lakes Dredge & Dock Corp. | 48,713 | 212 |
Supreme Industries Inc. Class A | 10,632 | 208 | |
NACCO Industries Inc. Class A | 3,202 | 207 | |
* | CAI International Inc. | 13,042 | 202 |
* | Orion Group Holdings Inc. | 21,499 | 201 |
* | DHI Group Inc. | 40,336 | 200 |
* | Titan Machinery Inc. | 14,041 | 199 |
* | ServiceSource International Inc. | 49,059 | 193 |
* | Dorian LPG Ltd. | 20,241 | 191 |
* | Roadrunner Transportation Systems Inc. | 24,977 | 188 |
* | Covenant Transportation Group Inc. Class A | 9,370 | 188 |
*,^ | Energous Corp. | 12,115 | 186 |
Celadon Group Inc. | 22,298 | 179 | |
*,^ | Aqua Metals Inc. | 10,520 | 179 |
Spartan Motors Inc. | 26,880 | 179 | |
Graham Corp. | 8,027 | 176 | |
* | Liquidity Services Inc. | 20,571 | 168 |
* | Radiant Logistics Inc. | 29,686 | 166 |
Ardmore Shipping Corp. | 23,891 | 164 | |
* | Vishay Precision Group Inc. | 10,152 | 163 |
* | Rush Enterprises Inc. Class B | 5,040 | 161 |
*,^ | Plug Power Inc. | 148,902 | 161 |
* | TRC Cos. Inc. | 15,629 | 160 |
* | Gener8 Maritime Inc. | 32,538 | 159 |
Marlin Business Services Corp. | 6,495 | 155 | |
Costamare Inc. | 25,258 | 154 | |
* | Overseas Shipholding Group Inc. Class A | 30,811 | 154 |
* | Heritage-Crystal Clean Inc. | 10,111 | 151 |
* | HC2 Holdings Inc. | 26,846 | 148 |
* | Layne Christensen Co. | 15,181 | 145 |
26
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | PHI Inc. | 9,527 | 138 |
Hurco Cos. Inc. | 5,006 | 138 | |
FreightCar America Inc. | 9,828 | 135 | |
* | Maxwell Technologies Inc. | 26,422 | 134 |
* | Ascent Capital Group Inc. Class A | 8,294 | 133 |
* | Hill International Inc. | 26,341 | 130 |
* | Neff Corp. Class A | 8,177 | 128 |
Allied Motion Technologies Inc. | 5,102 | 123 | |
Navios Maritime Acquisition Corp. | 64,214 | 118 | |
* | IES Holdings Inc. | 6,021 | 113 |
Hardinge Inc. | 9,047 | 95 | |
Preformed Line Products Co. | 2,037 | 94 | |
* | Willis Lease Finance Corp. | 3,580 | 91 |
Universal Logistics Holdings Inc. | 6,596 | 90 | |
* | ExOne Co. | 8,827 | 88 |
* | Gencor Industries Inc. | 5,965 | 85 |
* | PFSweb Inc. | 11,363 | 80 |
* | Blue Bird Corp. | 4,573 | 78 |
* | Information Services Group Inc. | 24,006 | 76 |
* | USA Truck Inc. | 7,080 | 67 |
*,^ | Tidewater Inc. | 41,001 | 56 |
* | Global Sources Ltd. | 6,359 | 56 |
* | American Superconductor Corp. | 9,075 | 55 |
* | ALJ Regional Holdings Inc. | 14,313 | 55 |
*,^ | Patriot National Inc. | 8,414 | 39 |
* | PAM Transportation Services Inc. | 2,118 | 39 |
* | Workhorse Group Inc. | 8,842 | 25 |
*,^ | Power Solutions International Inc. | 3,912 | 21 |
210,656 | |||
Technology (14.5%) | |||
* | Advanced Micro Devices Inc. | 614,471 | 8,885 |
* | Microsemi Corp. | 92,834 | 4,811 |
LogMeIn Inc. | 42,402 | 3,890 | |
* | Take-Two Interactive Software Inc. | 67,982 | 3,874 |
* | Aspen Technology Inc. | 63,429 | 3,688 |
* | Coherent Inc. | 19,694 | 3,596 |
* | Cavium Inc. | 53,047 | 3,475 |
Mentor Graphics Corp. | 87,285 | 3,238 | |
Science Applications International Corp. | 34,444 | 2,996 | |
* | Ciena Corp. | 111,618 | 2,940 |
* | Finisar Corp. | 87,299 | 2,923 |
* | ViaSat Inc. | 42,197 | 2,905 |
* | EPAM Systems Inc. | 39,340 | 2,897 |
* | Universal Display Corp. | 33,727 | 2,862 |
MKS Instruments Inc. | 43,221 | 2,835 | |
SYNNEX Corp. | 23,871 | 2,791 | |
Monolithic Power Systems Inc. | 31,615 | 2,781 | |
* | Cirrus Logic Inc. | 51,017 | 2,759 |
Blackbaud Inc. | 38,349 | 2,743 | |
* | NetScout Systems Inc. | 72,799 | 2,690 |
* | Integrated Device Technology Inc. | 109,553 | 2,619 |
* | Proofpoint Inc. | 33,028 | 2,602 |
* | Ellie Mae Inc. | 26,640 | 2,546 |
* | CACI International Inc. Class A | 19,805 | 2,484 |
* | Tech Data Corp. | 28,485 | 2,478 |
* | Entegris Inc. | 114,601 | 2,430 |
InterDigital Inc. | 28,052 | 2,358 | |
* | GrubHub Inc. | 66,417 | 2,329 |
* | Sanmina Corp. | 59,639 | 2,326 |
* | Silicon Laboratories Inc. | 33,160 | 2,238 |
* | Anixter International Inc. | 23,349 | 1,945 |
* | Viavi Solutions Inc. | 192,860 | 1,932 |
* | Paycom Software Inc. | 35,768 | 1,925 |
* | Lumentum Holdings Inc. | 41,511 | 1,905 |
27
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Verint Systems Inc. | 50,444 | 1,904 |
* | Zendesk Inc. | 66,821 | 1,820 |
* | Acxiom Corp. | 63,723 | 1,817 |
* | ACI Worldwide Inc. | 92,835 | 1,817 |
* | TiVo Corp. | 96,474 | 1,785 |
Vishay Intertechnology Inc. | 110,444 | 1,751 | |
* | Semtech Corp. | 52,014 | 1,740 |
* | Cornerstone OnDemand Inc. | 41,403 | 1,729 |
* | II-VI Inc. | 48,179 | 1,715 |
Diebold Nixdorf Inc. | 56,291 | 1,700 | |
* | DigitalGlobe Inc. | 50,948 | 1,612 |
* | CommVault Systems Inc. | 31,849 | 1,562 |
* | Ambarella Inc. | 26,249 | 1,547 |
* | Inphi Corp. | 32,920 | 1,545 |
* | Synaptics Inc. | 28,899 | 1,536 |
* | Plexus Corp. | 26,815 | 1,503 |
* | MicroStrategy Inc. Class A | 7,810 | 1,499 |
* | NeuStar Inc. Class A | 44,577 | 1,478 |
* | RealPage Inc. | 43,509 | 1,468 |
* | NETGEAR Inc. | 26,581 | 1,457 |
Xperi Corp. | 40,473 | 1,451 | |
* | Mercury Systems Inc. | 38,586 | 1,442 |
Plantronics Inc. | 26,865 | 1,439 | |
Power Integrations Inc. | 22,615 | 1,429 | |
* | HubSpot Inc. | 23,937 | 1,424 |
*,^ | Knowles Corp. | 73,244 | 1,386 |
* | 3D Systems Corp. | 88,412 | 1,344 |
* | Envestnet Inc. | 34,193 | 1,322 |
^ | Ebix Inc. | 20,930 | 1,308 |
* | RingCentral Inc. Class A | 48,250 | 1,288 |
Pegasystems Inc. | 29,828 | 1,283 | |
* | Insight Enterprises Inc. | 30,192 | 1,279 |
* | Benchmark Electronics Inc. | 40,924 | 1,273 |
* | iRobot Corp. | 21,956 | 1,253 |
Methode Electronics Inc. | 30,021 | 1,246 | |
* | Rogers Corp. | 14,904 | 1,230 |
* | Infinera Corp. | 112,574 | 1,221 |
* | MaxLinear Inc. | 46,401 | 1,208 |
* | MACOM Technology Solutions Holdings Inc. | 26,203 | 1,208 |
* | Fabrinet | 28,758 | 1,195 |
Brooks Automation Inc. | 55,822 | 1,164 | |
Progress Software Corp. | 40,113 | 1,150 | |
* | Rambus Inc. | 89,148 | 1,120 |
NIC Inc. | 51,966 | 1,096 | |
*,^ | Ubiquiti Networks Inc. | 21,502 | 1,057 |
* | Ixia | 53,268 | 1,044 |
CSG Systems International Inc. | 26,412 | 1,041 | |
* | BroadSoft Inc. | 24,107 | 1,032 |
* | Imperva Inc. | 23,879 | 979 |
* | TTM Technologies Inc. | 59,187 | 956 |
* | Callidus Software Inc. | 50,120 | 945 |
* | Synchronoss Technologies Inc. | 34,014 | 921 |
* | Gigamon Inc. | 26,917 | 916 |
* | Veeco Instruments Inc. | 32,719 | 895 |
ADTRAN Inc. | 41,068 | 869 | |
* | InvenSense Inc. | 67,733 | 836 |
* | Super Micro Computer Inc. | 31,869 | 829 |
* | Bottomline Technologies de Inc. | 32,761 | 817 |
* | ScanSource Inc. | 20,016 | 806 |
* | Amkor Technology Inc. | 81,957 | 805 |
*,^ | Stratasys Ltd. | 40,114 | 793 |
* | Qualys Inc. | 22,394 | 783 |
* | Oclaro Inc. | 91,502 | 778 |
*,^ | Globant SA | 21,292 | 773 |
28
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Q2 Holdings Inc. | 21,148 | 760 |
* | Diodes Inc. | 31,693 | 756 |
* | SPS Commerce Inc. | 13,532 | 749 |
ManTech International Corp. Class A | 20,266 | 742 | |
* | Virtusa Corp. | 22,863 | 709 |
* | Cray Inc. | 33,428 | 697 |
* | Lattice Semiconductor Corp. | 98,258 | 695 |
Monotype Imaging Holdings Inc. | 33,965 | 684 | |
* | Web.com Group Inc. | 35,272 | 679 |
* | Box Inc. | 38,183 | 673 |
* | ePlus Inc. | 5,293 | 672 |
* | Novanta Inc. | 26,246 | 638 |
* | Pure Storage Inc. Class A | 55,582 | 634 |
* | New Relic Inc. | 17,989 | 633 |
*,^ | TrueCar Inc. | 44,362 | 624 |
* | Applied Optoelectronics Inc. | 13,460 | 618 |
* | GTT Communications Inc. | 21,558 | 601 |
* | FormFactor Inc. | 56,135 | 598 |
AVX Corp. | 38,331 | 595 | |
CTS Corp. | 26,332 | 577 | |
* | Unisys Corp. | 41,039 | 570 |
* | Photronics Inc. | 53,268 | 570 |
* | CEVA Inc. | 16,085 | 537 |
* | Extreme Networks Inc. | 85,843 | 536 |
* | Perficient Inc. | 29,408 | 534 |
* | Rudolph Technologies Inc. | 24,753 | 532 |
* | Nanometrics Inc. | 19,172 | 522 |
* | Ultratech Inc. | 17,784 | 513 |
* | Blucora Inc. | 32,614 | 509 |
* | CalAmp Corp. | 30,477 | 494 |
* | PROS Holdings Inc. | 20,588 | 478 |
* | PDF Solutions Inc. | 22,071 | 472 |
* | Nimble Storage Inc. | 51,417 | 466 |
Syntel Inc. | 26,180 | 463 | |
* | Loral Space & Communications Inc. | 10,812 | 442 |
* | Five9 Inc. | 27,027 | 430 |
* | Barracuda Networks Inc. | 17,911 | 424 |
* | Vocera Communications Inc. | 20,377 | 422 |
* | Bankrate Inc. | 38,310 | 418 |
* | Endurance International Group Holdings Inc. | 48,982 | 416 |
* | Actua Corp. | 29,984 | 411 |
* | Xcerra Corp. | 44,466 | 389 |
* | Kimball Electronics Inc. | 23,724 | 382 |
* | Silver Spring Networks Inc. | 30,981 | 380 |
* | Axcelis Technologies Inc. | 24,285 | 375 |
Cohu Inc. | 22,515 | 375 | |
* | Ultra Clean Holdings Inc. | 26,664 | 369 |
*,^ | KEYW Holding Corp. | 37,144 | 368 |
* | ShoreTel Inc. | 55,205 | 359 |
* | Hortonworks Inc. | 35,860 | 356 |
* | A10 Networks Inc. | 37,444 | 354 |
* | Exar Corp. | 32,841 | 343 |
* | Harmonic Inc. | 62,244 | 336 |
* | VASCO Data Security International Inc. | 25,205 | 328 |
* | MINDBODY Inc. Class A | 11,732 | 311 |
* | Alpha & Omega Semiconductor Ltd. | 16,119 | 310 |
NVE Corp. | 3,940 | 309 | |
* | LivePerson Inc. | 43,779 | 309 |
Park Electrochemical Corp. | 15,968 | 305 | |
* | Bazaarvoice Inc. | 66,114 | 294 |
Sapiens International Corp. NV | 19,450 | 282 | |
Daktronics Inc. | 29,957 | 281 | |
* | Benefitfocus Inc. | 10,556 | 280 |
* | Carbonite Inc. | 14,398 | 280 |
29
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | RetailMeNot Inc. | 30,901 | 277 |
IXYS Corp. | 21,964 | 271 | |
* | Immersion Corp. | 24,413 | 267 |
* | Workiva Inc. | 17,694 | 265 |
* | Lionbridge Technologies Inc. | 45,556 | 262 |
* | Rubicon Project Inc. | 29,859 | 261 |
* | Digi International Inc. | 21,073 | 259 |
* | Evolent Health Inc. Class A | 12,844 | 253 |
* | NeoPhotonics Corp. | 24,672 | 250 |
* | Varonis Systems Inc. | 9,123 | 250 |
PC Connection Inc. | 9,159 | 245 | |
* | Rapid7 Inc. | 16,085 | 244 |
* | Alarm.com Holdings Inc. | 8,485 | 242 |
* | Acacia Research Corp. | 41,235 | 241 |
* | Calix Inc. | 34,245 | 236 |
* | Blackline Inc. | 8,266 | 236 |
* | Xactly Corp. | 18,529 | 230 |
* | Sonus Networks Inc. | 38,006 | 224 |
* | Telenav Inc. | 27,423 | 223 |
*,^ | Acacia Communications Inc. | 4,271 | 222 |
American Software Inc. Class A | 21,042 | 218 | |
* | Zix Corp. | 43,138 | 216 |
* | ChannelAdvisor Corp. | 19,517 | 210 |
QAD Inc. Class A | 7,641 | 210 | |
* | Jive Software Inc. | 47,186 | 208 |
* | pdvWireless Inc. | 7,938 | 204 |
Comtech Telecommunications Corp. | 17,894 | 204 | |
* | Brightcove Inc. | 24,036 | 202 |
* | Digimarc Corp. | 7,968 | 201 |
EMCORE Corp. | 21,713 | 194 | |
*,^ | Coupa Software Inc. | 7,323 | 194 |
Bel Fuse Inc. Class B | 7,419 | 194 | |
* | Model N Inc. | 18,143 | 193 |
* | Sigma Designs Inc. | 31,752 | 186 |
* | MobileIron Inc. | 38,601 | 185 |
* | DSP Group Inc. | 17,141 | 179 |
* | Exa Corp. | 11,417 | 179 |
* | Silicom Ltd. | 4,632 | 176 |
* | Kopin Corp. | 48,601 | 172 |
* | Sparton Corp. | 7,397 | 172 |
* | Global Eagle Entertainment Inc. | 38,292 | 168 |
* | MeetMe Inc. | 33,780 | 163 |
* | Glu Mobile Inc. | 84,482 | 163 |
* | Appfolio Inc. | 6,378 | 158 |
* | Electro Scientific Industries Inc. | 23,148 | 155 |
* | Park City Group Inc. | 10,830 | 154 |
* | Mitek Systems Inc. | 23,934 | 150 |
* | Clearfield Inc. | 9,055 | 148 |
* | Impinj Inc. | 5,140 | 146 |
* | Everbridge Inc. | 7,648 | 146 |
* | Avid Technology Inc. | 25,697 | 144 |
* | GigPeak Inc. | 46,779 | 143 |
* | ARC Document Solutions Inc. | 34,755 | 140 |
* | Limelight Networks Inc. | 60,557 | 136 |
Reis Inc. | 6,938 | 134 | |
* | Tangoe Inc. | 22,551 | 129 |
* | KVH Industries Inc. | 12,399 | 125 |
* | Radisys Corp. | 32,197 | 123 |
* | Quantenna Communications Inc. | 5,765 | 121 |
* | Guidance Software Inc. | 17,476 | 119 |
* | USA Technologies Inc. | 29,795 | 119 |
* | comScore Inc. | 4,943 | 119 |
* | Agilysys Inc. | 12,700 | 116 |
* | Amber Road Inc. | 15,307 | 115 |
30
Vanguard® Russell 2000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | TechTarget Inc. | 12,363 | 113 |
Black Box Corp. | 11,800 | 106 | |
* | RealNetworks Inc. | 19,487 | 95 |
* | Autobytel Inc. | 7,364 | 92 |
* | Aerohive Networks Inc. | 19,311 | 92 |
*,^ | VirnetX Holding Corp. | 40,365 | 91 |
* | Apptio Inc. Class A | 6,188 | 80 |
Systemax Inc. | 9,874 | 78 | |
* | Rightside Group Ltd. | 8,988 | 75 |
* | NCI Inc. Class A | 4,697 | 69 |
* | Numerex Corp. Class A | 10,692 | 53 |
* | SecureWorks Corp. Class A | 4,713 | 49 |
* | Majesco | 4,486 | 23 |
227,688 | |||
Utilities (4.6%) | |||
WGL Holdings Inc. | 41,215 | 3,441 | |
IDACORP Inc. | 41,119 | 3,410 | |
Portland General Electric Co. | 72,782 | 3,299 | |
Southwest Gas Holdings Inc. | 38,446 | 3,288 | |
j2 Global Inc. | 38,227 | 3,112 | |
New Jersey Resources Corp. | 70,594 | 2,781 | |
ONE Gas Inc. | 42,408 | 2,780 | |
Black Hills Corp. | 41,967 | 2,723 | |
ALLETE Inc. | 40,331 | 2,711 | |
Spire Inc. | 36,777 | 2,424 | |
PNM Resources Inc. | 65,901 | 2,392 | |
NorthWestern Corp. | 39,630 | 2,318 | |
South Jersey Industries Inc. | 65,841 | 2,306 | |
Avista Corp. | 52,229 | 2,082 | |
MGE Energy Inc. | 28,372 | 1,814 | |
Ormat Technologies Inc. | 31,962 | 1,762 | |
El Paso Electric Co. | 33,361 | 1,630 | |
California Water Service Group | 38,657 | 1,421 | |
Cogent Communications Holdings Inc. | 34,179 | 1,417 | |
American States Water Co. | 29,563 | 1,322 | |
Northwest Natural Gas Co. | 21,891 | 1,316 | |
Otter Tail Corp. | 31,457 | 1,183 | |
Pattern Energy Group Inc. Class A | 54,595 | 1,135 | |
^ | Windstream Holdings Inc. | 149,042 | 1,113 |
* | 8x8 Inc. | 70,845 | 1,070 |
Atlantica Yield plc | 48,572 | 1,057 | |
Shenandoah Telecommunications Co. | 37,026 | 1,040 | |
NRG Yield Inc. | 55,267 | 962 | |
* | Vonage Holdings Corp. | 158,051 | 951 |
Consolidated Communications Holdings Inc. | 40,910 | 923 | |
Chesapeake Utilities Corp. | 12,807 | 883 | |
West Corp. | 35,265 | 843 | |
* | Dynegy Inc. | 96,790 | 778 |
* | Cincinnati Bell Inc. | 34,598 | 668 |
SJW Group | 13,530 | 657 | |
ATN International Inc. | 8,629 | 590 | |
* | Iridium Communications Inc. | 67,265 | 585 |
Unitil Corp. | 11,396 | 508 | |
Connecticut Water Service Inc. | 8,757 | 500 | |
Middlesex Water Co. | 13,219 | 498 | |
*,^ | Gogo Inc. | 45,991 | 488 |
* | General Communication Inc. Class A | 22,540 | 454 |
*,^ | Globalstar Inc. | 328,016 | 449 |
* | ORBCOMM Inc. | 52,434 | 449 |
NRG Yield Inc. Class A | 24,301 | 409 | |
York Water Co. | 10,646 | 383 | |
* | Boingo Wireless Inc. | 28,831 | 315 |
Spok Holdings Inc. | 16,578 | 302 | |
* | Lumos Networks Corp. | 15,490 | 274 |
31
Vanguard® Russell 2000 Index Fund | |||||
Schedule of Investments | |||||
February 28, 2017 | |||||
Market | |||||
Value | |||||
Shares | ($000) | ||||
IDT Corp. Class B | 14,081 | 272 | |||
* | FairPoint Communications Inc. | 17,054 | 270 | ||
*,^ | Straight Path Communications Inc. Class B | 7,904 | 269 | ||
* | Atlantic Power Corp. | 97,858 | 230 | ||
Artesian Resources Corp. Class A | 6,496 | 214 | |||
Delta Natural Gas Co. Inc. | 5,695 | 173 | |||
* | Intelsat SA | 27,580 | 137 | ||
* | Hawaiian Telcom Holdco Inc. | 5,285 | 127 | ||
Consolidated Water Co. Ltd. | 12,028 | 125 | |||
Spark Energy Inc. Class A | 4,173 | 113 | |||
* | AquaVenture Holdings Ltd. | 6,035 | 100 | ||
* | NII Holdings Inc. | 45,052 | 90 | ||
Genie Energy Ltd. Class B | 10,604 | 58 | |||
Global Water Resources Inc. | 6,374 | 55 | |||
71,449 | |||||
Total Common Stocks (Cost $1,424,434) | 1,560,227 | ||||
Coupon | |||||
Temporary Cash Investments (2.1%)1 | |||||
Money Market Fund (2.1%) | |||||
3,4 | Vanguard Market Liquidity Fund | 0.864% | 317,557 | 31,759 | |
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.0%) | |||||
5 | United States Treasury Bill | 0.612% | 7/20/17 | 300 | 299 |
Total Temporary Cash Investments (Cost $32,057) | 32,058 | ||||
Total Investments (101.7%) (Cost $1,456,491) | 1,592,285 | ||||
Other Assets and Liabilities—Net (-1.7%)4,6 | (25,910) | ||||
Net Assets (100%) | 1,566,375 |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $17,546,000.
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 1.7%, 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 $19,359,000 of collateral received for securities on loan.
5 Securities with a value of $299,000 have been segregated as initial margin for open futures contracts.
6 Cash of $14,000 has been segregated as initial margin for open futures contracts.
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
32
Vanguard® Russell 2000 Value Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.4%)1 | |||
Consumer Discretionary (9.7%) | |||
Dana Inc. | 49,730 | 939 | |
Meredith Corp. | 12,533 | 786 | |
Office Depot Inc. | 184,413 | 769 | |
Cooper Tire & Rubber Co. | 18,466 | 747 | |
Wolverine World Wide Inc. | 27,168 | 684 | |
DeVry Education Group Inc. | 20,734 | 667 | |
Marriott Vacations Worldwide Corp. | 6,922 | 650 | |
ILG Inc. | 33,965 | 641 | |
Time Inc. | 34,231 | 601 | |
Aaron's Inc. | 21,933 | 598 | |
New York Times Co. Class A | 41,456 | 597 | |
* | TRI Pointe Group Inc. | 46,754 | 558 |
* | Deckers Outdoor Corp. | 10,026 | 530 |
* | Avon Products Inc. | 115,217 | 507 |
DSW Inc. Class A | 22,433 | 472 | |
* | EW Scripps Co. Class A | 19,913 | 459 |
* | Meritor Inc. | 27,430 | 448 |
AMC Entertainment Holdings Inc. Class A | 13,722 | 430 | |
Caleres Inc. | 14,331 | 428 | |
* | Meritage Homes Corp. | 11,804 | 420 |
Group 1 Automotive Inc. | 5,260 | 409 | |
Scholastic Corp. | 9,043 | 407 | |
* | Liberty Media Corp-Liberty Formula One | 12,860 | 395 |
* | RH | 12,916 | 393 |
KB Home | 21,612 | 384 | |
* | Belmond Ltd. Class A | 28,080 | 364 |
* | Genesco Inc. | 6,020 | 351 |
Gannett Co. Inc. | 39,082 | 341 | |
International Speedway Corp. Class A | 8,836 | 328 | |
* | Central Garden & Pet Co. Class A | 9,973 | 319 |
*,^ | GoPro Inc. Class A | 33,897 | 319 |
* | Sotheby's | 7,039 | 318 |
* | La Quinta Holdings Inc. | 22,402 | 310 |
Nexstar Media Group Inc. Class A | 4,497 | 310 | |
* | Pinnacle Entertainment Inc. | 16,595 | 288 |
* | MSG Networks Inc. | 13,165 | 287 |
* | Express Inc. | 24,882 | 280 |
Abercrombie & Fitch Co. | 22,787 | 273 | |
* | Fossil Group Inc. | 14,037 | 265 |
National CineMedia Inc. | 20,549 | 264 | |
Tailored Brands Inc. | 11,404 | 264 | |
Guess? Inc. | 20,539 | 261 | |
La-Z-Boy Inc. | 9,503 | 257 | |
MDC Holdings Inc. | 8,428 | 246 | |
* | Caesars Acquisition Co. Class A | 15,813 | 232 |
Jack in the Box Inc. | 2,464 | 231 | |
Barnes & Noble Inc. | 21,238 | 208 | |
Sonic Automotive Inc. Class A | 9,364 | 203 | |
* | K12 Inc. | 11,332 | 202 |
* | Liberty Media-C Corp-Liberty Braves | 9,191 | 202 |
Callaway Golf Co. | 19,753 | 200 | |
New Media Investment Group Inc. | 12,734 | 196 | |
Fred's Inc. Class A | 10,965 | 194 | |
Marcus Corp. | 6,137 | 191 | |
* | Career Education Corp. | 22,544 | 188 |
Superior Industries International Inc. | 8,371 | 188 | |
* | Liberty Media Corp-Liberty Formula One Class A | 6,211 | 187 |
Tower International Inc. | 6,733 | 186 | |
* | Caesars Entertainment Corp. | 18,980 | 179 |
* | Ascena Retail Group Inc. | 38,309 | 176 |
Cato Corp. Class A | 6,950 | 174 |
33
Vanguard® Russell 2000 Value Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Vitamin Shoppe Inc. | 7,476 | 159 |
* | Red Robin Gourmet Burgers Inc. | 3,462 | 158 |
Finish Line Inc. Class A | 9,681 | 158 | |
* | Strayer Education Inc. | 2,015 | 156 |
* | Lumber Liquidators Holdings Inc. | 8,711 | 154 |
* | Houghton Mifflin Harcourt Co. | 13,871 | 153 |
Pier 1 Imports Inc. | 22,770 | 153 | |
* | Regis Corp. | 12,338 | 152 |
Rent-A-Center Inc. | 17,460 | 151 | |
* | M/I Homes Inc. | 6,342 | 150 |
* | National Presto Industries Inc. | 1,495 | 149 |
* | William Lyon Homes Class A | 7,939 | 146 |
DineEquity Inc. | 2,430 | 145 | |
Haverty Furniture Cos. Inc. | 6,196 | 144 | |
* | FTD Cos. Inc. | 5,866 | 142 |
Standard Motor Products Inc. | 2,861 | 137 | |
Viad Corp. | 2,883 | 136 | |
Entercom Communications Corp. Class A | 8,659 | 136 | |
* | Biglari Holdings Inc. | 308 | 132 |
* | Beazer Homes USA Inc. | 10,675 | 130 |
* | Barnes & Noble Education Inc. | 13,397 | 129 |
Movado Group Inc. | 5,215 | 126 | |
^ | Buckle Inc. | 6,369 | 126 |
* | Intrawest Resorts Holdings Inc. | 5,363 | 126 |
* | Zumiez Inc. | 6,049 | 123 |
Travelport Worldwide Ltd. | 9,663 | 123 | |
* | American Public Education Inc. | 5,065 | 122 |
* | Chegg Inc. | 15,215 | 120 |
* | Del Frisco's Restaurant Group Inc. | 7,404 | 118 |
Hooker Furniture Corp. | 3,545 | 117 | |
Shoe Carnival Inc. | 4,493 | 114 | |
* | Eros International plc | 9,875 | 114 |
Inter Parfums Inc. | 3,226 | 112 | |
* | Iconix Brand Group Inc. | 14,452 | 111 |
Flexsteel Industries Inc. | 2,121 | 107 | |
* | Century Communities Inc. | 4,659 | 106 |
* | Gray Television Inc. | 7,771 | 106 |
MDC Partners Inc. Class A | 11,775 | 103 | |
* | Perry Ellis International Inc. | 4,207 | 98 |
* | Hovnanian Enterprises Inc. Class A | 41,328 | 98 |
* | Del Taco Restaurants Inc. | 7,785 | 97 |
Libbey Inc. | 6,792 | 95 | |
* | Central Garden & Pet Co. | 2,791 | 94 |
* | Monarch Casino & Resort Inc. | 3,631 | 93 |
*,^ | Lands' End Inc. | 4,875 | 90 |
* | Revlon Inc. Class A | 2,673 | 90 |
* | El Pollo Loco Holdings Inc. | 6,954 | 87 |
* | America's Car-Mart Inc. | 2,687 | 86 |
American Eagle Outfitters Inc. | 5,368 | 85 | |
* | Denny's Corp. | 6,622 | 83 |
Speedway Motorsports Inc. | 3,893 | 83 | |
Citi Trends Inc. | 4,925 | 82 | |
* | MarineMax Inc. | 3,625 | 82 |
Big 5 Sporting Goods Corp. | 6,029 | 81 | |
* | G-III Apparel Group Ltd. | 2,942 | 76 |
* | Liberty Media-A Corp-Liberty Braves | 3,337 | 74 |
* | Party City Holdco Inc. | 4,921 | 71 |
CSS Industries Inc. | 2,853 | 70 | |
* | Conn's Inc. | 6,955 | 66 |
Chico's FAS Inc. | 4,525 | 66 | |
* | Reading International Inc. Class A | 4,078 | 65 |
* | 1-800-Flowers.com Inc. Class A | 6,362 | 64 |
Saga Communications Inc. Class A | 1,266 | 63 | |
* | Acushnet Holdings Corp. | 3,404 | 60 |
34
Vanguard® Russell 2000 Value Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Weyco Group Inc. | 2,149 | 59 | |
* | Bridgepoint Education Inc. | 6,186 | 58 |
* | Tuesday Morning Corp. | 15,581 | 57 |
* | Trade Desk Inc. Class A | 1,340 | 57 |
Johnson Outdoors Inc. Class A | 1,611 | 57 | |
* | elf Beauty Inc. | 2,030 | 56 |
Lifetime Brands Inc. | 3,814 | 55 | |
* | West Marine Inc. | 5,898 | 54 |
*,^ | Sequential Brands Group Inc. | 13,645 | 54 |
Cracker Barrel Old Country Store Inc. | 332 | 53 | |
* | tronc Inc. | 3,458 | 50 |
* | Penn National Gaming Inc. | 3,308 | 48 |
* | ZAGG Inc. | 7,843 | 47 |
Metaldyne Performance Group Inc. | 1,947 | 45 | |
* | Arctic Cat Inc. | 2,448 | 45 |
Escalade Inc. | 3,434 | 45 | |
* | Boot Barn Holdings Inc. | 4,323 | 44 |
* | Hibbett Sports Inc. | 1,496 | 44 |
Tilly's Inc. Class A | 3,854 | 42 | |
Bassett Furniture Industries Inc. | 1,513 | 41 | |
* | QuinStreet Inc. | 12,771 | 41 |
* | Delta Apparel Inc. | 2,275 | 40 |
* | J Alexander's Holdings Inc. | 4,245 | 39 |
* | Red Lion Hotels Corp. | 5,085 | 38 |
* | New Home Co. Inc. | 3,590 | 38 |
* | Build-A-Bear Workshop Inc. | 4,067 | 37 |
* | Cooper-Standard Holdings Inc. | 325 | 36 |
* | Ruby Tuesday Inc. | 18,873 | 36 |
Golden Entertainment Inc. | 2,861 | 34 | |
Strattec Security Corp. | 1,111 | 33 | |
* | Townsquare Media Inc. Class A | 2,909 | 32 |
* | Fiesta Restaurant Group Inc. | 1,540 | 31 |
* | Kirkland's Inc. | 2,599 | 29 |
* | Marchex Inc. Class B | 10,472 | 28 |
* | At Home Group Inc. | 1,857 | 28 |
* | JAKKS Pacific Inc. | 4,968 | 26 |
* | Century Casinos Inc. | 3,750 | 26 |
* | Daily Journal Corp. | 119 | 25 |
Salem Media Group Inc. Class A | 3,342 | 24 | |
*,^ | Sears Holdings Corp. | 2,923 | 23 |
*,^ | Empire Resorts Inc. | 925 | 21 |
* | Carrols Restaurant Group Inc. | 1,343 | 21 |
* | Fogo De Chao Inc. | 1,503 | 21 |
* | Cambium Learning Group Inc. | 4,294 | 21 |
* | Luby's Inc. | 5,877 | 20 |
^ | Stage Stores Inc. | 8,244 | 19 |
* | Vera Bradley Inc. | 1,833 | 19 |
Capella Education Co. | 244 | 19 | |
*,^ | Cogint Inc. | 4,591 | 17 |
Camping World Holdings Inc. Class A | 426 | 15 | |
* | Container Store Group Inc. | 3,370 | 14 |
* | Eldorado Resorts Inc. | 790 | 13 |
* | Sears Hometown and Outlet Stores Inc. | 3,401 | 13 |
* | Eastman Kodak Co. | 813 | 12 |
*,^ | Vince Holding Corp. | 6,315 | 11 |
* | Franklin Covey Co. | 609 | 11 |
* | Motorcar Parts of America Inc. | 385 | 11 |
* | Rosetta Stone Inc. | 1,333 | 10 |
* | Destination XL Group Inc. | 3,141 | 9 |
* | Gaia Inc. Class A | 1,047 | 9 |
Carriage Services Inc. Class A | 328 | 8 | |
*,^ | Weight Watchers International Inc. | 586 | 8 |
* | LGI Homes Inc. | 269 | 8 |
* | Kona Grill Inc. | 1,156 | 7 |
35
Vanguard® Russell 2000 Value Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Liberty Tax Inc. | 409 | 6 | |
*,^ | Noodles & Co. Class A | 1,122 | 4 |
* | Sportsman's Warehouse Holdings Inc. | 384 | 2 |
* | Radio One Inc. | 661 | 2 |
* | Hemisphere Media Group Inc. Class A | 10 | — |
32,050 | |||
Consumer Staples (2.1%) | |||
Snyder's-Lance Inc. | 26,811 | 1,061 | |
* | United Natural Foods Inc. | 16,546 | 712 |
Sanderson Farms Inc. | 6,606 | 628 | |
Fresh Del Monte Produce Inc. | 10,139 | 587 | |
Universal Corp. | 7,397 | 501 | |
SpartanNash Co. | 12,265 | 428 | |
Vector Group Ltd. | 17,368 | 396 | |
Andersons Inc. | 8,927 | 353 | |
* | SUPERVALU Inc. | 88,790 | 336 |
Seaboard Corp. | 88 | 320 | |
Dean Foods Co. | 15,299 | 279 | |
Ingles Markets Inc. Class A | 4,614 | 216 | |
Weis Markets Inc. | 3,203 | 192 | |
Omega Protein Corp. | 6,916 | 176 | |
John B Sanfilippo & Son Inc. | 2,036 | 125 | |
Nutraceutical International Corp. | 2,747 | 93 | |
Cal-Maine Foods Inc. | 2,318 | 88 | |
* | Seneca Foods Corp. Class A | 2,151 | 81 |
AdvancePierre Foods Holdings Inc. | 2,652 | 77 | |
Village Super Market Inc. Class A | 2,430 | 72 | |
* | Alliance One International Inc. | 2,686 | 38 |
* | Craft Brew Alliance Inc. | 2,559 | 38 |
* | Natural Grocers by Vitamin Cottage Inc. | 2,943 | 35 |
* | Smart & Final Stores Inc. | 2,463 | 34 |
* | Synutra International Inc. | 5,501 | 32 |
Nature's Sunshine Products Inc. | 2,769 | 31 | |
Alico Inc. | 881 | 22 | |
* | Turning Point Brands Inc. | 830 | 11 |
* | Chefs' Warehouse Inc. | 487 | 7 |
Limoneira Co. | 234 | 4 | |
6,973 | |||
Energy (5.3%) | |||
* | RSP Permian Inc. | 32,628 | 1,288 |
* | PDC Energy Inc. | 18,655 | 1,261 |
* | Oasis Petroleum Inc. | 77,592 | 1,099 |
Western Refining Inc. | 26,823 | 980 | |
Golar LNG Ltd. | 32,028 | 875 | |
SemGroup Corp. Class A | 22,060 | 775 | |
* | NOW Inc. | 35,558 | 681 |
* | Oil States International Inc. | 17,046 | 627 |
* | McDermott International Inc. | 80,163 | 590 |
Delek US Holdings Inc. | 20,517 | 494 | |
* | Unit Corp. | 16,819 | 456 |
* | Synergy Resources Corp. | 54,560 | 446 |
* | Forum Energy Technologies Inc. | 19,973 | 433 |
* | Helix Energy Solutions Group Inc. | 46,076 | 381 |
* | SEACOR Holdings Inc. | 5,345 | 368 |
* | TerraForm Power Inc. Class A | 29,048 | 334 |
* | Exterran Corp. | 10,502 | 320 |
* | Denbury Resources Inc. | 117,525 | 318 |
Archrock Inc. | 23,205 | 317 | |
Green Plains Inc. | 12,144 | 304 | |
* | Fairmount Santrol Holdings Inc. | 30,484 | 289 |
* | Clayton Williams Energy Inc. | 1,953 | 264 |
* | Atwood Oceanics Inc. | 25,094 | 264 |
*,^ | Seadrill Ltd. | 126,864 | 222 |
* | SunCoke Energy Inc. | 21,627 | 211 |
36
Vanguard® Russell 2000 Value Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Newpark Resources Inc. | 27,292 | 210 |
* | California Resources Corp. | 10,535 | 188 |
* | Sanchez Energy Corp. | 15,084 | 173 |
* | Ring Energy Inc. | 13,723 | 170 |
* | REX American Resources Corp. | 1,893 | 158 |
* | Matrix Service Co. | 8,977 | 145 |
TerraForm Global Inc. Class A | 30,237 | 131 | |
* | Pioneer Energy Services Corp. | 25,042 | 131 |
Alon USA Energy Inc. | 10,375 | 126 | |
* | Tesco Corp. | 15,106 | 126 |
* | Sunrun Inc. | 21,385 | 122 |
^ | CVR Energy Inc. | 5,079 | 116 |
* | Bill Barrett Corp. | 20,441 | 113 |
* | Renewable Energy Group Inc. | 12,171 | 108 |
* | Natural Gas Services Group Inc. | 4,034 | 105 |
* | Cobalt International Energy Inc. | 137,383 | 98 |
* | Par Pacific Holdings Inc. | 6,567 | 96 |
* | CARBO Ceramics Inc. | 7,377 | 95 |
* | Westmoreland Coal Co. | 6,203 | 90 |
* | Era Group Inc. | 6,473 | 89 |
* | Parker Drilling Co. | 41,074 | 78 |
* | Clean Energy Fuels Corp. | 31,444 | 77 |
* | Green Brick Partners Inc. | 7,934 | 75 |
* | Geospace Technologies Corp. | 4,475 | 74 |
* | Pacific Ethanol Inc. | 9,364 | 73 |
* | RigNet Inc. | 4,005 | 71 |
* | Smart Sand Inc. | 3,716 | 64 |
*,^ | EP Energy Corp. Class A | 13,329 | 63 |
* | Independence Contract Drilling Inc. | 10,387 | 62 |
* | Jones Energy Inc. Class A | 19,285 | 62 |
* | Abraxas Petroleum Corp. | 28,110 | 60 |
* | TETRA Technologies Inc. | 13,083 | 59 |
* | Contango Oil & Gas Co. | 7,433 | 55 |
* | Mammoth Energy Services Inc. | 2,456 | 53 |
* | Dawson Geophysical Co. | 6,445 | 50 |
* | Northern Oil and Gas Inc. | 16,254 | 49 |
Panhandle Oil and Gas Inc. Class A | 2,436 | 48 | |
* | Hornbeck Offshore Services Inc. | 10,319 | 46 |
* | Willbros Group Inc. | 13,913 | 42 |
* | Eclipse Resources Corp. | 18,394 | 40 |
* | TPI Composites Inc. | 1,980 | 35 |
* | Ameresco Inc. Class A | 6,793 | 34 |
* | W&T Offshore Inc. | 11,490 | 29 |
*,^ | Vivint Solar Inc. | 8,271 | 28 |
Adams Resources & Energy Inc. | 688 | 28 | |
* | EXCO Resources Inc. | 45,832 | 25 |
*,^ | TerraVia Holdings Inc. | 24,868 | 23 |
*,^ | FuelCell Energy Inc. | 12,459 | 19 |
*,^ | Erin Energy Corp. | 5,081 | 17 |
* | Trecora Resources | 1,188 | 14 |
* | Earthstone Energy Inc. | 748 | 10 |
* | EnerNOC Inc. | 1,134 | 6 |
* | Global Geophysical Services Inc. | 223 | — |
17,656 | |||
Financial Services (42.5%) | |||
Webster Financial Corp. | 30,583 | 1,680 | |
New Residential Investment Corp. | 99,229 | 1,674 | |
Prosperity Bancshares Inc. | 22,321 | 1,664 | |
PrivateBancorp Inc. | 26,126 | 1,479 | |
Investors Bancorp Inc. | 99,263 | 1,452 | |
Hudson Pacific Properties Inc. | 38,154 | 1,396 | |
Umpqua Holdings Corp. | 73,718 | 1,387 | |
* | Texas Capital Bancshares Inc. | 15,309 | 1,365 |
Radian Group Inc. | 71,732 | 1,335 |
37
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Hancock Holding Co. | 27,922 | 1,325 |
Wintrust Financial Corp. | 17,083 | 1,259 |
IBERIABANK Corp. | 14,757 | 1,251 |
CNO Financial Group Inc. | 59,626 | 1,247 |
Healthcare Realty Trust Inc. | 38,086 | 1,217 |
* MGIC Investment Corp. | 113,714 | 1,211 |
UMB Financial Corp. | 14,963 | 1,179 |
* Stifel Financial Corp. | 21,334 | 1,151 |
MB Financial Inc. | 25,265 | 1,137 |
* Gramercy Property Trust | 39,940 | 1,117 |
Fulton Financial Corp. | 57,356 | 1,097 |
FNB Corp. | 69,900 | 1,088 |
Sunstone Hotel Investors Inc. | 72,582 | 1,071 |
Sterling Bancorp | 42,287 | 1,047 |
United Bankshares Inc. | 23,216 | 1,039 |
Washington Federal Inc. | 30,310 | 1,026 |
LaSalle Hotel Properties | 35,468 | 1,025 |
Valley National Bancorp | 82,348 | 1,019 |
Cathay General Bancorp | 24,719 | 971 |
Cousins Properties Inc. | 112,573 | 962 |
Glacier Bancorp Inc. | 25,444 | 939 |
Pinnacle Financial Partners Inc. | 13,502 | 937 |
RLJ Lodging Trust | 40,671 | 926 |
GEO Group Inc. | 19,345 | 921 |
Hope Bancorp Inc. | 42,846 | 917 |
Education Realty Trust Inc. | 21,437 | 904 |
First Citizens BancShares Inc. Class A | 2,527 | 900 |
BancorpSouth Inc. | 28,817 | 893 |
Medical Properties Trust Inc. | 64,949 | 872 |
Mack-Cali Realty Corp. | 29,762 | 868 |
Lexington Realty Trust | 76,612 | 855 |
Community Bank System Inc. | 14,383 | 854 |
Great Western Bancorp Inc. | 19,631 | 839 |
Selective Insurance Group Inc. | 18,930 | 839 |
First Industrial Realty Trust Inc. | 30,185 | 812 |
Old National Bancorp | 44,206 | 811 |
CVB Financial Corp. | 33,699 | 800 |
Chemical Financial Corp. | 14,806 | 789 |
South State Corp. | 8,661 | 775 |
Columbia Banking System Inc. | 19,313 | 770 |
American Equity Investment Life Holding Co. | 28,484 | 766 |
Trustmark Corp. | 22,476 | 743 |
* Enstar Group Ltd. | 3,768 | 730 |
DiamondRock Hospitality Co. | 66,846 | 727 |
Colony Starwood Homes | 21,699 | 714 |
Hilltop Holdings Inc. | 24,970 | 709 |
International Bancshares Corp. | 18,173 | 691 |
* Genworth Financial Inc. Class A | 167,667 | 686 |
Pebblebrook Hotel Trust | 23,761 | 683 |
United Community Banks Inc. | 23,336 | 674 |
Acadia Realty Trust | 21,031 | 674 |
EverBank Financial Corp. | 34,199 | 665 |
First Midwest Bancorp Inc. | 26,912 | 657 |
Argo Group International Holdings Ltd. | 9,597 | 642 |
Capitol Federal Financial Inc. | 42,523 | 642 |
LegacyTexas Financial Group Inc. | 14,793 | 630 |
* PRA Group Inc. | 15,351 | 626 |
Kite Realty Group Trust | 27,531 | 624 |
Janus Capital Group Inc. | 47,964 | 607 |
Xenia Hotels & Resorts Inc. | 34,426 | 605 |
Towne Bank | 18,540 | 603 |
Renasant Corp. | 14,384 | 590 |
Invesco Mortgage Capital Inc. | 37,511 | 583 |
Banner Corp. | 9,973 | 580 |
38
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Northwest Bancshares Inc. | 31,906 | 579 |
Monogram Residential Trust Inc. | 56,038 | 577 |
NBT Bancorp Inc. | 14,081 | 569 |
Astoria Financial Corp. | 30,742 | 568 |
CBL & Associates Properties Inc. | 56,432 | 566 |
Horace Mann Educators Corp. | 13,487 | 565 |
First Financial Bancorp | 20,342 | 564 |
Independent Bank Corp. | 8,667 | 563 |
Kemper Corp. | 13,215 | 561 |
Simmons First National Corp. Class A | 9,745 | 560 |
Yadkin Financial Corp. | 16,538 | 555 |
Select Income REIT | 21,103 | 549 |
Global Net Lease Inc. | 66,813 | 548 |
First Merchants Corp. | 13,574 | 545 |
WesBanco Inc. | 13,381 | 540 |
Provident Financial Services Inc. | 20,270 | 538 |
Washington REIT | 16,051 | 525 |
Union Bankshares Corp. | 14,461 | 524 |
Apollo Commercial Real Estate Finance Inc. | 27,380 | 503 |
Sabra Health Care REIT Inc. | 17,971 | 489 |
* FCB Financial Holdings Inc. Class A | 9,968 | 484 |
Park National Corp. | 4,501 | 484 |
Government Properties Income Trust | 23,220 | 479 |
Westamerica Bancorporation | 8,191 | 474 |
Boston Private Financial Holdings Inc. | 27,374 | 471 |
Waddell & Reed Financial Inc. Class A | 23,822 | 458 |
* MBIA Inc. | 44,100 | 455 |
Kearny Financial Corp. | 29,169 | 448 |
Summit Hotel Properties Inc. | 28,820 | 444 |
Washington Prime Group Inc. | 47,748 | 443 |
BNC Bancorp | 12,257 | 441 |
Tompkins Financial Corp. | 4,886 | 438 |
Physicians Realty Trust | 21,878 | 436 |
WSFS Financial Corp. | 9,556 | 436 |
Franklin Street Properties Corp. | 35,028 | 434 |
Agree Realty Corp. | 8,413 | 418 |
Redwood Trust Inc. | 25,389 | 416 |
First Commonwealth Financial Corp. | 29,602 | 412 |
Navigators Group Inc. | 7,482 | 412 |
Ramco-Gershenson Properties Trust | 26,248 | 411 |
S&T Bancorp Inc. | 11,412 | 406 |
CYS Investments Inc. | 50,600 | 406 |
CenterState Banks Inc. | 16,300 | 403 |
Employers Holdings Inc. | 10,645 | 400 |
Berkshire Hills Bancorp Inc. | 11,169 | 395 |
Heartland Financial USA Inc. | 7,772 | 385 |
PennyMac Mortgage Investment Trust | 22,816 | 385 |
Beneficial Bancorp Inc. | 23,400 | 381 |
American Assets Trust Inc. | 8,542 | 376 |
* Walker & Dunlop Inc. | 9,124 | 371 |
Lakeland Financial Corp. | 8,036 | 365 |
Brookline Bancorp Inc. | 22,928 | 363 |
First Financial Bankshares Inc. | 8,000 | 352 |
Chesapeake Lodging Trust | 14,509 | 351 |
Hanmi Financial Corp. | 10,438 | 349 |
* Green Dot Corp. Class A | 11,775 | 345 |
RE/MAX Holdings Inc. Class A | 5,930 | 341 |
Infinity Property & Casualty Corp. | 3,612 | 340 |
Stewart Information Services Corp. | 7,629 | 339 |
Sandy Spring Bancorp Inc. | 7,865 | 339 |
Piper Jaffray Cos. | 4,775 | 338 |
Safety Insurance Group Inc. | 4,753 | 337 |
Capstead Mortgage Corp. | 31,800 | 336 |
* Ambac Financial Group Inc. | 14,939 | 330 |
39
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Alexander & Baldwin Inc. | 7,322 | 328 |
Central Pacific Financial Corp. | 10,194 | 322 |
* LendingClub Corp. | 60,257 | 322 |
City Holding Co. | 4,870 | 319 |
First Busey Corp. | 10,302 | 319 |
State Bank Financial Corp. | 11,687 | 317 |
Terreno Realty Corp. | 11,284 | 313 |
Stock Yards Bancorp Inc. | 7,061 | 312 |
^ Seritage Growth Properties Class A | 6,700 | 311 |
Rexford Industrial Realty Inc. | 13,502 | 310 |
Southside Bancshares Inc. | 8,771 | 309 |
Maiden Holdings Ltd. | 19,907 | 308 |
Cardinal Financial Corp. | 9,790 | 306 |
United Fire Group Inc. | 7,235 | 305 |
National Storage Affiliates Trust | 12,549 | 304 |
Kennedy-Wilson Holdings Inc. | 13,767 | 304 |
Nelnet Inc. Class A | 6,713 | 301 |
FirstCash Inc. | 6,731 | 298 |
* Parkway Inc. | 14,159 | 297 |
United Financial Bancorp Inc. | 16,520 | 295 |
Hannon Armstrong Sustainable Infrastructure Capital Inc. | 14,812 | 293 |
First Interstate BancSystem Inc. Class A | 6,578 | 288 |
Tier REIT Inc. | 15,933 | 288 |
Banco Latinoamericano de Comercio Exterior SA | 10,079 | 284 |
Enterprise Financial Services Corp. | 6,411 | 282 |
* St. Joe Co. | 16,872 | 279 |
ARMOUR Residential REIT Inc. | 12,343 | 278 |
* FNFV Group | 21,845 | 272 |
Monmouth Real Estate Investment Corp. | 18,626 | 272 |
Lakeland Bancorp Inc. | 13,758 | 271 |
New Senior Investment Group Inc. | 25,559 | 271 |
Pennsylvania REIT | 16,336 | 270 |
Washington Trust Bancorp Inc. | 4,966 | 269 |
* Encore Capital Group Inc. | 7,959 | 265 |
Investors Real Estate Trust | 40,748 | 265 |
MainSource Financial Group Inc. | 7,628 | 261 |
Flushing Financial Corp. | 9,307 | 260 |
Meridian Bancorp Inc. | 13,413 | 255 |
TrustCo Bank Corp. NY | 30,517 | 255 |
* First BanCorp | 39,875 | 254 |
Hersha Hospitality Trust Class A | 13,035 | 254 |
* Third Point Reinsurance Ltd. | 20,497 | 254 |
MTGE Investment Corp. | 15,281 | 253 |
ConnectOne Bancorp Inc. | 10,000 | 251 |
Chatham Lodging Trust | 12,473 | 250 |
OceanFirst Financial Corp. | 8,532 | 249 |
TriCo Bancshares | 6,838 | 248 |
National Western Life Group Inc. Class A | 773 | 246 |
BancFirst Corp. | 2,557 | 244 |
Heritage Financial Corp. | 9,748 | 244 |
* Pacific Premier Bancorp Inc. | 6,092 | 244 |
1st Source Corp. | 5,205 | 243 |
Altisource Residential Corp. | 17,696 | 237 |
Silver Bay Realty Trust Corp. | 10,998 | 237 |
New York Mortgage Trust Inc. | 36,892 | 234 |
Northfield Bancorp Inc. | 12,447 | 233 |
Community Trust Bancorp Inc. | 5,086 | 233 |
Independent Bank Group Inc. | 3,681 | 233 |
Getty Realty Corp. | 8,814 | 233 |
* HomeStreet Inc. | 8,508 | 232 |
Univest Corp. of Pennsylvania | 8,321 | 232 |
Retail Opportunity Investments Corp. | 10,524 | 232 |
Meta Financial Group Inc. | 2,687 | 230 |
* Seacoast Banking Corp. of Florida | 9,883 | 230 |
40
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Bryn Mawr Bank Corp. | 5,540 | 227 |
Dime Community Bancshares Inc. | 10,499 | 226 |
Preferred Bank | 4,016 | 225 |
German American Bancorp Inc. | 4,746 | 225 |
FBL Financial Group Inc. Class A | 3,286 | 225 |
Easterly Government Properties Inc. | 10,795 | 223 |
InfraREIT Inc. | 13,390 | 223 |
NorthStar Realty Europe Corp. | 18,338 | 223 |
* Greenlight Capital Re Ltd. Class A | 9,906 | 221 |
Oritani Financial Corp. | 12,789 | 220 |
Bridge Bancorp Inc. | 6,158 | 220 |
PJT Partners Inc. | 5,854 | 217 |
Camden National Corp. | 5,100 | 217 |
Ladder Capital Corp. Class A | 14,498 | 209 |
James River Group Holdings Ltd. | 4,697 | 202 |
* Flagstar Bancorp Inc. | 7,059 | 200 |
First of Long Island Corp. | 7,204 | 198 |
First Bancorp | 6,537 | 196 |
First Potomac Realty Trust | 19,272 | 193 |
Virtus Investment Partners Inc. | 1,752 | 192 |
* INTL. FCStone Inc. | 5,044 | 190 |
Capital Bank Financial Corp. | 4,663 | 190 |
OFG Bancorp | 14,619 | 189 |
Investment Technology Group Inc. | 9,353 | 187 |
CoBiz Financial Inc. | 10,959 | 187 |
Stonegate Bank | 4,023 | 187 |
* KCG Holdings Inc. Class A | 13,435 | 186 |
* CU Bancorp | 4,683 | 184 |
* Customers Bancorp Inc. | 5,356 | 184 |
* NMI Holdings Inc. Class A | 16,389 | 182 |
Great Southern Bancorp Inc. | 3,563 | 178 |
Independence Realty Trust Inc. | 19,340 | 178 |
Mercantile Bank Corp. | 5,312 | 178 |
Anworth Mortgage Asset Corp. | 32,498 | 177 |
Ashford Hospitality Trust Inc. | 26,429 | 174 |
Pacific Continental Corp. | 6,897 | 173 |
* TriState Capital Holdings Inc. | 7,326 | 173 |
Peoples Bancorp Inc. | 5,281 | 172 |
QCR Holdings Inc. | 3,947 | 171 |
Gladstone Commercial Corp. | 8,134 | 169 |
Horizon Bancorp | 6,521 | 169 |
AG Mortgage Investment Trust Inc. | 9,306 | 166 |
Cedar Realty Trust Inc. | 28,142 | 165 |
National General Holdings Corp. | 6,724 | 164 |
Federal Agricultural Mortgage Corp. | 2,841 | 164 |
Suffolk Bancorp | 3,828 | 163 |
Fidelity Southern Corp. | 6,885 | 162 |
Peapack Gladstone Financial Corp. | 5,120 | 160 |
Bar Harbor Bankshares | 3,746 | 160 |
Southwest Bancorp Inc. | 5,956 | 159 |
Waterstone Financial Inc. | 8,420 | 156 |
Financial Institutions Inc. | 4,563 | 156 |
First Financial Corp. | 3,338 | 155 |
Independent Bank Corp. | 6,879 | 147 |
* EZCORP Inc. Class A | 16,728 | 147 |
First Defiance Financial Corp. | 2,982 | 147 |
Four Corners Property Trust Inc. | 6,596 | 146 |
Guaranty Bancorp | 5,889 | 146 |
* Ocwen Financial Corp. | 33,032 | 146 |
Ameris Bancorp | 2,982 | 144 |
HCI Group Inc. | 2,910 | 143 |
CatchMark Timber Trust Inc. Class A | 13,272 | 143 |
CorEnergy Infrastructure Trust Inc. | 3,981 | 142 |
Western Asset Mortgage Capital Corp. | 13,594 | 141 |
41
Vanguard® Russell 2000 Value Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Citizens Inc. Class A | 15,469 | 141 |
NexPoint Residential Trust Inc. | 5,913 | 141 | |
First Community Bancshares Inc. | 5,199 | 140 | |
* | Triumph Bancorp Inc. | 5,206 | 140 |
State Auto Financial Corp. | 5,171 | 139 | |
Blue Hills Bancorp Inc. | 7,495 | 138 | |
Park Sterling Corp. | 11,558 | 137 | |
* | Forestar Group Inc. | 10,301 | 137 |
* | Eagle Bancorp Inc. | 2,179 | 136 |
Bank of Marin Bancorp | 1,974 | 135 | |
United Community Financial Corp. | 15,687 | 135 | |
* | Republic First Bancorp Inc. | 16,852 | 135 |
Whitestone REIT | 9,404 | 133 | |
Heritage Insurance Holdings Inc. | 8,946 | 132 | |
State National Cos. Inc. | 9,425 | 132 | |
Arrow Financial Corp. | 3,768 | 131 | |
* | HomeTrust Bancshares Inc. | 5,463 | 131 |
Bank Mutual Corp. | 13,383 | 130 | |
RLI Corp. | 2,216 | 130 | |
* | Enova International Inc. | 8,961 | 129 |
* | MoneyGram International Inc. | 9,977 | 127 |
* | Nicolet Bankshares Inc. | 2,566 | 125 |
* | Bank of NT Butterfield & Son Ltd. | 3,820 | 125 |
* | Allegiance Bancshares Inc. | 3,321 | 123 |
Carolina Financial Corp. | 4,036 | 121 | |
West Bancorporation Inc. | 5,389 | 119 | |
Ares Commercial Real Estate Corp. | 8,819 | 119 | |
* | Green Bancorp Inc. | 6,943 | 118 |
*,^ | Wins Finance Holdings Inc. | 421 | 117 |
Farmers National Banc Corp. | 8,490 | 117 | |
* | Cowen Group Inc. Class A | 8,157 | 117 |
Clifton Bancorp Inc. | 7,249 | 116 | |
People's Utah Bancorp | 4,374 | 116 | |
* | Franklin Financial Network Inc. | 2,893 | 114 |
Heritage Commerce Corp. | 7,985 | 113 | |
* | Global Indemnity Ltd. | 2,835 | 112 |
Republic Bancorp Inc. Class A | 3,228 | 112 | |
Arlington Asset Investment Corp. Class A | 7,492 | 110 | |
Sierra Bancorp | 3,855 | 110 | |
Preferred Apartment Communities Inc. Class A | 8,053 | 110 | |
One Liberty Properties Inc. | 4,466 | 110 | |
CNB Financial Corp. | 4,511 | 108 | |
* | Tejon Ranch Co. | 4,687 | 108 |
Heritage Oaks Bancorp | 7,847 | 108 | |
* | National Commerce Corp. | 2,863 | 107 |
Dynex Capital Inc. | 15,494 | 106 | |
OneBeacon Insurance Group Ltd. Class A | 6,503 | 106 | |
Old Second Bancorp Inc. | 9,671 | 106 | |
^ | Fidelity & Guaranty Life | 3,966 | 105 |
* | World Acceptance Corp. | 1,998 | 105 |
Enterprise Bancorp Inc. | 3,105 | 103 | |
* | Nationstar Mortgage Holdings Inc. | 5,612 | 102 |
Community Healthcare Trust Inc. | 4,251 | 101 | |
RAIT Financial Trust | 30,090 | 101 | |
MidWestOne Financial Group Inc. | 2,728 | 99 | |
Farmland Partners Inc. | 8,710 | 99 | |
Ashford Hospitality Prime Inc. | 7,620 | 99 | |
Merchants Bancshares Inc. | 1,921 | 99 | |
AMERISAFE Inc. | 1,534 | 99 | |
American National Bankshares Inc. | 2,692 | 98 | |
* | First Foundation Inc. | 5,920 | 97 |
Farmers Capital Bank Corp. | 2,456 | 95 | |
Sun Bancorp Inc. | 3,663 | 95 | |
Cass Information Systems Inc. | 1,444 | 94 |
42
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Peoples Financial Services Corp. | 2,239 | 93 |
* PICO Holdings Inc. | 6,754 | 93 |
UMH Properties Inc. | 6,216 | 92 |
Bluerock Residential Growth REIT Inc. Class A | 7,390 | 92 |
Charter Financial Corp. | 4,709 | 92 |
Banc of California Inc. | 4,725 | 92 |
Macatawa Bank Corp. | 9,058 | 92 |
First Bancorp Inc. | 3,326 | 90 |
Citizens & Northern Corp. | 3,812 | 89 |
* HarborOne Bancorp Inc. | 4,520 | 89 |
First Connecticut Bancorp Inc. | 3,677 | 89 |
Ames National Corp. | 2,747 | 88 |
* Cascade Bancorp | 10,625 | 88 |
* Safeguard Scientifics Inc. | 6,890 | 87 |
First Mid-Illinois Bancshares Inc. | 2,615 | 86 |
* Bancorp Inc. | 16,459 | 85 |
National Bankshares Inc. | 2,246 | 85 |
Resource Capital Corp. | 10,024 | 84 |
* On Deck Capital Inc. | 15,737 | 84 |
* Atlantic Capital Bancshares Inc. | 4,657 | 84 |
LTC Properties Inc. | 1,734 | 84 |
Federated National Holding Co. | 4,141 | 83 |
GAIN Capital Holdings Inc. | 10,316 | 81 |
Universal Insurance Holdings Inc. | 2,996 | 81 |
Orchid Island Capital Inc. | 8,165 | 80 |
Territorial Bancorp Inc. | 2,486 | 80 |
* PennyMac Financial Services Inc. Class A | 4,400 | 79 |
* Veritex Holdings Inc. | 2,730 | 78 |
* FRP Holdings Inc. | 2,071 | 78 |
Old Line Bancshares Inc. | 2,774 | 78 |
^ Access National Corp. | 2,802 | 77 |
BankFinancial Corp. | 5,198 | 77 |
WashingtonFirst Bankshares Inc. | 2,795 | 77 |
EMC Insurance Group Inc. | 2,760 | 77 |
* Equity Bancshares Inc. Class A | 2,337 | 76 |
Shore Bancshares Inc. | 4,322 | 75 |
Penns Woods Bancorp Inc. | 1,552 | 74 |
Capital City Bank Group Inc. | 3,610 | 74 |
* NewStar Financial Inc. | 7,356 | 73 |
* BSB Bancorp Inc. | 2,593 | 72 |
Baldwin & Lyons Inc. | 2,996 | 71 |
* Regional Management Corp. | 3,323 | 70 |
Codorus Valley Bancorp Inc. | 2,658 | 69 |
Southern Missouri Bancorp Inc. | 1,970 | 69 |
Western New England Bancorp Inc. | 6,846 | 69 |
* Ladenburg Thalmann Financial Services Inc. | 30,869 | 69 |
Greenhill & Co. Inc. | 2,307 | 68 |
EVERTEC Inc. | 3,954 | 67 |
Summit Financial Group Inc. | 2,775 | 66 |
LCNB Corp. | 3,018 | 66 |
Great Ajax Corp. | 4,997 | 66 |
First Business Financial Services Inc. | 2,598 | 65 |
Northrim BanCorp Inc. | 2,240 | 65 |
* Southern First Bancshares Inc. | 1,938 | 65 |
* FB Financial Corp. | 2,044 | 65 |
OM Asset Management plc | 4,336 | 65 |
First Internet Bancorp | 2,082 | 64 |
Investors Title Co. | 464 | 64 |
Southern National Bancorp of Virginia Inc. | 3,592 | 61 |
Century Bancorp Inc. Class A | 963 | 61 |
MBT Financial Corp. | 5,733 | 61 |
* Stratus Properties Inc. | 2,013 | 60 |
* Xenith Bankshares Inc. | 2,191 | 58 |
Central Valley Community Bancorp | 2,840 | 58 |
43
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Kinsale Capital Group Inc. | 1,980 | 58 |
* First Community Financial Partners Inc. | 4,389 | 58 |
Home Bancorp Inc. | 1,604 | 58 |
Associated Capital Group Inc. Class A | 1,547 | 58 |
Bear State Financial Inc. | 5,992 | 57 |
SI Financial Group Inc. | 3,849 | 57 |
Oppenheimer Holdings Inc. Class A | 3,398 | 56 |
ACNB Corp. | 1,917 | 56 |
MutualFirst Financial Inc. | 1,742 | 55 |
Premier Financial Bancorp Inc. | 2,995 | 55 |
Owens Realty Mortgage Inc. | 3,281 | 55 |
Middleburg Financial Corp. | 1,511 | 54 |
* First Northwest Bancorp | 3,449 | 53 |
* Trinity Place Holdings Inc. | 6,134 | 52 |
Orrstown Financial Services Inc. | 2,370 | 52 |
First Financial Northwest Inc. | 2,522 | 51 |
Bankwell Financial Group Inc. | 1,548 | 51 |
* Hallmark Financial Services Inc. | 4,609 | 51 |
C&F Financial Corp. | 1,028 | 49 |
* AV Homes Inc. | 2,955 | 49 |
Tiptree Inc. | 7,439 | 47 |
B. Riley Financial Inc. | 3,003 | 46 |
Opus Bank | 2,115 | 46 |
Independence Holding Co. | 2,472 | 45 |
Donegal Group Inc. Class A | 2,670 | 44 |
* Impac Mortgage Holdings Inc. | 3,118 | 43 |
FelCor Lodging Trust Inc. | 5,968 | 43 |
Midland States Bancorp Inc. | 1,218 | 43 |
ESSA Bancorp Inc. | 2,650 | 42 |
Hingham Institution for Savings | 220 | 41 |
* BofI Holding Inc. | 1,266 | 40 |
Provident Financial Holdings Inc. | 2,131 | 40 |
MedEquities Realty Trust Inc. | 3,558 | 39 |
Chemung Financial Corp. | 1,046 | 38 |
* Pacific Mercantile Bancorp | 4,985 | 37 |
Blue Capital Reinsurance Holdings Ltd. | 1,819 | 36 |
FBR & Co. | 1,873 | 34 |
GAMCO Investors Inc. Class A | 1,140 | 34 |
Manning & Napier Inc. | 4,774 | 30 |
City Office REIT Inc. | 2,203 | 29 |
* Provident Bancorp Inc. | 1,317 | 26 |
* UCP Inc. | 2,284 | 25 |
Saul Centers Inc. | 373 | 24 |
Global Medical REIT Inc. | 2,840 | 24 |
* Atlas Financial Holdings Inc. | 1,745 | 24 |
United Insurance Holdings Corp. | 1,362 | 23 |
* Walter Investment Management Corp. | 6,740 | 23 |
* First NBC Bank Holding Co. | 4,958 | 22 |
Armada Hoffler Properties Inc. | 1,545 | 22 |
* Capstar Financial Holdings Inc. | 1,028 | 20 |
^ Greene County Bancorp Inc. | 827 | 18 |
CPI Card Group Inc. | 3,927 | 18 |
Alexander's Inc. | 34 | 15 |
County Bancorp Inc. | 485 | 13 |
California First National Bancorp | 822 | 13 |
Pzena Investment Management Inc. Class A | 1,130 | 11 |
* Paragon Commercial Corp. | 224 | 11 |
Medley Management Inc. Class A | 944 | 9 |
Virtu Financial Inc. Class A | 484 | 8 |
Consolidated-Tomoka Land Co. | 129 | 7 |
Griffin Industrial Realty Inc. | 217 | 7 |
Union Bankshares Inc. | 118 | 5 |
Value Line Inc. | 29 | 1 |
44
Vanguard® Russell 2000 Value Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Fifth Street Asset Management Inc. | 15 | — | |
141,182 | |||
Health Care (4.6%) | |||
* | Wright Medical Group NV | 34,245 | 955 |
* | Bluebird Bio Inc. | 8,442 | 740 |
Owens & Minor Inc. | 18,373 | 663 | |
* | Haemonetics Corp. | 17,036 | 636 |
* | Exelixis Inc. | 28,864 | 621 |
* | Halyard Health Inc. | 15,564 | 608 |
* | Array BioPharma Inc. | 50,558 | 581 |
* | Select Medical Holdings Corp. | 32,767 | 472 |
CONMED Corp. | 9,196 | 383 | |
* | Integer Holdings Corp. | 10,166 | 368 |
* | Community Health Systems Inc. | 36,610 | 357 |
* | Acorda Therapeutics Inc. | 12,375 | 327 |
* | Five Prime Therapeutics Inc. | 6,843 | 314 |
Analogic Corp. | 3,770 | 310 | |
* | Tivity Health Inc. | 10,699 | 309 |
National HealthCare Corp. | 3,775 | 282 | |
* | Merit Medical Systems Inc. | 8,866 | 273 |
* | Momenta Pharmaceuticals Inc. | 16,485 | 255 |
* | Retrophin Inc. | 11,947 | 254 |
Kindred Healthcare Inc. | 27,926 | 251 | |
* | PharMerica Corp. | 9,856 | 242 |
* | ICU Medical Inc. | 1,558 | 234 |
* | Molina Healthcare Inc. | 4,794 | 233 |
* | LHC Group Inc. | 4,688 | 225 |
* | Versartis Inc. | 9,443 | 206 |
* | Lannett Co. Inc. | 9,185 | 202 |
* | AMAG Pharmaceuticals Inc. | 7,971 | 179 |
* | Magellan Health Inc. | 2,278 | 158 |
* | PTC Therapeutics Inc. | 11,124 | 152 |
* | Enanta Pharmaceuticals Inc. | 5,136 | 148 |
* | Triple-S Management Corp. Class B | 7,901 | 148 |
* | AngioDynamics Inc. | 8,922 | 146 |
* | Luminex Corp. | 7,746 | 144 |
* | Almost Family Inc. | 2,810 | 140 |
* | Universal American Corp. | 13,703 | 136 |
Invacare Corp. | 10,368 | 125 | |
* | Esperion Therapeutics Inc. | 4,789 | 125 |
* | REGENXBIO Inc. | 6,698 | 123 |
* | K2M Group Holdings Inc. | 5,999 | 120 |
* | Spectrum Pharmaceuticals Inc. | 18,598 | 119 |
* | Ardelyx Inc. | 8,740 | 119 |
* | Otonomy Inc. | 7,978 | 118 |
PDL BioPharma Inc. | 54,576 | 117 | |
* | Atara Biotherapeutics Inc. | 7,352 | 114 |
*,^ | Celldex Therapeutics Inc. | 31,899 | 113 |
* | Medicines Co. | 1,923 | 101 |
* | Cara Therapeutics Inc. | 5,982 | 96 |
* | Zogenix Inc. | 8,408 | 87 |
* | Akebia Therapeutics Inc. | 8,646 | 87 |
* | Chimerix Inc. | 14,569 | 83 |
* | Exactech Inc. | 3,398 | 83 |
* | Karyopharm Therapeutics Inc. | 7,076 | 73 |
* | RTI Surgical Inc. | 19,450 | 73 |
* | Addus HomeCare Corp. | 2,127 | 68 |
* | Albany Molecular Research Inc. | 4,547 | 68 |
* | Tetraphase Pharmaceuticals Inc. | 12,504 | 65 |
*,^ | Omeros Corp. | 5,105 | 62 |
* | Surgery Partners Inc. | 2,479 | 56 |
* | CryoLife Inc. | 3,453 | 55 |
* | Epizyme Inc. | 3,741 | 53 |
* | Portola Pharmaceuticals Inc. | 1,453 | 50 |
45
Vanguard® Russell 2000 Value Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Adamas Pharmaceuticals Inc. | 2,691 | 50 |
* | Merrimack Pharmaceuticals Inc. | 16,059 | 49 |
* | BioScrip Inc. | 31,639 | 48 |
* | AtriCure Inc. | 2,401 | 44 |
* | Anika Therapeutics Inc. | 854 | 40 |
* | Stemline Therapeutics Inc. | 5,657 | 40 |
* | Cotiviti Holdings Inc. | 1,022 | 38 |
* | Nobilis Health Corp. | 16,628 | 37 |
* | Innoviva Inc. | 3,113 | 36 |
* | Edge Therapeutics Inc. | 3,517 | 34 |
* | Ignyta Inc. | 3,693 | 33 |
*,^ | Bellicum Pharmaceuticals Inc. | 2,505 | 31 |
* | Concert Pharmaceuticals Inc. | 3,178 | 30 |
* | Zafgen Inc. | 7,334 | 29 |
* | NewLink Genetics Corp. | 1,843 | 29 |
* | Cidara Therapeutics Inc. | 3,960 | 29 |
*,^ | Egalet Corp. | 5,379 | 27 |
* | BioCryst Pharmaceuticals Inc. | 4,223 | 26 |
* | Voyager Therapeutics Inc. | 2,031 | 26 |
*,^ | TransEnterix Inc. | 19,962 | 26 |
Meridian Bioscience Inc. | 1,947 | 25 | |
* | Endocyte Inc. | 11,468 | 24 |
* | NantKwest Inc. | 4,799 | 23 |
* | Medpace Holdings Inc. | 772 | 22 |
* | Rigel Pharmaceuticals Inc. | 8,479 | 21 |
* | Genesis Healthcare Inc. | 6,384 | 21 |
* | Agenus Inc. | 4,702 | 20 |
* | Adverum Biotechnologies Inc. | 6,948 | 18 |
*,^ | TherapeuticsMD Inc. | 2,901 | 18 |
* | Cerus Corp. | 4,180 | 18 |
* | iRhythm Technologies Inc. | 382 | 15 |
* | Cellular Biomedicine Group Inc. | 1,135 | 15 |
* | WaVe Life Sciences Ltd. | 428 | 13 |
* | OvaScience Inc. | 8,699 | 13 |
* | Corvus Pharmaceuticals Inc. | 844 | 12 |
* | Ra Pharmaceuticals Inc. | 556 | 12 |
* | Accelerate Diagnostics Inc. | 448 | 11 |
*,^ | Immunomedics Inc. | 2,263 | 11 |
Phibro Animal Health Corp. Class A | 366 | 10 | |
* | Quidel Corp. | 469 | 10 |
* | Rockwell Medical Inc. | 1,539 | 9 |
* | Syndax Pharmaceuticals Inc. | 742 | 8 |
* | Myovant Sciences Ltd. | 724 | 8 |
* | American Renal Associates Holdings Inc. | 331 | 7 |
* | Audentes Therapeutics Inc. | 436 | 7 |
* | Tactile Systems Technology Inc. | 324 | 7 |
* | Protagonist Therapeutics Inc. | 448 | 6 |
* | Syros Pharmaceuticals Inc. | 524 | 6 |
National Research Corp. Class A | 308 | 6 | |
* | Enzo Biochem Inc. | 722 | 5 |
* | Fulgent Genetics Inc. | 408 | 5 |
* | Aratana Therapeutics Inc. | 665 | 4 |
* | Tabula Rasa HealthCare Inc. | 308 | 4 |
* | Clearside Biomedical Inc. | 548 | 4 |
* | Idera Pharmaceuticals Inc. | 2,162 | 4 |
* | Dimension Therapeutics Inc. | 2,329 | 4 |
* | NantHealth Inc. | 436 | 3 |
* | Infinity Pharmaceuticals Inc. | 1,171 | 3 |
* | Selecta Biosciences Inc. | 236 | 3 |
* | Arrowhead Pharmaceuticals Inc. | 1,234 | 3 |
* | Osiris Therapeutics Inc. | 436 | 3 |
* | Neos Therapeutics Inc. | 409 | 2 |
* | Codexis Inc. | 595 | 2 |
* | Pfenex Inc. | 337 | 2 |
46
Vanguard® Russell 2000 Value Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Novan Inc. | 410 | 2 |
* | Obalon Therapeutics Inc. | 222 | 2 |
* | Flex Pharma Inc. | 474 | 2 |
* | Trovagene Inc. | 704 | 1 |
* | Titan Pharmaceuticals Inc. | 335 | 1 |
* | Immune Design Corp. | 201 | 1 |
* | Inotek Pharmaceuticals Corp. | 530 | 1 |
* | Kadmon Holdings Inc. | 48 | — |
* | Athersys Inc. | 120 | — |
* | CytRx Corp. | 230 | — |
PharmAthene Inc. | 20 | — | |
15,164 | |||
Materials & Processing (5.7%) | |||
Olin Corp. | 55,155 | 1,714 | |
* | Cliffs Natural Resources Inc. | 93,794 | 1,000 |
* | AK Steel Holding Corp. | 103,886 | 865 |
Commercial Metals Co. | 38,440 | 812 | |
Hecla Mining Co. | 127,289 | 710 | |
* | Stillwater Mining Co. | 40,848 | 697 |
Allegheny Technologies Inc. | 36,047 | 692 | |
* | MRC Global Inc. | 31,273 | 632 |
Carpenter Technology Corp. | 15,388 | 624 | |
KapStone Paper and Packaging Corp. | 26,773 | 605 | |
Innospec Inc. | 7,856 | 513 | |
Greif Inc. Class A | 8,591 | 490 | |
Cabot Microelectronics Corp. | 6,766 | 468 | |
Stepan Co. | 5,891 | 445 | |
Minerals Technologies Inc. | 5,267 | 407 | |
Tronox Ltd. Class A | 21,366 | 370 | |
* | Chemtura Corp. | 10,366 | 344 |
Chemours Co. | 10,153 | 342 | |
Schweitzer-Mauduit International Inc. | 8,139 | 334 | |
A Schulman Inc. | 9,611 | 324 | |
PH Glatfelter Co. | 14,557 | 322 | |
Kaiser Aluminum Corp. | 3,743 | 295 | |
* | TimkenSteel Corp. | 13,058 | 273 |
* | Kraton Corp. | 9,871 | 269 |
Calgon Carbon Corp. | 16,787 | 237 | |
Ferroglobe plc | 21,593 | 233 | |
Materion Corp. | 6,636 | 231 | |
Mueller Industries Inc. | 5,399 | 226 | |
* | Century Aluminum Co. | 15,568 | 219 |
Schnitzer Steel Industries Inc. | 8,776 | 209 | |
Quanex Building Products Corp. | 10,285 | 201 | |
NN Inc. | 8,730 | 176 | |
Haynes International Inc. | 4,095 | 160 | |
Tredegar Corp. | 8,383 | 159 | |
* | Armstrong Flooring Inc. | 7,332 | 157 |
* | Gibraltar Industries Inc. | 3,728 | 155 |
* | Ingevity Corp. | 2,809 | 152 |
American Vanguard Corp. | 9,358 | 147 | |
* | Rexnord Corp. | 6,432 | 143 |
* | Unifi Inc. | 5,220 | 142 |
* | Veritiv Corp. | 2,544 | 142 |
Quaker Chemical Corp. | 1,040 | 137 | |
Greif Inc. Class B | 1,923 | 134 | |
* | Coeur Mining Inc. | 15,521 | 133 |
Hawkins Inc. | 2,544 | 126 | |
FutureFuel Corp. | 8,414 | 111 | |
Kronos Worldwide Inc. | 7,361 | 102 | |
* | GCP Applied Technologies Inc. | 3,741 | 99 |
* | Landec Corp. | 6,968 | 88 |
Universal Forest Products Inc. | 901 | 86 | |
* | Louisiana-Pacific Corp. | 3,317 | 78 |
47
Vanguard® Russell 2000 Value Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Rayonier Advanced Materials Inc. | 5,813 | 77 | |
*,^ | LSB Industries Inc. | 7,066 | 77 |
Olympic Steel Inc. | 2,973 | 72 | |
DMC Global Inc. | 4,788 | 72 | |
LSI Industries Inc. | 6,697 | 66 | |
* | BMC Stock Holdings Inc. | 2,862 | 60 |
KMG Chemicals Inc. | 1,592 | 59 | |
* | Koppers Holdings Inc. | 1,323 | 58 |
Oil-Dri Corp. of America | 1,605 | 57 | |
* | Boise Cascade Co. | 1,853 | 50 |
* | UFP Technologies Inc. | 2,059 | 49 |
* | OMNOVA Solutions Inc. | 5,062 | 47 |
Interface Inc. Class A | 2,385 | 45 | |
* | Ryerson Holding Corp. | 4,082 | 44 |
United States Lime & Minerals Inc. | 570 | 43 | |
Griffon Corp. | 1,690 | 43 | |
Ampco-Pittsburgh Corp. | 2,781 | 41 | |
Innophos Holdings Inc. | 759 | 40 | |
Valhi Inc. | 7,084 | 24 | |
Global Brass & Copper Holdings Inc. | 659 | 22 | |
* | Handy & Harman Ltd. | 905 | 22 |
* | AgroFresh Solutions Inc. | 7,143 | 19 |
* | Forterra Inc. | 824 | 16 |
Gold Resource Corp. | 3,113 | 16 | |
Aceto Corp. | 1,051 | 16 | |
* | Lawson Products Inc. | 516 | 14 |
* | NL Industries Inc. | 2,361 | 14 |
CompX International Inc. | 480 | 7 | |
* | Ferroglobe R&W Trust | 19,424 | — |
18,900 | |||
Other (0.0%)2 | |||
* | Media General Inc. CVR | 35,434 | 10 |
* | REV Group Inc. | 195 | 6 |
* | JELD-WEN Holding Inc. | 162 | 5 |
* | Jagged Peak Energy Inc. | 260 | 4 |
* | Keane Group Inc. | 167 | 3 |
* | Gerber Scientific Inc. CVR | 519 | — |
28 | |||
Producer Durables (12.7%) | |||
* | XPO Logistics Inc. | 32,594 | 1,662 |
* | Teledyne Technologies Inc. | 8,227 | 1,081 |
EMCOR Group Inc. | 16,818 | 1,034 | |
Kennametal Inc. | 26,321 | 976 | |
Joy Global Inc. | 32,805 | 925 | |
* | KLX Inc. | 17,568 | 884 |
* | Esterline Technologies Corp. | 9,824 | 873 |
Barnes Group Inc. | 16,753 | 839 | |
GATX Corp. | 13,600 | 790 | |
EnerSys | 10,192 | 782 | |
ABM Industries Inc. | 18,586 | 758 | |
* | Moog Inc. Class A | 9,618 | 650 |
Tetra Tech Inc. | 16,060 | 646 | |
UniFirst Corp. | 4,616 | 614 | |
SkyWest Inc. | 16,747 | 589 | |
* | Darling Ingredients Inc. | 40,019 | 521 |
* | FTI Consulting Inc. | 12,640 | 509 |
* | ACCO Brands Corp. | 35,369 | 474 |
* | TopBuild Corp. | 11,112 | 466 |
* | Atlas Air Worldwide Holdings Inc. | 8,146 | 463 |
Triumph Group Inc. | 16,455 | 457 | |
ESCO Technologies Inc. | 8,431 | 457 | |
Cubic Corp. | 8,463 | 445 | |
* | OSI Systems Inc. | 5,836 | 440 |
Applied Industrial Technologies Inc. | 6,912 | 436 |
48
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Kaman Corp. | 8,128 | 421 |
* Navistar International Corp. | 15,454 | 418 |
Werner Enterprises Inc. | 14,812 | 415 |
* Saia Inc. | 8,398 | 406 |
* SPX FLOW Inc. | 11,766 | 400 |
Curtiss-Wright Corp. | 4,051 | 396 |
Aircastle Ltd. | 15,888 | 382 |
AAR Corp. | 11,074 | 381 |
* Harsco Corp. | 26,959 | 380 |
Greenbrier Cos. Inc. | 8,990 | 378 |
* Navigant Consulting Inc. | 15,866 | 370 |
Albany International Corp. | 8,105 | 368 |
* SPX Corp. | 13,925 | 367 |
* Chart Industries Inc. | 10,191 | 363 |
* Sykes Enterprises Inc. | 12,815 | 349 |
* TrueBlue Inc. | 13,201 | 343 |
CIRCOR International Inc. | 5,511 | 342 |
* Rush Enterprises Inc. Class A | 9,811 | 338 |
Wabash National Corp. | 15,784 | 334 |
* TriMas Corp. | 14,962 | 330 |
* Tutor Perini Corp. | 10,613 | 323 |
Convergys Corp. | 14,575 | 319 |
Encore Wire Corp. | 6,705 | 318 |
Briggs & Stratton Corp. | 14,134 | 302 |
Federal Signal Corp. | 20,099 | 299 |
McGrath RentCorp | 7,841 | 295 |
Ship Finance International Ltd. | 19,951 | 294 |
Actuant Corp. Class A | 10,291 | 273 |
Triton International Ltd. | 10,999 | 272 |
Matson Inc. | 7,989 | 271 |
* Huron Consulting Group Inc. | 6,222 | 270 |
* Aegion Corp. Class A | 11,755 | 268 |
^ Nordic American Tankers Ltd. | 32,803 | 260 |
* ICF International Inc. | 6,017 | 258 |
* Manitowoc Co. Inc. | 42,139 | 256 |
* Babcock & Wilcox Enterprises Inc. | 15,330 | 253 |
Korn/Ferry International | 7,766 | 240 |
ArcBest Corp. | 8,144 | 239 |
MSA Safety Inc. | 3,299 | 238 |
* Air Transport Services Group Inc. | 13,733 | 234 |
* PHH Corp. | 17,790 | 225 |
* CBIZ Inc. | 16,566 | 220 |
* Thermon Group Holdings Inc. | 10,723 | 216 |
Astec Industries Inc. | 3,418 | 216 |
Scorpio Tankers Inc. | 54,999 | 212 |
Kelly Services Inc. Class A | 9,803 | 210 |
^ GasLog Ltd. | 13,517 | 209 |
Essendant Inc. | 12,565 | 200 |
Titan International Inc. | 14,739 | 195 |
Marten Transport Ltd. | 7,700 | 189 |
Alamo Group Inc. | 2,487 | 187 |
* MYR Group Inc. | 4,973 | 187 |
* Engility Holdings Inc. | 5,950 | 186 |
* Aerojet Rocketdyne Holdings Inc. | 9,508 | 184 |
* DXP Enterprises Inc. | 5,205 | 182 |
Kadant Inc. | 2,908 | 180 |
* RPX Corp. | 16,657 | 179 |
* CSW Industrials Inc. | 4,822 | 179 |
* Modine Manufacturing Co. | 15,560 | 177 |
* Wesco Aircraft Holdings Inc. | 14,572 | 176 |
Bristow Group Inc. | 11,190 | 176 |
Granite Construction Inc. | 3,213 | 170 |
Columbus McKinnon Corp. | 6,448 | 166 |
^ Frontline Ltd. | 23,556 | 163 |
49
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Resources Connection Inc. | 9,566 | 162 |
Teekay Corp. | 16,200 | 159 |
* Aerovironment Inc. | 5,876 | 159 |
* Kratos Defense & Security Solutions Inc. | 18,959 | 156 |
* Casella Waste Systems Inc. Class A | 12,930 | 151 |
G&K Services Inc. Class A | 1,589 | 150 |
Heidrick & Struggles International Inc. | 6,074 | 148 |
* FARO Technologies Inc. | 4,208 | 145 |
DHT Holdings Inc. | 30,867 | 143 |
Brady Corp. Class A | 3,675 | 141 |
Ennis Inc. | 8,419 | 138 |
* Scorpio Bulkers Inc. | 18,425 | 136 |
Raven Industries Inc. | 4,570 | 135 |
Hyster-Yale Materials Handling Inc. | 2,144 | 131 |
Park-Ohio Holdings Corp. | 2,863 | 128 |
Mobile Mini Inc. | 3,837 | 125 |
Quad/Graphics Inc. | 4,445 | 121 |
VSE Corp. | 2,923 | 119 |
Textainer Group Holdings Ltd. | 7,513 | 118 |
American Railcar Industries Inc. | 2,565 | 114 |
* YRC Worldwide Inc. | 8,626 | 111 |
* Ducommun Inc. | 3,559 | 110 |
CECO Environmental Corp. | 9,674 | 109 |
* Control4 Corp. | 6,738 | 101 |
* International Seaways Inc. | 5,348 | 100 |
Powell Industries Inc. | 2,937 | 96 |
CRA International Inc. | 2,627 | 94 |
Teekay Tankers Ltd. Class A | 38,648 | 90 |
Standex International Corp. | 928 | 89 |
Miller Industries Inc. | 3,466 | 87 |
NACCO Industries Inc. Class A | 1,338 | 86 |
* Titan Machinery Inc. | 6,010 | 85 |
* CAI International Inc. | 5,271 | 82 |
* Great Lakes Dredge & Dock Corp. | 18,326 | 80 |
* Roadrunner Transportation Systems Inc. | 10,486 | 79 |
* Covenant Transportation Group Inc. Class A | 3,923 | 79 |
* Orion Group Holdings Inc. | 8,233 | 77 |
* Dorian LPG Ltd. | 8,161 | 77 |
Spartan Motors Inc. | 11,283 | 75 |
Celadon Group Inc. | 8,785 | 71 |
* Vectrus Inc. | 2,915 | 71 |
* Liquidity Services Inc. | 8,579 | 70 |
Graham Corp. | 3,101 | 68 |
Marlin Business Services Corp. | 2,843 | 68 |
* Vishay Precision Group Inc. | 4,103 | 66 |
* Gener8 Maritime Inc. | 13,402 | 65 |
* Overseas Shipholding Group Inc. Class A | 12,944 | 65 |
* Rush Enterprises Inc. Class B | 2,005 | 64 |
Costamare Inc. | 10,328 | 63 |
Ardmore Shipping Corp. | 9,140 | 63 |
* TRC Cos. Inc. | 6,013 | 62 |
Hurco Cos. Inc. | 2,192 | 60 |
* HC2 Holdings Inc. | 10,675 | 59 |
Altra Industrial Motion Corp. | 1,496 | 58 |
FreightCar America Inc. | 4,146 | 57 |
* Maxwell Technologies Inc. | 11,017 | 56 |
* Layne Christensen Co. | 5,832 | 56 |
* Advanced Disposal Services Inc. | 2,426 | 53 |
* Ascent Capital Group Inc. Class A | 3,256 | 52 |
* PHI Inc. | 3,521 | 51 |
Knight Transportation Inc. | 1,511 | 49 |
Navios Maritime Acquisition Corp. | 26,237 | 48 |
* Hub Group Inc. Class A | 852 | 43 |
Watts Water Technologies Inc. Class A | 644 | 41 |
50
Vanguard® Russell 2000 Value Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Atkore International Group Inc. | 1,556 | 41 |
Franklin Electric Co. Inc. | 956 | 40 | |
Hardinge Inc. | 3,816 | 40 | |
Lindsay Corp. | 481 | 39 | |
* | Advanced Energy Industries Inc. | 604 | 37 |
Preformed Line Products Co. | 800 | 37 | |
* | Gencor Industries Inc. | 2,535 | 36 |
Douglas Dynamics Inc. | 1,068 | 36 | |
* | Willis Lease Finance Corp. | 1,373 | 35 |
Supreme Industries Inc. Class A | 1,764 | 34 | |
Kimball International Inc. Class B | 2,010 | 33 | |
* | Hill International Inc. | 6,528 | 32 |
* | Heritage-Crystal Clean Inc. | 2,091 | 31 |
* | ExOne Co. | 3,135 | 31 |
* | Radiant Logistics Inc. | 5,540 | 31 |
Sun Hydraulics Corp. | 826 | 31 | |
* | Neff Corp. Class A | 1,947 | 30 |
* | ServiceSource International Inc. | 7,552 | 30 |
MTS Systems Corp. | 519 | 29 | |
* | Echo Global Logistics Inc. | 1,272 | 28 |
*,^ | Plug Power Inc. | 24,884 | 27 |
* | USA Truck Inc. | 2,796 | 27 |
* | Blue Bird Corp. | 1,449 | 25 |
* | Global Sources Ltd. | 2,681 | 23 |
* | American Superconductor Corp. | 3,750 | 23 |
* | NV5 Global Inc. | 594 | 22 |
Gorman-Rupp Co. | 696 | 22 | |
Tennant Co. | 292 | 21 | |
* | Tidewater Inc. | 15,068 | 20 |
* | Team Inc. | 584 | 20 |
General Cable Corp. | 1,198 | 20 | |
* | PAM Transportation Services Inc. | 710 | 13 |
Universal Logistics Holdings Inc. | 863 | 12 | |
* | Milacron Holdings Corp. | 575 | 10 |
* | SP Plus Corp. | 263 | 8 |
* | InnerWorkings Inc. | 791 | 8 |
* | Vicor Corp. | 454 | 7 |
* | IES Holdings Inc. | 236 | 4 |
*,^ | Power Solutions International Inc. | 326 | 2 |
* | PFSweb Inc. | 196 | 1 |
* | Workhorse Group Inc. | 253 | 1 |
42,280 | |||
Technology (10.1%) | |||
* | Advanced Micro Devices Inc. | 130,528 | 1,887 |
Mentor Graphics Corp. | 35,603 | 1,321 | |
* | Finisar Corp. | 35,819 | 1,199 |
SYNNEX Corp. | 9,724 | 1,137 | |
* | NetScout Systems Inc. | 29,886 | 1,104 |
MKS Instruments Inc. | 16,801 | 1,102 | |
* | CACI International Inc. Class A | 8,131 | 1,020 |
* | Tech Data Corp. | 11,642 | 1,013 |
* | Sanmina Corp. | 24,479 | 955 |
* | Anixter International Inc. | 9,649 | 804 |
* | Viavi Solutions Inc. | 78,306 | 785 |
* | Verint Systems Inc. | 20,696 | 781 |
Vishay Intertechnology Inc. | 45,440 | 720 | |
* | DigitalGlobe Inc. | 21,020 | 665 |
* | Plexus Corp. | 11,118 | 623 |
* | Knowles Corp. | 29,260 | 554 |
* | Mercury Systems Inc. | 14,362 | 537 |
* | Insight Enterprises Inc. | 12,193 | 516 |
* | Benchmark Electronics Inc. | 16,432 | 511 |
* | II-VI Inc. | 14,248 | 507 |
* | TiVo Corp. | 27,120 | 502 |
51
Vanguard® Russell 2000 Value Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Brooks Automation Inc. | 22,618 | 472 | |
Diebold Nixdorf Inc. | 15,045 | 454 | |
* | Ixia | 21,466 | 421 |
Progress Software Corp. | 14,401 | 413 | |
* | NeuStar Inc. Class A | 12,080 | 400 |
* | TTM Technologies Inc. | 24,094 | 389 |
* | Acxiom Corp. | 13,116 | 374 |
* | Ambarella Inc. | 6,341 | 374 |
* | Entegris Inc. | 17,613 | 373 |
* | Veeco Instruments Inc. | 13,260 | 363 |
* | Rambus Inc. | 26,942 | 338 |
* | ScanSource Inc. | 8,341 | 336 |
* | InvenSense Inc. | 27,123 | 335 |
* | Rogers Corp. | 3,948 | 326 |
* | Amkor Technology Inc. | 31,613 | 310 |
* | Diodes Inc. | 12,716 | 304 |
ManTech International Corp. Class A | 8,216 | 301 | |
* | MicroStrategy Inc. Class A | 1,517 | 291 |
* | Super Micro Computer Inc. | 10,138 | 264 |
* | Applied Optoelectronics Inc. | 5,537 | 254 |
AVX Corp. | 15,382 | 239 | |
* | Photronics Inc. | 21,954 | 235 |
CTS Corp. | 10,508 | 230 | |
* | Rudolph Technologies Inc. | 9,888 | 213 |
Xperi Corp. | 5,628 | 202 | |
* | NETGEAR Inc. | 3,633 | 199 |
* | Novanta Inc. | 7,770 | 189 |
* | Ultratech Inc. | 6,532 | 188 |
* | Cavium Inc. | 2,739 | 179 |
* | Bankrate Inc. | 15,670 | 171 |
*,^ | Stratasys Ltd. | 8,621 | 170 |
* | Actua Corp. | 11,912 | 163 |
* | Blucora Inc. | 10,392 | 162 |
* | Infinera Corp. | 14,056 | 153 |
* | ViaSat Inc. | 2,203 | 152 |
* | Xcerra Corp. | 17,320 | 151 |
* | Kimball Electronics Inc. | 9,370 | 151 |
* | Axcelis Technologies Inc. | 9,681 | 150 |
* | Ultra Clean Holdings Inc. | 10,788 | 149 |
*,^ | KEYW Holding Corp. | 14,863 | 147 |
Cohu Inc. | 8,828 | 147 | |
* | Harmonic Inc. | 25,592 | 138 |
Park Electrochemical Corp. | 6,520 | 125 | |
* | Alpha & Omega Semiconductor Ltd. | 6,415 | 124 |
* | Bazaarvoice Inc. | 27,536 | 123 |
ADTRAN Inc. | 5,714 | 121 | |
* | RetailMeNot Inc. | 13,106 | 117 |
* | Exar Corp. | 10,935 | 114 |
Daktronics Inc. | 12,193 | 114 | |
* | ShoreTel Inc. | 17,516 | 114 |
* | Digi International Inc. | 8,699 | 107 |
* | Evolent Health Inc. Class A | 5,357 | 106 |
IXYS Corp. | 8,525 | 105 | |
* | FormFactor Inc. | 9,689 | 103 |
PC Connection Inc. | 3,696 | 99 | |
* | Acacia Research Corp. | 16,779 | 98 |
* | Calix Inc. | 14,056 | 97 |
* | Telenav Inc. | 11,100 | 90 |
* | NeoPhotonics Corp. | 8,779 | 89 |
QAD Inc. Class A | 3,081 | 85 | |
Comtech Telecommunications Corp. | 7,342 | 84 | |
* | Sonus Networks Inc. | 14,097 | 83 |
* | pdvWireless Inc. | 3,170 | 82 |
Bel Fuse Inc. Class B | 3,045 | 79 |
52
Vanguard® Russell 2000 Value Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
EMCORE Corp. | 8,819 | 79 |
* DSP Group Inc. | 7,428 | 78 |
* Unisys Corp. | 5,505 | 77 |
* ePlus Inc. | 577 | 73 |
* Immersion Corp. | 6,586 | 72 |
* Sigma Designs Inc. | 12,233 | 72 |
* Kopin Corp. | 19,971 | 70 |
* Sparton Corp. | 2,967 | 69 |
* Rubicon Project Inc. | 7,784 | 68 |
* Global Eagle Entertainment Inc. | 14,984 | 66 |
* Glu Mobile Inc. | 33,249 | 64 |
* Electro Scientific Industries Inc. | 9,431 | 63 |
* Perficient Inc. | 3,463 | 63 |
NVE Corp. | 799 | 63 |
* ARC Document Solutions Inc. | 14,245 | 57 |
* Tangoe Inc. | 9,481 | 54 |
* GigPeak Inc. | 17,474 | 53 |
* Limelight Networks Inc. | 22,890 | 51 |
* Vocera Communications Inc. | 2,465 | 51 |
* Silicom Ltd. | 1,341 | 51 |
* KVH Industries Inc. | 4,880 | 49 |
Methode Electronics Inc. | 1,036 | 43 |
* Bottomline Technologies de Inc. | 1,718 | 43 |
Black Box Corp. | 4,751 | 43 |
* Oclaro Inc. | 5,024 | 43 |
* Agilysys Inc. | 4,537 | 41 |
* Nanometrics Inc. | 1,493 | 41 |
* RealNetworks Inc. | 8,273 | 41 |
* Rightside Group Ltd. | 3,751 | 31 |
* TechTarget Inc. | 3,349 | 31 |
* NCI Inc. Class A | 2,028 | 30 |
Systemax Inc. | 3,711 | 29 |
* Autobytel Inc. | 2,213 | 28 |
* Quantenna Communications Inc. | 1,240 | 26 |
* Blackline Inc. | 858 | 24 |
* Impinj Inc. | 732 | 21 |
* Avid Technology Inc. | 3,502 | 20 |
* Numerex Corp. Class A | 3,762 | 19 |
* Coupa Software Inc. | 684 | 18 |
Reis Inc. | 925 | 18 |
* PDF Solutions Inc. | 655 | 14 |
* Everbridge Inc. | 724 | 14 |
* SecureWorks Corp. Class A | 1,251 | 13 |
* VASCO Data Security International Inc. | 881 | 11 |
* Apptio Inc. Class A | 720 | 9 |
* MeetMe Inc. | 1,701 | 8 |
* Silver Spring Networks Inc. | 562 | 7 |
* Digimarc Corp. | 231 | 6 |
* USA Technologies Inc. | 1,305 | 5 |
* ChannelAdvisor Corp. | 469 | 5 |
* Radisys Corp. | 798 | 3 |
* Park City Group Inc. | 178 | 3 |
33,503 | ||
Utilities (6.7%) | ||
IDACORP Inc. | 16,847 | 1,397 |
Portland General Electric Co. | 29,840 | 1,353 |
WGL Holdings Inc. | 15,917 | 1,329 |
Southwest Gas Holdings Inc. | 14,083 | 1,204 |
ONE Gas Inc. | 17,368 | 1,138 |
Black Hills Corp. | 17,214 | 1,117 |
ALLETE Inc. | 16,562 | 1,113 |
New Jersey Resources Corp. | 26,259 | 1,035 |
Spire Inc. | 14,828 | 977 |
PNM Resources Inc. | 26,636 | 967 |
53
Vanguard® Russell 2000 Value Index Fund | |||||
Schedule of Investments | |||||
February 28, 2017 | |||||
Market | |||||
Value | |||||
Shares | ($000) | ||||
NorthWestern Corp. | 16,260 | 951 | |||
South Jersey Industries Inc. | 26,629 | 933 | |||
Avista Corp. | 21,074 | 840 | |||
El Paso Electric Co. | 13,421 | 656 | |||
Northwest Natural Gas Co. | 9,066 | 545 | |||
Otter Tail Corp. | 12,680 | 477 | |||
Atlantica Yield plc | 19,681 | 428 | |||
MGE Energy Inc. | 6,267 | 401 | |||
Ormat Technologies Inc. | 7,128 | 393 | |||
NRG Yield Inc. | 21,178 | 368 | |||
* | Vonage Holdings Corp. | 56,391 | 339 | ||
Chesapeake Utilities Corp. | 4,615 | 318 | |||
* | Dynegy Inc. | 38,869 | 312 | ||
West Corp. | 12,310 | 294 | |||
* | Cincinnati Bell Inc. | 13,938 | 269 | ||
SJW Group | 5,421 | 263 | |||
ATN International Inc. | 3,540 | 242 | |||
California Water Service Group | 6,541 | 240 | |||
* | Iridium Communications Inc. | 27,335 | 238 | ||
^ | Windstream Holdings Inc. | 28,009 | 209 | ||
Unitil Corp. | 4,650 | 207 | |||
NRG Yield Inc. Class A | 11,754 | 198 | |||
American States Water Co. | 4,066 | 182 | |||
Connecticut Water Service Inc. | 2,835 | 162 | |||
Spok Holdings Inc. | 6,923 | 126 | |||
Consolidated Communications Holdings Inc. | 5,113 | 115 | |||
* | Lumos Networks Corp. | 5,626 | 100 | ||
Pattern Energy Group Inc. Class A | 4,460 | 93 | |||
* | Atlantic Power Corp. | 37,747 | 89 | ||
Artesian Resources Corp. Class A | 2,638 | 87 | |||
Delta Natural Gas Co. Inc. | 2,271 | 69 | |||
*,^ | Globalstar Inc. | 50,414 | 69 | ||
* | Boingo Wireless Inc. | 4,908 | 54 | ||
*,^ | Intelsat SA | 10,591 | 53 | ||
Consolidated Water Co. Ltd. | 4,868 | 50 | |||
* | Hawaiian Telcom Holdco Inc. | 1,945 | 47 | ||
IDT Corp. Class B | 2,185 | 42 | |||
* | NII Holdings Inc. | 17,010 | 34 | ||
Middlesex Water Co. | 801 | 30 | |||
Genie Energy Ltd. Class B | 4,200 | 23 | |||
* | FairPoint Communications Inc. | 1,358 | 22 | ||
* | AquaVenture Holdings Ltd. | 1,200 | 20 | ||
York Water Co. | 548 | 20 | |||
* | ORBCOMM Inc. | 1,654 | 14 | ||
22,252 | |||||
Total Common Stocks (Cost $285,599) | 329,988 | ||||
Coupon | |||||
Temporary Cash Investments (1.2%)1 | |||||
Money Market Fund (1.2%) | |||||
3,4 | Vanguard Market Liquidity Fund | 0.864% | 38,442 | 3,845 | |
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.0%) | |||||
5 | United States Treasury Bill | 0.612% | 7/20/17 | 100 | 100 |
Total Temporary Cash Investments (Cost $3,944) | 3,945 |
54
Vanguard® Russell 2000 Value Index Fund | |
Schedule of Investments | |
February 28, 2017 | |
Total Investments (100.6%) (Cost $289,543) | 333,933 |
Other Assets and Liabilities—Net (-0.6%)4 | (2,060) |
Net Assets (100%) | 331,873 |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $2,308,000.
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 99.9% and 0.7%, 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 $2,653,000 of collateral received for securities on loan.
