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 – August 31, 2017
Item 1: Reports to Shareholders
Annual Report | August 31, 2017
Vanguard Explorer Value™ Fund
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
| |
| Contents | |
| Your Fund���s Performance at a Glance. | 1 |
| Chairman’s Perspective. | 3 |
| Advisors’ Report. | 7 |
| Fund Profile. | 11 |
| Performance Summary. | 12 |
| Financial Statements. | 14 |
| Your Fund’s After-Tax Returns. | 26 |
| About Your Fund’s Expenses. | 27 |
| Glossary. | 29 |
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: Nautical images have been part of Vanguard’s rich heritage since its start in 1975. For an
incoming ship, a lighthouse offers a beacon and safe path to shore. You can similarly depend on Vanguard to put
you first––and light the way––as you strive to meet your financial goals. Our client focus and low costs,
stemming from our unique ownership structure, assure that your interests are paramount.
Your Fund’s Performance at a Glance
• Vanguard Explorer Value Fund returned almost 12% for the 12 months ended August 31, 2017. The fund finished a bit ahead of its benchmark, the Russell 2500 Value Index, and the average return of its peer small-capitalization value funds.
• Large-cap stocks outperformed their mid- and small-cap counterparts for the period, and growth stocks fared better than value stocks. Nine of the fund’s industry sectors recorded gains, six of them in double digits. Energy shares were the weakest performers, ending the period sharply lower.
• Based on relative performance, health care, information technology, and consumer staples were the fund’s strongest sectors. Energy and industrials detracted the most from fund performance.
• Since its inception in 2010, the fund has posted an average annual return of more than 12%, outperforming both its benchmark and the average return of its peer funds.
| |
| Total Returns: Fiscal Year Ended August 31, 2017 | |
| | Total |
| | Returns |
| Vanguard Explorer Value Fund | 11.64% |
| Russell 2500 Value Index | 11.12 |
| Small-Cap Value Funds Average | 11.02 |
| Small-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
| |
| |
| Total Returns: Inception Through August 31, 2017 | |
| | Average |
| | Annual Return |
| Explorer Value Fund (Returns since inception: 3/30/2010) | 12.25% |
| Russell 2500 Value Index | 11.39 |
| Small-Cap Value Funds Average | 10.23 |
| Small-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
The figures shown represent past performance, which is not a guarantee of future results. (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.
1
| | |
| 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 fiscal year ended August 31, 2017, the fund’s expense ratio was 0.55%. 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.
2
Chairman’s Perspective
Bill McNabb
Chairman and Chief Executive Officer
Dear Shareholder,
Since mid-August we’ve been reaching out to you about the proposals put forth by the Vanguard funds that, if approved, will enable us to manage the funds more efficiently and effectively. As the November deadline for voting approaches, I’d like to offer some perspective on a few of the proposals that I believe are important to the way Vanguard operates and manages your investments. I hope you consider this information and promptly cast your ballot.
Your biggest advocate
The main driver for this proxy solicitation is to ask all our fund shareholders to elect a full slate of trustees who oversee each U.S.-based Vanguard mutual fund. These trustees serve an important role, making sure your funds are managed in your best interests. This includes monitoring fund performance, approving advisory agreements, and ensuring that we’re keeping your investment costs as low as possible. Simply put, they are your biggest advocate.
Each trustee brings a variety of skills and professional experiences that contribute to the board’s strength and diversity. Of the 12 nominees, nine currently serve on the board, and three are new. If elected, the new board would include ten independent members, meaning they have no affiliation with Vanguard or the funds apart from any investments they may choose to make as private individuals.
3
These are the proposed new trustees:
• Sarah Bloom Raskin is a former member of the Federal Reserve Board of Governors and former deputy secretary of the U.S. Treasury Department. She is an expert in cybersecurity—a critically important issue at Vanguard, as we place a premium on protecting clients’ assets and sensitive data.
• Deanna Mulligan is chief executive officer of The Guardian Life Insurance Company of America. It’s rare to find a CEO such as Deanna who leads a company with a mutual ownership structure similar to Vanguard’s.
• Tim Buckley is president and a director of Vanguard and will succeed me in January as CEO. (I’ll remain chairman for a period to be determined by the board.) I interviewed Tim when he applied for his first job here in 1991 and again when he was graduating from Harvard Business School. I was thrilled he picked Vanguard as a place to build his career, and I’ve been delighted to see him take on several leadership positions, including as head of our Retail Investor Group, chief information officer, and chief investment officer. I can think of no one better prepared to succeed me.
| | | |
| Market Barometer | | | |
| | | Average Annual Total Returns |
| | | Periods Ended August 31, 2017 |
| | One Year | Three Years | Five Years |
| Stocks | | | |
| Russell 1000 Index (Large-caps) | 16.16% | 9.21% | 14.37% |
| Russell 2000 Index (Small-caps) | 14.91 | 7.67 | 13.15 |
| Russell 3000 Index (Broad U.S. market) | 16.06 | 9.08 | 14.27 |
| FTSE All-World ex US Index (International) | 18.74 | 2.80 | 7.76 |
| |
| Bonds | | | |
| Bloomberg Barclays U.S. Aggregate Bond Index | | | |
| (Broad taxable market) | 0.49% | 2.64% | 2.19% |
| Bloomberg Barclays Municipal Bond Index | | | |
| (Broad tax-exempt market) | 0.88 | 3.40 | 3.23 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.58 | 0.25 | 0.16 |
| |
| CPI | | | |
| Consumer Price Index | 1.94% | 1.06% | 1.28% |
4
Vanguard believes that diversity of thought, background, and experience, as well as diversity of personal characteristics, meaningfully contributes to the board’s ability to effectively serve shareholders. If Sarah and Deanna are elected, women will account for 40% of the board’s independent trustees.
I should note that even as Vanguard is nominating three new board members, we’re saying goodbye to trustee Rajiv Gupta. Rajiv was a legendary CEO of Rohm and Haas Co., and Vanguard and our clients have benefited greatly from his expertise. I wish him a happy retirement.
Summarizing the proposals
Among the trustees’ leading responsibilities is overseeing the funds’ internal and external investment advisory agreements. The trustees, in consultation with our Global Investment Committee and our Portfolio Review Department, choose the investment advisors that manage client assets. Over decades, we have built a strong track record of picking advisors whose portfolio management strategies have served clients well.
Two proposals in the proxy focus on this oversight responsibility. Shareholders of 48 Vanguard funds have already voted to allow the board to make external advisor changes without obtaining prior shareholder approval. The new proposals would extend that policy across our entire U.S.-based fund lineup and expand it to include internal advisory agreements with Vanguard subsidiaries. Eliminating the need for shareholder approval removes a step that is costly and time-consuming if done frequently or on an individual fund basis. Although there are no current plans to employ the policy on any Vanguard-managed funds, standardizing it enables the trustees to retain an advisory firm to diversify a fund’s management team or ensure management continuity should a contingency arise.
I also encourage shareholders of several specific Vanguard index funds to read the proxy proposals that affect those funds. One proposal would change the investment objective of Vanguard REIT Index Fund and Vanguard Variable Insurance Fund REIT Index Portfolio to include real estate-related securities, aligning the funds with updated industry-sector classification methodology. Another proposal seeks to change the diversification status of the REIT Index Fund to enable it to better track its benchmark. Finally, we seek your approval of the Funds’ Service Agreement for Vanguard Institutional Index Fund and Vanguard Institutional Total Stock Market Index Fund. If approved, this arrangement would then be standardized across Vanguard’s entire publicly available U.S. mutual fund lineup. It should also reduce costs and minimum initial investment requirements in select share classes.
5
At the ballot box
We hope you’ll make it a priority to cast your ballot. We want to avoid the added time and cost of soliciting sufficient votes should we not obtain a quorum by the shareholder meeting on November 15, when voting concludes. Ultimately, we believe the proposals I’ve discussed are in your best interest as Vanguard fund shareholders, and the trustees recommend that you vote in favor of them. For more information, visit vanguard.com and enter the search term “proxy.”
As always, thank you for investing with Vanguard.
F. William McNabb III
Chairman and Chief Executive Officer
September 14, 2017
6
Advisors’ Report
For the fiscal year ended August 31, 2017, Vanguard Explorer Value Fund returned 11.64%, ahead 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 12 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 September 14, 2017.
| | | |
| Vanguard Explorer Value Fund Investment Advisors | |
| |
| | Fund Assets Managed | |
| Investment Advisor | % | $ Million | Investment Strategy |
| Cardinal Capital Management, | 51 | 311 | The advisor seeks stocks that are able to |
| L.L.C. | | | generate excess cash flow and reinvest the |
| | | | cash to increase shareholder value. |
| Frontier Capital Management | 47 | 285 | The advisor selects stocks by identifying |
| Co., LLC | | | companies it 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 | 2 | 11 | These short-term reserves are invested by |
| | | | Vanguard in equity index products to simulate |
| | | | investment in stocks. Each advisor may also |
| | | | maintain a modest cash position. |
7
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
U.S. economic data were mixed during the fiscal year, although better than for most other developed economies. Prices for small- and mid-capitalization stocks rose meaningfully following the U.S. presidential election as investors adopted a more positive view of future economic prospects. Despite this post-election optimism, GDP growth remained lackluster, with policymakers in Washington unable to make meaningful progress on economic reforms.
Our stock selection in health care, materials, consumer discretionary, and consumer staples contributed most to relative performance.
The share price of Ligand Pharmaceuticals climbed as its high-margin royalty revenues continued to ramp up thanks to increased sales of key licensed products.
The stock price of FMC Corporation, an agricultural chemical and lithium supplier, rose significantly after the company announced that it would acquire the crop-protection business that DuPont needed to divest in order to complete its merger with Dow. Although FMC is selling its health and nutrition business as part of the agreement, the acquisition will transform FMC into a world-class agricultural chemical company once it spins off the lithium business as a separate publicly traded company in 2018.
Shares of Wendy’s rose as the quick-service restaurant benefited from its well-positioned value menu, the re-imaging of its franchise-owned locations, and the increasing ownership share of activist investor Nelson Peltz. The stock price of Lamb Weston Holdings, a low-cost producer of potato products, rose on better-than-expected earnings from increased pricing and processing capacity.
Relative detractors included the portfolio’s lack of utilities holdings, modestly lower returns from its financial services and real estate holdings, and the impact of frictional cash in a rising equity market.
Our near-term outlook for U.S. equities remains cautious as valuations are full and the domestic economy is forecast to grow only modestly. It has also become less likely—for both political and financial reasons—that we will see either meaningful tax reform or spending on infrastructure. Despite inflation trending below the Federal Reserve’s target, short-term U.S. interest rates are still likely to rise unless the economy slows.
8
Our focus remains on the stocks of companies whose business performance is generally less dependent on the growth rate of the U.S. economy. By attempting to limit macroeconomic risks and taking them only when we feel we are being adequately compensated, we believe that we are reducing the portfolio’s overall risk because tools under management’s control are generally more predictable.
Frontier Capital
Management Co., LLC
Portfolio Managers:
Thomas W. Duncan, Jr.,
Executive Vice President
William A. Teichner, CFA,
Executive Vice President
Stocks surged throughout most of the 12-month period ended August 31, 2017, as investors accepted risk, corporate earnings exceeded expectations, and stock valuations increased.
The portfolio’s ten top contributors each added, on average, about 70 basis points to absolute performance. (A basis point is one-hundredth of a percentage point.) These holdings were spread over four sectors: four from producer durables, two from financial services, two from health care, and two from technology.
Our top contributor was Endurance Specialty Holdings, a financial services firm, which added approximately 100 basis points to performance. The company provides a wide range of insurance and reinsurance products, including coverage on agricultural crops, professional liability insurance, and protection for the marine, energy, and aviation industries. In October 2016, Endurance agreed to be acquired for $93 per share in cash by Sompo Holdings, one of Japan’s largest insurance companies. This price is about 1.4 times book value. We sold the stock at $92 per share the day of the announcement, preferring to reinvest the proceeds rather than waiting months for the transaction to close and running the risk that the deal would be terminated. We originally purchased the stock in 2012 at $39 per share, or 0.8 times book value, after speaking with company management which impressed us with its focus on improving returns on equity and expanding book value per share.
Returns relative to the benchmark were most challenged in energy, producer durables, and materials and processing. The portfolio’s ten largest detractors each trimmed, on average, approximately 60 basis points from performance. These stocks were spread over four sectors: four in energy, three in producer durables, two in consumer discretionary, and one in technology. The detractors within energy were U.S. crude oil and natural gas drillers; in producer durables, the detractors were a manufacturer of office equipment, a distributor of aircraft parts, and a trucking company.
9
The portfolio’s largest detractor, Carrizo Oil & Gas, declined as crude oil futures fell, in an environment where investor sentiment toward energy stocks was generally negative. (The energy sector was the benchmark’s worst-performing sector.) Carrizo’s stock, which hindered performance by about 120 basis points, fell even though the company delivered better-than-expected financial results for each quarter during the period. Most of the company’s oil and gas reserves are located in the Eagle Ford shale and the Permian Basin—two of the lowest-cost energy formations in the United States—where most of the firm’s new wells are estimated to break even at around $30 per barrel. Moreover, these wells produce attractive returns on investment at current oil prices of around $49.
During the period, we bought 16 new stocks and exited 21 holdings. The purchases were spread across seven sectors; the sales, across six. The net effect was an increase in consumer staples, financial services, health care, and materials and processing and a reduction in consumer discretionary, producer durables, technology, and utilities. The changes were related to company-specific reasons, rather than sector positioning.
10
Explorer Value Fund
Fund Profile
As of August 31, 2017
| | | |
| Portfolio Characteristics | | |
| | | | DJ |
| | | Russell | U.S. |
| | | 2500 | Total |
| | | Value | Market |
| | Fund | Index | FA Index |
| Number of Stocks | 115 | 1,756 | 3,769 |
| Median Market Cap | $2.8B | $4.0B | $63.1B |
| Price/Earnings Ratio | 24.5x | 16.4x | 21.6x |
| Price/Book Ratio | 1.8x | 1.6x | 2.8x |
| Return on Equity | 8.5% | 8.2% | 15.1% |
| Earnings Growth Rate | 11.8% | 8.7% | 9.4% |
| Dividend Yield | 1.6% | 2.1% | 1.8% |
| Foreign Holdings | 1.1% | 0.0% | 0.0% |
| Turnover Rate | 33% | — | — |
| Ticker Symbol | VEVFX | — | — |
| Expense Ratio1 | 0.63% | — | — |
| 30-Day SEC Yield | 0.98% | — | — |
| Short-Term Reserves | 4.0% | — | — |
| | | |
| Sector Diversification (% of equity exposure) |
| | | Russell | DJ |
| | | 2500 | U.S. Total |
| | | Value | Market |
| | Fund | Index | FA Index |
| Consumer Discretionary | 9.4% | 10.5% | 12.4% |
| Consumer Staples | 2.5 | 3.4 | 7.6 |
| Energy | 4.3 | 6.2 | 5.3 |
| Financials | 24.5 | 23.9 | 14.7 |
| Health Care | 4.9 | 6.0 | 14.1 |
| Industrials | 18.0 | 12.9 | 10.7 |
| Information Technology | 13.5 | 8.6 | 22.6 |
| Materials | 9.0 | 5.4 | 3.3 |
| Real Estate | 10.9 | 15.5 | 4.1 |
| Telecommunication | | | |
| Services | 0.0 | 0.4 | 1.9 |
| Utilities | 3.0 | 7.2 | 3.3 |
Sector categories are based on the Global Industry Classification
Standard (“GICS”), except for the “Other” category (if applicable),
which includes securities that have not been provided a GICS
classification as of the effective reporting period.
| | |
| Volatility Measures | | |
| | Russell | DJ |
| | 2500 | U.S. Total |
| | Value | Market |
| | Index | FA Index |
| R-Squared | 0.95 | 0.75 |
| Beta | 1.04 | 1.11 |
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) |
| IAC/InterActiveCorp | Internet Software & | |
| | Services | 2.4% |
| PacWest Bancorp | Regional Banks | 2.3 |
| KAR Auction Services | Diversified Support | |
| Inc. | Services | 2.0 |
| FMC Corp. | Fertilizers & | |
| | Agricultural | |
| | Chemicals | 2.0 |
| Genesee & Wyoming Inc.Railroads | 1.9 |
| Ligand Pharmaceuticals | | |
| Inc. | Biotechnology | 1.8 |
| MB Financial Inc. | Regional Banks | 1.7 |
| Columbia Banking | | |
| System Inc. | Regional Banks | 1.7 |
| BWX Technologies Inc. | Aerospace & | |
| | Defense | 1.7 |
| New York REIT Inc. | Office REITs | 1.5 |
| Top Ten | | 19.0% |
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 fiscal year ended August 31, 2017, the expense ratio was 0.55%.
11
Explorer Value Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
| | | | | |
| | | | Average Annual Total Returns | |
| | | | Periods Ended August 31, 2017 | |
| | | | | Since | Final Value |
| | | One | Five | Inception | of a $10,000 |
| | | Year | Years | (3/30/2010) | Investment |
| | Explorer Value Fund | 11.64% | 13.38% | 12.25% | $23,580 |
| • • • • • • • • | Russell 2500 Value Index | 11.12 | 12.81 | 11.39 | 22,261 |
| – – – – | Small-Cap Value Funds Average | 11.02 | 11.80 | 10.23 | 20,602 |
| | Dow Jones U.S. Total Stock Market | | | | |
| | Float Adjusted Index | 16.05 | 14.19 | 12.83 | 24,501 |
Small-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"Since Inception" performance is calculated from the inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
12
Explorer Value Fund
Fiscal-Year Total Returns (%): March 30, 2010, Through August 31, 2017
Average Annual Total Returns: Periods Ended June 30, 2017
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 | 18.76% | 14.07% | 12.59% |
13
Explorer Value Fund
Financial Statements
Statement of Net Assets
As of August 31, 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 (94.2%)1 | | |
| Consumer Discretionary (8.8%) | |
| | Six Flags Entertainment | | |
| | Corp. | 161,151 | 8,794 |
| | Lithia Motors Inc. Class A | 59,429 | 6,418 |
| * | Modine Manufacturing | | |
| | Co. | 386,214 | 6,237 |
| * | LGI Homes Inc. | 134,580 | 5,725 |
| | Nexstar Media Group | | |
| | Inc. Class A | 66,487 | 4,003 |
| | Wendy’s Co. | 261,805 | 3,906 |
| * | Vista Outdoor Inc. | 189,153 | 3,878 |
| | Rent-A-Center Inc. | 296,086 | 3,583 |
| * | Career Education Corp. | 269,477 | 2,590 |
| * | Del Taco Restaurants Inc. | 176,841 | 2,490 |
| * | Deckers Outdoor Corp. | 32,395 | 2,070 |
| *,^ | Boot Barn Holdings Inc. | 185,089 | 1,499 |
| | Libbey Inc. | 164,523 | 1,344 |
| * | Global Eagle Entertainment | | |
| | Inc. | 278,589 | 861 |
| | | | 53,398 |
| Consumer Staples (2.3%) | | |
| | Pinnacle Foods Inc. | 110,498 | 6,553 |
| | Lamb Weston Holdings | | |
| | Inc. | 67,260 | 3,059 |
| * | HRG Group Inc. | 191,580 | 3,025 |
| * | Central Garden & Pet | | |
| | Co. Class A | 45,138 | 1,539 |
| | | | 14,176 |
| Energy (4.0%) | | |
| * | Parsley Energy Inc. | | |
| | Class A | 278,121 | 6,967 |
| * | RSP Permian Inc. | 124,929 | 3,920 |
| * | Callon Petroleum Co. | 376,090 | 3,896 |
| * | PDC Energy Inc. | 57,530 | 2,263 |
| * | QEP Resources Inc. | 284,677 | 2,149 |
| * | Carrizo Oil & Gas Inc. | 153,482 | 2,063 |
| | | |
| | SM Energy Co. | 154,398 | 2,063 |
| * | International Seaways Inc. | 63,853 | 1,178 |
| | | | 24,499 |
| Financials (23.2%) | | |
| | PacWest Bancorp | 308,105 | 13,911 |
| | MB Financial Inc. | 260,078 | 10,343 |
| | Columbia Banking | | |
| | System Inc. | 275,640 | 10,245 |
| | BGC Partners Inc. | | |
| | Class A | 717,264 | 9,317 |
| | Starwood Property Trust | | |
| | Inc. | 386,610 | 8,586 |
| | Popular Inc. | 200,671 | 8,009 |
| | Argo Group International | | |
| | Holdings Ltd. | 125,782 | 7,572 |
| | First Horizon National | | |
| | Corp. | 413,531 | 7,117 |
| | Aspen Insurance | | |
| | Holdings Ltd. | 154,926 | 7,003 |
| | Flushing Financial Corp. | 251,517 | 6,876 |
| | Affiliated Managers | | |
| | Group Inc. | 38,110 | 6,734 |
| | South State Corp. | 76,121 | 6,261 |
| | Washington Federal Inc. | 186,461 | 5,827 |
| | Navigators Group Inc. | 91,685 | 5,116 |
| * | First BanCorp | 824,265 | 4,682 |
| | Renasant Corp. | 115,033 | 4,582 |
| | James River Group | | |
| | Holdings Ltd. | 106,864 | 4,262 |
| | FirstCash Inc. | 71,585 | 4,202 |
| | Investment Technology | | |
| | Group Inc. | 189,637 | 3,810 |
| * | Texas Capital Bancshares | | |
| | Inc. | 39,311 | 2,919 |
| | WSFS Financial Corp. | 37,950 | 1,696 |
| * | Bancorp Inc. | 195,751 | 1,537 |
| | | | 140,607 |
14
| | | |
| Explorer Value Fund | | |
| |
| |
| |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| Health Care (4.4%) | | |
| * | Ligand Pharmaceuticals Inc. | 86,183 | 11,107 |
| * | Myriad Genetics Inc. | 176,126 | 5,370 |
| * | Merit Medical Systems Inc. | 90,440 | 3,735 |
| * | Diplomat Pharmacy Inc. | 199,642 | 3,344 |
| * | Impax Laboratories Inc. | 148,702 | 3,219 |
| | | | 26,775 |
| Industrials (17.1%) | | |
| | KAR Auction Services Inc. | 270,529 | 12,198 |
| * | Genesee & Wyoming Inc. | | |
| | Class A | 165,177 | 11,325 |
| | BWX Technologies Inc. | 185,260 | 10,137 |
| * | Teledyne Technologies Inc. | 56,709 | 8,510 |
| * | Beacon Roofing Supply Inc. | 145,670 | 6,861 |
| | Altra Industrial Motion | | |
| | Corp. | 122,772 | 5,654 |
| * | KLX Inc. | 98,925 | 4,743 |
| | Kaman Corp. | 94,990 | 4,658 |
| * | Wesco Aircraft Holdings | | |
| | Inc. | 526,453 | 4,422 |
| * | Advisory Board Co. | 80,434 | 4,283 |
| * | BMC Stock Holdings Inc. | 200,835 | 4,077 |
| | HNI Corp. | 97,420 | 3,570 |
| | Actuant Corp. Class A | 145,381 | 3,496 |
| | Encore Wire Corp. | 75,617 | 3,244 |
| | Interface Inc. Class A | 169,406 | 3,219 |
| * | MRC Global Inc. | 169,048 | 2,666 |
| | EnerSys | 41,485 | 2,659 |
| * | Saia Inc. | 38,926 | 2,201 |
| | Briggs & Stratton Corp. | 99,555 | 2,085 |
| * | WESCO International Inc. | 37,363 | 1,885 |
| * | DXP Enterprises Inc. | 64,631 | 1,751 |
| | | | 103,644 |
| Information Technology (12.7%) | |
| * | IAC/InterActiveCorp | 127,510 | 14,474 |
| * | ACI Worldwide Inc. | 356,330 | 8,110 |
| ^ | Silicon Motion Technology | | |
| | Corp. ADR | 143,985 | 6,567 |
| | j2 Global Inc. | 83,496 | 6,286 |
| * | Semtech Corp. | 149,817 | 5,633 |
| * | Conduent Inc. | 313,369 | 5,174 |
| * | Integrated Device | | |
| | Technology Inc. | 196,901 | 4,865 |
| * | FormFactor Inc. | 284,936 | 4,302 |
| *,^ | Match Group Inc. | 182,280 | 3,965 |
| | Jabil Inc. | 125,761 | 3,943 |
| * | Virtusa Corp. | 95,307 | 3,461 |
| * | ON Semiconductor Corp. | 125,337 | 2,141 |
| * | Itron Inc. | 29,132 | 2,115 |
| * | Insight Enterprises Inc. | 52,567 | 2,107 |
| * | Infinera Corp. | 229,713 | 1,943 |
| * | Veeco Instruments Inc. | 101,179 | 1,912 |
| | | | 76,998 |
| Materials (8.6%) | | |
| | FMC Corp. | 140,660 | 12,128 |
| | Silgan Holdings Inc. | 294,748 | 8,869 |
| | Valvoline Inc. | 354,193 | 7,541 |
| * | Kraton Corp. | 142,026 | 4,663 |
| * | Allegheny Technologies Inc. 164,852 | 3,434 |
| * | Boise Cascade Co. | 113,092 | 3,393 |
| | Carpenter Technology Corp. | 77,474 | 3,140 |
| | Ashland Global Holdings Inc. | 50,130 | 3,110 |
| | Innophos Holdings Inc. | 66,922 | 3,055 |
| | Eagle Materials Inc. | 18,948 | 1,843 |
| | PH Glatfelter Co. | 38,282 | 663 |
| | | | 51,839 |
| Real Estate (10.3%) | | |
| | New York REIT Inc. | 1,136,953 | 9,368 |
| | Medical Properties Trust | | |
| | Inc. | 696,407 | 9,165 |
| * | Howard Hughes Corp. | 77,810 | 9,131 |
| | Gaming and Leisure | | |
| | Properties Inc. | 210,820 | 8,262 |
| | Sunstone Hotel Investors | | |
| | Inc. | 393,640 | 6,220 |
| * | Starwood Waypoint | | |
| | Homes | 147,390 | 5,487 |
| | Cousins Properties Inc. | 546,551 | 5,110 |
| | Mack-Cali Realty Corp. | 214,439 | 4,908 |
| | Parkway Inc. | 103,266 | 2,371 |
| | National Retail Properties | | |
| | Inc. | 36,528 | 1,528 |
| | Hersha Hospitality Trust | | |
| | Class A | 62,600 | 1,161 |
| | | | 62,711 |
| Utilities (2.8%) | | |
| | Portland General Electric | | |
| | Co. | 156,736 | 7,447 |
| | Unitil Corp. | 96,019 | 4,787 |
| | MDU Resources Group Inc. | 170,537 | 4,611 |
| | | | 16,845 |
| Total Common Stocks | | |
| (Cost $490,107) | | 571,492 |
| Temporary Cash Investments (6.5%)1 | |
| Money Market Fund (6.2%) | | |
| 2,3 | Vanguard Market | | |
| | Liquidity Fund, | | |
| | 1.224% | 377,834 | 37,791 |
15
| | | |
| Explorer Value Fund | | |
| |
| |
| |
| | | Face | Market |
| | | Amount | Value • |
| | | ($000) | ($000) |
| U. S. Government and Agency Obligations (0.3%) |
| 4 | United States | | |
| | Treasury Bill, | | |
| | 0.918%, 9/14/17 | 700 | 700 |
| 4 | United States | | |
| | Treasury Bill, | | |
| | 1.033%, 11/2/17 | 1,000 | 998 |
| | | | 1,698 |
| Total Temporary Cash Investments | |
| (Cost $39,481) | | 39,489 |
| Total Investments (100.7%) | | |
| (Cost $529,588) | | 610,981 |
| Other Assets and Liabilities (-0.7%) | |
| Other Assets | | 2,485 |
| Liabilities 3 | | (6,526) |
| | | | (4,041) |
| Net Assets (100%) | | |
| Applicable to 17,617,005 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 606,940 |
| Net Asset Value Per Share | | $34.45 |
| |
| | Amount |
| | ($000) |
| Statement of Assets and Liabilities | |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (excluding | |
| Segregated Securities) | 572,241 |
| Collateral for Futures Contracts | 949 |
| Total Unaffiliated Issuers | 573,190 |
| Affiliated Vanguard Funds | 37,791 |
| Total Investments in Securities | 610,981 |
| Investment in Vanguard | 40 |
| Receivables for Investment | |
| Securities Sold | 1,618 |
| Receivables for Accrued Income | 446 |
| Receivables for Capital Shares Issued | 264 |
| Variation Margin Receivable – | |
| Futures Contracts | 117 |
| Total Assets | 613,466 |
| Liabilities | |
| Payables for Investment | |
| Securities Purchased | 1,801 |
| Collateral for Securities on Loan | 3,347 |
| Payables to Investment Advisor | 552 |
| Payables for Capital Shares Redeemed | 356 |
| Payables to Vanguard | 468 |
| Other Liabilities | 2 |
| Total Liabilities | 6,526 |
| Net Assets | 606,940 |
16
Explorer Value Fund
| |
| At August 31, 2017, net assets consisted of: |
| | Amount |
| | ($000) |
| Paid-in Capital | 509,016 |
| Undistributed Net Investment Income | 1,859 |
| Accumulated Net Realized Gains | 14,791 |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 81,393 |
| Futures Contracts | (119) |
| Net Assets | 606,940 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers.
The total value of securities on loan is $3,154,000.
1 The fund invests a portion of its cash reserves in equity markets
through the use of index futures contracts. After giving effect
to futures investments, the fund’s effective common stock and
temporary cash investment positions represent 96.1% and 4.6%,
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 $3,347,000 of collateral received for securities on loan.
4 Securities with a value of $949,000 have been segregated as
initial margin for open futures contracts.
ADR—American Depositary Receipt.
REIT—Real Estate Investment Trust.
| | | | |
| Derivative Financial Instruments Outstanding as of Period End | | |
| |
| Futures Contracts | | | | |
| | | | | ($000) |
| | | | | Value and |
| | | Number of | | Unrealized |
| | | Long (Short) | Notional | Appreciation |
| | Expiration | Contracts | Amount | (Depreciation) |
| Long Futures Contracts | | | | |
| E-mini Russell 2000 Index | September 2017 | 165 | 11,586 | (119) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
17
| |
| Explorer Value Fund | |
| |
| |
| Statement of Operations | |
| |
| | Year Ended |
| | August 31,2017 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 7,584 |
| Interest1 | 370 |
| Securities Lending—Net | 195 |
| Total Income | 8,149 |
| Expenses | |
| Investment Advisory Fees—Note B | |
| Basic Fee | 1,750 |
| Performance Adjustment | (42) |
| The Vanguard Group—Note C | |
| Management and Administrative | 1,034 |
| Marketing and Distribution | 100 |
| Custodian Fees | 18 |
| Auditing Fees | 45 |
| Shareholders’ Reports and Proxy | 30 |
| Trustees’ Fees and Expenses | 1 |
| Total Expenses | 2,936 |
| Net Investment Income | 5,213 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 14,667 |
| Futures Contracts | 3,002 |
| Realized Net Gain (Loss) | 17,669 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 28,324 |
| Futures Contracts | (1,176) |
| Change in Unrealized Appreciation (Depreciation) | 27,148 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 50,030 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $358,000 and $3,000, respectively.
See accompanying Notes, which are an integral part of the Financial Statements.
18
| | |
| Explorer Value Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Year Ended August 31, |
| | 2017 | 2016 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 5,213 | 3,120 |
| Realized Net Gain (Loss) | 17,669 | 5,539 |
| Change in Unrealized Appreciation (Depreciation) | 27,148 | 26,349 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 50,030 | 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 | 295,734 | 108,001 |
| Issued in Lieu of Cash Distributions | 9,836 | 16,350 |
| Redeemed | (115,593) | (55,907) |
| Net Increase (Decrease) from Capital Share Transactions | 189,977 | 68,444 |
| Total Increase (Decrease) | 229,638 | 86,029 |
| Net Assets | | |
| Beginning of Period | 377,302 | 291,273 |
| End of Period2 | 606,940 | 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 $1,859,000 and $1,258,000.
See accompanying Notes, which are an integral part of the Financial Statements.
19
| | | | | |
| Explorer Value Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $31.55 | $30.09 | $32.97 | $29.39 | $23.44 |
| Investment Operations | | | | | |
| Net Investment Income | . 3291 | .293 | .259 | .251 | .255 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | 3.331 | 2.964 | (1.284) | 5.539 | 6.429 |
| Total from Investment Operations | 3.660 | 3.257 | (1.025) | 5.790 | 6.684 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (. 308) | (. 237) | (. 272) | (.168) | (. 290) |
| Distributions from Realized Capital Gains | (.452) | (1.560) | (1.583) | (2.042) | (.444) |
| Total Distributions | (.760) | (1.797) | (1.855) | (2.210) | (.734) |
| Net Asset Value, End of Period | $34.45 | $31.55 | $30.09 | $32.97 | $29.39 |
| |
| Total Return2 | 11.64% | 11.41% | -3.12% | 20.34% | 29.19% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $607 | $377 | $291 | $323 | $222 |
| Ratio of Total Expenses to Average Net Assets3 | 0.55% | 0.57% | 0.56% | 0.57% | 0.60% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 0.98% | 1.03% | 0.78% | 0.83% | 0.88% |
| Portfolio Turnover Rate | 33% | 61% | 35% | 36% | 46% |
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 (0.01%), (0.01%), (0.02%), (0.02%), and 0.04%.
See accompanying Notes, which are an integral part of the Financial Statements.
20
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 clearing-house 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 notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2017, the fund’s average investments in long and short futures contracts represented 4% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
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, 2014–2017), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
21
Explorer Value Fund
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 counter-parties, 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 event 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 Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the 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 August 31, 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
22
Explorer Value Fund
March 1, 2015, for the 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.
Vanguard manages the cash reserves of the fund as described below.
For the year ended August 31, 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 $42,000 (0.01%) based on performance.
C. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund corporate management, administrative, marketing, distribution, and cash management services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of 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 August 31, 2017, the fund had contributed to Vanguard capital in the amount of $40,000, 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). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of August 31, 2017, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 571,492 | — | — |
| Temporary Cash Investments | 37,791 | 1,698 | — |
| Futures Contracts—Assets1 | 117 | — | — |
| Total | 609,400 | 1,698 | — |
| 1 Represents variation margin on the last day of the reporting period. | | | |
23
Explorer Value Fund
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
The fund used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from net investment income and realized capital gains. Accordingly, the fund has reclassified $409,000 from undistributed net investment income, and $1,271,000 from accumulated net realized gains to paid-in capital.
For tax purposes, at August 31, 2017, the fund had $8,335,000 of ordinary income and $8,602,000 of long-term capital gains available for distribution.
At August 31, 2017, the cost of investment securities for tax purposes was $529,588,000. Net unrealized appreciation of investment securities for tax purposes was $81,393,000, consisting of unrealized gains of $106,897,000 on securities that had risen in value since their purchase and $25,504,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended August 31, 2017, the fund purchased $348,297,000 of investment securities and sold $163,628,000 of investment securities, other than temporary cash investments.
| | |
| G. Capital shares issued and redeemed were: | | |
| | Year Ended August 31, |
| | 2017 | 2016 |
| | Shares | Shares |
| | (000) | (000) |
| Issued | 8,790 | 3,629 |
| Issued in Lieu of Cash Distributions | 290 | 569 |
| Redeemed | (3,422) | (1,919) |
| Net Increase (Decrease) in Shares Outstanding | 5,658 | 2,279 |
H. Management has determined that no material events or transactions occurred subsequent to August 31, 2017, that would require recognition or disclosure in these financial statements.
24
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Scottsdale Funds and the Shareholders of Vanguard Explorer Value Fund:
In our opinion, the accompanying statement of net assets, statement of assets and liabilities and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Explorer Value Fund (constituting a separate portfolio of Vanguard Scottsdale Funds, hereafter referred to as the “Fund”) as of August 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of August 31, 2017 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 13, 2017
Special 2017 tax information (unaudited) for Vanguard Explorer Value Fund
This information for the fiscal year ended August 31, 2017, is included pursuant to provisions
of the Internal Revenue Code.
The fund distributed $6,553,000 as capital gain dividends (20% rate gain distributions)
to shareholders during the fiscal year.
For nonresident alien shareholders, 100% of short-term capital gain dividends distributed
by the fund are qualified short-term capital gains.
The fund distributed $4,072,000 of qualified dividend income to shareholders during the fiscal year.
For corporate shareholders, 41.8% of investment income (dividend income plus short-term gains,
if any) qualifies for the dividends-received deduction.
25
Your Fund’s After-Tax Returns
This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund’s distributions, and (2) assuming that an investor paid taxes on the fund’s distributions and sold all shares at the end of each period.
Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. After-tax returns reflect any qualified dividend income, using actual prior-year figures and estimates for 2017. (In the example, returns after the sale of fund shares may be higher than those assuming no sale. This occurs when the sale would have produced a capital loss. The calculation assumes that the investor received a tax deduction for the loss.) Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes.
Finally, keep in mind that a fund’s performance—whether before or after taxes—does not guarantee future results.
| | | |
| Average Annual Total Returns: Explorer Value Fund | | | |
| Periods Ended August 31, 2017 | | | |
| | | | Since |
| | One | Five | Inception |
| | Year | Years | (3/30/2010) |
| Returns Before Taxes | 11.64% | 13.38% | 12.25% |
| Returns After Taxes on Distributions | 11.04 | 11.98 | 11.03 |
| Returns After Taxes on Distributions and Sale of Fund Shares | 7.03 | 10.38 | 9.65 |
26
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.
27
| | | |
| Six Months Ended August 31, 2017 | | | |
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| Explorer Value Fund | 2/28/2017 | 8/31/2017 | Period |
| Based on Actual Fund Return | $1,000.00 | $1,012.04 | $2.84 |
| Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,022.38 | 2.85 |
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 0.56%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average
account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in
the most recent 12-month period (184/365).
28
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.
29
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.
30
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark
of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use
by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification
makes any express or implied warranties or representations with respect to such standard or classification (or the results
to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy,
completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification.
Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in
making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive,
consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
31
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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.
Information for each trustee and executive officer of the fund appears below. 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; Chief Executive Officer and Director of The Vanguard Group and President and Chief Executive Officer of each of the investment companies served by The Vanguard Group, since 2008; Director of Vanguard Marketing Corporation; President of The Vanguard Group (2008–2017); 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; Trustee of the University of Rochester.
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
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.
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.
JoAnn Heffernan Heisen
Born 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years and Other Experience: Corporate Vice President and Member of the Executive Committee (1997–2008), Chief Global Diversity Officer (retired 2008), Vice President and Chief Information Officer (1997–2006), Controller (1995–1997), Treasurer (1991–1995), and Assistant Treasurer (1989–1991) 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 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, the Board of Catholic Investment Services, Inc. (investment advisor), and the Board of Superintendence of the Institute for the Works of Religion; Chairman of the Board of TIFF Advisory Services, Inc. (investment advisor).
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; Director of Vanguard Marketing Corporation; Executive Vice President and Chief Financial Officer of MassMutual Financial Group (2006–2016).
| |
| Vanguard Senior Management Team |
| |
| Mortimer J. Buckley | Chris D. McIsaac |
| Gregory Davis | James M. Norris |
| John James | Thomas M. Rampulla |
| Martha G. King | Karin A. Risi |
| John T. Marcante | |
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
|  |
| | P.O. Box 2600 |
| | Valley Forge, PA 19482-2600 |
| |
| |
| |
| Connect with Vanguard® > | vanguard.com |
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| |
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| 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. |
| |
| | Q16900 102017 |
Annual Report | August 31, 2017
Vanguard Russell 1000 Index Funds
Vanguard Russell 1000 Index Fund
Vanguard Russell 1000 Value Index Fund
Vanguard Russell 1000 Growth Index Fund
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
| |
| Contents | |
| Your Fund’s Performance at a Glance. | 1 |
| Chairman’s Perspective. | 4 |
| Russell 1000 Index Fund. | 8 |
| Russell 1000 Value Index Fund. | 23 |
| Russell 1000 Growth Index Fund. | 39 |
| Your Fund’s After-Tax Returns. | 57 |
| About Your Fund’s Expenses. | 58 |
| Trustees Approve Advisory Arrangements. | 60 |
| Glossary. | 62 |
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: Nautical images have been part of Vanguard’s rich heritage since its start in 1975. For an incoming ship, a lighthouse offers a beacon and safe path to shore. You can similarly depend on Vanguard to put you first––and light the way––as you strive to meet your financial goals. Our client focus and low costs, stemming from our unique ownership structure, assure that your interests are paramount.
Your Fund’s Performance at a Glance
• For the 12 months ended August 31, 2017, results for the three funds reviewed in this report ranged from more than 11% for Vanguard Russell 1000 Value Index Fund to almost 21% for Vanguard Russell 1000 Growth Index Fund. Vanguard Russell 1000 Index Fund, which includes both growth and value stocks, returned about 16%.
• The Index Fund and Growth Index Fund exceeded the average returns of their peer groups. The Value Index Fund trailed its peer average.
• All three funds benefited from the strong performance of technology and financial services stocks.
- The energy sector detracted from the returns of all three funds.
- Since their inception in 2010, all three funds have exceeded the average annual returns of their peer groups.
| |
| Total Returns: Fiscal Year Ended August 31, 2017 | |
| | Total |
| | Returns |
| Vanguard Russell 1000 Index Fund | |
| ETF Shares | |
| Market Price | 16.01% |
| Net Asset Value | 16.02 |
| Institutional Shares | 16.06 |
| Russell 1000 Index | 16.16 |
| Large-Cap Core Funds Average | 14.85 |
| 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 | 11.45% |
| Net Asset Value | 11.45 |
| Institutional Shares | 11.49 |
| Russell 1000 Value Index | 11.58 |
| Large-Cap Value Funds Average | 13.34 |
| 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 | 20.62% |
| Net Asset Value | 20.66 |
| Institutional Shares | 20.72 |
| Russell 1000 Growth Index | 20.82 |
| Large-Cap Growth Funds Average | 19.84 |
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.
| |
| Total Returns: Inception Through August 31, 2017 | |
| | Average |
| | Annual Return |
| Russell 1000 Index Fund ETF Shares Net Asset Value (Returns since inception: 9/20/2010) | 13.98% |
| Russell 1000 Index | 14.14 |
| Large-Cap Core Funds Average | 12.28 |
| Large-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
| |
| Russell 1000 Value Index Fund ETF Shares Net Asset Value (Returns since inception: 9/20/2010) | 12.60% |
| Russell 1000 Value Index | 12.77 |
| Large-Cap Value Funds Average | 11.45 |
| Large-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
| |
| Russell 1000 Growth Index Fund ETF Shares Net Asset Value (Returns since inception: 9/20/2010) | 15.29% |
| Russell 1000 Growth Index | 15.46 |
| Large-Cap Growth Funds Average | 13.50 |
| Large-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
The figures shown represent past performance, which is not a guarantee of future results. (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.
2
| | | |
| 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 fiscal year ended August 31, 2017, the funds’ 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, 0.12% 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.
3
Chairman’s Perspective
Bill McNabb
Chairman and Chief Executive Officer
Dear Shareholder,
Since mid-August we’ve been reaching out to you about the proposals put forth by the Vanguard funds that, if approved, will enable us to manage the funds more efficiently and effectively. As the November deadline for voting approaches, I’d like to offer some perspective on a few of the proposals that I believe are important to the way Vanguard operates and manages your investments. I hope you consider this information and promptly cast your ballot.
Your biggest advocate
The main driver for this proxy solicitation is to ask all our fund shareholders to elect a full slate of trustees who oversee each U.S.-based Vanguard mutual fund. These trustees serve an important role, making sure your funds are managed in your best interests. This includes monitoring fund performance, approving advisory agreements, and ensuring that we’re keeping your investment costs as low as possible. Simply put, they are your biggest advocate.
Each trustee brings a variety of skills and professional experiences that contribute to the board’s strength and diversity.
Of the 12 nominees, nine currently serve on the board, and three are new. If elected, the new board would include ten independent members, meaning they have no affiliation with Vanguard or the funds apart from any investments they may choose to make as private individuals.
4
These are the proposed new trustees:
• Sarah Bloom Raskin is a former member of the Federal Reserve Board of Governors and former deputy secretary of the U.S. Treasury Department. She is an expert in cybersecurity—a critically important issue at Vanguard, as we place a premium on protecting clients’ assets and sensitive data.
• Deanna Mulligan is chief executive officer of The Guardian Life Insurance Company of America. It’s rare to find a CEO such as Deanna who leads a company with a mutual ownership structure similar to Vanguard’s.
• Tim Buckley is president and a director of Vanguard and will succeed me in January as CEO. (I’ll remain chairman for a period to be determined by the board.) I interviewed Tim when he applied for his first job here in 1991 and again when he was graduating from Harvard Business School. I was thrilled he picked Vanguard as a place to build his career, and I’ve been delighted to see him take on several leadership positions, including as head of our Retail Investor Group, chief information officer, and chief investment officer. I can think of no one better prepared to succeed me.
| | | |
| Market Barometer | | | |
| | | Average Annual Total Returns |
| | | Periods Ended August 31, 2017 |
| | One Year | Three Years | Five Years |
| Stocks | | | |
| Russell 1000 Index (Large-caps) | 16.16% | 9.21% | 14.37% |
| Russell 2000 Index (Small-caps) | 14.91 | 7.67 | 13.15 |
| Russell 3000 Index (Broad U.S. market) | 16.06 | 9.08 | 14.27 |
| FTSE All-World ex US Index (International) | 18.74 | 2.80 | 7.76 |
| |
| Bonds | | | |
| Bloomberg Barclays U.S. Aggregate Bond Index | | | |
| (Broad taxable market) | 0.49% | 2.64% | 2.19% |
| Bloomberg Barclays Municipal Bond Index | | | |
| (Broad tax-exempt market) | 0.88 | 3.40 | 3.23 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.58 | 0.25 | 0.16 |
| |
| CPI | | | |
| Consumer Price Index | 1.94% | 1.06% | 1.28% |
5
Vanguard believes that diversity of thought, background, and experience, as well as diversity of personal characteristics, meaningfully contributes to the board’s ability to effectively serve shareholders. If Sarah and Deanna are elected, women will account for 40% of the board’s independent trustees.
I should note that even as Vanguard is nominating three new board members, we’re saying goodbye to trustee Rajiv Gupta. Rajiv was a legendary CEO of Rohm and Haas Co., and Vanguard and our clients have benefited greatly from his expertise. I wish him a happy retirement.
Summarizing the proposals
Among the trustees’ leading responsibilities is overseeing the funds’ internal and external investment advisory agreements. The trustees, in consultation with our Global Investment Committee and our Portfolio Review Department, choose the investment advisors that manage client assets. Over decades, we have built a strong track record of picking advisors whose portfolio management strategies have served clients well.
Two proposals in the proxy focus on this oversight responsibility. Shareholders of 48 Vanguard funds have already voted to allow the board to make external advisor changes without obtaining prior shareholder approval. The new proposals would extend
that policy across our entire U.S.-based fund lineup and expand it to include internal advisory agreements with Vanguard subsidiaries. Eliminating the need for shareholder approval removes a step that is costly and time-consuming if done frequently or on an individual fund basis. Although there are no current plans to employ the policy on any Vanguard-managed funds, standardizing it enables the trustees to retain an advisory firm to diversify a fund’s management team or ensure management continuity should a contingency arise.
I also encourage shareholders of several specific Vanguard index funds to read the proxy proposals that affect those funds. One proposal would change the investment objective of Vanguard REIT Index Fund and Vanguard Variable Insurance Fund REIT Index Portfolio to include real estate-related securities, aligning the funds with updated industry-sector classification methodology. Another proposal seeks to change the diversification status of the REIT Index Fund to enable it to better track its benchmark. Finally, we seek your approval of the Funds’ Service Agreement for Vanguard Institutional Index Fund and Vanguard Institutional Total Stock Market Index Fund. If approved, this arrangement would then be standardized across Vanguard’s entire publicly available U.S. mutual fund lineup. It should also reduce costs and minimum initial investment requirements in select share classes.
6
At the ballot box
We hope you’ll make it a priority to cast your ballot. We want to avoid the added time and cost of soliciting sufficient votes should we not obtain a quorum by the shareholder meeting on November 15, when voting concludes. Ultimately, we believe the proposals I’ve discussed are in your best interest as Vanguard fund shareholders, and the trustees recommend that you vote in favor of them. For more information, visit vanguard.com and enter the search term “proxy.”
As always, thank you for investing with Vanguard.
F. William McNabb III
Chairman and Chief Executive Officer
September 14, 2017
7
Russell 1000 Index Fund
Fund Profile
As of August 31, 2017
| | |
| Share-Class Characteristics | | |
| | ETF | Institutional |
| | Shares | Shares |
| Ticker Symbol | VONE | VRNIX |
| Expense Ratio1 | 0.12% | 0.08% |
| 30-Day SEC Yield | 1.82% | 1.87% |
| | | |
| Portfolio Characteristics | | |
| | | | DJ |
| | | | U.S. |
| | | | Total |
| | | Russell | Market |
| | | 1000 | FA |
| | Fund | Index | Index |
| Number of Stocks | 989 | 986 | 3,769 |
| Median Market Cap | $76.7B | $76.7B | $63.1B |
| Price/Earnings Ratio | 21.7x | 21.7x | 21.6x |
| Price/Book Ratio | 2.9x | 2.9x | 2.8x |
| Return on Equity | 15.5% | 15.5% | 15.1% |
| Earnings Growth Rate | 9.4% | 9.4% | 9.4% |
| Dividend Yield | 1.9% | 1.9% | 1.8% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | 11% | — | — |
| Short-Term Reserves | -0.2% | — | — |
| | |
| 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 | 3.6% |
| Alphabet Inc. | Computer Services | |
| | Software & Systems | 2.4 |
| Microsoft Corp. | Computer Services | |
| | Software & Systems | 2.4 |
| Facebook Inc. | Computer Services | |
| | Software & Systems | 1.7 |
| Amazon.com Inc. | Diversified Retail | 1.6 |
| Johnson & Johnson | Pharmaceuticals | 1.5 |
| Berkshire Hathaway Inc. Insurance: Multi-Line | 1.5 |
| Exxon Mobil Corp. | Oil: Integrated | 1.4 |
| JPMorgan Chase & Co. | Diversified Financial | |
| | Services | 1.4 |
| Bank of America Corp. | Banks: Diversified | 1.0 |
| Top Ten | | 18.5% |
Sector Diversification (% of equity exposure)
| | | |
| | | | DJ |
| | | Russell | U.S. Total |
| | | 1000 | Market |
| | Fund | Index | FA Index |
| Consumer Discretionary | 13.6% | 13.6% | 13.6% |
| Consumer Staples | 7.1 | 7.1 | 6.7 |
| Energy | 5.5 | 5.5 | 5.3 |
| Financial Services | 20.7 | 20.7 | 21.1 |
| Health Care | 13.9 | 13.9 | 13.9 |
| Materials & Processing | 3.6 | 3.6 | 3.6 |
| Other | 0.0 | 0.0 | 0.5 |
| Producer Durables | 10.6 | 10.6 | 10.8 |
| Technology | 19.7 | 19.7 | 19.2 |
| Utilities | 5.3 | 5.3 | 5.3 |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
Sector categories are based on the Russell Global Sectors (“RGS”),
except for the “Other” category (if applicable), which includes
securities that have not been provided a RGS classification as of
the effective reporting period.
1 The expense ratios shown are from the prospectus dated December 22, 2016, and represent estimated costs for the current fiscal year. For the
fiscal year ended August 31, 2017, the expense ratios were 0.12% for ETF Shares and 0.08% for Institutional Shares.
8
Russell 1000 Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 20, 2010, Through August 31, 2017
Initial Investment of $10,000
| | | | | |
| | | Average Annual Total Returns | |
| | | Periods Ended August 31, 2017 | |
| |
| | | | | Since | Final Value |
| | | One | Five | Inception | of a $10,000 |
| | | Year | Years | (9/20/2010) | Investment |
| |
| | Russell 1000 Index Fund*ETF Shares | | | | |
| | Net Asset Value | 16.02% | 14.20% | 13.98% | $24,815 |
| | Russell 1000 Index Fund*ETF Shares | | | | |
| | Market Price | 16.01 | 14.19 | 13.98 | 24,810 |
| |
| • • • • • • • • | Russell 1000 Index | 16.16 | 14.37 | 14.14 | 25,056 |
| |
| – – – – | Large-Cap Core Funds Average | 14.85 | 12.70 | 12.28 | 22,352 |
| | Dow Jones U.S. Total Stock Market | | | | |
| | Float Adjusted Index | 16.05 | 14.19 | 14.00 | 24,851 |
Large-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
| | | | |
| | | | Since | Final Value |
| | One | Five | Inception | of a $5,000,000 |
| | Year | Years | (10/15/2010) | Investment |
| |
| Russell 1000 Index Fund Institutional Shares | 16.06% | 14.25% | 13.65% | $12,056,714 |
| |
| Russell 1000 Index | 16.16 | 14.37 | 13.77 | 12,138,538 |
| Dow Jones U.S. Total Stock Market Float | | | | |
| Adjusted Index | 16.05 | 14.19 | 13.61 | 12,020,860 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
9
Russell 1000 Index Fund
| | | |
| Cumulative Returns of ETF Shares: September 20, 2010, Through August 31, 2017 | |
| | | | Since |
| | One | Five | Inception |
| | Year | Years | (9/20/2010) |
| Russell 1000 Index Fund ETF Shares Market Price | 16.01% | 94.11% | 148.10% |
| Russell 1000 Index Fund ETF Shares Net Asset | | | |
| Value | 16.02 | 94.23 | 148.15 |
| Russell 1000 Index | 16.16 | 95.68 | 150.56 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Fiscal-Year Total Returns (%): September 20, 2010, Through August 31, 2017
Average Annual Total Returns: Periods Ended June 30, 2017
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 | | 17.96% | 14.50% | 13.98% |
| Net Asset Value | | 17.88 | 14.49 | 13.97 |
| Institutional Shares | 10/15/2010 | 17.94 | 14.54 | 13.64 |
10
Russell 1000 Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of August 31, 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. | 46,046 | 45,153 | 1.6% |
| Comcast Corp. Class A | 545,573 | 22,156 | 0.8% |
| Home Depot Inc. | 139,361 | 20,886 | 0.8% |
| Walt Disney Co. | 181,493 | 18,367 | 0.7% |
| McDonald’s Corp. | 94,532 | 15,122 | 0.5% |
| Wal-Mart Stores Inc. | 168,958 | 13,191 | 0.5% |
| * Priceline Group Inc. | 5,693 | 10,544 | 0.4% |
| Consumer Discretionary—Other † | | 226,374 | 8.3% |
| | | 371,793 | 13.6% |
| Consumer Staples | | | |
| Procter & Gamble Co. | 296,427 | 27,351 | 1.0% |
| Philip Morris International Inc. | 179,960 | 21,043 | 0.8% |
| Coca-Cola Co. | 445,051 | 20,272 | 0.7% |
| PepsiCo Inc. | 165,506 | 19,154 | 0.7% |
| Altria Group Inc. | 224,252 | 14,218 | 0.5% |
| Consumer Staples—Other † | | 90,782 | 3.3% |
| | | 192,820 | 7.0% |
| Energy | | | |
| Exxon Mobil Corp. | 491,542 | 37,519 | 1.4% |
| Chevron Corp. | 219,285 | 23,600 | 0.8% |
| Schlumberger Ltd. | 161,138 | 10,234 | 0.4% |
| Energy—Other † | | 78,458 | 2.9% |
| | | 149,811 | 5.5% |
| Financial Services | | | |
| * Berkshire Hathaway Inc. Class B | 222,754 | 40,354 | 1.5% |
| JPMorgan Chase & Co. | 409,544 | 37,223 | 1.4% |
| Bank of America Corp. | 1,154,335 | 27,577 | 1.0% |
| Wells Fargo & Co. | 520,006 | 26,557 | 1.0% |
11
| | | |
| Russell 1000 Index Fund | | | |
| |
| |
| |
| | | Market | Percentage |
| | | Value• | of Net |
| | Shares | ($000) | Assets |
| Visa Inc. Class A | 214,957 | 22,252 | 0.8% |
| Citigroup Inc. | 319,034 | 21,704 | 0.8% |
| Mastercard Inc. Class A | 109,604 | 14,610 | 0.5% |
| Financial Services—Other † | | 375,778 | 13.7% |
| | | 566,055 | 20.7% |
| Health Care | | | |
| Johnson & Johnson | 312,484 | 41,363 | 1.5% |
| Pfizer Inc. | 684,926 | 23,233 | 0.8% |
| UnitedHealth Group Inc. | 111,127 | 22,103 | 0.8% |
| Merck & Co. Inc. | 317,418 | 20,270 | 0.7% |
| Amgen Inc. | 85,069 | 15,123 | 0.5% |
| AbbVie Inc. | 184,155 | 13,867 | 0.5% |
| Medtronic plc | 159,011 | 12,819 | 0.5% |
| Gilead Sciences Inc. | 150,709 | 12,616 | 0.5% |
| * Celgene Corp. | 89,864 | 12,485 | 0.5% |
| Bristol-Myers Squibb Co. | 190,961 | 11,549 | 0.4% |
| Health Care—Other † | | 193,859 | 7.1% |
| | | 379,287 | 13.8% |
| |
| Materials & Processing † | | 99,543 | 3.6% |
| |
| Producer Durables | | | |
| General Electric Co. | 1,007,583 | 24,736 | 0.9% |
| Boeing Co. | 65,876 | 15,788 | 0.6% |
| 3M Co. | 67,188 | 13,728 | 0.5% |
| Honeywell International Inc. | 88,278 | 12,206 | 0.4% |
| United Technologies Corp. | 86,437 | 10,348 | 0.4% |
| Producer Durables—Other † | | 212,529 | 7.8% |
| | | 289,335 | 10.6% |
| Technology | | | |
| Apple Inc. | 604,468 | 99,133 | 3.6% |
| Microsoft Corp. | 868,936 | 64,970 | 2.4% |
| * Facebook Inc. Class A | 270,415 | 46,503 | 1.7% |
| * Alphabet Inc. Class C | 35,121 | 32,990 | 1.2% |
| * Alphabet Inc. Class A | 34,399 | 32,859 | 1.2% |
| Intel Corp. | 546,131 | 19,153 | 0.7% |
| Cisco Systems Inc. | 580,702 | 18,704 | 0.7% |
| Oracle Corp. | 332,904 | 16,755 | 0.6% |
| International Business Machines Corp. | 99,614 | 14,248 | 0.5% |
| Broadcom Ltd. | 46,242 | 11,656 | 0.4% |
| NVIDIA Corp. | 65,759 | 11,142 | 0.4% |
| Technology—Other † | | 169,624 | 6.2% |
| | | 537,737 | 19.6% |
| Utilities | | | |
| AT&T Inc. | 712,472 | 26,689 | 1.0% |
| Verizon Communications Inc. | 473,303 | 22,704 | 0.8% |
| Utilities—Other † | | 95,461 | 3.5% |
| | | 144,854 | 5.3% |
| Total Common Stocks (Cost $2,156,206) | | 2,731,235 | 99.7%1 |
12
| | | | |
| Russell 1000 Index Fund | | | | |
| |
| |
| |
| | | | Market | Percentage |
| | | | Value• | of Net |
| | Coupon | Shares | ($000) | Assets |
| Temporary Cash Investments | | | | |
| Money Market Fund | | | | |
| 2,3 Vanguard Market Liquidity Fund | 1.224% | 13,763 | 1,377 | 0.1% |
| |
| 4U.S. Government and Agency Obligations † | | | 399 | 0.0% |
| Total Temporary Cash Investments (Cost $1,776) | | | 1,776 | 0.1%1 |
| 5Total Investments (Cost $2,157,982) | | | 2,733,011 | 99.8% |
| |
| | | | Amount | |
| | | | ($000) | |
| Other Assets and Liabilities | | | | |
| Other Assets | | | | |
| Investment in Vanguard | | | 175 | |
| Receivables for Accrued Income | | | 5,657 | |
| Receivables for Capital Shares Issued | | | 13,341 | |
| Variation Margin Receivable—Futures Contracts | | | 42 | |
| Total Other Assets | | | 19,215 | 0.7% |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | (2,518) | |
| Collateral for Securities on Loan | | | (1,371) | |
| Payables for Capital Shares Redeemed | | | (1,428) | |
| Payables to Vanguard | | | (654) | |
| Other Liabilities | | | (8,241) | |
| Total Liabilities | | | (14,212) | (0.5%) |
| Net Assets | | | 2,738,014 | 100.0% |
13
| |
| Russell 1000 Index Fund | |
| |
| |
| |
| At August 31, 2017, net assets consisted of: | |
| | Amount |
| | ($000) |
| Paid-in Capital | 2,193,564 |
| Undistributed Net Investment Income | 10,787 |
| Accumulated Net Realized Losses | (41,452) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 575,029 |
| Futures Contracts | 86 |
| Net Assets | 2,738,014 |
| |
| |
| ETF Shares—Net Assets | |
| Applicable to 6,375,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 724,175 |
| Net Asset Value Per Share—ETF Shares | $113.60 |
| |
| |
| Institutional Shares—Net Assets | |
| Applicable to 9,151,413 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 2,013,839 |
| Net Asset Value Per Share—Institutional Shares | $220.06 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer,
represent 1% or less of net assets.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and -0.2%, respectively,
of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown
is the 7-day yield.
3 Includes $1,371,000 of collateral received for securities on loan.
4 Securities with a value of $399,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $1,313,000.
| | | | |
| Derivative Financial Instruments Outstanding as of Period End | | |
| |
| Futures Contracts | | | | |
| | | | | ($000) |
| | | | | Value and |
| | | Number of | | Unrealized |
| | | Long (Short) | Notional | Appreciation |
| | Expiration | Contracts | Amount | (Depreciation) |
| Long Futures Contracts | | | | |
| E-mini S&P 500 Index | September 2017 | 58 | 7,163 | 86 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized
gain (loss) for tax purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
14
| |
| Russell 1000 Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Year Ended |
| | August 31,2017 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 51,665 |
| Interest1 | 66 |
| Securities Lending—Net | 114 |
| Total Income | 51,845 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 507 |
| Management and Administrative—ETF Shares | 583 |
| Management and Administrative—Institutional Shares | 891 |
| Marketing and Distribution—ETF Shares | 45 |
| Marketing and Distribution—Institutional Shares | 73 |
| Custodian Fees | 143 |
| Auditing Fees | 32 |
| Shareholders’ Reports and Proxy—ETF Shares | 24 |
| Shareholders’ Reports and Proxy—Institutional Shares | 2 |
| Trustees’ Fees and Expenses | 2 |
| Total Expenses | 2,302 |
| Net Investment Income | 49,543 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 71,385 |
| Futures Contracts | 1,279 |
| Realized Net Gain (Loss) | 72,664 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 254,263 |
| Futures Contracts | (221) |
| Change in Unrealized Appreciation (Depreciation) | 254,042 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 376,249 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $63,000 and $1,000, respectively.
See accompanying Notes, which are an integral part of the Financial Statements.
15
| | |
| Russell 1000 Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Year Ended August 31, |
| | 2017 | 2016 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 49,543 | 40,787 |
| Realized Net Gain (Loss) | 72,664 | 11,430 |
| Change in Unrealized Appreciation (Depreciation) | 254,042 | 164,142 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 376,249 | 216,359 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (13,358) | (11,541) |
| Institutional Shares | (34,418) | (26,919) |
| Realized Capital Gain | | |
| ETF Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (47,776) | (38,460) |
| Capital Share Transactions | | |
| ETF Shares | (45,968) | 110,695 |
| Institutional Shares | 227,507 | 174,442 |
| Net Increase (Decrease) from Capital Share Transactions | 181,539 | 285,137 |
| Total Increase (Decrease) | 510,012 | 463,036 |
| Net Assets | | |
| Beginning of Period | 2,228,002 | 1,764,966 |
| End of Period1 | 2,738,014 | 2,228,002 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $10,787,000 and $9,020,000.
See accompanying Notes, which are an integral part of the Financial Statements.
16
| | | | | |
| Russell 1000 Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| ETF Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $99.81 | $91.37 | $92.70 | $75.40 | $64.29 |
| Investment Operations | | | | | |
| Net Investment Income | 2.0541 | 1.892 | 1.679 | 1.553 | 1.444 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | 13.753 | 8.383 | (1.355) | 17.272 | 11.068 |
| Total from Investment Operations | 15.807 | 10.275 | . 324 | 18.825 | 12.512 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (2.017) | (1.835) | (1.654) | (1.525) | (1.402) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (2.017) | (1.835) | (1.654) | (1.525) | (1.402) |
| Net Asset Value, End of Period | $113.60 | $99.81 | $91.37 | $92.70 | $75.40 |
| |
| Total Return | 16.02% | 11.41% | 0.29% | 25.18% | 19.70% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $724 | $679 | $514 | $380 | $219 |
| Ratio of Total Expenses to | | | | | |
| Average Net Assets | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 1.94% | 2.05% | 1.84% | 1.85% | 2.09% |
| Portfolio Turnover Rate2 | 11% | 9% | 4% | 7% | 11% |
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.
17
| | | | | |
| Russell 1000 Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| Institutional Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $193.36 | $176.99 | $179.58 | $146.04 | $124.53 |
| Investment Operations | | | | | |
| Net Investment Income | 4.0801 | 3.732 | 3.329 | 3.060 | 2.850 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | 26.609 | 16.259 | (2.641) | 33.485 | 21.424 |
| Total from Investment Operations | 30.689 | 19.991 | .688 | 36.545 | 24.274 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (3.989) | (3.621) | (3.278) | (3.005) | (2.764) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (3.989) | (3.621) | (3.278) | (3.005) | (2.764) |
| Net Asset Value, End of Period | $220.06 | $193.36 | $176.99 | $179.58 | $146.04 |
| |
| Total Return | 16.06% | 11.47% | 0.33% | 25.24% | 19.73% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $2,014 | $1,549 | $1,251 | $944 | $677 |
| Ratio of Total Expenses to | | | | | |
| Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 1.98% | 2.09% | 1.88% | 1.89% | 2.13% |
| Portfolio Turnover Rate2 | 11% | 9% | 4% | 7% | 11% |
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.
18
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 notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 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 the notional amounts at each quarter-end during the period.
19
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, 2014–2017), 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 event 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 August 31, 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.
20
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), shareholder reporting, and the proxy. 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 August 31, 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). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of August 31, 2017, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 2,731,235 | — | — |
| Temporary Cash Investments | 1,377 | 399 | — |
| Futures Contracts—Assets1 | 42 | — | — |
| Total | 2,732,654 | 399 | — |
| 1 Represents variation margin on the last day of the reporting period. | | | |
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
21
Russell 1000 Index Fund
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 year ended August 31, 2017, the fund realized $69,287,000 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.
For tax purposes, at August 31, 2017, the fund had $11,331,000 of ordinary income available for distribution. The fund used capital loss carryforwards of $3,156,000 to offset taxable capital gains realized during the year ended August 31, 2017. At August 31, 2017, the fund had available capital losses totaling $41,367,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2017, the cost of investment securities for tax purposes was $2,157,982,000. Net unrealized appreciation of investment securities for tax purposes was $575,029,000, consisting of unrealized gains of $646,450,000 on securities that had risen in value since their purchase and $71,421,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2017, the fund purchased $616,668,000 of investment securities and sold $429,716,000 of investment securities, other than temporary cash investments. Purchases and sales include $55,799,000 and $164,146,000, 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: | | | |
| | | | Year Ended August 31, |
| | | 2017 | | 2016 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 120,235 | 1,150 | 277,860 | 2,950 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (166,203) | (1,575) | (167,165) | (1,775) |
| Net Increase (Decrease)—ETF Shares | (45,968) | (425) | 110,695 | 1,175 |
| Institutional Shares | | | | |
| Issued | 492,249 | 2,424 | 267,141 | 1,450 |
| Issued in Lieu of Cash Distributions | 31,880 | 157 | 24,538 | 137 |
| Redeemed | (296,622) | (1,442) | (117,237) | (643) |
| Net Increase (Decrease)—Institutional Shares | 227,507 | 1,139 | 174,442 | 944 |
G. Management has determined that no material events or transactions occurred subsequent to August 31, 2017, that would require recognition or disclosure in these financial statements.
22
Russell 1000 Value Index Fund
Fund Profile
As of August 31, 2017
| | |
| Share-Class Characteristics | | |
| | ETF | Institutional |
| | Shares | Shares |
| Ticker Symbol | VONV | VRVIX |
| Expense Ratio1 | 0.12% | 0.08% |
| 30-Day SEC Yield | 2.39% | 2.42% |
| | | |
| Portfolio Characteristics | | |
| | | | DJ |
| | | | U.S. |
| | | Russell | Total |
| | | 1000 | Market |
| | | Value | FA |
| | Fund | Index | Index |
| Number of Stocks | 719 | 718 | 3,769 |
| Median Market Cap | $61.4B | $61.4B | $63.1B |
| Price/Earnings Ratio | 18.5x | 18.5x | 21.6x |
| Price/Book Ratio | 1.9x | 1.9x | 2.8x |
| Return on Equity | 11.5% | 11.5% | 15.1% |
| Earnings Growth Rate | 6.1% | 6.1% | 9.4% |
| Dividend Yield | 2.4% | 2.4% | 1.8% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | 22% | — | — |
| Short-Term Reserves | 0.0% | — | — |
| | | |
| Sector Diversification (% of equity exposure) |
| | | Russell | DJ |
| | | 1000 | U.S. Total |
| | | Value | Market |
| | Fund | Index | FA Index |
| Consumer Discretionary | 8.4% | 8.4% | 13.6% |
| Consumer Staples | 8.0 | 8.0 | 6.7 |
| Energy | 10.2 | 10.2 | 5.3 |
| Financial Services | 30.6 | 30.7 | 21.1 |
| Health Care | 14.2 | 14.2 | 13.9 |
| Materials & Processing | 3.2 | 3.1 | 3.6 |
| Other | 0.0 | 0.0 | 0.5 |
| Producer Durables | 8.2 | 8.2 | 10.8 |
| Technology | 7.6 | 7.6 | 19.2 |
| Utilities | 9.6 | 9.6 | 5.3 |
Sector categories are based on the Russell Global Sectors (“RGS”),
except for the “Other” category (if applicable), which includes
securities that have not been provided a RGS classification as of
the effective reporting period.
| | |
| Volatility Measures | | |
| | Russell | DJ |
| | 1000 | U.S. Total |
| | Value | Market |
| | Index | FA Index |
| R-Squared | 1.00 | 0.94 |
| Beta | 1.00 | 0.97 |
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) |
| Berkshire Hathaway Inc. Insurance: Multi-Line | 3.0% |
| Exxon Mobil Corp. | Oil: Integrated | 2.7 |
| JPMorgan Chase & Co. | Diversified Financial | |
| | Services | 2.7 |
| Johnson & Johnson | Pharmaceuticals | 2.6 |
| Bank of America Corp. | Banks: Diversified | 2.0 |
| AT&T Inc. | Utilities: | |
| | Telecommunications | 2.0 |
| Wells Fargo & Co. | Banks: Diversified | 1.9 |
| Procter & Gamble Co. | Personal Care | 1.9 |
| Chevron Corp. | Oil: Integrated | 1.7 |
| Pfizer Inc. | Pharmaceuticals | 1.7 |
| Top Ten | | 22.2% |
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
fiscal year ended August 31, 2017, the expense ratios were 0.12% for ETF Shares and 0.08% for Institutional Shares.
23
Russell 1000 Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 20, 2010, Through August 31, 2017
Initial Investment of $10,000
| | | | | |
| | | Average Annual Total Returns | |
| | | Periods Ended August 31, 2017 | |
| |
| | | | | Since | Final Value |
| | | One | Five | Inception | of a $10,000 |
| | | Year | Years | (9/20/2010) | Investment |
| |
| | Russell 1000 Value Index Fund*ETF | | | | |
| | Shares Net Asset Value | 11.45% | 13.08% | 12.60% | $22,805 |
| | Russell 1000 Value Index Fund*ETF | | | | |
| | Shares Market Price | 11.45 | 13.07 | 12.60 | 22,806 |
| |
| • • • • • • • • | Russell 1000 Value Index | 11.58 | 13.25 | 12.77 | 23,045 |
| |
| – – – – | Large-Cap Value Funds Average | 13.34 | 12.17 | 11.45 | 21,233 |
| | Dow Jones U.S. Total Stock Market | | | | |
| | Float Adjusted Index | 16.05 | 14.19 | 14.00 | 24,851 |
Large-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
| | | | |
| | | | Since | Final Value |
| | One | Five | Inception | of a $5,000,000 |
| | Year | Years | (12/10/2010) | Investment |
| Russell 1000 Value Index Fund Institutional | | | | |
| Shares | 11.49% | 13.14% | 11.89% | $10,640,823 |
| |
| Russell 1000 Value Index | 11.58 | 13.25 | 11.99 | 10,708,728 |
| Dow Jones U.S. Total Stock Market Float | | | | |
| Adjusted Index | 16.05 | 14.19 | 12.86 | 11,278,465 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
24
| | | |
| Russell 1000 Value Index Fund | | | |
| |
| |
| |
| |
| Cumulative Returns of ETF Shares: September 20, 2010, Through August 31, 2017 | |
| | | | Since |
| | One | Five | Inception |
| | Year | Years | (9/20/2010) |
| Russell 1000 Value Index Fund ETF Shares Market | | | |
| Price | 11.45% | 84.79% | 128.06% |
| Russell 1000 Value Index Fund ETF Shares Net | | | |
| Asset Value | 11.45 | 84.88 | 128.05 |
| Russell 1000 Value Index | 11.58 | 86.28 | 130.45 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Fiscal-Year Total Returns (%): September 20, 2010, Through August 31, 2017
Average Annual Total Returns: Periods Ended June 30, 2017
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 | | 15.41% | 13.77% | 12.92% |
| Net Asset Value | | 15.39 | 13.76 | 12.92 |
| Institutional Shares | 12/10/2010 | 15.43 | 13.82 | 12.19 |
25
Russell 1000 Value Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of August 31, 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. | 332,457 | 25,955 | 1.0% |
| Time Warner Inc. | 176,707 | 17,865 | 0.7% |
| Walt Disney Co. | 113,027 | 11,438 | 0.4% |
| General Motors Co. | 312,912 | 11,434 | 0.4% |
| Consumer Discretionary—Other † | | 158,587 | 5.9% |
| | | 225,279 | 8.4% |
| Consumer Staples | | | |
| Procter & Gamble Co. | 554,207 | 51,137 | 1.9% |
| Philip Morris International Inc. | 322,123 | 37,666 | 1.4% |
| CVS Health Corp. | 232,250 | 17,962 | 0.7% |
| Walgreens Boots Alliance Inc. | 173,767 | 14,162 | 0.5% |
| Mondelez International Inc. Class A | 334,732 | 13,610 | 0.5% |
| Colgate-Palmolive Co. | 165,323 | 11,844 | 0.4% |
| Consumer Staples—Other † | | 68,453 | 2.6% |
| | | 214,834 | 8.0% |
| Energy | | | |
| Exxon Mobil Corp. | 967,376 | 73,840 | 2.7% |
| Chevron Corp. | 431,307 | 46,417 | 1.7% |
| Schlumberger Ltd. | 317,329 | 20,154 | 0.8% |
| ConocoPhillips | 282,410 | 12,330 | 0.5% |
| Energy—Other † | | 121,948 | 4.5% |
| | | 274,689 | 10.2% |
| Financial Services | | | |
| * Berkshire Hathaway Inc. Class B | 438,898 | 79,511 | 3.0% |
| JPMorgan Chase & Co. | 806,817 | 73,332 | 2.7% |
| Bank of America Corp. | 2,272,437 | 54,289 | 2.0% |
| Wells Fargo & Co. | 1,024,851 | 52,339 | 1.9% |
| Citigroup Inc. | 628,460 | 42,754 | 1.6% |
26
| | | |
| Russell 1000 Value Index Fund | | | |
| |
| |
| |
| | | Market | Percentage |
| | | Value• | of Net |
| | Shares | ($000) | Assets |
| Goldman Sachs Group Inc. | 83,756 | 18,740 | 0.7% |
| US Bancorp | 360,782 | 18,490 | 0.7% |
| Chubb Ltd. | 105,963 | 14,985 | 0.6% |
| American Express Co. | 171,151 | 14,736 | 0.6% |
| PNC Financial Services Group Inc. | 110,437 | 13,850 | 0.5% |
| Morgan Stanley | 301,264 | 13,708 | 0.5% |
| Bank of New York Mellon Corp. | 230,107 | 12,030 | 0.4% |
| BlackRock Inc. | 28,385 | 11,894 | 0.4% |
| American International Group Inc. | 185,164 | 11,199 | 0.4% |
| Financial Services—Other † | | 392,044 | 14.6% |
| | | 823,901 | 30.6% |
| Health Care | | | |
| Johnson & Johnson | 521,210 | 68,993 | 2.6% |
| Pfizer Inc. | 1,349,735 | 45,783 | 1.7% |
| Merck & Co. Inc. | 590,422 | 37,704 | 1.4% |
| Medtronic plc | 289,669 | 23,353 | 0.9% |
| Amgen Inc. | 119,544 | 21,251 | 0.8% |
| Abbott Laboratories | 385,768 | 19,651 | 0.7% |
| Allergan plc | 76,601 | 17,578 | 0.7% |
| Anthem Inc. | 60,581 | 11,876 | 0.4% |
| Danaher Corp. | 139,861 | 11,667 | 0.4% |
| Bristol-Myers Squibb Co. | 191,022 | 11,553 | 0.4% |
| Health Care—Other † | | 112,147 | 4.2% |
| | | 381,556 | 14.2% |
| Materials & Processing | | | |
| Dow Chemical Co. | 278,531 | 18,564 | 0.7% |
| Materials & Processing—Other † | | 65,859 | 2.4% |
| | | 84,423 | 3.1% |
| Producer Durables | | | |
| General Electric Co. | 1,638,256 | 40,219 | 1.5% |
| United Technologies Corp. | 170,179 | 20,374 | 0.7% |
| Producer Durables—Other † | | 159,292 | 5.9% |
| | | 219,885 | 8.1% |
| Technology | | | |
| Intel Corp. | 1,075,557 | 37,720 | 1.4% |
| Cisco Systems Inc. | 1,143,694 | 36,838 | 1.4% |
| Oracle Corp. | 602,600 | 30,329 | 1.1% |
| QUALCOMM Inc. | 337,253 | 17,628 | 0.7% |
| Technology—Other † | | 81,342 | 3.0% |
| | | 203,857 | 7.6% |
| Utilities | | | |
| AT&T Inc. | 1,403,553 | 52,577 | 2.0% |
| Verizon Communications Inc. | 465,842 | 22,346 | 0.8% |
| NextEra Energy Inc. | 106,696 | 16,059 | 0.6% |
| Duke Energy Corp. | 159,493 | 13,924 | 0.5% |
| Dominion Energy Inc. | 142,972 | 11,262 | 0.4% |
| Utilities—Other † | | 142,370 | 5.3% |
| | | 258,538 | 9.6% |
| Total Common Stocks (Cost $2,428,877) | | 2,686,962 | 99.8%1 |
27
| | | | |
| Russell 1000 Value Index Fund | | | | |
| |
| |
| |
| | | | Market | Percentage |
| | | | Value• | of Net |
| | Coupon | Shares | ($000) | Assets |
| Temporary Cash Investments | | | | |
| Money Market Fund | | | | |
| 2,3 Vanguard Market Liquidity Fund | 1.224% | 85,941 | 8,596 | 0.3% |
| |
| 4U.S. Government and Agency Obligations † | | | 899 | 0.0% |
| Total Temporary Cash Investments (Cost $9,495) | | | 9,495 | 0.3%1 |
| 5Total Investments (Cost $2,438,372) | | | 2,696,457 | 100.1% |
| |
| | | | Amount | |
| | | | ($000) | |
| Other Assets and Liabilities | | | | |
| Other Assets | | | | |
| Investment in Vanguard | | | 172 | |
| Receivables for Accrued Income | | | 7,274 | |
| Receivables for Capital Shares Issued | | | 1,497 | |
| Variation Margin Receivable—Futures Contracts | | | 47 | |
| Total Other Assets | | | 8,990 | 0.3% |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | (8,001) | |
| Collateral for Securities on Loan | | | (785) | |
| Payables for Capital Shares Redeemed | | | (2,301) | |
| Payables to Vanguard | | | (669) | |
| Other Liabilities | | | (81) | |
| Total Liabilities | | | (11,837) | (0.4%) |
| Net Assets | | | 2,693,610 | 100.0% |
28
| |
| Russell 1000 Value Index Fund | |
| |
| |
| |
| At August 31, 2017, net assets consisted of: | |
| | Amount |
| | ($000) |
| Paid-in Capital | 2,469,792 |
| Undistributed Net Investment Income | 14,724 |
| Accumulated Net Realized Losses | (49,105) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 258,085 |
| Futures Contracts | 114 |
| Net Assets | 2,693,610 |
| |
| |
| ETF Shares—Net Assets | |
| Applicable to 11,375,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 1,152,564 |
| Net Asset Value Per Share—ETF Shares | $101.32 |
| |
| |
| Institutional Shares—Net Assets | |
| Applicable to 7,788,935 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 1,541,046 |
| Net Asset Value Per Share—Institutional Shares | $197.85 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer,
represent 1% or less of net assets.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 100.1% and 0.0%, 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 $785,000 of collateral received for securities on loan.
4 Securities with a value of $300,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $729,000.
| | | | |
| Derivative Financial Instruments Outstanding as of Period End | | |
| Futures Contracts | | | | |
| | | | | ($000) |
| | | | | Value and |
| | | Number of | | Unrealized |
| | | Long (Short) | Notional | Appreciation |
| | Expiration | Contracts | Amount | (Depreciation) |
| Long Futures Contracts | | | | |
| E-mini S&P 500 Index | September 2017 | 66 | 8,151 | 114 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
29
| |
| Russell 1000 Value Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Year Ended |
| | August31,2017 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 64,454 |
| Interest1 | 45 |
| Securities Lending—Net | 83 |
| Total Income | 64,582 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 505 |
| Management and Administrative—ETF Shares | 747 |
| Management and Administrative—Institutional Shares | 733 |
| Marketing and Distribution—ETF Shares | 61 |
| Marketing and Distribution—Institutional Shares | 66 |
| Custodian Fees | 190 |
| Auditing Fees | 32 |
| Shareholders’ Reports and Proxy—ETF Shares | 27 |
| Shareholders’ Reports and Proxy—Institutional Shares | 3 |
| Trustees’ Fees and Expenses | 2 |
| Total Expenses | 2,366 |
| Net Investment Income | 62,216 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 92,603 |
| Futures Contracts | 1,055 |
| Realized Net Gain (Loss) | 93,658 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 107,024 |
| Futures Contracts | (219) |
| Change in Unrealized Appreciation (Depreciation) | 106,805 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 262,679 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $42,000 and $0, respectively.
See accompanying Notes, which are an integral part of the Financial Statements.
30
| | |
| Russell 1000 Value Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Year Ended August 31, |
| | 2017 | 2016 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 62,216 | 48,174 |
| Realized Net Gain (Loss) | 93,658 | 65,494 |
| Change in Unrealized Appreciation (Depreciation) | 106,805 | 113,269 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 262,679 | 226,937 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (21,356) | (11,809) |
| Institutional Shares | (37,526) | (33,672) |
| Realized Capital Gain | | |
| ETF Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (58,882) | (45,481) |
| Capital Share Transactions | | |
| ETF Shares | 411,800 | 210,387 |
| Institutional Shares | (74,873) | 71,161 |
| Net Increase (Decrease) from Capital Share Transactions | 336,927 | 281,548 |
| Total Increase (Decrease) | 540,724 | 463,004 |
| Net Assets | | |
| Beginning of Period | 2,152,886 | 1,689,882 |
| End of Period1 | 2,693,610 | 2,152,886 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $14,724,000 and $11,389,000.
See accompanying Notes, which are an integral part of the Financial Statements.
31
| | | | | |
| Russell 1000 Value Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| ETF Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $93.14 | $84.77 | $89.83 | $73.82 | $61.49 |
| Investment Operations | | | | | |
| Net Investment Income | 2.4371 | 2.205 | 1.990 | 1.774 | 1.610 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | 8.109 | 8.312 | (5.097) | 15.967 | 12.290 |
| Total from Investment Operations | 10.546 | 10.517 | (3.107) | 17.741 | 13.900 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (2.366) | (2.147) | (1.953) | (1.731) | (1.570) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (2.366) | (2.147) | (1.953) | (1.731) | (1.570) |
| Net Asset Value, End of Period | $101.32 | $93.14 | $84.77 | $89.83 | $73.82 |
| |
| Total Return | 11.45% | 12.65% | -3.59% | 24.27% | 22.90% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $1,153 | $668 | $407 | $283 | $137 |
| Ratio of Total Expenses | | | | | |
| to Average Net Assets | 0.12% | 0.12% | 0.12% | 0.12% | 0.15% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 2.48% | 2.58% | 2.26% | 2.22% | 2.39% |
| Portfolio Turnover Rate2 | 22% | 18% | 18% | 16% | 26% |
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.
32
| | | | | |
| Russell 1000 Value Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| Institutional Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $181.86 | $165.50 | $175.38 | $144.13 | $120.04 |
| Investment Operations | | | | | |
| Net Investment Income | 4.8501 | 4.359 | 3.946 | 3.528 | 3.228 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | 15.821 | 16.249 | (9.955) | 31.182 | 24.017 |
| Total from Investment Operations | 20.671 | 20.608 | (6.009) | 34.710 | 27.245 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (4.681) | (4.248) | (3.871) | (3.460) | (3.155) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (4.681) | (4.248) | (3.871) | (3.460) | (3.155) |
| Net Asset Value, End of Period | $197.85 | $181.86 | $165.50 | $175.38 | $144.13 |
| |
| Total Return | 11.49% | 12.72% | -3.55% | 24.33% | 23.00% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $1,541 | $1,485 | $1,283 | $1,222 | $797 |
| Ratio of Total Expenses to | | | | | |
| Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 2.52% | 2.62% | 2.30% | 2.26% | 2.46% |
| Portfolio Turnover Rate 2 | 22% | 18% | 18% | 16% | 26% |
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.
33
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 notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 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 the notional amounts at each quarter-end during the period.
34
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, 2014–2017), 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 event 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 August 31, 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.
35
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), shareholder reporting, and the proxy. 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 August 31, 2017, the fund had contributed to Vanguard capital in the amount of $172,000, 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). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of August 31, 2017, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 2,686,962 | — | — |
| Temporary Cash Investments | 8,596 | 899 | — |
| Futures Contracts—Assets1 | 47 | — | — |
| Total | 2,695,605 | 899 | — |
| 1 Represents variation margin on the last day of the reporting period. | | | |
36
Russell 1000 Value Index Fund
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 year ended August 31, 2017, the fund realized $107,488,000 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.
For tax purposes, at August 31, 2017, the fund had $15,277,000 of ordinary income available for distribution. The fund had available capital losses totaling $48,991,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2017, the cost of investment securities for tax purposes was $2,438,378,000. Net unrealized appreciation of investment securities for tax purposes was $258,079,000, consisting of unrealized gains of $366,093,000 on securities that had risen in value since their purchase and $108,014,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2017, the fund purchased $1,271,550,000 of investment securities and sold $927,289,000 of investment securities, other than temporary cash investments. Purchases and sales include $602,721,000 and $375,026,000, 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 year ended August 31, 2017, such purchases and sales were $270,865,000 and $85,271,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
37
Russell 1000 Value Index Fund
| | | | |
| F. Capital share transactions for each class of shares were: | | | |
| | | | Year Ended August 31, |
| | | 2017 | | 2016 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 731,025 | 7,400 | 553,382 | 6,375 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (319,225) | (3,200) | (342,995) | (4,000) |
| Net Increase (Decrease)—ETF Shares | 411,800 | 4,200 | 210,387 | 2,375 |
| Institutional Shares | | | | |
| Issued | 399,585 | 2,102 | 352,730 | 2,075 |
| Issued in Lieu of Cash Distributions | 35,304 | 186 | 32,049 | 192 |
| Redeemed | (509,762) | (2,663) | (313,618) | (1,855) |
| Net Increase (Decrease)—Institutional Shares | (74,873) | (375) | 71,161 | 412 |
G. Management has determined that no material events or transactions occurred subsequent to August 31, 2017, that would require recognition or disclosure in these financial statements.
38
Russell 1000 Growth Index Fund
Fund Profile
As of August 31, 2017
| | |
| Share-Class Characteristics | | |
| | ETF | Institutional |
| | Shares | Shares |
| Ticker Symbol | VONG | VRGWX |
| Expense Ratio1 | 0.12% | 0.08% |
| 30-Day SEC Yield | 1.27% | 1.30% |
| | | |
| Portfolio Characteristics | | |
| | | | DJ |
| | | | U.S. |
| | | Russell | Total |
| | | 1000 | Market |
| | | Growth | FA |
| | Fund | Index | Index |
| Number of Stocks | 553 | 552 | 3,769 |
| Median Market Cap | $86.8B | $86.8B | $63.1B |
| Price/Earnings Ratio | 26.2x | 26.2x | 21.6x |
| Price/Book Ratio | 6.3x | 6.3x | 2.8x |
| Return on Equity | 21.8% | 21.8% | 15.1% |
| Earnings Growth Rate | 12.6% | 12.6% | 9.4% |
| Dividend Yield | 1.3% | 1.3% | 1.8% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | 21% | — | — |
| Short-Term Reserves | -0.2% | — | — |
| | | |
| Sector Diversification (% of equity exposure) |
| | | Russell | DJ |
| | | 1000 | U.S. Total |
| | | Growth | Market |
| | Fund | Index | FA Index |
| Consumer Discretionary | 18.8% | 18.8% | 13.6% |
| Consumer Staples | 6.1 | 6.1 | 6.7 |
| Energy | 0.8 | 0.8 | 5.3 |
| Financial Services | 10.8 | 10.8 | 21.1 |
| Health Care | 13.6 | 13.6 | 13.9 |
| Materials & Processing | 4.1 | 4.1 | 3.6 |
| Other | 0.0 | 0.0 | 0.5 |
| Producer Durables | 13.0 | 13.0 | 10.8 |
| Technology | 31.8 | 31.8 | 19.2 |
| Utilities | 1.0 | 1.0 | 5.3 |
Sector categories are based on the Russell Global Sectors (“RGS”),
except for the “Other” category (if applicable), which includes
securities that have not been provided a RGS classification as of
the effective reporting period.
| | |
| Volatility Measures | | |
| | | DJ |
| | | U.S. Total |
| | Russell 1000 | Market |
| | Growth Index | FA Index |
| R-Squared | 1.00 | 0.92 |
| 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 | 7.2% |
| Alphabet Inc. | Computer Services | |
| | Software & Systems | 4.8 |
| Microsoft Corp. | Computer Services | |
| | Software & Systems | 4.7 |
| Facebook Inc. | Computer Services | |
| | Software & Systems | 3.4 |
| Amazon.com Inc. | Diversified Retail | 3.3 |
| Visa Inc. | Financial Data & | |
| | Systems | 1.6 |
| UnitedHealth Group Inc. | Health Care | |
| | Management | |
| | Services | 1.6 |
| Home Depot Inc. | Specialty Retail | 1.5 |
| Comcast Corp. | Cable Television | |
| | Services | 1.5 |
| PepsiCo Inc. | Beverage: Soft | |
| | Drinks | 1.2 |
| Top Ten | | 30.8% |
The holdings listed exclude any temporary cash investments and
equity index products.
Investment Focus
1 The expense ratios shown are from the prospectus dated December 22, 2016, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2017, the expense ratios were 0.12% for ETF Shares and 0.08% for Institutional Shares.
39
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.
Cumulative Performance: September 20, 2010, Through August 31, 2017
Initial Investment of $10,000
| | | | | |
| | | Average Annual Total Returns | |
| | | Periods Ended August 31, 2017 | |
| |
| | | | | Since | Final Value |
| | | One | Five | Inception | of a $10,000 |
| | | Year | Years | (9/20/2010) | Investment |
| |
| | Russell 1000 Growth Index Fund*ETF | | | | |
| | Shares Net Asset Value | 20.66% | 15.27% | 15.29% | $26,868 |
| | Russell 1000 Growth Index Fund*ETF | | | | |
| | Shares Market Price | 20.62 | 15.39 | 15.29 | 26,867 |
| |
| • • • • • • • • | Russell 1000 Growth Index | 20.82 | 15.41 | 15.46 | 27,135 |
| |
| – – – – | Large-Cap Growth Funds Average | 19.84 | 13.99 | 13.50 | 24,095 |
| | Dow Jones U.S. Total Stock Market | | | | |
| | Float Adjusted Index | 16.05 | 14.19 | 14.00 | 24,851 |
Large-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
| | | | |
| | | | Since | Final Value |
| | One | Five | Inception | of a $5,000,000 |
| | Year | Years | (12/6/2010) | Investment |
| Russell 1000 Growth Index Fund | | | | |
| Institutional Shares | 20.72% | 15.32% | 14.15% | $12,188,928 |
| |
| Russell 1000 Growth Index | 20.82 | 15.41 | 14.25 | 12,259,941 |
| Dow Jones U.S. Total Stock Market Float | | | | |
| Adjusted Index | 16.05 | 14.19 | 13.08 | 11,438,173 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
40
Russell 1000 Growth Index Fund
| | | |
| Cumulative Returns of ETF Shares: September 20, 2010, Through August 31, 2017 | |
| |
| | | | Since |
| | One | Five | Inception |
| | Year | Years | (9/20/2010) |
| Russell 1000 Growth Index Fund ETF Shares Market | | | |
| Price | 20.62% | 104.53% | 168.67% |
| Russell 1000 Growth Index Fund ETF Shares Net | | | |
| Asset Value | 20.66 | 103.48 | 168.68 |
| |
| Russell 1000 Growth Index | 20.82 | 104.72 | 171.35 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Fiscal-Year Total Returns (%): September 20, 2010, Through August 31, 2017
Average Annual Total Returns: Periods Ended June 30, 2017
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 | | 20.28% | 15.17% | 14.95% |
| Net Asset Value | | 20.28 | 15.16 | 14.95 |
| Institutional Shares | 12/6/2010 | 20.33 | 15.22 | 13.77 |
41
Russell 1000 Growth Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of August 31, 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. | 127,518 | 125,044 | 3.3% |
| Home Depot Inc. | 385,664 | 57,799 | 1.5% |
| Comcast Corp. Class A | 1,397,930 | 56,770 | 1.5% |
| McDonald’s Corp. | 261,913 | 41,898 | 1.1% |
| Walt Disney Co. | 342,980 | 34,710 | 0.9% |
| * Priceline Group Inc. | 15,745 | 29,161 | 0.8% |
| Starbucks Corp. | 452,611 | 24,830 | 0.7% |
| * Netflix Inc. | 131,588 | 22,990 | 0.6% |
| NIKE Inc. Class B | 423,996 | 22,391 | 0.6% |
| Costco Wholesale Corp. | 139,970 | 21,939 | 0.6% |
| Lowe’s Cos. Inc. | 275,164 | 20,332 | 0.5% |
| * Charter Communications Inc. Class A | 42,736 | 17,032 | 0.4% |
| Consumer Discretionary—Other † | | 238,074 | 6.3% |
| | | 712,970 | 18.8% |
| Consumer Staples | | | |
| PepsiCo Inc. | 398,912 | 46,166 | 1.2% |
| Coca-Cola Co. | 922,473 | 42,019 | 1.1% |
| Altria Group Inc. | 620,268 | 39,325 | 1.0% |
| Consumer Staples—Other † | | 104,242 | 2.8% |
| | | 231,752 | 6.1% |
| |
| Energy † | | 28,725 | 0.8% |
| |
| Financial Services | | | |
| Visa Inc. Class A | 592,986 | 61,386 | 1.6% |
| Mastercard Inc. Class A | 302,300 | 40,297 | 1.1% |
| * PayPal Holdings Inc. | 363,169 | 22,400 | 0.6% |
42
| | | |
| Russell 1000 Growth Index Fund | | | |
| |
| |
| |
| | | Market | Percentage |
| | | Value• | of Net |
| | Shares | ($000) | Assets |
| American Tower Corp. | 135,393 | 20,045 | 0.5% |
| Financial Services—Other † | | 264,965 | 7.0% |
| | | 409,093 | 10.8% |
| Health Care | | | |
| UnitedHealth Group Inc. | 307,688 | 61,199 | 1.6% |
| AbbVie Inc. | 511,175 | 38,491 | 1.0% |
| * Celgene Corp. | 248,594 | 34,537 | 0.9% |
| Eli Lilly & Co. | 313,366 | 25,474 | 0.7% |
| Gilead Sciences Inc. | 298,421 | 24,981 | 0.6% |
| * Biogen Inc. | 63,992 | 20,257 | 0.5% |
| Johnson & Johnson | 132,459 | 17,534 | 0.5% |
| Bristol-Myers Squibb Co. | 259,814 | 15,714 | 0.4% |
| Health Care—Other † | | 275,896 | 7.3% |
| | | 514,083 | 13.5% |
| Materials & Processing | | | |
| EI du Pont de Nemours & Co. | 278,735 | 23,394 | 0.6% |
| Monsanto Co. | 140,686 | 16,488 | 0.4% |
| Materials & Processing—Other † | | 117,160 | 3.1% |
| | | 157,042 | 4.1% |
| Producer Durables | | | |
| Boeing Co. | 182,515 | 43,742 | 1.2% |
| 3M Co. | 186,089 | 38,022 | 1.0% |
| Accenture plc Class A | 198,912 | 26,010 | 0.7% |
| United Parcel Service Inc. Class B | 221,254 | 25,303 | 0.7% |
| Union Pacific Corp. | 235,111 | 24,757 | 0.6% |
| Lockheed Martin Corp. | 72,338 | 22,091 | 0.6% |
| Honeywell International Inc. | 142,651 | 19,724 | 0.5% |
| Caterpillar Inc. | 164,998 | 19,386 | 0.5% |
| FedEx Corp. | 79,484 | 17,040 | 0.4% |
| Producer Durables—Other † | | 256,338 | 6.8% |
| | | 492,413 | 13.0% |
| Technology | | | |
| Apple Inc. | 1,674,598 | 274,634 | 7.2% |
| Microsoft Corp. | 2,407,279 | 179,992 | 4.7% |
| * Facebook Inc. Class A | 749,081 | 128,820 | 3.4% |
| * Alphabet Inc. Class C | 97,197 | 91,300 | 2.4% |
| * Alphabet Inc. Class A | 95,367 | 91,098 | 2.4% |
| Broadcom Ltd. | 127,986 | 32,261 | 0.9% |
| NVIDIA Corp. | 182,415 | 30,908 | 0.8% |
| International Business Machines Corp. | 189,370 | 27,086 | 0.7% |
| Texas Instruments Inc. | 320,051 | 26,507 | 0.7% |
| * Adobe Systems Inc. | 158,407 | 24,578 | 0.7% |
| * salesforce.com Inc. | 216,762 | 20,699 | 0.5% |
| Technology—Other † | | 275,233 | 7.3% |
| | | 1,203,116 | 31.7% |
| Utilities | | | |
| Verizon Communications Inc. | 655,306 | 31,435 | 0.8% |
| Utilities—Other † | | 6,269 | 0.2% |
| | | 37,704 | 1.0% |
| Total Common Stocks (Cost $2,841,244) | | 3,786,898 | 99.8%1 |
43
| | | | |
| Russell 1000 Growth Index Fund | | | | |
| |
| |
| |
| | | | Market | Percentage |
| | | | Value• | of Net |
| | Coupon | Shares | ($000) | Assets |
| Temporary Cash Investments | | | | |
| Money Market Fund | | | | |
| 2,3 Vanguard Market Liquidity Fund | 1.224% | 35,950 | 3,595 | 0.1% |
| |
| 4U.S. Government and Agency Obligations † | | | 1,199 | 0.0% |
| Total Temporary Cash Investments (Cost $4,794) | | | 4,794 | 0.1%1 |
| 5Total Investments (Cost $2,846,038) | | | 3,791,692 | 99.9% |
| |
| | | | Amount | |
| | | | ($000) | |
| Other Assets and Liabilities | | | | |
| Other Assets | | | | |
| Investment in Vanguard | | | 240 | |
| Receivables for Investment Securities Sold | | | 13,578 | |
| Receivables for Accrued Income | | | 5,401 | |
| Receivables for Capital Shares Issued | | | 886 | |
| Variation Margin Receivable—Futures Contracts | | | 41 | |
| Total Other Assets | | | 20,146 | 0.5% |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | (4) | |
| Collateral for Securities on Loan | | | (3,590) | |
| Payables for Capital Shares Redeemed | | | (1,555) | |
| Payables to Vanguard | | | (814) | |
| Other Liabilities | | | (11,219) | |
| Total Liabilities | | | (17,182) | (0.4%) |
| Net Assets | | | 3,794,656 | 100.0% |
44
| |
| Russell 1000 Growth Index Fund | |
| |
| |
| |
| At August 31, 2017, net assets consisted of: | |
| | Amount |
| | ($000) |
| Paid-in Capital | 2,933,724 |
| Undistributed Net Investment Income | 9,373 |
| Accumulated Net Realized Losses | (94,194) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 945,654 |
| Futures Contracts | 99 |
| Net Assets | 3,794,656 |
| |
| |
| ETF Shares—Net Assets | |
| Applicable to 10,376,711 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 1,318,636 |
| Net Asset Value Per Share—ETF Shares | $127.08 |
| |
| |
| Institutional Shares—Net Assets | |
| Applicable to 10,133,690 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 2,476,020 |
| Net Asset Value Per Share—Institutional Shares | $244.34 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer,
represent 1% or less of net assets.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and -0.1%, respectively,
of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown
is the 7-day yield.
3 Includes $3,590,000 of collateral received for securities on loan.
4 Securities with a value of $400,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $3,458,000.
| | | | |
| Derivative Financial Instruments Outstanding as of Period End | | |
| |
| Futures Contracts | | | | |
| | | | | ($000) |
| | | | | Value and |
| | | Number of | | Unrealized |
| | | Long (Short) | Notional | Appreciation |
| | Expiration | Contracts | Amount | (Depreciation) |
| Long Futures Contracts | | | | |
| E-mini S&P 500 Index | September 2017 | 57 | 7,040 | 99 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
45
| |
| Russell 1000 Growth Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Year Ended |
| | August 31,2017 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 50,681 |
| Interest1 | 80 |
| Securities Lending—Net | 224 |
| Total Income | 50,985 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 666 |
| Management and Administrative—ETF Shares | 812 |
| Management and Administrative—Institutional Shares | 1,110 |
| Marketing and Distribution—ETF Shares | 63 |
| Marketing and Distribution—Institutional Shares | 95 |
| Custodian Fees | 170 |
| Auditing Fees | 32 |
| Shareholders’ Reports and Proxy—ETF Shares | 29 |
| Shareholders’ Reports and Proxy—Institutional Shares | 2 |
| Trustees’ Fees and Expenses | 2 |
| Total Expenses | 2,981 |
| Net Investment Income | 48,004 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 81,147 |
| Futures Contracts | 1,470 |
| Realized Net Gain (Loss) | 82,617 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 499,271 |
| Futures Contracts | (243) |
| Change in Unrealized Appreciation (Depreciation) | 499,028 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 629,649 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $77,000 and $2,000, respectively.
See accompanying Notes, which are an integral part of the Financial Statements.
46
| | |
| Russell 1000 Growth Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Year Ended August 31, |
| | 2017 | 2016 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 48,004 | 37,741 |
| Realized Net Gain (Loss) | 82,617 | 62,530 |
| Change in Unrealized Appreciation (Depreciation) | 499,028 | 136,392 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 629,649 | 236,663 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (13,968) | (8,068) |
| Institutional Shares | (33,764) | (25,753) |
| Realized Capital Gain | | |
| ETF Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (47,732) | (33,821) |
| Capital Share Transactions | | |
| ETF Shares | 400,801 | 237,351 |
| Institutional Shares | 85,007 | 274,768 |
| Net Increase (Decrease) from Capital Share Transactions | 485,808 | 512,119 |
| Total Increase (Decrease) | 1,067,725 | 714,961 |
| Net Assets | | |
| Beginning of Period | 2,726,931 | 2,011,970 |
| End of Period1 | 3,794,656 | 2,726,931 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $9,373,000 and $9,101,000.
See accompanying Notes, which are an integral part of the Financial Statements.
47
| | | | | |
| Russell 1000 Growth Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| ETF Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $106.90 | $98.24 | $95.74 | $77.02 | $67.41 |
| Investment Operations | | | | | |
| Net Investment Income | 1.6841 | 1.602 | 1.466 | 1.293 | 1.226 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | 20.177 | 8.556 | 2.481 | 18.713 | 9.611 |
| Total from Investment Operations | 21.861 | 10.158 | 3.947 | 20.006 | 10.837 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (1.681) | (1.498) | (1.447) | (1.286) | (1.227) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.681) | (1.498) | (1.447) | (1.286) | (1.227) |
| Net Asset Value, End of Period | $127.08 | $106.90 | $98.24 | $95.74 | $77.02 |
| |
| Total Return | 20.66% | 10.44% | 4.11% | 26.15% | 16.27% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $1,319 | $738 | $452 | $295 | $148 |
| Ratio of Total Expenses to | | | | | |
| Average Net Assets | 0.12% | 0.12% | 0.12% | 0.12% | 0.15% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 1.45% | 1.60% | 1.47% | 1.51% | 1.73% |
| Portfolio Turnover Rate2 | 21% | 15% | 20% | 18% | 29% |
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.
48
| | | | | |
| Russell 1000 Growth Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| Institutional Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $205.53 | $188.88 | $184.06 | $148.07 | $129.59 |
| Investment Operations | | | | | |
| Net Investment Income | 3.2911 | 3.147 | 2.882 | 2.544 | 2.446 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | 38.832 | 16.449 | 4.782 | 35.986 | 18.488 |
| Total from Investment Operations | 42.123 | 19.596 | 7.664 | 38.530 | 20.934 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (3.313) | (2.946) | (2.844) | (2.540) | (2.454) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (3.313) | (2.946) | (2.844) | (2.540) | (2.454) |
| Net Asset Value, End of Period | $244.34 | $205.53 | $188.88 | $184.06 | $148.07 |
| |
| Total Return | 20.72% | 10.48% | 4.15% | 26.20% | 16.35% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $2,476 | $1,989 | $1,560 | $1,460 | $992 |
| Ratio of Total Expenses to | | | | | |
| Average Net Assets | 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% |
| Portfolio Turnover Rate2 | 21% | 15% | 20% | 18% | 29% |
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.
49
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 notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 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 notional amounts at each quarter-end during the period.
50
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, 2014–2017), 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 event 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 August 31, 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.
51
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), shareholder reporting, and the proxy. 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 August 31, 2017, the fund had contributed to Vanguard capital in the amount of $240,000, 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). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of August 31, 2017, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 3,786,898 | — | — |
| Temporary Cash Investments | 3,595 | 1,199 | — |
| Futures Contracts—Assets1 | 41 | — | — |
| Total | 3,790,534 | 1,199 | — |
| 1 Represents variation margin on the last day of the reporting period. | | | |
52
Russell 1000 Growth Index Fund
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 year ended August 31, 2017, the fund realized $90,939,000 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.
For tax purposes, at August 31, 2017, the fund had $10,020,000 of ordinary income available for distribution. The fund had available capital losses totaling $94,095,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2017, the cost of investment securities for tax purposes was $2,846,038,000. Net unrealized appreciation of investment securities for tax purposes was $945,654,000, consisting of unrealized gains of $972,748,000 on securities that had risen in value since their purchase and $27,094,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2017, the fund purchased $1,370,810,000 of investment securities and sold $883,860,000 of investment securities, other than temporary cash investments. Purchases and sales include $476,302,000 and $197,349,000, 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 year ended August 31, 2017, such purchases and sales were $90,095,000 and $211,353,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
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Russell 1000 Growth Index Fund
| | | | |
| F. Capital share transactions for each class of shares were: | | | |
| | | | Year Ended August 31, |
| | | 2017 | | 2016 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 601,764 | 5,200 | 471,904 | 4,600 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (200,963) | (1,725) | (234,553) | (2,300) |
| Net Increase (Decrease)—ETF Shares | 400,801 | 3,475 | 237,351 | 2,300 |
| Institutional Shares | | | | |
| Issued | 575,144 | 2,636 | 620,161 | 3,160 |
| Issued in Lieu of Cash Distributions | 30,714 | 142 | 24,379 | 126 |
| Redeemed | (520,851) | (2,323) | (369,772) | (1,866) |
| Net Increase (Decrease)—Institutional Shares | 85,007 | 455 | 274,768 | 1,420 |
G. Management has determined that no material events or transactions occurred subsequent to August 31, 2017, that would require recognition or disclosure in these financial statements.
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Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Scottsdale Funds and the Shareholders of Vanguard Russell 1000 Index Fund, Vanguard Russell 1000 Value Index Fund and Vanguard Russell 1000 Growth Index Fund:
In our opinion, the accompanying statements of net assets—investments summary and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Russell 1000 Index Fund, Vanguard Russell 1000 Value Index Fund and Vanguard Russell 1000 Growth Index Fund (constituting separate portfolios of Vanguard Scottsdale Funds, hereafter referred to as the “Funds”) as of August 31, 2017, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of August 31, 2017 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 13, 2017
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Special 2017 tax information (unaudited) for Vanguard Russell 1000 Index Funds
This information for the fiscal year ended August 31, 2017, is included pursuant to provisions of the Internal Revenue Code.
The funds distributed qualified dividend income to shareholders during the fiscal year as follows:
| |
| Fund | ($000) |
| Russell 1000 Index Fund | 47,776 |
| Russell 1000 Value Index Fund | 58,882 |
| Russell 1000 Growth Index Fund | 47,732 |
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows:
| |
| Fund | Percentage |
| Russell 1000 Index Fund | 93.2% |
| Russell 1000 Value Index Fund | 91.9 |
| Russell 1000 Growth Index Fund | 95.7 |
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Your Fund’s After-Tax Returns
This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund’s distributions, and (2) assuming that an investor paid taxes on the fund’s distributions and sold all shares at the end of each period.
Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. After-tax returns reflect any qualified dividend income, using actual prior-year figures and estimates for 2017. (In the example, returns after the sale of fund shares may be higher than those assuming no sale. This occurs when the sale would have produced a capital loss. The calculation assumes that the investor received a tax deduction for the loss.)
Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes.
Finally, keep in mind that a fund’s performance—whether before or after taxes—does not guarantee future results.
| | | |
| Average Annual Total Returns: Russell 1000 Index Funds | | |
| Periods Ended August 31, 2017 | | | |
| | | | Since |
| | One | Five | Inception |
| | Year | Years | (9/20/2010) |
| Russell 1000 Index Fund ETF Shares | | | |
| Returns Before Taxes | 16.02% | 14.20% | 13.98% |
| Returns After Taxes on Distributions | 15.50 | 13.71 | 13.56 |
| Returns After Taxes on Distributions and Sale of | | | |
| Fund Shares | 9.44 | 11.34 | 11.42 |
| |
| | | | Since |
| | One | Five | Inception |
| | Year | Years | (9/20/2010) |
| Russell 1000 Value Index Fund ETF Shares | | | |
| Returns Before Taxes | 11.45% | 13.08% | 12.60% |
| Returns After Taxes on Distributions | 10.81 | 12.48 | 12.09 |
| Returns After Taxes on Distributions and Sale of | | | |
| Fund Shares | 6.97 | 10.40 | 10.22 |
| |
| | | | Since |
| | One | Five | Inception |
| | Year | Years | (9/20/2010) |
| Russell 1000 Growth Index Fund ETF Shares | | | |
| Returns Before Taxes | 20.66% | 15.27% | 15.29% |
| Returns After Taxes on Distributions | 20.24 | 14.87 | 14.96 |
| Returns After Taxes on Distributions and Sale of | | | |
| Fund Shares | 11.98 | 12.24 | 12.56 |
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About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
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| | | |
| Six Months Ended August 31, 2017 | | | |
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| | 2/28/2017 | 8/31/2017 | Period |
| Based on Actual Fund Return | | | |
| Russell 1000 Index Fund | | | |
| ETF Shares | $1,000.00 | $1,054.35 | $0.62 |
| Institutional Shares | 1,000.00 | 1,054.58 | 0.41 |
| Russell 1000 Value Index Fund | | | |
| ETF Shares | $1,000.00 | $1,004.08 | $0.56 |
| Institutional Shares | 1,000.00 | 1,004.31 | 0.40 |
| Russell 1000 Growth Index Fund | | | |
| ETF Shares | $1,000.00 | $1,106.12 | $0.64 |
| Institutional Shares | 1,000.00 | 1,106.34 | 0.42 |
| Based on Hypothetical 5% Yearly Return | | | |
| Russell 1000 Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.60 | $0.61 |
| Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
| Russell 1000 Value Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.65 | $0.56 |
| Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
| Russell 1000 Growth Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.60 | $0.61 |
| Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
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, 0.11% 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 (184/365).
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Trustees Approve Advisory Arrangements
The board of trustees of Vanguard Russell 1000 Index Fund, Vanguard Russell 1000 Value Index Fund, and Vanguard Russell 1000 Growth Index Fund has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Equity Index Group. The board determined that continuing each fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made 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 through 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 had 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 investment management services provided to the funds since their inception in 2010, and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than three decades. The Equity Index Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of each advisory arrangement.
Investment performance
The board considered each fund’s performance since its inception in 2010, including any periods of outperformance or underperformance compared with its target index and peer group. The board concluded that the performance was such that each advisory arrangement should continue. Information about each fund’s most recent performance can be found in the Performance Summary pages of this report.
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Cost
The board concluded that each fund’s expense ratio was well below the average expense ratios charged by funds in its peer group. The board also concluded that the advisory expenses for the Russell 1000 Index Fund and Russell 1000 Growth Index Fund were well below the advisory expenses of funds in their peer groups, while the advisory expenses for the Russell 1000 Value Index Fund were reasonable compared with the advisory expenses of funds in its peer group. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that each fund’s at-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
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Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share.
For a fund, the weighted average price/book ratio of the stocks it holds.
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Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 195 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. 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; Chief Executive Officer and Director of The Vanguard Group and President and Chief Executive Officer of each of the investment companies served by The Vanguard Group, since 2008; Director of Vanguard Marketing Corporation; President of The Vanguard Group (2008–2017); 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; Trustee of the University of Rochester.
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
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.
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.
JoAnn Heffernan Heisen
Born 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years and Other Experience: Corporate Vice President and Member of the Executive Committee (1997–2008), Chief Global Diversity Officer (retired 2008), Vice President and Chief Information Officer (1997–2006), Controller (1995–1997), Treasurer (1991–1995), and Assistant Treasurer (1989–1991) 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 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, the Board of Catholic Investment Services, Inc. (investment advisor), and the Board of Superintendence of the Institute for the Works of Religion; Chairman of the Board of TIFF Advisory Services, Inc. (investment advisor).
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; Director of Vanguard Marketing Corporation; Executive Vice President and Chief Financial Officer of MassMutual Financial Group (2006–2016).
Vanguard Senior Management Team | |
Mortimer J. Buckley Gregory Davis John James Martha G. King John T. Marcante | Chris D. McIsaac James M. Norris Thomas M. Rampulla Karin A. Risi |
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
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| | © 2017 The Vanguard Group, Inc. |
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| | Vanguard Marketing Corporation, Distributor. |
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| | Q18480 102017 |
Annual Report | August 31, 2017
Vanguard Russell 2000 Index Funds
Vanguard Russell 2000 Index Fund
Vanguard Russell 2000 Value Index Fund
Vanguard Russell 2000 Growth Index Fund
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These
principles, grounded in Vanguard’s research and experience, can put you on
the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds.
Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
| |
| Contents | |
| Your Fund’s Performance at a Glance. | 1 |
| Chairman’s Perspective. | 4 |
| Russell 2000 Index Fund. | 8 |
| Russell 2000 Value Index Fund. | 23 |
| Russell 2000 Growth Index Fund. | 38 |
| Your Fund’s After-Tax Returns. | 55 |
| About Your Fund’s Expenses. | 56 |
| Trustees Approve Advisory Arrangements. | 58 |
| Glossary. | 60 |
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: Nautical images have been part of Vanguard’s rich heritage since its start in 1975. For an
incoming ship, a lighthouse offers a beacon and safe path to shore. You can similarly depend on Vanguard to put
you first––and light the way––as you strive to meet your financial goals. Our client focus and low costs,
stemming from our unique ownership structure, assure that your interests are paramount.
Your Fund’s Performance at a Glance
• Growth stocks outpaced their value-oriented counterparts and large-capitalization
stocks generally outperformed mid- and small-caps for the 12 months ended August 31,
2017. These broad trends were reflected in the performance of the three Vanguard
Russell 2000 Index Funds.
• Results ranged from more than 13% for Vanguard Russell 2000 Value Index Fund to
more than 16% for Vanguard Russell 2000 Growth Index Fund. Vanguard Russell 2000
Index Fund, which includes both growth and value stocks, returned nearly 15%.
• 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, health care, and materials and processing also added
significantly to returns. Consumer staples and energy were among the weakest sectors.
| |
| Total Returns: Fiscal Year Ended August 31, 2017 | |
| | Total |
| | Returns |
| Vanguard Russell 2000 Index Fund | |
| ETF Shares | |
| Market Price | 14.99% |
| Net Asset Value | 14.94 |
| Institutional Shares | 15.03 |
| Russell 2000 Index | 14.91 |
| Small-Cap Core Funds Average | 12.74 |
| 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 | 13.32% |
| Net Asset Value | 13.42 |
| Institutional Shares | 13.55 |
| Russell 2000 Value Index | 13.47 |
| Small-Cap Value Funds Average | 11.02 |
| 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 | 16.51% |
| Net Asset Value | 16.39 |
| Institutional Shares | 16.53 |
| Russell 2000 Growth Index | 16.39 |
| Small-Cap Growth Funds Average | 15.61 |
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.
| |
| Total Returns: Inception Through August 31, 2017 | |
| | Average |
| | Annual Return |
| Russell 2000 Index Fund ETF Shares Net Asset Value (Returns since inception: 9/20/2010) | 12.78% |
| Russell 2000 Index | 12.80 |
| Small-Cap Core Funds Average | 11.62 |
| Small-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
| |
| Russell 2000 Value Index Fund ETF Shares Net Asset Value (Returns since inception: 9/20/2010) | 11.72% |
| Russell 2000 Value Index | 11.89 |
| Small-Cap Value Funds Average | 11.24 |
| Small-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
| |
| Russell 2000 Growth Index Fund ETF Shares Net Asset Value (Returns since inception: 9/20/2010) | 13.62% |
| Russell 2000 Growth Index | 13.65 |
| Small-Cap Growth Funds Average | 12.28 |
| Small-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
The figures shown represent past performance, which is not a guarantee of future results. (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.
2
| | | |
| 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 fiscal year ended August 31, 2017, the funds’ expense ratios were: for the Russell 2000 Index Fund, 0.15% for ETF Shares
and 0.08% for Institutional Shares; for the Russell 2000 Value Index Fund, 0.20% for ETF Shares and 0.08% for Institutional Shares; and
for the Russell 2000 Growth Index Fund, 0.20% 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.
3
Chairman’s Perspective
Bill McNabb
Chairman and Chief Executive Officer
Dear Shareholder,
Since mid-August we’ve been reaching out to you about the proposals put forth by the Vanguard funds that, if approved, will enable us to manage the funds more efficiently and effectively. As the November deadline for voting approaches, I’d like to offer some perspective on a few of the proposals that I believe are important to the way Vanguard operates and manages your investments. I hope you consider this information and promptly cast your ballot.
Your biggest advocate
The main driver for this proxy solicitation is to ask all our fund shareholders to elect a full slate of trustees who oversee each U.S.-based Vanguard mutual fund. These trustees serve an important role, making sure your funds are managed in your best interests. This includes monitoring fund performance, approving advisory agreements, and ensuring that we’re keeping your investment costs as low as possible. Simply put, they are your biggest advocate.
Each trustee brings a variety of skills and professional experiences that contribute to the board’s strength and diversity. Of the 12 nominees, nine currently serve on the board, and three are new. If elected, the new board would include ten independent members, meaning they have no affiliation with Vanguard or the funds apart from any investments they may choose to make as private individuals.
4
These are the proposed new trustees:
• Sarah Bloom Raskin is a former member of the Federal Reserve Board of Governors and former deputy secretary of the U.S. Treasury Department. She is an expert in cybersecurity—a critically important issue at Vanguard, as we place a premium on protecting clients’ assets and sensitive data.
• Deanna Mulligan is chief executive officer of The Guardian Life Insurance Company of America. It’s rare to find a CEO such as Deanna who leads a company with a mutual ownership structure similar to Vanguard’s.
• Tim Buckley is president and a director of Vanguard and will succeed me in January as CEO. (I’ll remain chairman for a period to be determined by the board.) I interviewed Tim when he applied for his first job here in 1991 and again when he was graduating from Harvard Business School. I was thrilled he picked Vanguard as a place to build his career, and I’ve been delighted to see him take on several leadership positions, including as head of our Retail Investor Group, chief information officer, and chief investment officer. I can think of no one better prepared to succeed me.
| | | |
| Market Barometer | | | |
| | | Average Annual Total Returns |
| | | Periods Ended August 31, 2017 |
| | One Year | Three Years | Five Years |
| Stocks | | | |
| Russell 1000 Index (Large-caps) | 16.16% | 9.21% | 14.37% |
| Russell 2000 Index (Small-caps) | 14.91 | 7.67 | 13.15 |
| Russell 3000 Index (Broad U.S. market) | 16.06 | 9.08 | 14.27 |
| FTSE All-World ex US Index (International) | 18.74 | 2.80 | 7.76 |
| |
| Bonds | | | |
| Bloomberg Barclays U.S. Aggregate Bond Index | | | |
| (Broad taxable market) | 0.49% | 2.64% | 2.19% |
| Bloomberg Barclays Municipal Bond Index | | | |
| (Broad tax-exempt market) | 0.88 | 3.40 | 3.23 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.58 | 0.25 | 0.16 |
| |
| CPI | | | |
| Consumer Price Index | 1.94% | 1.06% | 1.28% |
5
Vanguard believes that diversity of thought, background, and experience, as well as diversity of personal characteristics, meaningfully contributes to the board’s ability to effectively serve shareholders. If Sarah and Deanna are elected, women will account for 40% of the board’s independent trustees.
I should note that even as Vanguard is nominating three new board members, we’re saying goodbye to trustee Rajiv Gupta. Rajiv was a legendary CEO of Rohm and Haas Co., and Vanguard and our clients have benefited greatly from his expertise. I wish him a happy retirement.
Summarizing the proposals
Among the trustees’ leading responsibilities is overseeing the funds’ internal and external investment advisory agreements. The trustees, in consultation with our Global Investment Committee and our Portfolio Review Department, choose the investment advisors that manage client assets. Over decades, we have built a strong track record of picking advisors whose portfolio management strategies have served clients well.
Two proposals in the proxy focus on this oversight responsibility. Shareholders of 48 Vanguard funds have already voted to allow the board to make external advisor changes without obtaining prior shareholder approval. The new proposals would extend that policy across our entire U.S.-based fund lineup and expand it to include internal advisory agreements with Vanguard subsidiaries. Eliminating the need for shareholder approval removes a step that is costly and time-consuming if done frequently or on an individual fund basis. Although there are no current plans to employ the policy on any Vanguard-managed funds, standardizing it enables the trustees to retain an advisory firm to diversify a fund’s management team or ensure management continuity should a contingency arise.
I also encourage shareholders of several specific Vanguard index funds to read the proxy proposals that affect those funds. One proposal would change the investment objective of Vanguard REIT Index Fund and Vanguard Variable Insurance Fund REIT Index Portfolio to include real estate-related securities, aligning the funds with updated industry-sector classification methodology. Another proposal seeks to change the diversification status of the REIT Index Fund to enable it to better track its benchmark. Finally, we seek your approval of the Funds’ Service Agreement for Vanguard Institutional Index Fund and Vanguard Institutional Total Stock Market Index Fund. If approved, this arrangement would then be standardized across Vanguard’s entire publicly available U.S. mutual fund lineup. It should also reduce costs and minimum initial investment requirements in select share classes.
6
At the ballot box
We hope you’ll make it a priority to cast your ballot. We want to avoid the added time and cost of soliciting sufficient votes should we not obtain a quorum by the shareholder meeting on November 15, when voting concludes. Ultimately, we believe the proposals I’ve discussed are in your best interest as Vanguard fund shareholders, and the trustees recommend that you vote in favor of them. For more information, visit vanguard.com and enter the search term “proxy.”
As always, thank you for investing with Vanguard.
F. William McNabb III
Chairman and Chief Executive Officer
September 14, 2017
7
Russell 2000 Index Fund
Fund Profile
As of August 31, 2017
| | |
| Share-Class Characteristics | | |
| | ETF | Institutional |
| | Shares | Shares |
| Ticker Symbol | VTWO | VRTIX |
| Expense Ratio1 | 0.15% | 0.08% |
| 30-Day SEC Yield | 1.16% | 1.23% |
| | | |
| Portfolio Characteristics | | | |
| | | | DJ |
| | | | U.S. |
| | | | Total |
| | | Russell | Market |
| | | 2000 | FA |
| | Fund | Index | Index |
| Number of Stocks | 2,027 | 1,994 | 3,769 |
| Median Market Cap | $1.9B | $1.9B | $63.1B |
| Price/Earnings Ratio | 20.0x | 20.0x | 21.6x |
| Price/Book Ratio | 2.1x | 2.1x | 2.8x |
| Return on Equity | 7.8% | 7.8% | 15.1% |
| Earnings Growth Rate | 9.0% | 9.0% | 9.4% |
| Dividend Yield | 1.3% | 1.3% | 1.8% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | 23% | — | — |
| Short-Term Reserves | -0.1% | — | — |
| | | |
| Sector Diversification (% of equity exposure) |
| | | | DJ |
| | | Russell | U.S. Total |
| | | 2000 | Market |
| | Fund | Index | FA Index |
| Consumer Discretionary | 13.1% | 13.1% | 13.6% |
| Consumer Staples | 2.3 | 2.3 | 6.7 |
| Energy | 3.2 | 3.2 | 5.3 |
| Financial Services | 26.0 | 25.9 | 21.1 |
| Health Care | 15.7 | 15.7 | 13.9 |
| Materials & Processing | 7.0 | 7.0 | 3.6 |
| Other | 0.0 | 0.1 | 0.5 |
| Producer Durables | 13.5 | 13.5 | 10.8 |
| Technology | 14.2 | 14.2 | 19.2 |
| Utilities | 5.0 | 5.0 | 5.3 |
Sector categories are based on the Russell Global Sectors (“RGS”),except for the “Other” category (if applicable), which includes
securities that have not been provided a RGS classification as of the effective reporting period.
| | |
| Volatility Measures | | |
| | | DJ |
| | Russell | U.S. Total |
| | 2000 | Market |
| | Index | FA Index |
| R-Squared | 1.00 | 0.71 |
| Beta | 1.00 | 1.20 |
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) |
| Kite Pharma Inc. | Biotechnology | 0.5% |
| Bluebird Bio Inc. | Biotechnology | 0.3 |
| Catalent Inc. | Pharmaceuticals | 0.3 |
| GrubHub Inc. | Computer Services | |
| | Software & Systems | 0.3 |
| Aspen Technology Inc. | Computer Services | |
| | Software & Systems | 0.2 |
| Gramercy Property Trust Diversified REITs | 0.2 |
| Exact Sciences Corp. | Biotechnology | 0.2 |
| IDACORP Inc. | Utilities: Electrical | 0.2 |
| MKS Instruments Inc. | Production | |
| | Technology | |
| | Equipment | 0.2 |
| PAREXEL International | | |
| Corp. | Medical Services | 0.2 |
| Top Ten | | 2.6% |
| The holdings listed exclude any temporary cash investments and equity index products. |
| | |
Investment Focus
1 The expense ratios shown are from the prospectus dated December 22, 2016, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2017, the expense ratios were 0.15% for ETF Shares and 0.08% for Institutional Shares.