5 Securities with a value of $100,000 have been segregated as initial margin for open futures contracts.
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
55
Vanguard® Russell 2000 Growth Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.8%)1 | |||
Consumer Discretionary (15.9%) | |||
* | Tenneco Inc. | 27,839 | 1,790 |
* | Bright Horizons Family Solutions Inc. | 21,675 | 1,498 |
Cracker Barrel Old Country Store Inc. | 8,990 | 1,447 | |
* | Buffalo Wild Wings Inc. | 9,337 | 1,447 |
Texas Roadhouse Inc. Class A | 32,788 | 1,387 | |
Cheesecake Factory Inc. | 22,507 | 1,374 | |
* | Grand Canyon Education Inc. | 22,186 | 1,362 |
* | Helen of Troy Ltd. | 13,847 | 1,353 |
Sinclair Broadcast Group Inc. Class A | 32,703 | 1,305 | |
* | LCI Industries | 11,819 | 1,273 |
Jack in the Box Inc. | 12,644 | 1,185 | |
American Eagle Outfitters Inc. | 74,203 | 1,176 | |
* | Steven Madden Ltd. | 30,510 | 1,140 |
Big Lots Inc. | 21,998 | 1,129 | |
Lithia Motors Inc. Class A | 11,703 | 1,120 | |
* | Dave & Buster's Entertainment Inc. | 18,726 | 1,071 |
Papa John's International Inc. | 13,409 | 1,058 | |
Matthews International Corp. Class A | 15,847 | 1,043 | |
* | Five Below Inc. | 26,467 | 1,020 |
* | Dorman Products Inc. | 13,047 | 1,020 |
Nexstar Media Group Inc. Class A | 14,728 | 1,015 | |
* | Stamps.com Inc. | 7,993 | 1,008 |
Churchill Downs Inc. | 6,665 | 1,002 | |
*,^ | Cimpress NV | 12,366 | 992 |
* | IMAX Corp. | 29,157 | 943 |
Children's Place Inc. | 9,251 | 937 | |
Monro Muffler Brake Inc. | 15,498 | 891 | |
Bloomin' Brands Inc. | 51,400 | 878 | |
PriceSmart Inc. | 9,842 | 870 | |
Chico's FAS Inc. | 58,005 | 840 | |
* | Boyd Gaming Corp. | 40,856 | 804 |
* | Popeyes Louisiana Kitchen Inc. | 10,147 | 802 |
* | Shutterfly Inc. | 17,137 | 778 |
* | Cooper-Standard Holdings Inc. | 6,880 | 771 |
* | American Axle & Manufacturing Holdings Inc. | 38,074 | 755 |
Columbia Sportswear Co. | 13,335 | 733 | |
Nutrisystem Inc. | 14,379 | 669 | |
* | 2U Inc. | 18,173 | 664 |
* | Gentherm Inc. | 18,080 | 655 |
* | Asbury Automotive Group Inc. | 9,895 | 645 |
SeaWorld Entertainment Inc. | 33,161 | 639 | |
* | Sotheby's | 13,941 | 629 |
* | Etsy Inc. | 51,788 | 628 |
*,^ | Wayfair Inc. | 15,657 | 592 |
* | American Woodmark Corp. | 6,836 | 591 |
HSN Inc. | 15,472 | 583 | |
Bob Evans Farms Inc. | 9,813 | 557 | |
Sonic Corp. | 21,931 | 554 | |
ClubCorp Holdings Inc. | 31,860 | 545 | |
Travelport Worldwide Ltd. | 42,513 | 540 | |
* | Scientific Games Corp. Class A | 25,785 | 532 |
* | American Outdoor Brands Corp. | 26,941 | 524 |
* | Select Comfort Corp. | 21,557 | 506 |
* | Cavco Industries Inc. | 4,208 | 502 |
* | Liberty TripAdvisor Holdings Inc. Class A | 35,888 | 483 |
* | Universal Electronics Inc. | 6,961 | 478 |
* | Penn National Gaming Inc. | 31,875 | 461 |
^ | Sturm Ruger & Co. Inc. | 9,224 | 460 |
* | Houghton Mifflin Harcourt Co. | 40,812 | 451 |
* | G-III Apparel Group Ltd. | 17,026 | 438 |
Winnebago Industries Inc. | 13,240 | 437 |
56
Vanguard® Russell 2000 Growth Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | BJ's Restaurants Inc. | 11,587 | 421 |
Oxford Industries Inc. | 7,488 | 421 | |
* | Shutterstock Inc. | 9,344 | 407 |
* | Taylor Morrison Home Corp. Class A | 20,203 | 407 |
Capella Education Co. | 5,216 | 397 | |
* | Quotient Technology Inc. | 31,809 | 379 |
World Wrestling Entertainment Inc. Class A | 17,935 | 376 | |
Ethan Allen Interiors Inc. | 12,293 | 353 | |
* | Denny's Corp. | 27,557 | 346 |
Red Rock Resorts Inc. Class A | 14,801 | 325 | |
* | Francesca's Holdings Corp. | 18,837 | 320 |
* | Ollie's Bargain Outlet Holdings Inc. | 9,991 | 313 |
* | HealthStream Inc. | 12,796 | 313 |
Standard Motor Products Inc. | 6,350 | 305 | |
DineEquity Inc. | 5,047 | 302 | |
* | Isle of Capri Casinos Inc. | 12,272 | 298 |
* | Fox Factory Holding Corp. | 11,014 | 295 |
* | Tile Shop Holdings Inc. | 16,231 | 286 |
* | Shake Shack Inc. Class A | 7,751 | 278 |
Planet Fitness Inc. Class A | 12,855 | 276 | |
La-Z-Boy Inc. | 10,190 | 275 | |
* | Gray Television Inc. | 20,002 | 272 |
Viad Corp. | 5,715 | 270 | |
* | Hibbett Sports Inc. | 8,940 | 264 |
Ruth's Hospitality Group Inc. | 15,212 | 256 | |
* | Nautilus Inc. | 15,068 | 243 |
* | Crocs Inc. | 36,306 | 241 |
* | Motorcar Parts of America Inc. | 8,418 | 239 |
* | Carrols Restaurant Group Inc. | 14,762 | 233 |
MDC Holdings Inc. | 7,888 | 230 | |
* | XO Group Inc. | 12,459 | 230 |
* | Chuy's Holdings Inc. | 8,031 | 229 |
* | SiteOne Landscape Supply Inc. | 5,753 | 226 |
* | Stoneridge Inc. | 13,218 | 223 |
* | MSG Networks Inc. | 9,819 | 214 |
* | Fiesta Restaurant Group Inc. | 10,750 | 213 |
* | Eldorado Resorts Inc. | 12,879 | 210 |
*,^ | LGI Homes Inc. | 7,155 | 208 |
* | Avon Products Inc. | 46,324 | 204 |
Wingstop Inc. | 7,702 | 203 | |
* | Horizon Global Corp. | 10,849 | 198 |
AMC Entertainment Holdings Inc. Class A | 6,321 | 198 | |
Wolverine World Wide Inc. | 7,529 | 189 | |
Camping World Holdings Inc. Class A | 5,381 | 189 | |
Group 1 Automotive Inc. | 2,400 | 186 | |
*,^ | Weight Watchers International Inc. | 12,763 | 184 |
* | Malibu Boats Inc. Class A | 8,908 | 183 |
* | Strayer Education Inc. | 2,311 | 179 |
Callaway Golf Co. | 17,192 | 174 | |
Carriage Services Inc. Class A | 6,728 | 173 | |
Entravision Communications Corp. Class A | 31,919 | 171 | |
*,^ | Zoe's Kitchen Inc. | 9,381 | 168 |
Tailored Brands Inc. | 7,239 | 167 | |
KB Home | 8,907 | 158 | |
* | MarineMax Inc. | 6,916 | 156 |
* | Potbelly Corp. | 11,747 | 153 |
Inter Parfums Inc. | 3,848 | 133 | |
* | Chegg Inc. | 16,803 | 133 |
* | Ascena Retail Group Inc. | 28,646 | 132 |
Winmark Corp. | 1,147 | 130 | |
* | Instructure Inc. | 5,281 | 121 |
* | Overstock.com Inc. | 6,532 | 120 |
* | La Quinta Holdings Inc. | 8,615 | 119 |
* | Liberty Media Corp-Liberty Formula One | 3,820 | 117 |
57
Vanguard® Russell 2000 Growth Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | tronc Inc. | 7,925 | 116 |
*,^ | Central European Media Enterprises Ltd. Class A | 38,557 | 110 |
* | Acushnet Holdings Corp. | 6,193 | 108 |
Metaldyne Performance Group Inc. | 4,625 | 108 | |
* | Angie's List Inc. | 19,548 | 104 |
* | Bojangles' Inc. | 4,931 | 104 |
Finish Line Inc. Class A | 6,360 | 104 | |
ILG Inc. | 5,396 | 102 | |
* | Eastman Kodak Co. | 7,030 | 101 |
*,^ | Duluth Holdings Inc. | 4,736 | 100 |
^ | Buckle Inc. | 4,833 | 96 |
*,^ | Daily Journal Corp. | 430 | 90 |
* | Nathan's Famous Inc. | 1,446 | 90 |
* | Habit Restaurants Inc. Class A | 6,643 | 89 |
Collectors Universe Inc. | 3,748 | 88 | |
* | Party City Holdco Inc. | 5,953 | 86 |
* | Vera Bradley Inc. | 7,180 | 75 |
Bassett Furniture Industries Inc. | 2,672 | 73 | |
* | Care.com Inc. | 7,105 | 72 |
* | Franklin Covey Co. | 4,015 | 72 |
Superior Uniform Group Inc. | 3,893 | 71 | |
* | Genesco Inc. | 1,173 | 68 |
MDC Partners Inc. Class A | 7,775 | 68 | |
Marriott Vacations Worldwide Corp. | 719 | 68 | |
* | Lindblad Expeditions Holdings Inc. | 7,395 | 66 |
* | Jamba Inc. | 6,283 | 61 |
Cato Corp. Class A | 2,417 | 60 | |
* | Rosetta Stone Inc. | 7,581 | 59 |
* | Sportsman's Warehouse Holdings Inc. | 12,124 | 59 |
* | Deckers Outdoor Corp. | 1,088 | 57 |
* | Liberty Media Corp-Liberty Formula One Class A | 1,897 | 57 |
* | Revlon Inc. Class A | 1,699 | 57 |
* | Red Robin Gourmet Burgers Inc. | 1,244 | 57 |
New Media Investment Group Inc. | 3,625 | 56 | |
* | Central Garden & Pet Co. Class A | 1,744 | 56 |
MCBC Holdings Inc. | 3,700 | 54 | |
Stein Mart Inc. | 14,948 | 54 | |
* | M/I Homes Inc. | 2,219 | 52 |
Marine Products Corp. | 4,864 | 52 | |
* | elf Beauty Inc. | 1,856 | 51 |
* | TRI Pointe Group Inc. | 4,249 | 51 |
* | Meritage Homes Corp. | 1,373 | 49 |
* | Arctic Cat Inc. | 2,610 | 48 |
Pier 1 Imports Inc. | 6,247 | 42 | |
Liberty Tax Inc. | 2,591 | 39 | |
* | 1-800-Flowers.com Inc. Class A | 3,767 | 38 |
* | Destination XL Group Inc. | 12,316 | 37 |
* | Pinnacle Entertainment Inc. | 2,120 | 37 |
Unique Fabricating Inc. | 3,214 | 37 | |
* | Kirkland's Inc. | 3,256 | 37 |
* | Century Casinos Inc. | 4,978 | 34 |
* | Reading International Inc. Class A | 2,063 | 33 |
* | Central Garden & Pet Co. | 959 | 32 |
* | Radio One Inc. | 11,338 | 31 |
* | Trade Desk Inc. Class A | 707 | 30 |
* | Liberty Media Corp-Liberty Braves | 1,346 | 30 |
* | Hemisphere Media Group Inc. Class A | 2,491 | 29 |
* | At Home Group Inc. | 1,514 | 23 |
* | National Presto Industries Inc. | 228 | 23 |
* | Biglari Holdings Inc. | 49 | 21 |
* | Noodles & Co. Class A | 4,546 | 17 |
Fred's Inc. Class A | 858 | 15 | |
* | Vitamin Shoppe Inc. | 696 | 15 |
Hooker Furniture Corp. | 410 | 14 |
58
Vanguard® Russell 2000 Growth Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | New Home Co. Inc. | 1,253 | 13 |
* | Century Communities Inc. | 560 | 13 |
* | Kona Grill Inc. | 1,938 | 12 |
* | Del Frisco's Restaurant Group Inc. | 771 | 12 |
* | Gaia Inc. Class A | 1,402 | 12 |
Golden Entertainment Inc. | 947 | 11 | |
Libbey Inc. | 797 | 11 | |
* | Container Store Group Inc. | 2,100 | 9 |
* | ZAGG Inc. | 1,423 | 9 |
* | Sears Holdings Corp. | 980 | 8 |
Weyco Group Inc. | 209 | 6 | |
* | Build-A-Bear Workshop Inc. | 560 | 5 |
* | Empire Resorts Inc. | 121 | 3 |
* | Townsquare Media Inc. Class A | 195 | 2 |
* | Vince Holding Corp. | 971 | 2 |
Liberty Media Corp-Liberty Braves | 2 | — | |
72,273 | |||
Consumer Staples (2.7%) | |||
B&G Foods Inc. | 32,482 | 1,380 | |
Lancaster Colony Corp. | 9,367 | 1,235 | |
J&J Snack Foods Corp. | 7,443 | 996 | |
WD-40 Co. | 7,025 | 772 | |
Core-Mark Holding Co. Inc. | 22,614 | 735 | |
* | Boston Beer Co. Inc. Class A | 4,410 | 700 |
Vector Group Ltd. | 20,137 | 459 | |
^ | Cal-Maine Foods Inc. | 11,859 | 450 |
* | Performance Food Group Co. | 18,562 | 438 |
Calavo Growers Inc. | 7,690 | 434 | |
Dean Foods Co. | 22,673 | 414 | |
Coca-Cola Bottling Co. Consolidated | 2,320 | 399 | |
National Beverage Corp. | 5,760 | 336 | |
^ | Tootsie Roll Industries Inc. | 8,532 | 334 |
* | Diplomat Pharmacy Inc. | 22,737 | 308 |
* | USANA Health Sciences Inc. | 5,169 | 300 |
^ | GNC Holdings Inc. Class A | 34,230 | 284 |
MGP Ingredients Inc. | 6,240 | 276 | |
Medifast Inc. | 5,142 | 231 | |
PetMed Express Inc. | 9,768 | 206 | |
AdvancePierre Foods Holdings Inc. | 6,744 | 195 | |
* | Primo Water Corp. | 11,124 | 160 |
*,^ | Amplify Snack Brands Inc. | 14,391 | 144 |
* | Farmer Brothers Co. | 3,948 | 129 |
^ | Orchids Paper Products Co. | 4,400 | 125 |
* | Chefs' Warehouse Inc. | 8,724 | 122 |
* | Smart & Final Stores Inc. | 8,094 | 113 |
*,^ | Freshpet Inc. | 10,997 | 111 |
Natural Health Trends Corp. | 3,748 | 104 | |
Limoneira Co. | 5,333 | 98 | |
John B Sanfilippo & Son Inc. | 1,190 | 73 | |
Fresh Del Monte Produce Inc. | 930 | 54 | |
* | Inventure Foods Inc. | 9,370 | 52 |
* | Lifevantage Corp. | 6,566 | 36 |
* | Craft Brew Alliance Inc. | 2,387 | 35 |
* | Lifeway Foods Inc. | 2,271 | 24 |
* | Turning Point Brands Inc. | 1,713 | 23 |
* | Synutra International Inc. | 2,584 | 15 |
Omega Protein Corp. | 525 | 13 | |
Alico Inc. | 148 | 4 | |
12,317 | |||
Energy (1.0%) | |||
* | Callon Petroleum Co. | 92,013 | 1,161 |
* | Matador Resources Co. | 43,670 | 1,051 |
* | Carrizo Oil & Gas Inc. | 30,441 | 991 |
*,^ | Flotek Industries Inc. | 26,910 | 364 |
59
Vanguard® Russell 2000 Growth Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | TETRA Technologies Inc. | 36,703 | 165 |
* | Sanchez Energy Corp. | 10,992 | 126 |
Evolution Petroleum Corp. | 11,988 | 105 | |
* | Trecora Resources | 7,716 | 93 |
* | Synergy Resources Corp. | 10,306 | 84 |
* | Par Pacific Holdings Inc. | 5,592 | 82 |
Panhandle Oil and Gas Inc. Class A | 3,811 | 75 | |
* | Abraxas Petroleum Corp. | 31,789 | 67 |
* | EnerNOC Inc. | 11,558 | 63 |
* | Isramco Inc. | 421 | 51 |
* | Renewable Energy Group Inc. | 1,199 | 11 |
CVR Energy Inc. | 393 | 9 | |
* | RigNet Inc. | 460 | 8 |
* | Smart Sand Inc. | 408 | 7 |
Mammoth Energy Services Inc. | 202 | 4 | |
TPI Composites Inc. | 201 | 4 | |
4,521 | |||
Financial Services (12.6%) | |||
Bank of the Ozarks Inc. | 43,866 | 2,401 | |
Fair Isaac Corp. | 15,330 | 1,994 | |
DuPont Fabros Technology Inc. | 36,923 | 1,901 | |
Primerica Inc. | 23,279 | 1,880 | |
Home BancShares Inc. | 59,864 | 1,685 | |
Evercore Partners Inc. Class A | 19,338 | 1,538 | |
CoreSite Realty Corp. | 16,576 | 1,493 | |
National Health Investors Inc. | 18,393 | 1,393 | |
Ryman Hospitality Properties Inc. | 21,486 | 1,385 | |
* | Essent Group Ltd. | 36,952 | 1,286 |
Urban Edge Properties | 44,324 | 1,229 | |
QTS Realty Trust Inc. Class A | 23,200 | 1,220 | |
BGC Partners Inc. Class A | 107,897 | 1,217 | |
Financial Engines Inc. | 26,501 | 1,174 | |
EastGroup Properties Inc. | 15,590 | 1,159 | |
PS Business Parks Inc. | 9,771 | 1,136 | |
HRG Group Inc. | 58,721 | 1,079 | |
STAG Industrial Inc. | 41,122 | 1,062 | |
* | Blackhawk Network Holdings Inc. | 27,179 | 991 |
* | Cardtronics plc Class A | 22,328 | 984 |
ServisFirst Bancshares Inc. | 22,745 | 946 | |
RLI Corp. | 15,508 | 906 | |
Potlatch Corp. | 20,153 | 892 | |
*,^ | BofI Holding Inc. | 27,947 | 881 |
First Financial Bankshares Inc. | 19,688 | 866 | |
Retail Opportunity Investments Corp. | 37,938 | 835 | |
LTC Properties Inc. | 16,122 | 778 | |
* | Eagle Bancorp Inc. | 11,888 | 740 |
Physicians Realty Trust | 34,466 | 687 | |
Medical Properties Trust Inc. | 49,352 | 662 | |
FirstCash Inc. | 13,645 | 605 | |
Ameris Bancorp | 12,424 | 600 | |
Chemical Financial Corp. | 10,514 | 560 | |
Alexander & Baldwin Inc. | 12,225 | 548 | |
HFF Inc. Class A | 17,656 | 524 | |
WisdomTree Investments Inc. | 56,885 | 518 | |
CareTrust REIT Inc. | 31,783 | 502 | |
AMERISAFE Inc. | 6,957 | 447 | |
Kennedy-Wilson Holdings Inc. | 20,254 | 447 | |
Four Corners Property Trust Inc. | 19,987 | 443 | |
Alexander's Inc. | 999 | 437 | |
EVERTEC Inc. | 25,847 | 436 | |
FelCor Lodging Trust Inc. | 59,480 | 431 | |
Moelis & Co. Class A | 11,698 | 431 | |
Washington REIT | 12,616 | 413 | |
* | iStar Inc. | 34,043 | 410 |
60
Vanguard® Russell 2000 Growth Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Universal Health Realty Income Trust | 6,181 | 397 | |
National Bank Holdings Corp. Class A | 11,833 | 390 | |
Cohen & Steers Inc. | 10,371 | 390 | |
* | LendingClub Corp. | 72,831 | 389 |
GEO Group Inc. | 7,942 | 378 | |
* | LendingTree Inc. | 3,156 | 374 |
National General Holdings Corp. | 13,902 | 338 | |
First Industrial Realty Trust Inc. | 12,577 | 338 | |
Banc of California Inc. | 17,307 | 337 | |
Urstadt Biddle Properties Inc. Class A | 14,428 | 321 | |
Universal Insurance Holdings Inc. | 11,781 | 318 | |
Diamond Hill Investment Group Inc. | 1,564 | 314 | |
Greenhill & Co. Inc. | 10,154 | 300 | |
American Assets Trust Inc. | 6,731 | 296 | |
Rexford Industrial Realty Inc. | 12,634 | 290 | |
* | Gramercy Property Trust | 10,326 | 289 |
Saul Centers Inc. | 4,302 | 276 | |
Acadia Realty Trust | 8,431 | 270 | |
Pinnacle Financial Partners Inc. | 3,258 | 226 | |
Westwood Holdings Group Inc. | 3,903 | 222 | |
Live Oak Bancshares Inc. | 9,632 | 221 | |
Armada Hoffler Properties Inc. | 15,781 | 220 | |
Cass Information Systems Inc. | 3,259 | 212 | |
Capital Bank Financial Corp. | 5,119 | 209 | |
Virtu Financial Inc. Class A | 11,639 | 202 | |
OM Asset Management plc | 13,493 | 201 | |
* | Marcus & Millichap Inc. | 7,187 | 197 |
* | Customers Bancorp Inc. | 5,685 | 195 |
Education Realty Trust Inc. | 4,611 | 194 | |
Houlihan Lokey Inc. Class A | 6,038 | 190 | |
Chesapeake Lodging Trust | 7,861 | 190 | |
RMR Group Inc. Class A | 3,459 | 181 | |
* | Pacific Premier Bancorp Inc. | 4,455 | 178 |
Washington Prime Group Inc. | 18,306 | 170 | |
* | Texas Capital Bancshares Inc. | 1,830 | 163 |
Pennsylvania REIT | 9,709 | 160 | |
Terreno Realty Corp. | 5,738 | 159 | |
Sabra Health Care REIT Inc. | 5,123 | 139 | |
* | Nationstar Mortgage Holdings Inc. | 7,616 | 138 |
* | Altisource Portfolio Solutions SA | 5,751 | 138 |
City Office REIT Inc. | 10,409 | 136 | |
* | WMIH Corp. | 99,811 | 135 |
Opus Bank | 5,410 | 117 | |
*,^ | Trupanion Inc. | 7,062 | 110 |
United Insurance Holdings Corp. | 6,394 | 108 | |
* | Green Dot Corp. Class A | 3,657 | 107 |
Consolidated-Tomoka Land Co. | 1,807 | 100 | |
* | eHealth Inc. | 9,060 | 99 |
Park Sterling Corp. | 8,299 | 98 | |
* | Planet Payment Inc. | 20,490 | 84 |
Monmouth Real Estate Investment Corp. | 5,543 | 81 | |
Waddell & Reed Financial Inc. Class A | 3,798 | 73 | |
Union Bankshares Inc. | 1,744 | 72 | |
* | First Foundation Inc. | 4,381 | 72 |
Meridian Bancorp Inc. | 3,748 | 71 | |
Hingham Institution for Savings | 373 | 70 | |
BNC Bancorp | 1,908 | 69 | |
Maiden Holdings Ltd. | 4,368 | 68 | |
* | Real Industry Inc. | 12,868 | 66 |
Crawford & Co. Class B | 5,887 | 64 | |
* | Franklin Financial Network Inc. | 1,475 | 58 |
MedEquities Realty Trust Inc. | 5,228 | 57 | |
National Storage Affiliates Trust | 2,239 | 54 | |
Pzena Investment Management Inc. Class A | 5,307 | 53 |
61
Vanguard® Russell 2000 Growth Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Veritex Holdings Inc. | 1,823 | 52 |
UMH Properties Inc. | 3,464 | 51 | |
Investment Technology Group Inc. | 2,368 | 47 | |
Silvercrest Asset Management Group Inc. Class A | 3,505 | 47 | |
County Bancorp Inc. | 1,610 | 43 | |
* | CU Bancorp | 1,042 | 41 |
Northfield Bancorp Inc. | 2,094 | 39 | |
Hennessy Advisors Inc. | 1,374 | 37 | |
First Connecticut Bancorp Inc. | 1,512 | 37 | |
CoBiz Financial Inc. | 2,055 | 35 | |
* | Atlas Financial Holdings Inc. | 2,533 | 34 |
Cardinal Financial Corp. | 1,093 | 34 | |
Global Medical REIT Inc. | 3,890 | 33 | |
* | AV Homes Inc. | 1,966 | 32 |
* | Third Point Reinsurance Ltd. | 2,555 | 32 |
^ | Orchid Island Capital Inc. | 3,145 | 31 |
* | Atlantic Capital Bancshares Inc. | 1,600 | 29 |
Hersha Hospitality Trust Class A | 1,239 | 24 | |
Western New England Bancorp Inc. | 2,324 | 23 | |
GAIN Capital Holdings Inc. | 2,791 | 22 | |
Blue Hills Bancorp Inc. | 1,155 | 21 | |
* | Forestar Group Inc. | 1,576 | 21 |
State National Cos. Inc. | 1,237 | 17 | |
* | Bank of NT Butterfield & Son Ltd. | 512 | 17 |
* | Allegiance Bancshares Inc. | 450 | 17 |
CPI Card Group Inc. | 3,530 | 16 | |
Heritage Commerce Corp. | 1,118 | 16 | |
Kinsale Capital Group Inc. | 505 | 15 | |
* | Xenith Bankshares Inc. | 537 | 14 |
Bankwell Financial Group Inc. | 424 | 14 | |
* | HarborOne Bancorp Inc. | 632 | 12 |
* | PICO Holdings Inc. | 904 | 12 |
Fifth Street Asset Management Inc. | 2,319 | 12 | |
Home Bancorp Inc. | 327 | 12 | |
* | Ladenburg Thalmann Financial Services Inc. | 5,154 | 11 |
GAMCO Investors Inc. Class A | 380 | 11 | |
* | Cowen Group Inc. Class A | 749 | 11 |
Medley Management Inc. Class A | 1,131 | 11 | |
* | FB Financial Corp. | 324 | 10 |
* | Regional Management Corp. | 485 | 10 |
Value Line Inc. | 466 | 8 | |
* | Trinity Place Holdings Inc. | 892 | 8 |
Capstar Financial Holdings Inc. | 201 | 4 | |
* | Provident Bancorp Inc. | 173 | 3 |
Greene County Bancorp Inc. | 123 | 3 | |
* | UCP Inc. | 242 | 3 |
57,316 | |||
Health Care (21.8%) | |||
* | TESARO Inc. | 14,130 | 2,662 |
HealthSouth Corp. | 43,939 | 1,860 | |
* | NuVasive Inc. | 24,458 | 1,829 |
* | Masimo Corp. | 20,213 | 1,826 |
* | PAREXEL International Corp. | 25,922 | 1,677 |
* | Ultragenyx Pharmaceutical Inc. | 19,146 | 1,629 |
* | Medicines Co. | 30,481 | 1,598 |
* | Medidata Solutions Inc. | 27,153 | 1,518 |
* | Exelixis Inc. | 69,540 | 1,497 |
* | Prestige Brands Holdings Inc. | 26,270 | 1,487 |
Cantel Medical Corp. | 17,722 | 1,455 | |
Chemed Corp. | 7,995 | 1,428 | |
* | Catalent Inc. | 49,204 | 1,412 |
*,^ | Kite Pharma Inc. | 19,364 | 1,370 |
* | Integra LifeSciences Holdings Corp. | 29,945 | 1,280 |
* | Horizon Pharma plc | 79,659 | 1,279 |
62
Vanguard® Russell 2000 Growth Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Insulet Corp. | 28,508 | 1,242 |
* | Neogen Corp. | 18,023 | 1,169 |
* | Nevro Corp. | 11,897 | 1,142 |
* | Exact Sciences Corp. | 52,337 | 1,126 |
* | Ironwood Pharmaceuticals Inc. Class A | 63,961 | 1,080 |
* | Clovis Oncology Inc. | 18,171 | 1,050 |
* | Prothena Corp. plc | 17,168 | 1,007 |
* | Sage Therapeutics Inc. | 14,888 | 1,003 |
* | Ligand Pharmaceuticals Inc. | 9,465 | 990 |
* | Zeltiq Aesthetics Inc. | 17,519 | 970 |
* | AMN Healthcare Services Inc. | 23,461 | 965 |
*,^ | Penumbra Inc. | 12,531 | 962 |
* | Globus Medical Inc. | 34,569 | 961 |
* | WebMD Health Corp. | 18,430 | 957 |
* | HealthEquity Inc. | 21,391 | 935 |
* | Nektar Therapeutics Class A | 70,335 | 920 |
* | NxStage Medical Inc. | 31,403 | 897 |
* | INC Research Holdings Inc. Class A | 20,499 | 895 |
* | Cambrex Corp. | 15,727 | 886 |
* | Pacira Pharmaceuticals Inc. | 18,066 | 790 |
* | Portola Pharmaceuticals Inc. | 22,363 | 776 |
* | HMS Holdings Corp. | 41,621 | 775 |
* | Cynosure Inc. Class A | 11,741 | 775 |
* | Sarepta Therapeutics Inc. | 24,777 | 771 |
* | ICU Medical Inc. | 5,012 | 754 |
* | Surgical Care Affiliates Inc. | 13,272 | 753 |
* | PRA Health Sciences Inc. | 11,990 | 708 |
* | Molina Healthcare Inc. | 14,247 | 691 |
* | Halozyme Therapeutics Inc. | 53,869 | 691 |
* | Aerie Pharmaceuticals Inc. | 14,220 | 673 |
* | Omnicell Inc. | 17,580 | 669 |
* | Amedisys Inc. | 13,783 | 665 |
* | Bluebird Bio Inc. | 7,560 | 663 |
* | Radius Health Inc. | 15,637 | 659 |
* | Myriad Genetics Inc. | 33,497 | 651 |
* | FibroGen Inc. | 25,886 | 647 |
* | Air Methods Corp. | 16,660 | 631 |
* | Theravance Biopharma Inc. | 19,787 | 606 |
* | Spark Therapeutics Inc. | 9,452 | 603 |
* | Natus Medical Inc. | 16,107 | 596 |
* | Supernus Pharmaceuticals Inc. | 23,167 | 595 |
* | Spectranetics Corp. | 21,139 | 588 |
* | Synergy Pharmaceuticals Inc. | 100,280 | 581 |
* | Magellan Health Inc. | 8,166 | 565 |
* | Inogen Inc. | 8,046 | 552 |
Abaxis Inc. | 10,817 | 539 | |
* | Alder Biopharmaceuticals Inc. | 23,151 | 529 |
* | Repligen Corp. | 16,762 | 528 |
* | Impax Laboratories Inc. | 36,344 | 518 |
* | Puma Biotechnology Inc. | 13,874 | 509 |
* | Emergent BioSolutions Inc. | 16,144 | 507 |
* | Depomed Inc. | 30,217 | 495 |
* | Insmed Inc. | 30,753 | 490 |
* | Amicus Therapeutics Inc. | 70,817 | 460 |
US Physical Therapy Inc. | 5,937 | 449 | |
Ensign Group Inc. | 23,741 | 447 | |
* | Xencor Inc. | 17,891 | 445 |
* | Cardiovascular Systems Inc. | 15,644 | 444 |
*,^ | TherapeuticsMD Inc. | 69,788 | 438 |
*,^ | MiMedx Group Inc. | 50,314 | 431 |
* | Blueprint Medicines Corp. | 12,068 | 425 |
* | Dermira Inc. | 12,205 | 411 |
*,^ | Innoviva Inc. | 35,374 | 409 |
* | Coherus Biosciences Inc. | 16,773 | 396 |
63
Vanguard® Russell 2000 Growth Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Progenics Pharmaceuticals Inc. | 34,570 | 389 |
* | Quality Systems Inc. | 25,348 | 387 |
*,^ | ZIOPHARM Oncology Inc. | 60,418 | 384 |
* | Glaukos Corp. | 8,221 | 374 |
* | Acceleron Pharma Inc. | 13,508 | 361 |
* | Loxo Oncology Inc. | 7,971 | 354 |
Atrion Corp. | 710 | 347 | |
*,^ | Lexicon Pharmaceuticals Inc. | 21,083 | 338 |
* | BioTelemetry Inc. | 13,266 | 338 |
* | Eagle Pharmaceuticals Inc. | 4,378 | 336 |
* | Corcept Therapeutics Inc. | 37,126 | 334 |
* | MacroGenics Inc. | 15,717 | 332 |
* | Orthofix International NV | 8,664 | 309 |
* | OraSure Technologies Inc. | 27,024 | 303 |
*,^ | Heron Therapeutics Inc. | 20,802 | 297 |
* | Heska Corp. | 3,019 | 280 |
* | Genomic Health Inc. | 9,186 | 277 |
* | Amphastar Pharmaceuticals Inc. | 17,485 | 271 |
*,^ | Accelerate Diagnostics Inc. | 10,604 | 270 |
* | Flexion Therapeutics Inc. | 13,286 | 266 |
* | Aimmune Therapeutics Inc. | 13,070 | 265 |
* | Quidel Corp. | 12,598 | 265 |
* | Anika Therapeutics Inc. | 5,635 | 264 |
* | Teladoc Inc. | 11,944 | 263 |
* | Endologix Inc. | 39,806 | 263 |
* | Providence Service Corp. | 6,419 | 261 |
* | Vanda Pharmaceuticals Inc. | 18,257 | 260 |
* | Merit Medical Systems Inc. | 8,144 | 251 |
Landauer Inc. | 4,719 | 247 | |
* | GenMark Diagnostics Inc. | 21,544 | 244 |
* | Cross Country Healthcare Inc. | 15,747 | 244 |
* | SciClone Pharmaceuticals Inc. | 24,605 | 244 |
Phibro Animal Health Corp. Class A | 8,654 | 241 | |
* | Capital Senior Living Corp. | 13,858 | 233 |
* | Achillion Pharmaceuticals Inc. | 57,566 | 231 |
*,^ | Inovio Pharmaceuticals Inc. | 32,602 | 230 |
* | La Jolla Pharmaceutical Co. | 6,858 | 230 |
* | ANI Pharmaceuticals Inc. | 3,869 | 229 |
* | Global Blood Therapeutics Inc. | 8,164 | 227 |
Meridian Bioscience Inc. | 17,625 | 227 | |
*,^ | Immunomedics Inc. | 44,639 | 223 |
* | AtriCure Inc. | 12,170 | 222 |
* | Intra-Cellular Therapies Inc. Class A | 16,913 | 221 |
* | Lion Biotechnologies Inc. | 27,763 | 212 |
* | Revance Therapeutics Inc. | 10,081 | 212 |
* | NeoGenomics Inc. | 26,011 | 210 |
* | Accuray Inc. | 39,183 | 202 |
* | Novavax Inc. | 132,766 | 200 |
* | Epizyme Inc. | 14,062 | 200 |
* | Pacific Biosciences of California Inc. | 39,437 | 199 |
* | CorVel Corp. | 4,861 | 196 |
*,^ | Aduro Biotech Inc. | 17,432 | 196 |
* | STAAR Surgical Co. | 19,700 | 196 |
* | Keryx Biopharmaceuticals Inc. | 38,792 | 195 |
* | Arena Pharmaceuticals Inc. | 120,476 | 190 |
* | Novocure Ltd. | 24,946 | 190 |
* | BioCryst Pharmaceuticals Inc. | 30,166 | 188 |
* | Cerus Corp. | 43,229 | 181 |
* | Cotiviti Holdings Inc. | 4,787 | 179 |
* | Cytokinetics Inc. | 16,680 | 177 |
* | Avexis Inc. | 2,883 | 177 |
* | Aclaris Therapeutics Inc. | 5,510 | 172 |
* | Intersect ENT Inc. | 12,579 | 171 |
*,^ | Foundation Medicine Inc. | 6,644 | 165 |
64
Vanguard® Russell 2000 Growth Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | CryoLife Inc. | 10,180 | 163 |
* | Surmodics Inc. | 6,495 | 161 |
*,^ | Geron Corp. | 74,160 | 159 |
* | Sangamo Therapeutics Inc. | 34,169 | 155 |
* | Advaxis Inc. | 17,570 | 154 |
*,^ | Omeros Corp. | 12,589 | 153 |
* | Axovant Sciences Ltd. | 12,014 | 153 |
* | Luminex Corp. | 8,135 | 151 |
^ | Computer Programs & Systems Inc. | 5,552 | 149 |
*,^ | Organovo Holdings Inc. | 47,827 | 149 |
*,^ | Insys Therapeutics Inc. | 11,598 | 148 |
LeMaitre Vascular Inc. | 6,662 | 148 | |
* | Teligent Inc. | 20,620 | 147 |
* | Oxford Immunotec Global plc | 10,868 | 147 |
* | NanoString Technologies Inc. | 7,692 | 145 |
* | Invitae Corp. | 14,012 | 144 |
* | ImmunoGen Inc. | 42,385 | 144 |
* | BioSpecifics Technologies Corp. | 2,674 | 141 |
* | Five Prime Therapeutics Inc. | 3,076 | 141 |
* | Civitas Solutions Inc. | 7,468 | 138 |
* | AxoGen Inc. | 13,056 | 136 |
* | Sucampo Pharmaceuticals Inc. Class A | 11,540 | 136 |
* | Paratek Pharmaceuticals Inc. | 9,050 | 135 |
Owens & Minor Inc. | 3,653 | 132 | |
* | NewLink Genetics Corp. | 8,289 | 130 |
* | Quorum Health Corp. | 14,869 | 127 |
* | Curis Inc. | 54,791 | 127 |
* | Agenus Inc. | 29,744 | 126 |
* | Rockwell Medical Inc. | 21,204 | 126 |
* | CytomX Therapeutics Inc. | 10,017 | 125 |
* | BioTime Inc. | 37,931 | 123 |
* | Rigel Pharmaceuticals Inc. | 50,178 | 123 |
* | Natera Inc. | 12,853 | 123 |
* | Surgery Partners Inc. | 5,392 | 121 |
* | Momenta Pharmaceuticals Inc. | 7,683 | 119 |
* | Cutera Inc. | 5,780 | 118 |
* | Enzo Biochem Inc. | 18,267 | 118 |
* | AMAG Pharmaceuticals Inc. | 5,227 | 117 |
*,^ | XBiotech Inc. | 8,631 | 116 |
*,^ | iRhythm Technologies Inc. | 2,992 | 115 |
*,^ | Merrimack Pharmaceuticals Inc. | 37,172 | 114 |
* | RadNet Inc. | 18,256 | 109 |
* | OncoMed Pharmaceuticals Inc. | 10,691 | 109 |
*,^ | Collegium Pharmaceutical Inc. | 8,118 | 108 |
* | TG Therapeutics Inc. | 18,159 | 104 |
Utah Medical Products Inc. | 1,659 | 103 | |
* | Aratana Therapeutics Inc. | 15,081 | 100 |
* | Fluidigm Corp. | 14,734 | 97 |
* | MediciNova Inc. | 14,807 | 95 |
* | Idera Pharmaceuticals Inc. | 48,848 | 91 |
*,^ | Anavex Life Sciences Corp. | 15,913 | 91 |
* | Array BioPharma Inc. | 7,875 | 91 |
* | Albany Molecular Research Inc. | 5,989 | 90 |
* | Trevena Inc. | 22,046 | 90 |
*,^ | Dynavax Technologies Corp. | 19,786 | 89 |
* | ConforMIS Inc. | 17,684 | 89 |
*,^ | WaVe Life Sciences Ltd. | 2,950 | 89 |
* | Ocular Therapeutix Inc. | 10,437 | 87 |
* | American Renal Associates Holdings Inc. | 3,784 | 86 |
*,^ | MannKind Corp. | 161,232 | 85 |
* | Seres Therapeutics Inc. | 8,807 | 85 |
*,^ | Bellicum Pharmaceuticals Inc. | 6,871 | 85 |
* | Editas Medicine Inc. | 3,390 | 85 |
* | Minerva Neurosciences Inc. | 9,430 | 83 |
65
Vanguard® Russell 2000 Growth Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Medpace Holdings Inc. | 2,844 | 82 |
* | Ignyta Inc. | 9,322 | 82 |
* | Acorda Therapeutics Inc. | 3,076 | 81 |
* | K2M Group Holdings Inc. | 3,952 | 79 |
*,^ | Reata Pharmaceuticals Inc. Class A | 3,115 | 79 |
* | MyoKardia Inc. | 6,408 | 78 |
* | ChemoCentryx Inc. | 11,662 | 77 |
* | Adamas Pharmaceuticals Inc. | 3,978 | 74 |
* | Spectrum Pharmaceuticals Inc. | 11,471 | 73 |
* | Cempra Inc. | 21,577 | 73 |
* | Arrowhead Pharmaceuticals Inc. | 31,369 | 71 |
* | Castlight Health Inc. Class B | 19,820 | 70 |
National Research Corp. Class A | 3,728 | 70 | |
* | InVivo Therapeutics Holdings Corp. | 16,478 | 69 |
* | Almost Family Inc. | 1,391 | 69 |
* | Ra Pharmaceuticals Inc. | 3,214 | 67 |
* | IRIDEX Corp. | 4,235 | 67 |
* | Codexis Inc. | 15,706 | 64 |
*,^ | Sorrento Therapeutics Inc. | 12,170 | 63 |
* | Veracyte Inc. | 8,150 | 63 |
* | Aevi Genomic Medicine Inc. | 13,422 | 63 |
* | Durect Corp. | 60,914 | 63 |
* | Infinity Pharmaceuticals Inc. | 22,348 | 62 |
* | Pfenex Inc. | 8,574 | 62 |
* | Entellus Medical Inc. | 4,411 | 61 |
* | Proteostasis Therapeutics Inc. | 3,938 | 57 |
* | Ophthotech Corp. | 15,565 | 56 |
* | Select Medical Holdings Corp. | 3,833 | 55 |
*,^ | Osiris Therapeutics Inc. | 9,318 | 54 |
* | Neos Therapeutics Inc. | 8,850 | 53 |
* | Vital Therapies Inc. | 11,336 | 53 |
* | Akebia Therapeutics Inc. | 5,243 | 53 |
*,^ | AcelRx Pharmaceuticals Inc. | 17,022 | 52 |
* | Cellular Biomedicine Group Inc. | 4,032 | 52 |
* | Fortress Biotech Inc. | 16,646 | 51 |
* | Intellia Therapeutics Inc. | 3,484 | 50 |
* | Applied Genetic Technologies Corp. | 6,304 | 49 |
* | Adeptus Health Inc. Class A | 7,099 | 48 |
*,^ | AAC Holdings Inc. | 5,177 | 47 |
Analogic Corp. | 541 | 45 | |
* | Myovant Sciences Ltd. | 4,008 | 44 |
* | Athersys Inc. | 35,992 | 43 |
* | Mirati Therapeutics Inc. | 7,724 | 43 |
* | Protagonist Therapeutics Inc. | 3,052 | 42 |
* | Asterias Biotherapeutics Inc. | 11,113 | 42 |
* | T2 Biosystems Inc. | 7,150 | 40 |
* | GlycoMimetics Inc. | 6,260 | 38 |
* | Synthetic Biologics Inc. | 48,084 | 38 |
* | Audentes Therapeutics Inc. | 2,312 | 36 |
* | Bio-Path Holdings Inc. | 43,477 | 36 |
* | Ardelyx Inc. | 2,585 | 35 |
* | Immune Design Corp. | 6,715 | 34 |
* | Tactile Systems Technology Inc. | 1,688 | 34 |
* | Lipocine Inc. | 8,409 | 33 |
* | Voyager Therapeutics Inc. | 2,538 | 33 |
* | Titan Pharmaceuticals Inc. | 8,626 | 32 |
* | Senseonics Holdings Inc. | 13,675 | 32 |
* | Genesis Healthcare Inc. | 9,805 | 32 |
* | Concert Pharmaceuticals Inc. | 3,361 | 31 |
* | Edge Therapeutics Inc. | 3,163 | 31 |
* | Clearside Biomedical Inc. | 3,872 | 30 |
* | Versartis Inc. | 1,375 | 30 |
* | Karyopharm Therapeutics Inc. | 2,841 | 29 |
* | Tabula Rasa HealthCare Inc. | 2,052 | 29 |
66
Vanguard® Russell 2000 Growth Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
PharmAthene Inc. | 28,683 | 26 | |
* | Eiger BioPharmaceuticals Inc. | 2,247 | 25 |
* | Cara Therapeutics Inc. | 1,570 | 25 |
* | Avinger Inc. | 9,850 | 25 |
* | Axsome Therapeutics Inc. | 5,509 | 25 |
* | Selecta Biosciences Inc. | 1,904 | 25 |
* | Trovagene Inc. | 12,414 | 24 |
* | LHC Group Inc. | 465 | 22 |
* | NantHealth Inc. | 2,836 | 21 |
* | vTv Therapeutics Inc. Class A | 3,448 | 21 |
*,^ | Ampio Pharmaceuticals Inc. | 24,700 | 20 |
* | Flex Pharma Inc. | 4,802 | 20 |
* | Tandem Diabetes Care Inc. | 8,317 | 20 |
* | CytRx Corp. | 45,663 | 20 |
* | Regulus Therapeutics Inc. | 18,525 | 19 |
*,^ | Corindus Vascular Robotics Inc. | 24,262 | 19 |
* | Syros Pharmaceuticals Inc. | 1,696 | 19 |
*,^ | Obalon Therapeutics Inc. | 1,995 | 19 |
* | iRadimed Corp. | 2,190 | 18 |
* | Fulgent Genetics Inc. | 1,540 | 18 |
* | ViewRay Inc. | 2,933 | 15 |
* | Agile Therapeutics Inc. | 6,761 | 15 |
* | Aptevo Therapeutics Inc. | 7,293 | 15 |
*,^ | Egalet Corp. | 2,923 | 14 |
* | Addus HomeCare Corp. | 427 | 14 |
* | Stemline Therapeutics Inc. | 1,956 | 14 |
*,^ | Anthera Pharmaceuticals Inc. | 18,224 | 12 |
* | Inotek Pharmaceuticals Corp. | 7,541 | 12 |
*,^ | Kadmon Holdings Inc. | 3,160 | 12 |
* | Syndax Pharmaceuticals Inc. | 989 | 11 |
*,^ | Second Sight Medical Products Inc. | 6,508 | 11 |
*,^ | Novan Inc. | 1,848 | 10 |
* | BioScrip Inc. | 6,530 | 10 |
* | Atara Biotherapeutics Inc. | 592 | 9 |
*,^ | Argos Therapeutics Inc. | 7,011 | 8 |
*,^ | TransEnterix Inc. | 3,203 | 4 |
*,^ | Nobilis Health Corp. | 1,811 | 4 |
* | NantKwest Inc. | 790 | 4 |
* | Dimension Therapeutics Inc. | 2,184 | 4 |
*,^ | Tokai Pharmaceuticals Inc. | 4,376 | 4 |
*,^ | Galena Biopharma Inc. | 4,825 | 4 |
* | Corvus Pharmaceuticals Inc. | 231 | 3 |
* | OvaScience Inc. | 1,868 | 3 |
* | Endocyte Inc. | 1,211 | 3 |
* | Cidara Therapeutics Inc. | 309 | 2 |
* | Asterias Biotherapeutics Inc. Warrants Exp. 09/29/2017 | 1,039 | — |
99,172 | |||
Materials & Processing (10.0%) | |||
Chemours Co. | 75,641 | 2,546 | |
US Silica Holdings Inc. | 36,781 | 1,860 | |
Sensient Technologies Corp. | 21,999 | 1,759 | |
* | Louisiana-Pacific Corp. | 66,456 | 1,567 |
Belden Inc. | 20,714 | 1,463 | |
PolyOne Corp. | 41,502 | 1,398 | |
Balchem Corp. | 15,575 | 1,358 | |
* | Beacon Roofing Supply Inc. | 29,568 | 1,344 |
* | Summit Materials Inc. Class A | 53,021 | 1,267 |
HB Fuller Co. | 24,814 | 1,226 | |
* | Masonite International Corp. | 14,988 | 1,171 |
Worthington Industries Inc. | 22,318 | 1,095 | |
* | RBC Bearings Inc. | 11,231 | 1,048 |
* | Trex Co. Inc. | 14,547 | 989 |
Mueller Water Products Inc. Class A | 76,921 | 953 | |
Trinseo SA | 13,417 | 928 |
67
Vanguard® Russell 2000 Growth Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Ingevity Corp. | 16,864 | 910 |
Simpson Manufacturing Co. Inc. | 20,524 | 886 |
Mueller Industries Inc. | 19,950 | 834 |
* Headwaters Inc. | 36,076 | 830 |
Universal Forest Products Inc. | 8,494 | 814 |
Apogee Enterprises Inc. | 14,029 | 802 |
* GCP Applied Technologies Inc. | 29,571 | 779 |
Minerals Technologies Inc. | 9,199 | 711 |
Comfort Systems USA Inc. | 18,370 | 701 |
* Rexnord Corp. | 31,607 | 701 |
* Univar Inc. | 21,313 | 686 |
AAON Inc. | 19,942 | 671 |
Quaker Chemical Corp. | 4,781 | 630 |
Neenah Paper Inc. | 8,198 | 600 |
* Ferro Corp. | 40,953 | 573 |
* Patrick Industries Inc. | 7,148 | 571 |
* Coeur Mining Inc. | 65,695 | 564 |
Interface Inc. Class A | 28,456 | 538 |
* Chemtura Corp. | 16,143 | 535 |
* Builders FirstSource Inc. | 41,261 | 534 |
* BMC Stock Holdings Inc. | 23,196 | 487 |
* Installed Building Products Inc. | 9,935 | 467 |
* Clearwater Paper Corp. | 8,344 | 464 |
Innophos Holdings Inc. | 8,515 | 451 |
* US Concrete Inc. | 7,119 | 448 |
* Boise Cascade Co. | 16,518 | 448 |
* Continental Building Products Inc. | 17,355 | 424 |
* Gibraltar Industries Inc. | 10,054 | 417 |
* Caesarstone Ltd. | 11,799 | 394 |
Deltic Timber Corp. | 5,268 | 392 |
Advanced Drainage Systems Inc. | 17,198 | 379 |
* Koppers Holdings Inc. | 8,019 | 352 |
Global Brass & Copper Holdings Inc. | 9,549 | 321 |
Chase Corp. | 3,485 | 319 |
Griffon Corp. | 12,426 | 312 |
Insteel Industries Inc. | 8,614 | 311 |
Kaiser Aluminum Corp. | 3,209 | 253 |
* PGT Innovations Inc. | 23,505 | 236 |
* NCI Building Systems Inc. | 13,371 | 214 |
Aceto Corp. | 12,729 | 195 |
* Ply Gem Holdings Inc. | 10,901 | 190 |
* Multi Packaging Solutions International Ltd. | 10,458 | 186 |
Culp Inc. | 5,372 | 183 |
Rayonier Advanced Materials Inc. | 12,841 | 170 |
* Forterra Inc. | 7,904 | 157 |
Myers Industries Inc. | 10,778 | 151 |
* OMNOVA Solutions Inc. | 13,188 | 122 |
Schweitzer-Mauduit International Inc. | 2,885 | 118 |
Cabot Microelectronics Corp. | 1,582 | 109 |
* GMS Inc. | 3,436 | 103 |
Gold Resource Corp. | 19,429 | 101 |
KMG Chemicals Inc. | 2,004 | 74 |
Stepan Co. | 949 | 72 |
Omega Flex Inc. | 1,474 | 67 |
* Lawson Products Inc. | 2,418 | 67 |
KapStone Paper and Packaging Corp. | 2,717 | 61 |
Hawkins Inc. | 930 | 46 |
* ChromaDex Corp. | 14,035 | 39 |
* Landec Corp. | 2,915 | 37 |
Quanex Building Products Corp. | 1,428 | 28 |
* Century Aluminum Co. | 1,714 | 24 |
LSI Industries Inc. | 1,446 | 14 |
* Armstrong Flooring Inc. | 617 | 13 |
* Veritiv Corp. | 193 | 11 |
68
Vanguard® Russell 2000 Growth Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
United States Lime & Minerals Inc. | 66 | 5 |
Valhi Inc. | 729 | 2 |
45,276 | ||
Other (0.1%)2 | ||
* Dyax Corp CVR Expire 12/31/2019 | 73,258 | 81 |
* Tobira Therapeutics Inc. CV Rights | 3,989 | 55 |
* JELD-WEN Holding Inc. | 575 | 18 |
* REV Group Inc. | 597 | 17 |
* Jagged Peak Energy Inc. | 920 | 13 |
* Keane Group Inc. | 500 | 9 |
* Jounce Therapeutics Inc. | 217 | 4 |
* AnaptysBio Inc. | 181 | 4 |
Second Sight Medical Rights | 6,463 | 4 |
* Chelsea Therapeutics International Ltd. CVR | 27,975 | 3 |
Ramaco Resources Inc. | 226 | 3 |
* Omthera Pharmaceuticals Inc. CVR | 2,001 | 1 |
* Durata Therapeutics Inc CVR Expire 12/31/2018 | 534 | — |
* Clinical Data Contingent Value Rights | 367 | — |
* Cubist Pharmaceuticals, Inc. CVR | 13,027 | — |
212 | ||
Producer Durables (14.2%) | ||
MAXIMUS Inc. | 31,730 | 1,893 |
Woodward Inc. | 26,175 | 1,844 |
Deluxe Corp. | 24,219 | 1,782 |
Littelfuse Inc. | 10,982 | 1,773 |
Curtiss-Wright Corp. | 15,886 | 1,554 |
Healthcare Services Group Inc. | 34,829 | 1,441 |
* WageWorks Inc. | 18,056 | 1,390 |
John Bean Technologies Corp. | 14,382 | 1,286 |
* MasTec Inc. | 32,713 | 1,284 |
* Hawaiian Holdings Inc. | 26,104 | 1,270 |
* Generac Holdings Inc. | 32,334 | 1,262 |
* Dycom Industries Inc. | 15,136 | 1,244 |
CEB Inc. | 15,859 | 1,230 |
Brink's Co. | 22,235 | 1,188 |
* On Assignment Inc. | 25,147 | 1,187 |
* Advanced Energy Industries Inc. | 18,541 | 1,151 |
Allegiant Travel Co. Class A | 6,533 | 1,137 |
* Itron Inc. | 16,536 | 1,070 |
* Electronics For Imaging Inc. | 23,222 | 1,070 |
Hillenbrand Inc. | 29,215 | 1,062 |
HNI Corp. | 22,462 | 1,029 |
Knight Transportation Inc. | 30,798 | 1,007 |
* Advisory Board Co. | 20,285 | 913 |
Franklin Electric Co. Inc. | 21,408 | 897 |
Herman Miller Inc. | 29,620 | 883 |
Watts Water Technologies Inc. Class A | 12,823 | 820 |
* Swift Transportation Co. | 37,055 | 805 |
Granite Construction Inc. | 14,813 | 785 |
* Hub Group Inc. Class A | 15,346 | 775 |
MSA Safety Inc. | 10,502 | 759 |
AZZ Inc. | 12,764 | 749 |
Forward Air Corp. | 14,775 | 732 |
Exponent Inc. | 12,616 | 725 |
* ExlService Holdings Inc. | 16,140 | 721 |
G&K Services Inc. Class A | 7,383 | 698 |
EnPro Industries Inc. | 10,617 | 693 |
Steelcase Inc. Class A | 42,613 | 682 |
* Proto Labs Inc. | 12,215 | 667 |
* TASER International Inc. | 25,784 | 662 |
Brady Corp. Class A | 17,240 | 659 |
Insperity Inc. | 7,702 | 641 |
* Teledyne Technologies Inc. | 4,833 | 635 |
Tennant Co. | 8,098 | 569 |
69
Vanguard® Russell 2000 Growth Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | TriNet Group Inc. | 20,885 | 561 |
US Ecology Inc. | 10,793 | 548 | |
Knoll Inc. | 23,723 | 530 | |
Mobile Mini Inc. | 16,208 | 528 | |
Korn/Ferry International | 16,759 | 518 | |
Badger Meter Inc. | 13,851 | 507 | |
Primoris Services Corp. | 19,980 | 497 | |
Applied Industrial Technologies Inc. | 7,786 | 491 | |
Convergys Corp. | 22,320 | 488 | |
Multi-Color Corp. | 6,730 | 483 | |
EnerSys | 6,287 | 482 | |
Heartland Express Inc. | 22,791 | 473 | |
* | Team Inc. | 13,310 | 457 |
Standex International Corp. | 4,785 | 457 | |
Argan Inc. | 6,606 | 455 | |
* | Lydall Inc. | 8,234 | 417 |
MTS Systems Corp. | 7,493 | 412 | |
H&E Equipment Services Inc. | 15,678 | 411 | |
Altra Industrial Motion Corp. | 10,269 | 399 | |
Sun Hydraulics Corp. | 10,360 | 383 | |
* | Paylocity Holding Corp. | 10,699 | 377 |
General Cable Corp. | 22,295 | 372 | |
Actuant Corp. Class A | 13,869 | 368 | |
Lindsay Corp. | 4,554 | 365 | |
Raven Industries Inc. | 11,085 | 328 | |
Matson Inc. | 9,564 | 325 | |
* | Astronics Corp. | 9,547 | 320 |
Kforce Inc. | 12,222 | 315 | |
Douglas Dynamics Inc. | 9,300 | 310 | |
EMCOR Group Inc. | 4,955 | 305 | |
* | Aerojet Rocketdyne Holdings Inc. | 15,004 | 291 |
* | Darling Ingredients Inc. | 21,970 | 286 |
Astec Industries Inc. | 4,492 | 284 | |
* | Echo Global Logistics Inc. | 12,406 | 271 |
* | SP Plus Corp. | 8,095 | 261 |
Kimball International Inc. Class B | 15,372 | 252 | |
TeleTech Holdings Inc. | 8,107 | 246 | |
Gorman-Rupp Co. | 7,606 | 237 | |
Barrett Business Services Inc. | 3,517 | 225 | |
Hackett Group Inc. | 11,011 | 222 | |
Quad/Graphics Inc. | 7,569 | 205 | |
* | Mistras Group Inc. | 8,448 | 190 |
Tetra Tech Inc. | 4,663 | 188 | |
Mesa Laboratories Inc. | 1,468 | 184 | |
Wabash National Corp. | 8,562 | 181 | |
Forrester Research Inc. | 4,897 | 179 | |
* | InnerWorkings Inc. | 17,623 | 171 |
* | Advanced Disposal Services Inc. | 7,492 | 164 |
* | GP Strategies Corp. | 6,320 | 156 |
* | Energy Recovery Inc. | 16,979 | 143 |
* | DHI Group Inc. | 24,699 | 122 |
* | Vicor Corp. | 7,319 | 119 |
* | Milacron Holdings Corp. | 6,280 | 114 |
*,^ | Energous Corp. | 7,344 | 113 |
* | TopBuild Corp. | 2,595 | 109 |
*,^ | Aqua Metals Inc. | 6,066 | 103 |
* | Moog Inc. Class A | 1,457 | 98 |
* | NV5 Global Inc. | 2,669 | 98 |
UniFirst Corp. | 736 | 98 | |
Albany International Corp. | 2,122 | 96 | |
* | Atkore International Group Inc. | 3,579 | 94 |
Triton International Ltd. | 3,663 | 91 | |
* | Tutor Perini Corp. | 2,882 | 88 |
Hyster-Yale Materials Handling Inc. | 1,430 | 87 |
70
Vanguard® Russell 2000 Growth Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Alamo Group Inc. | 1,042 | 78 | |
Allied Motion Technologies Inc. | 3,139 | 76 | |
* | ServiceSource International Inc. | 18,814 | 74 |
* | Wesco Aircraft Holdings Inc. | 6,054 | 73 |
* | FTI Consulting Inc. | 1,813 | 73 |
* | FARO Technologies Inc. | 2,057 | 71 |
Supreme Industries Inc. Class A | 3,583 | 70 | |
*,^ | Plug Power Inc. | 61,774 | 67 |
* | IES Holdings Inc. | 3,510 | 66 |
* | Radiant Logistics Inc. | 11,282 | 63 |
* | Air Transport Services Group Inc. | 3,561 | 61 |
Kaman Corp. | 1,164 | 60 | |
* | Huron Consulting Group Inc. | 1,369 | 59 |
Kadant Inc. | 869 | 54 | |
* | Information Services Group Inc. | 15,814 | 50 |
* | Heritage-Crystal Clean Inc. | 3,319 | 49 |
* | PFSweb Inc. | 6,605 | 46 |
* | YRC Worldwide Inc. | 3,293 | 42 |
* | Aerovironment Inc. | 1,561 | 42 |
* | Navistar International Corp. | 1,516 | 41 |
Universal Logistics Holdings Inc. | 2,825 | 39 | |
* | TrueBlue Inc. | 1,368 | 36 |
* | Hill International Inc. | 7,146 | 35 |
* | ALJ Regional Holdings Inc. | 9,071 | 35 |
* | Neff Corp. Class A | 1,890 | 29 |
* | Vectrus Inc. | 1,097 | 27 |
*,^ | Patriot National Inc. | 5,401 | 25 |
*,^ | Workhorse Group Inc. | 7,077 | 20 |
* | Great Lakes Dredge & Dock Corp. | 3,173 | 14 |
* | Orion Group Holdings Inc. | 1,107 | 10 |
Miller Industries Inc. | 413 | 10 | |
*,^ | Power Solutions International Inc. | 1,646 | 9 |
* | PHI Inc. | 442 | 6 |
* | ExOne Co. | 610 | 6 |
* | Blue Bird Corp. | 277 | 5 |
64,793 | |||
Technology (19.3%) | |||
* | Microsemi Corp. | 56,354 | 2,920 |
* | Advanced Micro Devices Inc. | 178,236 | 2,577 |
LogMeIn Inc. | 25,675 | 2,356 | |
* | Take-Two Interactive Software Inc. | 41,145 | 2,344 |
* | Aspen Technology Inc. | 38,582 | 2,243 |
* | Coherent Inc. | 12,014 | 2,194 |
* | Cavium Inc. | 27,832 | 1,823 |
Science Applications International Corp. | 20,862 | 1,814 | |
* | Ciena Corp. | 68,024 | 1,792 |
* | EPAM Systems Inc. | 23,812 | 1,753 |
* | Universal Display Corp. | 20,504 | 1,740 |
Monolithic Power Systems Inc. | 19,272 | 1,695 | |
* | Cirrus Logic Inc. | 30,980 | 1,675 |
Blackbaud Inc. | 23,306 | 1,667 | |
* | Integrated Device Technology Inc. | 66,727 | 1,595 |
* | Proofpoint Inc. | 20,159 | 1,588 |
* | Ellie Mae Inc. | 16,225 | 1,550 |
* | ViaSat Inc. | 22,341 | 1,538 |
InterDigital Inc. | 17,112 | 1,438 | |
* | GrubHub Inc. | 40,021 | 1,403 |
* | Silicon Laboratories Inc. | 20,418 | 1,378 |
* | Paycom Software Inc. | 21,739 | 1,170 |
* | Lumentum Holdings Inc. | 24,999 | 1,147 |
* | ACI Worldwide Inc. | 57,047 | 1,116 |
* | Zendesk Inc. | 40,068 | 1,091 |
* | Semtech Corp. | 32,036 | 1,072 |
* | Cornerstone OnDemand Inc. | 24,897 | 1,040 |
71
Vanguard® Russell 2000 Growth Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | CommVault Systems Inc. | 19,188 | 941 |
* | Inphi Corp. | 19,842 | 931 |
* | Entegris Inc. | 43,905 | 931 |
* | Synaptics Inc. | 17,354 | 922 |
* | RealPage Inc. | 26,747 | 903 |
Plantronics Inc. | 16,378 | 877 | |
Power Integrations Inc. | 13,552 | 857 | |
* | HubSpot Inc. | 14,301 | 851 |
* | 3D Systems Corp. | 52,996 | 806 |
* | Envestnet Inc. | 20,509 | 793 |
^ | Ebix Inc. | 12,419 | 776 |
* | RingCentral Inc. Class A | 28,953 | 773 |
Pegasystems Inc. | 17,801 | 765 | |
* | iRobot Corp. | 13,258 | 757 |
* | MACOM Technology Solutions Holdings Inc. | 15,615 | 720 |
* | MaxLinear Inc. | 27,586 | 718 |
* | Fabrinet | 17,258 | 717 |
Methode Electronics Inc. | 16,495 | 685 | |
NIC Inc. | 31,418 | 663 | |
*,^ | Ubiquiti Networks Inc. | 12,879 | 633 |
CSG Systems International Inc. | 15,904 | 627 | |
* | BroadSoft Inc. | 14,606 | 625 |
* | Imperva Inc. | 14,185 | 582 |
* | NETGEAR Inc. | 10,551 | 578 |
Xperi Corp. | 15,999 | 574 | |
* | Callidus Software Inc. | 30,102 | 567 |
* | Synchronoss Technologies Inc. | 20,435 | 553 |
* | Gigamon Inc. | 16,096 | 548 |
* | Acxiom Corp. | 18,690 | 533 |
* | Infinera Corp. | 48,361 | 525 |
* | MicroStrategy Inc. Class A | 2,568 | 493 |
* | Qualys Inc. | 13,415 | 469 |
*,^ | Globant SA | 12,753 | 463 |
* | Q2 Holdings Inc. | 12,680 | 456 |
* | SPS Commerce Inc. | 8,154 | 451 |
* | Bottomline Technologies de Inc. | 17,166 | 428 |
* | Box Inc. | 24,242 | 427 |
* | Virtusa Corp. | 13,626 | 423 |
* | Lattice Semiconductor Corp. | 59,533 | 421 |
* | Cray Inc. | 19,981 | 417 |
* | Web.com Group Inc. | 21,091 | 406 |
Monotype Imaging Holdings Inc. | 20,121 | 405 | |
* | Oclaro Inc. | 47,565 | 404 |
* | Pure Storage Inc. Class A | 33,875 | 386 |
* | New Relic Inc. | 10,863 | 382 |
*,^ | TrueCar Inc. | 26,926 | 379 |
* | Ambarella Inc. | 6,348 | 374 |
* | GTT Communications Inc. | 12,950 | 361 |
Diebold Nixdorf Inc. | 11,314 | 342 | |
ADTRAN Inc. | 15,785 | 334 | |
* | TiVo Corp. | 17,925 | 332 |
* | CEVA Inc. | 9,754 | 326 |
* | Extreme Networks Inc. | 51,385 | 321 |
* | II-VI Inc. | 8,306 | 296 |
* | NeuStar Inc. Class A | 8,687 | 288 |
* | PROS Holdings Inc. | 12,369 | 287 |
* | ePlus Inc. | 2,247 | 285 |
* | CalAmp Corp. | 17,587 | 285 |
Syntel Inc. | 15,903 | 281 | |
* | Nimble Storage Inc. | 30,935 | 281 |
* | PDF Solutions Inc. | 12,467 | 267 |
* | Loral Space & Communications Inc. | 6,398 | 262 |
* | Five9 Inc. | 16,230 | 258 |
* | Nanometrics Inc. | 9,411 | 256 |
72
Vanguard® Russell 2000 Growth Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Barracuda Networks Inc. | 10,790 | 255 |
* | Endurance International Group Holdings Inc. | 29,957 | 255 |
* | Rogers Corp. | 3,084 | 254 |
* | Unisys Corp. | 16,613 | 231 |
*,^ | Stratasys Ltd. | 11,418 | 226 |
* | Perficient Inc. | 12,393 | 225 |
* | Silver Spring Networks Inc. | 17,635 | 216 |
* | Hortonworks Inc. | 20,825 | 207 |
* | FormFactor Inc. | 19,393 | 207 |
* | A10 Networks Inc. | 21,757 | 206 |
* | MINDBODY Inc. Class A | 7,159 | 190 |
* | LivePerson Inc. | 26,183 | 185 |
Sapiens International Corp. NV | 12,069 | 175 | |
* | Vocera Communications Inc. | 8,442 | 175 |
* | VASCO Data Security International Inc. | 13,387 | 174 |
* | Carbonite Inc. | 8,839 | 172 |
* | Rambus Inc. | 13,643 | 171 |
* | Benefitfocus Inc. | 6,396 | 170 |
* | Workiva Inc. | 10,898 | 163 |
* | Lionbridge Technologies Inc. | 28,000 | 161 |
* | Rapid7 Inc. | 9,981 | 151 |
* | Alarm.com Holdings Inc. | 5,152 | 147 |
* | Varonis Systems Inc. | 5,222 | 143 |
* | Xactly Corp. | 11,379 | 141 |
*,^ | Acacia Communications Inc. | 2,544 | 132 |
* | Zix Corp. | 26,302 | 132 |
American Software Inc. Class A | 12,686 | 131 | |
* | Jive Software Inc. | 28,381 | 125 |
* | Brightcove Inc. | 14,726 | 124 |
* | Model N Inc. | 10,975 | 117 |
* | ChannelAdvisor Corp. | 10,750 | 116 |
* | Digimarc Corp. | 4,490 | 113 |
* | MobileIron Inc. | 23,079 | 111 |
* | Exa Corp. | 6,923 | 108 |
* | Super Micro Computer Inc. | 4,135 | 108 |
* | Blackline Inc. | 3,624 | 103 |
* | Novanta Inc. | 4,059 | 99 |
Progress Software Corp. | 3,397 | 97 | |
* | Appfolio Inc. | 3,757 | 93 |
* | Mitek Systems Inc. | 14,795 | 92 |
* | Clearfield Inc. | 5,604 | 92 |
MKS Instruments Inc. | 1,348 | 88 | |
NVE Corp. | 1,128 | 88 | |
* | MeetMe Inc. | 18,043 | 87 |
* | Park City Group Inc. | 6,073 | 86 |
* | Coupa Software Inc. | 3,150 | 83 |
* | Guidance Software Inc. | 11,554 | 79 |
* | comScore Inc. | 3,025 | 73 |
* | Mercury Systems Inc. | 1,846 | 69 |
* | Amber Road Inc. | 8,857 | 67 |
* | USA Technologies Inc. | 15,810 | 63 |
* | Radisys Corp. | 16,462 | 63 |
* | Rubicon Project Inc. | 7,072 | 62 |
* | Avid Technology Inc. | 10,925 | 61 |
* | Everbridge Inc. | 3,189 | 61 |
* | Blucora Inc. | 3,882 | 61 |
* | Aerohive Networks Inc. | 12,132 | 58 |
Reis Inc. | 2,938 | 57 | |
*,^ | VirnetX Holding Corp. | 24,720 | 56 |
* | Impinj Inc. | 1,852 | 53 |
* | Immersion Corp. | 4,728 | 52 |
* | ShoreTel Inc. | 7,851 | 51 |
* | Exar Corp. | 3,747 | 39 |
* | Apptio Inc. Class A | 2,500 | 32 |
73
Vanguard® Russell 2000 Growth Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Quantenna Communications Inc. | 1,386 | 29 |
* | Silicom Ltd. | 756 | 29 |
* | Amkor Technology Inc. | 2,779 | 27 |
* | NeoPhotonics Corp. | 2,434 | 25 |
* | Ultratech Inc. | 760 | 22 |
* | TechTarget Inc. | 2,269 | 21 |
* | Sonus Networks Inc. | 2,782 | 16 |
* | Majesco | 2,587 | 13 |
* | GigPeak Inc. | 3,517 | 11 |
* | Autobytel Inc. | 751 | 9 |
* | SecureWorks Corp. Class A | 854 | 9 |
* | Sparton Corp. | 310 | 7 |
* | Global Eagle Entertainment Inc. | 1,490 | 7 |
* | Numerex Corp. Class A | 1,046 | 5 |
* | Agilysys Inc. | 568 | 5 |
87,913 | |||
Utilities (2.2%) | |||
j2 Global Inc. | 23,252 | 1,893 | |
Cogent Communications Holdings Inc. | 20,571 | 853 | |
* | 8x8 Inc. | 43,604 | 658 |
Shenandoah Telecommunications Co. | 22,881 | 643 | |
Pattern Energy Group Inc. Class A | 26,346 | 548 | |
American States Water Co. | 11,965 | 535 | |
California Water Service Group | 14,079 | 517 | |
MGE Energy Inc. | 7,963 | 509 | |
Ormat Technologies Inc. | 8,710 | 480 | |
Consolidated Communications Holdings Inc. | 16,943 | 382 | |
^ | Windstream Holdings Inc. | 48,009 | 359 |
*,^ | Gogo Inc. | 27,642 | 293 |
* | General Communication Inc. Class A | 13,419 | 270 |
* | ORBCOMM Inc. | 29,068 | 249 |
Middlesex Water Co. | 6,614 | 249 | |
Southwest Gas Holdings Inc. | 2,427 | 208 | |
York Water Co. | 5,655 | 204 | |
*,^ | Globalstar Inc. | 122,343 | 168 |
*,^ | Straight Path Communications Inc. Class B | 4,727 | 161 |
New Jersey Resources Corp. | 3,508 | 138 | |
* | FairPoint Communications Inc. | 8,196 | 130 |
* | Boingo Wireless Inc. | 10,330 | 113 |
WGL Holdings Inc. | 1,224 | 102 | |
IDT Corp. Class B | 5,215 | 101 | |
West Corp. | 3,183 | 76 | |
Connecticut Water Service Inc. | 1,174 | 67 | |
Spark Energy Inc. Class A | 2,456 | 66 | |
* | Vonage Holdings Corp. | 10,511 | 63 |
Chesapeake Utilities Corp. | 868 | 60 | |
Global Water Resources Inc. | 4,135 | 36 | |
* | AquaVenture Holdings Ltd. | 1,714 | 28 |
* | Lumos Networks Corp. | 740 | 13 |
10,172 | |||
Total Common Stocks (Cost $412,712) | 453,965 |
74
Vanguard® Russell 2000 Growth Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Market | ||||
Value | ||||
Coupon | Shares | ($000) | ||
Temporary Cash Investments (2.0%)1 | ||||
Money Market Fund (2.0%) | ||||
3,4 Vanguard Market Liquidity Fund | 0.864% | 91,381 | 9,139 | |
Face | ||||
Maturity | Amount | |||
Date | ($000) | |||
U.S. Government and Agency Obligations (0.0%) | ||||
5 United States Treasury Bill | 0.564% | 5/4/17 | 100 | 100 |
Total Temporary Cash Investments (Cost $9,238) | 9,239 | |||
Total Investments (101.8%) (Cost $421,950) | 463,204 | |||
Other Assets and Liabilities—Net (-1.8%)4 | (8,305) | |||
Net Assets (100%) | 454,899 |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $6,426,000.
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 99.9% and 1.9%, 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 $6,884,000 of collateral received for securities on loan.
5 Securities with a value of $100,000 have been segregated as initial margin for open futures contracts.
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
75
© 2017 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA18512 042017
Vanguard® Russell 3000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.7%)1 | |||
Consumer Discretionary (13.7%) | |||
* | Amazon.com Inc. | 19,455 | 16,440 |
Home Depot Inc. | 62,299 | 9,028 | |
Comcast Corp. Class A | 240,979 | 9,017 | |
Walt Disney Co. | 81,211 | 8,941 | |
Wal-Mart Stores Inc. | 75,843 | 5,380 | |
McDonald's Corp. | 41,617 | 5,312 | |
* | Priceline Group Inc. | 2,476 | 4,269 |
Starbucks Corp. | 71,303 | 4,055 | |
Costco Wholesale Corp. | 21,801 | 3,863 | |
Time Warner Inc. | 39,269 | 3,857 | |
NIKE Inc. Class B | 66,117 | 3,779 | |
Lowe's Cos. Inc. | 44,578 | 3,315 | |
* | Charter Communications Inc. Class A | 10,052 | 3,247 |
* | Netflix Inc. | 20,444 | 2,906 |
TJX Cos. Inc. | 33,254 | 2,609 | |
General Motors Co. | 70,043 | 2,580 | |
Ford Motor Co. | 197,206 | 2,471 | |
* | eBay Inc. | 53,755 | 1,822 |
Target Corp. | 30,082 | 1,768 | |
Twenty-First Century Fox Inc. Class A | 57,046 | 1,707 | |
*,^ | Tesla Inc. | 6,262 | 1,565 |
Marriott International Inc. Class A | 16,053 | 1,396 | |
Ross Stores Inc. | 19,863 | 1,362 | |
* | O'Reilly Automotive Inc. | 4,682 | 1,272 |
CBS Corp. Class B | 18,915 | 1,247 | |
Newell Brands Inc. | 23,804 | 1,167 | |
Carnival Corp. | 20,296 | 1,136 | |
Yum! Brands Inc. | 17,255 | 1,127 | |
Dollar General Corp. | 14,867 | 1,086 | |
* | AutoZone Inc. | 1,472 | 1,084 |
Delphi Automotive plc | 13,607 | 1,036 | |
Omnicom Group Inc. | 11,814 | 1,005 | |
Las Vegas Sands Corp. | 17,910 | 948 | |
Estee Lauder Cos. Inc. Class A | 10,649 | 882 | |
VF Corp. | 16,776 | 880 | |
* | Dollar Tree Inc. | 11,172 | 857 |
Nielsen Holdings plc | 18,682 | 829 | |
Royal Caribbean Cruises Ltd. | 8,591 | 826 | |
* | Ulta Beauty Inc. | 2,902 | 793 |
Viacom Inc. Class B | 17,007 | 739 | |
Genuine Parts Co. | 7,602 | 728 | |
Expedia Inc. | 5,990 | 713 | |
* | Mohawk Industries Inc. | 3,076 | 696 |
Whirlpool Corp. | 3,820 | 682 | |
* | DISH Network Corp. Class A | 10,872 | 674 |
L Brands Inc. | 12,755 | 671 | |
Twenty-First Century Fox Inc. | 22,223 | 652 | |
* | MGM Resorts International | 23,353 | 614 |
* | CarMax Inc. | 9,498 | 613 |
Best Buy Co. Inc. | 13,700 | 605 | |
* | Chipotle Mexican Grill Inc. Class A | 1,390 | 582 |
Advance Auto Parts Inc. | 3,704 | 580 | |
Lear Corp. | 3,818 | 542 | |
Foot Locker Inc. | 7,120 | 539 | |
Hasbro Inc. | 5,481 | 531 | |
DR Horton Inc. | 16,477 | 527 | |
* | LKQ Corp. | 16,693 | 527 |
Coach Inc. | 13,689 | 521 | |
Harley-Davidson Inc. | 8,942 | 504 | |
Macy's Inc. | 15,109 | 502 | |
Interpublic Group of Cos. Inc. | 20,798 | 501 |
1
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Tractor Supply Co. | 7,067 | 501 |
Tiffany & Co. | 5,395 | 496 |
Wyndham Worldwide Corp. | 5,913 | 492 |
* Hilton Worldwide Holdings Inc. | 8,592 | 491 |
Goodyear Tire & Rubber Co. | 13,750 | 482 |
Domino's Pizza Inc. | 2,486 | 472 |
* Yum China Holdings Inc. | 17,277 | 459 |
BorgWarner Inc. | 10,639 | 449 |
^ Sirius XM Holdings Inc. | 87,594 | 446 |
Darden Restaurants Inc. | 5,851 | 437 |
Aramark | 12,177 | 435 |
Fortune Brands Home & Security Inc. | 7,489 | 433 |
Mattel Inc. | 16,602 | 427 |
* Liberty Broadband Corp. | 4,955 | 426 |
Coty Inc. Class A | 22,584 | 424 |
* Liberty Interactive Corp. QVC Group Class A | 21,807 | 412 |
Harman International Industries Inc. | 3,680 | 411 |
* Norwegian Cruise Line Holdings Ltd. | 7,860 | 398 |
Kohl's Corp. | 8,993 | 383 |
Wynn Resorts Ltd. | 3,963 | 381 |
Hanesbrands Inc. | 18,645 | 373 |
PVH Corp. | 3,927 | 360 |
Vail Resorts Inc. | 1,926 | 349 |
PulteGroup Inc. | 15,754 | 347 |
Lennar Corp. Class A | 7,064 | 345 |
* Liberty Media Corp-Liberty SiriusXM Class C | 8,798 | 343 |
Scripps Networks Interactive Inc. Class A | 4,090 | 330 |
* NVR Inc. | 169 | 327 |
Gentex Corp. | 15,052 | 317 |
* Lululemon Athletica Inc. | 4,815 | 314 |
Leggett & Platt Inc. | 6,385 | 314 |
* Burlington Stores Inc. | 3,458 | 308 |
KAR Auction Services Inc. | 6,816 | 305 |
* Adient plc | 4,544 | 305 |
Bed Bath & Beyond Inc. | 7,309 | 295 |
Dunkin' Brands Group Inc. | 5,261 | 289 |
Service Corp. International | 9,354 | 287 |
* WABCO Holdings Inc. | 2,559 | 287 |
* Discovery Communications Inc. Class A | 9,982 | 287 |
* Michael Kors Holdings Ltd. | 7,824 | 286 |
Staples Inc. | 31,758 | 286 |
Nordstrom Inc. | 6,015 | 281 |
Garmin Ltd. | 5,433 | 280 |
Gap Inc. | 11,118 | 276 |
* ServiceMaster Global Holdings Inc. | 6,778 | 270 |
* Discovery Communications Inc. | 9,596 | 269 |
TEGNA Inc. | 10,487 | 269 |
Brunswick Corp. | 4,448 | 266 |
* Toll Brothers Inc. | 7,616 | 260 |
Thor Industries Inc. | 2,341 | 259 |
* Panera Bread Co. Class A | 1,104 | 255 |
Polaris Industries Inc. | 2,893 | 247 |
* Under Armour Inc. Class A | 11,841 | 244 |
News Corp. Class A | 19,030 | 244 |
* TripAdvisor Inc. | 5,672 | 235 |
Ralph Lauren Corp. Class A | 2,805 | 223 |
Pool Corp. | 1,935 | 222 |
Signet Jewelers Ltd. | 3,452 | 220 |
Carter's Inc. | 2,467 | 217 |
Cinemark Holdings Inc. | 5,171 | 217 |
Williams-Sonoma Inc. | 4,431 | 215 |
Dick's Sporting Goods Inc. | 4,366 | 214 |
Six Flags Entertainment Corp. | 3,495 | 212 |
H&R Block Inc. | 10,290 | 212 |
2
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Liberty Media Corp-Liberty SiriusXM Class A | 4,747 | 187 |
* Live Nation Entertainment Inc. | 6,332 | 180 |
* AMC Networks Inc. Class A | 3,003 | 180 |
* Tenneco Inc. | 2,704 | 174 |
* Liberty Ventures Class A | 3,902 | 171 |
CST Brands Inc. | 3,545 | 171 |
* Madison Square Garden Co. Class A | 937 | 168 |
* Visteon Corp. | 1,743 | 162 |
* Sally Beauty Holdings Inc. | 7,374 | 161 |
Lennar Corp. Class B | 4,074 | 160 |
* Skechers U.S.A. Inc. Class A | 6,212 | 159 |
Jack in the Box Inc. | 1,625 | 152 |
Tupperware Brands Corp. | 2,479 | 150 |
Cracker Barrel Old Country Store Inc. | 927 | 149 |
* AutoNation Inc. | 3,246 | 149 |
Wendy's Co. | 10,501 | 146 |
* Bright Horizons Family Solutions Inc. | 2,097 | 145 |
* Kate Spade & Co. | 6,073 | 145 |
Cable One Inc. | 230 | 144 |
Nexstar Media Group Inc. Class A | 2,056 | 142 |
* Buffalo Wild Wings Inc. | 911 | 141 |
Texas Roadhouse Inc. Class A | 3,302 | 140 |
* Lions Gate Entertainment Corp. Class B | 5,532 | 138 |
Columbia Sportswear Co. | 2,503 | 138 |
* Pandora Media Inc. | 11,060 | 137 |
Tribune Media Co. Class A | 3,933 | 136 |
* Helen of Troy Ltd. | 1,389 | 136 |
Dana Inc. | 7,163 | 135 |
CalAtlantic Group Inc. | 3,770 | 133 |
* Grand Canyon Education Inc. | 2,164 | 133 |
* Avis Budget Group Inc. | 3,826 | 132 |
Sinclair Broadcast Group Inc. Class A | 3,284 | 131 |
Cheesecake Factory Inc. | 2,141 | 131 |
* Under Armour Inc. | 6,850 | 127 |
GameStop Corp. Class A | 5,146 | 126 |
American Eagle Outfitters Inc. | 7,888 | 125 |
International Game Technology plc | 4,532 | 122 |
* LCI Industries | 1,121 | 121 |
Meredith Corp. | 1,898 | 119 |
Graham Holdings Co. Class B | 221 | 119 |
John Wiley & Sons Inc. Class A | 2,253 | 118 |
* Steven Madden Ltd. | 3,147 | 118 |
* Liberty Broadband Corp. Class A | 1,393 | 117 |
* Tempur Sealy International Inc. | 2,513 | 116 |
AMERCO | 298 | 115 |
Big Lots Inc. | 2,241 | 115 |
Wolverine World Wide Inc. | 4,564 | 115 |
Lithia Motors Inc. Class A | 1,189 | 114 |
* Cabela's Inc. | 2,412 | 113 |
* Murphy USA Inc. | 1,772 | 113 |
* Liberty Expedia Holdings Inc. Class A | 2,601 | 113 |
* Urban Outfitters Inc. | 4,242 | 110 |
Office Depot Inc. | 26,238 | 109 |
* Sotheby's | 2,422 | 109 |
AMC Entertainment Holdings Inc. Class A | 3,392 | 106 |
ILG Inc. | 5,622 | 106 |
* Dave & Buster's Entertainment Inc. | 1,847 | 106 |
News Corp. Class B | 7,949 | 105 |
Matthews International Corp. Class A | 1,591 | 105 |
* Five Below Inc. | 2,697 | 104 |
Marriott Vacations Worldwide Corp. | 1,106 | 104 |
Papa John's International Inc. | 1,314 | 104 |
Cooper Tire & Rubber Co. | 2,555 | 103 |
* Stamps.com Inc. | 804 | 101 |
3
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Brinker International Inc. | 2,397 | 101 |
DeVry Education Group Inc. | 3,089 | 99 |
* JC Penney Co. Inc. | 15,613 | 99 |
Choice Hotels International Inc. | 1,604 | 97 |
Children's Place Inc. | 956 | 97 |
* Cimpress NV | 1,199 | 96 |
* Dorman Products Inc. | 1,224 | 96 |
* IMAX Corp. | 2,953 | 96 |
New York Times Co. Class A | 6,552 | 94 |
Churchill Downs Inc. | 627 | 94 |
Aaron's Inc. | 3,357 | 92 |
Penske Automotive Group Inc. | 1,809 | 91 |
* Avon Products Inc. | 20,613 | 91 |
Monro Muffler Brake Inc. | 1,571 | 90 |
PriceSmart Inc. | 1,017 | 90 |
* Michaels Cos. Inc. | 4,459 | 90 |
Time Inc. | 5,026 | 88 |
Chico's FAS Inc. | 6,024 | 87 |
* Cooper-Standard Holdings Inc. | 755 | 85 |
* TRI Pointe Group Inc. | 7,078 | 85 |
Bloomin' Brands Inc. | 4,927 | 84 |
* Deckers Outdoor Corp. | 1,563 | 83 |
* Hyatt Hotels Corp. Class A | 1,607 | 82 |
Regal Entertainment Group Class A | 3,810 | 82 |
Group 1 Automotive Inc. | 1,051 | 82 |
* Hertz Global Holdings Inc. | 3,532 | 80 |
* Shutterfly Inc. | 1,729 | 78 |
* Boyd Gaming Corp. | 3,945 | 78 |
* Hilton Grand Vacations Inc. | 2,577 | 77 |
* American Axle & Manufacturing Holdings Inc. | 3,858 | 76 |
* Popeyes Louisiana Kitchen Inc. | 961 | 76 |
* Central Garden & Pet Co. Class A | 2,368 | 76 |
Travelport Worldwide Ltd. | 5,826 | 74 |
KB Home | 4,021 | 71 |
Nutrisystem Inc. | 1,534 | 71 |
* Meritage Homes Corp. | 1,959 | 70 |
* Houghton Mifflin Harcourt Co. | 6,233 | 69 |
* Liberty Media Corp-Liberty Formula One | 2,231 | 68 |
La-Z-Boy Inc. | 2,519 | 68 |
* Asbury Automotive Group Inc. | 1,042 | 68 |
SeaWorld Entertainment Inc. | 3,517 | 68 |
* MSG Networks Inc. | 3,106 | 68 |
* 2U Inc. | 1,835 | 67 |
DSW Inc. Class A | 3,135 | 66 |
* Taylor Morrison Home Corp. Class A | 3,195 | 64 |
* EW Scripps Co. Class A | 2,787 | 64 |
MDC Holdings Inc. | 2,188 | 64 |
* Etsy Inc. | 4,999 | 61 |
* Meritor Inc. | 3,705 | 61 |
Extended Stay America Inc. | 3,501 | 61 |
Caleres Inc. | 2,011 | 60 |
* Gentherm Inc. | 1,631 | 59 |
* Vista Outdoor Inc. | 2,913 | 59 |
* Wayfair Inc. | 1,544 | 58 |
* Penn National Gaming Inc. | 3,940 | 57 |
* American Woodmark Corp. | 658 | 57 |
* Genesco Inc. | 972 | 57 |
* Belmond Ltd. Class A | 4,374 | 57 |
* La Quinta Holdings Inc. | 4,078 | 57 |
Scholastic Corp. | 1,248 | 56 |
* American Outdoor Brands Corp. | 2,854 | 55 |
* Lions Gate Entertainment Corp. Class A | 2,051 | 55 |
International Speedway Corp. Class A | 1,466 | 54 |
* Scientific Games Corp. Class A | 2,631 | 54 |
4
Vanguard® Russell 3000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Tailored Brands Inc. | 2,339 | 54 | |
Sonic Corp. | 2,134 | 54 | |
DineEquity Inc. | 889 | 53 | |
* | RH | 1,744 | 53 |
* | G-III Apparel Group Ltd. | 2,053 | 53 |
* | Universal Electronics Inc. | 767 | 53 |
* | Cavco Industries Inc. | 440 | 52 |
HSN Inc. | 1,387 | 52 | |
ClubCorp Holdings Inc. | 3,056 | 52 | |
Dillard's Inc. Class A | 953 | 52 | |
* | Pinnacle Entertainment Inc. | 2,986 | 52 |
Gannett Co. Inc. | 5,907 | 52 | |
Callaway Golf Co. | 5,061 | 51 | |
Bob Evans Farms Inc. | 885 | 50 | |
Viad Corp. | 1,035 | 49 | |
Sturm Ruger & Co. Inc. | 971 | 48 | |
* | Liberty TripAdvisor Holdings Inc. Class A | 3,580 | 48 |
*,^ | GoPro Inc. Class A | 5,114 | 48 |
* | Select Comfort Corp. | 2,012 | 47 |
Standard Motor Products Inc. | 970 | 47 | |
Oxford Industries Inc. | 812 | 46 | |
Winnebago Industries Inc. | 1,360 | 45 | |
* | BJ's Restaurants Inc. | 1,210 | 44 |
National CineMedia Inc. | 3,361 | 43 | |
* | Denny's Corp. | 3,431 | 43 |
* | Express Inc. | 3,796 | 43 |
* | Fossil Group Inc. | 2,245 | 42 |
* | Liberty Media Corp-Liberty Braves Series A | 1,858 | 41 |
Abercrombie & Fitch Co. | 3,406 | 41 | |
* | Quotient Technology Inc. | 3,404 | 41 |
Guess? Inc. | 3,159 | 40 | |
Ethan Allen Interiors Inc. | 1,355 | 39 | |
* | Overstock.com Inc. | 2,109 | 39 |
Capella Education Co. | 501 | 38 | |
* | Bojangles' Inc. | 1,793 | 38 |
* | Fitbit Inc. Class A | 6,051 | 38 |
* | Shutterstock Inc. | 860 | 38 |
* | Strayer Education Inc. | 472 | 37 |
New Media Investment Group Inc. | 2,355 | 36 | |
* | Chegg Inc. | 4,541 | 36 |
World Wrestling Entertainment Inc. Class A | 1,680 | 35 | |
* | Ascena Retail Group Inc. | 7,502 | 35 |
Barnes & Noble Inc. | 3,521 | 35 | |
Marcus Corp. | 1,074 | 34 | |
* | Liberty Media Corp-Liberty Formula One Class A | 1,110 | 33 |
Sonic Automotive Inc. Class A | 1,540 | 33 | |
* | Liberty Media Corp-Liberty Braves Series C | 1,513 | 33 |
Finish Line Inc. Class A | 2,013 | 33 | |
Buckle Inc. | 1,643 | 33 | |
Superior Industries International Inc. | 1,429 | 32 | |
* | Carrols Restaurant Group Inc. | 2,006 | 32 |
* | Red Robin Gourmet Burgers Inc. | 687 | 31 |
* | K12 Inc. | 1,749 | 31 |
* | Isle of Capri Casinos Inc. | 1,268 | 31 |
* | Tile Shop Holdings Inc. | 1,724 | 30 |
* | M/I Homes Inc. | 1,266 | 30 |
* | Caesars Acquisition Co. Class A | 2,036 | 30 |
* | Hibbett Sports Inc. | 990 | 29 |
* | Francesca's Holdings Corp. | 1,703 | 29 |
* | Career Education Corp. | 3,397 | 28 |
* | Fiesta Restaurant Group Inc. | 1,416 | 28 |
Cato Corp. Class A | 1,113 | 28 | |
* | XO Group Inc. | 1,493 | 28 |
* | Biglari Holdings Inc. | 64 | 27 |
5
Vanguard® Russell 3000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Crocs Inc. | 4,099 | 27 |
* | National Presto Industries Inc. | 273 | 27 |
Fred's Inc. Class A | 1,520 | 27 | |
* | HealthStream Inc. | 1,094 | 27 |
* | Ollie's Bargain Outlet Holdings Inc. | 831 | 26 |
* | Fox Factory Holding Corp. | 969 | 26 |
Haverty Furniture Cos. Inc. | 1,107 | 26 | |
Planet Fitness Inc. Class A | 1,193 | 26 | |
* | Shake Shack Inc. Class A | 693 | 25 |
Inter Parfums Inc. | 703 | 24 | |
Pier 1 Imports Inc. | 3,612 | 24 | |
* | Revlon Inc. Class A | 722 | 24 |
Tower International Inc. | 877 | 24 | |
* | William Lyon Homes Class A | 1,311 | 24 |
* | Vitamin Shoppe Inc. | 1,121 | 24 |
* | MarineMax Inc. | 1,052 | 24 |
Viacom Inc. Class A | 511 | 23 | |
Wingstop Inc. | 879 | 23 | |
*,^ | Weight Watchers International Inc. | 1,603 | 23 |
* | LGI Homes Inc. | 785 | 23 |
* | Del Frisco's Restaurant Group Inc. | 1,422 | 23 |
* | Barnes & Noble Education Inc. | 2,344 | 22 |
* | Caesars Entertainment Corp. | 2,368 | 22 |
* | Nautilus Inc. | 1,365 | 22 |
Ruth's Hospitality Group Inc. | 1,298 | 22 | |
* | Central Garden & Pet Co. | 639 | 22 |
* | Eldorado Resorts Inc. | 1,320 | 22 |
* | SiteOne Landscape Supply Inc. | 548 | 21 |
MDC Partners Inc. Class A | 2,452 | 21 | |
Hooker Furniture Corp. | 649 | 21 | |
* | Motorcar Parts of America Inc. | 717 | 20 |
Entravision Communications Corp. Class A | 3,770 | 20 | |
* | Stoneridge Inc. | 1,183 | 20 |
* | Horizon Global Corp. | 1,070 | 20 |
Metaldyne Performance Group Inc. | 837 | 19 | |
* | Intrawest Resorts Holdings Inc. | 820 | 19 |
* | FTD Cos. Inc. | 794 | 19 |
* | Chuy's Holdings Inc. | 668 | 19 |
* | Regis Corp. | 1,530 | 19 |
* | Acushnet Holdings Corp. | 1,068 | 19 |
* | Gray Television Inc. | 1,372 | 19 |
* | Lumber Liquidators Holdings Inc. | 1,043 | 18 |
* | elf Beauty Inc. | 663 | 18 |
Rent-A-Center Inc. | 2,116 | 18 | |
Camping World Holdings Inc. Class A | 518 | 18 | |
* | Zumiez Inc. | 877 | 18 |
* | tronc Inc. | 1,194 | 17 |
* | El Pollo Loco Holdings Inc. | 1,330 | 17 |
Entercom Communications Corp. Class A | 1,059 | 17 | |
Carriage Services Inc. Class A | 605 | 16 | |
* | Instructure Inc. | 664 | 15 |
* | Party City Holdco Inc. | 1,045 | 15 |
* | Central European Media Enterprises Ltd. Class A | 5,175 | 15 |
* | Beazer Homes USA Inc. | 1,201 | 15 |
Shoe Carnival Inc. | 560 | 14 | |
* | Trade Desk Inc. Class A | 336 | 14 |
Movado Group Inc. | 582 | 14 | |
* | Zoe's Kitchen Inc. | 784 | 14 |
* | American Public Education Inc. | 580 | 14 |
Winmark Corp. | 122 | 14 | |
* | Del Taco Restaurants Inc. | 1,101 | 14 |
Bassett Furniture Industries Inc. | 497 | 14 | |
Flexsteel Industries Inc. | 269 | 14 | |
* | Iconix Brand Group Inc. | 1,735 | 13 |
6
Vanguard® Russell 3000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Reading International Inc. Class A | 835 | 13 |
* | Malibu Boats Inc. Class A | 645 | 13 |
* | Perry Ellis International Inc. | 548 | 13 |
* | Monarch Casino & Resort Inc. | 486 | 12 |
* | Lands' End Inc. | 666 | 12 |
* | Daily Journal Corp. | 59 | 12 |
* | Century Communities Inc. | 536 | 12 |
Libbey Inc. | 865 | 12 | |
* | Potbelly Corp. | 926 | 12 |
Speedway Motorsports Inc. | 556 | 12 | |
* | Eros International plc | 1,023 | 12 |
* | 1-800-Flowers.com Inc. Class A | 1,174 | 12 |
* | Angie's List Inc. | 2,131 | 11 |
* | Eastman Kodak Co. | 773 | 11 |
* | Care.com Inc. | 1,070 | 11 |
* | Hovnanian Enterprises Inc. Class A | 4,576 | 11 |
* | Vera Bradley Inc. | 1,033 | 11 |
Big 5 Sporting Goods Corp. | 801 | 11 | |
MCBC Holdings Inc. | 726 | 11 | |
Citi Trends Inc. | 600 | 10 | |
* | New Home Co. Inc. | 956 | 10 |
* | At Home Group Inc. | 659 | 10 |
* | America's Car-Mart Inc. | 306 | 10 |
* | Franklin Covey Co. | 540 | 10 |
CSS Industries Inc. | 391 | 10 | |
* | Conn's Inc. | 977 | 9 |
* | Arctic Cat Inc. | 502 | 9 |
Weyco Group Inc. | 338 | 9 | |
* | West Marine Inc. | 995 | 9 |
* | Bridgepoint Education Inc. | 968 | 9 |
* | Nathan's Famous Inc. | 141 | 9 |
* | Rosetta Stone Inc. | 913 | 7 |
* | Century Casinos Inc. | 1,006 | 7 |
* | Tuesday Morning Corp. | 1,868 | 7 |
* | Duluth Holdings Inc. | 319 | 7 |
*,^ | Sears Holdings Corp. | 855 | 7 |
* | Lindblad Expeditions Holdings Inc. | 702 | 6 |
* | Delta Apparel Inc. | 340 | 6 |
*,^ | Sequential Brands Group Inc. | 1,510 | 6 |
* | Build-A-Bear Workshop Inc. | 646 | 6 |
Strattec Security Corp. | 188 | 6 | |
* | ZAGG Inc. | 914 | 6 |
* | Gaia Inc. Class A | 633 | 5 |
Red Rock Resorts Inc. Class A | 233 | 5 | |
* | Red Lion Hotels Corp. | 677 | 5 |
Liberty Tax Inc. | 321 | 5 | |
* | JAKKS Pacific Inc. | 781 | 4 |
* | Sportsman's Warehouse Holdings Inc. | 678 | 3 |
Stage Stores Inc. | 1,407 | 3 | |
* | Radio One Inc. | 1,172 | 3 |
* | Cogint Inc. | 723 | 3 |
* | Container Store Group Inc. | 489 | 2 |
* | Sears Hometown and Outlet Stores Inc. | 531 | 2 |
168,796 | |||
Consumer Staples (7.4%) | |||
Procter & Gamble Co. | 127,175 | 11,582 | |
Philip Morris International Inc. | 77,462 | 8,470 | |
Coca-Cola Co. | 194,716 | 8,170 | |
PepsiCo Inc. | 71,424 | 7,884 | |
Altria Group Inc. | 95,993 | 7,192 | |
CVS Health Corp. | 53,795 | 4,335 | |
Walgreens Boots Alliance Inc. | 43,050 | 3,719 | |
Mondelez International Inc. Class A | 75,090 | 3,298 | |
Colgate-Palmolive Co. | 43,508 | 3,175 |
7
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Kraft Heinz Co. | 29,772 | 2,724 |
Reynolds American Inc. | 41,377 | 2,548 |
Kimberly-Clark Corp. | 18,007 | 2,387 |
General Mills Inc. | 29,551 | 1,784 |
Kroger Co. | 48,023 | 1,527 |
Sysco Corp. | 26,050 | 1,373 |
Archer-Daniels-Midland Co. | 29,154 | 1,369 |
Constellation Brands Inc. Class A | 8,558 | 1,359 |
Kellogg Co. | 12,573 | 931 |
Tyson Foods Inc. Class A | 14,546 | 910 |
Molson Coors Brewing Co. Class B | 8,967 | 900 |
Conagra Brands Inc. | 21,761 | 897 |
Clorox Co. | 6,545 | 895 |
Dr Pepper Snapple Group Inc. | 9,323 | 871 |
* Monster Beverage Corp. | 20,605 | 854 |
Mead Johnson Nutrition Co. | 9,323 | 818 |
JM Smucker Co. | 5,744 | 814 |
Hershey Co. | 7,147 | 774 |
Church & Dwight Co. Inc. | 12,567 | 626 |
Campbell Soup Co. | 9,677 | 574 |
Bunge Ltd. | 6,890 | 564 |
McCormick & Co. Inc. | 5,685 | 560 |
Brown-Forman Corp. Class B | 11,442 | 558 |
Whole Foods Market Inc. | 15,826 | 485 |
* WhiteWave Foods Co. Class A | 8,585 | 473 |
Hormel Foods Corp. | 13,220 | 466 |
Ingredion Inc. | 3,540 | 428 |
Pinnacle Foods Inc. | 6,256 | 357 |
* Rite Aid Corp. | 49,692 | 298 |
Lamb Weston Holdings Inc. | 7,104 | 278 |
* Post Holdings Inc. | 3,166 | 259 |
* TreeHouse Foods Inc. | 2,655 | 226 |
Casey's General Stores Inc. | 1,942 | 223 |
* Edgewell Personal Care Co. | 2,926 | 216 |
* Herbalife Ltd. | 3,658 | 207 |
* Hain Celestial Group Inc. | 5,065 | 179 |
Spectrum Brands Holdings Inc. | 1,221 | 166 |
Flowers Foods Inc. | 8,393 | 162 |
Energizer Holdings Inc. | 2,926 | 161 |
Snyder's-Lance Inc. | 3,839 | 152 |
B&G Foods Inc. | 3,258 | 138 |
Nu Skin Enterprises Inc. Class A | 2,647 | 131 |
* Sprouts Farmers Market Inc. | 6,747 | 125 |
Lancaster Colony Corp. | 936 | 123 |
* United Natural Foods Inc. | 2,410 | 104 |
Vector Group Ltd. | 4,525 | 103 |
Sanderson Farms Inc. | 999 | 95 |
J&J Snack Foods Corp. | 694 | 93 |
Fresh Del Monte Produce Inc. | 1,539 | 89 |
Dean Foods Co. | 4,604 | 84 |
WD-40 Co. | 719 | 79 |
Brown-Forman Corp. Class A | 1,584 | 79 |
Universal Corp. | 1,113 | 75 |
Core-Mark Holding Co. Inc. | 2,300 | 75 |
* Blue Buffalo Pet Products Inc. | 2,865 | 70 |
* Boston Beer Co. Inc. Class A | 403 | 64 |
SpartanNash Co. | 1,802 | 63 |
Pilgrim's Pride Corp. | 2,651 | 54 |
Cal-Maine Foods Inc. | 1,419 | 54 |
Andersons Inc. | 1,352 | 53 |
* SUPERVALU Inc. | 13,879 | 52 |
Seaboard Corp. | 14 | 51 |
* Performance Food Group Co. | 1,784 | 42 |
Coca-Cola Bottling Co. Consolidated | 244 | 42 |
8
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Calavo Growers Inc. | 710 | 40 |
Tootsie Roll Industries Inc. | 1,014 | 40 |
Ingles Markets Inc. Class A | 792 | 37 |
AdvancePierre Foods Holdings Inc. | 1,234 | 36 |
Weis Markets Inc. | 553 | 33 |
National Beverage Corp. | 531 | 31 |
* Diplomat Pharmacy Inc. | 2,141 | 29 |
John B Sanfilippo & Son Inc. | 461 | 28 |
GNC Holdings Inc. Class A | 3,130 | 26 |
* USANA Health Sciences Inc. | 440 | 26 |
Medifast Inc. | 521 | 23 |
Omega Protein Corp. | 914 | 23 |
MGP Ingredients Inc. | 514 | 23 |
PetMed Express Inc. | 826 | 17 |
* Amplify Snack Brands Inc. | 1,605 | 16 |
Nutraceutical International Corp. | 440 | 15 |
* Chefs' Warehouse Inc. | 1,051 | 15 |
* Seneca Foods Corp. Class A | 391 | 15 |
* Primo Water Corp. | 997 | 14 |
* Craft Brew Alliance Inc. | 913 | 13 |
* Farmer Brothers Co. | 383 | 13 |
* Smart & Final Stores Inc. | 864 | 12 |
Natural Health Trends Corp. | 417 | 12 |
Limoneira Co. | 518 | 10 |
Village Super Market Inc. Class A | 320 | 10 |
Orchids Paper Products Co. | 332 | 9 |
* Freshpet Inc. | 766 | 8 |
* Alliance One International Inc. | 396 | 6 |
* Natural Grocers by Vitamin Cottage Inc. | 465 | 6 |
Alico Inc. | 213 | 5 |
* Inventure Foods Inc. | 899 | 5 |
* US Foods Holding Corp. | 175 | 5 |
* Turning Point Brands Inc. | 286 | 4 |
* Lifevantage Corp. | 646 | 4 |
Nature's Sunshine Products Inc. | 259 | 3 |
* Lifeway Foods Inc. | 92 | 1 |
91,729 | ||
Energy (6.1%) | ||
Exxon Mobil Corp. | 208,627 | 16,966 |
Chevron Corp. | 94,108 | 10,587 |
Schlumberger Ltd. | 69,732 | 5,604 |
ConocoPhillips | 61,941 | 2,947 |
EOG Resources Inc. | 27,621 | 2,679 |
Occidental Petroleum Corp. | 38,254 | 2,508 |
Halliburton Co. | 43,716 | 2,337 |
Kinder Morgan Inc. | 96,787 | 2,063 |
Anadarko Petroleum Corp. | 27,865 | 1,801 |
Phillips 66 | 22,534 | 1,762 |
Valero Energy Corp. | 23,563 | 1,601 |
Pioneer Natural Resources Co. | 8,066 | 1,500 |
Baker Hughes Inc. | 22,064 | 1,330 |
Marathon Petroleum Corp. | 26,493 | 1,314 |
Devon Energy Corp. | 26,003 | 1,127 |
Williams Cos. Inc. | 37,823 | 1,072 |
Apache Corp. | 18,770 | 987 |
* Concho Resources Inc. | 7,038 | 932 |
Hess Corp. | 14,934 | 768 |
National Oilwell Varco Inc. | 18,932 | 765 |
Noble Energy Inc. | 20,954 | 763 |
Marathon Oil Corp. | 44,089 | 705 |
Cimarex Energy Co. | 4,585 | 576 |
ONEOK Inc. | 10,331 | 558 |
Targa Resources Corp. | 9,297 | 525 |
EQT Corp. | 8,475 | 508 |
9
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Tesoro Corp. | 5,894 | 502 |
Cabot Oil & Gas Corp. | 22,741 | 498 |
* Cheniere Energy Inc. | 9,752 | 469 |
* Diamondback Energy Inc. | 4,426 | 446 |
* Newfield Exploration Co. | 9,674 | 353 |
^ Helmerich & Payne Inc. | 4,742 | 324 |
Range Resources Corp. | 10,016 | 277 |
* Weatherford International plc | 48,805 | 276 |
* Parsley Energy Inc. Class A | 9,068 | 276 |
Patterson-UTI Energy Inc. | 9,518 | 263 |
* Energen Corp. | 4,837 | 254 |
* WPX Energy Inc. | 18,812 | 243 |
HollyFrontier Corp. | 7,871 | 230 |
* Transocean Ltd. | 16,570 | 229 |
Murphy Oil Corp. | 8,010 | 227 |
* Antero Resources Corp. | 9,014 | 216 |
Nabors Industries Ltd. | 13,412 | 196 |
* Continental Resources Inc. | 4,316 | 195 |
* RSP Permian Inc. | 4,693 | 185 |
* Southwestern Energy Co. | 24,493 | 184 |
* PDC Energy Inc. | 2,707 | 183 |
* CONSOL Energy Inc. | 11,307 | 176 |
* Chesapeake Energy Corp. | 30,358 | 165 |
* QEP Resources Inc. | 11,947 | 164 |
* Oasis Petroleum Inc. | 11,576 | 164 |
* Dril-Quip Inc. | 2,607 | 160 |
Western Refining Inc. | 3,979 | 145 |
* Rice Energy Inc. | 7,682 | 143 |
Ensco plc Class A | 14,663 | 143 |
* Gulfport Energy Corp. | 7,897 | 137 |
* First Solar Inc. | 3,761 | 136 |
PBF Energy Inc. Class A | 5,469 | 134 |
Oceaneering International Inc. | 4,646 | 132 |
Golar LNG Ltd. | 4,538 | 124 |
* Superior Energy Services Inc. | 7,293 | 120 |
SM Energy Co. | 4,859 | 120 |
World Fuel Services Corp. | 3,309 | 120 |
* Callon Petroleum Co. | 9,070 | 114 |
SemGroup Corp. Class A | 3,183 | 112 |
* Rowan Cos. plc Class A | 6,045 | 110 |
* Whiting Petroleum Corp. | 9,659 | 105 |
* NOW Inc. | 5,372 | 103 |
* Laredo Petroleum Inc. | 7,320 | 101 |
* Matador Resources Co. | 4,182 | 101 |
* Carrizo Oil & Gas Inc. | 2,994 | 97 |
* Oil States International Inc. | 2,567 | 94 |
* McDermott International Inc. | 11,709 | 86 |
Noble Corp. plc | 12,536 | 84 |
* Synergy Resources Corp. | 9,498 | 78 |
Delek US Holdings Inc. | 2,951 | 71 |
* Unit Corp. | 2,370 | 64 |
* Forum Energy Technologies Inc. | 2,773 | 60 |
* Diamond Offshore Drilling Inc. | 3,452 | 58 |
^ RPC Inc. | 2,745 | 55 |
* TerraForm Power Inc. Class A | 4,686 | 54 |
* Helix Energy Solutions Group Inc. | 6,446 | 53 |
* Kosmos Energy Ltd. | 8,444 | 52 |
* SEACOR Holdings Inc. | 752 | 52 |
* Denbury Resources Inc. | 18,556 | 50 |
Archrock Inc. | 3,512 | 48 |
* Exterran Corp. | 1,424 | 43 |
^ Valvoline Inc. | 1,869 | 42 |
* Clayton Williams Energy Inc. | 308 | 42 |
* Fairmount Santrol Holdings Inc. | 4,216 | 40 |
10
Vanguard® Russell 3000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Flotek Industries Inc. | 2,953 | 40 |
* | Atwood Oceanics Inc. | 3,785 | 40 |
Green Plains Inc. | 1,546 | 39 | |
* | Extraction Oil & Gas Inc. | 2,076 | 37 |
* | Newpark Resources Inc. | 4,535 | 35 |
* | SunCoke Energy Inc. | 3,464 | 34 |
* | Sanchez Energy Corp. | 2,859 | 33 |
*,^ | Seadrill Ltd. | 16,841 | 29 |
* | California Resources Corp. | 1,555 | 28 |
* | TETRA Technologies Inc. | 6,171 | 28 |
*,^ | SunPower Corp. Class A | 3,094 | 27 |
* | Ring Energy Inc. | 2,191 | 27 |
* | Par Pacific Holdings Inc. | 1,758 | 26 |
* | Tesco Corp. | 2,845 | 24 |
* | REX American Resources Corp. | 268 | 22 |
* | Sunrun Inc. | 3,886 | 22 |
TerraForm Global Inc. Class A | 4,752 | 21 | |
* | Bill Barrett Corp. | 3,629 | 20 |
* | Matrix Service Co. | 1,148 | 19 |
* | Pioneer Energy Services Corp. | 3,526 | 18 |
* | CARBO Ceramics Inc. | 1,438 | 18 |
Frank's International NV | 1,470 | 18 | |
* | Abraxas Petroleum Corp. | 7,382 | 16 |
* | Natural Gas Services Group Inc. | 575 | 15 |
CVR Energy Inc. | 626 | 14 | |
* | Renewable Energy Group Inc. | 1,583 | 14 |
* | Geospace Technologies Corp. | 808 | 13 |
* | Green Brick Partners Inc. | 1,337 | 13 |
Evolution Petroleum Corp. | 1,359 | 12 | |
* | Smart Sand Inc. | 690 | 12 |
* | Cobalt International Energy Inc. | 15,962 | 11 |
* | Parker Drilling Co. | 5,695 | 11 |
* | Jones Energy Inc. Class A | 3,354 | 11 |
Panhandle Oil and Gas Inc. Class A | 538 | 11 | |
* | Trecora Resources | 867 | 10 |
* | Era Group Inc. | 757 | 10 |
* | Westmoreland Coal Co. | 721 | 10 |
*,^ | TPI Composites Inc. | 551 | 10 |
* | Pacific Ethanol Inc. | 954 | 7 |
* | Dawson Geophysical Co. | 953 | 7 |
* | Contango Oil & Gas Co. | 919 | 7 |
* | EnerNOC Inc. | 1,223 | 7 |
* | Northern Oil and Gas Inc. | 2,178 | 7 |
Alon USA Energy Inc. | 517 | 6 | |
* | Willbros Group Inc. | 2,051 | 6 |
* | Independence Contract Drilling Inc. | 1,032 | 6 |
* | EP Energy Corp. Class A | 1,225 | 6 |
* | Hornbeck Offshore Services Inc. | 1,272 | 6 |
* | Eclipse Resources Corp. | 1,988 | 4 |
*,^ | TerraVia Holdings Inc. | 3,819 | 4 |
*,^ | Vivint Solar Inc. | 733 | 3 |
75,437 | |||
Financial Services (21.5%) | |||
JPMorgan Chase & Co. | 180,426 | 16,350 | |
* | Berkshire Hathaway Inc. Class B | 93,600 | 16,045 |
Wells Fargo & Co. | 228,447 | 13,223 | |
Bank of America Corp. | 513,418 | 12,671 | |
Visa Inc. Class A | 95,377 | 8,387 | |
Citigroup Inc. | 138,469 | 8,282 | |
Mastercard Inc. Class A | 47,896 | 5,291 | |
Goldman Sachs Group Inc. | 19,261 | 4,778 | |
US Bancorp | 78,286 | 4,306 | |
American International Group Inc. | 51,180 | 3,271 | |
Morgan Stanley | 71,594 | 3,270 |
11
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
American Express Co. | 40,086 | 3,209 |
PNC Financial Services Group Inc. | 24,784 | 3,153 |
Chubb Ltd. | 22,648 | 3,129 |
Simon Property Group Inc. | 15,448 | 2,849 |
Bank of New York Mellon Corp. | 52,315 | 2,466 |
Prudential Financial Inc. | 22,168 | 2,450 |
MetLife Inc. | 46,677 | 2,448 |
American Tower Corporation | 21,183 | 2,432 |
BlackRock Inc. | 6,253 | 2,423 |
* PayPal Holdings Inc. | 56,934 | 2,391 |
Charles Schwab Corp. | 58,536 | 2,365 |
Capital One Financial Corp. | 24,617 | 2,311 |
CME Group Inc. | 16,841 | 2,046 |
BB&T Corp. | 40,908 | 1,973 |
Marsh & McLennan Cos. Inc. | 25,442 | 1,870 |
Travelers Cos. Inc. | 14,615 | 1,787 |
S&P Global Inc. | 13,163 | 1,704 |
Public Storage | 7,386 | 1,680 |
Intercontinental Exchange Inc. | 29,319 | 1,675 |
Crown Castle International Corp. | 17,908 | 1,675 |
State Street Corp. | 19,914 | 1,587 |
Synchrony Financial | 43,317 | 1,570 |
Allstate Corp. | 18,596 | 1,528 |
Aon plc | 13,158 | 1,522 |
SunTrust Banks Inc. | 25,173 | 1,498 |
Aflac Inc. | 20,276 | 1,467 |
Discover Financial Services | 19,754 | 1,405 |
Prologis Inc. | 26,277 | 1,341 |
Fidelity National Information Services Inc. | 16,145 | 1,328 |
Equinix Inc. | 3,480 | 1,309 |
* Fiserv Inc. | 11,040 | 1,274 |
AvalonBay Communities Inc. | 6,895 | 1,267 |
Welltower Inc. | 17,976 | 1,265 |
M&T Bank Corp. | 7,473 | 1,248 |
Weyerhaeuser Co. | 36,747 | 1,239 |
Progressive Corp. | 29,368 | 1,151 |
Equity Residential | 17,996 | 1,135 |
Ventas Inc. | 17,088 | 1,112 |
Boston Properties Inc. | 7,767 | 1,080 |
Fifth Third Bancorp | 37,990 | 1,042 |
KeyCorp | 54,086 | 1,015 |
Ameriprise Financial Inc. | 7,553 | 993 |
Citizens Financial Group Inc. | 26,471 | 989 |
Regions Financial Corp. | 63,754 | 974 |
Hartford Financial Services Group Inc. | 19,882 | 972 |
Vornado Realty Trust | 8,707 | 957 |
Moody's Corp. | 8,403 | 936 |
Northern Trust Corp. | 10,196 | 891 |
T. Rowe Price Group Inc. | 11,950 | 851 |
Realty Income Corp. | 13,821 | 847 |
Digital Realty Trust Inc. | 7,830 | 846 |
Lincoln National Corp. | 11,982 | 841 |
Franklin Resources Inc. | 19,267 | 829 |
Principal Financial Group Inc. | 13,190 | 825 |
Equifax Inc. | 6,052 | 793 |
Huntington Bancshares Inc. | 55,849 | 790 |
* FleetCor Technologies Inc. | 4,514 | 767 |
Essex Property Trust Inc. | 3,214 | 754 |
HCP Inc. | 22,991 | 754 |
Alliance Data Systems Corp. | 3,025 | 735 |
First Republic Bank | 7,700 | 723 |
* GGP Inc. | 28,313 | 704 |
* Markel Corp. | 672 | 658 |
Invesco Ltd. | 20,333 | 655 |
12
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Thomson Reuters Corp. | 15,319 | 648 |
Host Hotels & Resorts Inc. | 36,012 | 648 |
Loews Corp. | 13,731 | 645 |
Comerica Inc. | 9,038 | 644 |
Global Payments Inc. | 7,686 | 613 |
Cincinnati Financial Corp. | 8,052 | 587 |
Unum Group | 11,718 | 572 |
Mid-America Apartment Communities Inc. | 5,516 | 567 |
Annaly Capital Management Inc. | 50,348 | 559 |
Alexandria Real Estate Equities Inc. | 4,679 | 558 |
SL Green Realty Corp. | 4,877 | 550 |
* Arch Capital Group Ltd. | 5,676 | 537 |
* CBRE Group Inc. Class A | 14,758 | 526 |
XL Group Ltd. | 12,896 | 522 |
Raymond James Financial Inc. | 6,593 | 518 |
Everest Re Group Ltd. | 2,168 | 510 |
Federal Realty Investment Trust | 3,569 | 502 |
UDR Inc. | 13,749 | 502 |
Arthur J Gallagher & Co. | 8,807 | 502 |
TD Ameritrade Holding Corp. | 12,796 | 500 |
* Vantiv Inc. Class A | 7,633 | 499 |
FNF Group | 12,913 | 495 |
Ally Financial Inc. | 21,963 | 494 |
* SVB Financial Group | 2,541 | 485 |
Kimco Realty Corp. | 19,872 | 482 |
Leucadia National Corp. | 17,933 | 477 |
Macerich Co. | 7,084 | 477 |
Western Union Co. | 24,259 | 476 |
* E*TRADE Financial Corp. | 13,686 | 472 |
* Alleghany Corp. | 727 | 470 |
Extra Space Storage Inc. | 5,887 | 466 |
Iron Mountain Inc. | 12,795 | 465 |
Torchmark Corp. | 5,838 | 453 |
Affiliated Managers Group Inc. | 2,659 | 447 |
Zions Bancorporation | 9,900 | 445 |
Total System Services Inc. | 8,133 | 443 |
Duke Realty Corp. | 17,019 | 436 |
VEREIT Inc. | 47,758 | 433 |
CIT Group Inc. | 9,801 | 420 |
MSCI Inc. Class A | 4,405 | 417 |
Voya Financial Inc. | 10,105 | 417 |
* Signature Bank | 2,614 | 412 |
Kilroy Realty Corp. | 5,336 | 412 |
Reinsurance Group of America Inc. Class A | 3,105 | 404 |
Broadridge Financial Solutions Inc. | 5,823 | 404 |
Camden Property Trust | 4,640 | 393 |
* Colony NorthStar Inc. Class A | 26,713 | 392 |
Nasdaq Inc. | 5,506 | 392 |
East West Bancorp Inc. | 7,065 | 382 |
Jack Henry & Associates Inc. | 3,888 | 365 |
Apartment Investment & Management Co. | 7,712 | 359 |
Regency Centers Corp. | 5,037 | 354 |
New York Community Bancorp Inc. | 23,028 | 352 |
FactSet Research Systems Inc. | 1,967 | 350 |
MarketAxess Holdings Inc. | 1,776 | 347 |
CBOE Holdings Inc. | 4,294 | 335 |
WR Berkley Corp. | 4,687 | 333 |
American Campus Communities Inc. | 6,501 | 332 |
WP Carey Inc. | 5,168 | 326 |
PacWest Bancorp | 5,825 | 321 |
American Financial Group Inc. | 3,407 | 320 |
SEI Investments Co. | 6,333 | 319 |
National Retail Properties Inc. | 7,028 | 318 |
Fulton Financial Corp. | 16,574 | 317 |
13
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
AGNC Investment Corp. | 16,101 | 316 |
Axis Capital Holdings Ltd. | 4,421 | 306 |
RenaissanceRe Holdings Ltd. | 2,068 | 305 |
Equity LifeStyle Properties Inc. | 3,798 | 302 |
Lamar Advertising Co. Class A | 3,986 | 301 |
Omega Healthcare Investors Inc. | 9,137 | 298 |
Endurance Specialty Holdings Ltd. | 3,177 | 295 |
Liberty Property Trust | 7,425 | 293 |
People's United Financial Inc. | 15,178 | 291 |
Starwood Property Trust Inc. | 12,388 | 283 |
Assurant Inc. | 2,818 | 279 |
Douglas Emmett Inc. | 6,862 | 277 |
Gaming and Leisure Properties Inc. | 8,625 | 276 |
Lazard Ltd. Class A | 6,287 | 271 |
Sun Communities Inc. | 3,263 | 270 |
Assured Guaranty Ltd. | 6,534 | 269 |
Spirit Realty Capital Inc. | 23,960 | 263 |
Synovus Financial Corp. | 6,173 | 261 |
New Residential Investment Corp. | 15,392 | 260 |
Jones Lang LaSalle Inc. | 2,233 | 256 |
Forest City Realty Trust Inc. Class A | 11,143 | 255 |
Eaton Vance Corp. | 5,440 | 254 |
United Bankshares Inc. | 5,657 | 253 |
Commerce Bancshares Inc. | 4,240 | 250 |
Highwoods Properties Inc. | 4,728 | 248 |
Hospitality Properties Trust | 7,771 | 247 |
Prosperity Bancshares Inc. | 3,274 | 244 |
Brown & Brown Inc. | 5,649 | 243 |
* First Data Corp. Class A | 15,017 | 242 |
Old Republic International Corp. | 11,662 | 242 |
Webster Financial Corp. | 4,386 | 241 |
Senior Housing Properties Trust | 11,740 | 241 |
Bank of the Ozarks Inc. | 4,365 | 239 |
* Western Alliance Bancorp | 4,610 | 238 |
CubeSmart | 8,708 | 237 |
Cullen/Frost Bankers Inc. | 2,559 | 237 |
EPR Properties | 3,029 | 233 |
Allied World Assurance Co. Holdings AG | 4,350 | 230 |
First Horizon National Corp. | 11,440 | 228 |
* SLM Corp. | 18,699 | 224 |
Navient Corp. | 14,506 | 224 |
DDR Corp. | 15,240 | 220 |
Popular Inc. | 4,954 | 218 |
Healthcare Trust of America Inc. Class A | 6,748 | 217 |
* Texas Capital Bancshares Inc. | 2,404 | 214 |
Brixmor Property Group Inc. | 9,182 | 214 |
Validus Holdings Ltd. | 3,705 | 214 |
PrivateBancorp Inc. | 3,768 | 213 |
Pinnacle Financial Partners Inc. | 3,060 | 212 |
* WEX Inc. | 1,873 | 208 |
Investors Bancorp Inc. | 14,192 | 208 |
Hudson Pacific Properties Inc. | 5,632 | 206 |
DCT Industrial Trust Inc. | 4,260 | 204 |
* Howard Hughes Corp. | 1,737 | 202 |
First American Financial Corp. | 5,153 | 201 |
* Euronet Worldwide Inc. | 2,421 | 200 |
Legg Mason Inc. | 5,312 | 200 |
STORE Capital Corp. | 8,039 | 200 |
Realogy Holdings Corp. | 7,218 | 200 |
BankUnited Inc. | 5,035 | 200 |
Fair Isaac Corp. | 1,530 | 199 |
Taubman Centers Inc. | 2,846 | 199 |
Weingarten Realty Investors | 5,593 | 198 |
Umpqua Holdings Corp. | 10,490 | 197 |
14
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Medical Properties Trust Inc. | 14,545 | 195 |
Associated Banc-Corp | 7,571 | 195 |
Hancock Holding Co. | 4,107 | 195 |
Life Storage Inc. | 2,195 | 195 |
Radian Group Inc. | 10,390 | 193 |
White Mountains Insurance Group Ltd. | 205 | 192 |
CoreCivic Inc. | 5,693 | 192 |
American Homes 4 Rent Class A | 7,986 | 190 |
* Equity Commonwealth | 6,045 | 189 |
Wintrust Financial Corp. | 2,555 | 188 |
* Gramercy Property Trust | 6,709 | 188 |
Dun & Bradstreet Corp. | 1,746 | 184 |
Hanover Insurance Group Inc. | 2,040 | 184 |
Retail Properties of America Inc. | 11,906 | 183 |
DuPont Fabros Technology Inc. | 3,556 | 183 |
Primerica Inc. | 2,243 | 181 |
IBERIABANK Corp. | 2,137 | 181 |
CyrusOne Inc. | 3,553 | 181 |
CNO Financial Group Inc. | 8,621 | 180 |
GEO Group Inc. | 3,738 | 178 |
* MGIC Investment Corp. | 16,678 | 178 |
Chimera Investment Corp. | 9,201 | 177 |
Outfront Media Inc. | 6,794 | 176 |
Rayonier Inc. | 6,134 | 176 |
Bank of Hawaii Corp. | 2,078 | 176 |
Healthcare Realty Trust Inc. | 5,449 | 174 |
UMB Financial Corp. | 2,198 | 173 |
* Stifel Financial Corp. | 3,167 | 171 |
Home BancShares Inc. | 6,035 | 170 |
Aspen Insurance Holdings Ltd. | 3,025 | 170 |
Uniti Group Inc. | 5,840 | 169 |
LPL Financial Holdings Inc. | 4,278 | 169 |
Chemical Financial Corp. | 3,165 | 169 |
* Zillow Group Inc. | 4,919 | 167 |
Piedmont Office Realty Trust Inc. Class A | 7,262 | 167 |
MB Financial Inc. | 3,691 | 166 |
* CoreLogic Inc. | 4,225 | 166 |
FNB Corp. | 10,391 | 162 |
Apple Hospitality REIT Inc. | 8,162 | 160 |
ProAssurance Corp. | 2,679 | 158 |
Tanger Factory Outlet Centers Inc. | 4,634 | 157 |
Paramount Group Inc. | 8,983 | 157 |
Sunstone Hotel Investors Inc. | 10,602 | 156 |
Corporate Office Properties Trust | 4,582 | 156 |
Two Harbors Investment Corp. | 16,628 | 155 |
Washington Federal Inc. | 4,560 | 154 |
LaSalle Hotel Properties | 5,327 | 154 |
Valley National Bancorp | 12,412 | 154 |
Evercore Partners Inc. Class A | 1,913 | 152 |
Education Realty Trust Inc. | 3,608 | 152 |
Erie Indemnity Co. Class A | 1,282 | 152 |
Sterling Bancorp | 6,060 | 150 |
WesBanco Inc. | 3,710 | 150 |
First Industrial Realty Trust Inc. | 5,545 | 149 |
MFA Financial Inc. | 18,212 | 146 |
CoreSite Realty Corp. | 1,604 | 144 |
Columbia Property Trust Inc. | 6,245 | 144 |
Brandywine Realty Trust | 8,605 | 143 |
Glacier Bancorp Inc. | 3,875 | 143 |
Cousins Properties Inc. | 16,470 | 141 |
^ First Financial Bankshares Inc. | 3,167 | 139 |
Equity One Inc. | 4,393 | 139 |
Cathay General Bancorp | 3,516 | 138 |
Hope Bancorp Inc. | 6,432 | 138 |
15
Vanguard® Russell 3000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
National Health Investors Inc. | 1,792 | 136 | |
BancorpSouth Inc. | 4,356 | 135 | |
TCF Financial Corp. | 7,732 | 135 | |
First Citizens BancShares Inc. Class A | 376 | 134 | |
Ryman Hospitality Properties Inc. | 2,076 | 134 | |
Empire State Realty Trust Inc. | 6,132 | 134 | |
Physicians Realty Trust | 6,677 | 133 | |
RLJ Lodging Trust | 5,836 | 133 | |
Park Hotels & Resorts Inc. | 5,174 | 132 | |
Acadia Realty Trust | 4,076 | 131 | |
Mack-Cali Realty Corp. | 4,453 | 130 | |
Kennedy-Wilson Holdings Inc. | 5,862 | 129 | |
Federated Investors Inc. Class B | 4,745 | 129 | |
Lexington Realty Trust | 11,527 | 129 | |
Community Bank System Inc. | 2,134 | 127 | |
Selective Insurance Group Inc. | 2,851 | 126 | |
* | Essent Group Ltd. | 3,572 | 124 |
BGC Partners Inc. Class A | 11,010 | 124 | |
CVB Financial Corp. | 5,180 | 123 | |
Urban Edge Properties | 4,355 | 121 | |
Financial Engines Inc. | 2,712 | 120 | |
Great Western Bancorp Inc. | 2,810 | 120 | |
Retail Opportunity Investments Corp. | 5,403 | 119 | |
Interactive Brokers Group Inc. | 3,227 | 118 | |
QTS Realty Trust Inc. Class A | 2,231 | 117 | |
Old National Bancorp | 6,365 | 117 | |
Columbia Banking System Inc. | 2,881 | 115 | |
American Equity Investment Life Holding Co. | 4,226 | 114 | |
Washington REIT | 3,458 | 113 | |
South State Corp. | 1,257 | 113 | |
PS Business Parks Inc. | 967 | 112 | |
Trustmark Corp. | 3,374 | 111 | |
EastGroup Properties Inc. | 1,483 | 110 | |
HRG Group Inc. | 5,996 | 110 | |
Hilltop Holdings Inc. | 3,808 | 108 | |
RLI Corp. | 1,838 | 107 | |
DiamondRock Hospitality Co. | 9,821 | 107 | |
FirstCash Inc. | 2,399 | 106 | |
* | Enstar Group Ltd. | 540 | 105 |
Pebblebrook Hotel Trust | 3,636 | 105 | |
International Bancshares Corp. | 2,738 | 104 | |
Care Capital Properties Inc. | 3,926 | 103 | |
Alexander & Baldwin Inc. | 2,293 | 103 | |
Colony Starwood Homes | 3,099 | 102 | |
BOK Financial Corp. | 1,227 | 101 | |
STAG Industrial Inc. | 3,894 | 101 | |
United Community Banks Inc. | 3,455 | 100 | |
First Midwest Bancorp Inc. | 4,085 | 100 | |
* | PRA Group Inc. | 2,367 | 97 |
* | Cardtronics plc Class A | 2,185 | 96 |
* | Genworth Financial Inc. Class A | 23,475 | 96 |
AmTrust Financial Services Inc. | 4,165 | 96 | |
* | Eagle Bancorp Inc. | 1,524 | 95 |
* | TransUnion | 2,547 | 94 |
Kite Realty Group Trust | 4,159 | 94 | |
Great Southern Bancorp Inc. | 1,881 | 94 | |
CNA Financial Corp. | 2,194 | 94 | |
*,^ | BofI Holding Inc. | 2,981 | 94 |
Janus Capital Group Inc. | 7,363 | 93 | |
* | Blackhawk Network Holdings Inc. | 2,550 | 93 |
Renasant Corp. | 2,259 | 93 | |
LegacyTexas Financial Group Inc. | 2,168 | 92 | |
EverBank Financial Corp. | 4,730 | 92 | |
Argo Group International Holdings Ltd. | 1,369 | 92 |
16
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Capitol Federal Financial Inc. | 6,047 | 91 |
ServisFirst Bancshares Inc. | 2,192 | 91 |
Xenia Hotels & Resorts Inc. | 5,168 | 91 |
LTC Properties Inc. | 1,881 | 91 |
Towne Bank | 2,729 | 89 |
* Quality Care Properties Inc. | 4,655 | 88 |
NBT Bancorp Inc. | 2,187 | 88 |
American National Insurance Co. | 735 | 88 |
Astoria Financial Corp. | 4,742 | 88 |
Kemper Corp. | 2,039 | 87 |
Sabra Health Care REIT Inc. | 3,150 | 86 |
Provident Financial Services Inc. | 3,223 | 86 |
Banner Corp. | 1,463 | 85 |
First Financial Bancorp | 3,064 | 85 |
Yadkin Financial Corp. | 2,516 | 84 |
* Zillow Group Inc. Class A | 2,506 | 84 |
Potlatch Corp. | 1,897 | 84 |
Select Income REIT | 3,221 | 84 |
* LendingClub Corp. | 15,678 | 84 |
Global Net Lease Inc. | 10,163 | 83 |
Northwest Bancshares Inc. | 4,568 | 83 |
First Merchants Corp. | 2,063 | 83 |
American Assets Trust Inc. | 1,852 | 82 |
Monogram Residential Trust Inc. | 7,767 | 80 |
Invesco Mortgage Capital Inc. | 5,134 | 80 |
Washington Prime Group Inc. | 8,609 | 80 |
Ameris Bancorp | 1,650 | 80 |
* Credit Acceptance Corp. | 395 | 79 |
CBL & Associates Properties Inc. | 7,836 | 79 |
Simmons First National Corp. Class A | 1,365 | 79 |
* OneMain Holdings Inc. Class A | 2,798 | 78 |
Independent Bank Corp. | 1,206 | 78 |
Horace Mann Educators Corp. | 1,854 | 78 |
Mercury General Corp. | 1,302 | 76 |
Union Bankshares Corp. | 2,054 | 74 |
Rexford Industrial Realty Inc. | 3,195 | 73 |
* Customers Bancorp Inc. | 2,115 | 73 |
* FCB Financial Holdings Inc. Class A | 1,493 | 73 |
* Santander Consumer USA Holdings Inc. | 4,864 | 72 |
BNC Bancorp | 1,996 | 72 |
Park National Corp. | 661 | 71 |
Waddell & Reed Financial Inc. Class A | 3,680 | 71 |
* MBIA Inc. | 6,823 | 70 |
Apollo Commercial Real Estate Finance Inc. | 3,799 | 70 |
Kearny Financial Corp. | 4,493 | 69 |
Four Corners Property Trust Inc. | 3,083 | 68 |
Westamerica Bancorporation | 1,168 | 68 |
Summit Hotel Properties Inc. | 4,376 | 67 |
Chesapeake Lodging Trust | 2,778 | 67 |
One Liberty Properties Inc. | 2,719 | 67 |
* Green Dot Corp. Class A | 2,261 | 66 |
Government Properties Income Trust | 3,211 | 66 |
Morningstar Inc. | 824 | 66 |
First Commonwealth Financial Corp. | 4,694 | 65 |
Franklin Street Properties Corp. | 5,258 | 65 |
Redwood Trust Inc. | 3,943 | 65 |
Navigators Group Inc. | 1,162 | 64 |
Boston Private Financial Holdings Inc. | 3,706 | 64 |
AMERISAFE Inc. | 972 | 63 |
Agree Realty Corp. | 1,258 | 62 |
CatchMark Timber Trust Inc. Class A | 5,716 | 62 |
Beneficial Bancorp Inc. | 3,753 | 61 |
Employers Holdings Inc. | 1,608 | 60 |
* Bank of NT Butterfield & Son Ltd. | 1,826 | 60 |
17
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Tompkins Financial Corp. | 659 | 59 |
Brookline Bancorp Inc. | 3,730 | 59 |
WSFS Financial Corp. | 1,294 | 59 |
S&T Bancorp Inc. | 1,637 | 58 |
Lakeland Financial Corp. | 1,279 | 58 |
PennyMac Mortgage Investment Trust | 3,407 | 57 |
Terreno Realty Corp. | 2,060 | 57 |
CYS Investments Inc. | 7,098 | 57 |
Heartland Financial USA Inc. | 1,132 | 56 |
State Auto Financial Corp. | 2,090 | 56 |
Artisan Partners Asset Management Inc. Class A | 1,961 | 56 |
BankFinancial Corp. | 3,728 | 55 |
Ramco-Gershenson Properties Trust | 3,539 | 55 |
Sandy Spring Bancorp Inc. | 1,281 | 55 |
National General Holdings Corp. | 2,266 | 55 |
Berkshire Hills Bancorp Inc. | 1,555 | 55 |
* Pacific Premier Bancorp Inc. | 1,371 | 55 |
Hanmi Financial Corp. | 1,629 | 54 |
Seritage Growth Properties Class A | 1,164 | 54 |
Maiden Holdings Ltd. | 3,499 | 54 |
* Tejon Ranch Co. | 2,345 | 54 |
CenterState Banks Inc. | 2,182 | 54 |
National Storage Affiliates Trust | 2,220 | 54 |
CareTrust REIT Inc. | 3,374 | 53 |
Central Pacific Financial Corp. | 1,683 | 53 |
State Bank Financial Corp. | 1,958 | 53 |
Cardinal Financial Corp. | 1,682 | 53 |
Pennsylvania REIT | 3,179 | 52 |
Stewart Information Services Corp. | 1,177 | 52 |
City Holding Co. | 798 | 52 |
FelCor Lodging Trust Inc. | 7,190 | 52 |
WisdomTree Investments Inc. | 5,681 | 52 |
RE/MAX Holdings Inc. Class A | 892 | 51 |
Capstead Mortgage Corp. | 4,821 | 51 |
* Ambac Financial Group Inc. | 2,271 | 50 |
TFS Financial Corp. | 2,952 | 50 |
Nelnet Inc. Class A | 1,118 | 50 |
Alexander's Inc. | 114 | 50 |
Safety Insurance Group Inc. | 700 | 50 |
United Fire Group Inc. | 1,174 | 50 |
United Financial Bancorp Inc. | 2,725 | 49 |
Monmouth Real Estate Investment Corp. | 3,320 | 48 |
EVERTEC Inc. | 2,872 | 48 |
Banc of California Inc. | 2,484 | 48 |
HFF Inc. Class A | 1,629 | 48 |
* Parkway Inc. | 2,298 | 48 |
* Walker & Dunlop Inc. | 1,185 | 48 |
First Interstate BancSystem Inc. Class A | 1,080 | 47 |
Southside Bancshares Inc. | 1,329 | 47 |
Stock Yards Bancorp Inc. | 1,054 | 47 |
Piper Jaffray Cos. | 651 | 46 |
Banco Latinoamericano de Comercio Exterior SA | 1,632 | 46 |
First Busey Corp. | 1,482 | 46 |
Hannon Armstrong Sustainable Infrastructure Capital Inc. | 2,313 | 46 |
Universal Insurance Holdings Inc. | 1,683 | 45 |
Infinity Property & Casualty Corp. | 481 | 45 |
Meridian Bancorp Inc. | 2,375 | 45 |
Moelis & Co. Class A | 1,229 | 45 |
BancFirst Corp. | 474 | 45 |
Washington Trust Bancorp Inc. | 811 | 44 |
Capital Bank Financial Corp. | 1,076 | 44 |
New Senior Investment Group Inc. | 4,120 | 44 |
Cohen & Steers Inc. | 1,108 | 42 |
* St. Joe Co. | 2,514 | 42 |
18
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Square Inc. | 2,384 | 41 |
* First BanCorp | 6,405 | 41 |
Tier REIT Inc. | 2,259 | 41 |
* iStar Inc. | 3,388 | 41 |
* FNFV Group | 3,262 | 41 |
Dime Community Bancshares Inc. | 1,878 | 40 |
* Safeguard Scientifics Inc. | 3,187 | 40 |
* Encore Capital Group Inc. | 1,203 | 40 |
Lakeland Bancorp Inc. | 2,022 | 40 |
ConnectOne Bancorp Inc. | 1,586 | 40 |
Altisource Residential Corp. | 2,960 | 40 |
Chatham Lodging Trust | 1,939 | 39 |
National Western Life Group Inc. Class A | 122 | 39 |
Enterprise Financial Services Corp. | 882 | 39 |
Silver Bay Realty Trust Corp. | 1,798 | 39 |
Bryn Mawr Bank Corp. | 939 | 39 |
MainSource Financial Group Inc. | 1,122 | 38 |
OceanFirst Financial Corp. | 1,311 | 38 |
* LendingTree Inc. | 322 | 38 |
* KCG Holdings Inc. Class A | 2,750 | 38 |
Preferred Bank | 673 | 38 |
Investors Real Estate Trust | 5,767 | 38 |
* Greenlight Capital Re Ltd. Class A | 1,669 | 37 |
New York Mortgage Trust Inc. | 5,860 | 37 |
Greenhill & Co. Inc. | 1,247 | 37 |
Getty Realty Corp. | 1,388 | 37 |
National Bank Holdings Corp. Class A | 1,105 | 36 |
Hersha Hospitality Trust Class A | 1,868 | 36 |
CoBiz Financial Inc. | 2,119 | 36 |
Univest Corp. of Pennsylvania | 1,296 | 36 |
* Seacoast Banking Corp. of Florida | 1,550 | 36 |
ARMOUR Residential REIT Inc. | 1,592 | 36 |
Ladder Capital Corp. Class A | 2,469 | 36 |
Flushing Financial Corp. | 1,275 | 36 |
Urstadt Biddle Properties Inc. Class A | 1,593 | 36 |
* Third Point Reinsurance Ltd. | 2,854 | 35 |
Investment Technology Group Inc. | 1,767 | 35 |
InfraREIT Inc. | 2,111 | 35 |
Access National Corp. | 1,252 | 35 |
Northfield Bancorp Inc. | 1,841 | 35 |
Park Sterling Corp. | 2,904 | 34 |
* CU Bancorp | 876 | 34 |
* Flagstar Bancorp Inc. | 1,210 | 34 |
Universal Health Realty Income Trust | 534 | 34 |
Heritage Financial Corp. | 1,339 | 33 |
First Mid-Illinois Bancshares Inc. | 1,007 | 33 |
Meta Financial Group Inc. | 387 | 33 |
Independent Bank Group Inc. | 520 | 33 |
Easterly Government Properties Inc. | 1,592 | 33 |
TrustCo Bank Corp. NY | 3,927 | 33 |
James River Group Holdings Ltd. | 762 | 33 |
OM Asset Management plc | 2,182 | 33 |
1st Source Corp. | 696 | 33 |
MTGE Investment Corp. | 1,945 | 32 |
TriCo Bancshares | 882 | 32 |
Oritani Financial Corp. | 1,849 | 32 |
First of Long Island Corp. | 1,154 | 32 |
Orchid Island Capital Inc. | 3,171 | 31 |
PJT Partners Inc. | 840 | 31 |
Cass Information Systems Inc. | 476 | 31 |
Armada Hoffler Properties Inc. | 2,216 | 31 |
* INTL. FCStone Inc. | 811 | 31 |
Stonegate Bank | 660 | 31 |
Bridge Bancorp Inc. | 854 | 30 |
19
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
German American Bancorp Inc. | 627 | 30 |
NorthStar Realty Europe Corp. | 2,436 | 30 |
FBL Financial Group Inc. Class A | 431 | 29 |
Community Trust Bancorp Inc. | 640 | 29 |
* Nationstar Mortgage Holdings Inc. | 1,560 | 28 |
Westwood Holdings Group Inc. | 488 | 28 |
Horizon Bancorp | 1,066 | 28 |
* HomeStreet Inc. | 1,004 | 27 |
Peapack Gladstone Financial Corp. | 872 | 27 |
Independence Realty Trust Inc. | 2,965 | 27 |
* Donnelley Financial Solutions Inc. | 1,163 | 27 |
Camden National Corp. | 628 | 27 |
Federal Agricultural Mortgage Corp. | 458 | 26 |
* Forestar Group Inc. | 1,980 | 26 |
Saul Centers Inc. | 411 | 26 |
Gladstone Commercial Corp. | 1,264 | 26 |
Fidelity Southern Corp. | 1,112 | 26 |
AG Mortgage Investment Trust Inc. | 1,464 | 26 |
Virtu Financial Inc. Class A | 1,493 | 26 |
* Ocwen Financial Corp. | 5,833 | 26 |
Diamond Hill Investment Group Inc. | 126 | 25 |
Bar Harbor Bankshares | 592 | 25 |
Live Oak Bancshares Inc. | 1,092 | 25 |
First Bancorp | 825 | 25 |
Anworth Mortgage Asset Corp. | 4,522 | 25 |
Waterstone Financial Inc. | 1,317 | 24 |
Mercantile Bank Corp. | 728 | 24 |
First Potomac Realty Trust | 2,404 | 24 |
* NMI Holdings Inc. Class A | 2,148 | 24 |
* TriState Capital Holdings Inc. | 1,005 | 24 |
Whitestone REIT | 1,651 | 23 |
* Republic First Bancorp Inc. | 2,912 | 23 |
Peoples Bancorp Inc. | 700 | 23 |
OFG Bancorp | 1,752 | 23 |
Ares Commercial Real Estate Corp. | 1,666 | 23 |
City Office REIT Inc. | 1,694 | 22 |
* Marcus & Millichap Inc. | 806 | 22 |
Suffolk Bancorp | 514 | 22 |
Pacific Continental Corp. | 867 | 22 |
Ashford Hospitality Trust Inc. | 3,291 | 22 |
* Franklin Financial Network Inc. | 547 | 22 |
Blue Hills Bancorp Inc. | 1,167 | 21 |
Independent Bank Corp. | 1,000 | 21 |
* Allegiance Bancshares Inc. | 573 | 21 |
Southwest Bancorp Inc. | 790 | 21 |
First Financial Corp. | 450 | 21 |
* MoneyGram International Inc. | 1,621 | 21 |
QCR Holdings Inc. | 471 | 20 |
* HomeTrust Bancshares Inc. | 848 | 20 |
* First Foundation Inc. | 1,240 | 20 |
Cedar Realty Trust Inc. | 3,450 | 20 |
Old Second Bancorp Inc. | 1,847 | 20 |
United Community Financial Corp. | 2,314 | 20 |
CorEnergy Infrastructure Trust Inc. | 555 | 20 |
People's Utah Bancorp | 744 | 20 |
Sierra Bancorp | 684 | 20 |
* EZCORP Inc. Class A | 2,205 | 19 |
First Community Bancshares Inc. | 718 | 19 |
Financial Institutions Inc. | 566 | 19 |
Virtus Investment Partners Inc. | 176 | 19 |
First Defiance Financial Corp. | 392 | 19 |
Territorial Bancorp Inc. | 596 | 19 |
Farmers Capital Bank Corp. | 493 | 19 |
NexPoint Residential Trust Inc. | 797 | 19 |
20
Vanguard® Russell 3000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
First Connecticut Bancorp Inc. | 778 | 19 | |
* | Green Bancorp Inc. | 1,093 | 19 |
GAIN Capital Holdings Inc. | 2,351 | 18 | |
* | Wins Finance Holdings Inc. | 66 | 18 |
* | National Commerce Corp. | 490 | 18 |
Bank Mutual Corp. | 1,877 | 18 | |
Opus Bank | 840 | 18 | |
HCI Group Inc. | 368 | 18 | |
Western Asset Mortgage Capital Corp. | 1,740 | 18 | |
Arrow Financial Corp. | 508 | 18 | |
UMH Properties Inc. | 1,176 | 17 | |
State National Cos. Inc. | 1,237 | 17 | |
Guaranty Bancorp | 694 | 17 | |
Farmland Partners Inc. | 1,503 | 17 | |
Heritage Oaks Bancorp | 1,243 | 17 | |
Enterprise Bancorp Inc. | 515 | 17 | |
* | HarborOne Bancorp Inc. | 864 | 17 |
Merchants Bancshares Inc. | 331 | 17 | |
Bluerock Residential Growth REIT Inc. Class A | 1,349 | 17 | |
Clifton Bancorp Inc. | 1,038 | 17 | |
* | Citizens Inc. Class A | 1,829 | 17 |
* | Triumph Bancorp Inc. | 620 | 17 |
Bank of Marin Bancorp | 241 | 17 | |
* | Cowen Group Inc. Class A | 1,150 | 16 |
Farmers National Banc Corp. | 1,180 | 16 | |
Houlihan Lokey Inc. Class A | 513 | 16 | |
* | Global Indemnity Ltd. | 407 | 16 |
Republic Bancorp Inc. Class A | 465 | 16 | |
American National Bankshares Inc. | 434 | 16 | |
OneBeacon Insurance Group Ltd. Class A | 964 | 16 | |
Ashford Hospitality Prime Inc. | 1,199 | 16 | |
* | Nicolet Bankshares Inc. | 320 | 16 |
CNB Financial Corp. | 633 | 15 | |
Heritage Commerce Corp. | 1,066 | 15 | |
* | Enova International Inc. | 1,051 | 15 |
RMR Group Inc. Class A | 284 | 15 | |
* | Altisource Portfolio Solutions SA | 618 | 15 |
Ames National Corp. | 461 | 15 | |
* | Atlantic Capital Bancshares Inc. | 822 | 15 |
* | On Deck Capital Inc. | 2,730 | 15 |
Heritage Insurance Holdings Inc. | 985 | 15 | |
* | Bancorp Inc. | 2,806 | 15 |
First Bancorp Inc. | 536 | 15 | |
Carolina Financial Corp. | 484 | 15 | |
Fidelity & Guaranty Life | 545 | 15 | |
*,^ | Trupanion Inc. | 927 | 14 |
* | Cascade Bancorp | 1,731 | 14 |
Arlington Asset Investment Corp. Class A | 966 | 14 | |
MedEquities Realty Trust Inc. | 1,297 | 14 | |
Community Healthcare Trust Inc. | 593 | 14 | |
Citizens & Northern Corp. | 600 | 14 | |
* | Equity Bancshares Inc. Class A | 430 | 14 |
* | World Acceptance Corp. | 266 | 14 |
Hingham Institution for Savings | 74 | 14 | |
* | FB Financial Corp. | 435 | 14 |
West Bancorporation Inc. | 611 | 14 | |
Dynex Capital Inc. | 1,963 | 13 | |
National Bankshares Inc. | 348 | 13 | |
Peoples Financial Services Corp. | 314 | 13 | |
* | WMIH Corp. | 9,610 | 13 |
Sun Bancorp Inc. | 492 | 13 | |
Macatawa Bank Corp. | 1,254 | 13 | |
United Insurance Holdings Corp. | 747 | 13 | |
* | Xenith Bankshares Inc. | 471 | 13 |
21
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
* FRP Holdings Inc. | 329 | 12 |
Great Ajax Corp. | 933 | 12 |
* PICO Holdings Inc. | 886 | 12 |
RAIT Financial Trust | 3,593 | 12 |
MidWestOne Financial Group Inc. | 328 | 12 |
Preferred Apartment Communities Inc. Class A | 874 | 12 |
Resource Capital Corp. | 1,389 | 12 |
* PennyMac Financial Services Inc. Class A | 653 | 12 |
* NewStar Financial Inc. | 1,145 | 11 |
* Veritex Holdings Inc. | 392 | 11 |
Baldwin & Lyons Inc. | 471 | 11 |
Old Line Bancshares Inc. | 397 | 11 |
WashingtonFirst Bankshares Inc. | 403 | 11 |
First Business Financial Services Inc. | 435 | 11 |
Penns Woods Bancorp Inc. | 228 | 11 |
Charter Financial Corp. | 543 | 11 |
* AV Homes Inc. | 640 | 11 |
Kinsale Capital Group Inc. | 359 | 11 |
EMC Insurance Group Inc. | 376 | 10 |
Shore Bancshares Inc. | 590 | 10 |
Codorus Valley Bancorp Inc. | 386 | 10 |
Home Bancorp Inc. | 277 | 10 |
* Regional Management Corp. | 473 | 10 |
Southern Missouri Bancorp Inc. | 281 | 10 |
Consolidated-Tomoka Land Co. | 175 | 10 |
Summit Financial Group Inc. | 396 | 10 |
Global Medical REIT Inc. | 1,126 | 9 |
Federated National Holding Co. | 472 | 9 |
* eHealth Inc. | 859 | 9 |
Northrim BanCorp Inc. | 322 | 9 |
* Ladenburg Thalmann Financial Services Inc. | 4,179 | 9 |
* Southern First Bancshares Inc. | 276 | 9 |
LCNB Corp. | 418 | 9 |
Crawford & Co. Class B | 842 | 9 |
Investors Title Co. | 66 | 9 |
Bankwell Financial Group Inc. | 275 | 9 |
Southern National Bancorp of Virginia Inc. | 528 | 9 |
MBT Financial Corp. | 843 | 9 |
* Stratus Properties Inc. | 299 | 9 |
First Financial Northwest Inc. | 431 | 9 |
Central Valley Community Bancorp | 415 | 9 |
* First Community Financial Partners Inc. | 639 | 8 |
MutualFirst Financial Inc. | 263 | 8 |
ACNB Corp. | 286 | 8 |
* Planet Payment Inc. | 2,009 | 8 |
Premier Financial Bancorp Inc. | 444 | 8 |
Middleburg Financial Corp. | 228 | 8 |
* First Northwest Bancorp | 523 | 8 |
Owens Realty Mortgage Inc. | 474 | 8 |
* Trinity Place Holdings Inc. | 916 | 8 |
Oppenheimer Holdings Inc. Class A | 466 | 8 |
First Internet Bancorp | 251 | 8 |
SI Financial Group Inc. | 525 | 8 |
Orrstown Financial Services Inc. | 353 | 8 |
Western New England Bancorp Inc. | 757 | 8 |
Union Bankshares Inc. | 180 | 7 |
Associated Capital Group Inc. Class A | 192 | 7 |
C&F Financial Corp. | 149 | 7 |
Tiptree Inc. | 1,080 | 7 |
B. Riley Financial Inc. | 440 | 7 |
* BSB Bancorp Inc. | 242 | 7 |
Capital City Bank Group Inc. | 313 | 6 |
County Bancorp Inc. | 233 | 6 |
Century Bancorp Inc. Class A | 98 | 6 |
22
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
ESSA Bancorp Inc. | 388 | 6 |
Midland States Bancorp Inc. | 170 | 6 |
Provident Financial Holdings Inc. | 316 | 6 |
* Pacific Mercantile Bancorp | 729 | 5 |
Kansas City Life Insurance Co. | 111 | 5 |
Chemung Financial Corp. | 145 | 5 |
* Walter Investment Management Corp. | 1,343 | 5 |
Silvercrest Asset Management Group Inc. Class A | 336 | 5 |
* UCP Inc. | 385 | 4 |
First Hawaiian Inc. | 78 | 2 |
Value Line Inc. | 55 | 1 |
Fifth Street Asset Management Inc. | 139 | 1 |
264,390 | ||
Health Care (13.2%) | ||
Johnson & Johnson | 137,581 | 16,814 |
Pfizer Inc. | 300,348 | 10,248 |
Merck & Co. Inc. | 138,710 | 9,137 |
UnitedHealth Group Inc. | 46,919 | 7,759 |
Amgen Inc. | 37,929 | 6,696 |
Medtronic plc | 70,480 | 5,703 |
AbbVie Inc. | 80,854 | 5,000 |
* Celgene Corp. | 39,052 | 4,823 |
Bristol-Myers Squibb Co. | 83,379 | 4,728 |
Gilead Sciences Inc. | 66,089 | 4,658 |
Eli Lilly & Co. | 49,358 | 4,087 |
Allergan plc | 16,678 | 4,083 |
Abbott Laboratories | 85,299 | 3,845 |
* Biogen Inc. | 11,098 | 3,203 |
Thermo Fisher Scientific Inc. | 19,616 | 3,093 |
Danaher Corp. | 30,358 | 2,597 |
* Express Scripts Holding Co. | 31,451 | 2,222 |
Aetna Inc. | 17,068 | 2,198 |
Stryker Corp. | 16,846 | 2,166 |
Anthem Inc. | 13,106 | 2,160 |
Becton Dickinson and Co. | 10,505 | 1,923 |
Cigna Corp. | 12,780 | 1,903 |
* Boston Scientific Corp. | 67,054 | 1,646 |
McKesson Corp. | 10,777 | 1,618 |
Humana Inc. | 7,483 | 1,581 |
* Regeneron Pharmaceuticals Inc. | 3,974 | 1,484 |
* Alexion Pharmaceuticals Inc. | 10,755 | 1,412 |
* HCA Holdings Inc. | 16,080 | 1,403 |
* Intuitive Surgical Inc. | 1,901 | 1,401 |
Cardinal Health Inc. | 16,260 | 1,323 |
Baxter International Inc. | 25,116 | 1,279 |
* Illumina Inc. | 7,389 | 1,237 |
Zoetis Inc. | 22,977 | 1,225 |
* Incyte Corp. | 8,386 | 1,116 |
* Vertex Pharmaceuticals Inc. | 12,144 | 1,100 |
Zimmer Biomet Holdings Inc. | 9,200 | 1,077 |
* Edwards Lifesciences Corp. | 10,849 | 1,020 |
* Mylan NV | 22,561 | 944 |
CR Bard Inc. | 3,724 | 913 |
Agilent Technologies Inc. | 16,172 | 830 |
* Cerner Corp. | 14,526 | 800 |
* BioMarin Pharmaceutical Inc. | 8,414 | 790 |
AmerisourceBergen Corp. Class A | 8,107 | 742 |
Dentsply Sirona Inc. | 11,359 | 722 |
* Laboratory Corp. of America Holdings | 5,053 | 719 |
Quest Diagnostics Inc. | 7,274 | 709 |
* Henry Schein Inc. | 4,065 | 697 |
* IDEXX Laboratories Inc. | 4,413 | 640 |
* Centene Corp. | 8,267 | 583 |
* Hologic Inc. | 13,660 | 554 |
23
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
* DaVita Inc. | 7,752 | 538 |
* Quintiles IMS Holdings Inc. | 6,942 | 537 |
Universal Health Services Inc. Class B | 4,236 | 532 |
Cooper Cos. Inc. | 2,562 | 510 |
Perrigo Co. plc | 6,740 | 504 |
ResMed Inc. | 6,848 | 493 |
* Alkermes plc | 7,423 | 419 |
Teleflex Inc. | 2,160 | 413 |
* Envision Healthcare Corp. | 5,694 | 399 |
* Varian Medical Systems Inc. | 4,682 | 393 |
* VCA Inc. | 4,203 | 382 |
* Align Technology Inc. | 3,578 | 368 |
* United Therapeutics Corp. | 2,174 | 321 |
PerkinElmer Inc. | 5,889 | 320 |
* MEDNAX Inc. | 4,432 | 316 |
* Seattle Genetics Inc. | 4,794 | 315 |
* DexCom Inc. | 3,991 | 312 |
* QIAGEN NV | 10,917 | 311 |
* WellCare Health Plans Inc. | 2,154 | 304 |
* Ionis Pharmaceuticals Inc. | 5,935 | 295 |
West Pharmaceutical Services Inc. | 3,521 | 290 |
Bioverativ Inc. | 5,380 | 280 |
* Mallinckrodt plc | 5,265 | 276 |
* TESARO Inc. | 1,391 | 262 |
* Exelixis Inc. | 11,316 | 244 |
* ABIOMED Inc. | 1,955 | 231 |
* athenahealth Inc. | 1,940 | 229 |
Hill-Rom Holdings Inc. | 3,140 | 209 |
* Veeva Systems Inc. Class A | 4,604 | 201 |
* Bio-Rad Laboratories Inc. Class A | 1,010 | 197 |
* Alnylam Pharmaceuticals Inc. | 3,793 | 196 |
* Charles River Laboratories International Inc. | 2,238 | 195 |
Bio-Techne Corp. | 1,814 | 193 |
Patterson Cos. Inc. | 4,151 | 189 |
* Neurocrine Biosciences Inc. | 4,119 | 182 |
* NuVasive Inc. | 2,432 | 182 |
* ACADIA Pharmaceuticals Inc. | 4,743 | 181 |
* Medicines Co. | 3,418 | 179 |
* Masimo Corp. | 1,976 | 179 |
HealthSouth Corp. | 4,196 | 178 |
* Bluebird Bio Inc. | 2,009 | 176 |
* PAREXEL International Corp. | 2,592 | 168 |
* Alere Inc. | 4,346 | 166 |
* Acadia Healthcare Co. Inc. | 3,498 | 156 |
* Ultragenyx Pharmaceutical Inc. | 1,816 | 155 |
* Prestige Brands Holdings Inc. | 2,655 | 150 |
* Medidata Solutions Inc. | 2,624 | 147 |
Cantel Medical Corp. | 1,779 | 146 |
* Catalent Inc. | 4,992 | 143 |
Chemed Corp. | 797 | 142 |
* Kite Pharma Inc. | 2,002 | 142 |
* Wright Medical Group NV | 4,985 | 139 |
* Endo International plc | 10,177 | 139 |
* OPKO Health Inc. | 16,345 | 137 |
* Brookdale Senior Living Inc. | 9,329 | 134 |
* Integra LifeSciences Holdings Corp. | 3,037 | 130 |
Bruker Corp. | 5,238 | 126 |
* Insulet Corp. | 2,894 | 126 |
* Horizon Pharma plc | 7,683 | 123 |
* Allscripts Healthcare Solutions Inc. | 9,578 | 117 |
* Nevro Corp. | 1,184 | 114 |
* LifePoint Health Inc. | 1,760 | 113 |
* Exact Sciences Corp. | 5,179 | 111 |
* Neogen Corp. | 1,709 | 111 |
24
Vanguard® Russell 3000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Owens & Minor Inc. | 3,023 | 109 | |
* | ICU Medical Inc. | 722 | 109 |
* | Ironwood Pharmaceuticals Inc. Class A | 6,408 | 108 |
* | VWR Corp. | 3,742 | 105 |
* | Intercept Pharmaceuticals Inc. | 824 | 105 |
* | Clovis Oncology Inc. | 1,815 | 105 |
* | Molina Healthcare Inc. | 2,150 | 104 |
* | Sage Therapeutics Inc. | 1,518 | 102 |
* | Prothena Corp. plc | 1,734 | 102 |
* | Ligand Pharmaceuticals Inc. | 963 | 101 |
* | Zeltiq Aesthetics Inc. | 1,794 | 99 |
* | AMN Healthcare Services Inc. | 2,354 | 97 |
* | Array BioPharma Inc. | 8,233 | 95 |
* | WebMD Health Corp. | 1,823 | 95 |
* | NxStage Medical Inc. | 3,273 | 93 |
* | Penumbra Inc. | 1,217 | 93 |
* | Halyard Health Inc. | 2,325 | 91 |
* | Globus Medical Inc. | 3,263 | 91 |
* | Akorn Inc. | 4,311 | 90 |
* | Nektar Therapeutics Class A | 6,847 | 90 |
* | Haemonetics Corp. | 2,388 | 89 |
* | HealthEquity Inc. | 2,013 | 88 |
* | INC Research Holdings Inc. Class A | 1,967 | 86 |
* | Cambrex Corp. | 1,523 | 86 |
* | Pacira Pharmaceuticals Inc. | 1,865 | 82 |
* | HMS Holdings Corp. | 4,344 | 81 |
* | Agios Pharmaceuticals Inc. | 1,635 | 79 |
* | Portola Pharmaceuticals Inc. | 2,245 | 78 |
* | Select Medical Holdings Corp. | 5,385 | 78 |
* | Cynosure Inc. Class A | 1,146 | 76 |
* | Magellan Health Inc. | 1,083 | 75 |
* | Surgical Care Affiliates Inc. | 1,310 | 74 |
* | Premier Inc. Class A | 2,363 | 74 |
* | Tenet Healthcare Corp. | 3,848 | 74 |
* | Juno Therapeutics Inc. | 3,017 | 73 |
* | Sarepta Therapeutics Inc. | 2,305 | 72 |
* | Halozyme Therapeutics Inc. | 5,477 | 70 |
* | PRA Health Sciences Inc. | 1,131 | 67 |
* | Omnicell Inc. | 1,744 | 66 |
* | Aerie Pharmaceuticals Inc. | 1,396 | 66 |
* | Varex Imaging Corp. | 1,872 | 65 |
*,^ | Intrexon Corp. | 2,914 | 65 |
* | Supernus Pharmaceuticals Inc. | 2,473 | 64 |
* | Amedisys Inc. | 1,307 | 63 |
* | Spark Therapeutics Inc. | 987 | 63 |
* | FibroGen Inc. | 2,459 | 61 |
* | Merit Medical Systems Inc. | 1,981 | 61 |
* | Natus Medical Inc. | 1,647 | 61 |
* | Radius Health Inc. | 1,436 | 61 |
* | Genomic Health Inc. | 1,982 | 60 |
* | Inogen Inc. | 870 | 60 |
* | Myriad Genetics Inc. | 3,070 | 60 |
* | Spectranetics Corp. | 2,132 | 59 |
CONMED Corp. | 1,425 | 59 | |
* | Theravance Biopharma Inc. | 1,924 | 59 |
* | Air Methods Corp. | 1,531 | 58 |
* | Integer Holdings Corp. | 1,576 | 57 |
* | Five Prime Therapeutics Inc. | 1,220 | 56 |
* | Repligen Corp. | 1,743 | 55 |
Analogic Corp. | 646 | 53 | |
* | Emergent BioSolutions Inc. | 1,694 | 53 |
* | Insmed Inc. | 3,328 | 53 |
* | Puma Biotechnology Inc. | 1,420 | 52 |
* | Acorda Therapeutics Inc. | 1,936 | 51 |
25
Vanguard® Russell 3000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Synergy Pharmaceuticals Inc. | 8,833 | 51 |
* | Depomed Inc. | 3,120 | 51 |
* | Alder Biopharmaceuticals Inc. | 2,232 | 51 |
* | Tivity Health Inc. | 1,740 | 50 |
Abaxis Inc. | 1,005 | 50 | |
* | Patheon NV | 1,576 | 50 |
Ensign Group Inc. | 2,576 | 49 | |
National HealthCare Corp. | 646 | 48 | |
* | Community Health Systems Inc. | 4,818 | 47 |
* | Momenta Pharmaceuticals Inc. | 3,007 | 46 |
*,^ | MiMedx Group Inc. | 5,389 | 46 |
* | Impax Laboratories Inc. | 3,208 | 46 |
* | Cardiovascular Systems Inc. | 1,574 | 45 |
* | Xencor Inc. | 1,796 | 45 |
* | Amicus Therapeutics Inc. | 6,726 | 44 |
* | Blueprint Medicines Corp. | 1,232 | 43 |
* | Innoviva Inc. | 3,717 | 43 |
* | AMAG Pharmaceuticals Inc. | 1,887 | 42 |
* | Quality Systems Inc. | 2,756 | 42 |
* | Progenics Pharmaceuticals Inc. | 3,730 | 42 |
* | Luminex Corp. | 2,222 | 41 |
*,^ | TherapeuticsMD Inc. | 6,569 | 41 |
US Physical Therapy Inc. | 540 | 41 | |
* | Acceleron Pharma Inc. | 1,518 | 41 |
*,^ | ZIOPHARM Oncology Inc. | 6,377 | 40 |
* | LHC Group Inc. | 810 | 39 |
* | PharMerica Corp. | 1,551 | 38 |
* | MacroGenics Inc. | 1,795 | 38 |
* | Versartis Inc. | 1,704 | 37 |
* | Eagle Pharmaceuticals Inc. | 485 | 37 |
* | Loxo Oncology Inc. | 822 | 37 |
* | Anika Therapeutics Inc. | 776 | 36 |
* | Dermira Inc. | 1,068 | 36 |
* | Glaukos Corp. | 789 | 36 |
* | Karyopharm Therapeutics Inc. | 3,403 | 35 |
* | Lannett Co. Inc. | 1,573 | 35 |
* | Coherus Biosciences Inc. | 1,461 | 34 |
* | Corcept Therapeutics Inc. | 3,802 | 34 |
* | OraSure Technologies Inc. | 3,040 | 34 |
* | Heron Therapeutics Inc. | 2,336 | 33 |
* | AtriCure Inc. | 1,802 | 33 |
Kindred Healthcare Inc. | 3,622 | 33 | |
* | Retrophin Inc. | 1,505 | 32 |
* | BioTelemetry Inc. | 1,255 | 32 |
* | Amphastar Pharmaceuticals Inc. | 2,006 | 31 |
* | Endologix Inc. | 4,664 | 31 |
* | Almost Family Inc. | 610 | 30 |
Atrion Corp. | 62 | 30 | |
* | Providence Service Corp. | 744 | 30 |
* | Spectrum Pharmaceuticals Inc. | 4,699 | 30 |
* | Aimmune Therapeutics Inc. | 1,467 | 30 |
Meridian Bioscience Inc. | 2,287 | 29 | |
Phibro Animal Health Corp. Class A | 1,046 | 29 | |
*,^ | Lexicon Pharmaceuticals Inc. | 1,810 | 29 |
* | SciClone Pharmaceuticals Inc. | 2,931 | 29 |
* | Orthofix International NV | 805 | 29 |
* | Heska Corp. | 309 | 29 |
* | Flexion Therapeutics Inc. | 1,399 | 28 |
* | CryoLife Inc. | 1,707 | 27 |
* | La Jolla Pharmaceutical Co. | 812 | 27 |
* | Achillion Pharmaceuticals Inc. | 6,736 | 27 |
* | BioCryst Pharmaceuticals Inc. | 4,280 | 27 |
* | Lion Biotechnologies Inc. | 3,446 | 26 |
* | Triple-S Management Corp. Class B | 1,387 | 26 |
26
Vanguard® Russell 3000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Cerus Corp. | 6,171 | 26 |
* | Accelerate Diagnostics Inc. | 1,000 | 26 |
* | AngioDynamics Inc. | 1,552 | 25 |
* | K2M Group Holdings Inc. | 1,259 | 25 |
* | GenMark Diagnostics Inc. | 2,174 | 25 |
* | Quidel Corp. | 1,171 | 25 |
* | Epizyme Inc. | 1,728 | 25 |
* | Ardelyx Inc. | 1,765 | 24 |
* | Keryx Biopharmaceuticals Inc. | 4,750 | 24 |
* | Vanda Pharmaceuticals Inc. | 1,633 | 23 |
* | Revance Therapeutics Inc. | 1,101 | 23 |
* | Intra-Cellular Therapies Inc. Class A | 1,754 | 23 |
* | Cross Country Healthcare Inc. | 1,452 | 22 |
* | Teladoc Inc. | 1,005 | 22 |
* | Otonomy Inc. | 1,481 | 22 |
* | Universal American Corp. | 2,149 | 21 |
*,^ | Immunomedics Inc. | 4,231 | 21 |
* | Cara Therapeutics Inc. | 1,302 | 21 |
* | Akebia Therapeutics Inc. | 2,070 | 21 |
Landauer Inc. | 389 | 20 | |
* | CorVel Corp. | 502 | 20 |
* | Capital Senior Living Corp. | 1,181 | 20 |
* | Merrimack Pharmaceuticals Inc. | 6,460 | 20 |
* | ANI Pharmaceuticals Inc. | 334 | 20 |
* | Adamas Pharmaceuticals Inc. | 1,066 | 20 |
* | Inovio Pharmaceuticals Inc. | 2,764 | 19 |
* | Aclaris Therapeutics Inc. | 619 | 19 |
* | Global Blood Therapeutics Inc. | 665 | 19 |
*,^ | Omeros Corp. | 1,514 | 18 |
* | Axovant Sciences Ltd. | 1,448 | 18 |
* | Enanta Pharmaceuticals Inc. | 635 | 18 |
* | Novocure Ltd. | 2,392 | 18 |
* | REGENXBIO Inc. | 986 | 18 |
LeMaitre Vascular Inc. | 819 | 18 | |
* | Novavax Inc. | 12,004 | 18 |
* | PTC Therapeutics Inc. | 1,316 | 18 |
* | Organovo Holdings Inc. | 5,739 | 18 |
* | NeoGenomics Inc. | 2,189 | 18 |
* | Bellicum Pharmaceuticals Inc. | 1,426 | 18 |
* | Accuray Inc. | 3,406 | 18 |
* | Pacific Biosciences of California Inc. | 3,442 | 17 |
* | Cytokinetics Inc. | 1,627 | 17 |
*,^ | XBiotech Inc. | 1,267 | 17 |
Invacare Corp. | 1,379 | 17 | |
* | CytomX Therapeutics Inc. | 1,264 | 16 |
*,^ | Aduro Biotech Inc. | 1,385 | 16 |
* | Albany Molecular Research Inc. | 1,039 | 16 |
* | Natera Inc. | 1,591 | 15 |
* | STAAR Surgical Co. | 1,520 | 15 |
* | iRhythm Technologies Inc. | 389 | 15 |
* | Surgery Partners Inc. | 660 | 15 |
* | Ra Pharmaceuticals Inc. | 705 | 15 |
* | Surmodics Inc. | 593 | 15 |
* | Geron Corp. | 6,732 | 14 |
* | Avexis Inc. | 229 | 14 |
* | Arena Pharmaceuticals Inc. | 8,795 | 14 |
* | Celldex Therapeutics Inc. | 3,793 | 13 |
PDL BioPharma Inc. | 6,265 | 13 | |
* | Collegium Pharmaceutical Inc. | 1,008 | 13 |
* | Esperion Therapeutics Inc. | 506 | 13 |
* | Reata Pharmaceuticals Inc. Class A | 511 | 13 |
Computer Programs & Systems Inc. | 475 | 13 | |
* | Agenus Inc. | 2,967 | 13 |
* | Intersect ENT Inc. | 918 | 12 |
27
Vanguard® Russell 3000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Oxford Immunotec Global plc | 918 | 12 |
* | Exactech Inc. | 505 | 12 |
* | Enzo Biochem Inc. | 1,875 | 12 |
* | AxoGen Inc. | 1,156 | 12 |
* | NanoString Technologies Inc. | 637 | 12 |
* | Atara Biotherapeutics Inc. | 778 | 12 |
* | Sangamo Therapeutics Inc. | 2,641 | 12 |
Utah Medical Products Inc. | 193 | 12 | |
* | Sucampo Pharmaceuticals Inc. Class A | 1,014 | 12 |
* | ImmunoGen Inc. | 3,459 | 12 |
* | Foundation Medicine Inc. | 474 | 12 |
* | Curis Inc. | 5,070 | 12 |
* | ConforMIS Inc. | 2,262 | 11 |
* | Rockwell Medical Inc. | 1,910 | 11 |
* | Chimerix Inc. | 1,994 | 11 |
* | Civitas Solutions Inc. | 611 | 11 |
* | Trevena Inc. | 2,745 | 11 |
* | Advaxis Inc. | 1,267 | 11 |
* | Teligent Inc. | 1,549 | 11 |
* | Insys Therapeutics Inc. | 853 | 11 |
* | WaVe Life Sciences Ltd. | 353 | 11 |
* | Rigel Pharmaceuticals Inc. | 4,307 | 11 |
* | Addus HomeCare Corp. | 324 | 10 |
* | NewLink Genetics Corp. | 662 | 10 |
* | Medpace Holdings Inc. | 357 | 10 |
* | Quorum Health Corp. | 1,200 | 10 |
* | Myovant Sciences Ltd. | 923 | 10 |
* | RadNet Inc. | 1,683 | 10 |
*,^ | MannKind Corp. | 18,396 | 10 |
* | ChemoCentryx Inc. | 1,391 | 9 |
* | Zogenix Inc. | 881 | 9 |
* | BioSpecifics Technologies Corp. | 171 | 9 |
* | MediciNova Inc. | 1,403 | 9 |
* | Cutera Inc. | 440 | 9 |
* | Anavex Life Sciences Corp. | 1,551 | 9 |
* | Aratana Therapeutics Inc. | 1,295 | 9 |
* | Dynavax Technologies Corp. | 1,802 | 8 |
* | Cempra Inc. | 2,380 | 8 |
* | Protagonist Therapeutics Inc. | 532 | 7 |
* | Tetraphase Pharmaceuticals Inc. | 1,423 | 7 |
* | Fluidigm Corp. | 1,112 | 7 |
* | BioTime Inc. | 2,212 | 7 |
* | Editas Medicine Inc. | 285 | 7 |
* | Minerva Neurosciences Inc. | 760 | 7 |
*,^ | TransEnterix Inc. | 5,056 | 7 |
* | TG Therapeutics Inc. | 1,156 | 7 |
* | Codexis Inc. | 1,589 | 7 |
* | Sorrento Therapeutics Inc. | 1,225 | 6 |
* | Ophthotech Corp. | 1,759 | 6 |
* | Seres Therapeutics Inc. | 640 | 6 |
* | OncoMed Pharmaceuticals Inc. | 604 | 6 |
* | Paratek Pharmaceuticals Inc. | 400 | 6 |
* | Infinity Pharmaceuticals Inc. | 2,097 | 6 |
* | IRIDEX Corp. | 359 | 6 |
* | Veracyte Inc. | 718 | 6 |
* | Arrowhead Pharmaceuticals Inc. | 2,427 | 5 |
* | Stemline Therapeutics Inc. | 771 | 5 |
* | Egalet Corp. | 1,044 | 5 |
* | AcelRx Pharmaceuticals Inc. | 1,677 | 5 |
* | InVivo Therapeutics Holdings Corp. | 1,194 | 5 |
* | Fortress Biotech Inc. | 1,617 | 5 |
* | Intellia Therapeutics Inc. | 334 | 5 |
* | Proteostasis Therapeutics Inc. | 304 | 4 |
* | Athersys Inc. | 3,601 | 4 |
28
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Adeptus Health Inc. Class A | 609 | 4 |
* Entellus Medical Inc. | 289 | 4 |
* Osiris Therapeutics Inc. | 697 | 4 |
* Ocular Therapeutix Inc. | 471 | 4 |
* Cotiviti Holdings Inc. | 101 | 4 |
* Durect Corp. | 3,484 | 4 |
* Invitae Corp. | 331 | 3 |
* Titan Pharmaceuticals Inc. | 890 | 3 |
* Lipocine Inc. | 786 | 3 |
* Senseonics Holdings Inc. | 1,316 | 3 |
* GlycoMimetics Inc. | 484 | 3 |
PharmAthene Inc. | 2,952 | 3 |
* Tandem Diabetes Care Inc. | 924 | 2 |
* ViewRay Inc. | 318 | 2 |
* American Renal Associates Holdings Inc. | 71 | 2 |
* iRadimed Corp. | 101 | 1 |
* Flex Pharma Inc. | 29 | — |
* Asterias Biotherapeutics Inc. Warrants Exp. 09/29/2017 | 70 | — |
163,276 | ||
Materials & Processing (3.9%) | ||
Dow Chemical Co. | 55,983 | 3,485 |
EI du Pont de Nemours & Co. | 43,600 | 3,424 |
Monsanto Co. | 21,920 | 2,495 |
Praxair Inc. | 14,297 | 1,697 |
Ecolab Inc. | 12,962 | 1,607 |
LyondellBasell Industries NV Class A | 16,541 | 1,509 |
Air Products & Chemicals Inc. | 9,827 | 1,380 |
PPG Industries Inc. | 13,315 | 1,364 |
Sherwin-Williams Co. | 4,043 | 1,247 |
International Paper Co. | 20,426 | 1,076 |
Ingersoll-Rand plc | 13,137 | 1,043 |
Nucor Corp. | 16,510 | 1,033 |
Newmont Mining Corp. | 26,193 | 897 |
* Freeport-McMoRan Inc. | 65,357 | 876 |
Vulcan Materials Co. | 6,938 | 837 |
Fastenal Co. | 14,196 | 710 |
WestRock Co. | 12,845 | 690 |
Martin Marietta Materials Inc. | 3,133 | 677 |
Celanese Corp. Class A | 7,380 | 658 |
Ball Corp. | 8,401 | 618 |
Eastman Chemical Co. | 7,460 | 599 |
Albemarle Corp. | 5,788 | 588 |
Masco Corp. | 16,368 | 553 |
Mosaic Co. | 17,245 | 538 |
International Flavors & Fragrances Inc. | 3,950 | 496 |
Steel Dynamics Inc. | 12,588 | 461 |
Valspar Corp. | 4,082 | 454 |
Sealed Air Corp. | 9,726 | 452 |
Acuity Brands Inc. | 2,128 | 450 |
Packaging Corp. of America | 4,614 | 426 |
Owens Corning | 6,594 | 386 |
FMC Corp. | 6,602 | 380 |
Ashland Global Holdings Inc. | 3,081 | 372 |
CF Industries Holdings Inc. | 11,508 | 362 |
* Crown Holdings Inc. | 6,664 | 357 |
RPM International Inc. | 6,452 | 344 |
* Berry Plastics Group Inc. | 6,706 | 337 |
Lennox International Inc. | 2,028 | 334 |
Chemours Co. | 9,050 | 305 |
United States Steel Corp. | 7,608 | 295 |
Reliance Steel & Aluminum Co. | 3,436 | 291 |
* Axalta Coating Systems Ltd. | 9,025 | 263 |
Sonoco Products Co. | 4,881 | 260 |
Olin Corp. | 8,125 | 252 |
29
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Hexcel Corp. | 4,577 | 252 |
* Alcoa Corp. | 7,228 | 250 |
WR Grace & Co. | 3,481 | 247 |
Eagle Materials Inc. | 2,267 | 235 |
AptarGroup Inc. | 3,074 | 229 |
Bemis Co. Inc. | 4,535 | 225 |
Huntsman Corp. | 9,628 | 218 |
Graphic Packaging Holding Co. | 15,937 | 213 |
Royal Gold Inc. | 3,207 | 212 |
Scotts Miracle-Gro Co. | 2,218 | 201 |
* Louisiana-Pacific Corp. | 8,090 | 191 |
Watsco Inc. | 1,283 | 190 |
US Silica Holdings Inc. | 3,594 | 182 |
Cabot Corp. | 2,972 | 172 |
Valmont Industries Inc. | 1,088 | 171 |
Sensient Technologies Corp. | 2,134 | 171 |
* Owens-Illinois Inc. | 8,126 | 161 |
* Cliffs Natural Resources Inc. | 14,831 | 158 |
NewMarket Corp. | 351 | 153 |
Timken Co. | 3,432 | 152 |
* USG Corp. | 4,401 | 148 |
Southern Copper Corp. | 4,017 | 147 |
Belden Inc. | 2,069 | 146 |
* Versum Materials Inc. | 4,710 | 143 |
PolyOne Corp. | 4,060 | 137 |
* Beacon Roofing Supply Inc. | 2,966 | 135 |
Minerals Technologies Inc. | 1,717 | 133 |
Balchem Corp. | 1,481 | 129 |
* Platform Specialty Products Corp. | 9,722 | 128 |
* Summit Materials Inc. Class A | 5,224 | 125 |
Compass Minerals International Inc. | 1,640 | 124 |
HB Fuller Co. | 2,499 | 123 |
Tahoe Resources Inc. | 14,431 | 122 |
* AK Steel Holding Corp. | 14,585 | 121 |
* Masonite International Corp. | 1,517 | 118 |
Westlake Chemical Corp. | 1,785 | 113 |
Commercial Metals Co. | 5,356 | 113 |
Mueller Industries Inc. | 2,706 | 113 |
Domtar Corp. | 2,951 | 112 |
* Ingevity Corp. | 2,079 | 112 |
Worthington Industries Inc. | 2,276 | 112 |
* Armstrong World Industries Inc. | 2,308 | 106 |
Hecla Mining Co. | 18,875 | 105 |
Silgan Holdings Inc. | 1,762 | 105 |
Allegheny Technologies Inc. | 5,387 | 103 |
* RBC Bearings Inc. | 1,095 | 102 |
* Chemtura Corp. | 2,964 | 98 |
* Stillwater Mining Co. | 5,733 | 98 |
Carpenter Technology Corp. | 2,390 | 97 |
KapStone Paper and Packaging Corp. | 4,284 | 97 |
* Trex Co. Inc. | 1,411 | 96 |
Trinseo SA | 1,369 | 95 |
* GCP Applied Technologies Inc. | 3,586 | 94 |
Mueller Water Products Inc. Class A | 7,389 | 92 |
* MRC Global Inc. | 4,488 | 91 |
Universal Forest Products Inc. | 915 | 88 |
* Rexnord Corp. | 3,951 | 88 |
Simpson Manufacturing Co. Inc. | 1,903 | 82 |
Cabot Microelectronics Corp. | 1,167 | 81 |
Quaker Chemical Corp. | 595 | 78 |
* Headwaters Inc. | 3,385 | 78 |
Apogee Enterprises Inc. | 1,356 | 77 |
Stepan Co. | 989 | 75 |
* Coeur Mining Inc. | 8,627 | 74 |
30
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Comfort Systems USA Inc. | 1,876 | 72 |
Kaiser Aluminum Corp. | 907 | 71 |
Innospec Inc. | 1,094 | 71 |
AAON Inc. | 2,013 | 68 |
* Gibraltar Industries Inc. | 1,615 | 67 |
Greif Inc. Class A | 1,168 | 67 |
* Univar Inc. | 2,058 | 66 |
Interface Inc. Class A | 3,375 | 64 |
Schweitzer-Mauduit International Inc. | 1,544 | 63 |
* BMC Stock Holdings Inc. | 2,911 | 61 |
* Ferro Corp. | 4,364 | 61 |
Neenah Paper Inc. | 783 | 57 |
* Boise Cascade Co. | 2,041 | 55 |
Tronox Ltd. Class A | 3,186 | 55 |
* Patrick Industries Inc. | 680 | 54 |
* Builders FirstSource Inc. | 4,096 | 53 |
* Clearwater Paper Corp. | 894 | 50 |
PH Glatfelter Co. | 2,237 | 49 |
Innophos Holdings Inc. | 865 | 46 |
* TimkenSteel Corp. | 2,183 | 46 |
* Koppers Holdings Inc. | 1,019 | 45 |
A Schulman Inc. | 1,301 | 44 |
* US Concrete Inc. | 661 | 42 |
* Continental Building Products Inc. | 1,701 | 42 |
* AdvanSix Inc. | 1,512 | 41 |
* Installed Building Products Inc. | 860 | 40 |
* Kraton Corp. | 1,472 | 40 |
Global Brass & Copper Holdings Inc. | 1,175 | 40 |
Advanced Drainage Systems Inc. | 1,752 | 39 |
* Caesarstone Ltd. | 1,142 | 38 |
Quanex Building Products Corp. | 1,899 | 37 |
Chase Corp. | 401 | 37 |
Insteel Industries Inc. | 986 | 36 |
Schnitzer Steel Industries Inc. | 1,443 | 34 |
Griffon Corp. | 1,346 | 34 |
Deltic Timber Corp. | 454 | 34 |
Calgon Carbon Corp. | 2,231 | 31 |
* Century Aluminum Co. | 2,111 | 30 |
Ferroglobe plc | 2,744 | 30 |
Materion Corp. | 841 | 29 |
NN Inc. | 1,447 | 29 |
Rayonier Advanced Materials Inc. | 2,192 | 29 |
* Armstrong Flooring Inc. | 1,340 | 29 |
* PGT Innovations Inc. | 2,716 | 27 |
* Unifi Inc. | 867 | 24 |
Hawkins Inc. | 462 | 23 |
Haynes International Inc. | 543 | 21 |
* Forterra Inc. | 999 | 20 |
American Vanguard Corp. | 1,254 | 20 |
Tredegar Corp. | 1,037 | 20 |
* Veritiv Corp. | 351 | 19 |
Greif Inc. Class B | 275 | 19 |
* NCI Building Systems Inc. | 1,168 | 19 |
* Ply Gem Holdings Inc. | 1,058 | 18 |
Aceto Corp. | 1,193 | 18 |
* OMNOVA Solutions Inc. | 1,879 | 17 |
Kronos Worldwide Inc. | 1,068 | 15 |
* Multi Packaging Solutions International Ltd. | 797 | 14 |
KMG Chemicals Inc. | 386 | 14 |
Myers Industries Inc. | 973 | 14 |
Oil-Dri Corp. of America | 373 | 13 |
Culp Inc. | 381 | 13 |
* Landec Corp. | 1,011 | 13 |
FutureFuel Corp. | 959 | 13 |
31
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Gold Resource Corp. | 2,363 | 12 |
LSI Industries Inc. | 1,184 | 12 |
Olympic Steel Inc. | 426 | 10 |
* GMS Inc. | 340 | 10 |
DMC Global Inc. | 669 | 10 |
* LSB Industries Inc. | 749 | 8 |
* UFP Technologies Inc. | 307 | 7 |
Ampco-Pittsburgh Corp. | 406 | 6 |
Omega Flex Inc. | 90 | 4 |
* ChromaDex Corp. | 1,354 | 4 |
* Handy & Harman Ltd. | 155 | 4 |
* AgroFresh Solutions Inc. | 1,038 | 3 |
* Ferroglobe R&W Trust | 4,465 | — |
48,105 | ||
Other (0.0%)2 | ||
Invitation Homes Inc. | 419 | 9 |
Enbridge Inc. | 199 | 8 |
* Dyax Corp CVR Exp. 12/31/2019 | 6,727 | 7 |
* Tobira Therapeutics Inc. CV Rights | 277 | 4 |
* REV Group Inc. | 111 | 3 |
* Keane Group Inc. | 167 | 3 |
* JELD-WEN Holding Inc. | 87 | 3 |
* Jagged Peak Energy Inc. | 140 | 2 |
* Media General Inc. CVR | 5,133 | 2 |
* Chelsea Therapeutics International Ltd. CVR | 2,322 | — |
* 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 | — |
* Cubist Pharmaceuticals, Inc. CVR | 1,151 | — |
41 | ||
Producer Durables (11.0%) | ||
General Electric Co. | 458,942 | 13,681 |
3M Co. | 29,058 | 5,415 |
Boeing Co. | 29,815 | 5,374 |
Honeywell International Inc. | 38,096 | 4,743 |
Union Pacific Corp. | 42,265 | 4,562 |
United Technologies Corp. | 38,723 | 4,358 |
Accenture plc Class A | 31,156 | 3,817 |
United Parcel Service Inc. Class B | 34,624 | 3,662 |
Lockheed Martin Corp. | 12,601 | 3,359 |
Caterpillar Inc. | 28,045 | 2,711 |
FedEx Corp. | 12,489 | 2,410 |
Automatic Data Processing Inc. | 22,690 | 2,328 |
General Dynamics Corp. | 12,172 | 2,310 |
CSX Corp. | 47,491 | 2,306 |
Raytheon Co. | 14,816 | 2,284 |
Northrop Grumman Corp. | 8,277 | 2,045 |
Illinois Tool Works Inc. | 14,694 | 1,940 |
Delta Air Lines Inc. | 38,836 | 1,939 |
Johnson Controls International plc | 45,728 | 1,918 |
Emerson Electric Co. | 31,859 | 1,915 |
Southwest Airlines Co. | 32,050 | 1,852 |
Norfolk Southern Corp. | 14,811 | 1,793 |
Deere & Co. | 15,769 | 1,727 |
Eaton Corp. plc | 23,456 | 1,688 |
Waste Management Inc. | 22,147 | 1,624 |
American Airlines Group Inc. | 26,263 | 1,218 |
Cummins Inc. | 8,043 | 1,194 |
PACCAR Inc. | 17,538 | 1,172 |
* United Continental Holdings Inc. | 15,664 | 1,161 |
Parker-Hannifin Corp. | 6,926 | 1,072 |
Roper Technologies Inc. | 4,996 | 1,045 |
Paychex Inc. | 16,354 | 1,004 |
32
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Rockwell Automation Inc. | 6,577 | 994 |
Stanley Black & Decker Inc. | 7,517 | 956 |
Fortive Corp. | 15,048 | 868 |
Republic Services Inc. Class A | 11,735 | 727 |
Textron Inc. | 14,401 | 681 |
TransDigm Group Inc. | 2,657 | 675 |
WW Grainger Inc. | 2,722 | 675 |
Dover Corp. | 8,261 | 662 |
* Verisk Analytics Inc. Class A | 7,820 | 648 |
* Mettler-Toledo International Inc. | 1,353 | 644 |
L3 Technologies Inc. | 3,780 | 636 |
Arconic Inc. | 21,684 | 624 |
* Waters Corp. | 3,964 | 614 |
AMETEK Inc. | 11,358 | 613 |
Rockwell Collins Inc. | 6,400 | 612 |
Alaska Air Group Inc. | 5,860 | 573 |
CH Robinson Worldwide Inc. | 6,993 | 562 |
* United Rentals Inc. | 4,362 | 558 |
Huntington Ingalls Industries Inc. | 2,415 | 528 |
Cintas Corp. | 4,377 | 517 |
Snap-on Inc. | 2,983 | 506 |
Expeditors International of Washington Inc. | 8,883 | 501 |
Kansas City Southern | 5,564 | 493 |
Pentair plc | 8,214 | 477 |
JB Hunt Transport Services Inc. | 4,600 | 452 |
* HD Supply Holdings Inc. | 9,891 | 425 |
Xylem Inc. | 8,824 | 425 |
* Trimble Inc. | 13,680 | 424 |
* Middleby Corp. | 2,762 | 383 |
Fluor Corp. | 6,875 | 381 |
Xerox Corp. | 49,665 | 370 |
Spirit AeroSystems Holdings Inc. Class A | 5,908 | 364 |
AO Smith Corp. | 7,183 | 362 |
Avery Dennison Corp. | 4,402 | 355 |
Allegion plc | 4,755 | 345 |
Wabtec Corp. | 4,257 | 341 |
IDEX Corp. | 3,695 | 341 |
Nordson Corp. | 2,790 | 335 |
Jacobs Engineering Group Inc. | 5,899 | 333 |
* Stericycle Inc. | 3,996 | 331 |
ManpowerGroup Inc. | 3,331 | 323 |
* CoStar Group Inc. | 1,576 | 320 |
* Keysight Technologies Inc. | 8,490 | 319 |
B/E Aerospace Inc. | 4,982 | 317 |
* JetBlue Airways Corp. | 15,874 | 317 |
Hubbell Inc. Class B | 2,668 | 316 |
Toro Co. | 5,213 | 314 |
Carlisle Cos. Inc. | 3,034 | 313 |
Robert Half International Inc. | 6,350 | 306 |
* Old Dominion Freight Line Inc. | 3,327 | 305 |
Flowserve Corp. | 6,453 | 300 |
* Copart Inc. | 4,871 | 288 |
Lincoln Electric Holdings Inc. | 3,402 | 286 |
Macquarie Infrastructure Corp. | 3,716 | 286 |
* AECOM | 7,556 | 275 |
Orbital ATK Inc. | 2,907 | 269 |
* Quanta Services Inc. | 7,176 | 268 |
Donaldson Co. Inc. | 6,104 | 262 |
Allison Transmission Holdings Inc. | 7,038 | 253 |
Graco Inc. | 2,756 | 250 |
FLIR Systems Inc. | 6,681 | 245 |
Oshkosh Corp. | 3,550 | 241 |
* XPO Logistics Inc. | 4,671 | 238 |
* Zebra Technologies Corp. | 2,535 | 230 |
33
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Genesee & Wyoming Inc. Class A | 2,987 | 221 |
BWX Technologies Inc. | 4,685 | 218 |
* Teledyne Technologies Inc. | 1,637 | 215 |
National Instruments Corp. | 6,638 | 214 |
MSC Industrial Direct Co. Inc. Class A | 2,110 | 212 |
Curtiss-Wright Corp. | 2,151 | 210 |
AGCO Corp. | 3,334 | 203 |
Ryder System Inc. | 2,629 | 200 |
Trinity Industries Inc. | 7,379 | 198 |
Booz Allen Hamilton Holding Corp. Class A | 5,447 | 195 |
MAXIMUS Inc. | 3,177 | 190 |
Air Lease Corp. Class A | 4,814 | 187 |
* Spirit Airlines Inc. | 3,582 | 187 |
EMCOR Group Inc. | 2,998 | 184 |
Landstar System Inc. | 2,123 | 184 |
Deluxe Corp. | 2,454 | 181 |
* Colfax Corp. | 4,733 | 180 |
Woodward Inc. | 2,527 | 178 |
ITT Inc. | 4,312 | 177 |
* Kirby Corp. | 2,551 | 177 |
Rollins Inc. | 4,807 | 176 |
Littelfuse Inc. | 1,088 | 176 |
* Genpact Ltd. | 7,174 | 174 |
Crane Co. | 2,370 | 171 |
Chicago Bridge & Iron Co. NV | 5,000 | 168 |
Regal Beloit Corp. | 2,228 | 166 |
* WESCO International Inc. | 2,385 | 166 |
EnerSys | 2,135 | 164 |
Copa Holdings SA Class A | 1,534 | 163 |
* Conduent Inc. | 9,933 | 160 |
Terex Corp. | 5,101 | 159 |
HEICO Corp. Class A | 2,235 | 159 |
* Clean Harbors Inc. | 2,566 | 149 |
Kennametal Inc. | 3,904 | 145 |
Healthcare Services Group Inc. | 3,336 | 138 |
Joy Global Inc. | 4,840 | 136 |
* KLX Inc. | 2,666 | 134 |
* WageWorks Inc. | 1,718 | 132 |
Pitney Bowes Inc. | 9,581 | 131 |
* MasTec Inc. | 3,226 | 127 |
Barnes Group Inc. | 2,515 | 126 |
CEB Inc. | 1,599 | 124 |
* Esterline Technologies Corp. | 1,392 | 124 |
John Bean Technologies Corp. | 1,370 | 122 |
* Hawaiian Holdings Inc. | 2,506 | 122 |
* Advanced Energy Industries Inc. | 1,955 | 121 |
* Generac Holdings Inc. | 3,085 | 120 |
Watts Water Technologies Inc. Class A | 1,843 | 118 |
* Dycom Industries Inc. | 1,434 | 118 |
Brink's Co. | 2,199 | 118 |
GATX Corp. | 2,022 | 117 |
* On Assignment Inc. | 2,488 | 117 |
* Manitowoc Foodservice Inc. | 6,082 | 116 |
Allegiant Travel Co. Class A | 656 | 114 |
Applied Industrial Technologies Inc. | 1,797 | 113 |
Tetra Tech Inc. | 2,799 | 113 |
MSA Safety Inc. | 1,536 | 111 |
* Moog Inc. Class A | 1,592 | 108 |
Hillenbrand Inc. | 2,956 | 107 |
KBR Inc. | 7,123 | 107 |
ABM Industries Inc. | 2,617 | 107 |
Knight Transportation Inc. | 3,256 | 106 |
* Itron Inc. | 1,639 | 106 |
* Darling Ingredients Inc. | 8,118 | 106 |
34
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Electronics For Imaging Inc. | 2,291 | 106 |
ESCO Technologies Inc. | 1,923 | 104 |
HNI Corp. | 2,268 | 104 |
Granite Construction Inc. | 1,933 | 102 |
UniFirst Corp. | 757 | 101 |
Franklin Electric Co. Inc. | 2,338 | 98 |
* Advisory Board Co. | 2,069 | 93 |
Convergys Corp. | 4,239 | 93 |
Covanta Holding Corp. | 5,653 | 92 |
Herman Miller Inc. | 3,064 | 91 |
G&K Services Inc. Class A | 949 | 90 |
Brady Corp. Class A | 2,295 | 88 |
Korn/Ferry International | 2,762 | 85 |
* Hub Group Inc. Class A | 1,690 | 85 |
HEICO Corp. | 1,032 | 85 |
SkyWest Inc. | 2,388 | 84 |
* FTI Consulting Inc. | 2,082 | 84 |
Actuant Corp. Class A | 3,088 | 82 |
* TopBuild Corp. | 1,863 | 78 |
* Swift Transportation Co. | 3,596 | 78 |
AZZ Inc. | 1,321 | 77 |
Forward Air Corp. | 1,555 | 77 |
Exponent Inc. | 1,332 | 77 |
Matson Inc. | 2,227 | 76 |
* ExlService Holdings Inc. | 1,639 | 73 |
EnPro Industries Inc. | 1,104 | 72 |
Wabash National Corp. | 3,397 | 72 |
* Atlas Air Worldwide Holdings Inc. | 1,243 | 71 |
* ACCO Brands Corp. | 5,270 | 71 |
Triumph Group Inc. | 2,535 | 70 |
Mobile Mini Inc. | 2,158 | 70 |
Cubic Corp. | 1,312 | 69 |
* OSI Systems Inc. | 903 | 68 |
* Proto Labs Inc. | 1,242 | 68 |
* TASER International Inc. | 2,573 | 66 |
Steelcase Inc. Class A | 4,106 | 66 |
* Herc Holdings Inc. | 1,254 | 65 |
Kaman Corp. | 1,232 | 64 |
Tennant Co. | 904 | 64 |
Standex International Corp. | 662 | 63 |
* Navistar International Corp. | 2,323 | 63 |
Insperity Inc. | 752 | 63 |
Albany International Corp. | 1,365 | 62 |
Astec Industries Inc. | 965 | 61 |
* SPX FLOW Inc. | 1,788 | 61 |
* Aerojet Rocketdyne Holdings Inc. | 3,075 | 60 |
* Saia Inc. | 1,227 | 59 |
Werner Enterprises Inc. | 2,079 | 58 |
AAR Corp. | 1,655 | 57 |
* Sykes Enterprises Inc. | 2,088 | 57 |
* Navigant Consulting Inc. | 2,437 | 57 |
US Ecology Inc. | 1,111 | 56 |
Knoll Inc. | 2,466 | 55 |
Aircastle Ltd. | 2,272 | 55 |
* Chart Industries Inc. | 1,519 | 54 |
* SPX Corp. | 2,034 | 54 |
* Tutor Perini Corp. | 1,757 | 53 |
Badger Meter Inc. | 1,449 | 53 |
* TrueBlue Inc. | 2,034 | 53 |
RR Donnelley & Sons Co. | 3,123 | 52 |
* TriNet Group Inc. | 1,945 | 52 |
* Harsco Corp. | 3,682 | 52 |
Encore Wire Corp. | 1,087 | 52 |
Greenbrier Cos. Inc. | 1,224 | 51 |
35
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
Altra Industrial Motion Corp. | 1,309 | 51 |
* Team Inc. | 1,464 | 50 |
Multi-Color Corp. | 698 | 50 |
Triton International Ltd. | 2,003 | 49 |
Heartland Express Inc. | 2,380 | 49 |
Raven Industries Inc. | 1,639 | 48 |
* Rush Enterprises Inc. Class A | 1,392 | 48 |
MTS Systems Corp. | 872 | 48 |
Briggs & Stratton Corp. | 2,236 | 48 |
Federal Signal Corp. | 3,210 | 48 |
CIRCOR International Inc. | 764 | 47 |
Primoris Services Corp. | 1,848 | 46 |
Sun Hydraulics Corp. | 1,240 | 46 |
McGrath RentCorp | 1,212 | 46 |
* Air Transport Services Group Inc. | 2,648 | 45 |
Ship Finance International Ltd. | 3,051 | 45 |
Argan Inc. | 634 | 44 |
* TriMas Corp. | 1,978 | 44 |
* Aegion Corp. Class A | 1,890 | 43 |
Quad/Graphics Inc. | 1,581 | 43 |
* Huron Consulting Group Inc. | 972 | 42 |
* Lydall Inc. | 819 | 42 |
* Manitowoc Co. Inc. | 6,782 | 41 |
General Cable Corp. | 2,430 | 41 |
^ Nordic American Tankers Ltd. | 5,045 | 40 |
* Babcock & Wilcox Enterprises Inc. | 2,423 | 40 |
Lindsay Corp. | 490 | 39 |
Douglas Dynamics Inc. | 1,142 | 38 |
ArcBest Corp. | 1,273 | 37 |
Alamo Group Inc. | 495 | 37 |
Kadant Inc. | 592 | 37 |
* Wesco Aircraft Holdings Inc. | 3,015 | 36 |
H&E Equipment Services Inc. | 1,376 | 36 |
* Thermon Group Holdings Inc. | 1,772 | 36 |
* Astronics Corp. | 1,054 | 35 |
* ICF International Inc. | 816 | 35 |
* PHH Corp. | 2,770 | 35 |
Kforce Inc. | 1,357 | 35 |
Kelly Services Inc. Class A | 1,608 | 34 |
^ GasLog Ltd. | 2,194 | 34 |
* Echo Global Logistics Inc. | 1,543 | 34 |
LSC Communications Inc. | 1,163 | 33 |
Essendant Inc. | 2,036 | 32 |
* Paylocity Holding Corp. | 907 | 32 |
Hyster-Yale Materials Handling Inc. | 525 | 32 |
Marten Transport Ltd. | 1,287 | 32 |
* SP Plus Corp. | 976 | 31 |
* FARO Technologies Inc. | 900 | 31 |
* RPX Corp. | 2,883 | 31 |
Scorpio Tankers Inc. | 7,747 | 30 |
* DXP Enterprises Inc. | 803 | 28 |
* CBIZ Inc. | 2,102 | 28 |
Teekay Corp. | 2,834 | 28 |
Heidrick & Struggles International Inc. | 1,118 | 27 |
Columbus McKinnon Corp. | 1,056 | 27 |
Kimball International Inc. Class B | 1,634 | 27 |
* Modine Manufacturing Co. | 2,356 | 27 |
* Kratos Defense & Security Solutions Inc. | 3,237 | 27 |
Resources Connection Inc. | 1,556 | 26 |
^ Frontline Ltd. | 3,761 | 26 |
* CSW Industrials Inc. | 688 | 26 |
Titan International Inc. | 1,914 | 25 |
Gorman-Rupp Co. | 793 | 25 |
* Engility Holdings Inc. | 778 | 24 |
36
Vanguard® Russell 3000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | MYR Group Inc. | 614 | 23 |
* | Aerovironment Inc. | 849 | 23 |
* | Casella Waste Systems Inc. Class A | 1,951 | 23 |
* | Scorpio Bulkers Inc. | 2,941 | 22 |
Bristow Group Inc. | 1,372 | 22 | |
DHT Holdings Inc. | 4,570 | 21 | |
TeleTech Holdings Inc. | 697 | 21 | |
Hackett Group Inc. | 1,044 | 21 | |
* | Advanced Disposal Services Inc. | 947 | 21 |
Barrett Business Services Inc. | 308 | 20 | |
American Railcar Industries Inc. | 425 | 19 | |
* | YRC Worldwide Inc. | 1,472 | 19 |
VSE Corp. | 464 | 19 | |
Teekay Tankers Ltd. Class A | 7,689 | 18 | |
Mesa Laboratories Inc. | 143 | 18 | |
* | Vicor Corp. | 1,065 | 17 |
Forrester Research Inc. | 447 | 16 | |
* | Control4 Corp. | 1,088 | 16 |
* | Atkore International Group Inc. | 614 | 16 |
Ennis Inc. | 981 | 16 | |
* | InnerWorkings Inc. | 1,617 | 16 |
* | Ducommun Inc. | 499 | 15 |
* | Milacron Holdings Corp. | 846 | 15 |
* | Mistras Group Inc. | 664 | 15 |
* | ServiceSource International Inc. | 3,785 | 15 |
Miller Industries Inc. | 584 | 15 | |
Textainer Group Holdings Ltd. | 916 | 14 | |
* | NV5 Global Inc. | 387 | 14 |
NACCO Industries Inc. Class A | 220 | 14 | |
* | Liquidity Services Inc. | 1,689 | 14 |
* | Energy Recovery Inc. | 1,633 | 14 |
CRA International Inc. | 380 | 14 | |
Park-Ohio Holdings Corp. | 303 | 14 | |
* | GP Strategies Corp. | 548 | 14 |
* | Gener8 Maritime Inc. | 2,757 | 13 |
* | Orion Group Holdings Inc. | 1,426 | 13 |
Powell Industries Inc. | 401 | 13 | |
CECO Environmental Corp. | 1,137 | 13 | |
* | Covenant Transportation Group Inc. Class A | 640 | 13 |
* | Vectrus Inc. | 526 | 13 |
* | Vishay Precision Group Inc. | 750 | 12 |
Supreme Industries Inc. Class A | 610 | 12 | |
Graham Corp. | 537 | 12 | |
* | HC2 Holdings Inc. | 2,122 | 12 |
* | Titan Machinery Inc. | 818 | 12 |
* | CAI International Inc. | 718 | 11 |
* | Energous Corp. | 706 | 11 |
* | International Seaways Inc. | 570 | 11 |
* | Great Lakes Dredge & Dock Corp. | 2,437 | 11 |
Spartan Motors Inc. | 1,579 | 10 | |
* | Dorian LPG Ltd. | 1,112 | 10 |
* | Rush Enterprises Inc. Class B | 315 | 10 |
* | Ascent Capital Group Inc. Class A | 594 | 10 |
* | Heritage-Crystal Clean Inc. | 628 | 9 |
* | Roadrunner Transportation Systems Inc. | 1,172 | 9 |
* | Aqua Metals Inc. | 507 | 9 |
* | Overseas Shipholding Group Inc. Class A | 1,713 | 9 |
Hurco Cos. Inc. | 306 | 8 | |
* | Hill International Inc. | 1,657 | 8 |
* | Layne Christensen Co. | 858 | 8 |
FreightCar America Inc. | 583 | 8 | |
Celadon Group Inc. | 990 | 8 | |
*,^ | Plug Power Inc. | 7,208 | 8 |
Costamare Inc. | 1,254 | 8 |
37
Vanguard® Russell 3000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Maxwell Technologies Inc. | 1,487 | 8 |
* | IES Holdings Inc. | 373 | 7 |
Navios Maritime Acquisition Corp. | 3,523 | 6 | |
Hardinge Inc. | 551 | 6 | |
* | TRC Cos. Inc. | 517 | 5 |
* | Gencor Industries Inc. | 370 | 5 |
* | Willis Lease Finance Corp. | 197 | 5 |
* | Information Services Group Inc. | 1,467 | 5 |
* | USA Truck Inc. | 429 | 4 |
Preformed Line Products Co. | 74 | 3 | |
* | American Superconductor Corp. | 553 | 3 |
* | ALJ Regional Holdings Inc. | 876 | 3 |
* | Tidewater Inc. | 1,711 | 2 |
* | Workhorse Group Inc. | 539 | 2 |
*,^ | Power Solutions International Inc. | 168 | 1 |
135,467 | |||
Technology (17.5%) | |||
Apple Inc. | 273,959 | 37,530 | |
Microsoft Corp. | 379,118 | 24,256 | |
* | Facebook Inc. Class A | 112,183 | 15,205 |
* | Alphabet Inc. Class C | 14,967 | 12,321 |
* | Alphabet Inc. Class A | 14,540 | 12,285 |
Cisco Systems Inc. | 251,825 | 8,607 | |
Intel Corp. | 236,143 | 8,548 | |
International Business Machines Corp. | 43,785 | 7,873 | |
Oracle Corp. | 148,208 | 6,312 | |
QUALCOMM Inc. | 73,579 | 4,156 | |
Broadcom Ltd. | 18,915 | 3,990 | |
Texas Instruments Inc. | 49,503 | 3,793 | |
* | Adobe Systems Inc. | 24,275 | 2,873 |
* | salesforce.com Inc. | 32,027 | 2,605 |
NVIDIA Corp. | 25,460 | 2,584 | |
Applied Materials Inc. | 54,801 | 1,985 | |
* | Yahoo! Inc. | 43,336 | 1,979 |
Hewlett Packard Enterprise Co. | 85,927 | 1,961 | |
* | Cognizant Technology Solutions Corp. Class A | 30,106 | 1,784 |
HP Inc. | 88,922 | 1,545 | |
Intuit Inc. | 12,181 | 1,528 | |
Corning Inc. | 47,159 | 1,302 | |
* | Electronic Arts Inc. | 14,696 | 1,271 |
Analog Devices Inc. | 15,317 | 1,255 | |
Activision Blizzard Inc. | 27,713 | 1,251 | |
* | Micron Technology Inc. | 52,258 | 1,225 |
Western Digital Corp. | 14,303 | 1,100 | |
Amphenol Corp. Class A | 14,847 | 1,028 | |
* | Autodesk Inc. | 11,087 | 957 |
Lam Research Corp. | 7,991 | 947 | |
Skyworks Solutions Inc. | 9,690 | 919 | |
Symantec Corp. | 31,155 | 890 | |
Microchip Technology Inc. | 10,986 | 797 | |
Linear Technology Corp. | 12,066 | 779 | |
* | SBA Communications Corp. Class A | 6,720 | 778 |
Xilinx Inc. | 12,888 | 758 | |
* | Red Hat Inc. | 8,930 | 740 |
Motorola Solutions Inc. | 9,188 | 726 | |
* | ServiceNow Inc. | 8,157 | 709 |
Harris Corp. | 6,368 | 700 | |
KLA-Tencor Corp. | 7,689 | 693 | |
* | Dell Technologies Inc. Class V | 10,681 | 678 |
* | Citrix Systems Inc. | 8,262 | 652 |
* | Palo Alto Networks Inc. | 4,273 | 649 |
NetApp Inc. | 15,025 | 629 | |
Maxim Integrated Products Inc. | 13,888 | 615 | |
* | Akamai Technologies Inc. | 8,988 | 563 |
38
Vanguard® Russell 3000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Juniper Networks Inc. | 19,880 | 557 | |
* | Synopsys Inc. | 7,731 | 552 |
* | Advanced Micro Devices Inc. | 36,417 | 527 |
* | Workday Inc. Class A | 6,171 | 512 |
CDK Global Inc. | 7,693 | 511 | |
* | Twitter Inc. | 31,362 | 495 |
CDW Corp. | 8,026 | 473 | |
* | F5 Networks Inc. | 3,282 | 470 |
Amdocs Ltd. | 7,745 | 470 | |
Computer Sciences Corp. | 6,851 | 470 | |
CA Inc. | 14,453 | 466 | |
* | ANSYS Inc. | 4,291 | 458 |
* | Cadence Design Systems Inc. | 14,585 | 451 |
* | Qorvo Inc. | 6,315 | 417 |
* | Gartner Inc. | 3,905 | 403 |
* | Splunk Inc. | 6,431 | 397 |
* | VeriSign Inc. | 4,716 | 389 |
*,^ | VMware Inc. Class A | 4,011 | 361 |
Leidos Holdings Inc. | 6,552 | 349 | |
* | Arrow Electronics Inc. | 4,413 | 319 |
Marvell Technology Group Ltd. | 19,992 | 312 | |
Cognex Corp. | 4,046 | 311 | |
* | ON Semiconductor Corp. | 20,472 | 310 |
* | PTC Inc. | 5,578 | 301 |
* | NCR Corp. | 6,089 | 293 |
SS&C Technologies Holdings Inc. | 8,319 | 291 | |
* | Microsemi Corp. | 5,536 | 287 |
Avnet Inc. | 6,190 | 285 | |
Teradyne Inc. | 9,997 | 284 | |
* | Fortinet Inc. | 7,022 | 262 |
* | Ultimate Software Group Inc. | 1,343 | 260 |
* | IAC/InterActiveCorp | 3,499 | 259 |
CSRA Inc. | 8,170 | 244 | |
* | Tyler Technologies Inc. | 1,587 | 241 |
Brocade Communications Systems Inc. | 19,338 | 238 | |
* | ARRIS International plc | 9,111 | 235 |
* | CommScope Holding Co. Inc. | 6,144 | 234 |
LogMeIn Inc. | 2,537 | 233 | |
* | Take-Two Interactive Software Inc. | 4,076 | 232 |
Jabil Circuit Inc. | 9,020 | 230 | |
Sabre Corp. | 10,355 | 227 | |
* | Arista Networks Inc. | 1,857 | 221 |
* | Aspen Technology Inc. | 3,791 | 220 |
* | Coherent Inc. | 1,174 | 214 |
* | IPG Photonics Corp. | 1,756 | 208 |
* | Cavium Inc. | 3,068 | 201 |
Cypress Semiconductor Corp. | 14,919 | 198 | |
DST Systems Inc. | 1,642 | 196 | |
* | Guidewire Software Inc. | 3,569 | 195 |
* | Teradata Corp. | 6,247 | 194 |
Mentor Graphics Corp. | 5,234 | 194 | |
* | Nuance Communications Inc. | 11,198 | 191 |
Science Applications International Corp. | 2,062 | 179 | |
* | Manhattan Associates Inc. | 3,508 | 176 |
* | Finisar Corp. | 5,239 | 175 |
* | EPAM Systems Inc. | 2,381 | 175 |
MKS Instruments Inc. | 2,665 | 175 | |
* | Ciena Corp. | 6,550 | 173 |
* | ViaSat Inc. | 2,463 | 170 |
SYNNEX Corp. | 1,444 | 169 | |
* | Universal Display Corp. | 1,989 | 169 |
Blackbaud Inc. | 2,338 | 167 | |
Monolithic Power Systems Inc. | 1,898 | 167 | |
* | NetScout Systems Inc. | 4,492 | 166 |
39
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Cirrus Logic Inc. | 3,068 | 166 |
* Proofpoint Inc. | 2,006 | 158 |
* Ellie Mae Inc. | 1,635 | 156 |
* Integrated Device Technology Inc. | 6,415 | 153 |
* Tech Data Corp. | 1,742 | 152 |
* Entegris Inc. | 7,069 | 150 |
* CACI International Inc. Class A | 1,154 | 145 |
InterDigital Inc. | 1,685 | 142 |
* Sanmina Corp. | 3,619 | 141 |
* Tableau Software Inc. Class A | 2,638 | 139 |
* Silicon Laboratories Inc. | 2,036 | 137 |
* GrubHub Inc. | 3,812 | 134 |
* Cree Inc. | 4,786 | 130 |
Dolby Laboratories Inc. Class A | 2,498 | 122 |
* Paycom Software Inc. | 2,223 | 120 |
* Anixter International Inc. | 1,436 | 120 |
* Lumentum Holdings Inc. | 2,573 | 118 |
* Verint Systems Inc. | 3,089 | 117 |
* EchoStar Corp. Class A | 2,180 | 116 |
* ACI Worldwide Inc. | 5,856 | 115 |
* Yelp Inc. Class A | 3,302 | 111 |
* Acxiom Corp. | 3,895 | 111 |
* Viavi Solutions Inc. | 10,915 | 109 |
* TiVo Corp. | 5,879 | 109 |
* Zendesk Inc. | 3,873 | 105 |
* VeriFone Systems Inc. | 5,095 | 105 |
* Cornerstone OnDemand Inc. | 2,495 | 104 |
* Mercury Systems Inc. | 2,769 | 103 |
Vishay Intertechnology Inc. | 6,523 | 103 |
* II-VI Inc. | 2,894 | 103 |
* Semtech Corp. | 3,061 | 102 |
* DigitalGlobe Inc. | 3,166 | 100 |
Diebold Nixdorf Inc. | 3,263 | 99 |
* CommVault Systems Inc. | 1,965 | 96 |
* Zynga Inc. Class A | 36,346 | 96 |
* Synaptics Inc. | 1,796 | 95 |
* Ambarella Inc. | 1,608 | 95 |
Plantronics Inc. | 1,715 | 92 |
* NETGEAR Inc. | 1,656 | 91 |
AVX Corp. | 5,787 | 90 |
* Plexus Corp. | 1,578 | 88 |
* NeuStar Inc. Class A | 2,666 | 88 |
Xperi Corp. | 2,462 | 88 |
* Inphi Corp. | 1,850 | 87 |
* Knowles Corp. | 4,476 | 85 |
Power Integrations Inc. | 1,337 | 85 |
* RealPage Inc. | 2,495 | 84 |
* MicroStrategy Inc. Class A | 438 | 84 |
* HubSpot Inc. | 1,407 | 84 |
* GoDaddy Inc. Class A | 2,234 | 82 |
* FireEye Inc. | 7,187 | 81 |
* Insight Enterprises Inc. | 1,903 | 81 |
* Envestnet Inc. | 2,074 | 80 |
Pegasystems Inc. | 1,860 | 80 |
* 3D Systems Corp. | 5,162 | 78 |
* Benchmark Electronics Inc. | 2,514 | 78 |
* iRobot Corp. | 1,368 | 78 |
* RingCentral Inc. Class A | 2,824 | 75 |
Ebix Inc. | 1,203 | 75 |
Methode Electronics Inc. | 1,809 | 75 |
* Rogers Corp. | 898 | 74 |
Progress Software Corp. | 2,562 | 73 |
* MACOM Technology Solutions Holdings Inc. | 1,582 | 73 |
* MaxLinear Inc. | 2,758 | 72 |
40
Vanguard® Russell 3000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Brooks Automation Inc. | 3,392 | 71 | |
* | Groupon Inc. Class A | 16,592 | 70 |
* | Rambus Inc. | 5,558 | 70 |
* | Fabrinet | 1,668 | 69 |
* | Infinera Corp. | 6,299 | 68 |
NIC Inc. | 3,219 | 68 | |
* | Ixia | 3,372 | 66 |
* | Ubiquiti Networks Inc. | 1,239 | 61 |
* | BroadSoft Inc. | 1,404 | 60 |
* | Imperva Inc. | 1,465 | 60 |
* | Callidus Software Inc. | 3,106 | 59 |
CSG Systems International Inc. | 1,477 | 58 | |
American Software Inc. Class A | 5,548 | 57 | |
* | Gigamon Inc. | 1,661 | 57 |
ADTRAN Inc. | 2,669 | 56 | |
Sapiens International Corp. NV | 3,781 | 55 | |
* | TTM Technologies Inc. | 3,383 | 55 |
* | Veeco Instruments Inc. | 1,988 | 54 |
* | ScanSource Inc. | 1,338 | 54 |
* | Synchronoss Technologies Inc. | 1,943 | 53 |
* | Amkor Technology Inc. | 5,337 | 52 |
IXYS Corp. | 4,224 | 52 | |
* | InvenSense Inc. | 4,219 | 52 |
* | Super Micro Computer Inc. | 1,983 | 52 |
* | Qualys Inc. | 1,385 | 48 |
* | SPS Commerce Inc. | 871 | 48 |
* | Diodes Inc. | 2,011 | 48 |
ManTech International Corp. Class A | 1,277 | 47 | |
* | Bottomline Technologies de Inc. | 1,853 | 46 |
* | Black Knight Financial Services Inc. Class A | 1,192 | 46 |
* | Q2 Holdings Inc. | 1,255 | 45 |
*,^ | Globant SA | 1,228 | 45 |
*,^ | Stratasys Ltd. | 2,220 | 44 |
* | ePlus Inc. | 345 | 44 |
* | Cray Inc. | 2,092 | 44 |
* | Lattice Semiconductor Corp. | 5,942 | 42 |
* | Oclaro Inc. | 4,930 | 42 |
* | Atlassian Corp. plc Class A | 1,444 | 41 |
* | Box Inc. | 2,308 | 41 |
* | Novanta Inc. | 1,650 | 40 |
* | Jive Software Inc. | 9,096 | 40 |
* | Web.com Group Inc. | 2,079 | 40 |
* | TrueCar Inc. | 2,844 | 40 |
Monotype Imaging Holdings Inc. | 1,976 | 40 | |
* | FormFactor Inc. | 3,510 | 37 |
* | Virtusa Corp. | 1,203 | 37 |
* | Pure Storage Inc. Class A | 3,270 | 37 |
CTS Corp. | 1,676 | 37 | |
* | GTT Communications Inc. | 1,310 | 37 |
* | New Relic Inc. | 1,036 | 36 |
* | Unisys Corp. | 2,621 | 36 |
* | Ultratech Inc. | 1,212 | 35 |
* | Nanometrics Inc. | 1,261 | 34 |
* | Inovalon Holdings Inc. Class A | 2,826 | 34 |
* | Applied Optoelectronics Inc. | 681 | 31 |
* | Nimble Storage Inc. | 3,352 | 30 |
* | Loral Space & Communications Inc. | 740 | 30 |
* | Photronics Inc. | 2,822 | 30 |
* | PROS Holdings Inc. | 1,298 | 30 |
* | PDF Solutions Inc. | 1,406 | 30 |
* | Twilio Inc. Class A | 933 | 30 |
* | Telenav Inc. | 3,614 | 29 |
* | Bankrate Inc. | 2,690 | 29 |
* | CEVA Inc. | 863 | 29 |
41
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Extreme Networks Inc. | 4,570 | 29 |
* Barracuda Networks Inc. | 1,153 | 27 |
* Blucora Inc. | 1,740 | 27 |
* Perficient Inc. | 1,491 | 27 |
* Axcelis Technologies Inc. | 1,750 | 27 |
* Rudolph Technologies Inc. | 1,257 | 27 |
* ShoreTel Inc. | 3,985 | 26 |
Syntel Inc. | 1,447 | 26 |
* Exar Corp. | 2,447 | 26 |
* A10 Networks Inc. | 2,702 | 26 |
* Silver Spring Networks Inc. | 2,043 | 25 |
* Match Group Inc. | 1,479 | 24 |
* Endurance International Group Holdings Inc. | 2,810 | 24 |
* Hortonworks Inc. | 2,332 | 23 |
* CalAmp Corp. | 1,427 | 23 |
* Actua Corp. | 1,685 | 23 |
* VASCO Data Security International Inc. | 1,772 | 23 |
* Xcerra Corp. | 2,624 | 23 |
* Vocera Communications Inc. | 1,100 | 23 |
* Ultra Clean Holdings Inc. | 1,547 | 21 |
* Five9 Inc. | 1,338 | 21 |
* CommerceHub Inc. | 1,292 | 21 |
* Rubicon Project Inc. | 2,362 | 21 |
* Alpha & Omega Semiconductor Ltd. | 1,064 | 21 |
* Kimball Electronics Inc. | 1,243 | 20 |
* Bazaarvoice Inc. | 4,496 | 20 |
NVE Corp. | 254 | 20 |
* MINDBODY Inc. Class A | 737 | 20 |
* Nutanix Inc. | 625 | 19 |
* Benefitfocus Inc. | 696 | 19 |
* Sonus Networks Inc. | 3,000 | 18 |
* Alarm.com Holdings Inc. | 620 | 18 |
* Carbonite Inc. | 900 | 18 |
* Harmonic Inc. | 3,210 | 17 |
* NeoPhotonics Corp. | 1,689 | 17 |
Cohu Inc. | 1,027 | 17 |
* LivePerson Inc. | 2,367 | 17 |
Comtech Telecommunications Corp. | 1,383 | 16 |
* Xactly Corp. | 1,221 | 15 |
* pdvWireless Inc. | 578 | 15 |
Park Electrochemical Corp. | 777 | 15 |
* Digi International Inc. | 1,191 | 15 |
* Workiva Inc. | 976 | 15 |
* Park City Group Inc. | 1,005 | 14 |
* KEYW Holding Corp. | 1,419 | 14 |
* Lionbridge Technologies Inc. | 2,370 | 14 |
* Coupa Software Inc. | 511 | 14 |
* Zix Corp. | 2,658 | 13 |
* Acacia Research Corp. | 2,241 | 13 |
Bel Fuse Inc. Class B | 501 | 13 |
* RetailMeNot Inc. | 1,402 | 13 |
PC Connection Inc. | 468 | 13 |
Daktronics Inc. | 1,322 | 12 |
* Immersion Corp. | 1,130 | 12 |
* Blackline Inc. | 430 | 12 |
* Calix Inc. | 1,743 | 12 |
* Brightcove Inc. | 1,425 | 12 |
* Kopin Corp. | 3,357 | 12 |
* DSP Group Inc. | 1,117 | 12 |
* ChannelAdvisor Corp. | 1,058 | 11 |
* Evolent Health Inc. Class A | 577 | 11 |
* Agilysys Inc. | 1,214 | 11 |
* Sparton Corp. | 473 | 11 |
* Rapid7 Inc. | 710 | 11 |
42
Vanguard® Russell 3000 Index Fund | |||
Schedule of Investments | |||
February 28, 2017 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | CommerceHub Inc. Class A | 642 | 11 |
* | Varonis Systems Inc. | 381 | 10 |
* | Exa Corp. | 662 | 10 |
QAD Inc. Class A | 377 | 10 | |
* | Silicom Ltd. | 271 | 10 |
* | Everbridge Inc. | 533 | 10 |
* | MeetMe Inc. | 1,949 | 9 |
* | Sigma Designs Inc. | 1,602 | 9 |
* | Tangoe Inc. | 1,610 | 9 |
* | Impinj Inc. | 323 | 9 |
* | Mitek Systems Inc. | 1,392 | 9 |
* | Electro Scientific Industries Inc. | 1,302 | 9 |
*,^ | Glu Mobile Inc. | 4,345 | 8 |
* | Avid Technology Inc. | 1,471 | 8 |
* | KVH Industries Inc. | 798 | 8 |
* | Global Eagle Entertainment Inc. | 1,683 | 7 |
* | Model N Inc. | 690 | 7 |
* | Digimarc Corp. | 286 | 7 |
* | MobileIron Inc. | 1,432 | 7 |
* | USA Technologies Inc. | 1,698 | 7 |
* | GigPeak Inc. | 2,207 | 7 |
* | Radisys Corp. | 1,688 | 6 |
* | Appfolio Inc. | 248 | 6 |
Black Box Corp. | 665 | 6 | |
* | Limelight Networks Inc. | 2,595 | 6 |
* | Autobytel Inc. | 414 | 5 |
*,^ | VirnetX Holding Corp. | 1,963 | 4 |
* | RealNetworks Inc. | 553 | 3 |
* | Acacia Communications Inc. | 44 | 2 |
* | Majesco | 282 | 1 |
* | Guidance Software Inc. | 189 | 1 |
216,272 | |||
Utilities (5.4%) | |||
AT&T Inc. | 308,431 | 12,889 | |
Verizon Communications Inc. | 204,336 | 10,141 | |
NextEra Energy Inc. | 22,980 | 3,010 | |
Duke Energy Corp. | 33,757 | 2,787 | |
Dominion Resources Inc. | 30,690 | 2,383 | |
Southern Co. | 45,382 | 2,306 | |
PG&E Corp. | 24,746 | 1,652 | |
American Electric Power Co. Inc. | 24,502 | 1,641 | |
Exelon Corp. | 44,178 | 1,622 | |
Sempra Energy | 12,399 | 1,367 | |
Edison International | 15,816 | 1,261 | |
PPL Corp. | 33,974 | 1,253 | |
Consolidated Edison Inc. | 15,364 | 1,184 | |
Public Service Enterprise Group Inc. | 25,313 | 1,164 | |
Xcel Energy Inc. | 26,290 | 1,149 | |
Eversource Energy | 16,793 | 985 | |
WEC Energy Group Inc. | 15,554 | 937 | |
DTE Energy Co. | 9,094 | 922 | |
* | T-Mobile US Inc. | 14,080 | 880 |
* | Level 3 Communications Inc. | 14,871 | 851 |
American Water Works Co. Inc. | 9,194 | 717 | |
FirstEnergy Corp. | 20,988 | 681 | |
Ameren Corp. | 12,375 | 677 | |
Entergy Corp. | 8,812 | 676 | |
CenturyLink Inc. | 26,407 | 641 | |
CMS Energy Corp. | 13,610 | 606 | |
CenterPoint Energy Inc. | 21,269 | 581 | |
Pinnacle West Capital Corp. | 5,470 | 450 | |
SCANA Corp. | 6,375 | 442 | |
Alliant Energy Corp. | 11,043 | 436 | |
NiSource Inc. | 17,906 | 428 |
43
Vanguard® Russell 3000 Index Fund | ||
Schedule of Investments | ||
February 28, 2017 | ||
Market | ||
Value | ||
Shares | ($000) | |
UGI Corp. | 8,496 | 410 |
Atmos Energy Corp. | 5,014 | 393 |
Westar Energy Inc. Class A | 6,953 | 375 |
AES Corp. | 31,948 | 368 |
OGE Energy Corp. | 9,881 | 364 |
* Sprint Corp. | 36,752 | 324 |
Great Plains Energy Inc. | 10,601 | 308 |
Aqua America Inc. | 8,911 | 283 |
National Fuel Gas Co. | 4,307 | 260 |
MDU Resources Group Inc. | 9,566 | 259 |
NRG Energy Inc. | 15,582 | 258 |
* Zayo Group Holdings Inc. | 8,151 | 257 |
* Calpine Corp. | 21,672 | 254 |
Vectren Corp. | 4,114 | 232 |
IDACORP Inc. | 2,544 | 211 |
WGL Holdings Inc. | 2,441 | 204 |
Portland General Electric Co. | 4,465 | 202 |
Southwest Gas Holdings Inc. | 2,263 | 194 |
j2 Global Inc. | 2,328 | 190 |
^ Frontier Communications Corp. | 58,111 | 170 |
New Jersey Resources Corp. | 4,321 | 170 |
Hawaiian Electric Industries Inc. | 5,113 | 170 |
ALLETE Inc. | 2,492 | 167 |
Black Hills Corp. | 2,544 | 165 |
ONE Gas Inc. | 2,466 | 162 |
Spire Inc. | 2,230 | 147 |
NorthWestern Corp. | 2,430 | 142 |
PNM Resources Inc. | 3,792 | 138 |
South Jersey Industries Inc. | 3,804 | 133 |
Telephone & Data Systems Inc. | 4,660 | 126 |
Avista Corp. | 3,083 | 123 |
Avangrid Inc. | 2,715 | 119 |
MGE Energy Inc. | 1,755 | 112 |
Ormat Technologies Inc. | 1,903 | 105 |
El Paso Electric Co. | 1,895 | 93 |
California Water Service Group | 2,279 | 84 |
NRG Yield Inc. Class A | 4,869 | 82 |
Cogent Communications Holdings Inc. | 1,906 | 79 |
American States Water Co. | 1,734 | 78 |
Northwest Natural Gas Co. | 1,268 | 76 |
Otter Tail Corp. | 1,962 | 74 |
^ Windstream Holdings Inc. | 9,679 | 72 |
Pattern Energy Group Inc. Class A | 3,344 | 69 |
* 8x8 Inc. | 4,481 | 68 |
Atlantica Yield plc | 2,932 | 64 |
Shenandoah Telecommunications Co. | 2,241 | 63 |
West Corp. | 2,296 | 55 |
* Vonage Holdings Corp. | 8,814 | 53 |
Consolidated Communications Holdings Inc. | 2,333 | 53 |
Chesapeake Utilities Corp. | 741 | 51 |
Artesian Resources Corp. Class A | 1,344 | 44 |
* Cincinnati Bell Inc. | 2,231 | 43 |
* Dynegy Inc. | 5,265 | 42 |
ATN International Inc. | 589 | 40 |
SJW Group | 812 | 39 |
* Iridium Communications Inc. | 4,446 | 39 |
Connecticut Water Service Inc. | 620 | 35 |
Middlesex Water Co. | 890 | 33 |
NRG Yield Inc. | 1,799 | 31 |
* General Communication Inc. Class A | 1,479 | 30 |
* United States Cellular Corp. | 755 | 28 |
* Globalstar Inc. | 19,364 | 27 |
* Gogo Inc. | 2,437 | 26 |
Unitil Corp. | 572 | 25 |
44
Vanguard® Russell 3000 Index Fund | |||||
Schedule of Investments | |||||
February 28, 2017 | |||||
Market | |||||
Value | |||||
Shares | ($000) | ||||
* | ORBCOMM Inc. | 2,735 | 23 | ||
York Water Co. | 601 | 22 | |||
* | Lumos Networks Corp. | 1,131 | 20 | ||
* | Boingo Wireless Inc. | 1,723 | 19 | ||
* | Straight Path Communications Inc. Class B | 483 | 16 | ||
Spok Holdings Inc. | 864 | 16 | |||
IDT Corp. Class B | 698 | 13 | |||
* | FairPoint Communications Inc. | 798 | 13 | ||
* | Atlantic Power Corp. | 5,183 | 12 | ||
* | Hawaiian Telcom Holdco Inc. | 483 | 12 | ||
Delta Natural Gas Co. Inc. | 327 | 10 | |||
* | AquaVenture Holdings Ltd. | 566 | 9 | ||
* | NII Holdings Inc. | 2,537 | 5 | ||
* | Intelsat SA | 799 | 4 | ||
Global Water Resources Inc. | 391 | 3 | |||
66,007 | |||||
Total Common Stocks (Cost $1,061,786) | 1,229,520 | ||||
Coupon | |||||
Temporary Cash Investments (0.3%)1 | |||||
Money Market Fund (0.3%) | |||||
3,4 | Vanguard Market Liquidity Fund | 0.864% | 33,221 | 3,322 | |
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.0%) | |||||
5 | United States Treasury Bill | 0.564%-0.579% | 5/4/17 | 300 | 300 |
Total Temporary Cash Investments (Cost $3,622) | 3,622 | ||||
Total Investments (100.0%) (Cost $1,065,408) | 1,233,142 | ||||
Other Assets and Liabilities—Net (0.0%)4 | (438) | ||||
Net Assets (100%) | 1,232,704 |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,794,000.