8
Russell 2000 Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 20, 2010, Through August 31, 2017
Initial Investment of $10,000
| | | | | |
| | | Average Annual Total Returns | |
| | | Periods Ended August 31, 2017 | |
| |
| | | | | Since | Final Value |
| | | One | Five | Inception | of a $10,000 |
| | | Year | Years | (9/20/2010) | Investment |
| |
| | Russell 2000 Index Fund*ETF Shares | | | | |
| | Net Asset Value | 14.94% | 13.16% | 12.78% | $23,050 |
| | Russell 2000 Index Fund*ETF Shares | | | | |
| | Market Price | 14.99 | 13.15 | 12.78 | 23,050 |
| |
| • • • • • • • • | Russell 2000 Index | 14.91 | 13.15 | 12.80 | 23,078 |
| |
| – – – – | Small-Cap Core Funds Average | 12.74 | 11.90 | 11.62 | 21,457 |
| | Dow Jones U.S. Total Stock Market | | | | |
| | Float Adjusted Index | 16.05 | 14.19 | 14.00 | 24,851 |
Small-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
| | | | |
| | | | Since | Final Value |
| | One | Five | Inception | of a $5,000,000 |
| | Year | Years | (12/22/2010) | Investment |
| |
| Russell 2000 Index Fund Institutional Shares | 15.03% | 13.24% | 10.56% | $9,785,283 |
| |
| Russell 2000 Index | 14.91 | 13.15 | 10.49 | 9,748,217 |
| Dow Jones U.S. Total Stock Market Float | | | | |
| Adjusted Index | 16.05 | 14.19 | 12.66 | 11,097,993 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
9
Russell 2000 Index Fund
Cumulative Returns of ETF Shares: September 20, 2010, Through August 31, 2017
| | | |
| | | | Since |
| | One | Five | Inception |
| | Year | Years | (9/20/2010) |
| Russell 2000 Index Fund ETF Shares Market Price | 14.99% | 85.49% | 130.50% |
| Russell 2000 Index Fund ETF Shares Net Asset | | | |
| Value | 14.94 | 85.55 | 130.50 |
| Russell 2000 Index | 14.91 | 85.48 | 130.78 |
| "Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
Fiscal-Year Total Returns (%): September 20, 2010, Through August 31, 2017
Average Annual Total Returns: Periods Ended June 30, 2017
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 | | 24.50% | 13.68% | 13.19% |
| Net Asset Value | | 24.62 | 13.71 | 13.21 |
| Institutional Shares | 12/22/2010 | 24.70 | 13.79 | 10.93 |
10
Russell 2000 Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of August 31, 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 | | | |
| * Grand Canyon Education Inc. | 40,543 | 3,327 | 0.2% |
| Consumer Discretionary—Other † | | 213,810 | 12.9% |
| | | 217,137 | 13.1% |
| |
| Consumer Staples † | | 37,976 | 2.3% |
| |
| 1Energy † | | 52,897 | 3.2% |
| |
| Financial Services | | | |
| Gramercy Property Trust | 130,917 | 3,988 | 0.3% |
| Fair Isaac Corp. | 26,539 | 3,736 | 0.2% |
| * MGIC Investment Corp. | 319,217 | 3,655 | 0.2% |
| Wintrust Financial Corp. | 47,839 | 3,483 | 0.2% |
| Cousins Properties Inc. | 360,913 | 3,375 | 0.2% |
| Umpqua Holdings Corp. | 190,929 | 3,341 | 0.2% |
| IBERIABANK Corp. | 43,599 | 3,340 | 0.2% |
| Healthcare Realty Trust Inc. | 100,023 | 3,329 | 0.2% |
| CNO Financial Group Inc. | 147,473 | 3,296 | 0.2% |
| Radian Group Inc. | 186,744 | 3,268 | 0.2% |
| * Starwood Waypoint Homes | 87,197 | 3,246 | 0.2% |
| Hancock Holding Co. | 72,663 | 3,194 | 0.2% |
| * Texas Capital Bancshares Inc. | 42,918 | 3,187 | 0.2% |
| First Industrial Realty Trust Inc. | 100,548 | 3,115 | 0.2% |
| 1 Financial Services—Other † | | 381,982 | 23.0% |
| | | 429,535 | 25.9% |
| Health Care | | | |
| * Kite Pharma Inc. | 42,045 | 7,484 | 0.5% |
| * Bluebird Bio Inc. | 38,646 | 4,825 | 0.3% |
| * Catalent Inc. | 108,225 | 4,469 | 0.3% |
11
| | | | |
| Russell 2000 Index Fund | | | |
| |
| |
| |
| | | | Market | Percentage |
| | | | Value• | of Net |
| | | Shares | ($000) | Assets |
| * | Exact Sciences Corp. | 94,458 | 3,957 | 0.2% |
| * | PAREXEL International Corp. | 43,356 | 3,811 | 0.2% |
| * | Medidata Solutions Inc. | 48,492 | 3,635 | 0.2% |
| | HealthSouth Corp. | 77,216 | 3,533 | 0.2% |
| * | Masimo Corp. | 38,758 | 3,270 | 0.2% |
| * | PRA Health Sciences Inc. | 42,088 | 3,258 | 0.2% |
| | Health Care—Other † | | 221,272 | 13.3% |
| | | | 259,514 | 15.6% |
| Materials & Processing | | | |
| * | Louisiana-Pacific Corp. | 125,355 | 3,194 | 0.2% |
| 1 | Materials & Processing—Other † | | 112,713 | 6.8% |
| | | | 115,907 | 7.0% |
| |
| 1,2Other † | | 518 | 0.0% |
| |
| Producer Durables | | | |
| | Curtiss-Wright Corp. | 38,211 | 3,700 | 0.2% |
| | Littelfuse Inc. | 19,399 | 3,611 | 0.2% |
| | MAXIMUS Inc. | 55,527 | 3,375 | 0.2% |
| | EMCOR Group Inc. | 50,960 | 3,365 | 0.2% |
| | Woodward Inc. | 45,914 | 3,224 | 0.2% |
| | Healthcare Services Group Inc. | 61,595 | 3,154 | 0.2% |
| | Producer Durables—Other † | | 203,560 | 12.3% |
| | | | 223,989 | 13.5% |
| Technology | | | |
| * | GrubHub Inc. | 73,978 | 4,223 | 0.3% |
| * | Aspen Technology Inc. | 64,690 | 4,092 | 0.3% |
| | MKS Instruments Inc. | 46,447 | 3,825 | 0.2% |
| | Monolithic Power Systems Inc. | 34,407 | 3,486 | 0.2% |
| | Blackbaud Inc. | 41,099 | 3,469 | 0.2% |
| * | EPAM Systems Inc. | 42,508 | 3,457 | 0.2% |
| * | Proofpoint Inc. | 36,932 | 3,389 | 0.2% |
| * | Tech Data Corp. | 30,233 | 3,334 | 0.2% |
| * | Cirrus Logic Inc. | 55,598 | 3,224 | 0.2% |
| * | Paycom Software Inc. | 42,469 | 3,169 | 0.2% |
| * | Entegris Inc. | 122,387 | 3,115 | 0.2% |
| | Technology—Other † | | 196,546 | 11.8% |
| | | | 235,329 | 14.2% |
| Utilities | | | |
| | IDACORP Inc. | 43,574 | 3,877 | 0.3% |
| | WGL Holdings Inc. | 44,173 | 3,722 | 0.2% |
| | Portland General Electric Co. | 77,119 | 3,664 | 0.2% |
| | ALLETE Inc. | 44,098 | 3,410 | 0.2% |
| | ONE Gas Inc. | 45,017 | 3,387 | 0.2% |
| | Southwest Gas Holdings Inc. | 40,930 | 3,255 | 0.2% |
| | Black Hills Corp. | 46,102 | 3,245 | 0.2% |
| | New Jersey Resources Corp. | 74,108 | 3,235 | 0.2% |
| | Utilities—Other † | | 55,233 | 3.3% |
| | | | 83,028 | 5.0% |
| Total Common Stocks (Cost $1,532,028) | | 1,655,830 | 99.8%3 |
12
| | | | |
| Russell 2000 Index Fund | | | | |
| |
| |
| |
| | | | Market | Percentage |
| | | | Value• | of Net |
| | Coupon | Shares | ($000) | Assets |
| Temporary Cash Investments | | | | |
| Money Market Fund | | | | |
| 4,5 Vanguard Market Liquidity Fund | 1.224% | 287,457 | 28,751 | 1.7% |
| |
| 6U.S. Government and Agency Obligations † | | | 300 | 0.0% |
| Total Temporary Cash Investments (Cost $29,048) | | | 29,051 | 1.7%3 |
| 7Total Investments (Cost $1,561,076) | | | 1,684,881 | 101.5% |
| |
| | | | Amount | |
| | | | ($000) | |
| Other Assets and Liabilities | | | | |
| Other Assets | | | | |
| Investment in Vanguard | | | 107 | |
| Receivables for Accrued Income | | | 1,206 | |
| Receivables for Capital Shares Issued | | | 227 | |
| Variation Margin Receivable – Futures Contracts | | | 22 | |
| Other Assets 5 | | | 140 | |
| Total Other Assets | | | 1,702 | 0.1% |
| Liabilities | | | | |
| Collateral for Securities on Loan | | | (26,702) | |
| Payables for Capital Shares Redeemed | | | (154) | |
| Payables to Vanguard | | | (394) | |
| Other Liabilities | | | (5) | |
| Total Liabilities | | | (27,255) | (1.6%) |
| Net Assets | | | 1,659,328 | 100.0% |
| |
| At August 31, 2017, net assets consisted of: | |
| | Amount |
| | ($000) |
| Paid-in Capital | 1,574,016 |
| Undistributed Net Investment Income | 4,232 |
| Accumulated Net Realized Losses | (42,733) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 123,805 |
| Futures Contracts | 8 |
| Net Assets | 1,659,328 |
13
| |
| Russell 2000 Index Fund | |
| |
| |
| |
| | Amount |
| | ($000) |
| ETF Shares—Net Assets | |
| Applicable to 9,650,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 1,082,837 |
| Net Asset Value Per Share—ETF Shares | $112.21 |
| |
| Institutional Shares—Net Assets | |
| Applicable to 2,685,771 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 576,491 |
| Net Asset Value Per Share—Institutional Shares | $214.65 |
• 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 Security value determined using significant unobservable inputs.
2 “Other” represents securities that are not classified by the fund’s benchmark index.
3 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 1.5%, respectively, 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.
5 Includes $26,702,000 of collateral received for securities on loan, of which $139,000 is held in cash.
6 Securities with a value of $300,000 have been segregated as initial margin for open futures contracts.
7 The total value of securities on loan is $25,121,000.
| | | | |
| Derivative Financial Instruments Outstanding as of Period End | | |
| |
| Futures Contracts | | | | |
| | | | | ($000) |
| | | | | Value and |
| | | Number of | | Unrealized |
| | | Long (Short) | Notional | Appreciation |
| | Expiration | Contracts | Amount | (Depreciation) |
| Long Futures Contracts | | | | |
| E-mini Russell 2000 Index | September 2017 | 56 | 3,932 | 8 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
14
| |
| Russell 2000 Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Year Ended |
| | August 31,2017 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 20,000 |
| Interest1 | 51 |
| Securities Lending—Net | 1,944 |
| Total Income | 21,995 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 305 |
| Management and Administrative—ETF Shares | 755 |
| Management and Administrative—Institutional Shares | 102 |
| Marketing and Distribution—ETF Shares | 60 |
| Marketing and Distribution—Institutional Shares | 27 |
| Custodian Fees | 475 |
| Auditing Fees | 32 |
| Shareholders’ Reports and Proxy—ETF Shares | 58 |
| Shareholders’ Reports and Proxy—Institutional Shares | 6 |
| Trustees’ Fees and Expenses | 1 |
| Total Expenses | 1,821 |
| Net Investment Income | 20,174 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 44,277 |
| Futures Contracts | 696 |
| Realized Net Gain (Loss) | 44,973 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 126,689 |
| Futures Contracts | 8 |
| Change in Unrealized Appreciation (Depreciation) | 126,697 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 191,844 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $46,000 and $3,000 respectively.
See accompanying Notes, which are an integral part of the Financial Statements.
15
| | |
| Russell 2000 Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Year Ended August 31, |
| | 2017 | 2016 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 20,174 | 16,012 |
| Realized Net Gain (Loss) | 44,973 | 43,554 |
| Change in Unrealized Appreciation (Depreciation) | 126,697 | 28,503 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 191,844 | 88,069 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (12,026) | (9,645) |
| Institutional Shares | (7,759) | (9,668) |
| Realized Capital Gain | | |
| ETF Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (19,785) | (19,313) |
| Capital Share Transactions | | |
| ETF Shares | 282,534 | 102,679 |
| Institutional Shares | 27,481 | (76,587) |
| Net Increase (Decrease) from Capital Share Transactions | 310,015 | 26,092 |
| Total Increase (Decrease) | 482,074 | 94,848 |
| Net Assets | | |
| Beginning of Period | 1,177,254 | 1,082,406 |
| End of Period1 | 1,659,328 | 1,177,254 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $4,232,000 and $3,819,000.
See accompanying Notes, which are an integral part of the Financial Statements.
16
| | | | | |
| Russell 2000 Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| ETF Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $98.98 | $92.71 | $93.72 | $80.46 | $64.74 |
| Investment Operations | | | | | |
| Net Investment Income | 1.4431 | 1.302 | 1.2241 | 1.054 | 1.161 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | 13.255 | 6.537 | (1.163) | 13.163 | 15.604 |
| Total from Investment Operations | 14.698 | 7.839 | .061 | 14.217 | 16.765 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (1.468) | (1.569) | (1.071) | (.957) | (1.045) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.468) | (1.569) | (1.071) | (.957) | (1.045) |
| Net Asset Value, End of Period | $112.21 | $98.98 | $92.71 | $93.72 | $80.46 |
| |
| Total Return | 14.94% | 8.62% | 0.03% | 17.69% | 26.23% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $1,083 | $698 | $554 | $375 | $257 |
| Ratio of Total Expenses to | | | | | |
| Average Net Assets | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 1.34% | 1.52% | 1.28% | 1.23% | 1.71% |
| Portfolio Turnover Rate2 | 23% | 19% | 17% | 16% | 32% |
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.
17
| | | | | |
| Russell 2000 Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| Institutional Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $189.31 | $177.40 | $179.29 | $153.88 | $123.77 |
| Investment Operations | | | | | |
| Net Investment Income | 2.9561 | 2.606 | 2.4531 | 2.110 | 2.306 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | 25.315 | 12.503 | (2.212) | 25.206 | 29.858 |
| Total from Investment Operations | 28.271 | 15.109 | .241 | 27.316 | 32.164 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (2.931) | (3.199) | (2.131) | (1.906) | (2.054) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (2.931) | (3.199) | (2.131) | (1.906) | (2.054) |
| Net Asset Value, End of Period | $214.65 | $189.31 | $177.40 | $179.29 | $153.88 |
| |
| Total Return | 15.03% | 8.69% | 0.11% | 17.78% | 26.33% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $576 | $479 | $528 | $320 | $278 |
| Ratio of Total Expenses to | | | | | |
| Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 1.41% | 1.59% | 1.35% | 1.30% | 1.78% |
| Portfolio Turnover Rate2 | 23% | 19% | 17% | 16% | 32% |
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.
18
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 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 notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 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 the notional amounts at each quarter-end during the period.
19
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, 2014–2017), 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 event 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 August 31, 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.
20
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), shareholder reporting, and the proxy. 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 August 31, 2017, the fund had contributed to Vanguard capital in the amount of $107,000, 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). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of August 31, 2017, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 1,655,389 | — | 441 |
| Temporary Cash Investments | 28,751 | 300 | — |
| Futures Contracts—Assets1 | 22 | — | — |
| Total | 1,684,162 | 300 | 441 |
| 1 Represents variation margin on the last day of the reporting period. | | | |
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
21
Russell 2000 Index Fund
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 year ended August 31, 2017, the fund realized $52,369,000 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.
For tax purposes, at August 31, 2017, the fund had $4,809,000 of ordinary income available for distribution. The fund had available capital losses totaling $42,725,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2017, the cost of investment securities for tax purposes was $1,561,351,000. Net unrealized appreciation of investment securities for tax purposes was $123,530,000, consisting of unrealized gains of $270,610,000 on securities that had risen in value since their purchase and $147,080,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2017, the fund purchased $773,664,000 of investment securities and sold $459,900,000 of investment securities, other than temporary cash investments. Purchases and sales include $403,034,000 and $126,465,000, 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: | | | |
| | | | Year Ended August 31, |
| | | 2017 | | 2016 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 413,730 | 3,800 | 369,546 | 4,075 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (131,196) | (1,200) | (266,867) | (3,000) |
| Net Increase (Decrease)—ETF Shares | 282,534 | 2,600 | 102,679 | 1,075 |
| Institutional Shares | | | | |
| Issued | 162,735 | 807 | 172,053 | 993 |
| Issued in Lieu of Cash Distributions | 7,230 | 35 | 8,838 | 51 |
| Redeemed | (142,484) | (689) | (257,478) | (1,490) |
| Net Increase (Decrease)—Institutional Shares | 27,481 | 153 | (76,587) | (446) |
G. Management has determined that no material events or transactions occurred subsequent to August 31, 2017, that would require recognition or disclosure in these financial statements.
22
Russell 2000 Value Index Fund
Fund Profile
As of August 31, 2017
| | |
| Share-Class Characteristics | | |
| | ETF | Institutional |
| | Shares | Shares |
| Ticker Symbol | VTWV | VRTVX |
| Expense Ratio1 | 0.20% | 0.08% |
| 30-Day SEC Yield | 1.73% | 1.84% |
| | |
| Volatility Measures | | |
| | Russell | DJ |
| | 2000 | U.S. Total |
| | Value | Market |
| | Index | FA Index |
| R-Squared | 1.00 | 0.60 |
| Beta | 1.00 | 1.11 |
| | | |
| Portfolio Characteristics | | | |
| | | | DJ |
| | | | U.S. |
| | | Russell | Total |
| | | 2000 | Market |
| | | Value | FA |
| | Fund | Index | Index |
| Number of Stocks | 1,397 | 1,387 | 3,769 |
| Median Market Cap | $1.7B | $1.7B | $63.1B |
| Price/Earnings Ratio | 17.4x | 17.4x | 21.6x |
| Price/Book Ratio | 1.4x | 1.4x | 2.8x |
| Return on Equity | 7.1% | 7.1% | 15.1% |
| Earnings Growth Rate | 7.0% | 7.0% | 9.4% |
| Dividend Yield | 2.0% | 2.0% | 1.8% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | 36% | — | — |
| Short-Term Reserves | -0.8% | — | — |
| | | |
| Sector Diversification (% of equity exposure) |
| | | Russell | DJ |
| | | 2000 | U.S. Total |
| | | Value | Market |
| | Fund | Index | FA Index |
| Consumer Discretionary 11.0% | 10.9% | 13.6% |
| Consumer Staples | 2.3 | 2.3 | 6.7 |
| Energy | 5.6 | 5.6 | 5.3 |
| Financial Services | 41.9 | 42.0 | 21.1 |
| Health Care | 5.9 | 5.9 | 13.9 |
| Materials & Processing | 6.0 | 6.0 | 3.6 |
| Other | 0.0 | 0.1 | 0.5 |
| Producer Durables | 11.2 | 11.2 | 10.8 |
| Technology | 8.4 | 8.3 | 19.2 |
| Utilities | 7.7 | 7.7 | 5.3 |
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) |
| IDACORP Inc. | Utilities: Electrical | 0.5% |
| WGL Holdings Inc. | Utilities: Gas | |
| | Distributors | 0.5 |
| Portland General Electric | | |
| Co. | Utilities: Electrical | 0.5 |
| MGIC Investment Corp. | Consumer Lending | 0.4 |
| Wintrust Financial Corp. | Banks: Diversified | 0.4 |
| ALLETE Inc. | Utilities: Electrical | 0.4 |
| Gramercy Property Trust Diversified REITs | 0.4 |
| Cousins Properties Inc. | Diversified REITs | 0.4 |
| ONE Gas Inc. | Utilities: Gas | |
| | Distributors | 0.4 |
| IBERIABANK Corp. | Banks: Diversified | 0.4 |
| Top Ten | | 4.3% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
Sector categories are based on the Russell Global Sectors (“RGS”),
except for the “Other” category (if applicable), which includes
securities that have not been provided a RGS classification as of
the effective reporting period.
1 The expense ratios shown are from the prospectus dated December 22, 2016, and represent estimated costs for the current fiscal year. For the
fiscal year ended August 31, 2017, the expense ratios were 0.20% for ETF Shares and 0.08% for Institutional Shares.
23
Russell 2000 Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future
results that may be achieved by the fund. (Current performance may be lower or higher than
the performance data cited. For performance data current to the most recent month-end, visit
our website at vanguard.com/performance.) Note, too, that both investment returns and
principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more
or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay
on fund distributions or on the sale of fund shares.
Cumulative Performance: September 20, 2010, Through August 31, 2017
Initial Investment of $10,000
| | | | | |
| | | Average Annual Total Returns | |
| | | Periods Ended August 31, 2017 | |
| |
| | | | | Since | Final Value |
| | | One | Five | Inception | of a $10,000 |
| | | Year | Years | (9/20/2010) | Investment |
| |
| | Russell 2000 Value Index Fund*ETF | | | | |
| | Shares Net Asset Value | 13.42% | 12.35% | 11.72% | $21,592 |
| | Russell 2000 Value Index Fund*ETF | | | | |
| | Shares Market Price | 13.32 | 12.42 | 11.72 | 21,589 |
| |
| • • • • • • • • | Russell 2000 Value Index | 13.47 | 12.51 | 11.89 | 21,817 |
| |
| – – – – | Small-Cap Value Funds Average | 11.02 | 11.80 | 11.24 | 20,957 |
| | Dow Jones U.S. Total Stock Market | | | | |
| | Float Adjusted Index | 16.05 | 14.19 | 14.00 | 24,851 |
Small-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
| | | |
| | | Since | Final Value |
| | One | Inception | of a $5,000,000 |
| | Year | (7/13/2012) | Investment |
| Russell 2000 Value Index Fund Institutional | | | |
| Shares | 13.55% | 12.46% | $9,135,559 |
| |
| Russell 2000 Value Index | 13.47 | 12.48 | 9,144,209 |
| Dow Jones U.S. Total Stock Market Float | | | |
| Adjusted Index | 16.05 | 14.62 | 10,071,923 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
24
| | | |
| Russell 2000 Value Index Fund | | | |
| |
| |
| |
| |
| Cumulative Returns of ETF Shares: September 20, 2010, Through August 31, 2017 | |
| | | | Since |
| | One | Five | Inception |
| | Year | Years | (9/20/2010) |
| Russell 2000 Value Index Fund ETF Shares Market | | | |
| Price | 13.32% | 79.57% | 115.89% |
| Russell 2000 Value Index Fund ETF Shares Net | | | |
| Asset Value | 13.42 | 79.02 | 115.92 |
| Russell 2000 Value Index | 13.47 | 80.29 | 118.17 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Average Annual Total Returns: Periods Ended June 30, 2017
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 | | 24.56% | 13.21% | 12.32% |
| Net Asset Value | | 24.78 | 13.22 | 12.34 |
| Institutional Shares | 7/13/2012 | 24.91 | — | 13.33 |
25
Russell 2000 Value Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of August 31, 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 † | | 34,428 | 10.8% |
| |
| Consumer Staples | | | |
| Snyder’s-Lance Inc. | 28,976 | 1,029 | 0.3% |
| Sanderson Farms Inc. | 6,785 | 1,001 | 0.3% |
| Consumer Staples—Other † | | 5,319 | 1.7% |
| | | 7,349 | 2.3% |
| |
| 1Energy † | | 17,719 | 5.6% |
| |
| Financial Services | | | |
| * MGIC Investment Corp. | 124,655 | 1,427 | 0.5% |
| Wintrust Financial Corp. | 18,672 | 1,360 | 0.4% |
| Gramercy Property Trust | 43,470 | 1,324 | 0.4% |
| Cousins Properties Inc. | 141,524 | 1,323 | 0.4% |
| IBERIABANK Corp. | 17,075 | 1,308 | 0.4% |
| Umpqua Holdings Corp. | 74,564 | 1,305 | 0.4% |
| Healthcare Realty Trust Inc. | 38,962 | 1,297 | 0.4% |
| CNO Financial Group Inc. | 57,720 | 1,290 | 0.4% |
| Radian Group Inc. | 72,939 | 1,276 | 0.4% |
| * Starwood Waypoint Homes | 34,111 | 1,270 | 0.4% |
| Hancock Holding Co. | 28,331 | 1,245 | 0.4% |
| Sunstone Hotel Investors Inc. | 74,243 | 1,173 | 0.4% |
| Investors Bancorp Inc. | 87,797 | 1,149 | 0.4% |
| United Bankshares Inc. | 33,645 | 1,129 | 0.4% |
| LaSalle Hotel Properties | 38,247 | 1,085 | 0.4% |
| Chemical Financial Corp. | 23,808 | 1,081 | 0.3% |
| Stifel Financial Corp. | 22,347 | 1,067 | 0.3% |
| UMB Financial Corp. | 15,227 | 1,022 | 0.3% |
| Fulton Financial Corp. | 57,866 | 1,010 | 0.3% |
26
| | | | |
| Russell 2000 Value Index Fund | | | |
| |
| |
| |
| | | | Market | Percentage |
| | | | Value• | of Net |
| | | Shares | ($000) | Assets |
| | Sterling Bancorp | 44,244 | 993 | 0.3% |
| | MB Financial Inc. | 24,897 | 990 | 0.3% |
| | Valley National Bancorp | 87,380 | 978 | 0.3% |
| | Selective Insurance Group Inc. | 19,361 | 976 | 0.3% |
| | Sabra Health Care REIT Inc. | 44,227 | 966 | 0.3% |
| | Education Realty Trust Inc. | 24,722 | 955 | 0.3% |
| | First Industrial Realty Trust Inc. | 30,666 | 950 | 0.3% |
| | Washington Federal Inc. | 30,320 | 948 | 0.3% |
| 1 | Financial Services—Other † | | 101,348 | 31.9% |
| | | | 132,245 | 41.6% |
| Health Care | | | |
| * | Bluebird Bio Inc. | 9,174 | 1,145 | 0.4% |
| * | LivaNova plc | 16,252 | 1,017 | 0.3% |
| | Health Care—Other † | | 16,295 | 5.1% |
| | | | 18,457 | 5.8% |
| Materials & Processing | | | |
| | Belden Inc. | 14,104 | 1,087 | 0.4% |
| 1 | Materials & Processing—Other † | | 17,602 | 5.5% |
| | | | 18,689 | 5.9% |
| |
| 1,2Other † | | 36 | 0.0% |
| |
| Producer Durables | | | |
| * | Darling Ingredients Inc. | 55,124 | 959 | 0.3% |
| | Producer Durables—Other † | | 34,270 | 10.8% |
| | | | 35,229 | 11.1% |
| Technology | | | |
| * | Tech Data Corp. | 10,859 | 1,198 | 0.4% |
| * | ViaSat Inc. | 16,917 | 1,076 | 0.4% |
| * | CACI International Inc. Class A | 8,191 | 1,063 | 0.3% |
| * | NetScout Systems Inc. | 29,813 | 976 | 0.3% |
| | Technology—Other † | | 21,916 | 6.9% |
| | | | 26,229 | 8.3% |
| Utilities | | | |
| | IDACORP Inc. | 17,154 | 1,526 | 0.5% |
| | WGL Holdings Inc. | 17,416 | 1,467 | 0.5% |
| | Portland General Electric Co. | 30,334 | 1,441 | 0.4% |
| | ALLETE Inc. | 17,296 | 1,338 | 0.4% |
| | ONE Gas Inc. | 17,582 | 1,323 | 0.4% |
| | Black Hills Corp. | 18,101 | 1,274 | 0.4% |
| | Spire Inc. | 15,920 | 1,218 | 0.4% |
| | New Jersey Resources Corp. | 26,721 | 1,166 | 0.4% |
| | Southwest Gas Holdings Inc. | 14,411 | 1,146 | 0.4% |
| | PNM Resources Inc. | 26,918 | 1,141 | 0.4% |
| | Avista Corp. | 21,605 | 1,111 | 0.3% |
| | NorthWestern Corp. | 16,397 | 989 | 0.3% |
| | South Jersey Industries Inc. | 26,818 | 962 | 0.3% |
| | Utilities—Other † | | 8,324 | 2.6% |
| | | | 24,426 | 7.7% |
| Total Common Stocks (Cost $294,058) | | 314,807 | 99.1%3 |
27
| | | | |
| Russell 2000 Value Index Fund | | | | |
| |
| |
| |
| | | | Market | Percentage |
| | | | Value• | of Net |
| | Coupon | Shares | ($000) | Assets |
| Temporary Cash Investments | | | | |
| 4,5 Vanguard Market Liquidity Fund | 1.224% | 20,643 | 2,065 | 0.7% |
| |
| 6U.S. Government and Agency Obligations † | | | 100 | 0.0% |
| Total Temporary Cash Investments (Cost $2,164) | | | 2,165 | 0.7%3 |
| 7Total Investments (Cost $296,222) | | | 316,972 | 99.8% |
| |
| | | | Amount | |
| | | | ($000) | |
| Other Assets and Liabilities | | | | |
| Other Assets | | | | |
| Investment in Vanguard | | | 21 | |
| Receivables for Investment Securities Sold | | | 2,834 | |
| Receivables for Accrued Income | | | 308 | |
| Receivables for Capital Shares Issued | | | 236 | |
| Variation Margin Receivable – Futures Contracts | | | 24 | |
| Other Assets 5,6 | | | 95 | |
| Total Other Assets | | | 3,518 | 1.1% |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | (8) | |
| Collateral for Securities on Loan | | | (2,139) | |
| Payables for Capital Shares Redeemed | | | (52) | |
| Payables to Vanguard | | | (76) | |
| Other Liabilities | | | (582) | |
| Total Liabilities | | | (2,857) | (0.9%) |
| Net Assets | | | 317,633 | 100.0% |
| |
| At August 31, 2017, net assets consisted of: | |
| | Amount |
| | ($000) |
| Paid-in Capital | 311,129 |
| Undistributed Net Investment Income | 1,146 |
| Accumulated Net Realized Losses | (15,427) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 20,750 |
| Futures Contracts | 35 |
| Net Assets | 317,633 |
28
| |
| Russell 2000 Value Index Fund | |
| |
| |
| |
| | Amount |
| | ($000) |
| ETF Shares—Net Assets | |
| Applicable to 1,700,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 171,636 |
| Net Asset Value Per Share—ETF Shares | $100.96 |
| |
| Institutional Shares—Net Assets | |
| Applicable to 733,175 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 145,997 |
| Net Asset Value Per Share—Institutional Shares | $199.13 |
• 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 Security value determined using significant unobservable inputs.
2 “Other” represents securities that are not classified by the fund’s benchmark index.
3 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 99.9% and -0.1%, respectively, of
net assets.
4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
5 Includes $2,139,000 of collateral received for securities on loan, of which $75,000 is held in cash.
6 Securities with a value of $100,000 and cash of $20,000 have been segregated as initial margin for open futures contracts.
7 The total value of securities on loan is $1,984,000.
| | | | |
| Derivative Financial Instruments Outstanding as of Period End | | |
| |
| Futures Contracts | | | | |
| | | | | ($000) |
| | | | | Value and |
| | | Number of | | Unrealized |
| | | Long (Short) | Notional | Appreciation |
| | Expiration | Contracts | Amount | (Depreciation) |
| Long Futures Contracts | | | | |
| E-mini Russell 2000 Index | September 2017 | 35 | 2,458 | 35 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
29
| |
| Russell 2000 Value Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Year Ended |
| | August 31,2017 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 5,607 |
| Interest1 | 12 |
| Securities Lending—Net | 383 |
| Total Income | 6,002 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 63 |
| Management and Administrative—ETF Shares | 183 |
| Management and Administrative—Institutional Shares | 9 |
| Marketing and Distribution—ETF Shares | 10 |
| Marketing and Distribution—Institutional Shares | 7 |
| Custodian Fees | 120 |
| Auditing Fees | 32 |
| Shareholders’ Reports and Proxy—ETF Shares | 14 |
| Shareholders’ Reports and Proxy—Institutional Shares | — |
| Total Expenses | 438 |
| Net Investment Income | 5,564 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 16,351 |
| Futures Contracts | 314 |
| Realized Net Gain (Loss) | 16,665 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 13,395 |
| Futures Contracts | 39 |
| Change in Unrealized Appreciation (Depreciation) | 13,434 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 35,663 |
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.
30
| | |
| Russell 2000 Value Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Year Ended August 31, |
| | 2017 | 2016 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 5,564 | 3,730 |
| Realized Net Gain (Loss) | 16,665 | 1,305 |
| Change in Unrealized Appreciation (Depreciation) | 13,434 | 23,037 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 35,663 | 28,072 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (2,681) | (2,075) |
| Institutional Shares | (2,873) | (2,259) |
| Realized Capital Gain | | |
| ETF Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (5,554) | (4,334) |
| Capital Share Transactions | | |
| ETF Shares | 36,580 | 35,395 |
| Institutional Shares | 1,757 | 45,812 |
| Net Increase (Decrease) from Capital Share Transactions | 38,337 | 81,207 |
| Total Increase (Decrease) | 68,446 | 104,945 |
| Net Assets | | |
| Beginning of Period | 249,187 | 144,242 |
| End of Period1 | 317,633 | 249,187 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $1,146,000 and $1,127,000.
See accompanying Notes, which are an integral part of the Financial Statements.
31
| | | | | |
| Russell 2000 Value Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| ETF Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $90.64 | $81.88 | $87.76 | $75.48 | $61.97 |
| Investment Operations | | | | | |
| Net Investment Income | 1.7361 | 1.561 | 1.530 | 1.284 | 1.639 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | 10.358 | 9.305 | (5.907) | 12.219 | 13.109 |
| Total from Investment Operations | 12.094 | 10.866 | (4.377) | 13.503 | 14.748 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (1.774) | (2.106) | (1.503) | (1.223) | (1.238) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.774) | (2.106) | (1.503) | (1.223) | (1.238) |
| Net Asset Value, End of Period | $100.96 | $90.64 | $81.88 | $87.76 | $75.48 |
| |
| Total Return | 13.42% | 13.62% | -5.10% | 17.92% | 24.14% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $172 | $120 | $74 | $70 | $45 |
| Ratio of Total Expenses to | | | | | |
| Average Net Assets | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 1.76% | 2.02% | 1.80% | 1.83% | 2.12% |
| Portfolio Turnover Rate 2 | 36% | 31% | 28% | 36% | 60% |
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.
32
| | | | | |
| Russell 2000 Value Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| Institutional Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $178.76 | $161.59 | $173.15 | $148.87 | $122.12 |
| Investment Operations | | | | | |
| Net Investment Income | 3.7371 | 3.265 | 3.195 | 2.724 | 3.360 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | 20.356 | 18.355 | (11.619) | 24.103 | 25.888 |
| Total from Investment Operations | 24.093 | 21.620 | (8.424) | 26.827 | 29.248 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (3.723) | (4.450) | (3.136) | (2.547) | (2.498) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (3.723) | (4.450) | (3.136) | (2.547) | (2.498) |
| Net Asset Value, End of Period | $199.13 | $178.76 | $161.59 | $173.15 | $148.87 |
| |
| Total Return | 13.55% | 13.76% | -4.97% | 18.07% | 24.29% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $146 | $129 | $71 | $82 | $51 |
| Ratio of Total Expenses to | | | | | |
| Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 1.88% | 2.14% | 1.92% | 1.95% | 2.24% |
| Portfolio Turnover Rate2 | 36% | 31% | 28% | 36% | 60% |
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.
33
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 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 notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 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 the notional amounts at each quarter-end during the period
34
Russell 2000 Value Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2014–2017), 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 event 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 August 31, 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.
35
Russell 2000 Value Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses), shareholder reporting, and the proxy. 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 August 31, 2017, the fund had contributed to Vanguard capital in the amount of $21,000, 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). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of August 31, 2017, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 314,785 | — | 22 |
| Temporary Cash Investments | 2,065 | 100 | — |
| Futures Contracts—Assets1 | 24 | — | — |
| Total | 316,874 | 100 | 22 |
| 1 Represents variation margin on the last day of the reporting period. | | | |
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
36
Russell 2000 Value Index Fund
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 year ended August 31, 2017, the fund realized $19,954,000 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.
For tax purposes, at August 31, 2017, the fund had $1,231,000 of ordinary income available for distribution. The fund had available capital losses totaling $15,392,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2017, the cost of investment securities for tax purposes was $296,252,000. Net unrealized appreciation of investment securities for tax purposes was $20,720,000, consisting of unrealized gains of $42,435,000 on securities that had risen in value since their purchase and $21,715,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2017, the fund purchased $204,409,000 of investment securities and sold $166,737,000 of investment securities, other than temporary cash investments. Purchases and sales include $90,203,000 and $57,379,000, 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: | | | |
| | | | Year Ended August 31, |
| | | 2017 | | 2016 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 95,420 | 950 | 67,427 | 825 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (58,840) | (575) | (32,032) | (400) |
| Net Increase (Decrease)—ETF Shares | 36,580 | 375 | 35,395 | 425 |
| Institutional Shares | | | | |
| Issued | 39,675 | 198 | 69,100 | 433 |
| Issued in Lieu of Cash Distributions | 2,511 | 13 | 2,218 | 14 |
| Redeemed | (40,429) | (200) | (25,506) | (161) |
| Net Increase (Decrease)—Institutional Shares | 1,757 | 11 | 45,812 | 286 |
G. Management has determined that no material events or transactions occurred subsequent to August 31, 2017, that would require recognition or disclosure in these financial statements.
37
Russell 2000 Growth Index Fund
Fund Profile
As of August 31, 2017
| | |
| Share-Class Characteristics | | |
| | ETF | Institutional |
| | Shares | Shares |
| Ticker Symbol | VTWG | VRTGX |
| Expense Ratio1 | 0.20% | 0.08% |
| 30-Day SEC Yield | 0.51% | 0.62% |
| | |
| Volatility Measures | | |
| | | DJ |
| | | U.S. Total |
| | Russell 2000 | Market |
| | Growth Index | FA Index |
| R-Squared | 1.00 | 0.75 |
| Beta | 1.00 | 1.28 |
| | | |
| Portfolio Characteristics | | |
| | | | DJ |
| | | | U.S. |
| | | Russell | Total |
| | | 2000 | Market |
| | | Growth | FA |
| | Fund | Index | Index |
| Number of Stocks | 1,186 | 1,160 | 3,769 |
| Median Market Cap | $2.2B | $2.2B | $63.1B |
| Price/Earnings Ratio | 23.7x | 23.7x | 21.6x |
| Price/Book Ratio | 4.0x | 4.0x | 2.8x |
| Return on Equity | 9.3% | 9.3% | 15.1% |
| Earnings Growth Rate | 11.1% | 11.0% | 9.4% |
| Dividend Yield | 0.7% | 0.7% | 1.8% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | 34% | — | — |
| Short-Term Reserves | -0.1% | — | — |
| | | |
| Sector Diversification (% of equity exposure) |
| | | Russell | DJ |
| | | 2000 | U.S. Total |
| | | Growth | Market |
| | Fund | Index | FA Index |
| Consumer Discretionary | 15.2% | 15.2% | 13.6% |
| Consumer Staples | 2.2 | 2.3 | 6.7 |
| Energy | 0.9 | 0.9 | 5.3 |
| Financial Services | 10.7 | 10.6 | 21.1 |
| Health Care | 25.0 | 25.0 | 13.9 |
| Materials & Processing | 8.0 | 8.0 | 3.6 |
| Other | 0.1 | 0.0 | 0.5 |
| Producer Durables | 15.7 | 15.8 | 10.8 |
| Technology | 19.8 | 19.8 | 19.2 |
| Utilities | 2.4 | 2.4 | 5.3 |
Sector categories are based on the Russell Global Sectors (“RGS”),
except for the “Other” category (if applicable), which includes
securities that have not been provided a RGS classification as of
the effective reporting period.
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) |
| Kite Pharma Inc. | Biotechnology | 0.9% |
| Catalent Inc. | Pharmaceuticals | 0.5 |
| GrubHub Inc. | Computer Services | |
| | Software & Systems | 0.5 |
| Aspen Technology Inc. | Computer Services | |
| | Software & Systems | 0.5 |
| Exact Sciences Corp. | Biotechnology | 0.5 |
| MKS Instruments Inc. | Production | |
| | Technology | |
| | Equipment | 0.4 |
| PAREXEL International | | |
| Corp. | Medical Services | 0.4 |
| Fair Isaac Corp. | Financial Data & | |
| | Systems | 0.4 |
| Medidata Solutions Inc. | Health Care Services | 0.4 |
| Littelfuse Inc. | Scientific | |
| | Instruments: | |
| | Electrical | 0.4 |
| Top Ten | | 4.9% |
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
fiscal year ended August 31, 2017, the expense ratios were 0.20% for ETF Shares and 0.08% for Institutional Shares.
38
Russell 2000 Growth Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future
results that may be achieved by the fund. (Current performance may be lower or higher than
the performance data cited. For performance data current to the most recent month-end, visit
our website at vanguard.com/performance.) Note, too, that both investment returns and
principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more
or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay
on fund distributions or on the sale of fund shares.
Cumulative Performance: September 20, 2010, Through August 31, 2017
Initial Investment of $10,000
| | | | | |
| | | Average Annual Total Returns | |
| | | Periods Ended August 31, 2017 | |
| |
| | | | | Since | Final Value |
| | | One | Five | Inception | of a $10,000 |
| | | Year | Years | (9/20/2010) | Investment |
| |
| | Russell 2000 Growth Index Fund*ETF | | | | |
| | Shares Net Asset Value | 16.39% | 13.76% | 13.62% | $24,279 |
| | Russell 2000 Growth Index Fund*ETF | | | | |
| | Shares Market Price | 16.51 | 13.76 | 13.63 | 24,285 |
| |
| • • • • • • • • | Russell 2000 Growth Index | 16.39 | 13.75 | 13.65 | 24,324 |
| |
| – – – – | Small-Cap Growth Funds Average | 15.61 | 12.16 | 12.28 | 22,352 |
| | Dow Jones U.S. Total Stock Market | | | | |
| | Float Adjusted Index | 16.05 | 14.19 | 14.00 | 24,851 |
Small-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
| | | | |
| | | | Since | Final Value |
| | One | Five | Inception | of a $5,000,000 |
| | Year | Years | (5/25/2011) | Investment |
| Russell 2000 Growth Index Fund | | | | |
| Institutional Shares | 16.53% | 13.90% | 10.96% | $9,598,398 |
| |
| Russell 2000 Growth Index | 16.39 | 13.75 | 10.86 | 9,539,354 |
| Dow Jones U.S. Total Stock Market Float | | | | |
| Adjusted Index | 16.05 | 14.19 | 12.52 | 10,474,413 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
39
| | | |
| Russell 2000 Growth Index Fund | | | |
| |
| |
| |
| |
| Cumulative Returns of ETF Shares: September 20, 2010, Through August 31, 2017 | |
| | | | Since |
| | One | Five | Inception |
| | Year | Years | (9/20/2010) |
| Russell 2000 Growth Index Fund ETF Shares Market | | | |
| Price | 16.51% | 90.53% | 142.85% |
| Russell 2000 Growth Index Fund ETF Shares Net | | | |
| Asset Value | 16.39 | 90.53 | 142.79 |
| Russell 2000 Growth Index | 16.39 | 90.41 | 143.24 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Fiscal-Year Total Returns (%): September 20, 2010, Through August 31, 2017
Average Annual Total Returns: Periods Ended June 30, 2017
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 | | 24.37% | 14.00% | 13.86% |
| Net Asset Value | | 24.40 | 13.99 | 13.86 |
| Institutional Shares | 5/25/2011 | 24.55 | 14.13 | 11.15 |
40
Russell 2000 Growth Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of August 31, 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 | | | |
| * Grand Canyon Education Inc. | 26,722 | 2,193 | 0.4% |
| Texas Roadhouse Inc. Class A | 38,167 | 1,811 | 0.3% |
| * Stamps.com Inc. | 9,038 | 1,729 | 0.3% |
| Consumer Discretionary—Other † | | 79,585 | 14.1% |
| | | 85,318 | 15.1% |
| |
| Consumer Staples † | | 12,625 | 2.2% |
| |
| Energy † | | 4,998 | 0.9% |
| |
| Financial Services | | | |
| Fair Isaac Corp. | 17,521 | 2,466 | 0.4% |
| Primerica Inc. | 25,952 | 1,987 | 0.4% |
| Evercore Inc. Class A | 23,293 | 1,757 | 0.3% |
| Financial Services—Other † | | 53,518 | 9.5% |
| | | 59,728 | 10.6% |
| Health Care | | | |
| * Kite Pharma Inc. | 27,888 | 4,964 | 0.9% |
| * Catalent Inc. | 71,786 | 2,964 | 0.5% |
| * Exact Sciences Corp. | 62,638 | 2,624 | 0.5% |
| * PAREXEL International Corp. | 28,637 | 2,517 | 0.5% |
| * Medidata Solutions Inc. | 32,160 | 2,411 | 0.4% |
| HealthSouth Corp. | 50,858 | 2,327 | 0.4% |
| * Masimo Corp. | 25,558 | 2,157 | 0.4% |
| * PRA Health Sciences Inc. | 27,859 | 2,156 | 0.4% |
| * Insulet Corp. | 33,186 | 1,927 | 0.4% |
| * Clovis Oncology Inc. | 24,703 | 1,879 | 0.3% |
| * INC Research Holdings Inc. Class A | 31,146 | 1,828 | 0.3% |
41
| | | | |
| Russell 2000 Growth Index Fund | | | |
| |
| |
| |
| | | | Market | Percentage |
| | | | Value• | of Net |
| | | Shares | ($000) | Assets |
| * | FibroGen Inc. | 37,744 | 1,819 | 0.3% |
| * | NuVasive Inc. | 28,949 | 1,809 | 0.3% |
| * | Integra LifeSciences Holdings Corp. | 35,131 | 1,791 | 0.3% |
| * | Nektar Therapeutics Class A | 84,603 | 1,779 | 0.3% |
| | Chemed Corp. | 8,960 | 1,768 | 0.3% |
| * | Wright Medical Group NV | 59,647 | 1,766 | 0.3% |
| | Health Care—Other † | | 101,850 | 18.1% |
| | | | 140,336 | 24.9% |
| Materials & Processing | | | |
| * | Louisiana-Pacific Corp. | 77,895 | 1,985 | 0.4% |
| | Sensient Technologies Corp. | 25,219 | 1,820 | 0.3% |
| * | Summit Materials Inc. Class A | 61,042 | 1,803 | 0.3% |
| | Materials & Processing—Other † | | 39,348 | 7.0% |
| | | | 44,956 | 8.0% |
| |
| 1,2Other † | | 327 | 0.1% |
| |
| Producer Durables | | | |
| | Littelfuse Inc. | 12,838 | 2,390 | 0.4% |
| | MAXIMUS Inc. | 36,590 | 2,224 | 0.4% |
| | Woodward Inc. | 30,336 | 2,130 | 0.4% |
| | Healthcare Services Group Inc. | 40,626 | 2,080 | 0.4% |
| | Brink’s Co. | 26,146 | 2,051 | 0.4% |
| | Deluxe Corp. | 27,614 | 1,915 | 0.3% |
| | Curtiss-Wright Corp. | 18,836 | 1,824 | 0.3% |
| | Producer Durables—Other † | | 73,814 | 13.1% |
| | | | 88,428 | 15.7% |
| Technology | | | |
| * | GrubHub Inc. | 49,003 | 2,798 | 0.5% |
| * | Aspen Technology Inc. | 42,739 | 2,703 | 0.5% |
| | MKS Instruments Inc. | 30,726 | 2,530 | 0.4% |
| | Monolithic Power Systems Inc. | 22,736 | 2,304 | 0.4% |
| | Blackbaud Inc. | 27,171 | 2,294 | 0.4% |
| * | EPAM Systems Inc. | 28,010 | 2,278 | 0.4% |
| * | Proofpoint Inc. | 24,512 | 2,249 | 0.4% |
| * | Cirrus Logic Inc. | 36,776 | 2,132 | 0.4% |
| * | Paycom Software Inc. | 28,119 | 2,098 | 0.4% |
| * | Entegris Inc. | 81,036 | 2,062 | 0.4% |
| * | Lumentum Holdings Inc. | 34,773 | 1,977 | 0.4% |
| * | Yelp Inc. Class A | 44,325 | 1,888 | 0.3% |
| * | Integrated Device Technology Inc. | 76,362 | 1,887 | 0.3% |
| | Science Applications International Corp. | 24,988 | 1,846 | 0.3% |
| * | Silicon Laboratories Inc. | 23,928 | 1,816 | 0.3% |
| * | Ciena Corp. | 80,513 | 1,740 | 0.3% |
| | Technology—Other † | | 76,659 | 13.6% |
| | | | 111,261 | 19.7% |
| Utilities | | | |
| | j2 Global Inc. | 26,485 | 1,994 | 0.3% |
| | Utilities—Other † | | 11,607 | 2.1% |
| | | | 13,601 | 2.4% |
| Total Common Stocks (Cost $496,122) | | 561,578 | 99.6%3 |
42
| | | | |
| Russell 2000 Growth Index Fund | | | | |
| |
| |
| |
| | | | Market | Percentage |
| | | | Value• | of Net |
| | Coupon | Shares | ($000) | Assets |
| Temporary Cash Investments | | | | |
| Money Market Fund | | | | |
| 4,5 Vanguard Market Liquidity Fund | 1.224% | 83,721 | 8,373 | 1.5% |
| |
| 6U.S. Government and Agency Obligations † | | | 200 | 0.0% |
| Total Temporary Cash Investments (Cost $8,572) | | | 8,573 | 1.5%3 |
| 7Total Investments (Cost $504,694) | | | 570,151 | 101.1% |
| |
| | | | Amount | |
| | | | ($000) | |
| Other Assets and Liabilities | | | | |
| Other Assets | | | | |
| Investment in Vanguard | | | 36 | |
| Receivables for Accrued Income | | | 286 | |
| Receivables for Capital Shares Issued | | | 527 | |
| Variation Margin Receivable – Futures Contracts | | | 21 | |
| Other Assets 5 | | | 331 | |
| Total Other Assets | | | 1,201 | 0.2% |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | (2) | |
| Collateral for Securities on Loan | | | (7,237) | |
| Payables for Capital Shares Redeemed | | | (49) | |
| Payables to Vanguard | | | (137) | |
| Total Liabilities | | | (7,425) | (1.3%) |
| Net Assets | | | 563,927 | 100.0% |
| |
| |
| At August 31, 2017, net assets consisted of: | | | | |
| |
| | | | | Amount |
| | | | | ($000) |
| Paid-in Capital | | | | 542,823 |
| Undistributed Net Investment Income | | | | 775 |
| Accumulated Net Realized Losses | | | | (45,094) |
| Unrealized Appreciation (Depreciation) | | | | |
| Investment Securities | | | | 65,457 |
| Futures Contracts | | | | (34) |
| Net Assets | | | | 563,927 |
43
| |
| Russell 2000 Growth Index Fund | |
| |
| |
| |
| | Amount |
| | ($000) |
| ETF Shares—Net Assets | |
| Applicable to 1,575,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 194,140 |
| Net Asset Value Per Share—ETF Shares | $123.26 |
| |
| Institutional Shares—Net Assets | |
| Applicable to 1,574,881 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 369,787 |
| Net Asset Value Per Share—Institutional Shares | $234.80 |
• 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 Security value determined using significant unobservable inputs.
2 “Other” represents securities that are not classified by the fund’s benchmark index.
3 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 1.1%, respectively, 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.
5 Includes $7,237,000 of collateral received for securities on loan, of which $327,000 is held in cash.
6 Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.
7 The total value of securities on loan is $6,797,000.
| | | | |
| Derivative Financial Instruments Outstanding as of Period End | | |
| |
| Futures Contracts | | | | |
| | | | | ($000) |
| | | | | Value and |
| | | Number of | | Unrealized |
| | | Long (Short) | Notional | Appreciation |
| | Expiration | Contracts | Amount | (Depreciation) |
| Long Futures Contracts | | | | |
| E-mini Russell 2000 Index | September 2017 | 31 | 2,177 | (34) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized
gain (loss) for tax purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
44
| |
| Russell 2000 Growth Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Year Ended |
| | August 31,2017 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 4,144 |
| Interest1 | 26 |
| Securities Lending—Net | 606 |
| Total Income | 4,776 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 96 |
| Management and Administrative—ETF Shares | 247 |
| Management and Administrative—Institutional Shares | 96 |
| Marketing and Distribution—ETF Shares | 11 |
| Marketing and Distribution—Institutional Shares | 16 |
| Custodian Fees | 65 |
| Auditing Fees | 32 |
| Shareholders’ Reports and Proxy—ETF Shares | 17 |
| Shareholders’ Reports and Proxy—Institutional Shares | 1 |
| Total Expenses | 581 |
| Net Investment Income | 4,195 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 11,536 |
| Futures Contracts | 375 |
| Realized Net Gain (Loss) | 11,911 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 53,732 |
| Futures Contracts | (77) |
| Change in Unrealized Appreciation (Depreciation) | 53,655 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 69,761 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $23,000 and $0, respectively.
See accompanying Notes, which are an integral part of the Financial Statements.
45
| | |
| Russell 2000 Growth Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Year Ended August 31, |
| | 2017 | 2016 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 4,195 | 3,938 |
| Realized Net Gain (Loss) | 11,911 | (1,392) |
| Change in Unrealized Appreciation (Depreciation) | 53,655 | 6,601 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 69,761 | 9,147 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (1,648) | (1,472) |
| Institutional Shares | (2,980) | (2,744) |
| Realized Capital Gain | | |
| ETF Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (4,628) | (4,216) |
| Capital Share Transactions | | |
| ETF Shares | 25,090 | (6,957) |
| Institutional Shares | 110,695 | 29,431 |
| Net Increase (Decrease) from Capital Share Transactions | 135,785 | 22,474 |
| Total Increase (Decrease) | 200,918 | 27,405 |
| Net Assets | | |
| Beginning of Period | 363,009 | 335,604 |
| End of Period1 | 563,927 | 363,009 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $775,000 and $1,208,000.
See accompanying Notes, which are an integral part of the Financial Statements.
46
| | | | | |
| Russell 2000 Growth Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| ETF Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $106.98 | $104.34 | $99.83 | $85.58 | $67.37 |
| Investment Operations | | | | | |
| Net Investment Income | . 9611 | . 989 | .680 | .646 | .699 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | 16.455 | 2.721 | 4.471 | 14.153 | 18.073 |
| Total from Investment Operations | 17.416 | 3.710 | 5.151 | 14.799 | 18.772 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (1.136) | (1.070) | (.641) | (.549) | (.562) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.136) | (1.070) | (.641) | (.549) | (.562) |
| Net Asset Value, End of Period | $123.26 | $106.98 | $104.34 | $99.83 | $85.58 |
| |
| Total Return | 16.39% | 3.62% | 5.17% | 17.30% | 28.07% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $194 | $144 | $149 | $100 | $68 |
| Ratio of Total Expenses to | | | | | |
| Average Net Assets | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 0.83% | 0.99% | 0.67% | 0.60% | 0.96% |
| Portfolio Turnover Rate2 | 34% | 33% | 34% | 35% | 50% |
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.
47
| | | | | |
| Russell 2000 Growth Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| Institutional Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $203.79 | $198.85 | $190.26 | $162.99 | $128.23 |
| Investment Operations | | | | | |
| Net Investment Income | 2.1021 | 2.121 | 1.478 | 1.412 | 1.412 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | 31.338 | 5.185 | 8.565 | 26.992 | 34.504 |
| Total from Investment Operations | 33.440 | 7.306 | 10.043 | 28.404 | 35.916 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (2.430) | (2.366) | (1.453) | (1.134) | (1.156) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (2.430) | (2.366) | (1.453) | (1.134) | (1.156) |
| Net Asset Value, End of Period | $234.80 | $203.79 | $198.85 | $190.26 | $162.99 |
| |
| Total Return | 16.53% | 3.74% | 5.29% | 17.44% | 28.23% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $370 | $219 | $187 | $171 | $185 |
| Ratio of Total Expenses to | | | | | |
| Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 0.95% | 1.11% | 0.79% | 0.72% | 1.08% |
| Portfolio Turnover Rate2 | 34% | 33% | 34% | 35% | 50% |
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.
48
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 Nasdaq; they can be purchased and sold through a broker. Institutional Shares are designed for investors who meet certain administrative, service, and accountt-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 notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 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 the notional amounts at each quarter-end during the period.
49
Russell 2000 Growth Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2014–2017), 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 event 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 August 31, 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.
50
Russell 2000 Growth Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses), shareholder reporting, and the proxy. 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 August 31, 2017, the fund had contributed to Vanguard capital in the amount of $36,000, 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). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of August 31, 2017, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 561,409 | — | 169 |
| Temporary Cash Investments | 8,373 | 200 | — |
| Futures Contracts—Liabilities1 | 21 | — | — |
| Total | 569,803 | 200 | 169 |
| 1 Represents variation margin on the last day of the reporting period. | | | |
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
51
Russell 2000 Growth Index Fund
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 year ended August 31, 2017, the fund realized $7,616,000 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.
For tax purposes, at August 31, 2017, the fund had $889,000 of ordinary income available for distribution. The fund used capital loss carryforwards of $4,220,000 to offset taxable capital gains realized during the year ended August 31, 2017. The fund had available capital losses totaling $45,127,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2017, the cost of investment securities for tax purposes was $504,704,000. Net unrealized appreciation of investment securities for tax purposes was $65,447,000, consisting of unrealized gains of $95,563,000 on securities that had risen in value since their purchase and $30,116,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2017, the fund purchased $316,321,000 of investment securities and sold $181,833,000 of investment securities, other than temporary cash investments. Purchases and sales include $48,434,000 and $23,224,000, 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: | | | |
| | | | Year Ended August 31, |
| | | 2017 | | 2016 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 48,370 | 425 | 125,137 | 1,275 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (23,280) | (200) | (132,094) | (1,350) |
| Net Increase (Decrease)—ETF Shares | 25,090 | 225 | (6,957) | (75) |
| Institutional Shares | | | | |
| Issued | 142,467 | 647 | 152,112 | 788 |
| Issued in Lieu of Cash Distributions | 2,980 | 14 | 2,744 | 14 |
| Redeemed | (34,752) | (159) | (125,425) | (669) |
| Net Increase (Decrease)—Institutional Shares | 110,695 | 502 | 29,431 | 133 |
G. Management has determined that no material events or transactions occurred subsequent
to August 31, 2017, that would require recognition or disclosure in these financial statements.
52
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Scottsdale Funds and the Shareholders of Vanguard Russell 2000 Index Fund, Vanguard Russell 2000 Value Index Fund and Vanguard Russell 2000 Growth Index Fund: In our opinion, the accompanying statements of net assets—investments summary and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Russell 2000 Index Fund, Vanguard Russell 2000 Value Index Fund and Vanguard Russell 2000 Growth Index Fund (constituting separate portfolios of Vanguard Scottsdale Funds, hereafter referred to as the “Funds”) as of August 31, 2017, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of August 31, 2017 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 13, 2017
53
Special 2017 tax information (unaudited) for Vanguard Russell 2000 Index Funds
This information for the fiscal year ended August 31, 2017, is included pursuant to provisions of the
Internal Revenue Code.
The funds distributed qualified dividend income to shareholders during the fiscal year as follows:
| |
| Fund | ($000) |
| Russell 2000 Index Fund | 13,747 |
| Russell 2000 Value Index Fund | 3,688 |
| Russell 2000 Growth Index Fund | 3,273 |
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows:
| |
| Fund | Percentage |
| Russell 2000 Index Fund | 69.0% |
| Russell 2000 Value Index Fund | 66.1 |
| Russell 2000 Growth Index Fund | 78.8 |
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Your Fund’s After-Tax Returns
This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund’s distributions, and (2) assuming that an investor paid taxes on the fund’s distributions and sold all shares at the end of each period.
Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. After-tax returns reflect any qualified dividend income, using actual prior-year figures and estimates for 2017. (In the example, returns after the sale of fund shares may be higher than those assuming no sale. This occurs when the sale would have produced a capital loss. The calculation assumes that the investor received a tax deduction for the loss.)
The table shows returns for ETF Shares only; returns for other share classes will differ. Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes.
Finally, keep in mind that a fund’s performance—whether before or after taxes—does not guarantee future results.
| | | |
| Average Annual Total Returns: Russell 2000 Index Funds | | |
| Periods Ended August 31, 2017 | | | |
| | | | Since |
| | One | Five | Inception |
| | Year | Years | (9/20/2010) |
| Russell 2000 Index Fund ETF Shares | | | |
| Returns Before Taxes | 14.94% | 13.16% | 12.78% |
| Returns After Taxes on Distributions | 14.47 | 12.73 | 12.42 |
| Returns After Taxes on Distributions and Sale of | | | |
| Fund Shares | 8.64 | 10.42 | 10.33 |
| |
| | | | Since |
| | One | Five | Inception |
| | Year | Years | (9/20/2010) |
| Russell 2000 Value Index Fund ETF Shares | | | |
| Returns Before Taxes | 13.42% | 12.35% | 11.72% |
| Returns After Taxes on Distributions | 12.79 | 11.74 | 11.21 |
| Returns After Taxes on Distributions and Sale of | | | |
| Fund Shares | 7.83 | 9.68 | 9.36 |
| |
| | | | Since |
| | One | Five | Inception |
| | Year | Years | (9/20/2010) |
| Russell 2000 Growth Index Fund ETF Shares | | | |
| Returns Before Taxes | 16.39% | 13.76% | 13.62% |
| Returns After Taxes on Distributions | 16.04 | 13.52 | 13.44 |
| Returns After Taxes on Distributions and Sale of | | | |
| Fund Shares | 9.40 | 11.00 | 11.13 |
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About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
56
| | | |
| Six Months Ended August 31, 2017 | | | |
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| | 2/28/2017 | 8/31/2017 | Period |
| Based on Actual Fund Return | | | |
| Russell 2000 Index Fund | | | |
| ETF Shares | $1,000.00 | $1,020.63 | $0.71 |
| Institutional Shares | 1,000.00 | 1,021.04 | 0.41 |
| Russell 2000 Value Index Fund | | | |
| ETF Shares | $1,000.00 | $979.56 | $0.95 |
| Institutional Shares | 1,000.00 | 980.20 | 0.40 |
| Russell 2000 Growth Index Fund | | | |
| ETF Shares | $1,000.00 | $1,063.85 | $0.99 |
| Institutional Shares | 1,000.00 | 1,064.51 | 0.42 |
| Based on Hypothetical 5% Yearly Return | | | |
| Russell 2000 Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.50 | $0.71 |
| Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
| Russell 2000 Value Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.25 | $0.97 |
| Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
| Russell 2000 Growth Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.25 | $0.97 |
| Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for
that period are: for the Russell 2000 Index Fund, 0.14% for ETF Shares and 0.08% for Institutional Shares; for the Russell 2000 Value Index
Fund, 0.19% for ETF Shares and 0.08% for Institutional Shares; and for the Russell 2000 Growth Index Fund, 0.19% 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 (184/365).
57
Trustees Approve Advisory Arrangements
The board of trustees of Vanguard Russell 2000 Index Fund, Vanguard Russell 2000 Value Index Fund, and Vanguard Russell 2000 Growth Index Fund has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Equity Index Group. The board determined that continuing each fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made 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 through 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 had 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 investment management services provided to the funds since their inception in 2010 and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than three decades. The Equity Index Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of each advisory arrangement.
Investment performance
The board considered each fund’s performance since its inception, including any periods of outperformance or underperformance compared with its target index and peer group. The board concluded that the performance was such that each advisory arrangement should continue. Information about each fund’s most recent performance can be found in the Performance Summary pages of this report.
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Cost
The board concluded that each fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that each fund’s advisory expenses were also well below the peer group average. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that each fund’s at-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
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Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share.
For a fund, the weighted average price/book ratio of the stocks it holds.
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Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 195 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. 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; Chief Executive Officer and Director of The Vanguard Group and President and Chief Executive Officer of each of the investment companies served by The Vanguard Group, since 2008; Director of Vanguard Marketing Corporation; President of The Vanguard Group (2008–2017); 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; Trustee of the University of Rochester.
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
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.
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.
JoAnn Heffernan Heisen
Born 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years and Other Experience: Corporate Vice President and Member of the Executive Committee (1997–2008), Chief Global Diversity Officer (retired 2008), Vice President and Chief Information Officer (1997–2006), Controller (1995–1997), Treasurer (1991–1995), and Assistant Treasurer (1989–1991) 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 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, the Board of Catholic Investment Services, Inc. (investment advisor), and the Board of Superintendence of the Institute for the Works of Religion; Chairman of the Board of TIFF Advisory Services, Inc. (investment advisor).
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; Director of Vanguard Marketing Corporation; Executive Vice President and Chief Financial Officer of MassMutual Financial Group (2006–2016).
| |
| Vanguard Senior Management Team |
| |
| Mortimer J. Buckley | Chris D. McIsaac |
| Gregory Davis | James M. Norris |
| John James | Thomas M. Rampulla |
| Martha G. King | Karin A. Risi |
| John T. Marcante | |
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
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| | Q18510 102017 |
Annual Report | August 31, 2017
Vanguard Russell 3000 Index Fund
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
| |
| Contents | |
| Your Fund’s Performance at a Glance. | 1 |
| Chairman’s Perspective. | 3 |
| Fund Profile. | 7 |
| Performance Summary. | 8 |
| Financial Statements. | 10 |
| Your Fund’s After-Tax Returns. | 23 |
| About Your Fund’s Expenses. | 24 |
| Trustees Approve Advisory Arrangement. | 26 |
| Glossary. | 28 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Nautical images have been part of Vanguard’s rich heritage since its start in 1975. For an incoming ship, a lighthouse offers a beacon and safe path to shore. You can similarly depend on Vanguard to put you first––and light the way––as you strive to meet your financial goals. Our client focus and low costs, stemming from our unique ownership structure, assure that your interests are paramount.
Your Fund’s Performance at a Glance
• Vanguard Russell 3000 Index Fund, which represents the broad U.S. stock market, returned about 16% for the 12 months ended August 31, 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, large-cap stocks outperformed small-caps. Value stocks, which performed well in late 2016, lagged their growth counterparts in 2017 and trailed over the 12-month period.
• Amid a broad stock market rally, eight of the Russell 3000 Index Fund’s nine industry sectors produced positive results. Technology and financial services stocks, which account for about 40% of the index, contributed most to performance, followed by producer durables and health care.
• The energy sector was the lone detractor from returns.
| |
| Total Returns: Fiscal Year Ended August 31, 2017 | |
| | Total |
| | Returns |
| Vanguard Russell 3000 Index Fund | |
| ETF Shares | |
| Market Price | 15.88% |
| Net Asset Value | 15.92 |
| Institutional Shares | 16.00 |
| Russell 3000 Index | 16.06 |
| Multi-Cap Core Funds Average | 13.97 |
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
| |
| Total Returns: Inception Through August 31, 2017 | |
| | Average |
| | Annual Return |
| Russell 3000 Index Fund ETF Shares Net Asset Value (Returns since inception: 9/20/2010) | 13.86% |
| Russell 3000 Index | 14.03 |
| Multi-Cap Core Funds Average | 11.48 |
| Multi-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
The figures shown represent past performance, which is not a guarantee of future results. (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.
| | | |
| 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 fiscal year ended August 31, 2017, the fund’s expense ratios were 0.15% 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,
Since mid-August we’ve been reaching out to you about the proposals put forth by the Vanguard funds that, if approved, will enable us to manage the funds more efficiently and effectively. As the November deadline for voting approaches, I’d like to offer some perspective on a few of the proposals that I believe are important to the way Vanguard operates and manages your investments. I hope you consider this information and promptly cast your ballot.
Your biggest advocate
The main driver for this proxy solicitation is to ask all our fund shareholders to elect a full slate of trustees who oversee each U.S.-based Vanguard mutual fund. These trustees serve an important role, making sure your funds are managed in your best interests. This includes monitoring fund performance, approving advisory agreements, and ensuring that we’re keeping your investment costs as low as possible. Simply put, they are your biggest advocate.
Each trustee brings a variety of skills and professional experiences that contribute to the board’s strength and diversity.
Of the 12 nominees, nine currently serve on the board, and three are new. If elected, the new board would include ten independent members, meaning they have no affiliation with Vanguard or the funds apart from any investments they may choose to make as private individuals.
3
These are the proposed new trustees:
• Sarah Bloom Raskin is a former member of the Federal Reserve Board of Governors and former deputy secretary of the U.S. Treasury Department. She is an expert in cybersecurity—a critically important issue at Vanguard, as we place a premium on protecting clients’ assets and sensitive data.
• Deanna Mulligan is chief executive officer of The Guardian Life Insurance Company of America. It’s rare to find a CEO such as Deanna who leads a company with a mutual ownership structure similar to Vanguard’s.
• Tim Buckley is president and a director of Vanguard and will succeed me in January as CEO. (I’ll remain chairman for a period to be determined by the board.) I interviewed Tim when he applied for his first job here in 1991 and again when he was graduating from Harvard Business School. I was thrilled he picked Vanguard as a place to build his career, and I’ve been delighted to see him take on several leadership positions, including as head of our Retail Investor Group, chief information officer, and chief investment officer. I can think of no one better prepared to succeed me.
| | | |
| Market Barometer | | | |
| | | Average Annual Total Returns |
| | | Periods Ended August 31, 2017 |
| | One Year | Three Years | Five Years |
| Stocks | | | |
| Russell 1000 Index (Large-caps) | 16.16% | 9.21% | 14.37% |
| Russell 2000 Index (Small-caps) | 14.91 | 7.67 | 13.15 |
| Russell 3000 Index (Broad U.S. market) | 16.06 | 9.08 | 14.27 |
| FTSE All-World ex US Index (International) | 18.74 | 2.80 | 7.76 |
| |
| Bonds | | | |
| Bloomberg Barclays U.S. Aggregate Bond Index | | | |
| (Broad taxable market) | 0.49% | 2.64% | 2.19% |
| Bloomberg Barclays Municipal Bond Index | | | |
| (Broad tax-exempt market) | 0.88 | 3.40 | 3.23 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.58 | 0.25 | 0.16 |
| |
| CPI | | | |
| Consumer Price Index | 1.94% | 1.06% | 1.28% |
4
Vanguard believes that diversity of thought, background, and experience, as well as diversity of personal characteristics, meaningfully contributes to the board’s ability to effectively serve shareholders. If Sarah and Deanna are elected, women will account for 40% of the board’s independent trustees.
I should note that even as Vanguard is nominating three new board members, we’re saying goodbye to trustee Rajiv Gupta. Rajiv was a legendary CEO of Rohm and Haas Co., and Vanguard and our clients have benefited greatly from his expertise. I wish him a happy retirement.
Summarizing the proposals
Among the trustees’ leading responsibilities is overseeing the funds’ internal and external investment advisory agreements. The trustees, in consultation with our Global Investment Committee and our Portfolio Review Department, choose the investment advisors that manage client assets. Over decades, we have built a strong track record of picking advisors whose portfolio management strategies have served clients well.
Two proposals in the proxy focus on this oversight responsibility. Shareholders of 48 Vanguard funds have already voted to allow the board to make external advisor changes without obtaining prior shareholder approval. The new proposals would extend
that policy across our entire U.S.-based fund lineup and expand it to include internal advisory agreements with Vanguard subsidiaries. Eliminating the need for shareholder approval removes a step that is costly and time-consuming if done frequently or on an individual fund basis. Although there are no current plans to employ the policy on any Vanguard-managed funds, standardizing it enables the trustees to retain an advisory firm to diversify a fund’s management team or ensure management continuity should a contingency arise.
I also encourage shareholders of several specific Vanguard index funds to read the proxy proposals that affect those funds. One proposal would change the investment objective of Vanguard REIT Index Fund and Vanguard Variable Insurance Fund REIT Index Portfolio to include real estate-related securities, aligning the funds with updated industry-sector classification methodology. Another proposal seeks to change the diversification status of the REIT Index Fund to enable it to better track its benchmark. Finally, we seek your approval of the Funds’ Service Agreement for Vanguard Institutional Index Fund and Vanguard Institutional Total Stock Market Index Fund. If approved, this arrangement would then be standardized across Vanguard’s entire publicly available U.S. mutual fund lineup. It should also reduce costs and minimum initial investment requirements in select share classes.
5
At the ballot box
We hope you’ll make it a priority to cast your ballot. We want to avoid the added time and cost of soliciting sufficient votes should we not obtain a quorum by the shareholder meeting on November 15, when voting concludes. Ultimately, we believe the proposals I’ve discussed are in your best interest as Vanguard fund shareholders, and the trustees recommend that you vote in favor of them. For more information, visit vanguard.com and enter the search term “proxy.”
As always, thank you for investing with Vanguard.
F. William McNabb III
Chairman and Chief Executive Officer
September 14, 2017
6
Russell 3000 Index Fund
Fund Profile
As of August 31, 2017
| | |
| Share-Class Characteristics | | |
| | ETF | Institutional |
| | Shares | Shares |
| Ticker Symbol | VTHR | VRTTX |
| Expense Ratio1 | 0.15% | 0.08% |
| 30-Day SEC Yield | 1.75% | 1.81% |
| | |
| Volatility Measures | | |
| | | DJ |
| | Russell | U.S. Total |
| | 3000 | Market |
| | Index | FA Index |
| R-Squared | 1.00 | 1.00 |
| Beta | 1.00 | 1.00 |
| | | |
| Portfolio Characteristics | | |
| | | | DJ |
| | | | U.S. |
| | | | Total |
| | | Russell | Market |
| | | 3000 | FA |
| | Fund | Index | Index |
| Number of Stocks | 2,843 | 2,980 | 3,769 |
| Median Market Cap | $63.5B | $63.5B | $63.1B |
| Price/Earnings Ratio | 21.6x | 21.6x | 21.6x |
| Price/Book Ratio | 2.8x | 2.8x | 2.8x |
| Return on Equity | 15.1% | 15.1% | 15.1% |
| Earnings Growth Rate | 9.4% | 9.4% | 9.4% |
| Dividend Yield | 1.8% | 1.8% | 1.8% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | 16% | — | — |
| Short-Term Reserves | -0.2% | — | — |
| | | |
| Sector Diversification (% of equity exposure) |
| | | | DJ |
| | | Russell | U.S. Total |
| | | 3000 | Market |
| | Fund | Index | FA Index |
| Consumer Discretionary | 13.6% | 13.6% | 13.6% |
| Consumer Staples | 6.7 | 6.7 | 6.7 |
| Energy | 5.3 | 5.3 | 5.3 |
| Financial Services | 21.1 | 21.1 | 21.1 |
| Health Care | 14.0 | 14.0 | 13.9 |
| Materials & Processing | 3.9 | 3.9 | 3.6 |
| Other | 0.0 | 0.0 | 0.5 |
| Producer Durables | 10.8 | 10.8 | 10.8 |
| Technology | 19.3 | 19.3 | 19.2 |
| Utilities | 5.3 | 5.3 | 5.3 |
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 | 2.2 |
| Facebook Inc. | Computer Services | |
| | Software & Systems | 1.6 |
| Amazon.com Inc. | Diversified Retail | 1.5 |
| Johnson & Johnson | Pharmaceuticals | 1.4 |
| Berkshire Hathaway Inc. Insurance: Multi-Line | 1.4 |
| Exxon Mobil Corp. | Oil: Integrated | 1.3 |
| JPMorgan Chase & Co. | Diversified Financial | |
| | Services | 1.3 |
| Bank of America Corp. | Banks: Diversified | 0.9 |
| Top Ten | | 17.1% |
The holdings listed exclude any temporary cash investments and
equity index products.
Investment Focus
Sector categories are based on the Russell Global Sectors (“RGS”),
except for the “Other” category (if applicable), which includes
securities that have not been provided a RGS classification as of
the effective reporting period.
1 The expense ratios shown are from the prospectus dated December 22, 2016, and represent estimated costs for the current fiscal year. For the
fiscal year ended August 31, 2017, the expense ratios were 0.15% for ETF Shares and 0.08% for Institutional Shares.
7
Russell 3000 Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 20, 2010, Through August 31, 2017
Initial Investment of $10,000
| | | | | |
| | | Average Annual Total Returns | |
| | | Periods Ended August 31, 2017 | |
| | | | | Since | Final Value |
| | | One | Five | Inception | of a $10,000 |
| | | Year | Years | (9/20/2010) | Investment |
| |
| | Russell 3000 Index Fund*ETF Shares | | | | |
| | Net Asset Value | 15.92% | 14.09% | 13.86% | $24,635 |
| | Russell 3000 Index Fund*ETF Shares | | | | |
| | Market Price | 15.88 | 14.18 | 13.86 | 24,631 |
| |
| • • • • • • • | Russell 3000 Index | 16.06 | 14.27 | 14.03 | 24,889 |
| |
| – – – – | Multi-Cap Core Funds Average | 13.97 | 12.20 | 11.48 | 21,270 |
| | Dow Jones U.S. Total Stock Market | | | | |
| | Float Adjusted Index | 16.05 | 14.19 | 14.00 | 24,851 |
Multi-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
| | | | |
| | | | Since | Final Value |
| | One | Five | Inception | of a $5,000,000 |
| | Year | Years | (11/1/2010) | Investment |
| |
| Russell 3000 Index Fund Institutional Shares | 16.00% | 14.17% | 13.52% | $11,891,252 |
| |
| Russell 3000 Index | 16.06 | 14.27 | 13.61 | 11,953,587 |
| Dow Jones U.S. Total Stock Market Float | | | | |
| Adjusted Index | 16.05 | 14.19 | 13.58 | 11,933,116 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
8
Russell 3000 Index Fund
| | | |
| Cumulative Returns of ETF Shares: September 20, 2010, Through August 31, 2017 | |
| | | | Since |
| | One | Five | Inception |
| | Year | Years | (9/20/2010) |
| Russell 3000 Index Fund ETF Shares Market Price | 15.88% | 94.11% | 146.31% |
| Russell 3000 Index Fund ETF Shares Net Asset | | | |
| Value | 15.92 | 93.33 | 146.35 |
| Russell 3000 Index | 16.06 | 94.81 | 148.89 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Fiscal-Year Total Returns (%): September 20, 2010, Through August 31, 2017
Average Annual Total Returns: Periods Ended June 30, 2017
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 | | 18.31% | 14.41% | 13.89% |
| Net Asset Value | | 18.36 | 14.41 | 13.89 |
| Institutional Shares | 11/1/2010 | 18.44 | 14.49 | 13.54 |
9
Russell 3000 Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of August 31, 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. | 17,088 | 16,757 | 1.5% |
| Comcast Corp. Class A | 202,321 | 8,216 | 0.8% |
| Home Depot Inc. | 51,557 | 7,727 | 0.7% |
| Walt Disney Co. | 67,329 | 6,814 | 0.6% |
| McDonald’s Corp. | 35,095 | 5,614 | 0.5% |
| Wal-Mart Stores Inc. | 62,763 | 4,900 | 0.4% |
| * Priceline Group Inc. | 2,113 | 3,913 | 0.4% |
| Consumer Discretionary—Other † | | 94,633 | 8.6% |
| | | 148,574 | 13.5% |
| Consumer Staples | | | |
| Procter & Gamble Co. | 110,580 | 10,203 | 0.9% |
| Philip Morris International Inc. | 66,614 | 7,789 | 0.7% |
| Coca-Cola Co. | 166,211 | 7,571 | 0.7% |
| PepsiCo Inc. | 61,883 | 7,162 | 0.7% |
| Altria Group Inc. | 84,267 | 5,343 | 0.5% |
| Consumer Staples—Other † | | 35,367 | 3.2% |
| | | 73,435 | 6.7% |
| Energy | | | |
| Exxon Mobil Corp. | 182,668 | 13,943 | 1.3% |
| Chevron Corp. | 81,459 | 8,767 | 0.8% |
| Schlumberger Ltd. | 59,417 | 3,774 | 0.3% |
| Energy—Other † | | 31,601 | 2.9% |
| | | 58,085 | 5.3% |
| Financial Services | | | |
| * Berkshire Hathaway Inc. Class B | 83,427 | 15,114 | 1.4% |
| JPMorgan Chase & Co. | 152,612 | 13,871 | 1.3% |
| Bank of America Corp. | 428,321 | 10,233 | 0.9% |
| Wells Fargo & Co. | 193,316 | 9,873 | 0.9% |
10
| | | | |
| Russell 3000 Index Fund | | | |
| |
| |
| |
| | | | Market | Percentage |
| | | | Value• | of Net |
| | | Shares | ($000) | Assets |
| | Visa Inc. Class A | 79,553 | 8,235 | 0.7% |
| | Citigroup Inc. | 119,196 | 8,109 | 0.7% |
| | Mastercard Inc. Class A | 40,612 | 5,414 | 0.5% |
| 1 | Financial Services—Other † | | 160,253 | 14.6% |
| | | | 231,102 | 21.0% |
| Health Care | | | |
| | Johnson & Johnson | 115,923 | 15,345 | 1.4% |
| | Pfizer Inc. | 253,969 | 8,615 | 0.8% |
| | UnitedHealth Group Inc. | 41,213 | 8,197 | 0.7% |
| | Merck & Co. Inc. | 117,433 | 7,499 | 0.7% |
| | Amgen Inc. | 31,650 | 5,626 | 0.5% |
| | AbbVie Inc. | 68,392 | 5,150 | 0.5% |
| | Medtronic plc | 59,003 | 4,757 | 0.4% |
| | Gilead Sciences Inc. | 55,793 | 4,670 | 0.4% |
| * | Celgene Corp. | 33,205 | 4,613 | 0.4% |
| | Bristol-Myers Squibb Co. | 70,612 | 4,271 | 0.4% |
| | Health Care—Other † | | 84,611 | 7.7% |
| | | | 153,354 | 13.9% |
| |
| 1Materials & Processing † | | 42,635 | 3.9% |
| |
| 1,2Other † | | 36 | 0.0% |
| |
| Producer Durables | | | |
| | General Electric Co. | 372,945 | 9,156 | 0.8% |
| | Boeing Co. | 24,366 | 5,840 | 0.5% |
| | 3M Co. | 25,211 | 5,151 | 0.5% |
| | Honeywell International Inc. | 32,699 | 4,521 | 0.4% |
| | United Technologies Corp. | 32,376 | 3,876 | 0.4% |
| | Producer Durables—Other † | | 89,803 | 8.2% |
| | | | 118,347 | 10.8% |
| Technology | | | |
| | Apple Inc. | 224,210 | 36,770 | 3.3% |
| | Microsoft Corp. | 322,449 | 24,110 | 2.2% |
| * | Facebook Inc. Class A | 100,191 | 17,230 | 1.6% |
| * | Alphabet Inc. Class A | 13,030 | 12,447 | 1.1% |
| * | Alphabet Inc. Class C | 12,737 | 11,964 | 1.1% |
| | Intel Corp. | 202,552 | 7,104 | 0.6% |
| | Cisco Systems Inc. | 214,761 | 6,917 | 0.6% |
| | Oracle Corp. | 123,513 | 6,216 | 0.6% |
| | International Business Machines Corp. | 36,984 | 5,290 | 0.5% |
| | Broadcom Ltd. | 17,009 | 4,287 | 0.4% |
| | NVIDIA Corp. | 24,269 | 4,112 | 0.4% |
| | Technology—Other † | | 74,639 | 6.8% |
| | | | 211,086 | 19.2% |
| Utilities | | | |
| | AT&T Inc. | 263,865 | 9,884 | 0.9% |
| | Verizon Communications Inc. | 175,038 | 8,397 | 0.8% |
| | Utilities—Other † | | 39,591 | 3.6% |
| | | | 57,872 | 5.3% |
| Total Common Stocks (Cost $931,313) | | 1,094,526 | 99.6%3 |
11
| | | | |
| Russell 3000 Index Fund | | | | |
| |
| |
| |
| | | | Market | Percentage |
| | | | Value• | of Net |
| | Coupon | Shares | ($000) | Assets |
| Temporary Cash Investments | | | | |
| Money Market Fund | | | | |
| 4,5 Vanguard Market Liquidity Fund | 1.224% | 23,528 | 2,353 | 0.2% |
| |
| 6U.S. Government and Agency Obligations † | | | 300 | 0.1% |
| Total Temporary Cash Investments (Cost $2,652) | | | 2,653 | 0.3%3 |
| 7Total Investments (Cost $933,965) | | | 1,097,179 | 99.9% |
| |
| | | | Amount | |
| | | | ($000) | |
| Other Assets and Liabilities | | | | |
| Other Assets | | | | |
| Investment in Vanguard | | | 70 | |
| Receivables for Investment Securities Sold | | | 1 | |
| Receivables for Accrued Income | | | 2,195 | |
| Receivables for Capital Shares Issued | | | 21 | |
| Variation Margin Receivable — Futures Contracts | | | 23 | |
| Other Assets 5 | | | 92 | |
| Total Other Assets | | | 2,402 | 0.2% |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | (3) | |
| Collateral for Securities on Loan | | | (419) | |
| Payables for Capital Shares Redeemed | | | (130) | |
| Payables to Vanguard | | | (306) | |
| Total Liabilities | | | (858) | (0.1%) |
| Net Assets | | | 1,098,723 | 100.0% |
| |
| |
| At August 31, 2017, net assets consisted of: | | | | |
| | | | | Amount |
| | | | | ($000) |
| Paid-in Capital | | | | 956,032 |
| Undistributed Net Investment Income | | | | 4,336 |
| Accumulated Net Realized Losses | | | | (24,929) |
| Unrealized Appreciation (Depreciation) | | | | |
| Investment Securities | | | | 163,214 |
| Futures Contracts | | | | 70 |
| Net Assets | | | | 1,098,723 |
12
| |
| Russell 3000 Index Fund | |
| |
| |
| |
| | Amount |
| | ($000) |
| ETF Shares—Net Assets | |
| Applicable to 3,025,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 343,388 |
| Net Asset Value Per Share—ETF Shares | $113.52 |
| |
| Institutional Shares—Net Assets | |
| Applicable to 3,437,738 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 755,335 |
| Net Asset Value Per Share—Institutional Shares | $219.72 |
• 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 Certain of the fund’s securities are valued using significant unobservable inputs.
2 “Other” represents securities that are not classified by the fund’s benchmark index.
3 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and -0.1%, respectively,
of net assets.
4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is
the 7-day yield.
5 Includes $419,000 of collateral received for securities on loan, of which $414,000 is held in Vanguard Market Liquidity Fund and $5,000
is held in cash.
6 Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.
7 The total value of securities on loan is $389,000.
| | | | |
| Derivative Financial Instruments Outstanding as of Period End | | |
| |
| Futures Contracts | | | | |
| | | | | ($000) |
| | | | | Value and |
| | | Number of | | Unrealized |
| | | Long (Short) | Notional | Appreciation |
| | Expiration | Contracts | Amount | (Depreciation) |
| Long Futures Contracts | | | | |
| E-mini S&P 500 Index | September 2017 | 32 | 3,952 | 70 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
13
| |
| Russell 3000 Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Year Ended |
| | August31,2017 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 23,281 |
| Interest1 | 25 |
| Securities Lending—Net | 117 |
| Total Income | 23,423 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 236 |
| Management and Administrative—ETF Shares | 307 |
| Management and Administrative—Institutional Shares | 297 |
| Marketing and Distribution—ETF Shares | 21 |
| Marketing and Distribution—Institutional Shares | 34 |
| Custodian Fees | 212 |
| Auditing Fees | 33 |
| Shareholders’ Reports and Proxy—ETF Shares | 12 |
| Shareholders’ Reports and Proxy—Institutional Shares | — |
| Trustees’ Fees and Expenses | 1 |
| Total Expenses | 1,153 |
| Net Investment Income | 22,270 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 52,086 |
| Futures Contracts | 528 |
| Realized Net Gain (Loss) | 52,614 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 96,868 |
| Futures Contracts | 46 |
| Change in Unrealized Appreciation (Depreciation) | 96,914 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 171,798 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $24,000 and ($2,000), respectively.
See accompanying Notes, which are an integral part of the Financial Statements.
14
| | |
| Russell 3000 Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Year Ended August 31, |
| | 2017 | 2016 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 22,270 | 20,351 |
| Realized Net Gain (Loss) | 52,614 | 37,590 |
| Change in Unrealized Appreciation (Depreciation) | 96,914 | 58,583 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 171,798 | 116,524 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (5,670) | (3,948) |
| Institutional Shares | (16,819) | (15,210) |
| Realized Capital Gain | | |
| ETF Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (22,489) | (19,158) |
| Capital Share Transactions | | |
| ETF Shares | 21,046 | 90,853 |
| Institutional Shares | (200,208) | (16,462) |
| Net Increase (Decrease) from Capital Share Transactions | (179,162) | 74,391 |
| Total Increase (Decrease) | (29,853) | 171,757 |
| Net Assets | | |
| Beginning of Period | 1,128,576 | 956,819 |
| End of Period1 | 1,098,723 | 1,128,576 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $4,336,000 and $4,554,000.
See accompanying Notes, which are an integral part of the Financial Statements.
15
| | | | | |
| Russell 3000 Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| ETF Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $99.77 | $91.43 | $92.82 | $75.79 | $64.28 |
| Investment Operations | | | | | |
| Net Investment Income | 1.9801 | 1.850 | 1.649 | 1.485 | 1.313 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | 13.722 | 8.248 | (1.396) | 17.004 | 11.484 |
| Total from Investment Operations | 15.702 | 10.098 | .253 | 18.489 | 12.797 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (1.952) | (1.758) | (1.643) | (1.459) | (1.287) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.952) | (1.758) | (1.643) | (1.459) | (1.287) |
| Net Asset Value, End of Period | $113.52 | $99.77 | $91.43 | $92.82 | $75.79 |
| |
| Total Return | 15.92% | 11.20% | 0.21% | 24.58% | 20.14% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $343 | $282 | $169 | $121 | $76 |
| Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 1.85% | 1.98% | 1.76% | 1.77% | 2.03% |
| Portfolio Turnover Rate2 | 16% | 8% | 4% | 8% | 16% |
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.
16
| | | | | |
| Russell 3000 Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| Institutional Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $193.10 | $176.98 | $179.64 | $146.68 | $124.40 |
| Investment Operations | | | | | |
| Net Investment Income | 3.9521 | 3.689 | 3.318 | 2.986 | 2.630 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | 26.583 | 15.965 | (2.689) | 32.903 | 22.226 |
| Total from Investment Operations | 30.535 | 19.654 | .629 | 35.889 | 24.856 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (3.915) | (3.534) | (3.289) | (2.929) | (2.576) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (3.915) | (3.534) | (3.289) | (2.929) | (2.576) |
| Net Asset Value, End of Period | $219.72 | $193.10 | $176.98 | $179.64 | $146.68 |
| |
| Total Return | 16.00% | 11.28% | 0.30% | 24.66% | 20.21% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $755 | $847 | $788 | $600 | $426 |
| Ratio of Total Expenses to Average Net Assets | 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% |
| Portfolio Turnover Rate2 | 16% | 8% | 4% | 8% | 16% |
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.
17
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 notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 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 the notional amounts at each quarter-end during the period.
18
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, 2014–2017), 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 event 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 August 31, 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.
19
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), shareholder reporting, and the proxy. 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 August 31, 2017, the fund had contributed to Vanguard capital in the amount of $70,000, 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). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of August 31, 2017, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 1,094,497 | — | 29 |
| Temporary Cash Investments | 2,353 | 300 | — |
| Futures Contracts—Assets1 | 23 | — | — |
| Total | 1,096,873 | 300 | 29 |
| 1 Represents variation margin on the last day of the reporting period. | | | |
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
20
Russell 3000 Index Fund
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 year ended August 31, 2017, the fund realized $54,845,000 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.
For tax purposes, at August 31, 2017, the fund had $4,605,000 of ordinary income available for distribution. The fund had available capital losses totaling $24,860,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2017, the cost of investment securities for tax purposes was $933,980,000. Net unrealized appreciation of investment securities for tax purposes was $163,199,000, consisting of unrealized gains of $211,639,000 on securities that had risen in value since their purchase and $48,440,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2017, the fund purchased $246,030,000 of investment securities and sold $424,812,000 of investment securities, other than temporary cash investments. Purchases and sales include $59,981,000 and $187,368,000, 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: | | | |
| | | | Year Ended August 31, |
| | | 2017 | | 2016 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 212,775 | 1,925 | 356,389 | 3,775 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (191,729) | (1,725) | (265,536) | (2,800) |
| Net Increase (Decrease)—ETF Shares | 21,046 | 200 | 90,853 | 975 |
| Institutional Shares | | | | |
| Issued | 100,395 | 493 | 203,851 | 1,138 |
| Issued in Lieu of Cash Distributions | 16,428 | 81 | 14,875 | 83 |
| Redeemed | (317,031) | (1,521) | (235,188) | (1,287) |
| Net Increase (Decrease)—Institutional Shares | (200,208) | (947) | (16,462) | (66) |
G. Management has determined that no material events or transactions occurred subsequent to August 31, 2017, that would require recognition or disclosure in these financial statements.
21
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Scottsdale Funds and the Shareholders of Vanguard Russell 3000 Index Fund:
In our opinion, the accompanying statement of net assets—investments summary and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Russell 3000 Index Fund (constituting a separate portfolio of Vanguard Scottsdale Funds, hereafter referred to as the “Fund”) as of August 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities as of August 31, 2017 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 17, 2017
Special 2017 tax information (unaudited) for Vanguard Russell 3000 Index Fund
This information for the fiscal year ended August 31, 2017, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $22,489,000 of qualified dividend income to shareholders during the fiscal year.
For corporate shareholders, 91.8% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.
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Your Fund’s After-Tax Returns
This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund’s distributions, and (2) assuming that an investor paid taxes on the fund’s distributions and sold all shares at the end of each period.
Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. After-tax returns reflect any qualified dividend income, using actual prior-year figures and estimates for 2017. (In the example, returns after the sale of fund shares may be higher than those assuming no sale. This occurs when the sale would have produced a capital loss. The calculation assumes that the investor received a tax deduction for the loss.)
The table shows returns for ETF Shares only; returns for other share classes will differ. Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes.
Finally, keep in mind that a fund’s performance—whether before or after taxes—does not guarantee future results.
| | | |
| Average Annual Total Returns: Russell 3000 Index Fund ETF Shares | | |
| Periods Ended August 31, 2017 | | | |
| | | | Since |
| | One | Five | Inception |
| | Year | Years | (9/20/2010) |
| Returns Before Taxes | 15.92% | 14.09% | 13.86% |
| Returns After Taxes on Distributions | 15.41 | 13.62 | 13.45 |
| Returns After Taxes on Distributions and Sale of | | | |
| Fund Shares | 9.37 | 11.26 | 11.31 |
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About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
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| | | |
| Six Months Ended August 31, 2017 | | | |
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| Russell 3000 Index Fund | 2/28/2017 | 8/31/2017 | Period |
| Based on Actual Fund Return | | | |
| ETF Shares | $1,000.00 | $1,051.62 | $0.72 |
| Institutional Shares | 1,000.00 | 1,051.96 | 0.41 |
| Based on Hypothetical 5% Yearly Return | | | |
| ETF Shares | $1,000.00 | $1,024.50 | $0.71 |
| Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.14% for ETF Shares and 0.08% 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 (184/365).
25
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Russell 3000 Index Fund has renewed the fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Equity Index Group. The board determined that continuing the fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made 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 through 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 had received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of the investment management services provided to the fund since its inception in 2010, and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than three decades. The Equity Index Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the fund’s performance since its inception in 2010, including any periods of outperformance or underperformance compared with its target index and peer group. The board concluded that the performance was such that the advisory arrangement should continue. Information about the fund’s most recent 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 expenses were also well below its peer-group average. Information about the fund’s expenses appears in the About Your Fund’s Expenses section of the report as well as in the Financial Statements section.
26
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the fund’s at-cost arrangement with Vanguard ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
27
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share.
For a fund, the weighted average price/book ratio of the stocks it holds.
28
Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
29
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 195 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. 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; Chief Executive Officer and Director of The Vanguard Group and President and Chief Executive Officer of each of the investment companies served by The Vanguard Group, since 2008; Director of Vanguard Marketing Corporation; President of The Vanguard Group (2008–2017); 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; Trustee of the University of Rochester.
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
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.
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.
JoAnn Heffernan Heisen
Born 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years and Other Experience: Corporate Vice President and Member of the Executive Committee (1997–2008), Chief Global Diversity Officer (retired 2008), Vice President and Chief Information Officer (1997–2006), Controller (1995–1997), Treasurer (1991–1995), and Assistant Treasurer (1989–1991) 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 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, the Board of Catholic Investment Services, Inc. (investment advisor), and the Board of Superintendence of the Institute for the Works of Religion; Chairman of the Board of TIFF Advisory Services, Inc. (investment advisor).
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; Director of Vanguard Marketing Corporation; Executive Vice President and Chief Financial Officer of MassMutual Financial Group (2006–2016).
Vanguard Senior Management Team
| |
Mortimer J. Buckley Gregory Davis John James Martha G. King John T. Marcante | Chris D. McIsaac James M. Norris Thomas M. Rampulla Karin A. Risi |
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
| |
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| | Valley Forge, PA 19482-2600 |
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| | © 2017 The Vanguard Group, Inc. |
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| | Vanguard Marketing Corporation, Distributor. |
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| | Q18540 102017 |
Annual Report | August 31, 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
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
| |
| Contents | |
| Your Fund’s Performance at a Glance. | 1 |
| Chairman’s Perspective. | 6 |
| Short-Term Government Bond Index Fund. | 10 |
| Intermediate-Term Government Bond Index Fund. | 27 |
| Long-Term Government Bond Index Fund. | 45 |
| Short-Term Corporate Bond Index Fund. | 62 |
| Intermediate-Term Corporate Bond Index Fund. | 80 |
| Long-Term Corporate Bond Index Fund. | 98 |
| Mortgage-Backed Securities Index Fund. | 117 |
| About Your Fund’s Expenses. | 138 |
| Trustees Approve Advisory Arrangements. | 141 |
| Glossary. | 143 |
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: Nautical images have been part of Vanguard’s rich heritage since its start in 1975. For an
incoming ship, a lighthouse offers a beacon and safe path to shore. You can similarly depend on Vanguard to put
you first––and light the way––as you strive to meet your financial goals. Our client focus and low costs,
stemming from our unique ownership structure, assure that your interests are paramount.
Your Fund’s Performance at a Glance
• Bond yields across the maturity spectrum closed higher for the 12 months ended August 31, 2017. Federal Reserve rate hikes pushed up short-term yields, and longer-term yields climbed early in the fiscal year on optimism about stronger growth and higher inflation.
• The resulting decline in bond prices detracted from the returns of the funds in this report, which ranged from about 2% for Vanguard Intermediate-Term Corporate Bond Index Fund to about –5.6% for Vanguard Long-Term Government Bond Index Fund. The funds performed in line with their benchmarks but mostly lagged their peer groups.
• Please note that the names of the three Vanguard Government Bond Index Funds will change in the fourth quarter of 2017 to Vanguard Short-Term Treasury Index Fund, Vanguard Intermediate-Term Treasury Index Fund, and Vanguard Long-Term Treasury Index Fund. Their benchmarks will also change to reflect the funds’ narrower focus.
| | | | |
| Total Returns: Fiscal Year Ended August 31, 2017 | | | | |
| | 30-Day SEC | Income | Capital | Total |
| | Yield | Returns | Returns | Returns |
| Vanguard Short-Term Government Bond Index Fund | | | | |
| ETF Shares | 1.28% | | | |
| Market Price | | | | 0.51% |
| Net Asset Value | | | | 0.50 |
| Admiral™ Shares | 1.28 | 0.96% | -0.43% | 0.53 |
| Institutional Shares | 1.31 | 0.97 | -0.41 | 0.56 |
| Bloomberg Barclays U.S. 1–3 Year Government Float | | | | |
| Adjusted Index | | | | 0.56 |
| Short U.S. Government Funds Average | | | | 0.51 |
| 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 | 1.77% | | | |
| Market Price | | | | -0.22% |
| Net Asset Value | | | | -0.21 |
| Admiral Shares | 1.77 | 1.56% | -1.75% | -0.19 |
| Institutional Shares | 1.79 | 1.57 | -1.78 | -0.21 |
| Bloomberg Barclays U.S. 3–10 Year Government Float | | | | |
| Adjusted Index | | | | -0.22 |
| Intermediate U.S. Government Funds Average | | | | -0.05 |
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 | 2.63% | | | |
| Market Price | | | | -5.65% |
| Net Asset Value | | | | -5.63 |
| Admiral Shares | 2.63 | 2.41% | -8.03% | -5.62 |
| Institutional Shares | 2.65 | 2.43 | -8.03 | -5.60 |
| Bloomberg Barclays U.S. Long Government Float | | | | |
| Adjusted Index | | | | -5.61 |
| General U.S. Government Funds Average | | | | -0.86 |
| 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 | 2.12% | | | |
| Market Price | | | | 1.75% |
| Net Asset Value | | | | 1.84 |
| Admiral Shares | 2.12 | 2.20% | -0.37% | 1.83 |
| Institutional Shares | 2.13 | 2.21 | -0.37 | 1.84 |
| Bloomberg Barclays U.S. 1–5 Year Corporate Bond Index | | | | 2.03 |
| Short-Intermediate Investment-Grade Debt Funds | | | | |
| Average | | | | 1.28 |
| 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 | 3.09% | | | |
| Market Price | | | | 2.00% |
| Net Asset Value | | | | 1.98 |
| Admiral Shares | 3.09 | 3.24% | -1.25% | 1.99 |
| Institutional Shares | 3.10 | 3.25 | -1.24 | 2.01 |
| Bloomberg Barclays U.S. 5–10 Year Corporate Bond Index | | | | 2.30 |
| Core Bond Funds Average | | | | 0.85 |
| Core Bond Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | | | |
| |
| Vanguard Long-Term Corporate Bond Index Fund | | | | |
| ETF Shares | 4.14% | | | |
| Market Price | | | | 2.19% |
| Net Asset Value | | | | 1.81 |
| Admiral Shares | 4.14 | 4.21% | -2.37% | 1.84 |
| Institutional Shares | 4.15 | 4.21 | -2.40 | 1.81 |
| Bloomberg Barclays U.S. 10+ Year Corporate Bond Index | | | | 2.08 |
| Corporate Debt Funds BBB-Rated Average | | | | 1.93 |
Corporate Debt Funds BBB-Rated Average: Derived from data provided by Lipper, a Thomson Reuters Company.
2
| | | | |
| | 30-Day SEC | Income | Capital | Total |
| | Yield | Returns | Returns | Returns |
| Vanguard Mortgage-Backed Securities Index Fund | | | | |
| ETF Shares | 2.26% | | | |
| Market Price | | | | 0.71% |
| Net Asset Value | | | | 0.74 |
| Admiral Shares | 2.25 | 1.94% | -1.18% | 0.76 |
| Institutional Shares | 2.27 | 1.96 | -1.17 | 0.79 |
| Bloomberg Barclays U.S. MBS Float Adjusted Index | | | | 0.81 |
| U.S. Mortgage Funds Average | | | | 1.62 |
U.S. Mortgage Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the Nasdaq exchange and are available only through brokers. The table provides ETF returns based on both the Nasdaq market price and the net asset value for a share. U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; and 8,417,623.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
| |
| Total Returns: Inception Through August 31, 2017 | |
| | Average |
| | Annual Return |
| Short-Term Government Bond Index Fund ETF Shares Net Asset Value (Returns since inception: | |
| 11/19/2009) | 0.83% |
| Bloomberg Barclays U.S. 1–3 Year Government Float Adjusted Index | 0.93 |
| Short U.S. Government Funds Average | 0.82 |
| Short U.S. Government Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
| |
| Intermediate-Term Government Bond Index Fund ETF Shares Net Asset Value (Returns since | |
| inception: 11/19/2009) | 3.12% |
| Bloomberg Barclays U.S. 3–10 Year Government Float Adjusted Index | 3.22 |
| Intermediate U.S. Government Funds Average | 2.35 |
| Intermediate U.S. Government Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
| |
| Long-Term Government Bond Index Fund ETF Shares Net Asset Value (Returns since inception: | |
| 11/19/2009) | 6.75% |
| Bloomberg Barclays U.S. Long Government Float Adjusted Index | 6.84 |
| General U.S. Government Funds Average | 2.75 |
General U.S. Government Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
3
| |
| | Average |
| Annual Return |
| Short-Term Corporate Bond Index Fund ETF Shares Net Asset Value (Returns since inception: | |
| 11/19/2009) | 3.07% |
| Bloomberg Barclays U.S. 1–5 Year Corporate Bond Index | 3.29 |
| Short-Intermediate Investment-Grade Debt Funds Average | 2.51 |
| Short-Intermediate Investment-Grade Debt Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
| |
| Intermediate-Term Corporate Bond Index Fund ETF Shares Net Asset Value (Returns since inception: | |
| 11/19/2009) | 5.96% |
| Bloomberg Barclays U.S. 5–10 Year Corporate Bond Index | 6.08 |
| Spliced Core Bond Funds Average | 3.90 |
| For a benchmark description, see the Glossary. | |
| Spliced Core Bond Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
| |
| Long-Term Corporate Bond Index Fund ETF Shares Net Asset Value (Returns since inception: | |
| 11/19/2009) | 7.94% |
| Bloomberg Barclays U.S. 10+ Year Corporate Bond Index | 7.94 |
| Corporate Debt Funds BBB-Rated Average | 5.62 |
| Corporate Debt Funds BBB-Rated Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
| |
| Mortgage-Backed Securities Index Fund ETF Shares Net Asset Value (Returns since inception: | |
| 11/19/2009) | 2.92% |
| Bloomberg Barclays U.S. MBS Float Adjusted Index | 2.95 |
| U.S. Mortgage Funds Average | 3.37 |
| U.S. Mortgage Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
The figures shown represent past performance, which is not a guarantee of future results. (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.
4
| | | | |
| 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 fiscal year ended August 31, 2017, the funds’ expense ratios were: for the Short-Term Government Bond Index Fund, 0.07%
for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional 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 the Short-Term Corporate Bond Index Fund,
0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares; for the Intermediate-Term Corporate Bond Index
Fund, 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares; for the 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. 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.
5
Chairman’s Perspective
Bill McNabb
Chairman and Chief Executive Officer
Dear Shareholder,
Since mid-August we’ve been reaching out to you about the proposals put forth by the Vanguard funds that, if approved, will enable us to manage the funds more efficiently and effectively. As the November deadline for voting approaches, I’d like to offer some perspective on a few of the proposals that I believe are important to the way Vanguard operates and manages your investments. I hope you consider this information and promptly cast your ballot.
Your biggest advocate
The main driver for this proxy solicitation is to ask all our fund shareholders to elect a full slate of trustees who oversee each U.S.-based Vanguard mutual fund. These trustees serve an important role, making sure your funds are managed in your best interests. This includes monitoring fund performance, approving advisory agreements, and ensuring that we’re keeping your investment costs as low as possible. Simply put, they are your biggest advocate.
Each trustee brings a variety of skills and professional experiences that contribute to the board’s strength and diversity.
Of the 12 nominees, nine currently serve on the board, and three are new. If elected, the new board would include ten independent members, meaning they have no affiliation with Vanguard or the funds apart from any investments they may choose to make as private individuals.
6
These are the proposed new trustees:
• Sarah Bloom Raskin is a former member of the Federal Reserve Board of Governors and former deputy secretary of the U.S. Treasury Department. She is an expert in cybersecurity—a critically important issue at Vanguard, as we place a premium on protecting clients’ assets and sensitive data.
• Deanna Mulligan is chief executive officer of The Guardian Life Insurance Company of America. It’s rare to find a CEO such as Deanna who leads a company with a mutual ownership structure similar to Vanguard’s.
• Tim Buckley is president and a director of Vanguard and will succeed me in January as CEO. (I’ll remain chairman for a period to be determined by the board.) I interviewed Tim when he applied for his first job here in 1991 and again when he was graduating from Harvard Business School. I was thrilled he picked Vanguard as a place to build his career, and I’ve been delighted to see him take on several leadership positions, including as head of our Retail Investor Group, chief information officer, and chief investment officer. I can think of no one better prepared to succeed me.
| | | |
| Market Barometer | | | |
| | | Average Annual Total Returns |
| | | Periods Ended August 31, 2017 |
| | One Year | Three Years | Five Years |
| Stocks | | | |
| Russell 1000 Index (Large-caps) | 16.16% | 9.21% | 14.37% |
| Russell 2000 Index (Small-caps) | 14.91 | 7.67 | 13.15 |
| Russell 3000 Index (Broad U.S. market) | 16.06 | 9.08 | 14.27 |
| FTSE All-World ex US Index (International) | 18.74 | 2.80 | 7.76 |
| |
| Bonds | | | |
| Bloomberg Barclays U.S. Aggregate Bond Index | | | |
| (Broad taxable market) | 0.49% | 2.64% | 2.19% |
| Bloomberg Barclays Municipal Bond Index | | | |
| (Broad tax-exempt market) | 0.88 | 3.40 | 3.23 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.58 | 0.25 | 0.16 |
| |
| CPI | | | |
| Consumer Price Index | 1.94% | 1.06% | 1.28% |
7
Vanguard believes that diversity of thought, background, and experience, as well as diversity of personal characteristics, meaningfully contributes to the board’s ability to effectively serve shareholders. If Sarah and Deanna are elected, women will account for 40% of the board’s independent trustees.
I should note that even as Vanguard is nominating three new board members, we’re saying goodbye to trustee Rajiv Gupta. Rajiv was a legendary CEO of Rohm and Haas Co., and Vanguard and our clients have benefited greatly from his expertise. I wish him a happy retirement.
Summarizing the proposals
Among the trustees’ leading responsibilities is overseeing the funds’ internal and external investment advisory agreements. The trustees, in consultation with our Global Investment Committee and our Portfolio Review Department, choose the investment advisors that manage client assets. Over decades, we have built a strong track record of picking advisors whose portfolio management strategies have served clients well.
Two proposals in the proxy focus on this oversight responsibility. Shareholders of 48 Vanguard funds have already voted to allow the board to make external advisor changes without obtaining prior shareholder approval. The new proposals would extend
that policy across our entire U.S.-based fund lineup and expand it to include internal advisory agreements with Vanguard subsidiaries. Eliminating the need for shareholder approval removes a step that is costly and time-consuming if done frequently or on an individual fund basis. Although there are no current plans to employ the policy on any Vanguard-managed funds, standardizing it enables the trustees to retain an advisory firm to diversify a fund’s management team or ensure management continuity should a contingency arise.
I also encourage shareholders of several specific Vanguard index funds to read the proxy proposals that affect those funds. One proposal would change the investment objective of Vanguard REIT Index Fund and Vanguard Variable Insurance Fund REIT Index Portfolio to include real estate-related securities, aligning the funds with updated industry-sector classification methodology. Another proposal seeks to change the diversification status of the REIT Index Fund to enable it to better track its benchmark. Finally, we seek your approval of the Funds’ Service Agreement for Vanguard Institutional Index Fund and Vanguard Institutional Total Stock Market Index Fund. If approved, this arrangement would then be standardized across Vanguard’s entire publicly available U.S. mutual fund lineup. It should also reduce costs and minimum initial investment requirements in select share classes.
8
At the ballot box
We hope you’ll make it a priority to cast your ballot. We want to avoid the added time and cost of soliciting sufficient votes should we not obtain a quorum by the shareholder meeting on November 15, when voting concludes. Ultimately, we believe the proposals I’ve discussed are in your best interest as Vanguard fund shareholders, and the trustees recommend that you vote in favor of them. For more information, visit vanguard.com and enter the search term “proxy.”
As always, thank you for investing with Vanguard.
F. William McNabb III
Chairman and Chief Executive Officer
September 14, 2017
9
Short-Term Government Bond Index Fund
Fund Profile
As of August 31, 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 | 1.28% | 1.28% | 1.31% |
| Financial Attributes | | |
| | | Bloomberg | |
| | | Barclays | |
| | | 1–3 Year | Bloomberg |
| | | Gov’t | Barclays |
| | | Float Adj | Aggregate |
| | Fund | Index | FA Index |
| |
| Number of Bonds | 142 | 258 | 9,397 |
| |
| Yield to Maturity | | | |
| (before expenses) | 1.3% | 1.3% | 2.4% |
| |
| Average Coupon | 1.5% | 1.6% | 3.0% |
| |
| Average Duration | 1.9 years | 1.9 years | 6.1 years |
| |
| Average Effective | | | |
| Maturity | 2.0 years | 2.0 years | 8.2 years |
| |
| Short-Term | | | |
| Reserves | 0.9% | — | — |
| | |
| Volatility Measures | | |
| | Bloomberg | |
| | Barclays | |
| | 1–3 Year | Bloomberg |
| | Gov’t | Barclays |
| | Float Adj | Aggregate |
| | Index | FA Index |
| R-Squared | 0.99 | 0.68 |
| 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 | 0.6% |
| 1 - 3 Years | 99.4 |
| |
| Distribution by Credit Quality (% of portfolio) |
| U.S. Government | 99.8% |
| Aaa | 0.2 |
| |
| Sector Diversification (% of portfolio) | |
| Treasury/Agency | 99.8% |
| Other | 0.2 |
Credit-quality ratings are obtained from Barclays and are from
Moody's, Fitch, and S&P. When ratings from all three agencies are
used, the median rating is shown. When ratings from two of the
agencies are used, the lower rating for each issue is shown. "Not
Rated" is used to classify securities for which a rating is not
available. For more information about these ratings, see the
Glossary entry for Credit Quality.
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.
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
fiscal year ended August 31, 2017, the expense ratios were 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares.
10
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.
Cumulative Performance: November 19, 2009, Through August 31, 2017
Initial Investment of $10,000
| | | | | |
| | | Average Annual Total Returns | |
| | | Periods Ended August 31, 2017 | |
| |
| | | | | Since | Final Value |
| | | One | Five | Inception | of a $10,000 |
| | | Year | Years | (11/19/2009) | Investment |
| |
| | Short-Term Government Bond Index | | | | |
| | Fund ETF Shares Net Asset Value | 0.50% | 0.59% | 0.83% | $10,661 |
| | Short-Term Government Bond Index | | | | |
| | Fund ETF Shares Market Price | 0.51 | 0.59 | 0.83 | 10,666 |
| | Bloomberg Barclays U.S. 1–3 Year | | | | |
| • • • • • • • • | | | | | |
| | Government Float Adjusted Index | 0.56 | 0.68 | 0.93 | 10,750 |
| |
| – – – – | Short U.S. Government Funds Average | 0.51 | 0.35 | 0.82 | 10,657 |
| | Spliced Bloomberg Barclays U.S. | | | | |
| | Aggregate Float Adjusted Index | 0.46 | 2.20 | 3.64 | 13,206 |
For a benchmark description, see the Glossary.
Short U.S. Government Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
11
Short-Term Government Bond Index Fund
| | | | |
| | Average Annual Total Returns | |
| | Periods Ended August 31, 2017 | |
| |
| | | | Since | Final Value |
| | One | Five | Inception | of a $10,000 |
| | Year | Years | (12/28/2009) | Investment |
| Short-Term Government Bond Index Fund | | | | |
| Admiral Shares | 0.53% | 0.59% | 0.90% | $10,712 |
| Bloomberg Barclays U.S. 1–3 Year | | | | |
| Government Float Adjusted Index | 0.56 | 0.68 | 1.00 | 10,796 |
| Spliced Bloomberg Barclays U.S. Aggregate | | | | |
| Float Adjusted Index | 0.46 | 2.20 | 3.83 | 13,343 |
"Since Inception" performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative standards.
| | | | |
| | | | Since | Final Value |
| | One | Five | Inception | of a $5,000,000 |
| | Year | Years | (8/23/2010) | Investment |
| Short-Term Government Bond Index Fund | | | | |
| Institutional Shares | 0.56% | 0.62% | 0.71% | $5,256,067 |
| Bloomberg Barclays U.S. 1–3 Year | | | | |
| Government Float Adjusted Index | 0.56 | 0.68 | 0.78 | 5,280,904 |
| Spliced Bloomberg Barclays U.S. Aggregate | | | | |
| Float Adjusted Index | 0.46 | 2.20 | 3.11 | 6,200,031 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
| | | |
| Cumulative Returns of ETF Shares: November 19, 2009, Through August 31, 2017 | |
| |
| | | | Since |
| | One | Five | Inception |
| | Year | Years | (11/19/2009) |
| Short-Term Government Bond Index Fund ETF | | | |
| Shares Market Price | 0.51% | 2.99% | 6.66% |
| Short-Term Government Bond Index Fund ETF | | | |
| Shares Net Asset Value | 0.50 | 3.00 | 6.61 |
| Bloomberg Barclays U.S. 1–3 Year Government Float | | | |
| Adjusted Index | 0.56 | 3.47 | 7.50 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
12
Short-Term Government Bond Index Fund
| | |
| Fiscal-Year Total Returns (%): November 19, 2009, Through August 31, 2017 | |
| | | Bloomberg |
| | | Barclays |
| | | 1–3 Year |
| | | Gov’t |
| | | Float Adj |
| | ETF Shares Net Asset Value | Index |
| Fiscal Year | Total Returns | Total Returns |
| 2010 | 1.69% | 1.83% |
| 2011 | 1.39 | 1.53 |
| 2012 | 0.40 | 0.50 |
| 2013 | 0.04 | 0.16 |
| 2014 | 0.70 | 0.80 |
| 2015 | 0.75 | 0.84 |
| 2016 | 0.98 | 1.06 |
| 2017 | 0.50 | 0.56 |
Average Annual Total Returns: Periods Ended June 30, 2017
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 | | -0.12% | 0.56% | | | 0.80% |
| Net Asset Value | | -0.14 | 0.56 | | | 0.79 |
| Admiral Shares | 12/28/2009 | -0.15 | 0.56 | 0.57% | 0.29% | 0.86 |
| Institutional Shares | 8/23/2010 | -0.11 | 0.59 | 0.61 | 0.06 | 0.67 |
13
Short-Term Government Bond Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 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 (91.6%) | | | | |
| United States Treasury Note/Bond | 4.250% | 11/15/17 | 1,860 | 1,872 |
| United States Treasury Note/Bond | 3.500% | 2/15/18 | 7,850 | 7,933 |
| United States Treasury Note/Bond | 0.750% | 9/30/18 | 10,855 | 10,796 |
| United States Treasury Note/Bond | 1.375% | 9/30/18 | 48,065 | 48,117 |
| United States Treasury Note/Bond | 0.875% | 10/15/18 | 15,485 | 15,417 |
| United States Treasury Note/Bond | 0.750% | 10/31/18 | 32,580 | 32,386 |
| United States Treasury Note/Bond | 1.250% | 10/31/18 | 41,702 | 41,689 |
| United States Treasury Note/Bond | 1.750% | 10/31/18 | 3,688 | 3,709 |
| United States Treasury Note/Bond | 1.250% | 11/15/18 | 40,307 | 40,301 |
| United States Treasury Note/Bond | 3.750% | 11/15/18 | 16,071 | 16,541 |
| United States Treasury Note/Bond | 1.000% | 11/30/18 | 13,635 | 13,590 |
| United States Treasury Note/Bond | 1.250% | 11/30/18 | 21,500 | 21,493 |
| United States Treasury Note/Bond | 1.375% | 11/30/18 | 12,700 | 12,716 |
| United States Treasury Note/Bond | 1.250% | 12/15/18 | 51,884 | 51,868 |
| United States Treasury Note/Bond | 1.250% | 12/31/18 | 45,975 | 45,961 |
| United States Treasury Note/Bond | 1.375% | 12/31/18 | 14,400 | 14,416 |
| United States Treasury Note/Bond | 1.500% | 12/31/18 | 54,803 | 54,957 |
| United States Treasury Note/Bond | 1.125% | 1/15/19 | 36,872 | 36,791 |
| United States Treasury Note/Bond | 1.125% | 1/31/19 | 21,000 | 20,951 |
| United States Treasury Note/Bond | 1.250% | 1/31/19 | 10,000 | 9,994 |
| United States Treasury Note/Bond | 1.500% | 1/31/19 | 26,750 | 26,825 |
| United States Treasury Note/Bond | 0.750% | 2/15/19 | 54,298 | 53,874 |
| United States Treasury Note/Bond | 2.750% | 2/15/19 | 11,000 | 11,229 |
| United States Treasury Note/Bond | 1.125% | 2/28/19 | 17,125 | 17,085 |
| United States Treasury Note/Bond | 1.375% | 2/28/19 | 10,000 | 10,011 |
| United States Treasury Note/Bond | 1.500% | 2/28/19 | 19,000 | 19,053 |
| United States Treasury Note/Bond | 1.000% | 3/15/19 | 20,506 | 20,416 |
| United States Treasury Note/Bond | 1.250% | 3/31/19 | 16,000 | 15,985 |
| United States Treasury Note/Bond | 1.500% | 3/31/19 | 5,500 | 5,517 |
| United States Treasury Note/Bond | 1.625% | 3/31/19 | 52,020 | 52,288 |
| United States Treasury Note/Bond | 0.875% | 4/15/19 | 21,380 | 21,230 |
| United States Treasury Note/Bond | 1.250% | 4/30/19 | 11,925 | 11,912 |
| United States Treasury Note/Bond | 1.625% | 4/30/19 | 51,025 | 51,296 |
| United States Treasury Note/Bond | 0.875% | 5/15/19 | 61,234 | 60,785 |
| United States Treasury Note/Bond | 3.125% | 5/15/19 | 12,980 | 13,376 |
| United States Treasury Note/Bond | 1.125% | 5/31/19 | 5,000 | 4,984 |
| United States Treasury Note/Bond | 1.250% | 5/31/19 | 29,400 | 29,368 |
14
| | | | |
| Short-Term Government Bond Index Fund | | | | |
| |
| |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value • |
| | Coupon | Date | ($000) | ($000) |
| United States Treasury Note/Bond | 1.500% | 5/31/19 | 15,000 | 15,047 |
| United States Treasury Note/Bond | 0.875% | 6/15/19 | 14,000 | 13,893 |
| United States Treasury Note/Bond | 1.000% | 6/30/19 | 13,000 | 12,927 |
| United States Treasury Note/Bond | 1.250% | 6/30/19 | 1,820 | 1,818 |
| United States Treasury Note/Bond | 1.625% | 6/30/19 | 49,800 | 50,072 |
| United States Treasury Note/Bond | 0.750% | 7/15/19 | 22,950 | 22,706 |
| United States Treasury Note/Bond | 0.875% | 7/31/19 | 2,500 | 2,479 |
| United States Treasury Note/Bond | 1.375% | 7/31/19 | 22,000 | 22,021 |
| United States Treasury Note/Bond | 1.625% | 7/31/19 | 51,205 | 51,493 |
| United States Treasury Note/Bond | 0.750% | 8/15/19 | 45,630 | 45,124 |
| United States Treasury Note/Bond | 3.625% | 8/15/19 | 15,000 | 15,663 |
| United States Treasury Note/Bond | 1.000% | 8/31/19 | 9,950 | 9,886 |
| United States Treasury Note/Bond | 1.250% | 8/31/19 | 19,000 | 18,970 |
| United States Treasury Note/Bond | 1.625% | 8/31/19 | 40,135 | 40,361 |
| United States Treasury Note/Bond | 0.875% | 9/15/19 | 16,315 | 16,167 |
| United States Treasury Note/Bond | 1.000% | 9/30/19 | 12,000 | 11,919 |
| United States Treasury Note/Bond | 1.750% | 9/30/19 | 22,635 | 22,822 |
| United States Treasury Note/Bond | 1.000% | 10/15/19 | 17,000 | 16,880 |
| United States Treasury Note/Bond | 1.250% | 10/31/19 | 9,100 | 9,082 |
| United States Treasury Note/Bond | 1.500% | 10/31/19 | 52,420 | 52,584 |
| United States Treasury Note/Bond | 1.000% | 11/15/19 | 15,625 | 15,508 |
| United States Treasury Note/Bond | 3.375% | 11/15/19 | 15,000 | 15,659 |
| United States Treasury Note/Bond | 1.000% | 11/30/19 | 54,080 | 53,674 |
| United States Treasury Note/Bond | 1.500% | 11/30/19 | 17,010 | 17,066 |
| United States Treasury Note/Bond | 1.375% | 12/15/19 | 56,415 | 56,442 |
| United States Treasury Note/Bond | 1.125% | 12/31/19 | 10,000 | 9,947 |
| United States Treasury Note/Bond | 1.625% | 12/31/19 | 19,200 | 19,314 |
| United States Treasury Note/Bond | 1.375% | 1/15/20 | 58,755 | 58,773 |
| United States Treasury Note/Bond | 1.250% | 1/31/20 | 18,125 | 18,077 |
| United States Treasury Note/Bond | 1.375% | 1/31/20 | 8,070 | 8,071 |
| United States Treasury Note/Bond | 1.375% | 2/15/20 | 55,006 | 55,006 |
| United States Treasury Note/Bond | 3.625% | 2/15/20 | 15,000 | 15,816 |
| United States Treasury Note/Bond | 1.250% | 2/29/20 | 15,000 | 14,953 |
| United States Treasury Note/Bond | 1.375% | 2/29/20 | 44,300 | 44,300 |
| United States Treasury Note/Bond | 1.625% | 3/15/20 | 19,718 | 19,838 |
| United States Treasury Note/Bond | 1.125% | 3/31/20 | 8,000 | 7,948 |
| United States Treasury Note/Bond | 1.375% | 3/31/20 | 52,260 | 52,252 |
| United States Treasury Note/Bond | 1.500% | 4/15/20 | 58,430 | 58,594 |
| United States Treasury Note/Bond | 1.125% | 4/30/20 | 10,000 | 9,931 |
| United States Treasury Note/Bond | 1.375% | 4/30/20 | 10,000 | 9,995 |
| United States Treasury Note/Bond | 1.500% | 5/15/20 | 20,440 | 20,494 |
| United States Treasury Note/Bond | 3.500% | 5/15/20 | 36,095 | 38,108 |
| United States Treasury Note/Bond | 1.375% | 5/31/20 | 10,000 | 9,994 |
| United States Treasury Note/Bond | 1.500% | 5/31/20 | 45,700 | 45,814 |
| United States Treasury Note/Bond | 1.500% | 6/15/20 | 34,000 | 34,085 |
| United States Treasury Note/Bond | 1.625% | 6/30/20 | 30,000 | 30,173 |
| United States Treasury Note/Bond | 1.875% | 6/30/20 | 14,000 | 14,182 |
| United States Treasury Note/Bond | 1.500% | 7/15/20 | 50,920 | 51,032 |
| United States Treasury Note/Bond | 1.625% | 7/31/20 | 25,500 | 25,643 |
| United States Treasury Note/Bond | 2.000% | 7/31/20 | 10,000 | 10,162 |
| United States Treasury Note/Bond | 1.500% | 8/15/20 | 50,000 | 50,101 |
| United States Treasury Note/Bond | 2.625% | 8/15/20 | 20,000 | 20,684 |
| United States Treasury Note/Bond | 1.375% | 8/31/20 | 23,000 | 22,957 |
| United States Treasury Note/Bond | 2.125% | 8/31/20 | 20,000 | 20,400 |
| | | | | 2,333,639 |
15
| | | | |
| Short-Term Government Bond Index Fund | | | | |
| |
| |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value • |
| | Coupon | Date | ($000) | ($000) |
| Agency Bonds and Notes (7.9%) | | | | |
| 1 AID-Jordan | 1.945% | 6/23/19 | 200 | 202 |
| 1 AID-Ukraine | 1.844% | 5/16/19 | 200 | 201 |
| 2 Federal Farm Credit Banks | 5.150% | 11/15/19 | 300 | 324 |
| 2 Federal Home Loan Banks | 0.875% | 10/1/18 | 10,035 | 9,988 |
| 2 Federal Home Loan Banks | 1.250% | 1/16/19 | 6,325 | 6,316 |
| 2 Federal Home Loan Banks | 1.500% | 3/8/19 | 1,000 | 1,002 |
| 2 Federal Home Loan Banks | 1.875% | 3/8/19 | 1,070 | 1,078 |
| 2 Federal Home Loan Banks | 1.375% | 3/18/19 | 2,500 | 2,501 |
| 2 Federal Home Loan Banks | 1.375% | 5/28/19 | 2,500 | 2,501 |
| 2 Federal Home Loan Banks | 1.125% | 6/21/19 | 19,040 | 18,957 |
| 2 Federal Home Loan Banks | 0.875% | 8/5/19 | 4,000 | 3,960 |
| 2 Federal Home Loan Banks | 1.000% | 9/26/19 | 1,500 | 1,487 |
| 2 Federal Home Loan Banks | 1.375% | 11/15/19 | 4,875 | 4,869 |
| 2 Federal Home Loan Banks | 1.875% | 3/13/20 | 150 | 152 |
| 2 Federal Home Loan Banks | 4.125% | 3/13/20 | 8,760 | 9,339 |
| 2 Federal Home Loan Banks | 3.375% | 6/12/20 | 125 | 131 |
| 3 Federal Home Loan Mortgage Corp. | 0.875% | 10/12/18 | 7,900 | 7,862 |
| 3 Federal Home Loan Mortgage Corp. | 3.750% | 3/27/19 | 22,025 | 22,841 |
| 3 Federal Home Loan Mortgage Corp. | 1.125% | 4/15/19 | 4,300 | 4,284 |
| 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 | 6,438 |
| 3 Federal Home Loan Mortgage Corp. | 1.250% | 8/1/19 | 3,450 | 3,440 |
| 3 Federal Home Loan Mortgage Corp. | 1.375% | 8/15/19 | 3,000 | 2,999 |
| 3 Federal Home Loan Mortgage Corp. | 1.250% | 10/2/19 | 3,229 | 3,218 |
| 3 Federal Home Loan Mortgage Corp. | 1.500% | 1/17/20 | 2,000 | 2,002 |
| 3 Federal Home Loan Mortgage Corp. | 1.375% | 4/20/20 | 452 | 451 |
| 3 Federal Home Loan Mortgage Corp. | 1.375% | 5/1/20 | 1,773 | 1,769 |
| 3 Federal National Mortgage Assn. | 1.875% | 9/18/18 | 4,992 | 5,022 |
| 3 Federal National Mortgage Assn. | 1.125% | 10/19/18 | 1,200 | 1,198 |
| 3 Federal National Mortgage Assn. | 1.625% | 11/27/18 | 5,350 | 5,371 |
| 3 Federal National Mortgage Assn. | 1.125% | 12/14/18 | 5,667 | 5,652 |
| 3 Federal National Mortgage Assn. | 1.375% | 1/28/19 | 1,000 | 1,000 |
| 3 Federal National Mortgage Assn. | 1.875% | 2/19/19 | 1,750 | 1,763 |
| 3 Federal National Mortgage Assn. | 1.000% | 2/26/19 | 10,455 | 10,401 |
| 3 Federal National Mortgage Assn. | 1.750% | 6/20/19 | 800 | 805 |
| 3 Federal National Mortgage Assn. | 0.875% | 8/2/19 | 8,500 | 8,416 |
| 3 Federal National Mortgage Assn. | 1.000% | 8/28/19 | 4,000 | 3,969 |
| 3 Federal National Mortgage Assn. | 1.750% | 9/12/19 | 5,350 | 5,386 |
| 3 Federal National Mortgage Assn. | 0.000% | 10/9/19 | 2,585 | 2,499 |
| 3 Federal National Mortgage Assn. | 1.000% | 10/24/19 | 6,000 | 5,947 |
| 3 Federal National Mortgage Assn. | 1.750% | 11/26/19 | 750 | 755 |
| 3 Federal National Mortgage Assn. | 1.625% | 1/21/20 | 15,870 | 15,935 |
| 3 Federal National Mortgage Assn. | 1.500% | 2/28/20 | 2,340 | 2,342 |
| 3 Federal National Mortgage Assn. | 1.500% | 6/22/20 | 1,200 | 1,201 |
| 3 Federal National Mortgage Assn. | 1.500% | 7/30/20 | 2,000 | 2,001 |
| 2 Financing Corp. | 9.700% | 4/5/19 | 50 | 56 |
| NCUA Guaranteed Notes | 3.000% | 6/12/19 | 180 | 185 |
| Private Export Funding Corp. | 4.375% | 3/15/19 | 700 | 731 |
| Private Export Funding Corp. | 1.450% | 8/15/19 | 125 | 125 |
| 2 Tennessee Valley Authority | 1.750% | 10/15/18 | 625 | 628 |
| | | | | 200,103 |
| Total U.S. Government and Agency Obligations (Cost $2,536,490) | | 2,533,742 |
16
| | | |
| Short-Term Government Bond Index Fund | | | |
| |
| |
| |
| | | | Market |
| | | | Value• |
| | Coupon | Shares | ($000) |
| Temporary Cash Investment (0.9%) | | | |
| Money Market Fund (0.9%) | | | |
| 4 Vanguard Market Liquidity Fund | | | |
| (Cost $21,807) | 1.224% | 218,028 | 21,807 |
| Total Investments (100.4%) (Cost $2,558,297) | | | 2,555,549 |
| Other Assets and Liabilities (-0.4%) | | | |
| Other Assets | | | 124,742 |
| Liabilities | | | (134,092) |
| | | | 9,350 |
| Net Assets (100%) | | | 2,546,199 |
| |
| | | | Amount |
| | | | ($000) |
| Statement of Assets and Liabilities | | | |
| Assets | | | |
| Investments in Securities, at Value | | | |
| Unaffiliated Issuers | | | 2,533,742 |
| Affiliated Vanguard Funds | | | 21,807 |
| Total Investments in Securities | | | 2,555,549 |
| Investment in Vanguard | | | 149 |
| Receivables for Investment Securities Sold | | | 115,785 |
| Receivables for Accrued Income | | | 8,238 |
| Receivables for Capital Shares Issued | | | 570 |
| Total Assets | | | 2,681,291 |
| Liabilities | | | |
| Payables for Investment Securities Purchased | | | 133,115 |
| Payables for Capital Shares Redeemed | | | 283 |
| Payables for Distributions | | | 160 |
| Payables to Vanguard | | | 412 |
| Other Liabilities | | | 122 |
| Total Liabilities | | | 134,092 |
| Net Assets | | | 2,546,199 |
| |
| |
| At August 31, 2017, net assets consisted of: | | | |
| | | | Amount |
| | | | ($000) |
| Paid-in Capital | | | 2,548,795 |
| Undistributed Net Investment Income | | | 1,839 |
| Accumulated Net Realized Losses | | | (1,687) |
| Unrealized Appreciation (Depreciation) | | | (2,748) |
| Net Assets | | | 2,546,199 |
17
| |
| Short-Term Government Bond Index Fund | |
| |
| |
| |
| | Amount |
| | ($000) |
| ETF Shares—Net Assets | |
| Applicable to 30,097,516 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 1,831,820 |
| Net Asset Value Per Share—ETF Shares | $60.86 |
| |
| Admiral Shares—Net Assets | |
| Applicable to 24,978,444 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 506,713 |
| Net Asset Value Per Share—Admiral Shares | $20.29 |
| |
| Institutional Shares—Net Assets | |
| Applicable to 8,148,506 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 207,666 |
| Net Asset Value Per Share—Institutional Shares | $25.49 |
• See Note A in Notes to Financial Statements.