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 0.0%, 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 a portion of $1,960,000 of collateral received for securities on loan.
5 Securities with a value of $300,000 have been segregated as initial margin for open futures contracts.
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
45
© 2017 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA18542 042017
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
U.S. Government and Agency Obligations (1.1%) | ||||
U.S. Government Securities (1.1%) | ||||
United States Treasury Note/Bond | 1.250% | 12/31/18 | 9,000 | 9,008 |
1 United States Treasury Note/Bond | 1.125% | 1/31/19 | 55,000 | 54,897 |
United States Treasury Note/Bond | 1.125% | 2/28/19 | 938 | 935 |
United States Treasury Note/Bond | 1.375% | 2/15/20 | 115,285 | 114,907 |
United States Treasury Note/Bond | 1.875% | 2/28/22 | 63,890 | 63,830 |
Total U.S. Government and Agency Obligations (Cost $243,742) | 243,577 | |||
Corporate Bonds (98.1%) | ||||
Finance (39.8%) | ||||
Banking (32.0%) | ||||
American Express Co. | 7.000% | 3/19/18 | 25,446 | 26,862 |
American Express Co. | 1.550% | 5/22/18 | 12,484 | 12,479 |
American Express Co. | 8.125% | 5/20/19 | 1,600 | 1,809 |
American Express Credit Corp. | 2.125% | 7/27/18 | 10,379 | 10,443 |
American Express Credit Corp. | 1.800% | 7/31/18 | 11,395 | 11,419 |
American Express Credit Corp. | 1.875% | 11/5/18 | 10,340 | 10,362 |
American Express Credit Corp. | 2.125% | 3/18/19 | 16,902 | 16,997 |
American Express Credit Corp. | 2.250% | 8/15/19 | 15,914 | 16,041 |
American Express Credit Corp. | 1.700% | 10/30/19 | 1,775 | 1,762 |
American Express Credit Corp. | 2.200% | 3/3/20 | 10,000 | 9,990 |
American Express Credit Corp. | 2.375% | 5/26/20 | 21,842 | 21,934 |
American Express Credit Corp. | 2.600% | 9/14/20 | 17,275 | 17,439 |
American Express Credit Corp. | 2.250% | 5/5/21 | 19,976 | 19,801 |
American Express Credit Corp. | 2.700% | 3/3/22 | 6,000 | 5,987 |
Associates Corp. of North America | 6.950% | 11/1/18 | 90 | 97 |
Australia & New Zealand Banking Group Ltd. | 1.450% | 5/15/18 | 10,325 | 10,301 |
Australia & New Zealand Banking Group Ltd. | 2.000% | 11/16/18 | 9,130 | 9,164 |
Australia & New Zealand Banking Group Ltd. | 2.250% | 6/13/19 | 11,380 | 11,443 |
Australia & New Zealand Banking Group Ltd. | 1.600% | 7/15/19 | 10,700 | 10,585 |
Australia & New Zealand Banking Group Ltd. | 2.050% | 9/23/19 | 10,600 | 10,593 |
Australia & New Zealand Banking Group Ltd. | 2.700% | 11/16/20 | 9,024 | 9,091 |
Australia & New Zealand Banking Group Ltd. | 2.300% | 6/1/21 | 12,400 | 12,264 |
Australia & New Zealand Banking Group Ltd. | 2.550% | 11/23/21 | 11,500 | 11,442 |
Banco Bilbao Vizcaya Argentaria SA | 3.000% | 10/20/20 | 12,225 | 12,330 |
Bancolombia SA | 5.950% | 6/3/21 | 8,100 | 8,859 |
Bank of America Corp. | 6.000% | 9/1/17 | 4 | 4 |
Bank of America Corp. | 6.875% | 4/25/18 | 57,756 | 61,057 |
Bank of America Corp. | 5.650% | 5/1/18 | 36,353 | 37,926 |
Bank of America Corp. | 1.950% | 5/12/18 | 825 | 827 |
Bank of America Corp. | 6.500% | 7/15/18 | 5,154 | 5,465 |
Bank of America Corp. | 6.875% | 11/15/18 | 8,725 | 9,436 |
Bank of America Corp. | 2.600% | 1/15/19 | 50,995 | 51,624 |
Bank of America Corp. | 5.490% | 3/15/19 | 3,450 | 3,661 |
Bank of America Corp. | 2.650% | 4/1/19 | 38,072 | 38,570 |
Bank of America Corp. | 7.625% | 6/1/19 | 26,954 | 30,167 |
Bank of America Corp. | 2.250% | 4/21/20 | 29,305 | 29,332 |
Bank of America Corp. | 5.625% | 7/1/20 | 32,515 | 35,795 |
Bank of America Corp. | 2.625% | 10/19/20 | 31,921 | 32,082 |
Bank of America Corp. | 2.151% | 11/9/20 | 7,920 | 7,837 |
Bank of America Corp. | 5.875% | 1/5/21 | 14,980 | 16,742 |
Bank of America Corp. | 2.625% | 4/19/21 | 12,195 | 12,201 |
Bank of America Corp. | 5.000% | 5/13/21 | 19,374 | 21,064 |
Bank of America Corp. | 5.700% | 1/24/22 | 32,766 | 36,759 |
2 Bank of America Corp. | 3.124% | 1/20/23 | 17,880 | 17,898 |
Bank of America NA | 1.650% | 3/26/18 | 16,116 | 16,144 |
Bank of America NA | 1.750% | 6/5/18 | 28,600 | 28,680 |
Bank of America NA | 2.050% | 12/7/18 | 14,545 | 14,637 |
Bank of Montreal | 1.450% | 4/9/18 | 12,869 | 12,858 |
Bank of Montreal | 1.400% | 4/10/18 | 11,975 | 11,961 |
Bank of Montreal | 1.800% | 7/31/18 | 6,950 | 6,967 |
Bank of Montreal | 1.350% | 8/28/18 | 6,450 | 6,422 |
1
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Bank of Montreal | 2.375% | 1/25/19 | 13,963 | 14,112 |
Bank of Montreal | 1.500% | 7/18/19 | 18,302 | 18,133 |
Bank of Montreal | 2.100% | 12/12/19 | 11,605 | 11,656 |
Bank of Montreal | 1.900% | 8/27/21 | 21,174 | 20,669 |
Bank of New York Mellon Corp. | 1.350% | 3/6/18 | 9,034 | 9,024 |
Bank of New York Mellon Corp. | 1.600% | 5/22/18 | 590 | 590 |
Bank of New York Mellon Corp. | 2.100% | 8/1/18 | 4,096 | 4,120 |
Bank of New York Mellon Corp. | 2.100% | 1/15/19 | 10,541 | 10,611 |
Bank of New York Mellon Corp. | 2.200% | 3/4/19 | 7,950 | 8,005 |
Bank of New York Mellon Corp. | 2.200% | 5/15/19 | 11,325 | 11,424 |
Bank of New York Mellon Corp. | 5.450% | 5/15/19 | 3,500 | 3,765 |
Bank of New York Mellon Corp. | 2.300% | 9/11/19 | 12,653 | 12,760 |
Bank of New York Mellon Corp. | 4.600% | 1/15/20 | 1,225 | 1,312 |
Bank of New York Mellon Corp. | 2.150% | 2/24/20 | 17,206 | 17,271 |
Bank of New York Mellon Corp. | 2.600% | 8/17/20 | 12,435 | 12,571 |
Bank of New York Mellon Corp. | 2.450% | 11/27/20 | 16,677 | 16,767 |
Bank of New York Mellon Corp. | 4.150% | 2/1/21 | 2,000 | 2,121 |
Bank of New York Mellon Corp. | 2.500% | 4/15/21 | 9,886 | 9,912 |
Bank of New York Mellon Corp. | 2.050% | 5/3/21 | 13,900 | 13,669 |
Bank of New York Mellon Corp. | 3.550% | 9/23/21 | 12,567 | 13,103 |
Bank of New York Mellon Corp. | 2.600% | 2/7/22 | 12,000 | 11,966 |
Bank of Nova Scotia | 1.450% | 4/25/18 | 12,060 | 12,051 |
Bank of Nova Scotia | 1.700% | 6/11/18 | 13,800 | 13,818 |
Bank of Nova Scotia | 2.050% | 10/30/18 | 17,506 | 17,626 |
Bank of Nova Scotia | 1.950% | 1/15/19 | 4,812 | 4,827 |
Bank of Nova Scotia | 2.050% | 6/5/19 | 18,640 | 18,710 |
Bank of Nova Scotia | 1.650% | 6/14/19 | 15,509 | 15,423 |
Bank of Nova Scotia | 2.350% | 10/21/20 | 11,635 | 11,668 |
Bank of Nova Scotia | 4.375% | 1/13/21 | 5,100 | 5,449 |
Bank of Nova Scotia | 2.450% | 3/22/21 | 14,934 | 14,937 |
Bank of Nova Scotia | 2.800% | 7/21/21 | 10,389 | 10,537 |
Barclays Bank plc | 5.125% | 1/8/20 | 6,090 | 6,480 |
Barclays Bank plc | 5.140% | 10/14/20 | 12,200 | 12,993 |
Barclays plc | 2.000% | 3/16/18 | 8,775 | 8,793 |
Barclays plc | 2.750% | 11/8/19 | 22,385 | 22,536 |
Barclays plc | 2.875% | 6/8/20 | 10,590 | 10,658 |
Barclays plc | 3.250% | 1/12/21 | 24,065 | 24,295 |
Barclays plc | 3.200% | 8/10/21 | 15,775 | 15,876 |
BB&T Corp. | 1.450% | 1/12/18 | 8,185 | 8,188 |
BB&T Corp. | 2.050% | 6/19/18 | 13,483 | 13,544 |
BB&T Corp. | 2.250% | 2/1/19 | 13,150 | 13,245 |
BB&T Corp. | 6.850% | 4/30/19 | 3,150 | 3,462 |
BB&T Corp. | 5.250% | 11/1/19 | 5,312 | 5,715 |
BB&T Corp. | 2.450% | 1/15/20 | 16,125 | 16,291 |
BB&T Corp. | 2.625% | 6/29/20 | 3,645 | 3,690 |
BB&T Corp. | 2.050% | 5/10/21 | 15,200 | 14,958 |
Bear Stearns Cos. LLC | 4.650% | 7/2/18 | 7,890 | 8,172 |
BNP Paribas SA | 2.700% | 8/20/18 | 15,645 | 15,834 |
BNP Paribas SA | 2.400% | 12/12/18 | 23,002 | 23,210 |
BNP Paribas SA | 2.450% | 3/17/19 | 4,200 | 4,234 |
BNP Paribas SA | 2.375% | 5/21/20 | 18,418 | 18,353 |
BNP Paribas SA | 5.000% | 1/15/21 | 26,901 | 29,091 |
BPCE SA | 2.500% | 12/10/18 | 11,700 | 11,795 |
BPCE SA | 2.500% | 7/15/19 | 9,225 | 9,276 |
BPCE SA | 2.250% | 1/27/20 | 15,805 | 15,691 |
BPCE SA | 2.650% | 2/3/21 | 6,620 | 6,587 |
BPCE SA | 2.750% | 12/2/21 | 19,350 | 19,269 |
Branch Banking & Trust Co. | 2.300% | 10/15/18 | 9,879 | 9,968 |
Branch Banking & Trust Co. | 1.450% | 5/10/19 | 18,609 | 18,444 |
Branch Banking & Trust Co. | 2.100% | 1/15/20 | 3,500 | 3,500 |
Branch Banking & Trust Co. | 2.850% | 4/1/21 | 6,591 | 6,682 |
Branch Banking & Trust Co. | 2.625% | 1/15/22 | 5,000 | 5,010 |
Canadian Imperial Bank of Commerce | 1.600% | 9/6/19 | 14,890 | 14,760 |
Capital One Bank USA NA | 2.150% | 11/21/18 | 4,900 | 4,912 |
2
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Capital One Bank USA NA | 2.250% | 2/13/19 | 21,650 | 21,726 |
Capital One Bank USA NA | 2.300% | 6/5/19 | 6,425 | 6,445 |
Capital One Bank USA NA | 8.800% | 7/15/19 | 5,327 | 6,102 |
Capital One Financial Corp. | 2.450% | 4/24/19 | 16,950 | 17,100 |
Capital One Financial Corp. | 4.750% | 7/15/21 | 14,889 | 16,105 |
Capital One NA | 1.500% | 3/22/18 | 5,256 | 5,246 |
Capital One NA | 2.350% | 8/17/18 | 10,413 | 10,481 |
Capital One NA | 2.400% | 9/5/19 | 7,700 | 7,720 |
Capital One NA | 1.850% | 9/13/19 | 11,150 | 11,040 |
Capital One NA | 2.350% | 1/31/20 | 17,500 | 17,514 |
Capital One NA | 2.950% | 7/23/21 | 10,065 | 10,184 |
Capital One NA | 2.250% | 9/13/21 | 11,200 | 10,981 |
Citigroup Inc. | 1.700% | 4/27/18 | 31,065 | 31,056 |
Citigroup Inc. | 1.750% | 5/1/18 | 21,888 | 21,892 |
Citigroup Inc. | 6.125% | 5/15/18 | 8,931 | 9,392 |
Citigroup Inc. | 2.150% | 7/30/18 | 12,735 | 12,796 |
Citigroup Inc. | 2.500% | 9/26/18 | 19,600 | 19,770 |
Citigroup Inc. | 2.050% | 12/7/18 | 17,240 | 17,286 |
Citigroup Inc. | 2.550% | 4/8/19 | 24,649 | 24,914 |
Citigroup Inc. | 8.500% | 5/22/19 | 2,350 | 2,671 |
Citigroup Inc. | 2.050% | 6/7/19 | 6,500 | 6,501 |
Citigroup Inc. | 2.500% | 7/29/19 | 19,699 | 19,886 |
Citigroup Inc. | 2.450% | 1/10/20 | 20,000 | 20,083 |
Citigroup Inc. | 2.400% | 2/18/20 | 29,755 | 29,798 |
Citigroup Inc. | 5.375% | 8/9/20 | 7,074 | 7,737 |
Citigroup Inc. | 2.650% | 10/26/20 | 26,033 | 26,142 |
Citigroup Inc. | 2.700% | 3/30/21 | 31,100 | 31,121 |
Citigroup Inc. | 2.350% | 8/2/21 | 7,027 | 6,913 |
Citigroup Inc. | 2.900% | 12/8/21 | 37,871 | 37,934 |
Citigroup Inc. | 4.500% | 1/14/22 | 33,983 | 36,350 |
Citizens Bank NA | 1.600% | 12/4/17 | 3,600 | 3,603 |
Citizens Bank NA | 2.300% | 12/3/18 | 5,400 | 5,429 |
Citizens Bank NA | 2.500% | 3/14/19 | 3,764 | 3,794 |
Citizens Bank NA | 2.450% | 12/4/19 | 6,250 | 6,292 |
Citizens Bank NA | 2.250% | 3/2/20 | 7,000 | 6,988 |
Citizens Bank NA | 2.550% | 5/13/21 | 14,000 | 13,916 |
Citizens Financial Group Inc. | 2.375% | 7/28/21 | 2,000 | 1,974 |
City National Corp. | 5.250% | 9/15/20 | 2,050 | 2,237 |
Comerica Inc. | 2.125% | 5/23/19 | 7,075 | 7,070 |
Commonwealth Bank of Australia | 1.625% | 3/12/18 | 18,475 | 18,493 |
Commonwealth Bank of Australia | 2.500% | 9/20/18 | 18,310 | 18,508 |
Commonwealth Bank of Australia | 1.750% | 11/2/18 | 8,025 | 8,011 |
Commonwealth Bank of Australia | 2.250% | 3/13/19 | 17,050 | 17,125 |
Commonwealth Bank of Australia | 2.050% | 3/15/19 | 6,205 | 6,209 |
Commonwealth Bank of Australia | 2.300% | 9/6/19 | 12,600 | 12,668 |
Commonwealth Bank of Australia | 2.300% | 3/12/20 | 500 | 500 |
Commonwealth Bank of Australia | 2.400% | 11/2/20 | 10,685 | 10,659 |
Commonwealth Bank of Australia | 2.550% | 3/15/21 | 9,750 | 9,752 |
Compass Bank | 2.750% | 9/29/19 | 2,885 | 2,880 |
Cooperatieve Rabobank UA | 1.700% | 3/19/18 | 18,650 | 18,673 |
Cooperatieve Rabobank UA | 2.250% | 1/14/19 | 22,246 | 22,372 |
Cooperatieve Rabobank UA | 1.375% | 8/9/19 | 7,550 | 7,432 |
Cooperatieve Rabobank UA | 2.250% | 1/14/20 | 14,550 | 14,570 |
Cooperatieve Rabobank UA | 4.500% | 1/11/21 | 10,731 | 11,509 |
Cooperatieve Rabobank UA | 2.500% | 1/19/21 | 27,080 | 27,055 |
Cooperatieve Rabobank UA | 2.750% | 1/10/22 | 17,500 | 17,543 |
Cooperatieve Rabobank UA | 3.875% | 2/8/22 | 20,555 | 21,687 |
Credit Suisse AG | 1.700% | 4/27/18 | 26,196 | 26,186 |
Credit Suisse AG | 2.300% | 5/28/19 | 30,356 | 30,524 |
Credit Suisse AG | 5.300% | 8/13/19 | 10,478 | 11,238 |
Credit Suisse AG | 5.400% | 1/14/20 | 18,942 | 20,348 |
Credit Suisse AG | 4.375% | 8/5/20 | 2,305 | 2,451 |
Credit Suisse AG | 3.000% | 10/29/21 | 22,574 | 22,778 |
3 Credit Suisse Group AG | 3.574% | 1/9/23 | 10,000 | 9,989 |
3
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Credit Suisse Group Funding Guernsey Ltd. | 2.750% | 3/26/20 | 17,500 | 17,460 |
Credit Suisse Group Funding Guernsey Ltd. | 3.125% | 12/10/20 | 20,365 | 20,427 |
Credit Suisse Group Funding Guernsey Ltd. | 3.450% | 4/16/21 | 20,360 | 20,645 |
Deutsche Bank AG | 2.500% | 2/13/19 | 23,386 | 23,400 |
Deutsche Bank AG | 2.850% | 5/10/19 | 18,073 | 18,150 |
Deutsche Bank AG | 2.950% | 8/20/20 | 2,065 | 2,060 |
Deutsche Bank AG | 3.125% | 1/13/21 | 15,073 | 15,018 |
Deutsche Bank AG | 3.375% | 5/12/21 | 22,025 | 22,145 |
3 Deutsche Bank AG | 4.250% | 10/14/21 | 2,625 | 2,651 |
Discover Bank | 2.600% | 11/13/18 | 7,750 | 7,816 |
Discover Bank | 7.000% | 4/15/20 | 3,900 | 4,361 |
Discover Bank | 3.100% | 6/4/20 | 17,812 | 18,167 |
Discover Bank | 3.200% | 8/9/21 | 5,200 | 5,255 |
Fifth Third Bancorp | 4.500% | 6/1/18 | 1,875 | 1,936 |
Fifth Third Bancorp | 2.300% | 3/1/19 | 6,300 | 6,344 |
Fifth Third Bancorp | 2.875% | 7/27/20 | 15,879 | 16,140 |
Fifth Third Bank | 2.150% | 8/20/18 | 9,935 | 10,002 |
Fifth Third Bank | 2.300% | 3/15/19 | 10,900 | 10,981 |
Fifth Third Bank | 2.375% | 4/25/19 | 9,050 | 9,137 |
Fifth Third Bank | 1.625% | 9/27/19 | 7,725 | 7,642 |
Fifth Third Bank | 2.250% | 6/14/21 | 12,000 | 11,873 |
Fifth Third Bank | 2.875% | 10/1/21 | 15,490 | 15,698 |
First Horizon National Corp. | 3.500% | 12/15/20 | 6,750 | 6,906 |
First Niagara Financial Group Inc. | 6.750% | 3/19/20 | 3,200 | 3,596 |
First Republic Bank | 2.375% | 6/17/19 | 4,220 | 4,213 |
Goldman Sachs Group Inc. | 6.150% | 4/1/18 | 41,894 | 43,860 |
Goldman Sachs Group Inc. | 2.900% | 7/19/18 | 30,288 | 30,779 |
Goldman Sachs Group Inc. | 2.625% | 1/31/19 | 33,538 | 33,930 |
Goldman Sachs Group Inc. | 7.500% | 2/15/19 | 30,154 | 33,314 |
Goldman Sachs Group Inc. | 2.000% | 4/25/19 | 2,000 | 1,997 |
Goldman Sachs Group Inc. | 2.550% | 10/23/19 | 25,556 | 25,794 |
Goldman Sachs Group Inc. | 2.300% | 12/13/19 | 28,340 | 28,344 |
Goldman Sachs Group Inc. | 5.375% | 3/15/20 | 26,716 | 28,980 |
Goldman Sachs Group Inc. | 2.600% | 4/23/20 | 27,462 | 27,644 |
Goldman Sachs Group Inc. | 6.000% | 6/15/20 | 17,544 | 19,456 |
Goldman Sachs Group Inc. | 2.750% | 9/15/20 | 26,953 | 27,181 |
Goldman Sachs Group Inc. | 2.875% | 2/25/21 | 13,973 | 14,095 |
Goldman Sachs Group Inc. | 2.625% | 4/25/21 | 21,950 | 21,944 |
Goldman Sachs Group Inc. | 5.250% | 7/27/21 | 35,363 | 38,846 |
Goldman Sachs Group Inc. | 2.350% | 11/15/21 | 10,000 | 9,776 |
Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 54,096 | 60,942 |
Goldman Sachs Group Inc. | 3.000% | 4/26/22 | 15,800 | 15,769 |
HSBC Bank USA NA | 4.875% | 8/24/20 | 12,986 | 13,837 |
HSBC Holdings plc | 3.400% | 3/8/21 | 35,414 | 36,290 |
HSBC Holdings plc | 5.100% | 4/5/21 | 28,102 | 30,497 |
HSBC Holdings plc | 2.950% | 5/25/21 | 24,285 | 24,376 |
HSBC Holdings plc | 2.650% | 1/5/22 | 44,650 | 43,957 |
HSBC Holdings plc | 4.875% | 1/14/22 | 9,870 | 10,657 |
HSBC USA Inc. | 1.700% | 3/5/18 | 10,764 | 10,766 |
HSBC USA Inc. | 2.000% | 8/7/18 | 5,550 | 5,554 |
HSBC USA Inc. | 2.625% | 9/24/18 | 5,734 | 5,788 |
HSBC USA Inc. | 2.250% | 6/23/19 | 6,900 | 6,909 |
HSBC USA Inc. | 2.375% | 11/13/19 | 11,375 | 11,399 |
HSBC USA Inc. | 2.350% | 3/5/20 | 22,655 | 22,630 |
HSBC USA Inc. | 2.750% | 8/7/20 | 10,574 | 10,657 |
HSBC USA Inc. | 5.000% | 9/27/20 | 5,500 | 5,889 |
Huntington Bancshares Inc. | 2.600% | 8/2/18 | 3,875 | 3,908 |
Huntington Bancshares Inc. | 7.000% | 12/15/20 | 4,075 | 4,670 |
Huntington Bancshares Inc. | 3.150% | 3/14/21 | 10,767 | 10,938 |
Huntington Bancshares Inc. | 2.300% | 1/14/22 | 10,980 | 10,702 |
Huntington National Bank | 2.000% | 6/30/18 | 10,550 | 10,577 |
Huntington National Bank | 2.200% | 11/6/18 | 6,700 | 6,728 |
Huntington National Bank | 2.200% | 4/1/19 | 6,300 | 6,312 |
Huntington National Bank | 2.400% | 4/1/20 | 10,325 | 10,283 |
4
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Huntington National Bank | 2.875% | 8/20/20 | 3,250 | 3,295 |
Intesa Sanpaolo SPA | 3.875% | 1/15/19 | 15,157 | 15,451 |
Itau Corpbanca | 3.125% | 1/15/18 | 7,100 | 7,179 |
3 Itau Corpbanca | 3.875% | 9/22/19 | 2,000 | 2,066 |
JPMorgan Chase & Co. | 1.700% | 3/1/18 | 27,823 | 27,877 |
JPMorgan Chase & Co. | 1.625% | 5/15/18 | 28,402 | 28,426 |
JPMorgan Chase & Co. | 2.350% | 1/28/19 | 17,650 | 17,836 |
JPMorgan Chase & Co. | 1.850% | 3/22/19 | 15,659 | 15,667 |
JPMorgan Chase & Co. | 6.300% | 4/23/19 | 29,360 | 32,013 |
JPMorgan Chase & Co. | 2.200% | 10/22/19 | 10,701 | 10,749 |
JPMorgan Chase & Co. | 2.250% | 1/23/20 | 50,728 | 50,927 |
JPMorgan Chase & Co. | 4.950% | 3/25/20 | 9,954 | 10,760 |
JPMorgan Chase & Co. | 2.750% | 6/23/20 | 34,165 | 34,685 |
JPMorgan Chase & Co. | 4.400% | 7/22/20 | 20,250 | 21,615 |
JPMorgan Chase & Co. | 4.250% | 10/15/20 | 27,702 | 29,557 |
JPMorgan Chase & Co. | 2.550% | 10/29/20 | 31,754 | 31,921 |
JPMorgan Chase & Co. | 2.550% | 3/1/21 | 26,681 | 26,740 |
JPMorgan Chase & Co. | 4.625% | 5/10/21 | 16,850 | 18,166 |
JPMorgan Chase & Co. | 2.400% | 6/7/21 | 16,000 | 15,915 |
JPMorgan Chase & Co. | 2.295% | 8/15/21 | 37,130 | 36,685 |
JPMorgan Chase & Co. | 4.350% | 8/15/21 | 28,010 | 30,031 |
JPMorgan Chase & Co. | 4.500% | 1/24/22 | 41,205 | 44,461 |
JPMorgan Chase Bank NA | 1.450% | 9/21/18 | 3,934 | 3,924 |
JPMorgan Chase Bank NA | 1.650% | 9/23/19 | 10,173 | 10,139 |
KeyBank NA | 1.700% | 6/1/18 | 13,910 | 13,942 |
KeyBank NA | 2.350% | 3/8/19 | 11,870 | 11,932 |
KeyBank NA | 1.600% | 8/22/19 | 8,300 | 8,216 |
KeyBank NA | 2.500% | 12/15/19 | 8,215 | 8,298 |
KeyBank NA | 2.250% | 3/16/20 | 9,338 | 9,360 |
KeyBank NA | 2.500% | 11/22/21 | 4,750 | 4,718 |
KeyCorp | 2.300% | 12/13/18 | 8,951 | 8,997 |
KeyCorp | 2.900% | 9/15/20 | 7,000 | 7,128 |
KeyCorp | 5.100% | 3/24/21 | 8,350 | 9,128 |
Lloyds Bank plc | 2.300% | 11/27/18 | 7,700 | 7,754 |
Lloyds Bank plc | 2.700% | 8/17/20 | 12,500 | 12,608 |
Lloyds Bank plc | 6.375% | 1/21/21 | 15,765 | 17,915 |
Lloyds Banking Group plc | 3.100% | 7/6/21 | 6,180 | 6,234 |
Lloyds Banking Group plc | 3.000% | 1/11/22 | 31,000 | 30,965 |
Manufacturers & Traders Trust Co. | 1.450% | 3/7/18 | 2,980 | 2,977 |
Manufacturers & Traders Trust Co. | 2.300% | 1/30/19 | 10,675 | 10,786 |
Manufacturers & Traders Trust Co. | 2.250% | 7/25/19 | 11,650 | 11,733 |
Manufacturers & Traders Trust Co. | 2.100% | 2/6/20 | 6,075 | 6,075 |
Mitsubishi UFJ Financial Group Inc. | 2.950% | 3/1/21 | 42,907 | 43,319 |
Mitsubishi UFJ Financial Group Inc. | 2.190% | 9/13/21 | 9,600 | 9,347 |
Mitsubishi UFJ Financial Group Inc. | 2.998% | 2/22/22 | 9,250 | 9,319 |
Mizuho Financial Group Inc. | 2.273% | 9/13/21 | 11,100 | 10,823 |
Morgan Stanley | 6.625% | 4/1/18 | 33,821 | 35,560 |
Morgan Stanley | 2.125% | 4/25/18 | 23,597 | 23,725 |
Morgan Stanley | 2.200% | 12/7/18 | 4,395 | 4,417 |
Morgan Stanley | 2.500% | 1/24/19 | 20,476 | 20,679 |
Morgan Stanley | 2.450% | 2/1/19 | 31,906 | 32,183 |
Morgan Stanley | 7.300% | 5/13/19 | 26,532 | 29,448 |
Morgan Stanley | 2.375% | 7/23/19 | 34,059 | 34,289 |
Morgan Stanley | 5.625% | 9/23/19 | 36,564 | 39,579 |
Morgan Stanley | 5.500% | 1/26/20 | 16,414 | 17,859 |
Morgan Stanley | 2.650% | 1/27/20 | 37,814 | 38,227 |
Morgan Stanley | 2.800% | 6/16/20 | 32,072 | 32,425 |
Morgan Stanley | 5.500% | 7/24/20 | 21,941 | 24,039 |
Morgan Stanley | 5.750% | 1/25/21 | 15,210 | 16,930 |
Morgan Stanley | 2.500% | 4/21/21 | 40,046 | 39,794 |
Morgan Stanley | 5.500% | 7/28/21 | 22,986 | 25,538 |
Morgan Stanley | 2.625% | 11/17/21 | 33,126 | 32,869 |
MUFG Americas Holdings Corp. | 2.250% | 2/10/20 | 10,425 | 10,416 |
MUFG Union Bank NA | 2.625% | 9/26/18 | 16,150 | 16,321 |
5
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
MUFG Union Bank NA | 2.250% | 5/6/19 | 3,800 | 3,805 |
National Australia Bank Ltd. | 1.875% | 7/23/18 | 2,600 | 2,605 |
National Australia Bank Ltd. | 2.300% | 7/25/18 | 6,175 | 6,226 |
National Australia Bank Ltd. | 2.000% | 1/14/19 | 5,796 | 5,807 |
National Australia Bank Ltd. | 1.375% | 7/12/19 | 10,490 | 10,326 |
National Australia Bank Ltd. | 2.250% | 1/10/20 | 1,000 | 1,001 |
National Australia Bank Ltd. | 2.625% | 7/23/20 | 14,825 | 14,953 |
National Australia Bank Ltd. | 2.625% | 1/14/21 | 17,190 | 17,259 |
National Australia Bank Ltd. | 1.875% | 7/12/21 | 13,525 | 13,121 |
National Australia Bank Ltd. | 2.800% | 1/10/22 | 11,250 | 11,319 |
National Bank of Canada | 2.100% | 12/14/18 | 11,250 | 11,297 |
National City Corp. | 6.875% | 5/15/19 | 9,685 | 10,660 |
Northern Trust Co. | 6.500% | 8/15/18 | 500 | 534 |
Northern Trust Corp. | 3.450% | 11/4/20 | 6,175 | 6,461 |
Northern Trust Corp. | 3.375% | 8/23/21 | 4,845 | 5,033 |
PNC Bank NA | 6.000% | 12/7/17 | 3,690 | 3,813 |
PNC Bank NA | 6.875% | 4/1/18 | 1,365 | 1,438 |
PNC Bank NA | 1.600% | 6/1/18 | 10,475 | 10,478 |
PNC Bank NA | 1.850% | 7/20/18 | 4,550 | 4,563 |
PNC Bank NA | 1.800% | 11/5/18 | 7,400 | 7,413 |
PNC Bank NA | 1.700% | 12/7/18 | 7,550 | 7,556 |
PNC Bank NA | 2.200% | 1/28/19 | 9,162 | 9,240 |
PNC Bank NA | 1.950% | 3/4/19 | 16,500 | 16,550 |
PNC Bank NA | 2.250% | 7/2/19 | 10,526 | 10,613 |
PNC Bank NA | 1.450% | 7/29/19 | 13,735 | 13,653 |
PNC Bank NA | 2.400% | 10/18/19 | 20,457 | 20,679 |
PNC Bank NA | 2.300% | 6/1/20 | 4,045 | 4,060 |
PNC Bank NA | 2.600% | 7/21/20 | 2,750 | 2,781 |
PNC Bank NA | 2.450% | 11/5/20 | 11,356 | 11,412 |
PNC Bank NA | 2.150% | 4/29/21 | 10,255 | 10,153 |
PNC Bank NA | 2.550% | 12/9/21 | 6,250 | 6,244 |
PNC Bank NA | 2.625% | 2/17/22 | 15,875 | 15,914 |
PNC Funding Corp. | 6.700% | 6/10/19 | 4,605 | 5,085 |
PNC Funding Corp. | 5.125% | 2/8/20 | 14,794 | 15,990 |
PNC Funding Corp. | 4.375% | 8/11/20 | 4,696 | 4,996 |
Regions Bank | 7.500% | 5/15/18 | 4,380 | 4,661 |
Regions Bank | 2.250% | 9/14/18 | 9,170 | 9,207 |
Regions Financial Corp. | 3.200% | 2/8/21 | 10,424 | 10,609 |
Royal Bank of Canada | 2.200% | 7/27/18 | 23,249 | 23,438 |
Royal Bank of Canada | 1.800% | 7/30/18 | 18,113 | 18,161 |
Royal Bank of Canada | 2.000% | 12/10/18 | 4,790 | 4,813 |
Royal Bank of Canada | 2.150% | 3/15/19 | 10,558 | 10,640 |
Royal Bank of Canada | 1.625% | 4/15/19 | 11,672 | 11,616 |
Royal Bank of Canada | 1.500% | 7/29/19 | 19,700 | 19,525 |
Royal Bank of Canada | 2.125% | 3/2/20 | 12,600 | 12,591 |
Royal Bank of Canada | 2.150% | 3/6/20 | 6,802 | 6,814 |
Royal Bank of Canada | 2.350% | 10/30/20 | 19,401 | 19,469 |
Royal Bank of Canada | 2.500% | 1/19/21 | 22,500 | 22,662 |
Royal Bank of Canada | 2.750% | 2/1/22 | 5,000 | 5,056 |
Royal Bank of Scotland Group plc | 6.400% | 10/21/19 | 8,436 | 9,206 |
Santander Bank NA | 8.750% | 5/30/18 | 3,739 | 4,031 |
Santander Holdings USA Inc. | 3.450% | 8/27/18 | 9,233 | 9,356 |
Santander Holdings USA Inc. | 2.700% | 5/24/19 | 12,025 | 12,046 |
Santander Holdings USA Inc. | 2.650% | 4/17/20 | 8,209 | 8,158 |
Santander UK Group Holdings plc | 2.875% | 10/16/20 | 8,850 | 8,861 |
Santander UK Group Holdings plc | 3.125% | 1/8/21 | 11,630 | 11,676 |
Santander UK Group Holdings plc | 2.875% | 8/5/21 | 13,775 | 13,611 |
Santander UK plc | 3.050% | 8/23/18 | 8,886 | 9,038 |
Santander UK plc | 2.000% | 8/24/18 | 11,672 | 11,696 |
Santander UK plc | 2.500% | 3/14/19 | 28,025 | 28,259 |
Santander UK plc | 2.350% | 9/10/19 | 13,025 | 13,083 |
Santander UK plc | 2.375% | 3/16/20 | 1,392 | 1,389 |
Skandinaviska Enskilda Banken AB | 2.625% | 3/15/21 | 12,139 | 12,158 |
Skandinaviska Enskilda Banken AB | 1.875% | 9/13/21 | 21,000 | 20,376 |
6
Vanguard® Short-Term Corporate Bond Index Fund | �� | |||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Societe Generale SA | 2.625% | 10/1/18 | 7,950 | 8,026 |
State Street Bank & Trust Co. | 5.250% | 10/15/18 | 225 | 237 |
State Street Corp. | 4.956% | 3/15/18 | 5,024 | 5,185 |
State Street Corp. | 1.350% | 5/15/18 | 6,804 | 6,792 |
State Street Corp. | 2.550% | 8/18/20 | 18,406 | 18,675 |
State Street Corp. | 4.375% | 3/7/21 | 5,736 | 6,153 |
State Street Corp. | 1.950% | 5/19/21 | 9,122 | 8,958 |
Sumitomo Mitsui Banking Corp. | 2.500% | 7/19/18 | 5,025 | 5,067 |
Sumitomo Mitsui Banking Corp. | 1.950% | 7/23/18 | 13,225 | 13,236 |
Sumitomo Mitsui Banking Corp. | 1.762% | 10/19/18 | 6,000 | 5,974 |
Sumitomo Mitsui Banking Corp. | 2.450% | 1/10/19 | 10,000 | 10,056 |
Sumitomo Mitsui Banking Corp. | 1.966% | 1/11/19 | 6,000 | 5,996 |
Sumitomo Mitsui Banking Corp. | 2.050% | 1/18/19 | 1,000 | 1,001 |
Sumitomo Mitsui Banking Corp. | 2.250% | 7/11/19 | 14,941 | 14,965 |
Sumitomo Mitsui Banking Corp. | 2.450% | 1/16/20 | 22,291 | 22,347 |
Sumitomo Mitsui Banking Corp. | 2.650% | 7/23/20 | 8,240 | 8,251 |
Sumitomo Mitsui Banking Corp. | 2.450% | 10/20/20 | 3,775 | 3,747 |
Sumitomo Mitsui Financial Group Inc. | 2.934% | 3/9/21 | 18,226 | 18,363 |
Sumitomo Mitsui Financial Group Inc. | 2.058% | 7/14/21 | 11,850 | 11,494 |
Sumitomo Mitsui Financial Group Inc. | 2.442% | 10/19/21 | 23,500 | 23,145 |
Sumitomo Mitsui Financial Group Inc. | 2.846% | 1/11/22 | 12,000 | 11,984 |
SunTrust Bank | 7.250% | 3/15/18 | 4,175 | 4,397 |
SunTrust Bank | 2.250% | 1/31/20 | 11,600 | 11,633 |
SunTrust Banks Inc. | 2.350% | 11/1/18 | 10,399 | 10,485 |
SunTrust Banks Inc. | 2.500% | 5/1/19 | 6,173 | 6,239 |
SunTrust Banks Inc. | 2.900% | 3/3/21 | 7,650 | 7,736 |
SunTrust Banks Inc. | 2.700% | 1/27/22 | 11,375 | 11,358 |
Svenska Handelsbanken AB | 1.625% | 3/21/18 | 9,968 | 9,973 |
Svenska Handelsbanken AB | 2.500% | 1/25/19 | 12,625 | 12,770 |
Svenska Handelsbanken AB | 2.250% | 6/17/19 | 8,775 | 8,824 |
Svenska Handelsbanken AB | 1.500% | 9/6/19 | 11,700 | 11,530 |
Svenska Handelsbanken AB | 2.400% | 10/1/20 | 13,415 | 13,379 |
Svenska Handelsbanken AB | 2.450% | 3/30/21 | 20,359 | 20,285 |
Svenska Handelsbanken AB | 1.875% | 9/7/21 | 12,200 | 11,818 |
Synchrony Financial | 2.600% | 1/15/19 | 2,250 | 2,269 |
Synchrony Financial | 3.000% | 8/15/19 | 15,361 | 15,592 |
Synchrony Financial | 2.700% | 2/3/20 | 8,900 | 8,930 |
Synchrony Financial | 3.750% | 8/15/21 | 9,040 | 9,293 |
Toronto-Dominion Bank | 1.625% | 3/13/18 | 5,378 | 5,387 |
Toronto-Dominion Bank | 1.400% | 4/30/18 | 23,913 | 23,905 |
Toronto-Dominion Bank | 1.750% | 7/23/18 | 13,969 | 14,009 |
Toronto-Dominion Bank | 1.450% | 9/6/18 | 6,950 | 6,942 |
Toronto-Dominion Bank | 2.625% | 9/10/18 | 19,961 | 20,270 |
Toronto-Dominion Bank | 1.950% | 1/22/19 | 2,500 | 2,520 |
Toronto-Dominion Bank | 2.125% | 7/2/19 | 26,625 | 26,792 |
Toronto-Dominion Bank | 1.450% | 8/13/19 | 16,800 | 16,708 |
Toronto-Dominion Bank | 2.250% | 11/5/19 | 18,477 | 18,645 |
Toronto-Dominion Bank | 2.500% | 12/14/20 | 17,400 | 17,538 |
Toronto-Dominion Bank | 2.125% | 4/7/21 | 22,660 | 22,449 |
Toronto-Dominion Bank | 1.800% | 7/13/21 | 14,795 | 14,432 |
UBS AG | 1.800% | 3/26/18 | 31,716 | 31,774 |
UBS AG | 5.750% | 4/25/18 | 2,703 | 2,828 |
UBS AG | 2.375% | 8/14/19 | 36,998 | 37,306 |
UBS AG | 2.350% | 3/26/20 | 14,825 | 14,830 |
UBS AG | 4.875% | 8/4/20 | 8,377 | 9,045 |
US Bancorp | 1.950% | 11/15/18 | 15,616 | 15,703 |
US Bancorp | 2.200% | 4/25/19 | 12,543 | 12,652 |
US Bancorp | 2.350% | 1/29/21 | 8,000 | 8,002 |
US Bancorp | 4.125% | 5/24/21 | 11,050 | 11,824 |
US Bancorp | 2.625% | 1/24/22 | 13,500 | 13,545 |
US Bank NA | 1.400% | 4/26/19 | 15,375 | 15,258 |
US Bank NA | 2.125% | 10/28/19 | 17,358 | 17,466 |
US Bank NA | 2.000% | 1/24/20 | 13,300 | 13,334 |
Wells Fargo & Co. | 2.150% | 1/15/19 | 21,699 | 21,852 |
7
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Wells Fargo & Co. | 2.125% | 4/22/19 | 19,853 | 19,936 |
Wells Fargo & Co. | 2.150% | 1/30/20 | 17,495 | 17,510 |
Wells Fargo & Co. | 2.600% | 7/22/20 | 36,793 | 37,224 |
Wells Fargo & Co. | 2.550% | 12/7/20 | 27,039 | 27,136 |
Wells Fargo & Co. | 3.000% | 1/22/21 | 11,926 | 12,154 |
Wells Fargo & Co. | 2.500% | 3/4/21 | 25,113 | 25,111 |
Wells Fargo & Co. | 4.600% | 4/1/21 | 18,240 | 19,671 |
Wells Fargo & Co. | 2.100% | 7/26/21 | 42,875 | 41,986 |
Wells Fargo Bank NA | 1.800% | 11/28/18 | 250 | 251 |
Wells Fargo Bank NA | 1.750% | 5/24/19 | 34,545 | 34,519 |
Wells Fargo Bank NA | 2.150% | 12/6/19 | 22,300 | 22,422 |
Westpac Banking Corp. | 1.550% | 5/25/18 | 6,350 | 6,344 |
Westpac Banking Corp. | 2.250% | 7/30/18 | 13,700 | 13,797 |
Westpac Banking Corp. | 1.950% | 11/23/18 | 11,800 | 11,822 |
Westpac Banking Corp. | 2.250% | 1/17/19 | 16,996 | 17,093 |
Westpac Banking Corp. | 1.650% | 5/13/19 | 9,450 | 9,384 |
Westpac Banking Corp. | 1.600% | 8/19/19 | 13,325 | 13,195 |
Westpac Banking Corp. | 4.875% | 11/19/19 | 25,276 | 27,088 |
Westpac Banking Corp. | 2.150% | 3/6/20 | 16,725 | 16,706 |
Westpac Banking Corp. | 2.300% | 5/26/20 | 12,400 | 12,385 |
Westpac Banking Corp. | 2.600% | 11/23/20 | 17,167 | 17,252 |
Westpac Banking Corp. | 2.100% | 5/13/21 | 12,332 | 12,115 |
Westpac Banking Corp. | 2.000% | 8/19/21 | 13,450 | 13,121 |
Westpac Banking Corp. | 2.800% | 1/11/22 | 21,000 | 21,052 |
Brokerage (0.8%) | ||||
Ameriprise Financial Inc. | 7.300% | 6/28/19 | 2,875 | 3,209 |
Ameriprise Financial Inc. | 5.300% | 3/15/20 | 8,015 | 8,731 |
BGC Partners Inc. | 5.375% | 12/9/19 | 2,050 | 2,153 |
BGC Partners Inc. | 5.125% | 5/27/21 | 2,250 | 2,287 |
BlackRock Inc. | 5.000% | 12/10/19 | 15,067 | 16,379 |
BlackRock Inc. | 4.250% | 5/24/21 | 7,370 | 7,920 |
Charles Schwab Corp. | 1.500% | 3/10/18 | 9,700 | 9,712 |
Charles Schwab Corp. | 2.200% | 7/25/18 | 2,925 | 2,947 |
Charles Schwab Corp. | 4.450% | 7/22/20 | 6,068 | 6,497 |
Eaton Vance Corp. | 6.500% | 10/2/17 | 409 | 421 |
Franklin Resources Inc. | 4.625% | 5/20/20 | 3,225 | 3,453 |
Intercontinental Exchange Inc. | 2.500% | 10/15/18 | 6,950 | 7,041 |
Intercontinental Exchange Inc. | 2.750% | 12/1/20 | 13,370 | 13,585 |
Jefferies Group LLC | 5.125% | 4/13/18 | 6,442 | 6,660 |
Jefferies Group LLC | 8.500% | 7/15/19 | 6,155 | 7,007 |
Jefferies Group LLC | 6.875% | 4/15/21 | 9,485 | 10,779 |
Lazard Group LLC | 4.250% | 11/14/20 | 5,150 | 5,411 |
Legg Mason Inc. | 2.700% | 7/15/19 | 3,495 | 3,538 |
Nasdaq Inc. | 5.550% | 1/15/20 | 7,487 | 8,065 |
Nomura Holdings Inc. | 2.750% | 3/19/19 | 11,122 | 11,243 |
Nomura Holdings Inc. | 6.700% | 3/4/20 | 14,500 | 16,135 |
Raymond James Financial Inc. | 8.600% | 8/15/19 | 2,975 | 3,402 |
Stifel Financial Corp. | 3.500% | 12/1/20 | 6,250 | 6,287 |
TD Ameritrade Holding Corp. | 5.600% | 12/1/19 | 4,225 | 4,614 |
Finance Companies (1.6%) | ||||
AerCap Ireland Capital Ltd. / AerCap Global Aviation | ||||
Trust | 3.750% | 5/15/19 | 12,206 | 12,572 |
AerCap Ireland Capital Ltd. / AerCap Global Aviation | ||||
Trust | 4.250% | 7/1/20 | 6,820 | 7,170 |
AerCap Ireland Capital Ltd. / AerCap Global Aviation | ||||
Trust | 4.625% | 10/30/20 | 11,742 | 12,549 |
AerCap Ireland Capital Ltd. / AerCap Global Aviation | ||||
Trust | 4.500% | 5/15/21 | 11,070 | 11,720 |
AerCap Ireland Capital Ltd. / AerCap Global Aviation | ||||
Trust | 5.000% | 10/1/21 | 9,907 | 10,749 |
AerCap Ireland Capital Ltd. / AerCap Global Aviation | ||||
Trust | 3.950% | 2/1/22 | 10,440 | 10,818 |
Air Lease Corp. | 2.625% | 9/4/18 | 6,108 | 6,177 |
8
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Air Lease Corp. | 3.375% | 1/15/19 | 9,903 | 10,126 |
Air Lease Corp. | 2.125% | 1/15/20 | 4,600 | 4,548 |
Air Lease Corp. | 4.750% | 3/1/20 | 3,869 | 4,116 |
Air Lease Corp. | 3.875% | 4/1/21 | 6,500 | 6,752 |
Air Lease Corp. | 3.375% | 6/1/21 | 8,300 | 8,445 |
Air Lease Corp. | 3.750% | 2/1/22 | 3,125 | 3,227 |
Ares Capital Corp. | 4.875% | 11/30/18 | 5,730 | 5,967 |
Ares Capital Corp. | 3.875% | 1/15/20 | 7,325 | 7,457 |
Ares Capital Corp. | 3.625% | 1/19/22 | 8,050 | 7,941 |
FS Investment Corp. | 4.000% | 7/15/19 | 4,000 | 4,043 |
FS Investment Corp. | 4.250% | 1/15/20 | 3,475 | 3,493 |
GATX Corp. | 2.375% | 7/30/18 | 2,065 | 2,079 |
GATX Corp. | 2.500% | 3/15/19 | 465 | 468 |
GATX Corp. | 2.500% | 7/30/19 | 3,875 | 3,890 |
GATX Corp. | 2.600% | 3/30/20 | 4,825 | 4,869 |
GATX Corp. | 4.850% | 6/1/21 | 3,400 | 3,671 |
GE Capital International Funding Co. | 2.342% | 11/15/20 | 77,649 | 78,234 |
HSBC Finance Corp. | 6.676% | 1/15/21 | 30,647 | 34,608 |
International Lease Finance Corp. | 3.875% | 4/15/18 | 10,945 | 11,178 |
3 International Lease Finance Corp. | 7.125% | 9/1/18 | 12,905 | 13,857 |
International Lease Finance Corp. | 5.875% | 4/1/19 | 6,680 | 7,156 |
International Lease Finance Corp. | 6.250% | 5/15/19 | 10,931 | 11,860 |
International Lease Finance Corp. | 8.250% | 12/15/20 | 13,674 | 16,306 |
International Lease Finance Corp. | 4.625% | 4/15/21 | 5,600 | 5,950 |
International Lease Finance Corp. | 8.625% | 1/15/22 | 5,650 | 6,992 |
Prospect Capital Corp. | 5.000% | 7/15/19 | 2,225 | 2,276 |
Insurance (3.5%) | ||||
AEGON Funding Co. LLC | 5.750% | 12/15/20 | 3,276 | 3,606 |
Aetna Inc. | 1.700% | 6/7/18 | 9,335 | 9,351 |
Aetna Inc. | 2.200% | 3/15/19 | 7,830 | 7,890 |
Aetna Inc. | 1.900% | 6/7/19 | 21,482 | 21,695 |
Aetna Inc. | 3.950% | 9/1/20 | 3,910 | 4,179 |
Aetna Inc. | 4.125% | 6/1/21 | 5,224 | 5,537 |
Aetna Inc. | 2.400% | 6/15/21 | 20,683 | 20,886 |
Aflac Inc. | 2.400% | 3/16/20 | 5,400 | 5,460 |
Aflac Inc. | 4.000% | 2/15/22 | 2,425 | 2,580 |
Alleghany Corp. | 5.625% | 9/15/20 | 1,400 | 1,538 |
Allied World Assurance Co. Holdings Ltd. | 5.500% | 11/15/20 | 1,875 | 2,040 |
Allstate Corp. | 7.450% | 5/16/19 | 328 | 365 |
Alterra Finance LLC | 6.250% | 9/30/20 | 3,920 | 4,357 |
American Financial Group Inc. | 9.875% | 6/15/19 | 2,887 | 3,351 |
American International Group Inc. | 2.300% | 7/16/19 | 14,655 | 14,721 |
American International Group Inc. | 3.375% | 8/15/20 | 6,700 | 6,904 |
American International Group Inc. | 6.400% | 12/15/20 | 6,125 | 6,956 |
American International Group Inc. | 3.300% | 3/1/21 | 14,971 | 15,348 |
Anthem Inc. | 2.300% | 7/15/18 | 5,898 | 5,936 |
Anthem Inc. | 7.000% | 2/15/19 | 1,025 | 1,119 |
Anthem Inc. | 2.250% | 8/15/19 | 14,215 | 14,193 |
Anthem Inc. | 4.350% | 8/15/20 | 7,405 | 7,855 |
Anthem Inc. | 3.700% | 8/15/21 | 6,860 | 7,093 |
Aon Corp. | 5.000% | 9/30/20 | 6,606 | 7,123 |
Aon plc | 2.800% | 3/15/21 | 1,628 | 1,630 |
Aspen Insurance Holdings Ltd. | 6.000% | 12/15/20 | 1,725 | 1,895 |
Assurant Inc. | 2.500% | 3/15/18 | 5,729 | 5,777 |
AXIS Specialty Finance LLC | 5.875% | 6/1/20 | 6,842 | 7,537 |
AXIS Specialty Finance plc | 2.650% | 4/1/19 | 4,720 | 4,765 |
Berkshire Hathaway Finance Corp. | 1.450% | 3/7/18 | 10,700 | 10,716 |
Berkshire Hathaway Finance Corp. | 1.300% | 5/15/18 | 9,349 | 9,342 |
Berkshire Hathaway Finance Corp. | 5.400% | 5/15/18 | 17,018 | 17,795 |
Berkshire Hathaway Finance Corp. | 2.000% | 8/15/18 | 8,990 | 9,084 |
Berkshire Hathaway Finance Corp. | 1.700% | 3/15/19 | 13,675 | 13,726 |
Berkshire Hathaway Finance Corp. | 1.300% | 8/15/19 | 11,550 | 11,433 |
Berkshire Hathaway Finance Corp. | 2.900% | 10/15/20 | 200 | 206 |
9
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Berkshire Hathaway Finance Corp. | 4.250% | 1/15/21 | 8,135 | 8,765 |
Berkshire Hathaway Inc. | 1.150% | 8/15/18 | 7,040 | 7,007 |
Berkshire Hathaway Inc. | 2.100% | 8/14/19 | 10,716 | 10,822 |
Berkshire Hathaway Inc. | 2.200% | 3/15/21 | 9,350 | 9,389 |
Berkshire Hathaway Inc. | 3.750% | 8/15/21 | 5,515 | 5,851 |
Berkshire Hathaway Inc. | 3.400% | 1/31/22 | 3,944 | 4,119 |
Chubb Corp. | 5.750% | 5/15/18 | 5,010 | 5,260 |
Chubb INA Holdings Inc. | 5.800% | 3/15/18 | 8,000 | 8,349 |
Chubb INA Holdings Inc. | 5.900% | 6/15/19 | 3,625 | 3,952 |
Chubb INA Holdings Inc. | 2.300% | 11/3/20 | 17,094 | 17,161 |
Cigna Corp. | 5.125% | 6/15/20 | 2,680 | 2,905 |
Cigna Corp. | 4.375% | 12/15/20 | 1,750 | 1,861 |
Cigna Corp. | 4.500% | 3/15/21 | 3,074 | 3,279 |
Cigna Corp. | 4.000% | 2/15/22 | 6,290 | 6,621 |
CNA Financial Corp. | 7.350% | 11/15/19 | 3,400 | 3,858 |
CNA Financial Corp. | 5.875% | 8/15/20 | 5,893 | 6,561 |
CNA Financial Corp. | 5.750% | 8/15/21 | 4,350 | 4,866 |
Coventry Health Care Inc. | 5.450% | 6/15/21 | 7,479 | 8,294 |
Hartford Financial Services Group Inc. | 6.300% | 3/15/18 | 4,190 | 4,366 |
Hartford Financial Services Group Inc. | 6.000% | 1/15/19 | 4,160 | 4,450 |
Hartford Financial Services Group Inc. | 5.500% | 3/30/20 | 6,943 | 7,571 |
Humana Inc. | 7.200% | 6/15/18 | 6,053 | 6,485 |
Humana Inc. | 6.300% | 8/1/18 | 2,435 | 2,582 |
Humana Inc. | 2.625% | 10/1/19 | 4,205 | 4,252 |
Lincoln National Corp. | 8.750% | 7/1/19 | 1,827 | 2,091 |
Lincoln National Corp. | 6.250% | 2/15/20 | 3,675 | 4,053 |
Lincoln National Corp. | 4.850% | 6/24/21 | 3,325 | 3,600 |
Manulife Financial Corp. | 4.900% | 9/17/20 | 4,750 | 5,117 |
Markel Corp. | 5.350% | 6/1/21 | 555 | 604 |
Marsh & McLennan Cos. Inc. | 2.550% | 10/15/18 | 2,150 | 2,177 |
Marsh & McLennan Cos. Inc. | 2.350% | 9/10/19 | 5,870 | 5,925 |
Marsh & McLennan Cos. Inc. | 2.350% | 3/6/20 | 5,636 | 5,654 |
Marsh & McLennan Cos. Inc. | 4.800% | 7/15/21 | 6,204 | 6,745 |
Marsh & McLennan Cos. Inc. | 2.750% | 1/30/22 | 12,175 | 12,241 |
MetLife Inc. | 6.817% | 8/15/18 | 8,921 | 9,565 |
MetLife Inc. | 7.717% | 2/15/19 | 11,552 | 12,810 |
MetLife Inc. | 4.750% | 2/8/21 | 14,225 | 15,415 |
PartnerRe Finance B LLC | 5.500% | 6/1/20 | 4,960 | 5,426 |
2 Principal Financial Group Inc. | 4.700% | 5/15/55 | 3,800 | 3,863 |
Progressive Corp. | 3.750% | 8/23/21 | 6,903 | 7,305 |
Protective Life Corp. | 7.375% | 10/15/19 | 2,400 | 2,703 |
Prudential Financial Inc. | 2.300% | 8/15/18 | 4,125 | 4,155 |
Prudential Financial Inc. | 7.375% | 6/15/19 | 8,526 | 9,553 |
Prudential Financial Inc. | 2.350% | 8/15/19 | 6,200 | 6,251 |
Prudential Financial Inc. | 5.375% | 6/21/20 | 9,089 | 9,909 |
Prudential Financial Inc. | 4.500% | 11/15/20 | 6,150 | 6,636 |
Prudential Financial Inc. | 4.500% | 11/16/21 | 5,000 | 5,422 |
2 Prudential Financial Inc. | 8.875% | 6/15/68 | 4,405 | 4,766 |
Reinsurance Group of America Inc. | 6.450% | 11/15/19 | 4,745 | 5,254 |
Reinsurance Group of America Inc. | 5.000% | 6/1/21 | 6,275 | 6,857 |
2 StanCorp Financial Group Inc. | 6.900% | 6/1/67 | 1,495 | 1,301 |
Torchmark Corp. | 9.250% | 6/15/19 | 2,500 | 2,884 |
Travelers Cos. Inc. | 5.800% | 5/15/18 | 3,653 | 3,832 |
Travelers Cos. Inc. | 5.900% | 6/2/19 | 5,515 | 6,015 |
Travelers Cos. Inc. | 3.900% | 11/1/20 | 4,175 | 4,414 |
Trinity Acquisition plc | 3.500% | 9/15/21 | 5,207 | 5,241 |
UnitedHealth Group Inc. | 1.900% | 7/16/18 | 21,183 | 21,290 |
UnitedHealth Group Inc. | 1.700% | 2/15/19 | 5,381 | 5,388 |
UnitedHealth Group Inc. | 1.625% | 3/15/19 | 7,650 | 7,620 |
UnitedHealth Group Inc. | 2.300% | 12/15/19 | 9,050 | 9,147 |
UnitedHealth Group Inc. | 2.700% | 7/15/20 | 18,121 | 18,479 |
UnitedHealth Group Inc. | 3.875% | 10/15/20 | 3,304 | 3,497 |
UnitedHealth Group Inc. | 4.700% | 2/15/21 | 3,942 | 4,266 |
UnitedHealth Group Inc. | 2.125% | 3/15/21 | 11,147 | 11,059 |
10
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
UnitedHealth Group Inc. | 3.375% | 11/15/21 | 3,400 | 3,534 |
UnitedHealth Group Inc. | 2.875% | 12/15/21 | 9,200 | 9,350 |
Unum Group | 5.625% | 9/15/20 | 1,893 | 2,059 |
Unum Group | 3.000% | 5/15/21 | 4,500 | 4,519 |
Voya Financial Inc. | 2.900% | 2/15/18 | 10,133 | 10,232 |
Willis Towers Watson plc | 5.750% | 3/15/21 | 3,915 | 4,277 |
WR Berkley Corp. | 7.375% | 9/15/19 | 1,282 | 1,430 |
WR Berkley Corp. | 5.375% | 9/15/20 | 3,175 | 3,382 |
XLIT Ltd. | 2.300% | 12/15/18 | 4,700 | 4,710 |
XLIT Ltd. | 5.750% | 10/1/21 | 4,390 | 4,878 |
Other Finance (0.0%) | ||||
ORIX Corp. | 3.750% | 3/9/17 | 60 | 60 |
Real Estate Investment Trusts (1.9%) | ||||
Alexandria Real Estate Equities Inc. | 2.750% | 1/15/20 | 3,250 | 3,263 |
American Campus Communities Operating Partnership | ||||
LP | 3.350% | 10/1/20 | 5,320 | 5,410 |
AvalonBay Communities Inc. | 6.100% | 3/15/20 | 750 | 832 |
AvalonBay Communities Inc. | 3.625% | 10/1/20 | 6,305 | 6,553 |
AvalonBay Communities Inc. | 3.950% | 1/15/21 | 1,125 | 1,181 |
Boston Properties LP | 3.700% | 11/15/18 | 11,818 | 12,146 |
Boston Properties LP | 5.875% | 10/15/19 | 9,559 | 10,382 |
Boston Properties LP | 5.625% | 11/15/20 | 5,275 | 5,829 |
Boston Properties LP | 4.125% | 5/15/21 | 7,420 | 7,823 |
Brandywine Operating Partnership LP | 4.950% | 4/15/18 | 4,835 | 4,977 |
Camden Property Trust | 4.625% | 6/15/21 | 1,100 | 1,176 |
Corporate Office Properties LP | 3.700% | 6/15/21 | 3,240 | 3,309 |
DDR Corp. | 7.500% | 4/1/17 | 1 | 1 |
DDR Corp. | 4.750% | 4/15/18 | 900 | 924 |
DDR Corp. | 7.875% | 9/1/20 | 5,125 | 5,943 |
DDR Corp. | 3.500% | 1/15/21 | 7,648 | 7,752 |
Digital Realty Trust LP | 5.875% | 2/1/20 | 4,725 | 5,137 |
Digital Realty Trust LP | 3.400% | 10/1/20 | 4,100 | 4,195 |
Digital Realty Trust LP | 5.250% | 3/15/21 | 9,660 | 10,497 |
Duke Realty LP | 6.750% | 3/15/20 | 1,025 | 1,146 |
Duke Realty LP | 3.875% | 2/15/21 | 3,050 | 3,183 |
EPR Properties | 7.750% | 7/15/20 | 1,000 | 1,138 |
Equity Commonwealth | 5.875% | 9/15/20 | 1,900 | 2,040 |
ERP Operating LP | 2.375% | 7/1/19 | 5,669 | 5,717 |
ERP Operating LP | 4.750% | 7/15/20 | 3,975 | 4,258 |
ERP Operating LP | 4.625% | 12/15/21 | 12,181 | 13,206 |
Essex Portfolio LP | 5.200% | 3/15/21 | 2,700 | 2,936 |
Federal Realty Investment Trust | 2.550% | 1/15/21 | 4,450 | 4,448 |
Government Properties Income Trust | 3.750% | 8/15/19 | 2,745 | 2,768 |
HCP Inc. | 3.750% | 2/1/19 | 3,650 | 3,749 |
HCP Inc. | 2.625% | 2/1/20 | 16,229 | 16,327 |
HCP Inc. | 5.375% | 2/1/21 | 9,847 | 10,751 |
Healthcare Realty Trust Inc. | 5.750% | 1/15/21 | 1,330 | 1,461 |
Healthcare Trust of America Holdings LP | 3.375% | 7/15/21 | 2,850 | 2,869 |
Highwoods Realty LP | 3.200% | 6/15/21 | 2,500 | 2,522 |
Hospitality Properties Trust | 4.250% | 2/15/21 | 4,350 | 4,527 |
Host Hotels & Resorts LP | 6.000% | 10/1/21 | 4,025 | 4,490 |
Kilroy Realty LP | 4.800% | 7/15/18 | 3,319 | 3,425 |
Kimco Realty Corp. | 6.875% | 10/1/19 | 3,725 | 4,169 |
Kimco Realty Corp. | 3.200% | 5/1/21 | 4,175 | 4,241 |
Liberty Property LP | 4.750% | 10/1/20 | 5,485 | 5,851 |
Mack-Cali Realty LP | 2.500% | 12/15/17 | 1,000 | 1,004 |
National Retail Properties Inc. | 6.875% | 10/15/17 | 2,000 | 2,064 |
National Retail Properties Inc. | 5.500% | 7/15/21 | 300 | 332 |
Prologis LP | 2.750% | 2/15/19 | 3,050 | 3,098 |
Prologis LP | 3.350% | 2/1/21 | 4,926 | 5,080 |
Realty Income Corp. | 6.750% | 8/15/19 | 10,215 | 11,365 |
Realty Income Corp. | 5.750% | 1/15/21 | 2,000 | 2,208 |
11
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Regency Centers LP | 4.800% | 4/15/21 | 5,275 | 5,677 |
Select Income REIT | 3.600% | 2/1/20 | 150 | 151 |
Select Income REIT | 4.150% | 2/1/22 | 3,000 | 3,007 |
Senior Housing Properties Trust | 3.250% | 5/1/19 | 4,550 | 4,585 |
Simon Property Group LP | 2.200% | 2/1/19 | 10,972 | 11,058 |
Simon Property Group LP | 5.650% | 2/1/20 | 10,587 | 11,562 |
Simon Property Group LP | 2.500% | 9/1/20 | 5,098 | 5,139 |
Simon Property Group LP | 4.375% | 3/1/21 | 8,500 | 9,094 |
Simon Property Group LP | 2.500% | 7/15/21 | 4,225 | 4,231 |
Simon Property Group LP | 4.125% | 12/1/21 | 10,250 | 10,908 |
Simon Property Group LP | 2.350% | 1/30/22 | 5,950 | 5,872 |
SL Green Realty Corp. | 5.000% | 8/15/18 | 250 | 259 |
SL Green Realty Corp. | 7.750% | 3/15/20 | 2,500 | 2,821 |
Tanger Properties LP | 6.125% | 6/1/20 | 2,700 | 2,983 |
UDR Inc. | 4.250% | 6/1/18 | 5,800 | 5,970 |
UDR Inc. | 3.700% | 10/1/20 | 7,575 | 7,816 |
Ventas Realty LP / Ventas Capital Corp. | 4.000% | 4/30/19 | 4,510 | 4,668 |
Ventas Realty LP / Ventas Capital Corp. | 2.700% | 4/1/20 | 7,375 | 7,436 |
Ventas Realty LP / Ventas Capital Corp. | 4.750% | 6/1/21 | 7,400 | 7,944 |
Vereit Operating Partnership LP | 3.000% | 2/6/19 | 930 | 935 |
VEREIT Operating Partnership LP | 4.125% | 6/1/21 | 5,565 | 5,715 |
Vornado Realty LP | 2.500% | 6/30/19 | 5,400 | 5,428 |
Vornado Realty LP | 5.000% | 1/15/22 | 3,900 | 4,222 |
Washington Prime Group LP | 3.850% | 4/1/20 | 2,200 | 2,201 |
Washington REIT | 4.950% | 10/1/20 | 2,150 | 2,273 |
Welltower Inc. | 2.250% | 3/15/18 | 7,344 | 7,383 |
Welltower Inc. | 4.125% | 4/1/19 | 5,650 | 5,859 |
Welltower Inc. | 6.125% | 4/15/20 | 4,775 | 5,289 |
Welltower Inc. | 4.950% | 1/15/21 | 6,457 | 6,959 |
Welltower Inc. | 5.250% | 1/15/22 | 4,559 | 5,023 |
8,367,217 | ||||
Industrial (53.3%) | ||||
Basic Industry (2.7%) | ||||
Agrium Inc. | 6.750% | 1/15/19 | 4,599 | 4,956 |
Air Products & Chemicals Inc. | 4.375% | 8/21/19 | 2,490 | 2,644 |
Air Products & Chemicals Inc. | 3.000% | 11/3/21 | 9,925 | 10,197 |
Airgas Inc. | 1.650% | 2/15/18 | 2,975 | 2,982 |
Airgas Inc. | 2.375% | 2/15/20 | 2,200 | 2,216 |
Airgas Inc. | 3.050% | 8/1/20 | 6,250 | 6,422 |
Barrick North America Finance LLC | 4.400% | 5/30/21 | 16,252 | 17,457 |
BHP Billiton Finance USA Ltd. | 2.050% | 9/30/18 | 9,431 | 9,525 |
BHP Billiton Finance USA Ltd. | 6.500% | 4/1/19 | 14,060 | 15,460 |
BHP Billiton Finance USA Ltd. | 3.250% | 11/21/21 | 14,040 | 14,610 |
Cabot Corp. | 2.550% | 1/15/18 | 1,125 | 1,133 |
Celanese US Holdings LLC | 5.875% | 6/15/21 | 4,075 | 4,533 |
Celulosa Arauco y Constitucion SA | 7.250% | 7/29/19 | 4,840 | 5,346 |
Celulosa Arauco y Constitucion SA | 5.000% | 1/21/21 | 3,725 | 3,944 |
Celulosa Arauco y Constitucion SA | 4.750% | 1/11/22 | 2,675 | 2,797 |
Dow Chemical Co. | 5.700% | 5/15/18 | 3,525 | 3,689 |
Dow Chemical Co. | 8.550% | 5/15/19 | 22,770 | 25,953 |
Dow Chemical Co. | 4.250% | 11/15/20 | 20,805 | 22,100 |
Dow Chemical Co. | 4.125% | 11/15/21 | 10,035 | 10,642 |
Eastman Chemical Co. | 2.700% | 1/15/20 | 11,875 | 12,039 |
Eastman Chemical Co. | 4.500% | 1/15/21 | 51 | 54 |
Ecolab Inc. | 2.000% | 1/14/19 | 4,300 | 4,337 |
Ecolab Inc. | 2.250% | 1/12/20 | 3,120 | 3,128 |
Ecolab Inc. | 4.350% | 12/8/21 | 11,836 | 12,800 |
EI du Pont de Nemours & Co. | 6.000% | 7/15/18 | 21,574 | 22,843 |
EI du Pont de Nemours & Co. | 4.625% | 1/15/20 | 11,062 | 11,816 |
EI du Pont de Nemours & Co. | 3.625% | 1/15/21 | 7,675 | 7,987 |
EI du Pont de Nemours & Co. | 4.250% | 4/1/21 | 6,120 | 6,510 |
FMC Corp. | 5.200% | 12/15/19 | 3,150 | 3,390 |
FMC Corp. | 3.950% | 2/1/22 | 1,775 | 1,814 |
12
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Goldcorp Inc. | 2.125% | 3/15/18 | 7,465 | 7,492 |
Goldcorp Inc. | 3.625% | 6/9/21 | 10,050 | 10,359 |
International Paper Co. | 7.950% | 6/15/18 | 5,982 | 6,444 |
International Paper Co. | 9.375% | 5/15/19 | 118 | 136 |
International Paper Co. | 7.500% | 8/15/21 | 5,940 | 7,096 |
International Paper Co. | 4.750% | 2/15/22 | 9,475 | 10,271 |
Lubrizol Corp. | 8.875% | 2/1/19 | 4,466 | 5,065 |
LyondellBasell Industries NV | 5.000% | 4/15/19 | 24,870 | 26,283 |
LyondellBasell Industries NV | 6.000% | 11/15/21 | 10,410 | 11,815 |
Methanex Corp. | 3.250% | 12/15/19 | 3,450 | 3,480 |
Monsanto Co. | 5.125% | 4/15/18 | 3,127 | 3,235 |
Monsanto Co. | 1.850% | 11/15/18 | 2,035 | 2,031 |
Monsanto Co. | 2.125% | 7/15/19 | 9,100 | 9,097 |
Monsanto Co. | 2.750% | 7/15/21 | 4,755 | 4,764 |
Mosaic Co. | 3.750% | 11/15/21 | 5,000 | 5,155 |
Newmont Mining Corp. | 5.125% | 10/1/19 | 6,606 | 7,069 |
Nucor Corp. | 5.850% | 6/1/18 | 5,068 | 5,325 |
Plum Creek Timberlands LP | 4.700% | 3/15/21 | 4,925 | 5,228 |
Potash Corp. of Saskatchewan Inc. | 6.500% | 5/15/19 | 4,170 | 4,529 |
Potash Corp. of Saskatchewan Inc. | 4.875% | 3/30/20 | 4,675 | 4,954 |
PPG Industries Inc. | 2.300% | 11/15/19 | 5,000 | 5,051 |
PPG Industries Inc. | 3.600% | 11/15/20 | 2,825 | 2,961 |
Praxair Inc. | 1.250% | 11/7/18 | 8,200 | 8,166 |
Praxair Inc. | 4.500% | 8/15/19 | 6,075 | 6,446 |
Praxair Inc. | 2.250% | 9/24/20 | 2,250 | 2,249 |
Praxair Inc. | 4.050% | 3/15/21 | 5,125 | 5,459 |
Praxair Inc. | 3.000% | 9/1/21 | 4,450 | 4,570 |
Praxair Inc. | 2.450% | 2/15/22 | 4,600 | 4,599 |
Rio Tinto Finance USA Ltd. | 9.000% | 5/1/19 | 21,860 | 25,050 |
Rio Tinto Finance USA Ltd. | 3.500% | 11/2/20 | 2,753 | 2,872 |
Rio Tinto Finance USA Ltd. | 4.125% | 5/20/21 | 4,979 | 5,306 |
Rio Tinto Finance USA Ltd. | 3.750% | 9/20/21 | 4,306 | 4,524 |
RPM International Inc. | 6.125% | 10/15/19 | 3,000 | 3,292 |
Sherwin-Williams Co. | 1.350% | 12/15/17 | 6,500 | 6,491 |
Southern Copper Corp. | 5.375% | 4/16/20 | 3,000 | 3,259 |
Vale Overseas Ltd. | 5.625% | 9/15/19 | 13,925 | 14,900 |
Vale Overseas Ltd. | 4.625% | 9/15/20 | 7,625 | 8,035 |
Vale Overseas Ltd. | 5.875% | 6/10/21 | 13,893 | 15,091 |
Vale Overseas Ltd. | 4.375% | 1/11/22 | 24,290 | 25,140 |
Valspar Corp. | 7.250% | 6/15/19 | 1,525 | 1,680 |
Valspar Corp. | 4.200% | 1/15/22 | 3,990 | 4,155 |
3 Westlake Chemical Corp. | 4.625% | 2/15/21 | 5,950 | 6,195 |
WestRock MWV LLC | 7.375% | 9/1/19 | 950 | 1,067 |
WestRock RKT Co. | 4.450% | 3/1/19 | 5,000 | 5,208 |
WestRock RKT Co. | 3.500% | 3/1/20 | 2,500 | 2,571 |
Weyerhaeuser Co. | 7.375% | 10/1/19 | 4,500 | 5,050 |
Capital Goods (5.1%) | ||||
3M Co. | 1.375% | 8/7/18 | 4,100 | 4,103 |
3M Co. | 1.625% | 6/15/19 | 4,975 | 5,001 |
3M Co. | 2.000% | 8/7/20 | 3,875 | 3,903 |
3M Co. | 1.625% | 9/19/21 | 7,500 | 7,358 |
Acuity Brands Lighting Inc. | 6.000% | 12/15/19 | 4,175 | 4,586 |
Bemis Co. Inc. | 6.800% | 8/1/19 | 3,550 | 3,893 |
Bemis Co. Inc. | 4.500% | 10/15/21 | 3,000 | 3,188 |
Boeing Capital Corp. | 2.900% | 8/15/18 | 3,390 | 3,457 |
Boeing Capital Corp. | 4.700% | 10/27/19 | 6,384 | 6,895 |
Boeing Co. | 0.950% | 5/15/18 | 4,886 | 4,865 |
Boeing Co. | 6.000% | 3/15/19 | 4,885 | 5,303 |
Boeing Co. | 4.875% | 2/15/20 | 10,640 | 11,567 |
Boeing Co. | 1.650% | 10/30/20 | 3,830 | 3,779 |
Boeing Co. | 8.750% | 8/15/21 | 1,800 | 2,271 |
Boeing Co. | 2.350% | 10/30/21 | 7,150 | 7,186 |
Boeing Co. | 2.125% | 3/1/22 | 650 | 645 |
13
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Carlisle Cos. Inc. | 5.125% | 12/15/20 | 900 | 963 |
Caterpillar Financial Services Corp. | 1.500% | 2/23/18 | 350 | 351 |
Caterpillar Financial Services Corp. | 1.300% | 3/1/18 | 4,260 | 4,253 |
Caterpillar Financial Services Corp. | 1.700% | 6/16/18 | 665 | 666 |
Caterpillar Financial Services Corp. | 2.450% | 9/6/18 | 8,300 | 8,397 |
Caterpillar Financial Services Corp. | 7.050% | 10/1/18 | 475 | 514 |
Caterpillar Financial Services Corp. | 1.800% | 11/13/18 | 9,040 | 9,063 |
Caterpillar Financial Services Corp. | 7.150% | 2/15/19 | 15,260 | 16,828 |
Caterpillar Financial Services Corp. | 1.350% | 5/18/19 | 6,625 | 6,559 |
Caterpillar Financial Services Corp. | 2.100% | 6/9/19 | 17,270 | 17,364 |
Caterpillar Financial Services Corp. | 2.250% | 12/1/19 | 3,652 | 3,683 |
Caterpillar Financial Services Corp. | 2.100% | 1/10/20 | 11,000 | 11,040 |
Caterpillar Financial Services Corp. | 2.000% | 3/5/20 | 4,575 | 4,598 |
Caterpillar Financial Services Corp. | 2.500% | 11/13/20 | 4,950 | 4,971 |
Caterpillar Financial Services Corp. | 1.700% | 8/9/21 | 12,361 | 12,024 |
Caterpillar Financial Services Corp. | 2.750% | 8/20/21 | 2,000 | 2,012 |
3 Caterpillar Financial Services Corp. | 1.931% | 10/1/21 | 9,006 | 8,754 |
Caterpillar Inc. | 7.900% | 12/15/18 | 10,411 | 11,532 |
Caterpillar Inc. | 3.900% | 5/27/21 | 9,595 | 10,249 |
Crane Co. | 2.750% | 12/15/18 | 4,050 | 4,111 |
CRH America Inc. | 8.125% | 7/15/18 | 8,100 | 8,786 |
CRH America Inc. | 5.750% | 1/15/21 | 3,159 | 3,491 |
Deere & Co. | 4.375% | 10/16/19 | 5,664 | 6,018 |
Dover Corp. | 5.450% | 3/15/18 | 4,260 | 4,414 |
Dover Corp. | 4.300% | 3/1/21 | 4,300 | 4,573 |
Eaton Corp. | 5.600% | 5/15/18 | 5,325 | 5,565 |
Eaton Corp. | 6.950% | 3/20/19 | 75 | 82 |
Eaton Electric Holdings LLC | 3.875% | 12/15/20 | 1,875 | 1,956 |
Emerson Electric Co. | 5.250% | 10/15/18 | 5,100 | 5,403 |
Emerson Electric Co. | 4.875% | 10/15/19 | 4,160 | 4,485 |
Emerson Electric Co. | 4.250% | 11/15/20 | 5,150 | 5,508 |
Emerson Electric Co. | 2.625% | 12/1/21 | 8,350 | 8,469 |
Exelis Inc. | 5.550% | 10/1/21 | 250 | 277 |
FLIR Systems Inc. | 3.125% | 6/15/21 | 4,010 | 4,026 |
3 Fortive Corp. | 1.800% | 6/15/19 | 4,650 | 4,628 |
3 Fortive Corp. | 2.350% | 6/15/21 | 8,100 | 8,017 |
Fortune Brands Home & Security Inc. | 3.000% | 6/15/20 | 3,490 | 3,522 |
General Dynamics Corp. | 3.875% | 7/15/21 | 3,153 | 3,345 |
General Electric Capital Corp. | 1.625% | 4/2/18 | 150 | 151 |
General Electric Capital Corp. | 5.625% | 5/1/18 | 28,228 | 29,608 |
General Electric Capital Corp. | 2.300% | 1/14/19 | 1,050 | 1,064 |
General Electric Capital Corp. | 6.000% | 8/7/19 | 16,959 | 18,697 |
General Electric Capital Corp. | 2.100% | 12/11/19 | 2,600 | 2,616 |
General Electric Capital Corp. | 5.500% | 1/8/20 | 14,324 | 15,747 |
General Electric Capital Corp. | 2.200% | 1/9/20 | 15,642 | 15,850 |
General Electric Capital Corp. | 5.550% | 5/4/20 | 10,239 | 11,383 |
General Electric Capital Corp. | 4.375% | 9/16/20 | 15,156 | 16,326 |
General Electric Capital Corp. | 4.625% | 1/7/21 | 13,095 | 14,314 |
General Electric Capital Corp. | 5.300% | 2/11/21 | 14,776 | 16,382 |
General Electric Capital Corp. | 4.650% | 10/17/21 | 15,661 | 17,243 |
Harris Corp. | 1.999% | 4/27/18 | 8,050 | 8,066 |
Harris Corp. | 2.700% | 4/27/20 | 3,950 | 3,979 |
Harris Corp. | 4.400% | 12/15/20 | 4,125 | 4,379 |
Honeywell International Inc. | 1.400% | 10/30/19 | 14,715 | 14,617 |
Honeywell International Inc. | 4.250% | 3/1/21 | 9,250 | 9,999 |
Honeywell International Inc. | 1.850% | 11/1/21 | 14,500 | 14,216 |
IDEX Corp. | 4.200% | 12/15/21 | 3,175 | 3,253 |
Illinois Tool Works Inc. | 1.950% | 3/1/19 | 9,475 | 9,559 |
Illinois Tool Works Inc. | 6.250% | 4/1/19 | 7,675 | 8,405 |
Illinois Tool Works Inc. | 3.375% | 9/15/21 | 3,377 | 3,538 |
Ingersoll-Rand Global Holding Co. Ltd. | 6.875% | 8/15/18 | 13,023 | 13,986 |
Ingersoll-Rand Global Holding Co. Ltd. | 2.875% | 1/15/19 | 3,700 | 3,765 |
Ingersoll-Rand Luxembourg Finance SA | 2.625% | 5/1/20 | 2,250 | 2,270 |
John Deere Capital Corp. | 1.300% | 3/12/18 | 9,521 | 9,512 |
14
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
John Deere Capital Corp. | 5.350% | 4/3/18 | 3,838 | 3,999 |
John Deere Capital Corp. | 1.600% | 7/13/18 | 3,679 | 3,682 |
John Deere Capital Corp. | 1.750% | 8/10/18 | 4,500 | 4,513 |
John Deere Capital Corp. | 5.750% | 9/10/18 | 4,769 | 5,068 |
John Deere Capital Corp. | 1.650% | 10/15/18 | 5,000 | 5,004 |
John Deere Capital Corp. | 1.950% | 12/13/18 | 10,066 | 10,111 |
John Deere Capital Corp. | 1.950% | 1/8/19 | 11,900 | 11,977 |
John Deere Capital Corp. | 1.950% | 3/4/19 | 6,950 | 6,983 |
John Deere Capital Corp. | 2.250% | 4/17/19 | 8,293 | 8,385 |
John Deere Capital Corp. | 2.300% | 9/16/19 | 2,925 | 2,962 |
John Deere Capital Corp. | 1.250% | 10/9/19 | 4,700 | 4,639 |
John Deere Capital Corp. | 1.700% | 1/15/20 | 5,721 | 5,677 |
John Deere Capital Corp. | 2.050% | 3/10/20 | 6,750 | 6,774 |
John Deere Capital Corp. | 2.375% | 7/14/20 | 6,615 | 6,661 |
John Deere Capital Corp. | 2.450% | 9/11/20 | 3,500 | 3,526 |
John Deere Capital Corp. | 2.550% | 1/8/21 | 5,200 | 5,247 |
John Deere Capital Corp. | 2.800% | 3/4/21 | 3,150 | 3,205 |
John Deere Capital Corp. | 3.900% | 7/12/21 | 7,398 | 7,851 |
John Deere Capital Corp. | 3.150% | 10/15/21 | 4,764 | 4,892 |
John Deere Capital Corp. | 2.650% | 1/6/22 | 4,250 | 4,273 |
Johnson Controls International plc | 5.000% | 3/30/20 | 4,950 | 5,260 |
Johnson Controls International plc | 4.250% | 3/1/21 | 4,214 | 4,466 |
Johnson Controls International plc | 3.750% | 12/1/21 | 5,396 | 5,609 |
Kennametal Inc. | 2.650% | 11/1/19 | 4,174 | 4,135 |
Kennametal Inc. | 3.875% | 2/15/22 | 3,450 | 3,425 |
L3 Technologies Inc. | 5.200% | 10/15/19 | 7,450 | 8,004 |
L3 Technologies Inc. | 4.750% | 7/15/20 | 8,834 | 9,457 |
L3 Technologies Inc. | 4.950% | 2/15/21 | 12,400 | 13,354 |
Lockheed Martin Corp. | 1.850% | 11/23/18 | 11,702 | 11,736 |
Lockheed Martin Corp. | 4.250% | 11/15/19 | 9,075 | 9,636 |
Lockheed Martin Corp. | 2.500% | 11/23/20 | 14,615 | 14,750 |
Lockheed Martin Corp. | 3.350% | 9/15/21 | 6,857 | 7,092 |
Martin Marietta Materials Inc. | 6.600% | 4/15/18 | 3,050 | 3,192 |
Masco Corp. | 7.125% | 3/15/20 | 6,610 | 7,519 |
Masco Corp. | 3.500% | 4/1/21 | 4,175 | 4,258 |
Northrop Grumman Corp. | 1.750% | 6/1/18 | 15,600 | 15,637 |
Northrop Grumman Corp. | 5.050% | 8/1/19 | 2,600 | 2,793 |
Northrop Grumman Corp. | 3.500% | 3/15/21 | 4,725 | 4,908 |
Owens Corning | 9.000% | 6/15/19 | 62 | 70 |
Parker-Hannifin Corp. | 5.500% | 5/15/18 | 4,818 | 5,049 |
Pentair Finance SA | 2.900% | 9/15/18 | 1,115 | 1,127 |
Pentair Finance SA | 2.650% | 12/1/19 | 750 | 753 |
Pentair Finance SA | 3.625% | 9/15/20 | 8,250 | 8,468 |
Pentair Finance SA | 5.000% | 5/15/21 | 4,520 | 4,785 |
Precision Castparts Corp. | 2.250% | 6/15/20 | 7,025 | 7,065 |
Raytheon Co. | 6.750% | 3/15/18 | 3,900 | 4,120 |
Raytheon Co. | 6.400% | 12/15/18 | 4,216 | 4,574 |
Raytheon Co. | 4.400% | 2/15/20 | 4,900 | 5,240 |
Raytheon Co. | 3.125% | 10/15/20 | 11,020 | 11,408 |
Republic Services Inc. | 3.800% | 5/15/18 | 12,601 | 12,912 |
Republic Services Inc. | 5.500% | 9/15/19 | 6,145 | 6,661 |
Republic Services Inc. | 5.000% | 3/1/20 | 9,567 | 10,360 |
Republic Services Inc. | 5.250% | 11/15/21 | 6,678 | 7,461 |
Rockwell Automation Inc. | 2.050% | 3/1/20 | 5,725 | 5,710 |
Rockwell Collins Inc. | 5.250% | 7/15/19 | 2,750 | 2,958 |
Rockwell Collins Inc. | 3.100% | 11/15/21 | 1,884 | 1,916 |
Roper Technologies Inc. | 2.050% | 10/1/18 | 14,566 | 14,632 |
Roper Technologies Inc. | 6.250% | 9/1/19 | 3,518 | 3,862 |
Roper Technologies Inc. | 3.000% | 12/15/20 | 8,928 | 9,095 |
Roper Technologies Inc. | 2.800% | 12/15/21 | 6,800 | 6,817 |
Snap-on Inc. | 6.125% | 9/1/21 | 3,000 | 3,462 |
Sonoco Products Co. | 4.375% | 11/1/21 | 1,255 | 1,319 |
Stanley Black & Decker Inc. | 1.622% | 11/17/18 | 5,200 | 5,190 |
Stanley Black & Decker Inc. | 2.451% | 11/17/18 | 5,713 | 5,777 |
15
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Stanley Black & Decker Inc. | 3.400% | 12/1/21 | 4,380 | 4,540 |
2 Stanley Black & Decker Inc. | 5.750% | 12/15/53 | 2,800 | 2,971 |
Textron Inc. | 7.250% | 10/1/19 | 1,875 | 2,105 |
Textron Inc. | 3.650% | 3/1/21 | 7,000 | 7,206 |
Textron Inc. | 5.950% | 9/21/21 | 1,250 | 1,396 |
United Technologies Corp. | 1.778% | 5/4/18 | 4,268 | 4,273 |
United Technologies Corp. | 1.500% | 11/1/19 | 8,200 | 8,145 |
United Technologies Corp. | 4.500% | 4/15/20 | 17,318 | 18,647 |
United Technologies Corp. | 1.950% | 11/1/21 | 12,300 | 12,076 |
Valmont Industries Inc. | 6.625% | 4/20/20 | 668 | 735 |
Vulcan Materials Co. | 7.000% | 6/15/18 | 1,000 | 1,063 |
Vulcan Materials Co. | 7.500% | 6/15/21 | 6,966 | 8,176 |
Waste Management Inc. | 6.100% | 3/15/18 | 9,327 | 9,760 |
Waste Management Inc. | 4.750% | 6/30/20 | 7,375 | 7,945 |
Waste Management Inc. | 4.600% | 3/1/21 | 3,127 | 3,381 |
Xylem Inc. | 4.875% | 10/1/21 | 5,800 | 6,299 |
Communication (6.3%) | ||||
21st Century Fox America Inc. | 7.250% | 5/18/18 | 1,040 | 1,107 |
21st Century Fox America Inc. | 8.250% | 8/10/18 | 3,780 | 4,117 |
21st Century Fox America Inc. | 6.900% | 3/1/19 | 5,825 | 6,366 |
21st Century Fox America Inc. | 5.650% | 8/15/20 | 5,950 | 6,564 |
21st Century Fox America Inc. | 4.500% | 2/15/21 | 8,778 | 9,388 |
3 Activision Blizzard Inc. | 2.300% | 9/15/21 | 9,420 | 9,216 |
America Movil SAB de CV | 5.000% | 10/16/19 | 8,725 | 9,309 |
America Movil SAB de CV | 5.000% | 3/30/20 | 24,105 | 25,830 |
American Tower Corp. | 3.400% | 2/15/19 | 10,260 | 10,490 |
American Tower Corp. | 2.800% | 6/1/20 | 13,700 | 13,738 |
American Tower Corp. | 5.050% | 9/1/20 | 7,851 | 8,438 |
American Tower Corp. | 3.300% | 2/15/21 | 17,847 | 18,088 |
American Tower Corp. | 3.450% | 9/15/21 | 1,800 | 1,836 |
American Tower Corp. | 5.900% | 11/1/21 | 4,075 | 4,564 |
American Tower Corp. | 2.250% | 1/15/22 | 3,250 | 3,125 |
AT&T Inc. | 5.600% | 5/15/18 | 11,813 | 12,359 |
AT&T Inc. | 2.375% | 11/27/18 | 19,176 | 19,344 |
AT&T Inc. | 5.800% | 2/15/19 | 25,208 | 27,057 |
AT&T Inc. | 2.300% | 3/11/19 | 19,449 | 19,557 |
AT&T Inc. | 5.875% | 10/1/19 | 8,443 | 9,212 |
AT&T Inc. | 5.200% | 3/15/20 | 15,940 | 17,224 |
AT&T Inc. | 2.450% | 6/30/20 | 29,525 | 29,582 |
AT&T Inc. | 4.600% | 2/15/21 | 10,450 | 11,106 |
AT&T Inc. | 2.800% | 2/17/21 | 11,045 | 11,043 |
AT&T Inc. | 5.000% | 3/1/21 | 20,495 | 22,136 |
AT&T Inc. | 4.450% | 5/15/21 | 16,415 | 17,404 |
AT&T Inc. | 3.875% | 8/15/21 | 12,425 | 12,930 |
AT&T Inc. | 3.000% | 2/15/22 | 23,455 | 23,375 |
AT&T Inc. | 3.200% | 3/1/22 | 4,000 | 4,023 |
British Telecommunications plc | 2.350% | 2/14/19 | 9,215 | 9,259 |
CBS Corp. | 4.625% | 5/15/18 | 1,525 | 1,576 |
CBS Corp. | 2.300% | 8/15/19 | 5,200 | 5,219 |
CBS Corp. | 5.750% | 4/15/20 | 7,760 | 8,531 |
CBS Corp. | 4.300% | 2/15/21 | 3,475 | 3,677 |
Charter Communications Operating LLC / Charter | ||||
Communications Operating Capital | 3.579% | 7/23/20 | 21,800 | 22,396 |
Comcast Corp. | 5.700% | 5/15/18 | 19,035 | 19,996 |
Comcast Corp. | 5.700% | 7/1/19 | 8,127 | 8,850 |
Comcast Corp. | 5.150% | 3/1/20 | 13,701 | 14,933 |
Comcast Corp. | 1.625% | 1/15/22 | 6,550 | 6,285 |
Crown Castle International Corp. | 3.400% | 2/15/21 | 13,978 | 14,250 |
Crown Castle International Corp. | 2.250% | 9/1/21 | 13,328 | 12,957 |
Deutsche Telekom International Finance BV | 6.750% | 8/20/18 | 19,006 | 20,334 |
Deutsche Telekom International Finance BV | 6.000% | 7/8/19 | 5,075 | 5,524 |
Discovery Communications LLC | 5.625% | 8/15/19 | 3,035 | 3,310 |
Discovery Communications LLC | 5.050% | 6/1/20 | 12,990 | 14,148 |
16
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Discovery Communications LLC | 4.375% | 6/15/21 | 5,800 | 6,119 |
Electronic Arts Inc. | 3.700% | 3/1/21 | 8,050 | 8,342 |
Grupo Televisa SAB | 6.000% | 5/15/18 | 5,365 | 5,614 |
GTE Corp. | 6.840% | 4/15/18 | 2 | 2 |
Historic TW Inc. | 6.875% | 6/15/18 | 9,359 | 9,961 |
Moody's Corp. | 2.750% | 7/15/19 | 7,415 | 7,517 |
Moody's Corp. | 5.500% | 9/1/20 | 5,650 | 6,186 |
Moody's Corp. | 2.750% | 12/15/21 | 4,000 | 3,994 |
NBCUniversal Media LLC | 5.150% | 4/30/20 | 24,203 | 26,456 |
NBCUniversal Media LLC | 4.375% | 4/1/21 | 17,685 | 19,059 |
Omnicom Group Inc. | 6.250% | 7/15/19 | 4,960 | 5,435 |
Omnicom Group Inc. | 4.450% | 8/15/20 | 11,200 | 11,960 |
Orange SA | 2.750% | 2/6/19 | 16,545 | 16,746 |
Orange SA | 5.375% | 7/8/19 | 12,035 | 12,902 |
Orange SA | 1.625% | 11/3/19 | 15,375 | 15,112 |
Orange SA | 4.125% | 9/14/21 | 9,075 | 9,584 |
Qwest Corp. | 6.750% | 12/1/21 | 10,370 | 11,489 |
RELX Capital Inc. | 8.625% | 1/15/19 | 985 | 1,098 |
Rogers Communications Inc. | 6.800% | 8/15/18 | 13,715 | 14,705 |
S&P Global Inc. | 2.500% | 8/15/18 | 4,274 | 4,307 |
S&P Global Inc. | 3.300% | 8/14/20 | 7,532 | 7,725 |
Scripps Networks Interactive Inc. | 2.750% | 11/15/19 | 3,493 | 3,540 |
Scripps Networks Interactive Inc. | 2.800% | 6/15/20 | 6,700 | 6,744 |
Telefonica Emisiones SAU | 3.192% | 4/27/18 | 16,090 | 16,331 |
Telefonica Emisiones SAU | 5.877% | 7/15/19 | 7,261 | 7,868 |
Telefonica Emisiones SAU | 5.134% | 4/27/20 | 16,175 | 17,377 |
Telefonica Emisiones SAU | 5.462% | 2/16/21 | 18,607 | 20,540 |
Telefonos de Mexico SAB de CV | 5.500% | 11/15/19 | 1,750 | 1,891 |
Thomson Reuters Corp. | 6.500% | 7/15/18 | 10,505 | 11,167 |
Thomson Reuters Corp. | 4.700% | 10/15/19 | 4,575 | 4,848 |
Thomson Reuters Corp. | 3.950% | 9/30/21 | 3,577 | 3,724 |
Time Warner Cable LLC | 6.750% | 7/1/18 | 21,927 | 23,276 |
Time Warner Cable LLC | 8.750% | 2/14/19 | 15,975 | 17,946 |
Time Warner Cable LLC | 8.250% | 4/1/19 | 15,532 | 17,366 |
Time Warner Cable LLC | 5.000% | 2/1/20 | 13,816 | 14,732 |
Time Warner Cable LLC | 4.125% | 2/15/21 | 5,500 | 5,724 |
Time Warner Cable LLC | 4.000% | 9/1/21 | 15,850 | 16,427 |
Time Warner Inc. | 2.100% | 6/1/19 | 6,410 | 6,424 |
Time Warner Inc. | 4.875% | 3/15/20 | 12,199 | 13,089 |
Time Warner Inc. | 4.700% | 1/15/21 | 9,025 | 9,685 |
Time Warner Inc. | 4.750% | 3/29/21 | 9,727 | 10,462 |
Time Warner Inc. | 4.000% | 1/15/22 | 5,200 | 5,425 |
Verizon Communications Inc. | 6.100% | 4/15/18 | 7,869 | 8,262 |
Verizon Communications Inc. | 3.650% | 9/14/18 | 34,231 | 35,252 |
Verizon Communications Inc. | 1.375% | 8/15/19 | 12,325 | 12,154 |
Verizon Communications Inc. | 2.625% | 2/21/20 | 28,326 | 28,679 |
Verizon Communications Inc. | 4.500% | 9/15/20 | 42,885 | 45,800 |
Verizon Communications Inc. | 3.450% | 3/15/21 | 12,318 | 12,667 |
Verizon Communications Inc. | 4.600% | 4/1/21 | 7,375 | 7,911 |
Verizon Communications Inc. | 1.750% | 8/15/21 | 17,515 | 16,768 |
Verizon Communications Inc. | 3.000% | 11/1/21 | 14,030 | 14,149 |
Verizon Communications Inc. | 3.500% | 11/1/21 | 23,063 | 23,708 |
Viacom Inc. | 2.500% | 9/1/18 | 5,155 | 5,189 |
Viacom Inc. | 2.200% | 4/1/19 | 5,100 | 5,096 |
Viacom Inc. | 5.625% | 9/15/19 | 6,150 | 6,619 |
Viacom Inc. | 2.750% | 12/15/19 | 3,100 | 3,122 |
Viacom Inc. | 3.875% | 12/15/21 | 6,514 | 6,732 |
Viacom Inc. | 2.250% | 2/4/22 | 8,000 | 7,680 |
Vodafone Group plc | 4.625% | 7/15/18 | 9,575 | 9,908 |
Vodafone Group plc | 5.450% | 6/10/19 | 12,045 | 12,940 |
Vodafone Group plc | 4.375% | 3/16/21 | 7,149 | 7,628 |
Walt Disney Co. | 1.500% | 9/17/18 | 15,343 | 15,371 |
Walt Disney Co. | 1.650% | 1/8/19 | 4,625 | 4,639 |
Walt Disney Co. | 5.500% | 3/15/19 | 2,180 | 2,350 |
17
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Walt Disney Co. | 1.850% | 5/30/19 | 8,523 | 8,562 |
Walt Disney Co. | 0.875% | 7/12/19 | 6,950 | 6,834 |
Walt Disney Co. | 2.150% | 9/17/20 | 7,500 | 7,549 |
Walt Disney Co. | 2.300% | 2/12/21 | 8,055 | 8,120 |
Walt Disney Co. | 3.750% | 6/1/21 | 2,575 | 2,739 |
Walt Disney Co. | 2.750% | 8/16/21 | 7,566 | 7,708 |
Walt Disney Co. | 2.550% | 2/15/22 | 725 | 732 |
WPP Finance 2010 | 4.750% | 11/21/21 | 8,227 | 8,884 |
Consumer Cyclical (7.9%) | ||||
Advance Auto Parts Inc. | 5.750% | 5/1/20 | 2,175 | 2,370 |
Advance Auto Parts Inc. | 4.500% | 1/15/22 | 4,050 | 4,292 |
Alibaba Group Holding Ltd. | 2.500% | 11/28/19 | 22,550 | 22,681 |
Alibaba Group Holding Ltd. | 3.125% | 11/28/21 | 16,000 | 16,169 |
Amazon.com Inc. | 2.600% | 12/5/19 | 16,879 | 17,236 |
Amazon.com Inc. | 3.300% | 12/5/21 | 3,905 | 4,065 |
American Honda Finance Corp. | 1.500% | 3/13/18 | 8,367 | 8,379 |
American Honda Finance Corp. | 1.600% | 7/13/18 | 13,098 | 13,117 |
American Honda Finance Corp. | 2.125% | 10/10/18 | 12,143 | 12,252 |
American Honda Finance Corp. | 1.700% | 2/22/19 | 1,608 | 1,608 |
American Honda Finance Corp. | 1.200% | 7/12/19 | 9,939 | 9,794 |
American Honda Finance Corp. | 2.250% | 8/15/19 | 13,544 | 13,662 |
American Honda Finance Corp. | 2.000% | 2/14/20 | 10,850 | 10,853 |
American Honda Finance Corp. | 2.150% | 3/13/20 | 1,850 | 1,849 |
American Honda Finance Corp. | 2.450% | 9/24/20 | 12,800 | 12,892 |
American Honda Finance Corp. | 1.650% | 7/12/21 | 6,750 | 6,533 |
American Honda Finance Corp. | 1.700% | 9/9/21 | 12,463 | 12,080 |
Automatic Data Processing Inc. | 2.250% | 9/15/20 | 10,175 | 10,262 |
AutoNation Inc. | 6.750% | 4/15/18 | 2,725 | 2,868 |
AutoNation Inc. | 5.500% | 2/1/20 | 3,413 | 3,670 |
AutoNation Inc. | 3.350% | 1/15/21 | 4,650 | 4,700 |
AutoZone Inc. | 7.125% | 8/1/18 | 2,515 | 2,702 |
AutoZone Inc. | 1.625% | 4/21/19 | 8,290 | 8,224 |
AutoZone Inc. | 4.000% | 11/15/20 | 2,484 | 2,611 |
AutoZone Inc. | 2.500% | 4/15/21 | 1,625 | 1,618 |
Best Buy Co. Inc. | 5.000% | 8/1/18 | 4,341 | 4,525 |
Best Buy Co. Inc. | 5.500% | 3/15/21 | 7,875 | 8,554 |
Block Financial LLC | 4.125% | 10/1/20 | 14,848 | 15,093 |
BorgWarner Inc. | 4.625% | 9/15/20 | 575 | 615 |
Carnival Corp. | 3.950% | 10/15/20 | 6,795 | 7,168 |
Costco Wholesale Corp. | 1.700% | 12/15/19 | 14,429 | 14,433 |
Costco Wholesale Corp. | 1.750% | 2/15/20 | 4,085 | 4,079 |
Costco Wholesale Corp. | 2.250% | 2/15/22 | 4,025 | 4,003 |
CVS Health Corp. | 1.900% | 7/20/18 | 26,432 | 26,544 |
CVS Health Corp. | 2.250% | 12/5/18 | 19,154 | 19,333 |
CVS Health Corp. | 2.250% | 8/12/19 | 10,275 | 10,344 |
CVS Health Corp. | 2.800% | 7/20/20 | 33,010 | 33,491 |
CVS Health Corp. | 2.125% | 6/1/21 | 18,650 | 18,307 |
Delphi Automotive plc | 3.150% | 11/19/20 | 4,050 | 4,131 |
Dollar General Corp. | 1.875% | 4/15/18 | 2,865 | 2,870 |
DR Horton Inc. | 3.750% | 3/1/19 | 7,995 | 8,195 |
DR Horton Inc. | 4.000% | 2/15/20 | 3,200 | 3,320 |
eBay Inc. | 2.500% | 3/9/18 | 4,725 | 4,767 |
eBay Inc. | 2.200% | 8/1/19 | 13,570 | 13,637 |
eBay Inc. | 3.250% | 10/15/20 | 5,935 | 6,121 |
eBay Inc. | 2.875% | 8/1/21 | 7,109 | 7,185 |
Expedia Inc. | 7.456% | 8/15/18 | 4,280 | 4,585 |
Expedia Inc. | 5.950% | 8/15/20 | 7,550 | 8,306 |
Ford Motor Co. | 6.500% | 8/1/18 | 850 | 903 |
Ford Motor Credit Co. LLC | 5.000% | 5/15/18 | 27,885 | 28,910 |
Ford Motor Credit Co. LLC | 2.240% | 6/15/18 | 6,325 | 6,353 |
Ford Motor Credit Co. LLC | 2.875% | 10/1/18 | 13,433 | 13,614 |
Ford Motor Credit Co. LLC | 2.551% | 10/5/18 | 9,491 | 9,569 |
Ford Motor Credit Co. LLC | 2.943% | 1/8/19 | 2,250 | 2,280 |
18
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Ford Motor Credit Co. LLC | 2.375% | 3/12/19 | 21,282 | 21,362 |
Ford Motor Credit Co. LLC | 2.021% | 5/3/19 | 12,200 | 12,120 |
Ford Motor Credit Co. LLC | 1.897% | 8/12/19 | 9,900 | 9,793 |
Ford Motor Credit Co. LLC | 2.597% | 11/4/19 | 15,477 | 15,602 |
Ford Motor Credit Co. LLC | 2.681% | 1/9/20 | 13,500 | 13,619 |
Ford Motor Credit Co. LLC | 8.125% | 1/15/20 | 12,175 | 14,033 |
Ford Motor Credit Co. LLC | 2.459% | 3/27/20 | 6,093 | 6,048 |
Ford Motor Credit Co. LLC | 3.157% | 8/4/20 | 17,507 | 17,830 |
Ford Motor Credit Co. LLC | 3.200% | 1/15/21 | 16,818 | 17,092 |
Ford Motor Credit Co. LLC | 5.750% | 2/1/21 | 12,310 | 13,569 |
Ford Motor Credit Co. LLC | 3.336% | 3/18/21 | 20,625 | 20,988 |
Ford Motor Credit Co. LLC | 5.875% | 8/2/21 | 16,452 | 18,320 |
Ford Motor Credit Co. LLC | 3.219% | 1/9/22 | 17,340 | 17,415 |
General Motors Co. | 3.500% | 10/2/18 | 18,013 | 18,417 |
General Motors Financial Co. Inc. | 2.400% | 4/10/18 | 3,000 | 3,019 |
General Motors Financial Co. Inc. | 3.250% | 5/15/18 | 7,002 | 7,115 |
General Motors Financial Co. Inc. | 6.750% | 6/1/18 | 11,340 | 12,025 |
General Motors Financial Co. Inc. | 3.100% | 1/15/19 | 13,438 | 13,678 |
General Motors Financial Co. Inc. | 2.400% | 5/9/19 | 11,845 | 11,926 |
General Motors Financial Co. Inc. | 3.500% | 7/10/19 | 15,597 | 16,013 |
General Motors Financial Co. Inc. | 2.350% | 10/4/19 | 9,675 | 9,673 |
General Motors Financial Co. Inc. | 3.150% | 1/15/20 | 9,641 | 9,827 |
General Motors Financial Co. Inc. | 3.200% | 7/13/20 | 20,690 | 21,081 |
General Motors Financial Co. Inc. | 3.700% | 11/24/20 | 16,564 | 17,144 |
General Motors Financial Co. Inc. | 4.200% | 3/1/21 | 19,028 | 19,929 |
General Motors Financial Co. Inc. | 3.200% | 7/6/21 | 16,725 | 16,904 |
General Motors Financial Co. Inc. | 4.375% | 9/25/21 | 11,400 | 12,006 |
General Motors Financial Co. Inc. | 3.450% | 1/14/22 | 13,500 | 13,662 |
Home Depot Inc. | 2.250% | 9/10/18 | 9,755 | 9,869 |
Home Depot Inc. | 2.000% | 6/15/19 | 18,855 | 19,003 |
Home Depot Inc. | 3.950% | 9/15/20 | 3,000 | 3,190 |
Home Depot Inc. | 2.000% | 4/1/21 | 14,301 | 14,231 |
Home Depot Inc. | 4.400% | 4/1/21 | 12,605 | 13,704 |
Hyatt Hotels Corp. | 5.375% | 8/15/21 | 2,125 | 2,332 |
Kohl's Corp. | 4.000% | 11/1/21 | 7,145 | 7,210 |
Lowe's Cos. Inc. | 1.150% | 4/15/19 | 4,000 | 3,955 |
Lowe's Cos. Inc. | 4.625% | 4/15/20 | 6,325 | 6,767 |
Lowe's Cos. Inc. | 3.750% | 4/15/21 | 4,443 | 4,683 |
Lowe's Cos. Inc. | 3.800% | 11/15/21 | 9,248 | 9,818 |
Macy's Retail Holdings Inc. | 3.450% | 1/15/21 | 4,700 | 4,724 |
Macy's Retail Holdings Inc. | 3.875% | 1/15/22 | 4,950 | 4,913 |
Marriott International Inc. | 6.750% | 5/15/18 | 1,810 | 1,916 |
Marriott International Inc. | 3.000% | 3/1/19 | 8,888 | 9,056 |
Marriott International Inc. | 3.375% | 10/15/20 | 5,475 | 5,628 |
Marriott International Inc. | 2.875% | 3/1/21 | 3,900 | 3,940 |
Marriott International Inc. | 3.125% | 10/15/21 | 2,250 | 2,284 |
Marriott International Inc. | 2.300% | 1/15/22 | 9,865 | 9,622 |
Mastercard Inc. | 2.000% | 4/1/19 | 6,015 | 6,063 |
Mastercard Inc. | 2.000% | 11/21/21 | 7,475 | 7,421 |
McDonald's Corp. | 5.350% | 3/1/18 | 13,180 | 13,670 |
McDonald's Corp. | 2.100% | 12/7/18 | 6,870 | 6,922 |
McDonald's Corp. | 5.000% | 2/1/19 | 7,035 | 7,438 |
McDonald's Corp. | 1.875% | 5/29/19 | 7,134 | 7,132 |
McDonald's Corp. | 2.200% | 5/26/20 | 5,435 | 5,444 |
McDonald's Corp. | 3.500% | 7/15/20 | 4,350 | 4,534 |
McDonald's Corp. | 2.750% | 12/9/20 | 14,481 | 14,726 |
McDonald's Corp. | 3.625% | 5/20/21 | 3,946 | 4,114 |
McDonald's Corp. | 2.625% | 1/15/22 | 5,366 | 5,371 |
Nordstrom Inc. | 4.750% | 5/1/20 | 5,695 | 6,059 |
Nordstrom Inc. | 4.000% | 10/15/21 | 5,900 | 6,128 |
O'Reilly Automotive Inc. | 4.875% | 1/14/21 | 3,837 | 4,133 |
O'Reilly Automotive Inc. | 4.625% | 9/15/21 | 1,846 | 1,978 |
PACCAR Financial Corp. | 1.450% | 3/9/18 | 3,463 | 3,466 |
PACCAR Financial Corp. | 1.400% | 5/18/18 | 3,750 | 3,749 |
19
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
PACCAR Financial Corp. | 1.750% | 8/14/18 | 2,790 | 2,797 |
PACCAR Financial Corp. | 1.650% | 2/25/19 | 1,000 | 999 |
PACCAR Financial Corp. | 1.300% | 5/10/19 | 8,850 | 8,772 |
PACCAR Financial Corp. | 1.200% | 8/12/19 | 4,390 | 4,325 |
PACCAR Financial Corp. | 2.200% | 9/15/19 | 1,850 | 1,865 |
PACCAR Financial Corp. | 2.500% | 8/14/20 | 3,000 | 3,026 |
PACCAR Financial Corp. | 2.250% | 2/25/21 | 2,680 | 2,665 |
QVC Inc. | 3.125% | 4/1/19 | 2,250 | 2,279 |
Ralph Lauren Corp. | 2.125% | 9/26/18 | 2,925 | 2,949 |
Ralph Lauren Corp. | 2.625% | 8/18/20 | 3,400 | 3,433 |
Staples Inc. | 2.750% | 1/12/18 | 2,925 | 2,944 |
Starbucks Corp. | 2.000% | 12/5/18 | 4,245 | 4,284 |
Starbucks Corp. | 2.100% | 2/4/21 | 11,814 | 11,794 |
Target Corp. | 6.000% | 1/15/18 | 12,223 | 12,707 |
Target Corp. | 2.300% | 6/26/19 | 9,925 | 10,073 |
Target Corp. | 3.875% | 7/15/20 | 9,675 | 10,253 |
Target Corp. | 2.900% | 1/15/22 | 11,370 | 11,595 |
TJX Cos. Inc. | 2.750% | 6/15/21 | 8,985 | 9,180 |
Toyota Motor Credit Corp. | 1.200% | 4/6/18 | 13,354 | 13,320 |
Toyota Motor Credit Corp. | 1.550% | 7/13/18 | 13,770 | 13,790 |
Toyota Motor Credit Corp. | 2.000% | 10/24/18 | 11,105 | 11,178 |
Toyota Motor Credit Corp. | 1.700% | 1/9/19 | 12,000 | 12,025 |
Toyota Motor Credit Corp. | 2.100% | 1/17/19 | 17,354 | 17,480 |
Toyota Motor Credit Corp. | 1.700% | 2/19/19 | 6,500 | 6,506 |
Toyota Motor Credit Corp. | 1.400% | 5/20/19 | 12,350 | 12,253 |
Toyota Motor Credit Corp. | 2.125% | 7/18/19 | 10,660 | 10,737 |
Toyota Motor Credit Corp. | 1.550% | 10/18/19 | 13,625 | 13,537 |
Toyota Motor Credit Corp. | 2.150% | 3/12/20 | 14,534 | 14,573 |
Toyota Motor Credit Corp. | 4.500% | 6/17/20 | 2,250 | 2,410 |
Toyota Motor Credit Corp. | 4.250% | 1/11/21 | 4,875 | 5,223 |
Toyota Motor Credit Corp. | 1.900% | 4/8/21 | 12,028 | 11,817 |
Toyota Motor Credit Corp. | 2.750% | 5/17/21 | 5,859 | 5,933 |
Toyota Motor Credit Corp. | 3.400% | 9/15/21 | 11,582 | 12,045 |
Toyota Motor Credit Corp. | 2.600% | 1/11/22 | 11,925 | 11,973 |
Toyota Motor Credit Corp. | 3.300% | 1/12/22 | 17,967 | 18,678 |
VF Corp. | 3.500% | 9/1/21 | 3,250 | 3,389 |
Visa Inc. | 2.200% | 12/14/20 | 42,060 | 42,274 |
Wal-Mart Stores Inc. | 5.800% | 2/15/18 | 5,487 | 5,724 |
Wal-Mart Stores Inc. | 1.125% | 4/11/18 | 17,678 | 17,670 |
Wal-Mart Stores Inc. | 1.950% | 12/15/18 | 15,989 | 16,141 |
Wal-Mart Stores Inc. | 4.125% | 2/1/19 | 2,600 | 2,725 |
Wal-Mart Stores Inc. | 3.625% | 7/8/20 | 16,203 | 17,111 |
Wal-Mart Stores Inc. | 3.250% | 10/25/20 | 14,607 | 15,293 |
Wal-Mart Stores Inc. | 4.250% | 4/15/21 | 6,725 | 7,294 |
Walgreen Co. | 5.250% | 1/15/19 | 1,352 | 1,428 |
Walgreens Boots Alliance Inc. | 1.750% | 5/30/18 | 16,250 | 16,280 |
Walgreens Boots Alliance Inc. | 2.700% | 11/18/19 | 17,767 | 18,042 |
Walgreens Boots Alliance Inc. | 2.600% | 6/1/21 | 21,593 | 21,554 |
Walgreens Boots Alliance Inc. | 3.300% | 11/18/21 | 12,200 | 12,470 |
Western Union Co. | 2.875% | 12/10/17 | 2,002 | 2,019 |
Western Union Co. | 3.650% | 8/22/18 | 4,190 | 4,292 |
Western Union Co. | 5.253% | 4/1/20 | 2,575 | 2,767 |
Wyndham Worldwide Corp. | 2.500% | 3/1/18 | 2,851 | 2,869 |
Wyndham Worldwide Corp. | 5.625% | 3/1/21 | 250 | 274 |
Consumer Noncyclical (14.4%) | ||||
Abbott Laboratories | 5.125% | 4/1/19 | 10,455 | 11,097 |
Abbott Laboratories | 2.350% | 11/22/19 | 29,605 | 29,723 |
Abbott Laboratories | 2.000% | 3/15/20 | 11,375 | 11,316 |
Abbott Laboratories | 4.125% | 5/27/20 | 6,240 | 6,573 |
Abbott Laboratories | 2.900% | 11/30/21 | 41,020 | 41,100 |
AbbVie Inc. | 1.800% | 5/14/18 | 31,444 | 31,515 |
AbbVie Inc. | 2.000% | 11/6/18 | 14,713 | 14,786 |
AbbVie Inc. | 2.500% | 5/14/20 | 48,095 | 48,347 |
20
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
AbbVie Inc. | 2.300% | 5/14/21 | 15,352 | 15,131 |
Actavis Funding SCS | 2.350% | 3/12/18 | 30,733 | 30,923 |
Actavis Funding SCS | 2.450% | 6/15/19 | 8,959 | 9,007 |
Actavis Funding SCS | 3.000% | 3/12/20 | 36,178 | 36,797 |
Actavis Inc. | 6.125% | 8/15/19 | 1,050 | 1,146 |
Agilent Technologies Inc. | 5.000% | 7/15/20 | 4,475 | 4,842 |
Allergan Inc. | 1.350% | 3/15/18 | 4,372 | 4,361 |
Allergan Inc. | 3.375% | 9/15/20 | 10,693 | 10,961 |
Altria Group Inc. | 9.700% | 11/10/18 | 2,275 | 2,573 |
Altria Group Inc. | 9.250% | 8/6/19 | 8,497 | 9,979 |
Altria Group Inc. | 2.625% | 1/14/20 | 16,240 | 16,449 |
Altria Group Inc. | 4.750% | 5/5/21 | 22,623 | 24,557 |
AmerisourceBergen Corp. | 4.875% | 11/15/19 | 2,650 | 2,836 |
AmerisourceBergen Corp. | 3.500% | 11/15/21 | 7,025 | 7,260 |
Amgen Inc. | 6.150% | 6/1/18 | 7,550 | 7,973 |
Amgen Inc. | 5.700% | 2/1/19 | 7,326 | 7,866 |
Amgen Inc. | 2.200% | 5/22/19 | 20,033 | 20,198 |
Amgen Inc. | 4.500% | 3/15/20 | 1,900 | 2,020 |
Amgen Inc. | 2.125% | 5/1/20 | 12,918 | 12,916 |
Amgen Inc. | 3.450% | 10/1/20 | 11,162 | 11,636 |
Amgen Inc. | 4.100% | 6/15/21 | 8,347 | 8,818 |
Amgen Inc. | 1.850% | 8/19/21 | 8,078 | 7,833 |
Amgen Inc. | 3.875% | 11/15/21 | 16,153 | 17,040 |
Anheuser-Busch Cos. LLC | 5.000% | 3/1/19 | 5,156 | 5,472 |
Anheuser-Busch InBev Finance Inc. | 1.900% | 2/1/19 | 51,938 | 52,076 |
Anheuser-Busch InBev Finance Inc. | 2.150% | 2/1/19 | 21,884 | 22,065 |
Anheuser-Busch InBev Finance Inc. | 2.650% | 2/1/21 | 96,292 | 97,311 |
Anheuser-Busch InBev Worldwide Inc. | 6.500% | 7/15/18 | 1,100 | 1,173 |
Anheuser-Busch InBev Worldwide Inc. | 2.200% | 8/1/18 | 1,100 | 1,108 |
Anheuser-Busch InBev Worldwide Inc. | 7.750% | 1/15/19 | 19,585 | 21,688 |
Anheuser-Busch InBev Worldwide Inc. | 6.875% | 11/15/19 | 13,859 | 15,603 |
Anheuser-Busch InBev Worldwide Inc. | 5.375% | 1/15/20 | 31,975 | 34,911 |
Anheuser-Busch InBev Worldwide Inc. | 5.000% | 4/15/20 | 9,300 | 10,066 |
Anheuser-Busch InBev Worldwide Inc. | 4.375% | 2/15/21 | 3,600 | 3,853 |
Anheuser-Busch InBev Worldwide Inc. | 3.750% | 1/15/22 | 15,275 | 16,091 |
Archer-Daniels-Midland Co. | 5.450% | 3/15/18 | 5,757 | 5,994 |
Archer-Daniels-Midland Co. | 4.479% | 3/1/21 | 6,383 | 6,922 |
AstraZeneca plc | 1.750% | 11/16/18 | 15,264 | 15,300 |
AstraZeneca plc | 1.950% | 9/18/19 | 8,252 | 8,238 |
AstraZeneca plc | 2.375% | 11/16/20 | 14,125 | 14,155 |
Baptist Health South Florida Obligated Group Revenue | 4.590% | 8/15/21 | 1,250 | 1,349 |
Baxalta Inc. | 2.000% | 6/22/18 | 3,800 | 3,809 |
Baxalta Inc. | 2.875% | 6/23/20 | 7,950 | 8,027 |
Baxter International Inc. | 1.700% | 8/15/21 | 4,350 | 4,198 |
Beam Suntory Inc. | 1.750% | 6/15/18 | 2,725 | 2,718 |
Becton Dickinson & Co. | 5.000% | 5/15/19 | 1,850 | 1,968 |
Becton Dickinson & Co. | 2.675% | 12/15/19 | 16,267 | 16,519 |
Becton Dickinson & Co. | 3.250% | 11/12/20 | 9,250 | 9,536 |
Becton Dickinson & Co. | 3.125% | 11/8/21 | 13,420 | 13,743 |
Bio-Rad Laboratories Inc. | 4.875% | 12/15/20 | 3,900 | 4,173 |
Biogen Inc. | 6.875% | 3/1/18 | 8,398 | 8,840 |
Biogen Inc. | 2.900% | 9/15/20 | 18,900 | 19,225 |
Boston Scientific Corp. | 2.650% | 10/1/18 | 8,860 | 8,969 |
Boston Scientific Corp. | 6.000% | 1/15/20 | 9,434 | 10,375 |
Boston Scientific Corp. | 2.850% | 5/15/20 | 4,071 | 4,125 |
Bristol-Myers Squibb Co. | 1.600% | 2/27/19 | 7,500 | 7,492 |
Bristol-Myers Squibb Co. | 1.750% | 3/1/19 | 3,940 | 3,945 |
Bunge Ltd. Finance Corp. | 8.500% | 6/15/19 | 7,350 | 8,378 |
Bunge Ltd. Finance Corp. | 3.500% | 11/24/20 | 4,315 | 4,369 |
Campbell Soup Co. | 4.500% | 2/15/19 | 1,660 | 1,742 |
Campbell Soup Co. | 4.250% | 4/15/21 | 2,360 | 2,513 |
Cardinal Health Inc. | 1.700% | 3/15/18 | 8,660 | 8,670 |
Cardinal Health Inc. | 1.950% | 6/15/18 | 6,600 | 6,618 |
Cardinal Health Inc. | 2.400% | 11/15/19 | 1,140 | 1,149 |
21
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Cardinal Health Inc. | 4.625% | 12/15/20 | 6,550 | 7,054 |
Celgene Corp. | 2.125% | 8/15/18 | 9,222 | 9,269 |
Celgene Corp. | 2.300% | 8/15/18 | 6,825 | 6,883 |
Celgene Corp. | 2.250% | 5/15/19 | 6,574 | 6,602 |
Celgene Corp. | 2.875% | 8/15/20 | 15,355 | 15,585 |
Celgene Corp. | 3.950% | 10/15/20 | 8,400 | 8,822 |
Church & Dwight Co. Inc. | 2.450% | 12/15/19 | 3,325 | 3,355 |
Clorox Co. | 3.800% | 11/15/21 | 1,000 | 1,054 |
Coca-Cola Co. | 1.650% | 3/14/18 | 6,834 | 6,859 |
Coca-Cola Co. | 1.150% | 4/1/18 | 18,917 | 18,895 |
Coca-Cola Co. | 1.650% | 11/1/18 | 13,652 | 13,726 |
Coca-Cola Co. | 1.375% | 5/30/19 | 8,250 | 8,226 |
Coca-Cola Co. | 1.875% | 10/27/20 | 11,900 | 11,898 |
Coca-Cola Co. | 2.450% | 11/1/20 | 16,074 | 16,346 |
Coca-Cola Co. | 3.150% | 11/15/20 | 7,427 | 7,741 |
Coca-Cola Co. | 1.550% | 9/1/21 | 8,000 | 7,821 |
Coca-Cola Co. | 3.300% | 9/1/21 | 15,864 | 16,604 |
Coca-Cola Enterprises Inc. | 3.500% | 9/15/20 | 4,575 | 4,726 |
Coca-Cola Enterprises Inc. | 3.250% | 8/19/21 | 674 | 686 |
Coca-Cola Enterprises Inc. | 4.500% | 9/1/21 | 4,925 | 5,267 |
Coca-Cola Femsa SAB de CV | 2.375% | 11/26/18 | 12,794 | 12,839 |
Coca-Cola Femsa SAB de CV | 4.625% | 2/15/20 | 2,175 | 2,294 |
Coca-Cola Refreshments USA Inc. | 8.500% | 2/1/22 | 2,475 | 3,147 |
Colgate-Palmolive Co. | 0.900% | 5/1/18 | 3,900 | 3,885 |
Colgate-Palmolive Co. | 1.500% | 11/1/18 | 3,425 | 3,435 |
Colgate-Palmolive Co. | 1.750% | 3/15/19 | 8,969 | 9,005 |
Colgate-Palmolive Co. | 2.950% | 11/1/20 | 830 | 858 |
Colgate-Palmolive Co. | 2.450% | 11/15/21 | 7,070 | 7,169 |
Constellation Brands Inc. | 3.875% | 11/15/19 | 12,675 | 13,245 |
Constellation Brands Inc. | 3.750% | 5/1/21 | 3,963 | 4,112 |
Covidien International Finance SA | 4.200% | 6/15/20 | 8,975 | 9,554 |
CR Bard Inc. | 4.400% | 1/15/21 | 5,143 | 5,527 |
Danaher Corp. | 1.650% | 9/15/18 | 10,971 | 10,978 |
Danaher Corp. | 2.400% | 9/15/20 | 4,219 | 4,259 |
Dentsply Sirona Inc. | 4.125% | 8/15/21 | 1,675 | 1,737 |
Diageo Capital plc | 1.125% | 4/29/18 | 8,736 | 8,703 |
Diageo Capital plc | 4.828% | 7/15/20 | 4,360 | 4,723 |
Dignity Health California GO | 2.637% | 11/1/19 | 2,450 | 2,470 |
Dr Pepper Snapple Group Inc. | 6.820% | 5/1/18 | 3,354 | 3,551 |
Dr Pepper Snapple Group Inc. | 2.600% | 1/15/19 | 2,500 | 2,532 |
Dr Pepper Snapple Group Inc. | 2.000% | 1/15/20 | 2,150 | 2,146 |
Dr Pepper Snapple Group Inc. | 2.530% | 11/15/21 | 1,000 | 998 |
Dr Pepper Snapple Group Inc. | 3.200% | 11/15/21 | 4,125 | 4,216 |
Edwards Lifesciences Corp. | 2.875% | 10/15/18 | 5,479 | 5,555 |
Eli Lilly & Co. | 1.250% | 3/1/18 | 6,908 | 6,903 |
Eli Lilly & Co. | 1.950% | 3/15/19 | 8,130 | 8,179 |
Estee Lauder Cos. Inc. | 1.800% | 2/7/20 | 6,750 | 6,750 |
Estee Lauder Cos. Inc. | 1.700% | 5/10/21 | 7,750 | 7,588 |
Express Scripts Holding Co. | 2.250% | 6/15/19 | 13,439 | 13,499 |
Express Scripts Holding Co. | 3.300% | 2/25/21 | 11,500 | 11,717 |
Express Scripts Holding Co. | 4.750% | 11/15/21 | 22,037 | 23,660 |
Express Scripts Holding Co. | 3.900% | 2/15/22 | 9,423 | 9,769 |
Express Scripts Inc. | 7.250% | 6/15/19 | 250 | 278 |
General Mills Inc. | 5.650% | 2/15/19 | 10,490 | 11,256 |
General Mills Inc. | 2.200% | 10/21/19 | 6,393 | 6,446 |
General Mills Inc. | 3.150% | 12/15/21 | 9,000 | 9,223 |
Gilead Sciences Inc. | 1.850% | 9/4/18 | 11,133 | 11,188 |
Gilead Sciences Inc. | 2.050% | 4/1/19 | 7,988 | 8,019 |
Gilead Sciences Inc. | 2.350% | 2/1/20 | 7,519 | 7,581 |
Gilead Sciences Inc. | 2.550% | 9/1/20 | 24,548 | 24,779 |
Gilead Sciences Inc. | 4.500% | 4/1/21 | 11,481 | 12,382 |
Gilead Sciences Inc. | 4.400% | 12/1/21 | 10,125 | 10,889 |
GlaxoSmithKline Capital Inc. | 5.650% | 5/15/18 | 24,374 | 25,589 |
Hasbro Inc. | 3.150% | 5/15/21 | 4,350 | 4,426 |
22
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Hershey Co. | 1.600% | 8/21/18 | 2,500 | 2,509 |
Hershey Co. | 4.125% | 12/1/20 | 3,625 | 3,877 |
Hillshire Brands Co. | 4.100% | 9/15/20 | 2,707 | 2,838 |
Hormel Foods Corp. | 4.125% | 4/15/21 | 1,100 | 1,181 |
Ingredion Inc. | 4.625% | 11/1/20 | 2,425 | 2,596 |
JM Smucker Co. | 1.750% | 3/15/18 | 2,641 | 2,647 |
JM Smucker Co. | 2.500% | 3/15/20 | 9,199 | 9,304 |
JM Smucker Co. | 3.500% | 10/15/21 | 5,750 | 5,967 |
Johnson & Johnson | 5.150% | 7/15/18 | 10,440 | 10,994 |
Johnson & Johnson | 1.650% | 12/5/18 | 7,114 | 7,154 |
Johnson & Johnson | 1.125% | 3/1/19 | 10,464 | 10,416 |
Johnson & Johnson | 1.875% | 12/5/19 | 4,930 | 4,961 |
Johnson & Johnson | 2.950% | 9/1/20 | 6,955 | 7,230 |
Johnson & Johnson | 1.650% | 3/1/21 | 11,157 | 11,014 |
Johnson & Johnson | 3.550% | 5/15/21 | 3,250 | 3,438 |
Johnson & Johnson | 2.450% | 12/5/21 | 3,745 | 3,798 |
Johnson & Johnson | 2.250% | 3/3/22 | 5,000 | 4,986 |
Kellogg Co. | 3.250% | 5/21/18 | 750 | 764 |
Kellogg Co. | 4.150% | 11/15/19 | 7,975 | 8,353 |
Kellogg Co. | 4.000% | 12/15/20 | 8,130 | 8,580 |
Kimberly-Clark Corp. | 6.250% | 7/15/18 | 2,328 | 2,477 |
Kimberly-Clark Corp. | 7.500% | 11/1/18 | 6,939 | 7,565 |
Kimberly-Clark Corp. | 1.400% | 2/15/19 | 5,835 | 5,817 |
Kimberly-Clark Corp. | 1.900% | 5/22/19 | 2,590 | 2,598 |
Kimberly-Clark Corp. | 1.850% | 3/1/20 | 2,025 | 2,022 |
Kimberly-Clark Corp. | 3.625% | 8/1/20 | 2,279 | 2,388 |
Kimberly-Clark Corp. | 2.150% | 8/15/20 | 1,325 | 1,331 |
Kimberly-Clark Corp. | 3.875% | 3/1/21 | 2,195 | 2,337 |
Kraft Foods Group Inc. | 6.125% | 8/23/18 | 11,326 | 12,026 |
Kraft Foods Group Inc. | 5.375% | 2/10/20 | 11,895 | 12,900 |
Kraft Heinz Foods Co. | 2.000% | 7/2/18 | 14,538 | 14,582 |
Kraft Heinz Foods Co. | 2.800% | 7/2/20 | 16,357 | 16,529 |
Laboratory Corp. of America Holdings | 2.500% | 11/1/18 | 6,700 | 6,766 |
Laboratory Corp. of America Holdings | 2.625% | 2/1/20 | 6,017 | 6,043 |
Laboratory Corp. of America Holdings | 4.625% | 11/15/20 | 3,250 | 3,448 |
Laboratory Corp. of America Holdings | 3.200% | 2/1/22 | 5,980 | 6,006 |
Life Technologies Corp. | 6.000% | 3/1/20 | 4,525 | 4,974 |
Life Technologies Corp. | 5.000% | 1/15/21 | 4,668 | 4,991 |
Mattel Inc. | 2.350% | 5/6/19 | 4,705 | 4,715 |
Mattel Inc. | 4.350% | 10/1/20 | 75 | 79 |
Mattel Inc. | 2.350% | 8/15/21 | 6,000 | 5,852 |
McCormick & Co. Inc. | 3.900% | 7/15/21 | 2,755 | 2,914 |
McKesson Corp. | 1.400% | 3/15/18 | 4,187 | 4,177 |
McKesson Corp. | 7.500% | 2/15/19 | 5,000 | 5,509 |
McKesson Corp. | 2.284% | 3/15/19 | 14,100 | 14,174 |
McKesson Corp. | 4.750% | 3/1/21 | 7,050 | 7,584 |
Mead Johnson Nutrition Co. | 4.900% | 11/1/19 | 6,475 | 6,940 |
Mead Johnson Nutrition Co. | 3.000% | 11/15/20 | 16,339 | 16,667 |
Medco Health Solutions Inc. | 4.125% | 9/15/20 | 6,000 | 6,291 |
Medtronic Inc. | 1.500% | 3/15/18 | 7,700 | 7,713 |
Medtronic Inc. | 1.375% | 4/1/18 | 18,055 | 18,052 |
Medtronic Inc. | 5.600% | 3/15/19 | 3,827 | 4,107 |
Medtronic Inc. | 2.500% | 3/15/20 | 36,476 | 37,001 |
Medtronic Inc. | 4.125% | 3/15/21 | 2,353 | 2,495 |
Merck & Co. Inc. | 1.300% | 5/18/18 | 12,452 | 12,446 |
Merck & Co. Inc. | 1.850% | 2/10/20 | 14,082 | 14,147 |
Merck & Co. Inc. | 3.875% | 1/15/21 | 8,608 | 9,145 |
Merck & Co. Inc. | 2.350% | 2/10/22 | 13,000 | 12,997 |
Merck Sharp & Dohme Corp. | 5.000% | 6/30/19 | 10,371 | 11,160 |
Molson Coors Brewing Co. | 1.450% | 7/15/19 | 8,440 | 8,330 |
Molson Coors Brewing Co. | 2.100% | 7/15/21 | 11,285 | 11,033 |
3 Mondelez International Holdings Netherlands BV | 1.625% | 10/28/19 | 6,100 | 6,011 |
Mylan Inc. | 2.600% | 6/24/18 | 5,182 | 5,205 |
Mylan Inc. | 2.550% | 3/28/19 | 12,179 | 12,189 |
23
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Mylan NV | 3.000% | 12/15/18 | 1,500 | 1,515 |
Mylan NV | 2.500% | 6/7/19 | 6,370 | 6,346 |
Mylan NV | 3.750% | 12/15/20 | 10,500 | 10,689 |
Mylan NV | 3.150% | 6/15/21 | 18,877 | 18,865 |
Newell Brands Inc. | 2.150% | 10/15/18 | 6,050 | 6,084 |
Newell Brands Inc. | 2.600% | 3/29/19 | 14,194 | 14,401 |
Newell Brands Inc. | 2.875% | 12/1/19 | 5,200 | 5,296 |
Newell Brands Inc. | 3.150% | 4/1/21 | 17,922 | 18,256 |
Novant Health Inc. | 5.850% | 11/1/19 | 1,800 | 1,978 |
Novartis Capital Corp. | 1.800% | 2/14/20 | 11,000 | 10,966 |
Novartis Capital Corp. | 4.400% | 4/24/20 | 8,645 | 9,249 |
Novartis Capital Corp. | 2.400% | 5/17/22 | 2,125 | 2,115 |
Novartis Securities Investment Ltd. | 5.125% | 2/10/19 | 34,778 | 37,096 |
Pall Corp. | 5.000% | 6/15/20 | 1,600 | 1,733 |
Partners Healthcare System Massachusetts GO | 3.443% | 7/1/21 | 2,000 | 2,044 |
PepsiCo Inc. | 1.250% | 4/30/18 | 2,603 | 2,603 |
PepsiCo Inc. | 5.000% | 6/1/18 | 20,959 | 21,895 |
PepsiCo Inc. | 2.250% | 1/7/19 | 5,618 | 5,700 |
PepsiCo Inc. | 1.500% | 2/22/19 | 5,300 | 5,296 |
PepsiCo Inc. | 1.350% | 10/4/19 | 14,020 | 13,915 |
PepsiCo Inc. | 4.500% | 1/15/20 | 9,775 | 10,495 |
PepsiCo Inc. | 1.850% | 4/30/20 | 11,625 | 11,593 |
PepsiCo Inc. | 2.150% | 10/14/20 | 15,935 | 16,024 |
PepsiCo Inc. | 3.125% | 11/1/20 | 8,564 | 8,900 |
PepsiCo Inc. | 3.000% | 8/25/21 | 7,100 | 7,303 |
PepsiCo Inc. | 1.700% | 10/6/21 | 10,110 | 9,849 |
PerkinElmer Inc. | 5.000% | 11/15/21 | 5,000 | 5,418 |
Perrigo Co. plc | 2.300% | 11/8/18 | 6,175 | 6,180 |
Perrigo Finance Unlimited Co. | 3.500% | 3/15/21 | 4,500 | 4,573 |
Perrigo Finance Unlimited Co. | 3.500% | 12/15/21 | 8,578 | 8,588 |
Pfizer Inc. | 4.650% | 3/1/18 | 1,000 | 1,033 |
Pfizer Inc. | 1.200% | 6/1/18 | 10,095 | 10,083 |
Pfizer Inc. | 1.500% | 6/15/18 | 13,509 | 13,566 |
Pfizer Inc. | 2.100% | 5/15/19 | 16,466 | 16,644 |
Pfizer Inc. | 1.450% | 6/3/19 | 15,625 | 15,550 |
Pfizer Inc. | 1.700% | 12/15/19 | 12,283 | 12,263 |
Pfizer Inc. | 5.200% | 8/12/20 | 2,375 | 2,627 |
Pfizer Inc. | 1.950% | 6/3/21 | 12,877 | 12,796 |
Pfizer Inc. | 2.200% | 12/15/21 | 11,000 | 10,987 |
Pharmacia LLC | 6.500% | 12/1/18 | 2,015 | 2,183 |
Philip Morris International Inc. | 5.650% | 5/16/18 | 28,769 | 30,194 |
Philip Morris International Inc. | 1.875% | 1/15/19 | 11,415 | 11,456 |
Philip Morris International Inc. | 1.625% | 2/21/19 | 1,000 | 999 |
Philip Morris International Inc. | 1.375% | 2/25/19 | 4,700 | 4,667 |
Philip Morris International Inc. | 2.000% | 2/21/20 | 12,000 | 11,959 |
Philip Morris International Inc. | 4.500% | 3/26/20 | 11,375 | 12,150 |
Philip Morris International Inc. | 1.875% | 2/25/21 | 8,929 | 8,761 |
Philip Morris International Inc. | 4.125% | 5/17/21 | 4,150 | 4,422 |
Philip Morris International Inc. | 2.900% | 11/15/21 | 4,045 | 4,099 |
Philip Morris International Inc. | 2.625% | 2/18/22 | 10,000 | 10,005 |
2 Procter & Gamble - Esop | 9.360% | 1/1/21 | 1,083 | 1,258 |
Procter & Gamble Co. | 1.600% | 11/15/18 | 6,407 | 6,437 |
Procter & Gamble Co. | 1.900% | 11/1/19 | 11,385 | 11,465 |
Procter & Gamble Co. | 1.850% | 2/2/21 | 6,225 | 6,189 |
Procter & Gamble Co. | 1.700% | 11/3/21 | 7,000 | 6,878 |
Procter & Gamble Co. | 2.300% | 2/6/22 | 7,440 | 7,476 |
Quest Diagnostics Inc. | 2.700% | 4/1/19 | 4,290 | 4,346 |
Quest Diagnostics Inc. | 4.750% | 1/30/20 | 3,375 | 3,626 |
Quest Diagnostics Inc. | 2.500% | 3/30/20 | 4,380 | 4,401 |
Quest Diagnostics Inc. | 4.700% | 4/1/21 | 3,525 | 3,805 |
Reynolds American Inc. | 2.300% | 6/12/18 | 14,321 | 14,422 |
Reynolds American Inc. | 8.125% | 6/23/19 | 5,442 | 6,148 |
Reynolds American Inc. | 6.875% | 5/1/20 | 4,900 | 5,544 |
Reynolds American Inc. | 3.250% | 6/12/20 | 12,130 | 12,434 |
24
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Sanofi | 1.250% | 4/10/18 | 15,914 | 15,857 |
Sanofi | 4.000% | 3/29/21 | 20,110 | 21,412 |
Shire Acquisitions Investments Ireland DAC | 1.900% | 9/23/19 | 39,200 | 38,883 |
Shire Acquisitions Investments Ireland DAC | 2.400% | 9/23/21 | 38,263 | 37,400 |
St. Jude Medical Inc. | 2.000% | 9/15/18 | 3,745 | 3,749 |
St. Jude Medical Inc. | 2.800% | 9/15/20 | 5,545 | 5,575 |
Stryker Corp. | 1.300% | 4/1/18 | 5,600 | 5,588 |
Stryker Corp. | 2.000% | 3/8/19 | 5,143 | 5,163 |
Stryker Corp. | 4.375% | 1/15/20 | 4,200 | 4,465 |
Stryker Corp. | 2.625% | 3/15/21 | 18,200 | 18,304 |
Sysco Corp. | 5.375% | 3/17/19 | 150 | 160 |
Sysco Corp. | 1.900% | 4/1/19 | 8,015 | 8,023 |
Sysco Corp. | 2.600% | 10/1/20 | 5,211 | 5,261 |
Sysco Corp. | 2.500% | 7/15/21 | 6,374 | 6,360 |
Teva Pharmaceutical Finance Co. BV | 3.650% | 11/10/21 | 6,200 | 6,271 |
Teva Pharmaceutical Finance IV BV | 3.650% | 11/10/21 | 3,099 | 3,116 |
Teva Pharmaceutical Finance IV LLC | 2.250% | 3/18/20 | 6,900 | 6,802 |
Teva Pharmaceutical Finance Netherlands III BV | 1.400% | 7/20/18 | 21,735 | 21,586 |
Teva Pharmaceutical Finance Netherlands III BV | 1.700% | 7/19/19 | 27,769 | 27,345 |
Teva Pharmaceutical Finance Netherlands III BV | 2.200% | 7/21/21 | 36,674 | 35,313 |
The Kroger Co. | 6.800% | 12/15/18 | 1,210 | 1,312 |
The Kroger Co. | 2.000% | 1/15/19 | 5,525 | 5,540 |
The Kroger Co. | 2.300% | 1/15/19 | 8,681 | 8,745 |
The Kroger Co. | 1.500% | 9/30/19 | 6,994 | 6,895 |
The Kroger Co. | 6.150% | 1/15/20 | 5,900 | 6,525 |
The Kroger Co. | 3.300% | 1/15/21 | 7,806 | 8,019 |
The Kroger Co. | 2.600% | 2/1/21 | 6,605 | 6,599 |
The Kroger Co. | 2.950% | 11/1/21 | 2,900 | 2,918 |
Thermo Fisher Scientific Inc. | 2.150% | 12/14/18 | 4,650 | 4,676 |
Thermo Fisher Scientific Inc. | 2.400% | 2/1/19 | 16,975 | 17,147 |
Thermo Fisher Scientific Inc. | 4.700% | 5/1/20 | 275 | 293 |
Thermo Fisher Scientific Inc. | 4.500% | 3/1/21 | 11,500 | 12,286 |
Thermo Fisher Scientific Inc. | 3.600% | 8/15/21 | 10,395 | 10,778 |
Thermo Fisher Scientific Inc. | 3.300% | 2/15/22 | 11,290 | 11,505 |
Tupperware Brands Corp. | 4.750% | 6/1/21 | 6,300 | 6,763 |
Tyson Foods Inc. | 2.650% | 8/15/19 | 14,367 | 14,545 |
Unilever Capital Corp. | 4.800% | 2/15/19 | 6,275 | 6,649 |
Unilever Capital Corp. | 2.200% | 3/6/19 | 9,490 | 9,581 |
Unilever Capital Corp. | 2.100% | 7/30/20 | 7,580 | 7,598 |
Unilever Capital Corp. | 4.250% | 2/10/21 | 10,563 | 11,360 |
Unilever Capital Corp. | 1.375% | 7/28/21 | 5,190 | 4,983 |
Whirlpool Corp. | 2.400% | 3/1/19 | 5,395 | 5,437 |
Whirlpool Corp. | 4.850% | 6/15/21 | 2,580 | 2,785 |
Zimmer Biomet Holdings Inc. | 2.000% | 4/1/18 | 10,146 | 10,176 |
Zimmer Biomet Holdings Inc. | 4.625% | 11/30/19 | 3,925 | 4,159 |
Zimmer Biomet Holdings Inc. | 2.700% | 4/1/20 | 18,671 | 18,793 |
Zimmer Biomet Holdings Inc. | 3.375% | 11/30/21 | 2,150 | 2,177 |
Zoetis Inc. | 3.450% | 11/13/20 | 6,941 | 7,138 |
Energy (7.8%) | ||||
Anadarko Petroleum Corp. | 8.700% | 3/15/19 | 4,895 | 5,536 |
Anadarko Petroleum Corp. | 6.950% | 6/15/19 | 750 | 830 |
Anadarko Petroleum Corp. | 4.850% | 3/15/21 | 16,530 | 17,758 |
Apache Corp. | 6.900% | 9/15/18 | 3,575 | 3,843 |
Apache Corp. | 3.625% | 2/1/21 | 7,200 | 7,433 |
Baker Hughes Inc. | 7.500% | 11/15/18 | 3,821 | 4,183 |
Baker Hughes Inc. | 3.200% | 8/15/21 | 6,533 | 6,709 |
Boardwalk Pipelines LP | 5.750% | 9/15/19 | 3,605 | 3,891 |
BP Capital Markets plc | 1.375% | 5/10/18 | 22,908 | 22,852 |
BP Capital Markets plc | 2.241% | 9/26/18 | 11,750 | 11,837 |
BP Capital Markets plc | 4.750% | 3/10/19 | 8,240 | 8,702 |
BP Capital Markets plc | 1.676% | 5/3/19 | 9,875 | 9,823 |
BP Capital Markets plc | 2.237% | 5/10/19 | 12,600 | 12,681 |
BP Capital Markets plc | 2.521% | 1/15/20 | 11,691 | 11,818 |
25
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
BP Capital Markets plc | 2.315% | 2/13/20 | 18,700 | 18,810 |
BP Capital Markets plc | 4.500% | 10/1/20 | 14,140 | 15,188 |
BP Capital Markets plc | 4.742% | 3/11/21 | 9,880 | 10,752 |
BP Capital Markets plc | 2.112% | 9/16/21 | 13,539 | 13,274 |
BP Capital Markets plc | 3.561% | 11/1/21 | 10,506 | 10,960 |
Buckeye Partners LP | 2.650% | 11/15/18 | 5,128 | 5,168 |
Buckeye Partners LP | 4.875% | 2/1/21 | 8,633 | 9,175 |
Canadian Natural Resources Ltd. | 3.450% | 11/15/21 | 2,250 | 2,299 |
Chevron Corp. | 1.365% | 3/2/18 | 16,188 | 16,188 |
Chevron Corp. | 1.718% | 6/24/18 | 24,725 | 24,817 |
Chevron Corp. | 1.790% | 11/16/18 | 13,984 | 14,029 |
Chevron Corp. | 1.686% | 2/28/19 | 5,000 | 5,000 |
Chevron Corp. | 4.950% | 3/3/19 | 18,943 | 20,157 |
Chevron Corp. | 1.561% | 5/16/19 | 9,450 | 9,432 |
Chevron Corp. | 2.193% | 11/15/19 | 7,700 | 7,784 |
Chevron Corp. | 1.961% | 3/3/20 | 19,265 | 19,261 |
Chevron Corp. | 1.991% | 3/3/20 | 4,200 | 4,200 |
Chevron Corp. | 2.427% | 6/24/20 | 8,025 | 8,124 |
Chevron Corp. | 2.419% | 11/17/20 | 12,942 | 13,057 |
Chevron Corp. | 2.100% | 5/16/21 | 23,343 | 23,152 |
Chevron Corp. | 2.498% | 3/3/22 | 1,500 | 1,500 |
Columbia Pipeline Group Inc. | 2.450% | 6/1/18 | 4,790 | 4,817 |
Columbia Pipeline Group Inc. | 3.300% | 6/1/20 | 8,170 | 8,329 |
ConocoPhillips | 5.200% | 5/15/18 | 6,218 | 6,467 |
ConocoPhillips | 6.650% | 7/15/18 | 3,889 | 4,142 |
ConocoPhillips | 5.750% | 2/1/19 | 18,672 | 20,048 |
ConocoPhillips | 6.000% | 1/15/20 | 13,741 | 15,184 |
ConocoPhillips Co. | 1.500% | 5/15/18 | 8,133 | 8,114 |
ConocoPhillips Co. | 2.200% | 5/15/20 | 10,168 | 10,184 |
ConocoPhillips Co. | 4.200% | 3/15/21 | 12,084 | 12,836 |
ConocoPhillips Co. | 2.875% | 11/15/21 | 6,885 | 6,954 |
Devon Energy Corp. | 4.000% | 7/15/21 | 6,263 | 6,495 |
Dominion Gas Holdings LLC | 2.500% | 12/15/19 | 7,300 | 7,371 |
Dominion Gas Holdings LLC | 2.800% | 11/15/20 | 8,300 | 8,411 |
El Paso Natural Gas Co. LLC | 8.625% | 1/15/22 | 1,741 | 2,137 |
Enable Midstream Partners LP | 2.400% | 5/15/19 | 4,781 | 4,744 |
Enbridge Energy Partners LP | 6.500% | 4/15/18 | 2,801 | 2,938 |
Enbridge Energy Partners LP | 9.875% | 3/1/19 | 3,875 | 4,441 |
Enbridge Energy Partners LP | 5.200% | 3/15/20 | 7,125 | 7,660 |
Enbridge Energy Partners LP | 4.375% | 10/15/20 | 6,790 | 7,160 |
Enbridge Energy Partners LP | 4.200% | 9/15/21 | 7,569 | 7,920 |
Encana Corp. | 6.500% | 5/15/19 | 4,075 | 4,410 |
Encana Corp. | 3.900% | 11/15/21 | 7,264 | 7,422 |
Energy Transfer Partners LP | 2.500% | 6/15/18 | 5,877 | 5,918 |
Energy Transfer Partners LP | 6.700% | 7/1/18 | 10,921 | 11,581 |
Energy Transfer Partners LP | 9.700% | 3/15/19 | 2,500 | 2,852 |
Energy Transfer Partners LP | 9.000% | 4/15/19 | 1,925 | 2,179 |
Energy Transfer Partners LP | 4.150% | 10/1/20 | 9,680 | 10,112 |
Energy Transfer Partners LP | 4.650% | 6/1/21 | 13,576 | 14,393 |
Energy Transfer Partners LP | 5.200% | 2/1/22 | 9,007 | 9,737 |
EnLink Midstream Partners LP | 2.700% | 4/1/19 | 3,170 | 3,182 |
Enterprise Products Operating LLC | 6.650% | 4/15/18 | 2,979 | 3,137 |
Enterprise Products Operating LLC | 1.650% | 5/7/18 | 4,914 | 4,908 |
Enterprise Products Operating LLC | 6.500% | 1/31/19 | 9,250 | 10,036 |
Enterprise Products Operating LLC | 2.550% | 10/15/19 | 11,225 | 11,356 |
Enterprise Products Operating LLC | 5.250% | 1/31/20 | 6,775 | 7,330 |
Enterprise Products Operating LLC | 5.200% | 9/1/20 | 9,175 | 10,003 |
Enterprise Products Operating LLC | 2.850% | 4/15/21 | 4,902 | 4,954 |
Enterprise Products Operating LLC | 4.050% | 2/15/22 | 6,618 | 7,009 |
2 Enterprise Products Operating LLC | 7.034% | 1/15/68 | 6,601 | 6,816 |
EOG Resources Inc. | 6.875% | 10/1/18 | 2,575 | 2,777 |
EOG Resources Inc. | 5.625% | 6/1/19 | 10,405 | 11,231 |
EOG Resources Inc. | 2.450% | 4/1/20 | 5,380 | 5,417 |
EOG Resources Inc. | 4.400% | 6/1/20 | 7,450 | 7,927 |
26
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
EOG Resources Inc. | 4.100% | 2/1/21 | 5,675 | 5,982 |
EQT Corp. | 6.500% | 4/1/18 | 3,546 | 3,719 |
EQT Corp. | 8.125% | 6/1/19 | 5,275 | 5,912 |
EQT Corp. | 4.875% | 11/15/21 | 8,950 | 9,625 |
Exxon Mobil Corp. | 1.439% | 3/1/18 | 13,926 | 13,948 |
Exxon Mobil Corp. | 1.305% | 3/6/18 | 13,251 | 13,252 |
Exxon Mobil Corp. | 1.708% | 3/1/19 | 9,225 | 9,243 |
Exxon Mobil Corp. | 1.819% | 3/15/19 | 17,950 | 18,029 |
Exxon Mobil Corp. | 1.912% | 3/6/20 | 20,375 | 20,365 |
Exxon Mobil Corp. | 2.222% | 3/1/21 | 27,475 | 27,524 |
Halliburton Co. | 2.000% | 8/1/18 | 6,600 | 6,622 |
Halliburton Co. | 5.900% | 9/15/18 | 6,520 | 6,944 |
Halliburton Co. | 6.150% | 9/15/19 | 7,900 | 8,720 |
Halliburton Co. | 3.250% | 11/15/21 | 4,225 | 4,326 |
Hess Corp. | 8.125% | 2/15/19 | 1,200 | 1,326 |
Husky Energy Inc. | 6.150% | 6/15/19 | 1,535 | 1,667 |
Husky Energy Inc. | 7.250% | 12/15/19 | 8,520 | 9,646 |
Kinder Morgan Energy Partners LP | 2.650% | 2/1/19 | 10,910 | 11,026 |
Kinder Morgan Energy Partners LP | 9.000% | 2/1/19 | 4,375 | 4,924 |
Kinder Morgan Energy Partners LP | 6.850% | 2/15/20 | 5,850 | 6,546 |
Kinder Morgan Energy Partners LP | 6.500% | 4/1/20 | 7,920 | 8,813 |
Kinder Morgan Energy Partners LP | 5.300% | 9/15/20 | 5,250 | 5,705 |
Kinder Morgan Energy Partners LP | 3.500% | 3/1/21 | 10,075 | 10,265 |
Kinder Morgan Energy Partners LP | 5.800% | 3/1/21 | 4,100 | 4,533 |
Kinder Morgan Energy Partners LP | 5.000% | 10/1/21 | 6,725 | 7,241 |
Kinder Morgan Inc. | 7.250% | 6/1/18 | 1,500 | 1,597 |
Kinder Morgan Inc. | 3.050% | 12/1/19 | 24,170 | 24,598 |
Kinder Morgan Inc. | 6.500% | 9/15/20 | 3,378 | 3,798 |
Magellan Midstream Partners LP | 6.550% | 7/15/19 | 6,286 | 6,921 |
Magellan Midstream Partners LP | 4.250% | 2/1/21 | 4,050 | 4,293 |
Marathon Oil Corp. | 5.900% | 3/15/18 | 7,867 | 8,182 |
Marathon Oil Corp. | 2.700% | 6/1/20 | 8,380 | 8,370 |
Marathon Petroleum Corp. | 2.700% | 12/14/18 | 6,120 | 6,196 |
Marathon Petroleum Corp. | 3.400% | 12/15/20 | 12,350 | 12,637 |
Marathon Petroleum Corp. | 5.125% | 3/1/21 | 9,154 | 9,941 |
Nabors Industries Inc. | 6.150% | 2/15/18 | 10,325 | 10,764 |
Nabors Industries Inc. | 9.250% | 1/15/19 | 1,750 | 1,967 |
Nabors Industries Inc. | 5.000% | 9/15/20 | 5,970 | 6,224 |
Nabors Industries Inc. | 4.625% | 9/15/21 | 8,840 | 9,017 |
National Fuel Gas Co. | 6.500% | 4/15/18 | 3,000 | 3,123 |
National Fuel Gas Co. | 8.750% | 5/1/19 | 2,300 | 2,566 |
National Fuel Gas Co. | 4.900% | 12/1/21 | 5,250 | 5,570 |
National Oilwell Varco Inc. | 1.350% | 12/1/17 | 4,063 | 4,051 |
Noble Energy Inc. | 8.250% | 3/1/19 | 10,715 | 11,965 |
Noble Energy Inc. | 5.625% | 5/1/21 | 1,752 | 1,816 |
Noble Energy Inc. | 4.150% | 12/15/21 | 11,236 | 11,785 |
Occidental Petroleum Corp. | 4.100% | 2/1/21 | 11,766 | 12,533 |
Occidental Petroleum Corp. | 3.125% | 2/15/22 | 6,925 | 7,088 |
ONEOK Partners LP | 3.200% | 9/15/18 | 6,665 | 6,792 |
ONEOK Partners LP | 8.625% | 3/1/19 | 6,575 | 7,384 |
Panhandle Eastern Pipe Line Co. LP | 7.000% | 6/15/18 | 5,937 | 6,258 |
Petro-Canada | 6.050% | 5/15/18 | 4,501 | 4,731 |
Petro-Canada | 9.250% | 10/15/21 | 2,575 | 3,249 |
Phillips 66 Partners LP | 2.646% | 2/15/20 | 4,075 | 4,082 |
Pioneer Natural Resources Co. | 6.875% | 5/1/18 | 3,175 | 3,352 |
Pioneer Natural Resources Co. | 7.500% | 1/15/20 | 5,200 | 5,909 |
Pioneer Natural Resources Co. | 3.450% | 1/15/21 | 5,900 | 6,060 |
Plains All American Pipeline LP / PAA Finance Corp. | 6.500% | 5/1/18 | 6,825 | 7,175 |
Plains All American Pipeline LP / PAA Finance Corp. | 8.750% | 5/1/19 | 7,915 | 8,953 |
Plains All American Pipeline LP / PAA Finance Corp. | 2.600% | 12/15/19 | 2,100 | 2,101 |
Plains All American Pipeline LP / PAA Finance Corp. | 5.750% | 1/15/20 | 6,140 | 6,659 |
Plains All American Pipeline LP / PAA Finance Corp. | 5.000% | 2/1/21 | 4,089 | 4,389 |
Questar Pipeline LLC | 5.830% | 2/1/18 | 1,300 | 1,344 |
27
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Regency Energy Partners LP / Regency Energy Finance | ||||
Corp. | 5.750% | 9/1/20 | 6,675 | 7,267 |
Regency Energy Partners LP / Regency Energy Finance | ||||
Corp. | 6.500% | 7/15/21 | 4,374 | 4,510 |
Repsol Oil & Gas Canada Inc. | 3.750% | 2/1/21 | 5,045 | 4,957 |
Sabine Pass Liquefaction LLC | 5.625% | 2/1/21 | 23,200 | 25,259 |
Shell International Finance BV | 1.900% | 8/10/18 | 7,406 | 7,442 |
Shell International Finance BV | 1.625% | 11/10/18 | 12,625 | 12,622 |
Shell International Finance BV | 2.000% | 11/15/18 | 19,557 | 19,675 |
Shell International Finance BV | 1.375% | 5/10/19 | 6,542 | 6,491 |
Shell International Finance BV | 1.375% | 9/12/19 | 17,950 | 17,741 |
Shell International Finance BV | 4.300% | 9/22/19 | 21,424 | 22,700 |
Shell International Finance BV | 4.375% | 3/25/20 | 10,275 | 10,976 |
Shell International Finance BV | 2.125% | 5/11/20 | 30,369 | 30,360 |
Shell International Finance BV | 2.250% | 11/10/20 | 12,750 | 12,775 |
Shell International Finance BV | 1.875% | 5/10/21 | 28,975 | 28,412 |
Shell International Finance BV | 1.750% | 9/12/21 | 5,900 | 5,748 |
Southern Natural Gas Co. LLC / Southern Natural | ||||
Issuing Corp. | 4.400% | 6/15/21 | 3,100 | 3,288 |
Spectra Energy Capital LLC | 6.200% | 4/15/18 | 6,813 | 7,124 |
Spectra Energy Capital LLC | 8.000% | 10/1/19 | 5,280 | 5,985 |
Spectra Energy Capital LLC | 5.650% | 3/1/20 | 700 | 751 |
Spectra Energy Partners LP | 2.950% | 9/25/18 | 9,498 | 9,626 |
Spectra Energy Partners LP | 4.600% | 6/15/21 | 1,150 | 1,222 |
Suncor Energy Inc. | 6.100% | 6/1/18 | 12,692 | 13,374 |
Sunoco Logistics Partners Operations LP | 5.500% | 2/15/20 | 1,400 | 1,515 |
Sunoco Logistics Partners Operations LP | 4.400% | 4/1/21 | 9,675 | 10,212 |
Sunoco Logistics Partners Operations LP | 4.650% | 2/15/22 | 1,400 | 1,489 |
TC Pipelines LP | 4.650% | 6/15/21 | 2,228 | 2,352 |
Total Capital International SA | 2.125% | 1/10/19 | 12,870 | 12,962 |
Total Capital International SA | 2.100% | 6/19/19 | 10,150 | 10,209 |
Total Capital International SA | 2.750% | 6/19/21 | 8,636 | 8,779 |
Total Capital International SA | 2.875% | 2/17/22 | 9,428 | 9,560 |
Total Capital SA | 2.125% | 8/10/18 | 9,780 | 9,863 |
Total Capital SA | 4.450% | 6/24/20 | 12,770 | 13,714 |
Total Capital SA | 4.125% | 1/28/21 | 3,855 | 4,111 |
Total Capital SA | 4.250% | 12/15/21 | 1,950 | 2,099 |
TransCanada PipeLines Ltd. | 1.875% | 1/12/18 | 8,375 | 8,394 |
TransCanada PipeLines Ltd. | 6.500% | 8/15/18 | 10,107 | 10,780 |
TransCanada PipeLines Ltd. | 3.125% | 1/15/19 | 4,750 | 4,840 |
TransCanada PipeLines Ltd. | 7.125% | 1/15/19 | 2,392 | 2,604 |
TransCanada PipeLines Ltd. | 3.800% | 10/1/20 | 9,725 | 10,186 |
Transcontinental Gas Pipe Line Co. LLC | 6.050% | 6/15/18 | 2,375 | 2,490 |
Valero Energy Corp. | 9.375% | 3/15/19 | 8,402 | 9,616 |
Valero Energy Corp. | 6.125% | 2/1/20 | 9,170 | 10,169 |
Western Gas Partners LP | 2.600% | 8/15/18 | 3,640 | 3,652 |
Western Gas Partners LP | 5.375% | 6/1/21 | 4,002 | 4,342 |
Williams Partners LP | 5.250% | 3/15/20 | 21,559 | 23,334 |
Williams Partners LP | 4.125% | 11/15/20 | 6,062 | 6,364 |
Williams Partners LP | 4.000% | 11/15/21 | 7,350 | 7,645 |
XTO Energy Inc. | 5.500% | 6/15/18 | 8,350 | 8,774 |
XTO Energy Inc. | 6.500% | 12/15/18 | 3,235 | 3,515 |
Other Industrial (0.0%) | ||||
Cintas Corp. No 2 | 4.300% | 6/1/21 | 2,015 | 2,137 |
Yale University Connecticut GO | 2.086% | 4/15/19 | 1,400 | 1,417 |
Technology (8.1%) | ||||
Adobe Systems Inc. | 4.750% | 2/1/20 | 11,435 | 12,337 |
Alphabet Inc. | 3.625% | 5/19/21 | 7,975 | 8,474 |
Altera Corp. | 2.500% | 11/15/18 | 12,305 | 12,503 |
Amphenol Corp. | 2.550% | 1/30/19 | 10,328 | 10,452 |
Amphenol Corp. | 3.125% | 9/15/21 | 470 | 479 |
Amphenol Corp. | 4.000% | 2/1/22 | 4,350 | 4,562 |
Analog Devices Inc. | 2.500% | 12/5/21 | 5,450 | 5,420 |
28
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Apple Inc. | 1.000% | 5/3/18 | 44,198 | 44,066 |
Apple Inc. | 1.550% | 2/8/19 | 5,375 | 5,382 |
Apple Inc. | 1.700% | 2/22/19 | 7,891 | 7,922 |
Apple Inc. | 2.100% | 5/6/19 | 25,551 | 25,824 |
Apple Inc. | 1.100% | 8/2/19 | 11,090 | 10,957 |
Apple Inc. | 1.550% | 2/7/20 | 13,520 | 13,409 |
Apple Inc. | 1.900% | 2/7/20 | 9,000 | 9,016 |
Apple Inc. | 2.000% | 5/6/20 | 18,225 | 18,276 |
Apple Inc. | 2.250% | 2/23/21 | 39,475 | 39,617 |
Apple Inc. | 2.850% | 5/6/21 | 24,267 | 24,878 |
Apple Inc. | 1.550% | 8/4/21 | 11,850 | 11,466 |
Apple Inc. | 2.150% | 2/9/22 | 20,862 | 20,616 |
Apple Inc. | 2.500% | 2/9/22 | 16,000 | 16,041 |
Applied Materials Inc. | 2.625% | 10/1/20 | 5,100 | 5,180 |
Applied Materials Inc. | 4.300% | 6/15/21 | 8,648 | 9,300 |
Arrow Electronics Inc. | 3.000% | 3/1/18 | 3,953 | 3,999 |
Arrow Electronics Inc. | 6.000% | 4/1/20 | 1,428 | 1,552 |
Arrow Electronics Inc. | 5.125% | 3/1/21 | 1,500 | 1,594 |
Autodesk Inc. | 3.125% | 6/15/20 | 4,500 | 4,560 |
Avnet Inc. | 5.875% | 6/15/20 | 2,339 | 2,541 |
Avnet Inc. | 3.750% | 12/1/21 | 3,250 | 3,293 |
Baidu Inc. | 3.250% | 8/6/18 | 7,350 | 7,449 |
Baidu Inc. | 2.750% | 6/9/19 | 11,466 | 11,577 |
Baidu Inc. | 3.000% | 6/30/20 | 5,500 | 5,582 |
3 Broadcom Corp. / Broadcom Cayman Finance Ltd. | 2.375% | 1/15/20 | 29,900 | 29,937 |
3 Broadcom Corp. / Broadcom Cayman Finance Ltd. | 3.000% | 1/15/22 | 39,450 | 39,450 |
Broadridge Financial Solutions Inc. | 3.950% | 9/1/20 | 800 | 840 |
CA Inc. | 2.875% | 8/15/18 | 1,850 | 1,877 |
CA Inc. | 5.375% | 12/1/19 | 10,975 | 11,904 |
CA Inc. | 3.600% | 8/1/20 | 5,469 | 5,654 |
Cisco Systems Inc. | 1.650% | 6/15/18 | 9,084 | 9,112 |
Cisco Systems Inc. | 4.950% | 2/15/19 | 30,231 | 32,168 |
Cisco Systems Inc. | 1.600% | 2/28/19 | 11,960 | 11,980 |
Cisco Systems Inc. | 2.125% | 3/1/19 | 23,889 | 24,154 |
Cisco Systems Inc. | 1.400% | 9/20/19 | 6,415 | 6,372 |
Cisco Systems Inc. | 4.450% | 1/15/20 | 30,629 | 32,790 |
Cisco Systems Inc. | 2.450% | 6/15/20 | 20,081 | 20,361 |
Cisco Systems Inc. | 2.200% | 2/28/21 | 24,101 | 24,136 |
Cisco Systems Inc. | 2.900% | 3/4/21 | 6,850 | 7,026 |
Cisco Systems Inc. | 1.850% | 9/20/21 | 23,135 | 22,654 |
Corning Inc. | 1.500% | 5/8/18 | 4,550 | 4,545 |
Corning Inc. | 6.625% | 5/15/19 | 3,155 | 3,467 |
Corning Inc. | 4.250% | 8/15/20 | 2,000 | 2,117 |
3 Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 3.480% | 6/1/19 | 44,880 | 45,869 |
3 Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 4.420% | 6/15/21 | 49,567 | 52,025 |
Dun & Bradstreet Corp. | 4.000% | 6/15/20 | 500 | 513 |
Equifax Inc. | 2.300% | 6/1/21 | 4,475 | 4,413 |
Fidelity National Information Services Inc. | 2.000% | 4/15/18 | 1,975 | 1,983 |
Fidelity National Information Services Inc. | 2.850% | 10/15/18 | 6,013 | 6,108 |
Fidelity National Information Services Inc. | 3.625% | 10/15/20 | 19,334 | 20,014 |
Fidelity National Information Services Inc. | 2.250% | 8/15/21 | 16,850 | 16,455 |
Fiserv Inc. | 2.700% | 6/1/20 | 8,970 | 9,059 |
Fiserv Inc. | 4.625% | 10/1/20 | 5,454 | 5,835 |
Fiserv Inc. | 4.750% | 6/15/21 | 500 | 540 |
Flex Ltd. | 4.625% | 2/15/20 | 5,200 | 5,343 |
Hewlett Packard Enterprise Co. | 2.850% | 10/5/18 | 31,850 | 32,267 |
Hewlett Packard Enterprise Co. | 3.600% | 10/15/20 | 36,776 | 37,719 |
HP Inc. | 3.750% | 12/1/20 | 457 | 475 |
HP Inc. | 4.300% | 6/1/21 | 15,895 | 16,787 |
HP Inc. | 4.375% | 9/15/21 | 13,450 | 14,296 |
HP Inc. | 4.650% | 12/9/21 | 19,264 | 20,626 |
Intel Corp. | 2.450% | 7/29/20 | 16,045 | 16,325 |
Intel Corp. | 1.700% | 5/19/21 | 6,723 | 6,609 |
Intel Corp. | 3.300% | 10/1/21 | 17,689 | 18,489 |
29
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
International Business Machines Corp. | 7.625% | 10/15/18 | 16,040 | 17,576 |
International Business Machines Corp. | 1.950% | 2/12/19 | 7,900 | 7,974 |
International Business Machines Corp. | 1.875% | 5/15/19 | 4,725 | 4,750 |
International Business Machines Corp. | 1.800% | 5/17/19 | 9,575 | 9,625 |
International Business Machines Corp. | 8.375% | 11/1/19 | 3,491 | 4,078 |
International Business Machines Corp. | 1.900% | 1/27/20 | 9,000 | 9,041 |
International Business Machines Corp. | 1.625% | 5/15/20 | 17,938 | 17,808 |
International Business Machines Corp. | 2.250% | 2/19/21 | 7,625 | 7,667 |
International Business Machines Corp. | 2.900% | 11/1/21 | 6,675 | 6,852 |
International Business Machines Corp. | 2.500% | 1/27/22 | 11,000 | 11,094 |
Jabil Circuit Inc. | 8.250% | 3/15/18 | 1,550 | 1,649 |
Jabil Circuit Inc. | 5.625% | 12/15/20 | 3,500 | 3,771 |
Juniper Networks Inc. | 3.125% | 2/26/19 | 2,800 | 2,847 |
Juniper Networks Inc. | 3.300% | 6/15/20 | 2,200 | 2,251 |
Juniper Networks Inc. | 4.600% | 3/15/21 | 1,655 | 1,767 |
Keysight Technologies Inc. | 3.300% | 10/30/19 | 3,800 | 3,851 |
KLA-Tencor Corp. | 3.375% | 11/1/19 | 1,200 | 1,231 |
KLA-Tencor Corp. | 4.125% | 11/1/21 | 6,370 | 6,684 |
Lam Research Corp. | 2.750% | 3/15/20 | 5,230 | 5,297 |
Lam Research Corp. | 2.800% | 6/15/21 | 9,400 | 9,428 |
Maxim Integrated Products Inc. | 2.500% | 11/15/18 | 3,788 | 3,822 |
Microsoft Corp. | 1.000% | 5/1/18 | 5,679 | 5,669 |
Microsoft Corp. | 1.300% | 11/3/18 | 25,423 | 25,428 |
Microsoft Corp. | 1.625% | 12/6/18 | 5,172 | 5,199 |
Microsoft Corp. | 4.200% | 6/1/19 | 13,565 | 14,377 |
Microsoft Corp. | 1.100% | 8/8/19 | 22,975 | 22,725 |
Microsoft Corp. | 1.850% | 2/6/20 | 15,350 | 15,407 |
Microsoft Corp. | 1.850% | 2/12/20 | 14,315 | 14,365 |
Microsoft Corp. | 3.000% | 10/1/20 | 13,555 | 14,031 |
Microsoft Corp. | 2.000% | 11/3/20 | 32,475 | 32,602 |
Microsoft Corp. | 4.000% | 2/8/21 | 375 | 402 |
Microsoft Corp. | 1.550% | 8/8/21 | 32,978 | 31,990 |
Microsoft Corp. | 2.400% | 2/6/22 | 20,000 | 20,079 |
Microsoft Corp. | 2.375% | 2/12/22 | 18,999 | 19,026 |
Motorola Solutions Inc. | 3.500% | 9/1/21 | 4,250 | 4,304 |
NetApp Inc. | 3.375% | 6/15/21 | 5,675 | 5,798 |
NVIDIA Corp. | 2.200% | 9/16/21 | 11,000 | 10,797 |
Oracle Corp. | 5.750% | 4/15/18 | 24,213 | 25,409 |
Oracle Corp. | 2.375% | 1/15/19 | 18,324 | 18,618 |
Oracle Corp. | 5.000% | 7/8/19 | 23,259 | 25,046 |
Oracle Corp. | 2.250% | 10/8/19 | 23,098 | 23,414 |
Oracle Corp. | 3.875% | 7/15/20 | 7,870 | 8,356 |
Oracle Corp. | 2.800% | 7/8/21 | 14,548 | 14,844 |
Oracle Corp. | 1.900% | 9/15/21 | 49,990 | 49,039 |
Pitney Bowes Inc. | 5.600% | 3/15/18 | 1,225 | 1,264 |
Pitney Bowes Inc. | 4.750% | 5/15/18 | 3,049 | 3,144 |
Pitney Bowes Inc. | 6.250% | 3/15/19 | 700 | 748 |
Pitney Bowes Inc. | 3.375% | 10/1/21 | 9,235 | 9,054 |
QUALCOMM Inc. | 1.400% | 5/18/18 | 11,250 | 11,239 |
QUALCOMM Inc. | 2.250% | 5/20/20 | 23,945 | 24,027 |
Seagate HDD Cayman | 3.750% | 11/15/18 | 5,825 | 6,000 |
3 Seagate HDD Cayman | 4.250% | 3/1/22 | 2,250 | 2,227 |
3 Semiconductor Manufacturing International Corp. | 4.125% | 10/7/19 | 3,050 | 3,130 |
Tech Data Corp. | 3.700% | 2/15/22 | 5,000 | 4,999 |
Texas Instruments Inc. | 1.000% | 5/1/18 | 9,385 | 9,344 |
Texas Instruments Inc. | 1.650% | 8/3/19 | 6,646 | 6,629 |
Texas Instruments Inc. | 1.750% | 5/1/20 | 2,226 | 2,206 |
Texas Instruments Inc. | 2.750% | 3/12/21 | 1,775 | 1,809 |
Total System Services Inc. | 2.375% | 6/1/18 | 5,778 | 5,804 |
Total System Services Inc. | 3.800% | 4/1/21 | 10,657 | 11,010 |
Tyco Electronics Group SA | 2.375% | 12/17/18 | 2,603 | 2,626 |
Tyco Electronics Group SA | 2.350% | 8/1/19 | 4,117 | 4,139 |
Tyco Electronics Group SA | 4.875% | 1/15/21 | 180 | 194 |
Tyco Electronics Group SA | 3.500% | 2/3/22 | 8,397 | 8,687 |
30
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Verisk Analytics Inc. | 5.800% | 5/1/21 | 4,965 | 5,520 |
Xerox Corp. | 6.350% | 5/15/18 | 7,005 | 7,354 |
Xerox Corp. | 2.750% | 3/15/19 | 6,536 | 6,570 |
Xerox Corp. | 5.625% | 12/15/19 | 6,725 | 7,228 |
Xerox Corp. | 2.800% | 5/15/20 | 2,650 | 2,631 |
Xerox Corp. | 3.500% | 8/20/20 | 300 | 304 |
Xerox Corp. | 2.750% | 9/1/20 | 6,365 | 6,309 |
Xerox Corp. | 4.500% | 5/15/21 | 13,319 | 13,848 |
Xilinx Inc. | 2.125% | 3/15/19 | 3,595 | 3,605 |
Xilinx Inc. | 3.000% | 3/15/21 | 4,341 | 4,403 |
Transportation (1.0%) | ||||
Burlington Northern Santa Fe LLC | 5.750% | 3/15/18 | 11,550 | 12,043 |
Burlington Northern Santa Fe LLC | 4.700% | 10/1/19 | 9,982 | 10,716 |
Burlington Northern Santa Fe LLC | 3.600% | 9/1/20 | 1,775 | 1,857 |
Burlington Northern Santa Fe LLC | 4.100% | 6/1/21 | 1,767 | 1,882 |
Burlington Northern Santa Fe LLC | 3.450% | 9/15/21 | 4,774 | 4,979 |
Canadian National Railway Co. | 5.550% | 5/15/18 | 2,235 | 2,334 |
Canadian National Railway Co. | 5.550% | 3/1/19 | 4,150 | 4,450 |
Canadian National Railway Co. | 2.850% | 12/15/21 | 3,725 | 3,803 |
Canadian Pacific Railway Co. | 6.500% | 5/15/18 | 1,639 | 1,727 |
Canadian Pacific Railway Co. | 7.250% | 5/15/19 | 4,230 | 4,704 |
Canadian Pacific Railway Co. | 9.450% | 8/1/21 | 2,250 | 2,807 |
Canadian Pacific Railway Co. | 4.500% | 1/15/22 | 1,700 | 1,829 |
2 Continental Airlines 2009-2 Class A Pass Through Trust | 7.250% | 5/10/21 | 2,542 | 2,815 |
2 Continental Airlines 2010-1 Class A Pass Through Trust | 4.750% | 7/12/22 | 1,936 | 2,042 |
CSX Corp. | 3.700% | 10/30/20 | 2,699 | 2,819 |
CSX Corp. | 4.250% | 6/1/21 | 7,215 | 7,680 |
2 Delta Air Lines 2009-1 Class A Pass Through Trust | 7.750% | 6/17/21 | 1,888 | 2,089 |
2 Delta Air Lines 2010-1 Class A Pass Through Trust | 6.200% | 1/2/20 | 894 | 943 |
2 Delta Air Lines 2010-2 Class A Pass Through Trust | 4.950% | 11/23/20 | 1,519 | 1,584 |
2 Delta Air Lines 2012-1 Class A Pass Through Trust | 4.750% | 11/7/21 | 1,640 | 1,722 |
FedEx Corp. | 8.000% | 1/15/19 | 5,100 | 5,666 |
FedEx Corp. | 2.300% | 2/1/20 | 8,025 | 8,100 |
JB Hunt Transport Services Inc. | 2.400% | 3/15/19 | 2,150 | 2,170 |
Kansas City Southern | 2.350% | 5/15/20 | 2,500 | 2,475 |
Norfolk Southern Corp. | 5.750% | 4/1/18 | 5,794 | 6,050 |
Norfolk Southern Corp. | 5.900% | 6/15/19 | 6,415 | 6,977 |
Norfolk Southern Corp. | 3.250% | 12/1/21 | 9,746 | 10,016 |
Norfolk Southern Railway Co. | 9.750% | 6/15/20 | 1,780 | 2,180 |
2 Northwest Airlines 2007-1 Class A Pass Through Trust | 7.027% | 5/1/21 | 1,552 | 1,723 |
Ryder System Inc. | 2.500% | 3/1/18 | 4,070 | 4,102 |
Ryder System Inc. | 2.450% | 11/15/18 | 3,475 | 3,507 |
Ryder System Inc. | 2.350% | 2/26/19 | 2,575 | 2,592 |
Ryder System Inc. | 2.550% | 6/1/19 | 3,750 | 3,782 |
Ryder System Inc. | 2.450% | 9/3/19 | 3,545 | 3,570 |
Ryder System Inc. | 2.650% | 3/2/20 | 5,725 | 5,763 |
Ryder System Inc. | 2.500% | 5/11/20 | 3,350 | 3,354 |
Ryder System Inc. | 2.875% | 9/1/20 | 4,078 | 4,134 |
Ryder System Inc. | 2.250% | 9/1/21 | 2,750 | 2,690 |
Southwest Airlines Co. | 2.750% | 11/6/19 | 3,750 | 3,812 |
Southwest Airlines Co. | 2.650% | 11/5/20 | 4,775 | 4,822 |
Union Pacific Corp. | 5.700% | 8/15/18 | 3,125 | 3,308 |
Union Pacific Corp. | 2.250% | 2/15/19 | 6,480 | 6,557 |
Union Pacific Corp. | 1.800% | 2/1/20 | 4,958 | 4,937 |
Union Pacific Corp. | 2.250% | 6/19/20 | 6,650 | 6,680 |
Union Pacific Corp. | 4.000% | 2/1/21 | 6,625 | 7,027 |
United Parcel Service Inc. | 5.125% | 4/1/19 | 14,810 | 15,864 |
United Parcel Service Inc. | 3.125% | 1/15/21 | 11,686 | 12,122 |
United Parcel Service of America Inc. | 8.375% | 4/1/20 | 2,250 | 2,659 |
11,213,595 |
31
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Ameren Corp. | 2.700% | 11/15/20 | 6,125 | 6,170 |
Appalachian Power Co. | 4.600% | 3/30/21 | 3,700 | 3,976 |
Arizona Public Service Co. | 8.750% | 3/1/19 | 6,627 | 7,513 |
Arizona Public Service Co. | 2.200% | 1/15/20 | 2,471 | 2,478 |
Atlantic City Electric Co. | 7.750% | 11/15/18 | 750 | 821 |
Avista Corp. | 5.950% | 6/1/18 | 1,460 | 1,535 |
Baltimore Gas & Electric Co. | 3.500% | 11/15/21 | 5,347 | 5,557 |
Berkshire Hathaway Energy Co. | 5.750% | 4/1/18 | 10,825 | 11,313 |
Berkshire Hathaway Energy Co. | 2.000% | 11/15/18 | 3,568 | 3,581 |
Berkshire Hathaway Energy Co. | 2.400% | 2/1/20 | 4,750 | 4,797 |
Black Hills Corp. | 2.500% | 1/11/19 | 1,975 | 1,988 |
CenterPoint Energy Houston Electric LLC | 1.850% | 6/1/21 | 7,000 | 6,861 |
Cleveland Electric Illuminating Co. | 8.875% | 11/15/18 | 1,225 | 1,363 |
CMS Energy Corp. | 8.750% | 6/15/19 | 9,150 | 10,475 |
CMS Energy Corp. | 6.250% | 2/1/20 | 2,025 | 2,242 |
Commonwealth Edison Co. | 5.800% | 3/15/18 | 5,654 | 5,901 |
Commonwealth Edison Co. | 2.150% | 1/15/19 | 7,375 | 7,430 |
Commonwealth Edison Co. | 4.000% | 8/1/20 | 2,625 | 2,764 |
Commonwealth Edison Co. | 3.400% | 9/1/21 | 7,100 | 7,378 |
Connecticut Light & Power Co. | 5.650% | 5/1/18 | 1,900 | 1,990 |
Connecticut Light & Power Co. | 5.500% | 2/1/19 | 2,125 | 2,271 |
Consolidated Edison Co. of New York Inc. | 5.850% | 4/1/18 | 9,333 | 9,754 |
Consolidated Edison Co. of New York Inc. | 7.125% | 12/1/18 | 4,702 | 5,133 |
Consolidated Edison Co. of New York Inc. | 6.650% | 4/1/19 | 5,475 | 6,007 |
Consolidated Edison Co. of New York Inc. | 4.450% | 6/15/20 | 2,250 | 2,415 |
Consolidated Edison Inc. | 2.000% | 3/15/20 | 500 | 500 |
Consolidated Edison Inc. | 2.000% | 5/15/21 | 8,350 | 8,186 |
Constellation Energy Group Inc. | 5.150% | 12/1/20 | 5,600 | 6,063 |
Consumers Energy Co. | 5.650% | 9/15/18 | 2,275 | 2,410 |
Consumers Energy Co. | 6.125% | 3/15/19 | 6,290 | 6,831 |
Consumers Energy Co. | 6.700% | 9/15/19 | 275 | 307 |
Consumers Energy Co. | 5.650% | 4/15/20 | 2,875 | 3,170 |
Dominion Resources Inc. | 1.900% | 6/15/18 | 1,549 | 1,549 |
Dominion Resources Inc. | 6.400% | 6/15/18 | 6,873 | 7,256 |
Dominion Resources Inc. | 1.875% | 1/15/19 | 4,200 | 4,200 |
Dominion Resources Inc. | 2.962% | 7/1/19 | 8,125 | 8,224 |
Dominion Resources Inc. | 1.600% | 8/15/19 | 1,000 | 987 |
Dominion Resources Inc. | 5.200% | 8/15/19 | 3,350 | 3,592 |
Dominion Resources Inc. | 2.500% | 12/1/19 | 13,255 | 13,396 |
Dominion Resources Inc. | 4.450% | 3/15/21 | 7,458 | 7,955 |
Dominion Resources Inc. | 4.104% | 4/1/21 | 1,850 | 1,931 |
Dominion Resources Inc. | 2.000% | 8/15/21 | 2,000 | 1,949 |
Dominion Resources Inc. | 2.750% | 1/15/22 | 4,250 | 4,243 |
DTE Electric Co. | 5.600% | 6/15/18 | 1,050 | 1,103 |
DTE Electric Co. | 3.450% | 10/1/20 | 5,175 | 5,387 |
DTE Electric Co. | 3.900% | 6/1/21 | 3,050 | 3,220 |
DTE Energy Co. | 1.500% | 10/1/19 | 4,890 | 4,812 |
DTE Energy Co. | 2.400% | 12/1/19 | 6,650 | 6,696 |
Duke Energy Carolinas LLC | 5.100% | 4/15/18 | 5,932 | 6,172 |
Duke Energy Carolinas LLC | 7.000% | 11/15/18 | 2,630 | 2,864 |
Duke Energy Carolinas LLC | 4.300% | 6/15/20 | 2,775 | 2,970 |
Duke Energy Carolinas LLC | 3.900% | 6/15/21 | 5,125 | 5,437 |
Duke Energy Corp. | 2.100% | 6/15/18 | 6,895 | 6,928 |
Duke Energy Corp. | 6.250% | 6/15/18 | 2,250 | 2,377 |
Duke Energy Corp. | 5.050% | 9/15/19 | 7,420 | 7,961 |
Duke Energy Corp. | 1.800% | 9/1/21 | 10,550 | 10,205 |
Duke Energy Corp. | 3.550% | 9/15/21 | 5,750 | 5,968 |
Duke Energy Florida LLC | 5.650% | 6/15/18 | 7,931 | 8,350 |
Duke Energy Florida LLC | 1.850% | 1/15/20 | 3,000 | 2,998 |
Duke Energy Florida LLC | 3.100% | 8/15/21 | 2,675 | 2,760 |
Duke Energy Indiana LLC | 3.750% | 7/15/20 | 2,950 | 3,099 |
Duke Energy Ohio Inc. | 5.450% | 4/1/19 | 10,754 | 11,531 |
Duke Energy Progress LLC | 5.300% | 1/15/19 | 14,583 | 15,541 |
Emera US Finance LP | 2.150% | 6/15/19 | 9,924 | 9,911 |
32
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Emera US Finance LP | 2.700% | 6/15/21 | 13,320 | 13,242 |
Entergy Arkansas Inc. | 3.750% | 2/15/21 | 4,342 | 4,561 |
Entergy Corp. | 5.125% | 9/15/20 | 875 | 943 |
Entergy Gulf States Louisiana LLC | 6.000% | 5/1/18 | 3,815 | 3,999 |
Entergy Gulf States Louisiana LLC | 3.950% | 10/1/20 | 3,810 | 4,021 |
Entergy Louisiana LLC | 6.500% | 9/1/18 | 1,875 | 2,002 |
Entergy Texas Inc. | 7.125% | 2/1/19 | 5,905 | 6,462 |
Eversource Energy | 1.450% | 5/1/18 | 9,040 | 9,012 |
Eversource Energy | 4.500% | 11/15/19 | 2,032 | 2,156 |
Eversource Energy | 2.500% | 3/15/21 | 3,875 | 3,849 |
Exelon Corp. | 2.850% | 6/15/20 | 9,025 | 9,156 |
Exelon Corp. | 2.450% | 4/15/21 | 1,700 | 1,681 |
Exelon Generation Co. LLC | 5.200% | 10/1/19 | 8,440 | 9,047 |
Exelon Generation Co. LLC | 2.950% | 1/15/20 | 15,020 | 15,202 |
Exelon Generation Co. LLC | 4.000% | 10/1/20 | 6,725 | 6,986 |
3 Fortis Inc. | 2.100% | 10/4/21 | 13,398 | 13,005 |
Georgia Power Co. | 5.400% | 6/1/18 | 4,050 | 4,235 |
Georgia Power Co. | 1.950% | 12/1/18 | 13,443 | 13,510 |
Georgia Power Co. | 4.250% | 12/1/19 | 5,655 | 5,987 |
Georgia Power Co. | 2.000% | 3/30/20 | 5,050 | 5,048 |
Georgia Power Co. | 2.400% | 4/1/21 | 4,450 | 4,446 |
Great Plains Energy Inc. | 4.850% | 6/1/21 | 2,480 | 2,647 |
Indiana Michigan Power Co. | 7.000% | 3/15/19 | 4,117 | 4,519 |
Integrys Holding Inc. | 4.170% | 11/1/20 | 570 | 603 |
Interstate Power & Light Co. | 7.250% | 10/1/18 | 1,000 | 1,078 |
Kansas City Power & Light Co. | 6.375% | 3/1/18 | 3,346 | 3,496 |
Kansas City Power & Light Co. | 7.150% | 4/1/19 | 4,300 | 4,739 |
Kentucky Utilities Co. | 3.250% | 11/1/20 | 3,925 | 4,058 |
LG&E & KU Energy LLC | 3.750% | 11/15/20 | 3,000 | 3,116 |
LG&E & KU Energy LLC | 4.375% | 10/1/21 | 1,575 | 1,672 |
Metropolitan Edison Co. | 7.700% | 1/15/19 | 2,017 | 2,209 |
MidAmerican Energy Co. | 5.300% | 3/15/18 | 1,150 | 1,194 |
MidAmerican Energy Co. | 2.400% | 3/15/19 | 2,283 | 2,311 |
National Rural Utilities Cooperative Finance Corp. | 10.375% | 11/1/18 | 13,062 | 14,904 |
National Rural Utilities Cooperative Finance Corp. | 2.150% | 2/1/19 | 5,600 | 5,633 |
National Rural Utilities Cooperative Finance Corp. | 1.650% | 2/8/19 | 7,025 | 7,011 |
National Rural Utilities Cooperative Finance Corp. | 1.500% | 11/1/19 | 6,075 | 6,019 |
National Rural Utilities Cooperative Finance Corp. | 2.300% | 11/15/19 | 2,300 | 2,320 |
National Rural Utilities Cooperative Finance Corp. | 2.000% | 1/27/20 | 7,150 | 7,126 |
National Rural Utilities Cooperative Finance Corp. | 2.350% | 6/15/20 | 2,785 | 2,789 |
National Rural Utilities Cooperative Finance Corp. | 2.300% | 11/1/20 | 950 | 944 |
National Rural Utilities Cooperative Finance Corp. | 3.050% | 2/15/22 | 4,148 | 4,240 |
Nevada Power Co. | 6.500% | 5/15/18 | 3,360 | 3,559 |
Nevada Power Co. | 6.500% | 8/1/18 | 6,398 | 6,827 |
Nevada Power Co. | 7.125% | 3/15/19 | 9,985 | 11,042 |
NextEra Energy Capital Holdings Inc. | 1.649% | 9/1/18 | 3,271 | 3,266 |
NextEra Energy Capital Holdings Inc. | 6.000% | 3/1/19 | 11,540 | 12,420 |
NextEra Energy Capital Holdings Inc. | 2.300% | 4/1/19 | 4,240 | 4,278 |
NextEra Energy Capital Holdings Inc. | 2.400% | 9/15/19 | 5,870 | 5,911 |
NextEra Energy Capital Holdings Inc. | 2.700% | 9/15/19 | 5,139 | 5,205 |
NextEra Energy Capital Holdings Inc. | 4.500% | 6/1/21 | 1,480 | 1,583 |
2 NextEra Energy Capital Holdings Inc. | 7.300% | 9/1/67 | 1,005 | 1,013 |
Northern States Power Co. | 5.250% | 3/1/18 | 2,729 | 2,832 |
Northern States Power Co. | 2.200% | 8/15/20 | 3,200 | 3,211 |
NorthWestern Corp. | 6.340% | 4/1/19 | 2,000 | 2,160 |
Oglethorpe Power Corp. | 6.100% | 3/15/19 | 1,815 | 1,963 |
Ohio Power Co. | 6.050% | 5/1/18 | 3,000 | 3,145 |
Ohio Power Co. | 5.375% | 10/1/21 | 4,425 | 4,943 |
Oklahoma Gas & Electric Co. | 8.250% | 1/15/19 | 1,225 | 1,363 |
Oncor Electric Delivery Co. LLC | 6.800% | 9/1/18 | 5,322 | 5,708 |
Oncor Electric Delivery Co. LLC | 2.150% | 6/1/19 | 2,599 | 2,609 |
Pacific Gas & Electric Co. | 8.250% | 10/15/18 | 11,472 | 12,630 |
Pacific Gas & Electric Co. | 3.500% | 10/1/20 | 9,409 | 9,779 |
Pacific Gas & Electric Co. | 4.250% | 5/15/21 | 3,350 | 3,580 |
33
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Pacific Gas & Electric Co. | 3.250% | 9/15/21 | 250 | 256 |
PacifiCorp | 5.650% | 7/15/18 | 7,753 | 8,170 |
PacifiCorp | 5.500% | 1/15/19 | 3,643 | 3,898 |
PacifiCorp | 3.850% | 6/15/21 | 3,400 | 3,603 |
PacifiCorp | 2.950% | 2/1/22 | 4,462 | 4,549 |
PECO Energy Co. | 5.350% | 3/1/18 | 2,863 | 2,974 |
PECO Energy Co. | 1.700% | 9/15/21 | 1,875 | 1,830 |
Pennsylvania Electric Co. | 5.200% | 4/1/20 | 3,725 | 3,991 |
PG&E Corp. | 2.400% | 3/1/19 | 3,008 | 3,026 |
Portland General Electric Co. | 6.100% | 4/15/19 | 2,010 | 2,178 |
PPL Capital Funding Inc. | 1.900% | 6/1/18 | 5,850 | 5,850 |
PPL Electric Utilities Corp. | 3.000% | 9/15/21 | 4,300 | 4,422 |
Progress Energy Inc. | 7.050% | 3/15/19 | 1,400 | 1,540 |
Progress Energy Inc. | 4.875% | 12/1/19 | 4,856 | 5,193 |
Progress Energy Inc. | 4.400% | 1/15/21 | 975 | 1,039 |
PSEG Power LLC | 2.450% | 11/15/18 | 3,100 | 3,122 |
PSEG Power LLC | 5.125% | 4/15/20 | 3,200 | 3,444 |
PSEG Power LLC | 3.000% | 6/15/21 | 5,400 | 5,442 |
PSEG Power LLC | 4.150% | 9/15/21 | 2,386 | 2,513 |
Public Service Co. of Colorado | 5.800% | 8/1/18 | 100 | 106 |
Public Service Co. of Colorado | 5.125% | 6/1/19 | 5,000 | 5,353 |
Public Service Co. of Colorado | 3.200% | 11/15/20 | 3,175 | 3,284 |
Public Service Co. of New Mexico | 7.950% | 5/15/18 | 765 | 820 |
Public Service Co. of Oklahoma | 5.150% | 12/1/19 | 1,372 | 1,483 |
Public Service Co. of Oklahoma | 4.400% | 2/1/21 | 2,000 | 2,132 |
Public Service Electric & Gas Co. | 5.300% | 5/1/18 | 5,115 | 5,338 |
Public Service Electric & Gas Co. | 2.300% | 9/15/18 | 3,600 | 3,649 |
Public Service Electric & Gas Co. | 1.800% | 6/1/19 | 5,650 | 5,658 |
Public Service Electric & Gas Co. | 2.000% | 8/15/19 | 975 | 978 |
Public Service Electric & Gas Co. | 3.500% | 8/15/20 | 1,000 | 1,042 |
Public Service Electric & Gas Co. | 1.900% | 3/15/21 | 7,800 | 7,694 |
Public Service Enterprise Group Inc. | 1.600% | 11/15/19 | 5,300 | 5,241 |
Public Service Enterprise Group Inc. | 2.000% | 11/15/21 | 1,100 | 1,065 |
Puget Energy Inc. | 6.500% | 12/15/20 | 3,925 | 4,411 |
Puget Energy Inc. | 6.000% | 9/1/21 | 5,326 | 5,961 |
San Diego Gas & Electric Co. | 3.000% | 8/15/21 | 3,427 | 3,524 |
SCANA Corp. | 6.250% | 4/1/20 | 3,000 | 3,301 |
SCANA Corp. | 4.750% | 5/15/21 | 3,000 | 3,169 |
SCANA Corp. | 4.125% | 2/1/22 | 6,700 | 6,913 |
South Carolina Electric & Gas Co. | 5.250% | 11/1/18 | 3,375 | 3,565 |
South Carolina Electric & Gas Co. | 6.500% | 11/1/18 | 4,225 | 4,551 |
Southern California Edison Co. | 5.500% | 8/15/18 | 3,700 | 3,915 |
Southern California Edison Co. | 3.875% | 6/1/21 | 5,600 | 5,937 |
2 Southern California Edison Co. | 1.845% | 2/1/22 | 1,982 | 1,953 |
Southern California Edison Co. | 2.400% | 2/1/22 | 850 | 849 |
Southern Co. | 1.550% | 7/1/18 | 4,875 | 4,860 |
Southern Co. | 2.450% | 9/1/18 | 6,450 | 6,510 |
Southern Co. | 1.850% | 7/1/19 | 9,000 | 8,966 |
Southern Co. | 2.150% | 9/1/19 | 5,625 | 5,631 |
Southern Co. | 2.750% | 6/15/20 | 6,545 | 6,615 |
Southern Co. | 2.350% | 7/1/21 | 14,000 | 13,821 |
Southern Power Co. | 1.500% | 6/1/18 | 3,100 | 3,094 |
Southern Power Co. | 1.950% | 12/15/19 | 4,300 | 4,278 |
Southern Power Co. | 2.375% | 6/1/20 | 2,460 | 2,459 |
Southern Power Co. | 2.500% | 12/15/21 | 5,450 | 5,362 |
Southwestern Electric Power Co. | 5.875% | 3/1/18 | 3,450 | 3,590 |
Southwestern Electric Power Co. | 6.450% | 1/15/19 | 3,770 | 4,072 |
Southwestern Electric Power Co. | 3.550% | 2/15/22 | 3,425 | 3,533 |
Southwestern Public Service Co. | 8.750% | 12/1/18 | 255 | 285 |
Tampa Electric Co. | 6.100% | 5/15/18 | 2,150 | 2,260 |
Tampa Electric Co. | 5.400% | 5/15/21 | 2,225 | 2,436 |
TECO Finance Inc. | 5.150% | 3/15/20 | 2,750 | 2,940 |
TransAlta Corp. | 6.900% | 5/15/18 | 3,930 | 4,096 |
Tucson Electric Power Co. | 5.150% | 11/15/21 | 2,600 | 2,832 |
34
Vanguard® Short-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
UIL Holdings Corp. | 4.625% | 10/1/20 | 1,220 | 1,266 |
Union Electric Co. | 6.700% | 2/1/19 | 5,375 | 5,860 |
Virginia Electric & Power Co. | 5.400% | 4/30/18 | 11,528 | 12,027 |
Virginia Electric & Power Co. | 2.950% | 1/15/22 | 3,400 | 3,474 |
WEC Energy Group Inc. | 1.650% | 6/15/18 | 7,786 | 7,783 |
WEC Energy Group Inc. | 2.450% | 6/15/20 | 3,633 | 3,651 |
Western Massachusetts Electric Co. | 3.500% | 9/15/21 | 2,275 | 2,346 |
Wisconsin Electric Power Co. | 1.700% | 6/15/18 | 2,750 | 2,756 |
Wisconsin Electric Power Co. | 4.250% | 12/15/19 | 1,575 | 1,672 |
Wisconsin Electric Power Co. | 2.950% | 9/15/21 | 2,870 | 2,942 |
Wisconsin Power & Light Co. | 5.000% | 7/15/19 | 2,110 | 2,241 |
Wisconsin Public Service Corp. | 1.650% | 12/4/18 | 3,145 | 3,145 |
Xcel Energy Inc. | 4.700% | 5/15/20 | 8,365 | 8,890 |
Xcel Energy Inc. | 2.400% | 3/15/21 | 14,495 | 14,465 |
Natural Gas (0.3%) | ||||
Atmos Energy Corp. | 8.500% | 3/15/19 | 2,787 | 3,148 |
British Transco Finance Inc. | 6.625% | 6/1/18 | 3,383 | 3,586 |
CenterPoint Energy Resources Corp. | 6.000% | 5/15/18 | 1,000 | 1,043 |
CenterPoint Energy Resources Corp. | 4.500% | 1/15/21 | 5,152 | 5,445 |
NiSource Finance Corp. | 6.400% | 3/15/18 | 6,750 | 7,071 |
NiSource Finance Corp. | 6.800% | 1/15/19 | 3,275 | 3,557 |
NiSource Finance Corp. | 5.450% | 9/15/20 | 4,855 | 5,326 |
ONE Gas Inc. | 2.070% | 2/1/19 | 2,750 | 2,759 |
Sempra Energy | 6.150% | 6/15/18 | 12,165 | 12,856 |
Sempra Energy | 9.800% | 2/15/19 | 1,600 | 1,840 |
Sempra Energy | 1.625% | 10/7/19 | 8,250 | 8,170 |
Sempra Energy | 2.400% | 3/15/20 | 5,001 | 4,991 |
Sempra Energy | 2.850% | 11/15/20 | 4,634 | 4,706 |
Southern California Gas Co. | 1.550% | 6/15/18 | 100 | 100 |
Southern Co. Gas Capital Corp. | 5.250% | 8/15/19 | 2,825 | 3,019 |
Southern Co. Gas Capital Corp. | 3.500% | 9/15/21 | 3,200 | 3,284 |
Other Utility (0.0%) | ||||
United Utilities plc | 5.375% | 2/1/19 | 3,000 | 3,127 |
1,054,847 | ||||
Total Corporate Bonds (Cost $20,613,648) | 20,635,659 | |||
Taxable Municipal Bonds (0.1%) | ||||
Dartmouth College New Hampshire GO | 4.750% | 6/1/19 | 862 | 912 |
Emory University Georgia GO | 5.625% | 9/1/19 | 1,980 | 2,152 |
Princeton University New Jersey GO | 4.950% | 3/1/19 | 4,482 | 4,776 |
Stanford University California GO | 4.750% | 5/1/19 | 2,800 | 2,988 |
Total Taxable Municipal Bonds (Cost $10,882) | 10,828 | |||
Shares | ||||
Temporary Cash Investment (0.9%) | ||||
Money Market Fund (0.9%) | ||||
4 Vanguard Market Liquidity Fund (Cost | ||||
$200,109) | 0.864% | 2,000,887 | 200,109 | |
Total Investments (100.2%) (Cost $21,068,381) | 21,090,173 | |||
Other Assets and Liabilities—Net (-0.2%) | (50,726) | |||
Net Assets (100%) | 21,039,447 |
1 | Securities with a value of $1,978,000 have been segregated as initial margin for recently closed futures contracts. |
2 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
35
Vanguard® Short-Term Corporate Bond Index Fund
Schedule of Investments
February 28, 2017
3 | 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 28, 2017, the aggregate value of these securities was $257,027,000, representing 1.2% of net assets. |
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. |
36
Vanguard® Intermediate-Term Corporate Bond Index Fund | |||||
Schedule of Investments | |||||
February 28, 2017 | |||||
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 | 1.875% | 2/28/22 | 22,435 | 22,414 | |
United States Treasury Note/Bond | 2.250% | 2/15/27 | 65,915 | 65,266 | |
Total U.S. Government and Agency Obligations (Cost $87,694) | 87,680 | ||||
Corporate Bonds (98.3%) | |||||
Finance (32.9%) | |||||
Banking (21.3%) | |||||
American Express Co. | 2.650% | 12/2/22 | 11,978 | 11,857 | |
American Express Co. | 3.625% | 12/5/24 | 7,001 | 7,116 | |
Associated Banc-Corp | 4.250% | 1/15/25 | 500 | 498 | |
Australia & New Zealand Banking Group Ltd. | 3.700% | 11/16/25 | 6,250 | 6,514 | |
Bank of America Corp. | 2.503% | 10/21/22 | 15,657 | 15,223 | |
Bank of America Corp. | 3.300% | 1/11/23 | 37,350 | 37,583 | |
Bank of America Corp. | 4.100% | 7/24/23 | 15,892 | 16,636 | |
Bank of America Corp. | 4.125% | 1/22/24 | 26,472 | 27,622 | |
Bank of America Corp. | 4.000% | 4/1/24 | 28,342 | 29,365 | |
Bank of America Corp. | 4.200% | 8/26/24 | 29,022 | 29,941 | |
Bank of America Corp. | 4.000% | 1/22/25 | 23,763 | 23,952 | |
Bank of America Corp. | 3.950% | 4/21/25 | 26,424 | 26,512 | |
Bank of America Corp. | 3.875% | 8/1/25 | 30,807 | 31,435 | |
Bank of America Corp. | 4.450% | 3/3/26 | 17,689 | 18,324 | |
Bank of America Corp. | 3.500% | 4/19/26 | 16,240 | 16,137 | |
Bank of America Corp. | 6.220% | 9/15/26 | 400 | 455 | |
Bank of America Corp. | 4.250% | 10/22/26 | 19,072 | 19,386 | |
Bank of America Corp. | 3.248% | 10/21/27 | 10,000 | 9,587 | |
1 | Bank of America Corp. | 3.824% | 1/20/28 | 11,550 | 11,580 |
Bank of Montreal | 2.550% | 11/6/22 | 8,843 | 8,817 | |
Bank of New York Mellon Corp. | 2.200% | 8/16/23 | 5,122 | 4,912 | |
Bank of New York Mellon Corp. | 3.650% | 2/4/24 | 6,970 | 7,286 | |
Bank of New York Mellon Corp. | 3.400% | 5/15/24 | 6,831 | 6,975 | |
Bank of New York Mellon Corp. | 3.250% | 9/11/24 | 8,626 | 8,740 | |
Bank of New York Mellon Corp. | 3.000% | 2/24/25 | 5,950 | 5,899 | |
Bank of New York Mellon Corp. | 3.950% | 11/18/25 | 2,375 | 2,515 | |
Bank of New York Mellon Corp. | 2.800% | 5/4/26 | 2,125 | 2,061 | |
Bank of New York Mellon Corp. | 2.450% | 8/17/26 | 8,035 | 7,552 | |
1 | Bank of New York Mellon Corp. | 3.442% | 2/7/28 | 4,100 | 4,135 |
Bank of Nova Scotia | 4.500% | 12/16/25 | 10,756 | 11,247 | |
Bank One Corp. | 7.625% | 10/15/26 | 5,520 | 7,073 | |
Barclays Bank plc | 3.750% | 5/15/24 | 1,600 | 1,633 | |
Barclays plc | 3.684% | 1/10/23 | 19,700 | 19,843 | |
Barclays plc | 4.375% | 9/11/24 | 12,010 | 12,051 | |
Barclays plc | 3.650% | 3/16/25 | 17,805 | 17,355 | |
Barclays plc | 4.375% | 1/12/26 | 19,831 | 20,215 | |
Barclays plc | 5.200% | 5/12/26 | 16,426 | 16,993 | |
BB&T Corp. | 3.950% | 3/22/22 | 2,809 | 2,937 | |
BNP Paribas SA | 3.250% | 3/3/23 | 9,300 | 9,333 | |
BNP Paribas SA | 4.250% | 10/15/24 | 8,221 | 8,294 | |
BPCE SA | 4.000% | 4/15/24 | 17,141 | 17,862 | |
BPCE SA | 3.375% | 12/2/26 | 3,250 | 3,192 | |
Branch Banking & Trust Co. | 3.625% | 9/16/25 | 13,525 | 13,879 | |
Branch Banking & Trust Co. | 3.800% | 10/30/26 | 6,177 | 6,445 | |
Capital One Bank USA NA | 3.375% | 2/15/23 | 14,813 | 14,855 | |
Capital One Financial Corp. | 3.500% | 6/15/23 | 5,715 | 5,801 | |
Capital One Financial Corp. | 3.750% | 4/24/24 | 10,142 | 10,397 | |
Capital One Financial Corp. | 3.200% | 2/5/25 | 6,877 | 6,730 | |
Capital One Financial Corp. | 4.200% | 10/29/25 | 13,615 | 13,810 | |
Capital One Financial Corp. | 3.750% | 7/28/26 | 13,400 | 13,025 | |
Citigroup Inc. | 4.050% | 7/30/22 | 8,210 | 8,566 | |
Citigroup Inc. | 3.375% | 3/1/23 | 1,000 | 1,008 |
37
Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Citigroup Inc. | 3.500% | 5/15/23 | 12,025 | 12,090 |
Citigroup Inc. | 3.875% | 10/25/23 | 12,983 | 13,392 |
Citigroup Inc. | 3.750% | 6/16/24 | 11,007 | 11,302 |
Citigroup Inc. | 4.000% | 8/5/24 | 6,070 | 6,163 |
Citigroup Inc. | 3.875% | 3/26/25 | 7,774 | 7,712 |
Citigroup Inc. | 3.300% | 4/27/25 | 15,857 | 15,566 |
Citigroup Inc. | 4.400% | 6/10/25 | 25,121 | 25,748 |
Citigroup Inc. | 5.500% | 9/13/25 | 12,233 | 13,417 |
Citigroup Inc. | 3.700% | 1/12/26 | 23,616 | 23,684 |
Citigroup Inc. | 4.600% | 3/9/26 | 14,364 | 14,899 |
Citigroup Inc. | 3.400% | 5/1/26 | 15,661 | 15,273 |
Citigroup Inc. | 3.200% | 10/21/26 | 32,170 | 30,948 |
Citigroup Inc. | 4.300% | 11/20/26 | 9,346 | 9,508 |
1 Citigroup Inc. | 3.887% | 1/10/28 | 5,950 | 5,986 |
Citizens Financial Group Inc. | 4.300% | 12/3/25 | 6,753 | 6,935 |
Comerica Bank | 4.000% | 7/27/25 | 4,475 | 4,465 |
Comerica Inc. | 3.800% | 7/22/26 | 159 | 159 |
Compass Bank | 3.875% | 4/10/25 | 4,450 | 4,286 |
Cooperatieve Rabobank UA | 3.950% | 11/9/22 | 18,045 | 18,511 |
Cooperatieve Rabobank UA | 4.625% | 12/1/23 | 19,941 | 21,002 |
Cooperatieve Rabobank UA | 3.375% | 5/21/25 | 12,920 | 13,043 |
Cooperatieve Rabobank UA | 4.375% | 8/4/25 | 14,358 | 14,635 |
Cooperatieve Rabobank UA | 3.750% | 7/21/26 | 11,876 | 11,571 |
Credit Suisse AG | 3.625% | 9/9/24 | 29,700 | 30,157 |
2 Credit Suisse Group AG | 3.574% | 1/9/23 | 4,000 | 3,996 |
2 Credit Suisse Group AG | 4.282% | 1/9/28 | 3,000 | 3,000 |
Credit Suisse Group Funding Guernsey Ltd. | 3.800% | 9/15/22 | 11,796 | 11,911 |
Credit Suisse Group Funding Guernsey Ltd. | 3.800% | 6/9/23 | 13,950 | 13,907 |
Credit Suisse Group Funding Guernsey Ltd. | 3.750% | 3/26/25 | 17,271 | 17,021 |
Credit Suisse Group Funding Guernsey Ltd. | 4.550% | 4/17/26 | 20,600 | 21,296 |
Deutsche Bank AG | 3.700% | 5/30/24 | 11,909 | 11,590 |
Deutsche Bank AG | 4.100% | 1/13/26 | 9,050 | 9,009 |
Discover Bank | 4.200% | 8/8/23 | 6,268 | 6,562 |
Discover Bank | 4.250% | 3/13/26 | 3,262 | 3,368 |
Discover Bank | 3.450% | 7/27/26 | 9,560 | 9,363 |
Discover Financial Services | 5.200% | 4/27/22 | 1,806 | 1,961 |
Discover Financial Services | 3.850% | 11/21/22 | 5,088 | 5,184 |
Discover Financial Services | 3.950% | 11/6/24 | 5,003 | 4,999 |
Discover Financial Services | 3.750% | 3/4/25 | 6,520 | 6,453 |
Discover Financial Services | 4.100% | 2/9/27 | 5,000 | 5,028 |
Fifth Third Bancorp | 3.500% | 3/15/22 | 3,590 | 3,695 |
Fifth Third Bancorp | 4.300% | 1/16/24 | 7,951 | 8,281 |
Fifth Third Bank | 3.850% | 3/15/26 | 5,725 | 5,777 |
FirstMerit Bank NA | 4.270% | 11/25/26 | 450 | 457 |
FirstMerit Corp. | 4.350% | 2/4/23 | 2,950 | 3,056 |
Goldman Sachs Group Inc. | 3.000% | 4/26/22 | 23,000 | 22,955 |
Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 19,124 | 19,596 |
Goldman Sachs Group Inc. | 4.000% | 3/3/24 | 30,186 | 31,399 |
Goldman Sachs Group Inc. | 3.850% | 7/8/24 | 23,597 | 24,233 |
Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 28,058 | 28,035 |
Goldman Sachs Group Inc. | 3.750% | 5/22/25 | 13,200 | 13,356 |
Goldman Sachs Group Inc. | 4.250% | 10/21/25 | 15,558 | 15,929 |
Goldman Sachs Group Inc. | 3.750% | 2/25/26 | 20,005 | 20,155 |
Goldman Sachs Group Inc. | 3.500% | 11/16/26 | 29,050 | 28,529 |
Goldman Sachs Group Inc. | 5.950% | 1/15/27 | 6,118 | 7,038 |
Goldman Sachs Group Inc. | 3.850% | 1/26/27 | 13,000 | 13,094 |
HSBC Bank plc | 7.650% | 5/1/25 | 776 | 946 |
HSBC Holdings plc | 4.000% | 3/30/22 | 16,719 | 17,465 |
HSBC Holdings plc | 3.600% | 5/25/23 | 24,756 | 25,122 |
HSBC Holdings plc | 4.250% | 3/14/24 | 16,051 | 16,333 |
HSBC Holdings plc | 4.250% | 8/18/25 | 14,931 | 15,141 |
HSBC Holdings plc | 4.300% | 3/8/26 | 28,745 | 30,031 |
HSBC Holdings plc | 3.900% | 5/25/26 | 22,342 | 22,668 |
38
Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
HSBC Holdings plc | 4.375% | 11/23/26 | 14,925 | 15,105 |
HSBC USA Inc. | 3.500% | 6/23/24 | 5,675 | 5,758 |
Intesa Sanpaolo SPA | 5.250% | 1/12/24 | 8,800 | 9,275 |
JPMorgan Chase & Co. | 3.250% | 9/23/22 | 26,915 | 27,462 |
JPMorgan Chase & Co. | 2.972% | 1/15/23 | 12,425 | 12,444 |
JPMorgan Chase & Co. | 3.200% | 1/25/23 | 17,674 | 17,862 |
JPMorgan Chase & Co. | 3.375% | 5/1/23 | 22,808 | 22,862 |
JPMorgan Chase & Co. | 2.700% | 5/18/23 | 19,224 | 18,790 |
JPMorgan Chase & Co. | 3.875% | 2/1/24 | 17,785 | 18,522 |
JPMorgan Chase & Co. | 3.625% | 5/13/24 | 22,147 | 22,716 |
JPMorgan Chase & Co. | 3.875% | 9/10/24 | 21,945 | 22,323 |
JPMorgan Chase & Co. | 3.125% | 1/23/25 | 26,590 | 26,321 |
JPMorgan Chase & Co. | 3.900% | 7/15/25 | 26,155 | 27,136 |
JPMorgan Chase & Co. | 3.300% | 4/1/26 | 26,422 | 26,092 |
JPMorgan Chase & Co. | 3.200% | 6/15/26 | 12,795 | 12,461 |
JPMorgan Chase & Co. | 2.950% | 10/1/26 | 24,200 | 23,065 |
JPMorgan Chase & Co. | 4.125% | 12/15/26 | 18,202 | 18,649 |
1 JPMorgan Chase & Co. | 3.782% | 2/1/28 | 11,750 | 11,925 |
KeyBank NA | 3.300% | 6/1/25 | 4,445 | 4,454 |
KeyBank NA | 3.400% | 5/20/26 | 7,186 | 7,040 |
1 KeyBank NA | 3.180% | 10/15/27 | 250 | 253 |
Lloyds Banking Group plc | 4.500% | 11/4/24 | 4,700 | 4,819 |
Lloyds Banking Group plc | 4.582% | 12/10/25 | 13,866 | 14,086 |
Lloyds Banking Group plc | 4.650% | 3/24/26 | 12,750 | 13,080 |
Lloyds Banking Group plc | 3.750% | 1/11/27 | 16,000 | 15,828 |
Manufacturers & Traders Trust Co. | 2.900% | 2/6/25 | 4,280 | 4,217 |
Mitsubishi UFJ Financial Group Inc. | 2.527% | 9/13/23 | 7,300 | 7,069 |