1 U.S. government-guaranteed.
2 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the
full faith and credit of the U.S. government.
3 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the
Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange
for senior preferred stock.
4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
18
| |
| Short-Term Government Bond Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Year Ended |
| | August31,2017 |
| | ($000) |
| Investment Income | |
| Income | |
| Interest1 | 20,304 |
| Total Income | 20,304 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 62 |
| Management and Administrative—ETF Shares | 694 |
| Management and Administrative—Admiral Shares | 218 |
| Management and Administrative—Institutional Shares | 71 |
| Marketing and Distribution—ETF Shares | 82 |
| Marketing and Distribution—Admiral Shares | 42 |
| Marketing and Distribution—Institutional Shares | 9 |
| Custodian Fees | 10 |
| Auditing Fees | 49 |
| Shareholders’ Reports and Proxy—ETF Shares | 41 |
| Shareholders’ Reports and Proxy—Admiral Shares | 10 |
| Shareholders’ Reports and Proxy—Institutional Shares | — |
| Trustees’ Fees and Expenses | 1 |
| Total Expenses | 1,289 |
| Net Investment Income | 19,015 |
| Realized Net Gain (Loss) on Investment Securities Sold1 | (1,507) |
| Change in Unrealized Appreciation (Depreciation) of Investment Securities | (4,467) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 13,041 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $58,000 and $1,000, respectively.
See accompanying Notes, which are an integral part of the Financial Statements.
19
| | |
| Short-Term Government Bond Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Year Ended August 31, |
| | 2017 | 2016 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 19,015 | 9,251 |
| Realized Net Gain (Loss) | (1,507) | 1,013 |
| Change in Unrealized Appreciation (Depreciation) | (4,467) | 1,216 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 13,041 | 11,480 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (11,818) | (5,809) |
| Admiral Shares | (4,153) | (2,541) |
| Institutional Shares | (1,921) | (547) |
| Realized Capital Gain1 | | |
| ETF Shares | (153) | (269) |
| Admiral Shares | (62) | (106) |
| Institutional Shares | (28) | (24) |
| Total Distributions | (18,135) | (9,296) |
| Capital Share Transactions | | |
| ETF Shares | 926,710 | 271,434 |
| Admiral Shares | 144,213 | 142,241 |
| Institutional Shares | 116,737 | 24,698 |
| Net Increase (Decrease) from Capital Share Transactions | 1,187,660 | 438,373 |
| Total Increase (Decrease) | 1,182,566 | 440,557 |
| Net Assets | | |
| Beginning of Period | 1,363,633 | 923,076 |
| End of Period2 | 2,546,199 | 1,363,633 |
1 Includes fiscal 2017 and 2016 short-term gain distributions totaling $36,000 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 $1,839,000 and $716,000.
See accompanying Notes, which are an integral part of the Financial Statements.
20
| | | | | |
| Short-Term Government Bond Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| ETF Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $61.14 | $61.03 | $60.95 | $60.75 | $60.98 |
| Investment Operations | | | | | |
| Net Investment Income | . 6141 | .478 | .351 | .198 | .158 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (.311) | .118 | .102 | .227 | (.134) |
| Total from Investment Operations | . 303 | .596 | .453 | .425 | .024 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (. 573) | (. 462) | (. 340) | (.177) | (.158) |
| Distributions from Realized Capital Gains | (. 010) | (. 024) | (. 033) | (. 048) | (. 096) |
| Total Distributions | (. 583) | (. 486) | (. 373) | (. 225) | (. 254) |
| Net Asset Value, End of Period | $60.86 | $61.14 | $61.03 | $60.95 | $60.75 |
| |
| Total Return | 0.50% | 0.98% | 0.75% | 0.70% | 0.04% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $1,832 | $908 | $635 | $497 | $307 |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 1.01% | 0.80% | 0.59% | 0.34% | 0.26% |
| Portfolio Turnover Rate2 | 60% | 73% | 64% | 64% | 73% |
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.
21
| | | | | |
| Short-Term Government Bond Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| Admiral Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $20.38 | $20.35 | $20.33 | $20.27 | $20.35 |
| Investment Operations | | | | | |
| Net Investment Income | . 2021 | .158 | .116 | .068 | .053 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (. 096) | .040 | .031 | .074 | (. 048) |
| Total from Investment Operations | .106 | .198 | .147 | .142 | .005 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (.193) | (.160) | (.116) | (. 066) | (. 053) |
| Distributions from Realized Capital Gains | (. 003) | (. 008) | (. 011) | (. 016) | (. 032) |
| Total Distributions | (.196) | (.168) | (.127) | (. 082) | (. 085) |
| Net Asset Value, End of Period | $20.29 | $20.38 | $20.35 | $20.33 | $20.27 |
| |
| Total Return2 | 0.53% | 0.98% | 0.72% | 0.70% | 0.02% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $507 | $364 | $221 | $126 | $53 |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 1.01% | 0.80% | 0.59% | 0.34% | 0.26% |
| Portfolio Turnover Rate 3 | 60% | 73% | 64% | 64% | 73% |
Signal Shares were renamed Admiral Shares in October 2013. Prior periods’ Financial Highlights are for the Signal class.
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 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
22
| | | | | |
| Short-Term Government Bond Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| Institutional Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $25.60 | $25.57 | $25.54 | $25.47 | $25.57 |
| Investment Operations | | | | | |
| Net Investment Income | . 2601 | . 207 | .156 | .095 | .075 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (.117) | .042 | .043 | .088 | (. 059) |
| Total from Investment Operations | .143 | .249 | .199 | .183 | .016 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (. 249) | (. 209) | (.155) | (. 093) | (. 075) |
| Distributions from Realized Capital Gains | (. 004) | (. 010) | (. 014) | (. 020) | (. 041) |
| Total Distributions | (. 253) | (. 219) | (.169) | (.113) | (.116) |
| Net Asset Value, End of Period | $25.49 | $25.60 | $25.57 | $25.54 | $25.47 |
| |
| Total Return | 0.56% | 0.98% | 0.78% | 0.72% | 0.06% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $208 | $92 | $67 | $49 | $17 |
| Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.07% | 0.09% | 0.09% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 1.03% | 0.82% | 0.62% | 0.37% | 0.29% |
| Portfolio Turnover Rate2 | 60% | 73% | 64% | 64% | 73% |
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.
23
Short-Term Government Bond Index Fund
Notes to Financial Statements
Vanguard Short-Term Government Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers three classes of shares: ETF Shares, Admiral Shares, and Institutional Shares. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker. Admiral Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments 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, 2014–2017), 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 August 31, 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.
24
Short-Term Government Bond 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), shareholder reporting, and the proxy. 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.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2017, the fund had contributed to Vanguard capital in the amount of $149,000, 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). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of August 31, 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 | — | 2,533,742 | — |
| Temporary Cash Investments | 21,807 | — | — |
| Total | 21,807 | 2,533,742 | — |
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.
25
Short-Term Government Bond Index Fund
During the year ended August 31, 2017, the fund realized $51,000 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.
For tax purposes, at August 31, 2017, the fund had $2,327,000 of ordinary income available for distribution. The fund had available capital losses totaling $1,686,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2017, the cost of investment securities for tax purposes was $2,558,297,000.
Net unrealized depreciation of investment securities for tax purposes was $2,748,000, consisting of unrealized gains of $1,911,000 on securities that had risen in value since their purchase and $4,659,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2017, the fund purchased $2,375,455,000 of investment securities and sold $1,177,994,000 of investment securities, other than temporary cash investments. Purchases and sales include $957,838,000 and $42,136,000, 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: | | | |
| | | | Year Ended August 31, |
| | | 2017 | | 2016 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 969,314 | 15,950 | 439,524 | 7,197 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (42,604) | (700) | (168,090) | (2,750) |
| Net Increase (Decrease)—ETF Shares | 926,710 | 15,250 | 271,434 | 4,447 |
| Admiral Shares | | | | |
| Issued | 338,355 | 16,679 | 372,695 | 18,300 |
| Issued in Lieu of Cash Distributions | 3,318 | 164 | 2,119 | 104 |
| Redeemed | (197,460) | (9,736) | (232,573) | (11,408) |
| Net Increase (Decrease)—Admiral Shares | 144,213 | 7,107 | 142,241 | 6,996 |
| Institutional Shares | | | | |
| Issued | 149,457 | 5,851 | 37,398 | 1,458 |
| Issued in Lieu of Cash Distributions | 1,182 | 46 | 360 | 14 |
| Redeemed | (33,902) | (1,331) | (13,060) | (510) |
| Net Increase (Decrease)—Institutional Shares | 116,737 | 4,566 | 24,698 | 962 |
G. Management has determined that no material events or transactions occurred subsequent to August 31, 2017, that would require recognition or disclosure in these financial statements.
26
Intermediate-Term Government Bond Index Fund
Fund Profile
As of August 31, 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 | 1.77% | 1.77% | 1.79% |
| | | |
| Financial Attributes | | |
| |
| | | Bloomberg | |
| | | Barclays | |
| | | 3–10 Year | Bloomberg |
| | | Gov’t | Barclays |
| | | Float Adj | Aggregate |
| | Fund | Index | FA Index |
| |
| Number of Bonds | 157 | 212 | 9,397 |
| |
| Yield to Maturity | | | |
| (before expenses) | 1.8% | 1.8% | 2.4% |
| |
| Average Coupon | 2.0% | 2.0% | 3.0% |
| |
| Average Duration | 5.2 years | 5.2 years | 6.1 years |
| |
| Average Effective | | | |
| Maturity | 5.6 years | 5.6 years | 8.2 years |
| |
| Short-Term | | | |
| Reserves | 0.5% | — | — |
| | |
| Volatility Measures | | |
| | Bloomberg | |
| | Barclays | |
| | 3–10 Year | Bloomberg |
| | Gov’t | Barclays |
| | Float Adj | Aggregate |
| | Index | FA Index |
| R-Squared | 1.00 | 0.87 |
| Beta | 1.03 | 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 | 0.2% |
| 1 - 3 Years | 1.4 |
| 3 - 5 Years | 47.0 |
| 5 - 10 Years | 51.4 |
| |
| Distribution by Credit Quality (% of portfolio) |
| U.S. Government | 99.8% |
| Aaa | 0.2 |
| |
| 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.
Credit-quality ratings are obtained from Barclays and are from
Moody's, Fitch, and S&P. When ratings from all three agencies are
used, the median rating is shown. When ratings from two of the
agencies are used, the lower rating for each issue is shown. "Not
Rated" is used to classify securities for which a rating is not
available. For more information about these ratings, see the
Glossary entry for Credit Quality.
Investment Focus
1 The expense ratios shown are from the prospectus dated December 22, 2016, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2017, the expense ratios were 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares.
27
Intermediate-Term Government Bond Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: November 19, 2009, Through August 31, 2017
Initial Investment of $10,000
| | | | | |
| | | Average Annual Total Returns | |
| | | Periods Ended August 31, 2017 | |
| |
| | | | | Since | Final Value |
| | | One | Five | Inception | of a $10,000 |
| | | Year | Years | (11/19/2009) | Investment |
| |
| | Intermediate-Term Government Bond | | | | |
| | Index Fund ETF Shares Net Asset Value | -0.21% | 1.40% | 3.12% | $12,698 |
| | Intermediate-Term Government Bond | | | | |
| | Index Fund ETF Shares Market Price | -0.22 | 1.40 | 3.12 | 12,703 |
| | Bloomberg Barclays U.S. 3–10 Year | | | | |
| • • • • • • • • | | | | | |
| | Government Float Adjusted Index | -0.22 | 1.49 | 3.22 | 12,799 |
| |
| – – –– | Intermediate U.S. Government Funds | | | | |
| | Average | -0.05 | 0.93 | 2.35 | 11,977 |
| | Spliced Bloomberg Barclays U.S. | | | | |
| | Aggregate Float Adjusted Index | 0.46 | 2.20 | 3.64 | 13,206 |
For a benchmark description, see the Glossary.
Intermediate U.S. Government Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
28
Intermediate-Term Government Bond Index Fund
| | | | |
| | Average Annual Total Returns | |
| | Periods Ended August 31, 2017 | |
| |
| | | | Since | Final Value |
| | One | Five | Inception | of a $10,000 |
| | Year | Years | (8/4/2010) | Investment |
| Intermediate-Term Government Bond Index | | | | |
| Fund Admiral Shares | -0.19% | 1.40% | 2.65% | $12,028 |
| Bloomberg Barclays U.S. 3–10 Year | | | | |
| Government Float Adjusted Index | -0.22 | 1.49 | 2.74 | 12,110 |
| Bloomberg Barclays U.S. Aggregate Float | | | | |
| Adjusted Index | 0.46 | 2.20 | 3.24 | 12,532 |
"Since Inception" performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative standards.
| | | | |
| | | | Since | Final Value |
| | One | Five | Inception | of a $5,000,000 |
| | Year | Years | (3/19/2010) | Investment |
| Intermediate-Term Government Bond Index | | | | |
| Fund Institutional Shares | -0.21% | 1.42% | 3.29% | $6,363,844 |
| Bloomberg Barclays U.S. 3–10 Year | | | | |
| Government Float Adjusted Index | -0.22 | 1.49 | 3.37 | 6,400,933 |
| Spliced Bloomberg Barclays U.S. Aggregate | | | | |
| Float Adjusted Index | 0.46 | 2.20 | 3.63 | 6,523,919 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
| | | |
| Cumulative Returns of ETF Shares: November 19, 2009, Through August 31, 2017 | |
| |
| | | | Since |
| | One | Five | Inception |
| | Year | Years | (11/19/2009) |
| Intermediate-Term Government Bond Index Fund | | | |
| ETF Shares Market Price | -0.22% | 7.19% | 27.03% |
| Intermediate-Term Government Bond Index Fund | | | |
| ETF Shares Net Asset Value | -0.21 | 7.20 | 26.98 |
| Bloomberg Barclays U.S. 3–10 Year Government | | | |
| Float Adjusted Index | -0.22 | 7.70 | 27.99 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
29
Intermediate-Term Government Bond Index Fund
| | |
| Fiscal-Year Total Returns (%): November 19, 2009, Through August 31, 2017 | |
| | | Bloomberg |
| | | Barclays |
| | | 3–10 Year |
| | | Gov’t |
| | | Float Adj |
| | ETF Shares Net Asset Value | Index |
| Fiscal Year | Total Returns | Total Returns |
| 2010 | 7.65% | 7.76% |
| 2011 | 5.30 | 5.53 |
| 2012 | 4.50 | 4.51 |
| 2013 | -3.18 | -2.99 |
| 2014 | 3.54 | 3.54 |
| 2015 | 2.67 | 2.86 |
| 2016 | 4.37 | 4.47 |
| 2017 | -0.21 | -0.22 |
Average Annual Total Returns: Periods Ended June 30, 2017
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 | | -2.13% | 1.32% | | | 3.02% |
| Net Asset Value | | -2.12 | 1.33 | | | 3.01 |
| Admiral Shares | 8/4/2010 | -2.12 | 1.33 | 1.65% | 0.86% | 2.51 |
| Institutional Shares | 3/19/2010 | -2.10 | 1.35 | 1.73 | 1.46 | 3.19 |
30
Intermediate-Term Government Bond Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 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 (97.0%) | | | | |
| United States Treasury Note/Bond | 8.750% | 8/15/20 | 1,950 | 2,360 |
| United States Treasury Note/Bond | 2.125% | 8/31/20 | 33,152 | 33,815 |
| United States Treasury Note/Bond | 1.375% | 9/30/20 | 20,478 | 20,427 |
| United States Treasury Note/Bond | 2.000% | 9/30/20 | 5,059 | 5,140 |
| United States Treasury Note/Bond | 1.375% | 10/31/20 | 8,489 | 8,461 |
| United States Treasury Note/Bond | 1.750% | 10/31/20 | 11,145 | 11,239 |
| United States Treasury Note/Bond | 2.625% | 11/15/20 | 64,362 | 66,645 |
| United States Treasury Note/Bond | 1.625% | 11/30/20 | 10,700 | 10,743 |
| United States Treasury Note/Bond | 2.000% | 11/30/20 | 9,840 | 9,998 |
| United States Treasury Note/Bond | 1.750% | 12/31/20 | 18,150 | 18,292 |
| United States Treasury Note/Bond | 2.375% | 12/31/20 | 10,580 | 10,878 |
| United States Treasury Note/Bond | 1.375% | 1/31/21 | 26,572 | 26,447 |
| United States Treasury Note/Bond | 2.125% | 1/31/21 | 14,122 | 14,409 |
| United States Treasury Note/Bond | 3.625% | 2/15/21 | 12,857 | 13,769 |
| United States Treasury Note/Bond | 7.875% | 2/15/21 | 1,966 | 2,383 |
| United States Treasury Note/Bond | 1.125% | 2/28/21 | 8,800 | 8,679 |
| United States Treasury Note/Bond | 2.000% | 2/28/21 | 25,270 | 25,673 |
| United States Treasury Note/Bond | 1.250% | 3/31/21 | 36,520 | 36,155 |
| United States Treasury Note/Bond | 2.250% | 3/31/21 | 5,925 | 6,069 |
| United States Treasury Note/Bond | 1.375% | 4/30/21 | 16,290 | 16,183 |
| United States Treasury Note/Bond | 2.250% | 4/30/21 | 4,000 | 4,099 |
| United States Treasury Note/Bond | 3.125% | 5/15/21 | 40,967 | 43,271 |
| United States Treasury Note/Bond | 8.125% | 5/15/21 | 1,340 | 1,656 |
| United States Treasury Note/Bond | 1.375% | 5/31/21 | 25,925 | 25,739 |
| United States Treasury Note/Bond | 2.000% | 5/31/21 | 34,810 | 35,349 |
| United States Treasury Note/Bond | 1.125% | 6/30/21 | 16,150 | 15,877 |
| United States Treasury Note/Bond | 2.125% | 6/30/21 | 30,460 | 31,079 |
| United States Treasury Note/Bond | 1.125% | 7/31/21 | 15,490 | 15,219 |
| United States Treasury Note/Bond | 2.250% | 7/31/21 | 6,200 | 6,353 |
| United States Treasury Note/Bond | 2.125% | 8/15/21 | 44,367 | 45,268 |
| United States Treasury Note/Bond | 8.125% | 8/15/21 | 1,775 | 2,219 |
| United States Treasury Note/Bond | 1.125% | 8/31/21 | 19,628 | 19,266 |
| United States Treasury Note/Bond | 2.000% | 8/31/21 | 21,325 | 21,648 |
| United States Treasury Note/Bond | 1.125% | 9/30/21 | 24,640 | 24,162 |
| United States Treasury Note/Bond | 2.125% | 9/30/21 | 50,760 | 51,775�� |
| United States Treasury Note/Bond | 1.250% | 10/31/21 | 11,750 | 11,570 |
31
| | | | |
| Intermediate-Term Government Bond Index Fund | | | | |
| |
| |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value • |
| | Coupon | Date | ($000) | ($000) |
| United States Treasury Note/Bond | 2.000% | 10/31/21 | 47,915 | 48,626 |
| United States Treasury Note/Bond | 2.000% | 11/15/21 | 6,013 | 6,105 |
| United States Treasury Note/Bond | 1.750% | 11/30/21 | 5,500 | 5,524 |
| United States Treasury Note/Bond | 1.875% | 11/30/21 | 32,787 | 33,120 |
| United States Treasury Note/Bond | 2.000% | 12/31/21 | 12,185 | 12,362 |
| United States Treasury Note/Bond | 2.125% | 12/31/21 | 12,550 | 12,797 |
| United States Treasury Note/Bond | 1.500% | 1/31/22 | 21,519 | 21,368 |
| United States Treasury Note/Bond | 1.875% | 1/31/22 | 13,500 | 13,622 |
| United States Treasury Note/Bond | 2.000% | 2/15/22 | 31,394 | 31,860 |
| United States Treasury Note/Bond | 1.750% | 2/28/22 | 13,346 | 13,394 |
| United States Treasury Note/Bond | 1.875% | 2/28/22 | 27,300 | 27,547 |
| United States Treasury Note/Bond | 1.750% | 3/31/22 | 14,606 | 14,652 |
| United States Treasury Note/Bond | 1.875% | 3/31/22 | 32,110 | 32,381 |
| United States Treasury Note/Bond | 1.750% | 4/30/22 | 8,500 | 8,523 |
| United States Treasury Note/Bond | 1.875% | 4/30/22 | 15,000 | 15,120 |
| United States Treasury Note/Bond | 1.750% | 5/15/22 | 5,000 | 5,016 |
| United States Treasury Note/Bond | 1.750% | 5/31/22 | 46,195 | 46,310 |
| United States Treasury Note/Bond | 1.875% | 5/31/22 | 11,375 | 11,466 |
| United States Treasury Note/Bond | 1.750% | 6/30/22 | 6,250 | 6,262 |
| United States Treasury Note/Bond | 2.125% | 6/30/22 | 9,150 | 9,324 |
| United States Treasury Note/Bond | 1.875% | 7/31/22 | 28,225 | 28,437 |
| United States Treasury Note/Bond | 2.000% | 7/31/22 | 27,280 | 27,638 |
| United States Treasury Note/Bond | 1.625% | 8/15/22 | 4,399 | 4,381 |
| United States Treasury Note/Bond | 7.250% | 8/15/22 | 975 | 1,230 |
| United States Treasury Note/Bond | 1.625% | 8/31/22 | 28,000 | 27,891 |
| United States Treasury Note/Bond | 1.875% | 8/31/22 | 15,626 | 15,736 |
| United States Treasury Note/Bond | 1.750% | 9/30/22 | 8,300 | 8,304 |
| United States Treasury Note/Bond | 1.875% | 10/31/22 | 7,300 | 7,346 |
| United States Treasury Note/Bond | 1.625% | 11/15/22 | 42,885 | 42,610 |
| United States Treasury Note/Bond | 7.625% | 11/15/22 | 2,075 | 2,680 |
| United States Treasury Note/Bond | 2.000% | 11/30/22 | 33,105 | 33,503 |
| United States Treasury Note/Bond | 2.125% | 12/31/22 | 14,052 | 14,302 |
| United States Treasury Note/Bond | 1.750% | 1/31/23 | 14,400 | 14,373 |
| United States Treasury Note/Bond | 2.000% | 2/15/23 | 34,100 | 34,484 |
| United States Treasury Note/Bond | 7.125% | 2/15/23 | 2,590 | 3,308 |
| United States Treasury Note/Bond | 1.500% | 2/28/23 | 32,375 | 31,879 |
| United States Treasury Note/Bond | 1.500% | 3/31/23 | 39,620 | 38,988 |
| United States Treasury Note/Bond | 1.625% | 4/30/23 | 16,430 | 16,263 |
| United States Treasury Note/Bond | 1.750% | 5/15/23 | 46,015 | 45,835 |
| United States Treasury Note/Bond | 1.625% | 5/31/23 | 47,205 | 46,711 |
| United States Treasury Note/Bond | 1.375% | 6/30/23 | 18,355 | 17,896 |
| United States Treasury Note/Bond | 1.250% | 7/31/23 | 16,725 | 16,174 |
| United States Treasury Note/Bond | 2.500% | 8/15/23 | 11,495 | 11,924 |
| United States Treasury Note/Bond | 6.250% | 8/15/23 | 1,725 | 2,155 |
| United States Treasury Note/Bond | 1.375% | 8/31/23 | 18,975 | 18,465 |
| United States Treasury Note/Bond | 1.375% | 9/30/23 | 20,600 | 20,034 |
| United States Treasury Note/Bond | 1.625% | 10/31/23 | 14,950 | 14,751 |
| United States Treasury Note/Bond | 2.750% | 11/15/23 | 11,995 | 12,625 |
| United States Treasury Note/Bond | 2.125% | 11/30/23 | 14,360 | 14,587 |
| United States Treasury Note/Bond | 2.250% | 12/31/23 | 12,500 | 12,777 |
| United States Treasury Note/Bond | 2.250% | 1/31/24 | 8,500 | 8,686 |
| United States Treasury Note/Bond | 2.750% | 2/15/24 | 48,315 | 50,822 |
| United States Treasury Note/Bond | 2.125% | 2/29/24 | 24,200 | 24,533 |
| United States Treasury Note/Bond | 2.125% | 3/31/24 | 19,000 | 19,255 |
32
| | | | |
| Intermediate-Term Government Bond Index Fund | | | | |
| |
| |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value • |
| | Coupon | Date | ($000) | ($000) |
| United States Treasury Note/Bond | 2.000% | 4/30/24 | 10,200 | 10,251 |
| United States Treasury Note/Bond | 2.500% | 5/15/24 | 33,935 | 35,176 |
| United States Treasury Note/Bond | 2.000% | 5/31/24 | 30,100 | 30,246 |
| United States Treasury Note/Bond | 2.000% | 6/30/24 | 28,400 | 28,515 |
| United States Treasury Note/Bond | 2.125% | 7/31/24 | 22,250 | 22,514 |
| United States Treasury Note/Bond | 2.375% | 8/15/24 | 53,680 | 55,198 |
| United States Treasury Note/Bond | 1.875% | 8/31/24 | 22,000 | 21,894 |
| United States Treasury Note/Bond | 2.250% | 11/15/24 | 24,416 | 24,881 |
| United States Treasury Note/Bond | 7.500% | 11/15/24 | 340 | 468 |
| United States Treasury Note/Bond | 2.000% | 2/15/25 | 49,018 | 49,041 |
| United States Treasury Note/Bond | 7.625% | 2/15/25 | 300 | 419 |
| United States Treasury Note/Bond | 2.125% | 5/15/25 | 59,610 | 60,094 |
| United States Treasury Note/Bond | 2.000% | 8/15/25 | 27,840 | 27,779 |
| United States Treasury Note/Bond | 6.875% | 8/15/25 | 1,150 | 1,565 |
| United States Treasury Note/Bond | 2.250% | 11/15/25 | 52,155 | 52,970 |
| United States Treasury Note/Bond | 1.625% | 2/15/26 | 38,755 | 37,435 |
| United States Treasury Note/Bond | 1.625% | 5/15/26 | 38,090 | 36,709 |
| United States Treasury Note/Bond | 1.500% | 8/15/26 | 45,930 | 43,713 |
| United States Treasury Note/Bond | 2.000% | 11/15/26 | 39,967 | 39,605 |
| United States Treasury Note/Bond | 6.500% | 11/15/26 | 3,000 | 4,115 |
| United States Treasury Note/Bond | 2.250% | 2/15/27 | 47,810 | 48,348 |
| United States Treasury Note/Bond | 2.375% | 5/15/27 | 42,290 | 43,215 |
| United States Treasury Note/Bond | 2.250% | 8/15/27 | 20,000 | 20,228 |
| | | | | 2,462,656 |
| Agency Bonds and Notes (2.5%) | | | | |
| 1 AID-Iraq | 2.149% | 1/18/22 | 825 | 835 |
| 1 AID-Israel | 5.500% | 9/18/23 | 125 | 149 |
| 1 AID-Israel | 5.500% | 12/4/23 | 500 | 598 |
| 1 AID-Israel | 5.500% | 4/26/24 | 500 | 601 |
| 1 AID-Jordan | 2.503% | 10/30/20 | 175 | 179 |
| 1 AID-Jordan | 2.578% | 6/30/22 | 500 | 514 |
| 1 AID-Tunisia | 1.416% | 8/5/21 | 510 | 497 |
| 1 AID-Ukraine | 1.847% | 5/29/20 | 300 | 301 |
| 1 AID-Ukraine | 1.471% | 9/29/21 | 525 | 519 |
| 2 Federal Farm Credit Banks | 3.500% | 12/20/23 | 100 | 109 |
| 2 Federal Home Loan Banks | 3.125% | 12/11/20 | 1,000 | 1,050 |
| 2 Federal Home Loan Banks | 5.250% | 12/11/20 | 250 | 279 |
| 2 Federal Home Loan Banks | 1.375% | 2/18/21 | 2,645 | 2,628 |
| 2 Federal Home Loan Banks | 5.625% | 6/11/21 | 400 | 459 |
| 2 Federal Home Loan Banks | 1.125% | 7/14/21 | 1,500 | 1,472 |
| 2 Federal Home Loan Banks | 1.875% | 11/29/21 | 4,460 | 4,496 |
| 2 Federal Home Loan Banks | 2.000% | 9/9/22 | 1,265 | 1,277 |
| 2 Federal Home Loan Banks | 2.125% | 3/10/23 | 475 | 481 |
| 2 Federal Home Loan Banks | 2.875% | 6/14/24 | 200 | 210 |
| 2 Federal Home Loan Banks | 2.875% | 9/13/24 | 1,000 | 1,050 |
| 3 Federal Home Loan Mortgage Corp. | 1.125% | 8/12/21 | 1,000 | 980 |
| 3 Federal Home Loan Mortgage Corp. | 2.375% | 1/13/22 | 12,635 | 12,983 |
| 3 Federal National Mortgage Assn. | 1.500% | 11/30/20 | 1,000 | 999 |
| 3 Federal National Mortgage Assn. | 1.875% | 12/28/20 | 2,000 | 2,021 |
| 3 Federal National Mortgage Assn. | 1.375% | 2/26/21 | 3,285 | 3,263 |
| 3 Federal National Mortgage Assn. | 1.250% | 8/17/21 | 3,445 | 3,391 |
| 3 Federal National Mortgage Assn. | 1.375% | 10/7/21 | 2,200 | 2,174 |
| 3 Federal National Mortgage Assn. | 2.000% | 1/5/22 | 1,000 | 1,012 |
| 3 Federal National Mortgage Assn. | 1.875% | 4/5/22 | 1,000 | 1,006 |
33
| | | | | |
| Intermediate-Term Government Bond Index Fund | | | | |
| |
| |
| |
| | | | | Face | Market |
| | | | Maturity | Amount | Value • |
| | | Coupon | Date | ($000) | ($000) |
| 3 | Federal National Mortgage Assn. | 2.625% | 9/6/24 | 5,015 | 5,206 |
| 3 | Federal National Mortgage Assn. | 2.125% | 4/24/26 | 2,200 | 2,180 |
| 3 | Federal National Mortgage Assn. | 1.875% | 9/24/26 | 4,435 | 4,288 |
| | Private Export Funding Corp. | 2.250% | 3/15/20 | 150 | 152 |
| | Private Export Funding Corp. | 2.300% | 9/15/20 | 1,075 | 1,097 |
| | Private Export Funding Corp. | 2.050% | 11/15/22 | 175 | 176 |
| | Private Export Funding Corp. | 3.550% | 1/15/24 | 75 | 81 |
| | Private Export Funding Corp. | 2.450% | 7/15/24 | 205 | 208 |
| | Private Export Funding Corp. | 3.250% | 6/15/25 | 75 | 80 |
| 2 | Tennessee Valley Authority | 3.875% | 2/15/21 | 225 | 242 |
| 2 | Tennessee Valley Authority | 1.875% | 8/15/22 | 125 | 126 |
| 2 | Tennessee Valley Authority | 2.875% | 9/15/24 | 400 | 418 |
| 2 | Tennessee Valley Authority | 6.750% | 11/1/25 | 1,225 | 1,626 |
| 2 | Tennessee Valley Authority | 2.875% | 2/1/27 | 750 | 783 |
| | | | | | 62,196 |
| Total U.S. Government and Agency Obligations (Cost $2,525,937) | | | 2,524,852 |
| |
| | | | | Shares | |
| Temporary Cash Investment (0.5%) | | | | |
| Money Market Fund (0.5%) | | | | |
| 4 | Vanguard Market Liquidity Fund | | | | |
| | (Cost $13,718) | 1.224% | | 137,154 | 13,718 |
| Total Investments (100.0%) (Cost $2,539,655) | | | | 2,538,570 |
| |
| | | | | | Amount |
| | | | | | ($000) |
| Other Assets and Liabilities (0.0%) | | | | |
| Other Assets | | | | |
| Investment in Vanguard | | | | 161 |
| Receivables for Investment Securities Sold | | | | 60,201 |
| Receivables for Accrued Income | | | | 10,205 |
| Receivables for Capital Shares Issued | | | | 1,579 |
| Total Other Assets | | | | 72,146 |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | | (70,006) |
| Payables for Capital Shares Redeemed | | | | (811) |
| Payables for Distributions | | | | (233) |
| Payables to Vanguard | | | | (431) |
| Other Liabilities | | | | (419) |
| Total Liabilities | | | | (71,900) |
| Net Assets (100%) | | | | 2,538,816 |
34
| |
| Intermediate-Term Government Bond Index Fund | |
| |
| |
| At August 31, 2017, net assets consisted of: | |
| | Amount |
| | ($000) |
| Paid-in Capital | 2,540,641 |
| Undistributed Net Investment Income | 2,216 |
| Accumulated Net Realized Losses | (2,956) |
| Unrealized Appreciation (Depreciation) | (1,085) |
| Net Assets | 2,538,816 |
| |
| ETF Shares—Net Assets | |
| Applicable to 20,351,191 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 1,328,791 |
| Net Asset Value Per Share—ETF Shares | $65.29 |
| |
| Admiral Shares—Net Assets | |
| Applicable to 39,696,005 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 874,371 |
| Net Asset Value Per Share—Admiral Shares | $22.03 |
| |
| Institutional Shares—Net Assets | |
| Applicable to 12,279,851 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 335,654 |
| Net Asset Value Per Share—Institutional Shares | $27.33 |
• See Note A in Notes to Financial Statements.
1 U.S. government-guaranteed.
2 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the
full faith and credit of the U.S. government.
3 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the
Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange
for senior preferred stock.
4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
35
| |
| Intermediate-Term Government Bond Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Year Ended |
| | August31,2017 |
| | ($000) |
| Investment Income | |
| Income | |
| Interest1 | 36,282 |
| Total Income | 36,282 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 70 |
| Management and Administrative—ETF Shares | 524 |
| Management and Administrative—Admiral Shares | 379 |
| Management and Administrative—Institutional Shares | 139 |
| Marketing and Distribution—ETF Shares | 70 |
| Marketing and Distribution—Admiral Shares | 73 |
| Marketing and Distribution—Institutional Shares | 19 |
| Custodian Fees | 12 |
| Auditing Fees | 49 |
| Shareholders’ Reports and Proxy—ETF Shares | 82 |
| Shareholders’ Reports and Proxy—Admiral Shares | 14 |
| Shareholders’ Reports and Proxy—Institutional Shares | — |
| Trustees’ Fees and Expenses | 2 |
| Total Expenses | 1,433 |
| Net Investment Income | 34,849 |
| Realized Net Gain (Loss) on Investment Securities Sold1 | (148) |
| Change in Unrealized Appreciation (Depreciation) of Investment Securities | (32,895) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 1,806 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $51,000 and $1,000, respectively.
See accompanying Notes, which are an integral part of the Financial Statements.
36
| | |
| Intermediate-Term Government Bond Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Year Ended August 31, |
| | 2017 | 2016 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 34,849 | 21,805 |
| Realized Net Gain (Loss) | (148) | 4,551 |
| Change in Unrealized Appreciation (Depreciation) | (32,895) | 27,039 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 1,806 | 53,395 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (16,506) | (8,980) |
| Admiral Shares | (11,627) | (8,458) |
| Institutional Shares | (5,744) | (3,688) |
| Realized Capital Gain1 | | |
| ETF Shares | (1,196) | (180) |
| Admiral Shares | (889) | (178) |
| Institutional Shares | (450) | (92) |
| Total Distributions | (36,412) | (21,576) |
| Capital Share Transactions | | |
| ETF Shares | 435,675 | 534,498 |
| Admiral Shares | 176,741 | 339,752 |
| Institutional Shares | 70,683 | 58,786 |
| Net Increase (Decrease) from Capital Share Transactions | 683,099 | 933,036 |
| Total Increase (Decrease) | 648,493 | 964,855 |
| Net Assets | | |
| Beginning of Period | 1,890,323 | 925,468 |
| End of Period2 | 2,538,816 | 1,890,323 |
1 Includes fiscal 2017 and 2016 short-term gain distributions totaling $418,000 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 $2,216,000 and $1,244,000.
See accompanying Notes, which are an integral part of the Financial Statements.
37
| | | | | |
| Intermediate-Term Government Bond Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| ETF Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $66.54 | $64.80 | $64.14 | $62.96 | $66.58 |
| Investment Operations | | | | | |
| Net Investment Income | 1.0431 | 1.035 | 1.054 | .920 | .861 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (1.201) | 1.770 | .649 | 1.292 | (2.940) |
| Total from Investment Operations | (.158) | 2.805 | 1.703 | 2.212 | (2.079) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (1.011) | (1.038) | (1.043) | (.843) | (.861) |
| Distributions from Realized Capital Gains | (. 081) | (. 027) | — | (.189) | (. 680) |
| Total Distributions | (1.092) | (1.065) | (1.043) | (1.032) | (1.541) |
| Net Asset Value, End of Period | $65.29 | $66.54 | $64.80 | $64.14 | $62.96 |
| |
| Total Return | -0.21% | 4.37% | 2.67% | 3.54% | -3.18% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $1,329 | $908 | $360 | $164 | $123 |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 1.61% | 1.61% | 1.67% | 1.50% | 1.32% |
| Portfolio Turnover Rate2 | 32% | 37% | 35% | 43% | 54% |
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.
38
| | | | | |
| Intermediate-Term Government Bond Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| Admiral Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $22.45 | $21.86 | $21.64 | $21.27 | $22.50 |
| Investment Operations | | | | | |
| Net Investment Income | . 3511 | .349 | .355 | .317 | .292 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (.400) | .601 | .220 | .432 | (1.000) |
| Total from Investment Operations | (. 049) | . 950 | . 575 | .749 | (.708) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (. 344) | (. 351) | (. 355) | (. 315) | (. 292) |
| Distributions from Realized Capital Gains | (. 027) | (. 009) | — | (. 064) | (. 230) |
| Total Distributions | (. 371) | (. 360) | (. 355) | (. 379) | (. 522) |
| Net Asset Value, End of Period | $22.03 | $22.45 | $21.86 | $21.64 | $21.27 |
| |
| Total Return2 | -0.19% | 4.38% | 2.67% | 3.55% | -3.21% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $874 | $710 | $358 | $232 | $95 |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 1.61% | 1.61% | 1.67% | 1.50% | 1.32% |
| Portfolio Turnover Rate 3 | 32% | 37% | 35% | 43% | 54% |
Signal Shares were renamed Admiral Shares in October 2013. Prior periods’ Financial Highlights are for the Signal class.
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 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.
39
| | | | | |
| Intermediate-Term Government Bond Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| Institutional Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $27.86 | $27.12 | $26.85 | $26.39 | $27.91 |
| Investment Operations | | | | | |
| Net Investment Income | . 4411 | .437 | .447 | .400 | . 368 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (.507) | .752 | .271 | .536 | (1.235) |
| Total from Investment Operations | (.066) | 1.189 | .718 | .936 | (.867) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (. 430) | (. 438) | (. 448) | (. 397) | (. 368) |
| Distributions from Realized Capital Gains | (. 034) | (. 011) | — | (. 079) | (. 285) |
| Total Distributions | (. 464) | (. 449) | (. 448) | (. 476) | (. 653) |
| Net Asset Value, End of Period | $27.33 | $27.86 | $27.12 | $26.85 | $26.39 |
| |
| Total Return | -0.21% | 4.42% | 2.69% | 3.58% | -3.17% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $336 | $272 | $208 | $54 | $59 |
| Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.07% | 0.09% | 0.09% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 1.63% | 1.63% | 1.70% | 1.53% | 1.35% |
| Portfolio Turnover Rate2 | 32% | 37% | 35% | 43% | 54% |
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.
40
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, 2014–2017), 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 August 31, 2017, or at any time during the period then ended.
41
Intermediate-Term Government Bond Index Fund
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), shareholder reporting, and the proxy. 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 August 31, 2017, the fund had contributed to Vanguard capital in the amount of $161,000, 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). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
42
Intermediate-Term Government Bond Index Fund
The following table summarizes the market value of the fund’s investments as of August 31, 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 | — | 2,524,852 | — |
| Temporary Cash Investments | 13,718 | — | — |
| Total | 13,718 | 2,524,852 | — |
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 year ended August 31, 2017, the fund realized $2,004,000 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.
For tax purposes, at August 31, 2017, the fund had $2,795,000 of ordinary income available for distribution. The fund had available capital losses totaling $2,942,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2017, the cost of investment securities for tax purposes was $2,539,655,000.
Net unrealized depreciation of investment securities for tax purposes was $1,085,000, consisting of unrealized gains of $10,600,000 on securities that had risen in value since their purchase and $11,685,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2017, the fund purchased $1,553,525,000 of investment securities and sold $868,416,000 of investment securities, other than temporary cash investments. Purchases and sales include $603,960,000 and $173,367,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
43
Intermediate-Term Government Bond Index Fund
| | | | |
| F. Capital share transactions for each class of shares were: | | | |
| | | | Year Ended August 31, |
| | | 2017 | | 2016 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 610,836 | 9,400 | 609,814 | 9,250 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (175,161) | (2,700) | (75,316) | (1,150) |
| Net Increase (Decrease)—ETF Shares | 435,675 | 6,700 | 534,498 | 8,100 |
| Admiral Shares | | | | |
| Issued | 453,636 | 20,733 | 520,311 | 23,394 |
| Issued in Lieu of Cash Distributions | 10,936 | 501 | 7,829 | 352 |
| Redeemed | (287,831) | (13,186) | (188,388) | (8,485) |
| Net Increase (Decrease)—Admiral Shares | 176,741 | 8,048 | 339,752 | 15,261 |
| Institutional Shares | | | | |
| Issued | 200,088 | 7,293 | 225,833 | 8,188 |
| Issued in Lieu of Cash Distributions | 5,268 | 194 | 3,524 | 128 |
| Redeemed | (134,673) | (4,958) | (170,571) | (6,217) |
| Net Increase (Decrease)—Institutional Shares | 70,683 | 2,529 | 58,786 | 2,099 |
G. Management has determined that no material events or transactions occurred subsequent to August 31, 2017, that would require recognition or disclosure in these financial statements.
44
Long-Term Government Bond Index Fund
Fund Profile
As of August 31, 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 | 2.63% | 2.63% | 2.65% |
| | |
| Volatility Measures | | |
| | Bloomberg | |
| | Barclays | Bloomberg |
| | Long Gov | Barclays |
| | Float Adj | Aggregate |
| | Index | FA Index |
| R-Squared | 0.99 | 0.87 |
| Beta | 1.04 | 3.49 |
| | | |
| Financial Attributes | | |
| |
| | | Bloomberg | |
| | | Barclays | Bloomberg |
| | | Long Gov | Barclays |
| | | Float Adj | Aggregate |
| | Fund | Index | FA Index |
| |
| Number of Bonds | 71 | 78 | 9,397 |
| |
| Yield to Maturity | | | |
| (before expenses) | 2.6% | 2.6% | 2.4% |
| |
| Average Coupon | 3.5% | 3.5% | 3.0% |
| |
| Average Duration | 17.6 years | 17.6 years | 6.1 years |
| |
| Average Effective | | | |
| Maturity | 24.8 years | 24.8 years | 8.2 years |
| |
| Short-Term | | | |
| Reserves | 0.7% | — | — |
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 | 0.1% |
| 5 - 10 Years | 0.1 |
| 10 - 20 Years | 10.7 |
| 20 - 30 Years | 88.8 |
| Over 30 Years | 0.3 |
| |
| Distribution by Credit Quality (% of portfolio) |
| U.S. Government | 99.9% |
| Aaa | 0.1 |
| |
| Sector Diversification (% of portfolio) | |
| Treasury/Agency | 99.9% |
| Other | 0.1 |
The agency and mortgage-backed securities sectors may include
issues from government-sponsored enterprises; such issues are
generally not backed by the full faith and credit of the U.S.
government.
Credit-quality ratings are obtained from Barclays and are from
Moody's, Fitch, and S&P. When ratings from all three agencies are
used, the median rating is shown. When ratings from two of the
agencies are used, the lower rating for each issue is shown. "Not
Rated" is used to classify securities for which a rating is not
available. For more information about these ratings, see the
Glossary entry for Credit Quality.
Investment Focus
1 The expense ratios shown are from the prospectus dated December 22, 2016, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2017, the expense ratios were 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares.
45
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.
Cumulative Performance: November 19, 2009, Through August 31, 2017
Initial Investment of $10,000
| | | | | |
| | | Average Annual Total Returns | |
| | | Periods Ended August 31, 2017 | |
| |
| | | | | Since | Final Value |
| | | One | Five | Inception | of a $10,000 |
| | | Year | Years | (11/19/2009) | Investment |
| |
| | Long-Term Government Bond Index | | | | |
| | Fund ETF Shares Net Asset Value | -5.63% | 2.80% | 6.75% | $16,619 |
| | Long-Term Government Bond Index | | | | |
| | Fund ETF Shares Market Price | -5.65 | 2.80 | 6.75 | 16,627 |
| | Bloomberg Barclays U.S. Long | | | | |
| • • • • • • • • | | | | | |
| | Government Float Adjusted Index | -5.61 | 2.93 | 6.84 | 16,732 |
| |
| – – –– | General U.S. Government Funds | | | | |
| | Average | -0.86 | 0.93 | 2.75 | 12,346 |
| | Spliced Bloomberg Barclays U.S. | | | | |
| | Aggregate Float Adjusted Index | 0.46 | 2.20 | 3.64 | 13,206 |
For a benchmark description, see the Glossary.
General U.S. Government Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
46
Long-Term Government Bond Index Fund
| | | | |
| | Average Annual Total Returns | |
| | Periods Ended August 31, 2017 | |
| | | | Since | Final Value |
| | One | Five | Inception | of a $10,000 |
| | Year | Years | (3/1/2010) | Investment |
| Long-Term Government Bond Index Fund | | | | |
| Admiral Shares | -5.62% | 2.79% | 7.19% | $16,840 |
| Bloomberg Barclays U.S. Long Government | | | | |
| Float Adjusted Index | -5.61 | 2.93 | 7.29 | 16,953 |
| Bloomberg Barclays U.S. Aggregate Float | | | | |
| Adjusted Index | 0.46 | 2.20 | 3.65 | 13,081 |
"Since Inception" performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative standards.
| | | | |
| | | | Since | Final Value |
| | One | Five | Inception | of a $5,000,000 |
| | Year | Years | (7/30/2010) | Investment |
| Long-Term Government Bond Index Fund | | | | |
| Institutional Shares | -5.60% | 2.83% | 6.21% | $7,662,439 |
| Bloomberg Barclays U.S. Long Government | | | | |
| Float Adjusted Index | -5.61 | 2.93 | 6.25 | 7,682,235 |
| Spliced Bloomberg Barclays U.S. Aggregate | | | | |
| Float Adjusted Index | 0.46 | 2.20 | 3.22 | 6,260,613 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
| | | |
| Cumulative Returns of ETF Shares: November 19, 2009, Through August 31, 2017 | |
| |
| | | | Since |
| | One | Five | Inception |
| | Year | Years | (11/19/2009) |
| Long-Term Government Bond Index Fund ETF | | | |
| Shares Market Price | -5.65% | 14.83% | 66.27% |
| Long-Term Government Bond Index Fund ETF | | | |
| Shares Net Asset Value | -5.63 | 14.80 | 66.19 |
| Bloomberg Barclays U.S. Long Government Float | | | |
| Adjusted Index | -5.61 | 15.51 | 67.32 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
47
Long-Term Government Bond Index Fund
| | |
| Fiscal-Year Total Returns (%): November 19, 2009, Through August 31, 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 | -5.63 | -5.61 |
Average Annual Total Returns: Periods Ended June 30, 2017
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 | | -7.11% | 2.74% | | | 6.55% |
| Net Asset Value | | -7.14 | 2.72 | | | 6.53 |
| Admiral Shares | 3/1/2010 | -7.13 | 2.71 | 3.12% | 3.86% | 6.98 |
| Institutional Shares | 7/30/2010 | -7.11 | 2.74 | 3.08 | 2.88 | 5.96 |
48
Long-Term Government Bond Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 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 (99.4%) | | | |
| U.S. Government Securities (95.3%) | | | | |
| United States Treasury Note/Bond | 6.375% | 8/15/27 | 490 | 678 |
| United States Treasury Note/Bond | 6.125% | 11/15/27 | 3,278 | 4,484 |
| United States Treasury Note/Bond | 5.500% | 8/15/28 | 10,004 | 13,263 |
| United States Treasury Note/Bond | 5.250% | 11/15/28 | 7,749 | 10,122 |
| United States Treasury Note/Bond | 5.250% | 2/15/29 | 5,937 | 7,782 |
| United States Treasury Note/Bond | 6.125% | 8/15/29 | 4,285 | 6,050 |
| United States Treasury Note/Bond | 6.250% | 5/15/30 | 7,518 | 10,869 |
| United States Treasury Note/Bond | 5.375% | 2/15/31 | 14,555 | 19,870 |
| United States Treasury Note/Bond | 4.500% | 2/15/36 | 2,961 | 3,897 |
| United States Treasury Note/Bond | 4.750% | 2/15/37 | 7,626 | 10,367 |
| United States Treasury Note/Bond | 5.000% | 5/15/37 | 2,200 | 3,077 |
| United States Treasury Note/Bond | 4.375% | 2/15/38 | 7,039 | 9,155 |
| United States Treasury Note/Bond | 4.500% | 5/15/38 | 8,365 | 11,058 |
| United States Treasury Note/Bond | 3.500% | 2/15/39 | 14,106 | 16,306 |
| United States Treasury Note/Bond | 4.250% | 5/15/39 | 13,698 | 17,546 |
| United States Treasury Note/Bond | 4.500% | 8/15/39 | 14,709 | 19,469 |
| United States Treasury Note/Bond | 4.375% | 11/15/39 | 17,181 | 22,389 |
| United States Treasury Note/Bond | 4.625% | 2/15/40 | 23,935 | 32,264 |
| United States Treasury Note/Bond | 4.375% | 5/15/40 | 18,331 | 23,919 |
| United States Treasury Note/Bond | 3.875% | 8/15/40 | 16,458 | 20,048 |
| United States Treasury Note/Bond | 4.250% | 11/15/40 | 17,096 | 21,974 |
| United States Treasury Note/Bond | 4.750% | 2/15/41 | 16,968 | 23,347 |
| United States Treasury Note/Bond | 4.375% | 5/15/41 | 11,610 | 15,209 |
| United States Treasury Note/Bond | 3.750% | 8/15/41 | 15,988 | 19,161 |
| United States Treasury Note/Bond | 3.125% | 11/15/41 | 6,656 | 7,222 |
| United States Treasury Note/Bond | 3.125% | 2/15/42 | 16,866 | 18,294 |
| United States Treasury Note/Bond | 3.000% | 5/15/42 | 12,537 | 13,301 |
| United States Treasury Note/Bond | 2.750% | 8/15/42 | 25,319 | 25,659 |
| United States Treasury Note/Bond | 2.750% | 11/15/42 | 33,729 | 34,145 |
| United States Treasury Note/Bond | 3.125% | 2/15/43 | 31,599 | 34,171 |
| United States Treasury Note/Bond | 2.875% | 5/15/43 | 35,111 | 36,296 |
| United States Treasury Note/Bond | 3.625% | 8/15/43 | 28,922 | 34,020 |
| United States Treasury Note/Bond | 3.750% | 11/15/43 | 30,944 | 37,181 |
| United States Treasury Note/Bond | 3.625% | 2/15/44 | 45,961 | 54,162 |
| United States Treasury Note/Bond | 3.375% | 5/15/44 | 41,153 | 46,528 |
| United States Treasury Note/Bond | 3.125% | 8/15/44 | 49,363 | 53,412 |
49
| | | | |
| Long-Term Government Bond Index Fund | | | | |
| |
| |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value • |
| | Coupon | Date | ($000) | ($000) |
| United States Treasury Note/Bond | 3.000% | 11/15/44 | 34,025 | 35,971 |
| United States Treasury Note/Bond | 2.500% | 2/15/45 | 32,739 | 31,337 |
| United States Treasury Note/Bond | 3.000% | 5/15/45 | 37,363 | 39,459 |
| United States Treasury Note/Bond | 2.875% | 8/15/45 | 39,155 | 40,348 |
| United States Treasury Note/Bond | 3.000% | 11/15/45 | 41,796 | 44,094 |
| United States Treasury Note/Bond | 2.500% | 2/15/46 | 52,687 | 50,283 |
| United States Treasury Note/Bond | 2.500% | 5/15/46 | 36,932 | 35,230 |
| United States Treasury Note/Bond | 2.250% | 8/15/46 | 29,942 | 27,032 |
| United States Treasury Note/Bond | 2.875% | 11/15/46 | 42,492 | 43,741 |
| United States Treasury Note/Bond | 3.000% | 2/15/47 | 41,893 | 44,204 |
| United States Treasury Note/Bond | 3.000% | 5/15/47 | 27,748 | 29,296 |
| United States Treasury Note/Bond | 2.750% | 8/15/47 | 15,000 | 15,068 |
| | | | | 1,172,758 |
| Agency Bonds and Notes (4.1%) | | | | |
| 1 AID-Israel | 5.500% | 9/18/33 | 150 | 203 |
| 2 Federal Home Loan Banks | 5.500% | 7/15/36 | 1,820 | 2,495 |
| 3 Federal Home Loan Mortgage Corp. | 6.750% | 9/15/29 | 913 | 1,309 |
| 3 Federal Home Loan Mortgage Corp. | 6.750% | 3/15/31 | 3,090 | 4,540 |
| 3 Federal Home Loan Mortgage Corp. | 6.250% | 7/15/32 | 4,796 | 6,905 |
| 3 Federal National Mortgage Assn. | 6.250% | 5/15/29 | 1,700 | 2,339 |
| 3 Federal National Mortgage Assn. | 7.125% | 1/15/30 | 1,730 | 2,560 |
| 3 Federal National Mortgage Assn. | 7.250% | 5/15/30 | 3,835 | 5,769 |
| 3 Federal National Mortgage Assn. | 6.625% | 11/15/30 | 5,875 | 8,502 |
| 3 Federal National Mortgage Assn. | 5.625% | 7/15/37 | 675 | 941 |
| 3 Federal National Mortgage Assn. | 6.210% | 8/6/38 | 300 | 442 |
| 2 Tennessee Valley Authority | 7.125% | 5/1/30 | 650 | 962 |
| 2 Tennessee Valley Authority | 4.700% | 7/15/33 | 100 | 121 |
| 2 Tennessee Valley Authority | 4.650% | 6/15/35 | 575 | 703 |
| 2 Tennessee Valley Authority | 5.880% | 4/1/36 | 2,340 | 3,254 |
| 2 Tennessee Valley Authority | 6.150% | 1/15/38 | 665 | 963 |
| 2 Tennessee Valley Authority | 5.500% | 6/15/38 | 586 | 790 |
| 2 Tennessee Valley Authority | 5.250% | 9/15/39 | 3,120 | 4,169 |
| 2 Tennessee Valley Authority | 4.875% | 1/15/48 | 245 | 315 |
| 2 Tennessee Valley Authority | 5.375% | 4/1/56 | 815 | 1,142 |
| 2 Tennessee Valley Authority | 4.625% | 9/15/60 | 850 | 1,065 |
| 2 Tennessee Valley Authority | 4.250% | 9/15/65 | 600 | 703 |
| | | | | 50,192 |
| Total U.S. Government and Agency Obligations (Cost $1,221,498) | | | 1,222,950 |
| |
| |
| | | | Shares | |
| Temporary Cash Investment (0.8%) | | | | |
| Money Market Fund (0.8%) | | | | |
| 4 Vanguard Market Liquidity Fund | | | | |
| (Cost $9,166) | 1.224% | | 91,635 | 9,166 |
| Total Investments (100.2%) (Cost $1,230,664) | | | | 1,232,116 |
50
| |
| Long-Term Government Bond Index Fund | |
| |
| |
| |
| |
| | Amount |
| | ($000) |
| Other Assets and Liabilities (-0.2%) | |
| Other Assets | |
| Investment in Vanguard | 74 |
| Receivables for Investment Securities Sold | 9,812 |
| Receivables for Accrued Income | 6,463 |
| Receivables for Capital Shares Issued | 658 |
| Total Other Assets | 17,007 |
| Liabilities | |
| Payables for Investment Securities Purchased | (15,062) |
| Payables for Capital Shares Redeemed | (3,674) |
| Payables for Distributions | (147) |
| Payables to Vanguard | (276) |
| Other Liabilities | (37) |
| Total Liabilities | (19,196) |
| Net Assets (100%) | 1,229,927 |
| |
| |
| At August 31, 2017, net assets consisted of: | |
| | Amount |
| | ($000) |
| Paid-in Capital | 1,249,970 |
| Undistributed Net Investment Income | 1,297 |
| Accumulated Net Realized Losses | (22,792) |
| Unrealized Appreciation (Depreciation) | 1,452 |
| Net Assets | 1,229,927 |
| |
| |
| ETF Shares—Net Assets | |
| Applicable to 6,966,003 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 548,626 |
| Net Asset Value Per Share—ETF Shares | $78.76 |
| |
| |
| Admiral Shares—Net Assets | |
| Applicable to 17,698,074 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 467,930 |
| Net Asset Value Per Share—Admiral Shares | $26.44 |
51
| |
| Long-Term Government Bond Index Fund | |
| |
| |
| |
| | Amount |
| | ($000) |
| Institutional Shares—Net Assets | |
| Applicable to 6,358,546 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 213,371 |
| Net Asset Value Per Share—Institutional Shares | $33.56 |
• See Note A in Notes to Financial Statements.
1 U.S. government-guaranteed.
2 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the
full faith and credit of the U.S. government.
3 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the
Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange
for senior preferred stock.
4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
52
| |
| Long-Term Government Bond Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Year Ended |
| | August31,2017 |
| | ($000) |
| Investment Income | |
| Income | |
| Interest1 | 27,938 |
| Total Income | 27,938 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 33 |
| Management and Administrative—ETF Shares | 227 |
| Management and Administrative—Admiral Shares | 174 |
| Management and Administrative—Institutional Shares | 59 |
| Marketing and Distribution—ETF Shares | 34 |
| Marketing and Distribution—Admiral Shares | 36 |
| Marketing and Distribution—Institutional Shares | 9 |
| Custodian Fees | 8 |
| Auditing Fees | 49 |
| Shareholders’ Reports and Proxy—ETF Shares | 43 |
| Shareholders’ Reports and Proxy—Admiral Shares | 16 |
| Shareholders’ Reports and Proxy—Institutional Shares | — |
| Trustees’ Fees and Expenses | 1 |
| Total Expenses | 689 |
| Net Investment Income | 27,249 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | (615) |
| Futures Contracts | 51 |
| Realized Net Gain (Loss)�� | (564) |
| Change in Unrealized Appreciation (Depreciation) of Investment Securities | (82,295) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (55,610) |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $19,000 and $0, respectively.
See accompanying Notes, which are an integral part of the Financial Statements.
53
| | |
| Long-Term Government Bond Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Year Ended August 31, |
| | 2017 | 2016 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 27,249 | 20,744 |
| Realized Net Gain (Loss) | (564) | 25,043 |
| Change in Unrealized Appreciation (Depreciation) | (82,295) | 81,087 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (55,610) | 126,874 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (13,190) | (11,086) |
| Admiral Shares | (9,591) | (5,615) |
| Institutional Shares | (4,367) | (3,463) |
| Realized Capital Gain | | |
| ETF Shares | — | — |
| Admiral Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (27,148) | (20,164) |
| Capital Share Transactions | | |
| ETF Shares | 20,982 | 266,095 |
| Admiral Shares | 118,161 | 215,021 |
| Institutional Shares | 83,424 | (33,186) |
| Net Increase (Decrease) from Capital Share Transactions | 222,567 | 447,930 |
| Total Increase (Decrease) | 139,809 | 554,640 |
| Net Assets | | |
| Beginning of Period | 1,090,118 | 535,478 |
| End of Period1 | 1,229,927 | 1,090,118 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $1,297,000 and $1,196,000.
See accompanying Notes, which are an integral part of the Financial Statements.
54
| | | | | |
| Long-Term Government Bond Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| ETF Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $85.64 | $75.13 | $73.93 | $66.33 | $78.69 |
| Investment Operations | | | | | |
| Net Investment Income | 2.0061 | 2.021 | 2.073 | 2.100 | 2.055 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (6.905) | 10.511 | 1.206 | 7.429 | (12.216) |
| Total from Investment Operations | (4.899) | 12.532 | 3.279 | 9.529 | (10.161) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (1.981) | (2.022) | (2.079) | (1.929) | (2.056) |
| Distributions from Realized Capital Gains | — | — | — | — | (.143) |
| Total Distributions | (1.981) | (2.022) | (2.079) | (1.929) | (2.199) |
| Net Asset Value, End of Period | $78.76 | $85.64 | $75.13 | $73.93 | $66.33 |
| |
| Total Return | -5.63% | 16.96% | 4.44% | 14.65% | -13.13% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $549 | $578 | $252 | $107 | $63 |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 2.62% | 2.58% | 2.76% | 3.17% | 2.80% |
| Portfolio Turnover Rate2 | 19% | 18% | 24% | 23% | 54% |
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.
55
| | | | | |
| Long-Term Government Bond Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| Admiral Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $28.75 | $25.21 | $24.81 | $22.32 | $26.48 |
| Investment Operations | | | | | |
| Net Investment Income | . 6761 | .679 | .698 | .711 | .693 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (2.319) | 3.540 | .399 | 2.491 | (4.112) |
| Total from Investment Operations | (1.643) | 4.219 | 1.097 | 3.202 | (3.419) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (.667) | (.679) | (.697) | (.712) | (.693) |
| Distributions from Realized Capital Gains | — | — | — | — | (.048) |
| Total Distributions | (.667) | (.679) | (.697) | (.712) | (.741) |
| Net Asset Value, End of Period | $26.44 | $28.75 | $25.21 | $24.81 | $22.32 |
| |
| Total Return2 | -5.62% | 16.97% | 4.40% | 14.63% | -13.13% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $468 | $374 | $130 | $44 | $6 |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 2.62% | 2.58% | 2.76% | 3.17% | 2.80% |
| Portfolio Turnover Rate3 | 19% | 18% | 24% | 23% | 54% |
Signal Shares were renamed Admiral Shares in October 2013. Prior periods’ Financial Highlights are for the Signal class.
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 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.
56
| | | | | |
| Long-Term Government Bond Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| Institutional Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $36.49 | $32.00 | $31.48 | $28.32 | $33.60 |
| Investment Operations | | | | | |
| Net Investment Income | . 8651 | .868 | .896 | .910 | .890 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (2.942) | 4.492 | .517 | 3.161 | (5.219) |
| Total from Investment Operations | (2.077) | 5.360 | 1.413 | 4.071 | (4.329) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (. 853) | (. 870) | (. 893) | (. 911) | (. 890) |
| Distributions from Realized Capital Gains | — | — | — | — | (.061) |
| Total Distributions | (. 853) | (. 870) | (. 893) | (. 911) | (. 951) |
| Net Asset Value, End of Period | $33.56 | $36.49 | $32.00 | $31.48 | $28.32 |
| |
| Total Return | -5.60% | 16.99% | 4.47% | 14.66% | -13.10% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $213 | $138 | $154 | $95 | $37 |
| Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.07% | 0.09% | 0.09% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 2.64% | 2.60% | 2.79% | 3.20% | 2.83% |
| Portfolio Turnover Rate2 | 19% | 18% | 24% | 23% | 54% |
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.
57
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 notional amount of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2017, the fund’s average investments in long and short futures contracts each represented 0% of net assets, based on the average of the notional amounts at each quarter-end during the period. The fund had no open futures contracts at August 31, 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, 2014–2017), 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.
58
Long-Term Government Bond Index Fund
5. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 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 August 31, 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), shareholder reporting, and the proxy. 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 August 31, 2017, the fund had contributed to Vanguard capital in the amount of $74,000, 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.
59
Long-Term Government Bond Index Fund
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of August 31, 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 | — | 1,222,950 | — |
| Temporary Cash Investments | 9,166 | — | — |
| Total | 9,166 | 1,222,950 | — |
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 year ended August 31, 2017, the fund realized $11,736,000 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.
For tax purposes, at August 31, 2017, the fund had $1,680,000 of ordinary income available for distribution. The fund had available capital losses totaling $22,792,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2017, the cost of investment securities for tax purposes was $1,230,664,000.
Net unrealized appreciation of investment securities for tax purposes was $1,452,000, consisting of unrealized gains of $13,088,000 on securities that had risen in value since their purchase and $11,636,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2017, the fund purchased $894,037,000 of investment securities and sold $667,133,000 of investment securities, other than temporary cash investments. Purchases and sales include $602,875,000 and $467,932,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
60
Long-Term Government Bond Index Fund
| | | | |
| F. Capital share transactions for each class of shares were: | | | |
| | | | Year Ended August 31, |
| | | 2017 | | 2016 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 494,338 | 6,411 | 471,835 | 5,903 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (473,356) | (6,200) | (205,740) | (2,500) |
| Net Increase (Decrease)—ETF Shares | 20,982 | 211 | 266,095 | 3,403 |
| Admiral Shares | | | | |
| Issued | 322,560 | 12,713 | 306,304 | 11,244 |
| Issued in Lieu of Cash Distributions | 8,434 | 327 | 5,157 | 190 |
| Redeemed | (212,833) | (8,355) | (96,440) | (3,572) |
| Net Increase (Decrease)—Admiral Shares | 118,161 | 4,685 | 215,021 | 7,862 |
| Institutional Shares | | | | |
| Issued | 96,263 | 2,986 | 29,337 | 869 |
| Issued in Lieu of Cash Distributions | 4,367 | 134 | 3,462 | 102 |
| Redeemed | (17,206) | (530) | (65,985) | (2,007) |
| Net Increase (Decrease)—Institutional Shares | 83,424 | 2,590 | (33,186) | (1,036) |
G. Management has determined that no material events or transactions occurred subsequent to August 31, 2017, that would require recognition or disclosure in these financial statements.
61
Short-Term Corporate Bond Index Fund
Fund Profile
As of August 31, 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 | 2.12% | 2.12% | 2.13% |
| | |
| Volatility Measures | | |
| | Bloomberg | |
| | Barclays | Bloomberg |
| | 1–5 Year | Barclays |
| | Corporate | Aggregate |
| | Index | FA Index |
| R-Squared | 0.99 | 0.74 |
| Beta | 1.00 | 0.43 |
| | | |
| Financial Attributes | | |
| |
| | | Bloomberg | |
| | | Barclays | Bloomberg |
| | | 1–5 Year | Barclays |
| | | Corporate | Aggregate |
| | Fund | Index | FA Index |
| |
| Number of Bonds | 2,102 | 2,019 | 9,397 |
| |
| Yield to Maturity | | | |
| (before expenses) | 2.1% | 2.2% | 2.4% |
| |
| Average Coupon | 3.2% | 3.4% | 3.0% |
| |
| Average Duration | 2.8 years | 2.8 years | 6.1 years |
| |
| Average Effective | | | |
| Maturity | 3.0 years | 3.0 years | 8.2 years |
| |
| Short-Term | | | |
| Reserves | 0.3% | — | — |
| |
| Sector Diversification (% of portfolio) | |
| Finance | 40.6% |
| Industrial | 54.4 |
| Treasury/Agency | 0.6 |
| Utilities | 4.4 |
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.
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 | 48.8 |
| 3 - 5 Years | 50.5 |
| |
| Distribution by Credit Quality (% of portfolio) |
| U.S. Government | 0.6% |
| Aaa | 1.4 |
| Aa | 12.6 |
| A | 41.5 |
| Baa | 43.9 |
Credit-quality ratings are obtained from Barclays and are from
Moody's, Fitch, and S&P. When ratings from all three agencies are
used, the median rating is shown. When ratings from two of the
agencies are used, the lower rating for each issue is shown. "Not
Rated" is used to classify securities for which a rating is not
available. For more information about these ratings, see the
Glossary entry for Credit Quality.
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 fiscal year ended August 31, 2017, the expense ratios were 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares.
62
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.
Cumulative Performance: November 19, 2009, Through August 31, 2017
Initial Investment of $10,000
| | | | | |
| | | Average Annual Total Returns | |
| | | Periods Ended August 31, 2017 | |
| |
| | | | | Since | Final Value |
| | | One | Five | Inception | of a $10,000 |
| | | Year | Years | (11/19/2009) | Investment |
| |
| | Short-Term Corporate Bond Index Fund | | | | |
| | ETF Shares Net Asset Value | 1.84% | 2.20% | 3.07% | $12,656 |
| | Short-Term Corporate Bond Index Fund | | | | |
| | ETF Shares Market Price | 1.75 | 2.15 | 3.09 | 12,668 |
| | Bloomberg Barclays U.S. 1–5 Year | | | | |
| • • • • • • • • | | | | | |
| | Corporate Bond Index | 2.03 | 2.35 | 3.29 | 12,864 |
| |
| – – –– | Short-Intermediate Investment-Grade | | | | |
| | Debt Funds Average | 1.28 | 1.38 | 2.51 | 12,130 |
| | Spliced Bloomberg Barclays U.S. | | | | |
| | Aggregate Float Adjusted Index | 0.46 | 2.20 | 3.64 | 13,206 |
For a benchmark description, see the Glossary.
Short-Intermediate Investment-Grade Debt Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
63
Short-Term Corporate Bond Index Fund
| | | | |
| | Average Annual Total Returns | |
| | Periods Ended August 31, 2017 | |
| |
| | | | Since | Final Value |
| | One | Five | Inception | of a $10,000 |
| | Year | Years | (11/18/2010) | Investment |
| Short-Term Corporate Bond Index Fund | | | | |
| Admiral Shares | 1.83% | 2.19% | 2.64% | $11,935 |
| Bloomberg Barclays U.S. 1–5 Year | | | | |
| Corporate Bond Index | 2.03 | 2.35 | 2.82 | 12,073 |
| Bloomberg Barclays U.S. Aggregate Float | | | | |
| Adjusted Index | 0.46 | 2.20 | 3.23 | 12,404 |
"Since Inception" performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative standards.
| | | | |
| | | | Since | Final Value |
| | One | Five | Inception | of a $5,000,000 |
| | Year | Years | (11/19/2009) | Investment |
| Short-Term Corporate Bond Index Fund | | | | |
| Institutional Shares | 1.84% | 2.22% | 3.11% | $6,343,399 |
| Bloomberg Barclays U.S. 1–5 Year | | | | |
| Corporate Bond Index | 2.03 | 2.35 | 3.29 | 6,431,810 |
| Spliced Bloomberg Barclays U.S. Aggregate | | | | |
| Float Adjusted Index | 0.46 | 2.20 | 3.64 | 6,602,854 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
| | | |
| Cumulative Returns of ETF Shares: November 19, 2009, Through August 31, 2017 | |
| |
| | | | Since |
| | One | Five | Inception |
| | Year | Years | (11/19/2009) |
| Short-Term Corporate Bond Index Fund ETF Shares | | | |
| Market Price | 1.75% | 11.21% | 26.68% |
| Short-Term Corporate Bond Index Fund ETF Shares | | | |
| Net Asset Value | 1.84 | 11.49 | 26.56 |
| Bloomberg Barclays U.S. 1–5 Year Corporate Bond | | | |
| Index | 2.03 | 12.34 | 28.64 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
64
Short-Term Corporate Bond Index Fund
| | |
| Fiscal-Year Total Returns (%): November 19, 2009, Through August 31, 2017 | |
| | | Bloomberg |
| | | Barclays |
| | | 1–5 Year |
| | | Corporate |
| | ETF Shares Net Asset Value | Index |
| Fiscal Year | Total Returns | Total Returns |
| 2010 | 5.34% | 5.61% |
| 2011 | 2.94 | 3.45 |
| 2012 | 4.68 | 4.81 |
| 2013 | 1.03 | 1.29 |
| 2014 | 3.50 | 3.67 |
| 2015 | 0.96 | 1.03 |
| 2016 | 3.71 | 3.78 |
| 2017 | 1.84 | 2.03 |
Average Annual Total Returns: Periods Ended June 30, 2017
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 | | 1.13% | 2.30% | | | 3.05% |
| Net Asset Value | | 1.35 | 2.36 | | | 3.03 |
| Admiral Shares | 11/18/2010 | 1.38 | 2.36 | 2.10% | 0.49% | 2.59 |
| Institutional Shares | 11/19/2009 | 1.35 | 2.38 | 2.15 | 0.91 | 3.06 |
65
Short-Term Corporate Bond Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of August 31, 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 | 1.500% | 8/15/20 | 62,835 | 62,962 | 0.3% |
| | United States Treasury | | | | | |
| | Note/Bond | 1.625% | 8/31/22 | 61,100 | 60,861 | 0.2% |
| | U.S. Government Securities—Other † | | | 21,896 | 0.1% |
| Total U.S. Government and Agency Obligations (Cost $145,709) | | 145,719 | 0.6% |
| Corporate Bonds | | | | | |
| Finance | | | | | |
| | Banking | | | | | |
| | Associates Corp. of North | | | | |
| | America | 6.950% | 11/1/18 | 170 | 179 | 0.0% |
| | Bank of America Corp. | 2.600% | 1/15/19 | 59,560 | 60,144 | 0.2% |
| | Bank of America Corp. | 7.625% | 6/1/19 | 37,985 | 41,594 | 0.1% |
| 1 | Bank of America Corp. | 2.151%–6.875% | 9/1/17–7/21/23 | 359,590 | 373,791 | 1.4% |
| | Bank of America NA | 2.050% | 12/7/18 | 19,155 | 19,241 | 0.1% |
| | Citibank NA | 2.000%–2.100% | 3/20/19– 6/12/20 | 45,600 | 45,821 | 0.2% |
| | Citigroup Inc. | 2.700% | 3/30/21 | 44,913 | 45,470 | 0.2% |
| | Citigroup Inc. | 2.900% | 12/8/21 | 42,271 | 43,029 | 0.2% |
| 1 | Citigroup Inc. | 2.050%–8.500% | 9/26/18–7/24/23 | 345,389 | 351,753 | 1.4% |
| | Deutsche Bank AG | 4.250% | 10/14/21 | 46,100 | 48,643 | 0.2% |
| | Goldman Sachs Group | | | | | |
| | Inc. | 5.750% | 1/24/22 | 66,886 | 75,397 | 0.3% |
| | Goldman Sachs Group | | | | | |
| | Inc. | 3.000% | 4/26/22 | 58,450 | 59,408 | 0.2% |
| | Goldman Sachs Group | | | | | |
| | Inc. | 5.250% | 7/27/21 | 48,871 | 53,795 | 0.2% |
| | Goldman Sachs Group | | | | | |
| | Inc. | 7.500% | 2/15/19 | 43,698 | 47,138 | 0.2% |
66
| | | | | | |
| Short-Term Corporate Bond Index Fund | | | | |
| |
| |
| |
| | | | | Face | Market | Percentage |
| | | | Maturity | Amount | Value • | of Net |
| | | Coupon | Date | ($000) | ($000) | Assets |
| 1 Goldman Sachs Group | | | | | | |
| Inc. | 1.950%–6.000% | 1/31/19–7/24/23 | 367,181 | 373,921 | 1.4% |
| HSBC Bank USA NA | | 4.875% | 8/24/20 | 12,561 | 13,517 | 0.1% |
| HSBC Holdings plc | | 2.650% | 1/5/22 | 48,855 | 49,139 | 0.2% |
| 1 HSBC Holdings plc | | 3.262% | 3/13/23 | 41,812 | 42,847 | 0.2% |
| HSBC Holdings plc | 2.950%–5.100% | 3/8/21–3/30/22 | 126,957 | 133,819 | 0.5% |
| HSBC USA Inc. | 1.700%–5.000% | 3/5/18–9/27/20 | 110,267 | 111,930 | 0.4% |
| JPMorgan Chase & Co. | | 2.250% | 1/23/20 | 61,749 | 62,236 | 0.2% |
| JPMorgan Chase & Co. | | 4.500% | 1/24/22 | 46,597 | 50,594 | 0.2% |
| JPMorgan Chase & Co. | | 2.295% | 8/15/21 | 46,161 | 46,282 | 0.2% |
| JPMorgan Chase & Co. | | 4.250% | 10/15/20 | 41,243 | 43,911 | 0.2% |
| JPMorgan Chase & Co. | | 2.750% | 6/23/20 | 42,495 | 43,381 | 0.2% |
| JPMorgan Chase & Co. | | 2.550% | 3/1/21 | 41,171 | 41,594 | 0.1% |
| 1 JPMorgan Chase & Co. | 1.850%–6.300% | 1/28/19–4/25/23 | 266,351 | 277,023 | 1.1% |
| JPMorgan Chase | | | | | | |
| Bank NA | 1.450%–1.650% | 9/21/18–9/23/19 | 17,107 | 17,077 | 0.1% |
| Mitsubishi UFJ Financial | | | | | | |
| Group Inc. | | 2.950% | 3/1/21 | 42,862 | 43,751 | 0.2% |
| Morgan Stanley | | 2.750% | 5/19/22 | 61,400 | 61,790 | 0.2% |
| Morgan Stanley | | 2.625% | 11/17/21 | 53,376 | 53,735 | 0.2% |
| Morgan Stanley | | 2.650% | 1/27/20 | 48,261 | 49,024 | 0.2% |
| Morgan Stanley | | 2.500% | 4/21/21 | 45,105 | 45,330 | 0.2% |
| Morgan Stanley | | 5.625% | 9/23/19 | 42,234 | 45,268 | 0.2% |
| Morgan Stanley | 2.200%–7.300% | 12/7/18–7/28/21 | 250,688 | 262,855 | 1.0% |
| UBS AG | | 2.375% | 8/14/19 | 45,512 | 45,978 | 0.2% |
| Wells Fargo & Co. | | 2.625% | 7/22/22 | 49,750 | 49,999 | 0.2% |
| Wells Fargo & Co. | | 2.100% | 7/26/21 | 45,575 | 45,330 | 0.2% |
| Wells Fargo & Co. | | 2.600% | 7/22/20 | 41,781 | 42,432 | 0.2% |
| Wells Fargo & Co. | 2.125%–4.600% | 1/15/19–3/8/22 | 229,377 | 235,087 | 0.9% |
| Wells Fargo Bank NA | 1.750%–2.150% | 11/28/18–12/6/19 | 70,891 | 71,096 | 0.3% |
| 2 Banking—Other † | | | | | 4,783,721 | 18.7% |
| Brokerage † | | | | | 189,303 | 0.8% |
| Finance Companies | | | | | | |
| GE Capital International | | | | | | |
| Funding Co. | | 2.342% | 11/15/20 | 86,650 | 87,295 | 0.3% |
| HSBC Finance Corp. | | 6.676% | 1/15/21 | 38,190 | 43,352 | 0.2% |
| 2 Finance Companies—Other † | | | | 295,715 | 1.2% |
| Insurance † | | | | | 760,506 | 3.0% |
| Other Finance † | | | | | 10,202 | 0.0% |
| Real Estate Investment Trusts † | | | 495,017 | 1.9% |
| | | | | | 10,289,460 | 40.3% |
| Industrial | | | | | | |
| Basic Industry † | | | | | 675,781 | 2.6% |
| Capital Goods † | | | | | 1,209,629 | 4.7% |
| Communication | | | | | | |
| AT&T Inc. | | 2.450% | 6/30/20 | 41,735 | 42,087 | 0.2% |
| AT&T Inc. | 2.300%–5.875% | 11/27/18–2/14/23 | 299,353 | 310,642 | 1.2% |
| Charter Communications | | | | | | |
| Operating LLC / Charter | | | | | | |
| Communications | | | | | | |
| Operating Capital | | 4.464% | 7/23/22 | 39,687 | 41,850 | 0.1% |
| Verizon Communications Inc. | 4.500% | 9/15/20 | 49,575 | 53,181 | 0.2% |
| Communication—Other † | | | | | 1,217,608 | 4.8% |
67
| | | | | | | |
| 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 | 884 | 0.0% |
| Ford Motor Credit | | | | | | | |
| Co. LLC | | 1.897%–8.125% | 10/1/18–8/3/22 | 302,519 | 310,546 | 1.2% |
| General Motors Co. | | | 3.500% | 10/2/18 | 18,303 | 18,603 | 0.1% |
| General Motors Financial | | | | | | |
| Co. Inc. | 2.350%–4.375% | 1/15/19–6/30/22 | 248,759 | 254,304 | 1.0% |
| Visa Inc. | | | 2.200% | 12/14/20 | 46,900 | 47,374 | 0.2% |
| 2 Consumer Cyclical—Other † | | | | 1,357,972 | 5.3% |
| Consumer Noncyclical | | | | | | |
| Abbott Laboratories | | | 2.900% | 11/30/21 | 48,110 | 48,845 | 0.2% |
| Abbott Laboratories | | | 2.350% | 11/22/19 | 42,880 | 43,268 | 0.2% |
| AbbVie Inc. | | | 2.500% | 5/14/20 | 54,980 | 55,667 | 0.2% |
| Allergan Funding SCS | | 3.000% | 3/12/20 | 47,470 | 48,298 | 0.2% |
| Anheuser-Busch Cos. LLC | | 5.000% | 3/1/19 | 6,406 | 6,718 | 0.0% |
| Anheuser-Busch InBev | | | | | | |
| Finance Inc. | | | 2.650% | 2/1/21 | 107,927 | 110,127 | 0.4% |
| Anheuser-Busch InBev | | | | | | |
| Finance Inc. | | | 1.900% | 2/1/19 | 63,914 | 64,126 | 0.2% |
| Anheuser-Busch InBev | | | | | | |
| Finance Inc. | | | 2.150% | 2/1/19 | 23,623 | 23,789 | 0.1% |
| Anheuser-Busch InBev | | | | | | |
| Worldwide Inc. | | 2.500%–7.750% | 1/15/19–7/15/22 | 164,062 | 174,175 | 0.7% |
| 2 Anheuser-Busch North | | | | | | |
| American Holding Corp. | | 3.750% | 1/15/22 | 750 | 797 | 0.0% |
| Novartis Securities | | | | | | | |
| Investment Ltd. | | | 5.125% | 2/10/19 | 40,923 | 42,927 | 0.2% |
| Shire Acquisitions | | | | | | | |
| Investments Ireland DAC | | 2.400% | 9/23/21 | 45,865 | 45,561 | 0.2% |
| Shire Acquisitions | | | | | | | |
| Investments Ireland DAC | | 1.900% | 9/23/19 | 45,231 | 45,069 | 0.2% |
| 2 Consumer Noncyclical—Other † | | | | 3,145,920 | 12.3% |
| Energy † | | | | | | 1,885,034 | 7.4% |
| Other Industrial † | | | | | | 17,973 | 0.1% |
| Technology | | | | | | | |
| Apple Inc. | | | 2.250% | 2/23/21 | 45,420 | 45,894 | 0.2% |
| Apple Inc. | | 1.100%–2.850% | 2/8/19–5/13/22 | 251,728 | 254,013 | 1.0% |
| 2 Broadcom Corp. / | | | | | | | |
| Broadcom Cayman | | | | | | | |
| Finance Ltd. | | | 3.000% | 1/15/22 | 50,217 | 50,907 | 0.2% |
| 2 Diamond 1 Finance Corp. / | | | | | |
| Diamond 2 Finance Corp. | 4.420% | 6/15/21 | 63,242 | 66,337 | 0.2% |
| 2 Diamond 1 Finance Corp. / | | | | | |
| Diamond 2 Finance Corp. | 3.480% | 6/1/19 | 51,957 | 52,860 | 0.2% |
| Hewlett Packard Enterprise | | | | | |
| Co. | | | 3.600% | 10/15/20 | 45,136 | 46,831 | 0.2% |
| Microsoft Corp. | 1.100%–4.200% | 11/3/18–2/12/22 | 266,573 | 268,462 | 1.0% |
| Oracle Corp. | | | 1.900% | 9/15/21 | 55,404 | 55,261 | 0.2% |
| 2 Technology—Other † | | | | | 1,371,168 | 5.4% |
| Transportation † | | | | | | 300,762 | 1.2% |
| | | | | | | 13,811,250 | 54.0% |
68
| | | | |
| Short-Term Corporate Bond Index Fund | | | | |
| |
| |
| |
| | | | Market | Percentage |
| | | | Value• | of Net |
| | | | ($000) | Assets |
| Utilities | | | | |
| Electric † | | | 1,046,163 | 4.1% |
| Natural Gas † | | | 55,797 | 0.2% |
| Other Utility † | | | 3,116 | 0.0% |
| | | | 1,105,076 | 4.3% |
| Total Corporate Bonds (Cost $25,032,115) | | | 25,205,786 | 98.6% |
| Taxable Municipal Bonds (Cost $10,708) † | | | 10,662 | 0.0% |
| |
| | Coupon | Shares | | |
| Temporary Cash Investment | | | | |
| Money Market Fund | | | | |
| 3 Vanguard Market Liquidity Fund | | | | |
| (Cost $63,952) | 1.224% | 639,428 | 63,956 | 0.3% |
| Total Investments (Cost $25,252,484) | | | 25,426,123 | 99.5% |
| |
| | | | Amount | |
| | | | ($000) | |
| Other Assets and Liabilities | | | | |
| Other Assets | | | | |
| Investment in Vanguard | | | 1,573 | |
| Receivables for Investment Securities Sold | | | 414,417 | |
| Receivables for Accrued Income | | | 207,833 | |
| Receivables for Capital Shares Issued | | | 7,523 | |
| Variation Margin Receivable – Futures Contracts | | | 34 | |
| Other Assets 4 | | | 1,847 | |
| Total Other Assets | | | 633,227 | 2.5% |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | (489,795) | |
| Payables for Capital Shares Redeemed | | | (4,949) | |
| Payables for Distributions | | | (1,845) | |
| Payables to Vanguard | | | (4,932) | |
| Other Liabilities | | | (1,682) | |
| Total Liabilities | | | (503,203) | (2.0%) |
| Net Assets | | | 25,556,147 | 100.0% |
| |
| |
| At August 31, 2017, net assets consisted of: | | | | |
| | | | | Amount |
| | | | | ($000) |
| Paid-in Capital | | | | 25,356,850 |
| Undistributed Net Investment Income | | | | 38,876 |
| Accumulated Net Realized Losses | | | | (13,218) |
| Unrealized Appreciation (Depreciation) | | | | 173,639 |
| Net Assets | | | | 25,556,147 |
69
| |
| Short-Term Corporate Bond Index Fund | |
| |
| |
| |
| | Amount |
| | ($000) |
| ETF Shares—Net Assets | |
| Applicable to 259,971,328 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 20,861,973 |
| Net Asset Value Per Share—ETF Shares | $80.25 |
| |
| Admiral Shares—Net Assets | |
| Applicable to 145,759,667 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 3,179,669 |
| Net Asset Value Per Share—Admiral Shares | $21.81 |
| |
| Institutional Shares—Net Assets | |
| Applicable to 56,716,712 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 1,514,505 |
| Net Asset Value Per Share—Institutional Shares | $26.70 |
• See Note A in Notes to Financial Statements.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer,
represent 1% or less of net assets.
1 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and
prepayments or the possibility of the issue being called.
2 Certain of the fund’s securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold
in transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2017, the aggregate value of these
securities was $388,193,000, representing 1.5% 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 $1,846,000 has been segregated as initial margin for recently closed futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
70
| |
| Short-Term Corporate Bond Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Year Ended |
| | August31,2017 |
| | ($000) |
| Investment Income | |
| Income | |
| Interest1 | 478,273 |
| Total Income | 478,273 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 683 |
| Management and Administrative—ETF Shares | 9,711 |
| Management and Administrative—Admiral Shares | 1,309 |
| Management and Administrative—Institutional Shares | 505 |
| Marketing and Distribution—ETF Shares | 947 |
| Marketing and Distribution—Admiral Shares | 242 |
| Marketing and Distribution—Institutional Shares | 60 |
| Custodian Fees | 109 |
| Auditing Fees | 46 |
| Shareholders’ Reports and Proxy—ETF Shares | 619 |
| Shareholders’ Reports and Proxy—Admiral Shares | 51 |
| Shareholders’ Reports and Proxy—Institutional Shares | 1 |
| Trustees’ Fees and Expenses | 14 |
| Total Expenses | 14,297 |
| Net Investment Income | 463,976 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 14,136 |
| Futures Contracts | (720) |
| Realized Net Gain (Loss) | 13,416 |
| Change in Unrealized Appreciation (Depreciation) of Investment Securities | (39,014) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 438,378 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $963,000 and $32,000, respectively.
See accompanying Notes, which are an integral part of the Financial Statements.
71
| | |
| Short-Term Corporate Bond Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Year Ended August 31, |
| | 2017 | 2016 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 463,976 | 297,082 |
| Realized Net Gain (Loss) | 13,416 | (18,790) |
| Change in Unrealized Appreciation (Depreciation) | (39,014) | 239,761 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 438,378 | 518,053 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (368,312) | (238,185) |
| Admiral Shares | (53,903) | (32,914) |
| Institutional Shares | (27,080) | (18,203) |
| Realized Capital Gain1 | | |
| ETF Shares | — | (8,713) |
| Admiral Shares | — | (1,082) |
| Institutional Shares | — | (649) |
| Total Distributions | (449,295) | (299,746) |
| Capital Share Transactions | | |
| ETF Shares | 6,749,919 | 3,563,464 |
| Admiral Shares | 1,222,309 | 711,799 |
| Institutional Shares | 495,280 | 261,911 |
| Net Increase (Decrease) from Capital Share Transactions | 8,467,508 | 4,537,174 |
| Total Increase (Decrease) | 8,456,591 | 4,755,481 |
| Net Assets | | |
| Beginning of Period | 17,099,556 | 12,344,075 |
| End of Period2 | 25,556,147 | 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 $38,876,000 and $24,195,000.
See accompanying Notes, which are an integral part of the Financial Statements.
72
| | | | | |
| Short-Term Corporate Bond Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| ETF Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $80.52 | $79.33 | $80.21 | $78.97 | $79.78 |
| Investment Operations | | | | | |
| Net Investment Income | 1.7681 | 1.661 | 1.504 | 1.436 | 1.523 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (.317) | 1.240 | (.743) | 1.305 | (.699) |
| Total from Investment Operations | 1.451 | 2.901 | .761 | 2.741 | .824 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (1.721) | (1.648) | (1.492) | (1.321) | (1.517) |
| Distributions from Realized Capital Gains | — | (. 063) | (.149) | (.180) | (.117) |
| Total Distributions | (1.721) | (1.711) | (1.641) | (1.501) | (1.634) |
| Net Asset Value, End of Period | $80.25 | $80.52 | $79.33 | $80.21 | $78.97 |
| |
| Total Return | 1.84% | 3.71% | 0.96% | 3.50% | 1.03% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $20,862 | $14,121 | $10,377 | $8,430 | $6,705 |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 2.21% | 2.11% | 1.90% | 1.82% | 1.92% |
| Portfolio Turnover Rate2 | 66% | 57% | 62% | 56% | 61% |
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.
73
| | | | | |
| Short-Term Corporate Bond Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| Admiral Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $21.89 | $21.57 | $21.81 | $21.51 | $21.73 |
| Investment Operations | | | | | |
| Net Investment Income | . 4811 | .451 | .409 | . 395 | .414 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (. 088) | . 337 | (.199) | . 347 | (.189) |
| Total from Investment Operations | .393 | .788 | .210 | .742 | .225 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (. 473) | (. 451) | (. 410) | (. 393) | (. 413) |
| Distributions from Realized Capital Gains | — | (. 017) | (. 040) | (. 049) | (. 032) |
| Total Distributions | (. 473) | (. 468) | (. 450) | (. 442) | (. 445) |
| Net Asset Value, End of Period | $21.81 | $21.89 | $21.57 | $21.81 | $21.51 |
| |
| Total Return2 | 1.83% | 3.70% | 0.97% | 3.47% | 1.03% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $3,180 | $1,959 | $1,222 | $821 | $76 |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 2.21% | 2.11% | 1.90% | 1.82% | 1.92% |
| Portfolio Turnover Rate 3 | 66% | 57% | 62% | 56% | 61% |
Signal Shares were renamed Admiral Shares in October 2013. Prior periods’ Financial Highlights are for the Signal Class. 1 Calculated based on average shares outstanding.
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.
74
| | | | | |
| Short-Term Corporate Bond Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| Institutional Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $26.80 | $26.41 | $26.71 | $26.33 | $26.60 |
| Investment Operations | | | | | |
| Net Investment Income | . 5941 | .558 | .509 | .491 | .516 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (.111) | . 413 | (. 249) | . 437 | (. 233) |
| Total from Investment Operations | .483 | .971 | . 260 | .928 | . 283 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (. 583) | (. 560) | (. 510) | (. 488) | (. 514) |
| Distributions from Realized Capital Gains | — | (. 021) | (. 050) | (. 060) | (. 039) |
| Total Distributions | (. 583) | (. 581) | (. 560) | (. 548) | (. 553) |
| Net Asset Value, End of Period | $26.70 | $26.80 | $26.41 | $26.71 | $26.33 |
| |
| Total Return2 | 1.84% | 3.72% | 0.98% | 3.55% | 1.06% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $1,515 | $1,020 | $745 | $634 | $262 |
| Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.07% | 0.09% | 0.09% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 2.23% | 2.13% | 1.93% | 1.85% | 1.95% |
| Portfolio Turnover Rate 3 | 66% | 57% | 62% | 56% | 61% |
1 Calculated based on average shares outstanding.
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.
75
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 notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2017, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, based on the average notional amounts at each quarter-end during the period. The fund had no open futures contracts at August 31, 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, 2014–2017), 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.
76
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 August 31, 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), shareholder reporting, and the proxy. 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 August 31, 2017, the fund had contributed to Vanguard capital in the amount of $1,573,000, representing 0.01% of the fund’s net assets and 0.63% 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.
77
Short-Term Corporate Bond Index Fund
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of August 31, 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 | — | 145,719 | — |
| Corporate Bonds | — | 25,205,786 | — |
| Taxable Municipal Bonds | — | 10,662 | — |
| Temporary Cash Investments | 63,956 | — | — |
| Futures Contracts—Assets1 | 34 | — | |
| Total | 63,990 | 25,362,167 | — |
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 year ended August 31, 2017, the fund realized $980,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
For tax purposes, at August 31, 2017, the fund had $44,867,000 of ordinary income available for distribution. The fund had available capital losses totaling $11,570,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2017, the cost of investment securities for tax purposes was $25,254,085,000. Net unrealized appreciation of investment securities for tax purposes was $172,038,000, consisting of unrealized gains of $186,176,000 on securities that had risen in value since their purchase and $14,138,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2017, the fund purchased $15,195,441,000 of investment securities and sold $6,662,928,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $7,290,661,000 and $7,212,232,000, respectively. Total purchases and sales include $6,685,774,000 and $131,817,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
78
Short-Term Corporate Bond Index Fund
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 year ended August 31, 2017, such purchases and sales were $4,242,876 and $230,824,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
| | | | |
| F. Capital share transactions for each class of shares were: | | | |
| | | | Year Ended August 31, |
| | | 2017 | | 2016 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 6,885,407 | 86,293 | 3,706,576 | 46,374 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (135,488) | (1,700) | (143,112) | (1,800) |
| Net Increase (Decrease)—ETF Shares | 6,749,919 | 84,593 | 3,563,464 | 44,574 |
| Admiral Shares | | | | |
| Issued | 2,266,859 | 104,397 | 1,294,752 | 59,705 |
| Issued in Lieu of Cash Distributions | 43,547 | 2,006 | 28,222 | 1,301 |
| Redeemed | (1,088,097) | (50,134) | (611,175) | (28,178) |
| Net Increase (Decrease)—Admiral Shares | 1,222,309 | 56,269 | 711,799 | 32,828 |
| Institutional Shares | | | | |
| Issued | 622,558 | 23,451 | 395,051 | 14,846 |
| Issued in Lieu of Cash Distributions | 20,932 | 788 | 15,170 | 571 |
| Redeemed | (148,210) | (5,579) | (148,310) | (5,567) |
| Net Increase (Decrease)—Institutional Shares | 495,280 | 18,660 | 261,911 | 9,850 |
G. Management has determined that no material events or transactions occurred subsequent to August 31, 2017, that would require recognition or disclosure in these financial statements.
79
Intermediate-Term Corporate Bond Index Fund
Fund Profile
As of August 31, 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 | 3.09% | 3.09% | 3.10% |
| | | |
| Financial Attributes | | |
| |
| | | Bloomberg | |
| | | Barclays | Bloomberg |
| | | 5–10 Year | Barclays |
| | | Corporate | Aggregate |
| | Fund | Index | FA Index |
| |
| Number of Bonds | 1,755 | 1,712 | 9,397 |
| |
| Yield to Maturity | | | |
| (before expenses) | 3.1% | 3.1% | 2.4% |
| |
| Average Coupon | 3.6% | 3.7% | 3.0% |
| |
| Average Duration | 6.5 years | 6.5 years | 6.1 years |
| |
| Average Effective | | | |
| Maturity | 7.5 years | 7.3 years | 8.2 years |
| |
| Short-Term | | | |
| Reserves | 0.2% | — | — |
| |
| Sector Diversification (% of portfolio) | |
| Finance | 34.3% |
| Industrial | 60.1 |
| Treasury/Agency | 0.3 |
| Utilities | 4.9 |
| Other | 0.4 |
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 | Bloomberg |
| | 5–10 Year | Barclays |
| | Corporate | Aggregate |
| | Index | FA Index |
| R-Squared | 0.99 | 0.88 |
| Beta | 1.02 | 1.25 |
These measures show the degree and timing of the fund’s
fluctuations compared with the indexes over 36 months.
| |
| Distribution by Effective Maturity | |
| (% of portfolio) | |
| Under 1 Year | 0.4% |
| 1 - 3 Years | 0.1 |
| 3 - 5 Years | 2.6 |
| 5 - 10 Years | 96.8 |
| 10 - 20 Years | 0.1 |
| |
| Distribution by Credit Quality (% of portfolio) |
| U.S. Government | 0.3% |
| Aaa | 2.1 |
| Aa | 7.2 |
| A | 35.3 |
| Baa | 55.1 |
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
agencies are used, the lower rating for each issue is shown. "Not
Rated" is used to classify securities for which a rating is not
available. For more information about these ratings, see the
Glossary entry for Credit Quality.
Investment Focus
1 The expense ratios shown are from the prospectus dated December 22, 2016, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2017, the expense ratios were 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares.
80
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.
Cumulative Performance: November 19, 2009, Through August 31, 2017
Initial Investment of $10,000
| | | | | |
| | | Average Annual Total Returns | |
| | | Periods Ended August 31, 2017 | |
| |
| | | | | Since | Final Value |
| | | One | Five | Inception | of a $10,000 |
| | | Year | Years | (11/19/2009) | Investment |
| |
| | Intermediate-Term Corporate Bond | | | | |
| | Index Fund ETF Shares Net Asset Value | 1.98% | 3.86% | 5.96% | $15,693 |
| | Intermediate-Term Corporate Bond | | | | |
| | Index Fund ETF Shares Market Price | 2.00 | 3.80 | 5.98 | 15,714 |
| | Bloomberg Barclays U.S. 5–10 Year | | | | |
| • • • • • • • • | | | | | |
| | Corporate Bond Index | 2.30 | 3.98 | 6.08 | 15,827 |
| |
| – – – – | Spliced Core Bond Funds Average | 0.85 | 2.23 | 3.90 | 13,469 |
| | Spliced Bloomberg Barclays U.S. | | | | |
| | Aggregate Float Adjusted Index | 0.46 | 2.20 | 3.64 | 13,206 |
For a benchmark description, see the Glossary.
Spliced Core Bond Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Vanguard fund returns are adjusted to reflect the 0.25% fee on purchases of fund shares. The fee does not apply to the ETF Shares. The
Fiscal-Year Total Returns table is not adjusted for fees.
See Financial Highlights for dividend and capital gains information.
81
Intermediate-Term Corporate Bond Index Fund
| | | | |
| | Average Annual Total Returns | |
| | Periods Ended August 31, 2017 | |
| |
| | | | Since | Final Value |
| | One | Five | Inception | of a $10,000 |
| | Year | Years | (3/2/2010) | Investment |
| Intermediate-Term Corporate Bond Index | | | | |
| Fund Admiral Shares | 1.99% | 3.87% | 5.89% | $15,317 |
| Bloomberg Barclays U.S. 5–10 Year | | | | |
| Corporate Bond Index | 2.30 | 3.98 | 5.96 | 15,437 |
| Bloomberg Barclays U.S. Aggregate Float | | | | |
| Adjusted Index | 0.46 | 2.20 | 3.64 | 13,071 |
"Since Inception" performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative standards.
| | | | |
| | | | Since | Final Value |
| | One | Five | Inception | of a $5,000,000 |
| | Year | Years | (11/19/2009) | Investment |
| Intermediate-Term Corporate Bond Index | | | | |
| Fund Institutional Shares | 2.01% | 3.89% | 6.00% | $7,848,485 |
| Bloomberg Barclays U.S. 5–10 Year | | | | |
| Corporate Bond Index | 2.30 | 3.98 | 6.08 | 7,913,549 |
| Spliced Bloomberg Barclays U.S. Aggregate | | | | |
| Float Adjusted Index | 0.46 | 2.20 | 3.64 | 6,602,854 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
| | | |
| Cumulative Returns of ETF Shares: November 19, 2009, Through August 31, 2017 | |
| |
| | | | Since |
| | One | Five | Inception |
| | Year | Years | (11/19/2009) |
| Intermediate-Term Corporate Bond Index Fund ETF | | | |
| Shares Market Price | 2.00% | 20.52% | 57.14% |
| Intermediate-Term Corporate Bond Index Fund ETF | | | |
| Shares Net Asset Value | 1.98 | 20.85 | 56.93 |
| Bloomberg Barclays U.S. 5–10 Year Corporate Bond | | | |
| Index | 2.30 | 21.54 | 58.27 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Vanguard fund returns are adjusted to reflect the 0.25% fee on purchases of fund shares. The fee does not apply to the ETF Shares. The
Fiscal-Year Total Returns table is not adjusted for fees.
82
Intermediate-Term Corporate Bond Index Fund
| | |
| Fiscal-Year Total Returns (%): November 19, 2009, Through August 31, 2017 | |
| | | Bloomberg |
| | | Barclays |
| | | 5–10 Year |
| | | Corporate |
| | ETF Shares Net Asset Value | Index |
| Fiscal Year | Total Returns | Total Returns |
| 2010 | 11.30% | 11.41% |
| 2011 | 5.65 | 6.19 |
| 2012 | 10.43 | 10.07 |
| 2013 | -1.64 | -1.27 |
| 2014 | 9.60 | 9.51 |
| 2015 | 0.32 | 0.39 |
| 2016 | 9.58 | 9.46 |
| 2017 | 1.98 | 2.30 |
Average Annual Total Returns: Periods Ended June 30, 2017
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% | 4.04% | | | 5.88% |
| Net Asset Value | | 1.47 | 4.15 | | | 5.87 |
| Admiral Shares | 3/2/2010 | 1.50 | 4.16 | 3.60% | 2.19% | 5.79 |
| Fee-Adjusted Returns | | 1.25 | 4.11 | | | 5.75 |
| Institutional Shares | 11/19/2009 | 1.50 | 4.18 | 3.65 | 2.26 | 5.91 |
| Fee-Adjusted Returns | | 1.25 | 4.13 | | | 5.87 |
Vanguard fund returns are adjusted to reflect the 0.25% fee on purchases of fund shares. The fee does not apply to the ETF Shares. The Fiscal-Year Total Returns table is not adjusted for fees.
83
Intermediate-Term Corporate Bond Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of August 31, 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 | 1.625% | 8/31/22 | 37,000 | 36,855 | 0.1% |
| | U.S. Government Securities—Other † | | | 10,641 | 0.1% |
| Total U.S. Government and Agency Obligations (Cost $47,486) | | 47,496 | 0.2% |
| Corporate Bonds | | | | | |
| Finance | | | | | |
| | Banking | | | | | |
| | Bank of America Corp. | 3.300% | 1/11/23 | 53,263 | 54,776 | 0.3% |
| | Bank of America Corp. | 3.875% | 8/1/25 | 36,597 | 38,486 | 0.2% |
| | Bank of America Corp. | 4.200% | 8/26/24 | 34,610 | 36,355 | 0.2% |
| | Bank of America Corp. | 3.500% | 4/19/26 | 33,640 | 34,211 | 0.2% |
| 1 | Bank of America Corp. | 2.503%–6.220% | 5/13/21–7/21/28 | 288,378 | 299,286 | 1.6% |
| | Bank One Corp. | 7.625%–8.000% | 10/15/26–4/29/27 | 8,205 | 10,700 | 0.1% |
| | Citigroup Inc. | 3.200% | 10/21/26 | 41,207 | 40,781 | 0.2% |
| 1 | Citigroup Inc. | 3.300%–5.500% | 3/1/23–7/24/28 | 250,334 | 260,246 | 1.4% |
| | Credit Suisse AG | 3.625% | 9/9/24 | 37,060 | 38,843 | 0.2% |
| | Goldman Sachs Group | | | | | |
| | Inc. | 4.000% | 3/3/24 | 35,178 | 37,192 | 0.2% |
| | Goldman Sachs Group | | | | | |
| | Inc. | 3.500% | 11/16/26 | 34,294 | 34,394 | 0.2% |
| | Goldman Sachs Group | | | | | |
| | Inc. | 3.500%–5.950% | 1/22/23–6/5/28 | 226,334 | 234,695 | 1.3% |
| | HSBC Holdings plc | 4.300% | 3/8/26 | 33,345 | 35,949 | 0.2% |
| 1 | HSBC Holdings plc | 3.600%–5.100% | 4/5/21–3/13/28 | 142,264 | 149,080 | 0.8% |
| | HSBC USA Inc. | 3.500% | 6/23/24 | 6,355 | 6,592 | 0.0% |
| | JPMorgan Chase & Co. | 3.300% | 4/1/26 | 36,869 | 37,082 | 0.2% |
| | JPMorgan Chase & Co. | 3.125% | 1/23/25 | 35,634 | 35,921 | 0.2% |
| 1 | JPMorgan Chase & Co. | 2.700%–4.350% | 8/15/21–5/1/28 | 391,336 | 402,619 | 2.2% |
84
| | | | | | |
| 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 | 37,922 | 39,855 | 0.2% |
| 1 Morgan Stanley | | 3.591% | 7/22/28 | 38,500 | 38,975 | 0.2% |
| Morgan Stanley | | 3.875% | 1/27/26 | 36,588 | 38,139 | 0.2% |
| Morgan Stanley | | 3.625% | 1/20/27 | 36,081 | 36,895 | 0.2% |
| Morgan Stanley | | 4.000% | 7/23/25 | 34,660 | 36,473 | 0.2% |
| Morgan Stanley | | 3.125% | 7/27/26 | 35,022 | 34,573 | 0.2% |
| Morgan Stanley | | 3.700% | 10/23/24 | 33,110 | 34,431 | 0.2% |
| Morgan Stanley | 3.750%–6.250% | 11/1/22–4/23/27 | 152,882 | 162,430 | 0.9% |
| Royal Bank of Scotland | | | | | | |
| Group plc | | 3.875% | 9/12/23 | 38,539 | 39,407 | 0.2% |
| Wachovia Corp. | 6.605%–7.574% | 10/1/25–8/1/26 | 2,250 | 2,871 | 0.0% |
| Wells Fargo & Co. | | 3.069% | 1/24/23 | 43,863 | 44,828 | 0.3% |
| Wells Fargo & Co. | | 3.000% | 10/23/26 | 39,381 | 38,846 | 0.2% |
| Wells Fargo & Co. | | 3.000% | 4/22/26 | 38,573 | 38,045 | 0.2% |
| Wells Fargo & Co. | | 4.100% | 6/3/26 | 33,320 | 34,987 | 0.2% |
| 1 Wells Fargo & Co. | 3.000%–4.480% | 3/8/22–5/22/28 | 193,814 | 200,542 | 1.1% |
| 2 Banking—Other † | | | | | 1,606,448 | 8.8% |
| Brokerage † | | | | | 268,095 | 1.5% |
| Finance Companies † | | | | | 75,252 | 0.4% |
| 2 Insurance | | | | | | |
| Berkshire Hathaway Inc. | 2.750%–3.125% | 2/11/23–3/15/26 | 66,516 | 67,974 | 0.4% |
| Insurance—Other † | | | | | 709,934 | 3.9% |
| Other Finance † | | | | | 6,857 | 0.0% |
| Real Estate Investment Trusts † | | | | 871,580 | 4.8% |
| | | | | | 6,214,645 | 34.0% |
| Industrial | | | | | | |
| 2 Basic Industry † | | | | | 508,705 | 2.8% |
| Capital Goods | | | | | | |
| General Electric Co. | | 2.700% | 10/9/22 | 33,438 | 34,228 | 0.2% |
| Precision Castparts | | | | | | |
| Corp. | 2.500%–3.250% | 1/15/23–6/15/25 | 24,995 | 25,321 | 0.1% |
| 2 Capital Goods—Other † | | | | | 741,897 | 4.1% |
| Communication | | | | | | |
| AT&T Inc. | | 3.900% | 8/14/27 | 57,400 | 58,002 | 0.3% |
| AT&T Inc. | | 3.400% | 5/15/25 | 53,378 | 53,189 | 0.3% |
| AT&T Inc. | | 3.400% | 8/14/24 | 34,446 | 34,716 | 0.2% |
| AT&T Inc. | 2.625%–4.450% | 12/1/22–3/1/27 | 179,472 | 184,748 | 1.0% |
| Charter Communications | | | | | | |
| Operating LLC / Charter | | | | | | |
| Communications | | | | | | |
| Operating Capital | | 4.908% | 7/23/25 | 56,296 | 60,182 | 0.4% |
| Pacific Bell Telephone Co. | 7.125% | 3/15/26 | 1,352 | 1,685 | 0.0% |
| Verizon Communications Inc. | 5.150% | 9/15/23 | 69,238 | 77,278 | 0.4% |
| Verizon Communications Inc. | 4.125% | 3/16/27 | 39,555 | 41,080 | 0.2% |
| 2 Verizon Communications | | | | | | |
| Inc. | 2.450%–4.150% | 11/1/22–8/15/26 | 123,388 | 123,140 | 0.7% |
| 2 Communication—Other † | | | | 838,671 | 4.6% |
| Consumer Cyclical | | | | | | |
| 2 Amazon.com Inc. | | 3.150% | 8/22/27 | 37,500 | 38,168 | 0.2% |
| Visa Inc. | | 3.150% | 12/14/25 | 49,918 | 51,183 | 0.3% |
| 2 Consumer Cyclical—Other † | | | | 1,277,239 | 7.0% |
| Consumer Noncyclical | | | | | | |
| Abbott Laboratories | | 3.750% | 11/30/26 | 41,259 | 42,585 | 0.2% |
| AbbVie Inc. | | 3.600% | 5/14/25 | 41,501 | 42,817 | 0.2% |
85
| | | | | | |
| Intermediate-Term Corporate Bond Index Fund | | | |
| |
| |
| |
| | | | | Face | Market | Percentage |
| | | | Maturity | Amount | Value • | of Net |
| | | Coupon | Date | ($000) | ($000) | Assets |
| Allergan Funding SCS | | 3.800% | 3/15/25 | 47,950 | 49,998 | 0.3% |
| Anheuser-Busch InBev | | | | | | |
| Finance Inc. | | 3.650% | 2/1/26 | 128,532 | 133,896 | 0.7% |
| Anheuser-Busch InBev | | | | | | |
| Finance Inc. | | 3.300% | 2/1/23 | 75,931 | 78,799 | 0.4% |
| Anheuser-Busch InBev | | | | | | |
| Finance Inc. | 2.625%–3.700% | 1/17/23–2/1/24 | 28,519 | 29,539 | 0.2% |
| 2 BAT Capital Corp. | | 3.557% | 8/15/27 | 44,650 | 45,365 | 0.3% |
| Medtronic Inc. | | 3.500% | 3/15/25 | 46,175 | 48,668 | 0.3% |
| Teva Pharmaceutical | | | | | | |
| Finance Netherlands | | | | | | |
| III BV | | 3.150% | 10/1/26 | 39,286 | 35,888 | 0.2% |
| 2 Consumer Noncyclical—Other † | | | | 2,266,422 | 12.4% |
| 2 Energy † | | | | | 1,799,720 | 9.8% |
| Other Industrial † | | | | | 43,081 | 0.2% |
| Technology | | | | | | |
| Apple Inc. | | 2.400% | 5/3/23 | 65,980 | 66,059 | 0.4% |
| Apple Inc. | | 3.250% | 2/23/26 | 40,777 | 42,051 | 0.2% |
| Apple Inc. | | 3.450% | 5/6/24 | 32,471 | 34,227 | 0.2% |
| Apple Inc. | 2.450%–3.350% | 2/23/23–6/20/27 | 183,568 | 186,394 | 1.0% |
| 2 Broadcom Corp. / | | | | | | |
| Broadcom Cayman | | | | | | |
| Finance Ltd. | | 3.875% | 1/15/27 | 58,178 | 59,923 | 0.3% |
| 2 Diamond 1 Finance Corp. / | | | | | |
| Diamond 2 Finance Corp. | 6.020% | 6/15/26 | 50,867 | 56,721 | 0.3% |
| 2 Diamond 1 Finance Corp. / | | | | | |
| Diamond 2 Finance Corp. | 5.450% | 6/15/23 | 44,470 | 48,601 | 0.3% |
| Microsoft Corp. | | 3.300% | 2/6/27 | 44,329 | 46,256 | 0.2% |
| Microsoft Corp. | | 2.400% | 8/8/26 | 45,350 | 44,093 | 0.2% |
| Microsoft Corp. | 2.000%–3.625% | 11/3/22–11/3/25 | 158,327 | 161,574 | 0.9% |
| Oracle Corp. | | 2.650% | 7/15/26 | 36,381 | 35,724 | 0.2% |
| 2 Technology—Other † | | | | | 1,018,927 | 5.6% |
| Transportation | | | | | | |
| 1 BNSF Funding Trust I | | 6.613% | 12/15/55 | 1,890 | 2,172 | 0.0% |
| Burlington Northern | | | | | | |
| Santa Fe LLC | 3.000%–7.000% | 9/1/22–12/15/25 | 63,331 | 67,274 | 0.4% |
| Transportation—Other † | | | | | 274,622 | 1.5% |
| | | | | | 10,910,828 | 59.7% |
| Utilities | | | | | | |
| Electric | | | | | | |
| Berkshire Hathaway | | | | | | |
| Energy Co. | 3.500%–3.750% | 11/15/23–2/1/25 | 13,210 | 13,931 | 0.1% |
| MidAmerican Energy | | | | | | |
| Co. | 3.100%–3.500% | 10/15/24–5/1/27 | 9,490 | 9,876 | 0.1% |
| PacifiCorp | 2.950%–3.600% | 6/1/23–7/1/25 | 8,910 | 9,309 | 0.0% |
| Sierra Pacific Power Co. | 2.600%–3.375% | 8/15/23–5/1/26 | 5,450 | 5,398 | 0.0% |
| Electric—Other † | | | | | 773,958 | 4.2% |
| Natural Gas † | | | | | 73,053 | 0.4% |
| Other Utility † | | | | | 12,500 | 0.1% |
| | | | | | 898,025 | 4.9% |
| Total Corporate Bonds (Cost $17,641,279) | | | 18,023,498 | 98.6% |
| Taxable Municipal Bonds (Cost $1,482) † | | | 1,528 | 0.0% |
86
| | | | |
| 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 $31,382) | 1.224% | 313,763 | 31,383 | 0.2% |
| Total Investments (Cost $17,721,629) | | | 18,103,905 | 99.0% |
| |
| | | | Amount | |
| | | | ($000) | |
| Other Assets and Liabilities | | | | |
| Other Assets | | | | |
| Investment in Vanguard | | | 1,114 | |
| Receivables for Investment Securities Sold | | | 389,488 | |
| Receivables for Accrued Income | | | 171,994 | |
| Receivables for Capital Shares Issued | | | 2,119 | |
| Variation Margin Receivable—Futures Contracts | | | 36 | |
| Other Assets 4 | | | 652 | |
| Total Other Assets | | | 565,403 | 3.1% |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | (376,206) | |
| Payables for Capital Shares Redeemed | | | (454) | |
| Payables for Distributions | | | (998) | |
| Payables to Vanguard | | | (2,989) | |
| Variation Margin Payable—Futures Contracts | | | (213) | |
| Other Liabilities | | | (3,113) | |
| Total Liabilities | | | (383,973) | (2.1%) |
| Net Assets | | | 18,285,335 | 100.0% |
| |
| |
| At August 31, 2017, net assets consisted of: | | | | |
| | | | | Amount |
| | | | | ($000) |
| Paid-in Capital | | | | 17,875,168 |
| Undistributed Net Investment Income | | | | 44,451 |
| Accumulated Net Realized Losses | | | | (16,560) |
| Unrealized Appreciation (Depreciation) | | | | 382,276 |
| Net Assets | | | | 18,285,335 |
| |
| |
| ETF Shares—Net Assets | | | | |
| Applicable to 189,013,004 outstanding $.001 par value shares of | | | |
| beneficial interest (unlimited authorization) | | | | 16,699,410 |
| Net Asset Value Per Share—ETF Shares | | | | $88.35 |
87
| |
| Intermediate-Term Corporate Bond Index Fund | |
| |
| |
| |
| | Amount |
| | ($000) |
| Admiral Shares—Net Assets | |
| Applicable to 42,631,329 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 1,013,734 |
| Net Asset Value Per Share—Admiral Shares | $23.78 |
| |
| Institutional Shares—Net Assets | |
| Applicable to 19,472,660 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 572,191 |
| Net Asset Value Per Share—Institutional Shares | $29.38 |
• See Note A in Notes to Financial Statements.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer,
represent 1% or less of net assets.
1 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and
prepayments or the possibility of the issue being called.
2 Certain of the fund’s securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold
in transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2017, the aggregate value of these
securities was $498,646,000, representing 2.7% 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 with a value of $652,000 has been segregated as initial margin for recently closed futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
88
| |
| Intermediate-Term Corporate Bond Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Year Ended |
| | August31,2017 |
| | ($000) |
| Investment Income | |
| Income | |
| Interest1 | 466,207 |
| Total Income | 466,207 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 453 |
| Management and Administrative—ETF Shares | 6,962 |
| Management and Administrative—Admiral Shares | 419 |
| Management and Administrative—Institutional Shares | 180 |
| Marketing and Distribution—ETF Shares | 795 |
| Marketing and Distribution—Admiral Shares | 81 |
| Marketing and Distribution—Institutional Shares | 22 |
| Custodian Fees | 92 |
| Auditing Fees | 46 |
| Shareholders’ Reports and Proxy—ETF Shares | 534 |
| Shareholders’ Reports and Proxy—Admiral Shares | 26 |
| Shareholders’ Reports and Proxy—Institutional Shares | — |
| Trustees’ Fees and Expenses | 10 |
| Total Expenses | 9,620 |
| Net Investment Income | 456,587 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 31,887 |
| Futures Contracts | (4,168) |
| Realized Net Gain (Loss) | 27,719 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | (65,322) |
| Futures Contracts | (22) |
| Change in Unrealized Appreciation (Depreciation) | (65,344) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 418,962 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $574,000 and ($18,000), respectively.
See accompanying Notes, which are an integral part of the Financial Statements.
89
| | |
| Intermediate-Term Corporate Bond Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Year Ended August 31, |
| | 2017 | 2016 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 456,587 | 278,340 |
| Realized Net Gain (Loss) | 27,719 | (13,790) |
| Change in Unrealized Appreciation (Depreciation) | (65,344) | 535,211 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 418,962 | 799,761 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (397,564) | (237,627) |
| Admiral Shares | (26,554) | (17,675) |
| Institutional Shares | (14,578) | (11,793) |
| Realized Capital Gain | | |
| ETF Shares | — | — |
| Admiral Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (438,696) | (267,095) |
| Capital Share Transactions | | |
| ETF Shares | 6,663,645 | 4,175,449 |
| Admiral Shares | 318,614 | 245,617 |
| Institutional Shares | 187,545 | 27,275 |
| Net Increase (Decrease) from Capital Share Transactions | 7,169,804 | 4,448,341 |
| Total Increase (Decrease) | 7,150,070 | 4,981,007 |
| Net Assets | | |
| Beginning of Period | 11,135,265 | 6,154,258 |
| End of Period1 | 18,285,335 | 11,135,265 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $44,451,000 and $26,560,000.
See accompanying Notes, which are an integral part of the Financial Statements.
90
| | | | | |
| Intermediate-Term Corporate Bond Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| ETF Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $89.47 | $84.39 | $86.98 | $82.31 | $86.78 |
| Investment Operations | | | | | |
| Net Investment Income | 2.8691 | 2.831 | 2.767 | 2.724 | 2.715 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (1.184) | 5.083 | (2.473) | 5.024 | (4.042) |
| Total from Investment Operations | 1.685 | 7.914 | .294 | 7.748 | (1.327) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (2.805) | (2.834) | (2.754) | (2.496) | (2.713) |
| Distributions from Realized Capital Gains | — | — | (.130) | (.582) | (.430) |
| Total Distributions | (2.805) | (2.834) | (2.884) | (3.078) | (3.143) |
| Net Asset Value, End of Period | $88.35 | $89.47 | $84.39 | $86.98 | $82.31 |
| |
| Total Return | 1.98% | 9.58% | 0.32% | 9.60% | -1.64% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $16,699 | $10,048 | $5,393 | $4,010 | $3,161 |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 3.30% | 3.34% | 3.25% | 3.25% | 3.16% |
| Portfolio Turnover Rate2 | 65% | 71% | 56% | 65% | 73% |
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.
91
| | | | | |
| Intermediate-Term Corporate Bond Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| Admiral Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $24.08 | $22.71 | $23.40 | $22.20 | $23.40 |
| Investment Operations | | | | | |
| Net Investment Income | .7741 | .764 | .745 | .736 | .732 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (.318) | 1.371 | (.654) | 1.355 | (1.085) |
| Total from Investment Operations | .456 | 2.135 | .091 | 2.091 | (.353) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (.756) | (.765) | (.746) | (.734) | (.731) |
| Distributions from Realized Capital Gains | — | — | (.035) | (.157) | (.116) |
| Total Distributions | (.756) | (.765) | (.781) | (. 891) | (. 847) |
| Net Asset Value, End of Period | $23.78 | $24.08 | $22.71 | $23.40 | $22.20 |
| |
| Total Return2 | 1.99% | 9.57% | 0.37% | 9.60% | -1.62% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $1,014 | $700 | $423 | $239 | $55 |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 3.30% | 3.34% | 3.25% | 3.25% | 3.16% |
| Portfolio Turnover Rate 3 | 65% | 71% | 56% | 65% | 73% |
Signal Shares were renamed Admiral Shares in October 2013. Prior periods’ Financial Highlights are for the Signal Class.
1 Calculated based on average shares outstanding.
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.
92
| | | | | |
| Intermediate-Term Corporate Bond Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| Institutional Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $29.75 | $28.06 | $28.92 | $27.44 | $28.93 |
| Investment Operations | | | | | |
| Net Investment Income | . 9621 | .949 | .931 | .919 | .913 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (.392) | 1.690 | (.816) | 1.671 | (1.347) |
| Total from Investment Operations | .570 | 2.639 | .115 | 2.590 | (.434) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (. 940) | (. 949) | (. 932) | (. 916) | (. 913) |
| Distributions from Realized Capital Gains | — | — | (.043) | (.194) | (.143) |
| Total Distributions | (.940) | (.949) | (.975) | (1.110) | (1.056) |
| Net Asset Value, End of Period | $29.38 | $29.75 | $28.06 | $28.92 | $27.44 |
| |
| Total Return2 | 2.01% | 9.58% | 0.37% | 9.62% | -1.61% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $572 | $387 | $338 | $307 | $164 |
| Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.07% | 0.09% | 0.09% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 3.32% | 3.36% | 3.28% | 3.28% | 3.19% |
| Portfolio Turnover Rate 3 | 65% | 71% | 56% | 65% | 73% |
1 Calculated based on average shares outstanding.
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.
93
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. 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 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 notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 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 notional amounts at each quarter-end during the period. The fund had no open futures contracts at August 31, 2017.
94
Intermediate-Term Corporate Bond 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, 2014–2017), 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, 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 August 31, 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), shareholder reporting, and the proxy. 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 August 31, 2017, the fund had contributed to Vanguard capital in the amount of $1,114,000, representing 0.01% of the fund’s net assets and 0.45% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
95
Intermediate-Term Corporate Bond Index Fund
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). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of August 31, 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 | — | 47,496 | — |
| Corporate Bonds | — | 18,023,498 | — |
| Taxable Municipal Bonds | — | 1,528 | — |
| Temporary Cash Investments | 31,383 | — | — |
| Futures Contracts—Assets1 | 36 | — | — |
| Futures Contracts—Liabilities1 | (213) | — | — |
| Total | 31,206 | 18,072,522 | — |
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 year ended August 31, 2017, the fund realized $10,611,000 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.
For tax purposes, at August 31, 2017, the fund had $47,860,000 of ordinary income available for distribution. The fund had available capital losses totaling $12,927,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2017, the cost of investment securities for tax purposes was $17,725,215,000. Net unrealized appreciation of investment securities for tax purposes was $378,690,000, consisting of unrealized gains of $396,759,000 on securities that had risen in value since their purchase and $18,069,000 in unrealized losses on securities that had fallen in value since their purchase.
96
Intermediate-Term Corporate Bond Index Fund
E. During the year ended August 31, 2017, the fund purchased $11,956,637,000 of investment securities and sold $4,896,074,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $4,376,689,000 and $4,328,244,000, respectively. Total purchases and sales include $6,713,452,000 and $281,058,000, 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 year ended August 31, 2017, such purchases and sales were $1,319,472,000 and $3,934,231,000 respectively; these amounts are included in the purchases and sales of investment securities noted above.
| | | | |
| F. Capital share transactions for each class of shares were: | | | |
| | | | Year Ended August 31, |
| | | 2017 | | 2016 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued1 | 6,950,937 | 80,003 | 4,483,789 | 52,004 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (287,292) | (3,300) | (308,340) | (3,600) |
| Net Increase (Decrease)—ETF Shares | 6,663,645 | 76,703 | 4,175,449 | 48,404 |
| Admiral Shares | | | | |
| Issued1 | 526,063 | 22,458 | 366,221 | 15,690 |
| Issued in Lieu of Cash Distributions | 22,355 | 953 | 15,255 | 654 |
| Redeemed | (229,804) | (9,850) | (135,859) | (5,881) |
| Net Increase (Decrease)—Admiral Shares | 318,614 | 13,561 | 245,617 | 10,463 |
| Institutional Shares | | | | |
| Issued1 | 224,066 | 7,736 | 30,428 | 1,053 |
| Issued in Lieu of Cash Distributions | 8,685 | 300 | 6,542 | 227 |
| Redeemed | (45,206) | (1,569) | (9,695) | (336) |
| Net Increase (Decrease)—Institutional Shares | 187,545 | 6,467 | 27,275 | 944 |
1 Includes purchase fees for fiscal 2017 and 2016 of $1,802,000 and $1,011,000, respectively (fund totals).
G. Management has determined that no material events or transactions occurred subsequent to August 31, 2017, that would require recognition or disclosure in these financial statements.
97
Long-Term Corporate Bond Index Fund
Fund Profile
As of August 31, 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 | 4.14% | 4.14% | 4.15% |
| | |
| Volatility Measures | | |
| | Bloomberg | |
| | Barclays | Bloomberg |
| | 10+ Year | Barclays |
| | Corporate | Aggregate |
| | Bond Index | FA Index |
| R-Squared | 0.99 | 0.78 |
| Beta | 1.02 | 2.40 |
| | | |
| Financial Attributes | | |
| |
| | | Bloomberg | |
| | | Barclays | Bloomberg |
| | | 10+ Year | Barclays |
| | | Corporate | Aggregate |
| | Fund | Bond Index | FA Index |
| |
| Number of Bonds | 1,721 | 1,674 | 9,397 |
| |
| Yield to Maturity | | | |
| (before expenses) | 4.1% | 4.1% | 2.4% |
| |
| Average Coupon | 5.1% | 5.2% | 3.0% |
| |
| Average Duration | 14.2 years | 14.2 years | 6.1 years |
| |
| Average Effective | | | |
| Maturity | 23.6 years | 23.5 years | 8.2 years |
| |
| Short-Term | | | |
| Reserves | 0.7% | — | — |
| |
| Sector Diversification (% of portfolio) | |
| Finance | 17.4% |
| Industrial | 70.5 |
| Utilities | 11.6 |
| 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 credit of the U.S.
government.
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 | 0.5% |
| 5 - 10 Years | 1.3 |
| 10 - 20 Years | 28.0 |
| 20 - 30 Years | 65.2 |
| Over 30 Years | 5.0 |
| |
| Distribution by Credit Quality (% of portfolio) |
| Aaa | 3.8% |
| Aa | 7.8 |
| A | 39.2 |
| Baa | 49.2 |
Credit-quality ratings are obtained from Barclays and are from
Moody's, Fitch, and S&P. When ratings from all three agencies are
used, the median rating is shown. When ratings from two of the
agencies are used, the lower rating for each issue is shown. "Not
Rated" is used to classify securities for which a rating is not
available. For more information about these ratings, see the
Glossary entry for Credit Quality.
Investment Focus
1 The expense ratios shown are from the prospectus dated December 22, 2016, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2017, the expense ratios were 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares.
98
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.
Cumulative Performance: November 19, 2009, Through August 31, 2017
Initial Investment of $10,000
| | | | | |
| | | Average Annual Total Returns | |
| | | Periods Ended August 31, 2017 | |
| |
| | | | | Since | Final Value |
| | | One | Five | Inception | of a $10,000 |
| | | Year | Years | (11/19/2009) | Investment |
| |
| | Long-Term Corporate Bond Index Fund | | | | |
| | ETF Shares Net Asset Value | 1.81% | 4.93% | 7.94% | $18,120 |
| | Long-Term Corporate Bond Index Fund | | | | |
| | ETF Shares Market Price | 2.19 | 4.78 | 7.98 | 18,168 |
| | Bloomberg Barclays U.S. 10+ Year | | | | |
| • • • • • • • • | | | | | |
| | Corporate Bond Index | 2.08 | 4.93 | 7.94 | 18,122 |
| |
| – – –– | Corporate Debt Funds BBB-Rated | | | | |
| | Average | 1.93 | 3.53 | 5.62 | 15,297 |
| | Spliced Bloomberg Barclays U.S. | | | | |
| | Aggregate Float Adjusted Index | 0.46 | 2.20 | 3.64 | 13,206 |
For a benchmark description, see the Glossary.
Corporate Debt Funds BBB-Rated Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Vanguard fund returns are adjusted to reflect the 1.00% fee on purchases of fund shares. The fee does not apply to the ETF Shares. The
Fiscal-Year Total Returns table is not adjusted for fees.
See Financial Highlights for dividend and capital gains information.
99
Long-Term Corporate Bond Index Fund
| | | | |
| | Average Annual Total Returns | |
| | Periods Ended August 31, 2017 | |
| |
| | | | Since | Final Value |
| | One | Five | Inception | of a $10,000 |
| | Year | Years | (1/19/2010) | Investment |
| Long-Term Corporate Bond Index Fund | | | | |
| Admiral Shares | 1.84% | 4.93% | 7.98% | $17,766 |
| Bloomberg Barclays U.S. 10+ Year | | | | |
| Corporate Bond Index | 2.08 | 4.93 | 8.00 | 17,966 |
| Bloomberg Barclays U.S. Aggregate Float | | | | |
| Adjusted Index | 0.46 | 2.20 | 3.70 | 13,182 |
"Since Inception" performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative standards.
| | | | |
| | | | Since | Final Value |
| | One | Five | Inception | of a $5,000,000 |
| | Year | Years | (11/19/2009) | Investment |
| Long-Term Corporate Bond Index Fund | | | | |
| Institutional Shares | 1.81% | 4.95% | 7.98% | $8,993,717 |
| Bloomberg Barclays U.S. 10+ Year | | | | |
| Corporate Bond Index | 2.08 | 4.93 | 7.94 | 9,061,124 |
| Spliced Bloomberg Barclays U.S. Aggregate | | | | |
| Float Adjusted Index | 0.46 | 2.20 | 3.64 | 6,602,854 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
| | | |
| Cumulative Returns of ETF Shares: November 19, 2009, Through August 31, 2017 | |
| |
| | | | Since |
| | One | Five | Inception |
| | Year | Years | (11/19/2009) |
| Long-Term Corporate Bond Index Fund ETF Shares | | | |
| Market Price | 2.19% | 26.32% | 81.68% |
| Long-Term Corporate Bond Index Fund ETF Shares | | | |
| Net Asset Value | 1.81 | 27.18 | 81.20 |
| Bloomberg Barclays U.S. 10+ Year Corporate Bond | | | |
| Index | 2.08 | 27.22 | 81.22 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Vanguard fund returns are adjusted to reflect the 1.00% fee on purchases of fund shares. The fee does not apply to the ETF Shares. The
Fiscal-Year Total Returns table is not adjusted for fees.
100
Long-Term Corporate Bond Index Fund
| | |
| Fiscal-Year Total Returns (%): November 19, 2009, Through August 31, 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 | 1.81 | 2.08 |
Average Annual Total Returns: Periods Ended June 30, 2017
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 | | 2.89% | 5.37% | | | 7.89% |
| Net Asset Value | | 3.48 | 5.67 | | | 7.86 |
| Admiral Shares | 1/19/2010 | 3.50 | 5.67 | 4.93% | 2.98% | 7.91 |
| Fee-Adjusted Returns | | 2.46 | 5.45 | | | 7.76 |
| Institutional Shares | 11/19/2009 | 3.47 | 5.69 | 4.95 | 2.95 | 7.90 |
| Fee-Adjusted Returns | | 2.43 | 5.48 | | | 7.76 |
Vanguard fund returns are adjusted to reflect the 1.00% fee on purchases of fund shares. The fee does not apply to the ETF Shares. The Fiscal-Year Total Returns table is not adjusted for fees.
101
Long-Term Corporate Bond Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of August 31, 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 † (Cost $58) | | | 58 | 0.0% |
| Corporate Bonds | | | | | |
| Finance | | | | | |
| | Banking | | | | | |
| | Bank of America Corp. | 7.750% | 5/14/38 | 3,898 | 5,697 | 0.2% |
| 1 | Bank of America Corp. | 3.248%–6.750% | 10/21/27–1/20/48 | 27,614 | 30,601 | 1.1% |
| | Bank of America NA | 6.000% | 10/15/36 | 1,492 | 1,896 | 0.1% |
| | Bank One Capital III | 8.750% | 9/1/30 | 783 | 1,148 | 0.0% |
| | Citigroup Inc. | 4.450% | 9/29/27 | 5,926 | 6,265 | 0.2% |
| 1 | Citigroup Inc. | 4.125%–8.125% | 1/15/28–4/24/48 | 22,945 | 27,876 | 1.0% |
| | Goldman Sachs Capital I | 6.345% | 2/15/34 | 2,181 | 2,734 | 0.1% |
| | Goldman Sachs Group | | | | | |
| | Inc. | 6.750% | 10/1/37 | 9,545 | 12,537 | 0.4% |
| | Goldman Sachs Group | | | | | |
| | Inc. | 6.250% | 2/1/41 | 4,573 | 6,039 | 0.2% |
| | Goldman Sachs Group | | | | | |
| | Inc. | 4.750%–6.450% | 2/15/33–10/21/45 | 15,259 | 17,982 | 0.6% |
| | HSBC Holdings plc | 6.500% | 9/15/37 | 5,425 | 7,088 | 0.3% |
| 1 | JPMorgan Chase & Co. | 3.625%–6.400% | 10/1/27–7/24/48 | 33,700 | 38,436 | 1.4% |
| | Wachovia Bank NA | 5.850% | 2/1/37 | 1,420 | 1,776 | 0.1% |
| | Wachovia Corp. | 5.500%–7.500% | 4/15/35–10/15/35 | 1,748 | 2,158 | 0.1% |
| | Wells Fargo & Co. | 3.900%–5.606% | 2/7/35–12/7/46 | 26,624 | 29,334 | 1.0% |
| | Wells Fargo Bank NA | 5.950%–6.600% | 8/26/36–1/15/38 | 3,420 | 4,638 | 0.2% |
| 1 | Wells Fargo Capital X | 5.950% | 12/1/86 | 1,350 | 1,526 | 0.1% |
| 2 | Banking—Other † | | | | 74,153 | 2.7% |
| | Brokerage † | | | | 7,344 | 0.3% |
| | Finance Companies | | | | | |
| | GE Capital International | | | | | |
| | Funding Co. | 4.418% | 11/15/35 | 19,642 | 21,370 | 0.8% |
102
| | | | | | |
| Long-Term Corporate Bond Index Fund | | | | |
| |
| |
| |
| | | | | Face | Market | Percentage |
| | | | Maturity | Amount | Value • | of Net |
| | | Coupon | Date | ($000) | ($000) | Assets |
| Finance Companies—Other † | | | | 852 | 0.0% |
| Insurance | | | | | | |
| Berkshire Hathaway | | | | | | |
| Finance Corp. | 4.300%–5.750% | 1/15/40–5/15/43 | 3,289 | 3,793 | 0.1% |
| Berkshire Hathaway Inc. | | 4.500% | 2/11/43 | 1,665 | 1,858 | 0.1% |
| 2 Insurance—Other † | | | | | 153,568 | 5.5% |
| Real Estate Investment Trusts † | | | | 18,128 | 0.6% |
| | | | | | 478,797 | 17.2% |
| Industrial | | | | | | |
| Basic Industry | | | | | | |
| Lubrizol Corp. | | 6.500% | 10/1/34 | 415 | 554 | 0.0% |
| Vale Overseas Ltd. | | 6.875% | 11/21/36 | 5,520 | 6,327 | 0.2% |
| Basic Industry—Other † | | | | | 116,904 | 4.2% |
| Capital Goods | | | | | | |
| General Electric Capital | | | | | | |
| Corp. | | 6.750% | 3/15/32 | 6,085 | 8,488 | 0.3% |
| General Electric Capital | | | | | | |
| Corp. | | 5.875% | 1/14/38 | 5,628 | 7,304 | 0.3% |
| General Electric Capital | | | | | | |
| Corp. | 6.150%–6.875% | 8/7/37–1/10/39 | 4,486 | 6,298 | 0.2% |
| General Electric Co. | 4.125%–4.500% | 10/9/42–3/11/44 | 7,110 | 7,705 | 0.3% |
| Precision Castparts | | | | | | |
| Corp. | 3.900%–4.375% | 6/15/35–6/15/45 | 1,616 | 1,763 | 0.1% |
| United Technologies Corp. | 4.500% | 6/1/42 | 6,065 | 6,572 | 0.2% |
| 2 Capital Goods—Other † | | | | | 102,913 | 3.7% |
| Communication | | | | | | |
| Ameritech Capital Funding Corp. | 6.550% | 1/15/28 | 435 | 510 | 0.0% |
| AT&T Corp. | | 8.250% | 11/15/31 | 884 | 1,241 | 0.0% |
| AT&T Inc. | | 5.150% | 2/14/50 | 8,850 | 8,924 | 0.3% |
| AT&T Inc. | | 4.900% | 8/14/37 | 8,650 | 8,753 | 0.3% |
| AT&T Inc. | | 5.450% | 3/1/47 | 6,409 | 6,733 | 0.2% |
| AT&T Inc. | | 4.500% | 3/9/48 | 6,958 | 6,441 | 0.2% |
| AT&T Inc. | | 4.750% | 5/15/46 | 6,143 | 5,886 | 0.2% |
| AT&T Inc. | 4.300%–6.550% | 5/15/35–8/14/58 | 49,432 | 50,778 | 1.8% |
| AT&T Mobility LLC | | 7.125% | 12/15/31 | 828 | 1,073 | 0.0% |
| Bellsouth Capital | | | | | | |
| Funding Corp. | | 7.875% | 2/15/30 | 644 | 862 | 0.0% |
| BellSouth LLC | 6.000%–6.875% | 10/15/31–11/15/34 | 1,568 | 1,846 | 0.1% |
| BellSouth | | | | | | |
| Telecommunications LLC | 6.375% | 6/1/28 | 597 | 736 | 0.0% |
| British Telecommunications plc | 9.125% | 12/15/30 | 4,587 | 7,050 | 0.3% |
| Charter Communications | | | | | | |
| Operating LLC / Charter | | | | | | |
| Communications | | | | | | |
| Operating Capital | | 6.484% | 10/23/45 | 6,973 | 8,022 | 0.3% |
| 2 Charter Communications | | | | | | |
| Operating LLC / Charter | | | | | | |
| Communications | | | | | | |
| Operating Capital | 3.750%–6.834% | 2/15/28–10/23/55 | 8,525 | 9,118 | 0.3% |
| Comcast Corp. | 3.150%–7.050% | 2/15/28–8/15/47 | 38,464 | 44,098 | 1.6% |
| Deutsche Telekom | | | | | | |
| International Finance BV | | 8.750% | 6/15/30 | 6,354 | 9,400 | 0.3% |
| NBCUniversal Media | | | | | | |
| LLC | 4.450%–6.400% | 4/30/40–1/15/43 | 5,920 | 7,219 | 0.3% |
103
| | | | | | |
| Long-Term Corporate Bond Index Fund | | | | |
| |
| |
| |
| | | | | Face | Market | Percentage |
| | | | Maturity | Amount | Value • | of Net |
| | | Coupon | Date | ($000) | ($000) | Assets |
| New Cingular Wireless | | | | | | |
| Services Inc. | | 8.750% | 3/1/31 | 1,145 | 1,665 | 0.1% |
| Orange SA | | 9.000% | 3/1/31 | 4,790 | 7,332 | 0.3% |
| TCI Communications Inc. | | 7.125% | 2/15/28 | 521 | 692 | 0.0% |
| Time Warner Cable LLC | 4.500%–7.300% | 5/1/37–9/15/42 | 14,567 | 16,156 | 0.6% |
| Time Warner | | | | | | |
| Entertainment Co. LP | | 8.375% | 7/15/33 | 1,448 | 1,922 | 0.1% |
| Verizon Communications Inc. | 5.012% | 8/21/54 | 9,674 | 9,475 | 0.3% |
| Verizon Communications Inc. | 4.862% | 8/21/46 | 8,785 | 8,738 | 0.3% |
| Verizon Communications Inc. | 4.672% | 3/15/55 | 9,369 | 8,736 | 0.3% |
| Verizon Communications Inc. | 4.522% | 9/15/48 | 8,325 | 7,768 | 0.3% |
| Verizon Communications Inc. | 5.012% | 4/15/49 | 7,154 | 7,182 | 0.3% |
| Verizon Communications Inc. | 5.250% | 3/16/37 | 6,448 | 6,953 | 0.3% |
| Verizon Communications Inc. | 4.500% | 8/10/33 | 6,500 | 6,614 | 0.2% |
| Verizon Communications Inc. | 4.272% | 1/15/36 | 6,025 | 5,857 | 0.2% |
| Verizon Communications | | | | | | |
| Inc. | 3.850%–5.500% | 11/1/34–3/16/47 | 18,631 | 18,188 | 0.7% |
| 2 Communication—Other † | | | | | 127,440 | 4.6% |
| Consumer Cyclical | | | | | | |
| 2 Amazon.com Inc. | | 4.050% | 8/22/47 | 6,150 | 6,338 | 0.2% |
| CVS Health Corp. | | 5.125% | 7/20/45 | 6,378 | 7,382 | 0.3% |
| Home Depot Inc. | | 5.875% | 12/16/36 | 5,177 | 6,739 | 0.3% |
| Visa Inc. | | 4.300% | 12/14/45 | 5,617 | 6,261 | 0.2% |
| Wal-Mart Stores Inc. | | 5.250% | 9/1/35 | 5,275 | 6,494 | 0.2% |
| Wal-Mart Stores Inc. | 4.000%–7.550% | 2/15/30–4/22/44 | 21,386 | 26,817 | 1.0% |
| 2 Consumer Cyclical—Other † | | | | 131,303 | 4.7% |
| Consumer Noncyclical | | | | | | |
| Abbott Laboratories | | 4.900% | 11/30/46 | 6,225 | 6,958 | 0.3% |
| Allergan Funding SCS | | 4.550% | 3/15/35 | 5,300 | 5,693 | 0.2% |
| Amgen Inc. | | 4.663% | 6/15/51 | 6,182 | 6,724 | 0.2% |
| Anheuser-Busch InBev | | | | | | |
| Finance Inc. | | 4.900% | 2/1/46 | 18,067 | 20,516 | 0.7% |
| Anheuser-Busch InBev | | | | | | |
| Finance Inc. | | 4.700% | 2/1/36 | 11,183 | 12,402 | 0.4% |
| Anheuser-Busch InBev | | | | | | |
| Finance Inc. | 4.000%–4.625% | 1/17/43–2/1/44 | 2,665 | 2,784 | 0.1% |
| Anheuser-Busch InBev | | | | | | |
| Worldwide Inc. | 3.750%–8.200% | 1/15/39–10/6/48 | 12,599 | 14,712 | 0.5% |
| AstraZeneca plc | | 6.450% | 9/15/37 | 5,208 | 6,894 | 0.3% |
| GlaxoSmithKline Capital Inc. | 6.375% | 5/15/38 | 4,295 | 5,890 | 0.2% |
| Medtronic Inc. | | 4.625% | 3/15/45 | 7,658 | 8,693 | 0.3% |
| Medtronic Inc. | | 4.375% | 3/15/35 | 5,077 | 5,609 | 0.2% |
| Pfizer Inc. | | 7.200% | 3/15/39 | 4,555 | 6,856 | 0.3% |
| 2 Consumer Noncyclical—Other † | | | | 366,716 | 13.2% |
| Energy | | | | | | |
| Baker Hughes a GE Co. LLC | 5.125% | 9/15/40 | 2,245 | 2,624 | 0.1% |
| ConocoPhillips | | 6.500% | 2/1/39 | 4,795 | 6,308 | 0.2% |
| Shell International Finance BV | 4.375% | 5/11/45 | 5,355 | 5,729 | 0.2% |
| Shell International Finance BV | 6.375% | 12/15/38 | 4,103 | 5,585 | 0.2% |
| 2 Energy—Other † | | | | | 279,148 | 10.0% |
| Other Industrial † | | | | | 13,711 | 0.5% |
| Technology | | | | | | |
| Apple Inc. | | 4.650% | 2/23/46 | 6,398 | 7,271 | 0.3% |
| Apple Inc. | 3.450%–4.500% | 2/23/36–2/9/47 | 22,232 | 23,316 | 0.8% |
104
| | | | | |
| Long-Term Corporate Bond Index Fund | | | | |
| |
| |
| |
| | | | Face | Market | Percentage |
| | | Maturity | Amount | Value • | of Net |
| | Coupon | Date | ($000) | ($000) | Assets |
| Microsoft Corp. | 3.700% | 8/8/46 | 7,381 | 7,386 | 0.3% |
| Microsoft Corp. | 4.250% | 2/6/47 | 5,250 | 5,789 | 0.2% |
| Microsoft Corp. | 4.100% | 2/6/37 | 5,244 | 5,742 | 0.2% |
| Microsoft Corp. | 3.450%–5.300% | 2/12/35–2/6/57 | 37,592 | 40,323 | 1.4% |
| Oracle Corp. | 3.250%–6.500% | 5/15/30–5/15/55 | 29,060 | 32,529 | 1.2% |
| 2 Technology—Other † | | | | 66,121 | 2.4% |
| Transportation | | | | | |
| Burlington Northern | | | | | |
| Santa Fe LLC | 3.900%–6.200% | 8/15/36–6/15/47 | 18,933 | 21,450 | 0.7% |
| 2 Transportation—Other † | | | | 74,666 | 2.7% |
| | | | | 1,937,715 | 69.5% |
| Utilities | | | | | |
| Electric | | | | | |
| Berkshire Hathaway | | | | | |
| Energy Co. | 4.500%–8.480% | 9/15/28–2/1/45 | 8,947 | 11,123 | 0.4% |
| Duke Energy Carolinas | | | | | |
| LLC | 3.750%–6.450% | 12/1/28–3/15/46 | 8,742 | 10,372 | 0.4% |
| Duke Energy Corp. | 3.750%–4.800% | 12/15/45–8/15/47 | 5,260 | 5,285 | 0.2% |
| Duke Energy Florida | | | | | |
| LLC | 3.400%–6.400% | 9/15/37–10/1/46 | 4,164 | 5,073 | 0.2% |
| 1 Duke Energy Florida | | | | | |
| Project Finance LLC | 2.538%–3.112% | 9/1/29–9/1/36 | 1,725 | 1,690 | 0.1% |
| Duke Energy Indiana | | | | | |
| LLC | 3.750%–6.450% | 10/15/35–5/15/46 | 2,617 | 3,263 | 0.1% |
| Duke Energy Ohio Inc. | 3.700% | 6/15/46 | 630 | 632 | 0.0% |
| Duke Energy Progress | | | | | |
| LLC | 3.700%–6.300% | 4/1/38–10/15/46 | 7,276 | 7,949 | 0.3% |
| MidAmerican Energy | | | | | |
| Co. | 3.950%–6.750% | 12/30/31–8/1/47 | 4,460 | 5,402 | 0.2% |
| MidAmerican Funding | | | | | |
| LLC | 6.927% | 3/1/29 | 250 | 336 | 0.0% |
| Nevada Power Co. | 5.450%–6.750% | 4/1/36–5/15/41 | 1,786 | 2,399 | 0.1% |
| Pacific Gas & Electric Co. | 6.050% | 3/1/34 | 6,209 | 8,075 | 0.3% |
| PacifiCorp | 4.100%–7.700% | 11/15/31–2/1/42 | 6,328 | 8,136 | 0.3% |
| Progress Energy Inc. | 6.000%–7.750% | 3/1/31–12/1/39 | 2,612 | 3,583 | 0.1% |
| Sierra Pacific Power Co. | 6.750% | 7/1/37 | 655 | 899 | 0.0% |
| Electric—Other † | | | | 218,911 | 7.8% |
| Natural Gas | | | | | |
| Piedmont Natural Gas | | | | | |
| Co. Inc. | 3.640%–4.650% | 8/1/43–11/1/46 | 825 | 845 | 0.0% |
| Natural Gas—Other † | | | | 19,872 | 0.7% |
| Other Utility † | | | | 7,209 | 0.3% |
| | | | | 321,054 | 11.5% |
| Total Corporate Bonds (Cost $2,633,183) | | | 2,737,566 | 98.2% |
| Taxable Municipal Bonds (Cost $5,279) † | | | 5,561 | 0.2% |
105
| | | | |
| Long-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 $18,613) | 1.224% | 186,100 | 18,614 | 0.7% |
| Total Investments (Cost $2,657,133) | | | 2,761,799 | 99.1% |
| |
| | | | Amount | |
| | | | ($000) | |
| Other Assets and Liabilities | | | | |
| Other Assets | | | | |
| Investment in Vanguard | | | 173 | |
| Receivables for Investment Securities Sold | | | 35,129 | |
| Receivables for Accrued Income | | | 34,271 | |
| Receivables for Capital Shares Issued | | | 329 | |
| Variation Margin Receivable—Futures Contracts | | | 56 | |
| Other Assets 4 | | | 431 | |
| Total Other Assets | | | 70,389 | 2.5% |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | (43,957) | |
| Payables for Capital Shares Redeemed | | | (186) | |
| Payables for Distributions | | | (254) | |
| Payables to Vanguard | | | (630) | |
| Variation Margin Payable—Futures Contracts | | | (65) | |
| Other Liabilities | | | (600) | |
| Total Liabilities | | | (45,692) | (1.6%) |
| Net Assets | | | 2,786,496 | 100.0% |
| |
| |
| At August 31, 2017, net assets consisted of: | | | | |
| | | | | Amount |
| | | | | ($000) |
| Paid-in Capital | | | | 2,711,793 |
| Undistributed Net Investment Income | | | | 7,198 |
| Accumulated Net Realized Losses | | | | (37,207) |
| Unrealized Appreciation (Depreciation) | | | | |
| Investment Securities | | | | 104,666 |
| Futures Contracts | | | | 46 |
| Net Assets | | | | 2,786,496 |
| |
| |
| ETF Shares—Net Assets | | | | |
| Applicable to 22,304,182 outstanding $.001 par value shares of | | | |
| beneficial interest (unlimited authorization) | | | | 2,098,161 |
| Net Asset Value Per Share—ETF Shares | | | | $94.07 |
106
| |
| Long-Term Corporate Bond Index Fund | |
| |
| |
| |
| | Amount |
| | ($000) |
| Admiral Shares—Net Assets | |
| Applicable to 6,376,319 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 160,570 |
| Net Asset Value Per Share—Admiral Shares | $25.18 |
| |
| Institutional Shares—Net Assets | |
| Applicable to 16,886,137 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 527,765 |
| Net Asset Value Per Share—Institutional Shares | $31.25 |
• See Note A in Notes to Financial Statements.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer,
represent 1% or less of net assets.
1 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and
prepayments or the possibility of the issue being called.
2 Certain of the fund’s securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold
in transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2017, the aggregate value of these
securities was $49,747,000, representing 1.8% 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 with a value of $417,000 has been segregated as initial margin for open futures contracts.
| | | | |
| Derivative Financial Instruments Outstanding as of Period End | | |
| |
| Futures Contracts | | | | |
| | | | | ($000) |
| | | | | Value and |
| | | Number of | | Unrealized |
| | | Long (Short) | Notional | Appreciation |
| | Expiration | Contracts | Amount | (Depreciation) |
| Long Futures Contracts | | | | |
| 30-Year U. S. Treasury Bond | December 2017 | 87 | 13,580 | 47 |
| Ultra 10-Year U.S. Treasury Note | December 2017 | 24 | 3,277 | 1 |
| | | | | 48 |
| Short Futures Contracts | | | | |
| Ultra Long U.S. Treasury Bond | December 2017 | (36) | (6,086) | (2) |
| | | | | 46 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
107
| |
| Long-Term Corporate Bond Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Year Ended |
| | August 31, 2017 |
| | ($000) |
| Investment Income | |
| Income | |
| Interest1 | 96,519 |
| Total Income | 96,519 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 73 |
| Management and Administrative—ETF Shares | 863 |
| Management and Administrative—Admiral Shares | 55 |
| Management and Administrative—Institutional Shares | 178 |
| Marketing and Distribution—ETF Shares | 108 |
| Marketing and Distribution—Admiral Shares | 12 |
| Marketing and Distribution—Institutional Shares | 17 |
| Custodian Fees | 33 |
| Auditing Fees | 46 |
| Shareholders’ Reports and Proxy—ETF Shares | 83 |
| Shareholders’ Reports and Proxy—Admiral Shares | 5 |
| Shareholders’ Reports and Proxy—Institutional Shares | — |
| Trustees’ Fees and Expenses | 2 |
| Total Expenses | 1,475 |
| Net Investment Income | 95,044 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 9,212 |
| Futures Contracts | (609) |
| Realized Net Gain (Loss) | 8,603 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | (37,135) |
| Futures Contracts | 41 |
| Change in Unrealized Appreciation (Depreciation) | (37,094) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 66,553 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $103,000 and $3,000, respectively.
See accompanying Notes, which are an integral part of the Financial Statements.
108
| | |
| Long-Term Corporate Bond Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Year Ended August 31, |
| | 2017 | 2016 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 95,044 | 69,102 |
| Realized Net Gain (Loss) | 8,603 | (18,470) |
| Change in Unrealized Appreciation (Depreciation) | (37,094) | 215,453 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 66,553 | 266,085 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (68,989) | (50,023) |
| Admiral Shares | (4,937) | (3,526) |
| Institutional Shares | (18,938) | (14,304) |
| Realized Capital Gain | | |
| ETF Shares | — | — |
| Admiral Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (92,864) | (67,853) |
| Capital Share Transactions | | |
| ETF Shares | 623,715 | 375,872 |
| Admiral Shares | 70,782 | 12,353 |
| Institutional Shares | 150,313 | 46,986 |
| Net Increase (Decrease) from Capital Share Transactions | 844,810 | 435,211 |
| Total Increase (Decrease) | 818,499 | 633,443 |
| Net Assets | | |
| Beginning of Period | 1,967,997 | 1,334,554 |
| End of Period1 | 2,786,496 | 1,967,997 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $7,198,000 and $5,018,000.
See accompanying Notes, which are an integral part of the Financial Statements.
109
| | | | | |
| Long-Term Corporate Bond Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| ETF Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $96.37 | $85.25 | $92.38 | $82.11 | $92.15 |
| Investment Operations | | | | | |
| Net Investment Income | 3.8971 | 3.905 | 3.910 | 3.964 | 4.018 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments 2 | (2.356) | 11.127 | (7.127) | 9.937 | (9.816) |
| Total from Investment Operations | 1.541 | 15.032 | (3.217) | 13.901 | (5.798) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (3.841) | (3.912) | (3.913) | (3.631) | (4.018) |
| Distributions from Realized Capital Gains | — | — | — | — | (.224) |
| Total Distributions | (3.841) | (3.912) | (3.913) | (3.631) | (4.242) |
| Net Asset Value, End of Period | $94.07 | $96.37 | $85.25 | $92.38 | $82.11 |
| |
| Total Return | 1.81% | 18.21% | -3.64% | 17.35% | -6.55% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $2,098 | $1,494 | $972 | $878 | $624 |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 4.27% | 4.46% | 4.37% | 4.63% | 4.47% |
| Portfolio Turnover Rate 3 | 56% | 59% | 64% | 54% | 57% |
1 Calculated based on average shares outstanding.
2 Includes increases from purchase fees of $.09, $.03, $.11, $.05, and $.07.
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.
110
| | | | | |
| Long-Term Corporate Bond Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| Admiral Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $25.79 | $22.80 | $24.71 | $22.04 | $24.74 |
| Investment Operations | | | | | |
| Net Investment Income | 1.0471 | 1.047 | 1.048 | 1.066 | 1.078 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments 2 | (.625) | 2.991 | (1.911) | 2.669 | (2.640) |
| Total from Investment Operations | .422 | 4.038 | (.863) | 3.735 | (1.562) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (1.032) | (1.048) | (1.047) | (1.065) | (1.078) |
| Distributions from Realized Capital Gains | — | — | — | — | (.060) |
| Total Distributions | (1.032) | (1.048) | (1.047) | (1.065) | (1.138) |
| Net Asset Value, End of Period | $25.18 | $25.79 | $22.80 | $24.71 | $22.04 |
| |
| Total Return3 | 1.84% | 18.21% | -3.66% | 17.37% | -6.57% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $161 | $90 | $67 | $44 | $18 |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 4.27% | 4.46% | 4.37% | 4.63% | 4.47% |
| Portfolio Turnover Rate 4 | 56% | 59% | 64% | 54% | 57% |
Signal Shares were renamed Admiral Shares in October 2013. Prior periods’ Financial Highlights are for the Signal class.
1 Calculated based on average shares outstanding.
2 Includes increases from purchase fees of $.02, $.01, $.02, $.01, and $.01.
3 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.
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.
111
| | | | | |
| Long-Term Corporate Bond Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| Institutional Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $32.02 | $28.31 | $30.68 | $27.37 | $30.71 |
| Investment Operations | | | | | |
| Net Investment Income | 1.3061 | 1.306 | 1.310 | 1.331 | 1.347 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments 2 | (.790) | 3.710 | (2.370) | 3.308 | (3.265) |
| Total from Investment Operations | .516 | 5.016 | (1.060) | 4.639 | (1.918) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (1.286) | (1.306) | (1.310) | (1.329) | (1.347) |
| Distributions from Realized Capital Gains | — | — | — | — | (.075) |
| Total Distributions | (1.286) | (1.306) | (1.310) | (1.329) | (1.422) |
| Net Asset Value, End of Period | $31.25 | $32.02 | $28.31 | $30.68 | $27.37 |
| |
| Total Return3 | 1.81% | 18.22% | -3.62% | 17.38% | -6.50% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $528 | $384 | $296 | $250 | $206 |
| Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.07% | 0.09% | 0.09% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 4.29% | 4.48% | 4.40% | 4.66% | 4.50% |
| Portfolio Turnover Rate 4 | 56% | 59% | 64% | 54% | 57% |
1 Calculated based on average shares outstanding.
2 Includes increases from purchase fees of $.03, $.01, $.03, $.02, and $.01.
3 Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about
any applicable transaction fees.
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.
112
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. 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 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 notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2017, the fund’s average investments in long and short futures contracts each represented less than 1% of net assets, based on the notional amounts at each quarter-end during the period.
113
Long-Term Corporate Bond 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, 2014–2017), 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, 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 August 31, 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), shareholder reporting, and the proxy. 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 August 31, 2017, the fund had contributed to Vanguard capital in the amount of $173,000, 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.
114
Long-Term Corporate Bond Index Fund
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). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of August 31, 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 | — | 58 | — |
| Corporate Bonds | — | 2,737,566 | — |
| Taxable Municipal Bonds | — | 5,561 | — |
| Temporary Cash Investments | 18,614 | — | — |
| Futures Contracts—Assets1 | 56 | — | — |
| Futures Contracts—Liabilities1 | (65) | — | — |
| Total | 18,605 | 2,743,185 | — |
| 1 Represents variation margin on the last day of the reporting period. | | | |
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 year ended August 31, 2017, the fund realized $13,658,000 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.
For tax purposes, at August 31, 2017, the fund had $8,003,000 of ordinary income available for distribution. The fund had available capital losses totaling $36,018,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2017, the cost of investment securities for tax purposes was $2,658,276,000. Net unrealized appreciation of investment securities for tax purposes was $103,523,000, consisting of unrealized gains of $111,691,000 on securities that had risen in value since their purchase and $8,168,000 in unrealized losses on securities that had fallen in value since their purchase.
115
Long-Term Corporate Bond Index Fund
E. During the year ended August 31, 2017, the fund purchased $1,880,202,000 of investment securities and sold $1,058,508,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $586,752,000 and $587,083,000, respectively. Total purchases and sales include $990,013,000 and $405,064,000 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 year ended August 31, 2017, such purchases and sales were $315,173,000 and $465,120,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
| | | | |
| F. Capital share transactions for each class of shares were: | | | |
| | | | Year Ended August 31, |
| | | 2017 | | 2016 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued1 | 1,037,964 | 11,403 | 587,866 | 6,602 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (414,249) | (4,600) | (211,994) | (2,500) |
| Net Increase (Decrease)—ETF Shares | 623,715 | 6,803 | 375,872 | 4,102 |
| Admiral Shares | | | | |
| Issued1 | 97,733 | 4,001 | 49,620 | 2,062 |
| Issued in Lieu of Cash Distributions | 3,760 | 154 | 2,788 | 117 |
| Redeemed | (30,711) | (1,269) | (40,055) | (1,605) |
| Net Increase (Decrease)—Admiral Shares | 70,782 | 2,886 | 12,353 | 574 |
| Institutional Shares | | | | |
| Issued1 | 163,296 | 5,330 | 43,967 | 1,424 |
| Issued in Lieu of Cash Distributions | 18,070 | 595 | 14,304 | 485 |
| Redeemed | (31,053) | (1,034) | (11,285) | (380) |
| Net Increase (Decrease)—Institutional Shares | 150,313 | 4,891 | 46,986 | 1,529 |
1 Includes purchase fees for fiscal 2017 and 2016 of $2,617,000 and $724,000, respectively (fund totals).
G. Management has determined that no material events or transactions occurred subsequent to August 31, 2017, that would require recognition or disclosure in these financial statements.
116
Mortgage-Backed Securities Index Fund
Fund Profile
As of August 31, 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 | 2.26% | 2.25% | 2.27% |
| | |
| Volatility Measures | | |
| | Bloomberg | |
| | Barclays | Bloomberg |
| | MBS | Barclays |
| | Float Adj | Aggregate |
| | Index | FA Index |
| R-Squared | 0.99 | 0.80 |
| Beta | 1.06 | 0.54 |
| | | |
| Financial Attributes | | |
| |
| | | Bloomberg | |
| | | Barclays | Bloomberg |
| | | MBS | Barclays |
| | | Float Adj | Aggregate |
| | Fund | Index | FA Index |
| |
| Number of Bonds | 5492 | 318 | 9,397 |
| |
| Yield to Maturity | | | |
| (before expenses) | 2.7% | 2.7% | 2.4% |
| |
| Average Coupon | 3.6% | 3.6% | 3.0% |
| |
| Average Duration | 4.1 years | 4.2 years | 6.1 years |
| |
| Average Effective | | | |
| Maturity | 6.4 years | 6.5 years | 8.2 years |
| |
| Short-Term | | | |
| Reserves | 12.1% | — | — |
| |
| Sector Diversification (% of portfolio) | |
| Government Mortgage-Backed | 100.0% |
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 | 0.1% |
| 1 - 3 Years | 1.5 |
| 3 - 5 Years | 16.8 |
| 5 - 10 Years | 81.6 |
| |
| Distribution by Credit Quality (% of portfolio) |
| U.S. Government | 100.0% |
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.
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.
| |
| Distribution by Coupon (% of portfolio) | |
| 0 - 5.0 | 96.5% |
| More Than 5.0 - 5.5 | 2.1 |
| More Than 5.5 - 6.0 | 1.2 |
| More Than 6.0 - 6.5 | 0.2 |
1 The expense ratios shown are from the prospectus dated December 22, 2016, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2017, the 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.
117
Mortgage-Backed Securities Index Fund
Investment Focus
118
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.
Cumulative Performance: November 19, 2009, Through August 31, 2017
Initial Investment of $10,000
| | | | | |
| | | Average Annual Total Returns | |
| | | Periods Ended August 31, 2017 | |
| |
| | | | | Since | Final Value |
| | | One | Five | Inception | of a $10,000 |
| | | Year | Years | (11/19/2009) | Investment |
| |
| | Mortgage-Backed Securities Index Fund | | | | |
| | ETF Shares Net Asset Value | 0.74% | 1.92% | 2.92% | $12,507 |
| | Mortgage-Backed Securities Index Fund | | | | |
| | ETF Shares Market Price | 0.71 | 1.91 | 2.92 | 12,514 |
| | Bloomberg Barclays U.S. MBS Float | | | | |
| • • • • • • • • | | | | | |
| | Adjusted Index | 0.81 | 2.01 | 2.95 | 12,540 |
| |
| – – – – | U.S. Mortgage Funds Average | 1.62 | 2.18 | 3.37 | 12,944 |
| | Spliced Bloomberg Barclays U.S. | | | | |
| | Aggregate Float Adjusted Index | 0.46 | 2.20 | 3.64 | 13,206 |
For a benchmark description, see the Glossary.
U.S. Mortgage Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
119
| | | | |
| Mortgage-Backed Securities Index Fund | | | | |
| |
| |
| |
| |
| | Average Annual Total Returns | |
| | Periods Ended August 31, 2017 | |
| | | | Since | Final Value |
| | One | Five | Inception | of a $10,000 |
| | Year | Years | (12/3/2009) | Investment |
| Mortgage-Backed Securities Index Fund | | | | |
| Admiral Shares | 0.76% | 1.92% | 2.90% | $12,481 |
| Bloomberg Barclays U.S. MBS Float | | | | |
| Adjusted Index | 0.81 | 2.01 | 2.95 | 12,528 |
| Spliced Bloomberg Barclays U.S. Aggregate | | | | |
| Float Adjusted Index | 0.46 | 2.20 | 3.64 | 13,190 |
"Since Inception" performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative standards.
| | | |
| | | Since | Final Value |
| | One | Inception | of a $5,000,000 |
| | Year | (10/31/2013) | Investment |
| Mortgage-Backed Securities Index Fund | | | |
| Institutional Shares | 0.79% | 2.66% | $5,529,169 |
| Bloomberg Barclays U.S. MBS Float | | | |
| Adjusted Index | 0.81 | 2.67 | 5,531,568 |
| Spliced Bloomberg Barclays U.S. Aggregate | | | |
| Float Adjusted Index | 0.46 | 3.08 | 5,616,663 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
| | | |
| Cumulative Returns of ETF Shares: November 19, 2009, Through August 31, 2017 | |
| |
| | | | Since |
| | One | Five | Inception |
| | Year | Years | (11/19/2009) |
| Mortgage-Backed Securities Index Fund ETF Shares | | | |
| Market Price | 0.71% | 1.91% | 25.14% |
| Mortgage-Backed Securities Index Fund ETF Shares | | | |
| Net Asset Value | 0.74 | 1.92 | 25.07 |
| |
| Bloomberg Barclays U.S. MBS Float Adjusted Index | 0.81 | 2.01 | 25.40 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
120
Mortgage-Backed Securities Index Fund
| | |
| Fiscal-Year Total Returns (%): November 19, 2009, Through August 31, 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 | 0.74 | 0.81 |
Average Annual Total Returns: Periods Ended June 30, 2017
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 | | -0.10% | 1.86% | | | 2.84% |
| Net Asset Value | | -0.10 | 1.89 | | | 2.83 |
| Admiral Shares | 12/3/2009 | -0.08 | 1.89 | 1.70% | 1.12% | 2.82 |
| Institutional Shares | 10/31/2013 | -0.06 | — | 1.76 | 0.71 | 2.47 |
121
Mortgage-Backed Securities Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 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 (99.8%) | | | |
| Conventional Mortgage-Backed Securities (99.6%) | | | |
| 1,2 | Fannie Mae Pool | 2.000% | 11/1/27–11/1/31 | 10,000 | 9,952 |
| 1,2,3Fannie Mae Pool | 2.500% | 11/1/26–10/1/46 | 158,247 | 160,689 |
| 1,2,3Fannie Mae Pool | 3.000% | 11/1/25–10/1/47 | 538,899 | 549,693 |
| 1,2,3Fannie Mae Pool | 3.500% | 10/1/20–10/1/47 | 547,204 | 568,776 |
| 1,2,3Fannie Mae Pool | 4.000% | 7/1/18–10/1/47 | 377,989 | 400,471 |
| 1,2,3Fannie Mae Pool | 4.500% | 2/1/18–9/1/47 | 150,536 | 162,496 |
| 1,2,3Fannie Mae Pool | 5.000% | 10/1/17–9/1/47 | 63,172 | 69,165 |
| 1,2 | Fannie Mae Pool | 5.500% | 9/1/17–2/1/42 | 48,421 | 53,798 |
| 1,2 | Fannie Mae Pool | 6.000% | 3/1/18–5/1/41 | 34,769 | 39,177 |
| 1,2 | Fannie Mae Pool | 6.500% | 10/1/21–10/1/39 | 8,100 | 9,087 |
| 1,2 | Fannie Mae Pool | 7.000% | 12/1/22–10/1/37 | 763 | 893 |
| 1,2 | Fannie Mae Pool | 7.500% | 11/1/22 | 6 | 6 |
| 1,2 | Freddie Mac Gold Pool | 2.000% | 1/1/28–12/1/31 | 6,671 | 6,650 |
| 1,2,3Freddie Mac Gold Pool | 2.500% | 8/1/22–10/1/46 | 115,553 | 117,443 |
| 1,2,3Freddie Mac Gold Pool | 3.000% | 1/1/26–9/1/47 | 372,251 | 379,201 |
| 1,2,3Freddie Mac Gold Pool | 3.500% | 9/1/25–9/1/47 | 345,636 | 359,442 |
| 1,2,3Freddie Mac Gold Pool | 4.000% | 7/1/18–10/1/47 | 215,338 | 228,209 |
| 1,2,3Freddie Mac Gold Pool | 4.500% | 1/1/18–9/1/47 | 86,904 | 93,526 |
| 1,2 | Freddie Mac Gold Pool | 5.000% | 10/1/17–3/1/42 | 36,638 | 39,994 |
| 1,2 | Freddie Mac Gold Pool | 5.500% | 4/1/21–6/1/41 | 32,018 | 35,282 |
| 1,2 | Freddie Mac Gold Pool | 6.000% | 1/1/24–5/1/40 | 18,246 | 20,543 |
| 1,2 | Freddie Mac Gold Pool | 6.500% | 10/1/28–9/1/39 | 3,711 | 4,125 |
| 1,2 | Freddie Mac Gold Pool | 7.000% | 7/1/28–12/1/38 | 304 | 355 |
| 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 | 24,166 | 24,781 |
| 1,3 | Ginnie Mae I Pool | 3.500% | 2/15/26–9/1/47 | 23,855 | 24,990 |
| 1,3 | Ginnie Mae I Pool | 4.000% | 7/15/24–9/1/47 | 37,037 | 39,194 |
| 1,3 | Ginnie Mae I Pool | 4.500% | 9/15/18–9/1/47 | 36,238 | 38,978 |
| 1 | Ginnie Mae I Pool | 5.000% | 1/15/18–4/15/41 | 22,351 | 24,528 |
| 1 | Ginnie Mae I Pool | 5.500% | 10/15/32–3/15/40 | 10,300 | 11,522 |
| 1 | Ginnie Mae I Pool | 6.000% | 4/15/28–5/15/41 | 3,528 | 4,015 |
| 1 | Ginnie Mae I Pool | 6.500% | 5/15/24–1/15/39 | 182 | 205 |
| 1 | Ginnie Mae I Pool | 7.000% | 10/15/27 | 5 | 6 |
| 1 | Ginnie Mae II Pool | 2.500% | 6/20/27–11/20/46 | 26,655 | 26,630 |
| 1,3 | Ginnie Mae II Pool | 3.000% | 10/20/26–10/1/47 | 360,468 | 368,531 |
| 1,3 | Ginnie Mae II Pool | 3.500% | 12/20/25–10/1/47 | 504,583 | 527,197 |
122
| | | | | |
| Mortgage-Backed Securities Index Fund | | | | |
| |
| |
| |
| | | | | Face | Market |
| | | | Maturity | Amount | Value • |
| | | Coupon | Date | ($000) | ($000) |
| 1,3 | Ginnie Mae II Pool | 4.000% | 9/20/25–9/1/47 | 237,660 | 251,044 |
| 1,3 | Ginnie Mae II Pool | 4.500% | 4/20/18–9/1/47 | 92,397 | 99,244 |
| 1 | Ginnie Mae II Pool | 5.000% | 6/20/33–3/20/46 | 34,834 | 37,893 |
| 1 | Ginnie Mae II Pool | 5.500% | 11/20/33–5/20/45 | 14,348 | 15,782 |
| 1 | Ginnie Mae II Pool | 6.000% | 3/20/31–9/20/41 | 5,315 | 5,922 |
| 1 | Ginnie Mae II Pool | 6.500% | 10/20/28–9/20/40 | 519 | 596 |
| 1 | Ginnie Mae II Pool | 7.000% | 4/20/38–11/20/38 | 93 | 111 |
| | | | | | 4,810,143 |
| Nonconventional Mortgage-Backed Securities (0.2%) | | | |
| 1,2 | Fannie Mae Pool | 2.123% | 3/1/43 | 556 | 560 |
| 1,2 | Fannie Mae Pool | 2.182% | 6/1/43 | 331 | 334 |
| 1,2 | Fannie Mae Pool | 2.269% | 7/1/43 | 925 | 930 |
| 1,2 | Fannie Mae Pool | 2.423% | 10/1/42 | 394 | 398 |
| 1,2,4Fannie Mae Pool | 2.512% | 9/1/42 | 559 | 584 |
| 1,2,4Fannie Mae Pool | 2.627% | 9/1/37 | 29 | 31 |
| 1,2,4Fannie Mae Pool | 2.920% | 12/1/41 | 104 | 107 |
| 1,2,4Fannie Mae Pool | 3.140% | 10/1/39 | 24 | 25 |
| 1,2,4Fannie Mae Pool | 3.271% | 11/1/41 | 31 | 33 |
| 1,2,4Fannie Mae Pool | 3.275% | 12/1/39 | 233 | 242 |
| 1,2,4Fannie Mae Pool | 3.283% | 10/1/40 | 13 | 14 |
| 1,2,4Fannie Mae Pool | 3.303% | 12/1/40 | 202 | 213 |
| 1,2,4Fannie Mae Pool | 3.305% | 11/1/41 | 98 | 104 |
| 1,2,4Fannie Mae Pool | 3.307% | 12/1/41 | 106 | 112 |
| 1,2,4Fannie Mae Pool | 3.315% | 11/1/40–12/1/40 | 19 | 20 |
| 1,2 | Fannie Mae Pool | 3.354% | 8/1/42 | 132 | 134 |
| 1,2,4Fannie Mae Pool | 3.370% | 3/1/42 | 93 | 99 |
| 1,2,4Fannie Mae Pool | 3.401% | 1/1/42 | 198 | 208 |
| 1,2,4Fannie Mae Pool | 3.435% | 12/1/40 | 8 | 9 |
| 1,2,4Fannie Mae Pool | 3.444% | 6/1/42 | 1,130 | 1,176 |
| 1,2,4Fannie Mae Pool | 3.447% | 1/1/40 | 3 | 3 |
| 1,2,4Fannie Mae Pool | 3.460% | 5/1/42 | 42 | 43 |
| 1,2,5Fannie Mae Pool | 3.467% | 5/1/42 | 113 | 118 |
| 1,2,4Fannie Mae Pool | 3.471% | 2/1/41 | 5 | 5 |
| 1,2,4Fannie Mae Pool | 3.481% | 4/1/37 | 12 | 12 |
| 1,2,4Fannie Mae Pool | 3.501% | 3/1/41 | 183 | 193 |
| 1,2,5Fannie Mae Pool | 3.544% | 2/1/42 | 160 | 172 |
| 1,2,4Fannie Mae Pool | 3.573% | 9/1/40 | 222 | 234 |
| 1,2 | Fannie Mae Pool | 3.608% | 4/1/41 | 56 | 58 |
| 1,2,5Fannie Mae Pool | 3.627% | 10/1/37 | 99 | 102 |
| 1,2,4Fannie Mae Pool | 3.630% | 5/1/41 | 54 | 57 |
| 1,2,4Fannie Mae Pool | 3.632% | 5/1/40 | 3 | 3 |
| 1,2,5Fannie Mae Pool | 3.747% | 8/1/39 | 60 | 61 |
| 1,2,4Fannie Mae Pool | 3.848% | 11/1/39 | 22 | 23 |
| 1,2,4Fannie Mae Pool | 5.188% | 3/1/38 | 6 | 6 |
| 1,2 | Freddie Mac Non Gold Pool | 2.530% | 11/1/43 | 418 | 421 |
| 1,2,4Freddie Mac Non Gold Pool | 3.110% | 10/1/37 | 13 | 14 |
| 1,2,4Freddie Mac Non Gold Pool | 3.363% | 12/1/40 | 30 | 32 |
| 1,2,4Freddie Mac Non Gold Pool | 3.365% | 2/1/37 | 17 | 18 |
| 1,2,4Freddie Mac Non Gold Pool | 3.385% | 12/1/39 | 20 | 21 |
| 1,2,4Freddie Mac Non Gold Pool | 3.408% | 2/1/42 | 43 | 45 |
| 1,2 | Freddie Mac Non Gold Pool | 3.609% | 9/1/40 | 60 | 63 |
| 1,2,4Freddie Mac Non Gold Pool | 3.653% | 2/1/41 | 143 | 152 |
| 1,2,4Freddie Mac Non Gold Pool | 3.660% | 2/1/41 | 7 | 8 |
| 1,2,4Freddie Mac Non Gold Pool | 3.695% | 5/1/40 | 2 | 2 |
123
| | | | |
| Mortgage-Backed Securities Index Fund | | | | |
| |
| |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value • |
| | Coupon | Date | ($000) | ($000) |
| 1,2,4Freddie Mac Non Gold Pool | 3.699% | 6/1/41 | 78 | 80 |
| 1,2,4Freddie Mac Non Gold Pool | 3.714% | 6/1/40 | 64 | 67 |
| 1,2,4Freddie Mac Non Gold Pool | 3.715% | 6/1/40 | 40 | 42 |
| 1,2,4Freddie Mac Non Gold Pool | 3.732% | 6/1/37 | 315 | 335 |
| 1,2 Freddie Mac Non Gold Pool | 5.056% | 3/1/38 | 75 | 79 |
| 1,4,6Ginnie Mae II Pool | 2.250% | 11/20/40–12/20/42 | 559 | 574 |
| 1,4,6Ginnie Mae II Pool | 2.375% | 1/20/41–2/20/41 | 526 | 545 |
| 1,6 Ginnie Mae II Pool | 2.500% | 7/20/41–8/20/41 | 133 | 137 |
| 1,6 Ginnie Mae II Pool | 2.625% | 4/20/41 | 7 | 7 |
| 1 Ginnie Mae II Pool | 3.000% | 11/20/40 | 16 | 17 |
| 1,6 Ginnie Mae II Pool | 3.125% | 5/20/41 | 9 | 9 |
| | | | | 9,091 |
| Total U.S. Government and Agency Obligations (Cost $4,824,078) | | 4,819,234 |
| |
| | | | Shares | |
| Temporary Cash Investment (13.7%) | | | | |
| Money Market Fund (13.7%) | | | | |
| 7 Vanguard Market Liquidity Fund | | | | |
| (Cost $661,436) | 1.224% | | 6,614,006 | 661,533 |
| Total Investments (113.5%) (Cost $5,485,514) | | | | 5,480,767 |
| Other Assets and Liabilities (-13.5%) | | | | |
| Other Assets | | | | 160,931 |
| Liabilities | | | | (810,861) |
| | | | | (649,930) |
| Net Assets (100%) | | | | 4,830,837 |
| |
| | | | | Amount |
| | | | | ($000) |
| Statement of Assets and Liabilities | | | | |
| Assets | | | | |
| Investments in Securities, at Value | | | | |
| Unaffiliated Issuers | | | | 4,819,234 |
| Affiliated Vanguard Funds | | | | 661,533 |
| Total Investments in Securities | | | | 5,480,767 |
| Investment in Vanguard | | | | 305 |
| Receivables for Investment Securities Sold | | | | 129,569 |
| Receivables for Accrued Income | | | | 13,779 |
| Receivables for Capital Shares Issued | | | | 14,514 |
| Other Assets | | | | 2,764 |
| Total Assets | | | | 5,641,698 |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | | 806,174 |
| Payables for Capital Shares Redeemed | | | | 2,272 |
| Payables for Distributions | | | | 459 |
| Payables to Vanguard | | | | 799 |
| Other Liabilities | | | | 1,157 |
| Total Liabilities | | | | 810,861 |
| Net Assets | | | | 4,830,837 |
124
| |
| Mortgage-Backed Securities Index Fund | |
| |
| |
| At August 31, 2017, net assets consisted of: | |
| | Amount |
| | ($000) |
| Paid-in Capital | 4,830,971 |
| Undistributed Net Investment Income | 7,955 |
| Accumulated Net Realized Losses | (3,342) |
| Unrealized Appreciation (Depreciation) | (4,747) |
| Net Assets | 4,830,837 |
| |
| ETF Shares—Net Assets | |
| Applicable to 80,226,190 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 4,252,249 |
| Net Asset Value Per Share—ETF Shares | $53.00 |
| |
| Admiral Shares—Net Assets | |
| Applicable to 24,875,182 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 526,589 |
| Net Asset Value Per Share—Admiral Shares | $21.17 |
| |
| Institutional Shares—Net Assets | |
| Applicable to 1,812,762 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 51,999 |
| Net Asset Value Per Share—Institutional Shares | $28.69 |
• See Note A in Notes to Financial 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 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the
Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange
for senior preferred stock.
3 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of
August 31, 2017.
4 Adjustable-rate security based upon 12-month USD LIBOR plus spread.
5 Adjustable-rate security based upon 6-month USD LIBOR plus spread.
6 Adjustable-rate security based upon one-year Constant Maturity Treasury yield plus margin.
7 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.
125
| |
| Mortgage-Backed Securities Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Year Ended |
| | August31,2017 |
| | ($000) |
| Investment Income | |
| Income | |
| Interest1 | 84,214 |
| Total Income | 84,214 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 133 |
| Management and Administrative—ETF Shares | 1,523 |
| Management and Administrative—Admiral Shares | 264 |
| Management and Administrative—Institutional Shares | 19 |
| Marketing and Distribution—ETF Shares | 226 |
| Marketing and Distribution—Admiral Shares | 52 |
| Marketing and Distribution—Institutional Shares | 1 |
| Custodian Fees | 108 |
| Auditing Fees | 41 |
| Shareholders’ Reports and Proxy—ETF Shares | 439 |
| Shareholders’ Reports and Proxy—Admiral Shares | 19 |
| Shareholders’ Reports and Proxy—Institutional Shares | — |
| Trustees’ Fees and Expenses | 3 |
| Total Expenses | 2,828 |
| Net Investment Income | 81,386 |
| Realized Net Gain (Loss) on Investment Securities Sold1 | (3,034) |
| Change in Unrealized Appreciation (Depreciation) of Investment Securities | (33,643) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 44,709 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $6,189,000 and $55,000, respectively.
See accompanying Notes, which are an integral part of the Financial Statements.
126
| | |
| Mortgage-Backed Securities Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Year Ended August 31, |
| | 2017 | 2016 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 81,386 | 48,343 |
| Realized Net Gain (Loss) | (3,034) | 16,405 |
| Change in Unrealized Appreciation (Depreciation) | (33,643) | 28,093 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 44,709 | 92,841 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (66,407) | (36,243) |
| Admiral Shares | (10,261) | (8,968) |
| Institutional Shares | (951) | (814) |
| Realized Capital Gain1 | | |
| ETF Shares | (9,143) | (8,196) |
| Admiral Shares | (1,699) | (2,007) |
| Institutional Shares | (139) | (197) |
| Total Distributions | (88,600) | (56,425) |
| Capital Share Transactions | | |
| ETF Shares | 1,449,272 | 1,357,217 |
| Admiral Shares | (18,274) | 122,904 |
| Institutional Shares | 6,068 | 2,429 |
| Net Increase (Decrease) from Capital Share Transactions | 1,437,066 | 1,482,550 |
| Total Increase (Decrease) | 1,393,175 | 1,518,966 |
| Net Assets | | |
| Beginning of Period | 3,437,662 | 1,918,696 |
| End of Period2 | 4,830,837 | 3,437,662 |
1 Includes fiscal 2017 and 2016 short-term gain distributions totaling $10,882,000 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 $7,955,000 and $4,188,000.
See accompanying Notes, which are an integral part of the Financial Statements.
127
| | | | | |
| Mortgage-Backed Securities Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| ETF Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $53.79 | $53.05 | $52.65 | $50.85 | $52.63 |
| Investment Operations | | | | | |
| Net Investment Income | 1.0591 | .967 | .748 | .887 | . 292 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments 2 | (.682) | .968 | .554 | 1.741 | (1.524) |
| Total from Investment Operations | .377 | 1.935 | 1.302 | 2.628 | (1.232) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (1.004) | (. 955) | (.741) | (. 828) | (. 294) |
| Distributions from Realized Capital Gains | (.163) | (. 240) | (.161) | — | (. 254) |
| Total Distributions | (1.167) | (1.195) | (.902) | (.828) | (.548) |
| Net Asset Value, End of Period | $53.00 | $53.79 | $53.05 | $52.65 | $50.85 |
| |
| Total Return | 0.74% | 3.70% | 2.49% | 5.21% | -2.36% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $4,252 | $2,837 | $1,451 | $542 | $417 |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 2.00% | 1.85% | 1.43% | 1.72% | 0.57% |
| Portfolio Turnover Rate 3 | 339% | 380% | 713% | 514% | 840% |
1 Calculated based on average shares outstanding.
2 Includes increases from purchase fees of $.00, $.01, $.01, $.01, and $.01.
3 Includes 133%, 175%, 331%, 294%, and 371% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
128
| | | | | |
| Mortgage-Backed Securities Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| Admiral Shares | | | | | |
| |
| For a Share Outstanding | | | Year Ended August 31, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $21.49 | $21.20 | $21.05 | $20.35 | $21.06 |
| Investment Operations | | | | | |
| Net Investment Income | . 4131 | .388 | .298 | .356 | .118 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (.258) | .387 | .214 | .699 | (.608) |
| Total from Investment Operations | .155 | .775 | .512 | 1.055 | (.490) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (. 410) | (. 389) | (. 297) | (. 355) | (.118) |
| Distributions from Realized Capital Gains | (. 065) | (. 096) | (. 065) | — | (.102) |
| Total Distributions | (. 475) | (. 485) | (. 362) | (. 355) | (. 220) |
| Net Asset Value, End of Period | $21.17 | $21.49 | $21.20 | $21.05 | $20.35 |
| |
| Total Return2 | 0.76% | 3.70% | 2.44% | 5.22% | -2.35% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $527 | $554 | $424 | $305 | $295 |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 2.00% | 1.85% | 1.43% | 1.72% | 0.57% |
| Portfolio Turnover Rate 3 | 339% | 380% | 713% | 514% | 840% |
Signal Shares were renamed Admiral Shares in October 2013. Prior periods’ Financial Highlights are for the Signal class.
1 Calculated based on average shares outstanding.
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 Includes 133%, 175%, 331%, 294%, and 371% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
129
| | | | | |
| Mortgage-Backed Securities Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | |
| |
| |
| Institutional Shares | | | | | |
| | | | | Oct. 31, | Sept. 1, |
| | | | | 20132 to | 2012, to |
| For a Share Outstanding | Year Ended August 31, | Aug. 31, | Jan. 22, |
| Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 20131 |
| Net Asset Value, Beginning of Period | $29.12 | $28.73 | $28.52 | $28.04 | $28.34 |
| Investment Operations | | | | | |
| Net Investment Income | . 5713 | .532 | .412 | . 390 | .042 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (. 353) | .522 | . 295 | .504 | (.146) |
| Total from Investment Operations | .218 | 1.054 | .707 | .894 | (.104) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (. 560) | (. 534) | (. 410) | (. 414) | (. 049) |
| Distributions from Realized Capital Gains | (. 088) | (.130) | (. 087) | — | (.137) |
| Total Distributions | (. 648) | (. 664) | (. 497) | (. 414) | (.186) |
| Net Asset Value, End of Period | $28.69 | $29.12 | $28.73 | $28.52 | $28.051 |
| |
| Total Return4 | 0.79% | 3.72% | 2.49% | 3.22% | -0.37% |
| |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $52 | $47 | $44 | $109 | $0 |
| Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.07% | 0.09%5 | 0.09%5 |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 2.02% | 1.87% | 1.46% | 1.75%5 | 0.35%5 |
| Portfolio Turnover Rate 6 | 339% | 380% | 713% | 514% | 840% |
1 Net asset value as of January 22, 2013, at which date all shares were redeemed.
2 Recommencement of operations.
3 Calculated based on average shares outstanding.
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 133%, 175%, 331%, 294%, and 371% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
130
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 fair value.
2. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counter-party 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 August 31, 2017, counterparties had deposited in segregated accounts securities and cash with a value of $282,000 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.
131
Mortgage-Backed Securities Index Fund
The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The 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, 2014–2017), 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 August 31, 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. Fees, if any, 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), shareholder reporting, and the proxy. 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
132
Mortgage-Backed Securities Index Fund
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 August 31, 2017, the fund had contributed to Vanguard capital in the amount of $305,000, representing 0.01% of the fund’s net assets and 0.12% 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). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of August 31, 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 | — | 4,819,234 | — |
| Temporary Cash Investments | 661,533 | — | — |
| Total | 661,533 | 4,819,234 | — |
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.
For tax purposes, at August 31, 2017, the fund had $9,068,000 of ordinary available for distribution. The fund had available capital losses totaling $3,344,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2017, the cost of investment securities for tax purposes was $5,485,515,000. Net unrealized depreciation of investment securities for tax purposes was $4,748,000, consisting of unrealized gains of $15,600,000 on securities that had risen in value since their purchase and $20,348,000 in unrealized losses on securities that had fallen in value since their purchase.
133
Mortgage-Backed Securities Index Fund
E. During the year ended August 31, 2017, the fund purchased $15,241,466,000 of investment securities and sold $13,760,843,000 of investment securities, other than temporary cash investments.
| | | | |
| F. Capital share transactions for each class of shares were: | | | |
| | | | Year Ended August 31, |
| | | 2017 | | 2016 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued1 | 1,746,074 | 33,125 | 1,515,415 | 28,375 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (296,802) | (5,650) | (158,198) | (2,975) |
| Net Increase (Decrease) —ETF Shares | 1,449,272 | 27,475 | 1,357,217 | 25,400 |
| Admiral Shares | | | | |
| Issued1 | 194,551 | 9,213 | 257,546 | 12,060 |
| Issued in Lieu of Cash Distributions | 6,385 | 304 | 5,214 | 245 |
| Redeemed | (219,210) | (10,403) | (139,856) | (6,556) |
| Net Increase (Decrease)—Admiral Shares | (18,274) | (886) | 122,904 | 5,749 |
| Institutional Shares | | | | |
| Issued1 | 6,657 | 234 | 6,235 | 216 |
| Issued in Lieu of Cash Distributions | 1,090 | 38 | 1,011 | 35 |
| Redeemed | (1,679) | (59) | (4,817) | (167) |
| Net Increase (Decrease)—Institutional Shares | 6,068 | 213 | 2,429 | 84 |
| 1 Includes purchase fees for fiscal 2017 and 2016 of $0 and $727,000, respectively (fund totals). | | |
At August 31, 2017, one shareholder was the record or beneficial owner of 30% of the fund’s net assets. If the shareholder were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio.
G. Management has determined that no material events or transactions occurred subsequent to August 31, 2017, that would require recognition or disclosure in these financial statements.
134
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Scottsdale Funds and the Shareholders of 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 and Vanguard Mortgage-Backed Securities Index Fund: In our opinion, the accompanying statements of assets and liabilities of Vanguard Short-Term Government Bond Index Fund and Mortgage-Backed Securities Index Fund, statements of net assets – investments summary of Vanguard Short-Term Corporate Bond Index Fund, Vanguard Intermediate-Term Corporate Bond Index Fund and Vanguard Long-Term Corporate Bond Index Fund, statements of net assets of Vanguard Short-Term Government Bond Index Fund, Vanguard Intermediate-Term Government Bond Index Fund, Vanguard Long-Term Government Bond Index Fund and Vanguard Mortgage-Backed Securities Index Fund and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of 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 and Vanguard Mortgage-Backed Securities Index Fund (constituting separate portfolios of Vanguard Scottsdale Funds, hereafter referred to as the “Funds”) as of August 31, 2017, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of August 31, 2017 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 17, 2017
135
Special 2017 tax information (unaudited) for Vanguard Short-Term Government Bond Index Fund
This information for the fiscal year ended August 31, 2017, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $207,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.
For nonresident alien shareholders, 100% of short-term capital gain dividends distributed by the fund are qualified short-term capital gains.
For nonresident alien shareholders, 99.6% of income dividends are interest-related dividends.
Special 2017 tax information (unaudited) for Vanguard Intermediate-Term Government Bond Index Fund
This information for the fiscal year ended August 31, 2017, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $2,118,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.
For nonresident alien shareholders, 100% of short-term capital gain dividends distributed by the fund are qualified short-term capital gains.
For nonresident alien shareholders, 99.8% of income dividends are interest-related dividends.
Special 2017 tax information (unaudited) for Vanguard Long-Term Government Bond Index Fund
This information for the fiscal year ended August 31, 2017, is included pursuant to provisions of the Internal Revenue Code.
For nonresident alien shareholders, 99.8% of income dividends are interest-related dividends.
Special 2017 tax information (unaudited) for Vanguard Short-Term Corporate Bond Index Fund
This information for the fiscal year ended August 31, 2017, is included pursuant to provisions of the Internal Revenue Code.
For nonresident alien shareholders, 78.2% of income dividends are interest-related dividends.
136
Special 2017 tax information (unaudited) for Vanguard Intermediate-Term Corporate Bond Index Fund
This information for the fiscal year ended August 31, 2017, is included pursuant to provisions of the Internal Revenue Code.
For nonresident alien shareholders, 85.0% of income dividends are interest-related dividends.
Special 2017 tax information (unaudited) for Vanguard Long-Term Corporate Bond Index Fund
This information for the fiscal year ended August 31, 2017, is included pursuant to provisions of the Internal Revenue Code.
For nonresident alien shareholders, 87.0% of income dividends are interest-related dividends.
Special 2017 tax information (unaudited) for Vanguard Mortgage-Backed Securities Index Fund
This information for the fiscal year ended August 31, 2017, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $99,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.
For nonresident alien shareholders, 100% of short-term capital gain dividends distributed by the fund are qualified short-term capital gains.
For nonresident alien shareholders, 92.0% of income dividends are interest-related dividends.
137
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.
138
| | | |
| Six Months Ended August 31, 2017 | | | |
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| | 2/28/2017 | 8/31/2017 | Period |
| Based on Actual Fund Return | | | |
| Short-Term Government Bond Index Fund | | | |
| ETF Shares | $1,000.00 | $1,006.31 | $0.35 |
| Admiral Shares | 1,000.00 | 1,006.68 | 0.35 |
| Institutional Shares | 1,000.00 | 1,006.58 | 0.20 |
| Intermediate-Term Government Bond Index Fund | | | |
| ETF Shares | $1,000.00 | $1,023.42 | $0.36 |
| Admiral Shares | 1,000.00 | 1,023.41 | 0.36 |
| Institutional Shares | 1,000.00 | 1,023.46 | 0.26 |
| Long-Term Government Bond Index Fund | | | |
| ETF Shares | $1,000.00 | $1,061.87 | $0.36 |
| Admiral Shares | 1,000.00 | 1,062.04 | 0.36 |
| Institutional Shares | 1,000.00 | 1,062.17 | 0.26 |
| Short-Term Corporate Bond Index Fund | | | |
| ETF Shares | $1,000.00 | $1,018.28 | $0.31 |
| Admiral Shares | 1,000.00 | 1,017.86 | 0.36 |
| Institutional Shares | 1,000.00 | 1,018.23 | 0.25 |
| Intermediate-Term Corporate Bond Index Fund | | | |
| ETF Shares | $1,000.00 | $1,038.32 | $0.36 |
| Admiral Shares | 1,000.00 | 1,038.55 | 0.31 |
| Institutional Shares | 1,000.00 | 1,038.24 | 0.26 |
| Long-Term Corporate Bond Index Fund | | | |
| ETF Shares | $1,000.00 | $1,060.54 | $0.36 |
| Admiral Shares | 1,000.00 | 1,060.63 | 0.36 |
| Institutional Shares | 1,000.00 | 1,060.46 | 0.26 |
| Mortgage-Backed Securities Index Fund | | | |
| ETF Shares | $1,000.00 | $1,019.63 | $0.36 |
| Admiral Shares | 1,000.00 | 1,019.54 | 0.36 |
| Institutional Shares | 1,000.00 | 1,019.84 | 0.25 |
139
| | | |
| Six Months Ended August 31, 2017 | | | |
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| | 2/28/2017 | 8/31/2017 | Period |
| Based on Hypothetical 5% Yearly Return | | | |
| Short-Term Government Bond Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.85 | $0.36 |
| Admiral Shares | 1,000.00 | 1,024.85 | 0.36 |
| Institutional Shares | 1,000.00 | 1,025.00 | 0.20 |
| Intermediate-Term Government Bond Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.85 | $0.36 |
| Admiral Shares | 1,000.00 | 1,024.85 | 0.36 |
| Institutional Shares | 1,000.00 | 1,024.95 | 0.26 |
| Long-Term Government Bond Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.85 | $0.36 |
| Admiral Shares | 1,000.00 | 1,024.85 | 0.36 |
| Institutional Shares | 1,000.00 | 1,024.95 | 0.26 |
| Short-Term Corporate Bond Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.90 | $0.31 |
| Admiral Shares | 1,000.00 | 1,024.85 | 0.36 |
| Institutional Shares | 1,000.00 | 1,024.95 | 0.26 |
| Intermediate-Term Corporate Bond Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.85 | $0.36 |
| Admiral Shares | 1,000.00 | 1,024.90 | 0.31 |
| Institutional Shares | 1,000.00 | 1,024.95 | 0.26 |
| Long-Term Corporate Bond Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.85 | $0.36 |
| Admiral Shares | 1,000.00 | 1,024.85 | 0.36 |
| Institutional Shares | 1,000.00 | 1,024.95 | 0.26 |
| Mortgage-Backed Securities Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.85 | $0.36 |
| Admiral Shares | 1,000.00 | 1,024.85 | 0.36 |
| Institutional Shares | 1,000.00 | 1,024.95 | 0.26 |
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 0.04% for
Institutional 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 the Short-Term Corporate Bond Index Fund, 0.06% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for
Institutional Shares; for the Intermediate-Term Corporate Bond Index Fund, 0.07% for ETF Shares, 0.06% for Admiral Shares, and 0.05%
for Institutional Shares; for the 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 (184/365).
140
Trustees Approve Advisory Arrangements
The board of trustees of 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, and Vanguard Mortgage-Backed Securities Index Fund has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Fixed Income Group. The board determined that continuing each fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made 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 through 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 had 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 investment management services provided to the funds since their inception in 2009 and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than three decades. The Fixed Income Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of each advisory arrangement.
Investment performance
The board considered each fund’s performance since its inception, including any periods of outperformance or underperformance compared with its target index and peer group. The board concluded that the performance was such that each advisory arrangement should continue. Information about each fund’s most recent performance can be found in the Performance Summary pages of this report.
141
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that each fund’s advisory expenses were also well below its peer-group average. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that each fund’s at-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
142
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.
143
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.
Benchmark Information
Spliced Bloomberg Barclays U.S. Aggregate Float Adjusted Index: Bloomberg Barclays U.S. Aggregate Bond Index through December 31, 2009; Bloomberg Barclays U.S. Aggregate Float Adjusted Index thereafter.
Spliced Core Bond Funds Average: Intermediate Investment-Grade Debt Funds Average through August 31, 2013; Core Bond Funds Average thereafter.
144
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 of investing in securities generally or in the Vanguard Sector Bond Index Funds particularly or the ability
of the Barclays indexes to track general bond market performance. Barclays has not passed on the legality or suitability
of the Vanguard Sector Bond Index Funds with respect to any person or entity. Barclays’ only relationship 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, or trading of the Vanguard Sector Bond Index Funds.
BARCLAYS SHALL HAVE NO LIABILITY TO THIRD PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS OF
THE INDEX OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE INDEX. BARCLAYS
MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY OWNERS OF 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.
145
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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.
Information for each trustee and executive officer of the fund appears below. 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; Chief Executive Officer and Director of The Vanguard Group and President and Chief Executive Officer of each of the investment companies served by The Vanguard Group, since 2008; Director of Vanguard Marketing Corporation; President of The Vanguard Group (2008–2017); 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; Trustee of the University of Rochester.
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
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.
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.
JoAnn Heffernan Heisen
Born 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years and Other Experience: Corporate Vice President and Member of the Executive Committee (1997–2008), Chief Global Diversity Officer (retired 2008), Vice President and Chief Information Officer (1997–2006), Controller (1995–1997), Treasurer (1991–1995), and Assistant Treasurer (1989–1991) 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 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, the Board of Catholic Investment Services, Inc. (investment advisor), and the Board of Superintendence of the Institute for the Works of Religion; Chairman of the Board of TIFF Advisory Services, Inc. (investment advisor).
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; Director of Vanguard Marketing Corporation; Executive Vice President and Chief Financial Officer of MassMutual Financial Group (2006–2016).
| |
| Vanguard Senior Management Team |
| |
| Mortimer J. Buckley | Chris D. McIsaac |
| Gregory Davis | James M. Norris |
| John James | Thomas M. Rampulla |
| Martha G. King | Karin A. Risi |
| John T. Marcante | |
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
|  |
| P.O. Box 2600 |
| Valley Forge, PA 19482-2600 |
| |
| |
| |
| Connect with Vanguard® > vanguard.com |
| |
| |
| |
| Fund Information > 800-662-7447 |
| Direct Investor Account Services > 800-662-2739 |
| Institutional Investor Services > 800-523-1036 |
| Text Telephone for People |
| Who Are Deaf or Hard of Hearing> 800-749-7273 |
| |
| This material may be used in conjunction |
| with the offering of shares of any Vanguard |
| fund only if preceded or accompanied by |
| the fund’s current prospectus. |
| |
| All comparative mutual fund data are from Lipper, a |
| Thomson Reuters Company, or Morningstar, Inc., unless |
| otherwise noted. |
| |
| You can obtain a free copy of Vanguard’s proxy voting |
| guidelines by visiting vanguard.com/proxyreporting or by |
| calling Vanguard at 800-662-2739. The guidelines are |
| also available from the SEC’s website, sec.gov. In |
| addition, you may obtain a free report on how your fund |
| voted the proxies for securities it owned during the 12 |
| months ended June 30. To get the report, visit either |
| vanguard.com/proxyreporting or sec.gov. |
| |
| You can review and copy information about your fund at |
| the SEC’s Public Reference Room in Washington, D.C. To |
| find out more about this public service, call the SEC at |
| 202-551-8090. Information about your fund is also |
| available on the SEC’s website, and you can receive |
| copies of this information, for a fee, by sending a |
| request in either of two ways: via email addressed to |
| publicinfo@sec.gov or via regular mail addressed to the |
| Public Reference Section, Securities and Exchange |
| Commission, Washington, DC 20549-1520. |
| © 2017 The Vanguard Group, Inc. |
| All rights reserved. |
| Vanguard Marketing Corporation, Distributor. |
| |
| Q16420 102017 |
Item 2: Code of Ethics. The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.
Item 3: Audit Committee Financial Expert. All members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts and to be independent: Rajiv L. Gupta, JoAnn Heffernan Heisen, F. Joseph Loughrey, Mark Loughridge, and Peter F. Volanakis.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Audit Fees of the Registrant
Fiscal Year Ended August 31, 2017: $596,000
Fiscal Year Ended August 31, 2016: $610,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended August 31, 2017: $8,424,459
Fiscal Year Ended August 31, 2016: $9,629,849
Includes fees billed in connection with audits of the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc. and Vanguard Marketing Corporation.
(b) Audit-Related Fees.
Fiscal Year Ended August 31, 2017: $3,194,093
Fiscal Year Ended August 31, 2016: $2,717,627
Includes fees billed in connection with assurance and related services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(c) Tax Fees.
Fiscal Year Ended August 31, 2017: $274,313
Fiscal Year Ended August 31, 2016: $254,050
Includes fees billed in connection with tax compliance, planning, and advice services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(d) All Other Fees.
Fiscal Year Ended August 31, 2017: $0
Fiscal Year Ended August 31, 2016: $214,225
Includes fees billed for services related to tax reported information provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(e) (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.
In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., or other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant.
(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.
(g) Aggregate Non-Audit Fees.
Fiscal Year Ended August 31, 2017: $274,313
Fiscal Year Ended August 31, 2016: $468,275
0448435, v0.42
Includes fees billed for non-audit services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.
Item 5: Audit Committee of Listed Registrants.
The Registrant is a listed issuer as defined in rule 10A-3 under the Securities Exchange Act of 1934 (“Exchange Act”). The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant’s audit committee members are: Rajiv L. Gupta, JoAnn Heffernan Heisen, F. Joseph Loughrey, Mark Loughridge, and Peter F. Volanakis.
Item 6: Investments.
0448435, v0.42
| | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| |
| Common Stocks (99.7%)1 | | |
| Consumer Discretionary (13.6%) | | |
| * Amazon.com Inc. | 46,046 | 45,153 |
| Comcast Corp. Class A | 545,573 | 22,156 |
| Home Depot Inc. | 139,361 | 20,886 |
| Walt Disney Co. | 181,493 | 18,367 |
| McDonald's Corp. | 94,532 | 15,122 |
| Wal-Mart Stores Inc. | 168,958 | 13,191 |
| * Priceline Group Inc. | 5,693 | 10,544 |
| * Charter Communications Inc. Class A | 22,956 | 9,149 |
| Time Warner Inc. | 89,788 | 9,078 |
| Starbucks Corp. | 163,714 | 8,981 |
| * Netflix Inc. | 47,442 | 8,289 |
| NIKE Inc. Class B | 152,790 | 8,069 |
| Costco Wholesale Corp. | 50,597 | 7,931 |
| Lowe's Cos. Inc. | 99,303 | 7,337 |
| General Motors Co. | 158,671 | 5,798 |
| TJX Cos. Inc. | 74,776 | 5,406 |
| * Tesla Inc. | 15,027 | 5,348 |
| Ford Motor Co. | 451,640 | 4,982 |
| * eBay Inc. | 117,180 | 4,234 |
| Marriott International Inc. Class A | 36,663 | 3,798 |
| Target Corp. | 64,111 | 3,496 |
| Twenty-First Century Fox Inc. Class A | 121,277 | 3,346 |
| Carnival Corp. | 47,415 | 3,294 |
| Yum! Brands Inc. | 40,767 | 3,132 |
| Delphi Automotive plc | 31,161 | 3,004 |
| Estee Lauder Cos. Inc. Class A | 25,325 | 2,709 |
| Newell Brands Inc. | 55,148 | 2,663 |
| CBS Corp. Class B | 41,359 | 2,649 |
| Ross Stores Inc. | 44,834 | 2,621 |
| Las Vegas Sands Corp. | 41,485 | 2,581 |
| Royal Caribbean Cruises Ltd. | 19,718 | 2,454 |
| VF Corp. | 38,082 | 2,394 |
| Dollar General Corp. | 31,589 | 2,292 |
| * Dollar Tree Inc. | 27,131 | 2,161 |
| Expedia Inc. | 13,924 | 2,066 |
| * O'Reilly Automotive Inc. | 10,264 | 2,013 |
| Omnicom Group Inc. | 26,523 | 1,920 |
| MGM Resorts International | 58,170 | 1,917 |
| * Mohawk Industries Inc. | 7,121 | 1,802 |
| * AutoZone Inc. | 3,251 | 1,718 |
| Best Buy Co. Inc. | 30,331 | 1,646 |
| Nielsen Holdings plc | 40,955 | 1,591 |
| * Ulta Beauty Inc. | 6,790 | 1,501 |
| * Yum China Holdings Inc. | 42,367 | 1,498 |
| * DISH Network Corp. Class A | 25,306 | 1,450 |
| Whirlpool Corp. | 8,310 | 1,426 |
| Hilton Worldwide Holdings Inc. | 22,121 | 1,423 |
| * CarMax Inc. | 21,178 | 1,422 |
| DR Horton Inc. | 39,127 | 1,414 |
| Genuine Parts Co. | 16,492 | 1,366 |
| Coach Inc. | 32,344 | 1,349 |
| Twenty-First Century Fox Inc. | 49,742 | 1,348 |
| Hasbro Inc. | 13,026 | 1,280 |
| Wynn Resorts Ltd. | 9,150 | 1,272 |
| * LKQ Corp. | 36,249 | 1,256 |
| * Norwegian Cruise Line Holdings Ltd. | 20,143 | 1,198 |
| Lear Corp. | 7,961 | 1,190 |
| PVH Corp. | 9,374 | 1,180 |
| Darden Restaurants Inc. | 14,304 | 1,174 |
| Viacom Inc. Class B | 41,019 | 1,173 |
| Wyndham Worldwide Corp. | 11,751 | 1,171 |
1
| | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Aramark | 28,459 | 1,158 |
| Lennar Corp. Class A | 22,225 | 1,150 |
| Tiffany & Co. | 12,309 | 1,125 |
| BorgWarner Inc. | 24,133 | 1,120 |
| * Liberty Broadband Corp. | 10,946 | 1,111 |
| Fortune Brands Home & Security Inc. | 17,632 | 1,103 |
| * NVR Inc. | 388 | 1,056 |
| * Liberty Interactive Corp. QVC Group Class A | 47,208 | 1,044 |
| Vail Resorts Inc. | 4,517 | 1,030 |
| Domino's Pizza Inc. | 5,490 | 1,001 |
| Hanesbrands Inc. | 41,204 | 1,000 |
| L Brands Inc. | 27,521 | 997 |
| ^ Sirius XM Holdings Inc. | 167,817 | 965 |
| Harley-Davidson Inc. | 20,020 | 941 |
| * Chipotle Mexican Grill Inc. Class A | 2,899 | 918 |
| Tractor Supply Co. | 15,279 | 909 |
| Interpublic Group of Cos. Inc. | 44,934 | 905 |
| * Liberty Media Corp-Liberty SiriusXM Class C | 20,211 | 902 |
| PulteGroup Inc. | 34,225 | 884 |
| Coty Inc. Class A | 53,237 | 883 |
| Goodyear Tire & Rubber Co. | 28,630 | 867 |
| * WABCO Holdings Inc. | 6,028 | 866 |
| Scripps Networks Interactive Inc. Class A | 10,085 | 864 |
| Kohl's Corp. | 20,053 | 798 |
| Advance Auto Parts Inc. | 8,084 | 791 |
| Adient plc | 11,085 | 783 |
| Staples Inc. | 74,628 | 762 |
| Service Corp. International | 21,504 | 760 |
| * Michael Kors Holdings Ltd. | 17,986 | 759 |
| KAR Auction Services Inc. | 16,699 | 753 |
| * ServiceMaster Global Holdings Inc. | 15,886 | 749 |
| Garmin Ltd. | 14,106 | 726 |
| Macy's Inc. | 34,799 | 723 |
| Leggett & Platt Inc. | 15,473 | 711 |
| * Discovery Communications Inc. Class A | 31,602 | 702 |
| * Burlington Stores Inc. | 7,889 | 687 |
| Toll Brothers Inc. | 17,507 | 682 |
| Gap Inc. | 28,071 | 663 |
| * Lululemon Athletica Inc. | 11,360 | 654 |
| H&R Block Inc. | 24,170 | 646 |
| Mattel Inc. | 39,805 | 646 |
| Polaris Industries Inc. | 6,820 | 636 |
| Nordstrom Inc. | 13,673 | 610 |
| Thor Industries Inc. | 5,574 | 606 |
| * Live Nation Entertainment Inc. | 15,108 | 604 |
| Gentex Corp. | 33,027 | 603 |
| News Corp. Class A | 43,246 | 578 |
| * Liberty Ventures Class A | 9,333 | 575 |
| * Liberty Media Corp-Liberty Formula One | 14,476 | 569 |
| Dunkin' Brands Group Inc. | 10,756 | 555 |
| Ralph Lauren Corp. Class A | 6,301 | 554 |
| * TripAdvisor Inc. | 12,716 | 543 |
| Brunswick Corp. | 10,132 | 532 |
| Foot Locker Inc. | 14,740 | 519 |
| Signet Jewelers Ltd. | 7,671 | 484 |
| Carter's Inc. | 5,568 | 483 |
| * Bright Horizons Family Solutions Inc. | 5,925 | 474 |
| Pool Corp. | 4,714 | 470 |
| * Liberty Media Corp-Liberty SiriusXM Class A | 10,420 | 466 |
| * Madison Square Garden Co. Class A | 2,163 | 460 |
| Six Flags Entertainment Corp. | 8,342 | 455 |
| Williams-Sonoma Inc. | 9,742 | 448 |
| Bed Bath & Beyond Inc. | 16,073 | 443 |
| * Visteon Corp. | 3,726 | 430 |
2
| | | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Cable One Inc. | 550 | 417 |
| | Cinemark Holdings Inc. | 12,356 | 411 |
| * | Liberty Broadband Corp. Class A | 3,878 | 393 |
| * | AMC Networks Inc. Class A | 6,440 | 391 |
| * | Skechers U.S.A. Inc. Class A | 14,649 | 387 |
| | Extended Stay America Inc. | 19,409 | 380 |
| * | Under Armour Inc. | 23,350 | 353 |
| * | AutoNation Inc. | 7,573 | 344 |
| * | Tempur Sealy International Inc. | 5,533 | 342 |
| * | Liberty Expedia Holdings Inc. Class A | 6,215 | 340 |
| * | Lions Gate Entertainment Corp. Class B | 12,074 | 339 |
| | Tupperware Brands Corp. | 5,837 | 338 |
| | Tribune Media Co. Class A | 8,239 | 330 |
| ^,* | Under Armour Inc. Class A | 19,853 | 321 |
| | TEGNA Inc. | 25,390 | 320 |
| * | Wayfair Inc. | 4,489 | 319 |
| | Wendy's Co. | 21,290 | 318 |
| * | Michaels Cos. Inc. | 13,471 | 302 |
| * | Cabela's Inc. | 5,618 | 302 |
| * | Sally Beauty Holdings Inc. | 15,999 | 297 |
| | Graham Holdings Co. Class B | 504 | 296 |
| | CalAtlantic Group Inc. | 8,119 | 282 |
| * | Hyatt Hotels Corp. Class A | 4,679 | 278 |
| | John Wiley & Sons Inc. Class A | 5,020 | 271 |
| | Dick's Sporting Goods Inc. | 10,181 | 268 |
| * | Murphy USA Inc. | 4,080 | 263 |
| | International Game Technology plc | 12,562 | 256 |
| * | Hilton Grand Vacations Inc. | 6,916 | 251 |
| | Choice Hotels International Inc. | 3,841 | 238 |
| * | Pandora Media Inc. | 26,356 | 223 |
| | AMERCO | 588 | 219 |
| | GameStop Corp. Class A | 11,858 | 219 |
| * | Urban Outfitters Inc. | 10,097 | 206 |
| * | Discovery Communications Inc. | 9,521 | 200 |
| | Regal Entertainment Group Class A | 13,214 | 195 |
| | News Corp. Class B | 13,886 | 190 |
| | Penske Automotive Group Inc. | 4,050 | 172 |
| | Lions Gate Entertainment Corp. Class A | 5,666 | 168 |
| | Lennar Corp. Class B | 3,121 | 134 |
| * | Floor & Decor Holdings Inc. Class A | 2,462 | 88 |
| * | Liberty Media Corp-Liberty Formula One Class A | 1,981 | 75 |
| ^ | Viacom Inc. Class A | 1,260 | 48 |
| * | Altice USA Inc. Class A | 1,263 | 39 |
| * | Cars.com Inc. | 1 | — |
| | | | 371,793 |
| Consumer Staples (7.0%) | | |
| | Procter & Gamble Co. | 296,427 | 27,351 |
| | Philip Morris International Inc. | 179,960 | 21,043 |
| | Coca-Cola Co. | 445,051 | 20,272 |
| | PepsiCo Inc. | 165,506 | 19,154 |
| | Altria Group Inc. | 224,252 | 14,218 |
| | CVS Health Corp. | 118,279 | 9,148 |
| | Walgreens Boots Alliance Inc. | 108,326 | 8,829 |
| | Colgate-Palmolive Co. | 99,659 | 7,140 |
| | Mondelez International Inc. Class A | 170,113 | 6,917 |
| | Kraft Heinz Co. | 69,554 | 5,616 |
| | Kimberly-Clark Corp. | 40,991 | 5,054 |
| | Constellation Brands Inc. Class A | 18,769 | 3,756 |
| | General Mills Inc. | 67,092 | 3,573 |
| | Sysco Corp. | 57,117 | 3,008 |
| * | Monster Beverage Corp. | 48,035 | 2,681 |
| | Archer-Daniels-Midland Co. | 64,614 | 2,670 |
| | Kroger Co. | 105,832 | 2,314 |
| | Clorox Co. | 15,122 | 2,095 |
3
| | | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Tyson Foods Inc. Class A | 32,410 | 2,052 |
| | Dr Pepper Snapple Group Inc. | 21,031 | 1,915 |
| | Kellogg Co. | 28,454 | 1,863 |
| | Molson Coors Brewing Co. Class B | 19,785 | 1,776 |
| | Hershey Co. | 16,051 | 1,684 |
| | Conagra Brands Inc. | 46,576 | 1,512 |
| | Church & Dwight Co. Inc. | 28,565 | 1,433 |
| | JM Smucker Co. | 12,936 | 1,355 |
| | McCormick & Co. Inc. | 13,038 | 1,240 |
| | Bunge Ltd. | 16,094 | 1,201 |
| | Brown-Forman Corp. Class B | 20,128 | 1,068 |
| | Ingredion Inc. | 8,151 | 1,009 |
| | Hormel Foods Corp. | 30,843 | 948 |
| | Campbell Soup Co. | 20,478 | 946 |
| | Pinnacle Foods Inc. | 13,469 | 799 |
| | Lamb Weston Holdings Inc. | 17,023 | 774 |
| * | Post Holdings Inc. | 7,391 | 629 |
| ^,* | Herbalife Ltd. | 8,065 | 557 |
| * | Edgewell Personal Care Co. | 6,704 | 509 |
| | Casey's General Stores Inc. | 4,544 | 479 |
| * | Hain Celestial Group Inc. | 11,864 | 477 |
| * | US Foods Holding Corp. | 15,756 | 432 |
| * | TreeHouse Foods Inc. | 6,388 | 428 |
| | Nu Skin Enterprises Inc. Class A | 6,041 | 367 |
| | Flowers Foods Inc. | 21,045 | 365 |
| | Brown-Forman Corp. Class A | 6,271 | 349 |
| | Energizer Holdings Inc. | 7,060 | 312 |
| | Spectrum Brands Holdings Inc. | 2,823 | 310 |
| * | Sprouts Farmers Market Inc. | 15,438 | 308 |
| * | Rite Aid Corp. | 120,620 | 292 |
| * | Blue Buffalo Pet Products Inc. | 10,971 | 283 |
| * | Pilgrim's Pride Corp. | 6,122 | 180 |
| | Seaboard Corp. | 30 | 129 |
| | | | 192,820 |
| Energy (5.5%) | | |
| | Exxon Mobil Corp. | 491,542 | 37,519 |
| | Chevron Corp. | 219,285 | 23,600 |
| | Schlumberger Ltd. | 161,138 | 10,234 |
| | ConocoPhillips | 143,325 | 6,258 |
| | EOG Resources Inc. | 67,442 | 5,732 |
| | Occidental Petroleum Corp. | 88,364 | 5,275 |
| | Kinder Morgan Inc. | 222,493 | 4,301 |
| | Phillips 66 | 50,437 | 4,227 |
| | Halliburton Co. | 100,333 | 3,910 |
| | Valero Energy Corp. | 51,763 | 3,525 |
| | Marathon Petroleum Corp. | 59,603 | 3,126 |
| | Williams Cos. Inc. | 95,874 | 2,850 |
| | Anadarko Petroleum Corp. | 65,028 | 2,662 |
| | Pioneer Natural Resources Co. | 19,600 | 2,541 |
| | Devon Energy Corp. | 60,241 | 1,892 |
| * | Concho Resources Inc. | 16,897 | 1,875 |
| | Andeavor | 17,598 | 1,763 |
| | Apache Corp. | 43,675 | 1,696 |
| | Baker Hughes a GE Co. | 48,830 | 1,655 |
| | Cabot Oil & Gas Corp. | 52,614 | 1,344 |
| | National Oilwell Varco Inc. | 43,514 | 1,335 |
| | Noble Energy Inc. | 55,206 | 1,312 |
| | ONEOK Inc. | 24,010 | 1,300 |
| | Hess Corp. | 32,413 | 1,261 |
| | EQT Corp. | 20,088 | 1,252 |
| | Marathon Oil Corp. | 97,208 | 1,081 |
| | Cimarex Energy Co. | 10,698 | 1,067 |
| * | Diamondback Energy Inc. | 11,197 | 1,017 |
| * | Cheniere Energy Inc. | 23,380 | 1,001 |
4
| | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Targa Resources Corp. | 22,246 | 992 |
| * Parsley Energy Inc. Class A | 26,103 | 654 |
| HollyFrontier Corp. | 20,767 | 650 |
| * Newfield Exploration Co. | 23,148 | 605 |
| * Energen Corp. | 11,307 | 580 |
| * Rice Energy Inc. | 19,744 | 540 |
| * Antero Resources Corp. | 27,031 | 532 |
| Helmerich & Payne Inc. | 12,453 | 527 |
| Valvoline Inc. | 23,951 | 510 |
| * RSP Permian Inc. | 15,405 | 483 |
| * First Solar Inc. | 9,572 | 450 |
| Range Resources Corp. | 25,598 | 444 |
| * WPX Energy Inc. | 44,451 | 444 |
| Murphy Oil Corp. | 19,028 | 431 |
| * Weatherford International plc | 103,448 | 396 |
| Patterson-UTI Energy Inc. | 24,509 | 391 |
| * Chesapeake Energy Corp. | 106,178 | 387 |
| * CONSOL Energy Inc. | 26,466 | 385 |
| * Transocean Ltd. | 45,965 | 375 |
| * Continental Resources Inc. | 9,653 | 328 |
| * Southwestern Energy Co. | 58,184 | 317 |
| PBF Energy Inc. Class A | 12,686 | 300 |
| World Fuel Services Corp. | 8,114 | 280 |
| Oceaneering International Inc. | 11,055 | 249 |
| * Laredo Petroleum Inc. | 19,056 | 237 |
| * Gulfport Energy Corp. | 18,510 | 232 |
| * Centennial Resource Development Inc. Class A | 12,957 | 224 |
| Nabors Industries Ltd. | 32,701 | 214 |
| * QEP Resources Inc. | 27,824 | 210 |
| * Whiting Petroleum Corp. | 42,222 | 189 |
| * Extraction Oil & Gas Inc. | 14,089 | 185 |
| SM Energy Co. | 12,981 | 173 |
| * Kosmos Energy Ltd. | 22,354 | 157 |
| ^ RPC Inc. | 6,632 | 129 |
| | | 149,811 |
| Financial Services (20.7%) | | |
| * Berkshire Hathaway Inc. Class B | 222,754 | 40,354 |
| JPMorgan Chase & Co. | 409,544 | 37,223 |
| Bank of America Corp. | 1,154,335 | 27,577 |
| Wells Fargo & Co. | 520,006 | 26,557 |
| Visa Inc. Class A | 214,957 | 22,252 |
| Citigroup Inc. | 319,034 | 21,704 |