Mitsubishi UFJ Financial Group Inc. | 3.850% | 3/1/26 | 26,653 | 27,406 |
Mitsubishi UFJ Financial Group Inc. | 2.757% | 9/13/26 | 6,350 | 5,965 |
Mitsubishi UFJ Financial Group Inc. | 3.677% | 2/22/27 | 11,500 | 11,620 |
Mizuho Financial Group Inc. | 2.839% | 9/13/26 | 8,475 | 8,023 |
Morgan Stanley | 4.875% | 11/1/22 | 20,990 | 22,648 |
Morgan Stanley | 3.750% | 2/25/23 | 18,355 | 18,929 |
Morgan Stanley | 4.100% | 5/22/23 | 16,165 | 16,756 |
Morgan Stanley | 3.875% | 4/29/24 | 31,583 | 32,647 |
Morgan Stanley | 3.700% | 10/23/24 | 28,334 | 28,936 |
Morgan Stanley | 4.000% | 7/23/25 | 31,504 | 32,497 |
Morgan Stanley | 5.000% | 11/24/25 | 20,300 | 21,888 |
Morgan Stanley | 3.875% | 1/27/26 | 30,850 | 31,393 |
Morgan Stanley | 3.125% | 7/27/26 | 25,284 | 24,096 |
Morgan Stanley | 6.250% | 8/9/26 | 2,890 | 3,464 |
Morgan Stanley | 4.350% | 9/8/26 | 20,167 | 20,751 |
Morgan Stanley | 3.625% | 1/20/27 | 21,675 | 21,503 |
MUFG Americas Holdings Corp. | 3.500% | 6/18/22 | 350 | 359 |
MUFG Americas Holdings Corp. | 3.000% | 2/10/25 | 3,874 | 3,751 |
National Australia Bank Ltd. | 3.000% | 1/20/23 | 7,491 | 7,509 |
National Australia Bank Ltd. | 3.375% | 1/14/26 | 2,600 | 2,611 |
National Australia Bank Ltd. | 2.500% | 7/12/26 | 11,400 | 10,652 |
Northern Trust Corp. | 2.375% | 8/2/22 | 5,151 | 5,090 |
Northern Trust Corp. | 3.950% | 10/30/25 | 5,450 | 5,773 |
People's United Bank NA | 4.000% | 7/15/24 | 1,500 | 1,484 |
People's United Financial Inc. | 3.650% | 12/6/22 | 2,888 | 2,949 |
PNC Bank NA | 2.700% | 11/1/22 | 15,205 | 15,101 |
PNC Bank NA | 2.950% | 1/30/23 | 4,475 | 4,455 |
PNC Bank NA | 3.800% | 7/25/23 | 5,105 | 5,343 |
PNC Bank NA | 3.300% | 10/30/24 | 6,625 | 6,714 |
PNC Bank NA | 2.950% | 2/23/25 | 7,046 | 6,991 |
PNC Bank NA | 3.250% | 6/1/25 | 6,789 | 6,837 |
PNC Bank NA | 4.200% | 11/1/25 | 2,125 | 2,283 |
PNC Financial Services Group Inc. | 2.854% | 11/9/22 | 7,440 | 7,429 |
PNC Financial Services Group Inc. | 3.900% | 4/29/24 | 5,325 | 5,492 |
PNC Funding Corp. | 3.300% | 3/8/22 | 9,227 | 9,524 |
Royal Bank of Canada | 4.650% | 1/27/26 | 17,951 | 19,119 |
39
Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Royal Bank of Scotland Group plc | 3.875% | 9/12/23 | 26,700 | 26,262 |
Royal Bank of Scotland Group plc | 4.800% | 4/5/26 | 10,275 | 10,532 |
Santander Holdings USA Inc. | 4.500% | 7/17/25 | 8,011 | 8,178 |
Santander Issuances SAU | 5.179% | 11/19/25 | 11,664 | 11,945 |
Santander UK Group Holdings plc | 3.571% | 1/10/23 | 7,000 | 7,024 |
Santander UK plc | 4.000% | 3/13/24 | 11,515 | 11,986 |
State Street Corp. | 3.100% | 5/15/23 | 7,947 | 8,022 |
State Street Corp. | 3.700% | 11/20/23 | 8,510 | 8,885 |
State Street Corp. | 3.300% | 12/16/24 | 11,281 | 11,489 |
State Street Corp. | 3.550% | 8/18/25 | 10,583 | 10,894 |
State Street Corp. | 2.650% | 5/19/26 | 6,288 | 6,033 |
Sumitomo Mitsui Banking Corp. | 3.200% | 7/18/22 | 3,492 | 3,534 |
Sumitomo Mitsui Banking Corp. | 3.000% | 1/18/23 | 1,375 | 1,373 |
Sumitomo Mitsui Banking Corp. | 3.950% | 7/19/23 | 4,600 | 4,821 |
Sumitomo Mitsui Banking Corp. | 3.950% | 1/10/24 | 3,180 | 3,329 |
Sumitomo Mitsui Banking Corp. | 3.400% | 7/11/24 | 10,900 | 11,019 |
Sumitomo Mitsui Banking Corp. | 3.650% | 7/23/25 | 2,500 | 2,558 |
Sumitomo Mitsui Financial Group Inc. | 3.784% | 3/9/26 | 13,085 | 13,359 |
Sumitomo Mitsui Financial Group Inc. | 2.632% | 7/14/26 | 23,830 | 22,169 |
Sumitomo Mitsui Financial Group Inc. | 3.010% | 10/19/26 | 15,500 | 14,845 |
Sumitomo Mitsui Financial Group Inc. | 3.446% | 1/11/27 | 3,500 | 3,484 |
SunTrust Bank | 2.750% | 5/1/23 | 3,175 | 3,107 |
SunTrust Bank | 3.300% | 5/15/26 | 4,385 | 4,245 |
SVB Financial Group | 3.500% | 1/29/25 | 3,125 | 3,059 |
Synchrony Financial | 4.250% | 8/15/24 | 11,990 | 12,407 |
Synchrony Financial | 4.500% | 7/23/25 | 9,594 | 10,029 |
Synchrony Financial | 3.700% | 8/4/26 | 4,770 | 4,673 |
1 Toronto-Dominion Bank | 3.625% | 9/15/31 | 11,150 | 11,026 |
US Bancorp | 3.000% | 3/15/22 | 8,282 | 8,433 |
US Bancorp | 2.950% | 7/15/22 | 13,241 | 13,351 |
US Bancorp | 3.700% | 1/30/24 | 8,463 | 8,878 |
US Bancorp | 3.600% | 9/11/24 | 7,848 | 8,088 |
US Bancorp | 3.100% | 4/27/26 | 8,780 | 8,634 |
US Bancorp | 2.375% | 7/22/26 | 11,650 | 10,893 |
US Bank NA | 2.800% | 1/27/25 | 5,900 | 5,821 |
Wachovia Corp. | 6.605% | 10/1/25 | 475 | 559 |
Wachovia Corp. | 7.574% | 8/1/26 | 1,775 | 2,235 |
Wells Fargo & Co. | 3.500% | 3/8/22 | 18,859 | 19,507 |
Wells Fargo & Co. | 3.069% | 1/24/23 | 27,500 | 27,673 |
Wells Fargo & Co. | 3.450% | 2/13/23 | 20,024 | 20,291 |
Wells Fargo & Co. | 4.125% | 8/15/23 | 13,570 | 14,182 |
Wells Fargo & Co. | 4.480% | 1/16/24 | 5,162 | 5,527 |
Wells Fargo & Co. | 3.300% | 9/9/24 | 21,824 | 21,909 |
Wells Fargo & Co. | 3.000% | 2/19/25 | 27,765 | 26,936 |
Wells Fargo & Co. | 3.550% | 9/29/25 | 26,768 | 26,982 |
Wells Fargo & Co. | 3.000% | 4/22/26 | 24,175 | 23,325 |
Wells Fargo & Co. | 4.100% | 6/3/26 | 23,981 | 24,496 |
Wells Fargo & Co. | 3.000% | 10/23/26 | 30,810 | 29,493 |
Westpac Banking Corp. | 2.850% | 5/13/26 | 14,500 | 13,984 |
Westpac Banking Corp. | 2.700% | 8/19/26 | 10,044 | 9,549 |
Westpac Banking Corp. | 3.350% | 3/8/27 | 3,500 | 3,497 |
1 Westpac Banking Corp. | 4.322% | 11/23/31 | 12,200 | 12,304 |
Brokerage (1.4%) | ||||
Affiliated Managers Group Inc. | 4.250% | 2/15/24 | 4,900 | 5,091 |
Affiliated Managers Group Inc. | 3.500% | 8/1/25 | 2,001 | 1,952 |
Ameriprise Financial Inc. | 4.000% | 10/15/23 | 7,402 | 7,810 |
Ameriprise Financial Inc. | 3.700% | 10/15/24 | 4,645 | 4,800 |
Ameriprise Financial Inc. | 2.875% | 9/15/26 | 3,630 | 3,499 |
Apollo Investment Corp. | 5.250% | 3/3/25 | 3,100 | 3,068 |
BlackRock Inc. | 3.375% | 6/1/22 | 7,680 | 8,011 |
BlackRock Inc. | 3.500% | 3/18/24 | 9,260 | 9,695 |
Brookfield Asset Management Inc. | 4.000% | 1/15/25 | 4,385 | 4,352 |
Brookfield Finance Inc. | 4.250% | 6/2/26 | 4,035 | 4,041 |
40
Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
CBOE Holdings Inc. | 3.650% | 1/12/27 | 6,125 | 6,195 |
Charles Schwab Corp. | 3.225% | 9/1/22 | 1,500 | 1,531 |
Charles Schwab Corp. | 3.000% | 3/10/25 | 1,025 | 1,018 |
Charles Schwab Corp. | 3.450% | 2/13/26 | 2,635 | 2,706 |
CME Group Inc. | 3.000% | 9/15/22 | 8,460 | 8,659 |
CME Group Inc. | 3.000% | 3/15/25 | 4,642 | 4,655 |
E*TRADE Financial Corp. | 5.375% | 11/15/22 | 4,166 | 4,411 |
E*TRADE Financial Corp. | 4.625% | 9/15/23 | 4,325 | 4,476 |
Eaton Vance Corp. | 3.625% | 6/15/23 | 2,100 | 2,131 |
Franklin Resources Inc. | 2.800% | 9/15/22 | 2,150 | 2,159 |
Franklin Resources Inc. | 2.850% | 3/30/25 | 4,902 | 4,770 |
Intercontinental Exchange Inc. | 4.000% | 10/15/23 | 7,036 | 7,455 |
Intercontinental Exchange Inc. | 3.750% | 12/1/25 | 11,025 | 11,474 |
Invesco Finance plc | 3.125% | 11/30/22 | 4,613 | 4,636 |
Invesco Finance plc | 4.000% | 1/30/24 | 4,601 | 4,824 |
Invesco Finance plc | 3.750% | 1/15/26 | 6,155 | 6,308 |
Janus Capital Group Inc. | 4.875% | 8/1/25 | 2,615 | 2,760 |
Jefferies Group LLC | 5.125% | 1/20/23 | 3,525 | 3,721 |
Jefferies Group LLC | 4.850% | 1/15/27 | 8,250 | 8,444 |
Lazard Group LLC | 3.750% | 2/13/25 | 2,935 | 2,921 |
Lazard Group LLC | 3.625% | 3/1/27 | 600 | 582 |
Legg Mason Inc. | 3.950% | 7/15/24 | 1,265 | 1,280 |
Legg Mason Inc. | 4.750% | 3/15/26 | 4,300 | 4,515 |
Leucadia National Corp. | 5.500% | 10/18/23 | 6,550 | 6,963 |
Nasdaq Inc. | 4.250% | 6/1/24 | 1,908 | 1,970 |
Nasdaq Inc. | 3.850% | 6/30/26 | 6,840 | 6,887 |
OM Asset Management plc | 4.800% | 7/27/26 | 2,125 | 2,079 |
Raymond James Financial Inc. | 3.625% | 9/15/26 | 4,925 | 4,848 |
Stifel Financial Corp. | 4.250% | 7/18/24 | 3,710 | 3,768 |
TD Ameritrade Holding Corp. | 2.950% | 4/1/22 | 11,789 | 11,966 |
TD Ameritrade Holding Corp. | 3.625% | 4/1/25 | 5,050 | 5,165 |
Finance Companies (0.5%) | ||||
AerCap Ireland Capital DAC / AerCap Global Aviation | ||||
Trust | 3.500% | 5/26/22 | 6,000 | 6,097 |
AerCap Ireland Capital DAC / AerCap Global Aviation | ||||
Trust | 4.625% | 7/1/22 | 6,450 | 6,893 |
Air Lease Corp. | 3.000% | 9/15/23 | 9,393 | 9,229 |
Air Lease Corp. | 4.250% | 9/15/24 | 2,875 | 2,965 |
FS Investment Corp. | 4.750% | 5/15/22 | 2,249 | 2,300 |
GATX Corp. | 4.750% | 6/15/22 | 1,848 | 2,001 |
GATX Corp. | 3.900% | 3/30/23 | 1,650 | 1,682 |
GATX Corp. | 3.250% | 3/30/25 | 2,400 | 2,330 |
GATX Corp. | 3.250% | 9/15/26 | 2,280 | 2,178 |
GATX Corp. | 3.850% | 3/30/27 | 1,000 | 999 |
GE Capital International Funding Co. | 3.373% | 11/15/25 | 20,632 | 21,246 |
International Lease Finance Corp. | 5.875% | 8/15/22 | 8,485 | 9,556 |
Prospect Capital Corp. | 5.875% | 3/15/23 | 1,425 | 1,460 |
Insurance (4.8%) | ||||
Aetna Inc. | 2.750% | 11/15/22 | 7,861 | 7,839 |
Aetna Inc. | 2.800% | 6/15/23 | 11,909 | 11,840 |
Aetna Inc. | 3.500% | 11/15/24 | 8,665 | 8,894 |
Aetna Inc. | 3.200% | 6/15/26 | 23,250 | 23,489 |
Aflac Inc. | 3.625% | 6/15/23 | 5,465 | 5,674 |
Aflac Inc. | 3.625% | 11/15/24 | 7,935 | 8,212 |
Aflac Inc. | 3.250% | 3/17/25 | 3,575 | 3,570 |
Aflac Inc. | 2.875% | 10/15/26 | 4,793 | 4,633 |
Alleghany Corp. | 4.950% | 6/27/22 | 2,816 | 3,094 |
Allied World Assurance Co. Holdings Ltd. | 4.350% | 10/29/25 | 4,225 | 4,233 |
Allstate Corp. | 3.150% | 6/15/23 | 5,075 | 5,188 |
Allstate Corp. | 3.280% | 12/15/26 | 4,550 | 4,576 |
1 Allstate Corp. | 5.750% | 8/15/53 | 6,750 | 7,273 |
American Financial Group Inc. | 3.500% | 8/15/26 | 2,295 | 2,239 |
American International Group Inc. | 4.875% | 6/1/22 | 10,730 | 11,628 |
41
Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
American International Group Inc. | 4.125% | 2/15/24 | 9,956 | 10,355 |
American International Group Inc. | 3.750% | 7/10/25 | 12,465 | 12,526 |
American International Group Inc. | 3.900% | 4/1/26 | 13,604 | 13,737 |
Anthem Inc. | 3.125% | 5/15/22 | 7,863 | 7,894 |
Anthem Inc. | 3.300% | 1/15/23 | 8,824 | 8,889 |
Anthem Inc. | 3.500% | 8/15/24 | 7,193 | 7,220 |
Aon Corp. | 8.205% | 1/1/27 | 3,185 | 4,089 |
Aon plc | 4.000% | 11/27/23 | 1,875 | 1,957 |
Aon plc | 3.500% | 6/14/24 | 8,724 | 8,779 |
Aon plc | 3.875% | 12/15/25 | 5,659 | 5,805 |
Arch Capital Finance LLC | 4.011% | 12/15/26 | 8,225 | 8,473 |
Aspen Insurance Holdings Ltd. | 4.650% | 11/15/23 | 1,650 | 1,733 |
Assurant Inc. | 4.000% | 3/15/23 | 2,800 | 2,831 |
Assured Guaranty US Holdings Inc. | 5.000% | 7/1/24 | 3,731 | 4,049 |
Berkshire Hathaway Finance Corp. | 3.000% | 5/15/22 | 6,811 | 6,982 |
Berkshire Hathaway Inc. | 3.000% | 2/11/23 | 5,940 | 6,056 |
Berkshire Hathaway Inc. | 2.750% | 3/15/23 | 22,323 | 22,333 |
Berkshire Hathaway Inc. | 3.125% | 3/15/26 | 24,926 | 25,030 |
Black Knight InfoServ LLC / Black Knight Lending | ||||
Solutions Inc. | 5.750% | 4/15/23 | 1,540 | 1,609 |
Brown & Brown Inc. | 4.200% | 9/15/24 | 4,625 | 4,678 |
Chubb INA Holdings Inc. | 2.875% | 11/3/22 | 10,150 | 10,258 |
Chubb INA Holdings Inc. | 2.700% | 3/13/23 | 3,297 | 3,280 |
Chubb INA Holdings Inc. | 3.350% | 5/15/24 | 5,116 | 5,237 |
Chubb INA Holdings Inc. | 3.150% | 3/15/25 | 6,940 | 6,998 |
Chubb INA Holdings Inc. | 3.350% | 5/3/26 | 16,925 | 17,231 |
Cigna Corp. | 3.250% | 4/15/25 | 7,650 | 7,595 |
CNA Financial Corp. | 3.950% | 5/15/24 | 3,895 | 4,008 |
CNA Financial Corp. | 4.500% | 3/1/26 | 5,335 | 5,613 |
Fidelity National Financial Inc. | 5.500% | 9/1/22 | 2,575 | 2,727 |
First American Financial Corp. | 4.600% | 11/15/24 | 2,850 | 2,883 |
Hanover Insurance Group Inc. | 4.500% | 4/15/26 | 2,650 | 2,744 |
Hartford Financial Services Group Inc. | 5.125% | 4/15/22 | 9,069 | 10,048 |
Horace Mann Educators Corp. | 4.500% | 12/1/25 | 1,325 | 1,320 |
Humana Inc. | 3.150% | 12/1/22 | 4,369 | 4,391 |
Humana Inc. | 3.850% | 10/1/24 | 5,825 | 5,959 |
Infinity Property & Casualty Corp. | 5.000% | 9/19/22 | 2,350 | 2,402 |
Kemper Corp. | 4.350% | 2/15/25 | 3,000 | 3,008 |
Lincoln National Corp. | 4.200% | 3/15/22 | 2,922 | 3,096 |
Lincoln National Corp. | 4.000% | 9/1/23 | 1,900 | 1,980 |
Lincoln National Corp. | 3.350% | 3/9/25 | 2,385 | 2,380 |
Lincoln National Corp. | 3.625% | 12/12/26 | 4,670 | 4,675 |
Loews Corp. | 2.625% | 5/15/23 | 6,483 | 6,338 |
Loews Corp. | 3.750% | 4/1/26 | 3,152 | 3,230 |
Manulife Financial Corp. | 4.150% | 3/4/26 | 10,710 | 11,310 |
1 Manulife Financial Corp. | 4.061% | 2/24/32 | 5,600 | 5,636 |
Markel Corp. | 4.900% | 7/1/22 | 3,370 | 3,646 |
Markel Corp. | 3.625% | 3/30/23 | 2,225 | 2,277 |
Marsh & McLennan Cos. Inc. | 3.300% | 3/14/23 | 6,075 | 6,201 |
Marsh & McLennan Cos. Inc. | 4.050% | 10/15/23 | 925 | 974 |
Marsh & McLennan Cos. Inc. | 3.500% | 6/3/24 | 5,125 | 5,243 |
Marsh & McLennan Cos. Inc. | 3.500% | 3/10/25 | 6,065 | 6,107 |
Marsh & McLennan Cos. Inc. | 3.750% | 3/14/26 | 8,960 | 9,229 |
MetLife Inc. | 3.048% | 12/15/22 | 4,059 | 4,108 |
MetLife Inc. | 4.368% | 9/15/23 | 8,941 | 9,630 |
MetLife Inc. | 3.600% | 4/10/24 | 8,325 | 8,609 |
MetLife Inc. | 3.000% | 3/1/25 | 4,483 | 4,438 |
MetLife Inc. | 3.600% | 11/13/25 | 5,225 | 5,342 |
Montpelier Re Holdings Ltd. | 4.700% | 10/15/22 | 675 | 700 |
Munich Re America Corp. | 7.450% | 12/15/26 | 1,350 | 1,705 |
Navigators Group Inc. | 5.750% | 10/15/23 | 1,500 | 1,592 |
Old Republic International Corp. | 4.875% | 10/1/24 | 3,000 | 3,180 |
Old Republic International Corp. | 3.875% | 8/26/26 | 6,875 | 6,738 |
OneBeacon US Holdings Inc. | 4.600% | 11/9/22 | 1,625 | 1,619 |
42
Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Primerica Inc. | 4.750% | 7/15/22 | 3,187 | 3,420 |
Principal Financial Group Inc. | 3.300% | 9/15/22 | 1,675 | 1,707 |
Principal Financial Group Inc. | 3.125% | 5/15/23 | 3,133 | 3,116 |
Principal Financial Group Inc. | 3.400% | 5/15/25 | 4,374 | 4,392 |
Principal Financial Group Inc. | 3.100% | 11/15/26 | 2,650 | 2,580 |
ProAssurance Corp. | 5.300% | 11/15/23 | 1,250 | 1,369 |
Progressive Corp. | 2.450% | 1/15/27 | 3,000 | 2,823 |
Prudential Financial Inc. | 3.500% | 5/15/24 | 8,085 | 8,302 |
1 Prudential Financial Inc. | 5.875% | 9/15/42 | 8,675 | 9,456 |
1 Prudential Financial Inc. | 5.625% | 6/15/43 | 12,750 | 13,674 |
1 Prudential Financial Inc. | 5.200% | 3/15/44 | 4,675 | 4,821 |
1 Prudential Financial Inc. | 5.375% | 5/15/45 | 8,500 | 8,861 |
Reinsurance Group of America Inc. | 4.700% | 9/15/23 | 2,450 | 2,622 |
Reinsurance Group of America Inc. | 3.950% | 9/15/26 | 2,000 | 2,016 |
StanCorp Financial Group Inc. | 5.000% | 8/15/22 | 2,000 | 2,095 |
Swiss Re Solutions Holding Corp. | 7.000% | 2/15/26 | 2,540 | 3,149 |
Symetra Financial Corp. | 4.250% | 7/15/24 | 1,350 | 1,344 |
Torchmark Corp. | 3.800% | 9/15/22 | 1,130 | 1,155 |
Trinity Acquisition plc | 4.625% | 8/15/23 | 1,575 | 1,658 |
Trinity Acquisition plc | 4.400% | 3/15/26 | 5,800 | 5,824 |
UnitedHealth Group Inc. | 2.875% | 3/15/22 | 6,777 | 6,896 |
UnitedHealth Group Inc. | 3.350% | 7/15/22 | 7,444 | 7,733 |
UnitedHealth Group Inc. | 2.750% | 2/15/23 | 5,150 | 5,135 |
UnitedHealth Group Inc. | 2.875% | 3/15/23 | 9,127 | 9,190 |
UnitedHealth Group Inc. | 3.750% | 7/15/25 | 22,871 | 23,922 |
UnitedHealth Group Inc. | 3.100% | 3/15/26 | 7,842 | 7,804 |
UnitedHealth Group Inc. | 3.450% | 1/15/27 | 6,000 | 6,125 |
Unum Group | 4.000% | 3/15/24 | 5,175 | 5,251 |
Voya Financial Inc. | 5.500% | 7/15/22 | 2,636 | 2,922 |
Voya Financial Inc. | 3.650% | 6/15/26 | 4,550 | 4,482 |
WR Berkley Corp. | 4.625% | 3/15/22 | 2,600 | 2,801 |
XLIT Ltd. | 6.375% | 11/15/24 | 1,796 | 2,103 |
XLIT Ltd. | 4.450% | 3/31/25 | 6,100 | 6,141 |
Other Finance (0.0%) | ||||
Jones Lang LaSalle Inc. | 4.400% | 11/15/22 | 925 | 963 |
Real Estate Investment Trusts (4.9%) | ||||
Alexandria Real Estate Equities Inc. | 4.600% | 4/1/22 | 4,346 | 4,632 |
Alexandria Real Estate Equities Inc. | 3.900% | 6/15/23 | 3,350 | 3,414 |
Alexandria Real Estate Equities Inc. | 4.300% | 1/15/26 | 2,656 | 2,759 |
Alexandria Real Estate Equities Inc. | 3.950% | 1/15/27 | 1,625 | 1,638 |
American Campus Communities Operating Partnership | ||||
LP | 3.750% | 4/15/23 | 5,399 | 5,483 |
American Campus Communities Operating Partnership | ||||
LP | 4.125% | 7/1/24 | 2,900 | 2,993 |
AvalonBay Communities Inc. | 2.950% | 9/15/22 | 500 | 504 |
AvalonBay Communities Inc. | 2.850% | 3/15/23 | 1,650 | 1,627 |
AvalonBay Communities Inc. | 4.200% | 12/15/23 | 4,100 | 4,355 |
AvalonBay Communities Inc. | 3.500% | 11/15/24 | 3,733 | 3,808 |
AvalonBay Communities Inc. | 3.450% | 6/1/25 | 5,025 | 5,086 |
AvalonBay Communities Inc. | 3.500% | 11/15/25 | 3,000 | 3,038 |
AvalonBay Communities Inc. | 2.950% | 5/11/26 | 4,690 | 4,531 |
AvalonBay Communities Inc. | 2.900% | 10/15/26 | 3,775 | 3,639 |
Boston Properties LP | 3.850% | 2/1/23 | 5,726 | 5,939 |
Boston Properties LP | 3.125% | 9/1/23 | 3,725 | 3,708 |
Boston Properties LP | 3.800% | 2/1/24 | 10,312 | 10,634 |
Boston Properties LP | 3.650% | 2/1/26 | 9,884 | 9,928 |
Boston Properties LP | 2.750% | 10/1/26 | 7,533 | 7,000 |
Brandywine Operating Partnership LP | 3.950% | 2/15/23 | 4,887 | 4,927 |
Brandywine Operating Partnership LP | 4.100% | 10/1/24 | 1,885 | 1,877 |
Brixmor Operating Partnership LP | 3.875% | 8/15/22 | 5,603 | 5,750 |
Brixmor Operating Partnership LP | 3.250% | 9/15/23 | 5,040 | 4,937 |
Brixmor Operating Partnership LP | 3.850% | 2/1/25 | 7,745 | 7,734 |
43
Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Brixmor Operating Partnership LP | 4.125% | 6/15/26 | 4,520 | 4,577 |
Camden Property Trust | 2.950% | 12/15/22 | 2,950 | 2,904 |
Camden Property Trust | 4.875% | 6/15/23 | 2,400 | 2,602 |
Camden Property Trust | 4.250% | 1/15/24 | 3,450 | 3,602 |
Camden Property Trust | 3.500% | 9/15/24 | 150 | 149 |
Care Capital Properties LP | 5.125% | 8/15/26 | 3,575 | 3,528 |
CBL & Associates LP | 5.250% | 12/1/23 | 3,225 | 3,249 |
CBL & Associates LP | 4.600% | 10/15/24 | 4,550 | 4,270 |
CBL & Associates LP | 5.950% | 12/15/26 | 1,000 | 1,000 |
Columbia Property Trust Operating Partnership LP | 4.150% | 4/1/25 | 3,085 | 3,118 |
Columbia Property Trust Operating Partnership LP | 3.650% | 8/15/26 | 5,500 | 5,320 |
Corporate Office Properties LP | 3.600% | 5/15/23 | 3,625 | 3,526 |
Corporate Office Properties LP | 5.250% | 2/15/24 | 3,075 | 3,262 |
Corporate Office Properties LP | 5.000% | 7/1/25 | 1,000 | 1,045 |
CubeSmart LP | 4.800% | 7/15/22 | 3,075 | 3,302 |
CubeSmart LP | 4.375% | 12/15/23 | 2,200 | 2,298 |
CubeSmart LP | 4.000% | 11/15/25 | 2,325 | 2,360 |
CubeSmart LP | 3.125% | 9/1/26 | 1,695 | 1,611 |
DCT Industrial Operating Partnership LP | 4.500% | 10/15/23 | 1,200 | 1,236 |
DDR Corp. | 4.625% | 7/15/22 | 4,474 | 4,719 |
DDR Corp. | 3.375% | 5/15/23 | 3,250 | 3,179 |
DDR Corp. | 3.625% | 2/1/25 | 6,680 | 6,489 |
DDR Corp. | 4.250% | 2/1/26 | 3,550 | 3,576 |
Digital Realty Trust LP | 3.950% | 7/1/22 | 5,850 | 6,082 |
Digital Realty Trust LP | 3.625% | 10/1/22 | 4,661 | 4,760 |
Digital Realty Trust LP | 4.750% | 10/1/25 | 3,115 | 3,274 |
Duke Realty LP | 4.375% | 6/15/22 | 300 | 320 |
Duke Realty LP | 3.875% | 10/15/22 | 4,188 | 4,368 |
Duke Realty LP | 3.625% | 4/15/23 | 3,650 | 3,704 |
Duke Realty LP | 3.750% | 12/1/24 | 3,550 | 3,633 |
Duke Realty LP | 3.250% | 6/30/26 | 1,800 | 1,754 |
Education Realty Operating Partnership LP | 4.600% | 12/1/24 | 1,300 | 1,309 |
EPR Properties | 5.750% | 8/15/22 | 2,590 | 2,828 |
EPR Properties | 5.250% | 7/15/23 | 1,725 | 1,818 |
EPR Properties | 4.500% | 4/1/25 | 2,850 | 2,840 |
EPR Properties | 4.750% | 12/15/26 | 4,500 | 4,524 |
Equity One Inc. | 3.750% | 11/15/22 | 2,530 | 2,597 |
ERP Operating LP | 3.000% | 4/15/23 | 4,125 | 4,092 |
ERP Operating LP | 3.375% | 6/1/25 | 2,950 | 2,944 |
ERP Operating LP | 2.850% | 11/1/26 | 5,425 | 5,133 |
Essex Portfolio LP | 3.625% | 8/15/22 | 1,300 | 1,336 |
Essex Portfolio LP | 3.375% | 1/15/23 | 1,996 | 2,012 |
Essex Portfolio LP | 3.250% | 5/1/23 | 5,615 | 5,604 |
Essex Portfolio LP | 3.875% | 5/1/24 | 3,464 | 3,570 |
Essex Portfolio LP | 3.500% | 4/1/25 | 4,815 | 4,804 |
Essex Portfolio LP | 3.375% | 4/15/26 | 2,250 | 2,209 |
Federal Realty Investment Trust | 3.000% | 8/1/22 | 875 | 880 |
Federal Realty Investment Trust | 2.750% | 6/1/23 | 5,352 | 5,227 |
HCP Inc. | 3.150% | 8/1/22 | 5,121 | 5,105 |
HCP Inc. | 4.000% | 12/1/22 | 6,375 | 6,595 |
HCP Inc. | 4.250% | 11/15/23 | 6,805 | 7,056 |
HCP Inc. | 4.200% | 3/1/24 | 3,675 | 3,792 |
HCP Inc. | 3.875% | 8/15/24 | 7,605 | 7,710 |
HCP Inc. | 3.400% | 2/1/25 | 4,038 | 3,941 |
HCP Inc. | 4.000% | 6/1/25 | 6,296 | 6,397 |
Healthcare Realty Trust Inc. | 3.750% | 4/15/23 | 1,150 | 1,147 |
Healthcare Realty Trust Inc. | 3.875% | 5/1/25 | 1,531 | 1,516 |
Healthcare Trust of America Holdings LP | 3.700% | 4/15/23 | 1,875 | 1,882 |
Healthcare Trust of America Holdings LP | 3.500% | 8/1/26 | 3,050 | 2,938 |
Highwoods Realty LP | 3.625% | 1/15/23 | 800 | 810 |
Highwoods Realty LP | 3.875% | 3/1/27 | 2,600 | 2,603 |
Hospitality Properties Trust | 5.000% | 8/15/22 | 3,786 | 4,045 |
Hospitality Properties Trust | 4.500% | 6/15/23 | 2,475 | 2,551 |
Hospitality Properties Trust | 4.650% | 3/15/24 | 2,640 | 2,710 |
44
Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Hospitality Properties Trust | 4.500% | 3/15/25 | 3,100 | 3,069 |
Hospitality Properties Trust | 5.250% | 2/15/26 | 3,685 | 3,820 |
Hospitality Properties Trust | 4.950% | 2/15/27 | 5,200 | 5,309 |
Host Hotels & Resorts LP | 5.250% | 3/15/22 | 2,490 | 2,697 |
Host Hotels & Resorts LP | 4.750% | 3/1/23 | 5,198 | 5,488 |
Host Hotels & Resorts LP | 3.750% | 10/15/23 | 6,690 | 6,692 |
Host Hotels & Resorts LP | 4.000% | 6/15/25 | 3,500 | 3,519 |
Kilroy Realty LP | 3.800% | 1/15/23 | 5,200 | 5,328 |
Kilroy Realty LP | 4.375% | 10/1/25 | 2,717 | 2,848 |
Kimco Realty Corp. | 3.400% | 11/1/22 | 5,050 | 5,119 |
Kimco Realty Corp. | 3.125% | 6/1/23 | 3,563 | 3,547 |
Kimco Realty Corp. | 2.700% | 3/1/24 | 775 | 746 |
Kimco Realty Corp. | 2.800% | 10/1/26 | 6,000 | 5,622 |
Kite Realty Group LP | 4.000% | 10/1/26 | 2,375 | 2,296 |
Lexington Realty Trust | 4.250% | 6/15/23 | 1,325 | 1,311 |
Lexington Realty Trust | 4.400% | 6/15/24 | 2,405 | 2,382 |
Liberty Property LP | 4.125% | 6/15/22 | 4,568 | 4,789 |
Liberty Property LP | 3.375% | 6/15/23 | 3,943 | 3,952 |
Liberty Property LP | 4.400% | 2/15/24 | 3,025 | 3,205 |
Liberty Property LP | 3.750% | 4/1/25 | 2,225 | 2,251 |
Liberty Property LP | 3.250% | 10/1/26 | 2,850 | 2,754 |
LifeStorage LP | 3.500% | 7/1/26 | 5,250 | 5,046 |
Mack-Cali Realty LP | 4.500% | 4/18/22 | 2,390 | 2,415 |
Mack-Cali Realty LP | 3.150% | 5/15/23 | 985 | 931 |
Mid-America Apartments LP | 4.300% | 10/15/23 | 2,475 | 2,596 |
Mid-America Apartments LP | 3.750% | 6/15/24 | 3,450 | 3,520 |
Mid-America Apartments LP | 4.000% | 11/15/25 | 4,050 | 4,142 |
National Retail Properties Inc. | 3.800% | 10/15/22 | 2,233 | 2,317 |
National Retail Properties Inc. | 3.300% | 4/15/23 | 2,075 | 2,083 |
National Retail Properties Inc. | 3.900% | 6/15/24 | 6,800 | 6,999 |
National Retail Properties Inc. | 4.000% | 11/15/25 | 2,400 | 2,464 |
National Retail Properties Inc. | 3.600% | 12/15/26 | 5,350 | 5,310 |
Omega Healthcare Investors Inc. | 4.375% | 8/1/23 | 8,865 | 8,998 |
Omega Healthcare Investors Inc. | 5.875% | 3/15/24 | 3,445 | 3,557 |
Omega Healthcare Investors Inc. | 4.950% | 4/1/24 | 4,705 | 4,858 |
Omega Healthcare Investors Inc. | 4.500% | 1/15/25 | 4,285 | 4,274 |
Omega Healthcare Investors Inc. | 5.250% | 1/15/26 | 4,525 | 4,740 |
Piedmont Operating Partnership LP | 3.400% | 6/1/23 | 1,000 | 967 |
Piedmont Operating Partnership LP | 4.450% | 3/15/24 | 4,525 | 4,579 |
Post Apartment Homes LP | 3.375% | 12/1/22 | 1,001 | 996 |
Prologis LP | 4.250% | 8/15/23 | 7,875 | 8,408 |
Prologis LP | 3.750% | 11/1/25 | 7,650 | 7,895 |
Realty Income Corp. | 3.250% | 10/15/22 | 6,702 | 6,800 |
Realty Income Corp. | 4.650% | 8/1/23 | 5,605 | 6,061 |
Realty Income Corp. | 3.875% | 7/15/24 | 2,200 | 2,273 |
Realty Income Corp. | 4.125% | 10/15/26 | 1,125 | 1,172 |
Realty Income Corp. | 3.000% | 1/15/27 | 6,150 | 5,835 |
Regency Centers LP | 3.750% | 6/15/24 | 2,825 | 2,893 |
Regency Centers LP | 3.900% | 11/1/25 | 1,000 | 1,025 |
Regency Centers LP | 3.600% | 2/1/27 | 2,925 | 2,925 |
Retail Opportunity Investments Partnership LP | 5.000% | 12/15/23 | 1,250 | 1,285 |
Retail Properties of America Inc. | 4.000% | 3/15/25 | 1,750 | 1,681 |
Select Income REIT | 4.500% | 2/1/25 | 4,125 | 4,033 |
Senior Housing Properties Trust | 4.750% | 5/1/24 | 1,900 | 1,944 |
Simon Property Group LP | 3.375% | 3/15/22 | 3,264 | 3,369 |
Simon Property Group LP | 2.750% | 2/1/23 | 5,427 | 5,382 |
Simon Property Group LP | 3.750% | 2/1/24 | 5,227 | 5,450 |
Simon Property Group LP | 3.375% | 10/1/24 | 6,142 | 6,246 |
Simon Property Group LP | 3.500% | 9/1/25 | 6,873 | 7,035 |
Simon Property Group LP | 3.300% | 1/15/26 | 8,800 | 8,772 |
Simon Property Group LP | 3.250% | 11/30/26 | 6,750 | 6,677 |
2 Spirit Realty LP | 4.450% | 9/15/26 | 2,225 | 2,164 |
Tanger Properties LP | 3.875% | 12/1/23 | 1,750 | 1,790 |
Tanger Properties LP | 3.750% | 12/1/24 | 1,100 | 1,106 |
45
Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Tanger Properties LP | 3.125% | 9/1/26 | 3,335 | 3,175 |
UDR Inc. | 3.750% | 7/1/24 | 3,480 | 3,540 |
UDR Inc. | 4.000% | 10/1/25 | 1,700 | 1,746 |
UDR Inc. | 2.950% | 9/1/26 | 2,545 | 2,385 |
Ventas Realty LP | 3.125% | 6/15/23 | 3,675 | 3,619 |
Ventas Realty LP | 3.750% | 5/1/24 | 2,555 | 2,583 |
Ventas Realty LP | 3.500% | 2/1/25 | 3,920 | 3,850 |
Ventas Realty LP | 4.125% | 1/15/26 | 5,601 | 5,719 |
Ventas Realty LP | 3.250% | 10/15/26 | 3,665 | 3,481 |
Ventas Realty LP / Ventas Capital Corp. | 4.250% | 3/1/22 | 4,251 | 4,485 |
Ventas Realty LP / Ventas Capital Corp. | 3.250% | 8/15/22 | 7,093 | 7,173 |
VEREIT Operating Partnership LP | 4.600% | 2/6/24 | 1,535 | 1,581 |
VEREIT Operating Partnership LP | 4.875% | 6/1/26 | 8,614 | 9,066 |
Washington REIT | 3.950% | 10/15/22 | 1,550 | 1,562 |
Weingarten Realty Investors | 3.375% | 10/15/22 | 2,550 | 2,564 |
Weingarten Realty Investors | 3.500% | 4/15/23 | 2,975 | 2,990 |
Weingarten Realty Investors | 4.450% | 1/15/24 | 725 | 763 |
Weingarten Realty Investors | 3.850% | 6/1/25 | 600 | 606 |
Weingarten Realty Investors | 3.250% | 8/15/26 | 3,300 | 3,162 |
Welltower Inc. | 3.750% | 3/15/23 | 5,020 | 5,147 |
Welltower Inc. | 4.500% | 1/15/24 | 3,354 | 3,561 |
Welltower Inc. | 4.000% | 6/1/25 | 11,931 | 12,199 |
Welltower Inc. | 4.250% | 4/1/26 | 7,911 | 8,243 |
WP Carey Inc. | 4.600% | 4/1/24 | 5,858 | 6,061 |
WP Carey Inc. | 4.000% | 2/1/25 | 2,550 | 2,512 |
WP Carey Inc. | 4.250% | 10/1/26 | 2,575 | 2,571 |
4,556,846 | ||||
Industrial (60.0%) | ||||
Basic Industry (3.1%) | ||||
Agrium Inc. | 3.150% | 10/1/22 | 7,943 | 7,941 |
Agrium Inc. | 3.500% | 6/1/23 | 5,299 | 5,372 |
Agrium Inc. | 3.375% | 3/15/25 | 7,125 | 7,018 |
Air Products & Chemicals Inc. | 2.750% | 2/3/23 | 2,750 | 2,752 |
Air Products & Chemicals Inc. | 3.350% | 7/31/24 | 4,845 | 4,998 |
Airgas Inc. | 2.900% | 11/15/22 | 1,610 | 1,627 |
Airgas Inc. | 3.650% | 7/15/24 | 3,069 | 3,187 |
Albemarle Corp. | 4.150% | 12/1/24 | 4,895 | 5,095 |
Barrick Gold Corp. | 3.850% | 4/1/22 | 1,635 | 1,730 |
Barrick Gold Corp. | 4.100% | 5/1/23 | 11,894 | 12,797 |
BHP Billiton Finance USA Ltd. | 2.875% | 2/24/22 | 8,405 | 8,621 |
BHP Billiton Finance USA Ltd. | 3.850% | 9/30/23 | 16,665 | 17,916 |
Braskem Finance Ltd. | 6.450% | 2/3/24 | 7,000 | 7,551 |
Cabot Corp. | 3.700% | 7/15/22 | 3,990 | 4,089 |
Cabot Corp. | 3.400% | 9/15/26 | 1,000 | 958 |
Celulosa Arauco y Constitucion SA | 4.500% | 8/1/24 | 2,900 | 2,971 |
Cytec Industries Inc. | 3.500% | 4/1/23 | 6,381 | 6,379 |
Cytec Industries Inc. | 3.950% | 5/1/25 | 200 | 202 |
Domtar Corp. | 4.400% | 4/1/22 | 1,446 | 1,511 |
Dow Chemical Co. | 3.000% | 11/15/22 | 11,367 | 11,519 |
Dow Chemical Co. | 3.500% | 10/1/24 | 7,860 | 7,995 |
Eastman Chemical Co. | 3.600% | 8/15/22 | 7,482 | 7,731 |
Eastman Chemical Co. | 3.800% | 3/15/25 | 5,189 | 5,315 |
Ecolab Inc. | 3.250% | 1/14/23 | 2,350 | 2,399 |
Ecolab Inc. | 2.700% | 11/1/26 | 7,352 | 7,065 |
EI du Pont de Nemours & Co. | 2.800% | 2/15/23 | 11,655 | 11,570 |
Fibria Overseas Finance Ltd. | 5.250% | 5/12/24 | 4,893 | 5,040 |
Fibria Overseas Finance Ltd. | 5.500% | 1/17/27 | 6,000 | 6,045 |
FMC Corp. | 4.100% | 2/1/24 | 4,400 | 4,503 |
Georgia-Pacific LLC | 8.000% | 1/15/24 | 2,541 | 3,274 |
Georgia-Pacific LLC | 7.375% | 12/1/25 | 2,427 | 3,100 |
Goldcorp Inc. | 3.700% | 3/15/23 | 13,415 | 13,683 |
International Flavors & Fragrances Inc. | 3.200% | 5/1/23 | 1,475 | 1,467 |
International Paper Co. | 3.650% | 6/15/24 | 5,849 | 5,972 |
46
Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
International Paper Co. | 3.800% | 1/15/26 | 3,925 | 3,996 |
International Paper Co. | 3.000% | 2/15/27 | 5,061 | 4,784 |
LYB International Finance BV | 4.000% | 7/15/23 | 7,180 | 7,538 |
LYB International Finance II BV | 3.500% | 3/2/27 | 3,100 | 3,085 |
LyondellBasell Industries NV | 5.750% | 4/15/24 | 10,161 | 11,660 |
Methanex Corp. | 4.250% | 12/1/24 | 4,040 | 4,000 |
Monsanto Co. | 2.200% | 7/15/22 | 1,350 | 1,300 |
Monsanto Co. | 3.375% | 7/15/24 | 8,210 | 8,287 |
Monsanto Co. | 2.850% | 4/15/25 | 4,500 | 4,335 |
Monsanto Co. | 5.500% | 8/15/25 | 575 | 648 |
Mosaic Co. | 4.250% | 11/15/23 | 8,275 | 8,590 |
NewMarket Corp. | 4.100% | 12/15/22 | 1,050 | 1,074 |
Newmont Mining Corp. | 3.500% | 3/15/22 | 6,699 | 6,916 |
Nucor Corp. | 4.125% | 9/15/22 | 6,066 | 6,487 |
Nucor Corp. | 4.000% | 8/1/23 | 5,439 | 5,756 |
Packaging Corp. of America | 3.900% | 6/15/22 | 8,447 | 8,843 |
Packaging Corp. of America | 4.500% | 11/1/23 | 5,870 | 6,246 |
Packaging Corp. of America | 3.650% | 9/15/24 | 4,670 | 4,743 |
Plum Creek Timberlands LP | 3.250% | 3/15/23 | 500 | 500 |
Potash Corp. of Saskatchewan Inc. | 3.625% | 3/15/24 | 4,115 | 4,113 |
Potash Corp. of Saskatchewan Inc. | 3.000% | 4/1/25 | 4,000 | 3,808 |
Potash Corp. of Saskatchewan Inc. | 4.000% | 12/15/26 | 6,900 | 6,983 |
Praxair Inc. | 2.200% | 8/15/22 | 5,243 | 5,170 |
Praxair Inc. | 2.700% | 2/21/23 | 2,200 | 2,193 |
Praxair Inc. | 2.650% | 2/5/25 | 2,465 | 2,423 |
Praxair Inc. | 3.200% | 1/30/26 | 7,825 | 7,976 |
Rayonier Inc. | 3.750% | 4/1/22 | 2,225 | 2,224 |
Reliance Steel & Aluminum Co. | 4.500% | 4/15/23 | 4,125 | 4,289 |
Rio Tinto Finance USA Ltd. | 3.750% | 6/15/25 | 10,150 | 10,552 |
Rio Tinto Finance USA plc | 3.500% | 3/22/22 | 5,366 | 5,556 |
Rio Tinto Finance USA plc | 2.875% | 8/21/22 | 5,633 | 5,684 |
RPM International Inc. | 3.450% | 11/15/22 | 3,405 | 3,422 |
RPM International Inc. | 3.750% | 3/15/27 | 900 | 902 |
Sherwin-Williams Co. | 3.450% | 8/1/25 | 3,625 | 3,630 |
Southern Copper Corp. | 3.500% | 11/8/22 | 1,200 | 1,209 |
Southern Copper Corp. | 3.875% | 4/23/25 | 5,775 | 5,833 |
Syngenta Finance NV | 3.125% | 3/28/22 | 3,732 | 3,722 |
Vale Overseas Ltd. | 6.250% | 8/10/26 | 12,360 | 13,658 |
Valspar Corp. | 3.950% | 1/15/26 | 3,200 | 3,223 |
Westlake Chemical Corp. | 3.600% | 7/15/22 | 1,825 | 1,843 |
2 Westlake Chemical Corp. | 3.600% | 8/15/26 | 10,705 | 10,485 |
WestRock RKT Co. | 4.900% | 3/1/22 | 2,075 | 2,250 |
WestRock RKT Co. | 4.000% | 3/1/23 | 4,370 | 4,527 |
Weyerhaeuser Co. | 4.625% | 9/15/23 | 4,850 | 5,212 |
Weyerhaeuser Co. | 8.500% | 1/15/25 | 1,375 | 1,810 |
Worthington Industries Inc. | 4.550% | 4/15/26 | 1,225 | 1,246 |
Yamana Gold Inc. | 4.950% | 7/15/24 | 2,835 | 2,860 |
Capital Goods (4.6%) | ||||
3M Co. | 2.000% | 6/26/22 | 4,245 | 4,191 |
3M Co. | 3.000% | 8/7/25 | 2,324 | 2,360 |
3M Co. | 2.250% | 9/19/26 | 8,330 | 7,854 |
ABB Finance USA Inc. | 2.875% | 5/8/22 | 9,221 | 9,329 |
Avery Dennison Corp. | 3.350% | 4/15/23 | 1,150 | 1,149 |
Bemis Co. Inc. | 3.100% | 9/15/26 | 2,200 | 2,132 |
Boeing Co. | 2.125% | 3/1/22 | 2,300 | 2,281 |
Boeing Co. | 2.200% | 10/30/22 | 1,620 | 1,583 |
Boeing Co. | 1.875% | 6/15/23 | 3,950 | 3,777 |
Boeing Co. | 7.950% | 8/15/24 | 3,415 | 4,509 |
Boeing Co. | 2.850% | 10/30/24 | 6,108 | 6,141 |
Boeing Co. | 2.500% | 3/1/25 | 1,250 | 1,215 |
Boeing Co. | 2.600% | 10/30/25 | 2,350 | 2,291 |
Boeing Co. | 2.250% | 6/15/26 | 2,725 | 2,575 |
Boeing Co. | 2.800% | 3/1/27 | 2,300 | 2,268 |
47
Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Carlisle Cos. Inc. | 3.750% | 11/15/22 | 2,475 | 2,455 |
Caterpillar Financial Services Corp. | 2.850% | 6/1/22 | 4,835 | 4,874 |
Caterpillar Financial Services Corp. | 2.625% | 3/1/23 | 2,500 | 2,472 |
Caterpillar Financial Services Corp. | 3.750% | 11/24/23 | 3,650 | 3,845 |
Caterpillar Financial Services Corp. | 3.300% | 6/9/24 | 2,250 | 2,282 |
Caterpillar Financial Services Corp. | 3.250% | 12/1/24 | 3,450 | 3,521 |
Caterpillar Financial Services Corp. | 2.400% | 8/9/26 | 4,650 | 4,407 |
Caterpillar Inc. | 2.600% | 6/26/22 | 3,800 | 3,807 |
Caterpillar Inc. | 3.400% | 5/15/24 | 9,610 | 9,951 |
Crane Co. | 4.450% | 12/15/23 | 2,200 | 2,285 |
Deere & Co. | 2.600% | 6/8/22 | 9,954 | 9,981 |
Dover Corp. | 3.150% | 11/15/25 | 5,950 | 6,012 |
Eaton Corp. | 2.750% | 11/2/22 | 14,032 | 14,058 |
Embraer Netherlands Finance BV | 5.050% | 6/15/25 | 13,425 | 13,947 |
Embraer Netherlands Finance BV | 5.400% | 2/1/27 | 7,075 | 7,304 |
2 Embraer Overseas Ltd. | 5.696% | 9/16/23 | 2,725 | 2,952 |
Embraer SA | 5.150% | 6/15/22 | 3,800 | 4,044 |
Emerson Electric Co. | 2.625% | 2/15/23 | 3,050 | 3,043 |
Emerson Electric Co. | 3.150% | 6/1/25 | 2,550 | 2,607 |
Flowserve Corp. | 3.500% | 9/15/22 | 2,625 | 2,663 |
Flowserve Corp. | 4.000% | 11/15/23 | 3,525 | 3,662 |
2 Fortive Corp. | 3.150% | 6/15/26 | 7,952 | 7,881 |
Fortune Brands Home & Security Inc. | 4.000% | 6/15/25 | 3,600 | 3,731 |
General Dynamics Corp. | 2.250% | 11/15/22 | 11,969 | 11,783 |
General Dynamics Corp. | 1.875% | 8/15/23 | 4,754 | 4,525 |
General Dynamics Corp. | 2.125% | 8/15/26 | 3,000 | 2,790 |
General Electric Capital Corp. | 3.150% | 9/7/22 | 11,542 | 11,943 |
General Electric Capital Corp. | 3.100% | 1/9/23 | 13,782 | 14,220 |
General Electric Capital Corp. | 3.450% | 5/15/24 | 7,228 | 7,488 |
General Electric Co. | 2.700% | 10/9/22 | 23,422 | 23,708 |
General Electric Co. | 3.375% | 3/11/24 | 4,933 | 5,122 |
Harris Corp. | 3.832% | 4/27/25 | 3,770 | 3,866 |
Hexcel Corp. | 4.700% | 8/15/25 | 500 | 526 |
Hexcel Corp. | 3.950% | 2/15/27 | 4,500 | 4,536 |
Honeywell International Inc. | 3.350% | 12/1/23 | 2,775 | 2,878 |
Honeywell International Inc. | 2.500% | 11/1/26 | 12,000 | 11,440 |
Hubbell Inc. | 3.350% | 3/1/26 | 3,654 | 3,648 |
Illinois Tool Works Inc. | 3.500% | 3/1/24 | 6,589 | 6,879 |
Illinois Tool Works Inc. | 2.650% | 11/15/26 | 10,850 | 10,469 |
Ingersoll-Rand Global Holding Co. Ltd. | 4.250% | 6/15/23 | 10,485 | 11,190 |
Ingersoll-Rand Luxembourg Finance SA | 3.550% | 11/1/24 | 2,478 | 2,518 |
John Deere Capital Corp. | 2.750% | 3/15/22 | 3,900 | 3,938 |
John Deere Capital Corp. | 2.800% | 1/27/23 | 3,289 | 3,294 |
John Deere Capital Corp. | 2.800% | 3/6/23 | 10,638 | 10,614 |
John Deere Capital Corp. | 3.350% | 6/12/24 | 6,015 | 6,199 |
John Deere Capital Corp. | 3.400% | 9/11/25 | 2,175 | 2,246 |
John Deere Capital Corp. | 2.650% | 6/10/26 | 4,905 | 4,755 |
Johnson Controls International plc | 3.625% | 7/2/24 | 2,800 | 2,868 |
Johnson Controls International plc | 3.900% | 2/14/26 | 7,160 | 7,439 |
L3 Technologies Inc. | 3.950% | 5/28/24 | 2,695 | 2,773 |
L3 Technologies Inc. | 3.850% | 12/15/26 | 4,400 | 4,449 |
Leggett & Platt Inc. | 3.800% | 11/15/24 | 2,700 | 2,737 |
Legrand France SA | 8.500% | 2/15/25 | 2,785 | 3,604 |
Lennox International Inc. | 3.000% | 11/15/23 | 3,175 | 3,127 |
Lockheed Martin Corp. | 3.100% | 1/15/23 | 3,015 | 3,042 |
Lockheed Martin Corp. | 2.900% | 3/1/25 | 8,580 | 8,440 |
Lockheed Martin Corp. | 3.550% | 1/15/26 | 17,273 | 17,654 |
Martin Marietta Materials Inc. | 4.250% | 7/2/24 | 2,550 | 2,651 |
Masco Corp. | 5.950% | 3/15/22 | 2,549 | 2,864 |
Masco Corp. | 4.450% | 4/1/25 | 2,622 | 2,733 |
Masco Corp. | 4.375% | 4/1/26 | 8,800 | 9,163 |
Mohawk Industries Inc. | 3.850% | 2/1/23 | 4,565 | 4,678 |
Northrop Grumman Corp. | 3.250% | 8/1/23 | 10,310 | 10,559 |
Northrop Grumman Corp. | 3.200% | 2/1/27 | 7,100 | 7,063 |
48
Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Northrop Grumman Systems Corp. | 7.875% | 3/1/26 | 1,300 | 1,721 |
Owens Corning | 4.200% | 12/15/22 | 5,360 | 5,587 |
Owens Corning | 4.200% | 12/1/24 | 1,850 | 1,899 |
Owens Corning | 3.400% | 8/15/26 | 4,750 | 4,600 |
Parker-Hannifin Corp. | 3.500% | 9/15/22 | 2,895 | 3,031 |
Parker-Hannifin Corp. | 3.300% | 11/21/24 | 4,297 | 4,391 |
2 Parker-Hannifin Corp. | 3.250% | 3/1/27 | 5,700 | 5,748 |
Pentair Finance SA | 3.150% | 9/15/22 | 3,000 | 2,976 |
Pentair Finance SA | 4.650% | 9/15/25 | 2,592 | 2,696 |
Precision Castparts Corp. | 2.500% | 1/15/23 | 12,223 | 12,074 |
Precision Castparts Corp. | 3.250% | 6/15/25 | 7,381 | 7,455 |
Raytheon Co. | 2.500% | 12/15/22 | 9,845 | 9,837 |
Raytheon Co. | 3.150% | 12/15/24 | 2,375 | 2,417 |
Republic Services Inc. | 3.550% | 6/1/22 | 10,316 | 10,729 |
Republic Services Inc. | 4.750% | 5/15/23 | 3,788 | 4,177 |
Republic Services Inc. | 3.200% | 3/15/25 | 4,069 | 4,069 |
Republic Services Inc. | 2.900% | 7/1/26 | 4,775 | 4,615 |
Rockwell Automation Inc. | 2.875% | 3/1/25 | 1,500 | 1,481 |
Rockwell Collins Inc. | 3.700% | 12/15/23 | 3,015 | 3,130 |
Roper Technologies Inc. | 3.125% | 11/15/22 | 4,647 | 4,686 |
Roper Technologies Inc. | 3.850% | 12/15/25 | 3,850 | 3,930 |
Roper Technologies Inc. | 3.800% | 12/15/26 | 8,700 | 8,762 |
Snap-on Inc. | 3.250% | 3/1/27 | 2,300 | 2,329 |
Spirit AeroSystems Inc. | 5.250% | 3/15/22 | 2,900 | 3,020 |
Spirit AeroSystems Inc. | 3.850% | 6/15/26 | 2,610 | 2,607 |
Stanley Black & Decker Inc. | 2.900% | 11/1/22 | 3,164 | 3,203 |
Textron Inc. | 4.300% | 3/1/24 | 2,740 | 2,859 |
Textron Inc. | 3.875% | 3/1/25 | 3,000 | 3,059 |
Textron Inc. | 4.000% | 3/15/26 | 3,400 | 3,477 |
Textron Inc. | 3.650% | 3/15/27 | 2,300 | 2,300 |
Timken CO | 3.875% | 9/1/24 | 2,185 | 2,157 |
United Technologies Corp. | 3.100% | 6/1/22 | 18,479 | 19,007 |
United Technologies Corp. | 2.650% | 11/1/26 | 11,225 | 10,823 |
Vulcan Materials Co. | 4.500% | 4/1/25 | 3,500 | 3,674 |
2 Wabtec Corp. | 3.450% | 11/15/26 | 6,902 | 6,723 |
Waste Management Inc. | 2.900% | 9/15/22 | 4,610 | 4,682 |
Waste Management Inc. | 2.400% | 5/15/23 | 7,323 | 7,204 |
Waste Management Inc. | 3.500% | 5/15/24 | 2,955 | 3,061 |
Waste Management Inc. | 3.125% | 3/1/25 | 7,091 | 7,153 |
Waste Management Inc. | 7.100% | 8/1/26 | 1,000 | 1,276 |
Xylem Inc. | 3.250% | 11/1/26 | 4,075 | 4,028 |
Communication (7.8%) | ||||
21st Century Fox America Inc. | 3.000% | 9/15/22 | 10,740 | 10,759 |
21st Century Fox America Inc. | 8.875% | 4/26/23 | 1,000 | 1,301 |
21st Century Fox America Inc. | 4.000% | 10/1/23 | 3,350 | 3,499 |
21st Century Fox America Inc. | 3.700% | 9/15/24 | 3,970 | 4,059 |
21st Century Fox America Inc. | 3.700% | 10/15/25 | 2,650 | 2,699 |
21st Century Fox America Inc. | 7.700% | 10/30/25 | 3,785 | 4,855 |
2 21st Century Fox America Inc. | 3.375% | 11/15/26 | 2,650 | 2,605 |
2 Activision Blizzard Inc. | 3.400% | 9/15/26 | 8,778 | 8,450 |
America Movil SAB de CV | 3.125% | 7/16/22 | 15,047 | 15,017 |
American Tower Corp. | 4.700% | 3/15/22 | 5,605 | 5,986 |
American Tower Corp. | 3.500% | 1/31/23 | 8,319 | 8,365 |
American Tower Corp. | 5.000% | 2/15/24 | 7,137 | 7,737 |
American Tower Corp. | 4.000% | 6/1/25 | 12,183 | 12,292 |
American Tower Corp. | 4.400% | 2/15/26 | 4,025 | 4,160 |
American Tower Corp. | 3.375% | 10/15/26 | 8,750 | 8,370 |
American Tower Corp. | 3.125% | 1/15/27 | 1,575 | 1,471 |
AT&T Inc. | 3.200% | 3/1/22 | 10,675 | 10,736 |
AT&T Inc. | 3.800% | 3/15/22 | 11,303 | 11,640 |
AT&T Inc. | 3.000% | 6/30/22 | 29,840 | 29,629 |
AT&T Inc. | 2.625% | 12/1/22 | 15,975 | 15,484 |
AT&T Inc. | 3.600% | 2/17/23 | 29,038 | 29,310 |
49
Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
AT&T Inc. | 3.800% | 3/1/24 | 6,400 | 6,470 |
AT&T Inc. | 3.900% | 3/11/24 | 9,309 | 9,468 |
AT&T Inc. | 4.450% | 4/1/24 | 10,752 | 11,269 |
AT&T Inc. | 3.950% | 1/15/25 | 26,825 | 26,984 |
AT&T Inc. | 3.400% | 5/15/25 | 32,451 | 31,339 |
AT&T Inc. | 4.125% | 2/17/26 | 12,288 | 12,475 |
CBS Corp. | 3.375% | 3/1/22 | 3,521 | 3,604 |
CBS Corp. | 3.700% | 8/15/24 | 7,133 | 7,220 |
CBS Corp. | 3.500% | 1/15/25 | 3,750 | 3,729 |
CBS Corp. | 4.000% | 1/15/26 | 9,394 | 9,618 |
CBS Corp. | 2.900% | 1/15/27 | 6,125 | 5,722 |
CC Holdings GS V LLC / Crown Castle GS III Corp. | 3.849% | 4/15/23 | 8,782 | 9,007 |
Charter Communications Operating LLC / Charter | ||||
Communications Operating Capital | 4.464% | 7/23/22 | 26,900 | 28,251 |
Charter Communications Operating LLC / Charter | ||||
Communications Operating Capital | 4.908% | 7/23/25 | 37,431 | 39,500 |
Comcast Cable Communications Holdings Inc. | 9.455% | 11/15/22 | 8,854 | 11,880 |
Comcast Corp. | 3.125% | 7/15/22 | 16,046 | 16,405 |
Comcast Corp. | 2.850% | 1/15/23 | 7,049 | 7,032 |
Comcast Corp. | 2.750% | 3/1/23 | 3,455 | 3,426 |
Comcast Corp. | 3.000% | 2/1/24 | 14,000 | 13,982 |
Comcast Corp. | 3.600% | 3/1/24 | 10,216 | 10,566 |
Comcast Corp. | 3.375% | 2/15/25 | 8,530 | 8,591 |
Comcast Corp. | 3.375% | 8/15/25 | 15,026 | 15,118 |
Comcast Corp. | 3.150% | 3/1/26 | 18,345 | 18,074 |
Comcast Corp. | 2.350% | 1/15/27 | 851 | 781 |
Comcast Corp. | 3.300% | 2/1/27 | 17,600 | 17,509 |
Crown Castle International Corp. | 4.875% | 4/15/22 | 7,362 | 7,938 |
Crown Castle International Corp. | 5.250% | 1/15/23 | 15,856 | 17,364 |
Crown Castle International Corp. | 4.450% | 2/15/26 | 12,463 | 12,937 |
Crown Castle International Corp. | 3.700% | 6/15/26 | 6,025 | 5,926 |
Discovery Communications LLC | 3.300% | 5/15/22 | 1,853 | 1,849 |
Discovery Communications LLC | 3.250% | 4/1/23 | 1,900 | 1,865 |
Discovery Communications LLC | 3.800% | 3/13/24 | 6,000 | 5,989 |
Discovery Communications LLC | 3.450% | 3/15/25 | 2,350 | 2,241 |
Discovery Communications LLC | 4.900% | 3/11/26 | 7,200 | 7,563 |
Electronic Arts Inc. | 4.800% | 3/1/26 | 3,596 | 3,896 |
Grupo Televisa SAB | 6.625% | 3/18/25 | 8,750 | 10,204 |
Grupo Televisa SAB | 4.625% | 1/30/26 | 1,800 | 1,831 |
Historic TW Inc. | 9.150% | 2/1/23 | 2,810 | 3,624 |
Interpublic Group of Cos. Inc. | 3.750% | 2/15/23 | 3,100 | 3,155 |
Interpublic Group of Cos. Inc. | 4.200% | 4/15/24 | 6,075 | 6,294 |
Moody's Corp. | 4.500% | 9/1/22 | 3,021 | 3,240 |
Moody's Corp. | 4.875% | 2/15/24 | 7,099 | 7,732 |
NBCUniversal Media LLC | 2.875% | 1/15/23 | 11,848 | 11,823 |
Omnicom Group Inc. | 3.625% | 5/1/22 | 11,976 | 12,415 |
Omnicom Group Inc. | 3.650% | 11/1/24 | 7,358 | 7,505 |
Omnicom Group Inc. | 3.600% | 4/15/26 | 10,858 | 10,890 |
Pacific Bell Telephone Co. | 7.125% | 3/15/26 | 1,202 | 1,477 |
Qwest Corp. | 7.250% | 9/15/25 | 2,804 | 3,051 |
RELX Capital Inc. | 3.125% | 10/15/22 | 6,219 | 6,178 |
Rogers Communications Inc. | 3.000% | 3/15/23 | 3,400 | 3,388 |
Rogers Communications Inc. | 4.100% | 10/1/23 | 4,433 | 4,680 |
Rogers Communications Inc. | 3.625% | 12/15/25 | 9,250 | 9,434 |
Rogers Communications Inc. | 2.900% | 11/15/26 | 5,475 | 5,219 |
S&P Global Inc. | 4.000% | 6/15/25 | 8,236 | 8,547 |
S&P Global Inc. | 4.400% | 2/15/26 | 4,720 | 5,021 |
2 S&P Global Inc. | 2.950% | 1/22/27 | 5,450 | 5,192 |
Scripps Networks Interactive Inc. | 3.500% | 6/15/22 | 7,300 | 7,446 |
Scripps Networks Interactive Inc. | 3.900% | 11/15/24 | 2,400 | 2,448 |
TCI Communications Inc. | 7.875% | 2/15/26 | 1,457 | 1,948 |
Telefonica Emisiones SAU | 4.570% | 4/27/23 | 6,525 | 6,943 |
TELUS Corp. | 2.800% | 2/16/27 | 2,575 | 2,435 |
50
Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Thomson Reuters Corp. | 4.300% | 11/23/23 | 2,000 | 2,105 |
Thomson Reuters Corp. | 3.850% | 9/29/24 | 3,950 | 4,057 |
Thomson Reuters Corp. | 3.350% | 5/15/26 | 9,000 | 8,845 |
Time Warner Cos. Inc. | 7.570% | 2/1/24 | 4,220 | 5,196 |
Time Warner Entertainment Co. LP | 8.375% | 3/15/23 | 8,155 | 10,177 |
Time Warner Inc. | 3.400% | 6/15/22 | 2,401 | 2,440 |
Time Warner Inc. | 4.050% | 12/15/23 | 4,246 | 4,397 |
Time Warner Inc. | 3.550% | 6/1/24 | 8,928 | 8,904 |
Time Warner Inc. | 3.600% | 7/15/25 | 15,058 | 14,842 |
Time Warner Inc. | 3.875% | 1/15/26 | 2,000 | 1,996 |
Time Warner Inc. | 2.950% | 7/15/26 | 2,231 | 2,074 |
Time Warner Inc. | 3.800% | 2/15/27 | 13,500 | 13,353 |
2 Verizon Communications Inc. | 2.946% | 3/15/22 | 15,704 | 15,697 |
Verizon Communications Inc. | 2.450% | 11/1/22 | 21,145 | 20,484 |
Verizon Communications Inc. | 5.150% | 9/15/23 | 73,391 | 80,791 |
Verizon Communications Inc. | 4.150% | 3/15/24 | 10,569 | 11,013 |
Verizon Communications Inc. | 3.500% | 11/1/24 | 25,624 | 25,638 |
Verizon Communications Inc. | 2.625% | 8/15/26 | 19,940 | 18,331 |
Viacom Inc. | 3.125% | 6/15/22 | 3,000 | 2,950 |
Viacom Inc. | 4.250% | 9/1/23 | 10,916 | 11,244 |
Viacom Inc. | 3.875% | 4/1/24 | 9,325 | 9,287 |
Viacom Inc. | 3.450% | 10/4/26 | 3,650 | 3,488 |
Vodafone Group plc | 2.500% | 9/26/22 | 9,722 | 9,448 |
Vodafone Group plc | 2.950% | 2/19/23 | 12,770 | 12,527 |
Walt Disney Co. | 2.350% | 12/1/22 | 6,678 | 6,623 |
Walt Disney Co. | 3.150% | 9/17/25 | 5,625 | 5,760 |
Walt Disney Co. | 3.000% | 2/13/26 | 11,455 | 11,427 |
Walt Disney Co. | 1.850% | 7/30/26 | 9,505 | 8,599 |
WPP Finance 2010 | 3.625% | 9/7/22 | 5,975 | 6,125 |
WPP Finance 2010 | 3.750% | 9/19/24 | 4,606 | 4,671 |
Consumer Cyclical (6.9%) | ||||
Advance Auto Parts Inc. | 4.500% | 12/1/23 | 2,975 | 3,135 |
Alibaba Group Holding Ltd. | 3.600% | 11/28/24 | 19,075 | 19,317 |
Amazon.com Inc. | 2.500% | 11/29/22 | 13,108 | 13,021 |
Amazon.com Inc. | 3.800% | 12/5/24 | 8,391 | 8,905 |
American Honda Finance Corp. | 2.900% | 2/16/24 | 6,900 | 6,886 |
American Honda Finance Corp. | 2.300% | 9/9/26 | 2,600 | 2,429 |
Automatic Data Processing Inc. | 3.375% | 9/15/25 | 7,341 | 7,613 |
AutoNation Inc. | 4.500% | 10/1/25 | 5,200 | 5,379 |
AutoZone Inc. | 3.700% | 4/15/22 | 5,447 | 5,638 |
AutoZone Inc. | 2.875% | 1/15/23 | 4,150 | 4,090 |
AutoZone Inc. | 3.125% | 7/15/23 | 1,542 | 1,535 |
AutoZone Inc. | 3.250% | 4/15/25 | 5,325 | 5,227 |
AutoZone Inc. | 3.125% | 4/21/26 | 3,000 | 2,885 |
Bed Bath & Beyond Inc. | 3.749% | 8/1/24 | 1,475 | 1,457 |
Block Financial LLC | 5.500% | 11/1/22 | 4,350 | 4,650 |
Block Financial LLC | 5.250% | 10/1/25 | 4,800 | 5,022 |
BorgWarner Inc. | 3.375% | 3/15/25 | 2,575 | 2,568 |
Coach Inc. | 4.250% | 4/1/25 | 5,250 | 5,365 |
Cummins Inc. | 3.650% | 10/1/23 | 4,483 | 4,684 |
CVS Health Corp. | 3.500% | 7/20/22 | 17,217 | 17,732 |
CVS Health Corp. | 2.750% | 12/1/22 | 11,797 | 11,658 |
CVS Health Corp. | 4.750% | 12/1/22 | 1,324 | 1,439 |
CVS Health Corp. | 4.000% | 12/5/23 | 14,015 | 14,713 |
CVS Health Corp. | 3.375% | 8/12/24 | 6,440 | 6,501 |
CVS Health Corp. | 5.000% | 12/1/24 | 1,000 | 1,097 |
CVS Health Corp. | 3.875% | 7/20/25 | 23,727 | 24,452 |
CVS Health Corp. | 2.875% | 6/1/26 | 14,675 | 14,055 |
Delphi Automotive plc | 4.250% | 1/15/26 | 6,900 | 7,226 |
Delphi Corp. | 4.150% | 3/15/24 | 4,127 | 4,311 |
Dollar General Corp. | 3.250% | 4/15/23 | 6,177 | 6,172 |
Dollar General Corp. | 4.150% | 11/1/25 | 4,800 | 4,976 |
DR Horton Inc. | 4.375% | 9/15/22 | 3,000 | 3,157 |
51
Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
DR Horton Inc. | 4.750% | 2/15/23 | 5,100 | 5,457 |
DR Horton Inc. | 5.750% | 8/15/23 | 2,800 | 3,136 |
eBay Inc. | 3.800% | 3/9/22 | 5,250 | 5,431 |
eBay Inc. | 2.600% | 7/15/22 | 11,254 | 11,030 |
eBay Inc. | 3.450% | 8/1/24 | 4,938 | 4,925 |
Expedia Inc. | 4.500% | 8/15/24 | 4,935 | 5,160 |
Expedia Inc. | 5.000% | 2/15/26 | 5,437 | 5,725 |
Ford Motor Co. | 4.346% | 12/8/26 | 12,900 | 13,224 |
Ford Motor Credit Co. LLC | 4.250% | 9/20/22 | 5,975 | 6,238 |
Ford Motor Credit Co. LLC | 3.096% | 5/4/23 | 7,891 | 7,732 |
Ford Motor Credit Co. LLC | 4.375% | 8/6/23 | 9,797 | 10,217 |
Ford Motor Credit Co. LLC | 3.810% | 1/9/24 | 10,800 | 10,863 |
Ford Motor Credit Co. LLC | 3.664% | 9/8/24 | 6,950 | 6,879 |
Ford Motor Credit Co. LLC | 4.134% | 8/4/25 | 14,250 | 14,404 |
Ford Motor Credit Co. LLC | 4.389% | 1/8/26 | 10,125 | 10,414 |
General Motors Co. | 4.875% | 10/2/23 | 14,749 | 15,811 |
General Motors Co. | 4.000% | 4/1/25 | 3,540 | 3,549 |
General Motors Financial Co. Inc. | 3.450% | 4/10/22 | 14,352 | 14,543 |
General Motors Financial Co. Inc. | 3.700% | 5/9/23 | 11,626 | 11,738 |
General Motors Financial Co. Inc. | 4.250% | 5/15/23 | 5,283 | 5,477 |
General Motors Financial Co. Inc. | 4.000% | 1/15/25 | 12,945 | 13,021 |
General Motors Financial Co. Inc. | 4.300% | 7/13/25 | 6,115 | 6,217 |
General Motors Financial Co. Inc. | 5.250% | 3/1/26 | 9,350 | 10,107 |
General Motors Financial Co. Inc. | 4.000% | 10/6/26 | 6,400 | 6,344 |
General Motors Financial Co. Inc. | 4.350% | 1/17/27 | 5,500 | 5,596 |
Harley-Davidson Inc. | 3.500% | 7/28/25 | 4,000 | 4,052 |
Harman International Industries Inc. | 4.150% | 5/15/25 | 3,012 | 3,117 |
Home Depot Inc. | 2.625% | 6/1/22 | 14,495 | 14,637 |
Home Depot Inc. | 2.700% | 4/1/23 | 10,956 | 11,026 |
Home Depot Inc. | 3.750% | 2/15/24 | 10,633 | 11,287 |
Home Depot Inc. | 3.350% | 9/15/25 | 9,123 | 9,409 |
Home Depot Inc. | 3.000% | 4/1/26 | 7,381 | 7,386 |
Home Depot Inc. | 2.125% | 9/15/26 | 6,000 | 5,572 |
Hyatt Hotels Corp. | 3.375% | 7/15/23 | 2,725 | 2,736 |
Hyatt Hotels Corp. | 4.850% | 3/15/26 | 1,900 | 2,044 |
JD.com Inc. | 3.875% | 4/29/26 | 2,300 | 2,238 |
Kohl's Corp. | 3.250% | 2/1/23 | 2,825 | 2,711 |
Kohl's Corp. | 4.750% | 12/15/23 | 1,263 | 1,295 |
Kohl's Corp. | 4.250% | 7/17/25 | 6,724 | 6,507 |
Lear Corp. | 4.750% | 1/15/23 | 1,550 | 1,612 |
Lear Corp. | 5.375% | 3/15/24 | 5,000 | 5,275 |
Lear Corp. | 5.250% | 1/15/25 | 3,965 | 4,208 |
Lowe's Cos. Inc. | 3.120% | 4/15/22 | 2,749 | 2,851 |
Lowe's Cos. Inc. | 3.875% | 9/15/23 | 5,366 | 5,707 |
Lowe's Cos. Inc. | 3.125% | 9/15/24 | 3,279 | 3,306 |
Lowe's Cos. Inc. | 3.375% | 9/15/25 | 11,195 | 11,457 |
Lowe's Cos. Inc. | 2.500% | 4/15/26 | 11,770 | 11,220 |
Macy's Retail Holdings Inc. | 2.875% | 2/15/23 | 10,218 | 9,628 |
Macy's Retail Holdings Inc. | 4.375% | 9/1/23 | 4,370 | 4,317 |
Macy's Retail Holdings Inc. | 3.625% | 6/1/24 | 4,428 | 4,259 |
Macy's Retail Holdings Inc. | 6.650% | 7/15/24 | 791 | 835 |
Magna International Inc. | 3.625% | 6/15/24 | 6,813 | 6,990 |
Magna International Inc. | 4.150% | 10/1/25 | 5,150 | 5,458 |
Marriott International Inc. | 3.250% | 9/15/22 | 2,500 | 2,525 |
Marriott International Inc. | 3.125% | 2/15/23 | 1,625 | 1,602 |
Marriott International Inc. | 3.750% | 3/15/25 | 3,300 | 3,334 |
Marriott International Inc. | 3.750% | 10/1/25 | 1,485 | 1,507 |
Marriott International Inc. | 3.125% | 6/15/26 | 8,745 | 8,405 |
Mastercard Inc. | 3.375% | 4/1/24 | 11,098 | 11,540 |
Mastercard Inc. | 2.950% | 11/21/26 | 6,000 | 5,999 |
McDonald's Corp. | 3.250% | 6/10/24 | 1,500 | 1,539 |
McDonald's Corp. | 3.375% | 5/26/25 | 9,120 | 9,201 |
McDonald's Corp. | 3.700% | 1/30/26 | 18,923 | 19,339 |
52
Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
NIKE Inc. | 2.250% | 5/1/23 | 2,074 | 2,027 |
NIKE Inc. | 2.375% | 11/1/26 | 10,725 | 10,148 |
NVR Inc. | 3.950% | 9/15/22 | 3,152 | 3,259 |
O'Reilly Automotive Inc. | 3.800% | 9/1/22 | 2,250 | 2,328 |
O'Reilly Automotive Inc. | 3.850% | 6/15/23 | 6,125 | 6,316 |
O'Reilly Automotive Inc. | 3.550% | 3/15/26 | 2,645 | 2,633 |
Priceline Group Inc. | 3.650% | 3/15/25 | 6,350 | 6,407 |
Priceline Group Inc. | 3.600% | 6/1/26 | 7,608 | 7,631 |
QVC Inc. | 5.125% | 7/2/22 | 4,672 | 4,939 |
QVC Inc. | 4.375% | 3/15/23 | 3,725 | 3,768 |
QVC Inc. | 4.850% | 4/1/24 | 7,533 | 7,668 |
QVC Inc. | 4.450% | 2/15/25 | 4,600 | 4,524 |
Ross Stores Inc. | 3.375% | 9/15/24 | 1,125 | 1,132 |
Signet UK Finance plc | 4.700% | 6/15/24 | 2,235 | 2,171 |
Staples Inc. | 4.375% | 1/12/23 | 2,675 | 2,740 |
Starbucks Corp. | 2.700% | 6/15/22 | 3,020 | 3,068 |
Starbucks Corp. | 3.850% | 10/1/23 | 4,789 | 5,156 |
Starbucks Corp. | 2.450% | 6/15/26 | 5,800 | 5,538 |
Target Corp. | 3.500% | 7/1/24 | 7,325 | 7,598 |
Target Corp. | 2.500% | 4/15/26 | 11,150 | 10,510 |
TJX Cos. Inc. | 2.500% | 5/15/23 | 5,469 | 5,418 |
TJX Cos. Inc. | 2.250% | 9/15/26 | 9,130 | 8,428 |
Toyota Motor Credit Corp. | 2.800% | 7/13/22 | 2,950 | 2,972 |
Toyota Motor Credit Corp. | 2.625% | 1/10/23 | 5,184 | 5,168 |
Toyota Motor Credit Corp. | 2.250% | 10/18/23 | 4,000 | 3,846 |
Toyota Motor Credit Corp. | 3.200% | 1/11/27 | 6,000 | 6,029 |
Visa Inc. | 2.800% | 12/14/22 | 24,837 | 25,099 |
Visa Inc. | 3.150% | 12/14/25 | 36,950 | 37,484 |
Wal-Mart Stores Inc. | 2.550% | 4/11/23 | 17,288 | 17,235 |
Wal-Mart Stores Inc. | 3.300% | 4/22/24 | 16,869 | 17,553 |
Walgreen Co. | 3.100% | 9/15/22 | 8,527 | 8,564 |
Walgreens Boots Alliance Inc. | 3.100% | 6/1/23 | 8,715 | 8,717 |
Walgreens Boots Alliance Inc. | 3.800% | 11/18/24 | 19,271 | 19,669 |
Walgreens Boots Alliance Inc. | 3.450% | 6/1/26 | 16,727 | 16,451 |
Wyndham Worldwide Corp. | 4.250% | 3/1/22 | 4,150 | 4,285 |
Wyndham Worldwide Corp. | 3.900% | 3/1/23 | 2,950 | 2,982 |
Wyndham Worldwide Corp. | 5.100% | 10/1/25 | 4,297 | 4,566 |
Consumer Noncyclical (16.2%) | ||||
Abbott Laboratories | 2.550% | 3/15/22 | 6,058 | 5,933 |
Abbott Laboratories | 3.400% | 11/30/23 | 16,950 | 17,026 |
Abbott Laboratories | 2.950% | 3/15/25 | 7,993 | 7,638 |
Abbott Laboratories | 3.750% | 11/30/26 | 28,310 | 28,282 |
AbbVie Inc. | 2.900% | 11/6/22 | 27,727 | 27,576 |
AbbVie Inc. | 3.200% | 11/6/22 | 10,054 | 10,124 |
AbbVie Inc. | 2.850% | 5/14/23 | 8,450 | 8,283 |
AbbVie Inc. | 3.600% | 5/14/25 | 33,395 | 33,273 |
AbbVie Inc. | 3.200% | 5/14/26 | 18,445 | 17,729 |
Actavis Funding SCS | 3.450% | 3/15/22 | 24,782 | 25,274 |
Actavis Funding SCS | 3.850% | 6/15/24 | 10,955 | 11,107 |
Actavis Funding SCS | 3.800% | 3/15/25 | 41,649 | 41,953 |
Actavis Inc. | 3.250% | 10/1/22 | 13,400 | 13,485 |
Agilent Technologies Inc. | 3.200% | 10/1/22 | 5,950 | 6,015 |
Agilent Technologies Inc. | 3.875% | 7/15/23 | 4,050 | 4,207 |
Agilent Technologies Inc. | 3.050% | 9/22/26 | 3,000 | 2,915 |
Allergan Inc. | 2.800% | 3/15/23 | 3,350 | 3,226 |
Altria Group Inc. | 2.850% | 8/9/22 | 19,525 | 19,481 |
Altria Group Inc. | 2.950% | 5/2/23 | 2,972 | 2,958 |
Altria Group Inc. | 4.000% | 1/31/24 | 12,579 | 13,236 |
Altria Group Inc. | 2.625% | 9/16/26 | 2,960 | 2,816 |
AmerisourceBergen Corp. | 3.400% | 5/15/24 | 4,685 | 4,744 |
AmerisourceBergen Corp. | 3.250% | 3/1/25 | 2,175 | 2,179 |
Amgen Inc. | 2.700% | 5/1/22 | 4,922 | 4,904 |
Amgen Inc. | 3.625% | 5/15/22 | 9,505 | 9,828 |
53
Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Amgen Inc. | 2.250% | 8/19/23 | 3,381 | 3,223 |
Amgen Inc. | 3.625% | 5/22/24 | 15,059 | 15,516 |
Amgen Inc. | 3.125% | 5/1/25 | 8,419 | 8,266 |
Amgen Inc. | 2.600% | 8/19/26 | 10,000 | 9,272 |
Anheuser-Busch InBev Finance Inc. | 2.625% | 1/17/23 | 10,291 | 10,153 |
Anheuser-Busch InBev Finance Inc. | 3.300% | 2/1/23 | 52,129 | 53,126 |
Anheuser-Busch InBev Finance Inc. | 3.700% | 2/1/24 | 14,647 | 15,207 |
Anheuser-Busch InBev Finance Inc. | 3.650% | 2/1/26 | 96,869 | 98,481 |
Anheuser-Busch InBev Worldwide Inc. | 2.500% | 7/15/22 | 31,154 | 30,882 |
2 Anheuser-Busch North American Holding Corp. | 3.750% | 1/15/22 | 750 | 790 |
Archer-Daniels-Midland Co. | 2.500% | 8/11/26 | 9,368 | 8,888 |
AstraZeneca plc | 3.375% | 11/16/25 | 18,108 | 18,194 |
Baxalta Inc. | 3.600% | 6/23/22 | 8,654 | 8,802 |
Baxalta Inc. | 4.000% | 6/23/25 | 19,029 | 19,404 |
Baxter International Inc. | 2.600% | 8/15/26 | 2,675 | 2,505 |
Beam Suntory Inc. | 3.250% | 5/15/22 | 1,375 | 1,384 |
Beam Suntory Inc. | 3.250% | 6/15/23 | 1,050 | 1,030 |
Becton Dickinson & Co. | 3.300% | 3/1/23 | 6,650 | 6,746 |
Becton Dickinson & Co. | 3.875% | 5/15/24 | 500 | 516 |
Becton Dickinson & Co. | 3.734% | 12/15/24 | 13,140 | 13,582 |
Bestfoods | 7.250% | 12/15/26 | 519 | 682 |
Biogen Inc. | 3.625% | 9/15/22 | 9,927 | 10,254 |
Biogen Inc. | 4.050% | 9/15/25 | 16,525 | 17,102 |
Boston Scientific Corp. | 3.375% | 5/15/22 | 6,275 | 6,392 |
Boston Scientific Corp. | 4.125% | 10/1/23 | 2,710 | 2,827 |
Boston Scientific Corp. | 3.850% | 5/15/25 | 5,600 | 5,706 |
Bristol-Myers Squibb Co. | 2.000% | 8/1/22 | 7,148 | 6,952 |
Bristol-Myers Squibb Co. | 7.150% | 6/15/23 | 900 | 1,119 |
Bristol-Myers Squibb Co. | 3.250% | 11/1/23 | 7,645 | 7,869 |
Brown-Forman Corp. | 2.250% | 1/15/23 | 1,675 | 1,629 |
Bunge Ltd. Finance Corp. | 3.250% | 8/15/26 | 6,620 | 6,399 |
Campbell Soup Co. | 2.500% | 8/2/22 | 3,725 | 3,674 |
Campbell Soup Co. | 3.300% | 3/19/25 | 2,100 | 2,125 |
Cardinal Health Inc. | 3.200% | 6/15/22 | 2,942 | 2,976 |
Cardinal Health Inc. | 3.200% | 3/15/23 | 5,509 | 5,589 |
Cardinal Health Inc. | 3.500% | 11/15/24 | 1,608 | 1,640 |
Cardinal Health Inc. | 3.750% | 9/15/25 | 5,680 | 5,898 |
Catholic Health Initiatives Colorado GO | 2.950% | 11/1/22 | 4,250 | 4,130 |
Celgene Corp. | 3.250% | 8/15/22 | 9,945 | 10,077 |
Celgene Corp. | 3.550% | 8/15/22 | 8,914 | 9,170 |
Celgene Corp. | 4.000% | 8/15/23 | 6,185 | 6,469 |
Celgene Corp. | 3.625% | 5/15/24 | 8,259 | 8,381 |
Celgene Corp. | 3.875% | 8/15/25 | 22,482 | 22,992 |
Church & Dwight Co. Inc. | 2.875% | 10/1/22 | 900 | 896 |
Clorox Co. | 3.050% | 9/15/22 | 3,600 | 3,667 |
Clorox Co. | 3.500% | 12/15/24 | 5,428 | 5,595 |
Coca-Cola Bottling Co. Consolidated | 3.800% | 11/25/25 | 3,950 | 4,044 |
Coca-Cola Co. | 2.500% | 4/1/23 | 4,978 | 4,946 |
Coca-Cola Co. | 3.200% | 11/1/23 | 10,104 | 10,451 |
Coca-Cola Co. | 2.875% | 10/27/25 | 18,069 | 18,005 |
Coca-Cola Co. | 2.550% | 6/1/26 | 3,975 | 3,828 |
Coca-Cola Co. | 2.250% | 9/1/26 | 10,769 | 10,105 |
Coca-Cola Femsa SAB de CV | 3.875% | 11/26/23 | 5,610 | 5,769 |
Colgate-Palmolive Co. | 2.300% | 5/3/22 | 3,519 | 3,511 |
Colgate-Palmolive Co. | 1.950% | 2/1/23 | 4,575 | 4,449 |
Colgate-Palmolive Co. | 2.100% | 5/1/23 | 1,076 | 1,045 |
Colgate-Palmolive Co. | 3.250% | 3/15/24 | 4,135 | 4,290 |
Conagra Brands Inc. | 3.250% | 9/15/22 | 3,675 | 3,696 |
Conagra Brands Inc. | 3.200% | 1/25/23 | 6,445 | 6,457 |
Conagra Brands Inc. | 7.125% | 10/1/26 | 1,966 | 2,422 |
Constellation Brands Inc. | 6.000% | 5/1/22 | 5,725 | 6,519 |
Constellation Brands Inc. | 4.250% | 5/1/23 | 15,175 | 15,934 |
Constellation Brands Inc. | 4.750% | 11/15/24 | 7,900 | 8,542 |
Constellation Brands Inc. | 3.700% | 12/6/26 | 4,950 | 4,950 |
54
Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Covidien International Finance SA | 3.200% | 6/15/22 | 8,330 | 8,516 |
Covidien International Finance SA | 2.950% | 6/15/23 | 5,000 | 5,000 |
CR Bard Inc. | 3.000% | 5/15/26 | 3,350 | 3,244 |
Danaher Corp. | 3.350% | 9/15/25 | 5,010 | 5,175 |
Diageo Capital plc | 2.625% | 4/29/23 | 12,770 | 12,687 |
Diageo Investment Corp. | 2.875% | 5/11/22 | 10,005 | 10,135 |
Dignity Health California GO | 3.125% | 11/1/22 | 800 | 791 |
Dignity Health California GO | 3.812% | 11/1/24 | 2,600 | 2,619 |
Dr Pepper Snapple Group Inc. | 2.700% | 11/15/22 | 1,125 | 1,112 |
Dr Pepper Snapple Group Inc. | 3.130% | 12/15/23 | 5,230 | 5,238 |
Dr Pepper Snapple Group Inc. | 3.400% | 11/15/25 | 2,400 | 2,410 |
Dr Pepper Snapple Group Inc. | 2.550% | 9/15/26 | 4,950 | 4,656 |
Eli Lilly & Co. | 2.750% | 6/1/25 | 9,090 | 9,016 |
Estee Lauder Cos. Inc. | 2.350% | 8/15/22 | 1,750 | 1,735 |
Estee Lauder Cos. Inc. | 3.150% | 3/15/27 | 4,000 | 3,986 |
Express Scripts Holding Co. | 3.000% | 7/15/23 | 14,470 | 13,976 |
Express Scripts Holding Co. | 3.500% | 6/15/24 | 8,346 | 8,176 |
Express Scripts Holding Co. | 4.500% | 2/25/26 | 14,045 | 14,569 |
Flowers Foods Inc. | 4.375% | 4/1/22 | 2,975 | 3,153 |
Flowers Foods Inc. | 3.500% | 10/1/26 | 3,075 | 2,965 |
Fomento Economico Mexicano SAB de CV | 2.875% | 5/10/23 | 1,800 | 1,747 |
General Mills Inc. | 3.650% | 2/15/24 | 4,301 | 4,486 |
General Mills Inc. | 3.200% | 2/10/27 | 6,000 | 5,938 |
Gilead Sciences Inc. | 3.250% | 9/1/22 | 8,838 | 9,037 |
Gilead Sciences Inc. | 2.500% | 9/1/23 | 10,590 | 10,222 |
Gilead Sciences Inc. | 3.700% | 4/1/24 | 17,187 | 17,649 |
Gilead Sciences Inc. | 3.500% | 2/1/25 | 17,602 | 17,770 |
Gilead Sciences Inc. | 3.650% | 3/1/26 | 26,418 | 26,780 |
GlaxoSmithKline Capital Inc. | 2.800% | 3/18/23 | 7,798 | 7,810 |
GlaxoSmithKline Capital plc | 2.850% | 5/8/22 | 14,563 | 14,751 |
Hershey Co. | 2.625% | 5/1/23 | 1,750 | 1,744 |
Hershey Co. | 3.200% | 8/21/25 | 2,100 | 2,139 |
Hershey Co. | 2.300% | 8/15/26 | 3,500 | 3,294 |
Ingredion Inc. | 3.200% | 10/1/26 | 5,405 | 5,317 |
JM Smucker Co. | 3.000% | 3/15/22 | 3,975 | 4,039 |
JM Smucker Co. | 3.500% | 3/15/25 | 9,996 | 10,156 |
Johnson & Johnson | 2.250% | 3/3/22 | 9,000 | 8,976 |
Johnson & Johnson | 2.050% | 3/1/23 | 4,510 | 4,384 |
Johnson & Johnson | 6.730% | 11/15/23 | 50 | 62 |
Johnson & Johnson | 3.375% | 12/5/23 | 7,845 | 8,222 |
Johnson & Johnson | 2.450% | 3/1/26 | 19,900 | 19,255 |
Johnson & Johnson | 2.950% | 3/3/27 | 4,500 | 4,495 |
Kaiser Foundation Hospitals | 3.500% | 4/1/22 | 2,675 | 2,770 |
Kellogg Co. | 3.125% | 5/17/22 | 825 | 845 |
Kellogg Co. | 2.650% | 12/1/23 | 5,800 | 5,672 |
Kellogg Co. | 3.250% | 4/1/26 | 6,591 | 6,493 |
Kimberly-Clark Corp. | 2.400% | 3/1/22 | 2,200 | 2,189 |
Kimberly-Clark Corp. | 2.400% | 6/1/23 | 3,114 | 3,058 |
Kimberly-Clark Corp. | 2.650% | 3/1/25 | 5,285 | 5,154 |
Kimberly-Clark Corp. | 3.050% | 8/15/25 | 3,000 | 3,011 |
Kimberly-Clark Corp. | 2.750% | 2/15/26 | 2,600 | 2,547 |
Koninklijke Philips NV | 3.750% | 3/15/22 | 8,862 | 9,223 |
Kraft Foods Group Inc. | 3.500% | 6/6/22 | 17,449 | 17,840 |
Kraft Heinz Foods Co. | 3.500% | 7/15/22 | 12,345 | 12,590 |
Kraft Heinz Foods Co. | 3.950% | 7/15/25 | 14,750 | 15,001 |
Kraft Heinz Foods Co. | 3.000% | 6/1/26 | 16,210 | 15,302 |
Laboratory Corp. of America Holdings | 3.750% | 8/23/22 | 2,277 | 2,345 |
Laboratory Corp. of America Holdings | 4.000% | 11/1/23 | 2,050 | 2,094 |
Laboratory Corp. of America Holdings | 3.600% | 2/1/25 | 7,165 | 7,062 |
Mattel Inc. | 3.150% | 3/15/23 | 850 | 841 |
McCormick & Co. Inc. | 3.500% | 9/1/23 | 1,550 | 1,599 |
McCormick & Co. Inc. | 3.250% | 11/15/25 | 3,150 | 3,152 |
McKesson Corp. | 2.700% | 12/15/22 | 4,345 | 4,268 |
McKesson Corp. | 2.850% | 3/15/23 | 3,200 | 3,157 |
55
Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
McKesson Corp. | 3.796% | 3/15/24 | 10,556 | 10,895 |
Mead Johnson Nutrition Co. | 4.125% | 11/15/25 | 8,150 | 8,591 |
Medtronic Inc. | 3.125% | 3/15/22 | 4,623 | 4,734 |
Medtronic Inc. | 3.150% | 3/15/22 | 22,142 | 22,782 |
Medtronic Inc. | 2.750% | 4/1/23 | 2,000 | 1,984 |
Medtronic Inc. | 3.625% | 3/15/24 | 10,031 | 10,516 |
Medtronic Inc. | 3.500% | 3/15/25 | 33,129 | 33,919 |
Merck & Co. Inc. | 2.400% | 9/15/22 | 12,429 | 12,324 |
Merck & Co. Inc. | 2.800% | 5/18/23 | 12,529 | 12,639 |
Merck & Co. Inc. | 2.750% | 2/10/25 | 22,373 | 22,197 |
Molson Coors Brewing Co. | 3.500% | 5/1/22 | 5,625 | 5,822 |
Molson Coors Brewing Co. | 3.000% | 7/15/26 | 19,248 | 18,408 |
Mylan Inc. | 4.200% | 11/29/23 | 7,300 | 7,405 |
Mylan NV | 3.950% | 6/15/26 | 18,375 | 17,912 |
Newell Brands Inc. | 3.850% | 4/1/23 | 21,792 | 22,685 |
Newell Brands Inc. | 4.000% | 12/1/24 | 5,952 | 6,151 |
Newell Brands Inc. | 3.900% | 11/1/25 | 1,850 | 1,887 |
Newell Brands Inc. | 4.200% | 4/1/26 | 20,054 | 21,055 |
Novartis Capital Corp. | 2.400% | 5/17/22 | 10,000 | 9,951 |
Novartis Capital Corp. | 2.400% | 9/21/22 | 15,802 | 15,671 |
Novartis Capital Corp. | 3.400% | 5/6/24 | 17,619 | 18,207 |
Novartis Capital Corp. | 3.000% | 11/20/25 | 15,141 | 15,185 |
Novartis Capital Corp. | 3.100% | 5/17/27 | 1,000 | 1,002 |
Owens & Minor Inc. | 4.375% | 12/15/24 | 2,600 | 2,650 |
PepsiCo Inc. | 2.750% | 3/5/22 | 11,667 | 11,801 |
PepsiCo Inc. | 3.100% | 7/17/22 | 6,865 | 7,052 |
PepsiCo Inc. | 2.750% | 3/1/23 | 9,241 | 9,295 |
PepsiCo Inc. | 3.600% | 3/1/24 | 8,775 | 9,269 |
PepsiCo Inc. | 2.750% | 4/30/25 | 10,159 | 9,990 |
PepsiCo Inc. | 3.500% | 7/17/25 | 5,660 | 5,893 |
PepsiCo Inc. | 2.850% | 2/24/26 | 9,380 | 9,291 |
PepsiCo Inc. | 2.375% | 10/6/26 | 11,238 | 10,691 |
Perrigo Co. plc | 4.000% | 11/15/23 | 5,525 | 5,634 |
Perrigo Finance Unlimited Co. | 3.900% | 12/15/24 | 8,209 | 8,176 |
Perrigo Finance Unlimited Co. | 4.375% | 3/15/26 | 6,457 | 6,595 |
Pfizer Inc. | 3.000% | 6/15/23 | 7,173 | 7,336 |
Pfizer Inc. | 3.400% | 5/15/24 | 6,036 | 6,274 |
Pfizer Inc. | 2.750% | 6/3/26 | 15,890 | 15,481 |
Pfizer Inc. | 3.000% | 12/15/26 | 14,100 | 13,932 |
Philip Morris International Inc. | 2.500% | 8/22/22 | 6,565 | 6,481 |
Philip Morris International Inc. | 2.625% | 3/6/23 | 4,450 | 4,375 |
Philip Morris International Inc. | 2.125% | 5/10/23 | 4,375 | 4,173 |
Philip Morris International Inc. | 3.600% | 11/15/23 | 4,044 | 4,186 |
Philip Morris International Inc. | 3.250% | 11/10/24 | 11,313 | 11,404 |
Philip Morris International Inc. | 3.375% | 8/11/25 | 6,612 | 6,696 |
Philip Morris International Inc. | 2.750% | 2/25/26 | 5,650 | 5,452 |
Premier Health Partners | 2.911% | 11/15/26 | 2,000 | 1,847 |
Procter & Gamble Co. | 3.100% | 8/15/23 | 7,105 | 7,317 |
Procter & Gamble Co. | 2.700% | 2/2/26 | 6,150 | 6,034 |
Procter & Gamble Co. | 2.450% | 11/3/26 | 7,475 | 7,168 |
Providence St. Joseph Health Obligated Group | 2.746% | 10/1/26 | 2,225 | 2,119 |
Quest Diagnostics Inc. | 4.250% | 4/1/24 | 900 | 947 |
Quest Diagnostics Inc. | 3.500% | 3/30/25 | 2,600 | 2,605 |
Quest Diagnostics Inc. | 3.450% | 6/1/26 | 9,375 | 9,308 |
Reynolds American Inc. | 4.000% | 6/12/22 | 7,315 | 7,678 |
Reynolds American Inc. | 4.850% | 9/15/23 | 5,432 | 5,898 |
Reynolds American Inc. | 4.450% | 6/12/25 | 22,167 | 23,372 |
Shire Acquisitions Investments Ireland DAC | 2.875% | 9/23/23 | 35,555 | 34,357 |
Shire Acquisitions Investments Ireland DAC | 3.200% | 9/23/26 | 2,445 | 2,299 |
St. Jude Medical Inc. | 3.250% | 4/15/23 | 7,400 | 7,345 |
St. Jude Medical Inc. | 3.875% | 9/15/25 | 1,400 | 1,412 |
Stryker Corp. | 3.375% | 5/15/24 | 2,753 | 2,801 |
Stryker Corp. | 3.375% | 11/1/25 | 6,800 | 6,847 |
Stryker Corp. | 3.500% | 3/15/26 | 10,095 | 10,258 |
56
Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Sysco Corp. | 2.600% | 6/12/22 | 1,350 | 1,338 |
Sysco Corp. | 3.750% | 10/1/25 | 9,691 | 9,868 |
Sysco Corp. | 3.300% | 7/15/26 | 6,160 | 6,066 |
Teva Pharmaceutical Finance Co. BV | 2.950% | 12/18/22 | 6,436 | 6,182 |
Teva Pharmaceutical Finance Netherlands III BV | 2.800% | 7/21/23 | 27,959 | 26,506 |
Teva Pharmaceutical Finance Netherlands III BV | 3.150% | 10/1/26 | 30,891 | 28,581 |
The Kroger Co. | 3.400% | 4/15/22 | 2,118 | 2,170 |
The Kroger Co. | 3.850% | 8/1/23 | 5,873 | 6,105 |
The Kroger Co. | 4.000% | 2/1/24 | 6,185 | 6,465 |
The Kroger Co. | 2.650% | 10/15/26 | 11,275 | 10,470 |
Thermo Fisher Scientific Inc. | 3.150% | 1/15/23 | 6,421 | 6,426 |
Thermo Fisher Scientific Inc. | 3.000% | 4/15/23 | 10,287 | 10,171 |
Thermo Fisher Scientific Inc. | 4.150% | 2/1/24 | 8,710 | 9,196 |
Thermo Fisher Scientific Inc. | 3.650% | 12/15/25 | 4,705 | 4,779 |
Thermo Fisher Scientific Inc. | 2.950% | 9/19/26 | 12,406 | 11,904 |
Tyson Foods Inc. | 4.500% | 6/15/22 | 6,845 | 7,321 |
Tyson Foods Inc. | 3.950% | 8/15/24 | 15,859 | 16,228 |
Unilever Capital Corp. | 3.100% | 7/30/25 | 3,225 | 3,217 |
Unilever Capital Corp. | 2.000% | 7/28/26 | 10,200 | 9,305 |
Whirlpool Corp. | 4.700% | 6/1/22 | 2,648 | 2,883 |
Whirlpool Corp. | 3.700% | 3/1/23 | 3,475 | 3,576 |
Whirlpool Corp. | 4.000% | 3/1/24 | 2,000 | 2,093 |
Whirlpool Corp. | 3.700% | 5/1/25 | 1,600 | 1,630 |
Whole Foods Market Inc. | 5.200% | 12/3/25 | 8,047 | 8,557 |
Wyeth LLC | 6.450% | 2/1/24 | 8,414 | 10,301 |
Zeneca Wilmington Inc. | 7.000% | 11/15/23 | 1,600 | 1,954 |
Zimmer Biomet Holdings Inc. | 3.150% | 4/1/22 | 6,500 | 6,508 |
Zimmer Biomet Holdings Inc. | 3.550% | 4/1/25 | 17,383 | 17,236 |
Zoetis Inc. | 3.250% | 2/1/23 | 11,375 | 11,488 |
Zoetis Inc. | 4.500% | 11/13/25 | 5,925 | 6,379 |
Energy (9.9%) | ||||
Anadarko Petroleum Corp. | 3.450% | 7/15/24 | 6,258 | 6,201 |
Anadarko Petroleum Corp. | 5.550% | 3/15/26 | 11,980 | 13,433 |
Apache Corp. | 3.250% | 4/15/22 | 11,492 | 11,657 |
Apache Corp. | 2.625% | 1/15/23 | 1,075 | 1,048 |
Boardwalk Pipelines LP | 3.375% | 2/1/23 | 3,275 | 3,227 |
Boardwalk Pipelines LP | 4.950% | 12/15/24 | 4,225 | 4,453 |
Boardwalk Pipelines LP | 5.950% | 6/1/26 | 4,950 | 5,603 |
BP Capital Markets plc | 3.062% | 3/17/22 | 6,664 | 6,748 |
BP Capital Markets plc | 3.245% | 5/6/22 | 20,546 | 21,021 |
BP Capital Markets plc | 2.500% | 11/6/22 | 10,409 | 10,192 |
BP Capital Markets plc | 2.750% | 5/10/23 | 17,934 | 17,581 |
BP Capital Markets plc | 3.994% | 9/26/23 | 6,025 | 6,320 |
BP Capital Markets plc | 3.216% | 11/28/23 | 10,875 | 10,917 |
BP Capital Markets plc | 3.814% | 2/10/24 | 8,919 | 9,268 |
BP Capital Markets plc | 3.224% | 4/14/24 | 7,000 | 6,996 |
BP Capital Markets plc | 3.535% | 11/4/24 | 7,725 | 7,830 |
BP Capital Markets plc | 3.506% | 3/17/25 | 9,260 | 9,373 |
BP Capital Markets plc | 3.119% | 5/4/26 | 8,270 | 8,081 |
BP Capital Markets plc | 3.017% | 1/16/27 | 5,525 | 5,326 |
Buckeye Partners LP | 4.150% | 7/1/23 | 5,846 | 5,978 |
Buckeye Partners LP | 4.350% | 10/15/24 | 130 | 135 |
Buckeye Partners LP | 3.950% | 12/1/26 | 2,550 | 2,531 |
Canadian Natural Resources Ltd. | 3.800% | 4/15/24 | 7,579 | 7,654 |
Canadian Natural Resources Ltd. | 3.900% | 2/1/25 | 2,425 | 2,458 |
Chevron Corp. | 2.411% | 3/3/22 | 8,525 | 8,488 |
Chevron Corp. | 2.498% | 3/3/22 | 1,000 | 1,000 |
Chevron Corp. | 2.355% | 12/5/22 | 17,763 | 17,443 |
Chevron Corp. | 2.566% | 5/16/23 | 2,500 | 2,472 |
Chevron Corp. | 3.191% | 6/24/23 | 19,447 | 19,912 |
Chevron Corp. | 2.895% | 3/3/24 | 5,500 | 5,500 |
Chevron Corp. | 3.326% | 11/17/25 | 6,485 | 6,590 |
Chevron Corp. | 2.954% | 5/16/26 | 22,400 | 22,066 |
57
Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Cimarex Energy Co. | 5.875% | 5/1/22 | 3,820 | 3,962 |
Cimarex Energy Co. | 4.375% | 6/1/24 | 7,410 | 7,792 |
Columbia Pipeline Group Inc. | 4.500% | 6/1/25 | 7,508 | 7,991 |
ConocoPhillips Co. | 2.400% | 12/15/22 | 10,609 | 10,342 |
ConocoPhillips Co. | 3.350% | 11/15/24 | 5,402 | 5,441 |
ConocoPhillips Co. | 4.950% | 3/15/26 | 17,247 | 19,055 |
Devon Energy Corp. | 3.250% | 5/15/22 | 8,562 | 8,588 |
Devon Energy Corp. | 5.850% | 12/15/25 | 6,675 | 7,666 |
Dominion Gas Holdings LLC | 3.550% | 11/1/23 | 1,725 | 1,753 |
Dominion Gas Holdings LLC | 3.600% | 12/15/24 | 5,725 | 5,833 |
Enable Midstream Partners LP | 3.900% | 5/15/24 | 4,000 | 3,916 |
Enbridge Energy Partners LP | 5.875% | 10/15/25 | 4,050 | 4,582 |
Enbridge Inc. | 4.000% | 10/1/23 | 3,944 | 4,052 |
Enbridge Inc. | 3.500% | 6/10/24 | 4,776 | 4,721 |
Enbridge Inc. | 4.250% | 12/1/26 | 9,650 | 9,967 |
Energy Transfer Partners LP | 3.600% | 2/1/23 | 6,545 | 6,536 |
Energy Transfer Partners LP | 4.900% | 2/1/24 | 2,050 | 2,158 |
Energy Transfer Partners LP | 7.600% | 2/1/24 | 1,430 | 1,619 |
Energy Transfer Partners LP | 4.050% | 3/15/25 | 10,045 | 10,085 |
Energy Transfer Partners LP | 4.750% | 1/15/26 | 11,370 | 11,887 |
EnLink Midstream Partners LP | 4.400% | 4/1/24 | 7,931 | 8,050 |
EnLink Midstream Partners LP | 4.150% | 6/1/25 | 1,774 | 1,774 |
EnLink Midstream Partners LP | 4.850% | 7/15/26 | 4,350 | 4,557 |
Enterprise Products Operating LLC | 3.350% | 3/15/23 | 16,575 | 16,806 |
Enterprise Products Operating LLC | 3.900% | 2/15/24 | 5,054 | 5,228 |
Enterprise Products Operating LLC | 3.750% | 2/15/25 | 11,476 | 11,656 |
Enterprise Products Operating LLC | 3.700% | 2/15/26 | 5,498 | 5,560 |
Enterprise Products Operating LLC | 3.950% | 2/15/27 | 1,560 | 1,606 |
EOG Resources Inc. | 2.625% | 3/15/23 | 9,543 | 9,308 |
EOG Resources Inc. | 3.150% | 4/1/25 | 4,301 | 4,228 |
EOG Resources Inc. | 4.150% | 1/15/26 | 8,359 | 8,795 |