| Mastercard Inc. Class A | 109,604 | 14,610 |
| Goldman Sachs Group Inc. | 42,611 | 9,534 |
| US Bancorp | 183,467 | 9,403 |
| * PayPal Holdings Inc. | 131,292 | 8,098 |
| Chubb Ltd. | 53,932 | 7,627 |
| American Express Co. | 86,142 | 7,417 |
| American Tower Corp. | 48,951 | 7,247 |
| PNC Financial Services Group Inc. | 56,040 | 7,028 |
| Morgan Stanley | 153,419 | 6,981 |
| American International Group Inc. | 106,640 | 6,450 |
| Bank of New York Mellon Corp. | 117,027 | 6,118 |
| BlackRock Inc. | 14,379 | 6,025 |
| Simon Property Group Inc. | 35,940 | 5,637 |
| Charles Schwab Corp. | 137,157 | 5,473 |
| Prudential Financial Inc. | 49,608 | 5,064 |
| Crown Castle International Corp. | 46,378 | 5,029 |
| MetLife Inc. | 105,943 | 4,961 |
| CME Group Inc. | 39,244 | 4,937 |
| Marsh & McLennan Cos. Inc. | 59,554 | 4,650 |
| S&P Global Inc. | 29,864 | 4,609 |
| Capital One Financial Corp. | 55,980 | 4,457 |
| Intercontinental Exchange Inc. | 67,758 | 4,382 |
5
| | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| BB&T Corp. | 93,534 | 4,311 |
| Equinix Inc. | 8,996 | 4,214 |
| Aon plc | 30,180 | 4,200 |
| State Street Corp. | 43,376 | 4,012 |
| Travelers Cos. Inc. | 32,404 | 3,927 |
| Prologis Inc. | 61,197 | 3,877 |
| Allstate Corp. | 42,259 | 3,824 |
| Aflac Inc. | 45,045 | 3,718 |
| Fidelity National Information Services Inc. | 38,183 | 3,548 |
| Public Storage | 17,140 | 3,519 |
| Progressive Corp. | 67,342 | 3,130 |
| Welltower Inc. | 42,547 | 3,115 |
| SunTrust Banks Inc. | 55,546 | 3,061 |
| * Fiserv Inc. | 24,374 | 3,015 |
| AvalonBay Communities Inc. | 15,973 | 2,999 |
| Synchrony Financial | 94,677 | 2,915 |
| Weyerhaeuser Co. | 86,520 | 2,821 |
| Ventas Inc. | 41,158 | 2,817 |
| Equity Residential | 41,333 | 2,775 |
| Moody's Corp. | 19,373 | 2,597 |
| Discover Financial Services | 43,738 | 2,578 |
| M&T Bank Corp. | 16,838 | 2,490 |
| Ameriprise Financial Inc. | 17,808 | 2,467 |
| T. Rowe Price Group Inc. | 27,487 | 2,319 |
| Hartford Financial Services Group Inc. | 42,486 | 2,297 |
| Fifth Third Bancorp | 86,193 | 2,252 |
| Digital Realty Trust Inc. | 18,726 | 2,216 |
| KeyCorp | 125,516 | 2,160 |
| Willis Towers Watson plc | 14,547 | 2,160 |
| * SBA Communications Corp. Class A | 14,045 | 2,157 |
| Boston Properties Inc. | 17,660 | 2,130 |
| Northern Trust Corp. | 24,020 | 2,126 |
| Essex Property Trust Inc. | 7,506 | 1,996 |
| Regions Financial Corp. | 138,115 | 1,949 |
| Equifax Inc. | 13,678 | 1,949 |
| Citizens Financial Group Inc. | 58,221 | 1,929 |
| Principal Financial Group Inc. | 30,634 | 1,915 |
| Realty Income Corp. | 31,276 | 1,800 |
| First Republic Bank | 18,012 | 1,748 |
| Lincoln National Corp. | 25,698 | 1,744 |
| Global Payments Inc. | 17,404 | 1,662 |
| Franklin Resources Inc. | 38,372 | 1,659 |
| * Markel Corp. | 1,566 | 1,647 |
| HCP Inc. | 53,805 | 1,604 |
| Huntington Bancshares Inc. | 124,056 | 1,562 |
| Annaly Capital Management Inc. | 124,068 | 1,551 |
| Host Hotels & Resorts Inc. | 83,698 | 1,517 |
| * FleetCor Technologies Inc. | 10,523 | 1,513 |
| Invesco Ltd. | 46,002 | 1,508 |
| Loews Corp. | 31,936 | 1,488 |
| Vornado Realty Trust | 19,717 | 1,469 |
| GGP Inc. | 70,568 | 1,464 |
| FNF Group | 30,196 | 1,457 |
| Total System Services Inc. | 20,793 | 1,437 |
| Comerica Inc. | 20,291 | 1,385 |
| Mid-America Apartment Communities Inc. | 13,006 | 1,385 |
| Cincinnati Financial Corp. | 17,595 | 1,352 |
| * Arch Capital Group Ltd. | 13,419 | 1,306 |
| * Vantiv Inc. Class A | 18,372 | 1,299 |
| * E*TRADE Financial Corp. | 31,586 | 1,295 |
| CBOE Holdings Inc. | 12,673 | 1,279 |
| Unum Group | 26,174 | 1,261 |
| TD Ameritrade Holding Corp. | 29,067 | 1,259 |
| Alliance Data Systems Corp. | 5,564 | 1,255 |
6
| | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Alexandria Real Estate Equities Inc. | 10,328 | 1,253 |
| Duke Realty Corp. | 40,727 | 1,210 |
| * CBRE Group Inc. Class A | 33,529 | 1,210 |
| Arthur J Gallagher & Co. | 20,734 | 1,200 |
| XL Group Ltd. | 29,282 | 1,199 |
| Ally Financial Inc. | 52,843 | 1,194 |
| Iron Mountain Inc. | 30,026 | 1,184 |
| Everest Re Group Ltd. | 4,660 | 1,177 |
| UDR Inc. | 30,278 | 1,175 |
| MSCI Inc. Class A | 10,153 | 1,164 |
| Raymond James Financial Inc. | 14,722 | 1,153 |
| Affiliated Managers Group Inc. | 6,449 | 1,139 |
| Regency Centers Corp. | 17,021 | 1,095 |
| SL Green Realty Corp. | 11,341 | 1,093 |
| Extra Space Storage Inc. | 13,928 | 1,081 |
| Broadridge Financial Solutions Inc. | 13,387 | 1,046 |
| CIT Group Inc. | 23,232 | 1,042 |
| Federal Realty Investment Trust | 8,206 | 1,042 |
| Torchmark Corp. | 13,273 | 1,022 |
| * SVB Financial Group | 6,020 | 1,019 |
| Western Union Co. | 53,836 | 1,019 |
| Zions Bancorporation | 22,984 | 1,003 |
| Reinsurance Group of America Inc. Class A | 7,359 | 989 |
| Nasdaq Inc. | 13,011 | 981 |
| * Alleghany Corp. | 1,691 | 952 |
| VEREIT Inc. | 111,626 | 942 |
| Jack Henry & Associates Inc. | 8,983 | 926 |
| Kimco Realty Corp. | 46,863 | 919 |
| East West Bancorp Inc. | 16,499 | 914 |
| Leucadia National Corp. | 37,618 | 891 |
| SEI Investments Co. | 15,211 | 889 |
| Camden Property Trust | 9,876 | 884 |
| Gaming and Leisure Properties Inc. | 22,503 | 882 |
| AGNC Investment Corp. | 40,392 | 870 |
| WP Carey Inc. | 12,197 | 840 |
| * TransUnion | 17,328 | 829 |
| Voya Financial Inc. | 21,619 | 826 |
| MarketAxess Holdings Inc. | 4,275 | 825 |
| Apartment Investment & Management Co. | 18,187 | 824 |
| Equity LifeStyle Properties Inc. | 9,228 | 823 |
| Macerich Co. | 15,559 | 821 |
| American Financial Group Inc. | 7,981 | 813 |
| Colony NorthStar Inc. Class A | 61,673 | 808 |
| * Signature Bank | 6,186 | 794 |
| Kilroy Realty Corp. | 11,192 | 775 |
| * First Data Corp. Class A | 41,763 | 769 |
| Omega Healthcare Investors Inc. | 23,656 | 754 |
| Sun Communities Inc. | 8,114 | 733 |
| Liberty Property Trust | 17,076 | 727 |
| People's United Financial Inc. | 43,475 | 726 |
| WR Berkley Corp. | 10,808 | 720 |
| American Campus Communities Inc. | 15,119 | 719 |
| Starwood Property Trust Inc. | 31,550 | 701 |
| National Retail Properties Inc. | 16,712 | 699 |
| Healthcare Trust of America Inc. Class A | 22,258 | 692 |
| FactSet Research Systems Inc. | 4,373 | 687 |
| * Square Inc. | 26,023 | 679 |
| RenaissanceRe Holdings Ltd. | 4,823 | 671 |
| Brixmor Property Group Inc. | 35,659 | 668 |
| New York Community Bancorp Inc. | 55,356 | 667 |
| Commerce Bancshares Inc. | 11,793 | 648 |
| Jones Lang LaSalle Inc. | 5,268 | 642 |
| CyrusOne Inc. | 10,178 | 641 |
| Forest City Realty Trust Inc. Class A | 26,654 | 639 |
7
| | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Douglas Emmett Inc. | 16,389 | 638 |
| Lamar Advertising Co. Class A | 9,476 | 631 |
| Synovus Financial Corp. | 14,890 | 627 |
| Eaton Vance Corp. | 13,139 | 625 |
| PacWest Bancorp | 13,693 | 618 |
| Brown & Brown Inc. | 13,736 | 618 |
| First American Financial Corp. | 12,563 | 616 |
| Assurant Inc. | 6,425 | 608 |
| DCT Industrial Trust Inc. | 10,401 | 607 |
| Lazard Ltd. Class A | 14,063 | 603 |
| Highwoods Properties Inc. | 11,378 | 594 |
| Assured Guaranty Ltd. | 13,952 | 593 |
| New Residential Investment Corp. | 35,959 | 593 |
| American Homes 4 Rent Class A | 26,612 | 590 |
| DuPont Fabros Technology Inc. | 9,084 | 585 |
| Hudson Pacific Properties Inc. | 17,592 | 581 |
| Axis Capital Holdings Ltd. | 9,500 | 572 |
| * Euronet Worldwide Inc. | 5,811 | 571 |
| Medical Properties Trust Inc. | 42,443 | 559 |
| Bank of the Ozarks | 12,926 | 555 |
| * Brighthouse Financial Inc. | 9,631 | 550 |
| Cullen/Frost Bankers Inc. | 6,479 | 545 |
| Senior Housing Properties Trust | 27,484 | 542 |
| Realogy Holdings Corp. | 15,984 | 542 |
| * Western Alliance Bancorp | 11,148 | 538 |
| Old Republic International Corp. | 28,153 | 537 |
| CubeSmart | 21,171 | 522 |
| Hospitality Properties Trust | 18,811 | 515 |
| EPR Properties | 7,360 | 513 |
| Pinnacle Financial Partners Inc. | 8,176 | 509 |
| STORE Capital Corp. | 19,879 | 504 |
| * WEX Inc. | 4,604 | 502 |
| Spirit Realty Capital Inc. | 55,867 | 486 |
| Webster Financial Corp. | 10,405 | 486 |
| Hanover Insurance Group Inc. | 4,859 | 477 |
| CoreSite Realty Corp. | 3,984 | 473 |
| * Howard Hughes Corp. | 4,021 | 472 |
| Dun & Bradstreet Corp. | 4,165 | 464 |
| LPL Financial Holdings Inc. | 9,905 | 464 |
| FNB Corp. | 36,330 | 461 |
| Bank of Hawaii Corp. | 5,822 | 455 |
| First Horizon National Corp. | 26,338 | 453 |
| Popular Inc. | 11,306 | 451 |
| Weingarten Realty Investors | 14,028 | 449 |
| Prosperity Bancshares Inc. | 7,480 | 447 |
| Apple Hospitality REIT Inc. | 24,574 | 447 |
| * CoreLogic Inc. | 9,506 | 446 |
| Associated Banc-Corp | 20,363 | 446 |
| * Zillow Group Inc. | 11,247 | 446 |
| Validus Holdings Ltd. | 8,848 | 444 |
| * Equity Commonwealth | 14,285 | 442 |
| Rayonier Inc. | 15,124 | 439 |
| White Mountains Insurance Group Ltd. | 498 | 434 |
| Navient Corp. | 31,913 | 421 |
| Chimera Investment Corp. | 21,896 | 418 |
| * SLM Corp. | 40,348 | 410 |
| Two Harbors Investment Corp. | 39,983 | 409 |
| MFA Financial Inc. | 46,153 | 405 |
| Park Hotels & Resorts Inc. | 15,056 | 402 |
| * JBG SMITH Properties | 12,071 | 395 |
| Corporate Office Properties Trust | 11,751 | 392 |
| BankUnited Inc. | 11,681 | 389 |
| Legg Mason Inc. | 10,125 | 387 |
| Life Storage Inc. | 5,112 | 376 |
8
| | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Paramount Group Inc. | 23,401 | 369 |
| Uniti Group Inc. | 18,927 | 365 |
| Retail Properties of America Inc. | 27,083 | 361 |
| * Credit Acceptance Corp. | 1,318 | 359 |
| Taubman Centers Inc. | 6,841 | 357 |
| Outfront Media Inc. | 16,082 | 354 |
| CoreCivic Inc. | 13,149 | 352 |
| BGC Partners Inc. Class A | 26,761 | 348 |
| Brandywine Realty Trust | 20,216 | 347 |
| DDR Corp. | 35,854 | 347 |
| Piedmont Office Realty Trust Inc. Class A | 17,019 | 345 |
| Erie Indemnity Co. Class A | 2,819 | 340 |
| ProAssurance Corp. | 6,148 | 327 |
| Interactive Brokers Group Inc. | 7,790 | 327 |
| Aspen Insurance Holdings Ltd. | 6,979 | 315 |
| Invitation Homes Inc. | 13,156 | 304 |
| Columbia Property Trust Inc. | 14,465 | 304 |
| Federated Investors Inc. Class B | 10,897 | 298 |
| * Zillow Group Inc. Class A | 7,196 | 287 |
| Empire State Realty Trust Inc. | 14,063 | 286 |
| * Athene Holding Ltd. Class A | 5,272 | 282 |
| TCF Financial Corp. | 17,832 | 277 |
| Tanger Factory Outlet Centers Inc. | 10,944 | 256 |
| * Santander Consumer USA Holdings Inc. | 17,385 | 248 |
| BOK Financial Corp. | 3,001 | 241 |
| Mercury General Corp. | 3,247 | 187 |
| Morningstar Inc. | 2,100 | 174 |
| * OneMain Holdings Inc. Class A | 6,314 | 173 |
| First Hawaiian Inc. | 6,370 | 173 |
| CNA Financial Corp. | 3,238 | 159 |
| TFS Financial Corp. | 6,348 | 98 |
| American National Insurance Co. | 796 | 92 |
| | | 566,055 |
| Health Care (13.8%) | | |
| Johnson & Johnson | 312,484 | 41,363 |
| Pfizer Inc. | 684,926 | 23,233 |
| UnitedHealth Group Inc. | 111,127 | 22,103 |
| Merck & Co. Inc. | 317,418 | 20,270 |
| Amgen Inc. | 85,069 | 15,123 |
| AbbVie Inc. | 184,155 | 13,867 |
| Medtronic plc | 159,011 | 12,819 |
| Gilead Sciences Inc. | 150,709 | 12,616 |
| * Celgene Corp. | 89,864 | 12,485 |
| Bristol-Myers Squibb Co. | 190,961 | 11,549 |
| Abbott Laboratories | 196,232 | 9,996 |
| Eli Lilly & Co. | 113,246 | 9,206 |
| Allergan plc | 38,912 | 8,930 |
| Thermo Fisher Scientific Inc. | 46,243 | 8,654 |
| * Biogen Inc. | 24,533 | 7,766 |
| Anthem Inc. | 30,693 | 6,017 |
| Danaher Corp. | 70,963 | 5,920 |
| Aetna Inc. | 37,512 | 5,916 |
| Stryker Corp. | 39,365 | 5,565 |
| Cigna Corp. | 28,678 | 5,221 |
| Becton Dickinson and Co. | 25,917 | 5,169 |
| * Vertex Pharmaceuticals Inc. | 28,754 | 4,616 |
| * Regeneron Pharmaceuticals Inc. | 9,063 | 4,503 |
| * Boston Scientific Corp. | 158,896 | 4,378 |
| * Express Scripts Holding Co. | 69,516 | 4,367 |
| Humana Inc. | 16,691 | 4,300 |
| * Intuitive Surgical Inc. | 4,233 | 4,253 |
| McKesson Corp. | 24,519 | 3,661 |
| * Alexion Pharmaceuticals Inc. | 25,218 | 3,591 |
| Baxter International Inc. | 57,780 | 3,585 |
9
| | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Zoetis Inc. | 56,946 | 3,571 |
| * Illumina Inc. | 16,893 | 3,454 |
| * Edwards Lifesciences Corp. | 24,321 | 2,764 |
| * HCA Healthcare Inc. | 34,873 | 2,743 |
| * Incyte Corp. | 19,570 | 2,689 |
| Zimmer Biomet Holdings Inc. | 23,517 | 2,687 |
| CR Bard Inc. | 8,352 | 2,679 |
| Cardinal Health Inc. | 36,904 | 2,490 |
| Agilent Technologies Inc. | 37,505 | 2,427 |
| * Cerner Corp. | 33,583 | 2,276 |
| * Mylan NV | 61,197 | 1,926 |
| * Laboratory Corp. of America Holdings | 11,713 | 1,837 |
| * BioMarin Pharmaceutical Inc. | 20,342 | 1,835 |
| * Centene Corp. | 19,512 | 1,734 |
| Quest Diagnostics Inc. | 15,674 | 1,698 |
| * Align Technology Inc. | 9,126 | 1,613 |
| * IDEXX Laboratories Inc. | 10,196 | 1,585 |
| * Henry Schein Inc. | 9,084 | 1,578 |
| AmerisourceBergen Corp. Class A | 18,249 | 1,464 |
| Dentsply Sirona Inc. | 25,855 | 1,463 |
| * Quintiles IMS Holdings Inc. | 14,537 | 1,396 |
| Cooper Cos. Inc. | 5,556 | 1,394 |
| ResMed Inc. | 16,372 | 1,270 |
| * Hologic Inc. | 32,035 | 1,237 |
| Perrigo Co. plc | 14,649 | 1,157 |
| * Varian Medical Systems Inc. | 10,532 | 1,119 |
| Teleflex Inc. | 5,142 | 1,089 |
| Universal Health Services Inc. Class B | 9,928 | 1,074 |
| * DaVita Inc. | 18,130 | 1,062 |
| * Exelixis Inc. | 33,738 | 986 |
| * WellCare Health Plans Inc. | 5,162 | 902 |
| * Alkermes plc | 17,427 | 885 |
| PerkinElmer Inc. | 12,536 | 840 |
| * QIAGEN NV | 26,094 | 839 |
| * VCA Inc. | 8,984 | 835 |
| STERIS plc | 9,475 | 826 |
| * Ionis Pharmaceuticals Inc. | 14,046 | 753 |
| * DexCom Inc. | 10,032 | 748 |
| * Alnylam Pharmaceuticals Inc. | 8,725 | 748 |
| West Pharmaceutical Services Inc. | 8,303 | 723 |
| * Veeva Systems Inc. Class A | 12,123 | 721 |
| * Envision Healthcare Corp. | 13,519 | 709 |
| * Bioverativ Inc. | 12,348 | 700 |
| * ABIOMED Inc. | 4,578 | 690 |
| * United Therapeutics Corp. | 5,186 | 678 |
| * athenahealth Inc. | 4,486 | 632 |
| * Charles River Laboratories International Inc. | 5,514 | 600 |
| Hill-Rom Holdings Inc. | 7,626 | 587 |
| * Neurocrine Biosciences Inc. | 10,275 | 582 |
| * Seattle Genetics Inc. | 10,746 | 564 |
| * TESARO Inc. | 4,344 | 561 |
| Bio-Techne Corp. | 4,310 | 533 |
| * Bio-Rad Laboratories Inc. Class A | 2,419 | 527 |
| * Alere Inc. | 9,645 | 477 |
| * Mallinckrodt plc | 11,581 | 476 |
| * MEDNAX Inc. | 10,234 | 459 |
| * Acadia Healthcare Co. Inc. | 9,203 | 432 |
| * ACADIA Pharmaceuticals Inc. | 11,274 | 401 |
| Patterson Cos. Inc. | 9,204 | 354 |
| * Akorn Inc. | 10,541 | 347 |
| Bruker Corp. | 11,595 | 337 |
| * VWR Corp. | 10,028 | 331 |
| * Juno Therapeutics Inc. | 7,679 | 317 |
| * Agios Pharmaceuticals Inc. | 4,849 | 307 |
10
| | | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Brookdale Senior Living Inc. | 21,445 | 260 |
| * | LifePoint Health Inc. | 4,329 | 251 |
| * | Intercept Pharmaceuticals Inc. | 2,091 | 244 |
| * | OPKO Health Inc. | 36,062 | 231 |
| * | Endo International plc | 26,072 | 229 |
| * | Premier Inc. Class A | 5,995 | 201 |
| ^,* | Intrexon Corp. | 5,601 | 111 |
| * | Quorum Health Corp. | 35 | — |
| | | | 379,287 |
| Materials & Processing (3.6%) | | |
| | Dow Chemical Co. | 141,048 | 9,401 |
| | EI du Pont de Nemours & Co. | 100,693 | 8,451 |
| | Monsanto Co. | 50,754 | 5,948 |
| | Praxair Inc. | 33,038 | 4,346 |
| | Ecolab Inc. | 29,727 | 3,963 |
| | Air Products & Chemicals Inc. | 24,763 | 3,600 |
| | LyondellBasell Industries NV Class A | 38,221 | 3,462 |
| | Sherwin-Williams Co. | 9,496 | 3,222 |
| | PPG Industries Inc. | 29,692 | 3,098 |
| | International Paper Co. | 48,106 | 2,592 |
| | Ingersoll-Rand plc | 29,396 | 2,510 |
| | Newmont Mining Corp. | 62,001 | 2,377 |
| * | Freeport-McMoRan Inc. | 157,498 | 2,328 |
| | Nucor Corp. | 37,132 | 2,046 |
| | Vulcan Materials Co. | 15,388 | 1,866 |
| | WestRock Co. | 28,507 | 1,622 |
| | Ball Corp. | 39,794 | 1,591 |
| | Celanese Corp. Class A | 15,982 | 1,551 |
| | Martin Marietta Materials Inc. | 7,197 | 1,526 |
| | Albemarle Corp. | 12,650 | 1,471 |
| | Eastman Chemical Co. | 16,665 | 1,437 |
| | Fastenal Co. | 33,110 | 1,413 |
| | Masco Corp. | 36,730 | 1,351 |
| | FMC Corp. | 15,279 | 1,317 |
| | International Flavors & Fragrances Inc. | 9,063 | 1,240 |
| | Packaging Corp. of America | 10,695 | 1,202 |
| | Chemours Co. | 21,581 | 1,059 |
| | Sealed Air Corp. | 22,303 | 990 |
| | Owens Corning | 13,140 | 974 |
| * | Alcoa Corp. | 21,606 | 948 |
| | Steel Dynamics Inc. | 26,542 | 914 |
| | Acuity Brands Inc. | 5,073 | 897 |
| * | Crown Holdings Inc. | 15,137 | 894 |
| * | Berry Global Group Inc. | 15,172 | 853 |
| | Mosaic Co. | 40,876 | 817 |
| | CF Industries Holdings Inc. | 27,193 | 788 |
| | RPM International Inc. | 15,218 | 745 |
| | Lennox International Inc. | 4,484 | 743 |
| * | Axalta Coating Systems Ltd. | 24,088 | 711 |
| | Royal Gold Inc. | 7,583 | 707 |
| | Olin Corp. | 19,311 | 622 |
| | Huntsman Corp. | 23,171 | 616 |
| | AptarGroup Inc. | 6,956 | 582 |
| | Reliance Steel & Aluminum Co. | 7,972 | 577 |
| | WR Grace & Co. | 7,924 | 566 |
| | Hexcel Corp. | 10,299 | 554 |
| | United States Steel Corp. | 20,412 | 543 |
| | Sonoco Products Co. | 11,031 | 532 |
| | Eagle Materials Inc. | 5,449 | 530 |
| | Watsco Inc. | 3,586 | 528 |
| | Scotts Miracle-Gro Co. | 5,108 | 488 |
| * | Owens-Illinois Inc. | 19,201 | 473 |
| | Graphic Packaging Holding Co. | 36,132 | 472 |
| | Versum Materials Inc. | 12,682 | 468 |
11
| | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Bemis Co. Inc. | 10,645 | 454 |
| Ashland Global Holdings Inc. | 7,241 | 449 |
| Southern Copper Corp. | 9,570 | 390 |
| Cabot Corp. | 7,010 | 369 |
| Timken Co. | 8,201 | 368 |
| NewMarket Corp. | 861 | 360 |
| Valmont Industries Inc. | 2,468 | 354 |
| * Univar Inc. | 12,146 | 343 |
| Westlake Chemical Corp. | 4,163 | 320 |
| * USG Corp. | 10,140 | 304 |
| * Platform Specialty Products Corp. | 25,914 | 303 |
| Domtar Corp. | 7,327 | 296 |
| Silgan Holdings Inc. | 8,693 | 262 |
| * Armstrong World Industries Inc. | 5,065 | 241 |
| Tahoe Resources Inc. | 35,032 | 167 |
| Ardagh Group SA | 1,961 | 41 |
| | | 99,543 |
| Producer Durables (10.6%) | | |
| General Electric Co. | 1,007,583 | 24,736 |
| Boeing Co. | 65,876 | 15,788 |
| 3M Co. | 67,188 | 13,728 |
| Honeywell International Inc. | 88,278 | 12,206 |
| United Technologies Corp. | 86,437 | 10,348 |
| Union Pacific Corp. | 93,628 | 9,859 |
| Accenture plc Class A | 71,846 | 9,395 |
| United Parcel Service Inc. Class B | 79,755 | 9,121 |
| Lockheed Martin Corp. | 29,025 | 8,864 |
| Caterpillar Inc. | 65,728 | 7,722 |
| Raytheon Co. | 33,763 | 6,145 |
| FedEx Corp. | 28,551 | 6,121 |
| General Dynamics Corp. | 30,090 | 6,059 |
| Automatic Data Processing Inc. | 51,867 | 5,522 |
| CSX Corp. | 101,800 | 5,110 |
| Northrop Grumman Corp. | 18,702 | 5,091 |
| Illinois Tool Works Inc. | 35,065 | 4,822 |
| Emerson Electric Co. | 74,453 | 4,396 |
| Johnson Controls International plc | 108,516 | 4,296 |
| Deere & Co. | 36,838 | 4,271 |
| Norfolk Southern Corp. | 33,520 | 4,040 |
| Waste Management Inc. | 50,856 | 3,922 |
| Eaton Corp. plc | 51,780 | 3,716 |
| Delta Air Lines Inc. | 78,513 | 3,705 |
| Southwest Airlines Co. | 65,151 | 3,397 |
| Cummins Inc. | 18,491 | 2,947 |
| Roper Technologies Inc. | 11,562 | 2,667 |
| PACCAR Inc. | 39,979 | 2,652 |
| Stanley Black & Decker Inc. | 17,583 | 2,532 |
| Rockwell Collins Inc. | 18,842 | 2,469 |
| Parker-Hannifin Corp. | 15,177 | 2,442 |
| Rockwell Automation Inc. | 14,745 | 2,419 |
| American Airlines Group Inc. | 52,012 | 2,327 |
| Fortive Corp. | 35,279 | 2,292 |
| Paychex Inc. | 36,964 | 2,108 |
| * United Continental Holdings Inc. | 32,342 | 2,004 |
| * Mettler-Toledo International Inc. | 2,912 | 1,762 |
| Republic Services Inc. Class A | 26,417 | 1,723 |
| AMETEK Inc. | 26,046 | 1,647 |
| L3 Technologies Inc. | 8,889 | 1,613 |
| * Waters Corp. | 8,750 | 1,605 |
| Dover Corp. | 17,826 | 1,513 |
| Textron Inc. | 30,717 | 1,508 |
| TransDigm Group Inc. | 5,539 | 1,444 |
| * Verisk Analytics Inc. Class A | 17,374 | 1,408 |
| Cintas Corp. | 9,860 | 1,331 |
12
| | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Xylem Inc. | 21,438 | 1,331 |
| Kansas City Southern | 12,111 | 1,253 |
| Expeditors International of Washington Inc. | 21,170 | 1,188 |
| Pentair plc | 19,091 | 1,185 |
| CH Robinson Worldwide Inc. | 16,345 | 1,154 |
| * United Rentals Inc. | 9,647 | 1,139 |
| Arconic Inc. | 44,668 | 1,138 |
| Huntington Ingalls Industries Inc. | 5,283 | 1,130 |
| * Trimble Inc. | 28,644 | 1,108 |
| * CoStar Group Inc. | 3,680 | 1,055 |
| Spirit AeroSystems Holdings Inc. Class A | 14,090 | 1,050 |
| IDEX Corp. | 8,876 | 1,044 |
| Alaska Air Group Inc. | 13,745 | 1,026 |
| Avery Dennison Corp. | 10,388 | 979 |
| WW Grainger Inc. | 6,014 | 978 |
| JB Hunt Transport Services Inc. | 9,819 | 971 |
| Snap-on Inc. | 6,575 | 970 |
| AO Smith Corp. | 16,354 | 911 |
| * Sensata Technologies Holding NV | 19,891 | 888 |
| * Keysight Technologies Inc. | 21,523 | 879 |
| Xerox Corp. | 27,087 | 874 |
| ManpowerGroup Inc. | 7,804 | 870 |
| Allegion plc | 10,866 | 855 |
| * Middleby Corp. | 6,635 | 807 |
| * HD Supply Holdings Inc. | 23,452 | 781 |
| Graco Inc. | 6,738 | 778 |
| * XPO Logistics Inc. | 12,511 | 766 |
| Jacobs Engineering Group Inc. | 13,938 | 759 |
| * JetBlue Airways Corp. | 37,986 | 753 |
| Toro Co. | 12,101 | 746 |
| * Copart Inc. | 22,627 | 740 |
| Donaldson Co. Inc. | 15,486 | 732 |
| Orbital ATK Inc. | 6,536 | 729 |
| Nordson Corp. | 6,664 | 728 |
| Hubbell Inc. Class B | 6,186 | 698 |
| Macquarie Infrastructure Corp. | 9,299 | 693 |
| * Stericycle Inc. | 9,609 | 691 |
| Old Dominion Freight Line Inc. | 6,905 | 690 |
| Wabtec Corp. | 9,730 | 687 |
| Carlisle Cos. Inc. | 7,228 | 684 |
| Robert Half International Inc. | 14,599 | 661 |
| * Zebra Technologies Corp. | 6,124 | 631 |
| Oshkosh Corp. | 8,397 | 626 |
| Fluor Corp. | 16,219 | 626 |
| FLIR Systems Inc. | 16,403 | 623 |
| * Teledyne Technologies Inc. | 4,084 | 613 |
| * Quanta Services Inc. | 16,970 | 610 |
| Flowserve Corp. | 15,159 | 595 |
| BWX Technologies Inc. | 10,868 | 595 |
| * AECOM | 17,525 | 587 |
| Booz Allen Hamilton Holding Corp. Class A | 17,124 | 584 |
| Lincoln Electric Holdings Inc. | 6,602 | 573 |
| Allison Transmission Holdings Inc. | 15,884 | 552 |
| AGCO Corp. | 7,819 | 535 |
| Trinity Industries Inc. | 17,555 | 506 |
| Rollins Inc. | 11,223 | 498 |
| National Instruments Corp. | 12,252 | 495 |
| * Genesee & Wyoming Inc. Class A | 7,185 | 493 |
| Ryder System Inc. | 6,243 | 484 |
| Genpact Ltd. | 16,415 | 467 |
| Landstar System Inc. | 4,933 | 460 |
| Air Lease Corp. Class A | 11,217 | 456 |
| Copa Holdings SA Class A | 3,604 | 447 |
| Crane Co. | 5,602 | 416 |
13
| | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * Colfax Corp. | 10,364 | 413 |
| ITT Inc. | 10,222 | 413 |
| Terex Corp. | 10,600 | 409 |
| Regal Beloit Corp. | 5,255 | 396 |
| HEICO Corp. Class A | 5,364 | 390 |
| * Kirby Corp. | 6,153 | 385 |
| * Conduent Inc. | 22,220 | 367 |
| MSC Industrial Direct Co. Inc. Class A | 5,153 | 355 |
| * Clean Harbors Inc. | 6,094 | 330 |
| * Welbilt Inc. | 15,320 | 305 |
| * WESCO International Inc. | 5,647 | 285 |
| Pitney Bowes Inc. | 21,766 | 280 |
| * Spirit Airlines Inc. | 7,970 | 271 |
| HEICO Corp. | 3,030 | 260 |
| * Gardner Denver Holdings Inc. | 4,779 | 112 |
| | | 289,335 |
| Technology (19.6%) | | |
| Apple Inc. | 604,468 | 99,133 |
| Microsoft Corp. | 868,936 | 64,970 |
| * Facebook Inc. Class A | 270,415 | 46,503 |
| * Alphabet Inc. Class C | 35,121 | 32,990 |
| * Alphabet Inc. Class A | 34,399 | 32,859 |
| Intel Corp. | 546,131 | 19,153 |
| Cisco Systems Inc. | 580,702 | 18,704 |
| Oracle Corp. | 332,904 | 16,755 |
| International Business Machines Corp. | 99,614 | 14,248 |
| Broadcom Ltd. | 46,242 | 11,656 |
| NVIDIA Corp. | 65,759 | 11,142 |
| Texas Instruments Inc. | 115,811 | 9,591 |
| QUALCOMM Inc. | 171,230 | 8,950 |
| * Adobe Systems Inc. | 57,385 | 8,904 |
| * salesforce.com Inc. | 78,127 | 7,460 |
| Applied Materials Inc. | 125,693 | 5,671 |
| Activision Blizzard Inc. | 85,713 | 5,619 |
| Cognizant Technology Solutions Corp. Class A | 67,693 | 4,791 |
| * NXP Semiconductors NV | 38,561 | 4,356 |
| * Electronic Arts Inc. | 34,747 | 4,222 |
| Intuit Inc. | 28,206 | 3,990 |
| * Micron Technology Inc. | 121,105 | 3,872 |
| HP Inc. | 196,341 | 3,746 |
| Analog Devices Inc. | 41,872 | 3,503 |
| Hewlett Packard Enterprise Co. | 192,082 | 3,469 |
| Lam Research Corp. | 18,694 | 3,103 |
| Corning Inc. | 105,226 | 3,026 |
| Western Digital Corp. | 33,799 | 2,983 |
| DXC Technology Co. | 32,865 | 2,794 |
| Amphenol Corp. Class A | 34,261 | 2,773 |
| * Autodesk Inc. | 24,162 | 2,766 |
| Skyworks Solutions Inc. | 21,447 | 2,260 |
| * ServiceNow Inc. | 19,183 | 2,229 |
| * Red Hat Inc. | 20,328 | 2,185 |
| Symantec Corp. | 70,835 | 2,124 |
| * IHS Markit Ltd. | 44,973 | 2,107 |
| Microchip Technology Inc. | 24,240 | 2,104 |
| Xilinx Inc. | 28,540 | 1,885 |
| * Dell Technologies Inc. Class V | 23,525 | 1,763 |
| Harris Corp. | 14,261 | 1,753 |
| Motorola Solutions Inc. | 19,139 | 1,687 |
| KLA-Tencor Corp. | 17,969 | 1,684 |
| * Workday Inc. Class A | 14,948 | 1,640 |
| Maxim Integrated Products Inc. | 32,169 | 1,501 |
| * Synopsys Inc. | 17,801 | 1,432 |
| * Citrix Systems Inc. | 17,315 | 1,354 |
| * Palo Alto Networks Inc. | 10,202 | 1,354 |
14
| | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * Twitter Inc. | 76,749 | 1,298 |
| * Cadence Design Systems Inc. | 32,484 | 1,276 |
| * ANSYS Inc. | 9,803 | 1,263 |
| * Gartner Inc. | 10,308 | 1,243 |
| * Advanced Micro Devices Inc. | 94,599 | 1,230 |
| NetApp Inc. | 31,192 | 1,206 |
| CA Inc. | 36,051 | 1,196 |
| Juniper Networks Inc. | 42,826 | 1,188 |
| * Take-Two Interactive Software Inc. | 11,610 | 1,135 |
| CDW Corp. | 17,533 | 1,112 |
| Amdocs Ltd. | 16,997 | 1,101 |
| * Arista Networks Inc. | 6,029 | 1,062 |
| * Qorvo Inc. | 14,487 | 1,061 |
| * Splunk Inc. | 15,664 | 1,051 |
| * VeriSign Inc. | 9,976 | 1,035 |
| Cognex Corp. | 9,438 | 1,028 |
| CDK Global Inc. | 15,386 | 992 |
| Leidos Holdings Inc. | 16,861 | 983 |
| * IAC/InterActiveCorp | 8,160 | 926 |
| * Akamai Technologies Inc. | 19,203 | 905 |
| * VMware Inc. Class A | 8,345 | 902 |
| * F5 Networks Inc. | 7,380 | 881 |
| Marvell Technology Group Ltd. | 46,960 | 841 |
| Teradyne Inc. | 23,051 | 821 |
| * ON Semiconductor Corp. | 47,597 | 813 |
| * Arrow Electronics Inc. | 10,001 | 794 |
| SS&C Technologies Holdings Inc. | 19,468 | 754 |
| * PTC Inc. | 13,296 | 745 |
| * IPG Photonics Corp. | 4,079 | 717 |
| * CommScope Holding Co. Inc. | 21,634 | 715 |
| * Tyler Technologies Inc. | 4,027 | 696 |
| LogMeIn Inc. | 6,060 | 693 |
| * Microsemi Corp. | 13,477 | 679 |
| * Ultimate Software Group Inc. | 3,329 | 669 |
| * Coherent Inc. | 2,862 | 668 |
| Jabil Inc. | 20,874 | 654 |
| * Fortinet Inc. | 16,768 | 641 |
| * Guidewire Software Inc. | 8,385 | 635 |
| Universal Display Corp. | 4,868 | 619 |
| * ARRIS International plc | 21,087 | 587 |
| CSRA Inc. | 18,320 | 577 |
| Brocade Communications Systems Inc. | 46,264 | 573 |
| Avnet Inc. | 14,402 | 555 |
| * Nuance Communications Inc. | 33,923 | 545 |
| Cypress Semiconductor Corp. | 38,539 | 528 |
| * Tableau Software Inc. Class A | 7,013 | 508 |
| * NCR Corp. | 13,902 | 508 |
| * Cavium Inc. | 7,712 | 488 |
| * Teradata Corp. | 14,432 | 461 |
| Sabre Corp. | 24,355 | 449 |
| * GoDaddy Inc. Class A | 9,138 | 410 |
| DST Systems Inc. | 7,164 | 368 |
| * Manhattan Associates Inc. | 8,188 | 344 |
| * EchoStar Corp. Class A | 5,631 | 340 |
| * Zynga Inc. Class A | 88,604 | 332 |
| Dolby Laboratories Inc. Class A | 6,487 | 327 |
| * Atlassian Corp. plc Class A | 8,526 | 304 |
| * FireEye Inc. | 20,546 | 303 |
| * Black Knight Financial Services Inc. Class A | 3,315 | 141 |
| * Match Group Inc. | 4,479 | 97 |
| | | 537,737 |
| Utilities (5.3%) | | |
| AT&T Inc. | 712,472 | 26,689 |
| Verizon Communications Inc. | 473,303 | 22,704 |
15
| | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| NextEra Energy Inc. | 54,219 | 8,160 |
| Duke Energy Corp. | 81,266 | 7,095 |
| Dominion Energy Inc. | 72,719 | 5,728 |
| Southern Co. | 115,123 | 5,556 |
| American Electric Power Co. Inc. | 57,078 | 4,203 |
| PG&E Corp. | 59,225 | 4,168 |
| Exelon Corp. | 107,080 | 4,055 |
| Sempra Energy | 29,093 | 3,431 |
| PPL Corp. | 79,440 | 3,117 |
| Consolidated Edison Inc. | 35,520 | 2,993 |
| Edison International | 36,876 | 2,957 |
| Xcel Energy Inc. | 59,004 | 2,921 |
| Public Service Enterprise Group Inc. | 58,618 | 2,746 |
| WEC Energy Group Inc. | 36,834 | 2,402 |
| DTE Energy Co. | 20,859 | 2,343 |
| Eversource Energy | 36,982 | 2,330 |
| * T-Mobile US Inc. | 34,213 | 2,214 |
| * Level 3 Communications Inc. | 33,941 | 1,847 |
| Ameren Corp. | 27,847 | 1,671 |
| FirstEnergy Corp. | 50,892 | 1,658 |
| American Water Works Co. Inc. | 20,481 | 1,657 |
| Entergy Corp. | 20,576 | 1,629 |
| CMS Energy Corp. | 32,114 | 1,559 |
| CenterPoint Energy Inc. | 49,521 | 1,467 |
| ^ CenturyLink Inc. | 61,945 | 1,222 |
| Pinnacle West Capital Corp. | 12,770 | 1,149 |
| Alliant Energy Corp. | 25,894 | 1,107 |
| Atmos Energy Corp. | 11,836 | 1,042 |
| NiSource Inc. | 37,009 | 994 |
| UGI Corp. | 19,834 | 980 |
| SCANA Corp. | 15,009 | 906 |
| NRG Energy Inc. | 34,794 | 867 |
| Westar Energy Inc. Class A | 16,517 | 847 |
| OGE Energy Corp. | 23,269 | 831 |
| AES Corp. | 74,628 | 824 |
| Great Plains Energy Inc. | 25,069 | 769 |
| * Zayo Group Holdings Inc. | 21,862 | 747 |
| Aqua America Inc. | 20,801 | 695 |
| Vectren Corp. | 9,704 | 637 |
| MDU Resources Group Inc. | 22,670 | 613 |
| * Calpine Corp. | 41,600 | 611 |
| * Sprint Corp. | 73,603 | 607 |
| * Vistra Energy Corp. | 28,167 | 499 |
| National Fuel Gas Co. | 8,589 | 498 |
| Hawaiian Electric Industries Inc. | 12,480 | 417 |
| Avangrid Inc. | 6,503 | 317 |
| Telephone & Data Systems Inc. | 10,666 | 313 |
| * United States Cellular Corp. | 1,596 | 62 |
| |
| | | 144,854 |
| Total Common Stocks (Cost $2,156,206) | | 2,731,235 |
16
| | | | |
| Vanguard® Russell 1000 Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | | Market |
| | | | | Value |
| | Coupon | | Shares | ($000) |
| Temporary Cash Investments (0.1%)1 | | | | |
| Money Market Fund (0.1%) | | | | |
| 2,3 Vanguard Market Liquidity Fund | 1.224% | | 13,763 | 1,377 |
| |
| | | | Face | |
| | | Maturity | Amount | |
| | | Date | ($000) | |
| U.S. Government and Agency Obligations (0.0%) | | | | |
| 4 United States Treasury Bill | 1.033% | 11/2/17 | 400 | 399 |
| Total Temporary Cash Investments (Cost $1,776) | | | | 1,776 |
| Total Investments (99.8%) (Cost $2,157,982) | | | | 2,733,011 |
| Other Assets and Liabilities—Net (0.2%)3 | | | | 5,003 |
| Net Assets (100%) | | | | 2,738,014 |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,313,000. |
| 1 | The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and -0.2%, respectively, of net assets. |
| 2 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
| 3 | Includes $1,371,000 of collateral received for securities on loan. |
| 4 | Securities with a value of $399,000 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 | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| |
| Common Stocks (99.8%)1 | | |
| Consumer Discretionary (8.4%) | | |
| Wal-Mart Stores Inc. | 332,457 | 25,955 |
| Time Warner Inc. | 176,707 | 17,865 |
| Walt Disney Co. | 113,027 | 11,438 |
| General Motors Co. | 312,912 | 11,434 |
| Ford Motor Co. | 887,312 | 9,787 |
| * eBay Inc. | 230,960 | 8,345 |
| Target Corp. | 126,130 | 6,878 |
| Carnival Corp. | 92,815 | 6,449 |
| Twenty-First Century Fox Inc. Class A | 227,496 | 6,277 |
| * Charter Communications Inc. Class A | 14,756 | 5,881 |
| Newell Brands Inc. | 109,415 | 5,283 |
| Royal Caribbean Cruises Ltd. | 39,181 | 4,876 |
| MGM Resorts International | 107,359 | 3,538 |
| * Mohawk Industries Inc. | 13,248 | 3,353 |
| Comcast Corp. Class A | 80,446 | 3,267 |
| Best Buy Co. Inc. | 60,104 | 3,261 |
| Nielsen Holdings plc | 81,092 | 3,150 |
| Dollar General Corp. | 38,943 | 2,826 |
| Whirlpool Corp. | 15,250 | 2,617 |
| Twenty-First Century Fox Inc. | 92,894 | 2,517 |
| * Norwegian Cruise Line Holdings Ltd. | 40,110 | 2,385 |
| Viacom Inc. Class B | 82,314 | 2,354 |
| Lennar Corp. Class A | 44,152 | 2,285 |
| Tiffany & Co. | 24,586 | 2,247 |
| Coach Inc. | 53,351 | 2,225 |
| PVH Corp. | 17,650 | 2,222 |
| * Liberty Broadband Corp. | 21,113 | 2,144 |
| * LKQ Corp. | 59,912 | 2,076 |
| BorgWarner Inc. | 43,223 | 2,006 |
| * Liberty Media Corp-Liberty SiriusXM Class C | 41,069 | 1,832 |
| Coty Inc. Class A | 107,010 | 1,774 |
| Goodyear Tire & Rubber Co. | 57,118 | 1,731 |
| Genuine Parts Co. | 20,421 | 1,691 |
| L Brands Inc. | 45,881 | 1,662 |
| Kohl's Corp. | 39,085 | 1,555 |
| Staples Inc. | 149,080 | 1,523 |
| Adient plc | 21,415 | 1,514 |
| Macy's Inc. | 69,391 | 1,441 |
| Garmin Ltd. | 27,826 | 1,433 |
| News Corp. Class A | 102,257 | 1,367 |
| * Michael Kors Holdings Ltd. | 32,348 | 1,366 |
| Aramark | 31,818 | 1,295 |
| DR Horton Inc. | 34,766 | 1,257 |
| Gap Inc. | 52,688 | 1,244 |
| VF Corp. | 19,499 | 1,226 |
| PulteGroup Inc. | 47,430 | 1,225 |
| Advance Auto Parts Inc. | 11,846 | 1,160 |
| Ralph Lauren Corp. Class A | 12,793 | 1,124 |
| * Liberty Ventures Class A | 18,121 | 1,115 |
| * Discovery Communications Inc. | 51,362 | 1,079 |
| H&R Block Inc. | 39,815 | 1,065 |
| Mattel Inc. | 63,108 | 1,024 |
| Signet Jewelers Ltd. | 15,531 | 979 |
| Foot Locker Inc. | 27,677 | 975 |
| * Liberty Interactive Corp. QVC Group Class A | 40,961 | 906 |
| * Liberty Media Corp-Liberty SiriusXM Class A | 19,737 | 882 |
| Bed Bath & Beyond Inc. | 31,888 | 880 |
| * Liberty Broadband Corp. Class A | 8,309 | 843 |
| * Madison Square Garden Co. Class A | 3,861 | 820 |
| * Liberty Media Corp-Liberty Formula One | 20,711 | 814 |
| Cinemark Holdings Inc. | 24,236 | 807 |
18
| | |
| Vanguard® Russell 1000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Scripps Networks Interactive Inc. Class A | 8,834 | 757 |
| Williams-Sonoma Inc. | 15,895 | 731 |
| Toll Brothers Inc. | 18,273 | 712 |
| * Discovery Communications Inc. Class A | 30,651 | 681 |
| * AutoNation Inc. | 14,567 | 661 |
| * DISH Network Corp. Class A | 11,517 | 660 |
| Tribune Media Co. Class A | 16,284 | 652 |
| * Cabela's Inc. | 11,591 | 622 |
| Hasbro Inc. | 6,296 | 619 |
| TEGNA Inc. | 48,783 | 616 |
| * Burlington Stores Inc. | 6,758 | 589 |
| Graham Holdings Co. Class B | 988 | 580 |
| * Hyatt Hotels Corp. Class A | 9,580 | 570 |
| CalAtlantic Group Inc. | 16,362 | 569 |
| * TripAdvisor Inc. | 13,180 | 563 |
| John Wiley & Sons Inc. Class A | 10,101 | 545 |
| * Liberty Expedia Holdings Inc. Class A | 9,845 | 538 |
| Harley-Davidson Inc. | 10,828 | 509 |
| * Murphy USA Inc. | 7,829 | 505 |
| International Game Technology plc | 24,233 | 494 |
| * AutoZone Inc. | 929 | 491 |
| * Liberty Media Corp-Liberty Formula One Class A | 12,553 | 476 |
| * Skechers U.S.A. Inc. Class A | 16,926 | 447 |
| AMERCO | 1,134 | 423 |
| GameStop Corp. Class A | 22,600 | 418 |
| * Yum China Holdings Inc. | 11,498 | 407 |
| Gentex Corp. | 22,096 | 404 |
| * Tempur Sealy International Inc. | 6,465 | 400 |
| * Urban Outfitters Inc. | 19,533 | 399 |
| Lear Corp. | 2,616 | 391 |
| * Sally Beauty Holdings Inc. | 20,406 | 379 |
| Hilton Worldwide Holdings Inc. | 5,428 | 349 |
| Penske Automotive Group Inc. | 8,172 | 346 |
| Extended Stay America Inc. | 16,977 | 333 |
| Regal Entertainment Group Class A | 19,017 | 281 |
| Interpublic Group of Cos. Inc. | 13,841 | 279 |
| Leggett & Platt Inc. | 5,846 | 269 |
| * Lions Gate Entertainment Corp. Class B | 8,389 | 235 |
| * Dollar Tree Inc. | 2,782 | 222 |
| Brunswick Corp. | 3,944 | 207 |
| * Under Armour Inc. Class A | 11,753 | 190 |
| News Corp. Class B | 13,711 | 188 |
| * Under Armour Inc. | 10,984 | 166 |
| Fortune Brands Home & Security Inc. | 2,432 | 152 |
| Lennar Corp. Class B | 3,364 | 145 |
| * Michaels Cos. Inc. | 5,808 | 130 |
| Dick's Sporting Goods Inc. | 4,501 | 119 |
| Lions Gate Entertainment Corp. Class A | 3,941 | 117 |
| Sirius XM Holdings Inc. | 18,309 | 105 |
| * Altice USA Inc. Class A | 1,973 | 60 |
| Viacom Inc. Class A | 742 | 28 |
| | | 225,279 |
| Consumer Staples (8.0%) | | |
| Procter & Gamble Co. | 554,207 | 51,137 |
| Philip Morris International Inc. | 322,123 | 37,666 |
| CVS Health Corp. | 232,250 | 17,962 |
| Walgreens Boots Alliance Inc. | 173,767 | 14,162 |
| Mondelez International Inc. Class A | 334,732 | 13,610 |
| Colgate-Palmolive Co. | 165,323 | 11,844 |
| Kraft Heinz Co. | 137,100 | 11,071 |
| Coca-Cola Co. | 220,516 | 10,044 |
| Archer-Daniels-Midland Co. | 127,094 | 5,252 |
| PepsiCo Inc. | 42,193 | 4,883 |
| Tyson Foods Inc. Class A | 63,301 | 4,007 |
19
| | |
| Vanguard® Russell 1000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Molson Coors Brewing Co. Class B | 39,183 | 3,517 |
| Conagra Brands Inc. | 92,090 | 2,989 |
| JM Smucker Co. | 25,560 | 2,678 |
| Bunge Ltd. | 31,911 | 2,381 |
| Kroger Co. | 94,695 | 2,071 |
| General Mills Inc. | 37,881 | 2,018 |
| Ingredion Inc. | 16,193 | 2,005 |
| Hormel Foods Corp. | 61,110 | 1,879 |
| Pinnacle Foods Inc. | 26,944 | 1,598 |
| Kimberly-Clark Corp. | 11,919 | 1,469 |
| * Post Holdings Inc. | 14,747 | 1,255 |
| Lamb Weston Holdings Inc. | 25,705 | 1,169 |
| * Edgewell Personal Care Co. | 12,928 | 982 |
| Casey's General Stores Inc. | 8,828 | 931 |
| * Hain Celestial Group Inc. | 23,061 | 927 |
| * US Foods Holding Corp. | 30,423 | 835 |
| Flowers Foods Inc. | 40,251 | 699 |
| Campbell Soup Co. | 14,002 | 647 |
| Clorox Co. | 4,332 | 600 |
| * TreeHouse Foods Inc. | 8,902 | 596 |
| Nu Skin Enterprises Inc. Class A | 8,553 | 520 |
| Hershey Co. | 3,355 | 352 |
| * Rite Aid Corp. | 127,602 | 309 |
| Kellogg Co. | 4,634 | 303 |
| Seaboard Corp. | 58 | 249 |
| Brown-Forman Corp. Class A | 1,818 | 101 |
| Brown-Forman Corp. Class B | 1,444 | 77 |
| * Pilgrim's Pride Corp. | 1,309 | 39 |
| | | 214,834 |
| Energy (10.2%) | | |
| Exxon Mobil Corp. | 967,376 | 73,840 |
| Chevron Corp. | 431,307 | 46,417 |
| Schlumberger Ltd. | 317,329 | 20,154 |
| ConocoPhillips | 282,410 | 12,330 |
| Occidental Petroleum Corp. | 174,353 | 10,409 |
| EOG Resources Inc. | 119,335 | 10,142 |
| Kinder Morgan Inc. | 438,745 | 8,481 |
| Phillips 66 | 99,473 | 8,337 |
| Valero Energy Corp. | 101,935 | 6,942 |
| Marathon Petroleum Corp. | 117,401 | 6,158 |
| Anadarko Petroleum Corp. | 128,076 | 5,242 |
| Pioneer Natural Resources Co. | 38,455 | 4,986 |
| Williams Cos. Inc. | 160,651 | 4,776 |
| * Concho Resources Inc. | 33,659 | 3,735 |
| Andeavor | 35,054 | 3,511 |
| Devon Energy Corp. | 111,071 | 3,488 |
| Baker Hughes a GE Co. | 96,461 | 3,270 |
| Apache Corp. | 82,140 | 3,190 |
| National Oilwell Varco Inc. | 86,461 | 2,652 |
| Noble Energy Inc. | 110,048 | 2,616 |
| Halliburton Co. | 64,586 | 2,517 |
| Hess Corp. | 64,345 | 2,503 |
| EQT Corp. | 39,241 | 2,446 |
| Marathon Oil Corp. | 192,906 | 2,145 |
| Targa Resources Corp. | 44,385 | 1,978 |
| * Diamondback Energy Inc. | 17,135 | 1,556 |
| HollyFrontier Corp. | 40,198 | 1,259 |
| * Energen Corp. | 22,116 | 1,134 |
| Helmerich & Payne Inc. | 24,263 | 1,027 |
| Valvoline Inc. | 46,696 | 994 |
| Range Resources Corp. | 52,190 | 906 |
| * WPX Energy Inc. | 89,459 | 894 |
| * First Solar Inc. | 18,425 | 865 |
| Murphy Oil Corp. | 37,101 | 841 |
20
| | | |
| Vanguard® Russell 1000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Cabot Oil & Gas Corp. | 30,901 | 789 |
| * | Weatherford International plc | 200,696 | 769 |
| | Patterson-UTI Energy Inc. | 47,439 | 758 |
| * | CONSOL Energy Inc. | 51,811 | 754 |
| *,^ | Transocean Ltd. | 87,404 | 713 |
| * | Chesapeake Energy Corp. | 192,215 | 700 |
| * | Cheniere Energy Inc. | 15,854 | 678 |
| * | Southwestern Energy Co. | 114,814 | 626 |
| | PBF Energy Inc. Class A | 24,852 | 588 |
| | World Fuel Services Corp. | 15,418 | 533 |
| * | Antero Resources Corp. | 26,531 | 522 |
| * | Rice Energy Inc. | 18,573 | 508 |
| | Oceaneering International Inc. | 22,320 | 503 |
| * | RSP Permian Inc. | 14,864 | 466 |
| * | Parsley Energy Inc. Class A | 17,956 | 450 |
| * | Centennial Resource Development Inc. Class A | 25,333 | 438 |
| | Nabors Industries Ltd. | 63,199 | 414 |
| * | QEP Resources Inc. | 54,416 | 411 |
| * | Gulfport Energy Corp. | 32,589 | 408 |
| * | Continental Resources Inc. | 11,280 | 383 |
| * | Whiting Petroleum Corp. | 81,824 | 366 |
| * | Extraction Oil & Gas Inc. | 27,435 | 360 |
| | SM Energy Co. | 24,435 | 326 |
| * | Kosmos Energy Ltd. | 44,724 | 315 |
| | Cimarex Energy Co. | 1,469 | 146 |
| | RPC Inc. | 1,252 | 24 |
| | | | 274,689 |
| Financial Services (30.6%) | | |
| * | Berkshire Hathaway Inc. Class B | 438,898 | 79,511 |
| | JPMorgan Chase & Co. | 806,817 | 73,332 |
| | Bank of America Corp. | 2,272,437 | 54,289 |
| | Wells Fargo & Co. | 1,024,851 | 52,339 |
| | Citigroup Inc. | 628,460 | 42,754 |
| | Goldman Sachs Group Inc. | 83,756 | 18,740 |
| | US Bancorp | 360,782 | 18,490 |
| | Chubb Ltd. | 105,963 | 14,985 |
| | American Express Co. | 171,151 | 14,736 |
| | PNC Financial Services Group Inc. | 110,437 | 13,850 |
| | Morgan Stanley | 301,264 | 13,708 |
| | Bank of New York Mellon Corp. | 230,107 | 12,030 |
| | BlackRock Inc. | 28,385 | 11,894 |
| | American International Group Inc. | 185,164 | 11,199 |
| | Prudential Financial Inc. | 97,675 | 9,971 |
| | MetLife Inc. | 208,539 | 9,766 |
| | CME Group Inc. | 77,271 | 9,721 |
| | BB&T Corp. | 184,801 | 8,517 |
| | Capital One Financial Corp. | 104,129 | 8,290 |
| | Travelers Cos. Inc. | 63,629 | 7,711 |
| | Prologis Inc. | 120,237 | 7,618 |
| | State Street Corp. | 81,102 | 7,501 |
| | Aflac Inc. | 88,467 | 7,303 |
| | Welltower Inc. | 83,617 | 6,122 |
| | SunTrust Banks Inc. | 110,527 | 6,090 |
| | AvalonBay Communities Inc. | 31,384 | 5,892 |
| | Synchrony Financial | 187,233 | 5,765 |
| | Weyerhaeuser Co. | 170,311 | 5,554 |
| | Ventas Inc. | 80,794 | 5,530 |
| | Equity Residential | 81,105 | 5,446 |
| | Allstate Corp. | 60,115 | 5,440 |
| | Discover Financial Services | 88,354 | 5,208 |
| | M&T Bank Corp. | 33,018 | 4,882 |
| | Hartford Financial Services Group Inc. | 83,355 | 4,507 |
| | Intercontinental Exchange Inc. | 69,436 | 4,490 |
| | Fifth Third Bancorp | 171,744 | 4,488 |
21
| | |
| Vanguard® Russell 1000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| KeyCorp | 249,461 | 4,293 |
| Willis Towers Watson plc | 28,835 | 4,281 |
| Northern Trust Corp. | 47,732 | 4,224 |
| Essex Property Trust Inc. | 14,899 | 3,963 |
| Regions Financial Corp. | 275,044 | 3,881 |
| Citizens Financial Group Inc. | 115,965 | 3,842 |
| T. Rowe Price Group Inc. | 45,227 | 3,815 |
| Principal Financial Group Inc. | 60,929 | 3,809 |
| Boston Properties Inc. | 29,883 | 3,604 |
| Realty Income Corp. | 62,277 | 3,585 |
| Lincoln National Corp. | 51,243 | 3,477 |
| Franklin Resources Inc. | 76,275 | 3,297 |
| * Markel Corp. | 3,101 | 3,262 |
| HCP Inc. | 107,132 | 3,194 |
| Huntington Bancshares Inc. | 245,893 | 3,096 |
| Annaly Capital Management Inc. | 245,765 | 3,072 |
| Host Hotels & Resorts Inc. | 166,454 | 3,016 |
| Fidelity National Information Services Inc. | 32,172 | 2,989 |
| Loews Corp. | 63,028 | 2,936 |
| Vornado Realty Trust | 39,268 | 2,925 |
| GGP Inc. | 140,310 | 2,911 |
| FNF Group | 59,546 | 2,873 |
| Mid-America Apartment Communities Inc. | 25,925 | 2,760 |
| Comerica Inc. | 40,260 | 2,748 |
| Cincinnati Financial Corp. | 34,928 | 2,684 |
| * E*TRADE Financial Corp. | 62,691 | 2,571 |
| Invesco Ltd. | 77,962 | 2,556 |
| Unum Group | 51,940 | 2,502 |
| Alexandria Real Estate Equities Inc. | 20,619 | 2,501 |
| Duke Realty Corp. | 81,329 | 2,417 |
| Ally Financial Inc. | 106,614 | 2,409 |
| Everest Re Group Ltd. | 9,239 | 2,333 |
| UDR Inc. | 60,051 | 2,331 |
| Affiliated Managers Group Inc. | 12,822 | 2,266 |
| Charles Schwab Corp. | 55,394 | 2,210 |
| * Arch Capital Group Ltd. | 22,672 | 2,207 |
| Regency Centers Corp. | 33,987 | 2,186 |
| SL Green Realty Corp. | 22,666 | 2,185 |
| CIT Group Inc. | 45,993 | 2,063 |
| Torchmark Corp. | 26,299 | 2,024 |
| Zions Bancorporation | 45,821 | 2,001 |
| Reinsurance Group of America Inc. Class A | 14,601 | 1,963 |
| Nasdaq Inc. | 25,866 | 1,950 |
| * Alleghany Corp. | 3,406 | 1,917 |
| VEREIT Inc. | 222,929 | 1,882 |
| Kimco Realty Corp. | 94,018 | 1,845 |
| Camden Property Trust | 19,413 | 1,737 |
| AGNC Investment Corp. | 80,585 | 1,736 |
| East West Bancorp Inc. | 30,849 | 1,708 |
| Raymond James Financial Inc. | 21,721 | 1,701 |
| WP Carey Inc. | 24,042 | 1,655 |
| Macerich Co. | 31,204 | 1,647 |
| American Financial Group Inc. | 16,082 | 1,637 |
| XL Group Ltd. | 39,560 | 1,620 |
| Colony NorthStar Inc. Class A | 122,892 | 1,611 |
| Apartment Investment & Management Co. | 35,154 | 1,594 |
| Voya Financial Inc. | 40,752 | 1,558 |
| Kilroy Realty Corp. | 21,814 | 1,510 |
| Sun Communities Inc. | 16,286 | 1,471 |
| American Campus Communities Inc. | 30,720 | 1,462 |
| WR Berkley Corp. | 21,693 | 1,446 |
| National Retail Properties Inc. | 34,023 | 1,423 |
| Omega Healthcare Investors Inc. | 44,524 | 1,419 |
| Liberty Property Trust | 33,106 | 1,410 |
22
| | |
| Vanguard® Russell 1000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Healthcare Trust of America Inc. Class A | 45,077 | 1,401 |
| * CBRE Group Inc. Class A | 37,615 | 1,357 |
| Leucadia National Corp. | 56,611 | 1,341 |
| Brixmor Property Group Inc. | 69,601 | 1,303 |
| New York Community Bancorp Inc. | 107,772 | 1,299 |
| Digital Realty Trust Inc. | 10,947 | 1,295 |
| People's United Financial Inc. | 77,322 | 1,291 |
| Federal Realty Investment Trust | 10,128 | 1,286 |
| Starwood Property Trust Inc. | 57,410 | 1,275 |
| Forest City Realty Trust Inc. Class A | 52,340 | 1,254 |
| Jones Lang LaSalle Inc. | 10,282 | 1,253 |
| PacWest Bancorp | 27,427 | 1,238 |
| DCT Industrial Trust Inc. | 21,035 | 1,227 |
| First American Financial Corp. | 24,431 | 1,199 |
| Highwoods Properties Inc. | 22,939 | 1,198 |
| Brown & Brown Inc. | 26,558 | 1,194 |
| Gaming and Leisure Properties Inc. | 30,074 | 1,179 |
| Synovus Financial Corp. | 27,852 | 1,173 |
| RenaissanceRe Holdings Ltd. | 8,425 | 1,172 |
| Assured Guaranty Ltd. | 27,305 | 1,162 |
| New Residential Investment Corp. | 70,398 | 1,160 |
| Axis Capital Holdings Ltd. | 18,905 | 1,139 |
| American Homes 4 Rent Class A | 50,679 | 1,123 |
| Commerce Bancshares Inc. | 20,369 | 1,120 |
| Medical Properties Trust Inc. | 82,870 | 1,091 |
| Cullen/Frost Bankers Inc. | 12,906 | 1,087 |
| * Brighthouse Financial Inc. | 18,966 | 1,082 |
| Old Republic International Corp. | 55,279 | 1,055 |
| Simon Property Group Inc. | 6,694 | 1,050 |
| Realogy Holdings Corp. | 30,953 | 1,049 |
| Senior Housing Properties Trust | 53,067 | 1,047 |
| Hudson Pacific Properties Inc. | 31,468 | 1,038 |
| Hospitality Properties Trust | 37,488 | 1,026 |
| EPR Properties | 14,227 | 991 |
| STORE Capital Corp. | 38,993 | 990 |
| Webster Financial Corp. | 21,013 | 981 |
| Spirit Realty Capital Inc. | 110,466 | 961 |
| Hanover Insurance Group Inc. | 9,619 | 944 |
| Assurant Inc. | 9,872 | 935 |
| FNB Corp. | 72,605 | 921 |
| Popular Inc. | 22,829 | 911 |
| * Howard Hughes Corp. | 7,749 | 909 |
| First Horizon National Corp. | 52,790 | 909 |
| Prosperity Bancshares Inc. | 15,179 | 907 |
| Validus Holdings Ltd. | 17,478 | 877 |
| Navient Corp. | 66,029 | 872 |
| Weingarten Realty Investors | 27,155 | 870 |
| * Equity Commonwealth | 28,034 | 867 |
| White Mountains Insurance Group Ltd. | 984 | 857 |
| Apple Hospitality REIT Inc. | 46,892 | 853 |
| Rayonier Inc. | 29,087 | 844 |
| Park Hotels & Resorts Inc. | 29,825 | 796 |
| Chimera Investment Corp. | 41,680 | 795 |
| Two Harbors Investment Corp. | 77,532 | 793 |
| BankUnited Inc. | 23,623 | 786 |
| MFA Financial Inc. | 88,947 | 781 |
| Life Storage Inc. | 10,497 | 772 |
| Associated Banc-Corp | 34,709 | 760 |
| Corporate Office Properties Trust | 22,586 | 753 |
| Bank of Hawaii Corp. | 9,641 | 753 |
| Arthur J Gallagher & Co. | 12,747 | 738 |
| Paramount Group Inc. | 46,298 | 731 |
| Uniti Group Inc. | 37,898 | 730 |
| Retail Properties of America Inc. | 54,190 | 722 |
23
| | |
| Vanguard® Russell 1000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| CoreCivic Inc. | 26,821 | 719 |
| Pinnacle Financial Partners Inc. | 11,455 | 713 |
| Piedmont Office Realty Trust Inc. Class A | 33,705 | 683 |
| First Republic Bank | 7,032 | 682 |
| Brandywine Realty Trust | 39,544 | 679 |
| DDR Corp. | 69,770 | 675 |
| ProAssurance Corp. | 12,157 | 647 |
| * Signature Bank | 5,026 | 645 |
| * JBG SMITH Properties | 19,622 | 642 |
| Interactive Brokers Group Inc. | 15,177 | 636 |
| Bank of the Ozarks | 14,040 | 603 |
| Columbia Property Trust Inc. | 28,558 | 600 |
| Outfront Media Inc. | 27,169 | 598 |
| Empire State Realty Trust Inc. | 28,778 | 586 |
| Legg Mason Inc. | 15,036 | 574 |
| Dun & Bradstreet Corp. | 5,065 | 564 |
| TCF Financial Corp. | 36,136 | 561 |
| * SVB Financial Group | 3,276 | 555 |
| * Athene Holding Ltd. Class A | 9,909 | 530 |
| BGC Partners Inc. Class A | 39,604 | 514 |
| * Santander Consumer USA Holdings Inc. | 35,612 | 509 |
| Ameriprise Financial Inc. | 3,494 | 484 |
| Tanger Factory Outlet Centers Inc. | 20,099 | 470 |
| * Western Alliance Bancorp | 9,667 | 466 |
| Invitation Homes Inc. | 20,060 | 464 |
| BOK Financial Corp. | 5,731 | 461 |
| Federated Investors Inc. Class B | 15,804 | 432 |
| Aspen Insurance Holdings Ltd. | 9,247 | 418 |
| * CoreLogic Inc. | 8,082 | 380 |
| Mercury General Corp. | 6,417 | 369 |
| Taubman Centers Inc. | 6,777 | 354 |
| * OneMain Holdings Inc. Class A | 12,898 | 353 |
| Extra Space Storage Inc. | 4,300 | 334 |
| First Hawaiian Inc. | 12,135 | 329 |
| CNA Financial Corp. | 6,341 | 311 |
| CubeSmart | 12,452 | 307 |
| Iron Mountain Inc. | 7,261 | 286 |
| * Zillow Group Inc. | 6,875 | 272 |
| TD Ameritrade Holding Corp. | 6,236 | 270 |
| Douglas Emmett Inc. | 6,267 | 244 |
| TFS Financial Corp. | 13,618 | 209 |
| * WEX Inc. | 1,818 | 198 |
| American National Insurance Co. | 1,711 | 198 |
| Erie Indemnity Co. Class A | 1,599 | 193 |
| * Zillow Group Inc. Class A | 4,054 | 162 |
| * SLM Corp. | 14,644 | 149 |
| CyrusOne Inc. | 2,330 | 147 |
| Lamar Advertising Co. Class A | 2,166 | 144 |
| Lazard Ltd. Class A | 2,850 | 122 |
| * Credit Acceptance Corp. | 326 | 89 |
| Morningstar Inc. | 341 | 28 |
| | | 823,901 |
| Health Care (14.2%) | | |
| Johnson & Johnson | 521,210 | 68,993 |
| Pfizer Inc. | 1,349,735 | 45,783 |
| Merck & Co. Inc. | 590,422 | 37,704 |
| Medtronic plc | 289,669 | 23,353 |
| Amgen Inc. | 119,544 | 21,251 |
| Abbott Laboratories | 385,768 | 19,651 |
| Allergan plc | 76,601 | 17,578 |
| Anthem Inc. | 60,581 | 11,876 |
| Danaher Corp. | 139,861 | 11,667 |
| Bristol-Myers Squibb Co. | 191,022 | 11,553 |
| Thermo Fisher Scientific Inc. | 49,901 | 9,338 |
24
| | | |
| Vanguard® Russell 1000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Express Scripts Holding Co. | 127,631 | 8,018 |
| | Aetna Inc. | 50,124 | 7,905 |
| | Gilead Sciences Inc. | 84,626 | 7,084 |
| | McKesson Corp. | 43,316 | 6,468 |
| | Baxter International Inc. | 103,134 | 6,398 |
| | Zimmer Biomet Holdings Inc. | 46,026 | 5,259 |
| * | HCA Healthcare Inc. | 62,675 | 4,930 |
| | Cardinal Health Inc. | 72,142 | 4,867 |
| * | Mylan NV | 121,909 | 3,838 |
| * | Laboratory Corp. of America Holdings | 23,235 | 3,645 |
| | Agilent Technologies Inc. | 55,928 | 3,620 |
| | Quest Diagnostics Inc. | 31,316 | 3,393 |
| * | Centene Corp. | 33,770 | 3,000 |
| | Dentsply Sirona Inc. | 51,153 | 2,894 |
| | Perrigo Co. plc | 29,053 | 2,294 |
| | Universal Health Services Inc. Class B | 19,708 | 2,131 |
| * | DaVita Inc. | 35,363 | 2,071 |
| | Teleflex Inc. | 8,570 | 1,815 |
| | STERIS plc | 19,054 | 1,661 |
| * | Envision Healthcare Corp. | 26,396 | 1,383 |
| * | Alexion Pharmaceuticals Inc. | 9,553 | 1,360 |
| | PerkinElmer Inc. | 20,127 | 1,348 |
| * | United Therapeutics Corp. | 10,133 | 1,325 |
| | Cigna Corp. | 7,021 | 1,278 |
| * | QIAGEN NV | 35,059 | 1,128 |
| * | Hologic Inc. | 27,419 | 1,058 |
| * | Bio-Rad Laboratories Inc. Class A | 4,756 | 1,036 |
| * | Alere Inc. | 19,527 | 966 |
| * | Quintiles IMS Holdings Inc. | 9,917 | 952 |
| * | MEDNAX Inc. | 20,698 | 928 |
| * | Mallinckrodt plc | 22,459 | 923 |
| * | Biogen Inc. | 2,905 | 920 |
| * | Acadia Healthcare Co. Inc. | 17,845 | 838 |
| | Patterson Cos. Inc. | 16,996 | 654 |
| * | VWR Corp. | 19,129 | 632 |
| | Cooper Cos. Inc. | 2,414 | 605 |
| * | Juno Therapeutics Inc. | 14,482 | 598 |
| * | Brookdale Senior Living Inc. | 41,886 | 508 |
| | Humana Inc. | 1,947 | 502 |
| * | Endo International plc | 50,755 | 446 |
| | Bruker Corp. | 15,124 | 440 |
| *,^ | OPKO Health Inc. | 66,937 | 428 |
| * | LifePoint Health Inc. | 7,040 | 408 |
| * | Premier Inc. Class A | 8,116 | 272 |
| * | Alnylam Pharmaceuticals Inc. | 2,118 | 182 |
| * | WellCare Health Plans Inc. | 851 | 149 |
| | Hill-Rom Holdings Inc. | 1,000 | 77 |
| * | Intrexon Corp. | 3,329 | 66 |
| * | Agios Pharmaceuticals Inc. | 911 | 58 |
| * | Akorn Inc. | 1,526 | 50 |
| | | | 381,556 |
| Materials & Processing (3.1%) | | |
| | Dow Chemical Co. | 278,531 | 18,564 |
| | Air Products & Chemicals Inc. | 48,764 | 7,089 |
| | Newmont Mining Corp. | 121,414 | 4,655 |
| | Nucor Corp. | 72,681 | 4,005 |
| | LyondellBasell Industries NV Class A | 42,548 | 3,854 |
| * | Freeport-McMoRan Inc. | 247,444 | 3,657 |
| | WestRock Co. | 56,790 | 3,232 |
| | Eastman Chemical Co. | 33,030 | 2,847 |
| | Ingersoll-Rand plc | 28,869 | 2,465 |
| | Albemarle Corp. | 20,395 | 2,371 |
| | Owens Corning | 25,237 | 1,871 |
| * | Alcoa Corp. | 42,107 | 1,848 |
25
| | |
| Vanguard® Russell 1000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Mosaic Co. | 79,741 | 1,593 |
| Steel Dynamics Inc. | 46,194 | 1,591 |
| CF Industries Holdings Inc. | 53,019 | 1,537 |
| Ball Corp. | 35,024 | 1,401 |
| Celanese Corp. Class A | 12,783 | 1,240 |
| Olin Corp. | 37,510 | 1,209 |
| Reliance Steel & Aluminum Co. | 16,622 | 1,204 |
| Sonoco Products Co. | 22,224 | 1,073 |
| United States Steel Corp. | 39,221 | 1,044 |
| Praxair Inc. | 7,896 | 1,039 |
| Sealed Air Corp. | 21,556 | 957 |
| Masco Corp. | 25,630 | 942 |
| Bemis Co. Inc. | 20,983 | 894 |
| AptarGroup Inc. | 10,617 | 888 |
| Ashland Global Holdings Inc. | 14,040 | 871 |
| Royal Gold Inc. | 9,317 | 869 |
| Versum Materials Inc. | 22,454 | 829 |
| Cabot Corp. | 13,903 | 732 |
| Valmont Industries Inc. | 5,033 | 723 |
| Timken Co. | 15,810 | 709 |
| Huntsman Corp. | 23,702 | 630 |
| * USG Corp. | 19,978 | 599 |
| Domtar Corp. | 14,108 | 571 |
| Acuity Brands Inc. | 3,132 | 554 |
| * Crown Holdings Inc. | 8,991 | 531 |
| International Paper Co. | 8,552 | 461 |
| PPG Industries Inc. | 4,058 | 423 |
| Hexcel Corp. | 6,896 | 371 |
| Tahoe Resources Inc. | 68,914 | 329 |
| * Platform Specialty Products Corp. | 27,392 | 320 |
| Westlake Chemical Corp. | 4,089 | 314 |
| Martin Marietta Materials Inc. | 1,389 | 294 |
| Graphic Packaging Holding Co. | 21,359 | 279 |
| Vulcan Materials Co. | 2,161 | 262 |
| * Owens-Illinois Inc. | 8,043 | 198 |
| RPM International Inc. | 2,510 | 123 |
| Lennox International Inc. | 666 | 110 |
| Southern Copper Corp. | 1,897 | 77 |
| NewMarket Corp. | 150 | 63 |
| Scotts Miracle-Gro Co. | 649 | 62 |
| Ardagh Group SA | 2,342 | 49 |
| | | 84,423 |
| Producer Durables (8.1%) | | |
| General Electric Co. | 1,638,256 | 40,219 |
| United Technologies Corp. | 170,179 | 20,374 |
| Honeywell International Inc. | 72,140 | 9,975 |
| Johnson Controls International plc | 213,440 | 8,450 |
| Norfolk Southern Corp. | 65,988 | 7,953 |
| Raytheon Co. | 41,766 | 7,602 |
| Emerson Electric Co. | 125,821 | 7,429 |
| Eaton Corp. plc | 101,822 | 7,307 |
| Delta Air Lines Inc. | 154,192 | 7,276 |
| General Dynamics Corp. | 35,011 | 7,050 |
| PACCAR Inc. | 78,337 | 5,196 |
| Stanley Black & Decker Inc. | 31,339 | 4,513 |
| * United Continental Holdings Inc. | 64,270 | 3,982 |
| Cummins Inc. | 24,495 | 3,904 |
| Republic Services Inc. Class A | 52,252 | 3,409 |
| L3 Technologies Inc. | 17,653 | 3,204 |
| Textron Inc. | 61,386 | 3,013 |
| AMETEK Inc. | 43,135 | 2,728 |
| Dover Corp. | 31,416 | 2,667 |
| American Airlines Group Inc. | 57,651 | 2,579 |
| Kansas City Southern | 24,193 | 2,502 |
26
| | |
| Vanguard® Russell 1000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Pentair plc | 37,562 | 2,331 |
| Arconic Inc. | 88,917 | 2,265 |
| Spirit AeroSystems Holdings Inc. Class A | 27,454 | 2,045 |
| Union Pacific Corp. | 17,252 | 1,817 |
| Lockheed Martin Corp. | 5,695 | 1,739 |
| * Keysight Technologies Inc. | 41,940 | 1,714 |
| ManpowerGroup Inc. | 15,271 | 1,703 |
| Xerox Corp. | 51,944 | 1,676 |
| Snap-on Inc. | 11,324 | 1,671 |
| * JetBlue Airways Corp. | 76,375 | 1,513 |
| Jacobs Engineering Group Inc. | 27,126 | 1,478 |
| Orbital ATK Inc. | 13,048 | 1,456 |
| Caterpillar Inc. | 12,140 | 1,426 |
| Carlisle Cos. Inc. | 14,393 | 1,363 |
| * Stericycle Inc. | 18,742 | 1,347 |
| Waste Management Inc. | 17,382 | 1,340 |
| Macquarie Infrastructure Corp. | 17,718 | 1,320 |
| Oshkosh Corp. | 16,962 | 1,265 |
| Fluor Corp. | 31,656 | 1,221 |
| Xylem Inc. | 19,500 | 1,210 |
| * Teledyne Technologies Inc. | 7,970 | 1,196 |
| * AECOM | 35,224 | 1,180 |
| Flowserve Corp. | 29,656 | 1,165 |
| AGCO Corp. | 15,557 | 1,065 |
| CSX Corp. | 20,614 | 1,035 |
| Trinity Industries Inc. | 34,100 | 983 |
| * Genesee & Wyoming Inc. Class A | 13,831 | 948 |
| Ryder System Inc. | 12,053 | 935 |
| Wabtec Corp. | 13,220 | 933 |
| * Quanta Services Inc. | 25,105 | 902 |
| Crane Co. | 11,416 | 847 |
| * Sensata Technologies Holding NV | 18,943 | 846 |
| Air Lease Corp. Class A | 20,576 | 836 |
| Copa Holdings SA Class A | 6,576 | 816 |
| ITT Inc. | 20,189 | 815 |
| * Colfax Corp. | 20,135 | 803 |
| Terex Corp. | 20,601 | 794 |
| Regal Beloit Corp. | 10,164 | 766 |
| * Kirby Corp. | 12,179 | 762 |
| * Conduent Inc. | 43,295 | 715 |
| Expeditors International of Washington Inc. | 12,008 | 674 |
| Parker-Hannifin Corp. | 4,103 | 660 |
| * WESCO International Inc. | 11,055 | 558 |
| FLIR Systems Inc. | 14,490 | 551 |
| Pitney Bowes Inc. | 42,446 | 545 |
| * Spirit Airlines Inc. | 15,797 | 538 |
| Old Dominion Freight Line Inc. | 5,317 | 531 |
| Hubbell Inc. Class B | 4,567 | 515 |
| * Trimble Inc. | 11,987 | 464 |
| Fortive Corp. | 6,911 | 449 |
| MSC Industrial Direct Co. Inc. Class A | 6,125 | 422 |
| * XPO Logistics Inc. | 6,674 | 409 |
| Alaska Air Group Inc. | 4,889 | 365 |
| Huntington Ingalls Industries Inc. | 1,692 | 362 |
| Roper Technologies Inc. | 1,237 | 285 |
| National Instruments Corp. | 5,337 | 216 |
| * Clean Harbors Inc. | 3,560 | 193 |
| Donaldson Co. Inc. | 3,134 | 148 |
| IDEX Corp. | 1,214 | 143 |
| WW Grainger Inc. | 677 | 110 |
| Avery Dennison Corp. | 1,020 | 96 |
| Booz Allen Hamilton Holding Corp. Class A | 2,264 | 77 |
| | | 219,885 |
27
| | |
| Vanguard® Russell 1000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Technology (7.6%) | | |
| Intel Corp. | 1,075,557 | 37,720 |
| Cisco Systems Inc. | 1,143,694 | 36,838 |
| Oracle Corp. | 602,600 | 30,329 |
| QUALCOMM Inc. | 337,253 | 17,628 |
| International Business Machines Corp. | 61,325 | 8,771 |
| HP Inc. | 386,671 | 7,378 |
| Hewlett Packard Enterprise Co. | 378,436 | 6,835 |
| Corning Inc. | 195,060 | 5,610 |
| Western Digital Corp. | 57,075 | 5,038 |
| * NXP Semiconductors NV | 33,027 | 3,731 |
| Motorola Solutions Inc. | 33,731 | 2,972 |
| Harris Corp. | 20,598 | 2,532 |
| * Synopsys Inc. | 31,431 | 2,528 |
| * Twitter Inc. | 142,466 | 2,409 |
| CA Inc. | 71,936 | 2,387 |
| Juniper Networks Inc. | 85,627 | 2,374 |
| Amdocs Ltd. | 33,025 | 2,140 |
| Leidos Holdings Inc. | 32,413 | 1,890 |
| * Micron Technology Inc. | 58,180 | 1,860 |
| * Akamai Technologies Inc. | 38,291 | 1,805 |
| * IHS Markit Ltd. | 38,269 | 1,793 |
| Marvell Technology Group Ltd. | 91,288 | 1,635 |
| * Arrow Electronics Inc. | 20,100 | 1,597 |
| Jabil Inc. | 40,545 | 1,271 |
| * ARRIS International plc | 41,004 | 1,142 |
| Brocade Communications Systems Inc. | 92,123 | 1,140 |
| Avnet Inc. | 28,027 | 1,081 |
| * Nuance Communications Inc. | 65,271 | 1,049 |
| * Qorvo Inc. | 13,762 | 1,008 |
| * Autodesk Inc. | 8,658 | 991 |
| Cypress Semiconductor Corp. | 68,625 | 939 |
| * Teradata Corp. | 29,403 | 939 |
| * Guidewire Software Inc. | 10,283 | 779 |
| * CommScope Holding Co. Inc. | 21,481 | 710 |
| * EchoStar Corp. Class A | 10,984 | 662 |
| Dolby Laboratories Inc. Class A | 12,910 | 651 |
| DST Systems Inc. | 12,515 | 642 |
| * Zynga Inc. Class A | 169,564 | 636 |
| * FireEye Inc. | 39,889 | 589 |
| LogMeIn Inc. | 4,430 | 507 |
| NetApp Inc. | 8,989 | 348 |
| * Microsemi Corp. | 4,972 | 250 |
| Xilinx Inc. | 3,041 | 201 |
| Sabre Corp. | 10,396 | 192 |
| SS&C Technologies Holdings Inc. | 3,192 | 124 |
| Teradyne Inc. | 3,206 | 114 |
| * ON Semiconductor Corp. | 5,413 | 92 |
| | | 203,857 |
| Utilities (9.6%) | | |
| AT&T Inc. | 1,403,553 | 52,577 |
| Verizon Communications Inc. | 465,842 | 22,346 |
| NextEra Energy Inc. | 106,696 | 16,059 |
| Duke Energy Corp. | 159,493 | 13,924 |
| Dominion Energy Inc. | 142,972 | 11,262 |
| Southern Co. | 226,888 | 10,950 |
| American Electric Power Co. Inc. | 112,331 | 8,271 |
| PG&E Corp. | 116,557 | 8,203 |
| Exelon Corp. | 211,191 | 7,998 |
| Sempra Energy | 57,280 | 6,755 |
| PPL Corp. | 155,715 | 6,110 |
| Consolidated Edison Inc. | 69,767 | 5,879 |
| Edison International | 72,460 | 5,810 |
| Xcel Energy Inc. | 115,640 | 5,724 |
28
| | | | | |
| Vanguard® Russell 1000 Value Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | | | Market |
| | | | | | Value |
| | | | | Shares | ($000) |
| | Public Service Enterprise Group Inc. | | | 115,424 | 5,406 |
| | WEC Energy Group Inc. | | | 71,770 | 4,681 |
| | DTE Energy Co. | | | 40,904 | 4,594 |
| | Eversource Energy | | | 72,435 | 4,563 |
| * | Level 3 Communications Inc. | | | 67,443 | 3,671 |
| | Ameren Corp. | | | 55,489 | 3,329 |
| | FirstEnergy Corp. | | | 101,538 | 3,308 |
| | American Water Works Co. Inc. | | | 40,582 | 3,283 |
| | Entergy Corp. | | | 40,975 | 3,244 |
| | CMS Energy Corp. | | | 63,607 | 3,088 |
| | CenterPoint Energy Inc. | | | 98,532 | 2,919 |
| ^ | CenturyLink Inc. | | | 122,862 | 2,423 |
| | Pinnacle West Capital Corp. | | | 25,412 | 2,286 |
| | Alliant Energy Corp. | | | 52,023 | 2,224 |
| | Atmos Energy Corp. | | | 23,481 | 2,067 |
| | NiSource Inc. | | | 73,798 | 1,983 |
| | UGI Corp. | | | 39,710 | 1,962 |
| | SCANA Corp. | | | 29,874 | 1,804 |
| * | T-Mobile US Inc. | | | 25,675 | 1,661 |
| | Westar Energy Inc. Class A | | | 32,188 | 1,652 |
| | AES Corp. | | | 149,559 | 1,651 |
| | OGE Energy Corp. | | | 45,587 | 1,628 |
| | Great Plains Energy Inc. | | | 48,906 | 1,501 |
| | NRG Energy Inc. | | | 54,621 | 1,361 |
| | Aqua America Inc. | | | 40,612 | 1,356 |
| | Vectren Corp. | | | 19,085 | 1,252 |
| * | Calpine Corp. | | | 81,460 | 1,198 |
| | MDU Resources Group Inc. | | | 44,275 | 1,197 |
| * | Sprint Corp. | | | 143,388 | 1,183 |
| | National Fuel Gas Co. | | | 16,891 | 979 |
| * | Vistra Energy Corp. | | | 55,101 | 975 |
| | Hawaiian Electric Industries Inc. | | | 24,641 | 824 |
| | Telephone & Data Systems Inc. | | | 22,447 | 658 |
| | Avangrid Inc. | | | 12,849 | 627 |
| * | United States Cellular Corp. | | | 3,402 | 132 |
| | | | | | 258,538 |
| |
| Total Common Stocks (Cost $2,428,877) | | | | 2,686,962 |
| |
| |
| | | Coupon | | | |
| |
| Temporary Cash Investments (0.3%)1 | | | | |
| Money Market Fund (0.3%) | | | | |
| 2,3 | Vanguard Market Liquidity Fund | 1.224% | | 85,941 | 8,596 |
| |
| |
| | | | | Face | |
| | | | Maturity | Amount | |
| | | | Date | ($000) | |
| U.S. Government and Agency Obligations (0.0%) | | | | |
| 4 | United States Treasury Bill | 0.982% | 9/14/17 | 300 | 300 |
| | United States Treasury Bill | 1.003% | 10/5/17 | 600 | 599 |
| | | | | | 899 |
| |
| Total Temporary Cash Investments (Cost $9,495) | | | | 9,495 |
| |
| Total Investments (100.1%) (Cost $2,438,372) | | | | 2,696,457 |
| Other Assets and Liabilities—Net (-0.1%)3 | | | | (2,847) |
| Net Assets (100%) | | | | 2,693,610 |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $729,000.
29
Vanguard® Russell 1000 Value Index Fund
Schedule of Investments
August 31, 2017
| 1 | The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.1% and 0.0%, 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 $785,000 of collateral received for securities on loan. |
| 4 | Securities with a value of $300,000 have been segregated as initial margin for open futures contracts. REIT—Real Estate Investment Trust. |
30
| | | |
| Vanguard® Russell 1000 Growth Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| Common Stocks (99.8%)1 | | |
| Consumer Discretionary (18.8%) | | |
| * | Amazon.com Inc. | 127,518 | 125,044 |
| | Home Depot Inc. | 385,664 | 57,799 |
| | Comcast Corp. Class A | 1,397,930 | 56,770 |
| | McDonald's Corp. | 261,913 | 41,898 |
| | Walt Disney Co. | 342,980 | 34,710 |
| * | Priceline Group Inc. | 15,745 | 29,161 |
| | Starbucks Corp. | 452,611 | 24,830 |
| * | Netflix Inc. | 131,588 | 22,990 |
| | NIKE Inc. Class B | 423,996 | 22,391 |
| | Costco Wholesale Corp. | 139,970 | 21,939 |
| | Lowe's Cos. Inc. | 275,164 | 20,332 |
| * | Charter Communications Inc. Class A | 42,736 | 17,032 |
| | TJX Cos. Inc. | 206,980 | 14,965 |
| * | Tesla Inc. | 41,716 | 14,847 |
| | Marriott International Inc. Class A | 101,482 | 10,511 |
| | Yum! Brands Inc. | 111,964 | 8,601 |
| | Delphi Automotive plc | 85,695 | 8,261 |
| | Estee Lauder Cos. Inc. Class A | 69,964 | 7,485 |
| | CBS Corp. Class B | 114,096 | 7,309 |
| | Las Vegas Sands Corp. | 115,541 | 7,188 |
| | Ross Stores Inc. | 122,970 | 7,188 |
| | Expedia Inc. | 38,903 | 5,772 |
| * | O'Reilly Automotive Inc. | 28,585 | 5,606 |
| * | Dollar Tree Inc. | 70,097 | 5,583 |
| | Omnicom Group Inc. | 73,926 | 5,351 |
| | VF Corp. | 78,594 | 4,941 |
| * | Ulta Beauty Inc. | 18,880 | 4,173 |
| * | AutoZone Inc. | 7,768 | 4,105 |
| * | CarMax Inc. | 59,327 | 3,984 |
| * | Yum China Holdings Inc. | 102,073 | 3,609 |
| | Wynn Resorts Ltd. | 25,648 | 3,565 |
| | Hilton Worldwide Holdings Inc. | 54,486 | 3,505 |
| | Darden Restaurants Inc. | 39,828 | 3,269 |
| | Wyndham Worldwide Corp. | 32,714 | 3,261 |
| * | DISH Network Corp. Class A | 54,654 | 3,131 |
| | Vail Resorts Inc. | 12,738 | 2,904 |
| * | NVR Inc. | 1,063 | 2,892 |
| | Fortune Brands Home & Security Inc. | 45,886 | 2,869 |
| | Domino's Pizza Inc. | 15,428 | 2,812 |
| | Hanesbrands Inc. | 115,856 | 2,811 |
| | Hasbro Inc. | 27,664 | 2,718 |
| | Lear Corp. | 18,132 | 2,711 |
| *,^ | Chipotle Mexican Grill Inc. Class A | 8,130 | 2,575 |
| ^ | Sirius XM Holdings Inc. | 445,086 | 2,559 |
| | Tractor Supply Co. | 41,460 | 2,467 |
| | Dollar General Corp. | 33,905 | 2,460 |
| * | WABCO Holdings Inc. | 16,322 | 2,344 |
| | Interpublic Group of Cos. Inc. | 107,194 | 2,159 |
| | DR Horton Inc. | 59,603 | 2,155 |
| | Service Corp. International | 58,473 | 2,066 |
| * | ServiceMaster Global Holdings Inc. | 43,205 | 2,036 |
| | KAR Auction Services Inc. | 43,459 | 1,960 |
| | Harley-Davidson Inc. | 41,176 | 1,936 |
| * | Lululemon Athletica Inc. | 30,907 | 1,779 |
| ^ | Polaris Industries Inc. | 18,909 | 1,763 |
| | Thor Industries Inc. | 15,835 | 1,720 |
| * | Live Nation Entertainment Inc. | 42,959 | 1,717 |
| | Nordstrom Inc. | 37,589 | 1,677 |
| * | Liberty Interactive Corp. QVC Group Class A | 74,606 | 1,650 |
| | Leggett & Platt Inc. | 34,289 | 1,576 |
| | Dunkin' Brands Group Inc. | 29,240 | 1,508 |
31
| | | |
| Vanguard® Russell 1000 Growth Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Genuine Parts Co. | 17,156 | 1,421 |
| | Aramark | 32,920 | 1,339 |
| | Carter's Inc. | 15,266 | 1,324 |
| | Scripps Networks Interactive Inc. Class A | 15,265 | 1,307 |
| * | Bright Horizons Family Solutions Inc. | 16,131 | 1,289 |
| | Pool Corp. | 12,750 | 1,271 |
| | Six Flags Entertainment Corp. | 23,137 | 1,263 |
| | Brunswick Corp. | 22,984 | 1,206 |
| * | Visteon Corp. | 10,324 | 1,192 |
| | Cable One Inc. | 1,515 | 1,149 |
| * | Burlington Stores Inc. | 12,792 | 1,115 |
| | Gentex Corp. | 58,469 | 1,068 |
| * | AMC Networks Inc. Class A | 17,287 | 1,051 |
| | Tupperware Brands Corp. | 16,183 | 936 |
| | Toll Brothers Inc. | 22,857 | 890 |
| | Wendy's Co. | 58,422 | 872 |
| * | Wayfair Inc. | 12,175 | 865 |
| * | TripAdvisor Inc. | 16,505 | 705 |
| * | Hilton Grand Vacations Inc. | 18,812 | 682 |
| *,^ | Under Armour Inc. Class A | 41,597 | 672 |
| | PulteGroup Inc. | 25,882 | 668 |
| * | Under Armour Inc. | 44,097 | 666 |
| | Choice Hotels International Inc. | 10,509 | 652 |
| | Coach Inc. | 15,464 | 645 |
| * | Michaels Cos. Inc. | 28,134 | 632 |
| * | Pandora Media Inc. | 71,595 | 605 |
| * | Lions Gate Entertainment Corp. Class B | 21,504 | 604 |
| | Advance Auto Parts Inc. | 6,035 | 591 |
| | Dick's Sporting Goods Inc. | 21,923 | 578 |
| | Extended Stay America Inc. | 29,265 | 573 |
| | Twenty-First Century Fox Inc. Class A | 17,440 | 481 |
| * | LKQ Corp. | 13,869 | 481 |
| * | Skechers U.S.A. Inc. Class A | 17,909 | 473 |
| | L Brands Inc. | 12,137 | 440 |
| | MGM Resorts International | 11,728 | 387 |
| * | Tempur Sealy International Inc. | 5,678 | 351 |
| | Mattel Inc. | 20,665 | 335 |
| | Whirlpool Corp. | 1,839 | 316 |
| * | Mohawk Industries Inc. | 1,244 | 315 |
| | BorgWarner Inc. | 6,730 | 312 |
| | Lions Gate Entertainment Corp. Class A | 9,460 | 281 |
| * | Sally Beauty Holdings Inc. | 15,077 | 280 |
| | H&R Block Inc. | 10,085 | 270 |
| | Williams-Sonoma Inc. | 5,294 | 244 |
| * | Floor & Decor Holdings Inc. Class A | 6,696 | 241 |
| * | Liberty Expedia Holdings Inc. Class A | 3,372 | 184 |
| | Twenty-First Century Fox Inc. | 6,643 | 180 |
| * | Michael Kors Holdings Ltd. | 3,614 | 153 |
| | Regal Entertainment Group Class A | 9,664 | 143 |
| | Foot Locker Inc. | 2,852 | 100 |
| * | Madison Square Garden Co. Class A | 442 | 94 |
| | Gap Inc. | 3,443 | 81 |
| * | Altice USA Inc. Class A | 2,211 | 67 |
| | | | 712,970 |
| Consumer Staples (6.1%) | | |
| | PepsiCo Inc. | 398,912 | 46,166 |
| | Coca-Cola Co. | 922,473 | 42,019 |
| | Altria Group Inc. | 620,268 | 39,325 |
| | Kimberly-Clark Corp. | 96,790 | 11,933 |
| | Constellation Brands Inc. Class A | 51,837 | 10,373 |
| | Sysco Corp. | 158,237 | 8,334 |
| * | Monster Beverage Corp. | 132,620 | 7,403 |
| | General Mills Inc. | 131,608 | 7,009 |
| | Dr Pepper Snapple Group Inc. | 58,552 | 5,331 |
32
| | | |
| Vanguard® Russell 1000 Growth Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Philip Morris International Inc. | 44,743 | 5,232 |
| | Clorox Co. | 35,147 | 4,869 |
| | Kellogg Co. | 73,414 | 4,806 |
| | Walgreens Boots Alliance Inc. | 55,815 | 4,549 |
| | Hershey Co. | 40,162 | 4,214 |
| | Church & Dwight Co. Inc. | 79,533 | 3,990 |
| | Procter & Gamble Co. | 41,785 | 3,856 |
| | McCormick & Co. Inc. | 36,453 | 3,468 |
| | Kroger Co. | 157,896 | 3,453 |
| | Colgate-Palmolive Co. | 43,544 | 3,119 |
| | Brown-Forman Corp. Class B | 53,152 | 2,819 |
| | Campbell Soup Co. | 37,306 | 1,724 |
| *,^ | Herbalife Ltd. | 22,028 | 1,520 |
| | Brown-Forman Corp. Class A | 16,790 | 934 |
| | Energizer Holdings Inc. | 19,828 | 875 |
| | Spectrum Brands Holdings Inc. | 7,920 | 871 |
| * | Sprouts Farmers Market Inc. | 42,664 | 851 |
| * | Blue Buffalo Pet Products Inc. | 29,672 | 764 |
| | Lamb Weston Holdings Inc. | 10,744 | 489 |
| * | Pilgrim's Pride Corp. | 15,013 | 442 |
| * | Rite Aid Corp. | 155,907 | 377 |
| * | TreeHouse Foods Inc. | 5,254 | 352 |
| | Nu Skin Enterprises Inc. Class A | 4,689 | 285 |
| | | | 231,752 |
| Energy (0.8%) | | |
| | Halliburton Co. | 187,938 | 7,324 |
| | ONEOK Inc. | 67,098 | 3,634 |
| | Cimarex Energy Co. | 27,771 | 2,768 |
| | Cabot Oil & Gas Corp. | 103,435 | 2,643 |
| * | Cheniere Energy Inc. | 43,580 | 1,865 |
| * | Newfield Exploration Co. | 64,290 | 1,680 |
| | EOG Resources Inc. | 17,331 | 1,473 |
| * | Parsley Energy Inc. Class A | 49,142 | 1,231 |
| | Williams Cos. Inc. | 39,285 | 1,168 |
| * | Rice Energy Inc. | 27,538 | 753 |
| * | Antero Resources Corp. | 36,097 | 711 |
| * | Diamondback Energy Inc. | 7,312 | 664 |
| * | RSP Permian Inc. | 20,953 | 657 |
| * | Laredo Petroleum Inc. | 51,504 | 640 |
| * | Continental Resources Inc. | 12,771 | 433 |
| | Devon Energy Corp. | 12,089 | 380 |
| | RPC Inc. | 17,063 | 331 |
| | Apache Corp. | 6,327 | 246 |
| * | Gulfport Energy Corp. | 5,043 | 63 |
| * | Chesapeake Energy Corp. | 16,745 | 61 |
| | | | 28,725 |
| Financial Services (10.8%) | | |
| | Visa Inc. Class A | 592,986 | 61,386 |
| | Mastercard Inc. Class A | 302,300 | 40,297 |
| * | PayPal Holdings Inc. | 363,169 | 22,400 |
| | American Tower Corp. | 135,393 | 20,045 |
| | Simon Property Group Inc. | 90,300 | 14,164 |
| | Crown Castle International Corp. | 128,855 | 13,973 |
| | Marsh & McLennan Cos. Inc. | 164,654 | 12,856 |
| | S&P Global Inc. | 82,727 | 12,767 |
| | Charles Schwab Corp. | 301,948 | 12,048 |
| | Equinix Inc. | 24,899 | 11,663 |
| | Aon plc | 83,569 | 11,629 |
| | Public Storage | 47,386 | 9,730 |
| | Progressive Corp. | 185,557 | 8,625 |
| * | Fiserv Inc. | 67,828 | 8,391 |
| | Moody's Corp. | 53,317 | 7,146 |
| | Ameriprise Financial Inc. | 43,851 | 6,074 |
| * | SBA Communications Corp. Class A | 38,428 | 5,901 |
33
| | |
| Vanguard® Russell 1000 Growth Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Intercontinental Exchange Inc. | 89,382 | 5,780 |
| Fidelity National Information Services Inc. | 60,048 | 5,580 |
| Equifax Inc. | 38,122 | 5,431 |
| Global Payments Inc. | 48,515 | 4,633 |
| Digital Realty Trust Inc. | 35,882 | 4,246 |
| * FleetCor Technologies Inc. | 29,387 | 4,225 |
| Total System Services Inc. | 57,931 | 4,004 |
| First Republic Bank | 40,193 | 3,901 |
| * Vantiv Inc. Class A | 51,584 | 3,646 |
| CBOE Holdings Inc. | 35,214 | 3,553 |
| Alliance Data Systems Corp. | 15,536 | 3,503 |
| MSCI Inc. Class A | 28,576 | 3,275 |
| TD Ameritrade Holding Corp. | 72,116 | 3,124 |
| Broadridge Financial Solutions Inc. | 37,590 | 2,937 |
| Allstate Corp. | 32,203 | 2,914 |
| Iron Mountain Inc. | 73,487 | 2,897 |
| Western Union Co. | 151,344 | 2,863 |
| Jack Henry & Associates Inc. | 24,879 | 2,564 |
| Extra Space Storage Inc. | 32,970 | 2,559 |
| SEI Investments Co. | 43,003 | 2,514 |
| Equity LifeStyle Properties Inc. | 25,945 | 2,313 |
| * TransUnion | 48,236 | 2,309 |
| Arthur J Gallagher & Co. | 39,068 | 2,262 |
| MarketAxess Holdings Inc. | 11,676 | 2,253 |
| American International Group Inc. | 35,995 | 2,177 |
| * First Data Corp. Class A | 117,637 | 2,166 |
| * SVB Financial Group | 12,466 | 2,111 |
| FactSet Research Systems Inc. | 12,385 | 1,947 |
| * Square Inc. | 71,146 | 1,858 |
| Eaton Vance Corp. | 35,512 | 1,690 |
| DuPont Fabros Technology Inc. | 24,886 | 1,602 |
| * Euronet Worldwide Inc. | 16,118 | 1,584 |
| Lamar Advertising Co. Class A | 23,684 | 1,576 |
| CyrusOne Inc. | 24,333 | 1,534 |
| * CBRE Group Inc. Class A | 41,770 | 1,507 |
| Douglas Emmett Inc. | 38,011 | 1,481 |
| Lazard Ltd. Class A | 34,249 | 1,469 |
| LPL Financial Holdings Inc. | 28,511 | 1,335 |
| * Signature Bank | 10,112 | 1,298 |
| CoreSite Realty Corp. | 10,845 | 1,288 |
| Federal Realty Investment Trust | 8,913 | 1,131 |
| * WEX Inc. | 10,141 | 1,107 |
| XL Group Ltd. | 26,180 | 1,072 |
| T. Rowe Price Group Inc. | 11,656 | 983 |
| CubeSmart | 39,093 | 964 |
| * Zillow Group Inc. | 23,024 | 912 |
| Boston Properties Inc. | 7,380 | 890 |
| * Credit Acceptance Corp. | 3,210 | 874 |
| * Western Alliance Bancorp | 17,634 | 851 |
| Raymond James Financial Inc. | 10,650 | 834 |
| Gaming and Leisure Properties Inc. | 20,002 | 784 |
| Capital One Financial Corp. | 9,629 | 767 |
| * CoreLogic Inc. | 16,202 | 761 |
| Bank of the Ozarks | 16,753 | 720 |
| Erie Indemnity Co. Class A | 5,870 | 709 |
| Invesco Ltd. | 18,814 | 617 |
| Leucadia National Corp. | 24,255 | 574 |
| State Street Corp. | 6,130 | 567 |
| Dun & Bradstreet Corp. | 4,460 | 497 |
| * Zillow Group Inc. Class A | 12,293 | 491 |
| Taubman Centers Inc. | 9,382 | 490 |
| * Arch Capital Group Ltd. | 4,914 | 478 |
| Morningstar Inc. | 5,556 | 460 |
| Pinnacle Financial Partners Inc. | 7,178 | 446 |
34
| | |
| Vanguard® Russell 1000 Growth Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Assurant Inc. | 3,528 | 334 |
| Aspen Insurance Holdings Ltd. | 5,846 | 264 |
| Legg Mason Inc. | 6,422 | 245 |
| BGC Partners Inc. Class A | 18,776 | 244 |
| Federated Investors Inc. Class B | 8,689 | 237 |
| Hudson Pacific Properties Inc. | 4,918 | 162 |
| East West Bancorp Inc. | 2,888 | 160 |
| Outfront Media Inc. | 6,564 | 144 |
| Voya Financial Inc. | 3,626 | 139 |
| RenaissanceRe Holdings Ltd. | 915 | 127 |
| Tanger Factory Outlet Centers Inc. | 2,296 | 54 |
| | | 409,093 |
| Health Care (13.5%) | | |
| UnitedHealth Group Inc. | 307,688 | 61,199 |
| AbbVie Inc. | 511,175 | 38,491 |
| * Celgene Corp. | 248,594 | 34,537 |
| Eli Lilly & Co. | 313,366 | 25,474 |
| Gilead Sciences Inc. | 298,421 | 24,981 |
| * Biogen Inc. | 63,992 | 20,257 |
| Johnson & Johnson | 132,459 | 17,534 |
| Bristol-Myers Squibb Co. | 259,814 | 15,714 |
| Stryker Corp. | 109,144 | 15,430 |
| Becton Dickinson and Co. | 71,623 | 14,285 |
| * Vertex Pharmaceuticals Inc. | 79,704 | 12,796 |
| Cigna Corp. | 69,624 | 12,676 |
| * Regeneron Pharmaceuticals Inc. | 25,111 | 12,478 |
| Amgen Inc. | 67,987 | 12,086 |
| * Boston Scientific Corp. | 438,667 | 12,085 |
| * Intuitive Surgical Inc. | 11,706 | 11,761 |
| Humana Inc. | 43,534 | 11,215 |
| Thermo Fisher Scientific Inc. | 57,758 | 10,809 |
| Zoetis Inc. | 157,598 | 9,881 |
| * Illumina Inc. | 46,675 | 9,543 |
| * Alexion Pharmaceuticals Inc. | 56,366 | 8,027 |
| * Edwards Lifesciences Corp. | 66,864 | 7,600 |
| CR Bard Inc. | 23,233 | 7,453 |
| * Incyte Corp. | 53,959 | 7,415 |
| * Cerner Corp. | 92,037 | 6,238 |
| Aetna Inc. | 33,427 | 5,271 |
| * BioMarin Pharmaceutical Inc. | 55,891 | 5,041 |
| * Align Technology Inc. | 25,437 | 4,496 |
| * Henry Schein Inc. | 25,266 | 4,388 |
| * IDEXX Laboratories Inc. | 28,025 | 4,356 |
| AmerisourceBergen Corp. Class A | 50,747 | 4,072 |
| ResMed Inc. | 44,645 | 3,464 |
| * Varian Medical Systems Inc. | 29,587 | 3,144 |
| Merck & Co. Inc. | 48,501 | 3,097 |
| Cooper Cos. Inc. | 12,077 | 3,029 |
| * Exelixis Inc. | 92,055 | 2,692 |
| Medtronic plc | 32,204 | 2,596 |
| * Quintiles IMS Holdings Inc. | 26,476 | 2,543 |
| * Alkermes plc | 48,995 | 2,488 |
| * VCA Inc. | 24,913 | 2,316 |
| * WellCare Health Plans Inc. | 13,202 | 2,306 |
| * Ionis Pharmaceuticals Inc. | 39,240 | 2,104 |
| * Veeva Systems Inc. Class A | 34,556 | 2,056 |
| West Pharmaceutical Services Inc. | 23,611 | 2,055 |
| * DexCom Inc. | 27,237 | 2,032 |
| * Hologic Inc. | 51,037 | 1,970 |
| * ABIOMED Inc. | 12,977 | 1,957 |
| * Bioverativ Inc. | 34,476 | 1,954 |
| * Alnylam Pharmaceuticals Inc. | 20,989 | 1,799 |
| * athenahealth Inc. | 12,655 | 1,783 |
| * Charles River Laboratories International Inc. | 15,213 | 1,655 |
35
| | | |
| Vanguard® Russell 1000 Growth Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Agilent Technologies Inc. | 25,059 | 1,622 |
| * | Seattle Genetics Inc. | 30,730 | 1,614 |
| * | Neurocrine Biosciences Inc. | 28,221 | 1,597 |
| | Hill-Rom Holdings Inc. | 19,902 | 1,532 |
| * | TESARO Inc. | 11,794 | 1,523 |
| | Bio-Techne Corp. | 11,939 | 1,478 |
| * | ACADIA Pharmaceuticals Inc. | 30,656 | 1,092 |
| | McKesson Corp. | 7,156 | 1,068 |
| | Baxter International Inc. | 14,792 | 918 |
| * | Akorn Inc. | 27,009 | 889 |
| * | Express Scripts Holding Co. | 13,060 | 820 |
| * | Agios Pharmaceuticals Inc. | 12,194 | 771 |
| * | QIAGEN NV | 23,849 | 767 |
| * | Intercept Pharmaceuticals Inc. | 5,683 | 663 |
| * | Centene Corp. | 6,807 | 605 |
| * | HCA Healthcare Inc. | 6,714 | 528 |
| | Teleflex Inc. | 2,287 | 484 |
| | PerkinElmer Inc. | 6,490 | 435 |
| | Bruker Corp. | 12,089 | 352 |
| *,^ | Intrexon Corp. | 12,436 | 245 |
| * | Premier Inc. Class A | 4,980 | 167 |
| * | LifePoint Health Inc. | 1,990 | 115 |
| | Patterson Cos. Inc. | 2,459 | 95 |
| * | OPKO Health Inc. | 11,553 | 74 |
| | | | 514,083 |
| Materials & Processing (4.1%) | | |
| | EI du Pont de Nemours & Co. | 278,735 | 23,394 |
| | Monsanto Co. | 140,686 | 16,488 |
| | Ecolab Inc. | 82,233 | 10,962 |
| | Praxair Inc. | 80,256 | 10,557 |
| | Sherwin-Williams Co. | 26,228 | 8,898 |
| | PPG Industries Inc. | 76,275 | 7,957 |
| | International Paper Co. | 120,109 | 6,470 |
| | Vulcan Materials Co. | 39,343 | 4,771 |
| | LyondellBasell Industries NV Class A | 46,137 | 4,180 |
| | Fastenal Co. | 92,821 | 3,961 |
| | Martin Marietta Materials Inc. | 18,197 | 3,858 |
| | FMC Corp. | 42,983 | 3,706 |
| | Ingersoll-Rand plc | 41,122 | 3,511 |
| | International Flavors & Fragrances Inc. | 25,300 | 3,462 |
| | Packaging Corp. of America | 29,968 | 3,369 |
| | Chemours Co. | 59,044 | 2,897 |
| | Celanese Corp. Class A | 26,826 | 2,603 |
| | Masco Corp. | 66,387 | 2,441 |
| | Ball Corp. | 60,941 | 2,437 |
| * | Berry Global Group Inc. | 41,768 | 2,349 |
| * | Axalta Coating Systems Ltd. | 67,643 | 1,997 |
| | Lennox International Inc. | 11,509 | 1,907 |
| | RPM International Inc. | 38,737 | 1,897 |
| * | Crown Holdings Inc. | 29,556 | 1,745 |
| | Acuity Brands Inc. | 9,616 | 1,700 |
| | WR Grace & Co. | 21,936 | 1,568 |
| | Eagle Materials Inc. | 15,178 | 1,476 |
| | Watsco Inc. | 9,676 | 1,426 |
| | Sealed Air Corp. | 32,045 | 1,422 |
| * | Freeport-McMoRan Inc. | 85,443 | 1,263 |
| | Scotts Miracle-Gro Co. | 13,081 | 1,250 |
| | Hexcel Corp. | 19,417 | 1,044 |
| * | Owens-Illinois Inc. | 40,452 | 997 |
| | Southern Copper Corp. | 23,254 | 946 |
| * | Univar Inc. | 32,917 | 929 |
| | NewMarket Corp. | 2,200 | 921 |
| | Graphic Packaging Holding Co. | 70,484 | 920 |
| | Huntsman Corp. | 30,842 | 820 |
36
| | |
| Vanguard® Russell 1000 Growth Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Albemarle Corp. | 6,554 | 762 |
| Silgan Holdings Inc. | 23,855 | 718 |
| Royal Gold Inc. | 7,637 | 712 |
| * Armstrong World Industries Inc. | 14,006 | 665 |
| Westlake Chemical Corp. | 5,636 | 433 |
| AptarGroup Inc. | 4,494 | 376 |
| * Platform Specialty Products Corp. | 32,028 | 374 |
| Steel Dynamics Inc. | 9,297 | 320 |
| Versum Materials Inc. | 3,166 | 117 |
| Ardagh Group SA | 3,179 | 66 |
| | | 157,042 |
| Producer Durables (13.0%) | | |
| Boeing Co. | 182,515 | 43,742 |
| 3M Co. | 186,089 | 38,022 |
| Accenture plc Class A | 198,912 | 26,010 |
| United Parcel Service Inc. Class B | 221,254 | 25,303 |
| Union Pacific Corp. | 235,111 | 24,757 |
| Lockheed Martin Corp. | 72,338 | 22,091 |
| Honeywell International Inc. | 142,651 | 19,724 |
| Caterpillar Inc. | 164,998 | 19,386 |
| FedEx Corp. | 79,484 | 17,040 |
| Automatic Data Processing Inc. | 143,472 | 15,275 |
| Northrop Grumman Corp. | 51,728 | 14,081 |
| Illinois Tool Works Inc. | 97,568 | 13,417 |
| CSX Corp. | 253,487 | 12,725 |
| General Electric Co. | 485,653 | 11,923 |
| Deere & Co. | 102,121 | 11,839 |
| Southwest Airlines Co. | 179,942 | 9,382 |
| Waste Management Inc. | 117,287 | 9,044 |
| Roper Technologies Inc. | 30,558 | 7,049 |
| General Dynamics Corp. | 34,136 | 6,873 |
| Rockwell Collins Inc. | 52,061 | 6,823 |
| Rockwell Automation Inc. | 41,228 | 6,764 |
| Raytheon Co. | 34,602 | 6,298 |
| Parker-Hannifin Corp. | 36,685 | 5,902 |
| Paychex Inc. | 103,161 | 5,883 |
| Fortive Corp. | 88,970 | 5,780 |
| * Mettler-Toledo International Inc. | 8,099 | 4,901 |
| * Waters Corp. | 24,384 | 4,474 |
| TransDigm Group Inc. | 15,498 | 4,040 |
| * Verisk Analytics Inc. Class A | 48,548 | 3,935 |
| Cintas Corp. | 27,496 | 3,712 |
| * United Rentals Inc. | 26,932 | 3,180 |
| CH Robinson Worldwide Inc. | 44,871 | 3,169 |
| * CoStar Group Inc. | 10,314 | 2,956 |
| American Airlines Group Inc. | 61,544 | 2,754 |
| JB Hunt Transport Services Inc. | 27,771 | 2,746 |
| IDEX Corp. | 22,870 | 2,689 |
| Cummins Inc. | 16,499 | 2,630 |
| Huntington Ingalls Industries Inc. | 12,125 | 2,594 |
| AO Smith Corp. | 46,161 | 2,571 |
| WW Grainger Inc. | 15,781 | 2,566 |
| Avery Dennison Corp. | 26,546 | 2,502 |
| * Trimble Inc. | 63,221 | 2,445 |
| Allegion plc | 30,681 | 2,415 |
| Alaska Air Group Inc. | 31,876 | 2,380 |
| Expeditors International of Washington Inc. | 40,784 | 2,288 |
| * Middleby Corp. | 18,031 | 2,194 |
| * HD Supply Holdings Inc. | 64,450 | 2,146 |
| Toro Co. | 33,962 | 2,095 |
| * Copart Inc. | 63,697 | 2,082 |
| Nordson Corp. | 18,557 | 2,028 |
| Graco Inc. | 17,531 | 2,025 |
| Xylem Inc. | 30,067 | 1,866 |
37
| | |
| Vanguard® Russell 1000 Growth Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Donaldson Co. Inc. | 38,768 | 1,832 |
| Robert Half International Inc. | 39,733 | 1,800 |
| Emerson Electric Co. | 29,234 | 1,726 |
| * Zebra Technologies Corp. | 16,624 | 1,714 |
| BWX Technologies Inc. | 30,116 | 1,648 |
| Lincoln Electric Holdings Inc. | 18,671 | 1,621 |
| * XPO Logistics Inc. | 26,066 | 1,595 |
| Booz Allen Hamilton Holding Corp. Class A | 44,192 | 1,507 |
| Allison Transmission Holdings Inc. | 42,192 | 1,465 |
| Rollins Inc. | 30,742 | 1,365 |
| Genpact Ltd. | 45,405 | 1,292 |
| Hubbell Inc. Class B | 11,148 | 1,257 |
| Landstar System Inc. | 13,371 | 1,248 |
| * Sensata Technologies Holding NV | 27,753 | 1,239 |
| Old Dominion Freight Line Inc. | 12,096 | 1,208 |
| HEICO Corp. Class A | 15,807 | 1,148 |
| National Instruments Corp. | 27,033 | 1,092 |
| FLIR Systems Inc. | 22,918 | 871 |
| * Welbilt Inc. | 40,942 | 815 |
| AMETEK Inc. | 11,834 | 749 |
| Stanley Black & Decker Inc. | 4,957 | 714 |
| HEICO Corp. | 7,499 | 643 |
| * Clean Harbors Inc. | 11,753 | 636 |
| Wabtec Corp. | 8,726 | 616 |
| Dover Corp. | 5,262 | 447 |
| * Quanta Services Inc. | 12,006 | 431 |
| MSC Industrial Direct Co. Inc. Class A | 5,620 | 387 |
| Snap-on Inc. | 2,416 | 357 |
| * Gardner Denver Holdings Inc. | 13,120 | 308 |
| Copa Holdings SA Class A | 720 | 89 |
| Air Lease Corp. Class A | 1,899 | 77 |
| | | 492,413 |
| Technology (31.7%) | | |
| Apple Inc. | 1,674,598 | 274,634 |
| Microsoft Corp. | 2,407,279 | 179,992 |
| * Facebook Inc. Class A | 749,081 | 128,820 |
| * Alphabet Inc. Class C | 97,197 | 91,300 |
| * Alphabet Inc. Class A | 95,367 | 91,098 |
| Broadcom Ltd. | 127,986 | 32,261 |
| NVIDIA Corp. | 182,415 | 30,908 |
| International Business Machines Corp. | 189,370 | 27,086 |
| Texas Instruments Inc. | 320,051 | 26,507 |
| * Adobe Systems Inc. | 158,407 | 24,578 |
| * salesforce.com Inc. | 216,762 | 20,699 |
| Applied Materials Inc. | 346,558 | 15,637 |
| Activision Blizzard Inc. | 237,454 | 15,568 |
| Cognizant Technology Solutions Corp. Class A | 187,363 | 13,260 |
| * Electronic Arts Inc. | 96,093 | 11,675 |
| Intuit Inc. | 78,017 | 11,036 |
| Analog Devices Inc. | 115,773 | 9,687 |
| Lam Research Corp. | 51,792 | 8,597 |
| * Micron Technology Inc. | 254,209 | 8,127 |
| Amphenol Corp. Class A | 95,652 | 7,742 |
| DXC Technology Co. | 90,849 | 7,722 |
| * NXP Semiconductors NV | 60,528 | 6,837 |
| * Autodesk Inc. | 54,432 | 6,230 |
| Skyworks Solutions Inc. | 59,000 | 6,216 |
| * ServiceNow Inc. | 53,483 | 6,214 |
| * Red Hat Inc. | 56,784 | 6,104 |
| Symantec Corp. | 197,873 | 5,932 |
| Microchip Technology Inc. | 67,779 | 5,883 |
| Xilinx Inc. | 75,449 | 4,984 |
| * Dell Technologies Inc. Class V | 65,677 | 4,921 |
| KLA-Tencor Corp. | 50,102 | 4,694 |
38
| | |
| Vanguard® Russell 1000 Growth Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * Workday Inc. Class A | 41,664 | 4,570 |
| Maxim Integrated Products Inc. | 90,042 | 4,201 |
| * Citrix Systems Inc. | 48,529 | 3,796 |
| * Palo Alto Networks Inc. | 28,488 | 3,780 |
| Oracle Corp. | 74,668 | 3,758 |
| * ANSYS Inc. | 27,416 | 3,532 |
| * Cadence Design Systems Inc. | 89,061 | 3,499 |
| * Advanced Micro Devices Inc. | 263,848 | 3,430 |
| * Gartner Inc. | 28,039 | 3,381 |
| * IHS Markit Ltd. | 71,636 | 3,355 |
| CDW Corp. | 49,247 | 3,123 |
| * Take-Two Interactive Software Inc. | 31,683 | 3,098 |
| * Arista Networks Inc. | 17,029 | 3,000 |
| * Splunk Inc. | 44,341 | 2,975 |
| Cognex Corp. | 26,733 | 2,913 |
| * VeriSign Inc. | 27,967 | 2,902 |
| NetApp Inc. | 74,598 | 2,884 |
| CDK Global Inc. | 43,365 | 2,797 |
| * IAC/InterActiveCorp | 22,452 | 2,549 |
| * F5 Networks Inc. | 20,816 | 2,485 |
| * VMware Inc. Class A | 22,774 | 2,462 |
| * ON Semiconductor Corp. | 125,501 | 2,144 |
| Teradyne Inc. | 59,162 | 2,107 |
| * PTC Inc. | 36,518 | 2,045 |
| * IPG Photonics Corp. | 11,464 | 2,015 |
| SS&C Technologies Holdings Inc. | 50,305 | 1,947 |
| * Tyler Technologies Inc. | 10,956 | 1,893 |
| * Ultimate Software Group Inc. | 9,194 | 1,847 |
| * Coherent Inc. | 7,772 | 1,813 |
| * Fortinet Inc. | 46,824 | 1,789 |
| Universal Display Corp. | 13,407 | 1,704 |
| CSRA Inc. | 51,985 | 1,638 |
| * Qorvo Inc. | 21,262 | 1,557 |
| * Microsemi Corp. | 29,967 | 1,510 |
| * NCR Corp. | 38,881 | 1,420 |
| * Tableau Software Inc. Class A | 19,336 | 1,402 |
| * Cavium Inc. | 21,218 | 1,343 |
| Harris Corp. | 10,076 | 1,238 |
| LogMeIn Inc. | 10,430 | 1,193 |
| Western Digital Corp. | 13,477 | 1,190 |
| * GoDaddy Inc. Class A | 25,246 | 1,132 |
| * CommScope Holding Co. Inc. | 31,279 | 1,034 |
| Sabre Corp. | 52,544 | 969 |
| * Manhattan Associates Inc. | 21,965 | 924 |
| * Atlassian Corp. plc Class A | 23,173 | 825 |
| * Guidewire Software Inc. | 9,223 | 698 |
| Corning Inc. | 16,725 | 481 |
| Motorola Solutions Inc. | 4,867 | 429 |
| * Black Knight Financial Services Inc. Class A | 9,076 | 387 |
| * Synopsys Inc. | 3,657 | 294 |
| * Match Group Inc. | 12,109 | 263 |
| * Twitter Inc. | 13,322 | 225 |
| Cypress Semiconductor Corp. | 8,664 | 119 |
| DST Systems Inc. | 1,995 | 102 |
| | | 1,203,116 |
| Utilities (1.0%) | | |
| Verizon Communications Inc. | 655,306 | 31,435 |
| * T-Mobile US Inc. | 58,037 | 3,755 |
| * Zayo Group Holdings Inc. | 60,031 | 2,051 |
| NRG Energy Inc. | 18,575 | 463 |
| | | 37,704 |
| Total Common Stocks (Cost $2,841,244) | | 3,786,898 |
39
| | | | | |
| Vanguard® Russell 1000 Growth Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | | | Market |
| | | | | | Value |
| | | Coupon | | Shares | ($000) |
| Temporary Cash Investments (0.1%)1 | | | | |
| Money Market Fund (0.1%) | | | | |
| 2,3 | Vanguard Market Liquidity Fund | 1.224% | | 35,950 | 3,595 |
| |
| |
| | | | | Face | |
| | | | Maturity | Amount | |
| | | | Date | ($000) | |
| U.S. Government and Agency Obligations (0.0%) | | | | |
| 4 | United States Treasury Bill | 0.918% | 9/14/17 | 200 | 200 |
| | United States Treasury Bill | 1.003% | 10/5/17 | 800 | 799 |
| 4 | United States Treasury Bill | 0.949% | 10/19/17 | 200 | 200 |
| | | | | | 1,199 |
| |
| Total Temporary Cash Investments (Cost $4,794) | | | | 4,794 |
| Total Investments (99.9%) (Cost $2,846,038) | | | | 3,791,692 |
| Other Assets and Liabilities—Net (0.1%)3 | | | | 2,964 |
| Net Assets (100%) | | | | 3,794,656 |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $3,458,000. |
| 1 | The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and -0.1%, respectively, of net assets. |
| 2 | 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 $3,590,000 of collateral received for securities on loan. |
| 4 | Securities with a value of $400,000 have been segregated as initial margin for open futures contracts. |
40
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41
© 2017 The Vanguard Group, Inc. All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA18480 102017
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| |
| Common Stocks (99.8%)1 | | |
| Consumer Discretionary (13.1%) | | |
| * | Grand Canyon Education Inc. | 40,543 | 3,327 |
| | Dana Inc. | 125,230 | 3,014 |
| | Texas Roadhouse Inc. Class A | 57,655 | 2,736 |
| ^,* | Stamps.com Inc. | 13,619 | 2,605 |
| | Jack in the Box Inc. | 27,263 | 2,552 |
| | Tenneco Inc. | 45,967 | 2,491 |
| | Cracker Barrel Old Country Store Inc. | 16,557 | 2,461 |
| | ILG Inc. | 91,565 | 2,417 |
| | Aaron's Inc. | 54,525 | 2,414 |
| | Nexstar Media Group Inc. Class A | 39,031 | 2,350 |
| * | Avis Budget Group Inc. | 64,308 | 2,330 |
| | Churchill Downs Inc. | 11,652 | 2,277 |
| * | Five Below Inc. | 46,456 | 2,210 |
| | Marriott Vacations Worldwide Corp. | 18,873 | 2,196 |
| | Lithia Motors Inc. Class A | 19,995 | 2,159 |
| * | Steven Madden Ltd. | 50,838 | 2,156 |
| | Wolverine World Wide Inc. | 81,050 | 2,132 |
| * | Helen of Troy Ltd. | 23,464 | 2,119 |
| * | Dave & Buster's Entertainment Inc. | 36,222 | 2,118 |
| | LCI Industries | 20,842 | 2,059 |
| | New York Times Co. Class A | 107,856 | 2,011 |
| ^,* | Cimpress NV | 21,473 | 1,985 |
| | Office Depot Inc. | 440,525 | 1,890 |
| | Boyd Gaming Corp. | 71,416 | 1,888 |
| * | 2U Inc. | 37,604 | 1,884 |
| | Sinclair Broadcast Group Inc. Class A | 62,033 | 1,876 |
| | Meredith Corp. | 33,930 | 1,844 |
| | Planet Fitness Inc. Class A | 72,400 | 1,837 |
| ^ | Big Lots Inc. | 38,559 | 1,835 |
| * | Adtalem Global Education Inc. | 53,519 | 1,830 |
| | Papa John's International Inc. | 23,427 | 1,752 |
| * | Deckers Outdoor Corp. | 27,143 | 1,734 |
| * | TRI Pointe Group Inc. | 134,896 | 1,719 |