EQT Midstream Partners LP | 4.000% | 8/1/24 | 2,775 | 2,785 |
EQT Midstream Partners LP | 4.125% | 12/1/26 | 1,600 | 1,595 |
Exxon Mobil Corp. | 2.397% | 3/6/22 | 14,000 | 14,001 |
Exxon Mobil Corp. | 2.726% | 3/1/23 | 10,740 | 10,741 |
Exxon Mobil Corp. | 3.176% | 3/15/24 | 3,740 | 3,822 |
Exxon Mobil Corp. | 2.709% | 3/6/25 | 15,695 | 15,392 |
Exxon Mobil Corp. | 3.043% | 3/1/26 | 23,384 | 23,314 |
FMC Technologies Inc. | 3.450% | 10/1/22 | 2,845 | 2,839 |
Gulf South Pipeline Co. LP | 4.000% | 6/15/22 | 2,250 | 2,309 |
Halliburton Co. | 3.500% | 8/1/23 | 9,375 | 9,578 |
Halliburton Co. | 3.800% | 11/15/25 | 18,693 | 19,192 |
Helmerich & Payne International Drilling Co. | 4.650% | 3/15/25 | 2,050 | 2,155 |
Hess Corp. | 3.500% | 7/15/24 | 2,000 | 1,941 |
HollyFrontier Corp. | 5.875% | 4/1/26 | 8,845 | 9,449 |
Husky Energy Inc. | 3.950% | 4/15/22 | 3,519 | 3,657 |
Husky Energy Inc. | 4.000% | 4/15/24 | 9,875 | 10,107 |
Kerr-McGee Corp. | 6.950% | 7/1/24 | 4,708 | 5,621 |
Kinder Morgan Energy Partners LP | 4.150% | 3/1/22 | 2,350 | 2,446 |
Kinder Morgan Energy Partners LP | 3.950% | 9/1/22 | 7,564 | 7,792 |
Kinder Morgan Energy Partners LP | 3.450% | 2/15/23 | 8,650 | 8,597 |
Kinder Morgan Energy Partners LP | 3.500% | 9/1/23 | 9,400 | 9,274 |
Kinder Morgan Energy Partners LP | 4.150% | 2/1/24 | 6,083 | 6,214 |
Kinder Morgan Energy Partners LP | 4.300% | 5/1/24 | 8,118 | 8,298 |
Kinder Morgan Energy Partners LP | 4.250% | 9/1/24 | 5,125 | 5,240 |
Kinder Morgan Inc. | 4.300% | 6/1/25 | 12,350 | 12,694 |
Magellan Midstream Partners LP | 3.200% | 3/15/25 | 4,606 | 4,484 |
Magellan Midstream Partners LP | 5.000% | 3/1/26 | 3,050 | 3,368 |
Marathon Oil Corp. | 2.800% | 11/1/22 | 8,039 | 7,808 |
Marathon Oil Corp. | 3.850% | 6/1/25 | 10,867 | 10,813 |
Marathon Petroleum Corp. | 3.625% | 9/15/24 | 6,743 | 6,674 |
MPLX LP | 4.500% | 7/15/23 | 13,766 | 14,454 |
MPLX LP | 4.875% | 12/1/24 | 13,198 | 14,089 |
MPLX LP | 4.000% | 2/15/25 | 2,554 | 2,573 |
58
Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
MPLX LP | 4.875% | 6/1/25 | 15,105 | 16,087 |
MPLX LP | 4.125% | 3/1/27 | 200 | 202 |
2 Nabors Industries Inc. | 5.500% | 1/15/23 | 5,700 | 5,900 |
Nabors Industries Inc. | 5.100% | 9/15/23 | 2,625 | 2,691 |
National Fuel Gas Co. | 3.750% | 3/1/23 | 6,075 | 6,035 |
National Fuel Gas Co. | 5.200% | 7/15/25 | 2,250 | 2,368 |
National Oilwell Varco Inc. | 2.600% | 12/1/22 | 12,469 | 11,924 |
Noble Energy Inc. | 3.900% | 11/15/24 | 4,827 | 4,939 |
Occidental Petroleum Corp. | 2.600% | 4/15/22 | 5,775 | 5,774 |
Occidental Petroleum Corp. | 2.700% | 2/15/23 | 6,323 | 6,263 |
Occidental Petroleum Corp. | 3.500% | 6/15/25 | 7,490 | 7,619 |
Occidental Petroleum Corp. | 3.400% | 4/15/26 | 13,204 | 13,243 |
Occidental Petroleum Corp. | 3.000% | 2/15/27 | 2,775 | 2,695 |
Oceaneering International Inc. | 4.650% | 11/15/24 | 3,120 | 3,168 |
ONEOK Partners LP | 3.375% | 10/1/22 | 9,845 | 9,860 |
ONEOK Partners LP | 5.000% | 9/15/23 | 1,450 | 1,572 |
ONEOK Partners LP | 4.900% | 3/15/25 | 5,684 | 6,084 |
Petro-Canada | 7.875% | 6/15/26 | 1,695 | 2,201 |
Phillips 66 | 4.300% | 4/1/22 | 19,400 | 20,792 |
Phillips 66 Partners LP | 3.605% | 2/15/25 | 4,743 | 4,686 |
Phillips 66 Partners LP | 3.550% | 10/1/26 | 3,725 | 3,618 |
Pioneer Natural Resources Co. | 3.950% | 7/15/22 | 3,865 | 4,033 |
Pioneer Natural Resources Co. | 4.450% | 1/15/26 | 4,450 | 4,734 |
Plains All American Pipeline LP / PAA Finance Corp. | 3.650% | 6/1/22 | 9,530 | 9,668 |
Plains All American Pipeline LP / PAA Finance Corp. | 2.850% | 1/31/23 | 4,550 | 4,382 |
Plains All American Pipeline LP / PAA Finance Corp. | 3.850% | 10/15/23 | 7,978 | 8,003 |
Plains All American Pipeline LP / PAA Finance Corp. | 3.600% | 11/1/24 | 4,274 | 4,159 |
Plains All American Pipeline LP / PAA Finance Corp. | 4.650% | 10/15/25 | 5,155 | 5,381 |
Plains All American Pipeline LP / PAA Finance Corp. | 4.500% | 12/15/26 | 7,250 | 7,451 |
Regency Energy Partners LP / Regency Energy Finance | ||||
Corp. | 5.875% | 3/1/22 | 7,326 | 8,123 |
Regency Energy Partners LP / Regency Energy Finance | ||||
Corp. | 5.000% | 10/1/22 | 9,112 | 9,784 |
Regency Energy Partners LP / Regency Energy Finance | ||||
Corp. | 5.500% | 4/15/23 | 3,820 | 3,982 |
Regency Energy Partners LP / Regency Energy Finance | ||||
Corp. | 4.500% | 11/1/23 | 5,160 | 5,366 |
Sabine Pass Liquefaction LLC | 6.250% | 3/15/22 | 9,500 | 10,711 |
Sabine Pass Liquefaction LLC | 5.625% | 4/15/23 | 12,500 | 13,734 |
Sabine Pass Liquefaction LLC | 5.750% | 5/15/24 | 18,400 | 20,424 |
Sabine Pass Liquefaction LLC | 5.625% | 3/1/25 | 17,700 | 19,470 |
2 Sabine Pass Liquefaction LLC | 5.875% | 6/30/26 | 12,400 | 13,873 |
Sasol Financing International plc | 4.500% | 11/14/22 | 4,600 | 4,658 |
Schlumberger Investment SA | 3.650% | 12/1/23 | 14,022 | 14,673 |
Shell International Finance BV | 2.375% | 8/21/22 | 12,462 | 12,257 |
Shell International Finance BV | 2.250% | 1/6/23 | 8,356 | 8,136 |
Shell International Finance BV | 3.400% | 8/12/23 | 7,869 | 8,112 |
Shell International Finance BV | 3.250% | 5/11/25 | 21,632 | 21,769 |
Shell International Finance BV | 2.875% | 5/10/26 | 17,250 | 16,751 |
Shell International Finance BV | 2.500% | 9/12/26 | 9,072 | 8,525 |
Spectra Energy Capital LLC | 3.300% | 3/15/23 | 6,325 | 6,242 |
Spectra Energy Partners LP | 4.750% | 3/15/24 | 8,172 | 8,750 |
Spectra Energy Partners LP | 3.500% | 3/15/25 | 6,200 | 6,114 |
Spectra Energy Partners LP | 3.375% | 10/15/26 | 4,250 | 4,092 |
Suncor Energy Inc. | 3.600% | 12/1/24 | 7,940 | 8,095 |
Sunoco Logistics Partners Operations LP | 3.450% | 1/15/23 | 1,020 | 1,016 |
Sunoco Logistics Partners Operations LP | 4.250% | 4/1/24 | 8,700 | 8,864 |
Sunoco Logistics Partners Operations LP | 5.950% | 12/1/25 | 5,380 | 6,066 |
Sunoco Logistics Partners Operations LP | 3.900% | 7/15/26 | 1,500 | 1,478 |
TC PipeLines LP | 4.375% | 3/13/25 | 100 | 102 |
Tosco Corp. | 7.800% | 1/1/27 | 772 | 1,002 |
Total Capital Canada Ltd. | 2.750% | 7/15/23 | 13,609 | 13,558 |
Total Capital International SA | 2.700% | 1/25/23 | 7,784 | 7,750 |
Total Capital International SA | 3.700% | 1/15/24 | 8,707 | 9,070 |
59
Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Total Capital International SA | 3.750% | 4/10/24 | 8,879 | 9,294 |
TransCanada PipeLines Ltd. | 2.500% | 8/1/22 | 12,240 | 12,096 |
TransCanada PipeLines Ltd. | 3.750% | 10/16/23 | 6,949 | 7,236 |
TransCanada PipeLines Ltd. | 4.875% | 1/15/26 | 5,125 | 5,766 |
Valero Energy Corp. | 3.650% | 3/15/25 | 6,025 | 5,999 |
Valero Energy Corp. | 3.400% | 9/15/26 | 9,995 | 9,653 |
Valero Energy Partners LP | 4.375% | 12/15/26 | 4,200 | 4,302 |
Western Gas Partners LP | 4.000% | 7/1/22 | 3,806 | 3,929 |
Western Gas Partners LP | 3.950% | 6/1/25 | 7,856 | 7,844 |
Western Gas Partners LP | 4.650% | 7/1/26 | 3,117 | 3,261 |
Williams Partners LP | 3.600% | 3/15/22 | 15,025 | 15,278 |
Williams Partners LP | 3.350% | 8/15/22 | 9,235 | 9,251 |
Williams Partners LP | 4.500% | 11/15/23 | 5,631 | 5,911 |
Williams Partners LP | 4.300% | 3/4/24 | 14,327 | 14,825 |
Williams Partners LP | 3.900% | 1/15/25 | 12,010 | 12,057 |
Williams Partners LP | 4.000% | 9/15/25 | 9,065 | 9,175 |
Williams Partners LP / ACMP Finance Corp. | 4.875% | 5/15/23 | 11,530 | 11,905 |
Williams Partners LP / ACMP Finance Corp. | 4.875% | 3/15/24 | 6,515 | 6,727 |
Other Industrial (0.2%) | ||||
CBRE Services Inc. | 5.000% | 3/15/23 | 3,966 | 4,105 |
CBRE Services Inc. | 5.250% | 3/15/25 | 4,400 | 4,642 |
CBRE Services Inc. | 4.875% | 3/1/26 | 5,545 | 5,746 |
Cintas Corp. No 2 | 3.250% | 6/1/22 | 1,300 | 1,321 |
Fluor Corp. | 3.500% | 12/15/24 | 1,605 | 1,649 |
Howard Hughes Medical Institute Revenue | 3.500% | 9/1/23 | 8,367 | 8,776 |
Technology (9.2%) | ||||
Adobe Systems Inc. | 3.250% | 2/1/25 | 9,040 | 9,108 |
Alphabet Inc. | 3.375% | 2/25/24 | 9,948 | 10,475 |
Alphabet Inc. | 1.998% | 8/15/26 | 13,100 | 12,159 |
Altera Corp. | 4.100% | 11/15/23 | 4,400 | 4,737 |
Analog Devices Inc. | 2.875% | 6/1/23 | 2,550 | 2,510 |
Analog Devices Inc. | 3.125% | 12/5/23 | 6,967 | 6,929 |
Analog Devices Inc. | 3.900% | 12/15/25 | 7,400 | 7,615 |
Analog Devices Inc. | 3.500% | 12/5/26 | 8,250 | 8,215 |
Apple Inc. | 2.700% | 5/13/22 | 11,446 | 11,543 |
Apple Inc. | 2.850% | 2/23/23 | 16,310 | 16,440 |
Apple Inc. | 2.400% | 5/3/23 | 52,988 | 52,135 |
Apple Inc. | 3.000% | 2/9/24 | 9,000 | 9,078 |
Apple Inc. | 3.450% | 5/6/24 | 25,254 | 26,195 |
Apple Inc. | 2.500% | 2/9/25 | 17,607 | 16,988 |
Apple Inc. | 3.200% | 5/13/25 | 17,080 | 17,275 |
Apple Inc. | 3.250% | 2/23/26 | 26,413 | 26,801 |
Apple Inc. | 2.450% | 8/4/26 | 13,950 | 13,223 |
Apple Inc. | 3.350% | 2/9/27 | 24,500 | 24,891 |
Applied Materials Inc. | 3.900% | 10/1/25 | 6,250 | 6,614 |
Arrow Electronics Inc. | 3.500% | 4/1/22 | 2,536 | 2,552 |
Arrow Electronics Inc. | 4.500% | 3/1/23 | 2,170 | 2,240 |
Arrow Electronics Inc. | 4.000% | 4/1/25 | 2,470 | 2,476 |
Autodesk Inc. | 3.600% | 12/15/22 | 2,243 | 2,268 |
Autodesk Inc. | 4.375% | 6/15/25 | 1,800 | 1,862 |
Avnet Inc. | 4.875% | 12/1/22 | 3,025 | 3,184 |
Avnet Inc. | 4.625% | 4/15/26 | 3,800 | 3,854 |
Baidu Inc. | 3.500% | 11/28/22 | 5,699 | 5,806 |
Baidu Inc. | 4.125% | 6/30/25 | 4,450 | 4,629 |
Broadcom Corp. | 2.500% | 8/15/22 | 500 | 478 |
2 Broadcom Corp. / Broadcom Cayman Finance Ltd. | 3.625% | 1/15/24 | 24,175 | 24,417 |
2 Broadcom Corp. / Broadcom Cayman Finance Ltd. | 3.875% | 1/15/27 | 42,200 | 42,517 |
Broadridge Financial Solutions Inc. | 3.400% | 6/27/26 | 3,744 | 3,667 |
CA Inc. | 4.500% | 8/15/23 | 2,320 | 2,447 |
Cadence Design Systems Inc. | 4.375% | 10/15/24 | 1,575 | 1,587 |
Cisco Systems Inc. | 3.000% | 6/15/22 | 3,600 | 3,680 |
Cisco Systems Inc. | 2.600% | 2/28/23 | 7,000 | 6,968 |
Cisco Systems Inc. | 2.200% | 9/20/23 | 9,074 | 8,764 |
60
Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Cisco Systems Inc. | 3.625% | 3/4/24 | 10,341 | 10,886 |
Cisco Systems Inc. | 2.950% | 2/28/26 | 8,333 | 8,294 |
Cisco Systems Inc. | 2.500% | 9/20/26 | 10,450 | 10,026 |
Computer Sciences Corp. | 4.450% | 9/15/22 | 1,500 | 1,571 |
Corning Inc. | 2.900% | 5/15/22 | 2,200 | 2,212 |
Corning Inc. | 3.700% | 11/15/23 | 1,300 | 1,320 |
2 Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 5.450% | 6/15/23 | 38,140 | 41,246 |
2 Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 6.020% | 6/15/26 | 39,698 | 43,753 |
Dun & Bradstreet Corp. | 4.375% | 12/1/22 | 1,980 | 2,048 |
Equifax Inc. | 3.300% | 12/15/22 | 1,940 | 1,988 |
Equifax Inc. | 3.250% | 6/1/26 | 2,150 | 2,098 |
Fidelity National Information Services Inc. | 5.000% | 3/15/22 | 4,773 | 4,868 |
Fidelity National Information Services Inc. | 4.500% | 10/15/22 | 6,589 | 7,045 |
Fidelity National Information Services Inc. | 3.500% | 4/15/23 | 7,350 | 7,461 |
Fidelity National Information Services Inc. | 3.875% | 6/5/24 | 5,283 | 5,453 |
Fidelity National Information Services Inc. | 5.000% | 10/15/25 | 15,915 | 17,403 |
Fidelity National Information Services Inc. | 3.000% | 8/15/26 | 12,650 | 11,967 |
Fiserv Inc. | 3.500% | 10/1/22 | 6,366 | 6,507 |
Fiserv Inc. | 3.850% | 6/1/25 | 7,350 | 7,585 |
Flex Ltd. | 5.000% | 2/15/23 | 2,000 | 2,131 |
Flex Ltd. | 4.750% | 6/15/25 | 7,425 | 7,835 |
Hewlett Packard Enterprise Co. | 4.400% | 10/15/22 | 13,862 | 14,590 |
Hewlett Packard Enterprise Co. | 4.900% | 10/15/25 | 22,925 | 23,903 |
HP Inc. | 4.050% | 9/15/22 | 2,900 | 3,046 |
Intel Corp. | 3.300% | 10/1/21 | 1 | 1 |
Intel Corp. | 3.100% | 7/29/22 | 9,820 | 10,124 |
Intel Corp. | 2.700% | 12/15/22 | 12,452 | 12,575 |
Intel Corp. | 3.700% | 7/29/25 | 23,651 | 24,852 |
Intel Corp. | 2.600% | 5/19/26 | 5,288 | 5,110 |
International Business Machines Corp. | 1.875% | 8/1/22 | 8,116 | 7,855 |
International Business Machines Corp. | 2.875% | 11/9/22 | 10,890 | 11,021 |
International Business Machines Corp. | 3.375% | 8/1/23 | 10,285 | 10,645 |
International Business Machines Corp. | 3.625% | 2/12/24 | 21,124 | 22,106 |
International Business Machines Corp. | 7.000% | 10/30/25 | 6,350 | 8,128 |
International Business Machines Corp. | 3.450% | 2/19/26 | 6,875 | 7,050 |
International Business Machines Corp. | 3.300% | 1/27/27 | 5,150 | 5,188 |
Jabil Circuit Inc. | 4.700% | 9/15/22 | 2,825 | 2,945 |
Juniper Networks Inc. | 4.500% | 3/15/24 | 2,525 | 2,654 |
Juniper Networks Inc. | 4.350% | 6/15/25 | 1,550 | 1,601 |
Keysight Technologies Inc. | 4.550% | 10/30/24 | 4,400 | 4,413 |
KLA-Tencor Corp. | 4.650% | 11/1/24 | 10,760 | 11,531 |
Lam Research Corp. | 3.800% | 3/15/25 | 3,525 | 3,569 |
Maxim Integrated Products Inc. | 3.375% | 3/15/23 | 3,640 | 3,646 |
Microsoft Corp. | 2.650% | 11/3/22 | 10,233 | 10,311 |
Microsoft Corp. | 2.125% | 11/15/22 | 6,295 | 6,159 |
Microsoft Corp. | 2.375% | 5/1/23 | 8,099 | 7,980 |
Microsoft Corp. | 2.000% | 8/8/23 | 18,116 | 17,408 |
Microsoft Corp. | 3.625% | 12/15/23 | 10,265 | 10,794 |
Microsoft Corp. | 2.875% | 2/6/24 | 14,415 | 14,517 |
Microsoft Corp. | 2.700% | 2/12/25 | 24,076 | 23,717 |
Microsoft Corp. | 3.125% | 11/3/25 | 23,492 | 23,694 |
Microsoft Corp. | 2.400% | 8/8/26 | 35,558 | 33,700 |
Microsoft Corp. | 3.300% | 2/6/27 | 33,200 | 33,844 |
Motorola Solutions Inc. | 3.750% | 5/15/22 | 6,878 | 7,006 |
Motorola Solutions Inc. | 3.500% | 3/1/23 | 5,940 | 5,847 |
Motorola Solutions Inc. | 4.000% | 9/1/24 | 5,891 | 5,898 |
Motorola Solutions Inc. | 7.500% | 5/15/25 | 1,471 | 1,744 |
NetApp Inc. | 3.250% | 12/15/22 | 450 | 444 |
NVIDIA Corp. | 3.200% | 9/16/26 | 8,950 | 8,690 |
Oracle Corp. | 2.500% | 5/15/22 | 24,766 | 24,712 |
Oracle Corp. | 2.500% | 10/15/22 | 24,606 | 24,536 |
Oracle Corp. | 3.625% | 7/15/23 | 12,946 | 13,577 |
Oracle Corp. | 2.400% | 9/15/23 | 23,493 | 22,956 |
61
Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Oracle Corp. | 3.400% | 7/8/24 | 17,885 | 18,328 |
Oracle Corp. | 2.950% | 5/15/25 | 15,320 | 15,142 |
Oracle Corp. | 2.650% | 7/15/26 | 21,211 | 20,370 |
Pitney Bowes Inc. | 4.625% | 3/15/24 | 3,969 | 3,902 |
QUALCOMM Inc. | 3.000% | 5/20/22 | 20,452 | 20,704 |
QUALCOMM Inc. | 3.450% | 5/20/25 | 15,327 | 15,522 |
2 Seagate HDD Cayman | 4.250% | 3/1/22 | 6,000 | 5,940 |
Seagate HDD Cayman | 4.750% | 6/1/23 | 7,582 | 7,582 |
2 Seagate HDD Cayman | 4.875% | 3/1/24 | 5,000 | 4,900 |
Seagate HDD Cayman | 4.750% | 1/1/25 | 7,975 | 7,656 |
Tech Data Corp. | 4.950% | 2/15/27 | 4,250 | 4,293 |
Telefonaktiebolaget LM Ericsson | 4.125% | 5/15/22 | 7,650 | 7,808 |
Texas Instruments Inc. | 1.850% | 5/15/22 | 2,500 | 2,412 |
Texas Instruments Inc. | 2.250% | 5/1/23 | 2,685 | 2,603 |
Total System Services Inc. | 3.750% | 6/1/23 | 2,950 | 2,959 |
Total System Services Inc. | 4.800% | 4/1/26 | 7,566 | 8,171 |
Trimble Navigation Ltd. | 4.750% | 12/1/24 | 1,975 | 2,049 |
Tyco Electronics Group SA | 3.450% | 8/1/24 | 2,200 | 2,214 |
Tyco Electronics Group SA | 3.700% | 2/15/26 | 3,900 | 3,989 |
Verisk Analytics Inc. | 4.125% | 9/12/22 | 3,090 | 3,227 |
Verisk Analytics Inc. | 4.000% | 6/15/25 | 9,150 | 9,376 |
Xerox Corp. | 3.800% | 5/15/24 | 1,625 | 1,589 |
Transportation (2.1%) | ||||
1 American Airlines 2013-1 Class A Pass Through Trust | 4.000% | 1/15/27 | 2,766 | 2,870 |
1 American Airlines 2013-2 Class A Pass Through Trust | 4.950% | 7/15/24 | 9,191 | 9,789 |
1 American Airlines 2014-1 Class A Pass Through Trust | 3.700% | 4/1/28 | 4,183 | 4,215 |
1 American Airlines 2015-1 Class B Pass Through Trust | 3.700% | 11/1/24 | 1,586 | 1,547 |
1 American Airlines 2017-1B Class B Pass Through Trust | 4.950% | 2/15/25 | 1,550 | 1,585 |
1 BNSF Funding Trust I | 6.613% | 12/15/55 | 1,890 | 2,157 |
Burlington Northern Santa Fe LLC | 3.050% | 3/15/22 | 3,695 | 3,784 |
Burlington Northern Santa Fe LLC | 3.050% | 9/1/22 | 7,825 | 8,023 |
Burlington Northern Santa Fe LLC | 3.000% | 3/15/23 | 7,308 | 7,415 |
Burlington Northern Santa Fe LLC | 3.850% | 9/1/23 | 6,337 | 6,728 |
Burlington Northern Santa Fe LLC | 3.750% | 4/1/24 | 7,055 | 7,445 |
Burlington Northern Santa Fe LLC | 3.400% | 9/1/24 | 5,981 | 6,189 |
Burlington Northern Santa Fe LLC | 3.000% | 4/1/25 | 4,800 | 4,806 |
Burlington Northern Santa Fe LLC | 3.650% | 9/1/25 | 5,115 | 5,358 |
Burlington Northern Santa Fe LLC | 7.000% | 12/15/25 | 2,901 | 3,729 |
Canadian National Railway Co. | 2.250% | 11/15/22 | 1,525 | 1,484 |
Canadian National Railway Co. | 2.950% | 11/21/24 | 4,265 | 4,338 |
Canadian National Railway Co. | 2.750% | 3/1/26 | 3,225 | 3,189 |
Canadian Pacific Railway Co. | 4.450% | 3/15/23 | 3,011 | 3,260 |
Canadian Pacific Railway Co. | 2.900% | 2/1/25 | 6,550 | 6,490 |
Canadian Pacific Railway Co. | 3.700% | 2/1/26 | 1,935 | 2,005 |
1 Continental Airlines 2007-1 Class A Pass Through Trust | 5.983% | 10/19/23 | 3,188 | 3,506 |
1 Continental Airlines 2012-1 Class A Pass Through Trust | 4.150% | 10/11/25 | 8,559 | 8,858 |
1 Continental Airlines 2012-2 Class A Pass Through Trust | 4.000% | 4/29/26 | 3,537 | 3,643 |
CSX Corp. | 3.700% | 11/1/23 | 3,075 | 3,196 |
CSX Corp. | 3.400% | 8/1/24 | 7,240 | 7,372 |
CSX Corp. | 3.350% | 11/1/25 | 6,110 | 6,132 |
CSX Corp. | 2.600% | 11/1/26 | 5,800 | 5,447 |
1 CSX Transportation Inc. | 6.251% | 1/15/23 | 31 | 35 |
1 Delta Air Lines 2007-1 Class A Pass Through Trust | 6.821% | 2/10/24 | 4,581 | 5,273 |
FedEx Corp. | 2.625% | 8/1/22 | 3,480 | 3,478 |
FedEx Corp. | 2.700% | 4/15/23 | 1,700 | 1,683 |
FedEx Corp. | 4.000% | 1/15/24 | 5,225 | 5,546 |
FedEx Corp. | 3.200% | 2/1/25 | 5,391 | 5,409 |
FedEx Corp. | 3.250% | 4/1/26 | 8,400 | 8,379 |
FedEx Corp. | 3.300% | 3/15/27 | 1,600 | 1,589 |
1 Hawaiian Airlines 2013-1 Class A Pass Through | ||||
Certificates | 3.900% | 1/15/26 | 3,024 | 3,069 |
JB Hunt Transport Services Inc. | 3.300% | 8/15/22 | 2,400 | 2,429 |
JB Hunt Transport Services Inc. | 3.850% | 3/15/24 | 2,325 | 2,391 |
62
Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Kansas City Southern | 3.000% | 5/15/23 | 6,975 | 6,784 |
Kansas City Southern | 3.125% | 6/1/26 | 4,145 | 3,906 |
Norfolk Southern Corp. | 3.000% | 4/1/22 | 8,867 | 9,003 |
Norfolk Southern Corp. | 2.903% | 2/15/23 | 5,986 | 5,959 |
Norfolk Southern Corp. | 3.850% | 1/15/24 | 2,635 | 2,761 |
Norfolk Southern Corp. | 5.590% | 5/17/25 | 3,270 | 3,748 |
Ryder System Inc. | 2.800% | 3/1/22 | 2,400 | 2,403 |
Southwest Airlines Co. | 3.000% | 11/15/26 | 3,300 | 3,136 |
1 Southwest Airlines Co. 2007-1 Pass Through Trust | 6.150% | 2/1/24 | 1,162 | 1,270 |
Trinity Industries Inc. | 4.550% | 10/1/24 | 2,490 | 2,504 |
Union Pacific Corp. | 4.163% | 7/15/22 | 6,699 | 7,215 |
Union Pacific Corp. | 2.950% | 1/15/23 | 3,425 | 3,467 |
Union Pacific Corp. | 2.750% | 4/15/23 | 1,550 | 1,548 |
Union Pacific Corp. | 3.646% | 2/15/24 | 3,550 | 3,708 |
Union Pacific Corp. | 3.750% | 3/15/24 | 5,095 | 5,365 |
Union Pacific Corp. | 3.250% | 1/15/25 | 3,757 | 3,827 |
Union Pacific Corp. | 3.250% | 8/15/25 | 5,729 | 5,843 |
Union Pacific Corp. | 2.750% | 3/1/26 | 8,425 | 8,240 |
1 United Airlines 2013-1 Class A Pass Through Trust | 4.300% | 2/15/27 | 3,684 | 3,873 |
1 United Airlines 2014-1 Class A Pass Through Trust | 4.000% | 10/11/27 | 3,707 | 3,818 |
1 United Airlines 2014-2 Class A Pass Through Trust | 3.750% | 3/3/28 | 5,621 | 5,698 |
United Parcel Service Inc. | 2.450% | 10/1/22 | 9,097 | 9,109 |
United Parcel Service Inc. | 2.400% | 11/15/26 | 5,100 | 4,860 |
1 US Airways 2012-1 Class A Pass Through Trust | 5.900% | 4/1/26 | 909 | 1,008 |
1 US Airways 2013-1 Class A Pass Through Trust | 3.950% | 5/15/27 | 2,937 | 3,018 |
1 US Airways Inc. 2012-2 Class A Pass Through Trust | 4.625% | 12/3/26 | 1,816 | 1,920 |
8,318,186 | ||||
Utilities (5.4%) | ||||
Electric (5.0%) | ||||
2 AEP Transmission Co. LLC | 3.100% | 12/1/26 | 5,340 | 5,277 |
Alabama Power Co. | 2.450% | 3/30/22 | 4,000 | 3,986 |
Alabama Power Co. | 3.550% | 12/1/23 | 6,900 | 7,244 |
Alabama Power Co. | 2.800% | 4/1/25 | 5,150 | 5,040 |
Ameren Corp. | 3.650% | 2/15/26 | 1,060 | 1,074 |
Ameren Illinois Co. | 2.700% | 9/1/22 | 2,670 | 2,682 |
Ameren Illinois Co. | 3.250% | 3/1/25 | 5,475 | 5,563 |
American Electric Power Co. Inc. | 2.950% | 12/15/22 | 2,629 | 2,645 |
Appalachian Power Co. | 3.400% | 6/1/25 | 1,275 | 1,295 |
Arizona Public Service Co. | 3.350% | 6/15/24 | 900 | 919 |
Arizona Public Service Co. | 3.150% | 5/15/25 | 2,215 | 2,231 |
Arizona Public Service Co. | 2.550% | 9/15/26 | 3,305 | 3,122 |
Avista Corp. | 5.125% | 4/1/22 | 200 | 220 |
Baltimore Gas & Electric Co. | 2.800% | 8/15/22 | 380 | 381 |
Baltimore Gas & Electric Co. | 3.350% | 7/1/23 | 1,125 | 1,156 |
Baltimore Gas & Electric Co. | 2.400% | 8/15/26 | 3,775 | 3,539 |
Berkshire Hathaway Energy Co. | 3.750% | 11/15/23 | 6,635 | 6,974 |
Berkshire Hathaway Energy Co. | 3.500% | 2/1/25 | 4,525 | 4,619 |
Black Hills Corp. | 4.250% | 11/30/23 | 1,000 | 1,055 |
Black Hills Corp. | 3.950% | 1/15/26 | 3,720 | 3,820 |
Black Hills Corp. | 3.150% | 1/15/27 | 1,900 | 1,825 |
CenterPoint Energy Houston Electric LLC | 2.250% | 8/1/22 | 2,537 | 2,499 |
CenterPoint Energy Houston Electric LLC | 2.400% | 9/1/26 | 1,840 | 1,737 |
CenterPoint Energy Houston Electric LLC | 3.000% | 2/1/27 | 1,200 | 1,192 |
2 Cleco Corporate Holdings LLC | 3.743% | 5/1/26 | 10,300 | 10,222 |
Cleveland Electric Illuminating Co. | 5.500% | 8/15/24 | 2,300 | 2,638 |
CMS Energy Corp. | 5.050% | 3/15/22 | 2,775 | 3,052 |
CMS Energy Corp. | 3.875% | 3/1/24 | 1,835 | 1,907 |
CMS Energy Corp. | 3.600% | 11/15/25 | 1,810 | 1,823 |
CMS Energy Corp. | 3.000% | 5/15/26 | 2,545 | 2,445 |
CMS Energy Corp. | 2.950% | 2/15/27 | 1,950 | 1,860 |
Commonwealth Edison Co. | 3.100% | 11/1/24 | 2,455 | 2,476 |
Commonwealth Edison Co. | 2.550% | 6/15/26 | 5,600 | 5,357 |
Connecticut Light & Power Co. | 2.500% | 1/15/23 | 3,975 | 3,914 |
63
Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Consolidated Edison Co. of New York Inc. | 3.300% | 12/1/24 | 1,325 | 1,352 |
Consolidated Edison Co. of New York Inc. | 2.900% | 12/1/26 | 2,475 | 2,415 |
Consumers Energy Co. | 2.850% | 5/15/22 | 2,834 | 2,873 |
Consumers Energy Co. | 3.375% | 8/15/23 | 3,060 | 3,168 |
Consumers Energy Co. | 3.125% | 8/31/24 | 1,600 | 1,617 |
Delmarva Power & Light Co. | 3.500% | 11/15/23 | 4,249 | 4,371 |
Dominion Resources Inc. | 2.750% | 9/15/22 | 1,500 | 1,481 |
Dominion Resources Inc. | 3.625% | 12/1/24 | 2,950 | 2,988 |
Dominion Resources Inc. | 3.900% | 10/1/25 | 6,600 | 6,769 |
Dominion Resources Inc. | 2.850% | 8/15/26 | 5,650 | 5,343 |
1 Dominion Resources Inc. | 5.750% | 10/1/54 | 4,975 | 5,214 |
DTE Electric Co. | 2.650% | 6/15/22 | 3,982 | 3,987 |
DTE Electric Co. | 3.650% | 3/15/24 | 4,175 | 4,422 |
DTE Electric Co. | 3.375% | 3/1/25 | 1,700 | 1,744 |
DTE Energy Co. | 3.300% | 6/15/22 | 4,025 | 4,101 |
DTE Energy Co. | 3.850% | 12/1/23 | 700 | 724 |
DTE Energy Co. | 3.500% | 6/1/24 | 3,100 | 3,131 |
DTE Energy Co. | 2.850% | 10/1/26 | 6,750 | 6,337 |
Duke Energy Carolinas LLC | 2.950% | 12/1/26 | 5,225 | 5,146 |
Duke Energy Corp. | 3.050% | 8/15/22 | 6,323 | 6,378 |
Duke Energy Corp. | 3.950% | 10/15/23 | 3,700 | 3,881 |
Duke Energy Corp. | 3.750% | 4/15/24 | 9,925 | 10,262 |
Duke Energy Corp. | 2.650% | 9/1/26 | 7,000 | 6,565 |
Duke Energy Florida LLC | 3.200% | 1/15/27 | 7,000 | 7,052 |
Duke Energy Ohio Inc. | 3.800% | 9/1/23 | 5,886 | 6,210 |
Duke Energy Progress LLC | 2.800% | 5/15/22 | 7,542 | 7,668 |
Duke Energy Progress LLC | 3.250% | 8/15/25 | 6,500 | 6,610 |
Edison International | 2.950% | 3/15/23 | 2,200 | 2,205 |
Emera US Finance LP | 3.550% | 6/15/26 | 7,170 | 7,080 |
Enel Americas SA | 4.000% | 10/25/26 | 2,100 | 2,090 |
Enel Generacion Chile SA | 4.250% | 4/15/24 | 2,200 | 2,250 |
Entergy Arkansas Inc. | 3.050% | 6/1/23 | 550 | 553 |
Entergy Arkansas Inc. | 3.700% | 6/1/24 | 1,100 | 1,153 |
Entergy Arkansas Inc. | 3.500% | 4/1/26 | 3,020 | 3,098 |
Entergy Corp. | 4.000% | 7/15/22 | 2,874 | 3,020 |
Entergy Corp. | 2.950% | 9/1/26 | 6,900 | 6,579 |
Entergy Gulf States Louisiana LLC | 5.590% | 10/1/24 | 2,785 | 3,240 |
Entergy Louisiana LLC | 4.050% | 9/1/23 | 5,150 | 5,465 |
Entergy Louisiana LLC | 5.400% | 11/1/24 | 3,515 | 4,072 |
Entergy Louisiana LLC | 4.440% | 1/15/26 | 210 | 229 |
Entergy Louisiana LLC | 2.400% | 10/1/26 | 11,450 | 10,798 |
Entergy Mississippi Inc. | 3.100% | 7/1/23 | 2,225 | 2,247 |
Eversource Energy | 2.800% | 5/1/23 | 2,985 | 2,949 |
Eversource Energy | 3.150% | 1/15/25 | 3,300 | 3,306 |
Eversource Energy | 3.350% | 3/15/26 | 3,375 | 3,349 |
Exelon Corp. | 3.950% | 6/15/25 | 13,674 | 14,091 |
Exelon Corp. | 3.400% | 4/15/26 | 4,104 | 4,062 |
Exelon Generation Co. LLC | 4.250% | 6/15/22 | 7,061 | 7,371 |
FirstEnergy Corp. | 4.250% | 3/15/23 | 10,800 | 11,264 |
Florida Power & Light Co. | 2.750% | 6/1/23 | 2,150 | 2,168 |
Florida Power & Light Co. | 3.250% | 6/1/24 | 4,425 | 4,572 |
Florida Power & Light Co. | 3.125% | 12/1/25 | 7,150 | 7,284 |
2 Fortis Inc. | 3.055% | 10/4/26 | 20,400 | 19,233 |
Georgia Power Co. | 3.250% | 4/1/26 | 1,800 | 1,821 |
Great Plains Energy Inc. | 5.292% | 6/15/22 | 2,000 | 2,174 |
Indiana Michigan Power Co. | 3.200% | 3/15/23 | 2,125 | 2,149 |
Interstate Power & Light Co. | 3.250% | 12/1/24 | 3,175 | 3,177 |
Interstate Power & Light Co. | 3.400% | 8/15/25 | 1,885 | 1,901 |
ITC Holdings Corp. | 4.050% | 7/1/23 | 1,925 | 2,000 |
ITC Holdings Corp. | 3.650% | 6/15/24 | 3,545 | 3,592 |
ITC Holdings Corp. | 3.250% | 6/30/26 | 3,470 | 3,401 |
Kansas City Power & Light Co. | 3.150% | 3/15/23 | 5,525 | 5,539 |
Kansas City Power & Light Co. | 3.650% | 8/15/25 | 400 | 405 |
Kentucky Utilities Co. | 3.300% | 10/1/25 | 3,700 | 3,755 |
64
Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Louisville Gas & Electric Co. | 3.300% | 10/1/25 | 1,600 | 1,620 |
MidAmerican Energy Co. | 3.700% | 9/15/23 | 250 | 262 |
MidAmerican Energy Co. | 3.500% | 10/15/24 | 4,573 | 4,740 |
National Rural Utilities Cooperative Finance Corp. | 2.700% | 2/15/23 | 5,995 | 5,975 |
National Rural Utilities Cooperative Finance Corp. | 3.400% | 11/15/23 | 875 | 905 |
National Rural Utilities Cooperative Finance Corp. | 2.950% | 2/7/24 | 3,300 | 3,304 |
National Rural Utilities Cooperative Finance Corp. | 2.850% | 1/27/25 | 4,062 | 4,030 |
National Rural Utilities Cooperative Finance Corp. | 3.250% | 11/1/25 | 5,153 | 5,215 |
1 National Rural Utilities Cooperative Finance Corp. | 4.750% | 4/30/43 | 1,850 | 1,884 |
1 National Rural Utilities Cooperative Finance Corp. | 5.250% | 4/20/46 | 3,125 | 3,270 |
NextEra Energy Capital Holdings Inc. | 3.625% | 6/15/23 | 2,125 | 2,178 |
Northern States Power Co. | 2.150% | 8/15/22 | 1,575 | 1,541 |
Northern States Power Co. | 2.600% | 5/15/23 | 4,185 | 4,179 |
NSTAR Electric Co. | 2.375% | 10/15/22 | 1,800 | 1,770 |
NSTAR Electric Co. | 3.250% | 11/15/25 | 975 | 982 |
NSTAR Electric Co. | 2.700% | 6/1/26 | 1,987 | 1,906 |
Oncor Electric Delivery Co. LLC | 4.100% | 6/1/22 | 3,078 | 3,290 |
Oncor Electric Delivery Co. LLC | 7.000% | 9/1/22 | 6,106 | 7,430 |
Oncor Electric Delivery Co. LLC | 2.950% | 4/1/25 | 2,350 | 2,328 |
Pacific Gas & Electric Co. | 2.450% | 8/15/22 | 4,935 | 4,874 |
Pacific Gas & Electric Co. | 3.250% | 6/15/23 | 2,725 | 2,783 |
Pacific Gas & Electric Co. | 3.850% | 11/15/23 | 2,113 | 2,227 |
Pacific Gas & Electric Co. | 3.750% | 2/15/24 | 3,006 | 3,154 |
Pacific Gas & Electric Co. | 3.400% | 8/15/24 | 3,715 | 3,808 |
Pacific Gas & Electric Co. | 3.500% | 6/15/25 | 4,146 | 4,254 |
Pacific Gas & Electric Co. | 2.950% | 3/1/26 | 9,355 | 9,194 |
PacifiCorp | 2.950% | 6/1/23 | 1,550 | 1,562 |
PacifiCorp | 3.600% | 4/1/24 | 2,650 | 2,762 |
PacifiCorp | 3.350% | 7/1/25 | 4,710 | 4,781 |
PECO Energy Co. | 2.375% | 9/15/22 | 4,204 | 4,170 |
PECO Energy Co. | 3.150% | 10/15/25 | 1,100 | 1,110 |
Potomac Electric Power Co. | 3.600% | 3/15/24 | 1,700 | 1,766 |
PPL Capital Funding Inc. | 4.200% | 6/15/22 | 7,505 | 7,925 |
PPL Capital Funding Inc. | 3.500% | 12/1/22 | 2,695 | 2,765 |
PPL Capital Funding Inc. | 3.400% | 6/1/23 | 3,319 | 3,365 |
PPL Capital Funding Inc. | 3.950% | 3/15/24 | 2,138 | 2,230 |
PPL Capital Funding Inc. | 3.100% | 5/15/26 | 9,888 | 9,532 |
PPL Electric Utilities Corp. | 2.500% | 9/1/22 | 260 | 256 |
Progress Energy Inc. | 3.150% | 4/1/22 | 1,473 | 1,491 |
PSEG Power LLC | 4.300% | 11/15/23 | 1,325 | 1,393 |
Public Service Co. of Colorado | 2.250% | 9/15/22 | 4,485 | 4,422 |
Public Service Co. of Colorado | 2.500% | 3/15/23 | 800 | 789 |
Public Service Co. of Colorado | 2.900% | 5/15/25 | 2,725 | 2,705 |
Public Service Co. of New Hampshire | 3.500% | 11/1/23 | 2,550 | 2,615 |
Public Service Co. of New Mexico | 3.850% | 8/1/25 | 1,475 | 1,499 |
Public Service Electric & Gas Co. | 2.375% | 5/15/23 | 3,677 | 3,616 |
Public Service Electric & Gas Co. | 3.150% | 8/15/24 | 2,250 | 2,281 |
Public Service Electric & Gas Co. | 3.050% | 11/15/24 | 4,825 | 4,834 |
Public Service Electric & Gas Co. | 3.000% | 5/15/25 | 3,456 | 3,466 |
Public Service Electric & Gas Co. | 2.250% | 9/15/26 | 5,475 | 5,106 |
Puget Energy Inc. | 5.625% | 7/15/22 | 3,950 | 4,401 |
Puget Energy Inc. | 3.650% | 5/15/25 | 2,920 | 2,901 |
San Diego Gas & Electric Co. | 3.600% | 9/1/23 | 2,550 | 2,681 |
San Diego Gas & Electric Co. | 2.500% | 5/15/26 | 4,475 | 4,289 |
San Diego Gas & Electric Co. | 6.000% | 6/1/26 | 870 | 1,064 |
Scottish Power Ltd. | 5.810% | 3/15/25 | 1,760 | 1,958 |
Sierra Pacific Power Co. | 3.375% | 8/15/23 | 750 | 768 |
Sierra Pacific Power Co. | 2.600% | 5/1/26 | 4,550 | 4,373 |
Southern California Edison Co. | 3.500% | 10/1/23 | 4,556 | 4,762 |
Southern Co. | 2.950% | 7/1/23 | 16,131 | 15,851 |
Southern Co. | 3.250% | 7/1/26 | 9,925 | 9,627 |
1 Southern Co. | 5.500% | 3/15/57 | 4,000 | 4,180 |
Southern Power Co. | 4.150% | 12/1/25 | 4,025 | 4,198 |
Southwestern Electric Power Co. | 2.750% | 10/1/26 | 2,550 | 2,435 |
65
Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Southwestern Public Service Co. | 3.300% | 6/15/24 | 1,850 | 1,888 |
System Energy Resources Inc. | 4.100% | 4/1/23 | 4,350 | 4,464 |
Tampa Electric Co. | 2.600% | 9/15/22 | 2,586 | 2,538 |
TransAlta Corp. | 4.500% | 11/15/22 | 3,669 | 3,684 |
Tri-State Generation & Transmission Assn. Inc. | 3.700% | 11/1/24 | 1,100 | 1,133 |
Tucson Electric Power Co. | 3.050% | 3/15/25 | 1,650 | 1,587 |
Union Electric Co. | 3.500% | 4/15/24 | 3,550 | 3,693 |
Virginia Electric & Power Co. | 3.450% | 9/1/22 | 1,965 | 2,037 |
Virginia Electric & Power Co. | 2.750% | 3/15/23 | 7,432 | 7,385 |
Virginia Electric & Power Co. | 3.450% | 2/15/24 | 1,815 | 1,868 |
Virginia Electric & Power Co. | 3.150% | 1/15/26 | 8,175 | 8,180 |
Virginia Electric & Power Co. | 2.950% | 11/15/26 | 5,730 | 5,606 |
WEC Energy Group Inc. | 3.550% | 6/15/25 | 3,526 | 3,602 |
Westar Energy Inc. | 3.250% | 12/1/25 | 2,440 | 2,442 |
Westar Energy Inc. | 2.550% | 7/1/26 | 3,225 | 3,059 |
Wisconsin Electric Power Co. | 3.100% | 6/1/25 | 1,700 | 1,697 |
Wisconsin Power & Light Co. | 2.250% | 11/15/22 | 875 | 859 |
Xcel Energy Inc. | 2.600% | 3/15/22 | 3,200 | 3,196 |
Xcel Energy Inc. | 3.300% | 6/1/25 | 4,775 | 4,812 |
Xcel Energy Inc. | 3.350% | 12/1/26 | 4,900 | 4,932 |
Natural Gas (0.3%) | ||||
NiSource Finance Corp. | 6.125% | 3/1/22 | 5,010 | 5,770 |
NiSource Finance Corp. | 3.850% | 2/15/23 | 1,000 | 1,032 |
ONE Gas Inc. | 3.610% | 2/1/24 | 1,500 | 1,544 |
Sempra Energy | 2.875% | 10/1/22 | 4,200 | 4,185 |
Sempra Energy | 4.050% | 12/1/23 | 5,400 | 5,671 |
Sempra Energy | 3.550% | 6/15/24 | 3,699 | 3,768 |
Sempra Energy | 3.750% | 11/15/25 | 2,775 | 2,839 |
Southern California Gas Co. | 3.150% | 9/15/24 | 2,025 | 2,068 |
Southern California Gas Co. | 3.200% | 6/15/25 | 1,300 | 1,326 |
Southern California Gas Co. | 2.600% | 6/15/26 | 8,620 | 8,341 |
Southern Co. Gas Capital Corp. | 2.450% | 10/1/23 | 3,700 | 3,555 |
Southern Co. Gas Capital Corp. | 3.875% | 11/15/25 | 1,975 | 2,030 |
Southern Co. Gas Capital Corp. | 3.250% | 6/15/26 | 2,875 | 2,816 |
Southwest Gas Corp. | 3.875% | 4/1/22 | 500 | 514 |
Other Utility (0.1%) | ||||
American Water Capital Corp. | 3.850% | 3/1/24 | 2,741 | 2,897 |
American Water Capital Corp. | 3.400% | 3/1/25 | 5,272 | 5,443 |
American Water Capital Corp. | 3.000% | 12/1/26 | 2,525 | 2,479 |
743,212 | ||||
Total Corporate Bonds (Cost $13,559,676) | 13,618,244 | |||
Taxable Municipal Bonds (0.0%) | ||||
George Washington University District of Columbia GO | ||||
(Cost $1,485) | 3.485% | 9/15/22 | 1,450 | 1,507 |
Shares | ||||
Temporary Cash Investment (1.2%) | ||||
Money Market Fund (1.2%) | ||||
3 Vanguard Market Liquidity Fund (Cost | ||||
$165,415) | 0.864% | 1,653,978 | 165,415 | |
Total Investments (100.1%) (Cost $13,814,270) | 13,872,846 | |||
Other Assets and Liabilities—Net (-0.1%) | (18,057) | |||
Net Assets (100%) | 13,854,789 |
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. |
66
Vanguard® Intermediate-Term Corporate Bond Index Fund
Schedule of Investments
February 28, 2017
2 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At February 28, 2017, the aggregate value of these securities was $292,961,000, representing 2.1% 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. |
GO—General Obligation Bond. REIT—Real Estate Investment Trust. |
67
Vanguard® Long-Term Corporate Bond Index Fund | |||||
Schedule of Investments | |||||
February 28, 2017 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (0.5%) | |||||
U.S. Government Securities (0.5%) | |||||
United States Treasury Note/Bond | 2.250% | 2/15/27 | 465 | 460 | |
United States Treasury Note/Bond | 2.875% | 11/15/46 | 10,055 | 9,865 | |
Total U.S. Government and Agency Obligations (Cost $10,313) | 10,325 | ||||
Corporate Bonds (97.3%) | |||||
Finance (16.9%) | |||||
Banking (9.3%) | |||||
American Express Co. | 4.050% | 12/3/42 | 1,357 | 1,350 | |
Bank of America Corp. | 3.248% | 10/21/27 | 4,293 | 4,116 | |
Bank of America Corp. | 4.183% | 11/25/27 | 1,150 | 1,155 | |
Bank of America Corp. | 6.750% | 6/1/28 | 575 | 686 | |
Bank of America Corp. | 6.110% | 1/29/37 | 3,450 | 4,119 | |
Bank of America Corp. | 7.750% | 5/14/38 | 2,903 | 4,053 | |
Bank of America Corp. | 5.875% | 2/7/42 | 1,500 | 1,846 | |
Bank of America Corp. | 5.000% | 1/21/44 | 4,080 | 4,511 | |
Bank of America Corp. | 4.875% | 4/1/44 | 1,237 | 1,358 | |
Bank of America Corp. | 4.750% | 4/21/45 | 675 | 683 | |
1 | Bank of America Corp. | 4.443% | 1/20/48 | 1,500 | 1,518 |
Bank of America NA | 6.000% | 10/15/36 | 1,595 | 1,959 | |
Bank of New York Mellon Corp. | 3.000% | 10/30/28 | 400 | 384 | |
Bank One Capital III | 8.750% | 9/1/30 | 845 | 1,193 | |
Bank One Corp. | 8.000% | 4/29/27 | 500 | 653 | |
Barclays plc | 4.337% | 1/10/28 | 3,000 | 3,032 | |
Barclays plc | 5.250% | 8/17/45 | 690 | 736 | |
Barclays plc | 4.950% | 1/10/47 | 2,000 | 2,036 | |
Citigroup Inc. | 4.400% | 6/10/25 | 750 | 769 | |
Citigroup Inc. | 4.450% | 9/29/27 | 4,755 | 4,867 | |
Citigroup Inc. | 6.625% | 1/15/28 | 200 | 241 | |
Citigroup Inc. | 4.125% | 7/25/28 | 1,381 | 1,369 | |
Citigroup Inc. | 6.625% | 6/15/32 | 1,420 | 1,733 | |
Citigroup Inc. | 6.000% | 10/31/33 | 1,250 | 1,434 | |
Citigroup Inc. | 6.125% | 8/25/36 | 848 | 995 | |
Citigroup Inc. | 8.125% | 7/15/39 | 2,877 | 4,300 | |
Citigroup Inc. | 5.875% | 1/30/42 | 1,631 | 1,978 | |
Citigroup Inc. | 6.675% | 9/13/43 | 1,390 | 1,791 | |
Citigroup Inc. | 5.300% | 5/6/44 | 1,175 | 1,282 | |
Citigroup Inc. | 4.650% | 7/30/45 | 1,600 | 1,675 | |
Citigroup Inc. | 4.750% | 5/18/46 | 2,105 | 2,118 | |
Cooperatieve Rabobank UA | 5.250% | 5/24/41 | 1,340 | 1,569 | |
Cooperatieve Rabobank UA | 5.750% | 12/1/43 | 2,425 | 2,804 | |
Cooperatieve Rabobank UA | 5.250% | 8/4/45 | 819 | 891 | |
2 | Credit Suisse Group AG | 4.282% | 1/9/28 | 1,200 | 1,200 |
Credit Suisse Group Funding Guernsey Ltd. | 4.875% | 5/15/45 | 1,825 | 1,856 | |
Credit Suisse USA Inc. | 7.125% | 7/15/32 | 740 | 1,013 | |
Fifth Third Bancorp | 8.250% | 3/1/38 | 1,337 | 1,893 | |
First Republic Bank | 4.375% | 8/1/46 | 200 | 192 | |
First Republic Bank | 4.625% | 2/13/47 | 750 | 759 | |
Goldman Sachs Capital I | 6.345% | 2/15/34 | 1,280 | 1,542 | |
Goldman Sachs Group Inc. | 6.125% | 2/15/33 | 2,838 | 3,453 | |
Goldman Sachs Group Inc. | 6.450% | 5/1/36 | 1,664 | 2,019 | |
Goldman Sachs Group Inc. | 6.750% | 10/1/37 | 7,410 | 9,284 | |
Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 3,658 | 4,583 | |
Goldman Sachs Group Inc. | 4.800% | 7/8/44 | 2,242 | 2,409 | |
Goldman Sachs Group Inc. | 5.150% | 5/22/45 | 3,240 | 3,455 | |
Goldman Sachs Group Inc. | 4.750% | 10/21/45 | 2,523 | 2,670 | |
HSBC Bank USA NA | 5.875% | 11/1/34 | 910 | 1,073 | |
HSBC Bank USA NA | 5.625% | 8/15/35 | 960 | 1,111 | |
HSBC Bank USA NA | 7.000% | 1/15/39 | 1,175 | 1,573 | |
HSBC Holdings plc | 7.625% | 5/17/32 | 945 | 1,239 | |
HSBC Holdings plc | 6.500% | 5/2/36 | 2,575 | 3,165 | |
HSBC Holdings plc | 6.500% | 9/15/37 | 3,780 | 4,678 |
68
Vanguard® Long-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
HSBC Holdings plc | 6.800% | 6/1/38 | 1,680 | 2,152 |
HSBC Holdings plc | 6.100% | 1/14/42 | 990 | 1,238 |
HSBC Holdings plc | 5.250% | 3/14/44 | 2,447 | 2,654 |
JPMorgan Chase & Co. | 4.250% | 10/1/27 | 1,973 | 2,030 |
JPMorgan Chase & Co. | 3.625% | 12/1/27 | 1,025 | 999 |
1 JPMorgan Chase & Co. | 3.782% | 2/1/28 | 57 | 58 |
JPMorgan Chase & Co. | 6.400% | 5/15/38 | 3,072 | 3,993 |
JPMorgan Chase & Co. | 5.500% | 10/15/40 | 1,890 | 2,252 |
JPMorgan Chase & Co. | 5.600% | 7/15/41 | 2,365 | 2,842 |
JPMorgan Chase & Co. | 5.400% | 1/6/42 | 2,405 | 2,847 |
JPMorgan Chase & Co. | 5.625% | 8/16/43 | 1,650 | 1,938 |
JPMorgan Chase & Co. | 4.850% | 2/1/44 | 1,665 | 1,847 |
JPMorgan Chase & Co. | 4.950% | 6/1/45 | 1,601 | 1,713 |
1 JPMorgan Chase & Co. | 4.260% | 2/22/48 | 1,500 | 1,511 |
KeyBank NA | 6.950% | 2/1/28 | 361 | 452 |
Lloyds Banking Group plc | 5.300% | 12/1/45 | 790 | 843 |
Morgan Stanley | 3.950% | 4/23/27 | 3,205 | 3,197 |
Morgan Stanley | 7.250% | 4/1/32 | 905 | 1,234 |
Morgan Stanley | 6.375% | 7/24/42 | 3,261 | 4,168 |
Morgan Stanley | 4.300% | 1/27/45 | 4,846 | 4,892 |
Morgan Stanley | 4.375% | 1/22/47 | 1,500 | 1,526 |
Regions Bank | 6.450% | 6/26/37 | 697 | 792 |
Regions Financial Corp. | 7.375% | 12/10/37 | 350 | 437 |
Santander UK plc | 7.950% | 10/26/29 | 320 | 396 |
Wachovia Bank NA | 5.850% | 2/1/37 | 1,145 | 1,377 |
Wachovia Corp. | 7.500% | 4/15/35 | 445 | 583 |
Wachovia Corp. | 5.500% | 8/1/35 | 609 | 685 |
Wachovia Corp. | 6.550% | 10/15/35 | 25 | 31 |
Wells Fargo & Co. | 4.300% | 7/22/27 | 3,840 | 3,983 |
Wells Fargo & Co. | 5.375% | 2/7/35 | 1,110 | 1,291 |
Wells Fargo & Co. | 5.375% | 11/2/43 | 2,849 | 3,228 |
Wells Fargo & Co. | 5.606% | 1/15/44 | 4,042 | 4,727 |
Wells Fargo & Co. | 4.650% | 11/4/44 | 2,476 | 2,522 |
Wells Fargo & Co. | 3.900% | 5/1/45 | 2,295 | 2,207 |
Wells Fargo & Co. | 4.900% | 11/17/45 | 2,687 | 2,845 |
Wells Fargo & Co. | 4.400% | 6/14/46 | 1,931 | 1,902 |
Wells Fargo & Co. | 4.750% | 12/7/46 | 3,150 | 3,262 |
Wells Fargo Bank NA | 5.950% | 8/26/36 | 995 | 1,207 |
Wells Fargo Bank NA | 6.600% | 1/15/38 | 1,525 | 1,995 |
1 Wells Fargo Capital X | 5.950% | 12/1/86 | 1,150 | 1,228 |
Westpac Banking Corp. | 3.350% | 3/8/27 | 1,500 | 1,499 |
Brokerage (0.3%) | ||||
Brookfield Asset Management Inc. | 7.375% | 3/1/33 | 235 | 281 |
Charles Schwab Corp. | 3.200% | 3/2/27 | 750 | 751 |
CME Group Inc. | 5.300% | 9/15/43 | 1,045 | 1,252 |
Invesco Finance plc | 5.375% | 11/30/43 | 820 | 923 |
Jefferies Group LLC | 6.450% | 6/8/27 | 374 | 420 |
Jefferies Group LLC | 6.250% | 1/15/36 | 935 | 970 |
Jefferies Group LLC | 6.500% | 1/20/43 | 475 | 498 |
Lazard Group LLC | 3.625% | 3/1/27 | 25 | 24 |
Legg Mason Inc. | 5.625% | 1/15/44 | 695 | 715 |
Leucadia National Corp. | 6.625% | 10/23/43 | 285 | 283 |
Raymond James Financial Inc. | 4.950% | 7/15/46 | 400 | 399 |
Finance Companies (0.8%) | ||||
GATX Corp. | 3.850% | 3/30/27 | 350 | 350 |
GATX Corp. | 5.200% | 3/15/44 | 365 | 374 |
GATX Corp. | 4.500% | 3/30/45 | 355 | 331 |
GE Capital International Funding Co. | 4.418% | 11/15/35 | 15,367 | 16,456 |
Insurance (5.8%) | ||||
ACE Capital Trust II | 9.700% | 4/1/30 | 397 | 590 |
Aetna Inc. | 4.250% | 6/15/36 | 2,160 | 2,184 |
Aetna Inc. | 6.625% | 6/15/36 | 1,030 | 1,335 |
Aetna Inc. | 6.750% | 12/15/37 | 815 | 1,086 |
69
Vanguard® Long-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Aetna Inc. | 4.500% | 5/15/42 | 689 | 712 |
Aetna Inc. | 4.125% | 11/15/42 | 550 | 538 |
Aetna Inc. | 4.750% | 3/15/44 | 425 | 459 |
Aetna Inc. | 4.375% | 6/15/46 | 3,120 | 3,152 |
Aflac Inc. | 6.450% | 8/15/40 | 331 | 438 |
Aflac Inc. | 4.000% | 10/15/46 | 525 | 503 |
Alleghany Corp. | 4.900% | 9/15/44 | 304 | 312 |
Allstate Corp. | 5.350% | 6/1/33 | 315 | 365 |
Allstate Corp. | 5.550% | 5/9/35 | 590 | 712 |
Allstate Corp. | 5.950% | 4/1/36 | 560 | 704 |
Allstate Corp. | 4.500% | 6/15/43 | 655 | 703 |
Allstate Corp. | 4.200% | 12/15/46 | 1,115 | 1,142 |
1 Allstate Corp. | 6.500% | 5/15/67 | 650 | 744 |
American International Group Inc. | 3.875% | 1/15/35 | 1,875 | 1,749 |
American International Group Inc. | 4.700% | 7/10/35 | 673 | 689 |
American International Group Inc. | 6.250% | 5/1/36 | 1,065 | 1,285 |
American International Group Inc. | 4.500% | 7/16/44 | 3,029 | 2,968 |
American International Group Inc. | 4.800% | 7/10/45 | 1,025 | 1,051 |
American International Group Inc. | 4.375% | 1/15/55 | 865 | 795 |
1 American International Group Inc. | 8.175% | 5/15/68 | 625 | 807 |
Anthem Inc. | 5.950% | 12/15/34 | 591 | 686 |
Anthem Inc. | 5.850% | 1/15/36 | 1,020 | 1,191 |
Anthem Inc. | 6.375% | 6/15/37 | 870 | 1,060 |
Anthem Inc. | 4.625% | 5/15/42 | 1,146 | 1,179 |
Anthem Inc. | 4.650% | 1/15/43 | 1,290 | 1,333 |
Anthem Inc. | 5.100% | 1/15/44 | 825 | 900 |
Anthem Inc. | 4.650% | 8/15/44 | 1,050 | 1,093 |
Anthem Inc. | 4.850% | 8/15/54 | 375 | 391 |
Aon Corp. | 6.250% | 9/30/40 | 385 | 471 |
Aon plc | 4.450% | 5/24/43 | 350 | 336 |
Aon plc | 4.600% | 6/14/44 | 725 | 717 |
Aon plc | 4.750% | 5/15/45 | 1,100 | 1,115 |
Arch Capital Finance LLC | 5.031% | 12/15/46 | 975 | 1,043 |
Arch Capital Group Ltd. | 7.350% | 5/1/34 | 375 | 491 |
Arch Capital Group US Inc. | 5.144% | 11/1/43 | 320 | 343 |
Assurant Inc. | 6.750% | 2/15/34 | 500 | 606 |
AXA SA | 8.600% | 12/15/30 | 2,103 | 2,912 |
AXIS Specialty Finance plc | 5.150% | 4/1/45 | 325 | 329 |
Berkshire Hathaway Finance Corp. | 5.750% | 1/15/40 | 994 | 1,251 |
Berkshire Hathaway Finance Corp. | 4.400% | 5/15/42 | 940 | 996 |
Berkshire Hathaway Finance Corp. | 4.300% | 5/15/43 | 770 | 807 |
Berkshire Hathaway Inc. | 4.500% | 2/11/43 | 1,490 | 1,617 |
Chubb Corp. | 6.000% | 5/11/37 | 805 | 1,034 |
Chubb Corp. | 6.500% | 5/15/38 | 1,005 | 1,360 |
Chubb INA Holdings Inc. | 6.700% | 5/15/36 | 540 | 733 |
Chubb INA Holdings Inc. | 4.150% | 3/13/43 | 593 | 610 |
Chubb INA Holdings Inc. | 4.350% | 11/3/45 | 2,115 | 2,263 |
Cigna Corp. | 7.875% | 5/15/27 | 390 | 523 |
Cigna Corp. | 6.150% | 11/15/36 | 605 | 724 |
Cigna Corp. | 5.875% | 3/15/41 | 475 | 567 |
Cigna Corp. | 5.375% | 2/15/42 | 950 | 1,094 |
Cincinnati Financial Corp. | 6.920% | 5/15/28 | 425 | 533 |
Cincinnati Financial Corp. | 6.125% | 11/1/34 | 394 | 468 |
Endurance Specialty Holdings Ltd. | 7.000% | 7/15/34 | 445 | 545 |
Everest Reinsurance Holdings Inc. | 4.868% | 6/1/44 | 415 | 422 |
Hartford Financial Services Group Inc. | 5.950% | 10/15/36 | 366 | 419 |
Hartford Financial Services Group Inc. | 6.625% | 3/30/40 | 450 | 565 |
Hartford Financial Services Group Inc. | 6.100% | 10/1/41 | 665 | 782 |
Hartford Financial Services Group Inc. | 4.300% | 4/15/43 | 250 | 238 |
Humana Inc. | 8.150% | 6/15/38 | 330 | 462 |
Humana Inc. | 4.625% | 12/1/42 | 511 | 521 |
Humana Inc. | 4.950% | 10/1/44 | 960 | 1,025 |
Lincoln National Corp. | 6.150% | 4/7/36 | 389 | 460 |
Lincoln National Corp. | 6.300% | 10/9/37 | 575 | 691 |
70
Vanguard® Long-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Lincoln National Corp. | 7.000% | 6/15/40 | 635 | 820 |
Loews Corp. | 6.000% | 2/1/35 | 552 | 668 |
Loews Corp. | 4.125% | 5/15/43 | 485 | 472 |
Manulife Financial Corp. | 5.375% | 3/4/46 | 975 | 1,151 |
Markel Corp. | 5.000% | 3/30/43 | 325 | 331 |
Markel Corp. | 5.000% | 4/5/46 | 750 | 777 |
Marsh & McLennan Cos. Inc. | 5.875% | 8/1/33 | 640 | 769 |
Marsh & McLennan Cos. Inc. | 4.350% | 1/30/47 | 650 | 664 |
MetLife Inc. | 6.500% | 12/15/32 | 800 | 1,022 |
MetLife Inc. | 6.375% | 6/15/34 | 1,140 | 1,460 |
MetLife Inc. | 5.700% | 6/15/35 | 1,415 | 1,714 |
MetLife Inc. | 5.875% | 2/6/41 | 991 | 1,218 |
MetLife Inc. | 4.125% | 8/13/42 | 860 | 851 |
MetLife Inc. | 4.875% | 11/13/43 | 1,140 | 1,243 |
MetLife Inc. | 4.721% | 12/15/44 | 599 | 644 |
MetLife Inc. | 4.050% | 3/1/45 | 1,295 | 1,263 |
MetLife Inc. | 4.600% | 5/13/46 | 940 | 998 |
1 MetLife Inc. | 6.400% | 12/15/66 | 2,315 | 2,552 |
1 MetLife Inc. | 10.750% | 8/1/69 | 510 | 792 |
1 Nationwide Financial Services Inc. | 6.750% | 5/15/87 | 540 | 563 |
Principal Financial Group Inc. | 4.625% | 9/15/42 | 600 | 634 |
Principal Financial Group Inc. | 4.350% | 5/15/43 | 561 | 568 |
Principal Financial Group Inc. | 4.300% | 11/15/46 | 800 | 809 |
Progressive Corp. | 6.625% | 3/1/29 | 338 | 432 |
Progressive Corp. | 6.250% | 12/1/32 | 130 | 165 |
Progressive Corp. | 4.350% | 4/25/44 | 1,000 | 1,054 |
Progressive Corp. | 3.700% | 1/26/45 | 150 | 142 |
Protective Life Corp. | 8.450% | 10/15/39 | 410 | 571 |
Prudential Financial Inc. | 5.750% | 7/15/33 | 315 | 372 |
Prudential Financial Inc. | 5.400% | 6/13/35 | 320 | 366 |
Prudential Financial Inc. | 5.900% | 3/17/36 | 320 | 383 |
Prudential Financial Inc. | 5.700% | 12/14/36 | 1,185 | 1,396 |
Prudential Financial Inc. | 6.625% | 12/1/37 | 1,263 | 1,644 |
Prudential Financial Inc. | 6.625% | 6/21/40 | 545 | 714 |
Prudential Financial Inc. | 6.200% | 11/15/40 | 420 | 527 |
Prudential Financial Inc. | 5.625% | 5/12/41 | 768 | 915 |
Prudential Financial Inc. | 5.800% | 11/16/41 | 300 | 364 |
Prudential Financial Inc. | 5.100% | 8/15/43 | 480 | 539 |
Prudential Financial Inc. | 4.600% | 5/15/44 | 1,071 | 1,136 |
Transatlantic Holdings Inc. | 8.000% | 11/30/39 | 596 | 779 |
Travelers Cos. Inc. | 6.750% | 6/20/36 | 555 | 754 |
Travelers Cos. Inc. | 6.250% | 6/15/37 | 860 | 1,128 |
Travelers Cos. Inc. | 5.350% | 11/1/40 | 1,013 | 1,214 |
Travelers Cos. Inc. | 4.600% | 8/1/43 | 1,028 | 1,131 |
Travelers Cos. Inc. | 4.300% | 8/25/45 | 475 | 503 |
Travelers Cos. Inc. | 3.750% | 5/15/46 | 700 | 671 |
Travelers Property Casualty Corp. | 6.375% | 3/15/33 | 500 | 646 |
Trinity Acquisition plc | 6.125% | 8/15/43 | 360 | 388 |
UnitedHealth Group Inc. | 4.625% | 7/15/35 | 730 | 804 |
UnitedHealth Group Inc. | 5.800% | 3/15/36 | 1,035 | 1,283 |
UnitedHealth Group Inc. | 6.500% | 6/15/37 | 690 | 920 |
UnitedHealth Group Inc. | 6.625% | 11/15/37 | 1,125 | 1,507 |
UnitedHealth Group Inc. | 6.875% | 2/15/38 | 1,510 | 2,092 |
UnitedHealth Group Inc. | 5.700% | 10/15/40 | 160 | 199 |
UnitedHealth Group Inc. | 5.950% | 2/15/41 | 835 | 1,068 |
UnitedHealth Group Inc. | 4.625% | 11/15/41 | 688 | 741 |
UnitedHealth Group Inc. | 4.375% | 3/15/42 | 648 | 675 |
UnitedHealth Group Inc. | 3.950% | 10/15/42 | 825 | 816 |
UnitedHealth Group Inc. | 4.250% | 3/15/43 | 950 | 979 |
UnitedHealth Group Inc. | 4.750% | 7/15/45 | 3,001 | 3,364 |
UnitedHealth Group Inc. | 4.200% | 1/15/47 | 1,325 | 1,368 |
Unum Group | 5.750% | 8/15/42 | 580 | 654 |
Validus Holdings Ltd. | 8.875% | 1/26/40 | 335 | 461 |
Voya Financial Inc. | 5.700% | 7/15/43 | 478 | 536 |
71
Vanguard® Long-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Voya Financial Inc. | 4.800% | 6/15/46 | 425 | 423 |
WR Berkley Corp. | 6.250% | 2/15/37 | 150 | 176 |
WR Berkley Corp. | 4.750% | 8/1/44 | 606 | 599 |
XLIT Ltd. | 6.250% | 5/15/27 | 410 | 477 |
XLIT Ltd. | 5.250% | 12/15/43 | 400 | 420 |
XLIT Ltd. | 5.500% | 3/31/45 | 1,040 | 1,024 |
Real Estate Investment Trusts (0.7%) | ||||
Alexandria Real Estate Equities Inc. | 3.950% | 1/15/28 | 500 | 504 |
Alexandria Real Estate Equities Inc. | 4.500% | 7/30/29 | 290 | 297 |
AvalonBay Communities Inc. | 3.900% | 10/15/46 | 350 | 335 |
Brandywine Operating Partnership LP | 4.550% | 10/1/29 | 597 | 599 |
ERP Operating LP | 4.500% | 7/1/44 | 1,025 | 1,074 |
ERP Operating LP | 4.500% | 6/1/45 | 385 | 403 |
Federal Realty Investment Trust | 4.500% | 12/1/44 | 1,015 | 1,053 |
Federal Realty Investment Trust | 3.625% | 8/1/46 | 250 | 221 |
HCP Inc. | 6.750% | 2/1/41 | 394 | 483 |
Highwoods Realty LP | 3.875% | 3/1/27 | 400 | 400 |
Hospitality Properties Trust | 4.500% | 6/15/23 | 200 | 206 |
Kilroy Realty LP | 4.250% | 8/15/29 | 550 | 557 |
Kimco Realty Corp. | 4.250% | 4/1/45 | 625 | 604 |
Omega Healthcare Investors Inc. | 4.500% | 4/1/27 | 905 | 899 |
Realty Income Corp. | 5.875% | 3/15/35 | 285 | 329 |
Regency Centers LP | 4.400% | 2/1/47 | 500 | 503 |
Simon Property Group LP | 6.750% | 2/1/40 | 420 | 562 |
Simon Property Group LP | 4.750% | 3/15/42 | 750 | 798 |
Simon Property Group LP | 4.250% | 10/1/44 | 650 | 648 |
Simon Property Group LP | 4.250% | 11/30/46 | 1,200 | 1,198 |
Ventas Realty LP | 5.700% | 9/30/43 | 382 | 439 |
Ventas Realty LP | 4.375% | 2/1/45 | 388 | 368 |
Welltower Inc. | 6.500% | 3/15/41 | 779 | 955 |
Welltower Inc. | 5.125% | 3/15/43 | 320 | 337 |
355,185 | ||||
Industrial (67.8%) | ||||
Basic Industry (4.4%) | ||||
Agrium Inc. | 4.125% | 3/15/35 | 500 | 479 |
Agrium Inc. | 7.125% | 5/23/36 | 380 | 488 |
Agrium Inc. | 6.125% | 1/15/41 | 733 | 867 |
Agrium Inc. | 4.900% | 6/1/43 | 915 | 970 |
Agrium Inc. | 5.250% | 1/15/45 | 700 | 765 |
Albemarle Corp. | 5.450% | 12/1/44 | 400 | 444 |
Barrick Gold Corp. | 5.250% | 4/1/42 | 935 | 1,031 |
Barrick North America Finance LLC | 7.500% | 9/15/38 | 567 | 729 |
Barrick North America Finance LLC | 5.700% | 5/30/41 | 1,650 | 1,904 |
Barrick North America Finance LLC | 5.750% | 5/1/43 | 800 | 941 |
Barrick PD Australia Finance Pty Ltd. | 5.950% | 10/15/39 | 1,321 | 1,517 |
BHP Billiton Finance USA Ltd. | 4.125% | 2/24/42 | 1,330 | 1,349 |
BHP Billiton Finance USA Ltd. | 5.000% | 9/30/43 | 3,205 | 3,700 |
Domtar Corp. | 6.250% | 9/1/42 | 425 | 429 |
Domtar Corp. | 6.750% | 2/15/44 | 275 | 294 |
Dow Chemical Co. | 7.375% | 11/1/29 | 1,635 | 2,206 |
Dow Chemical Co. | 4.250% | 10/1/34 | 771 | 776 |
Dow Chemical Co. | 9.400% | 5/15/39 | 1,340 | 2,158 |
Dow Chemical Co. | 5.250% | 11/15/41 | 840 | 949 |
Dow Chemical Co. | 4.375% | 11/15/42 | 1,900 | 1,945 |
Dow Chemical Co. | 4.625% | 10/1/44 | 875 | 919 |
Eastman Chemical Co. | 4.800% | 9/1/42 | 500 | 518 |
Eastman Chemical Co. | 4.650% | 10/15/44 | 1,340 | 1,373 |
Ecolab Inc. | 5.500% | 12/8/41 | 1,289 | 1,534 |
Ecolab Inc. | 3.700% | 11/1/46 | 200 | 185 |
EI du Pont de Nemours & Co. | 6.500% | 1/15/28 | 450 | 558 |
EI du Pont de Nemours & Co. | 4.900% | 1/15/41 | 1,335 | 1,460 |
EI du Pont de Nemours & Co. | 4.150% | 2/15/43 | 470 | 466 |
Georgia-Pacific LLC | 7.250% | 6/1/28 | 546 | 713 |
72
Vanguard® Long-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Georgia-Pacific LLC | 7.750% | 11/15/29 | 400 | 539 |
Georgia-Pacific LLC | 8.875% | 5/15/31 | 665 | 1,010 |
Glencore Canada Corp. | 6.200% | 6/15/35 | 300 | 324 |
Goldcorp Inc. | 5.450% | 6/9/44 | 770 | 827 |
International Paper Co. | 3.000% | 2/15/27 | 125 | 118 |
International Paper Co. | 5.000% | 9/15/35 | 1,288 | 1,378 |
International Paper Co. | 8.700% | 6/15/38 | 250 | 363 |
International Paper Co. | 7.300% | 11/15/39 | 1,218 | 1,587 |
International Paper Co. | 6.000% | 11/15/41 | 425 | 492 |
International Paper Co. | 4.800% | 6/15/44 | 1,310 | 1,336 |
International Paper Co. | 5.150% | 5/15/46 | 750 | 802 |
International Paper Co. | 4.400% | 8/15/47 | 1,125 | 1,090 |
Lubrizol Corp. | 6.500% | 10/1/34 | 315 | 409 |
LYB International Finance BV | 5.250% | 7/15/43 | 875 | 966 |
LYB International Finance BV | 4.875% | 3/15/44 | 1,660 | 1,754 |
LYB International Finance II BV | 3.500% | 3/2/27 | 400 | 398 |
LyondellBasell Industries NV | 4.625% | 2/26/55 | 1,367 | 1,306 |
Meadwestvaco Corp. | 7.950% | 2/15/31 | 350 | 466 |
Methanex Corp. | 5.650% | 12/1/44 | 350 | 343 |
Monsanto Co. | 4.200% | 7/15/34 | 680 | 682 |
Monsanto Co. | 5.875% | 4/15/38 | 555 | 636 |
Monsanto Co. | 3.600% | 7/15/42 | 665 | 579 |
Monsanto Co. | 4.400% | 7/15/44 | 1,180 | 1,174 |
Monsanto Co. | 3.950% | 4/15/45 | 775 | 719 |
Monsanto Co. | 4.700% | 7/15/64 | 1,120 | 1,081 |
Mosaic Co. | 5.450% | 11/15/33 | 775 | 807 |
Mosaic Co. | 4.875% | 11/15/41 | 105 | 99 |
Mosaic Co. | 5.625% | 11/15/43 | 975 | 1,020 |
Newmont Mining Corp. | 5.875% | 4/1/35 | 761 | 843 |
Newmont Mining Corp. | 6.250% | 10/1/39 | 853 | 1,013 |
Newmont Mining Corp. | 4.875% | 3/15/42 | 1,698 | 1,741 |
Nucor Corp. | 6.400% | 12/1/37 | 705 | 909 |
Nucor Corp. | 5.200% | 8/1/43 | 945 | 1,095 |
Placer Dome Inc. | 6.450% | 10/15/35 | 434 | 505 |
Potash Corp. of Saskatchewan Inc. | 5.875% | 12/1/36 | 635 | 717 |
Potash Corp. of Saskatchewan Inc. | 5.625% | 12/1/40 | 585 | 644 |
PPG Industries Inc. | 5.500% | 11/15/40 | 545 | 649 |
Praxair Inc. | 3.550% | 11/7/42 | 775 | 732 |
Reliance Steel & Aluminum Co. | 6.850% | 11/15/36 | 285 | 315 |
Rio Tinto Alcan Inc. | 7.250% | 3/15/31 | 855 | 1,042 |
Rio Tinto Alcan Inc. | 6.125% | 12/15/33 | 794 | 903 |
Rio Tinto Alcan Inc. | 5.750% | 6/1/35 | 685 | 753 |
Rio Tinto Finance USA Ltd. | 7.125% | 7/15/28 | 665 | 875 |
Rio Tinto Finance USA Ltd. | 5.200% | 11/2/40 | 1,220 | 1,419 |
Rio Tinto Finance USA plc | 4.750% | 3/22/42 | 1,340 | 1,477 |
Rio Tinto Finance USA plc | 4.125% | 8/21/42 | 420 | 427 |
Rohm & Haas Co. | 7.850% | 7/15/29 | 240 | 334 |
RPM International Inc. | 3.750% | 3/15/27 | 100 | 100 |
RPM International Inc. | 5.250% | 6/1/45 | 500 | 538 |
Sherwin-Williams Co. | 4.000% | 12/15/42 | 216 | 202 |
Sherwin-Williams Co. | 4.550% | 8/1/45 | 700 | 714 |
Southern Copper Corp. | 7.500% | 7/27/35 | 1,720 | 2,088 |
Southern Copper Corp. | 6.750% | 4/16/40 | 1,175 | 1,330 |
Southern Copper Corp. | 5.250% | 11/8/42 | 805 | 792 |
Southern Copper Corp. | 5.875% | 4/23/45 | 2,500 | 2,641 |
Syngenta Finance NV | 4.375% | 3/28/42 | 225 | 201 |
Vale Canada Ltd. | 7.200% | 9/15/32 | 560 | 595 |
Vale Overseas Ltd. | 8.250% | 1/17/34 | 395 | 472 |
Vale Overseas Ltd. | 6.875% | 11/21/36 | 4,220 | 4,610 |
Vale Overseas Ltd. | 6.875% | 11/10/39 | 2,180 | 2,371 |
Vale SA | 5.625% | 9/11/42 | 1,860 | 1,800 |
2 Westlake Chemical Corp. | 5.000% | 8/15/46 | 850 | 874 |
Westrock MWV LLC | 8.200% | 1/15/30 | 510 | 688 |
Weyerhaeuser Co. | 6.950% | 10/1/27 | 405 | 490 |
73
Vanguard® Long-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Weyerhaeuser Co. | 7.375% | 3/15/32 | 1,310 | 1,723 |
Weyerhaeuser Co. | 6.875% | 12/15/33 | 625 | 770 |
Capital Goods (5.3%) | ||||
3M Co. | 6.375% | 2/15/28 | 430 | 557 |
3M Co. | 5.700% | 3/15/37 | 996 | 1,250 |
3M Co. | 3.875% | 6/15/44 | 227 | 228 |
3M Co. | 3.125% | 9/19/46 | 900 | 807 |
ABB Finance USA Inc. | 4.375% | 5/8/42 | 950 | 1,012 |
Boeing Co. | 2.800% | 3/1/27 | 600 | 592 |
Boeing Co. | 6.125% | 2/15/33 | 875 | 1,135 |
Boeing Co. | 3.300% | 3/1/35 | 470 | 447 |
Boeing Co. | 6.625% | 2/15/38 | 300 | 414 |
Boeing Co. | 6.875% | 3/15/39 | 395 | 564 |
Boeing Co. | 5.875% | 2/15/40 | 679 | 882 |
Boeing Co. | 3.500% | 3/1/45 | 100 | 93 |
Boeing Co. | 3.375% | 6/15/46 | 825 | 759 |
Boeing Co. | 3.650% | 3/1/47 | 300 | 289 |
Caterpillar Inc. | 5.300% | 9/15/35 | 425 | 493 |
Caterpillar Inc. | 6.050% | 8/15/36 | 565 | 714 |
Caterpillar Inc. | 5.200% | 5/27/41 | 955 | 1,122 |
Caterpillar Inc. | 3.803% | 8/15/42 | 2,850 | 2,774 |
Caterpillar Inc. | 4.300% | 5/15/44 | 542 | 571 |
Caterpillar Inc. | 4.750% | 5/15/64 | 550 | 601 |
Deere & Co. | 5.375% | 10/16/29 | 396 | 479 |
Deere & Co. | 8.100% | 5/15/30 | 704 | 1,022 |
Deere & Co. | 7.125% | 3/3/31 | 300 | 411 |
Deere & Co. | 3.900% | 6/9/42 | 1,673 | 1,719 |
Dover Corp. | 6.600% | 3/15/38 | 425 | 570 |
Dover Corp. | 5.375% | 3/1/41 | 641 | 761 |
Eaton Corp. | 4.000% | 11/2/32 | 1,125 | 1,141 |
Eaton Corp. | 4.150% | 11/2/42 | 1,050 | 1,048 |
Emerson Electric Co. | 6.000% | 8/15/32 | 160 | 197 |
Emerson Electric Co. | 6.125% | 4/15/39 | 420 | 531 |
Emerson Electric Co. | 5.250% | 11/15/39 | 345 | 404 |
2 Fortive Corp. | 4.300% | 6/15/46 | 825 | 823 |
General Dynamics Corp. | 3.600% | 11/15/42 | 532 | 510 |
General Electric Capital Corp. | 6.750% | 3/15/32 | 3,960 | 5,398 |
General Electric Capital Corp. | 6.150% | 8/7/37 | 1,238 | 1,623 |
General Electric Capital Corp. | 5.875% | 1/14/38 | 4,402 | 5,649 |
General Electric Capital Corp. | 6.875% | 1/10/39 | 2,720 | 3,897 |
General Electric Co. | 4.125% | 10/9/42 | 2,431 | 2,523 |
General Electric Co. | 4.500% | 3/11/44 | 2,955 | 3,213 |
Harris Corp. | 4.854% | 4/27/35 | 825 | 890 |
Harris Corp. | 6.150% | 12/15/40 | 325 | 395 |
Harris Corp. | 5.054% | 4/27/45 | 435 | 481 |
Honeywell International Inc. | 5.700% | 3/15/36 | 700 | 865 |
Honeywell International Inc. | 5.700% | 3/15/37 | 810 | 1,007 |
Honeywell International Inc. | 5.375% | 3/1/41 | 778 | 954 |
Illinois Tool Works Inc. | 4.875% | 9/15/41 | 754 | 851 |
Illinois Tool Works Inc. | 3.900% | 9/1/42 | 1,643 | 1,678 |
Ingersoll-Rand Global Holding Co. Ltd. | 5.750% | 6/15/43 | 985 | 1,191 |
Ingersoll-Rand Luxembourg Finance SA | 4.650% | 11/1/44 | 365 | 379 |
Johnson Controls International plc | 6.000% | 1/15/36 | 510 | 612 |
Johnson Controls International plc | 5.700% | 3/1/41 | 430 | 496 |
Johnson Controls International plc | 4.625% | 7/2/44 | 600 | 626 |
Johnson Controls International plc | 5.125% | 9/14/45 | 1,000 | 1,103 |
Johnson Controls International plc | 4.500% | 2/15/47 | 550 | 566 |
Johnson Controls International plc | 4.950% | 7/2/64 | 505 | 526 |
Lafarge SA | 7.125% | 7/15/36 | 850 | 1,049 |
Lockheed Martin Corp. | 3.600% | 3/1/35 | 500 | 483 |
Lockheed Martin Corp. | 4.500% | 5/15/36 | 1,235 | 1,329 |
Lockheed Martin Corp. | 6.150% | 9/1/36 | 565 | 722 |
Lockheed Martin Corp. | 5.500% | 11/15/39 | 275 | 323 |
74
Vanguard® Long-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Lockheed Martin Corp. | 5.720% | 6/1/40 | 579 | 710 |
Lockheed Martin Corp. | 4.850% | 9/15/41 | 1,330 | 1,472 |
Lockheed Martin Corp. | 4.070% | 12/15/42 | 1,565 | 1,557 |
Lockheed Martin Corp. | 3.800% | 3/1/45 | 1,433 | 1,357 |
Lockheed Martin Corp. | 4.700% | 5/15/46 | 2,305 | 2,530 |
Masco Corp. | 7.750% | 8/1/29 | 300 | 383 |
Masco Corp. | 6.500% | 8/15/32 | 400 | 470 |
Northrop Grumman Corp. | 5.050% | 11/15/40 | 590 | 659 |
Northrop Grumman Corp. | 4.750% | 6/1/43 | 1,130 | 1,243 |
Northrop Grumman Corp. | 3.850% | 4/15/45 | 650 | 622 |
Northrop Grumman Systems Corp. | 7.750% | 2/15/31 | 781 | 1,117 |
Owens Corning | 7.000% | 12/1/36 | 865 | 1,057 |
2 Parker-Hannifin Corp. | 3.250% | 3/1/27 | 750 | 756 |
Parker-Hannifin Corp. | 4.200% | 11/21/34 | 669 | 693 |
Parker-Hannifin Corp. | 6.250% | 5/15/38 | 490 | 633 |
Parker-Hannifin Corp. | 4.450% | 11/21/44 | 585 | 628 |
2 Parker-Hannifin Corp. | 4.100% | 3/1/47 | 600 | 610 |
Precision Castparts Corp. | 4.200% | 6/15/35 | 425 | 445 |
Precision Castparts Corp. | 3.900% | 1/15/43 | 725 | 724 |
Precision Castparts Corp. | 4.375% | 6/15/45 | 665 | 710 |
Raytheon Co. | 7.200% | 8/15/27 | 655 | 878 |
Raytheon Co. | 4.875% | 10/15/40 | 650 | 743 |
Raytheon Co. | 4.700% | 12/15/41 | 470 | 524 |
Raytheon Co. | 4.200% | 12/15/44 | 620 | 649 |
Republic Services Inc. | 6.200% | 3/1/40 | 500 | 634 |
Republic Services Inc. | 5.700% | 5/15/41 | 620 | 749 |
Rockwell Automation Inc. | 6.700% | 1/15/28 | 285 | 368 |
Rockwell Automation Inc. | 6.250% | 12/1/37 | 419 | 527 |
Rockwell Collins Inc. | 4.800% | 12/15/43 | 485 | 528 |
Snap-on Inc. | 3.250% | 3/1/27 | 350 | 354 |
Sonoco Products Co. | 5.750% | 11/1/40 | 795 | 906 |
Stanley Black & Decker Inc. | 5.200% | 9/1/40 | 490 | 552 |
Textron Inc. | 3.650% | 3/15/27 | 400 | 400 |
United Technologies Corp. | 6.700% | 8/1/28 | 400 | 523 |
United Technologies Corp. | 7.500% | 9/15/29 | 705 | 987 |
United Technologies Corp. | 5.400% | 5/1/35 | 1,103 | 1,309 |
United Technologies Corp. | 6.050% | 6/1/36 | 878 | 1,107 |
United Technologies Corp. | 6.125% | 7/15/38 | 1,265 | 1,633 |
United Technologies Corp. | 5.700% | 4/15/40 | 1,304 | 1,605 |
United Technologies Corp. | 4.500% | 6/1/42 | 4,880 | 5,232 |
United Technologies Corp. | 4.150% | 5/15/45 | 1,244 | 1,262 |
United Technologies Corp. | 3.750% | 11/1/46 | 1,300 | 1,241 |
Valmont Industries Inc. | 5.000% | 10/1/44 | 180 | 170 |
Valmont Industries Inc. | 5.250% | 10/1/54 | 365 | 327 |
Waste Management Inc. | 7.000% | 7/15/28 | 107 | 138 |
Waste Management Inc. | 3.900% | 3/1/35 | 705 | 712 |
Waste Management Inc. | 6.125% | 11/30/39 | 350 | 438 |
Waste Management Inc. | 4.100% | 3/1/45 | 1,320 | 1,346 |
WW Grainger Inc. | 4.600% | 6/15/45 | 1,215 | 1,324 |
WW Grainger Inc. | 3.750% | 5/15/46 | 625 | 598 |
Xylem Inc. | 4.375% | 11/1/46 | 550 | 552 |
Communication (13.3%) | ||||
21st Century Fox America Inc. | 6.550% | 3/15/33 | 501 | 613 |
21st Century Fox America Inc. | 6.200% | 12/15/34 | 1,450 | 1,747 |
21st Century Fox America Inc. | 6.400% | 12/15/35 | 1,440 | 1,761 |
21st Century Fox America Inc. | 8.150% | 10/17/36 | 428 | 601 |
21st Century Fox America Inc. | 6.150% | 3/1/37 | 550 | 656 |
21st Century Fox America Inc. | 6.650% | 11/15/37 | 1,019 | 1,277 |
21st Century Fox America Inc. | 7.850% | 3/1/39 | 325 | 447 |
21st Century Fox America Inc. | 6.900% | 8/15/39 | 1,035 | 1,331 |
21st Century Fox America Inc. | 6.150% | 2/15/41 | 2,113 | 2,543 |
21st Century Fox America Inc. | 5.400% | 10/1/43 | 1,220 | 1,343 |
21st Century Fox America Inc. | 4.750% | 9/15/44 | 725 | 736 |
75
Vanguard® Long-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
21st Century Fox America Inc. | 4.950% | 10/15/45 | 600 | 628 |
21st Century Fox America Inc. | 7.750% | 12/1/45 | 805 | 1,129 |
2 21st Century Fox America Inc. | 4.750% | 11/15/46 | 1,100 | 1,119 |
America Movil SAB de CV | 6.375% | 3/1/35 | 1,430 | 1,698 |
America Movil SAB de CV | 6.125% | 11/15/37 | 525 | 608 |
America Movil SAB de CV | 6.125% | 3/30/40 | 2,906 | 3,428 |
America Movil SAB de CV | 4.375% | 7/16/42 | 1,150 | 1,096 |
Ameritech Capital Funding Corp. | 6.550% | 1/15/28 | 385 | 434 |
AT&T Corp. | 8.250% | 11/15/31 | 822 | 1,124 |
AT&T Inc. | 4.250% | 3/1/27 | 3,000 | 3,051 |
AT&T Inc. | 4.500% | 5/15/35 | 3,430 | 3,253 |
AT&T Inc. | 5.250% | 3/1/37 | 4,000 | 4,120 |
AT&T Inc. | 6.500% | 9/1/37 | 310 | 361 |
AT&T Inc. | 6.300% | 1/15/38 | 2,260 | 2,571 |
AT&T Inc. | 6.550% | 2/15/39 | 1,650 | 1,932 |
AT&T Inc. | 6.350% | 3/15/40 | 1,100 | 1,252 |
AT&T Inc. | 6.000% | 8/15/40 | 843 | 925 |
AT&T Inc. | 5.350% | 9/1/40 | 3,179 | 3,243 |
AT&T Inc. | 6.375% | 3/1/41 | 1,975 | 2,255 |
AT&T Inc. | 5.550% | 8/15/41 | 2,139 | 2,217 |
AT&T Inc. | 5.150% | 3/15/42 | 2,584 | 2,573 |
AT&T Inc. | 4.300% | 12/15/42 | 2,663 | 2,383 |
AT&T Inc. | 4.800% | 6/15/44 | 2,364 | 2,230 |
AT&T Inc. | 4.350% | 6/15/45 | 4,849 | 4,280 |
AT&T Inc. | 4.750% | 5/15/46 | 4,798 | 4,488 |
AT&T Inc. | 5.450% | 3/1/47 | 3,250 | 3,352 |
AT&T Inc. | 4.500% | 3/9/48 | 5,575 | 5,032 |
AT&T Inc. | 4.550% | 3/9/49 | 2,866 | 2,581 |
AT&T Inc. | 5.700% | 3/1/57 | 1,000 | 1,035 |
AT&T Mobility LLC | 7.125% | 12/15/31 | 772 | 972 |
Bellsouth Capital Funding Corp. | 7.875% | 2/15/30 | 498 | 616 |
BellSouth LLC | 6.875% | 10/15/31 | 198 | 234 |
BellSouth LLC | 6.550% | 6/15/34 | 445 | 499 |
BellSouth LLC | 6.000% | 11/15/34 | 450 | 485 |
BellSouth Telecommunications LLC | 6.375% | 6/1/28 | 422 | 478 |
British Telecommunications plc | 9.125% | 12/15/30 | 3,082 | 4,631 |
CBS Corp. | 7.875% | 7/30/30 | 906 | 1,232 |
CBS Corp. | 5.500% | 5/15/33 | 865 | 925 |
CBS Corp. | 5.900% | 10/15/40 | 425 | 486 |
CBS Corp. | 4.850% | 7/1/42 | 695 | 706 |
CBS Corp. | 4.900% | 8/15/44 | 1,075 | 1,103 |
CBS Corp. | 4.600% | 1/15/45 | 30 | 30 |
Charter Communications Operating LLC / Charter | ||||
Communications Operating Capital | 6.384% | 10/23/35 | 2,875 | 3,281 |
Charter Communications Operating LLC / Charter | ||||
Communications Operating Capital | 6.484% | 10/23/45 | 4,547 | 5,275 |
Charter Communications Operating LLC / Charter | ||||
Communications Operating Capital | 6.834% | 10/23/55 | 500 | 588 |
Comcast Corp. | 4.250% | 1/15/33 | 2,434 | 2,513 |
Comcast Corp. | 7.050% | 3/15/33 | 1,295 | 1,737 |
Comcast Corp. | 4.200% | 8/15/34 | 2,330 | 2,391 |
Comcast Corp. | 5.650% | 6/15/35 | 335 | 397 |
Comcast Corp. | 4.400% | 8/15/35 | 1,003 | 1,047 |
Comcast Corp. | 6.500% | 11/15/35 | 1,129 | 1,452 |
Comcast Corp. | 3.200% | 7/15/36 | 1,671 | 1,494 |
Comcast Corp. | 6.450% | 3/15/37 | 2,685 | 3,438 |
Comcast Corp. | 6.950% | 8/15/37 | 1,908 | 2,578 |
Comcast Corp. | 6.400% | 5/15/38 | 1,355 | 1,735 |
Comcast Corp. | 6.550% | 7/1/39 | 250 | 327 |
Comcast Corp. | 6.400% | 3/1/40 | 1,868 | 2,411 |
Comcast Corp. | 4.650% | 7/15/42 | 2,405 | 2,518 |
Comcast Corp. | 4.500% | 1/15/43 | 160 | 164 |
Comcast Corp. | 4.750% | 3/1/44 | 1,490 | 1,584 |
Comcast Corp. | 4.600% | 8/15/45 | 3,000 | 3,121 |
76
Vanguard® Long-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Comcast Corp. | 3.400% | 7/15/46 | 2,195 | 1,896 |
Crown Castle International Corp. | 4.000% | 3/1/27 | 550 | 554 |
Deutsche Telekom International Finance BV | 8.750% | 6/15/30 | 4,564 | 6,706 |
Deutsche Telekom International Finance BV | 9.250% | 6/1/32 | 663 | 1,035 |
Discovery Communications LLC | 6.350% | 6/1/40 | 1,010 | 1,077 |
Discovery Communications LLC | 4.950% | 5/15/42 | 525 | 482 |
Discovery Communications LLC | 4.875% | 4/1/43 | 1,225 | 1,116 |
Grupo Televisa SAB | 8.500% | 3/11/32 | 390 | 494 |
Grupo Televisa SAB | 6.625% | 1/15/40 | 621 | 672 |
Grupo Televisa SAB | 5.000% | 5/13/45 | 1,450 | 1,319 |
Grupo Televisa SAB | 6.125% | 1/31/46 | 1,275 | 1,348 |
GTE Corp. | 6.940% | 4/15/28 | 732 | 924 |
Historic TW Inc. | 6.625% | 5/15/29 | 365 | 447 |
Koninklijke KPN NV | 8.375% | 10/1/30 | 1,201 | 1,626 |
Moody's Corp. | 5.250% | 7/15/44 | 950 | 1,074 |
NBCUniversal Media LLC | 6.400% | 4/30/40 | 1,500 | 1,935 |
NBCUniversal Media LLC | 5.950% | 4/1/41 | 1,770 | 2,162 |
NBCUniversal Media LLC | 4.450% | 1/15/43 | 550 | 558 |
New Cingular Wireless Services Inc. | 8.750% | 3/1/31 | 970 | 1,367 |
Orange SA | 9.000% | 3/1/31 | 3,395 | 5,087 |
Orange SA | 5.375% | 1/13/42 | 1,621 | 1,828 |
Orange SA | 5.500% | 2/6/44 | 499 | 577 |
Qwest Corp. | 6.875% | 9/15/33 | 1,510 | 1,502 |
Qwest Corp. | 7.125% | 11/15/43 | 390 | 387 |
Rogers Communications Inc. | 7.500% | 8/15/38 | 475 | 642 |
Rogers Communications Inc. | 4.500% | 3/15/43 | 400 | 400 |
Rogers Communications Inc. | 5.450% | 10/1/43 | 1,000 | 1,142 |
Rogers Communications Inc. | 5.000% | 3/15/44 | 1,076 | 1,171 |
S&P Global Inc. | 6.550% | 11/15/37 | 538 | 646 |
TCI Communications Inc. | 7.125% | 2/15/28 | 545 | 717 |
Telefonica Emisiones SAU | 7.045% | 6/20/36 | 2,613 | 3,119 |
Telefonica Europe BV | 8.250% | 9/15/30 | 1,632 | 2,196 |
Thomson Reuters Corp. | 5.500% | 8/15/35 | 800 | 863 |
Thomson Reuters Corp. | 5.850% | 4/15/40 | 621 | 702 |
Thomson Reuters Corp. | 4.500% | 5/23/43 | 350 | 338 |
Thomson Reuters Corp. | 5.650% | 11/23/43 | 379 | 420 |
Time Warner Cable LLC | 6.550% | 5/1/37 | 1,654 | 1,906 |
Time Warner Cable LLC | 7.300% | 7/1/38 | 2,034 | 2,531 |
Time Warner Cable LLC | 6.750% | 6/15/39 | 1,995 | 2,364 |
Time Warner Cable LLC | 5.875% | 11/15/40 | 1,858 | 2,011 |
Time Warner Cable LLC | 5.500% | 9/1/41 | 1,580 | 1,634 |
Time Warner Cable LLC | 4.500% | 9/15/42 | 1,620 | 1,473 |
Time Warner Cos. Inc. | 6.950% | 1/15/28 | 588 | 736 |
Time Warner Entertainment Co. LP | 8.375% | 7/15/33 | 1,448 | 1,946 |
Time Warner Inc. | 7.625% | 4/15/31 | 1,448 | 1,948 |
Time Warner Inc. | 7.700% | 5/1/32 | 1,905 | 2,613 |
Time Warner Inc. | 6.500% | 11/15/36 | 100 | 120 |
Time Warner Inc. | 6.200% | 3/15/40 | 341 | 395 |
Time Warner Inc. | 6.100% | 7/15/40 | 1,635 | 1,871 |
Time Warner Inc. | 6.250% | 3/29/41 | 1,375 | 1,609 |
Time Warner Inc. | 5.375% | 10/15/41 | 220 | 234 |
Time Warner Inc. | 4.900% | 6/15/42 | 1,145 | 1,138 |
Time Warner Inc. | 5.350% | 12/15/43 | 1,050 | 1,100 |
Time Warner Inc. | 4.650% | 6/1/44 | 827 | 792 |
Time Warner Inc. | 4.850% | 7/15/45 | 1,005 | 996 |
Verizon Communications Inc. | 7.750% | 12/1/30 | 725 | 993 |
Verizon Communications Inc. | 6.400% | 9/15/33 | 1,567 | 1,875 |
Verizon Communications Inc. | 5.050% | 3/15/34 | 2,437 | 2,510 |
Verizon Communications Inc. | 4.400% | 11/1/34 | 4,344 | 4,188 |
Verizon Communications Inc. | 5.850% | 9/15/35 | 2,185 | 2,499 |
Verizon Communications Inc. | 4.272% | 1/15/36 | 4,629 | 4,393 |
Verizon Communications Inc. | 6.250% | 4/1/37 | 670 | 787 |
Verizon Communications Inc. | 6.400% | 2/15/38 | 690 | 824 |
2 Verizon Communications Inc. | 4.812% | 3/15/39 | 225 | 223 |
77
Vanguard® Long-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Verizon Communications Inc. | 6.000% | 4/1/41 | 764 | 869 |
Verizon Communications Inc. | 4.750% | 11/1/41 | 1,895 | 1,828 |
Verizon Communications Inc. | 3.850% | 11/1/42 | 2,561 | 2,160 |
Verizon Communications Inc. | 6.550% | 9/15/43 | 4,795 | 5,871 |
Verizon Communications Inc. | 4.125% | 8/15/46 | 775 | 683 |
Verizon Communications Inc. | 4.862% | 8/21/46 | 6,260 | 6,136 |
Verizon Communications Inc. | 4.522% | 9/15/48 | 5,770 | 5,342 |
2 Verizon Communications Inc. | 5.012% | 4/15/49 | 3,704 | 3,640 |
Verizon Communications Inc. | 5.012% | 8/21/54 | 7,024 | 6,806 |
Verizon Communications Inc. | 4.672% | 3/15/55 | 6,169 | 5,593 |
Viacom Inc. | 4.850% | 12/15/34 | 650 | 630 |
Viacom Inc. | 6.875% | 4/30/36 | 1,320 | 1,486 |
Viacom Inc. | 4.500% | 2/27/42 | 250 | 218 |
Viacom Inc. | 4.375% | 3/15/43 | 2,575 | 2,257 |
Viacom Inc. | 4.875% | 6/15/43 | 450 | 416 |
Viacom Inc. | 5.850% | 9/1/43 | 1,285 | 1,364 |
Viacom Inc. | 5.250% | 4/1/44 | 621 | 611 |
Vodafone Group plc | 7.875% | 2/15/30 | 1,075 | 1,437 |
Vodafone Group plc | 6.250% | 11/30/32 | 901 | 1,069 |
Vodafone Group plc | 6.150% | 2/27/37 | 1,410 | 1,615 |
Vodafone Group plc | 4.375% | 2/19/43 | 2,520 | 2,309 |
Walt Disney Co. | 7.000% | 3/1/32 | 645 | 885 |
Walt Disney Co. | 4.375% | 8/16/41 | 916 | 975 |
Walt Disney Co. | 4.125% | 12/1/41 | 925 | 946 |
Walt Disney Co. | 3.700% | 12/1/42 | 815 | 783 |
Walt Disney Co. | 4.125% | 6/1/44 | 919 | 949 |
Walt Disney Co. | 3.000% | 7/30/46 | 300 | 256 |
WPP Finance 2010 | 5.125% | 9/7/42 | 375 | 383 |
WPP Finance 2010 | 5.625% | 11/15/43 | 500 | 537 |
Consumer Cyclical (6.5%) | ||||
Alibaba Group Holding Ltd. | 4.500% | 11/28/34 | 880 | 925 |
Amazon.com Inc. | 4.800% | 12/5/34 | 1,557 | 1,759 |
Amazon.com Inc. | 4.950% | 12/5/44 | 2,134 | 2,479 |
Bed Bath & Beyond Inc. | 4.915% | 8/1/34 | 570 | 540 |
Bed Bath & Beyond Inc. | 5.165% | 8/1/44 | 995 | 891 |
BorgWarner Inc. | 4.375% | 3/15/45 | 615 | 608 |
Cummins Inc. | 7.125% | 3/1/28 | 425 | 553 |
Cummins Inc. | 4.875% | 10/1/43 | 550 | 618 |
CVS Health Corp. | 4.875% | 7/20/35 | 800 | 871 |
CVS Health Corp. | 5.300% | 12/5/43 | 1,558 | 1,761 |
CVS Health Corp. | 5.125% | 7/20/45 | 5,225 | 5,825 |
Daimler Finance North America LLC | 8.500% | 1/18/31 | 1,962 | 2,976 |
Darden Restaurants Inc. | 6.800% | 10/15/37 | 500 | 596 |
Delphi Automotive plc | 4.400% | 10/1/46 | 405 | 387 |
eBay Inc. | 4.000% | 7/15/42 | 1,005 | 865 |
Ford Holdings LLC | 9.300% | 3/1/30 | 650 | 909 |
Ford Motor Co. | 6.625% | 10/1/28 | 1,125 | 1,338 |
Ford Motor Co. | 6.375% | 2/1/29 | 546 | 633 |
Ford Motor Co. | 7.450% | 7/16/31 | 1,707 | 2,156 |
Ford Motor Co. | 4.750% | 1/15/43 | 2,668 | 2,564 |
Ford Motor Co. | 7.400% | 11/1/46 | 435 | 568 |
Ford Motor Co. | 5.291% | 12/8/46 | 1,950 | 2,009 |