| * | Ollie's Bargain Outlet Holdings Inc. | 40,883 | 1,711 |
| | American Eagle Outfitters Inc. | 139,036 | 1,661 |
| * | SiteOne Landscape Supply Inc. | 32,540 | 1,635 |
| * | Etsy Inc. | 99,365 | 1,627 |
| * | Penn National Gaming Inc. | 73,250 | 1,625 |
| * | Scientific Games Corp. Class A | 46,001 | 1,619 |
| | Matthews International Corp. Class A | 26,874 | 1,619 |
| | Travelport Worldwide Ltd. | 106,557 | 1,613 |
| ^,* | Cars.com Inc. | 62,227 | 1,609 |
| | Cheesecake Factory Inc. | 38,606 | 1,599 |
| | Children's Place Inc. | 14,808 | 1,572 |
| * | Dorman Products Inc. | 23,557 | 1,565 |
| ^ | KB Home | 72,523 | 1,552 |
| | PriceSmart Inc. | 18,987 | 1,543 |
| | Cooper Tire & Rubber Co. | 45,628 | 1,533 |
| * | Cooper-Standard Holdings Inc. | 15,068 | 1,516 |
| * | Sotheby's | 32,743 | 1,469 |
| | Bloomin' Brands Inc. | 85,535 | 1,455 |
| * | Meritor Inc. | 72,401 | 1,438 |
| | Columbia Sportswear Co. | 25,049 | 1,435 |
| * | Buffalo Wild Wings Inc. | 13,853 | 1,423 |
| | Nutrisystem Inc. | 25,477 | 1,383 |
| * | RH | 29,363 | 1,374 |
| * | Meritage Homes Corp. | 32,996 | 1,343 |
| * | Shutterfly Inc. | 29,427 | 1,341 |
| | Brinker International Inc. | 42,240 | 1,319 |
| | Red Rock Resorts Inc. Class A | 58,322 | 1,318 |
| | Monro Inc. | 27,191 | 1,297 |
1
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Fox Factory Holding Corp. | 30,277 | 1,211 |
| | Bob Evans Farms Inc. | 16,991 | 1,169 |
| | Time Inc. | 86,485 | 1,137 |
| * | Weight Watchers International Inc. | 24,195 | 1,133 |
| | Callaway Golf Co. | 80,856 | 1,127 |
| * | La Quinta Holdings Inc. | 70,540 | 1,115 |
| | MDC Holdings Inc. | 35,656 | 1,114 |
| * | MSG Networks Inc. | 51,679 | 1,108 |
| * | Taylor Morrison Home Corp. Class A | 52,848 | 1,069 |
| * | American Axle & Manufacturing Holdings Inc. | 72,260 | 1,056 |
| * | Select Comfort Corp. | 35,537 | 1,049 |
| | Group 1 Automotive Inc. | 17,455 | 1,048 |
| ^,* | JC Penney Co. Inc. | 268,192 | 1,038 |
| | DSW Inc. Class A | 55,952 | 1,037 |
| * | G-III Apparel Group Ltd. | 37,434 | 1,029 |
| * | Hertz Global Holdings Inc. | 47,319 | 1,029 |
| * | Chegg Inc. | 72,284 | 1,026 |
| | HSN Inc. | 27,884 | 1,023 |
| * | Vista Outdoor Inc. | 49,458 | 1,014 |
| * | Central Garden & Pet Co. Class A | 29,503 | 1,006 |
| * | American Woodmark Corp. | 12,093 | 1,001 |
| | La-Z-Boy Inc. | 41,421 | 988 |
| ^ | Winnebago Industries Inc. | 27,240 | 985 |
| * | Cavco Industries Inc. | 7,306 | 983 |
| * | Gentherm Inc. | 31,404 | 978 |
| * | Belmond Ltd. Class A | 76,577 | 976 |
| | Caleres Inc. | 35,928 | 969 |
| * | Quotient Technology Inc. | 63,686 | 955 |
| | Scholastic Corp. | 24,175 | 953 |
| | Viad Corp. | 17,247 | 948 |
| | ClubCorp Holdings Inc. | 55,718 | 947 |
| * | IMAX Corp. | 49,823 | 929 |
| * | Eldorado Resorts Inc. | 39,855 | 917 |
| * | Lumber Liquidators Holdings Inc. | 24,324 | 913 |
| * | Houghton Mifflin Harcourt Co. | 89,427 | 912 |
| * | Fitbit Inc. Class A | 151,070 | 911 |
| * | EW Scripps Co. Class A | 49,925 | 893 |
| * | Pinnacle Entertainment Inc. | 45,713 | 891 |
| * | Asbury Automotive Group Inc. | 15,980 | 861 |
| | Chico's FAS Inc. | 111,203 | 854 |
| ^,* | GoPro Inc. Class A | 92,449 | 851 |
| * | Liberty TripAdvisor Holdings Inc. Class A | 62,813 | 839 |
| | Gannett Co. Inc. | 98,708 | 838 |
| ^ | Sonic Corp. | 35,520 | 832 |
| | Standard Motor Products Inc. | 18,606 | 821 |
| | Wingstop Inc. | 25,082 | 813 |
| | Oxford Industries Inc. | 14,005 | 810 |
| | Guess? Inc. | 51,819 | 807 |
| | Dillard's Inc. Class A | 13,100 | 796 |
| * | Trade Desk Inc. Class A | 14,981 | 794 |
| * | American Outdoor Brands Corp. | 48,601 | 793 |
| * | Gray Television Inc. | 55,270 | 790 |
| * | Caesars Acquisition Co. Class A | 42,316 | 789 |
| | International Speedway Corp. Class A | 21,574 | 769 |
| | SeaWorld Entertainment Inc. | 59,166 | 768 |
| | Abercrombie & Fitch Co. | 59,067 | 752 |
| | Strayer Education Inc. | 9,173 | 734 |
| | World Wrestling Entertainment Inc. Class A | 32,969 | 719 |
| * | Universal Electronics Inc. | 12,221 | 716 |
| * | Liberty Media Corp-Liberty Braves | 28,944 | 708 |
| * | Denny's Corp. | 59,194 | 708 |
| ^ | Sturm Ruger & Co. Inc. | 14,828 | 679 |
| ^ | AMC Entertainment Holdings Inc. Class A | 50,306 | 674 |
| | Capella Education Co. | 9,828 | 662 |
2
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | LGI Homes Inc. | 14,943 | 636 |
| * | Red Robin Gourmet Burgers Inc. | 11,134 | 635 |
| | Ethan Allen Interiors Inc. | 21,492 | 629 |
| | New Media Investment Group Inc. | 44,068 | 608 |
| | DineEquity Inc. | 14,873 | 591 |
| | Inter Parfums Inc. | 14,949 | 590 |
| * | Shake Shack Inc. Class A | 18,977 | 587 |
| * | Crocs Inc. | 64,030 | 572 |
| ^,* | Caesars Entertainment Corp. | 49,263 | 571 |
| * | Career Education Corp. | 58,468 | 562 |
| * | BJ's Restaurants Inc. | 18,202 | 548 |
| * | Instructure Inc. | 18,364 | 544 |
| * | Shutterstock Inc. | 16,037 | 538 |
| * | K12 Inc. | 29,449 | 528 |
| * | HealthStream Inc. | 22,292 | 524 |
| * | M/I Homes Inc. | 20,604 | 507 |
| | Ruth's Hospitality Group Inc. | 25,868 | 506 |
| ^ | Tailored Brands Inc. | 42,459 | 502 |
| * | William Lyon Homes Class A | 20,602 | 494 |
| * | MDC Partners Inc. Class A | 48,021 | 490 |
| * | Laureate Education Inc. Class A | 30,763 | 450 |
| | Rent-A-Center Inc. | 37,031 | 448 |
| | Tile Shop Holdings Inc. | 29,400 | 442 |
| * | Nautilus Inc. | 26,127 | 427 |
| | National Presto Industries Inc. | 4,275 | 426 |
| * | Express Inc. | 66,735 | 425 |
| * | Angie's List Inc. | 34,883 | 424 |
| * | Motorcar Parts of America Inc. | 16,146 | 424 |
| * | Malibu Boats Inc. Class A | 15,560 | 420 |
| | Sonic Automotive Inc. Class A | 23,055 | 417 |
| * | Regis Corp. | 30,740 | 408 |
| * | Beazer Homes USA Inc. | 27,029 | 403 |
| | Marcus Corp. | 16,146 | 402 |
| * | Del Taco Restaurants Inc. | 28,512 | 401 |
| | Barnes & Noble Inc. | 51,426 | 399 |
| * | XO Group Inc. | 21,266 | 396 |
| | Hooker Furniture Corp. | 9,808 | 395 |
| * | Fiesta Restaurant Group Inc. | 22,324 | 388 |
| | Camping World Holdings Inc. Class A | 10,568 | 388 |
| * | Stoneridge Inc. | 23,255 | 385 |
| | Tower International Inc. | 17,070 | 383 |
| | Haverty Furniture Cos. Inc. | 16,224 | 380 |
| * | Horizon Global Corp. | 22,057 | 379 |
| * | Century Communities Inc. | 16,482 | 372 |
| ^,* | elf Beauty Inc. | 17,894 | 370 |
| | Movado Group Inc. | 13,126 | 364 |
| * | Central Garden & Pet Co. | 10,061 | 355 |
| ^ | Buckle Inc. | 24,869 | 352 |
| * | MarineMax Inc. | 21,749 | 351 |
| * | Genesco Inc. | 16,570 | 350 |
| * | Monarch Casino & Resort Inc. | 9,359 | 333 |
| * | Party City Holdco Inc. | 23,750 | 331 |
| ^ | Acushnet Holdings Corp. | 19,995 | 329 |
| * | Carrols Restaurant Group Inc. | 29,824 | 325 |
| | Carriage Services Inc. Class A | 13,257 | 325 |
| * | Overstock.com Inc. | 14,514 | 319 |
| | Entravision Communications Corp. Class A | 57,102 | 317 |
| | Bassett Furniture Industries Inc. | 8,799 | 315 |
| | Superior Industries International Inc. | 21,298 | 312 |
| * | Fossil Group Inc. | 36,903 | 306 |
| * | Ascena Retail Group Inc. | 149,244 | 304 |
| | Flexsteel Industries Inc. | 6,580 | 299 |
| * | ZAGG Inc. | 23,523 | 296 |
| * | Central European Media Enterprises Ltd. Class A | 71,005 | 295 |
3
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Pier 1 Imports Inc. | 69,937 | 293 |
| | Emerald Expositions Events Inc. | 13,469 | 293 |
| | National CineMedia Inc. | 53,250 | 288 |
| | Finish Line Inc. Class A | 34,400 | 287 |
| ^,* | Conn's Inc. | 15,894 | 276 |
| | Cato Corp. Class A | 20,890 | 275 |
| * | MCBC Holdings Inc. | 15,865 | 272 |
| * | Chuy's Holdings Inc. | 14,353 | 270 |
| | Johnson Outdoors Inc. Class A | 4,182 | 267 |
| | Winmark Corp. | 2,022 | 267 |
| * | Del Frisco's Restaurant Group Inc. | 18,900 | 265 |
| * | Biglari Holdings Inc. | 875 | 261 |
| * | American Public Education Inc. | 13,674 | 252 |
| * | America's Car-Mart Inc. | 6,495 | 249 |
| | Entercom Communications Corp. Class A | 24,111 | 248 |
| * | tronc Inc. | 16,872 | 245 |
| * | Iconix Brand Group Inc. | 43,296 | 242 |
| * | Perry Ellis International Inc. | 11,084 | 242 |
| * | Potbelly Corp. | 19,820 | 238 |
| ^,* | Carvana Co. | 13,033 | 233 |
| * | Francesca's Holdings Corp. | 31,893 | 232 |
| ^,* | Eros International plc | 23,527 | 229 |
| * | Reading International Inc. Class A | 14,439 | 228 |
| * | Habit Restaurants Inc. Class A | 17,463 | 227 |
| * | Hibbett Sports Inc. | 18,448 | 227 |
| | Citi Trends Inc. | 12,504 | 227 |
| * | Liberty Media Corp-Liberty Braves | 9,256 | 226 |
| * | Zoe's Kitchen Inc. | 16,530 | 213 |
| | West Marine Inc. | 16,155 | 210 |
| | Speedway Motorsports Inc. | 10,059 | 209 |
| * | Golden Entertainment Inc. | 9,107 | 207 |
| | CSS Industries Inc. | 7,716 | 207 |
| * | 1-800-Flowers.com Inc. Class A | 22,557 | 203 |
| | Shoe Carnival Inc. | 10,078 | 203 |
| * | Daily Journal Corp. | 959 | 201 |
| * | Bojangles' Inc. | 14,997 | 200 |
| * | El Pollo Loco Holdings Inc. | 17,590 | 200 |
| * | Zumiez Inc. | 15,951 | 199 |
| * | FTD Cos. Inc. | 14,614 | 196 |
| * | Hovnanian Enterprises Inc. Class A | 106,829 | 194 |
| * | Lindblad Expeditions Holdings Inc. | 17,307 | 192 |
| ^ | Fred's Inc. Class A | 31,099 | 184 |
| | RCI Hospitality Holdings Inc. | 7,795 | 182 |
| * | Care.com Inc. | 11,603 | 174 |
| ^,* | Revlon Inc. Class A | 10,205 | 172 |
| * | Hemisphere Media Group Inc. Class A | 13,282 | 172 |
| * | Barnes & Noble Education Inc. | 33,080 | 171 |
| * | QuinStreet Inc. | 31,653 | 169 |
| ^,* | Duluth Holdings Inc. | 8,303 | 163 |
| | Superior Uniform Group Inc. | 7,263 | 160 |
| * | Franklin Covey Co. | 8,401 | 158 |
| * | Vera Bradley Inc. | 17,432 | 158 |
| | Collectors Universe Inc. | 6,469 | 155 |
| | Libbey Inc. | 18,966 | 155 |
| * | Kirkland's Inc. | 13,271 | 153 |
| | Weyco Group Inc. | 5,450 | 150 |
| | Lifetime Brands Inc. | 8,428 | 147 |
| * | Drive Shack Inc. | 53,695 | 145 |
| * | Nathan's Famous Inc. | 2,447 | 143 |
| * | Bridgepoint Education Inc. | 15,940 | 141 |
| * | VOXX International Corp. Class A | 17,337 | 140 |
| * | Lands' End Inc. | 11,485 | 140 |
| | Big 5 Sporting Goods Corp. | 18,169 | 139 |
| * | Rosetta Stone Inc. | 14,661 | 135 |
4
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Saga Communications Inc. Class A | 3,211 | 131 |
| * | Sportsman's Warehouse Holdings Inc. | 31,311 | 130 |
| * | Clarus Corp. | 17,697 | 128 |
| * | Century Casinos Inc. | 18,273 | 125 |
| | Tilly's Inc. Class A | 11,177 | 123 |
| | Clear Channel Outdoor Holdings Inc. Class A | 30,731 | 118 |
| * | Delta Apparel Inc. | 5,991 | 118 |
| * | Eastman Kodak Co. | 14,313 | 111 |
| * | J Alexander's Holdings Inc. | 11,168 | 111 |
| | Escalade Inc. | 9,171 | 110 |
| * | Ruby Tuesday Inc. | 51,280 | 110 |
| * | New Home Co. Inc. | 10,649 | 110 |
| * | Build-A-Bear Workshop Inc. | 11,780 | 108 |
| * | At Home Group Inc. | 4,394 | 108 |
| | Marine Products Corp. | 6,765 | 105 |
| * | Sequential Brands Group Inc. | 34,366 | 105 |
| * | Fogo De Chao Inc. | 8,155 | 103 |
| * | Red Lion Hotels Corp. | 14,351 | 100 |
| * | Vitamin Shoppe Inc. | 18,485 | 99 |
| * | J. Jill Inc. | 10,123 | 98 |
| * | Boot Barn Holdings Inc. | 10,597 | 86 |
| ^,* | Cogint Inc. | 17,511 | 86 |
| * | Gaia Inc. Class A | 7,584 | 85 |
| ^,* | Sears Holdings Corp. | 10,295 | 84 |
| | Liberty Tax Inc. | 5,915 | 80 |
| * | Townsquare Media Inc. Class A | 7,528 | 75 |
| * | Cambium Learning Group Inc. | 11,902 | 70 |
| ^,* | Empire Resorts Inc. | 2,946 | 69 |
| | Salem Media Group Inc. Class A | 9,948 | 60 |
| * | WideOpenWest Inc. | 3,710 | 59 |
| * | Container Store Group Inc. | 13,863 | 56 |
| | Beasley Broadcast Group Inc. Class A | 4,179 | 42 |
| ^,* | Noodles & Co. Class A | 10,184 | 39 |
| * | Inspired Entertainment Inc. | 3,428 | 38 |
| | | | 217,137 |
| Consumer Staples (2.3%) | | |
| | Snyder's-Lance Inc. | 74,101 | 2,632 |
| | Sanderson Farms Inc. | 17,331 | 2,557 |
| | Lancaster Colony Corp. | 16,176 | 1,884 |
| | Vector Group Ltd. | 80,723 | 1,744 |
| | B&G Foods Inc. | 56,541 | 1,724 |
| * | Performance Food Group Co. | 61,079 | 1,698 |
| | J&J Snack Foods Corp. | 12,946 | 1,650 |
| * | United Natural Foods Inc. | 43,564 | 1,514 |
| | Fresh Del Monte Produce Inc. | 28,369 | 1,333 |
| | WD-40 Co. | 11,940 | 1,301 |
| | Universal Corp. | 21,382 | 1,223 |
| | National Beverage Corp. | 10,148 | 1,179 |
| * | Boston Beer Co. Inc. Class A | 7,684 | 1,145 |
| | Core-Mark Holding Co. Inc. | 39,118 | 1,059 |
| ^,* | Cal-Maine Foods Inc. | 26,875 | 980 |
| | Calavo Growers Inc. | 13,855 | 930 |
| * | Hostess Brands Inc. Class A | 69,155 | 923 |
| | Coca-Cola Bottling Co. Consolidated | 4,069 | 869 |
| | Dean Foods Co. | 78,583 | 864 |
| | SpartanNash Co. | 32,356 | 797 |
| | Andersons Inc. | 23,325 | 743 |
| * | Diplomat Pharmacy Inc. | 41,311 | 692 |
| * | SUPERVALU Inc. | 33,164 | 663 |
| | MGP Ingredients Inc. | 11,163 | 628 |
| | PetMed Express Inc. | 17,068 | 619 |
| * | USANA Health Sciences Inc. | 10,029 | 594 |
| ^ | Tootsie Roll Industries Inc. | 14,639 | 547 |
| | Medifast Inc. | 9,150 | 518 |
5
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| ^ | GNC Holdings Inc. Class A | 58,642 | 487 |
| | John B Sanfilippo & Son Inc. | 7,400 | 459 |
| | Weis Markets Inc. | 8,276 | 366 |
| * | Freshpet Inc. | 21,193 | 336 |
| | Omega Protein Corp. | 19,073 | 301 |
| * | Chefs' Warehouse Inc. | 16,962 | 293 |
| | Ingles Markets Inc. Class A | 12,187 | 268 |
| * | Farmer Brothers Co. | 7,514 | 245 |
| * | Primo Water Corp. | 21,886 | 240 |
| | Limoneira Co. | 10,325 | 231 |
| * | Cadiz Inc. | 18,031 | 220 |
| ^,* | Amplify Snack Brands Inc. | 28,622 | 206 |
| * | Craft Brew Alliance Inc. | 10,970 | 191 |
| * | Seneca Foods Corp. Class A | 6,011 | 179 |
| | Village Super Market Inc. Class A | 6,708 | 155 |
| * | Smart & Final Stores Inc. | 19,558 | 138 |
| | Natural Health Trends Corp. | 6,354 | 128 |
| * | Castle Brands Inc. | 74,668 | 106 |
| | Nature's Sunshine Products Inc. | 9,294 | 98 |
| | Alico Inc. | 2,687 | 86 |
| ^ | Orchids Paper Products Co. | 7,791 | 79 |
| * | Turning Point Brands Inc. | 4,353 | 75 |
| * | Natural Grocers by Vitamin Cottage Inc. | 7,821 | 44 |
| * | Lifeway Foods Inc. | 4,075 | 35 |
| | | | 37,976 |
| Energy (3.2%) | | |
| * | PDC Energy Inc. | 56,759 | 2,232 |
| * | Matador Resources Co. | 76,882 | 1,813 |
| * | Callon Petroleum Co. | 172,754 | 1,790 |
| | Golar LNG Ltd. | 82,434 | 1,787 |
| | Delek US Holdings Inc. | 66,919 | 1,654 |
| * | Peabody Energy Corp. | 53,434 | 1,550 |
| | Arch Coal Inc. Class A | 18,946 | 1,513 |
| * | McDermott International Inc. | 242,771 | 1,491 |
| * | Oasis Petroleum Inc. | 201,791 | 1,473 |
| | SemGroup Corp. Class A | 56,857 | 1,461 |
| * | SRC Energy Inc. | 171,694 | 1,355 |
| * | Ultra Petroleum Corp. | 167,665 | 1,306 |
| * | Dril-Quip Inc. | 32,396 | 1,216 |
| ^ | Ensco plc Class A | 263,514 | 1,120 |
| * | Superior Energy Services Inc. | 131,672 | 1,085 |
| * | NOW Inc. | 91,676 | 1,069 |
| * | C&J Energy Services Inc. | 40,124 | 1,014 |
| * | Rowan Cos. plc Class A | 100,861 | 983 |
| * | TerraForm Power Inc. Class A | 69,709 | 973 |
| * | Oil States International Inc. | 43,559 | 947 |
| * | Exterran Corp. | 27,757 | 770 |
| * | Helix Energy Solutions Group Inc. | 121,620 | 763 |
| * | Carrizo Oil & Gas Inc. | 54,051 | 726 |
| * | Unit Corp. | 44,771 | 713 |
| * | Forum Energy Technologies Inc. | 59,662 | 692 |
| * | Noble Corp. plc | 211,182 | 688 |
| * | Diamond Offshore Drilling Inc. | 55,943 | 635 |
| | Archrock Inc. | 60,401 | 616 |
| | Green Plains Inc. | 32,800 | 608 |
| * | Newpark Resources Inc. | 75,548 | 608 |
| * | Resolute Energy Corp. | 18,765 | 554 |
| * | SandRidge Energy Inc. | 30,195 | 520 |
| * | SunCoke Energy Inc. | 55,700 | 519 |
| * | Sunrun Inc. | 73,467 | 492 |
| * | Par Pacific Holdings Inc. | 27,456 | 489 |
| * | Penn Virginia Corp. | 12,265 | 472 |
| * | Ring Energy Inc. | 39,222 | 468 |
| ^,* | SunPower Corp. Class A | 51,683 | 457 |
6
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Bonanza Creek Energy Inc. | 17,481 | 454 |
| * | Tellurian Inc. | 47,934 | 443 |
| * | Atwood Oceanics Inc. | 66,341 | 436 |
| * | REX American Resources Corp. | 5,022 | 435 |
| ^,* | Fairmount Santrol Holdings Inc. | 134,158 | 411 |
| * | Stone Energy Corp. | 16,864 | 408 |
| * | Renewable Energy Group Inc. | 32,898 | 398 |
| | Warrior Met Coal Inc. | 14,551 | 397 |
| * | TerraForm Global Inc. Class A | 77,146 | 390 |
| * | Denbury Resources Inc. | 343,884 | 365 |
| * | Jagged Peak Energy Inc. | 27,566 | 353 |
| * | Keane Group Inc. | 26,873 | 348 |
| * | Halcon Resources Corp. | 52,865 | 327 |
| ^ | CVR Energy Inc. | 13,646 | 292 |
| ^,* | California Resources Corp. | 36,867 | 288 |
| | Panhandle Oil and Gas Inc. Class A | 13,579 | 287 |
| * | Clean Energy Fuels Corp. | 118,021 | 281 |
| ^ | Frank's International NV | 43,118 | 271 |
| * | Matrix Service Co. | 22,707 | 269 |
| ^,* | Sanchez Energy Corp. | 61,320 | 269 |
| * | Energy XXI Gulf Coast Inc. | 25,557 | 267 |
| * | Natural Gas Services Group Inc. | 10,718 | 253 |
| * | ProPetro Holding Corp. | 21,843 | 251 |
| * | Flotek Industries Inc. | 47,854 | 248 |
| * | Abraxas Petroleum Corp. | 131,031 | 223 |
| * | Basic Energy Services Inc. | 15,055 | 214 |
| * | Trecora Resources | 16,997 | 207 |
| * | TETRA Technologies Inc. | 99,038 | 204 |
| * | Cloud Peak Energy Inc. | 63,927 | 201 |
| * | Bill Barrett Corp. | 65,320 | 195 |
| * | WildHorse Resource Development Corp. | 17,275 | 188 |
| * | NCS Multistage Holdings Inc. | 9,532 | 188 |
| ^,* | Green Brick Partners Inc. | 19,927 | 188 |
| * | TPI Composites Inc. | 9,244 | 188 |
| * | RigNet Inc. | 11,402 | 182 |
| * | SEACOR Marine Holdings Inc. | 14,031 | 180 |
| * | Pacific Ethanol Inc. | 35,537 | 178 |
| * | Tesco Corp. | 40,179 | 177 |
| * | Eclipse Resources Corp. | 75,570 | 176 |
| * | Geospace Technologies Corp. | 11,346 | 171 |
| * | W&T Offshore Inc. | 81,079 | 155 |
| | Evolution Petroleum Corp. | 21,879 | 152 |
| * | Era Group Inc. | 17,038 | 150 |
| * | Midstates Petroleum Co. Inc. | 9,581 | 139 |
| ^,* | Lilis Energy Inc. | 36,769 | 135 |
| | Gulf Island Fabrication Inc. | 11,813 | 132 |
| ^,* | CARBO Ceramics Inc. | 19,866 | 130 |
| * | Parker Drilling Co. | 116,211 | 128 |
| * | SilverBow Resources Inc. | 5,904 | 128 |
| * | Solaris Oilfield Infrastructure Inc. Class A | 8,693 | 123 |
| * | Ameresco Inc. Class A | 16,142 | 117 |
| * | Key Energy Services Inc. | 8,908 | 113 |
| * | Smart Sand Inc. | 18,907 | 113 |
| * | Pioneer Energy Services Corp. | 65,926 | 112 |
| * | Vivint Solar Inc. | 22,516 | 107 |
| ^,* | Approach Resources Inc. | 37,042 | 103 |
| ^,* | EP Energy Corp. Class A | 33,307 | 98 |
| * | Mammoth Energy Services Inc. | 6,959 | 96 |
| * | Independence Contract Drilling Inc. | 29,680 | 96 |
| * | Contango Oil & Gas Co. | 20,436 | 94 |
| ^,* | Gastar Exploration Inc. | 150,194 | 89 |
| * | Willbros Group Inc. | 37,963 | 84 |
| * | Earthstone Energy Inc. Class A | 8,540 | 82 |
| | Hallador Energy Co. | 13,770 | 80 |
7
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Isramco Inc. | 631 | 71 |
| | Adams Resources & Energy Inc. | 1,873 | 65 |
| * | Select Energy Services Inc. Class A | 3,330 | 47 |
| ^,* | Ramaco Resources Inc. | 5,258 | 41 |
| ^,* | Jones Energy Inc. Class A | 39,537 | 39 |
| * | Westmoreland Coal Co. | 16,010 | 37 |
| * | Rosehill Resources Inc. | 2,106 | 14 |
| ^ | Nordic American Offshore Ltd. | 3,541 | 4 |
| | Noble Energy Inc. | 8 | — |
| *,2 | Global Geophysical Services Inc. | 127 | — |
| | | | 52,897 |
| Financial Services (25.9%) | | |
| | Gramercy Property Trust | 130,917 | 3,988 |
| | Fair Isaac Corp. | 26,539 | 3,736 |
| * | MGIC Investment Corp. | 319,217 | 3,655 |
| 2 | Wintrust Financial Corp. | 47,839 | 3,483 |
| | Cousins Properties Inc. | 360,913 | 3,375 |
| | Umpqua Holdings Corp. | 190,929 | 3,341 |
| | IBERIABANK Corp. | 43,599 | 3,340 |
| | Healthcare Realty Trust Inc. | 100,023 | 3,329 |
| | CNO Financial Group Inc. | 147,473 | 3,296 |
| | Radian Group Inc. | 186,744 | 3,268 |
| * | Starwood Waypoint Homes | 87,197 | 3,246 |
| | Hancock Holding Co. | 72,663 | 3,194 |
| * | Texas Capital Bancshares Inc. | 42,918 | 3,187 |
| | First Industrial Realty Trust Inc. | 100,548 | 3,115 |
| | Sunstone Hotel Investors Inc. | 191,032 | 3,018 |
| | Primerica Inc. | 39,254 | 3,005 |
| | Sabra Health Care REIT Inc. | 136,851 | 2,990 |
| | Investors Bancorp Inc. | 223,362 | 2,924 |
| | GEO Group Inc. | 105,419 | 2,914 |
| | United Bankshares Inc. | 86,248 | 2,894 |
| | Physicians Realty Trust | 150,067 | 2,811 |
| | LaSalle Hotel Properties | 98,484 | 2,795 |
| | MB Financial Inc. | 69,815 | 2,777 |
| | Chemical Financial Corp. | 61,041 | 2,772 |
| | National Health Investors Inc. | 34,297 | 2,750 |
| | Stifel Financial Corp. | 57,328 | 2,737 |
| | Evercore Inc. Class A | 35,216 | 2,657 |
| | UMB Financial Corp. | 39,008 | 2,618 |
| * | Essent Group Ltd. | 66,476 | 2,598 |
| | Home BancShares Inc. | 111,145 | 2,591 |
| | Fulton Financial Corp. | 147,755 | 2,578 |
| | Sterling Bancorp | 113,509 | 2,548 |
| | EastGroup Properties Inc. | 28,658 | 2,547 |
| | Selective Insurance Group Inc. | 49,549 | 2,497 |
| | Valley National Bancorp | 222,369 | 2,488 |
| | Education Realty Trust Inc. | 63,447 | 2,452 |
| | Washington Federal Inc. | 77,042 | 2,408 |
| | FirstCash Inc. | 40,790 | 2,394 |
| | PS Business Parks Inc. | 17,081 | 2,308 |
| | Cathay General Bancorp | 64,865 | 2,288 |
| | Ryman Hospitality Properties Inc. | 38,106 | 2,264 |
| | Glacier Bancorp Inc. | 66,190 | 2,198 |
| | QTS Realty Trust Inc. Class A | 40,471 | 2,193 |
| | Washington REIT | 66,669 | 2,191 |
| | First Financial Bankshares Inc. | 54,492 | 2,182 |
| | Community Bank System Inc. | 42,270 | 2,175 |
| | First Citizens BancShares Inc.Class A | 6,387 | 2,175 |
| | STAG Industrial Inc. | 77,058 | 2,157 |
| | BancorpSouth Inc. | 74,075 | 2,152 |
| | RLJ Lodging Trust | 105,812 | 2,135 |
| | Urban Edge Properties | 84,090 | 2,115 |
| * | Blackhawk Network Holdings Inc. | 47,055 | 2,108 |
8
| | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Acadia Realty Trust | 72,362 | 2,076 |
| American Equity Investment Life Holding Co. | 74,430 | 2,066 |
| South State Corp. | 24,854 | 2,044 |
| * Enstar Group Ltd. | 9,664 | 2,006 |
| Pebblebrook Hotel Trust | 59,251 | 1,990 |
| DiamondRock Hospitality Co. | 172,256 | 1,893 |
| * Green Dot Corp. Class A | 39,257 | 1,891 |
| Old National Bancorp | 115,511 | 1,889 |
| Columbia Banking System Inc. | 50,061 | 1,861 |
| First Midwest Bancorp Inc. | 87,853 | 1,852 |
| Retail Opportunity Investments Corp. | 93,306 | 1,851 |
| Xenia Hotels & Resorts Inc. | 92,705 | 1,850 |
| CVB Financial Corp. | 89,088 | 1,844 |
| Lexington Realty Trust | 186,698 | 1,841 |
| Great Western Bancorp Inc. | 50,960 | 1,830 |
| Hope Bancorp Inc. | 111,567 | 1,801 |
| Mack-Cali Realty Corp. | 78,140 | 1,789 |
| RLI Corp. | 33,134 | 1,773 |
| Alexander & Baldwin Inc. | 40,147 | 1,742 |
| Monogram Residential Trust Inc. | 144,993 | 1,740 |
| Trustmark Corp. | 58,003 | 1,718 |
| Rexford Industrial Realty Inc. | 57,032 | 1,714 |
| * LendingClub Corp. | 272,941 | 1,689 |
| * Eagle Bancorp Inc. | 27,105 | 1,686 |
| International Bancshares Corp. | 46,829 | 1,683 |
| Potlatch Corp. | 34,817 | 1,664 |
| Financial Engines Inc. | 50,348 | 1,664 |
| LTC Properties Inc. | 33,941 | 1,651 |
| Invesco Mortgage Capital Inc. | 96,724 | 1,642 |
| Kemper Corp. | 34,013 | 1,629 |
| * HRG Group Inc. | 102,819 | 1,624 |
| Independent Bank Corp. | 22,906 | 1,587 |
| United Community Banks Inc. | 60,791 | 1,587 |
| Astoria Financial Corp. | 79,940 | 1,566 |
| Banner Corp. | 28,298 | 1,560 |
| Terreno Realty Corp. | 42,161 | 1,528 |
| Hilltop Holdings Inc. | 64,443 | 1,525 |
| Bank of NT Butterfield & Son Ltd. | 46,217 | 1,520 |
| Capitol Federal Financial Inc. | 110,206 | 1,512 |
| Government Properties Income Trust | 81,489 | 1,512 |
| Argo Group International Holdings Ltd. | 24,889 | 1,498 |
| Towne Bank | 48,528 | 1,490 |
| * Genworth Financial Inc. Class A | 432,029 | 1,482 |
| Renasant Corp. | 37,100 | 1,478 |
| LegacyTexas Financial Group Inc. | 40,462 | 1,456 |
| Apollo Commercial Real Estate Finance Inc. | 79,606 | 1,440 |
| Kite Realty Group Trust | 70,647 | 1,421 |
| American Assets Trust Inc. | 34,814 | 1,414 |
| Kennedy-Wilson Holdings Inc. | 71,949 | 1,389 |
| First Merchants Corp. | 35,159 | 1,381 |
| * BofI Holding Inc. | 51,846 | 1,374 |
| Ameris Bancorp | 31,175 | 1,373 |
| WesBanco Inc. | 36,119 | 1,372 |
| ServisFirst Bancshares Inc. | 39,723 | 1,355 |
| Simmons First National Corp. Class A | 25,901 | 1,352 |
| Washington Prime Group Inc. | 159,405 | 1,331 |
| Four Corners Property Trust Inc. | 52,011 | 1,322 |
| * FCB Financial Holdings Inc. Class A | 30,214 | 1,317 |
| Provident Financial Services Inc. | 52,889 | 1,314 |
| ^ Waddell & Reed Financial Inc. Class A | 70,243 | 1,307 |
| Summit Hotel Properties Inc. | 88,041 | 1,307 |
| Chesapeake Lodging Trust | 50,835 | 1,301 |
| * LendingTree Inc. | 5,502 | 1,271 |
| Select Income REIT | 54,496 | 1,265 |
9
| | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| First Financial Bancorp | 52,740 | 1,263 |
| Northwest Bancshares Inc. | 81,197 | 1,253 |
| Global Net Lease Inc. | 57,502 | 1,245 |
| Horace Mann Educators Corp. | 35,084 | 1,233 |
| NBT Bancorp Inc. | 36,559 | 1,200 |
| HFF Inc. Class A | 31,440 | 1,199 |
| CareTrust REIT Inc. | 61,925 | 1,195 |
| * Pacific Premier Bancorp Inc. | 33,593 | 1,189 |
| Artisan Partners Asset Management Inc. Class A | 38,493 | 1,182 |
| ^ CBL & Associates Properties Inc. | 145,842 | 1,167 |
| Union Bankshares Corp. | 37,008 | 1,159 |
| WSFS Financial Corp. | 25,904 | 1,158 |
| * Walker & Dunlop Inc. | 23,980 | 1,156 |
| CYS Investments Inc. | 131,181 | 1,153 |
| Employers Holdings Inc. | 27,238 | 1,148 |
| CenterState Banks Inc. | 46,597 | 1,140 |
| * PRA Group Inc. | 39,400 | 1,139 |
| Westamerica Bancorporation | 21,835 | 1,126 |
| * Quality Care Properties Inc. | 81,276 | 1,115 |
| Agree Realty Corp. | 22,038 | 1,105 |
| Park National Corp. | 11,435 | 1,104 |
| Redwood Trust Inc. | 65,789 | 1,097 |
| * MBIA Inc. | 108,411 | 1,091 |
| S&T Bancorp Inc. | 29,717 | 1,068 |
| Boston Private Financial Holdings Inc. | 72,104 | 1,060 |
| First Commonwealth Financial Corp. | 83,653 | 1,055 |
| Kearny Financial Corp. | 73,450 | 1,039 |
| Berkshire Hills Bancorp Inc. | 30,710 | 1,038 |
| * Cardtronics plc Class A | 39,399 | 1,024 |
| Navigators Group Inc. | 17,798 | 993 |
| PennyMac Mortgage Investment Trust | 57,139 | 988 |
| Hannon Armstrong Sustainable Infrastructure Capital Inc. | 42,364 | 983 |
| Monmouth Real Estate Investment Corp. | 60,247 | 979 |
| Heartland Financial USA Inc. | 21,235 | 966 |
| EVERTEC Inc. | 52,257 | 962 |
| Moelis & Co. Class A | 24,355 | 960 |
| Tompkins Financial Corp. | 12,494 | 949 |
| First Busey Corp. | 32,769 | 945 |
| Capital Bank Financial Corp. | 25,136 | 945 |
| * Third Point Reinsurance Ltd. | 66,379 | 933 |
| RE/MAX Holdings Inc. Class A | 15,220 | 932 |
| Brookline Bancorp Inc. | 64,917 | 932 |
| * FNFV Group | 54,526 | 919 |
| WisdomTree Investments Inc. | 99,746 | 915 |
| AmTrust Financial Services Inc. | 73,736 | 914 |
| Lakeland Financial Corp. | 20,885 | 908 |
| Safety Insurance Group Inc. | 12,616 | 901 |
| Ramco-Gershenson Properties Trust | 68,138 | 896 |
| Beneficial Bancorp Inc. | 59,880 | 895 |
| Franklin Street Properties Corp. | 89,700 | 894 |
| AMERISAFE Inc. | 16,337 | 879 |
| State Bank Financial Corp. | 32,434 | 871 |
| National Storage Affiliates Trust | 38,363 | 856 |
| * First BanCorp | 150,334 | 854 |
| Independent Bank Group Inc. | 15,266 | 850 |
| Ladder Capital Corp. Class A | 61,123 | 839 |
| * Encore Capital Group Inc. | 20,742 | 837 |
| ARMOUR Residential REIT Inc. | 31,627 | 835 |
| Universal Health Realty Income Trust | 11,000 | 833 |
| Parkway Inc. | 36,251 | 832 |
| City Holding Co. | 13,105 | 830 |
| InfraREIT Inc. | 36,789 | 827 |
| Infinity Property & Casualty Corp. | 9,319 | 824 |
| FelCor Lodging Trust Inc. | 111,580 | 815 |
10
| | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Nelnet Inc. Class A | 16,912 | 802 |
| Capstead Mortgage Corp. | 82,660 | 799 |
| * Seacoast Banking Corp. of Florida | 34,547 | 790 |
| Sandy Spring Bancorp Inc. | 20,376 | 786 |
| * St. Joe Co. | 41,663 | 785 |
| Southside Bancshares Inc. | 23,938 | 782 |
| First Interstate BancSystem Inc. Class A | 22,193 | 781 |
| United Fire Group Inc. | 18,542 | 780 |
| Alexander's Inc. | 1,843 | 772 |
| Tier REIT Inc. | 41,384 | 762 |
| MTGE Investment Corp. | 39,661 | 761 |
| ^ Seritage Growth Properties Class A | 15,829 | 761 |
| United Financial Bancorp Inc. | 43,729 | 757 |
| Central Pacific Financial Corp. | 25,794 | 748 |
| Enterprise Financial Services Corp. | 19,479 | 744 |
| BancFirst Corp. | 14,512 | 731 |
| Meridian Bancorp Inc. | 41,427 | 729 |
| National General Holdings Corp. | 42,426 | 728 |
| Hanmi Financial Corp. | 27,259 | 728 |
| Lakeland Bancorp Inc. | 38,775 | 717 |
| * Ambac Financial Group Inc. | 39,259 | 714 |
| Banco Latinoamericano de Comercio Exterior SA | 26,193 | 706 |
| * iStar Inc. | 60,337 | 701 |
| MainSource Financial Group Inc. | 21,353 | 699 |
| Cohen & Steers Inc. | 18,447 | 698 |
| Banc of California Inc. | 37,575 | 697 |
| Houlihan Lokey Inc. Class A | 19,200 | 692 |
| National Bank Holdings Corp. Class A | 21,501 | 692 |
| Piper Jaffray Cos. | 12,437 | 690 |
| * Customers Bancorp Inc. | 24,369 | 687 |
| OceanFirst Financial Corp. | 27,242 | 680 |
| OM Asset Management plc | 47,783 | 675 |
| Heritage Financial Corp. | 25,427 | 665 |
| Chatham Lodging Trust | 32,779 | 665 |
| Washington Trust Bancorp Inc. | 12,960 | 664 |
| Investors Real Estate Trust | 105,667 | 664 |
| Stewart Information Services Corp. | 18,222 | 657 |
| New Senior Investment Group Inc. | 71,205 | 657 |
| Stock Yards Bancorp Inc. | 18,874 | 657 |
| Flushing Financial Corp. | 23,998 | 656 |
| First Bancorp | 21,162 | 655 |
| Univest Corp. of Pennsylvania | 22,428 | 654 |
| National Western Life Group Inc. Class A | 1,952 | 653 |
| Getty Realty Corp. | 23,685 | 653 |
| 1st Source Corp. | 13,926 | 650 |
| * HomeStreet Inc. | 25,054 | 633 |
| TrustCo Bank Corp. NY | 79,927 | 631 |
| TriCo Bancshares | 17,662 | 628 |
| * Forestar Group Inc. | 36,346 | 625 |
| Hersha Hospitality Trust Class A | 33,625 | 623 |
| James River Group Holdings Ltd. | 15,563 | 621 |
| Independence Realty Trust Inc. | 60,123 | 619 |
| Virtus Investment Partners Inc. | 5,808 | 616 |
| * Flagstar Bancorp Inc. | 18,436 | 605 |
| PJT Partners Inc. | 15,637 | 605 |
| ^ New York Mortgage Trust Inc. | 96,551 | 604 |
| Preferred Bank | 11,229 | 604 |
| Northfield Bancorp Inc. | 37,213 | 599 |
| German American Bancorp Inc. | 18,315 | 596 |
| ConnectOne Bancorp Inc. | 26,107 | 595 |
| Pennsylvania REIT | 59,307 | 595 |
| Bryn Mawr Bank Corp. | 14,469 | 592 |
| Universal Insurance Holdings Inc. | 27,399 | 588 |
| Saul Centers Inc. | 9,683 | 587 |
11
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | NorthStar Realty Europe Corp. | 47,191 | 587 |
| | Stonegate Bank | 12,098 | 583 |
| | FBL Financial Group Inc. Class A | 8,549 | 581 |
| * | Greenlight Capital Re Ltd. Class A | 26,080 | 580 |
| | Cass Information Systems Inc. | 9,413 | 576 |
| | Investment Technology Group Inc. | 28,428 | 571 |
| | Community Trust Bancorp Inc. | 13,307 | 566 |
| | CoBiz Financial Inc. | 32,906 | 561 |
| | First Potomac Realty Trust | 50,393 | 561 |
| | Easterly Government Properties Inc. | 27,753 | 557 |
| | Oritani Financial Corp. | 34,106 | 547 |
| | Meta Financial Group Inc. | 7,745 | 544 |
| | First of Long Island Corp. | 20,184 | 540 |
| | Diamond Hill Investment Group Inc. | 2,747 | 539 |
| * | NMI Holdings Inc. Class A | 49,244 | 534 |
| | Urstadt Biddle Properties Inc. Class A | 25,716 | 532 |
| | State National Cos. Inc. | 25,477 | 529 |
| | Guaranty Bancorp | 20,283 | 523 |
| | Altisource Residential Corp. | 42,983 | 521 |
| | Armada Hoffler Properties Inc. | 38,825 | 519 |
| | Dime Community Bancshares Inc. | 27,392 | 519 |
| | Federal Agricultural Mortgage Corp. | 7,619 | 519 |
| | Camden National Corp. | 13,212 | 515 |
| * | CU Bancorp | 14,277 | 509 |
| | Park Sterling Corp. | 44,553 | 507 |
| | Bridge Bancorp Inc. | 16,281 | 503 |
| | Anworth Mortgage Asset Corp. | 82,163 | 498 |
| * | Donnelley Financial Solutions Inc. | 22,813 | 488 |
| | Horizon Bancorp | 18,401 | 482 |
| | Preferred Apartment Communities Inc. Class A | 26,459 | 481 |
| | Kinsale Capital Group Inc. | 12,497 | 473 |
| | Great Southern Bancorp Inc. | 9,392 | 468 |
| * | INTL. FCStone Inc. | 13,093 | 465 |
| | Gladstone Commercial Corp. | 21,612 | 462 |
| | AG Mortgage Investment Trust Inc. | 23,897 | 460 |
| | QCR Holdings Inc. | 10,477 | 458 |
| | Maiden Holdings Ltd. | 61,991 | 449 |
| | Pacific Continental Corp. | 18,743 | 445 |
| | Peapack Gladstone Financial Corp. | 14,499 | 442 |
| | Peoples Bancorp Inc. | 14,169 | 440 |
| * | Nationstar Mortgage Holdings Inc. | 25,288 | 435 |
| | Westwood Holdings Group Inc. | 7,024 | 429 |
| ^,* | Trupanion Inc. | 19,411 | 425 |
| * | Everi Holdings Inc. | 55,041 | 424 |
| | Carolina Financial Corp. | 12,435 | 423 |
| | Mercantile Bank Corp. | 13,919 | 423 |
| * | Nicolet Bankshares Inc. | 7,725 | 422 |
| | First Defiance Financial Corp. | 8,577 | 420 |
| | Heritage Commerce Corp. | 31,266 | 419 |
| | Ashford Hospitality Trust Inc. | 66,590 | 414 |
| * | First Foundation Inc. | 24,352 | 413 |
| | Fidelity Southern Corp. | 18,804 | 411 |
| | Midland States Bancorp Inc. | 13,239 | 404 |
| * | TriState Capital Holdings Inc. | 19,310 | 404 |
| * | Opus Bank | 17,940 | 402 |
| | Whitestone REIT | 31,962 | 401 |
| | First Financial Corp. | 9,142 | 397 |
| * | MoneyGram International Inc. | 25,144 | 396 |
| * | EZCORP Inc. Class A | 43,194 | 391 |
| | Waterstone Financial Inc. | 22,069 | 390 |
| | CatchMark Timber Trust Inc. Class A | 33,719 | 389 |
| | Southwest Bancorp Inc. | 15,281 | 386 |
| | Blue Hills Bancorp Inc. | 20,597 | 385 |
| | United Community Financial Corp. | 42,351 | 385 |
12
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| ^ | Virtu Financial Inc. Class A | 21,324 | 383 |
| | UMH Properties Inc. | 24,169 | 382 |
| | Live Oak Bancshares Inc. | 17,089 | 382 |
| * | World Acceptance Corp. | 5,095 | 381 |
| * | Triumph Bancorp Inc. | 13,266 | 374 |
| | Western Asset Mortgage Capital Corp. | 35,459 | 373 |
| | First Community Bancshares Inc. | 14,367 | 370 |
| * | Green Bancorp Inc. | 18,421 | 369 |
| * | Marcus & Millichap Inc. | 13,884 | 366 |
| * | Cowen Inc. Class A | 22,409 | 364 |
| | Cedar Realty Trust Inc. | 71,873 | 362 |
| ^,* | National Commerce Corp. | 9,089 | 361 |
| | Independent Bank Corp. | 17,576 | 359 |
| | Greenhill & Co. Inc. | 23,684 | 356 |
| ^,* | Republic First Bancorp Inc. | 42,101 | 356 |
| | NexPoint Residential Trust Inc. | 14,922 | 348 |
| | Bar Harbor Bankshares | 13,000 | 341 |
| * | Enova International Inc. | 28,570 | 340 |
| | State Auto Financial Corp. | 13,739 | 340 |
| | Bank of Marin Bancorp | 5,184 | 339 |
| * | Allegiance Bancshares Inc. | 9,896 | 337 |
| | CorEnergy Infrastructure Trust Inc. | 10,304 | 336 |
| | Bank Mutual Corp. | 36,679 | 336 |
| * | HomeTrust Bancshares Inc. | 14,413 | 334 |
| * | Bancorp Inc. | 42,550 | 334 |
| * | Franklin Financial Network Inc. | 10,178 | 333 |
| | Access National Corp. | 12,842 | 330 |
| | City Office REIT Inc. | 25,765 | 330 |
| * | eHealth Inc. | 13,463 | 327 |
| | Financial Institutions Inc. | 12,011 | 327 |
| * | Veritex Holdings Inc. | 12,370 | 327 |
| | OFG Bancorp | 37,427 | 326 |
| * | Health Insurance Innovations Inc. Class A | 9,620 | 324 |
| * | Atlantic Capital Bancshares Inc. | 18,033 | 324 |
| | Arrow Financial Corp. | 9,952 | 321 |
| | People's Utah Bancorp | 11,690 | 320 |
| | OneBeacon Insurance Group Ltd. Class A | 17,406 | 317 |
| | MidWestOne Financial Group Inc. | 9,643 | 317 |
| * | Equity Bancshares Inc. Class A | 9,222 | 315 |
| | RMR Group Inc. Class A | 6,073 | 314 |
| * | PICO Holdings Inc. | 19,206 | 312 |
| ^ | Fidelity & Guaranty Life | 9,883 | 309 |
| | CNB Financial Corp. | 12,765 | 308 |
| | Ares Commercial Real Estate Corp. | 23,268 | 307 |
| * | Citizens Inc. Class A | 40,313 | 304 |
| | One Liberty Properties Inc. | 12,562 | 302 |
| | First Connecticut Bancorp Inc. | 12,186 | 302 |
| | First Mid-Illinois Bancshares Inc. | 8,688 | 301 |
| | West Bancorporation Inc. | 13,723 | 301 |
| | Farmers National Banc Corp. | 21,777 | 298 |
| | Republic Bancorp Inc. Class A | 8,318 | 296 |
| * | Global Indemnity Ltd. | 7,154 | 289 |
| | Community Healthcare Trust Inc. | 10,855 | 288 |
| | Dynex Capital Inc. | 40,135 | 287 |
| | Old Second Bancorp Inc. | 25,001 | 286 |
| | MedEquities Realty Trust Inc. | 24,945 | 286 |
| | NewStar Financial Inc. | 26,665 | 286 |
| | WashingtonFirst Bankshares Inc. | 8,419 | 285 |
| | Hamilton Lane Inc. Class A | 11,919 | 279 |
| ^ | Orchid Island Capital Inc. | 28,884 | 279 |
| | Clifton Bancorp Inc. | 17,704 | 279 |
| | Resource Capital Corp. | 26,189 | 271 |
| ^,* | Ocwen Financial Corp. | 91,490 | 268 |
| | Sierra Bancorp | 10,582 | 268 |
13
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | HCI Group Inc. | 6,857 | 267 |
| | Southern National Bancorp of Virginia Inc. | 15,915 | 267 |
| * | PCSB Financial Corp. | 15,623 | 264 |
| | Enterprise Bancorp Inc. | 8,183 | 262 |
| | American National Bankshares Inc. | 7,057 | 258 |
| * | Tejon Ranch Co. | 12,888 | 257 |
| ^ | Arlington Asset Investment Corp. Class A | 19,862 | 257 |
| | Heritage Insurance Holdings Inc. | 22,483 | 256 |
| * | FRP Holdings Inc. | 5,679 | 249 |
| | Peoples Financial Services Corp. | 5,923 | 246 |
| ^ | Farmland Partners Inc. | 27,707 | 245 |
| | Farmers Capital Bank Corp. | 6,365 | 238 |
| ^,*,2 | Wins Finance Holdings Inc. | 1,162 | 238 |
| | Western New England Bancorp Inc. | 23,910 | 238 |
| * | PennyMac Financial Services Inc. Class A | 13,736 | 233 |
| | United Insurance Holdings Corp. | 14,748 | 232 |
| | National Bankshares Inc. | 5,857 | 231 |
| | First Bancorp Inc. | 8,818 | 230 |
| | Citizens & Northern Corp. | 10,143 | 228 |
| * | Ladenburg Thalmann Financial Services Inc. | 87,940 | 226 |
| | Sutherland Asset Management Corp. | 14,692 | 224 |
| | Investors Title Co. | 1,264 | 222 |
| | Ashford Hospitality Prime Inc. | 23,044 | 222 |
| ^,* | Altisource Portfolio Solutions SA | 9,717 | 221 |
| | Sun Bancorp Inc. | 9,288 | 217 |
| | Macatawa Bank Corp. | 22,468 | 215 |
| * | Safeguard Scientifics Inc. | 17,541 | 214 |
| | EMC Insurance Group Inc. | 7,574 | 211 |
| * | WMIH Corp. | 167,447 | 209 |
| ^,* | Farmers & Merchants Bancorp Inc. | 3,124 | 209 |
| | Hingham Institution for Savings | 1,122 | 206 |
| ^,* | On Deck Capital Inc. | 42,662 | 206 |
| | Summit Financial Group Inc. | 9,393 | 206 |
| ^ | First Bancshares Inc. | 7,291 | 206 |
| * | BSB Bancorp Inc. | 7,213 | 206 |
| | Home Bancorp Inc. | 5,083 | 205 |
| | Bluerock Residential Growth REIT Inc. Class A | 19,978 | 202 |
| | Old Line Bancshares Inc. | 7,346 | 202 |
| | Territorial Bancorp Inc. | 6,655 | 201 |
| | Ames National Corp. | 7,395 | 200 |
| | BankFinancial Corp. | 12,479 | 200 |
| * | FB Financial Corp. | 5,740 | 199 |
| | Capital City Bank Group Inc. | 9,567 | 198 |
| * | Southern First Bancshares Inc. | 5,597 | 198 |
| | GAIN Capital Holdings Inc. | 31,309 | 197 |
| | B. Riley Financial Inc. | 11,813 | 194 |
| | Great Ajax Corp. | 13,651 | 194 |
| * | Regional Management Corp. | 8,813 | 193 |
| * | HarborOne Bancorp Inc. | 11,228 | 193 |
| * | Paragon Commercial Corp. | 3,631 | 188 |
| | Consolidated-Tomoka Land Co. | 3,398 | 188 |
| | Cherry Hill Mortgage Investment Corp. | 10,140 | 187 |
| | KKR Real Estate Finance Trust Inc. | 9,020 | 187 |
| | MutualFirst Financial Inc. | 5,296 | 186 |
| | Bear State Financial Inc. | 17,976 | 185 |
| | Shore Bancshares Inc. | 10,800 | 178 |
| | Baldwin & Lyons Inc. | 8,048 | 176 |
| | Bankwell Financial Group Inc. | 5,189 | 176 |
| | Codorus Valley Bancorp Inc. | 7,021 | 176 |
| | Northrim BanCorp Inc. | 5,863 | 175 |
| | Charter Financial Corp. | 10,645 | 173 |
| | Civista Bancshares Inc. | 8,525 | 172 |
| | Penns Woods Bancorp Inc. | 3,988 | 171 |
| | Federated National Holding Co. | 10,927 | 170 |
14
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | First Internet Bancorp | 5,327 | 169 |
| | Central Valley Community Bancorp | 8,560 | 168 |
| | Century Bancorp Inc. Class A | 2,519 | 168 |
| | Southern Missouri Bancorp Inc. | 5,096 | 165 |
| | Evans Bancorp Inc. | 3,974 | 164 |
| * | AV Homes Inc. | 10,511 | 162 |
| * | Cadence BanCorp | 7,635 | 159 |
| | Orrstown Financial Services Inc. | 6,416 | 157 |
| | MBT Financial Corp. | 15,384 | 156 |
| | Jernigan Capital Inc. | 7,983 | 155 |
| * | Community Bankers Trust Corp. | 18,439 | 155 |
| | Investar Holding Corp. | 7,025 | 155 |
| | Premier Financial Bancorp Inc. | 8,131 | 154 |
| * | Atlas Financial Holdings Inc. | 9,117 | 154 |
| | Owens Realty Mortgage Inc. | 8,749 | 152 |
| | First Business Financial Services Inc. | 7,111 | 152 |
| | Stratus Properties Inc. | 5,103 | 151 |
| * | Howard Bancorp Inc. | 7,568 | 149 |
| | Associated Capital Group Inc. Class A | 4,338 | 149 |
| | Timberland Bancorp Inc. | 5,349 | 148 |
| * | NI Holdings Inc. | 8,831 | 146 |
| ^ | Union Bankshares Inc. | 3,374 | 146 |
| ^ | Clipper Realty Inc. | 13,045 | 146 |
| | Pzena Investment Management Inc. Class A | 14,638 | 145 |
| | Norwood Financial Corp. | 3,290 | 145 |
| * | Planet Payment Inc. | 36,515 | 145 |
| ^ | Commerce Union Bancshares Inc. | 5,952 | 143 |
| * | SmartFinancial Inc. | 6,151 | 142 |
| | SI Financial Group Inc. | 9,700 | 142 |
| | LCNB Corp. | 7,672 | 142 |
| | Bank of Commerce Holdings | 13,330 | 141 |
| * | First Northwest Bancorp | 8,704 | 138 |
| | Oppenheimer Holdings Inc. Class A | 8,466 | 138 |
| * | Sunshine Bancorp Inc. | 6,331 | 137 |
| | FNB Bancorp | 4,553 | 136 |
| | Tiptree Inc. | 21,200 | 136 |
| | Northeast Bancorp | 6,236 | 135 |
| | ACNB Corp. | 5,148 | 135 |
| | Riverview Bancorp Inc. | 16,549 | 133 |
| | C&F Financial Corp. | 2,825 | 132 |
| * | Malvern Bancorp Inc. | 5,510 | 131 |
| * | Capstar Financial Holdings Inc. | 7,468 | 129 |
| | Prudential Bancorp Inc. | 6,977 | 129 |
| | Independence Holding Co. | 5,927 | 129 |
| | Xenith Bankshares Inc. | 4,428 | 127 |
| * | Entegra Financial Corp. | 5,425 | 126 |
| | County Bancorp Inc. | 4,059 | 122 |
| ^,* | Impac Mortgage Holdings Inc. | 9,140 | 121 |
| * | Hallmark Financial Services Inc. | 11,725 | 120 |
| | Community Financial Corp. | 3,406 | 119 |
| ^ | Kingstone Cos. Inc. | 7,783 | 117 |
| | Donegal Group Inc. Class A | 7,608 | 117 |
| | ESSA Bancorp Inc. | 7,662 | 116 |
| | Ohio Valley Banc Corp. | 3,508 | 115 |
| | GAMCO Investors Inc. Class A | 3,914 | 115 |
| | Unity Bancorp Inc. | 6,627 | 115 |
| | First Financial Northwest Inc. | 7,186 | 115 |
| * | Pacific Mercantile Bancorp | 13,413 | 114 |
| | Two River Bancorp | 6,190 | 113 |
| | Chemung Financial Corp. | 2,765 | 112 |
| | Peoples Bancorp of North Carolina Inc. | 3,637 | 110 |
| | Global Medical REIT Inc. | 12,862 | 109 |
| * | Trinity Place Holdings Inc. | 15,711 | 109 |
| * | ASB Bancorp Inc. | 2,414 | 107 |
15
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Ellington Residential Mortgage REIT | 7,219 | 106 |
| | United Security Bancshares | 11,201 | 104 |
| | Crawford & Co. Class B | 10,350 | 103 |
| | Provident Financial Holdings Inc. | 5,340 | 101 |
| | Middlefield Banc Corp. | 2,250 | 101 |
| | Old Point Financial Corp. | 3,109 | 96 |
| | Blue Capital Reinsurance Holdings Ltd. | 5,075 | 95 |
| | Parke Bancorp Inc. | 4,889 | 95 |
| | BCB Bancorp Inc. | 6,617 | 94 |
| | MidSouth Bancorp Inc. | 7,650 | 91 |
| | First Guaranty Bancshares Inc. | 3,355 | 88 |
| | DNB Financial Corp. | 2,675 | 87 |
| * | Elevate Credit Inc. | 12,358 | 78 |
| * | Provident Bancorp Inc. | 3,801 | 78 |
| | Silvercrest Asset Management Group Inc. Class A | 6,186 | 76 |
| * | Maui Land & Pineapple Co. Inc. | 5,775 | 74 |
| | RAIT Financial Trust | 79,749 | 66 |
| | Greene County Bancorp Inc. | 2,538 | 59 |
| | Guaranty Bancshares Inc. | 1,729 | 52 |
| | California First National Bancorp | 1,874 | 30 |
| | Oconee Federal Financial Corp. | 1,074 | 30 |
| | Medley Management Inc. Class A | 4,665 | 29 |
| | Fifth Street Asset Management Inc. | 6,111 | 25 |
| ^,* | Transcontinental Realty Investors Inc. | 1,063 | 23 |
| | Griffin Industrial Realty Inc. | 598 | 21 |
| ^ | CPI Card Group Inc. | 17,671 | 17 |
| | Value Line Inc. | 959 | 15 |
| * | Redfin Corp. | 525 | 12 |
| | | | 429,535 |
| Health Care (15.6%) | | |
| * | Kite Pharma Inc. | 42,045 | 7,484 |
| * | Bluebird Bio Inc. | 38,646 | 4,825 |
| * | Catalent Inc. | 108,225 | 4,469 |
| * | Exact Sciences Corp. | 94,458 | 3,957 |
| * | PAREXEL International Corp. | 43,356 | 3,811 |
| * | Medidata Solutions Inc. | 48,492 | 3,635 |
| | HealthSouth Corp. | 77,216 | 3,533 |
| * | Masimo Corp. | 38,758 | 3,270 |
| * | PRA Health Sciences Inc. | 42,088 | 3,258 |
| * | Insulet Corp. | 49,925 | 2,899 |
| * | Clovis Oncology Inc. | 37,330 | 2,840 |
| * | INC Research Holdings Inc. Class A | 47,000 | 2,759 |
| * | FibroGen Inc. | 57,088 | 2,752 |
| * | NuVasive Inc. | 43,740 | 2,733 |
| * | Portola Pharmaceuticals Inc. | 42,647 | 2,706 |
| * | Integra LifeSciences Holdings Corp. | 53,057 | 2,705 |
| * | Nektar Therapeutics Class A | 127,313 | 2,677 |
| | Chemed Corp. | 13,548 | 2,673 |
| * | Wright Medical Group NV | 89,991 | 2,664 |
| * | LivaNova plc | 41,799 | 2,616 |
| | Cantel Medical Corp. | 31,228 | 2,537 |
| * | Sage Therapeutics Inc. | 29,673 | 2,441 |
| * | Molina Healthcare Inc. | 37,856 | 2,423 |
| * | Prestige Brands Holdings Inc. | 45,820 | 2,324 |
| * | Puma Biotechnology Inc. | 24,708 | 2,285 |
| * | Ligand Pharmaceuticals Inc. | 17,555 | 2,262 |
| * | ICU Medical Inc. | 12,940 | 2,256 |
| * | Neogen Corp. | 31,888 | 2,197 |
| * | Medicines Co. | 59,218 | 2,173 |
| * | Penumbra Inc. | 25,178 | 2,165 |
| * | Sarepta Therapeutics Inc. | 52,890 | 2,131 |
| * | WebMD Health Corp. | 31,778 | 2,111 |
| * | Nevro Corp. | 23,783 | 2,050 |
| * | Allscripts Healthcare Solutions Inc. | 155,755 | 2,047 |
16
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Prothena Corp. plc | 32,888 | 2,021 |
| * | Avexis Inc. | 21,195 | 1,979 |
| * | Haemonetics Corp. | 45,029 | 1,937 |
| * | Ultragenyx Pharmaceutical Inc. | 33,935 | 1,936 |
| * | Horizon Pharma plc | 140,043 | 1,916 |
| * | Spark Therapeutics Inc. | 23,012 | 1,895 |
| * | Supernus Pharmaceuticals Inc. | 40,644 | 1,861 |
| * | Ironwood Pharmaceuticals Inc. Class A | 115,323 | 1,839 |
| * | Globus Medical Inc. | 60,675 | 1,834 |
| * | HealthEquity Inc. | 42,842 | 1,832 |
| * | Halyard Health Inc. | 40,123 | 1,817 |
| * | Blueprint Medicines Corp. | 33,325 | 1,807 |
| * | Merit Medical Systems Inc. | 41,772 | 1,725 |
| * | Amicus Therapeutics Inc. | 122,941 | 1,714 |
| * | Select Medical Holdings Corp. | 92,000 | 1,711 |
| * | Myriad Genetics Inc. | 55,503 | 1,692 |
| * | Magellan Health Inc. | 20,381 | 1,649 |
| * | Omnicell Inc. | 31,494 | 1,616 |
| * | NxStage Medical Inc. | 56,129 | 1,572 |
| * | Teladoc Inc. | 46,228 | 1,551 |
| * | AMN Healthcare Services Inc. | 40,496 | 1,513 |
| * | Aerie Pharmaceuticals Inc. | 26,054 | 1,494 |
| * | Cambrex Corp. | 28,075 | 1,463 |
| | Owens & Minor Inc. | 52,165 | 1,457 |
| * | MiMedx Group Inc. | 88,694 | 1,443 |
| * | Array BioPharma Inc. | 148,011 | 1,433 |
| * | Loxo Oncology Inc. | 17,169 | 1,432 |
| * | Inogen Inc. | 14,606 | 1,399 |
| * | Impax Laboratories Inc. | 63,452 | 1,374 |
| * | Corcept Therapeutics Inc. | 78,761 | 1,313 |
| * | Repligen Corp. | 29,590 | 1,292 |
| * | Pacira Pharmaceuticals Inc. | 33,690 | 1,284 |
| * | Amedisys Inc. | 24,471 | 1,278 |
| * | HMS Holdings Corp. | 71,888 | 1,274 |
| * | Tivity Health Inc. | 31,567 | 1,237 |
| * | Integer Holdings Corp. | 26,798 | 1,231 |
| * | Halozyme Therapeutics Inc. | 93,403 | 1,215 |
| ^,* | Radius Health Inc. | 31,860 | 1,199 |
| ^,* | Tenet Healthcare Corp. | 69,638 | 1,196 |
| ^,* | Theravance Biopharma Inc. | 35,786 | 1,169 |
| | CONMED Corp. | 23,500 | 1,166 |
| * | Cotiviti Holdings Inc. | 31,672 | 1,132 |
| ^,* | Immunomedics Inc. | 88,318 | 1,116 |
| * | Emergent BioSolutions Inc. | 28,941 | 1,080 |
| * | Acceleron Pharma Inc. | 27,698 | 1,074 |
| * | Momenta Pharmaceuticals Inc. | 63,449 | 1,069 |
| * | Novocure Ltd. | 49,915 | 1,023 |
| * | OraSure Technologies Inc. | 48,891 | 998 |
| * | Varex Imaging Corp. | 32,573 | 994 |
| * | Global Blood Therapeutics Inc. | 31,907 | 970 |
| * | Natus Medical Inc. | 28,025 | 942 |
| * | Glaukos Corp. | 24,756 | 935 |
| * | Innoviva Inc. | 65,540 | 920 |
| * | BioTelemetry Inc. | 24,283 | 902 |
| * | LHC Group Inc. | 13,606 | 888 |
| | Abaxis Inc. | 18,728 | 866 |
| | Ensign Group Inc. | 41,045 | 843 |
| * | Quidel Corp. | 23,971 | 838 |
| * | Sangamo Therapeutics Inc. | 61,676 | 823 |
| * | K2M Group Holdings Inc. | 35,054 | 820 |
| * | Cardiovascular Systems Inc. | 27,591 | 810 |
| ^,* | TherapeuticsMD Inc. | 134,913 | 809 |
| * | Retrophin Inc. | 33,018 | 806 |
| * | Five Prime Therapeutics Inc. | 23,492 | 797 |
17
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Acorda Therapeutics Inc. | 37,436 | 779 |
| * | Dermira Inc. | 32,933 | 777 |
| | Analogic Corp. | 10,845 | 776 |
| * | Dynavax Technologies Corp. | 42,423 | 761 |
| * | PharMerica Corp. | 25,737 | 757 |
| | Atrion Corp. | 1,207 | 751 |
| ^,* | Omeros Corp. | 35,986 | 737 |
| * | Orthofix International NV | 14,880 | 732 |
| ^,* | ZIOPHARM Oncology Inc. | 113,523 | 725 |
| * | Quality Systems Inc. | 45,156 | 711 |
| * | Xencor Inc. | 32,891 | 711 |
| * | Intersect ENT Inc. | 22,446 | 694 |
| | Luminex Corp. | 35,258 | 682 |
| * | Anika Therapeutics Inc. | 12,424 | 667 |
| * | Spectrum Pharmaceuticals Inc. | 67,285 | 657 |
| * | Vanda Pharmaceuticals Inc. | 38,024 | 654 |
| * | Insmed Inc. | 52,645 | 654 |
| ^,* | Aimmune Therapeutics Inc. | 30,395 | 653 |
| * | Heron Therapeutics Inc. | 39,247 | 648 |
| * | MyoKardia Inc. | 14,931 | 647 |
| * | Arena Pharmaceuticals Inc. | 27,681 | 642 |
| * | Esperion Therapeutics Inc. | 12,897 | 637 |
| * | Community Health Systems Inc. | 82,263 | 628 |
| | US Physical Therapy Inc. | 10,469 | 627 |
| * | Epizyme Inc. | 35,655 | 619 |
| * | Editas Medicine Inc. | 29,212 | 617 |
| ^,* | Flexion Therapeutics Inc. | 23,949 | 615 |
| * | AtriCure Inc. | 27,431 | 615 |
| ^,* | ImmunoGen Inc. | 72,713 | 608 |
| | National HealthCare Corp. | 9,689 | 604 |
| * | PTC Therapeutics Inc. | 28,814 | 598 |
| | Kindred Healthcare Inc. | 72,549 | 588 |
| ^,* | Synergy Pharmaceuticals Inc. | 195,986 | 584 |
| | Phibro Animal Health Corp. Class A | 16,366 | 581 |
| * | CryoLife Inc. | 27,762 | 577 |
| * | Enanta Pharmaceuticals Inc. | 13,403 | 574 |
| * | Paratek Pharmaceuticals Inc. | 20,369 | 574 |
| * | iRhythm Technologies Inc. | 11,919 | 569 |
| * | Heska Corp. | 5,569 | 566 |
| * | Lexicon Pharmaceuticals Inc. | 37,221 | 564 |
| * | MacroGenics Inc. | 28,745 | 544 |
| * | REGENXBIO Inc. | 23,780 | 541 |
| * | Genomic Health Inc. | 17,053 | 541 |
| * | Intra-Cellular Therapies Inc. Class A | 29,197 | 539 |
| * | Almost Family Inc. | 11,042 | 538 |
| * | AngioDynamics Inc. | 31,554 | 537 |
| * | Versartis Inc. | 28,168 | 535 |
| * | Akebia Therapeutics Inc. | 31,861 | 533 |
| * | Cytokinetics Inc. | 35,881 | 533 |
| ^,* | TG Therapeutics Inc. | 41,942 | 533 |
| ^,* | Accelerate Diagnostics Inc. | 22,518 | 518 |
| * | Axovant Sciences Ltd. | 25,843 | 517 |
| * | Achillion Pharmaceuticals Inc. | 101,115 | 517 |
| * | La Jolla Pharmaceutical Co. | 15,103 | 516 |
| * | Providence Service Corp. | 9,905 | 513 |
| * | Keryx Biopharmaceuticals Inc. | 70,655 | 509 |
| * | AMAG Pharmaceuticals Inc. | 30,300 | 506 |
| * | Amphastar Pharmaceuticals Inc. | 31,367 | 502 |
| | Meridian Bioscience Inc. | 36,003 | 500 |
| * | Triple-S Management Corp. Class B | 20,250 | 500 |
| * | Foundation Medicine Inc. | 12,378 | 499 |
| * | Ignyta Inc. | 43,190 | 497 |
| * | SciClone Pharmaceuticals Inc. | 44,873 | 494 |
| | Landauer Inc. | 7,856 | 487 |
18
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | NeoGenomics Inc. | 48,214 | 487 |
| * | Albany Molecular Research Inc. | 22,369 | 486 |
| * | Coherus Biosciences Inc. | 33,143 | 479 |
| * | Revance Therapeutics Inc. | 19,392 | 476 |
| ^,* | Achaogen Inc. | 25,058 | 470 |
| | LeMaitre Vascular Inc. | 12,823 | 467 |
| * | Aclaris Therapeutics Inc. | 17,417 | 452 |
| * | Calithera Biosciences Inc. | 26,470 | 434 |
| * | CytomX Therapeutics Inc. | 25,088 | 434 |
| * | PDL BioPharma Inc. | 137,341 | 428 |
| * | Aduro Biotech Inc. | 35,172 | 427 |
| ^,* | Lannett Co. Inc. | 24,325 | 427 |
| * | CorVel Corp. | 8,194 | 425 |
| * | Cutera Inc. | 11,422 | 424 |
| * | STAAR Surgical Co. | 35,349 | 422 |
| * | AxoGen Inc. | 23,591 | 415 |
| * | Progenics Pharmaceuticals Inc. | 61,108 | 411 |
| * | Enzo Biochem Inc. | 35,594 | 400 |
| ^,* | Alder Biopharmaceuticals Inc. | 40,796 | 400 |
| * | Lantheus Holdings Inc. | 22,515 | 394 |
| * | Eagle Pharmaceuticals Inc. | 7,118 | 388 |
| * | Cross Country Healthcare Inc. | 30,626 | 379 |
| * | Antares Pharma Inc. | 124,164 | 374 |
| | Invacare Corp. | 27,482 | 371 |
| * | GenMark Diagnostics Inc. | 37,953 | 370 |
| * | Pacific Biosciences of California Inc. | 72,546 | 359 |
| * | BioCryst Pharmaceuticals Inc. | 69,191 | 353 |
| * | Atara Biotherapeutics Inc. | 22,018 | 347 |
| * | Inovio Pharmaceuticals Inc. | 58,214 | 346 |
| * | Natera Inc. | 27,127 | 335 |
| * | ANI Pharmaceuticals Inc. | 6,932 | 333 |
| ^,* | Cara Therapeutics Inc. | 23,090 | 331 |
| * | Invitae Corp. | 33,632 | 330 |
| * | Assembly Biosciences Inc. | 12,112 | 328 |
| * | RadNet Inc. | 31,976 | 328 |
| * | Oxford Immunotec Global plc | 19,534 | 309 |
| * | Biohaven Pharmaceutical Holding Co. Ltd. | 8,601 | 307 |
| * | BioScrip Inc. | 100,426 | 304 |
| * | Endologix Inc. | 71,125 | 301 |
| * | Depomed Inc. | 49,320 | 300 |
| * | Karyopharm Therapeutics Inc. | 29,208 | 299 |
| * | Corbus Pharmaceuticals Holdings Inc. | 38,259 | 297 |
| * | Surmodics Inc. | 11,296 | 294 |
| * | Accuray Inc. | 70,386 | 292 |
| | Computer Programs & Systems Inc. | 9,660 | 291 |
| * | R1 RCM Inc. | 86,683 | 286 |
| * | Exactech Inc. | 9,244 | 282 |
| ^,* | Geron Corp. | 128,416 | 279 |
| * | Audentes Therapeutics Inc. | 13,180 | 277 |
| * | Abeona Therapeutics Inc. | 20,798 | 273 |
| * | Rigel Pharmaceuticals Inc. | 106,813 | 272 |
| * | Civitas Solutions Inc. | 13,890 | 265 |
| * | Adamas Pharmaceuticals Inc. | 12,655 | 265 |
| | National Research Corp. Class A | 8,184 | 264 |
| * | Capital Senior Living Corp. | 21,240 | 264 |
| * | Iovance Biotherapeutics Inc. | 45,668 | 263 |
| ^,* | Rockwell Medical Inc. | 41,432 | 262 |
| * | Tactile Systems Technology Inc. | 7,896 | 260 |
| * | Intellia Therapeutics Inc. | 12,261 | 258 |
| * | Celldex Therapeutics Inc. | 104,577 | 257 |
| * | Novavax Inc. | 243,296 | 255 |
| * | Bellicum Pharmaceuticals Inc. | 23,487 | 254 |
| * | Zogenix Inc. | 21,432 | 254 |
| * | Seres Therapeutics Inc. | 17,675 | 248 |
19
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Teligent Inc. | 35,507 | 245 |
| * | Sucampo Pharmaceuticals Inc. Class A | 20,870 | 245 |
| * | WaVe Life Sciences Ltd. | 10,268 | 241 |
| * | NanoString Technologies Inc. | 15,324 | 237 |
| * | Concert Pharmaceuticals Inc. | 15,484 | 236 |
| * | Agenus Inc. | 63,853 | 236 |
| * | BioSpecifics Technologies Corp. | 4,867 | 229 |
| * | Tetraphase Pharmaceuticals Inc. | 32,720 | 228 |
| * | Reata Pharmaceuticals Inc. Class A | 7,355 | 222 |
| * | Addus HomeCare Corp. | 6,467 | 220 |
| * | Castlight Health Inc. Class B | 55,332 | 216 |
| ^,* | Advaxis Inc. | 31,533 | 215 |
| | Utah Medical Products Inc. | 2,949 | 213 |
| * | RTI Surgical Inc. | 47,235 | 213 |
| * | Syros Pharmaceuticals Inc. | 10,802 | 211 |
| * | Cerus Corp. | 89,252 | 210 |
| * | Medpace Holdings Inc. | 6,366 | 208 |
| * | Curis Inc. | 100,163 | 204 |
| * | Aratana Therapeutics Inc. | 35,005 | 200 |
| ^,* | Collegium Pharmaceutical Inc. | 19,598 | 197 |
| * | Codexis Inc. | 35,287 | 196 |
| * | Chimerix Inc. | 40,258 | 192 |
| ^,* | BioTime Inc. | 65,342 | 191 |
| ^,* | Insys Therapeutics Inc. | 20,755 | 190 |
| * | Durect Corp. | 118,511 | 188 |
| ^,* | Entellus Medical Inc. | 10,489 | 186 |
| * | Idera Pharmaceuticals Inc. | 93,250 | 185 |
| * | Tabula Rasa HealthCare Inc. | 8,062 | 183 |
| * | Edge Therapeutics Inc. | 17,150 | 181 |
| * | Selecta Biosciences Inc. | 10,123 | 181 |
| ^,* | Organovo Holdings Inc. | 85,142 | 177 |
| * | Stemline Therapeutics Inc. | 19,513 | 177 |
| * | Catalyst Pharmaceuticals Inc. | 61,456 | 169 |
| * | Veracyte Inc. | 20,405 | 167 |
| ^,* | NantKwest Inc. | 26,399 | 164 |
| * | Pieris Pharmaceuticals Inc. | 29,514 | 163 |
| * | Immune Design Corp. | 14,738 | 160 |
| * | Surgery Partners Inc. | 16,300 | 159 |
| ^,* | Pulse Biosciences Inc. | 7,873 | 158 |
| * | FONAR Corp. | 5,247 | 155 |
| * | Athersys Inc. | 88,241 | 154 |
| * | NewLink Genetics Corp. | 18,918 | 154 |
| * | MediciNova Inc. | 28,266 | 153 |
| * | Ra Pharmaceuticals Inc. | 10,150 | 152 |
| | Merrimack Pharmaceuticals Inc. | 110,751 | 151 |
| * | Ardelyx Inc. | 28,882 | 149 |
| * | Corium International Inc. | 17,111 | 146 |
| * | ChemoCentryx Inc. | 21,062 | 146 |
| * | Sientra Inc. | 12,314 | 141 |
| ^,* | Anavex Life Sciences Corp. | 31,624 | 140 |
| * | Neos Therapeutics Inc. | 16,644 | 139 |
| * | Corindus Vascular Robotics Inc. | 72,527 | 139 |
| * | Kindred Biosciences Inc. | 18,090 | 137 |
| * | Fortress Biotech Inc. | 28,446 | 135 |
| ^,* | ViewRay Inc. | 25,297 | 133 |
| * | Protagonist Therapeutics Inc. | 8,111 | 132 |
| * | Minerva Neurosciences Inc. | 21,724 | 131 |
| * | AnaptysBio Inc. | 4,616 | 129 |
| * | ConforMIS Inc. | 34,682 | 128 |
| * | Cempra Inc. | 41,440 | 126 |
| * | Conatus Pharmaceuticals Inc. | 21,975 | 126 |
| * | Strongbridge Biopharma plc | 18,710 | 125 |
| * | Clearside Biomedical Inc. | 17,874 | 125 |
| * | Fate Therapeutics Inc. | 32,738 | 124 |
20
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Ocular Therapeutix Inc. | 19,485 | 122 |
| * | Voyager Therapeutics Inc. | 12,576 | 121 |
| * | American Renal Associates Holdings Inc. | 8,394 | 120 |
| * | Genocea Biosciences Inc. | 24,608 | 120 |
| * | Corvus Pharmaceuticals Inc. | 7,274 | 118 |
| * | Fluidigm Corp. | 25,436 | 116 |
| * | Trevena Inc. | 47,354 | 114 |
| * | Cascadian Therapeutics Inc. | 29,466 | 107 |
| ^,* | Tocagen Inc. | 7,189 | 100 |
| * | Miragen Therapeutics Inc. | 10,854 | 98 |
| * | Jounce Therapeutics Inc. | 5,730 | 97 |
| * | AAC Holdings Inc. | 9,934 | 92 |
| | Novelion Therapeutics Inc. | 12,960 | 92 |
| * | Nymox Pharmaceutical Corp. | 24,484 | 91 |
| * | Quotient Ltd. | 23,004 | 89 |
| * | Syndax Pharmaceuticals Inc. | 7,616 | 88 |
| * | Kura Oncology Inc. | 12,252 | 88 |
| * | Otonomy Inc. | 24,358 | 88 |
| ^,* | XBiotech Inc. | 16,703 | 86 |
| * | Asterias Biotherapeutics Inc. | 23,291 | 80 |
| * | Recro Pharma Inc. | 10,036 | 76 |
| ^,* | Viveve Medical Inc. | 12,889 | 73 |
| * | Obalon Therapeutics Inc. | 7,458 | 67 |
| * | VBI Vaccines Inc. | 18,648 | 67 |
| ^,* | Zynerba Pharmaceuticals Inc. | 9,812 | 62 |
| * | Matinas BioPharma Holdings Inc. | 45,371 | 58 |
| * | Madrigal Pharmaceuticals Inc. | 3,252 | 56 |
| * | NantHealth Inc. | 15,435 | 43 |
| * | Ovid therapeutics Inc. | 4,321 | 41 |
| * | Genesis Healthcare Inc. | 32,266 | 34 |
| * | vTv Therapeutics Inc. Class A | 6,095 | 33 |
| * | Oncocyte Corp. | 3,077 | 17 |
| ^,* | Synthetic Biologics Inc. | 18,702 | 14 |
| * | Athenex Inc. | 825 | 14 |
| * | Altimmune Inc. | 2,235 | 6 |
| * | Flex Pharma Inc. | 847 | 3 |
| * | Asterias Biotherapeutics Inc. Warrants Exp. 09/29/2017 | 1,281 | — |
| * | Infinity Pharmaceuticals Inc. | 300 | — |
| | | | 259,514 |
| Materials & Processing (7.0%) | | |
| * | Louisiana-Pacific Corp. | 125,355 | 3,194 |
| | Belden Inc. | 36,157 | 2,787 |
| | Sensient Technologies Corp. | 38,143 | 2,752 |
| * | Summit Materials Inc. Class A | 92,090 | 2,720 |
| | Trinseo SA | 38,227 | 2,557 |
| | PolyOne Corp. | 70,109 | 2,534 |
| * | Beacon Roofing Supply Inc. | 52,032 | 2,451 |
| * | Ingevity Corp. | 36,592 | 2,304 |
| * | RBC Bearings Inc. | 19,908 | 2,195 |
| | HB Fuller Co. | 43,405 | 2,178 |
| * | Cleveland-Cliffs Inc. | 255,907 | 2,139 |
| * | Rexnord Corp. | 89,496 | 2,137 |
| | Balchem Corp. | 27,254 | 2,043 |
| * | Allegheny Technologies Inc. | 93,976 | 1,958 |
| ^ | Compass Minerals International Inc. | 29,139 | 1,946 |
| | Minerals Technologies Inc. | 30,225 | 1,934 |
| | Worthington Industries Inc. | 38,702 | 1,934 |
| * | Trex Co. Inc. | 25,394 | 1,930 |
| | US Silica Holdings Inc. | 70,043 | 1,906 |
| | Commercial Metals Co. | 99,109 | 1,872 |
| | Hecla Mining Co. | 338,860 | 1,789 |
| * | GCP Applied Technologies Inc. | 61,677 | 1,742 |
| | KapStone Paper and Packaging Corp. | 74,682 | 1,671 |
| * | Masonite International Corp. | 25,584 | 1,619 |
21
| | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Carpenter Technology Corp. | 39,727 | 1,610 |
| Mueller Water Products Inc. Class A | 132,370 | 1,587 |
| Quaker Chemical Corp. | 11,160 | 1,554 |
| Simpson Manufacturing Co. Inc. | 35,402 | 1,550 |
| Cabot Microelectronics Corp. | 21,505 | 1,540 |
| * AK Steel Holding Corp. | 270,926 | 1,517 |
| Universal Forest Products Inc. | 17,108 | 1,492 |
| Mueller Industries Inc. | 48,525 | 1,447 |
| * Ferro Corp. | 72,387 | 1,395 |
| Kaiser Aluminum Corp. | 14,416 | 1,389 |
| * Coeur Mining Inc. | 156,590 | 1,370 |
| * Builders FirstSource Inc. | 83,633 | 1,362 |
| Greif Inc. Class A | 21,985 | 1,329 |
| Stepan Co. | 17,139 | 1,326 |
| * MRC Global Inc. | 77,287 | 1,219 |
| Tronox Ltd. Class A | 56,198 | 1,163 |
| AAON Inc. | 35,484 | 1,157 |
| * BMC Stock Holdings Inc. | 56,591 | 1,149 |
| Innospec Inc. | 20,556 | 1,141 |
| Neenah Paper Inc. | 14,247 | 1,101 |
| * Installed Building Products Inc. | 18,641 | 1,076 |
| Comfort Systems USA Inc. | 31,568 | 1,075 |
| Apogee Enterprises Inc. | 24,284 | 1,061 |
| * US Concrete Inc. | 13,166 | 1,054 |
| * Patrick Industries Inc. | 13,996 | 1,036 |
| Interface Inc. Class A | 53,300 | 1,013 |
| * Boise Cascade Co. | 33,445 | 1,003 |
| Schweitzer-Mauduit International Inc. | 26,035 | 987 |
| * Kraton Corp. | 25,911 | 851 |
| * Century Aluminum Co. | 43,106 | 841 |
| * Continental Building Products Inc. | 34,162 | 832 |
| * AdvanSix Inc. | 25,908 | 827 |
| * Gibraltar Industries Inc. | 27,452 | 803 |
| Innophos Holdings Inc. | 16,721 | 763 |
| A Schulman Inc. | 24,700 | 751 |
| Deltic Timber Corp. | 9,476 | 739 |
| * Koppers Holdings Inc. | 17,835 | 699 |
| Materion Corp. | 17,222 | 658 |
| * GMS Inc. | 20,349 | 655 |
| * Clearwater Paper Corp. | 14,010 | 651 |
| PH Glatfelter Co. | 37,147 | 643 |
| Schnitzer Steel Industries Inc. | 22,865 | 615 |
| NN Inc. | 23,408 | 597 |
| Advanced Drainage Systems Inc. | 30,530 | 594 |
| * JELD-WEN Holding Inc. | 19,448 | 594 |
| Quanex Building Products Corp. | 29,689 | 582 |
| * NCI Building Systems Inc. | 34,558 | 581 |
| Chase Corp. | 6,173 | 577 |
| * Caesarstone Ltd. | 19,608 | 568 |
| Global Brass & Copper Holdings Inc. | 18,751 | 560 |
| * PGT Innovations Inc. | 41,820 | 552 |
| Calgon Carbon Corp. | 43,703 | 533 |
| * Klondex Mines Ltd. | 151,289 | 510 |
| * TimkenSteel Corp. | 34,292 | 509 |
| Rayonier Advanced Materials Inc. | 37,061 | 508 |
| American Vanguard Corp. | 24,837 | 503 |
| Griffon Corp. | 25,331 | 470 |
| * Unifi Inc. | 13,298 | 413 |
| Kronos Worldwide Inc. | 19,595 | 410 |
| Insteel Industries Inc. | 15,724 | 394 |
| KMG Chemicals Inc. | 7,968 | 383 |
| Myers Industries Inc. | 19,990 | 376 |
| Tredegar Corp. | 22,352 | 364 |
| Haynes International Inc. | 10,729 | 328 |
22
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | OMNOVA Solutions Inc. | 37,360 | 325 |
| | Greif Inc. Class B | 4,952 | 313 |
| * | Intrepid Potash Inc. | 81,905 | 304 |
| * | Landec Corp. | 23,236 | 302 |
| * | Armstrong Flooring Inc. | 20,164 | 301 |
| * | Ply Gem Holdings Inc. | 19,167 | 298 |
| | Hawkins Inc. | 8,327 | 297 |
| | FutureFuel Corp. | 21,595 | 291 |
| * | Veritiv Corp. | 9,931 | 278 |
| | Culp Inc. | 9,371 | 272 |
| | Aceto Corp. | 25,406 | 270 |
| | Gold Resource Corp. | 45,379 | 181 |
| | Oil-Dri Corp. of America | 4,334 | 176 |
| * | Nexeo Solutions Inc. | 22,651 | 162 |
| | DMC Global Inc. | 12,218 | 158 |
| ^,* | Uranium Energy Corp. | 117,441 | 155 |
| * | Northwest Pipe Co. | 8,250 | 151 |
| * | UFP Technologies Inc. | 5,584 | 149 |
| * | Verso Corp. | 27,646 | 147 |
| * | Foundation Building Materials Inc. | 11,187 | 146 |
| | Omega Flex Inc. | 2,515 | 146 |
| | Olympic Steel Inc. | 7,945 | 145 |
| | LB Foster Co. Class A | 7,199 | 137 |
| | United States Lime & Minerals Inc. | 1,709 | 137 |
| * | AgroFresh Solutions Inc. | 19,053 | 136 |
| * | Lawson Products Inc. | 5,574 | 133 |
| | Core Molding Technologies Inc. | 6,320 | 130 |
| | Eastern Co. | 4,793 | 125 |
| | LSI Industries Inc. | 20,959 | 119 |
| * | Ryerson Holding Corp. | 13,843 | 119 |
| ^,* | Huttig Building Products Inc. | 20,498 | 117 |
| | Ampco-Pittsburgh Corp. | 7,535 | 116 |
| * | LSB Industries Inc. | 18,812 | 115 |
| * | Handy & Harman Ltd. | 2,542 | 83 |
| * | Shiloh Industries Inc. | 7,494 | 66 |
| * | NL Industries Inc. | 7,226 | 55 |
| ^,* | Forterra Inc. | 16,154 | 54 |
| | Valhi Inc. | 21,861 | 48 |
| | CompX International Inc. | 1,428 | 21 |
| *,2 | Ferroglobe R&W Trust | 46,440 | — |
| | | | 115,907 |
| Other (0.0%)3 | | |
| *,2 | Dyax Corp CVR Exp. 12/31/2019 | 83,094 | 166 |
| * | Safety Income and Growth Inc. | 4,071 | 80 |
| * | Venator Materials plc | 3,160 | 64 |
| * | Akcea Therapeutics Inc. | 1,664 | 31 |
| ^,*,2 | Tobira Therapeutics CVR Exp. 12/31/2028 | 6,227 | 28 |
| * | G1 Therapeutics Inc. | 1,250 | 24 |
| * | Mersana Therapeutics Inc. | 1,208 | 21 |
| * | Byline Bancorp Inc. | 959 | 20 |
| * | Sienna Biopharmaceuticals Inc. | 736 | 18 |
| * | RBB Bancorp | 736 | 17 |
| * | PetIQ Inc. | 632 | 16 |
| * | Tintri Inc. | 2,500 | 15 |
| * | Dova Pharmaceuticals Inc. | 293 | 7 |
| *,2 | Chelsea Therapeutics International Ltd. CVR | 31,094 | 4 |
| *,2 | Media General Inc. CVR Exp. 12/31/49 | 85,418 | 3 |
| * | Aileron Therapeutics Inc. | 162 | 2 |
| *,2 | Omthera Pharmaceuticals Inc. CVR | 2,012 | 1 |
| *,2 | Durata Therapeutics Inc CVR Exp. 12/31/2018 | 680 | 1 |
| *,2 | Gerber Scientific Inc. CVR | 2,358 | — |
| *,2 | Clinical Data CVR | 913 | — |
| | | | 518 |
23
| | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Producer Durables (13.5%) | | |
| Curtiss-Wright Corp. | 38,211 | 3,700 |
| Littelfuse Inc. | 19,399 | 3,611 |
| MAXIMUS Inc. | 55,527 | 3,375 |
| EMCOR Group Inc. | 50,960 | 3,365 |
| Woodward Inc. | 45,914 | 3,224 |
| Healthcare Services Group Inc. | 61,595 | 3,154 |
| Brink's Co. | 39,496 | 3,098 |
| Deluxe Corp. | 41,761 | 2,896 |
| Barnes Group Inc. | 43,265 | 2,705 |
| * Advanced Energy Industries Inc. | 34,188 | 2,514 |
| * Darling Ingredients Inc. | 141,293 | 2,459 |
| Knight Transportation Inc. | 62,945 | 2,458 |
| Kennametal Inc. | 69,042 | 2,416 |
| EnerSys | 37,604 | 2,410 |
| John Bean Technologies Corp. | 27,045 | 2,399 |
| * MasTec Inc. | 57,225 | 2,335 |
| ABM Industries Inc. | 48,094 | 2,137 |
| * Generac Holdings Inc. | 52,914 | 2,137 |
| * Itron Inc. | 29,400 | 2,134 |
| * KLX Inc. | 44,494 | 2,133 |
| * Dycom Industries Inc. | 26,233 | 2,116 |
| * Moog Inc. Class A | 27,394 | 2,103 |
| Tetra Tech Inc. | 49,216 | 2,097 |
| MSA Safety Inc. | 28,682 | 2,090 |
| * On Assignment Inc. | 43,713 | 2,085 |
| GATX Corp. | 33,521 | 2,031 |
| KBR Inc. | 123,619 | 2,011 |
| * Hawaiian Holdings Inc. | 45,616 | 1,955 |
| Hillenbrand Inc. | 54,447 | 1,946 |
| * Esterline Technologies Corp. | 22,526 | 1,924 |
| Convergys Corp. | 80,823 | 1,899 |
| * WageWorks Inc. | 32,091 | 1,892 |
| UniFirst Corp. | 13,140 | 1,887 |
| * TopBuild Corp. | 31,728 | 1,883 |
| Applied Industrial Technologies Inc. | 32,940 | 1,878 |
| Granite Construction Inc. | 33,950 | 1,875 |
| * Advisory Board Co. | 34,731 | 1,849 |
| * Swift Transportation Co. | 62,858 | 1,763 |
| * Aerojet Rocketdyne Holdings Inc. | 59,284 | 1,757 |
| Herman Miller Inc. | 51,248 | 1,725 |
| * ExlService Holdings Inc. | 28,109 | 1,582 |
| * Proto Labs Inc. | 21,445 | 1,540 |
| Franklin Electric Co. Inc. | 39,679 | 1,530 |
| SkyWest Inc. | 43,578 | 1,512 |
| Exponent Inc. | 21,987 | 1,497 |
| Watts Water Technologies Inc. Class A | 23,903 | 1,475 |
| * Navistar International Corp. | 42,988 | 1,468 |
| Korn/Ferry International | 43,962 | 1,465 |
| ^ Covanta Holding Corp. | 100,567 | 1,443 |
| * Electronics For Imaging Inc. | 39,820 | 1,416 |
| HNI Corp. | 37,775 | 1,384 |
| Triton International Ltd. | 37,242 | 1,375 |
| Werner Enterprises Inc. | 41,203 | 1,364 |
| * Atlas Air Worldwide Holdings Inc. | 20,124 | 1,344 |
| Forward Air Corp. | 25,759 | 1,339 |
| Brady Corp. Class A | 39,873 | 1,330 |
| Allegiant Travel Co. Class A | 11,259 | 1,329 |
| Albany International Corp. | 24,533 | 1,315 |
| EnPro Industries Inc. | 18,131 | 1,278 |
| Insperity Inc. | 15,705 | 1,261 |
| * TriNet Group Inc. | 35,028 | 1,252 |
| * OSI Systems Inc. | 15,038 | 1,249 |
| * Saia Inc. | 21,870 | 1,237 |
24
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Actuant Corp. Class A | 50,997 | 1,226 |
| * | FTI Consulting Inc. | 35,313 | 1,197 |
| | ESCO Technologies Inc. | 21,856 | 1,190 |
| * | Harsco Corp. | 69,507 | 1,189 |
| * | SPX FLOW Inc. | 35,386 | 1,184 |
| | Kaman Corp. | 23,256 | 1,140 |
| | Mobile Mini Inc. | 37,439 | 1,133 |
| | Altra Industrial Motion Corp. | 24,520 | 1,129 |
| | Triumph Group Inc. | 42,217 | 1,110 |
| * | Paylocity Holding Corp. | 22,467 | 1,104 |
| | Badger Meter Inc. | 24,016 | 1,102 |
| * | Hub Group Inc. Class A | 28,220 | 1,085 |
| | AZZ Inc. | 22,176 | 1,084 |
| | Wabash National Corp. | 51,452 | 1,082 |
| ^ | Chicago Bridge & Iron Co. NV | 87,138 | 1,075 |
| * | Rush Enterprises Inc. Class A | 25,694 | 1,053 |
| | Standex International Corp. | 10,897 | 1,040 |
| * | Air Transport Services Group Inc. | 44,966 | 1,032 |
| * | ACCO Brands Corp. | 93,510 | 1,024 |
| | Greenbrier Cos. Inc. | 23,666 | 1,015 |
| | AAR Corp. | 27,519 | 992 |
| ^,* | Axon Enterprise Inc. | 45,071 | 979 |
| | Sun Hydraulics Corp. | 20,421 | 978 |
| | Steelcase Inc. Class A | 74,035 | 977 |
| | Primoris Services Corp. | 33,657 | 963 |
| | US Ecology Inc. | 18,679 | 960 |
| | Matson Inc. | 37,022 | 955 |
| * | TriMas Corp. | 39,358 | 952 |
| | Federal Signal Corp. | 50,612 | 946 |
| | Multi-Color Corp. | 11,690 | 933 |
| | Cubic Corp. | 21,537 | 925 |
| | Aircastle Ltd. | 41,095 | 921 |
| | Tennant Co. | 15,112 | 921 |
| | Astec Industries Inc. | 18,419 | 915 |
| * | Manitowoc Co. Inc. | 110,308 | 908 |
| | Heartland Express Inc. | 40,846 | 906 |
| * | Sykes Enterprises Inc. | 33,603 | 896 |
| * | Chart Industries Inc. | 26,514 | 895 |
| * | SPX Corp. | 36,828 | 888 |
| * | Herc Holdings Inc. | 20,945 | 884 |
| * | Aerovironment Inc. | 17,864 | 876 |
| | Raven Industries Inc. | 31,255 | 875 |
| * | Tutor Perini Corp. | 32,334 | 846 |
| * | Kratos Defense & Security Solutions Inc. | 61,915 | 828 |
| | Kadant Inc. | 9,378 | 814 |
| | McGrath RentCorp | 19,919 | 804 |
| | Argan Inc. | 12,557 | 795 |
| ^ | Lindsay Corp. | 9,060 | 784 |
| | Briggs & Stratton Corp. | 36,078 | 755 |
| | Alamo Group Inc. | 8,194 | 752 |
| | Encore Wire Corp. | 17,524 | 752 |
| | Knoll Inc. | 41,402 | 747 |
| * | TrueBlue Inc. | 36,309 | 743 |
| * | ICF International Inc. | 15,276 | 734 |
| | General Cable Corp. | 42,581 | 722 |
| | MTS Systems Corp. | 14,519 | 703 |
| * | Modine Manufacturing Co. | 42,725 | 690 |
| | CIRCOR International Inc. | 14,282 | 686 |
| * | Lydall Inc. | 14,436 | 679 |
| ^ | Ship Finance International Ltd. | 51,621 | 674 |
| * | CBIZ Inc. | 44,150 | 669 |
| | Douglas Dynamics Inc. | 19,080 | 666 |
| | ArcBest Corp. | 22,389 | 665 |
| * | PHH Corp. | 45,688 | 649 |
25
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | H&E Equipment Services Inc. | 27,239 | 641 |
| | Hyster-Yale Materials Handling Inc. | 8,927 | 635 |
| | Schneider National Inc. Class B | 28,163 | 627 |
| * | Navigant Consulting Inc. | 40,763 | 625 |
| * | Aegion Corp. Class A | 28,745 | 623 |
| * | Milacron Holdings Corp. | 38,781 | 619 |
| ^ | GasLog Ltd. | 35,294 | 593 |
| | Scorpio Tankers Inc. | 142,515 | 580 |
| | Marten Transport Ltd. | 33,679 | 578 |
| * | Huron Consulting Group Inc. | 18,954 | 573 |
| | Kelly Services Inc. Class A | 26,372 | 570 |
| * | Casella Waste Systems Inc. Class A | 33,788 | 568 |
| | RR Donnelley & Sons Co. | 60,654 | 560 |
| * | SP Plus Corp. | 15,039 | 555 |
| | Columbus McKinnon Corp. | 16,759 | 554 |
| * | SEACOR Holdings Inc. | 13,971 | 536 |
| | Kimball International Inc. Class B | 31,514 | 534 |
| * | CSW Industrials Inc. | 12,521 | 524 |
| * | Control4 Corp. | 21,101 | 522 |
| | Quad/Graphics Inc. | 27,123 | 517 |
| * | Advanced Disposal Services Inc. | 21,544 | 514 |
| * | RPX Corp. | 39,050 | 510 |
| * | FARO Technologies Inc. | 14,338 | 494 |
| * | Astronics Corp. | 18,532 | 487 |
| * | Engility Holdings Inc. | 15,591 | 484 |
| | TeleTech Holdings Inc. | 11,995 | 476 |
| * | Atkore International Group Inc. | 28,354 | 472 |
| * | International Seaways Inc. | 25,423 | 469 |
| | LSC Communications Inc. | 28,912 | 466 |
| | Gorman-Rupp Co. | 15,270 | 465 |
| * | Thermon Group Holdings Inc. | 27,867 | 460 |
| ^ | Teekay Corp. | 46,685 | 430 |
| * | Textainer Group Holdings Ltd. | 23,454 | 416 |
| * | CAI International Inc. | 13,365 | 414 |
| ^,* | Plug Power Inc. | 193,201 | 413 |
| | Ennis Inc. | 21,610 | 413 |
| ^ | Nordic American Tankers Ltd. | 86,409 | 410 |
| * | InnerWorkings Inc. | 39,118 | 410 |
| ^,* | Scorpio Bulkers Inc. | 50,772 | 409 |
| * | Wesco Aircraft Holdings Inc. | 48,189 | 405 |
| | VSE Corp. | 7,468 | 389 |
| | Essendant Inc. | 32,325 | 383 |
| * | YRC Worldwide Inc. | 28,559 | 382 |
| | Mesa Laboratories Inc. | 2,767 | 378 |
| | Titan International Inc. | 43,072 | 370 |
| * | DXP Enterprises Inc. | 13,624 | 369 |
| | Kforce Inc. | 20,267 | 365 |
| * | Echo Global Logistics Inc. | 23,844 | 362 |
| * | MYR Group Inc. | 13,816 | 357 |
| | Forrester Research Inc. | 8,695 | 354 |
| * | NV5 Global Inc. | 6,848 | 330 |
| ^ | Frontline Ltd. | 66,425 | 324 |
| | Resources Connection Inc. | 24,761 | 316 |
| | Barrett Business Services Inc. | 6,110 | 315 |
| * | Team Inc. | 25,312 | 313 |
| * | GP Strategies Corp. | 10,855 | 310 |
| | Park-Ohio Holdings Corp. | 7,620 | 304 |
| | Heidrick & Struggles International Inc. | 15,864 | 290 |
| * | Mistras Group Inc. | 14,961 | 283 |
| | Hackett Group Inc. | 20,673 | 282 |
| * | Hudson Technologies Inc. | 31,686 | 282 |
| * | Vicor Corp. | 14,482 | 282 |
| ^ | REV Group Inc. | 10,900 | 275 |
| | Spartan Motors Inc. | 29,546 | 272 |
26
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | CRA International Inc. | 7,213 | 271 |
| * | Vectrus Inc. | 9,462 | 270 |
| * | Sterling Construction Co. Inc. | 22,215 | 262 |
| | NACCO Industries Inc. Class A | 3,524 | 255 |
| | Supreme Industries Inc. Class A | 12,025 | 252 |
| * | Ducommun Inc. | 9,096 | 250 |
| | DHT Holdings Inc. | 66,583 | 250 |
| * | Covenant Transportation Group Inc. Class A | 10,261 | 246 |
| * | Heritage-Crystal Clean Inc. | 12,265 | 239 |
| | Miller Industries Inc. | 9,525 | 239 |
| * | ServiceSource International Inc. | 65,565 | 231 |
| | Bristow Group Inc. | 27,982 | 231 |
| ^,* | Daseke Inc. | 17,557 | 230 |
| ^ | American Railcar Industries Inc. | 6,280 | 226 |
| | Powell Industries Inc. | 7,628 | 217 |
| * | Titan Machinery Inc. | 16,062 | 207 |
| ^,* | Energy Recovery Inc. | 31,370 | 204 |
| * | Willdan Group Inc. | 6,486 | 201 |
| * | Great Lakes Dredge & Dock Corp. | 49,133 | 199 |
| | Marlin Business Services Corp. | 7,592 | 198 |
| | Costamare Inc. | 31,575 | 198 |
| * | Roadrunner Transportation Systems Inc. | 26,422 | 197 |
| * | Ardmore Shipping Corp. | 24,255 | 196 |
| | CECO Environmental Corp. | 25,807 | 193 |
| * | Vishay Precision Group Inc. | 8,779 | 192 |
| | FreightCar America Inc. | 10,503 | 191 |
| ^ | Advanced Emissions Solutions Inc. | 18,145 | 188 |
| | Hurco Cos. Inc. | 5,295 | 186 |
| ^,* | Gener8 Maritime Inc. | 40,804 | 184 |
| * | Rush Enterprises Inc. Class B | 4,613 | 178 |
| * | Neff Corp. Class A | 6,985 | 174 |
| * | Maxwell Technologies Inc. | 31,285 | 174 |
| * | Layne Christensen Co. | 15,612 | 168 |
| | Graham Corp. | 8,264 | 166 |
| * | Radiant Logistics Inc. | 32,361 | 163 |
| * | HC2 Holdings Inc. | 35,233 | 161 |
| ^,* | Energous Corp. | 16,271 | 154 |
| * | Eagle Bulk Shipping Inc. | 33,060 | 150 |
| ^ | Teekay Tankers Ltd. Class A | 105,244 | 148 |
| | Allied Motion Technologies Inc. | 5,729 | 145 |
| * | Orion Group Holdings Inc. | 23,414 | 141 |
| * | Hill International Inc. | 29,510 | 140 |
| | Preformed Line Products Co. | 2,633 | 138 |
| | Hardinge Inc. | 10,016 | 137 |
| * | Safe Bulkers Inc. | 41,415 | 134 |
| * | Commercial Vehicle Group Inc. | 21,766 | 129 |
| * | Twin Disc Inc. | 7,348 | 128 |
| * | Liquidity Services Inc. | 22,179 | 126 |
| * | IES Holdings Inc. | 7,499 | 124 |
| | Universal Logistics Holdings Inc. | 7,210 | 120 |
| * | Navios Maritime Holdings Inc. | 77,301 | 119 |
| * | Blue Bird Corp. | 6,253 | 114 |
| * | Dorian LPG Ltd. | 16,303 | 112 |
| * | PHI Inc. | 10,085 | 111 |
| * | Gencor Industries Inc. | 7,010 | 108 |
| * | Aqua Metals Inc. | 14,389 | 107 |
| * | Information Services Group Inc. | 28,028 | 105 |
| * | StarTek Inc. | 8,725 | 104 |
| ^ | EnviroStar Inc. | 3,016 | 100 |
| | BG Staffing Inc. | 5,940 | 96 |
| * | Babcock & Wilcox Enterprises Inc. | 42,333 | 96 |
| * | Ascent Capital Group Inc. Class A | 9,521 | 95 |
| * | Genco Shipping & Trading Ltd. | 6,610 | 92 |
| | Navios Maritime Acquisition Corp. | 71,004 | 89 |
27
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Overseas Shipholding Group Inc. Class A | 39,152 | 88 |
| * | DHI Group Inc. | 42,006 | 82 |
| ^,* | ExOne Co. | 9,628 | 78 |
| * | Napco Security Technologies Inc. | 9,701 | 76 |
| * | Willis Lease Finance Corp. | 2,976 | 71 |
| | | | 223,989 |
| Technology (14.2%) | | |
| * | GrubHub Inc. | 73,978 | 4,223 |
| * | Aspen Technology Inc. | 64,690 | 4,092 |
| | MKS Instruments Inc. | 46,447 | 3,825 |
| | Monolithic Power Systems Inc. | 34,407 | 3,486 |
| | Blackbaud Inc. | 41,099 | 3,469 |
| * | EPAM Systems Inc. | 42,508 | 3,457 |
| * | Proofpoint Inc. | 36,932 | 3,389 |
| * | Tech Data Corp. | 30,233 | 3,334 |
| * | Cirrus Logic Inc. | 55,598 | 3,224 |
| * | Paycom Software Inc. | 42,469 | 3,169 |
| * | Entegris Inc. | 122,387 | 3,115 |
| | SYNNEX Corp. | 24,995 | 2,990 |
| * | Lumentum Holdings Inc. | 52,459 | 2,982 |
| ^,* | ViaSat Inc. | 45,880 | 2,918 |
| * | Integrated Device Technology Inc. | 115,407 | 2,852 |
| * | Yelp Inc. Class A | 66,764 | 2,844 |
| | Science Applications International Corp. | 37,723 | 2,787 |
| * | Silicon Laboratories Inc. | 36,130 | 2,742 |
| * | CACI International Inc. Class A | 21,033 | 2,730 |
| * | Ciena Corp. | 121,383 | 2,623 |
| * | NetScout Systems Inc. | 76,487 | 2,505 |
| * | Ellie Mae Inc. | 29,156 | 2,419 |
| * | Sanmina Corp. | 63,574 | 2,381 |
| * | Finisar Corp. | 95,917 | 2,316 |
| * | Zendesk Inc. | 83,502 | 2,288 |
| * | ACI Worldwide Inc. | 100,363 | 2,284 |
| * | RingCentral Inc. Class A | 53,633 | 2,271 |
| * | RealPage Inc. | 50,448 | 2,174 |
| * | iRobot Corp. | 22,777 | 2,173 |
| * | Verint Systems Inc. | 53,812 | 2,136 |
| | InterDigital Inc. | 29,807 | 2,127 |
| * | HubSpot Inc. | 28,902 | 2,120 |
| * | Semtech Corp. | 55,785 | 2,097 |
| | Vishay Intertechnology Inc. | 115,829 | 2,050 |
| * | Cree Inc. | 84,058 | 2,045 |
| * | CommVault Systems Inc. | 33,381 | 2,038 |
| * | Viavi Solutions Inc. | 196,765 | 1,976 |
| * | Mercury Systems Inc. | 40,253 | 1,942 |
| * | VeriFone Systems Inc. | 95,734 | 1,893 |
| * | II-VI Inc. | 52,111 | 1,868 |
| | TiVo Corp. | 100,806 | 1,845 |
| * | Anixter International Inc. | 24,935 | 1,840 |
| * | Rogers Corp. | 15,497 | 1,837 |
| * | DigitalGlobe Inc. | 53,108 | 1,827 |
| | Pegasystems Inc. | 31,502 | 1,813 |
| | Power Integrations Inc. | 24,649 | 1,796 |
| * | Envestnet Inc. | 36,938 | 1,642 |
| * | MACOM Technology Solutions Holdings Inc. | 34,883 | 1,589 |
| * | Acxiom Corp. | 67,170 | 1,564 |
| * | Twilio Inc. Class A | 53,407 | 1,564 |
| * | Cornerstone OnDemand Inc. | 44,613 | 1,561 |
| | Brooks Automation Inc. | 59,038 | 1,539 |
| * | Ambarella Inc. | 27,851 | 1,515 |
| * | Plexus Corp. | 28,841 | 1,502 |
| * | Callidus Software Inc. | 55,294 | 1,424 |
| * | Benchmark Electronics Inc. | 42,926 | 1,395 |
| * | Inphi Corp. | 36,061 | 1,381 |
28
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Progress Software Corp. | 40,805 | 1,370 |
| * | Gigamon Inc. | 30,995 | 1,331 |
| * | NETGEAR Inc. | 27,668 | 1,328 |
| ^ | Diebold Nixdorf Inc. | 64,821 | 1,326 |
| * | Box Inc. | 67,354 | 1,321 |
| * | BroadSoft Inc. | 26,552 | 1,316 |
| * | Groupon Inc. Class A | 293,676 | 1,304 |
| * | Imperva Inc. | 28,945 | 1,292 |
| * | Qualys Inc. | 27,140 | 1,289 |
| | Methode Electronics Inc. | 30,701 | 1,256 |
| * | Rambus Inc. | 94,976 | 1,232 |
| * | Synaptics Inc. | 29,619 | 1,231 |
| * | Insight Enterprises Inc. | 30,556 | 1,225 |
| | Plantronics Inc. | 28,586 | 1,219 |
| * | New Relic Inc. | 25,337 | 1,214 |
| * | Fabrinet | 31,111 | 1,208 |
| | Ebix Inc. | 20,768 | 1,198 |
| * | Pure Storage Inc. Class A | 80,453 | 1,198 |
| ^,* | Oclaro Inc. | 142,180 | 1,196 |
| ^,* | Ubiquiti Networks Inc. | 19,991 | 1,191 |
| ^,* | 3D Systems Corp. | 94,004 | 1,181 |
| | Xperi Corp. | 41,983 | 1,144 |
| * | TTM Technologies Inc. | 79,307 | 1,129 |
| * | MaxLinear Inc. | 51,684 | 1,116 |
| * | Knowles Corp. | 75,637 | 1,110 |
| | CSG Systems International Inc. | 28,588 | 1,107 |
| * | Q2 Holdings Inc. | 27,085 | 1,100 |
| * | Novanta Inc. | 27,682 | 1,082 |
| * | Extreme Networks Inc. | 94,349 | 1,078 |
| * | MicroStrategy Inc. Class A | 8,156 | 1,052 |
| * | Infinera Corp. | 123,986 | 1,049 |
| * | Bottomline Technologies de Inc. | 34,381 | 1,042 |
| * | Stratasys Ltd. | 43,215 | 967 |
| * | Five9 Inc. | 44,614 | 959 |
| * | ePlus Inc. | 11,345 | 950 |
| * | KEMET Corp. | 39,489 | 944 |
| * | FormFactor Inc. | 62,228 | 940 |
| ^,* | Applied Optoelectronics Inc. | 15,873 | 938 |
| * | Diodes Inc. | 33,004 | 929 |
| | ADTRAN Inc. | 41,991 | 928 |
| * | TrueCar Inc. | 54,084 | 917 |
| | NIC Inc. | 54,901 | 898 |
| * | Super Micro Computer Inc. | 33,691 | 897 |
| | ManTech International Corp. Class A | 22,272 | 896 |
| * | SPS Commerce Inc. | 14,410 | 878 |
| * | Virtusa Corp. | 23,920 | 869 |
| * | GTT Communications Inc. | 26,439 | 839 |
| * | Web.com Group Inc. | 33,163 | 839 |
| * | ScanSource Inc. | 21,184 | 831 |
| * | Blucora Inc. | 35,658 | 813 |
| * | Alarm.com Holdings Inc. | 17,555 | 789 |
| * | Coupa Software Inc. | 25,766 | 785 |
| ^,* | Acacia Communications Inc. | 15,978 | 780 |
| * | Amkor Technology Inc. | 88,059 | 773 |
| * | Veeco Instruments Inc. | 40,591 | 767 |
| * | MINDBODY Inc. Class A | 31,846 | 753 |
| * | CEVA Inc. | 18,528 | 751 |
| * | Inovalon Holdings Inc. Class A | 54,195 | 734 |
| * | Hortonworks Inc. | 41,377 | 703 |
| | AVX Corp. | 39,810 | 695 |
| * | Vocera Communications Inc. | 24,163 | 673 |
| * | Nutanix Inc. | 30,097 | 662 |
| * | Ultra Clean Holdings Inc. | 28,450 | 656 |
| | Monotype Imaging Holdings Inc. | 35,949 | 656 |
29
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Cray Inc. | 34,684 | 654 |
| * | Varonis Systems Inc. | 16,534 | 642 |
| * | LivePerson Inc. | 46,860 | 628 |
| | CTS Corp. | 27,642 | 622 |
| * | Synchronoss Technologies Inc. | 36,880 | 619 |
| * | Lattice Semiconductor Corp. | 106,088 | 599 |
| * | Rudolph Technologies Inc. | 26,988 | 599 |
| * | PROS Holdings Inc. | 22,694 | 598 |
| ^,* | Impinj Inc. | 15,568 | 595 |
| * | Bankrate Inc. | 40,821 | 565 |
| * | Evolent Health Inc. Class A | 33,344 | 557 |
| * | CalAmp Corp. | 29,887 | 554 |
| * | CommerceHub Inc. | 25,987 | 552 |
| * | Perficient Inc. | 29,682 | 543 |
| * | Axcelis Technologies Inc. | 25,958 | 543 |
| * | Nanometrics Inc. | 20,799 | 536 |
| * | Barracuda Networks Inc. | 21,750 | 527 |
| | Syntel Inc. | 28,550 | 516 |
| * | Loral Space & Communications Inc. | 11,059 | 502 |
| * | IXYS Corp. | 21,622 | 497 |
| * | Silver Spring Networks Inc. | 36,146 | 458 |
| * | Photronics Inc. | 57,793 | 457 |
| * | Xcerra Corp. | 46,259 | 454 |
| * | ShoreTel Inc. | 59,057 | 440 |
| * | Kimball Electronics Inc. | 22,958 | 437 |
| | Cohu Inc. | 23,217 | 436 |
| * | Workiva Inc. | 21,458 | 433 |
| * | Carbonite Inc. | 21,350 | 427 |
| * | Benefitfocus Inc. | 13,730 | 424 |
| ^,* | Tucows Inc. Class A | 7,774 | 411 |
| | Comtech Telecommunications Corp. | 19,841 | 388 |
| * | Endurance International Group Holdings Inc. | 50,124 | 386 |
| * | PDF Solutions Inc. | 24,142 | 367 |
| * | Bazaarvoice Inc. | 72,053 | 342 |
| * | Everbridge Inc. | 14,656 | 340 |
| * | Quantenna Communications Inc. | 18,263 | 339 |
| * | Actua Corp. | 26,388 | 338 |
| * | Unisys Corp. | 43,543 | 337 |
| * | Electro Scientific Industries Inc. | 27,293 | 336 |
| * | VASCO Data Security International Inc. | 26,182 | 329 |
| ^,* | Glu Mobile Inc. | 89,812 | 327 |
| | NVE Corp. | 4,122 | 313 |
| * | Internap Corp. | 69,052 | 309 |
| * | Rapid7 Inc. | 18,030 | 304 |
| | Park Electrochemical Corp. | 16,650 | 302 |
| * | KeyW Holding Corp. | 41,665 | 298 |
| * | Appfolio Inc. | 6,892 | 296 |
| | Daktronics Inc. | 30,685 | 295 |
| * | Blackline Inc. | 9,484 | 293 |
| | QAD Inc. Class A | 8,512 | 287 |
| * | MuleSoft Inc. Class A | 13,051 | 284 |
| * | Sonus Networks Inc. | 41,049 | 284 |
| * | A10 Networks Inc. | 42,364 | 277 |
| * | Apptio Inc. Class A | 15,349 | 273 |
| * | Model N Inc. | 20,154 | 273 |
| * | Mitek Systems Inc. | 26,665 | 271 |
| * | Digimarc Corp. | 8,627 | 267 |
| * | Okta Inc. | 9,600 | 259 |
| * | Alpha & Omega Semiconductor Ltd. | 16,194 | 257 |
| | PC Connection Inc. | 10,003 | 255 |
| * | ChannelAdvisor Corp. | 21,911 | 254 |
| | American Software Inc. Class A | 22,919 | 252 |
| * | AXT Inc. | 32,173 | 251 |
| * | Zix Corp. | 46,250 | 246 |
30
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | CommerceHub Inc. Class A | 10,961 | 243 |
| | Systemax Inc. | 9,938 | 243 |
| * | pdvWireless Inc. | 8,186 | 239 |
| ^,* | Cloudera Inc. | 12,044 | 234 |
| * | Ichor Holdings Ltd. | 10,114 | 231 |
| * | Limelight Networks Inc. | 64,278 | 231 |
| ^,* | Presidio Inc. | 16,423 | 228 |
| * | Meet Group Inc. | 57,876 | 227 |
| * | DSP Group Inc. | 18,895 | 225 |
| * | Harmonic Inc. | 68,571 | 223 |
| * | Kopin Corp. | 53,265 | 214 |
| | Bel Fuse Inc. Class B | 8,315 | 212 |
| * | EMCORE Corp. | 23,260 | 212 |
| * | Digi International Inc. | 22,884 | 211 |
| * | Brightcove Inc. | 29,344 | 207 |
| * | Sigma Designs Inc. | 32,455 | 203 |
| * | Sparton Corp. | 8,348 | 193 |
| * | Immersion Corp. | 25,197 | 184 |
| * | USA Technologies Inc. | 33,712 | 184 |
| * | Calix Inc. | 37,179 | 182 |
| * | Alteryx Inc. Class A | 7,678 | 181 |
| * | MobileIron Inc. | 47,402 | 180 |
| ^,* | VirnetX Holding Corp. | 43,926 | 176 |
| * | Exa Corp. | 12,015 | 172 |
| * | Telenav Inc. | 26,453 | 172 |
| * | TechTarget Inc. | 16,912 | 168 |
| * | NeoPhotonics Corp. | 27,952 | 164 |
| * | KVH Industries Inc. | 13,485 | 159 |
| * | Intevac Inc. | 16,712 | 152 |
| * | Rubicon Project Inc. | 38,405 | 144 |
| * | Upland Software Inc. | 6,244 | 144 |
| * | Ooma Inc. | 14,596 | 143 |
| ^,* | Park City Group Inc. | 11,307 | 142 |
| * | Amber Road Inc. | 17,344 | 140 |
| * | Acacia Research Corp. | 42,849 | 139 |
| ^,* | MicroVision Inc. | 58,707 | 139 |
| * | Agilysys Inc. | 13,263 | 136 |
| ^,* | Yext Inc. | 10,478 | 136 |
| * | Global Eagle Entertainment Inc. | 44,092 | 136 |
| * | Guidance Software Inc. | 19,232 | 136 |
| | Reis Inc. | 7,830 | 134 |
| * | Quantum Corp. | 24,061 | 133 |
| * | Iteris Inc. | 20,285 | 130 |
| * | Avid Technology Inc. | 28,918 | 128 |
| * | Clearfield Inc. | 10,077 | 123 |
| * | ARC Document Solutions Inc. | 34,599 | 122 |
| * | Pixelworks Inc. | 24,518 | 118 |
| | Simulations Plus Inc. | 8,108 | 118 |
| * | PCM Inc. | 8,640 | 114 |
| * | Aerohive Networks Inc. | 27,197 | 94 |
| * | CyberOptics Corp. | 5,914 | 90 |
| * | RealNetworks Inc. | 21,010 | 84 |
| * | GSI Technology Inc. | 12,281 | 82 |
| * | Rocket Fuel Inc. | 30,437 | 79 |
| ^,* | Revolution Lighting Technologies Inc. | 10,590 | 78 |
| * | Leaf Group Ltd. | 10,198 | 72 |
| * | SecureWorks Corp. Class A | 6,996 | 72 |
| * | Pendrell Corp. | 10,284 | 70 |
| ^,* | Akoustis Technologies Inc. | 7,486 | 50 |
| * | Radisys Corp. | 31,927 | 50 |
| ^,* | Ominto Inc. | 11,206 | 36 |
| ^,* | Veritone Inc. | 2,162 | 34 |
| * | Majesco | 4,775 | 24 |
31
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Appian Corp. | 990 | 23 |
| | | | 235,329 |
| Utilities (5.0%) | | |
| | IDACORP Inc. | 43,574 | 3,877 |
| | WGL Holdings Inc. | 44,173 | 3,722 |
| | Portland General Electric Co. | 77,119 | 3,664 |
| | ALLETE Inc. | 44,098 | 3,410 |
| | ONE Gas Inc. | 45,017 | 3,387 |
| | Southwest Gas Holdings Inc. | 40,930 | 3,255 |
| | Black Hills Corp. | 46,102 | 3,245 |
| | New Jersey Resources Corp. | 74,108 | 3,235 |
| | Spire Inc. | 40,685 | 3,112 |
| | j2 Global Inc. | 40,050 | 3,015 |
| | PNM Resources Inc. | 68,745 | 2,915 |
| | Avista Corp. | 55,426 | 2,849 |
| | NorthWestern Corp. | 41,946 | 2,530 |
| | South Jersey Industries Inc. | 68,744 | 2,467 |
| | Ormat Technologies Inc. | 34,101 | 1,959 |
| | El Paso Electric Co. | 34,764 | 1,931 |
| | MGE Energy Inc. | 30,075 | 1,913 |
| | Cogent Communications Holdings Inc. | 35,678 | 1,663 |
| | Northwest Natural Gas Co. | 24,411 | 1,619 |
| | California Water Service Group | 41,266 | 1,545 |
| | American States Water Co. | 31,196 | 1,538 |
| | Pattern Energy Group Inc. Class A | 60,405 | 1,517 |
| | Shenandoah Telecommunications Co. | 40,156 | 1,448 |
| * | Vonage Holdings Corp. | 172,726 | 1,434 |
| | Otter Tail Corp. | 33,757 | 1,411 |
| * | Straight Path Communications Inc. Class B | 7,377 | 1,317 |
| | Chesapeake Utilities Corp. | 13,672 | 1,086 |
| * | 8x8 Inc. | 76,346 | 1,080 |
| | Consolidated Communications Holdings Inc. | 55,734 | 1,028 |
| | NRG Yield Inc. | 54,530 | 1,009 |
| * | General Communication Inc. Class A | 23,006 | 992 |
| ^,* | Frontier Communications Corp. | 67,999 | 916 |
| * | Dynegy Inc. | 95,566 | 900 |
| | West Corp. | 37,370 | 873 |
| * | Iridium Communications Inc. | 72,437 | 804 |
| | SJW Group | 13,945 | 774 |
| | Cincinnati Bell Inc. | 36,295 | 764 |
| ^,* | Globalstar Inc. | 383,918 | 737 |
| ^,* | Gogo Inc. | 49,266 | 690 |
| * | Boingo Wireless Inc. | 31,406 | 647 |
| * | ORBCOMM Inc. | 56,637 | 626 |
| | Unitil Corp. | 12,013 | 599 |
| | NRG Yield Inc. Class A | 30,110 | 548 |
| | ATN International Inc. | 8,974 | 544 |
| | Middlesex Water Co. | 13,752 | 522 |
| | Connecticut Water Service Inc. | 9,566 | 519 |
| | York Water Co. | 11,107 | 365 |
| * | Lumos Networks Corp. | 18,984 | 341 |
| | Windstream Holdings Inc. | 164,788 | 341 |
| | Spok Holdings Inc. | 17,624 | 295 |
| | Artesian Resources Corp. Class A | 6,788 | 252 |
| * | Atlantic Power Corp. | 99,148 | 243 |
| | IDT Corp. Class B | 15,032 | 221 |
| | Delta Natural Gas Co. Inc. | 5,960 | 183 |
| | Spark Energy Inc. Class A | 9,980 | 158 |
| * | Hawaiian Telcom Holdco Inc. | 5,171 | 157 |
| * | AquaVenture Holdings Ltd. | 10,036 | 152 |
| | Consolidated Water Co. Ltd. | 12,653 | 151 |
| | RGC Resources Inc. | 5,472 | 151 |
| * | Intelsat SA | 31,366 | 121 |
| * | Pure Cycle Corp. | 14,471 | 105 |
32
| | | | |
| Vanguard® Russell 2000 Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | | Market |
| | | | | Value |
| | | | Shares | ($000) |
| ^ Global Water Resources Inc. | | | 8,765 | 84 |
| Genie Energy Ltd. Class B | | | 11,700 | 72 |
| | | | | 83,028 |
| Total Common Stocks (Cost $1,532,028) | | | | 1,655,830 |
| |
| | Coupon | | | |
| Temporary Cash Investments (1.7%) 1 | | | | |
| Money Market Fund (1.7%) | | | | |
| 4,5 Vanguard Market Liquidity Fund | 1.224% | | 287,457 | 28,751 |
| |
| | | | Face | |
| | | Maturity | Amount | |
| | | Date | ($000) | |
| U.S. Government and Agency Obligations (0.0%) | | | | |
| 6 United States Treasury Bill | 0.929% | 9/21/17 | 300 | 300 |
| Total Temporary Cash Investments (Cost $29,048) | | | | 29,051 |
| Total Investments (101.5%) (Cost $1,561,076) | | | | 1,684,881 |
| Other Assets and Liabilities—Net (-1.5%)5 | | | | (25,553) |
| Net Assets (100%) | | | | 1,659,328 |
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $25,121,000.
* 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 1.5%, respectively, of net
assets.
2 Security value determined using significant unobservable inputs.
3 “Other” represents securities that are not classified by the fund’s benchmark index.
4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day
yield.
5 Includes $26,702,000 of collateral received for securities on loan, of which $139,000 is held in cash.
6 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.
33
| | | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| |
| Common Stocks (99.1%)1 | | |
| Consumer Discretionary (10.8%) | | |
| | Aaron's Inc. | 21,258 | 941 |
| | ILG Inc. | 32,090 | 847 |
| | Office Depot Inc. | 171,540 | 736 |
| | Meredith Corp. | 13,376 | 727 |
| * | Adtalem Global Education Inc. | 20,998 | 718 |
| | American Eagle Outfitters Inc. | 54,221 | 648 |
| * | TRI Pointe Group Inc. | 50,324 | 641 |
| * | Deckers Outdoor Corp. | 9,892 | 632 |
| ^,* | Cars.com Inc. | 24,163 | 625 |
| | Dana Inc. | 25,402 | 611 |
| | Cooper Tire & Rubber Co. | 17,836 | 599 |
| * | Meritor Inc. | 28,138 | 559 |
| * | Penn National Gaming Inc. | 24,706 | 548 |
| | Travelport Worldwide Ltd. | 33,219 | 503 |
| * | Meritage Homes Corp. | 12,189 | 496 |
| | KB Home | 21,833 | 467 |
| * | Cooper-Standard Holdings Inc. | 4,611 | 464 |
| * | Helen of Troy Ltd. | 5,042 | 455 |
| | Time Inc. | 33,308 | 438 |
| | Callaway Golf Co. | 31,323 | 437 |
| * | MSG Networks Inc. | 20,192 | 433 |
| * | American Axle & Manufacturing Holdings Inc. | 28,336 | 414 |
| | Group 1 Automotive Inc. | 6,759 | 406 |
| | DSW Inc. Class A | 21,812 | 404 |
| * | Hertz Global Holdings Inc. | 18,575 | 404 |
| ^,* | JC Penney Co. Inc. | 103,338 | 400 |
| * | Vista Outdoor Inc. | 19,396 | 398 |
| * | G-III Apparel Group Ltd. | 14,404 | 396 |
| * | Belmond Ltd. Class A | 29,759 | 379 |
| | Caleres Inc. | 13,924 | 376 |
| | Scholastic Corp. | 9,389 | 370 |
| | Columbia Sportswear Co. | 6,267 | 359 |
| * | Fitbit Inc. Class A | 59,115 | 356 |
| * | Central Garden & Pet Co. Class A | 10,421 | 355 |
| * | EW Scripps Co. Class A | 19,175 | 343 |
| * | La Quinta Holdings Inc. | 21,413 | 338 |
| | Gannett Co. Inc. | 38,728 | 329 |
| * | Liberty TripAdvisor Holdings Inc. Class A | 24,591 | 328 |
| | Chico's FAS Inc. | 42,589 | 327 |
| | Dillard's Inc. Class A | 5,136 | 312 |
| | Guess? Inc. | 19,862 | 309 |
| * | Caesars Acquisition Co. Class A | 16,256 | 303 |
| | International Speedway Corp. Class A | 8,467 | 302 |
| ^ | Abercrombie & Fitch Co. | 23,241 | 296 |
| | MDC Holdings Inc. | 8,292 | 259 |
| ^ | AMC Entertainment Holdings Inc. Class A | 18,759 | 251 |
| | Ethan Allen Interiors Inc. | 8,408 | 246 |
| | New Media Investment Group Inc. | 17,197 | 237 |
| | La-Z-Boy Inc. | 9,111 | 217 |
| * | Career Education Corp. | 22,249 | 214 |
| * | K12 Inc. | 11,206 | 201 |
| | Jack in the Box Inc. | 2,129 | 199 |
| | Oxford Industries Inc. | 3,388 | 196 |
| * | Caesars Entertainment Corp. | 16,277 | 189 |
| | Rent-A-Center Inc. | 14,659 | 177 |
| * | Laureate Education Inc. Class A | 12,109 | 177 |
| * | Express Inc. | 26,043 | 166 |
| * | Motorcar Parts of America Inc. | 6,283 | 165 |
| | Sonic Automotive Inc. Class A | 9,080 | 164 |
| * | M/I Homes Inc. | 6,590 | 162 |
| * | Beazer Homes USA Inc. | 10,649 | 159 |
34
| | | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Del Taco Restaurants Inc. | 11,261 | 159 |
| * | William Lyon Homes Class A | 6,609 | 159 |
| | Barnes & Noble Inc. | 20,087 | 156 |
| * | Regis Corp. | 11,604 | 154 |
| * | Stoneridge Inc. | 9,226 | 153 |
| | Haverty Furniture Cos. Inc. | 6,427 | 151 |
| | National Presto Industries Inc. | 1,501 | 149 |
| | Tower International Inc. | 6,591 | 148 |
| | New York Times Co. Class A | 7,817 | 146 |
| | Viad Corp. | 2,637 | 145 |
| * | Fiesta Restaurant Group Inc. | 8,254 | 144 |
| | Sonic Corp. | 6,013 | 141 |
| | Buckle Inc. | 9,687 | 137 |
| | Tailored Brands Inc. | 11,591 | 137 |
| * | Genesco Inc. | 6,424 | 136 |
| * | Century Communities Inc. | 5,969 | 135 |
| | Movado Group Inc. | 4,817 | 134 |
| * | MDC Partners Inc. Class A | 13,094 | 134 |
| * | Monarch Casino & Resort Inc. | 3,723 | 132 |
| * | Carrols Restaurant Group Inc. | 11,564 | 126 |
| | Acushnet Holdings Corp. | 7,667 | 126 |
| | Brinker International Inc. | 4,009 | 125 |
| | Inter Parfums Inc. | 3,153 | 124 |
| * | Party City Holdco Inc. | 8,747 | 122 |
| * | Ascena Retail Group Inc. | 59,464 | 121 |
| | Standard Motor Products Inc. | 2,737 | 121 |
| | Superior Industries International Inc. | 8,174 | 120 |
| * | Fossil Group Inc. | 14,285 | 118 |
| | Bassett Furniture Industries Inc. | 3,282 | 118 |
| * | Central European Media Enterprises Ltd. Class A | 28,334 | 118 |
| | Flexsteel Industries Inc. | 2,584 | 118 |
| | Pier 1 Imports Inc. | 27,522 | 115 |
| | National CineMedia Inc. | 20,922 | 113 |
| | Finish Line Inc. Class A | 13,460 | 112 |
| * | Conn's Inc. | 6,332 | 110 |
| * | Gray Television Inc. | 7,659 | 110 |
| * | Houghton Mifflin Harcourt Co. | 10,724 | 109 |
| | Emerald Expositions Events Inc. | 4,986 | 108 |
| * | Central Garden & Pet Co. | 3,049 | 107 |
| * | Pinnacle Entertainment Inc. | 5,474 | 107 |
| | Johnson Outdoors Inc. Class A | 1,667 | 106 |
| * | Del Frisco's Restaurant Group Inc. | 7,522 | 105 |
| | Cato Corp. Class A | 7,819 | 103 |
| * | American Public Education Inc. | 5,448 | 101 |
| | Marriott Vacations Worldwide Corp. | 853 | 99 |
| * | Biglari Holdings Inc. | 331 | 99 |
| * | Iconix Brand Group Inc. | 17,264 | 96 |
| * | Perry Ellis International Inc. | 4,417 | 96 |
| | Entercom Communications Corp. Class A | 9,029 | 93 |
| | Citi Trends Inc. | 4,981 | 90 |
| * | Hibbett Sports Inc. | 7,155 | 88 |
| * | LGI Homes Inc. | 2,032 | 86 |
| | DineEquity Inc. | 2,152 | 86 |
| ^,* | Carvana Co. | 4,781 | 85 |
| * | Gentherm Inc. | 2,714 | 85 |
| | West Marine Inc. | 6,437 | 83 |
| | Speedway Motorsports Inc. | 3,948 | 82 |
| | CSS Industries Inc. | 3,031 | 81 |
| | Shoe Carnival Inc. | 4,015 | 81 |
| * | Daily Journal Corp. | 381 | 80 |
| * | El Pollo Loco Holdings Inc. | 7,002 | 79 |
| * | Zumiez Inc. | 6,353 | 79 |
| * | FTD Cos. Inc. | 5,819 | 78 |
| | Carriage Services Inc. Class A | 3,180 | 78 |
35
| | | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Boyd Gaming Corp. | 2,680 | 71�� |
| * | Potbelly Corp. | 5,828 | 70 |
| * | Denny's Corp. | 5,841 | 70 |
| ^ | Fred's Inc. Class A | 11,771 | 70 |
| * | Reading International Inc. Class A | 4,325 | 68 |
| * | QuinStreet Inc. | 12,599 | 67 |
| * | Barnes & Noble Education Inc. | 12,989 | 67 |
| | RCI Hospitality Holdings Inc. | 2,826 | 66 |
| * | Golden Entertainment Inc. | 2,857 | 65 |
| * | America's Car-Mart Inc. | 1,689 | 65 |
| * | Crocs Inc. | 7,249 | 65 |
| * | Overstock.com Inc. | 2,899 | 64 |
| * | Hemisphere Media Group Inc. Class A | 4,906 | 64 |
| * | Zoe's Kitchen Inc. | 4,911 | 63 |
| * | Vera Bradley Inc. | 6,953 | 63 |
| | Libbey Inc. | 7,672 | 63 |
| * | Kirkland's Inc. | 5,287 | 61 |
| * | Hovnanian Enterprises Inc. Class A | 32,931 | 60 |
| | Lifetime Brands Inc. | 3,361 | 58 |
| * | MarineMax Inc. | 3,562 | 58 |
| * | 1-800-Flowers.com Inc. Class A | 6,243 | 56 |
| * | VOXX International Corp. Class A | 6,902 | 56 |
| * | Lands' End Inc. | 4,577 | 56 |
| | Big 5 Sporting Goods Corp. | 7,235 | 55 |
| | Weyco Group Inc. | 1,972 | 54 |
| | Saga Communications Inc. Class A | 1,290 | 53 |
| * | Clarus Corp. | 7,093 | 51 |
| * | Century Casinos Inc. | 7,267 | 50 |
| | Winnebago Industries Inc. | 1,335 | 48 |
| | Tilly's Inc. Class A | 4,361 | 48 |
| * | Revlon Inc. Class A | 2,823 | 48 |
| | Clear Channel Outdoor Holdings Inc. Class A | 12,273 | 47 |
| * | Delta Apparel Inc. | 2,354 | 46 |
| ^,* | Eros International plc | 4,690 | 46 |
| * | Rosetta Stone Inc. | 4,819 | 44 |
| * | J Alexander's Holdings Inc. | 4,442 | 44 |
| * | Ruby Tuesday Inc. | 20,415 | 44 |
| * | Build-A-Bear Workshop Inc. | 4,621 | 43 |
| | Escalade Inc. | 3,493 | 42 |
| * | Sequential Brands Group Inc. | 13,690 | 42 |
| * | New Home Co. Inc. | 4,039 | 42 |
| * | Fogo De Chao Inc. | 3,240 | 41 |
| * | Red Lion Hotels Corp. | 5,765 | 40 |
| * | Vitamin Shoppe Inc. | 7,477 | 40 |
| * | XO Group Inc. | 2,130 | 40 |
| * | tronc Inc. | 2,488 | 36 |
| ^,* | Cogint Inc. | 7,282 | 36 |
| * | ZAGG Inc. | 2,773 | 35 |
| * | Gaia Inc. Class A | 3,018 | 34 |
| * | Boot Barn Holdings Inc. | 4,113 | 33 |
| * | Drive Shack Inc. | 11,069 | 30 |
| | Liberty Tax Inc. | 2,135 | 29 |
| * | Townsquare Media Inc. Class A | 2,765 | 28 |
| ^,* | Sears Holdings Corp. | 3,313 | 27 |
| | Marcus Corp. | 1,087 | 27 |
| | Salem Media Group Inc. Class A | 3,834 | 23 |
| * | Weight Watchers International Inc. | 483 | 23 |
| * | Container Store Group Inc. | 5,525 | 22 |
| * | Cambium Learning Group Inc. | 3,609 | 21 |
| | Capella Education Co. | 254 | 17 |
| | Beasley Broadcast Group Inc. Class A | 1,675 | 17 |
| * | Red Robin Gourmet Burgers Inc. | 239 | 14 |
| * | Franklin Covey Co. | 689 | 13 |
| * | Empire Resorts Inc. | 509 | 12 |
36
| | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * At Home Group Inc. | 379 | 9 |
| * WideOpenWest Inc. | 490 | 8 |
| * Bridgepoint Education Inc. | 861 | 8 |
| * Eastman Kodak Co. | 922 | 7 |
| | | 34,428 |
| Consumer Staples (2.3%) | | |
| Snyder's-Lance Inc. | 28,976 | 1,029 |
| Sanderson Farms Inc. | 6,785 | 1,001 |
| * United Natural Foods Inc. | 16,976 | 590 |
| Fresh Del Monte Produce Inc. | 11,084 | 521 |
| Universal Corp. | 8,302 | 475 |
| * Cal-Maine Foods Inc. | 10,355 | 377 |
| Vector Group Ltd. | 16,976 | 367 |
| * Hostess Brands Inc. Class A | 25,424 | 339 |
| Dean Foods Co. | 28,757 | 316 |
| SpartanNash Co. | 12,430 | 306 |
| Andersons Inc. | 8,946 | 285 |
| * Diplomat Pharmacy Inc. | 16,178 | 271 |
| * SUPERVALU Inc. | 13,050 | 261 |
| GNC Holdings Inc. Class A | 23,073 | 191 |
| Weis Markets Inc. | 3,240 | 143 |
| Omega Protein Corp. | 7,531 | 119 |
| Ingles Markets Inc. Class A | 4,775 | 105 |
| * Farmer Brothers Co. | 2,991 | 97 |
| * Cadiz Inc. | 7,181 | 88 |
| Tootsie Roll Industries Inc. | 1,798 | 67 |
| * Seneca Foods Corp. Class A | 2,175 | 65 |
| Limoneira Co. | 2,799 | 63 |
| Village Super Market Inc. Class A | 2,453 | 57 |
| * Smart & Final Stores Inc. | 7,780 | 55 |
| Nature's Sunshine Products Inc. | 3,699 | 39 |
| Alico Inc. | 1,016 | 33 |
| ^ Orchids Paper Products Co. | 3,105 | 32 |
| MGP Ingredients Inc. | 524 | 29 |
| * Natural Grocers by Vitamin Cottage Inc. | 3,327 | 19 |
| * Chefs' Warehouse Inc. | 551 | 9 |
| | | 7,349 |
| Energy (5.6%) | | |
| * PDC Energy Inc. | 22,074 | 868 |
| * Callon Petroleum Co. | 67,109 | 695 |
| Golar LNG Ltd. | 32,026 | 694 |
| Delek US Holdings Inc. | 26,307 | 650 |
| * Peabody Energy Corp. | 20,969 | 608 |
| Arch Coal Inc. Class A | 7,330 | 585 |
| * McDermott International Inc. | 94,587 | 581 |
| * Oasis Petroleum Inc. | 79,547 | 581 |
| SemGroup Corp. Class A | 22,094 | 568 |
| * Dril-Quip Inc. | 12,839 | 482 |
| * SRC Energy Inc. | 60,110 | 474 |
| * Ultra Petroleum Corp. | 59,554 | 464 |
| ^ Ensco plc Class A | 102,994 | 438 |
| * NOW Inc. | 35,724 | 417 |
| * Superior Energy Services Inc. | 50,515 | 416 |
| * C&J Energy Services Inc. | 15,734 | 397 |
| * Rowan Cos. plc Class A | 39,478 | 385 |
| * Oil States International Inc. | 17,276 | 376 |
| * TerraForm Power Inc. Class A | 26,866 | 375 |
| * Exterran Corp. | 10,799 | 300 |
| * Helix Energy Solutions Group Inc. | 46,748 | 293 |
| * Unit Corp. | 17,533 | 279 |
| * Noble Corp. plc | 81,151 | 265 |
| * Forum Energy Technologies Inc. | 22,769 | 264 |
| * Diamond Offshore Drilling Inc. | 21,770 | 247 |
| Archrock Inc. | 23,710 | 242 |
37
| | | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Green Plains Inc. | 12,786 | 237 |
| * | Newpark Resources Inc. | 28,824 | 232 |
| * | SunCoke Energy Inc. | 21,995 | 205 |
| * | SandRidge Energy Inc. | 11,802 | 203 |
| * | Resolute Energy Corp. | 6,811 | 201 |
| * | Sunrun Inc. | 28,757 | 193 |
| * | SunPower Corp. Class A | 20,295 | 179 |
| * | REX American Resources Corp. | 1,955 | 169 |
| * | Bonanza Creek Energy Inc. | 6,461 | 168 |
| * | Atwood Oceanics Inc. | 25,141 | 165 |
| | Warrior Met Coal Inc. | 5,790 | 158 |
| * | Stone Energy Corp. | 6,399 | 155 |
| * | Renewable Energy Group Inc. | 12,798 | 155 |
| * | TerraForm Global Inc. Class A | 30,476 | 154 |
| * | Denbury Resources Inc. | 129,079 | 137 |
| * | Halcon Resources Corp. | 21,067 | 130 |
| ^,* | California Resources Corp. | 14,690 | 115 |
| * | Par Pacific Holdings Inc. | 6,301 | 112 |
| * | Clean Energy Fuels Corp. | 47,021 | 112 |
| | CVR Energy Inc. | 5,159 | 111 |
| ^ | Frank's International NV | 17,209 | 108 |
| * | Matrix Service Co. | 9,061 | 107 |
| * | Natural Gas Services Group Inc. | 4,279 | 101 |
| * | Energy XXI Gulf Coast Inc. | 8,371 | 87 |
| * | Flotek Industries Inc. | 16,745 | 87 |
| * | Basic Energy Services Inc. | 6,005 | 86 |
| * | Trecora Resources | 6,773 | 82 |
| * | TETRA Technologies Inc. | 39,500 | 81 |
| * | Cloud Peak Energy Inc. | 25,468 | 80 |
| * | Bill Barrett Corp. | 26,031 | 78 |
| * | WildHorse Resource Development Corp. | 6,878 | 75 |
| * | Green Brick Partners Inc. | 7,939 | 75 |
| * | SEACOR Marine Holdings Inc. | 5,596 | 72 |
| * | Pacific Ethanol Inc. | 14,155 | 71 |
| * | Tesco Corp. | 16,045 | 71 |
| * | Eclipse Resources Corp. | 30,101 | 70 |
| * | Geospace Technologies Corp. | 4,531 | 68 |
| * | Era Group Inc. | 6,688 | 59 |
| * | W&T Offshore Inc. | 30,477 | 58 |
| * | Midstates Petroleum Co. Inc. | 3,833 | 56 |
| | Panhandle Oil and Gas Inc. Class A | 2,507 | 53 |
| | Gulf Island Fabrication Inc. | 4,712 | 53 |
| * | Parker Drilling Co. | 46,376 | 51 |
| ^,* | CARBO Ceramics Inc. | 7,514 | 49 |
| * | Ameresco Inc. Class A | 6,433 | 47 |
| * | Vivint Solar Inc. | 9,277 | 44 |
| * | Pioneer Energy Services Corp. | 25,632 | 44 |
| * | SilverBow Resources Inc. | 1,908 | 41 |
| ^,* | Approach Resources Inc. | 14,829 | 41 |
| * | Key Energy Services Inc. | 3,140 | 40 |
| * | EP Energy Corp. Class A | 13,272 | 39 |
| * | Contango Oil & Gas Co. | 8,408 | 39 |
| * | Mammoth Energy Services Inc. | 2,783 | 38 |
| * | Independence Contract Drilling Inc. | 11,704 | 38 |
| * | Willbros Group Inc. | 15,778 | 35 |
| * | ProPetro Holding Corp. | 2,908 | 33 |
| * | Earthstone Energy Inc. Class A | 3,402 | 33 |
| | Hallador Energy Co. | 5,513 | 32 |
| | Adams Resources & Energy Inc. | 783 | 27 |
| * | Penn Virginia Corp. | 491 | 19 |
| * | Fairmount Santrol Holdings Inc. | 6,029 | 18 |
| * | Gastar Exploration Inc. | 30,446 | 18 |
| ^,* | Ramaco Resources Inc. | 1,904 | 15 |
| * | Jones Energy Inc. Class A | 14,270 | 14 |
38
| | | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Westmoreland Coal Co. | 4,815 | 11 |
| * | Ring Energy Inc. | 904 | 11 |
| * | Keane Group Inc. | 666 | 9 |
| * | Abraxas Petroleum Corp. | 4,188 | 7 |
| * | Rosehill Resources Inc. | 693 | 4 |
| * | Smart Sand Inc. | 740 | 4 |
| * | NCS Multistage Holdings Inc. | 146 | 3 |
| ^ | Nordic American Offshore Ltd. | 1,376 | 2 |
| *,2 | Global Geophysical Services Inc. | 223 | — |
| | | | 17,719 |
| Financial Services (41.6%) | | |
| * | MGIC Investment Corp. | 124,655 | 1,427 |
| | Wintrust Financial Corp. | 18,672 | 1,360 |
| | Gramercy Property Trust | 43,470 | 1,324 |
| | Cousins Properties Inc. | 141,524 | 1,323 |
| | IBERIABANK Corp. | 17,075 | 1,308 |
| | Umpqua Holdings Corp. | 74,564 | 1,305 |
| | Healthcare Realty Trust Inc. | 38,962 | 1,297 |
| | CNO Financial Group Inc. | 57,720 | 1,290 |
| | Radian Group Inc. | 72,939 | 1,276 |
| * | Starwood Waypoint Homes | 34,111 | 1,270 |
| | Hancock Holding Co. | 28,331 | 1,245 |
| | Sunstone Hotel Investors Inc. | 74,243 | 1,173 |
| | Investors Bancorp Inc. | 87,797 | 1,149 |
| | United Bankshares Inc. | 33,645 | 1,129 |
| | LaSalle Hotel Properties | 38,247 | 1,085 |
| | Chemical Financial Corp. | 23,808 | 1,081 |
| | Stifel Financial Corp. | 22,347 | 1,067 |
| | UMB Financial Corp. | 15,227 | 1,022 |
| | Fulton Financial Corp. | 57,866 | 1,010 |
| | Sterling Bancorp | 44,244 | 993 |
| | MB Financial Inc. | 24,897 | 990 |
| | Valley National Bancorp | 87,380 | 978 |
| | Selective Insurance Group Inc. | 19,361 | 976 |
| | Sabra Health Care REIT Inc. | 44,227 | 966 |
| | Education Realty Trust Inc. | 24,722 | 955 |
| | First Industrial Realty Trust Inc. | 30,666 | 950 |
| | Washington Federal Inc. | 30,320 | 948 |
| | GEO Group Inc. | 32,158 | 889 |
| | Cathay General Bancorp | 24,970 | 881 |
| | First Citizens BancShares Inc. Class A | 2,499 | 851 |
| | Community Bank System Inc. | 16,503 | 849 |
| | STAG Industrial Inc. | 30,073 | 842 |
| | RLJ Lodging Trust | 41,611 | 840 |
| | BancorpSouth Inc. | 28,893 | 839 |
| | Acadia Realty Trust | 28,411 | 815 |
| | American Equity Investment Life Holding Co. | 29,057 | 807 |
| | South State Corp. | 9,731 | 800 |
| * | Enstar Group Ltd. | 3,795 | 788 |
| | Pebblebrook Hotel Trust | 23,267 | 782 |
| | FirstCash Inc. | 12,973 | 762 |
| | DiamondRock Hospitality Co. | 67,648 | 743 |
| | Old National Bancorp | 45,187 | 739 |
| | Columbia Banking System Inc. | 19,656 | 731 |
| | First Midwest Bancorp Inc. | 34,448 | 726 |
| | CVB Financial Corp. | 34,881 | 722 |
| | Xenia Hotels & Resorts Inc. | 35,872 | 716 |
| | Lexington Realty Trust | 72,539 | 715 |
| | Great Western Bancorp Inc. | 19,888 | 714 |
| | Glacier Bancorp Inc. | 21,202 | 704 |
| | Hope Bancorp Inc. | 43,463 | 702 |
| | Mack-Cali Realty Corp. | 30,463 | 697 |
| | Alexander & Baldwin Inc. | 15,726 | 683 |
| | Monogram Residential Trust Inc. | 56,588 | 679 |
39
| | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| Shares | ($000) |
| Trustmark Corp. | 22,789 | 675 |
| International Bancshares Corp. | 18,237 | 656 |
| Invesco Mortgage Capital Inc. | 38,125 | 647 |
| Retail Opportunity Investments Corp. | 32,409 | 643 |
| Kemper Corp. | 13,255 | 635 |
| United Community Banks Inc. | 23,846 | 623 |
| Independent Bank Corp. | 8,899 | 617 |
| Astoria Financial Corp. | 31,239 | 612 |
| Banner Corp. | 11,026 | 608 |
| Capitol Federal Financial Inc. | 43,527 | 597 |
| Hilltop Holdings Inc. | 25,049 | 593 |
| Government Properties Income Trust | 31,645 | 587 |
| National Health Investors Inc. | 7,314 | 586 |
| Argo Group International Holdings Ltd. | 9,739 | 586 |
| Towne Bank | 18,866 | 579 |
| * Genworth Financial Inc. Class A | 168,636 | 578 |
| Renasant Corp. | 14,470 | 576 |
| Apollo Commercial Real Estate Finance Inc. | 31,467 | 569 |
| Kite Realty Group Trust | 27,928 | 562 |
| Washington REIT | 16,686 | 548 |
| First Merchants Corp. | 13,828 | 543 |
| WesBanco Inc. | 14,228 | 540 |
| Simmons First National Corp. Class A | 10,011 | 523 |
| Washington Prime Group Inc. | 62,166 | 519 |
| * FCB Financial Holdings Inc. Class A | 11,807 | 515 |
| Provident Financial Services Inc. | 20,679 | 514 |
| Summit Hotel Properties Inc. | 34,578 | 513 |
| Waddell & Reed Financial Inc. Class A | 27,117 | 505 |
| Chesapeake Lodging Trust | 19,712 | 504 |
| Physicians Realty Trust | 26,676 | 500 |
| Global Net Lease Inc. | 22,675 | 491 |
| First Financial Bancorp | 20,478 | 490 |
| Northwest Bancshares Inc. | 31,543 | 487 |
| Select Income REIT | 20,848 | 484 |
| Horace Mann Educators Corp. | 13,712 | 482 |
| NBT Bancorp Inc. | 14,483 | 475 |
| Employers Holdings Inc. | 10,731 | 452 |
| Union Bankshares Corp. | 14,399 | 451 |
| ^ CBL & Associates Properties Inc. | 56,196 | 450 |
| CYS Investments Inc. | 50,904 | 447 |
| CenterState Banks Inc. | 18,221 | 446 |
| Westamerica Bancorporation | 8,636 | 445 |
| Terreno Realty Corp. | 12,214 | 443 |
| Park National Corp. | 4,515 | 436 |
| * Quality Care Properties Inc. | 31,591 | 433 |
| Redwood Trust Inc. | 25,872 | 432 |
| Agree Realty Corp. | 8,601 | 431 |
| * MBIA Inc. | 41,822 | 421 |
| S&T Bancorp Inc. | 11,680 | 420 |
| Kearny Financial Corp. | 28,708 | 406 |
| Boston Private Financial Holdings Inc. | 27,541 | 405 |
| First Commonwealth Financial Corp. | 32,085 | 405 |
| Berkshire Hills Bancorp Inc. | 11,908 | 403 |
| Rexford Industrial Realty Inc. | 13,226 | 397 |
| LTC Properties Inc. | 7,975 | 388 |
| PennyMac Mortgage Investment Trust | 22,202 | 384 |
| Navigators Group Inc. | 6,865 | 383 |
| Hannon Armstrong Sustainable Infrastructure Capital Inc. | 16,454 | 382 |
| Heartland Financial USA Inc. | 8,312 | 378 |
| Capital Bank Financial Corp. | 9,765 | 367 |
| First Busey Corp. | 12,585 | 363 |
| RE/MAX Holdings Inc. Class A | 5,921 | 363 |
| Brookline Bancorp Inc. | 24,996 | 359 |
| * FNFV Group | 21,214 | 357 |
40
| | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| AmTrust Financial Services Inc. | 28,816 | 357 |
| Tompkins Financial Corp. | 4,698 | 357 |
| Franklin Street Properties Corp. | 35,611 | 355 |
| American Assets Trust Inc. | 8,738 | 355 |
| Beneficial Bancorp Inc. | 23,392 | 350 |
| AMERISAFE Inc. | 6,481 | 349 |
| Safety Insurance Group Inc. | 4,871 | 348 |
| State Bank Financial Corp. | 12,683 | 341 |
| Ramco-Gershenson Properties Trust | 25,800 | 339 |
| LegacyTexas Financial Group Inc. | 9,383 | 338 |
| WSFS Financial Corp. | 7,410 | 331 |
| Parkway Inc. | 14,406 | 331 |
| * Encore Capital Group Inc. | 8,140 | 328 |
| ARMOUR Residential REIT Inc. | 12,348 | 326 |
| Independent Bank Group Inc. | 5,839 | 325 |
| Ladder Capital Corp. Class A | 23,651 | 325 |
| InfraREIT Inc. | 14,418 | 324 |
| City Holding Co. | 5,091 | 322 |
| ^ Seritage Growth Properties Class A | 6,700 | 322 |
| * First BanCorp | 55,295 | 314 |
| FelCor Lodging Trust Inc. | 42,797 | 312 |
| Monmouth Real Estate Investment Corp. | 19,179 | 312 |
| Capstead Mortgage Corp. | 31,903 | 309 |
| First Interstate BancSystem Inc. Class A | 8,754 | 308 |
| United Fire Group Inc. | 7,268 | 306 |
| * BofI Holding Inc. | 11,509 | 305 |
| Nelnet Inc. Class A | 6,421 | 305 |
| * Seacoast Banking Corp. of Florida | 13,310 | 304 |
| Southside Bancshares Inc. | 9,317 | 304 |
| Sandy Spring Bancorp Inc. | 7,866 | 303 |
| First Financial Bankshares Inc. | 7,548 | 302 |
| * St. Joe Co. | 15,998 | 302 |
| * Pacific Premier Bancorp Inc. | 8,493 | 301 |
| Tier REIT Inc. | 16,253 | 299 |
| United Financial Bancorp Inc. | 17,074 | 296 |
| MTGE Investment Corp. | 15,327 | 294 |
| Lakeland Financial Corp. | 6,746 | 293 |
| National Storage Affiliates Trust | 13,126 | 293 |
| * Texas Capital Bancshares Inc. | 3,893 | 289 |
| Enterprise Financial Services Corp. | 7,513 | 287 |
| BancFirst Corp. | 5,639 | 284 |
| Hanmi Financial Corp. | 10,644 | 284 |
| * Ambac Financial Group Inc. | 15,379 | 280 |
| Lakeland Bancorp Inc. | 14,975 | 277 |
| Banco Latinoamericano de Comercio Exterior SA | 10,198 | 275 |
| * iStar Inc. | 23,658 | 275 |
| Infinity Property & Casualty Corp. | 3,101 | 274 |
| Banc of California Inc. | 14,758 | 274 |
| MainSource Financial Group Inc. | 8,268 | 271 |
| Central Pacific Financial Corp. | 9,286 | 269 |
| * Customers Bancorp Inc. | 9,476 | 267 |
| Heritage Financial Corp. | 10,021 | 262 |
| OceanFirst Financial Corp. | 10,494 | 262 |
| Washington Trust Bancorp Inc. | 5,092 | 261 |
| Investors Real Estate Trust | 41,538 | 261 |
| Chatham Lodging Trust | 12,813 | 260 |
| Kennedy-Wilson Holdings Inc. | 13,446 | 260 |
| Stock Yards Bancorp Inc. | 7,429 | 259 |
| Flushing Financial Corp. | 9,441 | 258 |
| Univest Corp. of Pennsylvania | 8,786 | 256 |
| National Western Life Group Inc. Class A | 757 | 253 |
| Piper Jaffray Cos. | 4,560 | 253 |
| First Bancorp | 8,171 | 253 |
| Getty Realty Corp. | 9,144 | 252 |
41
| | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Easterly Government Properties Inc. | 12,556 | 252 |
| 1st Source Corp. | 5,347 | 250 |
| * HomeStreet Inc. | 9,869 | 249 |
| TrustCo Bank Corp. NY | 31,267 | 247 |
| * Forestar Group Inc. | 14,343 | 247 |
| Stewart Information Services Corp. | 6,813 | 246 |
| TriCo Bancshares | 6,857 | 244 |
| Hersha Hospitality Trust Class A | 13,136 | 244 |
| New Senior Investment Group Inc. | 26,362 | 243 |
| New York Mortgage Trust Inc. | 38,058 | 238 |
| James River Group Holdings Ltd. | 5,965 | 238 |
| Meridian Bancorp Inc. | 13,467 | 237 |
| * Flagstar Bancorp Inc. | 7,195 | 236 |
| Independence Realty Trust Inc. | 22,830 | 235 |
| PJT Partners Inc. | 6,011 | 232 |
| Pennsylvania REIT | 23,153 | 232 |
| Bryn Mawr Bank Corp. | 5,582 | 229 |
| German American Bancorp Inc. | 6,993 | 228 |
| * Greenlight Capital Re Ltd. Class A | 10,176 | 226 |
| NorthStar Realty Europe Corp. | 18,214 | 226 |
| FBL Financial Group Inc. Class A | 3,326 | 226 |
| Community Trust Bancorp Inc. | 5,156 | 219 |
| First Potomac Realty Trust | 19,227 | 214 |
| Oritani Financial Corp. | 13,259 | 213 |
| Northfield Bancorp Inc. | 12,993 | 209 |
| Urstadt Biddle Properties Inc. Class A | 9,868 | 204 |
| Camden National Corp. | 5,211 | 203 |
| Virtus Investment Partners Inc. | 1,908 | 202 |
| Dime Community Bancshares Inc. | 10,663 | 202 |
| Altisource Residential Corp. | 16,433 | 199 |
| Federal Agricultural Mortgage Corp. | 2,919 | 199 |
| CoBiz Financial Inc. | 11,568 | 197 |
| Bridge Bancorp Inc. | 6,250 | 193 |
| Anworth Mortgage Asset Corp. | 31,498 | 191 |
| Meta Financial Group Inc. | 2,664 | 187 |
| Preferred Apartment Communities Inc. Class A | 10,275 | 187 |
| Investment Technology Group Inc. | 9,275 | 186 |
| Horizon Bancorp | 7,006 | 183 |
| * INTL. FCStone Inc. | 5,166 | 183 |
| Great Southern Bancorp Inc. | 3,672 | 183 |
| AG Mortgage Investment Trust Inc. | 9,472 | 183 |
| * Third Point Reinsurance Ltd. | 12,958 | 182 |
| * PRA Group Inc. | 6,296 | 182 |
| Stonegate Bank | 3,662 | 177 |
| QCR Holdings Inc. | 4,009 | 175 |
| Gladstone Commercial Corp. | 8,102 | 173 |
| First of Long Island Corp. | 6,475 | 173 |
| * Nationstar Mortgage Holdings Inc. | 10,042 | 173 |
| National Bank Holdings Corp. Class A | 5,357 | 172 |
| Peoples Bancorp Inc. | 5,541 | 172 |
| * NMI Holdings Inc. Class A | 15,818 | 172 |
| ConnectOne Bancorp Inc. | 7,508 | 171 |
| Bank of NT Butterfield & Son Ltd. | 5,163 | 170 |
| * CU Bancorp | 4,734 | 169 |
| Peapack Gladstone Financial Corp. | 5,508 | 168 |
| Guaranty Bancorp | 6,448 | 166 |
| * Nicolet Bankshares Inc. | 3,024 | 165 |
| Mercantile Bank Corp. | 5,437 | 165 |
| Ashford Hospitality Trust Inc. | 26,337 | 164 |
| Fidelity Southern Corp. | 7,413 | 162 |
| First Defiance Financial Corp. | 3,245 | 159 |
| Four Corners Property Trust Inc. | 6,232 | 158 |
| Whitestone REIT | 12,398 | 155 |
| Maiden Holdings Ltd. | 21,099 | 153 |
42
| | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| First Financial Corp. | 3,519 | 153 |
| Southwest Bancorp Inc. | 6,037 | 152 |
| CatchMark Timber Trust Inc. Class A | 13,117 | 151 |
| United Community Financial Corp. | 16,599 | 151 |
| * EZCORP Inc. Class A | 16,667 | 151 |
| Midland States Bancorp Inc. | 4,917 | 150 |
| * World Acceptance Corp. | 2,000 | 150 |
| Heritage Commerce Corp. | 10,996 | 147 |
| Western Asset Mortgage Capital Corp. | 13,936 | 146 |
| First Community Bancshares Inc. | 5,543 | 143 |
| Independent Bank Corp. | 6,931 | 141 |
| * Triumph Bancorp Inc. | 5,005 | 141 |
| Greenhill & Co. Inc. | 9,376 | 141 |
| Waterstone Financial Inc. | 7,882 | 139 |
| * MoneyGram International Inc. | 8,813 | 139 |
| * Cowen Inc. Class A | 8,452 | 137 |
| State Auto Financial Corp. | 5,383 | 133 |
| * Bancorp Inc. | 16,951 | 133 |
| Park Sterling Corp. | 11,675 | 133 |
| Bar Harbor Bankshares | 5,046 | 133 |
| * Eagle Bancorp Inc. | 2,123 | 132 |
| CorEnergy Infrastructure Trust Inc. | 4,037 | 132 |
| Ameris Bancorp | 2,975 | 131 |
| * HomeTrust Bancshares Inc. | 5,616 | 130 |
| NexPoint Residential Trust Inc. | 5,529 | 129 |
| Cedar Realty Trust Inc. | 25,397 | 128 |
| Bank of Marin Bancorp | 1,943 | 127 |
| Financial Institutions Inc. | 4,663 | 127 |
| OneBeacon Insurance Group Ltd. Class A | 6,939 | 126 |
| Bank Mutual Corp. | 13,762 | 126 |
| OFG Bancorp | 14,227 | 124 |
| Fidelity & Guaranty Life | 3,942 | 123 |
| Access National Corp. | 4,790 | 123 |
| Ares Commercial Real Estate Corp. | 9,247 | 122 |
| * Citizens Inc. Class A | 16,061 | 121 |
| Arrow Financial Corp. | 3,713 | 120 |
| One Liberty Properties Inc. | 4,990 | 120 |
| MidWestOne Financial Group Inc. | 3,606 | 119 |
| Republic Bancorp Inc. Class A | 3,316 | 118 |
| * Green Bancorp Inc. | 5,882 | 118 |
| * TriState Capital Holdings Inc. | 5,571 | 116 |
| * Global Indemnity Ltd. | 2,851 | 115 |
| RLI Corp. | 2,142 | 115 |
| Dynex Capital Inc. | 15,966 | 114 |
| CNB Financial Corp. | 4,725 | 114 |
| First Mid-Illinois Bancshares Inc. | 3,235 | 112 |
| Clifton Bancorp Inc. | 7,063 | 111 |
| ^ Orchid Island Capital Inc. | 11,487 | 111 |
| Farmers National Banc Corp. | 8,088 | 111 |
| * Republic First Bancorp Inc. | 13,041 | 110 |
| * First Foundation Inc. | 6,385 | 108 |
| Resource Capital Corp. | 10,427 | 108 |
| City Office REIT Inc. | 8,367 | 107 |
| Old Second Bancorp Inc. | 9,279 | 106 |
| WashingtonFirst Bankshares Inc. | 3,120 | 106 |
| * PICO Holdings Inc. | 6,488 | 105 |
| * PCSB Financial Corp. | 6,226 | 105 |
| Sierra Bancorp | 4,152 | 105 |
| Enterprise Bancorp Inc. | 3,260 | 104 |
| Southern National Bancorp of Virginia Inc. | 6,159 | 103 |
| People's Utah Bancorp | 3,759 | 103 |
| American National Bankshares Inc. | 2,812 | 103 |
| Arlington Asset Investment Corp. Class A | 7,925 | 102 |
| National General Holdings Corp. | 5,923 | 102 |
43
| | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * Tejon Ranch Co. | 5,053 | 101 |
| * Ocwen Financial Corp. | 34,262 | 100 |
| * Atlantic Capital Bancshares Inc. | 5,541 | 99 |
| * FRP Holdings Inc. | 2,259 | 99 |
| Peoples Financial Services Corp. | 2,358 | 98 |
| * Franklin Financial Network Inc. | 2,980 | 97 |
| NewStar Financial Inc. | 8,859 | 95 |
| Farmers Capital Bank Corp. | 2,534 | 95 |
| First Connecticut Bancorp Inc. | 3,802 | 94 |
| West Bancorporation Inc. | 4,236 | 93 |
| * Enova International Inc. | 7,788 | 93 |
| Community Healthcare Trust Inc. | 3,475 | 92 |
| National Bankshares Inc. | 2,332 | 92 |
| First Bancorp Inc. | 3,514 | 91 |
| Citizens & Northern Corp. | 4,048 | 91 |
| ^ Farmland Partners Inc. | 10,124 | 90 |
| Heritage Insurance Holdings Inc. | 7,868 | 90 |
| * Veritex Holdings Inc. | 3,358 | 89 |
| * PennyMac Financial Services Inc. Class A | 5,142 | 87 |
| Western New England Bancorp Inc. | 8,712 | 87 |
| Macatawa Bank Corp. | 8,958 | 86 |
| * Safeguard Scientifics Inc. | 6,999 | 85 |
| Pacific Continental Corp. | 3,594 | 85 |
| MedEquities Realty Trust Inc. | 7,276 | 83 |
| * WMIH Corp. | 66,703 | 83 |
| * Equity Bancshares Inc. Class A | 2,428 | 83 |
| First Bancshares Inc. | 2,920 | 82 |
| EMC Insurance Group Inc. | 2,936 | 82 |
| * Farmers & Merchants Bancorp Inc. | 1,216 | 81 |
| Sutherland Asset Management Corp. | 5,300 | 81 |
| Ashford Hospitality Prime Inc. | 8,393 | 81 |
| * On Deck Capital Inc. | 16,674 | 81 |
| Bluerock Residential Growth REIT Inc. Class A | 7,943 | 80 |
| * Ladenburg Thalmann Financial Services Inc. | 31,129 | 80 |
| Territorial Bancorp Inc. | 2,646 | 80 |
| BankFinancial Corp. | 4,977 | 80 |
| GAIN Capital Holdings Inc. | 12,585 | 79 |
| Home Bancorp Inc. | 1,963 | 79 |
| Sun Bancorp Inc. | 3,379 | 79 |
| Capital City Bank Group Inc. | 3,812 | 79 |
| Blue Hills Bancorp Inc. | 4,184 | 78 |
| * National Commerce Corp. | 1,953 | 78 |
| * Southern First Bancshares Inc. | 2,184 | 77 |
| B. Riley Financial Inc. | 4,704 | 77 |
| Ames National Corp. | 2,804 | 76 |
| Summit Financial Group Inc. | 3,444 | 75 |
| Great Ajax Corp. | 5,290 | 75 |
| Cherry Hill Mortgage Investment Corp. | 4,048 | 75 |
| KKR Real Estate Finance Trust Inc. | 3,590 | 75 |
| MutualFirst Financial Inc. | 2,091 | 74 |
| Shore Bancshares Inc. | 4,305 | 71 |
| Old Line Bancshares Inc. | 2,575 | 71 |
| * Regional Management Corp. | 3,220 | 71 |
| Codorus Valley Bancorp Inc. | 2,798 | 70 |
| Northrim BanCorp Inc. | 2,335 | 70 |
| Baldwin & Lyons Inc. | 3,179 | 70 |
| Civista Bancshares Inc. | 3,414 | 69 |
| Penns Woods Bancorp Inc. | 1,588 | 68 |
| Federated National Holding Co. | 4,357 | 68 |
| Central Valley Community Bancorp | 3,432 | 68 |
| First Internet Bancorp | 2,122 | 68 |
| Century Bancorp Inc. Class A | 1,006 | 67 |
| * Paragon Commercial Corp. | 1,286 | 67 |
| * Walker & Dunlop Inc. | 1,363 | 66 |
44
| | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Evans Bancorp Inc. | 1,588 | 66 |
| Bear State Financial Inc. | 6,242 | 64 |
| Home BancShares Inc. | 2,723 | 63 |
| EVERTEC Inc. | 3,433 | 63 |
| Orrstown Financial Services Inc. | 2,555 | 62 |
| * Community Bankers Trust Corp. | 7,383 | 62 |
| Jernigan Capital Inc. | 3,188 | 62 |
| Southern Missouri Bancorp Inc. | 1,901 | 62 |
| MBT Financial Corp. | 6,069 | 62 |
| Premier Financial Bancorp Inc. | 3,236 | 61 |
| First Business Financial Services Inc. | 2,865 | 61 |
| * BSB Bancorp Inc. | 2,119 | 60 |
| Owens Realty Mortgage Inc. | 3,467 | 60 |
| Stratus Properties Inc. | 2,029 | 60 |
| Timberland Bancorp Inc. | 2,140 | 59 |
| * AV Homes Inc. | 3,793 | 59 |
| * NI Holdings Inc. | 3,532 | 58 |
| Norwood Financial Corp. | 1,313 | 58 |
| Universal Insurance Holdings Inc. | 2,695 | 58 |
| ^ Commerce Union Bancshares Inc. | 2,385 | 57 |
| * SmartFinancial Inc. | 2,462 | 57 |
| SI Financial Group Inc. | 3,869 | 57 |
| LCNB Corp. | 3,055 | 56 |
| Bank of Commerce Holdings | 5,333 | 56 |
| * Cadence BanCorp | 2,657 | 55 |
| * First Northwest Bancorp | 3,467 | 55 |
| * LendingClub Corp. | 8,881 | 55 |
| Oppenheimer Holdings Inc. Class A | 3,377 | 55 |
| FNB Bancorp | 1,821 | 55 |
| Charter Financial Corp. | 3,330 | 54 |
| Tiptree Inc. | 8,431 | 54 |
| Northeast Bancorp | 2,495 | 54 |
| ACNB Corp. | 2,051 | 54 |
| Riverview Bancorp Inc. | 6,617 | 53 |
| C&F Financial Corp. | 1,125 | 53 |
| * Malvern Bancorp Inc. | 2,206 | 53 |
| Associated Capital Group Inc. Class A | 1,511 | 52 |
| Prudential Bancorp Inc. | 2,794 | 52 |
| Bankwell Financial Group Inc. | 1,515 | 51 |
| Independence Holding Co. | 2,360 | 51 |
| Xenith Bankshares Inc. | 1,765 | 51 |
| * Entegra Financial Corp. | 2,173 | 50 |
| Clipper Realty Inc. | 4,509 | 50 |
| Carolina Financial Corp. | 1,457 | 50 |
| County Bancorp Inc. | 1,617 | 49 |
| * Impac Mortgage Holdings Inc. | 3,640 | 48 |
| * Hallmark Financial Services Inc. | 4,679 | 48 |
| Community Financial Corp. | 1,362 | 48 |
| * Howard Bancorp Inc. | 2,409 | 48 |
| Kingstone Cos. Inc. | 3,114 | 47 |
| Donegal Group Inc. Class A | 3,028 | 46 |
| Ohio Valley Banc Corp. | 1,403 | 46 |
| Unity Bancorp Inc. | 2,654 | 46 |
| * Opus Bank | 2,048 | 46 |
| * Sunshine Bancorp Inc. | 2,116 | 46 |
| ESSA Bancorp Inc. | 3,007 | 45 |
| Two River Bancorp | 2,477 | 45 |
| Peoples Bancorp of North Carolina Inc. | 1,454 | 44 |
| HCI Group Inc. | 1,127 | 44 |
| * ASB Bancorp Inc. | 968 | 43 |
| Chemung Financial Corp. | 1,051 | 42 |
| Hingham Institution for Savings | 230 | 42 |
| Ellington Residential Mortgage REIT | 2,879 | 42 |
| Investar Holding Corp. | 1,904 | 42 |
45
| | | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | United Security Bancshares | 4,480 | 41 |
| | Provident Financial Holdings Inc. | 2,139 | 41 |
| | Middlefield Banc Corp. | 899 | 40 |
| | First Financial Northwest Inc. | 2,504 | 40 |
| * | FB Financial Corp. | 1,149 | 40 |
| * | HarborOne Bancorp Inc. | 2,314 | 40 |
| | Global Medical REIT Inc. | 4,694 | 40 |
| * | Allegiance Bancshares Inc. | 1,162 | 40 |
| * | Pacific Mercantile Bancorp | 4,539 | 39 |
| | Old Point Financial Corp. | 1,246 | 38 |
| | Parke Bancorp Inc. | 1,957 | 38 |
| | GAMCO Investors Inc. Class A | 1,287 | 38 |
| | Blue Capital Reinsurance Holdings Ltd. | 2,011 | 38 |
| * | Capstar Financial Holdings Inc. | 2,098 | 36 |
| * | HRG Group Inc. | 2,264 | 36 |
| | Hamilton Lane Inc. Class A | 1,520 | 36 |
| | First Guaranty Bancshares Inc. | 1,341 | 35 |
| | CareTrust REIT Inc. | 1,810 | 35 |
| | DNB Financial Corp. | 1,067 | 35 |
| | MidSouth Bancorp Inc. | 2,871 | 34 |
| | BCB Bancorp Inc. | 2,390 | 34 |
| * | Atlas Financial Holdings Inc. | 1,720 | 29 |
| * | Elevate Credit Inc. | 4,562 | 29 |
| | RAIT Financial Trust | 31,731 | 26 |
| | Saul Centers Inc. | 421 | 26 |
| | UMH Properties Inc. | 1,558 | 25 |
| * | Provident Bancorp Inc. | 1,139 | 23 |
| | United Insurance Holdings Corp. | 1,419 | 22 |
| | Armada Hoffler Properties Inc. | 1,654 | 22 |
| ^,*,2 | Wins Finance Holdings Inc. | 100 | 21 |
| | Investors Title Co. | 109 | 19 |
| * | Donnelley Financial Solutions Inc. | 804 | 17 |
| | State National Cos. Inc. | 738 | 15 |
| * | eHealth Inc. | 589 | 14 |
| | Alexander's Inc. | 33 | 14 |
| | Pzena Investment Management Inc. Class A | 1,293 | 13 |
| | California First National Bancorp | 694 | 11 |
| | Oconee Federal Financial Corp. | 376 | 11 |
| | Griffin Industrial Realty Inc. | 249 | 9 |
| * | Transcontinental Realty Investors Inc. | 397 | 8 |
| | Crawford & Co. Class B | 773 | 8 |
| | Medley Management Inc. Class A | 1,072 | 7 |
| | Union Bankshares Inc. | 134 | 6 |
| | Greene County Bancorp Inc. | 178 | 4 |
| * | Redfin Corp. | 67 | 2 |
| | Value Line Inc. | 29 | — |
| | Consolidated-Tomoka Land Co. | 3 | — |
| | | | 132,245 |
| Health Care (5.8%) | | |
| * | Bluebird Bio Inc. | 9,174 | 1,145 |
| * | LivaNova plc | 16,252 | 1,017 |
| * | Allscripts Healthcare Solutions Inc. | 60,633 | 797 |
| * | Horizon Pharma plc | 54,549 | 746 |
| * | Halyard Health Inc. | 15,611 | 707 |
| * | Myriad Genetics Inc. | 21,348 | 651 |
| | Owens & Minor Inc. | 20,238 | 565 |
| * | Impax Laboratories Inc. | 24,523 | 531 |
| * | Integer Holdings Corp. | 10,309 | 474 |
| | CONMED Corp. | 9,084 | 451 |
| * | Five Prime Therapeutics Inc. | 9,190 | 312 |
| * | Momenta Pharmaceuticals Inc. | 18,107 | 305 |
| | Analogic Corp. | 4,235 | 303 |
| * | Retrophin Inc. | 12,317 | 301 |
| * | PharMerica Corp. | 10,124 | 298 |
46
| | | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Dynavax Technologies Corp. | 15,302 | 275 |
| * | Immunomedics Inc. | 20,840 | 263 |
| * | Acorda Therapeutics Inc. | 12,620 | 263 |
| * | Spectrum Pharmaceuticals Inc. | 26,474 | 258 |
| * | ICU Medical Inc. | 1,450 | 253 |
| * | Community Health Systems Inc. | 32,388 | 247 |
| | National HealthCare Corp. | 3,837 | 239 |
| | Kindred Healthcare Inc. | 28,590 | 232 |
| * | Orthofix International NV | 4,648 | 229 |
| * | Enanta Pharmaceuticals Inc. | 5,284 | 226 |
| * | Emergent BioSolutions Inc. | 5,899 | 220 |
| * | AngioDynamics Inc. | 12,313 | 210 |
| * | Intra-Cellular Therapies Inc. Class A | 11,137 | 205 |
| * | Achillion Pharmaceuticals Inc. | 39,583 | 202 |
| * | AMAG Pharmaceuticals Inc. | 11,833 | 198 |
| * | Sarepta Therapeutics Inc. | 4,635 | 187 |
| * | Prothena Corp. plc | 2,953 | 181 |
| * | Magellan Health Inc. | 2,194 | 178 |
| ^,* | Lannett Co. Inc. | 9,550 | 168 |
| * | PDL BioPharma Inc. | 51,542 | 161 |
| * | Tivity Health Inc. | 4,033 | 158 |
| * | REGENXBIO Inc. | 6,709 | 153 |
| * | MacroGenics Inc. | 8,041 | 152 |
| * | Almost Family Inc. | 3,060 | 149 |
| | Invacare Corp. | 10,808 | 146 |
| * | Haemonetics Corp. | 3,390 | 146 |
| * | Triple-S Management Corp. Class B | 5,843 | 144 |
| | Luminex Corp. | 7,457 | 144 |
| * | Atara Biotherapeutics Inc. | 8,774 | 138 |
| | Ensign Group Inc. | 6,705 | 138 |
| * | Alder Biopharmaceuticals Inc. | 13,365 | 131 |
| * | SciClone Pharmaceuticals Inc. | 10,610 | 117 |
| * | Abeona Therapeutics Inc. | 8,328 | 110 |
| * | BioScrip Inc. | 35,050 | 106 |
| * | Intellia Therapeutics Inc. | 4,883 | 103 |
| * | Exactech Inc. | 3,361 | 103 |
| * | Celldex Therapeutics Inc. | 41,685 | 103 |
| * | Quality Systems Inc. | 6,430 | 101 |
| * | Iovance Biotherapeutics Inc. | 16,948 | 97 |
| * | Karyopharm Therapeutics Inc. | 9,114 | 93 |
| * | Tetraphase Pharmaceuticals Inc. | 13,032 | 91 |
| * | Medpace Holdings Inc. | 2,533 | 83 |
| * | Portola Pharmaceuticals Inc. | 1,281 | 81 |
| * | Cross Country Healthcare Inc. | 6,526 | 81 |
| * | BioTime Inc. | 26,035 | 76 |
| * | Acceleron Pharma Inc. | 1,910 | 74 |
| * | Collegium Pharmaceutical Inc. | 7,337 | 74 |
| * | CryoLife Inc. | 3,467 | 72 |
| * | Editas Medicine Inc. | 3,306 | 70 |
| * | Array BioPharma Inc. | 7,176 | 69 |
| * | Medicines Co. | 1,829 | 67 |
| * | HMS Holdings Corp. | 3,774 | 67 |
| * | NantKwest Inc. | 10,519 | 66 |
| * | Chimerix Inc. | 13,693 | 65 |
| * | Epizyme Inc. | 3,749 | 65 |
| * | Novavax Inc. | 59,647 | 63 |
| * | Ardelyx Inc. | 11,510 | 59 |
| * | Stemline Therapeutics Inc. | 6,406 | 58 |
| * | NanoString Technologies Inc. | 3,752 | 58 |
| * | Sientra Inc. | 4,928 | 56 |
| * | Immune Design Corp. | 5,186 | 56 |
| | Computer Programs & Systems Inc. | 1,840 | 55 |
| * | Concert Pharmaceuticals Inc. | 3,600 | 55 |
| * | Dermira Inc. | 2,309 | 54 |
47
| | | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Adamas Pharmaceuticals Inc. | 2,391 | 50 |
| * | Kindred Biosciences Inc. | 6,489 | 49 |
| * | Voyager Therapeutics Inc. | 5,012 | 48 |
| * | Corvus Pharmaceuticals Inc. | 2,903 | 47 |
| * | Cempra Inc. | 15,137 | 46 |
| * | PTC Therapeutics Inc. | 2,212 | 46 |
| * | Anika Therapeutics Inc. | 852 | 46 |
| * | Cascadian Therapeutics Inc. | 11,807 | 43 |
| * | Trevena Inc. | 17,801 | 43 |
| * | Insmed Inc. | 3,046 | 38 |
| * | Fate Therapeutics Inc. | 9,870 | 37 |
| | Novelion Therapeutics Inc. | 5,195 | 37 |
| * | AAC Holdings Inc. | 3,952 | 37 |
| * | Heron Therapeutics Inc. | 2,217 | 37 |
| * | Providence Service Corp. | 694 | 36 |
| * | Recro Pharma Inc. | 4,580 | 35 |
| * | Otonomy Inc. | 9,562 | 34 |
| * | ConforMIS Inc. | 9,138 | 34 |
| * | Bellicum Pharmaceuticals Inc. | 2,875 | 31 |
| * | Protagonist Therapeutics Inc. | 1,859 | 30 |
| | Meridian Bioscience Inc. | 1,879 | 26 |
| * | Zogenix Inc. | 2,119 | 25 |
| * | MyoKardia Inc. | 539 | 23 |
| ^,* | Nymox Pharmaceutical Corp. | 6,026 | 22 |
| * | LHC Group Inc. | 335 | 22 |
| * | OraSure Technologies Inc. | 1,055 | 22 |
| * | Clearside Biomedical Inc. | 3,069 | 21 |
| * | BioCryst Pharmaceuticals Inc. | 3,946 | 20 |
| * | RTI Surgical Inc. | 4,471 | 20 |
| | Merrimack Pharmaceuticals Inc. | 14,238 | 19 |
| * | Cara Therapeutics Inc. | 1,259 | 18 |
| ^,* | NantHealth Inc. | 6,144 | 17 |
| * | Sucampo Pharmaceuticals Inc. Class A | 1,262 | 15 |
| | Phibro Animal Health Corp. Class A | 414 | 15 |
| * | Agenus Inc. | 3,940 | 15 |
| * | Biohaven Pharmaceutical Holding Co. Ltd. | 396 | 14 |
| * | Quotient Ltd. | 3,403 | 13 |
| * | Lantheus Holdings Inc. | 741 | 13 |
| | Utah Medical Products Inc. | 179 | 13 |
| * | Accelerate Diagnostics Inc. | 512 | 12 |
| * | Cerus Corp. | 4,750 | 11 |
| | National Research Corp. Class A | 340 | 11 |
| * | Obalon Therapeutics Inc. | 1,162 | 10 |
| * | Audentes Therapeutics Inc. | 496 | 10 |
| * | R1 RCM Inc. | 3,021 | 10 |
| * | Enzo Biochem Inc. | 818 | 9 |
| * | MediciNova Inc. | 1,693 | 9 |
| * | Minerva Neurosciences Inc. | 1,317 | 8 |
| * | Genocea Biosciences Inc. | 1,573 | 8 |
| * | FONAR Corp. | 251 | 7 |
| * | Advaxis Inc. | 1,063 | 7 |
| ^,* | Rockwell Medical Inc. | 1,117 | 7 |
| * | Miragen Therapeutics Inc. | 731 | 7 |
| * | American Renal Associates Holdings Inc. | 379 | 5 |
| * | Idera Pharmaceuticals Inc. | 2,495 | 5 |
| * | Tocagen Inc. | 343 | 5 |
| * | Codexis Inc. | 690 | 4 |
| * | Neos Therapeutics Inc. | 457 | 4 |
| * | Athersys Inc. | 1,900 | 3 |
| * | Syndax Pharmaceuticals Inc. | 236 | 3 |
| | | | 18,457 |
| Materials & Processing (5.9%) | | |
| | Belden Inc. | 14,104 | 1,087 |
| * | Cleveland-Cliffs Inc. | 99,957 | 836 |
48
| | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * Rexnord Corp. | 34,990 | 836 |
| * Allegheny Technologies Inc. | 36,410 | 758 |
| Commercial Metals Co. | 38,748 | 732 |
| Hecla Mining Co. | 132,313 | 699 |
| * GCP Applied Technologies Inc. | 24,241 | 685 |
| Carpenter Technology Corp. | 15,555 | 630 |
| * AK Steel Holding Corp. | 105,609 | 591 |
| Kaiser Aluminum Corp. | 5,501 | 530 |
| Simpson Manufacturing Co. Inc. | 11,464 | 502 |
| * MRC Global Inc. | 29,833 | 470 |
| Tronox Ltd. Class A | 21,921 | 454 |
| * Coeur Mining Inc. | 50,805 | 445 |
| Innospec Inc. | 7,864 | 436 |
| * BMC Stock Holdings Inc. | 20,681 | 420 |
| Minerals Technologies Inc. | 5,099 | 326 |
| * Boise Cascade Co. | 10,612 | 318 |
| * Gibraltar Industries Inc. | 10,795 | 316 |
| Schweitzer-Mauduit International Inc. | 8,263 | 313 |
| * Century Aluminum Co. | 15,646 | 305 |
| Trinseo SA | 4,496 | 301 |
| Innophos Holdings Inc. | 6,450 | 295 |
| US Silica Holdings Inc. | 10,517 | 286 |
| * Kraton Corp. | 7,825 | 257 |
| PH Glatfelter Co. | 14,617 | 253 |
| Materion Corp. | 6,617 | 253 |
| * Clearwater Paper Corp. | 5,395 | 251 |
| * Beacon Roofing Supply Inc. | 5,216 | 246 |
| Mueller Water Products Inc. Class A | 20,437 | 245 |
| Schnitzer Steel Industries Inc. | 8,983 | 242 |
| HB Fuller Co. | 4,219 | 212 |
| Quanex Building Products Corp. | 10,692 | 210 |
| * TimkenSteel Corp. | 13,590 | 202 |
| American Vanguard Corp. | 9,451 | 191 |
| Calgon Carbon Corp. | 15,333 | 187 |
| Stepan Co. | 2,402 | 186 |
| * Unifi Inc. | 5,199 | 162 |
| * Klondex Mines Ltd. | 42,099 | 142 |
| Tredegar Corp. | 8,423 | 137 |
| Haynes International Inc. | 4,238 | 129 |
| * Intrepid Potash Inc. | 32,630 | 121 |
| * Armstrong Flooring Inc. | 7,907 | 118 |
| FutureFuel Corp. | 8,607 | 116 |
| * Veritiv Corp. | 3,888 | 109 |
| Aceto Corp. | 9,865 | 105 |
| Hawkins Inc. | 2,658 | 95 |
| * Landec Corp. | 7,055 | 92 |
| * Caesarstone Ltd. | 2,837 | 82 |
| * Louisiana-Pacific Corp. | 3,057 | 78 |
| Rayonier Advanced Materials Inc. | 5,407 | 74 |
| Gold Resource Corp. | 18,082 | 72 |
| Oil-Dri Corp. of America | 1,730 | 70 |
| Universal Forest Products Inc. | 793 | 69 |
| Neenah Paper Inc. | 886 | 68 |
| Compass Minerals International Inc. | 1,015 | 68 |
| Worthington Industries Inc. | 1,319 | 66 |
| DMC Global Inc. | 4,866 | 63 |
| * Northwest Pipe Co. | 3,290 | 60 |
| Greif Inc. Class A | 981 | 59 |
| * UFP Technologies Inc. | 2,226 | 59 |
| * Nexeo Solutions Inc. | 8,062 | 58 |
| Olympic Steel Inc. | 3,089 | 56 |
| LB Foster Co. Class A | 2,868 | 55 |
| * Verso Corp. | 10,128 | 54 |
| * AgroFresh Solutions Inc. | 7,378 | 53 |
49
| | | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Core Molding Technologies Inc. | 2,530 | 52 |
| | Eastern Co. | 1,919 | 50 |
| | United States Lime & Minerals Inc. | 608 | 49 |
| | Ampco-Pittsburgh Corp. | 3,148 | 48 |
| | LSI Industries Inc. | 8,351 | 48 |
| * | Ryerson Holding Corp. | 5,517 | 47 |
| * | LSB Industries Inc. | 7,452 | 45 |
| * | AdvanSix Inc. | 1,395 | 45 |
| * | OMNOVA Solutions Inc. | 5,072 | 44 |
| | Interface Inc. Class A | 2,211 | 42 |
| * | Foundation Building Materials Inc. | 3,060 | 40 |
| | Griffon Corp. | 1,495 | 28 |
| * | NL Industries Inc. | 2,917 | 22 |
| | Greif Inc. Class B | 306 | 19 |
| | Valhi Inc. | 7,952 | 17 |
| | Global Brass & Copper Holdings Inc. | 573 | 17 |
| | Insteel Industries Inc. | 665 | 17 |
| * | Handy & Harman Ltd. | 436 | 14 |
| * | Lawson Products Inc. | 580 | 14 |
| * | Huttig Building Products Inc. | 2,184 | 12 |
| * | Shiloh Industries Inc. | 1,093 | 10 |
| | CompX International Inc. | 544 | 8 |
| * | Uranium Energy Corp. | 3,704 | 5 |
| *,2 | Ferroglobe R&W Trust | 19,424 | — |
| | | | 18,689 |
| Other (0.0%)3 | | |
| * | Safety Income and Growth Inc. | 429 | 8 |
| * | Venator Materials plc | 400 | 8 |
| * | Akcea Therapeutics Inc. | 300 | 6 |
| * | G1 Therapeutics Inc. | 150 | 3 |
| * | Byline Bancorp Inc. | 120 | 2 |
| * | Mersana Therapeutics Inc. | 125 | 2 |
| * | Tintri Inc. | 300 | 2 |
| * | Sienna Biopharmaceuticals Inc. | 70 | 2 |
| * | RBB Bancorp | 70 | 2 |
| *,2 | Media General Inc. CVR | 35,434 | 1 |
| *,2 | Gerber Scientific Inc. CVR | 519 | — |
| | | | 36 |
| Producer Durables (11.1%) | | |
| * | Darling Ingredients Inc. | 55,124 | 959 |
| | Barnes Group Inc. | 14,653 | 916 |
| * | KLX Inc. | 17,478 | 838 |
| | GATX Corp. | 12,990 | 787 |
| * | Esterline Technologies Corp. | 8,733 | 746 |
| * | Moog Inc. Class A | 9,677 | 743 |
| | Convergys Corp. | 31,524 | 741 |
| | UniFirst Corp. | 5,128 | 736 |
| | KBR Inc. | 42,778 | 696 |
| | SkyWest Inc. | 16,978 | 589 |
| | Korn/Ferry International | 17,306 | 577 |
| | Triton International Ltd. | 14,647 | 541 |
| * | Navistar International Corp. | 15,739 | 538 |
| | Werner Enterprises Inc. | 15,969 | 529 |
| * | Atlas Air Worldwide Holdings Inc. | 7,791 | 520 |
| * | FTI Consulting Inc. | 13,872 | 470 |
| | ESCO Technologies Inc. | 8,529 | 464 |
| | Mobile Mini Inc. | 14,870 | 450 |
| | Triumph Group Inc. | 16,313 | 429 |
| * | Hub Group Inc. Class A | 11,040 | 424 |
| ^ | Chicago Bridge & Iron Co. NV | 33,642 | 415 |
| | ABM Industries Inc. | 9,175 | 408 |
| | Kaman Corp. | 8,305 | 407 |
| * | ACCO Brands Corp. | 35,988 | 394 |
| | Greenbrier Cos. Inc. | 9,155 | 393 |
50
| | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| AAR Corp. | 10,778 | 389 |
| * TriMas Corp. | 15,204 | 368 |
| Curtiss-Wright Corp. | 3,793 | 367 |
| Aircastle Ltd. | 16,098 | 361 |
| Cubic Corp. | 8,399 | 361 |
| * Manitowoc Co. Inc. | 42,512 | 350 |
| * Chart Industries Inc. | 10,199 | 344 |
| * Aerovironment Inc. | 7,007 | 343 |
| * SPX FLOW Inc. | 9,956 | 333 |
| * Sykes Enterprises Inc. | 12,024 | 321 |
| EMCOR Group Inc. | 4,837 | 319 |
| Wabash National Corp. | 14,338 | 301 |
| McGrath RentCorp | 7,399 | 299 |
| Briggs & Stratton Corp. | 14,130 | 296 |
| * TopBuild Corp. | 4,964 | 295 |
| * ICF International Inc. | 6,033 | 290 |
| Encore Wire Corp. | 6,735 | 289 |
| Federal Signal Corp. | 15,214 | 284 |
| * Tutor Perini Corp. | 10,721 | 280 |
| MTS Systems Corp. | 5,714 | 277 |
| * Saia Inc. | 4,757 | 269 |
| * TrueBlue Inc. | 13,148 | 269 |
| ^ Ship Finance International Ltd. | 20,307 | 265 |
| * Modine Manufacturing Co. | 16,395 | 265 |
| * CBIZ Inc. | 16,970 | 257 |
| * PHH Corp. | 17,539 | 249 |
| * Navigant Consulting Inc. | 15,990 | 245 |
| * Aegion Corp. Class A | 11,217 | 243 |
| Actuant Corp. Class A | 10,017 | 241 |
| Watts Water Technologies Inc. Class A | 3,754 | 232 |
| GasLog Ltd. | 13,659 | 229 |
| Marten Transport Ltd. | 13,346 | 229 |
| ArcBest Corp. | 7,648 | 227 |
| Scorpio Tankers Inc. | 54,996 | 224 |
| Kelly Services Inc. Class A | 10,172 | 220 |
| * Huron Consulting Group Inc. | 7,130 | 216 |
| Columbus McKinnon Corp. | 6,409 | 212 |
| * SEACOR Holdings Inc. | 5,430 | 208 |
| * Rush Enterprises Inc. Class A | 4,953 | 203 |
| * RPX Corp. | 15,401 | 201 |
| * Kratos Defense & Security Solutions Inc. | 14,529 | 194 |
| Matson Inc. | 7,515 | 194 |
| * Engility Holdings Inc. | 6,123 | 190 |
| LSC Communications Inc. | 11,333 | 183 |
| * International Seaways Inc. | 9,836 | 181 |
| * Thermon Group Holdings Inc. | 10,961 | 181 |
| Gorman-Rupp Co. | 5,888 | 179 |
| Astec Industries Inc. | 3,593 | 178 |
| * Casella Waste Systems Inc. Class A | 10,271 | 173 |
| ^ Teekay Corp. | 18,360 | 169 |
| * Textainer Group Holdings Ltd. | 9,346 | 166 |
| Granite Construction Inc. | 2,967 | 164 |
| ^ Nordic American Tankers Ltd. | 33,601 | 159 |
| RR Donnelley & Sons Co. | 17,128 | 158 |
| * Wesco Aircraft Holdings Inc. | 18,639 | 157 |
| * Scorpio Bulkers Inc. | 19,280 | 155 |
| Ennis Inc. | 7,897 | 151 |
| Essendant Inc. | 12,393 | 147 |
| VSE Corp. | 2,817 | 147 |
| Titan International Inc. | 17,070 | 146 |
| * SP Plus Corp. | 3,963 | 146 |
| * FARO Technologies Inc. | 4,152 | 143 |
| * Echo Global Logistics Inc. | 9,240 | 140 |
| CIRCOR International Inc. | 2,856 | 137 |
51
| | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| ^ Frontline Ltd. | 25,968 | 127 |
| Park-Ohio Holdings Corp. | 3,037 | 121 |
| * YRC Worldwide Inc. | 8,922 | 119 |
| * CSW Industrials Inc. | 2,839 | 119 |
| Resources Connection Inc. | 9,282 | 118 |
| Brady Corp. Class A | 3,503 | 117 |
| Albany International Corp. | 2,128 | 114 |
| Heidrick & Struggles International Inc. | 6,202 | 113 |
| CRA International Inc. | 2,875 | 108 |
| Herman Miller Inc. | 3,044 | 102 |
| NACCO Industries Inc. Class A | 1,404 | 102 |
| * Ducommun Inc. | 3,623 | 100 |
| DHT Holdings Inc. | 26,528 | 99 |
| * Covenant Transportation Group Inc. Class A | 4,096 | 98 |
| * Mistras Group Inc. | 4,945 | 94 |
| Bristow Group Inc. | 11,156 | 92 |
| Quad/Graphics Inc. | 4,765 | 91 |
| Miller Industries Inc. | 3,529 | 89 |
| * CAI International Inc. | 2,846 | 88 |
| Standex International Corp. | 922 | 88 |
| * Vectrus Inc. | 3,043 | 87 |
| Powell Industries Inc. | 3,042 | 87 |
| American Railcar Industries Inc. | 2,295 | 83 |
| * Titan Machinery Inc. | 6,401 | 83 |
| * Sterling Construction Co. Inc. | 6,768 | 80 |
| ^ Costamare Inc. | 12,584 | 79 |
| * Roadrunner Transportation Systems Inc. | 10,547 | 79 |
| * MYR Group Inc. | 3,045 | 79 |
| CECO Environmental Corp. | 10,284 | 77 |
| * Vishay Precision Group Inc. | 3,495 | 76 |
| FreightCar America Inc. | 4,184 | 76 |
| Hurco Cos. Inc. | 2,109 | 74 |
| Steelcase Inc. Class A | 5,575 | 74 |
| * Gener8 Maritime Inc. | 16,254 | 73 |
| * Hawaiian Holdings Inc. | 1,697 | 73 |
| * Great Lakes Dredge & Dock Corp. | 17,822 | 72 |
| * Maxwell Technologies Inc. | 12,417 | 69 |
| * Team Inc. | 5,469 | 68 |
| Graham Corp. | 3,294 | 66 |
| * Layne Christensen Co. | 6,026 | 65 |
| Knight Transportation Inc. | 1,569 | 61 |
| * Eagle Bulk Shipping Inc. | 13,242 | 60 |
| ^ Teekay Tankers Ltd. Class A | 40,700 | 57 |
| Tetra Tech Inc. | 1,337 | 57 |
| Preformed Line Products Co. | 1,049 | 55 |
| * Safe Bulkers Inc. | 16,574 | 54 |
| Hardinge Inc. | 3,899 | 53 |
| Marlin Business Services Corp. | 2,024 | 53 |
| Advanced Emissions Solutions Inc. | 5,079 | 53 |
| * Twin Disc Inc. | 2,945 | 51 |
| * Liquidity Services Inc. | 8,834 | 50 |
| * IES Holdings Inc. | 2,986 | 49 |
| * Navios Maritime Holdings Inc. | 30,943 | 48 |
| Spartan Motors Inc. | 4,861 | 45 |
| * Dorian LPG Ltd. | 6,493 | 45 |
| * Gencor Industries Inc. | 2,875 | 44 |
| * PHI Inc. | 3,991 | 44 |
| Supreme Industries Inc. Class A | 2,003 | 42 |
| Hyster-Yale Materials Handling Inc. | 583 | 41 |
| Alamo Group Inc. | 449 | 41 |
| * Heritage-Crystal Clean Inc. | 2,017 | 39 |
| * Ardmore Shipping Corp. | 4,828 | 39 |
| * Babcock & Wilcox Enterprises Inc. | 16,634 | 38 |
| Navios Maritime Acquisition Corp. | 29,734 | 37 |
52
| | | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Ascent Capital Group Inc. Class A | 3,746 | 37 |
| * | Rush Enterprises Inc. Class B | 959 | 37 |
| * | Genco Shipping & Trading Ltd. | 2,647 | 37 |
| | Franklin Electric Co. Inc. | 898 | 35 |
| * | DXP Enterprises Inc. | 1,243 | 34 |
| * | Overseas Shipholding Group Inc. Class A | 14,665 | 33 |
| * | DHI Group Inc. | 16,721 | 33 |
| * | NV5 Global Inc. | 669 | 32 |
| * | ServiceSource International Inc. | 8,560 | 30 |
| | Kimball International Inc. Class B | 1,743 | 30 |
| * | Orion Group Holdings Inc. | 4,827 | 29 |
| * | Milacron Holdings Corp. | 1,827 | 29 |
| * | Willis Lease Finance Corp. | 1,104 | 26 |
| * | Blue Bird Corp. | 1,187 | 22 |
| * | Control4 Corp. | 838 | 21 |
| | Heartland Express Inc. | 890 | 20 |
| | Tennant Co. | 316 | 19 |
| | Knoll Inc. | 1,020 | 18 |
| | General Cable Corp. | 1,034 | 18 |
| | Universal Logistics Holdings Inc. | 972 | 16 |
| * | Information Services Group Inc. | 4,258 | 16 |
| * | GP Strategies Corp. | 429 | 12 |
| | Schneider National Inc. Class B | 485 | 11 |
| * | Vicor Corp. | 534 | 10 |
| * | InnerWorkings Inc. | 903 | 9 |
| * | Daseke Inc. | 573 | 8 |
| * | Neff Corp. Class A | 227 | 6 |
| * | Hill International Inc. | 1,132 | 5 |
| ^,* | ExOne Co. | 281 | 2 |
| | | | 35,229 |
| Technology (8.3%) | | |
| * | Tech Data Corp. | 10,859 | 1,198 |
| * | ViaSat Inc. | 16,917 | 1,076 |
| * | CACI International Inc. Class A | 8,191 | 1,063 |
| * | NetScout Systems Inc. | 29,813 | 976 |
| | SYNNEX Corp. | 7,754 | 927 |
| * | Sanmina Corp. | 24,739 | 926 |
| | Vishay Intertechnology Inc. | 45,215 | 800 |
| * | Cree Inc. | 32,786 | 798 |
| | TiVo Corp. | 39,273 | 719 |
| * | Anixter International Inc. | 9,707 | 716 |
| * | DigitalGlobe Inc. | 20,823 | 716 |
| * | Verint Systems Inc. | 17,532 | 696 |
| * | VeriFone Systems Inc. | 34,324 | 679 |
| * | Plexus Corp. | 11,236 | 585 |
| * | Benchmark Electronics Inc. | 16,619 | 540 |
| * | NETGEAR Inc. | 10,872 | 522 |
| * | II-VI Inc. | 14,367 | 515 |
| * | Viavi Solutions Inc. | 48,208 | 484 |
| * | Finisar Corp. | 20,028 | 484 |
| * | Knowles Corp. | 29,408 | 431 |
| * | Infinera Corp. | 48,278 | 408 |
| * | Rambus Inc. | 27,647 | 359 |
| | ADTRAN Inc. | 15,890 | 351 |
| | ManTech International Corp. Class A | 8,716 | 351 |
| * | Ambarella Inc. | 6,365 | 346 |
| * | TTM Technologies Inc. | 24,275 | 346 |
| * | ScanSource Inc. | 8,263 | 324 |
| * | Acxiom Corp. | 12,846 | 299 |
| * | Veeco Instruments Inc. | 15,673 | 296 |
| * | Insight Enterprises Inc. | 7,256 | 291 |
| * | Amkor Technology Inc. | 32,154 | 282 |
| * | Super Micro Computer Inc. | 10,295 | 274 |
| * | Diodes Inc. | 9,348 | 263 |
53
| | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| AVX Corp. | 15,041 | 262 |
| * Cray Inc. | 13,531 | 255 |
| * Blucora Inc. | 10,858 | 248 |
| CTS Corp. | 10,791 | 243 |
| * Synchronoss Technologies Inc. | 14,413 | 242 |
| * Bankrate Inc. | 16,105 | 223 |
| * Perficient Inc. | 10,804 | 198 |
| * IXYS Corp. | 8,499 | 195 |
| * Stratasys Ltd. | 8,539 | 191 |
| * MicroStrategy Inc. Class A | 1,406 | 181 |
| * Photronics Inc. | 22,568 | 178 |
| * Kimball Electronics Inc. | 9,003 | 172 |
| * ShoreTel Inc. | 22,847 | 170 |
| * Evolent Health Inc. Class A | 9,967 | 166 |
| Comtech Telecommunications Corp. | 7,766 | 152 |
| Cohu Inc. | 7,221 | 135 |
| * Bazaarvoice Inc. | 28,096 | 133 |
| * Actua Corp. | 10,391 | 133 |
| * Silver Spring Networks Inc. | 10,370 | 131 |
| * Electro Scientific Industries Inc. | 10,650 | 131 |
| Monotype Imaging Holdings Inc. | 7,159 | 131 |
| * Glu Mobile Inc. | 33,729 | 123 |
| Park Electrochemical Corp. | 6,636 | 121 |
| * VASCO Data Security International Inc. | 9,555 | 120 |
| * KeyW Holding Corp. | 16,180 | 116 |
| * Sonus Networks Inc. | 14,812 | 102 |
| * AXT Inc. | 12,810 | 100 |
| * Alpha & Omega Semiconductor Ltd. | 6,043 | 96 |
| * pdvWireless Inc. | 3,260 | 95 |
| PC Connection Inc. | 3,725 | 95 |
| * Virtusa Corp. | 2,594 | 94 |
| Progress Software Corp. | 2,678 | 90 |
| * DSP Group Inc. | 7,525 | 90 |
| * Harmonic Inc. | 26,967 | 88 |
| * Digi International Inc. | 9,111 | 84 |
| * Sigma Designs Inc. | 12,924 | 81 |
| CSG Systems International Inc. | 2,045 | 79 |
| * Meet Group Inc. | 19,291 | 76 |
| * Calix Inc. | 14,801 | 73 |
| * Sparton Corp. | 3,067 | 71 |
| * KVH Industries Inc. | 5,542 | 65 |
| * NeoPhotonics Corp. | 11,134 | 65 |
| Bel Fuse Inc. Class B | 2,516 | 64 |
| * Oclaro Inc. | 7,411 | 62 |
| * Mercury Systems Inc. | 1,253 | 60 |
| * Rubicon Project Inc. | 15,295 | 58 |
| * Acacia Research Corp. | 17,067 | 55 |
| * Agilysys Inc. | 5,140 | 53 |
| * Global Eagle Entertainment Inc. | 16,897 | 52 |
| * Limelight Networks Inc. | 14,243 | 51 |
| * Bottomline Technologies de Inc. | 1,626 | 49 |
| Daktronics Inc. | 5,059 | 49 |
| * ARC Document Solutions Inc. | 13,785 | 49 |
| * EMCORE Corp. | 5,307 | 48 |
| * TechTarget Inc. | 4,650 | 46 |
| * Quantum Corp. | 7,716 | 43 |
| American Software Inc. Class A | 3,768 | 42 |
| * Unisys Corp. | 5,266 | 41 |
| QAD Inc. Class A | 1,180 | 40 |
| * Nanometrics Inc. | 1,474 | 38 |
| * Presidio Inc. | 2,389 | 33 |
| * Telenav Inc. | 5,043 | 33 |
| * GSI Technology Inc. | 4,910 | 33 |
| * RealNetworks Inc. | 8,151 | 33 |
54
| | | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| ^,* | Rocket Fuel Inc. | 12,182 | 32 |
| * | Leaf Group Ltd. | 4,075 | 29 |
| * | SecureWorks Corp. Class A | 2,782 | 28 |
| * | Revolution Lighting Technologies Inc. | 3,791 | 28 |
| * | PCM Inc. | 2,093 | 28 |
| * | Acacia Communications Inc. | 559 | 27 |
| * | Pendrell Corp. | 3,738 | 25 |
| * | Rudolph Technologies Inc. | 1,105 | 25 |
| * | Xcerra Corp. | 2,443 | 24 |
| | Systemax Inc. | 936 | 23 |
| * | Avid Technology Inc. | 3,946 | 17 |
| * | Radisys Corp. | 10,742 | 17 |
| * | CyberOptics Corp. | 1,104 | 17 |
| * | Kopin Corp. | 2,195 | 9 |
| | NVE Corp. | 113 | 9 |
| * | Digimarc Corp. | 263 | 8 |
| * | PDF Solutions Inc. | 429 | 7 |
| * | ChannelAdvisor Corp. | 533 | 6 |
| * | Appian Corp. | 120 | 3 |
| | | | 26,229 |
| Utilities (7.7%) | | |
| | IDACORP Inc. | 17,154 | 1,526 |
| | WGL Holdings Inc. | 17,416 | 1,467 |
| | Portland General Electric Co. | 30,334 | 1,441 |
| | ALLETE Inc. | 17,296 | 1,338 |
| | ONE Gas Inc. | 17,582 | 1,323 |
| | Black Hills Corp. | 18,101 | 1,274 |
| | Spire Inc. | 15,920 | 1,218 |
| | New Jersey Resources Corp. | 26,721 | 1,166 |
| | Southwest Gas Holdings Inc. | 14,411 | 1,146 |
| | PNM Resources Inc. | 26,918 | 1,141 |
| | Avista Corp. | 21,605 | 1,111 |
| | NorthWestern Corp. | 16,397 | 989 |
| | South Jersey Industries Inc. | 26,818 | 962 |
| | El Paso Electric Co. | 13,595 | 755 |
| | Northwest Natural Gas Co. | 9,546 | 633 |
| | Otter Tail Corp. | 13,152 | 550 |
| | Pattern Energy Group Inc. Class A | 18,890 | 475 |
| | Ormat Technologies Inc. | 7,037 | 404 |
| | NRG Yield Inc. | 21,297 | 394 |
| | MGE Energy Inc. | 6,085 | 387 |
| | Chesapeake Utilities Corp. | 4,711 | 374 |
| ^,* | Frontier Communications Corp. | 26,151 | 352 |
| * | Dynegy Inc. | 36,765 | 346 |
| * | Iridium Communications Inc. | 27,730 | 308 |
| | SJW Group | 5,468 | 304 |
| | Cincinnati Bell Inc. | 14,247 | 300 |
| | West Corp. | 12,382 | 289 |
| | Unitil Corp. | 4,685 | 234 |
| | California Water Service Group | 6,044 | 226 |
| | ATN International Inc. | 3,588 | 217 |
| | NRG Yield Inc. Class A | 11,443 | 208 |
| | Connecticut Water Service Inc. | 3,587 | 195 |
| | Consolidated Communications Holdings Inc. | 10,121 | 187 |
| | American States Water Co. | 3,785 | 187 |
| | Windstream Holdings Inc. | 64,845 | 134 |
| | Spok Holdings Inc. | 6,499 | 109 |
| ^,* | Globalstar Inc. | 53,076 | 102 |
| | Artesian Resources Corp. Class A | 2,466 | 91 |
| | Delta Natural Gas Co. Inc. | 2,376 | 73 |
| * | Hawaiian Telcom Holdco Inc. | 2,059 | 63 |
| * | AquaVenture Holdings Ltd. | 3,995 | 61 |
| | Consolidated Water Co. Ltd. | 5,040 | 60 |
| * | Intelsat SA | 11,994 | 46 |
55
| | | | | |
| Vanguard® Russell 2000 Value Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | | | Market |
| | | | | | Value |
| | | | | Shares | ($000) |
| | RGC Resources Inc. | | | 1,333 | 37 |
| * | Lumos Networks Corp. | | | 1,988 | 36 |
| | IDT Corp. Class B | | | 2,221 | 33 |
| | Middlesex Water Co. | | | 775 | 29 |
| | Genie Energy Ltd. Class B | | | 4,766 | 29 |
| * | Atlantic Power Corp. | | | 10,659 | 26 |
| * | General Communication Inc. Class A | | | 594 | 26 |
| * | ORBCOMM Inc. | | | 1,890 | 21 |
| | York Water Co. | | | 459 | 15 |
| | Spark Energy Inc. Class A | | | 505 | 8 |
| | | | | | 24,426 |
| |
| Total Common Stocks (Cost $294,058) | | | | 314,807 |
| |
| | | Coupon | | | |
| Temporary Cash Investments (0.7%)1 | | | | |
| Money Market Fund (0.7%) | | | | |
| 4,5 | Vanguard Market Liquidity Fund | 1.224% | | 20,643 | 2,065 |
| |
| |
| | | | Maturity | | |
| | | | Date | | |
| U.S. Government and Agency Obligations (0.0%) | | | | |
| 6 | United States Treasury Bill | 1.033% | 11/2/17 | 100 | 100 |
| |
| Total Temporary Cash Investments (Cost $2,164) | | | | 2,165 |
| Total Investments (99.8%) (Cost $296,222) | | | | 316,972 |
| Other Assets and Liabilities—Net (0.2%)5,6 | | | | 661 |
| Net Assets (100%) | | | | 317,633 |
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,984,000.
* 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 -0.1%, respectively, of net
assets.
2 Security value determined using significant unobservable inputs.
3 “Other” represents securities that are not classified by the fund’s benchmark index.
4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day
yield.
5 Includes $2,139,000 of collateral received for securities on loan, of which $75,000 is held in cash.
6 Securities with a value of $100,000 and cash of $20,000 have been segregated as initial margin for open futures contracts.
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
56
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| Common Stocks (99.6%)1 | | |
| Consumer Discretionary (15.1%) | | |
| * | Grand Canyon Education Inc. | 26,722 | 2,193 |
| | Texas Roadhouse Inc. Class A | 38,167 | 1,811 |
| * | Stamps.com Inc. | 9,038 | 1,729 |
| | Tenneco Inc. | 30,472 | 1,652 |
| | Cracker Barrel Old Country Store Inc. | 10,922 | 1,624 |
| | Nexstar Media Group Inc. Class A | 25,895 | 1,559 |
| * | Avis Budget Group Inc. | 42,744 | 1,549 |
| | Churchill Downs Inc. | 7,718 | 1,508 |
| * | Five Below Inc. | 30,849 | 1,467 |
| | Lithia Motors Inc. Class A | 13,312 | 1,438 |
| * | Steven Madden Ltd. | 33,739 | 1,431 |
| | Wolverine World Wide Inc. | 53,901 | 1,418 |
| * | Dave & Buster's Entertainment Inc. | 23,993 | 1,403 |
| | LCI Industries | 13,839 | 1,367 |
| | Jack in the Box Inc. | 14,402 | 1,348 |
| ^,* | Cimpress NV | 14,248 | 1,317 |
| | Marriott Vacations Worldwide Corp. | 11,099 | 1,291 |
| * | 2U Inc. | 25,018 | 1,253 |
| ^ | Sinclair Broadcast Group Inc. Class A | 41,159 | 1,245 |
| | Big Lots Inc. | 25,709 | 1,224 |
| | Planet Fitness Inc. Class A | 48,119 | 1,221 |
| | Papa John's International Inc. | 15,561 | 1,164 |
| * | Ollie's Bargain Outlet Holdings Inc. | 27,177 | 1,137 |
| | Boyd Gaming Corp. | 42,991 | 1,137 |
| | New York Times Co. Class A | 58,198 | 1,085 |
| * | Etsy Inc. | 66,137 | 1,083 |
| | Matthews International Corp. Class A | 17,903 | 1,079 |
| * | SiteOne Landscape Supply Inc. | 21,335 | 1,072 |
| * | Scientific Games Corp. Class A | 30,370 | 1,069 |
| | Cheesecake Factory Inc. | 25,624 | 1,062 |
| | Children's Place Inc. | 9,807 | 1,041 |
| * | Dorman Products Inc. | 15,636 | 1,039 |
| | PriceSmart Inc. | 12,626 | 1,026 |
| * | Sotheby's | 21,741 | 976 |
| | Dana Inc. | 40,297 | 970 |
| | Bloomin' Brands Inc. | 56,855 | 967 |
| * | Buffalo Wild Wings Inc. | 9,160 | 941 |
| | Nutrisystem Inc. | 16,975 | 922 |
| * | RH | 19,496 | 912 |
| * | Shutterfly Inc. | 19,331 | 881 |
| | Red Rock Resorts Inc. Class A | 38,832 | 878 |
| | Monro Inc. | 18,037 | 860 |
| * | Fox Factory Holding Corp. | 19,898 | 796 |
| | Bob Evans Farms Inc. | 11,258 | 774 |
| * | Taylor Morrison Home Corp. Class A | 34,955 | 707 |
| * | Weight Watchers International Inc. | 14,926 | 699 |
| * | Select Comfort Corp. | 23,362 | 690 |
| * | Chegg Inc. | 47,502 | 674 |
| | HSN Inc. | 18,341 | 673 |
| * | American Woodmark Corp. | 8,071 | 668 |
| | Brinker International Inc. | 21,248 | 663 |
| * | Cavco Industries Inc. | 4,856 | 653 |
| * | Helen of Troy Ltd. | 7,032 | 635 |
| * | Quotient Technology Inc. | 41,896 | 628 |
| | ClubCorp Holdings Inc. | 36,629 | 623 |
| * | IMAX Corp. | 32,755 | 611 |
| * | Eldorado Resorts Inc. | 26,202 | 603 |
| * | Lumber Liquidators Holdings Inc. | 15,987 | 600 |
| * | Asbury Automotive Group Inc. | 10,664 | 574 |
| | Winnebago Industries Inc. | 15,709 | 568 |
| * | GoPro Inc. Class A | 60,764 | 560 |
57
| | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Wingstop Inc. | 16,492 | 534 |
| * Trade Desk Inc. Class A | 9,850 | 522 |
| * American Outdoor Brands Corp. | 31,953 | 521 |
| * Gentherm Inc. | 16,354 | 509 |
| SeaWorld Entertainment Inc. | 38,888 | 505 |
| * Liberty Media Corp-Liberty Braves | 20,108 | 492 |
| Strayer Education Inc. | 6,032 | 483 |
| World Wrestling Entertainment Inc. Class A | 21,669 | 472 |
| * Universal Electronics Inc. | 8,032 | 470 |
| Sturm Ruger & Co. Inc. | 9,751 | 447 |
| * Houghton Mifflin Harcourt Co. | 40,815 | 416 |
| Capella Education Co. | 6,114 | 412 |
| * Pinnacle Entertainment Inc. | 20,959 | 409 |
| * Red Robin Gourmet Burgers Inc. | 6,920 | 394 |
| * Shake Shack Inc. Class A | 12,473 | 386 |
| Viad Corp. | 6,888 | 378 |
| * BJ's Restaurants Inc. | 11,962 | 360 |
| * Instructure Inc. | 12,062 | 357 |
| * Shutterstock Inc. | 10,551 | 354 |
| * Denny's Corp. | 29,233 | 350 |
| * HealthStream Inc. | 14,655 | 344 |
| Columbia Sportswear Co. | 5,933 | 340 |
| * Gray Television Inc. | 23,682 | 339 |
| Standard Motor Products Inc. | 7,611 | 336 |
| Ruth's Hospitality Group Inc. | 16,997 | 332 |
| Sonic Corp. | 13,337 | 312 |
| MDC Holdings Inc. | 9,502 | 297 |
| Tile Shop Holdings Inc. | 19,359 | 291 |
| La-Z-Boy Inc. | 12,164 | 290 |
| * Nautilus Inc. | 17,186 | 281 |
| * Angie's List Inc. | 22,931 | 279 |
| * Malibu Boats Inc. Class A | 10,228 | 276 |
| * LGI Homes Inc. | 6,477 | 276 |
| * Crocs Inc. | 30,252 | 270 |
| Hooker Furniture Corp. | 6,443 | 259 |
| Camping World Holdings Inc. Class A | 6,958 | 256 |
| * Horizon Global Corp. | 14,507 | 250 |
| * elf Beauty Inc. | 11,757 | 243 |
| DineEquity Inc. | 5,946 | 236 |
| KB Home | 10,472 | 224 |
| Marcus Corp. | 8,833 | 220 |
| * Cooper-Standard Holdings Inc. | 2,144 | 216 |
| Oxford Industries Inc. | 3,692 | 213 |
| Travelport Worldwide Ltd. | 13,805 | 209 |
| Entravision Communications Corp. Class A | 37,578 | 209 |
| * XO Group Inc. | 10,472 | 195 |
| Inter Parfums Inc. | 4,623 | 182 |
| * MCBC Holdings Inc. | 10,470 | 179 |
| * Chuy's Holdings Inc. | 9,466 | 178 |
| Winmark Corp. | 1,343 | 177 |
| * La Quinta Holdings Inc. | 9,861 | 156 |
| * Francesca's Holdings Corp. | 21,024 | 153 |
| * Habit Restaurants Inc. Class A | 11,496 | 149 |
| ILG Inc. | 5,569 | 147 |
| * MarineMax Inc. | 8,575 | 138 |
| * ZAGG Inc. | 10,915 | 138 |
| * Penn National Gaming Inc. | 6,173 | 137 |
| * Bojangles' Inc. | 9,945 | 133 |
| * Lindblad Expeditions Holdings Inc. | 11,641 | 129 |
| * Liberty Media Corp-Liberty Braves | 4,988 | 122 |
| * Care.com Inc. | 7,793 | 117 |
| * Overstock.com Inc. | 5,004 | 110 |
| * Duluth Holdings Inc. | 5,431 | 106 |
| Tailored Brands Inc. | 8,822 | 104 |
58
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Superior Uniform Group Inc. | 4,731 | 104 |
| | Collectors Universe Inc. | 4,288 | 103 |
| * | MDC Partners Inc. Class A | 9,960 | 102 |
| * | tronc Inc. | 6,772 | 98 |
| * | Nathan's Famous Inc. | 1,582 | 93 |
| * | Sportsman's Warehouse Holdings Inc. | 21,264 | 88 |
| * | Franklin Covey Co. | 4,667 | 88 |
| * | Central Garden & Pet Co. Class A | 2,544 | 87 |
| | Carriage Services Inc. Class A | 3,372 | 83 |
| * | Bridgepoint Education Inc. | 9,227 | 81 |
| ^,* | Eros International plc | 7,924 | 77 |
| * | Deckers Outdoor Corp. | 1,135 | 73 |
| | Marine Products Corp. | 4,340 | 68 |
| * | M/I Homes Inc. | 2,619 | 64 |
| * | TRI Pointe Group Inc. | 5,050 | 64 |
| * | Eastman Kodak Co. | 8,164 | 63 |
| * | J. Jill Inc. | 6,510 | 63 |
| * | Meritage Homes Corp. | 1,552 | 63 |
| * | William Lyon Homes Class A | 2,455 | 59 |
| * | America's Car-Mart Inc. | 1,442 | 55 |
| * | At Home Group Inc. | 2,204 | 54 |
| * | Caesars Entertainment Corp. | 4,404 | 51 |
| * | Drive Shack Inc. | 16,617 | 45 |
| * | Potbelly Corp. | 3,317 | 40 |
| * | 1-800-Flowers.com Inc. Class A | 4,369 | 39 |
| * | Reading International Inc. Class A | 2,363 | 37 |
| ^,* | Revlon Inc. Class A | 2,163 | 37 |
| * | Zoe's Kitchen Inc. | 2,680 | 34 |
| * | Golden Entertainment Inc. | 1,247 | 28 |
| ^,* | Hovnanian Enterprises Inc. Class A | 15,459 | 28 |
| | National Presto Industries Inc. | 276 | 27 |
| * | WideOpenWest Inc. | 1,610 | 26 |
| ^,* | Noodles & Co. Class A | 6,478 | 25 |
| * | Empire Resorts Inc. | 1,067 | 25 |
| ^,* | Inspired Entertainment Inc. | 2,192 | 24 |
| * | Central Garden & Pet Co. | 559 | 20 |
| * | Century Communities Inc. | 815 | 18 |
| * | Rosetta Stone Inc. | 1,619 | 15 |
| * | Fiesta Restaurant Group Inc. | 785 | 14 |
| * | Party City Holdco Inc. | 950 | 13 |
| | Emerald Expositions Events Inc. | 586 | 13 |
| * | Carvana Co. | 701 | 12 |
| * | Sears Holdings Corp. | 1,480 | 12 |
| | RCI Hospitality Holdings Inc. | 474 | 11 |
| * | Cambium Learning Group Inc. | 1,824 | 11 |
| * | Hemisphere Media Group Inc. Class A | 539 | 7 |
| | Liberty Tax Inc. | 360 | 5 |
| | Fred's Inc. Class A | 751 | 4 |
| | | | 85,318 |
| Consumer Staples (2.2%) | | |
| | Lancaster Colony Corp. | 10,736 | 1,250 |
| | B&G Foods Inc. | 37,504 | 1,144 |
| * | Performance Food Group Co. | 40,585 | 1,128 |
| | J&J Snack Foods Corp. | 8,600 | 1,096 |
| | WD-40 Co. | 7,894 | 860 |
| | National Beverage Corp. | 6,673 | 775 |
| * | Boston Beer Co. Inc. Class A | 5,050 | 752 |
| | Core-Mark Holding Co. Inc. | 25,930 | 702 |
| | Calavo Growers Inc. | 9,111 | 612 |
| | Coca-Cola Bottling Co. Consolidated | 2,672 | 571 |
| | Vector Group Ltd. | 24,335 | 526 |
| | PetMed Express Inc. | 11,212 | 407 |
| * | USANA Health Sciences Inc. | 6,589 | 390 |
| | MGP Ingredients Inc. | 6,473 | 364 |
59
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Medifast Inc. | 6,004 | 340 |
| | John B Sanfilippo & Son Inc. | 4,872 | 302 |
| ^ | Tootsie Roll Industries Inc. | 6,670 | 249 |
| * | Freshpet Inc. | 13,936 | 221 |
| * | Chefs' Warehouse Inc. | 10,420 | 180 |
| * | Primo Water Corp. | 14,413 | 158 |
| ^,* | Amplify Snack Brands Inc. | 18,865 | 136 |
| * | Craft Brew Alliance Inc. | 7,318 | 127 |
| | Natural Health Trends Corp. | 4,146 | 84 |
| * | Castle Brands Inc. | 47,986 | 68 |
| * | Turning Point Brands Inc. | 2,791 | 48 |
| | Limoneira Co. | 2,111 | 47 |
| * | Hostess Brands Inc. Class A | 2,474 | 33 |
| | Dean Foods Co. | 2,604 | 29 |
| * | Lifeway Foods Inc. | 2,965 | 26 |
| | | | 12,625 |
| Energy (0.9%) | | |
| * | Matador Resources Co. | 51,259 | 1,209 |
| * | Carrizo Oil & Gas Inc. | 35,515 | 477 |
| * | Tellurian Inc. | 31,506 | 291 |
| * | Ring Energy Inc. | 24,287 | 290 |
| * | Penn Virginia Corp. | 7,278 | 280 |
| * | Fairmount Santrol Holdings Inc. | 78,344 | 240 |
| * | Jagged Peak Energy Inc. | 18,124 | 232 |
| * | Keane Group Inc. | 16,592 | 215 |
| * | Sanchez Energy Corp. | 40,290 | 177 |
| * | Abraxas Petroleum Corp. | 80,576 | 137 |
| * | TPI Composites Inc. | 6,212 | 126 |
| * | Par Pacific Holdings Inc. | 7,062 | 126 |
| * | RigNet Inc. | 7,601 | 122 |
| * | NCS Multistage Holdings Inc. | 5,983 | 118 |
| * | ProPetro Holding Corp. | 9,762 | 112 |
| | Panhandle Oil and Gas Inc. Class A | 4,929 | 104 |
| * | SRC Energy Inc. | 13,004 | 103 |
| | Evolution Petroleum Corp. | 14,501 | 101 |
| ^,* | Lilis Energy Inc. | 24,897 | 91 |
| * | Solaris Oilfield Infrastructure Inc. Class A | 5,303 | 75 |
| * | Ultra Petroleum Corp. | 9,492 | 74 |
| * | Smart Sand Inc. | 10,918 | 65 |
| * | Isramco Inc. | 421 | 47 |
| * | Select Energy Services Inc. Class A | 2,164 | 31 |
| * | Energy XXI Gulf Coast Inc. | 2,722 | 28 |
| * | Gastar Exploration Inc. | 47,670 | 28 |
| * | Bonanza Creek Energy Inc. | 832 | 22 |
| * | Resolute Energy Corp. | 684 | 20 |
| * | Flotek Industries Inc. | 3,366 | 17 |
| * | SilverBow Resources Inc. | 797 | 17 |
| | CVR Energy Inc. | 393 | 8 |
| * | Westmoreland Coal Co. | 2,515 | 6 |
| * | W&T Offshore Inc. | 2,956 | 6 |
| * | Jones Energy Inc. Class A | 3,056 | 3 |
| * | Rosehill Resources Inc. | 2 | — |
| | | | 4,998 |
| Financial Services (10.6%) | | |
| | Fair Isaac Corp. | 17,521 | 2,466 |
| | Primerica Inc. | 25,952 | 1,987 |
| | Evercore Inc. Class A | 23,293 | 1,757 |
| * | Essent Group Ltd. | 44,027 | 1,721 |
| | EastGroup Properties Inc. | 18,908 | 1,680 |
| * | Texas Capital Bancshares Inc. | 21,838 | 1,621 |
| | Home BancShares Inc. | 69,027 | 1,609 |
| | PS Business Parks Inc. | 11,228 | 1,517 |
| | Ryman Hospitality Properties Inc. | 25,216 | 1,498 |
| | QTS Realty Trust Inc. Class A | 26,789 | 1,451 |
60
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Blackhawk Network Holdings Inc. | 31,221 | 1,399 |
| | Urban Edge Properties | 55,553 | 1,397 |
| * | Green Dot Corp. Class A | 26,110 | 1,258 |
| | Potlatch Corp. | 23,105 | 1,104 |
| | Financial Engines Inc. | 33,408 | 1,104 |
| * | LendingClub Corp. | 166,091 | 1,028 |
| | Physicians Realty Trust | 54,148 | 1,014 |
| * | HRG Group Inc. | 64,138 | 1,013 |
| | RLI Corp. | 18,387 | 984 |
| | First Financial Bankshares Inc. | 23,482 | 940 |
| * | Eagle Bancorp Inc. | 14,443 | 898 |
| | ServisFirst Bancshares Inc. | 26,322 | 898 |
| * | LendingTree Inc. | 3,619 | 836 |
| | National Health Investors Inc. | 10,211 | 819 |
| | HFF Inc. Class A | 21,012 | 801 |
| | Artisan Partners Asset Management Inc. Class A | 25,314 | 777 |
| | CareTrust REIT Inc. | 37,953 | 732 |
| | Bank of NT Butterfield & Son Ltd. | 21,843 | 718 |
| | Ameris Bancorp | 15,676 | 691 |
| * | Cardtronics plc Class A | 25,902 | 673 |
| * | Walker & Dunlop Inc. | 13,511 | 651 |
| | Moelis & Co. Class A | 16,032 | 632 |
| | Four Corners Property Trust Inc. | 23,852 | 606 |
| | WisdomTree Investments Inc. | 65,570 | 601 |
| | Universal Health Realty Income Trust | 7,203 | 545 |
| | EVERTEC Inc. | 28,718 | 528 |
| | Washington REIT | 15,848 | 521 |
| | Kennedy-Wilson Holdings Inc. | 25,054 | 484 |
| | Alexander's Inc. | 1,149 | 481 |
| | Cohen & Steers Inc. | 12,130 | 459 |
| | Rexford Industrial Realty Inc. | 15,258 | 459 |
| | First Industrial Realty Trust Inc. | 14,772 | 458 |
| | Houlihan Lokey Inc. Class A | 12,613 | 455 |
| * | PRA Group Inc. | 15,512 | 448 |
| | OM Asset Management plc | 31,403 | 444 |
| | LTC Properties Inc. | 9,059 | 441 |
| | GEO Group Inc. | 15,309 | 423 |
| | LegacyTexas Financial Group Inc. | 11,207 | 403 |
| | Preferred Bank | 7,389 | 398 |
| | Gramercy Property Trust | 12,620 | 384 |
| * | BofI Holding Inc. | 14,389 | 381 |
| | Cass Information Systems Inc. | 6,197 | 379 |
| | Diamond Hill Investment Group Inc. | 1,802 | 354 |
| | Saul Centers Inc. | 5,738 | 348 |
| | American Assets Trust Inc. | 8,382 | 340 |
| | Sabra Health Care REIT Inc. | 15,472 | 338 |
| | State National Cos. Inc. | 15,526 | 322 |
| | Kinsale Capital Group Inc. | 8,205 | 311 |
| * | Third Point Reinsurance Ltd. | 21,882 | 307 |
| | Armada Hoffler Properties Inc. | 22,889 | 306 |
| | National General Holdings Corp. | 17,062 | 293 |
| * | Donnelley Financial Solutions Inc. | 13,672 | 293 |
| | FirstCash Inc. | 4,972 | 292 |
| | Universal Insurance Holdings Inc. | 13,579 | 291 |
| | Westwood Holdings Group Inc. | 4,629 | 283 |
| ^,* | Trupanion Inc. | 12,751 | 279 |
| * | Everi Holdings Inc. | 36,147 | 279 |
| * | Pacific Premier Bancorp Inc. | 7,760 | 275 |
| | Terreno Realty Corp. | 7,334 | 266 |
| ^ | Virtu Financial Inc. Class A | 14,021 | 252 |
| | Live Oak Bancshares Inc. | 11,243 | 251 |
| * | Marcus & Millichap Inc. | 9,065 | 239 |
| | Glacier Bancorp Inc. | 7,151 | 238 |
| * | Health Insurance Innovations Inc. Class A | 6,385 | 215 |
61
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | UMH Properties Inc. | 13,265 | 210 |
| | RMR Group Inc. Class A | 3,976 | 205 |
| | WSFS Financial Corp. | 4,587 | 205 |
| | Carolina Financial Corp. | 5,781 | 197 |
| * | eHealth Inc. | 7,955 | 193 |
| * | Opus Bank | 7,943 | 178 |
| | National Bank Holdings Corp. Class A | 4,948 | 159 |
| * | Allegiance Bancshares Inc. | 4,604 | 157 |
| | MB Financial Inc. | 3,923 | 156 |
| | Pacific Continental Corp. | 6,438 | 153 |
| ^,* | Altisource Portfolio Solutions SA | 6,459 | 147 |
| | Retail Opportunity Investments Corp. | 6,502 | 129 |
| | Hamilton Lane Inc. Class A | 5,441 | 128 |
| | Blue Hills Bancorp Inc. | 6,773 | 127 |
| | United Insurance Holdings Corp. | 7,543 | 119 |
| | Investors Title Co. | 668 | 117 |
| | Consolidated-Tomoka Land Co. | 2,102 | 116 |
| | ConnectOne Bancorp Inc. | 5,036 | 115 |
| | Park Sterling Corp. | 9,922 | 113 |
| * | National Commerce Corp. | 2,822 | 112 |
| | Monmouth Real Estate Investment Corp. | 6,812 | 111 |
| | HCI Group Inc. | 2,697 | 105 |
| | Lakeland Financial Corp. | 2,324 | 101 |
| * | First Foundation Inc. | 5,697 | 97 |
| * | Planet Payment Inc. | 23,876 | 95 |
| ^ | Union Bankshares Inc. | 2,070 | 89 |
| | Meridian Bancorp Inc. | 4,380 | 77 |
| | Stonegate Bank | 1,584 | 76 |
| | Infinity Property & Casualty Corp. | 825 | 73 |
| * | TriState Capital Holdings Inc. | 3,401 | 71 |
| | Pzena Investment Management Inc. Class A | 7,171 | 71 |
| * | Trinity Place Holdings Inc. | 10,020 | 69 |
| * | Enova International Inc. | 5,768 | 69 |
| * | Equity Bancshares Inc. Class A | 1,998 | 68 |
| * | Veritex Holdings Inc. | 2,516 | 66 |
| | First of Long Island Corp. | 2,459 | 66 |
| | Guaranty Bancorp | 2,534 | 65 |
| | Hingham Institution for Savings | 345 | 64 |
| * | FB Financial Corp. | 1,824 | 63 |
| * | HarborOne Bancorp Inc. | 3,477 | 60 |
| * | Franklin Financial Network Inc. | 1,818 | 59 |
| | National Storage Affiliates Trust | 2,638 | 59 |
| | Virtus Investment Partners Inc. | 520 | 55 |
| | Investment Technology Group Inc. | 2,686 | 54 |
| | Crawford & Co. Class B | 5,388 | 53 |
| * | NMI Holdings Inc. Class A | 4,830 | 52 |
| * | Atlas Financial Holdings Inc. | 3,063 | 52 |
| * | Republic First Bancorp Inc. | 5,983 | 51 |
| | Silvercrest Asset Management Group Inc. Class A | 4,000 | 49 |
| | MedEquities Realty Trust Inc. | 4,232 | 49 |
| * | Maui Land & Pineapple Co. Inc. | 3,712 | 48 |
| * | Green Bancorp Inc. | 2,338 | 47 |
| | West Bancorporation Inc. | 1,992 | 44 |
| | Central Pacific Financial Corp. | 1,467 | 43 |
| | First Connecticut Bancorp Inc. | 1,709 | 42 |
| * | CU Bancorp | 1,142 | 41 |
| | CoBiz Financial Inc. | 2,367 | 40 |
| * | Atlantic Capital Bancshares Inc. | 2,172 | 39 |
| | Northfield Bancorp Inc. | 2,392 | 39 |
| | City Office REIT Inc. | 2,995 | 38 |
| | Maiden Holdings Ltd. | 5,063 | 37 |
| | Community Healthcare Trust Inc. | 1,343 | 36 |
| * | BSB Bancorp Inc. | 1,219 | 35 |
| | Greene County Bancorp Inc. | 1,464 | 34 |
62
| | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Guaranty Bancshares Inc. | 1,116 | 34 |
| Meta Financial Group Inc. | 477 | 34 |
| Tompkins Financial Corp. | 424 | 32 |
| Investar Holding Corp. | 1,459 | 32 |
| NewStar Financial Inc. | 2,832 | 30 |
| People's Utah Bancorp | 994 | 27 |
| Heritage Commerce Corp. | 1,881 | 25 |
| * Capstar Financial Holdings Inc. | 1,410 | 24 |
| Charter Financial Corp. | 1,463 | 24 |
| * MoneyGram International Inc. | 1,508 | 24 |
| Piper Jaffray Cos. | 412 | 23 |
| Stewart Information Services Corp. | 612 | 22 |
| Waterstone Financial Inc. | 1,241 | 22 |
| Heritage Insurance Holdings Inc. | 1,751 | 20 |
| * Howard Bancorp Inc. | 998 | 20 |
| * PICO Holdings Inc. | 1,202 | 20 |
| * Ladenburg Thalmann Financial Services Inc. | 7,150 | 18 |
| Bankwell Financial Group Inc. | 524 | 18 |
| Midland States Bancorp Inc. | 538 | 16 |
| Old Line Bancshares Inc. | 568 | 16 |
| Fifth Street Asset Management Inc. | 3,760 | 15 |
| * Sunshine Bancorp Inc. | 670 | 14 |
| Access National Corp. | 528 | 14 |
| * Paragon Commercial Corp. | 260 | 13 |
| Western New England Bancorp Inc. | 1,315 | 13 |
| Bear State Financial Inc. | 1,199 | 12 |
| Clipper Realty Inc. | 1,095 | 12 |
| GAMCO Investors Inc. Class A | 413 | 12 |
| * Cowen Inc. Class A | 746 | 12 |
| NexPoint Residential Trust Inc. | 520 | 12 |
| ^ CPI Card Group Inc. | 11,293 | 11 |
| * Regional Management Corp. | 485 | 11 |
| * Ocwen Financial Corp. | 3,517 | 10 |
| First Financial Northwest Inc. | 586 | 9 |
| Value Line Inc. | 466 | 7 |
| Medley Management Inc. Class A | 1,131 | 7 |
| Southern Missouri Bancorp Inc. | 205 | 7 |
| Global Medical REIT Inc. | 673 | 6 |
| * Redfin Corp. | 234 | 5 |
| MidSouth Bancorp Inc. | 426 | 5 |
| * Elevate Credit Inc. | 626 | 4 |
| * Provident Bancorp Inc. | 173 | 4 |
| | | 59,728 |
| Health Care (24.9%) | | |
| * Kite Pharma Inc. | 27,888 | 4,964 |
| * Catalent Inc. | 71,786 | 2,964 |
| * Exact Sciences Corp. | 62,638 | 2,624 |
| * PAREXEL International Corp. | 28,637 | 2,517 |
| * Medidata Solutions Inc. | 32,160 | 2,411 |
| HealthSouth Corp. | 50,858 | 2,327 |
| * Masimo Corp. | 25,558 | 2,157 |
| * PRA Health Sciences Inc. | 27,859 | 2,156 |
| * Insulet Corp. | 33,186 | 1,927 |
| * Clovis Oncology Inc. | 24,703 | 1,879 |
| * INC Research Holdings Inc. Class A | 31,146 | 1,828 |
| * FibroGen Inc. | 37,744 | 1,819 |
| * NuVasive Inc. | 28,949 | 1,809 |
| * Integra LifeSciences Holdings Corp. | 35,131 | 1,791 |
| * Nektar Therapeutics Class A | 84,603 | 1,779 |
| Chemed Corp. | 8,960 | 1,768 |
| * Wright Medical Group NV | 59,647 | 1,766 |
| Cantel Medical Corp. | 20,777 | 1,688 |
| * Portola Pharmaceuticals Inc. | 26,232 | 1,664 |
| * Sage Therapeutics Inc. | 19,750 | 1,624 |
63
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Molina Healthcare Inc. | 25,112 | 1,607 |
| * | Prestige Brands Holdings Inc. | 30,414 | 1,542 |
| * | Puma Biotechnology Inc. | 16,385 | 1,516 |
| * | Ligand Pharmaceuticals Inc. | 11,634 | 1,499 |
| * | Neogen Corp. | 21,203 | 1,461 |
| * | Penumbra Inc. | 16,758 | 1,441 |
| * | WebMD Health Corp. | 21,072 | 1,400 |
| * | Nevro Corp. | 15,810 | 1,363 |
| * | Medicines Co. | 36,384 | 1,335 |
| * | Avexis Inc. | 14,017 | 1,309 |
| * | Ultragenyx Pharmaceutical Inc. | 22,643 | 1,292 |
| * | Spark Therapeutics Inc. | 15,233 | 1,254 |
| * | Bluebird Bio Inc. | 10,037 | 1,253 |
| * | Supernus Pharmaceuticals Inc. | 27,075 | 1,240 |
| * | Ironwood Pharmaceuticals Inc. Class A | 77,038 | 1,229 |
| * | HealthEquity Inc. | 28,448 | 1,217 |
| * | Globus Medical Inc. | 40,242 | 1,217 |
| * | Blueprint Medicines Corp. | 22,193 | 1,203 |
| * | Merit Medical Systems Inc. | 27,795 | 1,148 |
| * | Amicus Therapeutics Inc. | 82,003 | 1,143 |
| * | Select Medical Holdings Corp. | 61,372 | 1,142 |
| * | Sarepta Therapeutics Inc. | 26,708 | 1,076 |
| * | Omnicell Inc. | 20,963 | 1,075 |
| * | ICU Medical Inc. | 6,077 | 1,060 |
| * | Haemonetics Corp. | 24,313 | 1,046 |
| * | Prothena Corp. plc | 16,906 | 1,039 |
| * | NxStage Medical Inc. | 36,896 | 1,033 |
| * | Teladoc Inc. | 30,741 | 1,031 |
| * | AMN Healthcare Services Inc. | 26,957 | 1,007 |
| * | Aerie Pharmaceuticals Inc. | 17,238 | 989 |
| * | Cambrex Corp. | 18,553 | 967 |
| * | MiMedx Group Inc. | 58,771 | 956 |
| * | Loxo Oncology Inc. | 11,371 | 948 |
| * | Inogen Inc. | 9,736 | 933 |
| * | Corcept Therapeutics Inc. | 51,770 | 863 |
| * | Pacira Pharmaceuticals Inc. | 22,315 | 850 |
| * | Repligen Corp. | 19,449 | 849 |
| * | Amedisys Inc. | 16,178 | 845 |
| * | Array BioPharma Inc. | 86,142 | 834 |
| * | Halozyme Therapeutics Inc. | 61,988 | 806 |
| * | Magellan Health Inc. | 9,862 | 798 |
| ^,* | Radius Health Inc. | 21,136 | 795 |
| ^,* | Tenet Healthcare Corp. | 46,203 | 793 |
| * | Theravance Biopharma Inc. | 23,714 | 775 |
| * | Cotiviti Holdings Inc. | 20,950 | 749 |
| * | HMS Holdings Corp. | 41,681 | 739 |
| * | Novocure Ltd. | 32,815 | 673 |
| * | Varex Imaging Corp. | 21,403 | 653 |
| * | Global Blood Therapeutics Inc. | 20,973 | 638 |
| * | OraSure Technologies Inc. | 30,363 | 620 |
| * | Natus Medical Inc. | 18,423 | 619 |
| * | Glaukos Corp. | 16,274 | 614 |
| * | Innoviva Inc. | 43,057 | 605 |
| * | BioTelemetry Inc. | 15,963 | 593 |
| * | Acceleron Pharma Inc. | 15,059 | 584 |
| | Abaxis Inc. | 12,462 | 576 |
| * | Quidel Corp. | 15,763 | 551 |
| * | LHC Group Inc. | 8,383 | 547 |
| * | Sangamo Therapeutics Inc. | 40,546 | 541 |
| * | Tivity Health Inc. | 13,807 | 541 |
| * | K2M Group Holdings Inc. | 23,031 | 539 |
| * | Cardiovascular Systems Inc. | 18,132 | 533 |
| ^,* | TherapeuticsMD Inc. | 88,687 | 532 |
| | Atrion Corp. | 795 | 495 |
64
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| ^,* | Omeros Corp. | 23,644 | 484 |
| ^,* | ZIOPHARM Oncology Inc. | 74,637 | 477 |
| * | Xencor Inc. | 21,634 | 468 |
| * | Intersect ENT Inc. | 14,748 | 456 |
| * | Vanda Pharmaceuticals Inc. | 24,987 | 430 |
| * | Aimmune Therapeutics Inc. | 19,976 | 430 |
| * | Arena Pharmaceuticals Inc. | 18,199 | 422 |
| * | Dermira Inc. | 17,832 | 421 |
| * | Esperion Therapeutics Inc. | 8,475 | 419 |
| | US Physical Therapy Inc. | 6,883 | 412 |
| ^,* | Flexion Therapeutics Inc. | 15,748 | 405 |
| * | AtriCure Inc. | 18,026 | 404 |
| ^,* | ImmunoGen Inc. | 47,798 | 400 |
| * | MyoKardia Inc. | 9,090 | 394 |
| ^,* | Synergy Pharmaceuticals Inc. | 128,833 | 384 |
| * | Paratek Pharmaceuticals Inc. | 13,373 | 377 |
| * | Insmed Inc. | 30,168 | 375 |
| * | iRhythm Technologies Inc. | 7,833 | 374 |
| * | Heska Corp. | 3,661 | 372 |
| * | Lexicon Pharmaceuticals Inc. | 24,458 | 370 |
| * | Heron Therapeutics Inc. | 22,140 | 365 |
| * | Anika Therapeutics Inc. | 6,764 | 363 |
| | Phibro Animal Health Corp. Class A | 10,121 | 359 |
| * | Genomic Health Inc. | 11,211 | 355 |
| * | Versartis Inc. | 18,523 | 352 |
| * | Cytokinetics Inc. | 23,598 | 350 |
| * | Akebia Therapeutics Inc. | 20,919 | 350 |
| * | TG Therapeutics Inc. | 27,570 | 350 |
| * | Emergent BioSolutions Inc. | 9,144 | 341 |
| * | Axovant Sciences Ltd. | 16,987 | 340 |
| * | La Jolla Pharmaceutical Co. | 9,931 | 339 |
| * | Keryx Biopharmaceuticals Inc. | 46,457 | 335 |
| | Ensign Group Inc. | 16,074 | 330 |
| * | Amphastar Pharmaceuticals Inc. | 20,613 | 330 |
| ^,* | Foundation Medicine Inc. | 8,135 | 328 |
| * | Ignyta Inc. | 28,391 | 327 |
| ^,* | Accelerate Diagnostics Inc. | 13,959 | 321 |
| | Landauer Inc. | 5,174 | 321 |
| * | NeoGenomics Inc. | 31,693 | 320 |
| * | Albany Molecular Research Inc. | 14,707 | 320 |
| * | PTC Therapeutics Inc. | 15,278 | 317 |
| * | Coherus Biosciences Inc. | 21,793 | 315 |
| * | Revance Therapeutics Inc. | 12,736 | 313 |
| ^,* | Achaogen Inc. | 16,469 | 309 |
| | LeMaitre Vascular Inc. | 8,426 | 307 |
| * | Quality Systems Inc. | 19,033 | 300 |
| * | Epizyme Inc. | 17,257 | 299 |
| * | Aclaris Therapeutics Inc. | 11,442 | 297 |
| * | Editas Medicine Inc. | 13,759 | 290 |
| | Meridian Bioscience Inc. | 20,730 | 288 |
| * | Calithera Biosciences Inc. | 17,398 | 285 |
| * | CytomX Therapeutics Inc. | 16,505 | 285 |
| * | Immunomedics Inc. | 22,383 | 283 |
| * | Aduro Biotech Inc. | 23,138 | 281 |
| * | CorVel Corp. | 5,398 | 280 |
| * | Cutera Inc. | 7,513 | 279 |
| * | Providence Service Corp. | 5,362 | 278 |
| * | STAAR Surgical Co. | 23,247 | 278 |
| * | AxoGen Inc. | 15,520 | 273 |
| * | Progenics Pharmaceuticals Inc. | 40,183 | 270 |
| * | CryoLife Inc. | 12,528 | 261 |
| * | Eagle Pharmaceuticals Inc. | 4,679 | 255 |
| * | Enzo Biochem Inc. | 22,149 | 249 |
| * | Antares Pharma Inc. | 81,578 | 246 |
65
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | GenMark Diagnostics Inc. | 24,943 | 243 |
| * | Pacific Biosciences of California Inc. | 48,765 | 241 |
| * | Lantheus Holdings Inc. | 13,567 | 237 |
| * | Inovio Pharmaceuticals Inc. | 38,336 | 228 |
| * | Natera Inc. | 17,914 | 221 |
| * | ANI Pharmaceuticals Inc. | 4,586 | 220 |
| * | Assembly Biosciences Inc. | 8,007 | 217 |
| * | Invitae Corp. | 22,104 | 217 |
| * | RadNet Inc. | 21,040 | 216 |
| * | Oxford Immunotec Global plc | 12,913 | 204 |
| * | Endologix Inc. | 46,824 | 198 |
| | Luminex Corp. | 10,196 | 197 |
| * | Depomed Inc. | 32,412 | 197 |
| * | BioCryst Pharmaceuticals Inc. | 38,519 | 196 |
| ^,* | Corbus Pharmaceuticals Holdings Inc. | 25,341 | 196 |
| * | Surmodics Inc. | 7,500 | 195 |
| * | Accuray Inc. | 46,284 | 192 |
| ^,* | Cara Therapeutics Inc. | 13,103 | 188 |
| * | Biohaven Pharmaceutical Holding Co. Ltd. | 5,140 | 184 |
| ^,* | Geron Corp. | 84,475 | 183 |
| * | Rigel Pharmaceuticals Inc. | 70,420 | 180 |
| * | Civitas Solutions Inc. | 9,175 | 175 |
| * | Capital Senior Living Corp. | 13,943 | 173 |
| * | Momenta Pharmaceuticals Inc. | 10,267 | 173 |
| * | Tactile Systems Technology Inc. | 5,239 | 172 |
| * | R1 RCM Inc. | 52,185 | 172 |
| * | Audentes Therapeutics Inc. | 8,001 | 168 |
| * | Seres Therapeutics Inc. | 11,695 | 164 |
| * | Teligent Inc. | 23,365 | 161 |
| * | WaVe Life Sciences Ltd. | 6,862 | 161 |
| ^,* | Rockwell Medical Inc. | 25,373 | 160 |
| | National Research Corp. Class A | 4,958 | 160 |
| * | BioSpecifics Technologies Corp. | 3,209 | 151 |
| * | Reata Pharmaceuticals Inc. Class A | 4,885 | 148 |
| * | Addus HomeCare Corp. | 4,284 | 146 |
| * | Castlight Health Inc. Class B | 36,666 | 143 |
| ^,* | Syros Pharmaceuticals Inc. | 7,200 | 141 |
| * | Sucampo Pharmaceuticals Inc. Class A | 11,815 | 139 |
| * | Curis Inc. | 65,896 | 134 |
| ^,* | Advaxis Inc. | 19,256 | 131 |
| * | Agenus Inc. | 35,493 | 131 |
| * | Zogenix Inc. | 10,719 | 127 |
| * | Tabula Rasa HealthCare Inc. | 5,508 | 125 |
| * | Durect Corp. | 78,719 | 125 |
| ^,* | Insys Therapeutics Inc. | 13,671 | 125 |
| * | Entellus Medical Inc. | 7,022 | 124 |
| * | Aratana Therapeutics Inc. | 21,552 | 123 |
| * | Cerus Corp. | 52,263 | 123 |
| * | Codexis Inc. | 22,004 | 122 |
| * | Edge Therapeutics Inc. | 11,505 | 121 |
| * | Selecta Biosciences Inc. | 6,798 | 121 |
| | Utah Medical Products Inc. | 1,672 | 121 |
| ^,* | Organovo Holdings Inc. | 56,907 | 118 |
| * | Cross Country Healthcare Inc. | 9,559 | 118 |
| * | SciClone Pharmaceuticals Inc. | 10,730 | 118 |
| * | Bellicum Pharmaceuticals Inc. | 10,873 | 118 |
| * | Catalyst Pharmaceuticals Inc. | 41,419 | 114 |
| * | Idera Pharmaceuticals Inc. | 57,166 | 113 |
| * | Veracyte Inc. | 13,744 | 113 |
| * | Pieris Pharmaceuticals Inc. | 19,959 | 110 |
| * | RTI Surgical Inc. | 24,001 | 108 |
| ^,* | Pulse Biosciences Inc. | 5,229 | 105 |
| * | Surgery Partners Inc. | 10,724 | 105 |
| | Computer Programs & Systems Inc. | 3,398 | 102 |
66
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Corium International Inc. | 11,666 | 100 |
| * | MacroGenics Inc. | 5,248 | 99 |
| * | NewLink Genetics Corp. | 12,081 | 98 |
| * | Athersys Inc. | 55,983 | 98 |
| * | Ra Pharmaceuticals Inc. | 6,490 | 97 |
| * | REGENXBIO Inc. | 4,254 | 97 |
| * | ChemoCentryx Inc. | 13,598 | 94 |
| * | Orthofix International NV | 1,870 | 92 |
| ^,* | Anavex Life Sciences Corp. | 20,205 | 90 |
| ^,* | Adamas Pharmaceuticals Inc. | 4,251 | 89 |
| * | Corindus Vascular Robotics Inc. | 46,318 | 89 |
| * | FONAR Corp. | 2,963 | 88 |
| * | Almost Family Inc. | 1,799 | 88 |
| * | Fortress Biotech Inc. | 18,183 | 86 |
| * | Strongbridge Biopharma plc | 12,812 | 86 |
| * | Neos Therapeutics Inc. | 10,180 | 85 |
| ^,* | ViewRay Inc. | 16,159 | 85 |
| * | MediciNova Inc. | 15,338 | 83 |
| * | AnaptysBio Inc. | 2,949 | 83 |
| * | Conatus Pharmaceuticals Inc. | 14,126 | 81 |
| ^,* | Ocular Therapeutix Inc. | 12,448 | 78 |
| * | Fluidigm Corp. | 16,429 | 75 |
| * | American Renal Associates Holdings Inc. | 5,100 | 73 |
| * | Minerva Neurosciences Inc. | 11,823 | 72 |
| * | Acorda Therapeutics Inc. | 3,376 | 70 |
| * | Triple-S Management Corp. Class B | 2,815 | 70 |
| * | Genocea Biosciences Inc. | 13,269 | 65 |
| * | Concert Pharmaceuticals Inc. | 4,229 | 64 |
| | Merrimack Pharmaceuticals Inc. | 46,534 | 63 |
| * | Novavax Inc. | 59,780 | 63 |
| * | Jounce Therapeutics Inc. | 3,662 | 62 |
| * | NanoString Technologies Inc. | 3,755 | 58 |
| * | Tocagen Inc. | 4,120 | 57 |
| * | Kura Oncology Inc. | 7,875 | 57 |
| * | Asterias Biotherapeutics Inc. | 16,043 | 55 |
| * | Miragen Therapeutics Inc. | 5,804 | 52 |
| * | Syndax Pharmaceuticals Inc. | 4,485 | 52 |
| * | XBiotech Inc. | 9,832 | 50 |
| ^,* | Viveve Medical Inc. | 8,274 | 47 |
| * | Clearside Biomedical Inc. | 6,497 | 45 |
| * | VBI Vaccines Inc. | 11,967 | 43 |
| * | Alder Biopharmaceuticals Inc. | 4,348 | 43 |
| ^,* | Zynerba Pharmaceuticals Inc. | 6,603 | 42 |
| * | Karyopharm Therapeutics Inc. | 4,044 | 41 |
| * | Dynavax Technologies Corp. | 2,131 | 38 |
| * | Madrigal Pharmaceuticals Inc. | 2,188 | 37 |
| * | Matinas BioPharma Holdings Inc. | 29,126 | 37 |
| * | Quotient Ltd. | 9,313 | 36 |
| * | Protagonist Therapeutics Inc. | 2,197 | 36 |
| * | ConforMIS Inc. | 7,495 | 28 |
| * | Obalon Therapeutics Inc. | 2,957 | 27 |
| * | Ovid therapeutics Inc. | 2,780 | 26 |
| * | BioScrip Inc. | 7,649 | 23 |
| * | vTv Therapeutics Inc. Class A | 4,241 | 23 |
| * | Stemline Therapeutics Inc. | 2,515 | 23 |
| * | Nymox Pharmaceutical Corp. | 6,052 | 23 |
| * | Genesis Healthcare Inc. | 20,571 | 21 |
| * | Fate Therapeutics Inc. | 5,185 | 20 |
| * | Immune Design Corp. | 1,096 | 12 |
| * | Iovance Biotherapeutics Inc. | 1,992 | 11 |
| * | Oncocyte Corp. | 1,981 | 11 |
| ^,* | Synthetic Biologics Inc. | 12,764 | 10 |
| * | Kindred Biosciences Inc. | 1,200 | 9 |
| * | Athenex Inc. | 446 | 8 |
67
| | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * Collegium Pharmaceutical Inc. | 748 | 8 |
| * Cempra Inc. | 2,193 | 7 |
| * Trevena Inc. | 1,676 | 4 |
| * Recro Pharma Inc. | 467 | 4 |
| * Altimmune Inc. | 1,278 | 3 |
| * Flex Pharma Inc. | 634 | 3 |
| * Asterias Biotherapeutics Inc. Warrants Exp. 09/29/2017 | 1,039 | — |
| | | 140,336 |
| Materials & Processing (8.0%) | | |
| * Louisiana-Pacific Corp. | 77,895 | 1,985 |
| Sensient Technologies Corp. | 25,219 | 1,820 |
| * Summit Materials Inc. Class A | 61,042 | 1,803 |
| PolyOne Corp. | 46,398 | 1,677 |
| * Ingevity Corp. | 24,263 | 1,528 |
| * RBC Bearings Inc. | 13,210 | 1,457 |
| Balchem Corp. | 18,073 | 1,355 |
| * Trex Co. Inc. | 16,883 | 1,283 |
| * Beacon Roofing Supply Inc. | 25,585 | 1,205 |
| Trinseo SA | 17,711 | 1,185 |
| Compass Minerals International Inc. | 17,585 | 1,175 |
| Worthington Industries Inc. | 23,423 | 1,170 |
| KapStone Paper and Packaging Corp. | 49,637 | 1,110 |
| HB Fuller Co. | 21,597 | 1,084 |
| * Masonite International Corp. | 16,981 | 1,075 |
| Quaker Chemical Corp. | 7,420 | 1,033 |
| Cabot Microelectronics Corp. | 14,205 | 1,017 |
| Mueller Industries Inc. | 32,407 | 967 |
| * Ferro Corp. | 47,849 | 922 |
| * Builders FirstSource Inc. | 55,394 | 902 |
| Universal Forest Products Inc. | 10,157 | 886 |
| US Silica Holdings Inc. | 28,407 | 773 |
| AAON Inc. | 23,551 | 768 |
| Greif Inc. Class A | 12,604 | 762 |
| Minerals Technologies Inc. | 11,390 | 729 |
| Comfort Systems USA Inc. | 20,936 | 713 |
| * Installed Building Products Inc. | 12,253 | 707 |
| Apogee Enterprises Inc. | 16,085 | 703 |
| * US Concrete Inc. | 8,657 | 693 |
| * Patrick Industries Inc. | 9,201 | 681 |
| Mueller Water Products Inc. Class A | 53,318 | 639 |
| Neenah Paper Inc. | 7,805 | 603 |
| Interface Inc. Class A | 31,723 | 603 |
| Stepan Co. | 7,215 | 558 |
| * Continental Building Products Inc. | 22,455 | 547 |
| A Schulman Inc. | 16,228 | 493 |
| Deltic Timber Corp. | 6,229 | 486 |
| * AdvanSix Inc. | 14,730 | 470 |
| * Koppers Holdings Inc. | 11,732 | 460 |
| * GMS Inc. | 13,385 | 431 |
| NN Inc. | 15,387 | 392 |
| Advanced Drainage Systems Inc. | 20,078 | 390 |
| * JELD-WEN Holding Inc. | 12,753 | 389 |
| * NCI Building Systems Inc. | 22,731 | 382 |
| Chase Corp. | 4,060 | 380 |
| * PGT Innovations Inc. | 27,509 | 363 |
| Global Brass & Copper Holdings Inc. | 11,348 | 339 |
| Kronos Worldwide Inc. | 12,880 | 270 |
| Griffon Corp. | 14,192 | 263 |
| KMG Chemicals Inc. | 5,242 | 252 |
| Myers Industries Inc. | 13,156 | 247 |
| * Caesarstone Ltd. | 8,217 | 238 |
| Insteel Industries Inc. | 9,260 | 232 |
| Rayonier Advanced Materials Inc. | 15,464 | 212 |
| * Ply Gem Holdings Inc. | 12,715 | 198 |
68
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Culp Inc. | 6,185 | 179 |
| | Greif Inc. Class B | 2,775 | 175 |
| | Simpson Manufacturing Co. Inc. | 3,508 | 154 |
| * | Coeur Mining Inc. | 16,666 | 146 |
| * | OMNOVA Solutions Inc. | 16,361 | 142 |
| * | Boise Cascade Co. | 4,335 | 130 |
| | Schweitzer-Mauduit International Inc. | 3,427 | 130 |
| * | Kraton Corp. | 3,706 | 122 |
| * | Klondex Mines Ltd. | 29,965 | 101 |
| * | Uranium Energy Corp. | 75,025 | 99 |
| | Omega Flex Inc. | 1,694 | 98 |
| * | Lawson Products Inc. | 2,720 | 65 |
| * | Huttig Building Products Inc. | 9,660 | 55 |
| * | Landec Corp. | 3,715 | 48 |
| | Hawkins Inc. | 1,154 | 41 |
| * | BMC Stock Holdings Inc. | 1,911 | 39 |
| * | Forterra Inc. | 10,945 | 36 |
| * | Century Aluminum Co. | 1,707 | 33 |
| | Quanex Building Products Corp. | 1,581 | 31 |
| * | Handy & Harman Ltd. | 932 | 30 |
| * | Foundation Building Materials Inc. | 2,228 | 29 |
| | Calgon Carbon Corp. | 2,241 | 27 |
| * | Shiloh Industries Inc. | 3,059 | 27 |
| * | Verso Corp. | 1,377 | 7 |
| | United States Lime & Minerals Inc. | 64 | 5 |
| | Valhi Inc. | 729 | 2 |
| | | | 44,956 |
| Other (0.1%)2 | | |
| *,3 | Dyax Corp CVR Exp. 12/31/2019 | 73,258 | 147 |
| * | Safety Income and Growth Inc. | 2,214 | 44 |
| * | Venator Materials plc | 1,380 | 28 |
| ^,*,3 | Tobira Therapeutics CVR Exp. 12/31/2028 | 3,989 | 18 |
| * | Akcea Therapeutics Inc. | 865 | 16 |
| * | G1 Therapeutics Inc. | 650 | 12 |
| * | Mersana Therapeutics Inc. | 667 | 12 |
| * | Byline Bancorp Inc. | 540 | 11 |
| * | Sienna Biopharmaceuticals Inc. | 315 | 8 |
| * | Tintri Inc. | 1,300 | 8 |
| * | RBB Bancorp | 315 | 7 |
| * | PetIQ Inc. | 271 | 7 |
| * | Dova Pharmaceuticals Inc. | 152 | 4 |
| *,3 | Chelsea Therapeutics International Ltd. CVR | 27,975 | 3 |
| *,3 | Omthera Pharmaceuticals Inc. CVR | 2,001 | 1 |
| * | Aileron Therapeutics Inc. | 91 | 1 |
| *,3 | Durata Therapeutics Inc CVR Exp. 12/31/2018 | 534 | — |
| *,3 | Clinical Data CVR | 367 | — |
| | | | 327 |
| Producer Durables (15.7%) | | |
| | Littelfuse Inc. | 12,838 | 2,390 |
| | MAXIMUS Inc. | 36,590 | 2,224 |
| | Woodward Inc. | 30,336 | 2,130 |
| | Healthcare Services Group Inc. | 40,626 | 2,080 |
| | Brink's Co. | 26,146 | 2,051 |
| | Deluxe Corp. | 27,614 | 1,915 |
| | Curtiss-Wright Corp. | 18,836 | 1,824 |
| | EMCOR Group Inc. | 25,362 | 1,675 |
| * | Advanced Energy Industries Inc. | 22,646 | 1,665 |
| | Kennametal Inc. | 45,836 | 1,604 |
| | EnerSys | 24,876 | 1,595 |
| | John Bean Technologies Corp. | 17,910 | 1,589 |
| * | MasTec Inc. | 37,997 | 1,550 |
| | Knight Transportation Inc. | 39,118 | 1,528 |
| * | Generac Holdings Inc. | 35,115 | 1,418 |
| * | Itron Inc. | 19,495 | 1,415 |
69
| | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * Dycom Industries Inc. | 17,397 | 1,404 |
| MSA Safety Inc. | 19,021 | 1,386 |
| * On Assignment Inc. | 28,955 | 1,381 |
| Tetra Tech Inc. | 30,398 | 1,295 |
| Hillenbrand Inc. | 36,130 | 1,292 |
| * WageWorks Inc. | 21,276 | 1,254 |
| Applied Industrial Technologies Inc. | 21,773 | 1,241 |
| * Advisory Board Co. | 23,047 | 1,227 |
| * Hawaiian Holdings Inc. | 27,469 | 1,177 |
| * Aerojet Rocketdyne Holdings Inc. | 39,283 | 1,164 |
| * Swift Transportation Co. | 41,301 | 1,158 |
| * ExlService Holdings Inc. | 18,681 | 1,051 |
| * Proto Labs Inc. | 14,174 | 1,018 |
| Exponent Inc. | 14,653 | 998 |
| Herman Miller Inc. | 29,070 | 978 |
| Granite Construction Inc. | 17,563 | 970 |
| ^ Covanta Holding Corp. | 66,960 | 961 |
| Franklin Electric Co. Inc. | 24,866 | 959 |
| * Electronics For Imaging Inc. | 26,405 | 939 |
| HNI Corp. | 25,285 | 927 |
| Forward Air Corp. | 17,049 | 886 |
| Allegiant Travel Co. Class A | 7,495 | 884 |
| EnPro Industries Inc. | 12,016 | 847 |
| Insperity Inc. | 10,487 | 842 |
| * TriNet Group Inc. | 23,383 | 835 |
| * OSI Systems Inc. | 9,955 | 827 |
| * Harsco Corp. | 45,695 | 781 |
| * TopBuild Corp. | 12,641 | 750 |
| Altra Industrial Motion Corp. | 16,286 | 750 |
| Badger Meter Inc. | 15,962 | 733 |
| * Paylocity Holding Corp. | 14,771 | 726 |
| AZZ Inc. | 14,761 | 722 |
| ABM Industries Inc. | 16,139 | 717 |
| Brady Corp. Class A | 20,635 | 688 |
| Albany International Corp. | 12,796 | 686 |
| * Air Transport Services Group Inc. | 29,544 | 678 |
| Sun Hydraulics Corp. | 13,423 | 643 |
| * Axon Enterprise Inc. | 29,621 | 643 |
| Primoris Services Corp. | 22,413 | 641 |
| US Ecology Inc. | 12,423 | 639 |
| Multi-Color Corp. | 7,761 | 619 |
| * SPX Corp. | 24,204 | 583 |
| * Herc Holdings Inc. | 13,772 | 581 |
| Tennant Co. | 9,499 | 579 |
| Raven Industries Inc. | 20,545 | 575 |
| Watts Water Technologies Inc. Class A | 9,187 | 567 |
| Heartland Express Inc. | 25,368 | 562 |
| Standex International Corp. | 5,649 | 539 |
| Kadant Inc. | 6,163 | 535 |
| Argan Inc. | 8,264 | 524 |
| Steelcase Inc. Class A | 39,507 | 521 |
| ^ Lindsay Corp. | 5,953 | 515 |
| Knoll Inc. | 25,851 | 467 |
| * Lydall Inc. | 9,499 | 446 |
| General Cable Corp. | 26,180 | 444 |
| Douglas Dynamics Inc. | 12,555 | 438 |
| Alamo Group Inc. | 4,641 | 426 |
| H&E Equipment Services Inc. | 17,928 | 422 |
| Actuant Corp. Class A | 17,207 | 414 |
| Schneider National Inc. Class B | 17,156 | 382 |
| * Milacron Holdings Corp. | 22,483 | 359 |
| * Saia Inc. | 6,256 | 354 |
| Hyster-Yale Materials Handling Inc. | 4,917 | 350 |
| * Advanced Disposal Services Inc. | 14,140 | 337 |
70
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Rush Enterprises Inc. Class A | 8,119 | 333 |
| * | Astronics Corp. | 12,182 | 320 |
| | TeleTech Holdings Inc. | 7,890 | 313 |
| * | Atkore International Group Inc. | 18,629 | 310 |
| * | Control4 Corp. | 12,478 | 309 |
| | Kimball International Inc. Class B | 17,869 | 303 |
| | Astec Industries Inc. | 6,022 | 299 |
| | Matson Inc. | 11,458 | 296 |
| ^,* | Plug Power Inc. | 127,036 | 272 |
| * | InnerWorkings Inc. | 24,159 | 253 |
| | Mesa Laboratories Inc. | 1,818 | 248 |
| | Barnes Group Inc. | 3,847 | 241 |
| | Kforce Inc. | 13,345 | 240 |
| | Forrester Research Inc. | 5,732 | 234 |
| | CIRCOR International Inc. | 4,608 | 221 |
| * | Kratos Defense & Security Solutions Inc. | 15,665 | 210 |
| | Barrett Business Services Inc. | 4,022 | 207 |
| * | SPX FLOW Inc. | 6,056 | 203 |
| | Wabash National Corp. | 9,366 | 197 |
| | Quad/Graphics Inc. | 9,991 | 190 |
| * | DXP Enterprises Inc. | 6,910 | 187 |
| * | Hudson Technologies Inc. | 20,945 | 186 |
| | Hackett Group Inc. | 13,611 | 186 |
| * | GP Strategies Corp. | 6,455 | 185 |
| | REV Group Inc. | 7,203 | 181 |
| * | Vicor Corp. | 8,663 | 169 |
| * | NV5 Global Inc. | 3,437 | 166 |
| | Federal Signal Corp. | 8,176 | 153 |
| * | CSW Industrials Inc. | 3,593 | 150 |
| | KBR Inc. | 9,180 | 149 |
| * | Daseke Inc. | 10,848 | 142 |
| * | Energy Recovery Inc. | 20,784 | 135 |
| * | Willdan Group Inc. | 4,343 | 135 |
| * | CAI International Inc. | 4,190 | 130 |
| * | Moog Inc. Class A | 1,625 | 125 |
| * | SP Plus Corp. | 3,106 | 115 |
| * | Radiant Logistics Inc. | 21,763 | 110 |
| | Spartan Motors Inc. | 11,718 | 108 |
| * | HC2 Holdings Inc. | 23,402 | 107 |
| * | MYR Group Inc. | 4,130 | 107 |
| | RR Donnelley & Sons Co. | 11,344 | 105 |
| * | Energous Corp. | 10,776 | 102 |
| * | Neff Corp. Class A | 4,096 | 102 |
| * | ServiceSource International Inc. | 28,913 | 102 |
| | Supreme Industries Inc. Class A | 4,630 | 97 |
| * | Team Inc. | 7,637 | 94 |
| | Allied Motion Technologies Inc. | 3,722 | 94 |
| * | Heritage-Crystal Clean Inc. | 4,729 | 92 |
| * | FARO Technologies Inc. | 2,555 | 88 |
| * | Commercial Vehicle Group Inc. | 14,592 | 87 |
| * | Tutor Perini Corp. | 3,280 | 86 |
| * | Hill International Inc. | 17,034 | 81 |
| * | Aqua Metals Inc. | 9,654 | 72 |
| * | Casella Waste Systems Inc. Class A | 4,248 | 71 |
| * | StarTek Inc. | 5,614 | 67 |
| ^ | EnviroStar Inc. | 1,940 | 64 |
| * | Ardmore Shipping Corp. | 7,770 | 63 |
| | BG Staffing Inc. | 3,823 | 62 |
| | Kaman Corp. | 1,259 | 62 |
| | Universal Logistics Holdings Inc. | 3,615 | 60 |
| * | Sykes Enterprises Inc. | 2,150 | 57 |
| * | YRC Worldwide Inc. | 4,252 | 57 |
| | ArcBest Corp. | 1,868 | 55 |
| * | Rush Enterprises Inc. Class B | 1,401 | 54 |
71
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | .($000) |
| * | Napco Security Technologies Inc. | 6,822 | 54 |
| * | Navistar International Corp. | 1,523 | 52 |
| ^,* | ExOne Co. | 5,707 | 46 |
| * | Orion Group Holdings Inc. | 7,223 | 44 |
| | Marlin Business Services Corp. | 1,609 | 42 |
| * | Information Services Group Inc. | 11,067 | 42 |
| * | Sterling Construction Co. Inc. | 3,409 | 40 |
| * | Blue Bird Corp. | 2,084 | 38 |
| | Advanced Emissions Solutions Inc. | 3,513 | 36 |
| * | Vectrus Inc. | 1,259 | 36 |
| | McGrath RentCorp | 854 | 34 |
| * | TrueBlue Inc. | 1,340 | 27 |
| * | Mistras Group Inc. | 1,045 | 20 |
| * | Great Lakes Dredge & Dock Corp. | 3,169 | 13 |
| | Miller Industries Inc. | 411 | 10 |
| * | Willis Lease Finance Corp. | 192 | 5 |
| | | | 88,428 |
| Technology (19.7%) | | |
| * | GrubHub Inc. | 49,003 | 2,798 |
| * | Aspen Technology Inc. | 42,739 | 2,703 |
| | MKS Instruments Inc. | 30,726 | 2,530 |
| | Monolithic Power Systems Inc. | 22,736 | 2,304 |
| | Blackbaud Inc. | 27,171 | 2,294 |
| * | EPAM Systems Inc. | 28,010 | 2,278 |
| * | Proofpoint Inc. | 24,512 | 2,249 |
| * | Cirrus Logic Inc. | 36,776 | 2,132 |
| * | Paycom Software Inc. | 28,119 | 2,098 |
| * | Entegris Inc. | 81,036 | 2,062 |
| * | Lumentum Holdings Inc. | 34,773 | 1,977 |
| * | Yelp Inc. Class A | 44,325 | 1,888 |
| * | Integrated Device Technology Inc. | 76,362 | 1,887 |
| | Science Applications International Corp. | 24,988 | 1,846 |
| * | Silicon Laboratories Inc. | 23,928 | 1,816 |
| * | Ciena Corp. | 80,513 | 1,740 |
| * | Ellie Mae Inc. | 19,309 | 1,602 |
| * | Zendesk Inc. | 55,473 | 1,520 |
| * | ACI Worldwide Inc. | 66,569 | 1,515 |
| * | RingCentral Inc. Class A | 35,643 | 1,509 |
| * | RealPage Inc. | 33,478 | 1,443 |
| * | iRobot Corp. | 15,091 | 1,440 |
| * | HubSpot Inc. | 19,228 | 1,410 |
| | InterDigital Inc. | 19,766 | 1,410 |
| * | Semtech Corp. | 36,997 | 1,391 |
| * | CommVault Systems Inc. | 22,142 | 1,352 |
| * | Rogers Corp. | 10,297 | 1,221 |
| | Pegasystems Inc. | 20,905 | 1,203 |
| | Power Integrations Inc. | 16,386 | 1,194 |
| * | Mercury Systems Inc. | 24,667 | 1,190 |
| * | Envestnet Inc. | 24,643 | 1,095 |
| * | MACOM Technology Solutions Holdings Inc. | 23,136 | 1,054 |
| * | Cornerstone OnDemand Inc. | 29,807 | 1,043 |
| * | Twilio Inc. Class A | 35,522 | 1,040 |
| | Brooks Automation Inc. | 39,314 | 1,025 |
| * | Callidus Software Inc. | 36,870 | 949 |
| * | Inphi Corp. | 24,023 | 920 |
| * | Gigamon Inc. | 20,533 | 882 |
| * | Box Inc. | 44,883 | 881 |
| | Diebold Nixdorf Inc. | 42,941 | 878 |
| * | BroadSoft Inc. | 17,447 | 865 |
| * | Groupon Inc. Class A | 193,045 | 857 |
| * | Imperva Inc. | 19,020 | 849 |
| * | Qualys Inc. | 17,841 | 847 |
| | Methode Electronics Inc. | 20,516 | 839 |
| * | Synaptics Inc. | 19,688 | 818 |
72
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Plantronics Inc. | 19,073 | 813 |
| * | Fabrinet | 20,630 | 801 |
| * | New Relic Inc. | 16,652 | 798 |
| | Ebix Inc. | 13,744 | 793 |
| * | Pure Storage Inc. Class A | 52,873 | 787 |
| ^,* | 3D Systems Corp. | 62,415 | 784 |
| ^,* | Ubiquiti Networks Inc. | 13,145 | 783 |
| | Progress Software Corp. | 22,745 | 764 |
| | Xperi Corp. | 27,819 | 758 |
| * | MaxLinear Inc. | 34,403 | 743 |
| * | Q2 Holdings Inc. | 17,799 | 723 |
| * | Novanta Inc. | 18,187 | 711 |
| * | Finisar Corp. | 29,358 | 709 |
| * | Extreme Networks Inc. | 61,993 | 709 |
| * | Oclaro Inc. | 81,892 | 689 |
| * | Five9 Inc. | 29,605 | 637 |
| * | ePlus Inc. | 7,456 | 624 |
| * | KEMET Corp. | 25,961 | 621 |
| ^,* | Applied Optoelectronics Inc. | 10,489 | 620 |
| * | FormFactor Inc. | 40,916 | 618 |
| | CSG Systems International Inc. | 15,585 | 603 |
| * | Bottomline Technologies de Inc. | 19,888 | 603 |
| * | TrueCar Inc. | 35,539 | 602 |
| | NIC Inc. | 36,462 | 596 |
| * | SPS Commerce Inc. | 9,591 | 584 |
| * | GTT Communications Inc. | 17,590 | 558 |
| * | Web.com Group Inc. | 21,808 | 552 |
| * | Acxiom Corp. | 22,997 | 536 |
| * | Alarm.com Holdings Inc. | 11,535 | 518 |
| * | Coupa Software Inc. | 16,945 | 516 |
| * | MINDBODY Inc. Class A | 20,923 | 495 |
| * | CEVA Inc. | 12,180 | 494 |
| * | Viavi Solutions Inc. | 48,513 | 487 |
| * | Inovalon Holdings Inc. Class A | 35,645 | 483 |
| ^,* | Acacia Communications Inc. | 9,585 | 468 |
| * | Hortonworks Inc. | 27,197 | 462 |
| * | Vocera Communications Inc. | 15,871 | 442 |
| * | Nutanix Inc. | 19,786 | 435 |
| * | Ultra Clean Holdings Inc. | 18,696 | 431 |
| * | Ambarella Inc. | 7,804 | 425 |
| * | Varonis Systems Inc. | 10,856 | 421 |
| * | Virtusa Corp. | 11,454 | 416 |
| * | LivePerson Inc. | 30,814 | 413 |
| | SYNNEX Corp. | 3,381 | 404 |
| * | Lattice Semiconductor Corp. | 69,673 | 394 |
| * | PROS Holdings Inc. | 14,906 | 393 |
| ^,* | Impinj Inc. | 10,233 | 391 |
| * | MicroStrategy Inc. Class A | 3,018 | 389 |
| * | CalAmp Corp. | 19,639 | 364 |
| * | II-VI Inc. | 10,041 | 360 |
| * | Axcelis Technologies Inc. | 17,058 | 357 |
| * | CommerceHub Inc. | 16,717 | 355 |
| * | Rudolph Technologies Inc. | 15,925 | 354 |
| * | Barracuda Networks Inc. | 14,300 | 346 |
| | Syntel Inc. | 18,800 | 340 |
| * | Loral Space & Communications Inc. | 7,283 | 331 |
| * | Stratasys Ltd. | 14,140 | 316 |
| * | Insight Enterprises Inc. | 7,877 | 316 |
| * | Nanometrics Inc. | 11,254 | 290 |
| * | Workiva Inc. | 14,099 | 285 |
| * | Carbonite Inc. | 14,029 | 281 |
| ^,* | Benefitfocus Inc. | 9,031 | 279 |
| * | Tucows Inc. Class A | 5,111 | 270 |
| * | Xcerra Corp. | 26,319 | 258 |
73
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Endurance International Group Holdings Inc. | 32,966 | 254 |
| * | Verint Systems Inc. | 5,748 | 228 |
| * | PDF Solutions Inc. | 14,974 | 227 |
| * | Everbridge Inc. | 9,634 | 223 |
| * | Quantenna Communications Inc. | 12,012 | 223 |
| * | Rambus Inc. | 16,442 | 213 |
| | Monotype Imaging Holdings Inc. | 11,377 | 208 |
| ^,* | Internap Corp. | 45,532 | 204 |
| * | Rapid7 Inc. | 11,858 | 200 |
| * | Appfolio Inc. | 4,573 | 196 |
| * | Blackline Inc. | 6,231 | 192 |
| | NVE Corp. | 2,528 | 192 |
| * | MuleSoft Inc. Class A | 8,577 | 187 |
| * | A10 Networks Inc. | 27,908 | 183 |
| * | Model N Inc. | 13,400 | 182 |
| * | Apptio Inc. Class A | 10,139 | 180 |
| * | Mitek Systems Inc. | 17,719 | 180 |
| * | Tech Data Corp. | 1,566 | 173 |
| * | Okta Inc. | 6,369 | 172 |
| * | CommerceHub Inc. Class A | 7,588 | 168 |
| ^,* | Digimarc Corp. | 5,408 | 167 |
| * | Zix Corp. | 30,433 | 162 |
| * | Diodes Inc. | 5,699 | 160 |
| * | TTM Technologies Inc. | 11,172 | 159 |
| * | ChannelAdvisor Corp. | 13,674 | 159 |
| ^,* | Cloudera Inc. | 8,006 | 155 |
| * | Unisys Corp. | 19,931 | 154 |
| * | Ichor Holdings Ltd. | 6,720 | 154 |
| * | Brightcove Inc. | 19,587 | 138 |
| * | Super Micro Computer Inc. | 4,856 | 129 |
| * | Kopin Corp. | 31,926 | 128 |
| | Systemax Inc. | 5,170 | 126 |
| | QAD Inc. Class A | 3,717 | 125 |
| * | USA Technologies Inc. | 22,551 | 123 |
| * | Immersion Corp. | 16,726 | 122 |
| * | Alteryx Inc. Class A | 5,171 | 122 |
| * | MobileIron Inc. | 31,186 | 119 |
| | Daktronics Inc. | 12,083 | 116 |
| ^,* | VirnetX Holding Corp. | 28,399 | 114 |
| * | Exa Corp. | 7,818 | 112 |
| * | Blucora Inc. | 4,814 | 110 |
| * | ViaSat Inc. | 1,671 | 106 |
| * | VeriFone Systems Inc. | 5,262 | 104 |
| * | Intevac Inc. | 11,246 | 102 |
| | American Software Inc. Class A | 9,254 | 102 |
| * | Presidio Inc. | 7,060 | 98 |
| ^,* | MicroVision Inc. | 40,168 | 95 |
| * | Amber Road Inc. | 11,665 | 94 |
| ^,* | Yext Inc. | 7,120 | 93 |
| * | Upland Software Inc. | 4,016 | 92 |
| ^,* | Park City Group Inc. | 7,290 | 92 |
| * | Ooma Inc. | 9,364 | 92 |
| * | Guidance Software Inc. | 12,825 | 91 |
| | Reis Inc. | 5,280 | 90 |
| | Simulations Plus Inc. | 6,212 | 90 |
| * | Evolent Health Inc. Class A | 5,375 | 90 |
| * | Iteris Inc. | 13,036 | 84 |
| * | Clearfield Inc. | 6,499 | 79 |
| * | Pixelworks Inc. | 15,762 | 76 |
| * | Silver Spring Networks Inc. | 5,434 | 69 |
| * | Limelight Networks Inc. | 18,204 | 65 |
| * | Aerohive Networks Inc. | 17,335 | 60 |
| * | Avid Technology Inc. | 13,232 | 58 |
| * | EMCORE Corp. | 6,348 | 58 |
74
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Telenav Inc. | 8,798 | 57 |
| | Cohu Inc. | 2,541 | 48 |
| * | TechTarget Inc. | 3,470 | 35 |
| | Bel Fuse Inc. Class B | 1,280 | 33 |
| * | Akoustis Technologies Inc. | 4,797 | 32 |
| * | CyberOptics Corp. | 2,028 | 31 |
| * | PCM Inc. | 2,185 | 29 |
| * | Amkor Technology Inc. | 3,226 | 28 |
| ^,* | Ominto Inc. | 8,109 | 26 |
| * | Meet Group Inc. | 6,026 | 24 |
| ^,* | Veritone Inc. | 1,386 | 22 |
| * | Perficient Inc. | 1,123 | 21 |
| * | VASCO Data Security International Inc. | 1,396 | 18 |
| * | Majesco | 3,483 | 17 |
| * | Quantum Corp. | 3,063 | 17 |
| * | Appian Corp. | 540 | 12 |
| * | Glu Mobile Inc. | 3,223 | 12 |
| * | Alpha & Omega Semiconductor Ltd. | 656 | 10 |
| * | Sparton Corp. | 310 | 7 |
| * | Revolution Lighting Technologies Inc. | 778 | 6 |
| * | Pendrell Corp. | 791 | 5 |
| * | Radisys Corp. | 3,164 | 5 |
| * | Global Eagle Entertainment Inc. | 1,490 | 5 |
| | | | 111,261 |
| Utilities (2.4%) | | |
| | j2 Global Inc. | 26,485 | 1,994 |
| | Cogent Communications Holdings Inc. | 23,773 | 1,108 |
| | Shenandoah Telecommunications Co. | 26,407 | 952 |
| * | Vonage Holdings Corp. | 113,542 | 942 |
| * | Straight Path Communications Inc. Class B | 4,881 | 871 |
| * | 8x8 Inc. | 50,189 | 710 |
| | American States Water Co. | 14,182 | 699 |
| | California Water Service Group | 16,895 | 633 |
| | Ormat Technologies Inc. | 10,827 | 622 |
| | MGE Energy Inc. | 9,639 | 613 |
| * | General Communication Inc. Class A | 14,132 | 610 |
| ^,* | Gogo Inc. | 32,372 | 454 |
| * | Boingo Wireless Inc. | 20,634 | 425 |
| * | ORBCOMM Inc. | 34,361 | 380 |
| | Consolidated Communications Holdings Inc. | 20,264 | 374 |
| ^,* | Globalstar Inc. | 164,820 | 316 |
| | Middlesex Water Co. | 7,773 | 295 |
| | York Water Co. | 6,552 | 216 |
| | Southwest Gas Holdings Inc. | 2,696 | 214 |
| | Pattern Energy Group Inc. Class A | 8,309 | 209 |
| * | Lumos Networks Corp. | 9,258 | 166 |
| | New Jersey Resources Corp. | 3,806 | 166 |
| * | Atlantic Power Corp. | 48,639 | 119 |
| | IDT Corp. Class B | 6,289 | 92 |
| ^ | Spark Energy Inc. Class A | 5,788 | 92 |
| | West Corp. | 3,607 | 84 |
| | Chesapeake Utilities Corp. | 1,001 | 80 |
| * | Pure Cycle Corp. | 10,068 | 73 |
| ^ | Global Water Resources Inc. | 5,623 | 54 |
| | RGC Resources Inc. | 1,381 | 38 |
| | | | 13,601 |
| Total Common Stocks (Cost $496,122) | | 561,578 |
75
| | | | | |
| Vanguard® Russell 2000 Growth Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | | | Market |
| | | | Maturity | | Value |
| | | Coupon | Date | Shares | ($000) |
| Temporary Cash Investments (1.5%)1 | | | | |
| Money Market Fund (1.5%) | | | | |
| |
| |
| |
| 4,5 | Vanguard Market Liquidity Fund | 1.224% | | 83,721 | 8,373 |
| U.S. Government and Agency Obligations (0.0%) | | | | |
| 6 | United States Treasury Bill | 0.990% | 9/21/17 | 100 | 100 |
| 6 | United States Treasury Bill | 0.949% | 10/19/17 | 100 | 100 |
| | | | | | 200 |
| Total Temporary Cash Investments (Cost $8,572) | | | | 8,573 |
| Total Investments (101.1%) (Cost $504,694) | | | | 570,151 |
| Other Assets and Liabilities—Net (-1.1%)5 | | | | (6,224) |
| Net Assets (100%) | | | | 563,927 |
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $6,797,000.