General Motors Co. | 5.000% | 4/1/35 | 1,017 | 1,024 |
General Motors Co. | 6.600% | 4/1/36 | 1,705 | 1,998 |
General Motors Co. | 6.250% | 10/2/43 | 2,028 | 2,291 |
General Motors Co. | 5.200% | 4/1/45 | 1,480 | 1,486 |
General Motors Co. | 6.750% | 4/1/46 | 1,245 | 1,507 |
Harley-Davidson Inc. | 4.625% | 7/28/45 | 335 | 342 |
Home Depot Inc. | 5.875% | 12/16/36 | 4,077 | 5,205 |
Home Depot Inc. | 5.400% | 9/15/40 | 655 | 790 |
Home Depot Inc. | 5.950% | 4/1/41 | 1,115 | 1,435 |
Home Depot Inc. | 4.200% | 4/1/43 | 1,400 | 1,456 |
Home Depot Inc. | 4.875% | 2/15/44 | 1,378 | 1,583 |
78
Vanguard® Long-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Home Depot Inc. | 4.400% | 3/15/45 | 1,930 | 2,073 |
Home Depot Inc. | 4.250% | 4/1/46 | 2,015 | 2,122 |
Home Depot Inc. | 3.500% | 9/15/56 | 1,200 | 1,070 |
Kohl's Corp. | 5.550% | 7/17/45 | 650 | 583 |
Lowe's Cos. Inc. | 6.875% | 2/15/28 | 710 | 932 |
Lowe's Cos. Inc. | 6.500% | 3/15/29 | 690 | 894 |
Lowe's Cos. Inc. | 5.500% | 10/15/35 | 420 | 498 |
Lowe's Cos. Inc. | 5.800% | 10/15/36 | 775 | 946 |
Lowe's Cos. Inc. | 6.650% | 9/15/37 | 330 | 441 |
Lowe's Cos. Inc. | 5.800% | 4/15/40 | 615 | 764 |
Lowe's Cos. Inc. | 5.125% | 11/15/41 | 898 | 1,031 |
Lowe's Cos. Inc. | 4.650% | 4/15/42 | 1,085 | 1,178 |
Lowe's Cos. Inc. | 5.000% | 9/15/43 | 774 | 879 |
Lowe's Cos. Inc. | 4.250% | 9/15/44 | 375 | 384 |
Lowe's Cos. Inc. | 4.375% | 9/15/45 | 1,075 | 1,135 |
Lowe's Cos. Inc. | 3.700% | 4/15/46 | 1,780 | 1,688 |
Macy's Retail Holdings Inc. | 7.000% | 2/15/28 | 450 | 478 |
Macy's Retail Holdings Inc. | 6.900% | 4/1/29 | 465 | 490 |
Macy's Retail Holdings Inc. | 6.900% | 1/15/32 | 225 | 239 |
Macy's Retail Holdings Inc. | 6.700% | 7/15/34 | 190 | 192 |
Macy's Retail Holdings Inc. | 4.500% | 12/15/34 | 830 | 741 |
Macy's Retail Holdings Inc. | 6.375% | 3/15/37 | 660 | 662 |
Macy's Retail Holdings Inc. | 5.125% | 1/15/42 | 635 | 581 |
Macy's Retail Holdings Inc. | 4.300% | 2/15/43 | 525 | 440 |
Marriott International Inc. | 4.500% | 10/1/34 | 350 | 356 |
Mastercard Inc. | 3.800% | 11/21/46 | 810 | 804 |
McDonald's Corp. | 4.700% | 12/9/35 | 820 | 869 |
McDonald's Corp. | 6.300% | 10/15/37 | 1,325 | 1,668 |
McDonald's Corp. | 6.300% | 3/1/38 | 963 | 1,210 |
McDonald's Corp. | 5.700% | 2/1/39 | 455 | 535 |
McDonald's Corp. | 3.700% | 2/15/42 | 783 | 705 |
McDonald's Corp. | 3.625% | 5/1/43 | 850 | 755 |
McDonald's Corp. | 4.600% | 5/26/45 | 710 | 730 |
McDonald's Corp. | 4.875% | 12/9/45 | 2,753 | 2,955 |
Metropolitan Museum of Art New York Revenue | 3.400% | 7/1/45 | 300 | 282 |
NIKE Inc. | 3.625% | 5/1/43 | 825 | 781 |
NIKE Inc. | 3.875% | 11/1/45 | 1,345 | 1,327 |
NIKE Inc. | 3.375% | 11/1/46 | 500 | 451 |
Nordstrom Inc. | 6.950% | 3/15/28 | 555 | 676 |
Nordstrom Inc. | 5.000% | 1/15/44 | 749 | 725 |
QVC Inc. | 5.450% | 8/15/34 | 500 | 466 |
QVC Inc. | 5.950% | 3/15/43 | 405 | 376 |
Starbucks Corp. | 4.300% | 6/15/45 | 425 | 453 |
Target Corp. | 6.350% | 11/1/32 | 599 | 761 |
Target Corp. | 6.500% | 10/15/37 | 827 | 1,092 |
Target Corp. | 7.000% | 1/15/38 | 600 | 830 |
Target Corp. | 4.000% | 7/1/42 | 2,001 | 1,963 |
Target Corp. | 3.625% | 4/15/46 | 1,785 | 1,630 |
Tiffany & Co. | 4.900% | 10/1/44 | 400 | 380 |
VF Corp. | 6.000% | 10/15/33 | 100 | 120 |
VF Corp. | 6.450% | 11/1/37 | 720 | 934 |
Visa Inc. | 4.150% | 12/14/35 | 1,980 | 2,102 |
Visa Inc. | 4.300% | 12/14/45 | 4,667 | 5,012 |
Wal-Mart Stores Inc. | 5.875% | 4/5/27 | 1,205 | 1,496 |
Wal-Mart Stores Inc. | 7.550% | 2/15/30 | 605 | 875 |
Wal-Mart Stores Inc. | 5.250% | 9/1/35 | 4,037 | 4,791 |
Wal-Mart Stores Inc. | 6.500% | 8/15/37 | 3,875 | 5,232 |
Wal-Mart Stores Inc. | 6.200% | 4/15/38 | 2,465 | 3,237 |
Wal-Mart Stores Inc. | 5.625% | 4/1/40 | 1,647 | 2,053 |
Wal-Mart Stores Inc. | 4.875% | 7/8/40 | 1,225 | 1,390 |
Wal-Mart Stores Inc. | 5.000% | 10/25/40 | 1,730 | 1,993 |
Wal-Mart Stores Inc. | 5.625% | 4/15/41 | 2,795 | 3,493 |
Wal-Mart Stores Inc. | 4.000% | 4/11/43 | 1,461 | 1,470 |
Wal-Mart Stores Inc. | 4.750% | 10/2/43 | 1,000 | 1,129 |
79
Vanguard® Long-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Wal-Mart Stores Inc. | 4.300% | 4/22/44 | 1,047 | 1,109 |
Walgreen Co. | 4.400% | 9/15/42 | 610 | 601 |
Walgreens Boots Alliance Inc. | 4.500% | 11/18/34 | 1,325 | 1,346 |
Walgreens Boots Alliance Inc. | 4.800% | 11/18/44 | 1,774 | 1,832 |
Walgreens Boots Alliance Inc. | 4.650% | 6/1/46 | 650 | 660 |
Western Union Co. | 6.200% | 11/17/36 | 610 | 633 |
Western Union Co. | 6.200% | 6/21/40 | 455 | 469 |
Consumer Noncyclical (16.7%) | ||||
Abbott Laboratories | 4.750% | 11/30/36 | 3,065 | 3,164 |
Abbott Laboratories | 6.150% | 11/30/37 | 1,000 | 1,201 |
Abbott Laboratories | 6.000% | 4/1/39 | 320 | 371 |
Abbott Laboratories | 5.300% | 5/27/40 | 950 | 1,014 |
Abbott Laboratories | 4.900% | 11/30/46 | 4,350 | 4,495 |
AbbVie Inc. | 4.500% | 5/14/35 | 3,307 | 3,302 |
AbbVie Inc. | 4.300% | 5/14/36 | 1,297 | 1,265 |
AbbVie Inc. | 4.400% | 11/6/42 | 2,915 | 2,797 |
AbbVie Inc. | 4.700% | 5/14/45 | 4,017 | 4,041 |
AbbVie Inc. | 4.450% | 5/14/46 | 2,976 | 2,872 |
Actavis Funding SCS | 4.550% | 3/15/35 | 4,002 | 4,033 |
Actavis Funding SCS | 4.850% | 6/15/44 | 1,796 | 1,830 |
Actavis Funding SCS | 4.750% | 3/15/45 | 3,550 | 3,586 |
Actavis Inc. | 4.625% | 10/1/42 | 1,126 | 1,115 |
Ahold Finance USA LLC | 6.875% | 5/1/29 | 680 | 856 |
1 Allina Health System | 4.805% | 11/15/45 | 225 | 243 |
Altria Group Inc. | 4.250% | 8/9/42 | 1,260 | 1,246 |
Altria Group Inc. | 4.500% | 5/2/43 | 930 | 959 |
Altria Group Inc. | 5.375% | 1/31/44 | 2,384 | 2,760 |
Altria Group Inc. | 3.875% | 9/16/46 | 1,950 | 1,840 |
AmerisourceBergen Corp. | 4.250% | 3/1/45 | 662 | 651 |
Amgen Inc. | 6.400% | 2/1/39 | 600 | 746 |
Amgen Inc. | 4.950% | 10/1/41 | 1,860 | 1,969 |
Amgen Inc. | 5.150% | 11/15/41 | 3,000 | 3,265 |
Amgen Inc. | 4.400% | 5/1/45 | 3,084 | 3,025 |
Amgen Inc. | 4.563% | 6/15/48 | 1,866 | 1,854 |
Amgen Inc. | 4.663% | 6/15/51 | 4,696 | 4,729 |
Anheuser-Busch Cos. LLC | 6.800% | 8/20/32 | 365 | 494 |
Anheuser-Busch Cos. LLC | 5.950% | 1/15/33 | 20 | 24 |
Anheuser-Busch Cos. LLC | 5.750% | 4/1/36 | 1,428 | 1,716 |
Anheuser-Busch Cos. LLC | 6.450% | 9/1/37 | 830 | 1,083 |
Anheuser-Busch Cos. LLC | 6.500% | 5/1/42 | 275 | 359 |
Anheuser-Busch InBev Finance Inc. | 4.700% | 2/1/36 | 9,183 | 9,876 |
Anheuser-Busch InBev Finance Inc. | 4.000% | 1/17/43 | 1,340 | 1,285 |
Anheuser-Busch InBev Finance Inc. | 4.625% | 2/1/44 | 750 | 797 |
Anheuser-Busch InBev Finance Inc. | 4.900% | 2/1/46 | 13,802 | 15,162 |
Anheuser-Busch InBev Worldwide Inc. | 8.200% | 1/15/39 | 1,110 | 1,690 |
Anheuser-Busch InBev Worldwide Inc. | 8.000% | 11/15/39 | 715 | 1,071 |
Anheuser-Busch InBev Worldwide Inc. | 6.375% | 1/15/40 | 1,240 | 1,586 |
Anheuser-Busch InBev Worldwide Inc. | 4.950% | 1/15/42 | 2,210 | 2,442 |
Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 2,544 | 2,358 |
Archer-Daniels-Midland Co. | 5.935% | 10/1/32 | 405 | 490 |
Archer-Daniels-Midland Co. | 5.375% | 9/15/35 | 810 | 941 |
Archer-Daniels-Midland Co. | 4.535% | 3/26/42 | 1,333 | 1,430 |
Archer-Daniels-Midland Co. | 4.016% | 4/16/43 | 725 | 726 |
Ascension Health | 3.945% | 11/15/46 | 900 | 891 |
1 Ascension Health | 4.847% | 11/15/53 | 550 | 613 |
AstraZeneca plc | 6.450% | 9/15/37 | 2,937 | 3,857 |
AstraZeneca plc | 4.000% | 9/18/42 | 1,447 | 1,399 |
AstraZeneca plc | 4.375% | 11/16/45 | 1,744 | 1,793 |
Baptist Health South Florida Inc. | 4.342% | 11/15/41 | 250 | 252 |
Baxalta Inc. | 5.250% | 6/23/45 | 1,325 | 1,440 |
Baxter International Inc. | 3.500% | 8/15/46 | 650 | 563 |
Baylor Scott & White Holdings Texas Revenue | 4.185% | 11/15/45 | 793 | 796 |
Becton Dickinson & Co. | 6.000% | 5/15/39 | 411 | 489 |
80
Vanguard® Long-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Becton Dickinson & Co. | 5.000% | 11/12/40 | 717 | 780 |
Becton Dickinson & Co. | 4.685% | 12/15/44 | 1,556 | 1,657 |
Biogen Inc. | 5.200% | 9/15/45 | 2,695 | 2,941 |
Boston Children's Hospital Corp. Revenue | 4.115% | 1/1/47 | 300 | 308 |
Boston Scientific Corp. | 7.000% | 11/15/35 | 475 | 583 |
Boston Scientific Corp. | 7.375% | 1/15/40 | 390 | 498 |
Bristol-Myers Squibb Co. | 5.875% | 11/15/36 | 999 | 1,265 |
Bristol-Myers Squibb Co. | 6.125% | 5/1/38 | 920 | 1,180 |
Bristol-Myers Squibb Co. | 3.250% | 8/1/42 | 641 | 568 |
Bristol-Myers Squibb Co. | 4.500% | 3/1/44 | 137 | 147 |
Brown-Forman Corp. | 3.750% | 1/15/43 | 531 | 501 |
Brown-Forman Corp. | 4.500% | 7/15/45 | 525 | 560 |
Campbell Soup Co. | 3.800% | 8/2/42 | 525 | 487 |
Cardinal Health Inc. | 4.600% | 3/15/43 | 532 | 537 |
Cardinal Health Inc. | 4.500% | 11/15/44 | 469 | 467 |
Cardinal Health Inc. | 4.900% | 9/15/45 | 575 | 611 |
1 Catholic Health Initiatives Colorado GO | 4.350% | 11/1/42 | 976 | 875 |
Celgene Corp. | 5.700% | 10/15/40 | 325 | 361 |
Celgene Corp. | 5.250% | 8/15/43 | 185 | 202 |
Celgene Corp. | 4.625% | 5/15/44 | 1,210 | 1,207 |
Celgene Corp. | 5.000% | 8/15/45 | 3,055 | 3,247 |
Children's Hospital Medical Center Ohio GO | 4.268% | 5/15/44 | 425 | 430 |
City of Hope | 5.623% | 11/15/43 | 475 | 569 |
Cleveland Clinic Foundation Ohio Revenue | 4.858% | 1/1/14 | 525 | 518 |
Coca-Cola Femsa SAB de CV | 5.250% | 11/26/43 | 850 | 931 |
Colgate-Palmolive Co. | 4.000% | 8/15/45 | 775 | 803 |
Conagra Brands Inc. | 7.000% | 10/1/28 | 475 | 587 |
Conagra Brands Inc. | 8.250% | 9/15/30 | 404 | 544 |
Danaher Corp. | 4.375% | 9/15/45 | 734 | 784 |
Delhaize America LLC | 9.000% | 4/15/31 | 320 | 465 |
Diageo Capital plc | 5.875% | 9/30/36 | 353 | 432 |
Diageo Capital plc | 3.875% | 4/29/43 | 620 | 596 |
Diageo Investment Corp. | 7.450% | 4/15/35 | 849 | 1,188 |
Diageo Investment Corp. | 4.250% | 5/11/42 | 779 | 788 |
Dignity Health California GO | 4.500% | 11/1/42 | 375 | 351 |
Dignity Health California GO | 5.267% | 11/1/64 | 400 | 400 |
Dr Pepper Snapple Group Inc. | 3.430% | 6/15/27 | 1,025 | 1,024 |
Dr Pepper Snapple Group Inc. | 7.450% | 5/1/38 | 415 | 584 |
Dr Pepper Snapple Group Inc. | 4.420% | 12/15/46 | 500 | 512 |
Eli Lilly & Co. | 5.500% | 3/15/27 | 500 | 604 |
Eli Lilly & Co. | 5.550% | 3/15/37 | 920 | 1,104 |
Eli Lilly & Co. | 3.700% | 3/1/45 | 1,346 | 1,296 |
Estee Lauder Cos. Inc. | 3.150% | 3/15/27 | 550 | 548 |
Estee Lauder Cos. Inc. | 6.000% | 5/15/37 | 365 | 449 |
Estee Lauder Cos. Inc. | 3.700% | 8/15/42 | 550 | 510 |
Estee Lauder Cos. Inc. | 4.375% | 6/15/45 | 1,108 | 1,149 |
Estee Lauder Cos. Inc. | 4.150% | 3/15/47 | 550 | 559 |
Express Scripts Holding Co. | 3.400% | 3/1/27 | 1,925 | 1,824 |
Express Scripts Holding Co. | 6.125% | 11/15/41 | 765 | 877 |
Express Scripts Holding Co. | 4.800% | 7/15/46 | 2,800 | 2,718 |
Fomento Economico Mexicano SAB de CV | 4.375% | 5/10/43 | 885 | 858 |
Genentech Inc. | 5.250% | 7/15/35 | 625 | 732 |
General Mills Inc. | 5.400% | 6/15/40 | 673 | 771 |
General Mills Inc. | 4.150% | 2/15/43 | 625 | 614 |
Gilead Sciences Inc. | 2.950% | 3/1/27 | 2,100 | 2,012 |
Gilead Sciences Inc. | 4.600% | 9/1/35 | 1,835 | 1,902 |
Gilead Sciences Inc. | 4.000% | 9/1/36 | 1,150 | 1,106 |
Gilead Sciences Inc. | 5.650% | 12/1/41 | 574 | 662 |
Gilead Sciences Inc. | 4.800% | 4/1/44 | 2,725 | 2,856 |
Gilead Sciences Inc. | 4.500% | 2/1/45 | 2,289 | 2,289 |
Gilead Sciences Inc. | 4.750% | 3/1/46 | 2,940 | 3,053 |
Gilead Sciences Inc. | 4.150% | 3/1/47 | 2,525 | 2,412 |
GlaxoSmithKline Capital Inc. | 5.375% | 4/15/34 | 655 | 774 |
GlaxoSmithKline Capital Inc. | 6.375% | 5/15/38 | 3,820 | 5,055 |
81
Vanguard® Long-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Hasbro Inc. | 6.350% | 3/15/40 | 435 | 513 |
Hasbro Inc. | 5.100% | 5/15/44 | 830 | 855 |
Hershey Co. | 7.200% | 8/15/27 | 42 | 54 |
Ingredion Inc. | 6.625% | 4/15/37 | 275 | 345 |
JM Smucker Co. | 4.250% | 3/15/35 | 1,076 | 1,103 |
JM Smucker Co. | 4.375% | 3/15/45 | 925 | 938 |
Johns Hopkins Health System Corp. | 3.837% | 5/15/46 | 550 | 534 |
Johnson & Johnson | 6.950% | 9/1/29 | 410 | 559 |
Johnson & Johnson | 4.950% | 5/15/33 | 900 | 1,058 |
Johnson & Johnson | 4.375% | 12/5/33 | 1,355 | 1,500 |
Johnson & Johnson | 3.550% | 3/1/36 | 1,095 | 1,098 |
Johnson & Johnson | 3.625% | 3/3/37 | 1,500 | 1,496 |
Johnson & Johnson | 5.950% | 8/15/37 | 1,265 | 1,666 |
Johnson & Johnson | 5.850% | 7/15/38 | 865 | 1,139 |
Johnson & Johnson | 4.500% | 9/1/40 | 734 | 819 |
Johnson & Johnson | 4.850% | 5/15/41 | 620 | 724 |
Johnson & Johnson | 4.500% | 12/5/43 | 707 | 793 |
Johnson & Johnson | 3.700% | 3/1/46 | 1,945 | 1,945 |
Johnson & Johnson | 3.750% | 3/3/47 | 1,150 | 1,147 |
Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 791 | 890 |
Kellogg Co. | 7.450% | 4/1/31 | 450 | 589 |
Kellogg Co. | 4.500% | 4/1/46 | 1,300 | 1,300 |
Kimberly-Clark Corp. | 6.625% | 8/1/37 | 530 | 731 |
Kimberly-Clark Corp. | 5.300% | 3/1/41 | 435 | 532 |
Kimberly-Clark Corp. | 3.700% | 6/1/43 | 475 | 458 |
Kimberly-Clark Corp. | 3.200% | 7/30/46 | 1,650 | 1,457 |
Koninklijke Ahold Delhaize NV | 5.700% | 10/1/40 | 1,014 | 1,152 |
Koninklijke Philips NV | 6.875% | 3/11/38 | 175 | 224 |
Koninklijke Philips NV | 5.000% | 3/15/42 | 1,440 | 1,522 |
Kraft Foods Group Inc. | 6.875% | 1/26/39 | 1,895 | 2,397 |
Kraft Foods Group Inc. | 6.500% | 2/9/40 | 735 | 900 |
Kraft Foods Group Inc. | 5.000% | 6/4/42 | 3,366 | 3,448 |
Kraft Heinz Foods Co. | 5.000% | 7/15/35 | 1,893 | 1,993 |
Kraft Heinz Foods Co. | 5.200% | 7/15/45 | 2,470 | 2,610 |
Kraft Heinz Foods Co. | 4.375% | 6/1/46 | 3,090 | 2,916 |
Kroger Co. | 4.450% | 2/1/47 | 1,300 | 1,291 |
Laboratory Corp. of America Holdings | 4.700% | 2/1/45 | 1,376 | 1,344 |
Mattel Inc. | 5.450% | 11/1/41 | 450 | 462 |
1 Mayo Clinic | 3.774% | 11/15/43 | 450 | 432 |
1 Mayo Clinic | 4.000% | 11/15/47 | 385 | 380 |
1 Mayo Clinic | 4.128% | 11/15/52 | 400 | 406 |
McKesson Corp. | 6.000% | 3/1/41 | 355 | 418 |
McKesson Corp. | 4.883% | 3/15/44 | 1,623 | 1,683 |
Mead Johnson Nutrition Co. | 5.900% | 11/1/39 | 395 | 470 |
Mead Johnson Nutrition Co. | 4.600% | 6/1/44 | 664 | 691 |
Medtronic Inc. | 4.375% | 3/15/35 | 3,390 | 3,601 |
Medtronic Inc. | 6.500% | 3/15/39 | 155 | 204 |
Medtronic Inc. | 5.550% | 3/15/40 | 643 | 764 |
Medtronic Inc. | 4.500% | 3/15/42 | 1,887 | 1,998 |
Medtronic Inc. | 4.625% | 3/15/44 | 856 | 924 |
Medtronic Inc. | 4.625% | 3/15/45 | 5,393 | 5,823 |
Memorial Sloan-Kettering Cancer Center New York GO | 5.000% | 7/1/42 | 535 | 618 |
Memorial Sloan-Kettering Cancer Center New York GO | 4.125% | 7/1/52 | 825 | 815 |
Memorial Sloan-Kettering Cancer Center New York GO | 4.200% | 7/1/55 | 600 | 602 |
Merck & Co. Inc. | 6.500% | 12/1/33 | 2,604 | 3,411 |
Merck & Co. Inc. | 6.550% | 9/15/37 | 980 | 1,324 |
Merck & Co. Inc. | 3.600% | 9/15/42 | 590 | 557 |
Merck & Co. Inc. | 4.150% | 5/18/43 | 670 | 691 |
Merck & Co. Inc. | 3.700% | 2/10/45 | 2,730 | 2,642 |
Merck Sharp & Dohme Corp. | 5.950% | 12/1/28 | 355 | 435 |
Merck Sharp & Dohme Corp. | 5.850% | 6/30/39 | 150 | 189 |
Molson Coors Brewing Co. | 5.000% | 5/1/42 | 1,736 | 1,849 |
Molson Coors Brewing Co. | 4.200% | 7/15/46 | 2,475 | 2,354 |
Mondelez International Inc. | 6.500% | 2/9/40 | 909 | 1,134 |
82
Vanguard® Long-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Mylan Inc. | 5.400% | 11/29/43 | 632 | 642 |
Mylan NV | 5.250% | 6/15/46 | 1,500 | 1,505 |
New York & Presbyterian Hospital | 3.563% | 8/1/36 | 250 | 238 |
New York & Presbyterian Hospital | 4.024% | 8/1/45 | 1,000 | 994 |
New York & Presbyterian Hospital | 4.063% | 8/1/56 | 200 | 189 |
New York & Presbyterian Hospital | 4.763% | 8/1/16 | 640 | 609 |
Newell Brands Inc. | 5.375% | 4/1/36 | 975 | 1,110 |
Newell Brands Inc. | 5.500% | 4/1/46 | 2,524 | 2,953 |
Northwell Healthcare Inc. | 3.979% | 11/1/46 | 900 | 839 |
Novant Health Inc. | 4.371% | 11/1/43 | 300 | 304 |
Novartis Capital Corp. | 3.100% | 5/17/27 | 1,100 | 1,103 |
Novartis Capital Corp. | 3.700% | 9/21/42 | 1,323 | 1,278 |
Novartis Capital Corp. | 4.400% | 5/6/44 | 3,215 | 3,476 |
Novartis Capital Corp. | 4.000% | 11/20/45 | 360 | 365 |
NYU Hospitals Center | 4.784% | 7/1/44 | 425 | 449 |
Ochsner Clinic Foundation | 5.897% | 5/15/45 | 275 | 326 |
Partners Healthcare System Inc. | 4.117% | 7/1/55 | 375 | 364 |
PepsiCo Inc. | 5.500% | 1/15/40 | 1,338 | 1,643 |
PepsiCo Inc. | 4.875% | 11/1/40 | 1,105 | 1,255 |
PepsiCo Inc. | 4.000% | 3/5/42 | 2,045 | 2,064 |
PepsiCo Inc. | 4.250% | 10/22/44 | 1,311 | 1,381 |
PepsiCo Inc. | 4.600% | 7/17/45 | 612 | 672 |
PepsiCo Inc. | 4.450% | 4/14/46 | 2,115 | 2,293 |
PepsiCo Inc. | 3.450% | 10/6/46 | 1,175 | 1,080 |
Perrigo Co. plc | 5.300% | 11/15/43 | 1,039 | 1,045 |
Pfizer Inc. | 4.000% | 12/15/36 | 1,883 | 1,916 |
Pfizer Inc. | 7.200% | 3/15/39 | 2,905 | 4,186 |
Pfizer Inc. | 4.300% | 6/15/43 | 1,162 | 1,210 |
Pfizer Inc. | 4.400% | 5/15/44 | 1,435 | 1,515 |
Pfizer Inc. | 4.125% | 12/15/46 | 2,800 | 2,831 |
Pharmacia LLC | 6.600% | 12/1/28 | 1,380 | 1,798 |
Philip Morris International Inc. | 6.375% | 5/16/38 | 2,099 | 2,697 |
Philip Morris International Inc. | 4.375% | 11/15/41 | 1,130 | 1,144 |
Philip Morris International Inc. | 4.500% | 3/20/42 | 931 | 953 |
Philip Morris International Inc. | 3.875% | 8/21/42 | 1,160 | 1,091 |
Philip Morris International Inc. | 4.125% | 3/4/43 | 765 | 748 |
Philip Morris International Inc. | 4.875% | 11/15/43 | 1,795 | 1,964 |
Philip Morris International Inc. | 4.250% | 11/10/44 | 955 | 956 |
Procter & Gamble Co. | 5.500% | 2/1/34 | 2,300 | 2,917 |
Procter & Gamble Co. | 5.550% | 3/5/37 | 100 | 131 |
Quest Diagnostics Inc. | 5.750% | 1/30/40 | 13 | 14 |
Quest Diagnostics Inc. | 4.700% | 3/30/45 | 325 | 329 |
Reynolds American Inc. | 5.700% | 8/15/35 | 1,165 | 1,350 |
Reynolds American Inc. | 7.250% | 6/15/37 | 876 | 1,167 |
Reynolds American Inc. | 6.150% | 9/15/43 | 125 | 151 |
Reynolds American Inc. | 5.850% | 8/15/45 | 3,114 | 3,700 |
RWJ Barnabas Health Inc. | 3.949% | 7/1/46 | 475 | 449 |
Southern Baptist Hospital of Florida Inc. | 4.857% | 7/15/45 | 325 | 354 |
St. Jude Medical Inc. | 4.750% | 4/15/43 | 900 | 893 |
Stryker Corp. | 4.100% | 4/1/43 | 407 | 393 |
Stryker Corp. | 4.375% | 5/15/44 | 1,125 | 1,129 |
Stryker Corp. | 4.625% | 3/15/46 | 720 | 757 |
Sysco Corp. | 5.375% | 9/21/35 | 914 | 1,026 |
Sysco Corp. | 4.850% | 10/1/45 | 350 | 374 |
Sysco Corp. | 4.500% | 4/1/46 | 1,185 | 1,206 |
Teva Pharmaceutical Finance Co. LLC | 6.150% | 2/1/36 | 846 | 956 |
Teva Pharmaceutical Finance Netherlands III BV | 4.100% | 10/1/46 | 3,080 | 2,684 |
1 Texas Health Resources | 4.330% | 11/15/55 | 400 | 409 |
The Kroger Co. | 7.700% | 6/1/29 | 680 | 904 |
The Kroger Co. | 8.000% | 9/15/29 | 200 | 271 |
The Kroger Co. | 7.500% | 4/1/31 | 230 | 312 |
The Kroger Co. | 6.900% | 4/15/38 | 656 | 864 |
The Kroger Co. | 5.400% | 7/15/40 | 1,071 | 1,193 |
The Kroger Co. | 5.150% | 8/1/43 | 675 | 738 |
83
Vanguard® Long-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
The Kroger Co. | 3.875% | 10/15/46 | 400 | 366 |
The Pepsi Bottling Group Inc. | 7.000% | 3/1/29 | 1,410 | 1,923 |
Thermo Fisher Scientific Inc. | 5.300% | 2/1/44 | 633 | 721 |
Trinity Health Corp. | 4.125% | 12/1/45 | 400 | 394 |
Tyson Foods Inc. | 4.875% | 8/15/34 | 715 | 739 |
Tyson Foods Inc. | 5.150% | 8/15/44 | 615 | 654 |
Unilever Capital Corp. | 5.900% | 11/15/32 | 1,609 | 2,064 |
Whirlpool Corp. | 4.500% | 6/1/46 | 575 | 580 |
Wyeth LLC | 6.500% | 2/1/34 | 465 | 607 |
Wyeth LLC | 6.000% | 2/15/36 | 584 | 733 |
Wyeth LLC | 5.950% | 4/1/37 | 2,534 | 3,171 |
Zimmer Biomet Holdings Inc. | 4.250% | 8/15/35 | 1,347 | 1,284 |
Zoetis Inc. | 4.700% | 2/1/43 | 1,535 | 1,562 |
Energy (11.0%) | ||||
Alberta Energy Co. Ltd. | 7.375% | 11/1/31 | 695 | 845 |
Anadarko Finance Co. | 7.500% | 5/1/31 | 1,577 | 2,024 |
Anadarko Petroleum Corp. | 6.450% | 9/15/36 | 2,230 | 2,699 |
Anadarko Petroleum Corp. | 7.950% | 6/15/39 | 195 | 258 |
Anadarko Petroleum Corp. | 6.200% | 3/15/40 | 1,040 | 1,213 |
Anadarko Petroleum Corp. | 4.500% | 7/15/44 | 800 | 771 |
Anadarko Petroleum Corp. | 6.600% | 3/15/46 | 1,675 | 2,095 |
Apache Corp. | 6.000% | 1/15/37 | 1,661 | 1,930 |
Apache Corp. | 5.100% | 9/1/40 | 2,245 | 2,385 |
Apache Corp. | 5.250% | 2/1/42 | 105 | 114 |
Apache Corp. | 4.750% | 4/15/43 | 2,290 | 2,352 |
Apache Corp. | 4.250% | 1/15/44 | 300 | 292 |
Apache Finance Canada Corp. | 7.750% | 12/15/29 | 750 | 980 |
Baker Hughes Inc. | 5.125% | 9/15/40 | 1,545 | 1,725 |
Boardwalk Pipelines LP | 4.450% | 7/15/27 | 650 | 666 |
BP Capital Markets plc | 3.588% | 4/14/27 | 900 | 907 |
BP Capital Markets plc | 3.723% | 11/28/28 | 1,300 | 1,319 |
Buckeye Partners LP | 5.850% | 11/15/43 | 545 | 582 |
Buckeye Partners LP | 5.600% | 10/15/44 | 350 | 366 |
Burlington Resources Finance Co. | 7.200% | 8/15/31 | 744 | 977 |
Burlington Resources Finance Co. | 7.400% | 12/1/31 | 681 | 907 |
Canadian Natural Resources Ltd. | 7.200% | 1/15/32 | 543 | 657 |
Canadian Natural Resources Ltd. | 6.450% | 6/30/33 | 650 | 750 |
Canadian Natural Resources Ltd. | 5.850% | 2/1/35 | 400 | 442 |
Canadian Natural Resources Ltd. | 6.500% | 2/15/37 | 655 | 766 |
Canadian Natural Resources Ltd. | 6.250% | 3/15/38 | 1,577 | 1,833 |
Canadian Natural Resources Ltd. | 6.750% | 2/1/39 | 159 | 191 |
Columbia Pipeline Group Inc. | 5.800% | 6/1/45 | 550 | 654 |
Conoco Funding Co. | 7.250% | 10/15/31 | 462 | 611 |
ConocoPhillips | 5.900% | 10/15/32 | 665 | 784 |
ConocoPhillips | 5.900% | 5/15/38 | 1,246 | 1,484 |
ConocoPhillips | 6.500% | 2/1/39 | 3,680 | 4,650 |
ConocoPhillips Canada Funding Co. I | 5.950% | 10/15/36 | 1,102 | 1,301 |
ConocoPhillips Co. | 4.150% | 11/15/34 | 1,075 | 1,073 |
ConocoPhillips Co. | 4.300% | 11/15/44 | 853 | 843 |
ConocoPhillips Co. | 5.950% | 3/15/46 | 900 | 1,107 |
ConocoPhillips Holding Co. | 6.950% | 4/15/29 | 1,335 | 1,716 |
Devon Energy Corp. | 7.950% | 4/15/32 | 830 | 1,081 |
Devon Energy Corp. | 5.600% | 7/15/41 | 1,310 | 1,406 |
Devon Energy Corp. | 4.750% | 5/15/42 | 1,312 | 1,287 |
Devon Energy Corp. | 5.000% | 6/15/45 | 1,039 | 1,053 |
Devon Financing Co. LLC | 7.875% | 9/30/31 | 1,695 | 2,218 |
Dominion Gas Holdings LLC | 4.800% | 11/1/43 | 625 | 662 |
Dominion Gas Holdings LLC | 4.600% | 12/15/44 | 587 | 603 |
El Paso Natural Gas Co. LLC | 8.375% | 6/15/32 | 297 | 379 |
Enable Midstream Partners LP | 5.000% | 5/15/44 | 625 | 581 |
Enbridge Energy Partners LP | 7.500% | 4/15/38 | 1,370 | 1,669 |
Enbridge Energy Partners LP | 5.500% | 9/15/40 | 720 | 732 |
Enbridge Inc. | 4.500% | 6/10/44 | 700 | 659 |
84
Vanguard® Long-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Enbridge Inc. | 5.500% | 12/1/46 | 900 | 977 |
Encana Corp. | 6.500% | 8/15/34 | 915 | 1,043 |
Encana Corp. | 6.625% | 8/15/37 | 1,550 | 1,780 |
Encana Corp. | 6.500% | 2/1/38 | 658 | 751 |
Encana Corp. | 5.150% | 11/15/41 | 50 | 49 |
Energy Transfer Partners LP | 4.200% | 4/15/27 | 600 | 602 |
Energy Transfer Partners LP | 8.250% | 11/15/29 | 264 | 342 |
Energy Transfer Partners LP | 4.900% | 3/15/35 | 1,265 | 1,229 |
Energy Transfer Partners LP | 6.625% | 10/15/36 | 645 | 738 |
Energy Transfer Partners LP | 7.500% | 7/1/38 | 862 | 1,052 |
Energy Transfer Partners LP | 6.050% | 6/1/41 | 784 | 844 |
Energy Transfer Partners LP | 6.500% | 2/1/42 | 1,280 | 1,445 |
Energy Transfer Partners LP | 5.150% | 2/1/43 | 345 | 333 |
Energy Transfer Partners LP | 5.950% | 10/1/43 | 652 | 693 |
Energy Transfer Partners LP | 5.150% | 3/15/45 | 1,200 | 1,170 |
Energy Transfer Partners LP | 6.125% | 12/15/45 | 1,373 | 1,515 |
Energy Transfer Partners LP | 5.300% | 4/15/47 | 1,400 | 1,397 |
Eni USA Inc. | 7.300% | 11/15/27 | 395 | 490 |
EnLink Midstream Partners LP | 5.600% | 4/1/44 | 433 | 434 |
EnLink Midstream Partners LP | 5.050% | 4/1/45 | 600 | 570 |
Enterprise Products Operating LLC | 6.875% | 3/1/33 | 604 | 750 |
Enterprise Products Operating LLC | 6.650% | 10/15/34 | 360 | 442 |
Enterprise Products Operating LLC | 5.750% | 3/1/35 | 300 | 338 |
Enterprise Products Operating LLC | 7.550% | 4/15/38 | 740 | 984 |
Enterprise Products Operating LLC | 6.125% | 10/15/39 | 890 | 1,047 |
Enterprise Products Operating LLC | 6.450% | 9/1/40 | 710 | 870 |
Enterprise Products Operating LLC | 5.950% | 2/1/41 | 926 | 1,079 |
Enterprise Products Operating LLC | 5.700% | 2/15/42 | 804 | 914 |
Enterprise Products Operating LLC | 4.850% | 8/15/42 | 1,215 | 1,247 |
Enterprise Products Operating LLC | 4.450% | 2/15/43 | 1,575 | 1,537 |
Enterprise Products Operating LLC | 4.850% | 3/15/44 | 1,630 | 1,687 |
Enterprise Products Operating LLC | 5.100% | 2/15/45 | 1,414 | 1,517 |
Enterprise Products Operating LLC | 4.900% | 5/15/46 | 1,870 | 1,962 |
Enterprise Products Operating LLC | 4.950% | 10/15/54 | 650 | 670 |
EOG Resources Inc. | 3.900% | 4/1/35 | 460 | 447 |
EOG Resources Inc. | 5.100% | 1/15/36 | 379 | 417 |
Exxon Mobil Corp. | 3.567% | 3/6/45 | 600 | 571 |
Exxon Mobil Corp. | 4.114% | 3/1/46 | 3,755 | 3,906 |
Halliburton Co. | 4.850% | 11/15/35 | 1,815 | 1,949 |
Halliburton Co. | 6.700% | 9/15/38 | 916 | 1,149 |
Halliburton Co. | 7.450% | 9/15/39 | 896 | 1,219 |
Halliburton Co. | 4.500% | 11/15/41 | 480 | 476 |
Halliburton Co. | 4.750% | 8/1/43 | 1,330 | 1,385 |
Halliburton Co. | 5.000% | 11/15/45 | 2,895 | 3,141 |
Hess Corp. | 4.300% | 4/1/27 | 1,250 | 1,246 |
Hess Corp. | 7.875% | 10/1/29 | 1,045 | 1,283 |
Hess Corp. | 7.300% | 8/15/31 | 620 | 733 |
Hess Corp. | 7.125% | 3/15/33 | 950 | 1,105 |
Hess Corp. | 6.000% | 1/15/40 | 1,292 | 1,370 |
Hess Corp. | 5.600% | 2/15/41 | 1,186 | 1,219 |
Hess Corp. | 5.800% | 4/1/47 | 750 | 800 |
Husky Energy Inc. | 6.800% | 9/15/37 | 490 | 601 |
Kerr-McGee Corp. | 7.875% | 9/15/31 | 465 | 605 |
Kinder Morgan Energy Partners LP | 7.400% | 3/15/31 | 238 | 287 |
Kinder Morgan Energy Partners LP | 7.750% | 3/15/32 | 442 | 559 |
Kinder Morgan Energy Partners LP | 7.300% | 8/15/33 | 675 | 813 |
Kinder Morgan Energy Partners LP | 5.800% | 3/15/35 | 975 | 1,051 |
Kinder Morgan Energy Partners LP | 6.500% | 2/1/37 | 785 | 880 |
Kinder Morgan Energy Partners LP | 6.950% | 1/15/38 | 1,542 | 1,841 |
Kinder Morgan Energy Partners LP | 6.500% | 9/1/39 | 655 | 743 |
Kinder Morgan Energy Partners LP | 6.550% | 9/15/40 | 750 | 850 |
Kinder Morgan Energy Partners LP | 7.500% | 11/15/40 | 600 | 741 |
Kinder Morgan Energy Partners LP | 6.375% | 3/1/41 | 725 | 806 |
Kinder Morgan Energy Partners LP | 5.625% | 9/1/41 | 540 | 554 |
85
Vanguard® Long-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Kinder Morgan Energy Partners LP | 5.000% | 8/15/42 | 612 | 602 |
Kinder Morgan Energy Partners LP | 4.700% | 11/1/42 | 779 | 736 |
Kinder Morgan Energy Partners LP | 5.000% | 3/1/43 | 600 | 590 |
Kinder Morgan Energy Partners LP | 5.500% | 3/1/44 | 1,200 | 1,248 |
Kinder Morgan Energy Partners LP | 5.400% | 9/1/44 | 700 | 717 |
Kinder Morgan Inc. | 7.750% | 1/15/32 | 1,030 | 1,304 |
Kinder Morgan Inc. | 5.300% | 12/1/34 | 1,990 | 2,052 |
Kinder Morgan Inc. | 5.550% | 6/1/45 | 2,565 | 2,708 |
Magellan Midstream Partners LP | 6.400% | 5/1/37 | 265 | 317 |
Magellan Midstream Partners LP | 4.200% | 12/1/42 | 150 | 139 |
Magellan Midstream Partners LP | 5.150% | 10/15/43 | 515 | 553 |
Magellan Midstream Partners LP | 4.200% | 3/15/45 | 875 | 811 |
Magellan Midstream Partners LP | 4.250% | 9/15/46 | 545 | 523 |
Marathon Oil Corp. | 6.800% | 3/15/32 | 611 | 703 |
Marathon Oil Corp. | 6.600% | 10/1/37 | 930 | 1,065 |
Marathon Oil Corp. | 5.200% | 6/1/45 | 1,250 | 1,256 |
Marathon Petroleum Corp. | 6.500% | 3/1/41 | 983 | 1,110 |
Marathon Petroleum Corp. | 4.750% | 9/15/44 | 1,169 | 1,094 |
Marathon Petroleum Corp. | 5.850% | 12/15/45 | 375 | 379 |
Marathon Petroleum Corp. | 5.000% | 9/15/54 | 850 | 761 |
MPLX LP | 4.125% | 3/1/27 | 1,300 | 1,311 |
MPLX LP | 5.200% | 3/1/47 | 1,600 | 1,634 |
National Oilwell Varco Inc. | 3.950% | 12/1/42 | 1,710 | 1,415 |
Noble Energy Inc. | 8.000% | 4/1/27 | 495 | 618 |
Noble Energy Inc. | 6.000% | 3/1/41 | 496 | 566 |
Noble Energy Inc. | 5.250% | 11/15/43 | 1,185 | 1,253 |
Noble Energy Inc. | 5.050% | 11/15/44 | 1,355 | 1,408 |
Occidental Petroleum Corp. | 4.625% | 6/15/45 | 764 | 808 |
Occidental Petroleum Corp. | 4.400% | 4/15/46 | 1,680 | 1,721 |
Occidental Petroleum Corp. | 4.100% | 2/15/47 | 1,040 | 1,022 |
ONEOK Partners LP | 6.650% | 10/1/36 | 589 | 687 |
ONEOK Partners LP | 6.850% | 10/15/37 | 560 | 663 |
ONEOK Partners LP | 6.125% | 2/1/41 | 471 | 536 |
ONEOK Partners LP | 6.200% | 9/15/43 | 1,209 | 1,395 |
Petro-Canada | 7.000% | 11/15/28 | 145 | 184 |
Petro-Canada | 5.350% | 7/15/33 | 545 | 607 |
Petro-Canada | 5.950% | 5/15/35 | 1,170 | 1,398 |
Petro-Canada | 6.800% | 5/15/38 | 810 | 1,058 |
Phillips 66 | 4.650% | 11/15/34 | 1,575 | 1,633 |
Phillips 66 | 5.875% | 5/1/42 | 1,716 | 2,011 |
Phillips 66 | 4.875% | 11/15/44 | 2,019 | 2,105 |
Phillips 66 Partners LP | 4.680% | 2/15/45 | 775 | 739 |
Phillips 66 Partners LP | 4.900% | 10/1/46 | 300 | 295 |
Pioneer Natural Resources Co. | 7.200% | 1/15/28 | 325 | 398 |
Plains All American Pipeline LP / PAA Finance Corp. | 6.700% | 5/15/36 | 415 | 460 |
Plains All American Pipeline LP / PAA Finance Corp. | 6.650% | 1/15/37 | 585 | 656 |
Plains All American Pipeline LP / PAA Finance Corp. | 5.150% | 6/1/42 | 745 | 717 |
Plains All American Pipeline LP / PAA Finance Corp. | 4.300% | 1/31/43 | 590 | 509 |
Plains All American Pipeline LP / PAA Finance Corp. | 4.700% | 6/15/44 | 1,255 | 1,154 |
Plains All American Pipeline LP / PAA Finance Corp. | 4.900% | 2/15/45 | 475 | 455 |
2 Sabine Pass Liquefaction LLC | 5.000% | 3/15/27 | 2,000 | 2,120 |
2 Sabine Pass Liquefaction LLC | 4.200% | 3/15/28 | 800 | 799 |
Shell International Finance BV | 4.125% | 5/11/35 | 2,379 | 2,434 |
Shell International Finance BV | 6.375% | 12/15/38 | 2,753 | 3,633 |
Shell International Finance BV | 5.500% | 3/25/40 | 1,329 | 1,581 |
Shell International Finance BV | 3.625% | 8/21/42 | 1,229 | 1,122 |
Shell International Finance BV | 4.550% | 8/12/43 | 2,925 | 3,066 |
Shell International Finance BV | 4.375% | 5/11/45 | 3,830 | 3,962 |
Shell International Finance BV | 4.000% | 5/10/46 | 2,580 | 2,521 |
Shell International Finance BV | 3.750% | 9/12/46 | 1,130 | 1,062 |
Southern Natural Gas Co. LLC | 8.000% | 3/1/32 | 320 | 416 |
Spectra Energy Capital LLC | 7.500% | 9/15/38 | 440 | 547 |
Spectra Energy Partners LP | 5.950% | 9/25/43 | 350 | 404 |
Spectra Energy Partners LP | 4.500% | 3/15/45 | 1,025 | 990 |
86
Vanguard® Long-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Suncor Energy Inc. | 7.150% | 2/1/32 | 715 | 936 |
Suncor Energy Inc. | 5.950% | 12/1/34 | 825 | 986 |
Suncor Energy Inc. | 6.500% | 6/15/38 | 1,530 | 1,952 |
Suncor Energy Inc. | 6.850% | 6/1/39 | 885 | 1,173 |
Sunoco Logistics Partners Operations LP | 6.100% | 2/15/42 | 675 | 728 |
Sunoco Logistics Partners Operations LP | 4.950% | 1/15/43 | 1,050 | 998 |
Sunoco Logistics Partners Operations LP | 5.300% | 4/1/44 | 700 | 707 |
Sunoco Logistics Partners Operations LP | 5.350% | 5/15/45 | 655 | 663 |
Tennessee Gas Pipeline Co. LLC | 7.000% | 3/15/27 | 560 | 666 |
Tennessee Gas Pipeline Co. LLC | 7.000% | 10/15/28 | 890 | 1,071 |
Tennessee Gas Pipeline Co. LLC | 7.625% | 4/1/37 | 621 | 760 |
Texas Eastern Transmission LP | 7.000% | 7/15/32 | 690 | 857 |
Tosco Corp. | 8.125% | 2/15/30 | 520 | 723 |
TransCanada PipeLines Ltd. | 4.625% | 3/1/34 | 1,970 | 2,119 |
TransCanada PipeLines Ltd. | 5.600% | 3/31/34 | 460 | 534 |
TransCanada PipeLines Ltd. | 5.850% | 3/15/36 | 1,025 | 1,252 |
TransCanada PipeLines Ltd. | 6.200% | 10/15/37 | 1,205 | 1,528 |
TransCanada PipeLines Ltd. | 7.250% | 8/15/38 | 1,080 | 1,502 |
TransCanada PipeLines Ltd. | 7.625% | 1/15/39 | 875 | 1,271 |
TransCanada PipeLines Ltd. | 6.100% | 6/1/40 | 995 | 1,247 |
TransCanada PipeLines Ltd. | 5.000% | 10/16/43 | 950 | 1,062 |
Transcontinental Gas Pipe Line Co. LLC | 5.400% | 8/15/41 | 400 | 426 |
Transcontinental Gas Pipe Line Co. LLC | 4.450% | 8/1/42 | 335 | 318 |
Valero Energy Corp. | 7.500% | 4/15/32 | 1,489 | 1,897 |
Valero Energy Corp. | 6.625% | 6/15/37 | 1,329 | 1,598 |
Valero Energy Corp. | 10.500% | 3/15/39 | 365 | 548 |
Valero Energy Corp. | 4.900% | 3/15/45 | 1,295 | 1,311 |
Western Gas Partners LP | 5.450% | 4/1/44 | 575 | 609 |
Williams Partners LP | 6.300% | 4/15/40 | 1,710 | 1,950 |
Williams Partners LP | 5.800% | 11/15/43 | 841 | 913 |
Williams Partners LP | 5.400% | 3/4/44 | 450 | 469 |
Williams Partners LP | 4.900% | 1/15/45 | 690 | 679 |
Williams Partners LP | 5.100% | 9/15/45 | 1,560 | 1,583 |
XTO Energy Inc. | 6.750% | 8/1/37 | 445 | 615 |
Other Industrial (0.5%) | ||||
California Institute of Technology GO | 4.321% | 8/1/45 | 405 | 434 |
California Institute of Technology GO | 4.700% | 11/1/11 | 568 | 549 |
Cintas Corp. No 2 | 6.150% | 8/15/36 | 259 | 304 |
Dartmouth College New Hampshire GO | 3.474% | 6/1/46 | 450 | 433 |
1 Duke University | 3.199% | 10/1/38 | 300 | 281 |
1 Duke University Revenue | 3.299% | 10/1/46 | 400 | 366 |
George Washington University District of Columbia GO | 3.545% | 9/15/46 | 275 | 246 |
1 Johns Hopkins University Maryland GO | 4.083% | 7/1/53 | 535 | 548 |
1 Massachusetts Institute of Technology GO | 3.959% | 7/1/38 | 650 | 690 |
Massachusetts Institute of Technology GO | 5.600% | 7/1/11 | 870 | 1,093 |
Massachusetts Institute of Technology GO | 4.678% | 7/1/14 | 725 | 763 |
Massachusetts Institute of Technology GO | 3.885% | 7/1/16 | 650 | 568 |
1 Northwestern University Illinois GO | 3.688% | 12/1/38 | 750 | 768 |
1 Northwestern University Illinois GO | 4.643% | 12/1/44 | 675 | 796 |
President & Fellows of Harvard College Massachusetts | ||||
GO | 3.619% | 10/1/37 | 436 | 437 |
President & Fellows of Harvard College Massachusetts | ||||
Revenue | 3.300% | 7/15/56 | 700 | 639 |
1 Rice University Texas GO | 3.574% | 5/15/45 | 850 | 832 |
1 University of Notre Dame DU LAC Indiana GO | 3.438% | 2/15/45 | 475 | 462 |
University of Pennsylvania GO | 4.674% | 9/1/12 | 425 | 435 |
1 University of Southern California GO | 3.028% | 10/1/39 | 385 | 349 |
Wesleyan University Connecticut GO | 4.781% | 7/1/16 | 300 | 290 |
Technology (6.5%) | ||||
Analog Devices Inc. | 4.500% | 12/5/36 | 300 | 301 |
Analog Devices Inc. | 5.300% | 12/15/45 | 400 | 445 |
Apple Inc. | 4.500% | 2/23/36 | 1,225 | 1,331 |
Apple Inc. | 3.850% | 5/4/43 | 4,295 | 4,123 |
87
Vanguard® Long-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Apple Inc. | 4.450% | 5/6/44 | 1,655 | 1,732 |
Apple Inc. | 3.450% | 2/9/45 | 2,754 | 2,474 |
Apple Inc. | 4.375% | 5/13/45 | 2,615 | 2,694 |
Apple Inc. | 4.650% | 2/23/46 | 5,470 | 5,947 |
Apple Inc. | 3.850% | 8/4/46 | 2,725 | 2,609 |
Apple Inc. | 4.250% | 2/9/47 | 1,750 | 1,795 |
Applied Materials Inc. | 5.100% | 10/1/35 | 730 | 826 |
Applied Materials Inc. | 5.850% | 6/15/41 | 715 | 878 |
Cisco Systems Inc. | 5.900% | 2/15/39 | 2,412 | 3,089 |
Cisco Systems Inc. | 5.500% | 1/15/40 | 2,840 | 3,518 |
Corning Inc. | 7.250% | 8/15/36 | 260 | 314 |
Corning Inc. | 4.700% | 3/15/37 | 250 | 253 |
Corning Inc. | 5.750% | 8/15/40 | 670 | 758 |
Corning Inc. | 4.750% | 3/15/42 | 255 | 256 |
2 Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 8.100% | 7/15/36 | 2,165 | 2,733 |
2 Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 8.350% | 7/15/46 | 2,775 | 3,618 |
Equifax Inc. | 7.000% | 7/1/37 | 200 | 253 |
Fidelity National Information Services Inc. | 4.500% | 8/15/46 | 900 | 875 |
Hewlett Packard Enterprise Co. | 6.200% | 10/15/35 | 1,325 | 1,406 |
Hewlett Packard Enterprise Co. | 6.350% | 10/15/45 | 1,925 | 2,024 |
HP Enterprise Services LLC | 7.450% | 10/15/29 | 260 | 314 |
HP Inc. | 6.000% | 9/15/41 | 1,360 | 1,397 |
Intel Corp. | 4.000% | 12/15/32 | 798 | 836 |
Intel Corp. | 4.800% | 10/1/41 | 1,189 | 1,329 |
Intel Corp. | 4.250% | 12/15/42 | 1,745 | 1,797 |
Intel Corp. | 4.900% | 7/29/45 | 2,641 | 3,007 |
Intel Corp. | 4.100% | 5/19/46 | 1,757 | 1,772 |
International Business Machines Corp. | 6.220% | 8/1/27 | 672 | 843 |
International Business Machines Corp. | 6.500% | 1/15/28 | 350 | 447 |
International Business Machines Corp. | 5.875% | 11/29/32 | 805 | 1,020 |
International Business Machines Corp. | 5.600% | 11/30/39 | 669 | 821 |
International Business Machines Corp. | 4.000% | 6/20/42 | 2,340 | 2,336 |
International Business Machines Corp. | 4.700% | 2/19/46 | 850 | 940 |
Juniper Networks Inc. | 5.950% | 3/15/41 | 400 | 432 |
KLA-Tencor Corp. | 5.650% | 11/1/34 | 362 | 388 |
Microsoft Corp. | 3.500% | 2/12/35 | 2,425 | 2,331 |
Microsoft Corp. | 4.200% | 11/3/35 | 640 | 676 |
Microsoft Corp. | 3.450% | 8/8/36 | 3,550 | 3,399 |
Microsoft Corp. | 4.100% | 2/6/37 | 3,800 | 3,936 |
Microsoft Corp. | 5.200% | 6/1/39 | 685 | 800 |
Microsoft Corp. | 4.500% | 10/1/40 | 1,250 | 1,345 |
Microsoft Corp. | 5.300% | 2/8/41 | 1,000 | 1,199 |
Microsoft Corp. | 3.500% | 11/15/42 | 1,055 | 971 |
Microsoft Corp. | 3.750% | 5/1/43 | 1,401 | 1,335 |
Microsoft Corp. | 4.875% | 12/15/43 | 900 | 1,008 |
Microsoft Corp. | 3.750% | 2/12/45 | 3,125 | 2,994 |
Microsoft Corp. | 4.450% | 11/3/45 | 3,940 | 4,184 |
Microsoft Corp. | 3.700% | 8/8/46 | 5,735 | 5,390 |
Microsoft Corp. | 4.250% | 2/6/47 | 4,950 | 5,128 |
Microsoft Corp. | 4.000% | 2/12/55 | 2,489 | 2,367 |
Microsoft Corp. | 4.750% | 11/3/55 | 1,735 | 1,881 |
Microsoft Corp. | 3.950% | 8/8/56 | 1,800 | 1,703 |
Microsoft Corp. | 4.500% | 2/6/57 | 2,700 | 2,807 |
Motorola Solutions Inc. | 5.500% | 9/1/44 | 536 | 522 |
Oracle Corp. | 3.250% | 5/15/30 | 425 | 424 |
Oracle Corp. | 4.300% | 7/8/34 | 2,688 | 2,840 |
Oracle Corp. | 3.900% | 5/15/35 | 1,325 | 1,325 |
Oracle Corp. | 3.850% | 7/15/36 | 1,950 | 1,936 |
Oracle Corp. | 6.500% | 4/15/38 | 1,845 | 2,426 |
Oracle Corp. | 6.125% | 7/8/39 | 2,006 | 2,555 |
Oracle Corp. | 5.375% | 7/15/40 | 3,076 | 3,620 |
Oracle Corp. | 4.500% | 7/8/44 | 1,070 | 1,122 |
Oracle Corp. | 4.125% | 5/15/45 | 2,483 | 2,460 |
Oracle Corp. | 4.000% | 7/15/46 | 4,090 | 3,985 |
88
Vanguard® Long-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Oracle Corp. | 4.375% | 5/15/55 | 1,025 | 1,024 |
QUALCOMM Inc. | 4.650% | 5/20/35 | 1,615 | 1,696 |
QUALCOMM Inc. | 4.800% | 5/20/45 | 1,963 | 2,066 |
Seagate HDD Cayman | 4.875% | 6/1/27 | 925 | 864 |
Seagate HDD Cayman | 5.750% | 12/1/34 | 625 | 559 |
Tyco Electronics Group SA | 7.125% | 10/1/37 | 670 | 884 |
Verisk Analytics Inc. | 5.500% | 6/15/45 | 700 | 775 |
Xerox Corp. | 6.750% | 12/15/39 | 342 | 351 |
Transportation (3.6%) | ||||
1 American Airlines 2015-1 Class A Pass Through Trust | 3.375% | 11/1/28 | 962 | 950 |
1 American Airlines 2015-2 Class AA Pass Through Trust | 3.600% | 9/22/27 | 610 | 613 |
1 American Airlines 2016-1 Class A Pass Through Trust | 4.100% | 1/15/28 | 292 | 298 |
1 American Airlines 2016-1 Class AA Pass Through Trust | 3.575% | 1/15/28 | 658 | 661 |
1 American Airlines 2016-2 Class A Pass Through Trust | 3.650% | 6/15/28 | 300 | 299 |
1 American Airlines 2016-2 Class AA Pass Through Trust | 3.200% | 12/15/29 | 1,150 | 1,117 |
1 American Airlines 2016-3 Class A Pass Through Trust | 3.250% | 4/15/30 | 275 | 265 |
American Airlines 2016-3 Class AA Pass Through Trust | 3.000% | 10/15/28 | 950 | 913 |
1 American Airlines 2017-1 Class AA Pass Through Trust | 3.650% | 2/15/29 | 300 | 304 |
Burlington Northern Santa Fe LLC | 7.950% | 8/15/30 | 295 | 422 |
Burlington Northern Santa Fe LLC | 6.200% | 8/15/36 | 870 | 1,128 |
Burlington Northern Santa Fe LLC | 5.750% | 5/1/40 | 924 | 1,144 |
Burlington Northern Santa Fe LLC | 5.050% | 3/1/41 | 756 | 861 |
Burlington Northern Santa Fe LLC | 5.400% | 6/1/41 | 795 | 949 |
Burlington Northern Santa Fe LLC | 4.950% | 9/15/41 | 300 | 338 |
Burlington Northern Santa Fe LLC | 4.400% | 3/15/42 | 786 | 828 |
Burlington Northern Santa Fe LLC | 4.375% | 9/1/42 | 690 | 726 |
Burlington Northern Santa Fe LLC | 4.450% | 3/15/43 | 1,312 | 1,391 |
Burlington Northern Santa Fe LLC | 5.150% | 9/1/43 | 825 | 961 |
Burlington Northern Santa Fe LLC | 4.900% | 4/1/44 | 1,705 | 1,929 |
Burlington Northern Santa Fe LLC | 4.550% | 9/1/44 | 1,365 | 1,473 |
Burlington Northern Santa Fe LLC | 4.150% | 4/1/45 | 1,295 | 1,316 |
Burlington Northern Santa Fe LLC | 4.700% | 9/1/45 | 1,450 | 1,606 |
Burlington Northern Santa Fe LLC | 3.900% | 8/1/46 | 700 | 690 |
Canadian National Railway Co. | 6.900% | 7/15/28 | 621 | 831 |
Canadian National Railway Co. | 6.250% | 8/1/34 | 625 | 814 |
Canadian National Railway Co. | 6.200% | 6/1/36 | 630 | 826 |
Canadian National Railway Co. | 6.375% | 11/15/37 | 771 | 1,034 |
Canadian National Railway Co. | 3.500% | 11/15/42 | 585 | 538 |
Canadian National Railway Co. | 4.500% | 11/7/43 | 200 | 218 |
Canadian National Railway Co. | 3.200% | 8/2/46 | 770 | 689 |
Canadian Pacific Railway Co. | 7.125% | 10/15/31 | 541 | 740 |
Canadian Pacific Railway Co. | 5.750% | 3/15/33 | 170 | 198 |
Canadian Pacific Railway Co. | 4.800% | 9/15/35 | 405 | 448 |
Canadian Pacific Railway Co. | 5.950% | 5/15/37 | 765 | 944 |
Canadian Pacific Railway Co. | 5.750% | 1/15/42 | 300 | 363 |
Canadian Pacific Railway Co. | 4.800% | 8/1/45 | 650 | 713 |
Canadian Pacific Railway Co. | 6.125% | 9/15/15 | 980 | 1,188 |
CSX Corp. | 6.000% | 10/1/36 | 548 | 670 |
CSX Corp. | 6.150% | 5/1/37 | 988 | 1,228 |
CSX Corp. | 6.220% | 4/30/40 | 985 | 1,232 |
CSX Corp. | 5.500% | 4/15/41 | 596 | 696 |
CSX Corp. | 4.750% | 5/30/42 | 865 | 922 |
CSX Corp. | 4.400% | 3/1/43 | 500 | 509 |
CSX Corp. | 4.100% | 3/15/44 | 1,762 | 1,708 |
CSX Corp. | 3.800% | 11/1/46 | 806 | 749 |
CSX Corp. | 3.950% | 5/1/50 | 650 | 600 |
CSX Corp. | 4.500% | 8/1/54 | 626 | 621 |
CSX Corp. | 4.250% | 11/1/66 | 780 | 714 |
1 Delta Air Lines 2015-1 Class AA Pass Through Trust | 3.625% | 7/30/27 | 351 | 357 |
FedEx Corp. | 4.900% | 1/15/34 | 1,180 | 1,276 |
FedEx Corp. | 3.900% | 2/1/35 | 509 | 493 |
FedEx Corp. | 3.875% | 8/1/42 | 581 | 533 |
FedEx Corp. | 4.100% | 4/15/43 | 661 | 632 |
89
Vanguard® Long-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
FedEx Corp. | 5.100% | 1/15/44 | 961 | 1,044 |
FedEx Corp. | 4.100% | 2/1/45 | 672 | 638 |
FedEx Corp. | 4.750% | 11/15/45 | 1,665 | 1,748 |
FedEx Corp. | 4.550% | 4/1/46 | 1,060 | 1,086 |
FedEx Corp. | 4.400% | 1/15/47 | 950 | 947 |
FedEx Corp. | 4.500% | 2/1/65 | 384 | 359 |
Kansas City Southern | 4.300% | 5/15/43 | 575 | 543 |
Kansas City Southern | 4.950% | 8/15/45 | 796 | 811 |
1 Latam Airlines 2015-1 Pass Through Trust A | 4.200% | 8/15/29 | 1,010 | 1,009 |
Norfolk Southern Corp. | 7.800% | 5/15/27 | 450 | 604 |
Norfolk Southern Corp. | 7.250% | 2/15/31 | 530 | 717 |
Norfolk Southern Corp. | 7.050% | 5/1/37 | 255 | 343 |
Norfolk Southern Corp. | 4.837% | 10/1/41 | 892 | 993 |
Norfolk Southern Corp. | 3.950% | 10/1/42 | 660 | 649 |
Norfolk Southern Corp. | 4.800% | 8/15/43 | 611 | 677 |
Norfolk Southern Corp. | 4.450% | 6/15/45 | 529 | 560 |
Norfolk Southern Corp. | 4.650% | 1/15/46 | 845 | 929 |
Norfolk Southern Corp. | 7.900% | 5/15/97 | 270 | 392 |
Norfolk Southern Corp. | 6.000% | 3/15/05 | 813 | 960 |
norfolk southern corp. | 6.000% | 5/23/11 | 720 | 862 |
1 spirit airlines class a pass through certificates series | ||||
2015-1 | 4.100% | 10/1/29 | 613 | 626 |
union pacific corp. | 3.375% | 2/1/35 | 371 | 362 |
Union Pacific Corp. | 4.300% | 6/15/42 | 543 | 570 |
Union Pacific Corp. | 4.250% | 4/15/43 | 350 | 365 |
Union Pacific Corp. | 4.150% | 1/15/45 | 325 | 334 |
Union Pacific Corp. | 4.050% | 11/15/45 | 725 | 736 |
Union Pacific Corp. | 4.050% | 3/1/46 | 900 | 926 |
Union Pacific Corp. | 3.350% | 8/15/46 | 369 | 335 |
Union Pacific Corp. | 3.799% | 10/1/51 | 3,453 | 3,310 |
Union Pacific Corp. | 3.875% | 2/1/55 | 790 | 736 |
Union Pacific Corp. | 4.375% | 11/15/65 | 480 | 485 |
1 United Airlines 2015-1 Class AA Pass Through Trust | 3.450% | 12/1/27 | 439 | 440 |
1 United Airlines 2016-1 Class A Pass Through Trust | 3.450% | 1/7/30 | 450 | 446 |
1 United Airlines 2016-1 Class AA Pass Through Trust | 3.100% | 7/7/28 | 950 | 932 |
1 United Airlines 2016-2 Class A Pass Through Trust | 3.100% | 10/7/28 | 475 | 464 |
1 United Airlines 2016-2 Class AA Pass Through Trust | 2.875% | 10/7/28 | 850 | 816 |
United Parcel Service Inc. | 6.200% | 1/15/38 | 2,262 | 3,004 |
United Parcel Service Inc. | 4.875% | 11/15/40 | 615 | 701 |
United Parcel Service Inc. | 3.625% | 10/1/42 | 265 | 255 |
United Parcel Service Inc. | 3.400% | 11/15/46 | 325 | 300 |
United Parcel Service of America Inc. | 8.375% | 4/1/30 | 325 | 463 |
1,426,271 | ||||
Utilities (12.6%) | ||||
Electric (11.6%) | ||||
AEP Texas Central Co. | 6.650% | 2/15/33 | 425 | 531 |
2 AEP Transmission Co. LLC | 4.000% | 12/1/46 | 760 | 772 |
Alabama Power Co. | 6.125% | 5/15/38 | 490 | 617 |
Alabama Power Co. | 6.000% | 3/1/39 | 575 | 727 |
Alabama Power Co. | 5.500% | 3/15/41 | 320 | 384 |
Alabama Power Co. | 5.200% | 6/1/41 | 396 | 461 |
Alabama Power Co. | 4.100% | 1/15/42 | 260 | 259 |
Alabama Power Co. | 3.850% | 12/1/42 | 425 | 415 |
Alabama Power Co. | 4.150% | 8/15/44 | 400 | 410 |
Alabama Power Co. | 3.750% | 3/1/45 | 600 | 578 |
Alabama Power Co. | 4.300% | 1/2/46 | 1,162 | 1,219 |
Ameren Illinois Co. | 4.800% | 12/15/43 | 500 | 559 |
Ameren Illinois Co. | 4.300% | 7/1/44 | 220 | 233 |
Ameren Illinois Co. | 4.150% | 3/15/46 | 455 | 474 |
Appalachian Power Co. | 5.800% | 10/1/35 | 220 | 260 |
Appalachian Power Co. | 6.375% | 4/1/36 | 455 | 566 |
Appalachian Power Co. | 6.700% | 8/15/37 | 510 | 667 |
Appalachian Power Co. | 7.000% | 4/1/38 | 540 | 736 |
90
Vanguard® Long-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Appalachian Power Co. | 4.400% | 5/15/44 | 285 | 298 |
Appalachian Power Co. | 4.450% | 6/1/45 | 625 | 661 |
Arizona Public Service Co. | 5.500% | 9/1/35 | 482 | 571 |
Arizona Public Service Co. | 5.050% | 9/1/41 | 330 | 375 |
Arizona Public Service Co. | 4.500% | 4/1/42 | 323 | 345 |
Arizona Public Service Co. | 4.700% | 1/15/44 | 395 | 426 |
Arizona Public Service Co. | 4.350% | 11/15/45 | 150 | 155 |
Arizona Public Service Co. | 3.750% | 5/15/46 | 705 | 671 |
Baltimore Gas & Electric Co. | 6.350% | 10/1/36 | 448 | 581 |
Baltimore Gas & Electric Co. | 3.500% | 8/15/46 | 650 | 606 |
Berkshire Hathaway Energy Co. | 8.480% | 9/15/28 | 378 | 551 |
Berkshire Hathaway Energy Co. | 6.125% | 4/1/36 | 1,785 | 2,254 |
Berkshire Hathaway Energy Co. | 5.950% | 5/15/37 | 946 | 1,174 |
Berkshire Hathaway Energy Co. | 6.500% | 9/15/37 | 1,292 | 1,694 |
Berkshire Hathaway Energy Co. | 5.150% | 11/15/43 | 895 | 1,020 |
Berkshire Hathaway Energy Co. | 4.500% | 2/1/45 | 1,000 | 1,048 |
Black Hills Corp. | 4.200% | 9/15/46 | 450 | 434 |
CenterPoint Energy Houston Electric LLC | 6.950% | 3/15/33 | 450 | 605 |
CenterPoint Energy Houston Electric LLC | 3.550% | 8/1/42 | 730 | 705 |
CenterPoint Energy Houston Electric LLC | 4.500% | 4/1/44 | 696 | 775 |
2 Cleco Corporate Holdings LLC | 4.973% | 5/1/46 | 425 | 444 |
Cleco Power LLC | 6.500% | 12/1/35 | 417 | 525 |
Cleco Power LLC | 6.000% | 12/1/40 | 660 | 810 |
Cleveland Electric Illuminating Co. | 5.950% | 12/15/36 | 280 | 316 |
CMS Energy Corp. | 3.450% | 8/15/27 | 625 | 623 |
CMS Energy Corp. | 4.700% | 3/31/43 | 290 | 302 |
CMS Energy Corp. | 4.875% | 3/1/44 | 384 | 417 |
Commonwealth Edison Co. | 5.875% | 2/1/33 | 435 | 528 |
Commonwealth Edison Co. | 5.900% | 3/15/36 | 945 | 1,175 |
Commonwealth Edison Co. | 6.450% | 1/15/38 | 632 | 845 |
Commonwealth Edison Co. | 3.800% | 10/1/42 | 370 | 361 |
Commonwealth Edison Co. | 4.600% | 8/15/43 | 1,000 | 1,092 |
Commonwealth Edison Co. | 4.700% | 1/15/44 | 557 | 621 |
Commonwealth Edison Co. | 3.700% | 3/1/45 | 445 | 423 |
Commonwealth Edison Co. | 4.350% | 11/15/45 | 775 | 818 |
Commonwealth Edison Co. | 3.650% | 6/15/46 | 525 | 501 |
Connecticut Light & Power Co. | 6.350% | 6/1/36 | 351 | 451 |
Connecticut Light & Power Co. | 4.300% | 4/15/44 | 840 | 869 |
Connecticut Light & Power Co. | 4.150% | 6/1/45 | 450 | 467 |
Consolidated Edison Co. of New York Inc. | 5.300% | 3/1/35 | 745 | 864 |
Consolidated Edison Co. of New York Inc. | 5.850% | 3/15/36 | 250 | 308 |
Consolidated Edison Co. of New York Inc. | 6.200% | 6/15/36 | 276 | 351 |
Consolidated Edison Co. of New York Inc. | 5.700% | 12/1/36 | 483 | 579 |
Consolidated Edison Co. of New York Inc. | 6.300% | 8/15/37 | 1,330 | 1,727 |
Consolidated Edison Co. of New York Inc. | 6.750% | 4/1/38 | 575 | 785 |
Consolidated Edison Co. of New York Inc. | 5.500% | 12/1/39 | 425 | 510 |
Consolidated Edison Co. of New York Inc. | 5.700% | 6/15/40 | 475 | 582 |
Consolidated Edison Co. of New York Inc. | 4.200% | 3/15/42 | 375 | 383 |
Consolidated Edison Co. of New York Inc. | 3.950% | 3/1/43 | 1,157 | 1,149 |
Consolidated Edison Co. of New York Inc. | 4.450% | 3/15/44 | 1,175 | 1,256 |
Consolidated Edison Co. of New York Inc. | 4.500% | 12/1/45 | 720 | 774 |
Consolidated Edison Co. of New York Inc. | 3.850% | 6/15/46 | 960 | 938 |
Consolidated Edison Co. of New York Inc. | 4.625% | 12/1/54 | 710 | 764 |
Consolidated Edison Co. of New York Inc. | 4.300% | 12/1/56 | 850 | 864 |
Constellation Energy Group Inc. | 7.600% | 4/1/32 | 250 | 331 |
Consumers Energy Co. | 3.950% | 5/15/43 | 420 | 429 |
Consumers Energy Co. | 4.100% | 11/15/45 | 290 | 298 |
Consumers Energy Co. | 3.250% | 8/15/46 | 175 | 158 |
Consumers Energy Co. | 3.950% | 7/15/47 | 900 | 917 |
Consumers Energy Co. | 4.350% | 8/31/64 | 330 | 335 |
Delmarva Power & Light Co. | 4.000% | 6/1/42 | 445 | 440 |
Delmarva Power & Light Co. | 4.150% | 5/15/45 | 500 | 520 |
Dominion Resources Inc. | 6.300% | 3/15/33 | 470 | 568 |
Dominion Resources Inc. | 5.250% | 8/1/33 | 512 | 560 |
91
Vanguard® Long-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Dominion Resources Inc. | 5.950% | 6/15/35 | 855 | 1,020 |
Dominion Resources Inc. | 7.000% | 6/15/38 | 575 | 745 |
Dominion Resources Inc. | 4.900% | 8/1/41 | 880 | 950 |
Dominion Resources Inc. | 4.050% | 9/15/42 | 405 | 386 |
Dominion Resources Inc. | 4.700% | 12/1/44 | 1,071 | 1,118 |
DTE Electric Co. | 6.625% | 6/1/36 | 354 | 472 |
DTE Electric Co. | 5.700% | 10/1/37 | 250 | 308 |
DTE Electric Co. | 3.950% | 6/15/42 | 930 | 931 |
DTE Electric Co. | 4.000% | 4/1/43 | 625 | 638 |
DTE Electric Co. | 4.300% | 7/1/44 | 478 | 507 |
DTE Electric Co. | 3.700% | 3/15/45 | 450 | 438 |
DTE Electric Co. | 3.700% | 6/1/46 | 425 | 414 |
DTE Energy Co. | 6.375% | 4/15/33 | 420 | 519 |
Duke Energy Carolinas LLC | 6.000% | 12/1/28 | 435 | 541 |
Duke Energy Carolinas LLC | 6.450% | 10/15/32 | 463 | 604 |
Duke Energy Carolinas LLC | 6.100% | 6/1/37 | 670 | 844 |
Duke Energy Carolinas LLC | 6.000% | 1/15/38 | 710 | 901 |
Duke Energy Carolinas LLC | 6.050% | 4/15/38 | 816 | 1,051 |
Duke Energy Carolinas LLC | 5.300% | 2/15/40 | 765 | 924 |
Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 713 | 745 |
Duke Energy Carolinas LLC | 4.000% | 9/30/42 | 785 | 791 |
Duke Energy Carolinas LLC | 3.750% | 6/1/45 | 655 | 634 |
Duke Energy Carolinas LLC | 3.875% | 3/15/46 | 955 | 951 |
Duke Energy Corp. | 4.800% | 12/15/45 | 650 | 699 |
Duke Energy Corp. | 3.750% | 9/1/46 | 2,260 | 2,081 |
Duke Energy Florida LLC | 6.350% | 9/15/37 | 700 | 933 |
Duke Energy Florida LLC | 6.400% | 6/15/38 | 1,251 | 1,676 |
Duke Energy Florida LLC | 5.650% | 4/1/40 | 275 | 339 |
Duke Energy Florida LLC | 3.850% | 11/15/42 | 415 | 407 |
Duke Energy Florida LLC | 3.400% | 10/1/46 | 930 | 852 |
1 Duke Energy Florida Project Finance LLC | 2.538% | 9/1/29 | 1,200 | 1,143 |
1 Duke Energy Florida Project Finance LLC | 2.858% | 3/1/33 | 300 | 281 |
1 Duke Energy Florida Project Finance LLC | 3.112% | 9/1/36 | 225 | 208 |
Duke Energy Indiana LLC | 6.120% | 10/15/35 | 523 | 639 |
Duke Energy Indiana LLC | 6.350% | 8/15/38 | 441 | 583 |
Duke Energy Indiana LLC | 6.450% | 4/1/39 | 618 | 826 |
Duke Energy Indiana LLC | 4.200% | 3/15/42 | 280 | 287 |
Duke Energy Indiana LLC | 4.900% | 7/15/43 | 365 | 414 |
Duke Energy Indiana LLC | 3.750% | 5/15/46 | 560 | 539 |
Duke Energy Ohio Inc. | 3.700% | 6/15/46 | 530 | 503 |
Duke Energy Progress LLC | 6.300% | 4/1/38 | 340 | 445 |
Duke Energy Progress LLC | 4.100% | 5/15/42 | 843 | 860 |
Duke Energy Progress LLC | 4.100% | 3/15/43 | 560 | 573 |
Duke Energy Progress LLC | 4.375% | 3/30/44 | 620 | 658 |
Duke Energy Progress LLC | 4.150% | 12/1/44 | 1,005 | 1,037 |
Duke Energy Progress LLC | 4.200% | 8/15/45 | 500 | 520 |
Duke Energy Progress LLC | 3.700% | 10/15/46 | 815 | 785 |
El Paso Electric Co. | 6.000% | 5/15/35 | 530 | 616 |
El Paso Electric Co. | 5.000% | 12/1/44 | 350 | 364 |
Emera US Finance LP | 4.750% | 6/15/46 | 1,650 | 1,699 |
Entergy Louisiana LLC | 3.250% | 4/1/28 | 875 | 872 |
Entergy Louisiana LLC | 3.050% | 6/1/31 | 575 | 549 |
Entergy Louisiana LLC | 4.950% | 1/15/45 | 750 | 776 |
Entergy Mississippi Inc. | 2.850% | 6/1/28 | 900 | 862 |
Entergy Texas Inc. | 5.150% | 6/1/45 | 430 | 446 |
Exelon Corp. | 4.950% | 6/15/35 | 425 | 457 |
Exelon Corp. | 5.625% | 6/15/35 | 950 | 1,094 |
Exelon Corp. | 5.100% | 6/15/45 | 1,235 | 1,357 |
Exelon Corp. | 4.450% | 4/15/46 | 1,475 | 1,482 |
Exelon Generation Co. LLC | 6.250% | 10/1/39 | 850 | 886 |
Exelon Generation Co. LLC | 5.750% | 10/1/41 | 350 | 340 |
Exelon Generation Co. LLC | 5.600% | 6/15/42 | 1,486 | 1,403 |
FirstEnergy Corp. | 7.375% | 11/15/31 | 1,150 | 1,513 |
Florida Power & Light Co. | 5.950% | 10/1/33 | 300 | 378 |
92
Vanguard® Long-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Florida Power & Light Co. | 5.625% | 4/1/34 | 525 | 642 |
Florida Power & Light Co. | 4.950% | 6/1/35 | 135 | 155 |
Florida Power & Light Co. | 5.650% | 2/1/37 | 502 | 620 |
Florida Power & Light Co. | 5.950% | 2/1/38 | 710 | 917 |
Florida Power & Light Co. | 5.960% | 4/1/39 | 620 | 801 |
Florida Power & Light Co. | 5.690% | 3/1/40 | 825 | 1,046 |
Florida Power & Light Co. | 5.250% | 2/1/41 | 260 | 312 |
Florida Power & Light Co. | 5.125% | 6/1/41 | 275 | 320 |
Florida Power & Light Co. | 4.125% | 2/1/42 | 1,652 | 1,721 |
Florida Power & Light Co. | 4.050% | 6/1/42 | 1,005 | 1,040 |
Florida Power & Light Co. | 3.800% | 12/15/42 | 700 | 696 |
Florida Power & Light Co. | 4.050% | 10/1/44 | 188 | 195 |
Georgia Power Co. | 3.250% | 3/30/27 | 1,000 | 999 |
Georgia Power Co. | 5.650% | 3/1/37 | 635 | 742 |
Georgia Power Co. | 5.950% | 2/1/39 | 685 | 841 |
Georgia Power Co. | 5.400% | 6/1/40 | 305 | 353 |
Georgia Power Co. | 4.750% | 9/1/40 | 531 | 575 |
Georgia Power Co. | 4.300% | 3/15/42 | 1,645 | 1,680 |
Georgia Power Co. | 4.300% | 3/15/43 | 330 | 339 |
Iberdrola International BV | 6.750% | 7/15/36 | 466 | 585 |
Indiana Michigan Power Co. | 6.050% | 3/15/37 | 715 | 883 |
Indiana Michigan Power Co. | 4.550% | 3/15/46 | 300 | 321 |
Interstate Power & Light Co. | 6.250% | 7/15/39 | 440 | 564 |
Interstate Power & Light Co. | 3.700% | 9/15/46 | 520 | 487 |
ITC Holdings Corp. | 5.300% | 7/1/43 | 310 | 349 |
Jersey Central Power & Light Co. | 6.150% | 6/1/37 | 895 | 1,036 |
1 John Sevier Combined Cycle Generation LLC | 4.626% | 1/15/42 | 883 | 949 |
Kansas City Power & Light Co. | 6.050% | 11/15/35 | 250 | 305 |
Kansas City Power & Light Co. | 5.300% | 10/1/41 | 410 | 443 |
Kentucky Utilities Co. | 5.125% | 11/1/40 | 750 | 883 |
Kentucky Utilities Co. | 4.650% | 11/15/43 | 410 | 456 |
Kentucky Utilities Co. | 4.375% | 10/1/45 | 100 | 105 |
Louisville Gas & Electric Co. | 5.125% | 11/15/40 | 541 | 624 |
Louisville Gas & Electric Co. | 4.650% | 11/15/43 | 225 | 247 |
Louisville Gas & Electric Co. | 4.375% | 10/1/45 | 525 | 552 |
MidAmerican Energy Co. | 3.100% | 5/1/27 | 400 | 401 |
MidAmerican Energy Co. | 6.750% | 12/30/31 | 1,040 | 1,422 |
MidAmerican Energy Co. | 5.750% | 11/1/35 | 610 | 754 |
MidAmerican Energy Co. | 5.800% | 10/15/36 | 210 | 260 |
MidAmerican Energy Co. | 4.800% | 9/15/43 | 850 | 959 |
MidAmerican Energy Co. | 4.400% | 10/15/44 | 350 | 377 |
MidAmerican Energy Co. | 4.250% | 5/1/46 | 650 | 686 |
MidAmerican Energy Co. | 3.950% | 8/1/47 | 250 | 252 |
MidAmerican Funding LLC | 6.927% | 3/1/29 | 250 | 331 |
Mississippi Power Co. | 4.250% | 3/15/42 | 405 | 356 |
National Rural Utilities Cooperative Finance Corp. | 8.000% | 3/1/32 | 600 | 858 |
National Rural Utilities Cooperative Finance Corp. | 4.023% | 11/1/32 | 614 | 645 |
Nevada Power Co. | 6.650% | 4/1/36 | 950 | 1,277 |
Nevada Power Co. | 6.750% | 7/1/37 | 470 | 630 |
Nevada Power Co. | 5.375% | 9/15/40 | 435 | 502 |
Nevada Power Co. | 5.450% | 5/15/41 | 291 | 345 |
Northern States Power Co. | 5.250% | 7/15/35 | 240 | 280 |
Northern States Power Co. | 6.250% | 6/1/36 | 260 | 340 |
Northern States Power Co. | 6.200% | 7/1/37 | 811 | 1,061 |
Northern States Power Co. | 5.350% | 11/1/39 | 225 | 272 |
Northern States Power Co. | 4.850% | 8/15/40 | 455 | 513 |
Northern States Power Co. | 3.400% | 8/15/42 | 1,330 | 1,241 |
Northern States Power Co. | 4.125% | 5/15/44 | 400 | 415 |
Northern States Power Co. | 4.000% | 8/15/45 | 450 | 456 |
Northern States Power Co. | 3.600% | 5/15/46 | 595 | 564 |
NorthWestern Corp. | 4.176% | 11/15/44 | 545 | 543 |
NSTAR Electric Co. | 5.500% | 3/15/40 | 210 | 253 |
NSTAR Electric Co. | 4.400% | 3/1/44 | 265 | 286 |
Oglethorpe Power Corp. | 5.950% | 11/1/39 | 365 | 439 |
93
Vanguard® Long-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Oglethorpe Power Corp. | 5.375% | 11/1/40 | 601 | 684 |
Oglethorpe Power Corp. | 4.200% | 12/1/42 | 365 | 352 |
Oglethorpe Power Corp. | 4.550% | 6/1/44 | 498 | 502 |
Oglethorpe Power Corp. | 4.250% | 4/1/46 | 475 | 456 |
Oglethorpe Power Corp. | 5.250% | 9/1/50 | 235 | 256 |
Ohio Edison Co. | 6.875% | 7/15/36 | 1,170 | 1,523 |
Ohio Edison Co. | 8.250% | 10/15/38 | 275 | 402 |
Ohio Power Co. | 6.600% | 2/15/33 | 450 | 565 |
Ohio Power Co. | 5.850% | 10/1/35 | 321 | 382 |
Oklahoma Gas & Electric Co. | 5.850% | 6/1/40 | 210 | 258 |
Oklahoma Gas & Electric Co. | 5.250% | 5/15/41 | 325 | 374 |
Oklahoma Gas & Electric Co. | 3.900% | 5/1/43 | 350 | 335 |
Oklahoma Gas & Electric Co. | 4.550% | 3/15/44 | 345 | 364 |
Oklahoma Gas & Electric Co. | 4.000% | 12/15/44 | 431 | 421 |
Oncor Electric Delivery Co. LLC | 7.000% | 5/1/32 | 599 | 820 |
Oncor Electric Delivery Co. LLC | 7.250% | 1/15/33 | 505 | 706 |
Oncor Electric Delivery Co. LLC | 7.500% | 9/1/38 | 425 | 621 |
Oncor Electric Delivery Co. LLC | 5.250% | 9/30/40 | 555 | 660 |
Oncor Electric Delivery Co. LLC | 4.550% | 12/1/41 | 605 | 652 |
Oncor Electric Delivery Co. LLC | 5.300% | 6/1/42 | 640 | 766 |
Oncor Electric Delivery Co. LLC | 3.750% | 4/1/45 | 455 | 439 |
Pacific Gas & Electric Co. | 6.050% | 3/1/34 | 4,195 | 5,313 |
Pacific Gas & Electric Co. | 5.800% | 3/1/37 | 1,550 | 1,923 |
Pacific Gas & Electric Co. | 6.350% | 2/15/38 | 369 | 486 |
Pacific Gas & Electric Co. | 6.250% | 3/1/39 | 690 | 905 |
Pacific Gas & Electric Co. | 5.400% | 1/15/40 | 285 | 343 |
Pacific Gas & Electric Co. | 4.500% | 12/15/41 | 245 | 260 |
Pacific Gas & Electric Co. | 4.450% | 4/15/42 | 450 | 477 |
Pacific Gas & Electric Co. | 3.750% | 8/15/42 | 80 | 77 |
Pacific Gas & Electric Co. | 4.600% | 6/15/43 | 949 | 1,026 |
Pacific Gas & Electric Co. | 5.125% | 11/15/43 | 622 | 724 |
Pacific Gas & Electric Co. | 4.750% | 2/15/44 | 1,315 | 1,456 |
Pacific Gas & Electric Co. | 4.300% | 3/15/45 | 670 | 695 |
Pacific Gas & Electric Co. | 4.250% | 3/15/46 | 820 | 843 |
Pacific Gas & Electric Co. | 4.000% | 12/1/46 | 900 | 904 |
PacifiCorp | 7.700% | 11/15/31 | 550 | 805 |
PacifiCorp | 5.250% | 6/15/35 | 585 | 680 |
PacifiCorp | 6.100% | 8/1/36 | 365 | 467 |
PacifiCorp | 5.750% | 4/1/37 | 730 | 905 |
PacifiCorp | 6.250% | 10/15/37 | 815 | 1,073 |
PacifiCorp | 6.350% | 7/15/38 | 560 | 744 |
PacifiCorp | 6.000% | 1/15/39 | 855 | 1,104 |
PacifiCorp | 4.100% | 2/1/42 | 120 | 122 |
PECO Energy Co. | 5.950% | 10/1/36 | 170 | 212 |
PECO Energy Co. | 4.150% | 10/1/44 | 240 | 246 |
Pennsylvania Electric Co. | 6.150% | 10/1/38 | 185 | 216 |
Potomac Electric Power Co. | 6.500% | 11/15/37 | 275 | 368 |
Potomac Electric Power Co. | 7.900% | 12/15/38 | 270 | 404 |
Potomac Electric Power Co. | 4.150% | 3/15/43 | 927 | 963 |
PPL Capital Funding Inc. | 4.700% | 6/1/43 | 485 | 497 |
PPL Capital Funding Inc. | 5.000% | 3/15/44 | 725 | 779 |
PPL Electric Utilities Corp. | 6.250% | 5/15/39 | 555 | 726 |
PPL Electric Utilities Corp. | 5.200% | 7/15/41 | 490 | 572 |
PPL Electric Utilities Corp. | 4.750% | 7/15/43 | 250 | 280 |
PPL Electric Utilities Corp. | 4.125% | 6/15/44 | 480 | 497 |
Progress Energy Inc. | 7.750% | 3/1/31 | 1,130 | 1,579 |
Progress Energy Inc. | 7.000% | 10/30/31 | 542 | 718 |
Progress Energy Inc. | 6.000% | 12/1/39 | 590 | 718 |
PSEG Power LLC | 8.625% | 4/15/31 | 830 | 1,029 |
Public Service Co. of Colorado | 6.500% | 8/1/38 | 230 | 309 |
Public Service Co. of Colorado | 4.750% | 8/15/41 | 145 | 160 |
Public Service Co. of Colorado | 3.600% | 9/15/42 | 360 | 343 |
Public Service Co. of Colorado | 3.950% | 3/15/43 | 170 | 169 |
Public Service Co. of Colorado | 4.300% | 3/15/44 | 1,100 | 1,161 |
94
Vanguard® Long-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Public Service Co. of Oklahoma | 6.625% | 11/15/37 | 225 | 292 |
Public Service Electric & Gas Co. | 5.700% | 12/1/36 | 744 | 918 |
Public Service Electric & Gas Co. | 5.800% | 5/1/37 | 440 | 550 |
Public Service Electric & Gas Co. | 5.375% | 11/1/39 | 302 | 359 |
Public Service Electric & Gas Co. | 5.500% | 3/1/40 | 105 | 127 |
Public Service Electric & Gas Co. | 3.950% | 5/1/42 | 355 | 361 |
Public Service Electric & Gas Co. | 3.650% | 9/1/42 | 730 | 704 |
Public Service Electric & Gas Co. | 3.800% | 1/1/43 | 200 | 197 |
Public Service Electric & Gas Co. | 4.000% | 6/1/44 | 306 | 308 |
Public Service Electric & Gas Co. | 4.050% | 5/1/45 | 330 | 337 |
Public Service Electric & Gas Co. | 4.150% | 11/1/45 | 475 | 494 |
Public Service Electric & Gas Co. | 3.800% | 3/1/46 | 775 | 775 |
Puget Sound Energy Inc. | 7.020% | 12/1/27 | 371 | 487 |
Puget Sound Energy Inc. | 5.483% | 6/1/35 | 290 | 342 |
Puget Sound Energy Inc. | 6.724% | 6/15/36 | 228 | 306 |
Puget Sound Energy Inc. | 6.274% | 3/15/37 | 426 | 541 |
Puget Sound Energy Inc. | 5.757% | 10/1/39 | 470 | 574 |
Puget Sound Energy Inc. | 5.795% | 3/15/40 | 477 | 583 |
Puget Sound Energy Inc. | 5.764% | 7/15/40 | 295 | 362 |
Puget Sound Energy Inc. | 5.638% | 4/15/41 | 400 | 493 |
Puget Sound Energy Inc. | 4.434% | 11/15/41 | 410 | 431 |
Puget Sound Energy Inc. | 4.300% | 5/20/45 | 533 | 560 |
San Diego Gas & Electric Co. | 5.350% | 5/15/35 | 265 | 317 |
San Diego Gas & Electric Co. | 6.125% | 9/15/37 | 310 | 403 |
San Diego Gas & Electric Co. | 6.000% | 6/1/39 | 504 | 651 |
San Diego Gas & Electric Co. | 5.350% | 5/15/40 | 410 | 488 |
San Diego Gas & Electric Co. | 4.500% | 8/15/40 | 476 | 522 |
San Diego Gas & Electric Co. | 3.950% | 11/15/41 | 370 | 373 |
San Diego Gas & Electric Co. | 4.300% | 4/1/42 | 310 | 328 |
Sierra Pacific Power Co. | 6.750% | 7/1/37 | 655 | 870 |
South Carolina Electric & Gas Co. | 6.625% | 2/1/32 | 740 | 954 |
South Carolina Electric & Gas Co. | 5.300% | 5/15/33 | 405 | 463 |
South Carolina Electric & Gas Co. | 6.050% | 1/15/38 | 490 | 611 |
South Carolina Electric & Gas Co. | 5.450% | 2/1/41 | 435 | 516 |
South Carolina Electric & Gas Co. | 4.350% | 2/1/42 | 1,066 | 1,102 |
South Carolina Electric & Gas Co. | 4.600% | 6/15/43 | 455 | 487 |
South Carolina Electric & Gas Co. | 4.100% | 6/15/46 | 1,055 | 1,053 |
South Carolina Electric & Gas Co. | 4.500% | 6/1/64 | 123 | 121 |
South Carolina Electric & Gas Co. | 5.100% | 6/1/65 | 840 | 919 |
Southern California Edison Co. | 6.650% | 4/1/29 | 450 | 571 |
Southern California Edison Co. | 6.000% | 1/15/34 | 530 | 663 |
Southern California Edison Co. | 5.750% | 4/1/35 | 251 | 309 |
Southern California Edison Co. | 5.350% | 7/15/35 | 280 | 332 |
Southern California Edison Co. | 5.550% | 1/15/36 | 220 | 266 |
Southern California Edison Co. | 5.625% | 2/1/36 | 640 | 782 |
Southern California Edison Co. | 5.550% | 1/15/37 | 430 | 521 |
Southern California Edison Co. | 5.950% | 2/1/38 | 997 | 1,272 |
Southern California Edison Co. | 6.050% | 3/15/39 | 600 | 784 |
Southern California Edison Co. | 5.500% | 3/15/40 | 570 | 705 |
Southern California Edison Co. | 4.500% | 9/1/40 | 570 | 619 |
Southern California Edison Co. | 3.900% | 12/1/41 | 560 | 556 |
Southern California Edison Co. | 4.050% | 3/15/42 | 620 | 632 |
Southern California Edison Co. | 3.900% | 3/15/43 | 525 | 527 |
Southern California Edison Co. | 4.650% | 10/1/43 | 1,106 | 1,246 |
Southern California Edison Co. | 3.600% | 2/1/45 | 596 | 569 |
Southern Co. | 4.250% | 7/1/36 | 1,171 | 1,182 |
Southern Co. | 4.400% | 7/1/46 | 2,625 | 2,616 |
Southern Power Co. | 5.150% | 9/15/41 | 535 | 554 |
Southern Power Co. | 5.250% | 7/15/43 | 620 | 648 |
Southern Power Co. | 4.950% | 12/15/46 | 550 | 557 |
Southwestern Electric Power Co. | 6.200% | 3/15/40 | 375 | 466 |
Southwestern Electric Power Co. | 3.900% | 4/1/45 | 500 | 478 |
Southwestern Public Service Co. | 4.500% | 8/15/41 | 460 | 499 |
Southwestern Public Service Co. | 3.400% | 8/15/46 | 900 | 820 |
95
Vanguard® Long-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Tampa Electric Co. | 6.550% | 5/15/36 | 50 | 64 |
Tampa Electric Co. | 6.150% | 5/15/37 | 265 | 330 |
Tampa Electric Co. | 4.100% | 6/15/42 | 595 | 583 |
Tampa Electric Co. | 4.350% | 5/15/44 | 840 | 855 |
Tampa Electric Co. | 4.200% | 5/15/45 | 120 | 119 |
Toledo Edison Co. | 6.150% | 5/15/37 | 460 | 563 |
TransAlta Corp. | 6.500% | 3/15/40 | 780 | 719 |
Tri-State Generation & Transmission Assn. Inc. | 4.700% | 11/1/44 | 270 | 281 |
Tri-State Generation & Transmission Assn. Inc. | 4.250% | 6/1/46 | 300 | 292 |
Union Electric Co. | 5.300% | 8/1/37 | 385 | 457 |
Union Electric Co. | 8.450% | 3/15/39 | 560 | 886 |
Union Electric Co. | 3.900% | 9/15/42 | 530 | 535 |
Union Electric Co. | 3.650% | 4/15/45 | 690 | 662 |
Virginia Electric & Power Co. | 6.000% | 1/15/36 | 760 | 940 |
Virginia Electric & Power Co. | 6.000% | 5/15/37 | 803 | 1,008 |
Virginia Electric & Power Co. | 6.350% | 11/30/37 | 727 | 945 |
Virginia Electric & Power Co. | 8.875% | 11/15/38 | 454 | 743 |
Virginia Electric & Power Co. | 4.000% | 1/15/43 | 835 | 840 |
Virginia Electric & Power Co. | 4.650% | 8/15/43 | 740 | 814 |
Virginia Electric & Power Co. | 4.450% | 2/15/44 | 270 | 290 |
Virginia Electric & Power Co. | 4.200% | 5/15/45 | 290 | 302 |
Virginia Electric & Power Co. | 4.000% | 11/15/46 | 975 | 982 |
Westar Energy Inc. | 3.100% | 4/1/27 | 500 | 495 |
Westar Energy Inc. | 4.125% | 3/1/42 | 635 | 648 |
Westar Energy Inc. | 4.100% | 4/1/43 | 513 | 522 |
Westar Energy Inc. | 4.625% | 9/1/43 | 540 | 581 |
Westar Energy Inc. | 4.250% | 12/1/45 | 225 | 232 |
Wisconsin Electric Power Co. | 5.625% | 5/15/33 | 335 | 397 |
Wisconsin Electric Power Co. | 5.700% | 12/1/36 | 250 | 311 |
Wisconsin Electric Power Co. | 3.650% | 12/15/42 | 350 | 332 |
Wisconsin Electric Power Co. | 4.250% | 6/1/44 | 270 | 279 |
Wisconsin Electric Power Co. | 4.300% | 12/15/45 | 420 | 442 |
Wisconsin Power & Light Co. | 6.375% | 8/15/37 | 484 | 638 |
Wisconsin Power & Light Co. | 4.100% | 10/15/44 | 913 | 920 |
Wisconsin Public Service Corp. | 3.671% | 12/1/42 | 295 | 282 |
Wisconsin Public Service Corp. | 4.752% | 11/1/44 | 470 | 524 |
Xcel Energy Inc. | 6.500% | 7/1/36 | 480 | 611 |
Xcel Energy Inc. | 4.800% | 9/15/41 | 365 | 390 |
Natural Gas (0.8%) | ||||
Atmos Energy Corp. | 5.500% | 6/15/41 | 650 | 779 |
Atmos Energy Corp. | 4.150% | 1/15/43 | 455 | 467 |
Atmos Energy Corp. | 4.125% | 10/15/44 | 977 | 994 |
CenterPoint Energy Resources Corp. | 6.625% | 11/1/37 | 355 | 438 |
CenterPoint Energy Resources Corp. | 5.850% | 1/15/41 | 389 | 463 |
KeySpan Corp. | 8.000% | 11/15/30 | 230 | 308 |
KeySpan Corp. | 5.803% | 4/1/35 | 346 | 396 |
NiSource Finance Corp. | 6.250% | 12/15/40 | 420 | 520 |
NiSource Finance Corp. | 5.950% | 6/15/41 | 800 | 965 |
NiSource Finance Corp. | 5.800% | 2/1/42 | 415 | 491 |
Nisource Finance Corp. | 5.250% | 2/15/43 | 660 | 747 |
NiSource Finance Corp. | 4.800% | 2/15/44 | 1,120 | 1,201 |
ONE Gas Inc. | 4.658% | 2/1/44 | 638 | 688 |
Piedmont Natural Gas Co. Inc. | 4.100% | 9/18/34 | 370 | 372 |
Piedmont Natural Gas Co. Inc. | 4.650% | 8/1/43 | 325 | 345 |
Piedmont Natural Gas Co. Inc. | 3.640% | 11/1/46 | 400 | 365 |
Sempra Energy | 6.000% | 10/15/39 | 551 | 676 |
Southern California Gas Co. | 5.750% | 11/15/35 | 400 | 494 |
Southern California Gas Co. | 5.125% | 11/15/40 | 625 | 731 |
Southern California Gas Co. | 3.750% | 9/15/42 | 325 | 321 |
Southern California Gas Co. | 4.450% | 3/15/44 | 160 | 172 |
Southern Co. Gas Capital Corp. | 6.000% | 10/1/34 | 215 | 251 |
Southern Co. Gas Capital Corp. | 5.875% | 3/15/41 | 1,124 | 1,348 |
Southern Co. Gas Capital Corp. | 4.400% | 6/1/43 | 1,035 | 1,036 |
96
Vanguard® Long-Term Corporate Bond Index Fund | ||||
Schedule of Investments | ||||
February 28, 2017 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Southern Co. Gas Capital Corp. | 3.950% | 10/1/46 | 650 | 614 |
Southwest Gas Corp. | 4.875% | 10/1/43 | 300 | 321 |
Southwest Gas Corp. | 3.800% | 9/29/46 | 400 | 379 |
Spire Inc. | 4.700% | 8/15/44 | 375 | 386 |
Washington Gas Light Co. | 3.796% | 9/15/46 | 415 | 395 |
Other Utility (0.2%) | ||||
American Water Capital Corp. | 6.593% | 10/15/37 | 880 | 1,189 |
American Water Capital Corp. | 4.300% | 12/1/42 | 475 | 501 |
American Water Capital Corp. | 4.300% | 9/1/45 | 375 | 397 |
American Water Capital Corp. | 4.000% | 12/1/46 | 325 | 331 |
United Utilities plc | 6.875% | 8/15/28 | 745 | 845 |
Veolia Environnement SA | 6.750% | 6/1/38 | 425 | 539 |
265,658 | ||||
Total Corporate Bonds (Cost $2,033,289) | 2,047,114 | |||
Taxable Municipal Bonds (0.2%) | ||||
George Washington University District of Columbia GO | 4.300% | 9/15/44 | 900 | 909 |
George Washington University District of Columbia GO | 4.868% | 9/15/45 | 40 | 44 |
New York University Hospitals Center GO | 4.428% | 7/1/42 | 350 | 353 |
New York University Hospitals Center Revenue | 5.750% | 7/1/43 | 445 | 540 |
President & Fellows of Harvard College Massachusetts | ||||
GO | 4.875% | 10/15/40 | 343 | 415 |
President & Fellows of Harvard College Massachusetts | ||||
GO | 3.150% | 7/15/46 | 600 | 555 |
Princeton University New Jersey GO | 5.700% | 3/1/39 | 665 | 876 |
Stanford University California GO | 3.460% | 5/1/47 | 315 | 305 |
Tufts University Massachusetts GO | 5.017% | 4/15/12 | 375 | 400 |
University of Southern California GO | 5.250% | 10/1/11 | 770 | 898 |
Total Taxable Municipal Bonds (Cost $5,300) | 5,295 | |||
Shares | ||||
Temporary Cash Investment (1.1%) | ||||
Money Market Fund (1.1%) | ||||
3 Vanguard Market Liquidity Fund (Cost | ||||
$22,268) | 0.864% | 222,655 | 22,268 | |
Total Investments (99.1%) (Cost $2,071,170) | 2,085,002 | |||
Other Assets and Liabilities—Net (0.9%)4 | 19,362 | |||
Net Assets (100%) | 2,104,364 |
1 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
2 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At February 28, 2017, the aggregate value of these securities was $19,731,000, representing 0.9% 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 | Cash of $202,000 has been segregated as initial margin for open futures contracts. GO—General Obligation Bond. |
97
© 2017 The Vanguard Group, Inc. All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA16422 042017
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 17, 2017 |
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 17, 2017 | |
| VANGUARD SCOTTSDALE FUNDS |
BY: | /s/ THOMAS J. HIGGINS* |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER | |
Date: April 17, 2017 |
* By: /s/ Anne E. Robinson
Anne E. Robinson, pursuant to a Power of Attorney filed on October 4, 2016 see file Number
33-32548, Incorporated by Reference.