* 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 1.1%, respectively, of net
assets.
2 “Other” represents securities that are not classified by the fund’s benchmark index.
3 Security value determined using significant unobservable inputs.
4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day
yield.
5 Includes $7,237,000 of collateral received for securities on loan, of which $327,000 is held in cash.
6 Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
76
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© 2017 The Vanguard Group, Inc. All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA18510 102017
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Common Stocks (99.6%)1 | | |
| Consumer Discretionary (13.5%) | | |
| * Amazon.com Inc. | 17,088 | 16,757 |
| Comcast Corp. Class A | 202,321 | 8,216 |
| Home Depot Inc. | 51,557 | 7,727 |
| Walt Disney Co. | 67,329 | 6,814 |
| McDonald's Corp. | 35,095 | 5,614 |
| Wal-Mart Stores Inc. | 62,763 | 4,900 |
| * Priceline Group Inc. | 2,113 | 3,913 |
| Time Warner Inc. | 33,479 | 3,385 |
| * Charter Communications Inc. Class A | 8,441 | 3,364 |
| Starbucks Corp. | 60,456 | 3,317 |
| * Netflix Inc. | 17,634 | 3,081 |
| NIKE Inc. Class B | 56,677 | 2,993 |
| Costco Wholesale Corp. | 18,748 | 2,939 |
| Lowe's Cos. Inc. | 36,614 | 2,705 |
| General Motors Co. | 57,944 | 2,117 |
| TJX Cos. Inc. | 27,441 | 1,984 |
| * Tesla Inc. | 5,522 | 1,965 |
| Ford Motor Co. | 165,289 | 1,823 |
| * eBay Inc. | 43,006 | 1,554 |
| Marriott International Inc. Class A | 13,362 | 1,384 |
| Target Corp. | 23,837 | 1,300 |
| Twenty-First Century Fox Inc. Class A | 45,463 | 1,254 |
| Carnival Corp. | 17,630 | 1,225 |
| Yum! Brands Inc. | 15,140 | 1,163 |
| Delphi Automotive plc | 11,522 | 1,111 |
| Estee Lauder Cos. Inc. Class A | 9,384 | 1,004 |
| Newell Brands Inc. | 20,789 | 1,004 |
| CBS Corp. Class B | 15,362 | 984 |
| Las Vegas Sands Corp. | 15,591 | 970 |
| Royal Caribbean Cruises Ltd. | 7,404 | 922 |
| Ross Stores Inc. | 15,558 | 909 |
| VF Corp. | 13,859 | 871 |
| Dollar General Corp. | 11,433 | 830 |
| * Dollar Tree Inc. | 9,899 | 788 |
| Expedia Inc. | 5,024 | 745 |
| * O'Reilly Automotive Inc. | 3,791 | 744 |
| MGM Resorts International | 21,998 | 725 |
| Omnicom Group Inc. | 9,751 | 706 |
| * Mohawk Industries Inc. | 2,607 | 660 |
| * AutoZone Inc. | 1,194 | 631 |
| Best Buy Co. Inc. | 11,533 | 626 |
| Nielsen Holdings plc | 15,599 | 606 |
| * Ulta Beauty Inc. | 2,510 | 555 |
| * DISH Network Corp. Class A | 9,676 | 554 |
| Whirlpool Corp. | 3,171 | 544 |
| * Yum China Holdings Inc. | 15,324 | 542 |
| * CarMax Inc. | 8,002 | 537 |
| DR Horton Inc. | 14,707 | 532 |
| Genuine Parts Co. | 6,332 | 524 |
| Hilton Worldwide Holdings Inc. | 8,028 | 516 |
| Coach Inc. | 12,279 | 512 |
| Hasbro Inc. | 4,873 | 479 |
| Twenty-First Century Fox Inc. | 17,640 | 478 |
| Wynn Resorts Ltd. | 3,381 | 470 |
| * Norwegian Cruise Line Holdings Ltd. | 7,709 | 458 |
| Lear Corp. | 3,001 | 449 |
| Viacom Inc. Class B | 15,555 | 445 |
| Wyndham Worldwide Corp. | 4,449 | 443 |
| BorgWarner Inc. | 9,313 | 432 |
| Tiffany & Co. | 4,728 | 432 |
| * LKQ Corp. | 12,271 | 425 |
1
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| PVH Corp. | 3,374 | 425 |
| Fortune Brands Home & Security Inc. | 6,702 | 419 |
| * Liberty Broadband Corp. | 4,107 | 417 |
| Darden Restaurants Inc. | 4,979 | 409 |
| * Liberty Interactive Corp. QVC Group Class A | 17,950 | 397 |
| Aramark | 9,745 | 397 |
| Vail Resorts Inc. | 1,730 | 394 |
| Hanesbrands Inc. | 15,870 | 385 |
| L Brands Inc. | 10,516 | 381 |
| Sirius XM Holdings Inc. | 64,307 | 370 |
| Harley-Davidson Inc. | 7,644 | 359 |
| * NVR Inc. | 130 | 354 |
| Interpublic Group of Cos. Inc. | 17,359 | 350 |
| * Chipotle Mexican Grill Inc. Class A | 1,097 | 347 |
| Domino's Pizza Inc. | 1,871 | 341 |
| Tractor Supply Co. | 5,646 | 336 |
| Coty Inc. Class A | 20,129 | 334 |
| PulteGroup Inc. | 12,808 | 331 |
| Lennar Corp. Class A | 6,301 | 326 |
| * WABCO Holdings Inc. | 2,238 | 321 |
| Goodyear Tire & Rubber Co. | 10,538 | 319 |
| Scripps Networks Interactive Inc. Class A | 3,646 | 312 |
| * Liberty Media Corp-Liberty SiriusXM Class C | 6,883 | 307 |
| Advance Auto Parts Inc. | 3,106 | 304 |
| Staples Inc. | 28,316 | 289 |
| Kohl's Corp. | 7,267 | 289 |
| * ServiceMaster Global Holdings Inc. | 6,055 | 285 |
| * Michael Kors Holdings Ltd. | 6,699 | 283 |
| Macy's Inc. | 13,302 | 276 |
| KAR Auction Services Inc. | 6,118 | 276 |
| * Burlington Stores Inc. | 3,090 | 269 |
| Adient plc | 3,769 | 266 |
| Garmin Ltd. | 5,113 | 263 |
| Toll Brothers Inc. | 6,737 | 262 |
| Service Corp. International | 7,123 | 252 |
| * Lululemon Athletica Inc. | 4,276 | 246 |
| Mattel Inc. | 15,073 | 245 |
| H&R Block Inc. | 9,106 | 244 |
| Polaris Industries Inc. | 2,596 | 242 |
| Gap Inc. | 10,241 | 242 |
| Leggett & Platt Inc. | 5,021 | 231 |
| Thor Industries Inc. | 2,116 | 230 |
| Nordstrom Inc. | 5,112 | 228 |
| * Live Nation Entertainment Inc. | 5,640 | 225 |
| Gentex Corp. | 12,121 | 221 |
| Ralph Lauren Corp. Class A | 2,480 | 218 |
| * Liberty Ventures Class A | 3,507 | 216 |
| Dunkin' Brands Group Inc. | 4,186 | 216 |
| * TripAdvisor Inc. | 4,898 | 209 |
| Brunswick Corp. | 3,931 | 206 |
| Foot Locker Inc. | 5,775 | 203 |
| * Discovery Communications Inc. Class A | 8,719 | 194 |
| Signet Jewelers Ltd. | 2,962 | 187 |
| Carter's Inc. | 2,143 | 186 |
| * Madison Square Garden Co. Class A | 839 | 178 |
| Williams-Sonoma Inc. | 3,859 | 178 |
| * Liberty Media Corp-Liberty SiriusXM Class A | 3,892 | 174 |
| Pool Corp. | 1,736 | 173 |
| Six Flags Entertainment Corp. | 3,100 | 169 |
| Bed Bath & Beyond Inc. | 6,059 | 167 |
| * Bright Horizons Family Solutions Inc. | 2,067 | 165 |
| * Visteon Corp. | 1,423 | 164 |
| * Liberty Media Corp-Liberty Formula One | 4,114 | 162 |
| * Liberty Broadband Corp. Class A | 1,542 | 156 |
2
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Cinemark Holdings Inc. | 4,626 | 154 |
| Dana Inc. | 6,373 | 153 |
| * Under Armour Inc. Class A | 9,368 | 151 |
| News Corp. Class A | 11,127 | 149 |
| * Skechers U.S.A. Inc. Class A | 5,533 | 146 |
| Extended Stay America Inc. | 7,295 | 143 |
| * AMC Networks Inc. Class A | 2,350 | 143 |
| * Discovery Communications Inc. | 6,739 | 142 |
| News Corp. Class B | 10,247 | 140 |
| * Lions Gate Entertainment Corp. Class B | 5,000 | 140 |
| Texas Roadhouse Inc. Class A | 2,956 | 140 |
| * Stamps.com Inc. | 702 | 134 |
| ILG Inc. | 5,013 | 132 |
| Jack in the Box Inc. | 1,403 | 131 |
| Tupperware Brands Corp. | 2,231 | 129 |
| * AutoNation Inc. | 2,841 | 129 |
| Tenneco Inc. | 2,375 | 129 |
| Tribune Media Co. Class A | 3,208 | 129 |
| * Tempur Sealy International Inc. | 2,068 | 128 |
| * Grand Canyon Education Inc. | 1,551 | 127 |
| Cable One Inc. | 167 | 127 |
| Aaron's Inc. | 2,811 | 124 |
| Wendy's Co. | 8,321 | 124 |
| Cracker Barrel Old Country Store Inc. | 826 | 123 |
| * Wayfair Inc. | 1,724 | 122 |
| TEGNA Inc. | 9,348 | 118 |
| * Cabela's Inc. | 2,164 | 116 |
| Lithia Motors Inc. Class A | 1,073 | 116 |
| Nexstar Media Group Inc. Class A | 1,920 | 116 |
| * Steven Madden Ltd. | 2,722 | 115 |
| * Avis Budget Group Inc. | 3,169 | 115 |
| CalAtlantic Group Inc. | 3,295 | 115 |
| * Five Below Inc. | 2,401 | 114 |
| * Sally Beauty Holdings Inc. | 6,115 | 114 |
| * Helen of Troy Ltd. | 1,239 | 112 |
| Marriott Vacations Worldwide Corp. | 959 | 112 |
| * Michaels Cos. Inc. | 4,838 | 109 |
| John Wiley & Sons Inc. Class A | 2,002 | 108 |
| Wolverine World Wide Inc. | 4,068 | 107 |
| * Dave & Buster's Entertainment Inc. | 1,772 | 104 |
| Churchill Downs Inc. | 529 | 103 |
| Dick's Sporting Goods Inc. | 3,822 | 101 |
| Planet Fitness Inc. Class A | 3,970 | 101 |
| * Hilton Grand Vacations Inc. | 2,762 | 100 |
| New York Times Co. Class A | 5,303 | 99 |
| * Murphy USA Inc. | 1,518 | 98 |
| Office Depot Inc. | 22,697 | 97 |
| * Cimpress NV | 1,052 | 97 |
| LCI Industries | 977 | 97 |
| * 2U Inc. | 1,905 | 95 |
| * Under Armour Inc. | 6,318 | 95 |
| Lennar Corp. Class B | 2,217 | 95 |
| * Adtalem Global Education Inc. | 2,786 | 95 |
| Graham Holdings Co. Class B | 162 | 95 |
| Big Lots Inc. | 1,990 | 95 |
| International Game Technology plc | 4,560 | 93 |
| * Ollie's Bargain Outlet Holdings Inc. | 2,215 | 93 |
| Boyd Gaming Corp. | 3,498 | 93 |
| Meredith Corp. | 1,699 | 92 |
| * Scientific Games Corp. Class A | 2,610 | 92 |
| Sinclair Broadcast Group Inc. Class A | 3,011 | 91 |
| * Cars.com Inc. | 3,481 | 90 |
| * Liberty Expedia Holdings Inc. Class A | 1,636 | 89 |
| * Deckers Outdoor Corp. | 1,367 | 87 |
3
| | | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Papa John's International Inc. | 1,164 | 87 |
| * | Hyatt Hotels Corp. Class A | 1,454 | 87 |
| | Matthews International Corp. Class A | 1,389 | 84 |
| * | Pandora Media Inc. | 9,872 | 83 |
| | American Eagle Outfitters Inc. | 6,951 | 83 |
| * | Etsy Inc. | 5,015 | 82 |
| | GameStop Corp. Class A | 4,427 | 82 |
| | Children's Place Inc. | 771 | 82 |
| * | Dorman Products Inc. | 1,225 | 81 |
| * | SiteOne Landscape Supply Inc. | 1,588 | 80 |
| * | TRI Pointe Group Inc. | 6,233 | 79 |
| | PriceSmart Inc. | 977 | 79 |
| | Cheesecake Factory Inc. | 1,893 | 78 |
| | Travelport Worldwide Ltd. | 5,174 | 78 |
| * | Urban Outfitters Inc. | 3,792 | 78 |
| * | Penn National Gaming Inc. | 3,491 | 77 |
| * | Liberty Media Corp-Liberty Formula One Class A | 2,009 | 76 |
| | Cooper Tire & Rubber Co. | 2,258 | 76 |
| | KB Home | 3,528 | 76 |
| * | Sotheby's | 1,682 | 75 |
| | AMERCO | 202 | 75 |
| * | Buffalo Wild Wings Inc. | 721 | 74 |
| | Bloomin' Brands Inc. | 4,336 | 74 |
| * | Central Garden & Pet Co. Class A | 2,159 | 74 |
| * | RH | 1,539 | 72 |
| * | Shutterfly Inc. | 1,576 | 72 |
| | Columbia Sportswear Co. | 1,250 | 72 |
| * | Meritage Homes Corp. | 1,711 | 70 |
| | Regal Entertainment Group Class A | 4,685 | 69 |
| * | Cooper-Standard Holdings Inc. | 680 | 68 |
| | Monro Inc. | 1,418 | 68 |
| * | Meritor Inc. | 3,346 | 66 |
| * | Weight Watchers International Inc. | 1,418 | 66 |
| | Penske Automotive Group Inc. | 1,561 | 66 |
| | Brinker International Inc. | 2,100 | 66 |
| * | Fox Factory Holding Corp. | 1,623 | 65 |
| * | Chegg Inc. | 4,505 | 64 |
| | Bob Evans Farms Inc. | 910 | 63 |
| | MDC Holdings Inc. | 1,940 | 61 |
| * | MSG Networks Inc. | 2,800 | 60 |
| | Time Inc. | 4,384 | 58 |
| * | Pinnacle Entertainment Inc. | 2,956 | 58 |
| * | La Quinta Holdings Inc. | 3,625 | 57 |
| | Viad Corp. | 1,035 | 57 |
| | Group 1 Automotive Inc. | 937 | 56 |
| | Callaway Golf Co. | 3,975 | 55 |
| * | Eldorado Resorts Inc. | 2,404 | 55 |
| * | American Axle & Manufacturing Holdings Inc. | 3,749 | 55 |
| * | Taylor Morrison Home Corp. Class A | 2,701 | 55 |
| * | Select Comfort Corp. | 1,813 | 54 |
| * | Vista Outdoor Inc. | 2,605 | 53 |
| * | Quotient Technology Inc. | 3,549 | 53 |
| *,^ | JC Penney Co. Inc. | 13,715 | 53 |
| * | Cavco Industries Inc. | 391 | 53 |
| | Nutrisystem Inc. | 967 | 53 |
| | La-Z-Boy Inc. | 2,196 | 52 |
| | Choice Hotels International Inc. | 823 | 51 |
| * | G-III Apparel Group Ltd. | 1,851 | 51 |
| | DSW Inc. Class A | 2,734 | 51 |
| * | Hertz Global Holdings Inc. | 2,320 | 50 |
| * | Lumber Liquidators Holdings Inc. | 1,340 | 50 |
| * | IMAX Corp. | 2,628 | 49 |
| | Caleres Inc. | 1,760 | 48 |
| | ClubCorp Holdings Inc. | 2,734 | 46 |
4
| | | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Asbury Automotive Group Inc. | 863 | 46 |
| | International Speedway Corp. Class A | 1,300 | 46 |
| * | Houghton Mifflin Harcourt Co. | 4,535 | 46 |
| * | American Woodmark Corp. | 557 | 46 |
| | Winnebago Industries Inc. | 1,269 | 46 |
| * | Belmond Ltd. Class A | 3,584 | 46 |
| | HSN Inc. | 1,230 | 45 |
| * | Trade Desk Inc. Class A | 852 | 45 |
| * | Liberty Media Corp-Liberty Braves | 1,837 | 45 |
| | Sonic Corp. | 1,904 | 45 |
| * | Gentherm Inc. | 1,429 | 45 |
| * | Universal Electronics Inc. | 760 | 45 |
| * | Fitbit Inc. Class A | 7,372 | 44 |
| * | EW Scripps Co. Class A | 2,435 | 44 |
| | Scholastic Corp. | 1,092 | 43 |
| | Wingstop Inc. | 1,324 | 43 |
| | Gannett Co. Inc. | 5,050 | 43 |
| * | Caesars Acquisition Co. Class A | 2,295 | 43 |
| | Standard Motor Products Inc. | 970 | 43 |
| * | Liberty TripAdvisor Holdings Inc. Class A | 3,176 | 42 |
| | Guess? Inc. | 2,718 | 42 |
| * | American Outdoor Brands Corp. | 2,557 | 42 |
| | Oxford Industries Inc. | 720 | 42 |
| * | Denny's Corp. | 3,431 | 41 |
| *,^ | GoPro Inc. Class A | 4,425 | 41 |
| | SeaWorld Entertainment Inc. | 3,119 | 41 |
| | Dillard's Inc. Class A | 662 | 40 |
| | Chico's FAS Inc. | 5,231 | 40 |
| | Ethan Allen Interiors Inc. | 1,344 | 39 |
| * | Red Robin Gourmet Burgers Inc. | 687 | 39 |
| | Strayer Education Inc. | 487 | 39 |
| | Abercrombie & Fitch Co. | 3,030 | 39 |
| | Sturm Ruger & Co. Inc. | 789 | 36 |
| | Capella Education Co. | 532 | 36 |
| * | BJ's Restaurants Inc. | 1,183 | 36 |
| * | LGI Homes Inc. | 813 | 35 |
| | AMC Entertainment Holdings Inc. Class A | 2,480 | 33 |
| * | Career Education Corp. | 3,397 | 33 |
| * | Caesars Entertainment Corp. | 2,777 | 32 |
| | DineEquity Inc. | 797 | 32 |
| | World Wrestling Entertainment Inc. Class A | 1,450 | 32 |
| * | William Lyon Homes Class A | 1,311 | 31 |
| * | K12 Inc. | 1,749 | 31 |
| * | Shake Shack Inc. Class A | 1,008 | 31 |
| * | M/I Homes Inc. | 1,266 | 31 |
| * | Instructure Inc. | 1,051 | 31 |
| * | HealthStream Inc. | 1,270 | 30 |
| * | Crocs Inc. | 3,320 | 30 |
| | New Media Investment Group Inc. | 2,079 | 29 |
| * | XO Group Inc. | 1,493 | 28 |
| * | MDC Partners Inc. Class A | 2,668 | 27 |
| | National Presto Industries Inc. | 273 | 27 |
| | Marcus Corp. | 1,074 | 27 |
| | Sonic Automotive Inc. Class A | 1,476 | 27 |
| | Hooker Furniture Corp. | 649 | 26 |
| | Tile Shop Holdings Inc. | 1,724 | 26 |
| * | Angie's List Inc. | 2,131 | 26 |
| | Rent-A-Center Inc. | 2,116 | 26 |
| | Haverty Furniture Cos. Inc. | 1,083 | 25 |
| | Ruth's Hospitality Group Inc. | 1,298 | 25 |
| | Barnes & Noble Inc. | 3,208 | 25 |
| * | Express Inc. | 3,852 | 25 |
| * | Shutterstock Inc. | 722 | 24 |
| | Tailored Brands Inc. | 2,017 | 24 |
5
| | | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Laureate Education Inc. Class A | 1,578 | 23 |
| * | Nautilus Inc. | 1,379 | 23 |
| * | Carrols Restaurant Group Inc. | 2,006 | 22 |
| | Buckle Inc. | 1,543 | 22 |
| * | Motorcar Parts of America Inc. | 823 | 22 |
| * | Central European Media Enterprises Ltd. Class A | 5,175 | 21 |
| * | Malibu Boats Inc. Class A | 796 | 21 |
| * | Fiesta Restaurant Group Inc. | 1,232 | 21 |
| * | Beazer Homes USA Inc. | 1,425 | 21 |
| | Lions Gate Entertainment Corp. Class A | 684 | 20 |
| * | Regis Corp. | 1,530 | 20 |
| | Superior Industries International Inc. | 1,377 | 20 |
| * | Horizon Global Corp. | 1,167 | 20 |
| * | Del Taco Restaurants Inc. | 1,417 | 20 |
| * | Del Frisco's Restaurant Group Inc. | 1,422 | 20 |
| | Tower International Inc. | 877 | 20 |
| * | Stoneridge Inc. | 1,183 | 20 |
| * | elf Beauty Inc. | 926 | 19 |
| * | Gray Television Inc. | 1,339 | 19 |
| * | Biglari Holdings Inc. | 64 | 19 |
| | Camping World Holdings Inc. Class A | 518 | 19 |
| * | Genesco Inc. | 880 | 19 |
| | National CineMedia Inc. | 3,417 | 19 |
| | Inter Parfums Inc. | 465 | 18 |
| | Bassett Furniture Industries Inc. | 497 | 18 |
| | Acushnet Holdings Corp. | 1,068 | 18 |
| * | Fossil Group Inc. | 2,115 | 18 |
| * | Monarch Casino & Resort Inc. | 486 | 17 |
| | Entravision Communications Corp. Class A | 3,094 | 17 |
| * | Altice USA Inc. Class A | 561 | 17 |
| * | MarineMax Inc. | 1,052 | 17 |
| * | Century Communities Inc. | 749 | 17 |
| | Finish Line Inc. Class A | 2,013 | 17 |
| * | Habit Restaurants Inc. Class A | 1,257 | 16 |
| | Movado Group Inc. | 582 | 16 |
| | Winmark Corp. | 122 | 16 |
| * | ZAGG Inc. | 1,275 | 16 |
| * | Ascena Retail Group Inc. | 7,864 | 16 |
| * | Party City Holdco Inc. | 1,144 | 16 |
| * | tronc Inc. | 1,092 | 16 |
| | Flexsteel Industries Inc. | 338 | 15 |
| * | Floor & Decor Holdings Inc. Class A | 423 | 15 |
| | Pier 1 Imports Inc. | 3,612 | 15 |
| * | El Pollo Loco Holdings Inc. | 1,330 | 15 |
| * | Overstock.com Inc. | 680 | 15 |
| | Cato Corp. Class A | 1,134 | 15 |
| | Carriage Services Inc. Class A | 605 | 15 |
| * | Care.com Inc. | 924 | 14 |
| | Johnson Outdoors Inc. Class A | 212 | 14 |
| * | Reading International Inc. Class A | 835 | 13 |
| * | Chuy's Holdings Inc. | 687 | 13 |
| | Emerald Expositions Events Inc. | 594 | 13 |
| | West Marine Inc. | 995 | 13 |
| * | American Public Education Inc. | 693 | 13 |
| * | Francesca's Holdings Corp. | 1,745 | 13 |
| * | America's Car-Mart Inc. | 329 | 13 |
| * | MCBC Holdings Inc. | 727 | 12 |
| * | Daily Journal Corp. | 59 | 12 |
| *,^ | Eros International plc | 1,238 | 12 |
| * | Perry Ellis International Inc. | 548 | 12 |
| * | Revlon Inc. Class A | 702 | 12 |
| * | Golden Entertainment Inc. | 519 | 12 |
| | Speedway Motorsports Inc. | 556 | 12 |
| | Shoe Carnival Inc. | 560 | 11 |
6
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Citi Trends Inc. | 617 | 11 |
| * Zoe's Kitchen Inc. | 860 | 11 |
| * Zumiez Inc. | 877 | 11 |
| Entercom Communications Corp. Class A | 1,059 | 11 |
| * Barnes & Noble Education Inc. | 2,104 | 11 |
| * Iconix Brand Group Inc. | 1,946 | 11 |
| * Hovnanian Enterprises Inc. Class A | 5,863 | 11 |
| * FTD Cos. Inc. | 794 | 11 |
| * 1-800-Flowers.com Inc. Class A | 1,174 | 11 |
| * Hibbett Sports Inc. | 852 | 10 |
| CSS Industries Inc. | 391 | 10 |
| RCI Hospitality Holdings Inc. | 442 | 10 |
| * Franklin Covey Co. | 540 | 10 |
| * QuinStreet Inc. | 1,860 | 10 |
| Fred's Inc. Class A | 1,664 | 10 |
| * Lindblad Expeditions Holdings Inc. | 860 | 10 |
| * Vera Bradley Inc. | 1,033 | 9 |
| Weyco Group Inc. | 338 | 9 |
| Clear Channel Outdoor Holdings Inc. Class A | 2,248 | 9 |
| * Bojangles' Inc. | 642 | 9 |
| * Bridgepoint Education Inc. | 968 | 9 |
| * Rosetta Stone Inc. | 913 | 8 |
| * Duluth Holdings Inc. | 427 | 8 |
| * At Home Group Inc. | 339 | 8 |
| * Nathan's Famous Inc. | 141 | 8 |
| * Lands' End Inc. | 666 | 8 |
| * VOXX International Corp. Class A | 941 | 8 |
| Collectors Universe Inc. | 313 | 8 |
| Libbey Inc. | 886 | 7 |
| Big 5 Sporting Goods Corp. | 904 | 7 |
| * Century Casinos Inc. | 1,006 | 7 |
| Superior Uniform Group Inc. | 305 | 7 |
| * Delta Apparel Inc. | 340 | 7 |
| * Clarus Corp. | 887 | 6 |
| Tilly's Inc. Class A | 561 | 6 |
| * Drive Shack Inc. | 2,271 | 6 |
| * Vitamin Shoppe Inc. | 1,121 | 6 |
| * Eastman Kodak Co. | 773 | 6 |
| * Build-A-Bear Workshop Inc. | 646 | 6 |
| * Ruby Tuesday Inc. | 2,558 | 6 |
| * Kirkland's Inc. | 460 | 5 |
| Marine Products Corp. | 339 | 5 |
| * Hemisphere Media Group Inc. Class A | 404 | 5 |
| * Sequential Brands Group Inc. | 1,628 | 5 |
| * J Alexander's Holdings Inc. | 491 | 5 |
| * Red Lion Hotels Corp. | 677 | 5 |
| * Cogint Inc. | 942 | 5 |
| Red Rock Resorts Inc. Class A | 197 | 4 |
| Escalade Inc. | 365 | 4 |
| Liberty Tax Inc. | 321 | 4 |
| * WideOpenWest Inc. | 210 | 3 |
| * Cambium Learning Group Inc. | 450 | 3 |
| Salem Media Group Inc. Class A | 414 | 3 |
| * Inspired Entertainment Inc. | 202 | 2 |
| | | 148,574 |
| Consumer Staples (6.7%) | | |
| Procter & Gamble Co. | 110,580 | 10,203 |
| Philip Morris International Inc. | 66,614 | 7,789 |
| Coca-Cola Co. | 166,211 | 7,571 |
| PepsiCo Inc. | 61,883 | 7,162 |
| Altria Group Inc. | 84,267 | 5,343 |
| CVS Health Corp. | 43,821 | 3,389 |
| Walgreens Boots Alliance Inc. | 40,491 | 3,300 |
| Colgate-Palmolive Co. | 36,862 | 2,641 |
7
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Mondelez International Inc. Class A | 62,734 | 2,551 |
| Kraft Heinz Co. | 25,804 | 2,084 |
| Kimberly-Clark Corp. | 15,027 | 1,853 |
| Constellation Brands Inc. Class A | 6,782 | 1,357 |
| General Mills Inc. | 24,609 | 1,311 |
| Sysco Corp. | 20,942 | 1,103 |
| Archer-Daniels-Midland Co. | 23,578 | 974 |
| * Monster Beverage Corp. | 17,276 | 964 |
| Kroger Co. | 38,622 | 845 |
| Clorox Co. | 5,630 | 780 |
| Tyson Foods Inc. Class A | 12,154 | 769 |
| Kellogg Co. | 10,772 | 705 |
| Dr Pepper Snapple Group Inc. | 7,665 | 698 |
| Molson Coors Brewing Co. Class B | 7,166 | 643 |
| Hershey Co. | 6,040 | 634 |
| Conagra Brands Inc. | 17,669 | 574 |
| Church & Dwight Co. Inc. | 10,854 | 545 |
| JM Smucker Co. | 4,798 | 503 |
| Bunge Ltd. | 6,152 | 459 |
| McCormick & Co. Inc. | 4,692 | 446 |
| Brown-Forman Corp. Class B | 7,985 | 424 |
| Ingredion Inc. | 3,148 | 390 |
| Hormel Foods Corp. | 11,963 | 368 |
| Campbell Soup Co. | 7,931 | 366 |
| Pinnacle Foods Inc. | 5,144 | 305 |
| Lamb Weston Holdings Inc. | 5,798 | 264 |
| * Post Holdings Inc. | 2,823 | 240 |
| * Herbalife Ltd. | 2,980 | 206 |
| * Edgewell Personal Care Co. | 2,521 | 191 |
| Casey's General Stores Inc. | 1,743 | 184 |
| * Hain Celestial Group Inc. | 4,523 | 182 |
| * TreeHouse Foods Inc. | 2,361 | 158 |
| Nu Skin Enterprises Inc. Class A | 2,276 | 138 |
| Sanderson Farms Inc. | 901 | 133 |
| Flowers Foods Inc. | 7,496 | 130 |
| Snyder's-Lance Inc. | 3,499 | 124 |
| * Sprouts Farmers Market Inc. | 6,009 | 120 |
| Spectrum Brands Holdings Inc. | 1,072 | 118 |
| Brown-Forman Corp. Class A | 2,094 | 116 |
| Energizer Holdings Inc. | 2,534 | 112 |
| * Rite Aid Corp. | 45,710 | 111 |
| * Blue Buffalo Pet Products Inc. | 3,903 | 101 |
| Lancaster Colony Corp. | 835 | 97 |
| * Performance Food Group Co. | 3,282 | 91 |
| Vector Group Ltd. | 4,014 | 87 |
| B&G Foods Inc. | 2,820 | 86 |
| J&J Snack Foods Corp. | 606 | 77 |
| * United Natural Foods Inc. | 2,200 | 76 |
| * Pilgrim's Pride Corp. | 2,400 | 71 |
| WD-40 Co. | 615 | 67 |
| National Beverage Corp. | 553 | 64 |
| Fresh Del Monte Produce Inc. | 1,340 | 63 |
| Seaboard Corp. | 14 | 60 |
| Core-Mark Holding Co. Inc. | 2,049 | 55 |
| Universal Corp. | 963 | 55 |
| * Boston Beer Co. Inc. Class A | 351 | 52 |
| * Hostess Brands Inc. Class A | 3,709 | 50 |
| Dean Foods Co. | 4,062 | 45 |
| * Cal-Maine Foods Inc. | 1,220 | 45 |
| Calavo Growers Inc. | 642 | 43 |
| SpartanNash Co. | 1,600 | 39 |
| Andersons Inc. | 1,150 | 37 |
| * SUPERVALU Inc. | 1,764 | 35 |
| PetMed Express Inc. | 948 | 34 |
8
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| MGP Ingredients Inc. | 602 | 34 |
| * Diplomat Pharmacy Inc. | 1,996 | 33 |
| Medifast Inc. | 521 | 30 |
| John B Sanfilippo & Son Inc. | 461 | 29 |
| * USANA Health Sciences Inc. | 453 | 27 |
| Weis Markets Inc. | 553 | 24 |
| GNC Holdings Inc. Class A | 2,838 | 24 |
| * Freshpet Inc. | 1,175 | 19 |
| * Chefs' Warehouse Inc. | 1,051 | 18 |
| Ingles Markets Inc. Class A | 792 | 17 |
| Omega Protein Corp. | 914 | 14 |
| * Cadiz Inc. | 1,174 | 14 |
| Coca-Cola Bottling Co. Consolidated | 65 | 14 |
| * Primo Water Corp. | 1,149 | 13 |
| * Farmer Brothers Co. | 383 | 12 |
| * Craft Brew Alliance Inc. | 706 | 12 |
| * Seneca Foods Corp. Class A | 391 | 12 |
| Limoneira Co. | 518 | 12 |
| * Amplify Snack Brands Inc. | 1,605 | 12 |
| Village Super Market Inc. Class A | 424 | 10 |
| Natural Health Trends Corp. | 417 | 8 |
| * Smart & Final Stores Inc. | 1,163 | 8 |
| Alico Inc. | 213 | 7 |
| * Castle Brands Inc. | 4,435 | 6 |
| Nature's Sunshine Products Inc. | 472 | 5 |
| * Turning Point Brands Inc. | 286 | 5 |
| * US Foods Holding Corp. | 124 | 3 |
| Orchids Paper Products Co. | 332 | 3 |
| * Natural Grocers by Vitamin Cottage Inc. | 562 | 3 |
| * Lifeway Foods Inc. | 162 | 1 |
| | | 73,435 |
| Energy (5.3%) | | |
| Exxon Mobil Corp. | 182,668 | 13,943 |
| Chevron Corp. | 81,459 | 8,767 |
| Schlumberger Ltd. | 59,417 | 3,774 |
| ConocoPhillips | 52,617 | 2,297 |
| EOG Resources Inc. | 24,318 | 2,067 |
| Occidental Petroleum Corp. | 32,411 | 1,935 |
| Kinder Morgan Inc. | 81,887 | 1,583 |
| Phillips 66 | 18,883 | 1,583 |
| Halliburton Co. | 37,494 | 1,461 |
| Valero Energy Corp. | 18,945 | 1,290 |
| Marathon Petroleum Corp. | 21,742 | 1,140 |
| Williams Cos. Inc. | 34,755 | 1,033 |
| Pioneer Natural Resources Co. | 7,335 | 951 |
| Anadarko Petroleum Corp. | 23,231 | 951 |
| Devon Energy Corp. | 21,368 | 671 |
| Andeavor | 6,672 | 668 |
| * Concho Resources Inc. | 6,014 | 667 |
| Baker Hughes a GE Co. | 18,384 | 623 |
| Apache Corp. | 15,741 | 611 |
| Cabot Oil & Gas Corp. | 20,285 | 518 |
| National Oilwell Varco Inc. | 16,729 | 513 |
| ONEOK Inc. | 9,201 | 498 |
| Noble Energy Inc. | 20,637 | 491 |
| Hess Corp. | 12,462 | 485 |
| EQT Corp. | 7,587 | 473 |
| Cimarex Energy Co. | 4,195 | 418 |
| Marathon Oil Corp. | 37,487 | 417 |
| * Diamondback Energy Inc. | 4,226 | 384 |
| * Cheniere Energy Inc. | 8,764 | 375 |
| Targa Resources Corp. | 8,280 | 369 |
| * Parsley Energy Inc. Class A | 9,938 | 249 |
| HollyFrontier Corp. | 7,676 | 240 |
9
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * Newfield Exploration Co. | 8,590 | 224 |
| * Energen Corp. | 4,249 | 218 |
| * Antero Resources Corp. | 10,227 | 201 |
| * Rice Energy Inc. | 6,894 | 189 |
| Valvoline Inc. | 8,249 | 176 |
| * RSP Permian Inc. | 5,504 | 173 |
| Range Resources Corp. | 9,946 | 173 |
| * First Solar Inc. | 3,540 | 166 |
| Helmerich & Payne Inc. | 3,861 | 164 |
| * WPX Energy Inc. | 16,338 | 163 |
| Murphy Oil Corp. | 7,119 | 161 |
| * Chesapeake Energy Corp. | 40,930 | 149 |
| * Weatherford International plc | 38,714 | 148 |
| * CONSOL Energy Inc. | 10,116 | 147 |
| Patterson-UTI Energy Inc. | 9,171 | 146 |
| * Transocean Ltd. | 16,779 | 137 |
| * Continental Resources Inc. | 3,869 | 131 |
| PBF Energy Inc. Class A | 5,013 | 119 |
| * Southwestern Energy Co. | 21,735 | 118 |
| * PDC Energy Inc. | 2,817 | 111 |
| World Fuel Services Corp. | 2,960 | 102 |
| * Centennial Resource Development Inc. Class A | 5,458 | 94 |
| Oceaneering International Inc. | 4,147 | 94 |
| Golar LNG Ltd. | 4,140 | 90 |
| * Callon Petroleum Co. | 8,578 | 89 |
| * Laredo Petroleum Inc. | 7,021 | 87 |
| * Matador Resources Co. | 3,567 | 84 |
| Arch Coal Inc. Class A | 1,050 | 84 |
| * Gulfport Energy Corp. | 6,546 | 82 |
| * QEP Resources Inc. | 10,750 | 81 |
| Nabors Industries Ltd. | 11,967 | 78 |
| * Extraction Oil & Gas Inc. | 5,887 | 77 |
| * McDermott International Inc. | 12,341 | 76 |
| * Ultra Petroleum Corp. | 9,590 | 75 |
| SemGroup Corp. Class A | 2,880 | 74 |
| * Whiting Petroleum Corp. | 16,382 | 73 |
| Delek US Holdings Inc. | 2,915 | 72 |
| * Oasis Petroleum Inc. | 9,643 | 70 |
| * Peabody Energy Corp. | 2,398 | 70 |
| * SRC Energy Inc. | 8,660 | 68 |
| * Dril-Quip Inc. | 1,800 | 68 |
| SM Energy Co. | 4,912 | 66 |
| * Kosmos Energy Ltd. | 8,414 | 59 |
| * C&J Energy Services Inc. | 2,266 | 57 |
| * TerraForm Power Inc. Class A | 4,042 | 56 |
| * NOW Inc. | 4,734 | 55 |
| ^ Ensco plc Class A | 12,970 | 55 |
| * Superior Energy Services Inc. | 6,448 | 53 |
| * Rowan Cos. plc Class A | 5,335 | 52 |
| * Oil States International Inc. | 2,264 | 49 |
| ^ RPC Inc. | 2,347 | 46 |
| * Diamond Offshore Drilling Inc. | 3,491 | 40 |
| * Noble Corp. plc | 11,227 | 37 |
| * Newpark Resources Inc. | 4,535 | 37 |
| * Helix Energy Solutions Group Inc. | 5,816 | 37 |
| * Carrizo Oil & Gas Inc. | 2,691 | 36 |
| Archrock Inc. | 3,473 | 35 |
| * Unit Corp. | 2,214 | 35 |
| * Forum Energy Technologies Inc. | 2,972 | 35 |
| * Resolute Energy Corp. | 1,073 | 32 |
| * Jagged Peak Energy Inc. | 2,180 | 28 |
| * Penn Virginia Corp. | 712 | 27 |
| * SandRidge Energy Inc. | 1,585 | 27 |
| * Ring Energy Inc. | 2,284 | 27 |
10
| | | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Green Plains Inc. | 1,454 | 27 |
| * | Sunrun Inc. | 3,993 | 27 |
| * | Bonanza Creek Energy Inc. | 1,003 | 26 |
| * | Par Pacific Holdings Inc. | 1,435 | 26 |
| * | Tellurian Inc. | 2,755 | 25 |
| * | Keane Group Inc. | 1,960 | 25 |
| * | Atwood Oceanics Inc. | 3,785 | 25 |
| * | REX American Resources Corp. | 280 | 24 |
| * | TerraForm Global Inc. Class A | 4,752 | 24 |
| * | Stone Energy Corp. | 956 | 23 |
| * | Renewable Energy Group Inc. | 1,800 | 22 |
| * | Clean Energy Fuels Corp. | 8,091 | 19 |
| | Panhandle Oil and Gas Inc. Class A | 769 | 16 |
| * | WildHorse Resource Development Corp. | 1,486 | 16 |
| * | California Resources Corp. | 2,041 | 16 |
| | CVR Energy Inc. | 742 | 16 |
| * | Energy XXI Gulf Coast Inc. | 1,505 | 16 |
| * | Flotek Industries Inc. | 2,909 | 15 |
| * | RigNet Inc. | 859 | 14 |
| * | Matrix Service Co. | 1,151 | 14 |
| * | Natural Gas Services Group Inc. | 575 | 14 |
| * | Abraxas Petroleum Corp. | 7,765 | 13 |
| ^ | Frank's International NV | 2,047 | 13 |
| * | ProPetro Holding Corp. | 1,115 | 13 |
| * | TETRA Technologies Inc. | 6,171 | 13 |
| * | Green Brick Partners Inc. | 1,337 | 13 |
| * | Tesco Corp. | 2,845 | 13 |
| * | Geospace Technologies Corp. | 808 | 12 |
| * | Basic Energy Services Inc. | 834 | 12 |
| * | Cloud Peak Energy Inc. | 3,576 | 11 |
| * | TPI Composites Inc. | 551 | 11 |
| * | Bill Barrett Corp. | 3,629 | 11 |
| * | Trecora Resources | 867 | 11 |
| * | Eclipse Resources Corp. | 4,453 | 10 |
| * | Pacific Ethanol Inc. | 1,971 | 10 |
| * | NCS Multistage Holdings Inc. | 493 | 10 |
| * | SEACOR Marine Holdings Inc. | 760 | 10 |
| | Evolution Petroleum Corp. | 1,359 | 9 |
| * | W&T Offshore Inc. | 4,671 | 9 |
| * | CARBO Ceramics Inc. | 1,298 | 9 |
| * | Midstates Petroleum Co. Inc. | 561 | 8 |
| *,^ | Lilis Energy Inc. | 2,212 | 8 |
| | Gulf Island Fabrication Inc. | 654 | 7 |
| * | Key Energy Services Inc. | 555 | 7 |
| * | SilverBow Resources Inc. | 323 | 7 |
| * | Parker Drilling Co. | 6,082 | 7 |
| * | Smart Sand Inc. | 1,083 | 6 |
| * | Pioneer Energy Services Corp. | 3,526 | 6 |
| * | Solaris Oilfield Infrastructure Inc. Class A | 421 | 6 |
| *,^ | Approach Resources Inc. | 2,034 | 6 |
| * | Mammoth Energy Services Inc. | 410 | 6 |
| * | Vivint Solar Inc. | 1,189 | 6 |
| * | Ameresco Inc. Class A | 746 | 5 |
| * | Gastar Exploration Inc. | 8,766 | 5 |
| * | Contango Oil & Gas Co. | 1,111 | 5 |
| | Hallador Energy Co. | 840 | 5 |
| * | Isramco Inc. | 38 | 4 |
| * | Select Energy Services Inc. Class A | 290 | 4 |
| | Adams Resources & Energy Inc. | 102 | 4 |
| * | Rosehill Resources Inc. | 329 | 2 |
| ^ | Nordic American Offshore Ltd. | 186 | — |
| | | | 58,085 |
| Financial Services (21.0%) | | |
| * | Berkshire Hathaway Inc. Class B | 83,427 | 15,114 |
11
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| JPMorgan Chase & Co. | 152,612 | 13,871 |
| Bank of America Corp. | 428,321 | 10,233 |
| Wells Fargo & Co. | 193,316 | 9,873 |
| Visa Inc. Class A | 79,553 | 8,235 |
| Citigroup Inc. | 119,196 | 8,109 |
| Mastercard Inc. Class A | 40,612 | 5,414 |
| US Bancorp | 69,627 | 3,568 |
| Goldman Sachs Group Inc. | 15,687 | 3,510 |
| * PayPal Holdings Inc. | 48,578 | 2,996 |
| Chubb Ltd. | 20,271 | 2,867 |
| American Express Co. | 31,934 | 2,750 |
| American Tower Corp. | 18,213 | 2,696 |
| PNC Financial Services Group Inc. | 20,929 | 2,625 |
| Morgan Stanley | 56,568 | 2,574 |
| American International Group Inc. | 39,664 | 2,399 |
| Bank of New York Mellon Corp. | 43,536 | 2,276 |
| BlackRock Inc. | 5,365 | 2,248 |
| Simon Property Group Inc. | 13,169 | 2,066 |
| Charles Schwab Corp. | 51,016 | 2,036 |
| Prudential Financial Inc. | 18,362 | 1,874 |
| Crown Castle International Corp. | 17,199 | 1,865 |
| MetLife Inc. | 39,251 | 1,838 |
| CME Group Inc. | 14,461 | 1,819 |
| Marsh & McLennan Cos. Inc. | 22,127 | 1,728 |
| S&P Global Inc. | 11,086 | 1,711 |
| Intercontinental Exchange Inc. | 25,179 | 1,628 |
| BB&T Corp. | 35,041 | 1,615 |
| Capital One Financial Corp. | 19,956 | 1,589 |
| Equinix Inc. | 3,351 | 1,570 |
| Aon plc | 11,182 | 1,556 |
| State Street Corp. | 15,916 | 1,472 |
| Travelers Cos. Inc. | 12,121 | 1,469 |
| Allstate Corp. | 15,716 | 1,422 |
| Prologis Inc. | 22,101 | 1,400 |
| Aflac Inc. | 16,880 | 1,393 |
| Fidelity National Information Services Inc. | 14,238 | 1,323 |
| Public Storage | 6,356 | 1,305 |
| Welltower Inc. | 15,847 | 1,160 |
| Progressive Corp. | 24,893 | 1,157 |
| SunTrust Banks Inc. | 20,799 | 1,146 |
| AvalonBay Communities Inc. | 5,956 | 1,118 |
| * Fiserv Inc. | 8,870 | 1,097 |
| Synchrony Financial | 35,412 | 1,090 |
| Ventas Inc. | 15,394 | 1,054 |
| Equity Residential | 15,391 | 1,034 |
| Weyerhaeuser Co. | 31,342 | 1,022 |
| Moody's Corp. | 7,195 | 964 |
| Discover Financial Services | 16,165 | 953 |
| M&T Bank Corp. | 6,266 | 927 |
| Ameriprise Financial Inc. | 6,386 | 885 |
| Hartford Financial Services Group Inc. | 15,719 | 850 |
| T. Rowe Price Group Inc. | 9,927 | 837 |
| Willis Towers Watson plc | 5,451 | 809 |
| Fifth Third Bancorp | 30,900 | 807 |
| Digital Realty Trust Inc. | 6,812 | 806 |
| Boston Properties Inc. | 6,679 | 806 |
| Northern Trust Corp. | 9,023 | 799 |
| KeyCorp | 46,215 | 795 |
| * SBA Communications Corp. Class A | 5,003 | 768 |
| Essex Property Trust Inc. | 2,839 | 755 |
| Equifax Inc. | 5,036 | 717 |
| Principal Financial Group Inc. | 11,123 | 695 |
| Citizens Financial Group Inc. | 20,972 | 695 |
| Regions Financial Corp. | 49,238 | 695 |
12
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Realty Income Corp. | 11,788 | 679 |
| First Republic Bank | 6,718 | 652 |
| Lincoln National Corp. | 9,576 | 650 |
| Franklin Resources Inc. | 14,653 | 633 |
| Global Payments Inc. | 6,607 | 631 |
| HCP Inc. | 20,582 | 614 |
| * Markel Corp. | 574 | 604 |
| Huntington Bancshares Inc. | 47,430 | 597 |
| Host Hotels & Resorts Inc. | 32,141 | 582 |
| Annaly Capital Management Inc. | 46,262 | 578 |
| * FleetCor Technologies Inc. | 4,021 | 578 |
| Invesco Ltd. | 17,571 | 576 |
| Loews Corp. | 12,209 | 569 |
| GGP Inc. | 26,899 | 558 |
| Vornado Realty Trust | 7,435 | 554 |
| FNF Group | 11,460 | 553 |
| Total System Services Inc. | 7,676 | 531 |
| Cincinnati Financial Corp. | 6,847 | 526 |
| Mid-America Apartment Communities Inc. | 4,850 | 516 |
| Comerica Inc. | 7,486 | 511 |
| * E*TRADE Financial Corp. | 12,075 | 495 |
| * Arch Capital Group Ltd. | 5,039 | 491 |
| * Vantiv Inc. Class A | 6,843 | 484 |
| Unum Group | 10,018 | 483 |
| CBOE Holdings Inc. | 4,726 | 477 |
| TD Ameritrade Holding Corp. | 10,952 | 474 |
| Alliance Data Systems Corp. | 2,092 | 472 |
| * CBRE Group Inc. Class A | 12,962 | 468 |
| Alexandria Real Estate Equities Inc. | 3,799 | 461 |
| XL Group Ltd. | 11,164 | 457 |
| Duke Realty Corp. | 15,254 | 453 |
| Iron Mountain Inc. | 11,368 | 448 |
| Everest Re Group Ltd. | 1,766 | 446 |
| UDR Inc. | 11,388 | 442 |
| Ally Financial Inc. | 19,271 | 436 |
| MSCI Inc. Class A | 3,723 | 427 |
| SL Green Realty Corp. | 4,338 | 418 |
| Regency Centers Corp. | 6,426 | 413 |
| Affiliated Managers Group Inc. | 2,330 | 412 |
| Extra Space Storage Inc. | 5,277 | 410 |
| Federal Realty Investment Trust | 3,177 | 403 |
| Torchmark Corp. | 5,195 | 400 |
| Raymond James Financial Inc. | 5,088 | 399 |
| CIT Group Inc. | 8,766 | 393 |
| Western Union Co. | 20,741 | 392 |
| Zions Bancorporation | 8,727 | 381 |
| * SVB Financial Group | 2,247 | 381 |
| Reinsurance Group of America Inc. Class A | 2,759 | 371 |
| Nasdaq Inc. | 4,915 | 371 |
| Broadridge Financial Solutions Inc. | 4,690 | 366 |
| Arthur J Gallagher & Co. | 6,243 | 361 |
| VEREIT Inc. | 42,503 | 359 |
| Jack Henry & Associates Inc. | 3,447 | 355 |
| * Alleghany Corp. | 629 | 354 |
| East West Bancorp Inc. | 6,324 | 350 |
| Kimco Realty Corp. | 17,791 | 349 |
| SEI Investments Co. | 5,687 | 332 |
| AGNC Investment Corp. | 14,839 | 320 |
| Voya Financial Inc. | 8,282 | 317 |
| MarketAxess Holdings Inc. | 1,626 | 314 |
| Equity LifeStyle Properties Inc. | 3,511 | 313 |
| Colony NorthStar Inc. Class A | 23,865 | 313 |
| Apartment Investment & Management Co. | 6,879 | 312 |
| American Financial Group Inc. | 3,061 | 312 |
13
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Camden Property Trust | 3,367 | 301 |
| * TransUnion | 6,289 | 301 |
| Gaming and Leisure Properties Inc. | 7,652 | 300 |
| * Signature Bank | 2,320 | 298 |
| Leucadia National Corp. | 12,480 | 296 |
| * First Data Corp. Class A | 15,889 | 293 |
| Sun Communities Inc. | 3,144 | 284 |
| WR Berkley Corp. | 4,191 | 279 |
| American Campus Communities Inc. | 5,809 | 276 |
| Macerich Co. | 5,218 | 275 |
| Healthcare Trust of America Inc. Class A | 8,840 | 275 |
| Omega Healthcare Investors Inc. | 8,431 | 269 |
| National Retail Properties Inc. | 6,357 | 266 |
| Kilroy Realty Corp. | 3,768 | 261 |
| WP Carey Inc. | 3,779 | 260 |
| FactSet Research Systems Inc. | 1,606 | 252 |
| Starwood Property Trust Inc. | 11,152 | 248 |
| New York Community Bancorp Inc. | 20,554 | 248 |
| Jones Lang LaSalle Inc. | 1,988 | 242 |
| CyrusOne Inc. | 3,825 | 241 |
| Douglas Emmett Inc. | 6,175 | 241 |
| Forest City Realty Trust Inc. Class A | 9,912 | 238 |
| Lamar Advertising Co. Class A | 3,559 | 237 |
| RenaissanceRe Holdings Ltd. | 1,677 | 233 |
| Synovus Financial Corp. | 5,527 | 233 |
| Eaton Vance Corp. | 4,892 | 233 |
| People's United Financial Inc. | 13,901 | 232 |
| Liberty Property Trust | 5,396 | 230 |
| Assurant Inc. | 2,422 | 229 |
| Lazard Ltd. Class A | 5,299 | 227 |
| Brown & Brown Inc. | 5,049 | 227 |
| * Square Inc. | 8,663 | 226 |
| First American Financial Corp. | 4,608 | 226 |
| American Homes 4 Rent Class A | 10,169 | 225 |
| Axis Capital Holdings Ltd. | 3,706 | 223 |
| New Residential Investment Corp. | 13,312 | 219 |
| Hudson Pacific Properties Inc. | 6,630 | 219 |
| DuPont Fabros Technology Inc. | 3,376 | 217 |
| Highwoods Properties Inc. | 4,140 | 216 |
| Assured Guaranty Ltd. | 5,072 | 216 |
| Brixmor Property Group Inc. | 11,474 | 215 |
| * Euronet Worldwide Inc. | 2,127 | 209 |
| Commerce Bancshares Inc. | 3,789 | 208 |
| Bank of the Ozarks | 4,841 | 208 |
| Senior Housing Properties Trust | 10,503 | 207 |
| Realogy Holdings Corp. | 6,093 | 207 |
| PacWest Bancorp | 4,572 | 206 |
| * Brighthouse Financial Inc. | 3,605 | 206 |
| Gramercy Property Trust | 6,565 | 200 |
| Pinnacle Financial Partners Inc. | 3,205 | 199 |
| * Western Alliance Bancorp | 4,111 | 198 |
| Old Republic International Corp. | 10,324 | 197 |
| Fair Isaac Corp. | 1,380 | 194 |
| CubeSmart | 7,804 | 192 |
| * SLM Corp. | 18,781 | 191 |
| Cullen/Frost Bankers Inc. | 2,262 | 190 |
| STORE Capital Corp. | 7,439 | 189 |
| Hospitality Properties Trust | 6,880 | 188 |
| EPR Properties | 2,683 | 187 |
| Spirit Realty Capital Inc. | 21,397 | 186 |
| * WEX Inc. | 1,674 | 183 |
| Hanover Insurance Group Inc. | 1,838 | 180 |
| Webster Financial Corp. | 3,801 | 177 |
| LPL Financial Holdings Inc. | 3,785 | 177 |
14
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| DCT Industrial Trust Inc. | 3,028 | 177 |
| * Zillow Group Inc. | 4,413 | 175 |
| Popular Inc. | 4,360 | 174 |
| CoreSite Realty Corp. | 1,460 | 173 |
| Dun & Bradstreet Corp. | 1,550 | 173 |
| * CoreLogic Inc. | 3,634 | 171 |
| Medical Properties Trust Inc. | 12,905 | 170 |
| * Starwood Waypoint Homes | 4,548 | 169 |
| First Horizon National Corp. | 9,740 | 168 |
| CNO Financial Group Inc. | 7,495 | 168 |
| Cousins Properties Inc. | 17,759 | 166 |
| Validus Holdings Ltd. | 3,304 | 166 |
| Apple Hospitality REIT Inc. | 9,111 | 166 |
| Healthcare Realty Trust Inc. | 4,921 | 164 |
| Weingarten Realty Investors | 5,051 | 162 |
| IBERIABANK Corp. | 2,109 | 162 |
| Hancock Holding Co. | 3,660 | 161 |
| Navient Corp. | 12,155 | 160 |
| * MGIC Investment Corp. | 13,929 | 160 |
| Radian Group Inc. | 9,110 | 159 |
| Rayonier Inc. | 5,479 | 159 |
| Chimera Investment Corp. | 8,163 | 156 |
| Primerica Inc. | 1,995 | 153 |
| BankUnited Inc. | 4,533 | 151 |
| FNB Corp. | 11,837 | 150 |
| Sunstone Hotel Investors Inc. | 9,506 | 150 |
| * Texas Capital Bancshares Inc. | 2,018 | 150 |
| White Mountains Insurance Group Ltd. | 170 | 148 |
| Two Harbors Investment Corp. | 14,472 | 148 |
| GEO Group Inc. | 5,356 | 148 |
| Sabra Health Care REIT Inc. | 6,762 | 148 |
| Legg Mason Inc. | 3,867 | 148 |
| Bank of Hawaii Corp. | 1,876 | 147 |
| Paramount Group Inc. | 9,150 | 144 |
| * Howard Hughes Corp. | 1,228 | 144 |
| Associated Banc-Corp | 6,539 | 143 |
| Uniti Group Inc. | 7,386 | 142 |
| Retail Properties of America Inc. | 10,608 | 141 |
| Life Storage Inc. | 1,901 | 140 |
| Physicians Realty Trust | 7,443 | 139 |
| * Equity Commonwealth | 4,484 | 139 |
| LaSalle Hotel Properties | 4,886 | 139 |
| MFA Financial Inc. | 15,793 | 139 |
| CoreCivic Inc. | 5,150 | 138 |
| Umpqua Holdings Corp. | 7,872 | 138 |
| Investors Bancorp Inc. | 10,458 | 137 |
| Stifel Financial Corp. | 2,864 | 137 |
| Erie Indemnity Co. Class A | 1,132 | 137 |
| Wintrust Financial Corp. | 1,872 | 136 |
| National Health Investors Inc. | 1,693 | 136 |
| Outfront Media Inc. | 6,004 | 132 |
| Piedmont Office Realty Trust Inc. Class A | 6,503 | 132 |
| Brandywine Realty Trust | 7,665 | 132 |
| DDR Corp. | 13,562 | 131 |
| * Credit Acceptance Corp. | 480 | 131 |
| Taubman Centers Inc. | 2,500 | 131 |
| BGC Partners Inc. Class A | 9,954 | 129 |
| * Essent Group Ltd. | 3,307 | 129 |
| Evercore Inc. Class A | 1,711 | 129 |
| Selective Insurance Group Inc. | 2,551 | 129 |
| UMB Financial Corp. | 1,901 | 128 |
| MB Financial Inc. | 3,195 | 127 |
| Washington Federal Inc. | 4,058 | 127 |
| Chemical Financial Corp. | 2,780 | 126 |
15
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| FirstCash Inc. | 2,148 | 126 |
| Fulton Financial Corp. | 7,177 | 125 |
| Valley National Bancorp | 11,188 | 125 |
| Aspen Insurance Holdings Ltd. | 2,722 | 123 |
| Interactive Brokers Group Inc. | 2,921 | 122 |
| * JBG SMITH Properties | 3,736 | 122 |
| Education Realty Trust Inc. | 3,164 | 122 |
| Park Hotels & Resorts Inc. | 4,558 | 122 |
| Prosperity Bancshares Inc. | 2,036 | 122 |
| Sterling Bancorp | 5,408 | 121 |
| PS Business Parks Inc. | 866 | 117 |
| Federated Investors Inc. Class B | 4,243 | 116 |
| * Athene Holding Ltd. Class A | 2,165 | 116 |
| United Bankshares Inc. | 3,368 | 113 |
| First Financial Bankshares Inc. | 2,815 | 113 |
| Columbia Property Trust Inc. | 5,357 | 113 |
| Empire State Realty Trust Inc. | 5,474 | 111 |
| First Citizens BancShares Inc. Class A | 327 | 111 |
| EastGroup Properties Inc. | 1,249 | 111 |
| Ryman Hospitality Properties Inc. | 1,863 | 111 |
| Community Bank System Inc. | 2,151 | 111 |
| Pebblebrook Hotel Trust | 3,287 | 110 |
| QTS Realty Trust Inc. Class A | 2,010 | 109 |
| Washington REIT | 3,306 | 109 |
| TCF Financial Corp. | 6,927 | 108 |
| STAG Industrial Inc. | 3,840 | 107 |
| American Equity Investment Life Holding Co. | 3,819 | 106 |
| Acadia Realty Trust | 3,669 | 105 |
| RLJ Lodging Trust | 5,190 | 105 |
| Corporate Office Properties Trust | 3,130 | 104 |
| Glacier Bancorp Inc. | 3,103 | 103 |
| Urban Edge Properties | 4,067 | 102 |
| Lexington Realty Trust | 10,355 | 102 |
| * Enstar Group Ltd. | 488 | 101 |
| * Blackhawk Network Holdings Inc. | 2,253 | 101 |
| Tanger Factory Outlet Centers Inc. | 4,184 | 98 |
| Home BancShares Inc. | 4,187 | 98 |
| DiamondRock Hospitality Co. | 8,774 | 96 |
| Retail Opportunity Investments Corp. | 4,852 | 96 |
| First Industrial Realty Trust Inc. | 3,078 | 95 |
| CVB Financial Corp. | 4,577 | 95 |
| * Green Dot Corp. Class A | 1,964 | 95 |
| Old National Bancorp | 5,606 | 92 |
| Xenia Hotels & Resorts Inc. | 4,568 | 91 |
| South State Corp. | 1,104 | 91 |
| Mack-Cali Realty Corp. | 3,948 | 90 |
| Great Western Bancorp Inc. | 2,507 | 90 |
| Kemper Corp. | 1,877 | 90 |
| Rexford Industrial Realty Inc. | 2,990 | 90 |
| Hope Bancorp Inc. | 5,495 | 89 |
| Trustmark Corp. | 2,970 | 88 |
| RLI Corp. | 1,636 | 88 |
| Columbia Banking System Inc. | 2,345 | 87 |
| BOK Financial Corp. | 1,077 | 87 |
| Alexander & Baldwin Inc. | 1,996 | 87 |
| * LendingClub Corp. | 13,936 | 86 |
| International Bancshares Corp. | 2,386 | 86 |
| * Eagle Bancorp Inc. | 1,368 | 85 |
| Astoria Financial Corp. | 4,286 | 84 |
| Monogram Residential Trust Inc. | 6,956 | 83 |
| LTC Properties Inc. | 1,676 | 82 |
| Potlatch Corp. | 1,699 | 81 |
| * Genworth Financial Inc. Class A | 23,670 | 81 |
| * Santander Consumer USA Holdings Inc. | 5,649 | 81 |
16
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Financial Engines Inc. | 2,436 | 81 |
| Renasant Corp. | 2,005 | 80 |
| Hilltop Holdings Inc. | 3,355 | 79 |
| * HRG Group Inc. | 5,011 | 79 |
| Terreno Realty Corp. | 2,169 | 79 |
| ProAssurance Corp. | 1,472 | 78 |
| Invesco Mortgage Capital Inc. | 4,571 | 78 |
| Bank of NT Butterfield & Son Ltd. | 2,350 | 77 |
| Kite Realty Group Trust | 3,706 | 75 |
| * Zillow Group Inc. Class A | 1,862 | 74 |
| Towne Bank | 2,420 | 74 |
| WesBanco Inc. | 1,947 | 74 |
| * LendingTree Inc. | 319 | 74 |
| Washington Prime Group Inc. | 8,814 | 74 |
| Argo Group International Holdings Ltd. | 1,216 | 73 |
| Independent Bank Corp. | 1,053 | 73 |
| First Merchants Corp. | 1,855 | 73 |
| United Community Banks Inc. | 2,772 | 72 |
| Banner Corp. | 1,307 | 72 |
| Capitol Federal Financial Inc. | 5,239 | 72 |
| Provident Financial Services Inc. | 2,865 | 71 |
| Four Corners Property Trust Inc. | 2,788 | 71 |
| CareTrust REIT Inc. | 3,635 | 70 |
| * BofI Holding Inc. | 2,632 | 70 |
| Kennedy-Wilson Holdings Inc. | 3,588 | 69 |
| * OneMain Holdings Inc. Class A | 2,520 | 69 |
| LegacyTexas Financial Group Inc. | 1,914 | 69 |
| First Midwest Bancorp Inc. | 3,252 | 69 |
| Apollo Commercial Real Estate Finance Inc. | 3,782 | 68 |
| Global Net Lease Inc. | 3,118 | 68 |
| American Assets Trust Inc. | 1,662 | 68 |
| Select Income REIT | 2,860 | 66 |
| Mercury General Corp. | 1,149 | 66 |
| BancorpSouth Inc. | 2,251 | 65 |
| Summit Hotel Properties Inc. | 4,383 | 65 |
| First Financial Bancorp | 2,706 | 65 |
| Cathay General Bancorp | 1,836 | 65 |
| CBL & Associates Properties Inc. | 8,069 | 65 |
| CNA Financial Corp. | 1,314 | 64 |
| ServisFirst Bancshares Inc. | 1,889 | 64 |
| Ameris Bancorp | 1,448 | 64 |
| NBT Bancorp Inc. | 1,933 | 63 |
| Invitation Homes Inc. | 2,737 | 63 |
| * Quality Care Properties Inc. | 4,616 | 63 |
| Simmons First National Corp. Class A | 1,209 | 63 |
| Chesapeake Lodging Trust | 2,420 | 62 |
| Northwest Bancshares Inc. | 4,005 | 62 |
| Government Properties Income Trust | 3,310 | 61 |
| Employers Holdings Inc. | 1,449 | 61 |
| Waddell & Reed Financial Inc. Class A | 3,276 | 61 |
| * PRA Group Inc. | 2,097 | 61 |
| Navigators Group Inc. | 1,070 | 60 |
| Morningstar Inc. | 720 | 60 |
| First Commonwealth Financial Corp. | 4,694 | 59 |
| Redwood Trust Inc. | 3,432 | 57 |
| * Pacific Premier Bancorp Inc. | 1,600 | 57 |
| Boston Private Financial Holdings Inc. | 3,851 | 57 |
| Horace Mann Educators Corp. | 1,600 | 56 |
| * FCB Financial Holdings Inc. Class A | 1,288 | 56 |
| Agree Realty Corp. | 1,120 | 56 |
| Seritage Growth Properties Class A | 1,164 | 56 |
| * MBIA Inc. | 5,560 | 56 |
| Kearny Financial Corp. | 3,931 | 56 |
| Artisan Partners Asset Management Inc. Class A | 1,799 | 55 |
17
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Union Bankshares Corp. | 1,754 | 55 |
| Lakeland Financial Corp. | 1,261 | 55 |
| CYS Investments Inc. | 6,186 | 54 |
| Park National Corp. | 560 | 54 |
| * Walker & Dunlop Inc. | 1,109 | 53 |
| HFF Inc. Class A | 1,384 | 53 |
| Brookline Bancorp Inc. | 3,676 | 53 |
| Westamerica Bancorporation | 1,015 | 52 |
| PennyMac Mortgage Investment Trust | 2,993 | 52 |
| National Storage Affiliates Trust | 2,309 | 52 |
| S&T Bancorp Inc. | 1,429 | 51 |
| WSFS Financial Corp. | 1,138 | 51 |
| Hannon Armstrong Sustainable Infrastructure Capital Inc. | 2,190 | 51 |
| City Holding Co. | 798 | 51 |
| * Cardtronics plc Class A | 1,937 | 50 |
| * FNFV Group | 2,933 | 49 |
| Sandy Spring Bancorp Inc. | 1,281 | 49 |
| United Fire Group Inc. | 1,174 | 49 |
| Beneficial Bancorp Inc. | 3,242 | 48 |
| Moelis & Co. Class A | 1,229 | 48 |
| Universal Health Realty Income Trust | 638 | 48 |
| Monmouth Real Estate Investment Corp. | 2,972 | 48 |
| BancFirst Corp. | 948 | 48 |
| EVERTEC Inc. | 2,596 | 48 |
| Alexander's Inc. | 114 | 48 |
| Parkway Inc. | 2,068 | 47 |
| InfraREIT Inc. | 2,111 | 47 |
| United Financial Bancorp Inc. | 2,725 | 47 |
| First Hawaiian Inc. | 1,740 | 47 |
| First Interstate BancSystem Inc. Class A | 1,337 | 47 |
| Houlihan Lokey Inc. Class A | 1,302 | 47 |
| Franklin Street Properties Corp. | 4,706 | 47 |
| AMERISAFE Inc. | 871 | 47 |
| CenterState Banks Inc. | 1,903 | 47 |
| WisdomTree Investments Inc. | 5,078 | 47 |
| FelCor Lodging Trust Inc. | 6,362 | 46 |
| State Bank Financial Corp. | 1,728 | 46 |
| ARMOUR Residential REIT Inc. | 1,747 | 46 |
| Berkshire Hills Bancorp Inc. | 1,347 | 46 |
| Nelnet Inc. Class A | 955 | 45 |
| AmTrust Financial Services Inc. | 3,629 | 45 |
| First Busey Corp. | 1,552 | 45 |
| Ladder Capital Corp. Class A | 3,249 | 45 |
| Southside Bancshares Inc. | 1,364 | 45 |
| Heartland Financial USA Inc. | 976 | 44 |
| Independent Bank Group Inc. | 791 | 44 |
| Hanmi Financial Corp. | 1,629 | 44 |
| Central Pacific Financial Corp. | 1,499 | 43 |
| Safety Insurance Group Inc. | 608 | 43 |
| RE/MAX Holdings Inc. Class A | 708 | 43 |
| Ramco-Gershenson Properties Trust | 3,242 | 43 |
| Stewart Information Services Corp. | 1,175 | 42 |
| Tompkins Financial Corp. | 558 | 42 |
| Tier REIT Inc. | 2,301 | 42 |
| * St. Joe Co. | 2,238 | 42 |
| Meridian Bancorp Inc. | 2,375 | 42 |
| Washington Trust Bancorp Inc. | 811 | 42 |
| * Ambac Financial Group Inc. | 2,271 | 41 |
| TFS Financial Corp. | 2,676 | 41 |
| Capstead Mortgage Corp. | 4,223 | 41 |
| National Western Life Group Inc. Class A | 122 | 41 |
| * Encore Capital Group Inc. | 1,007 | 41 |
| MTGE Investment Corp. | 2,097 | 40 |
| * First BanCorp | 7,008 | 40 |
18
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * Seacoast Banking Corp. of Florida | 1,739 | 40 |
| * Flagstar Bancorp Inc. | 1,210 | 40 |
| * iStar Inc. | 3,388 | 39 |
| Banco Latinoamericano de Comercio Exterior SA | 1,448 | 39 |
| Banc of California Inc. | 2,051 | 38 |
| Univest Corp. of Pennsylvania | 1,295 | 38 |
| Lakeland Bancorp Inc. | 2,022 | 37 |
| Cohen & Steers Inc. | 970 | 37 |
| New York Mortgage Trust Inc. | 5,860 | 37 |
| Independence Realty Trust Inc. | 3,551 | 37 |
| Preferred Bank | 673 | 36 |
| ConnectOne Bancorp Inc. | 1,586 | 36 |
| CoBiz Financial Inc. | 2,119 | 36 |
| Universal Insurance Holdings Inc. | 1,683 | 36 |
| Piper Jaffray Cos. | 651 | 36 |
| * Third Point Reinsurance Ltd. | 2,543 | 36 |
| National Bank Holdings Corp. Class A | 1,105 | 36 |
| Investment Technology Group Inc. | 1,767 | 36 |
| Capital Bank Financial Corp. | 938 | 35 |
| National General Holdings Corp. | 2,036 | 35 |
| Chatham Lodging Trust | 1,709 | 35 |
| Hersha Hospitality Trust Class A | 1,867 | 35 |
| Infinity Property & Casualty Corp. | 389 | 34 |
| New Senior Investment Group Inc. | 3,706 | 34 |
| * Forestar Group Inc. | 1,980 | 34 |
| * HomeStreet Inc. | 1,332 | 34 |
| OceanFirst Financial Corp. | 1,339 | 33 |
| First Potomac Realty Trust | 2,983 | 33 |
| * Greenlight Capital Re Ltd. Class A | 1,485 | 33 |
| Park Sterling Corp. | 2,904 | 33 |
| Urstadt Biddle Properties Inc. Class A | 1,593 | 33 |
| * Customers Bancorp Inc. | 1,167 | 33 |
| 1st Source Corp. | 696 | 33 |
| PJT Partners Inc. | 840 | 32 |
| NorthStar Realty Europe Corp. | 2,600 | 32 |
| Saul Centers Inc. | 532 | 32 |
| Easterly Government Properties Inc. | 1,592 | 32 |
| Getty Realty Corp. | 1,158 | 32 |
| Stock Yards Bancorp Inc. | 916 | 32 |
| Stonegate Bank | 660 | 32 |
| Investors Real Estate Trust | 5,008 | 31 |
| Altisource Residential Corp. | 2,592 | 31 |
| TriCo Bancshares | 882 | 31 |
| Dime Community Bancshares Inc. | 1,648 | 31 |
| * CU Bancorp | 876 | 31 |
| Federal Agricultural Mortgage Corp. | 458 | 31 |
| TrustCo Bank Corp. NY | 3,927 | 31 |
| Virtus Investment Partners Inc. | 292 | 31 |
| First of Long Island Corp. | 1,156 | 31 |
| OM Asset Management plc | 2,182 | 31 |
| MainSource Financial Group Inc. | 938 | 31 |
| German American Bancorp Inc. | 940 | 31 |
| James River Group Holdings Ltd. | 762 | 30 |
| Meta Financial Group Inc. | 430 | 30 |
| Westwood Holdings Group Inc. | 488 | 30 |
| Flushing Financial Corp. | 1,091 | 30 |
| Oritani Financial Corp. | 1,849 | 30 |
| Northfield Bancorp Inc. | 1,841 | 30 |
| Armada Hoffler Properties Inc. | 2,216 | 30 |
| FBL Financial Group Inc. Class A | 431 | 29 |
| Cass Information Systems Inc. | 476 | 29 |
| Heritage Financial Corp. | 1,109 | 29 |
| * INTL. FCStone Inc. | 811 | 29 |
| Pennsylvania REIT | 2,842 | 29 |
19
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| AG Mortgage Investment Trust Inc. | 1,464 | 28 |
| Horizon Bancorp | 1,066 | 28 |
| Anworth Mortgage Asset Corp. | 4,522 | 27 |
| Preferred Apartment Communities Inc. Class A | 1,498 | 27 |
| Gladstone Commercial Corp. | 1,264 | 27 |
| * Nationstar Mortgage Holdings Inc. | 1,560 | 27 |
| Guaranty Bancorp | 1,037 | 27 |
| Peapack Gladstone Financial Corp. | 872 | 27 |
| Bridge Bancorp Inc. | 854 | 26 |
| State National Cos. Inc. | 1,237 | 26 |
| * Donnelley Financial Solutions Inc. | 1,200 | 26 |
| * MoneyGram International Inc. | 1,621 | 26 |
| Virtu Financial Inc. Class A | 1,415 | 25 |
| Maiden Holdings Ltd. | 3,499 | 25 |
| State Auto Financial Corp. | 1,002 | 25 |
| Diamond Hill Investment Group Inc. | 126 | 25 |
| * Republic First Bancorp Inc. | 2,912 | 25 |
| Live Oak Bancshares Inc. | 1,092 | 24 |
| Great Southern Bancorp Inc. | 490 | 24 |
| Fidelity Southern Corp. | 1,112 | 24 |
| * Everi Holdings Inc. | 3,124 | 24 |
| Kinsale Capital Group Inc. | 634 | 24 |
| Ashford Hospitality Trust Inc. | 3,763 | 23 |
| Bar Harbor Bankshares | 888 | 23 |
| Community Trust Bancorp Inc. | 548 | 23 |
| Waterstone Financial Inc. | 1,317 | 23 |
| UMH Properties Inc. | 1,445 | 23 |
| * Trupanion Inc. | 1,040 | 23 |
| NexPoint Residential Trust Inc. | 970 | 23 |
| Whitestone REIT | 1,791 | 22 |
| Mercantile Bank Corp. | 728 | 22 |
| * Green Bancorp Inc. | 1,093 | 22 |
| Blue Hills Bancorp Inc. | 1,167 | 22 |
| Peoples Bancorp Inc. | 700 | 22 |
| City Office REIT Inc. | 1,694 | 22 |
| * Bancorp Inc. | 2,715 | 21 |
| * Marcus & Millichap Inc. | 806 | 21 |
| Old Second Bancorp Inc. | 1,847 | 21 |
| Pacific Continental Corp. | 888 | 21 |
| Community Healthcare Trust Inc. | 794 | 21 |
| United Community Financial Corp. | 2,314 | 21 |
| Carolina Financial Corp. | 618 | 21 |
| * First Foundation Inc. | 1,240 | 21 |
| * TriState Capital Holdings Inc. | 1,005 | 21 |
| * eHealth Inc. | 857 | 21 |
| * World Acceptance Corp. | 277 | 21 |
| QCR Holdings Inc. | 472 | 21 |
| Western Asset Mortgage Capital Corp. | 1,947 | 20 |
| CorEnergy Infrastructure Trust Inc. | 626 | 20 |
| Independent Bank Corp. | 1,000 | 20 |
| People's Utah Bancorp | 744 | 20 |
| Midland States Bancorp Inc. | 666 | 20 |
| * EZCORP Inc. Class A | 2,205 | 20 |
| Southwest Bancorp Inc. | 790 | 20 |
| * HomeTrust Bancshares Inc. | 848 | 20 |
| Cedar Realty Trust Inc. | 3,901 | 20 |
| First Financial Corp. | 450 | 20 |
| * Allegiance Bancshares Inc. | 573 | 20 |
| * Nicolet Bankshares Inc. | 357 | 20 |
| * National Commerce Corp. | 490 | 19 |
| * Cowen Inc. Class A | 1,190 | 19 |
| First Connecticut Bancorp Inc. | 778 | 19 |
| First Defiance Financial Corp. | 392 | 19 |
| Camden National Corp. | 490 | 19 |
20
| | | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Health Insurance Innovations Inc. Class A | 555 | 19 |
| * | Tejon Ranch Co. | 930 | 19 |
| | First Community Bancshares Inc. | 718 | 18 |
| | Farmers Capital Bank Corp. | 493 | 18 |
| * | Triumph Bancorp Inc. | 641 | 18 |
| * | Franklin Financial Network Inc. | 547 | 18 |
| | OneBeacon Insurance Group Ltd. Class A | 964 | 18 |
| * | Enova International Inc. | 1,455 | 17 |
| | Sierra Bancorp | 684 | 17 |
| | Heritage Commerce Corp. | 1,289 | 17 |
| * | Veritex Holdings Inc. | 653 | 17 |
| | Bank Mutual Corp. | 1,877 | 17 |
| | Fidelity & Guaranty Life | 545 | 17 |
| | Orchid Island Capital Inc. | 1,748 | 17 |
| * | PICO Holdings Inc. | 1,037 | 17 |
| | Republic Bancorp Inc. Class A | 465 | 17 |
| | Enterprise Bancorp Inc. | 515 | 16 |
| * | Global Indemnity Ltd. | 407 | 16 |
| * | Ocwen Financial Corp. | 5,607 | 16 |
| | Arrow Financial Corp. | 508 | 16 |
| | Bank of Marin Bancorp | 250 | 16 |
| | Clifton Bancorp Inc. | 1,038 | 16 |
| | Farmers National Banc Corp. | 1,180 | 16 |
| | Greenhill & Co. Inc. | 1,063 | 16 |
| | American National Bankshares Inc. | 434 | 16 |
| * | Citizens Inc. Class A | 2,096 | 16 |
| | Financial Institutions Inc. | 566 | 15 |
| | CNB Financial Corp. | 633 | 15 |
| ^ | OFG Bancorp | 1,752 | 15 |
| | WashingtonFirst Bankshares Inc. | 449 | 15 |
| * | FB Financial Corp. | 435 | 15 |
| | Farmland Partners Inc. | 1,706 | 15 |
| * | Atlantic Capital Bancshares Inc. | 837 | 15 |
| * | HarborOne Bancorp Inc. | 864 | 15 |
| * | Opus Bank | 656 | 15 |
| * | Equity Bancshares Inc. Class A | 430 | 15 |
| | RMR Group Inc. Class A | 284 | 15 |
| | NewStar Financial Inc. | 1,365 | 15 |
| * | FRP Holdings Inc. | 329 | 14 |
| | Resource Capital Corp. | 1,389 | 14 |
| | HCI Group Inc. | 368 | 14 |
| | GAIN Capital Holdings Inc. | 2,264 | 14 |
| | First Mid-Illinois Bancshares Inc. | 410 | 14 |
| | MidWestOne Financial Group Inc. | 428 | 14 |
| | Dynex Capital Inc. | 1,963 | 14 |
| | First Bancorp Inc. | 536 | 14 |
| | National Bankshares Inc. | 348 | 14 |
| | Bluerock Residential Growth REIT Inc. Class A | 1,349 | 14 |
| | Hingham Institution for Savings | 74 | 14 |
| * | Altisource Portfolio Solutions SA | 595 | 14 |
| *,^,2 | Wins Finance Holdings Inc. | 66 | 14 |
| | Citizens & Northern Corp. | 600 | 13 |
| | West Bancorporation Inc. | 611 | 13 |
| * | On Deck Capital Inc. | 2,730 | 13 |
| * | PCSB Financial Corp. | 778 | 13 |
| | Peoples Financial Services Corp. | 314 | 13 |
| * | Ladenburg Thalmann Financial Services Inc. | 4,872 | 13 |
| | Ames National Corp. | 461 | 13 |
| | Arlington Asset Investment Corp. Class A | 966 | 12 |
| | Ashford Hospitality Prime Inc. | 1,291 | 12 |
| * | WMIH Corp. | 9,610 | 12 |
| | Macatawa Bank Corp. | 1,254 | 12 |
| | Investors Title Co. | 68 | 12 |
| | United Insurance Holdings Corp. | 747 | 12 |
21
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| First Bancshares Inc. | 411 | 12 |
| Cherry Hill Mortgage Investment Corp. | 622 | 12 |
| Sun Bancorp Inc. | 492 | 12 |
| Western New England Bancorp Inc. | 1,132 | 11 |
| Heritage Insurance Holdings Inc. | 985 | 11 |
| Home Bancorp Inc. | 277 | 11 |
| * Farmers & Merchants Bancorp Inc. | 167 | 11 |
| Jernigan Capital Inc. | 573 | 11 |
| * PennyMac Financial Services Inc. Class A | 653 | 11 |
| Old Line Bancshares Inc. | 397 | 11 |
| EMC Insurance Group Inc. | 376 | 11 |
| B. Riley Financial Inc. | 634 | 10 |
| * Regional Management Corp. | 473 | 10 |
| Baldwin & Lyons Inc. | 471 | 10 |
| * Safeguard Scientifics Inc. | 825 | 10 |
| * Southern First Bancshares Inc. | 280 | 10 |
| * AV Homes Inc. | 640 | 10 |
| Summit Financial Group Inc. | 447 | 10 |
| Penns Woods Bancorp Inc. | 228 | 10 |
| Bankwell Financial Group Inc. | 288 | 10 |
| Shore Bancshares Inc. | 590 | 10 |
| Consolidated-Tomoka Land Co. | 175 | 10 |
| Codorus Valley Bancorp Inc. | 386 | 10 |
| Northrim BanCorp Inc. | 322 | 10 |
| Global Medical REIT Inc. | 1,126 | 10 |
| Civista Bancshares Inc. | 469 | 9 |
| MutualFirst Financial Inc. | 266 | 9 |
| KKR Real Estate Finance Trust Inc. | 450 | 9 |
| First Business Financial Services Inc. | 437 | 9 |
| Hamilton Lane Inc. Class A | 393 | 9 |
| Evans Bancorp Inc. | 221 | 9 |
| Southern Missouri Bancorp Inc. | 281 | 9 |
| Owens Realty Mortgage Inc. | 517 | 9 |
| Central Valley Community Bancorp | 454 | 9 |
| * Howard Bancorp Inc. | 451 | 9 |
| Stratus Properties Inc. | 299 | 9 |
| Southern National Bancorp of Virginia Inc. | 528 | 9 |
| Charter Financial Corp. | 543 | 9 |
| Orrstown Financial Services Inc. | 353 | 9 |
| MBT Financial Corp. | 843 | 9 |
| * Paragon Commercial Corp. | 163 | 8 |
| * SmartFinancial Inc. | 366 | 8 |
| Premier Financial Bancorp Inc. | 444 | 8 |
| Crawford & Co. Class B | 842 | 8 |
| * Sunshine Bancorp Inc. | 385 | 8 |
| * First Northwest Bancorp | 523 | 8 |
| Capital City Bank Group Inc. | 391 | 8 |
| Norwood Financial Corp. | 183 | 8 |
| First Internet Bancorp | 251 | 8 |
| * Planet Payment Inc. | 2,009 | 8 |
| Union Bankshares Inc. | 183 | 8 |
| LCNB Corp. | 418 | 8 |
| Bank of Commerce Holdings | 731 | 8 |
| Bear State Financial Inc. | 748 | 8 |
| * Community Bankers Trust Corp. | 914 | 8 |
| SI Financial Group Inc. | 525 | 8 |
| Oppenheimer Holdings Inc. Class A | 466 | 8 |
| Commerce Union Bancshares Inc. | 314 | 8 |
| ACNB Corp. | 286 | 7 |
| * Trinity Place Holdings Inc. | 1,080 | 7 |
| Clipper Realty Inc. | 665 | 7 |
| Northeast Bancorp | 343 | 7 |
| Federated National Holding Co. | 472 | 7 |
| Timberland Bancorp Inc. | 262 | 7 |
22
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Investar Holding Corp. | 329 | 7 |
| * NI Holdings Inc. | 432 | 7 |
| * BSB Bancorp Inc. | 248 | 7 |
| Community Financial Corp. | 200 | 7 |
| County Bancorp Inc. | 233 | 7 |
| C&F Financial Corp. | 149 | 7 |
| Tiptree Inc. | 1,080 | 7 |
| First Financial Northwest Inc. | 431 | 7 |
| * Malvern Bancorp Inc. | 285 | 7 |
| Ohio Valley Banc Corp. | 205 | 7 |
| FNB Bancorp | 223 | 7 |
| Associated Capital Group Inc. Class A | 192 | 7 |
| Century Bancorp Inc. Class A | 98 | 7 |
| American National Insurance Co. | 56 | 6 |
| Riverview Bancorp Inc. | 805 | 6 |
| United Security Bancshares | 683 | 6 |
| Enterprise Financial Services Corp. | 163 | 6 |
| Peoples Bancorp of North Carolina Inc. | 202 | 6 |
| * Impac Mortgage Holdings Inc. | 458 | 6 |
| Two River Bancorp | 331 | 6 |
| Middlefield Banc Corp. | 132 | 6 |
| Ellington Residential Mortgage REIT | 403 | 6 |
| Chemung Financial Corp. | 145 | 6 |
| Unity Bancorp Inc. | 326 | 6 |
| Kingstone Cos. Inc. | 368 | 6 |
| Kansas City Life Insurance Co. | 111 | 5 |
| * ASB Bancorp Inc. | 122 | 5 |
| Old Point Financial Corp. | 175 | 5 |
| * Capstar Financial Holdings Inc. | 305 | 5 |
| Prudential Bancorp Inc. | 270 | 5 |
| First Guaranty Bancshares Inc. | 181 | 5 |
| DNB Financial Corp. | 145 | 5 |
| First Bancorp | 148 | 5 |
| MidSouth Bancorp Inc. | 378 | 4 |
| * Maui Land & Pineapple Co. Inc. | 338 | 4 |
| * Provident Bancorp Inc. | 211 | 4 |
| Silvercrest Asset Management Group Inc. Class A | 336 | 4 |
| RAIT Financial Trust | 4,605 | 4 |
| Parke Bancorp Inc. | 189 | 4 |
| BCB Bancorp Inc. | 241 | 3 |
| Guaranty Bancshares Inc. | 50 | 2 |
| Bryn Mawr Bank Corp. | 13 | 1 |
| | | 231,102 |
| Health Care (13.9%) | | |
| Johnson & Johnson | 115,923 | 15,345 |
| Pfizer Inc. | 253,969 | 8,615 |
| UnitedHealth Group Inc. | 41,213 | 8,197 |
| Merck & Co. Inc. | 117,433 | 7,499 |
| Amgen Inc. | 31,650 | 5,626 |
| AbbVie Inc. | 68,392 | 5,150 |
| Medtronic plc | 59,003 | 4,757 |
| Gilead Sciences Inc. | 55,793 | 4,670 |
| * Celgene Corp. | 33,205 | 4,613 |
| Bristol-Myers Squibb Co. | 70,612 | 4,271 |
| Abbott Laboratories | 72,723 | 3,704 |
| Eli Lilly & Co. | 41,895 | 3,406 |
| Allergan plc | 14,407 | 3,306 |
| Thermo Fisher Scientific Inc. | 17,132 | 3,206 |
| * Biogen Inc. | 9,067 | 2,870 |
| Anthem Inc. | 11,403 | 2,235 |
| Danaher Corp. | 26,280 | 2,192 |
| Aetna Inc. | 13,873 | 2,188 |
| Stryker Corp. | 14,441 | 2,042 |
| Cigna Corp. | 10,618 | 1,933 |
23
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Becton Dickinson and Co. | 9,664 | 1,927 |
| * Vertex Pharmaceuticals Inc. | 10,491 | 1,684 |
| * Regeneron Pharmaceuticals Inc. | 3,387 | 1,683 |
| * Boston Scientific Corp. | 58,902 | 1,623 |
| * Express Scripts Holding Co. | 25,573 | 1,606 |
| Humana Inc. | 6,115 | 1,575 |
| * Intuitive Surgical Inc. | 1,543 | 1,550 |
| McKesson Corp. | 9,133 | 1,364 |
| * Alexion Pharmaceuticals Inc. | 9,214 | 1,312 |
| Baxter International Inc. | 21,115 | 1,310 |
| Zoetis Inc. | 20,706 | 1,298 |
| * Illumina Inc. | 6,175 | 1,263 |
| * Edwards Lifesciences Corp. | 8,831 | 1,004 |
| Zimmer Biomet Holdings Inc. | 8,779 | 1,003 |
| CR Bard Inc. | 3,081 | 988 |
| * Incyte Corp. | 7,050 | 969 |
| * HCA Healthcare Inc. | 12,278 | 966 |
| Cardinal Health Inc. | 13,193 | 890 |
| Agilent Technologies Inc. | 13,484 | 873 |
| * Cerner Corp. | 12,029 | 815 |
| * Mylan NV | 22,208 | 699 |
| * BioMarin Pharmaceutical Inc. | 7,537 | 680 |
| * Laboratory Corp. of America Holdings | 4,203 | 659 |
| * Centene Corp. | 7,382 | 656 |
| Quest Diagnostics Inc. | 5,666 | 614 |
| * Align Technology Inc. | 3,452 | 610 |
| * Henry Schein Inc. | 3,323 | 577 |
| AmerisourceBergen Corp. Class A | 6,897 | 553 |
| * IDEXX Laboratories Inc. | 3,541 | 550 |
| * Quintiles IMS Holdings Inc. | 5,480 | 526 |
| Dentsply Sirona Inc. | 9,289 | 525 |
| Cooper Cos. Inc. | 1,956 | 491 |
| * Hologic Inc. | 12,292 | 474 |
| ResMed Inc. | 6,064 | 470 |
| Perrigo Co. plc | 5,556 | 439 |
| Teleflex Inc. | 1,915 | 405 |
| Universal Health Services Inc. Class B | 3,746 | 405 |
| * DaVita Inc. | 6,807 | 399 |
| * Kite Pharma Inc. | 2,175 | 387 |
| * Varian Medical Systems Inc. | 3,622 | 385 |
| * Exelixis Inc. | 12,922 | 378 |
| * VCA Inc. | 3,775 | 351 |
| * Alkermes plc | 6,630 | 337 |
| PerkinElmer Inc. | 4,817 | 323 |
| * QIAGEN NV | 9,686 | 312 |
| * WellCare Health Plans Inc. | 1,754 | 306 |
| * Ionis Pharmaceuticals Inc. | 5,329 | 286 |
| * Alnylam Pharmaceuticals Inc. | 3,310 | 284 |
| * Veeva Systems Inc. Class A | 4,760 | 283 |
| * DexCom Inc. | 3,713 | 277 |
| STERIS plc | 3,070 | 268 |
| * Envision Healthcare Corp. | 5,057 | 265 |
| West Pharmaceutical Services Inc. | 3,034 | 264 |
| * ABIOMED Inc. | 1,710 | 258 |
| * United Therapeutics Corp. | 1,926 | 252 |
| * athenahealth Inc. | 1,741 | 245 |
| * Bioverativ Inc. | 4,276 | 242 |
| * Bluebird Bio Inc. | 1,810 | 226 |
| * Catalent Inc. | 5,427 | 224 |
| * Seattle Genetics Inc. | 4,248 | 223 |
| * Charles River Laboratories International Inc. | 1,990 | 217 |
| * TESARO Inc. | 1,671 | 216 |
| * Neurocrine Biosciences Inc. | 3,797 | 215 |
| Bio-Techne Corp. | 1,615 | 200 |
24
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * Bio-Rad Laboratories Inc. Class A | 909 | 198 |
| * PAREXEL International Corp. | 2,241 | 197 |
| * Exact Sciences Corp. | 4,641 | 194 |
| * Alere Inc. | 3,769 | 186 |
| * Medidata Solutions Inc. | 2,389 | 179 |
| * MEDNAX Inc. | 3,939 | 177 |
| * Mallinckrodt plc | 4,274 | 176 |
| Hill-Rom Holdings Inc. | 2,209 | 170 |
| HealthSouth Corp. | 3,703 | 169 |
| * Masimo Corp. | 1,987 | 168 |
| * Acadia Healthcare Co. Inc. | 3,367 | 158 |
| * PRA Health Sciences Inc. | 2,004 | 155 |
| * Insulet Corp. | 2,594 | 151 |
| Patterson Cos. Inc. | 3,704 | 143 |
| * INC Research Holdings Inc. Class A | 2,418 | 142 |
| * Integra LifeSciences Holdings Corp. | 2,734 | 139 |
| Chemed Corp. | 699 | 138 |
| Bruker Corp. | 4,690 | 136 |
| * NuVasive Inc. | 2,181 | 136 |
| * ACADIA Pharmaceuticals Inc. | 3,826 | 136 |
| * Portola Pharmaceuticals Inc. | 2,147 | 136 |
| * Nektar Therapeutics Class A | 6,421 | 135 |
| * Clovis Oncology Inc. | 1,770 | 135 |
| * Wright Medical Group NV | 4,391 | 130 |
| Cantel Medical Corp. | 1,580 | 128 |
| * Akorn Inc. | 3,889 | 128 |
| * FibroGen Inc. | 2,609 | 126 |
| * Molina Healthcare Inc. | 1,951 | 125 |
| * Prestige Brands Holdings Inc. | 2,398 | 122 |
| * ICU Medical Inc. | 670 | 117 |
| * Sage Therapeutics Inc. | 1,419 | 117 |
| * Puma Biotechnology Inc. | 1,259 | 116 |
| * VWR Corp. | 3,477 | 115 |
| * Agios Pharmaceuticals Inc. | 1,813 | 115 |
| * Penumbra Inc. | 1,321 | 114 |
| * Allscripts Healthcare Solutions Inc. | 8,632 | 113 |
| * Juno Therapeutics Inc. | 2,741 | 113 |
| * Medicines Co. | 3,061 | 112 |
| * Avexis Inc. | 1,196 | 112 |
| * Ligand Pharmaceuticals Inc. | 866 | 112 |
| * LivaNova plc | 1,747 | 109 |
| * WebMD Health Corp. | 1,624 | 108 |
| * Neogen Corp. | 1,520 | 105 |
| * Nevro Corp. | 1,180 | 102 |
| * Prothena Corp. plc | 1,639 | 101 |
| * Brookdale Senior Living Inc. | 8,249 | 100 |
| * Supernus Pharmaceuticals Inc. | 2,137 | 98 |
| * Ultragenyx Pharmaceutical Inc. | 1,707 | 97 |
| * Horizon Pharma plc | 6,978 | 95 |
| * Sarepta Therapeutics Inc. | 2,332 | 94 |
| * OPKO Health Inc. | 14,537 | 93 |
| * HealthEquity Inc. | 2,153 | 92 |
| * Ironwood Pharmaceuticals Inc. Class A | 5,772 | 92 |
| * Halyard Health Inc. | 2,025 | 92 |
| * LifePoint Health Inc. | 1,558 | 90 |
| * Haemonetics Corp. | 2,091 | 90 |
| * Intercept Pharmaceuticals Inc. | 759 | 88 |
| * Blueprint Medicines Corp. | 1,632 | 88 |
| * Teladoc Inc. | 2,637 | 88 |
| * Select Medical Holdings Corp. | 4,742 | 88 |
| * Amicus Therapeutics Inc. | 6,279 | 88 |
| * Globus Medical Inc. | 2,862 | 87 |
| * Endo International plc | 9,666 | 85 |
| * Spark Therapeutics Inc. | 1,007 | 83 |
25
| | | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Myriad Genetics Inc. | 2,718 | 83 |
| * | Merit Medical Systems Inc. | 1,985 | 82 |
| * | NxStage Medical Inc. | 2,924 | 82 |
| * | Loxo Oncology Inc. | 974 | 81 |
| * | Omnicell Inc. | 1,577 | 81 |
| * | Magellan Health Inc. | 979 | 79 |
| * | AMN Healthcare Services Inc. | 2,060 | 77 |
| * | Corcept Therapeutics Inc. | 4,481 | 75 |
| | Owens & Minor Inc. | 2,668 | 75 |
| * | MiMedx Group Inc. | 4,549 | 74 |
| * | Inogen Inc. | 769 | 74 |
| * | Aerie Pharmaceuticals Inc. | 1,261 | 72 |
| * | Premier Inc. Class A | 2,155 | 72 |
| * | Integer Holdings Corp. | 1,561 | 72 |
| * | HMS Holdings Corp. | 3,928 | 70 |
| * | Tivity Health Inc. | 1,768 | 69 |
| * | Cambrex Corp. | 1,330 | 69 |
| * | Impax Laboratories Inc. | 3,189 | 69 |
| * | Repligen Corp. | 1,541 | 67 |
| * | Pacira Pharmaceuticals Inc. | 1,751 | 67 |
| * | Array BioPharma Inc. | 6,565 | 64 |
| * | Immunomedics Inc. | 4,987 | 63 |
| | CONMED Corp. | 1,269 | 63 |
| * | Halozyme Therapeutics Inc. | 4,752 | 62 |
| * | Radius Health Inc. | 1,636 | 62 |
| * | OraSure Technologies Inc. | 3,016 | 62 |
| * | Amedisys Inc. | 1,157 | 60 |
| *,^ | Tenet Healthcare Corp. | 3,491 | 60 |
| * | Theravance Biopharma Inc. | 1,812 | 59 |
| * | Novocure Ltd. | 2,823 | 58 |
| * | Cotiviti Holdings Inc. | 1,601 | 57 |
| * | Varex Imaging Corp. | 1,854 | 57 |
| * | Emergent BioSolutions Inc. | 1,486 | 55 |
| * | Global Blood Therapeutics Inc. | 1,799 | 55 |
| * | Acceleron Pharma Inc. | 1,365 | 53 |
| * | Glaukos Corp. | 1,395 | 53 |
| * | LHC Group Inc. | 801 | 52 |
| * | Momenta Pharmaceuticals Inc. | 3,021 | 51 |
| * | BioTelemetry Inc. | 1,349 | 50 |
| *,^ | Intrexon Corp. | 2,485 | 49 |
| * | Natus Medical Inc. | 1,448 | 49 |
| * | Sangamo Therapeutics Inc. | 3,516 | 47 |
| | Ensign Group Inc. | 2,273 | 47 |
| * | Innoviva Inc. | 3,310 | 46 |
| * | Cardiovascular Systems Inc. | 1,556 | 46 |
| * | PharMerica Corp. | 1,551 | 46 |
| * | Retrophin Inc. | 1,823 | 44 |
| * | K2M Group Holdings Inc. | 1,900 | 44 |
| * | Quidel Corp. | 1,266 | 44 |
| * | Dermira Inc. | 1,866 | 44 |
| * | MyoKardia Inc. | 1,014 | 44 |
| * | Quality Systems Inc. | 2,756 | 43 |
| * | Dynavax Technologies Corp. | 2,372 | 43 |
| * | Omeros Corp. | 2,035 | 42 |
| * | ZIOPHARM Oncology Inc. | 6,415 | 41 |
| * | Insmed Inc. | 3,279 | 41 |
| * | Spectrum Pharmaceuticals Inc. | 4,149 | 40 |
| *,^ | TherapeuticsMD Inc. | 6,680 | 40 |
| | Atrion Corp. | 64 | 40 |
| | Analogic Corp. | 554 | 40 |
| * | Orthofix International NV | 805 | 40 |
| | Abaxis Inc. | 855 | 40 |
| * | Intersect ENT Inc. | 1,265 | 39 |
| * | Xencor Inc. | 1,805 | 39 |
26
| | | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | AtriCure Inc. | 1,730 | 39 |
| * | Heron Therapeutics Inc. | 2,336 | 39 |
| | Luminex Corp. | 1,946 | 38 |
| * | Five Prime Therapeutics Inc. | 1,107 | 38 |
| | Phibro Animal Health Corp. Class A | 1,046 | 37 |
| * | Acorda Therapeutics Inc. | 1,778 | 37 |
| * | Anika Therapeutics Inc. | 684 | 37 |
| * | Esperion Therapeutics Inc. | 739 | 37 |
| * | Community Health Systems Inc. | 4,779 | 36 |
| * | Vanda Pharmaceuticals Inc. | 2,104 | 36 |
| * | Flexion Therapeutics Inc. | 1,399 | 36 |
| * | Aimmune Therapeutics Inc. | 1,671 | 36 |
| * | Arena Pharmaceuticals Inc. | 1,545 | 36 |
| * | CryoLife Inc. | 1,707 | 35 |
| * | Epizyme Inc. | 2,014 | 35 |
| * | Editas Medicine Inc. | 1,650 | 35 |
| * | ImmunoGen Inc. | 4,154 | 35 |
| | National HealthCare Corp. | 554 | 35 |
| * | Akebia Therapeutics Inc. | 2,058 | 34 |
| * | Triple-S Management Corp. Class B | 1,387 | 34 |
| * | PTC Therapeutics Inc. | 1,646 | 34 |
| * | Genomic Health Inc. | 1,040 | 33 |
| * | Heska Corp. | 321 | 33 |
| | Kindred Healthcare Inc. | 4,030 | 33 |
| * | Versartis Inc. | 1,704 | 32 |
| | US Physical Therapy Inc. | 540 | 32 |
| * | SciClone Pharmaceuticals Inc. | 2,904 | 32 |
| * | Intra-Cellular Therapies Inc. Class A | 1,731 | 32 |
| * | TG Therapeutics Inc. | 2,499 | 32 |
| * | Keryx Biopharmaceuticals Inc. | 4,369 | 31 |
| * | Achillion Pharmaceuticals Inc. | 6,155 | 31 |
| * | iRhythm Technologies Inc. | 658 | 31 |
| * | Amphastar Pharmaceuticals Inc. | 1,940 | 31 |
| * | Enanta Pharmaceuticals Inc. | 720 | 31 |
| * | AMAG Pharmaceuticals Inc. | 1,831 | 31 |
| * | REGENXBIO Inc. | 1,342 | 31 |
| * | Cytokinetics Inc. | 2,021 | 30 |
| | LeMaitre Vascular Inc. | 819 | 30 |
| * | Almost Family Inc. | 610 | 30 |
| * | Providence Service Corp. | 572 | 30 |
| * | La Jolla Pharmaceutical Co. | 866 | 30 |
| * | Accelerate Diagnostics Inc. | 1,274 | 29 |
| * | Axovant Sciences Ltd. | 1,458 | 29 |
| * | MacroGenics Inc. | 1,524 | 29 |
| * | Synergy Pharmaceuticals Inc. | 9,648 | 29 |
| * | Foundation Medicine Inc. | 706 | 28 |
| | Meridian Bioscience Inc. | 2,011 | 28 |
| * | Coherus Biosciences Inc. | 1,877 | 27 |
| * | Revance Therapeutics Inc. | 1,101 | 27 |
| * | Achaogen Inc. | 1,434 | 27 |
| * | AngioDynamics Inc. | 1,562 | 27 |
| * | Albany Molecular Research Inc. | 1,203 | 26 |
| * | CorVel Corp. | 502 | 26 |
| * | Lannett Co. Inc. | 1,456 | 26 |
| * | NeoGenomics Inc. | 2,517 | 25 |
| * | Progenics Pharmaceuticals Inc. | 3,730 | 25 |
| *,^ | CytomX Therapeutics Inc. | 1,451 | 25 |
| * | Calithera Biosciences Inc. | 1,525 | 25 |
| | Landauer Inc. | 400 | 25 |
| * | Aclaris Therapeutics Inc. | 956 | 25 |
| * | AxoGen Inc. | 1,396 | 25 |
| * | Cutera Inc. | 661 | 25 |
| * | Lexicon Pharmaceuticals Inc. | 1,589 | 24 |
| * | Eagle Pharmaceuticals Inc. | 436 | 24 |
27
| | | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | STAAR Surgical Co. | 1,922 | 23 |
| * | Lantheus Holdings Inc. | 1,296 | 23 |
| * | Aduro Biotech Inc. | 1,866 | 23 |
| * | PDL BioPharma Inc. | 7,082 | 22 |
| * | Enzo Biochem Inc. | 1,946 | 22 |
| * | Antares Pharma Inc. | 7,242 | 22 |
| * | BioCryst Pharmaceuticals Inc. | 4,179 | 21 |
| * | GenMark Diagnostics Inc. | 2,174 | 21 |
| * | Cross Country Healthcare Inc. | 1,644 | 20 |
| | Invacare Corp. | 1,478 | 20 |
| * | Natera Inc. | 1,591 | 20 |
| * | Alder Biopharmaceuticals Inc. | 2,002 | 20 |
| * | Pacific Biosciences of California Inc. | 3,926 | 19 |
| * | Assembly Biosciences Inc. | 703 | 19 |
| * | Inovio Pharmaceuticals Inc. | 3,192 | 19 |
| * | Cara Therapeutics Inc. | 1,309 | 19 |
| * | Adamas Pharmaceuticals Inc. | 874 | 18 |
| * | RadNet Inc. | 1,705 | 17 |
| * | ANI Pharmaceuticals Inc. | 364 | 17 |
| * | Oxford Immunotec Global plc | 1,091 | 17 |
| * | Biohaven Pharmaceutical Holding Co. Ltd. | 471 | 17 |
| | Computer Programs & Systems Inc. | 548 | 16 |
| * | R1 RCM Inc. | 4,901 | 16 |
| * | Concert Pharmaceuticals Inc. | 1,051 | 16 |
| * | Accuray Inc. | 3,840 | 16 |
| * | Abeona Therapeutics Inc. | 1,206 | 16 |
| * | RTI Surgical Inc. | 3,451 | 16 |
| * | Depomed Inc. | 2,554 | 16 |
| * | Exactech Inc. | 505 | 15 |
| * | Surmodics Inc. | 593 | 15 |
| * | Geron Corp. | 7,024 | 15 |
| * | Audentes Therapeutics Inc. | 726 | 15 |
| * | Tactile Systems Technology Inc. | 455 | 15 |
| *,^ | Rockwell Medical Inc. | 2,346 | 15 |
| * | Capital Senior Living Corp. | 1,181 | 15 |
| | National Research Corp. Class A | 443 | 14 |
| * | Intellia Therapeutics Inc. | 680 | 14 |
| * | Zogenix Inc. | 1,186 | 14 |
| | Utah Medical Products Inc. | 193 | 14 |
| * | Reata Pharmaceuticals Inc. Class A | 458 | 14 |
| * | Civitas Solutions Inc. | 720 | 14 |
| * | Celldex Therapeutics Inc. | 5,502 | 14 |
| *,^ | Cerus Corp. | 5,734 | 13 |
| * | Seres Therapeutics Inc. | 957 | 13 |
| * | WaVe Life Sciences Ltd. | 565 | 13 |
| * | Teligent Inc. | 1,909 | 13 |
| * | Castlight Health Inc. Class B | 3,285 | 13 |
| * | Tetraphase Pharmaceuticals Inc. | 1,827 | 13 |
| * | Sucampo Pharmaceuticals Inc. Class A | 1,075 | 13 |
| * | Idera Pharmaceuticals Inc. | 6,370 | 13 |
| * | NanoString Technologies Inc. | 813 | 13 |
| * | Bellicum Pharmaceuticals Inc. | 1,143 | 12 |
| * | Addus HomeCare Corp. | 356 | 12 |
| * | Advaxis Inc. | 1,775 | 12 |
| * | Syros Pharmaceuticals Inc. | 616 | 12 |
| * | Organovo Holdings Inc. | 5,739 | 12 |
| * | Medpace Holdings Inc. | 357 | 12 |
| * | Tabula Rasa HealthCare Inc. | 511 | 12 |
| * | Curis Inc. | 5,571 | 11 |
| * | Paratek Pharmaceuticals Inc. | 400 | 11 |
| * | Codexis Inc. | 2,014 | 11 |
| * | Aratana Therapeutics Inc. | 1,951 | 11 |
| * | Collegium Pharmaceutical Inc. | 1,099 | 11 |
| * | Insys Therapeutics Inc. | 1,142 | 10 |
28
| | | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Durect Corp. | 6,522 | 10 |
| * | Stemline Therapeutics Inc. | 1,136 | 10 |
| * | BioTime Inc. | 3,497 | 10 |
| * | Entellus Medical Inc. | 574 | 10 |
| * | Selecta Biosciences Inc. | 565 | 10 |
| * | Ra Pharmaceuticals Inc. | 670 | 10 |
| * | NewLink Genetics Corp. | 1,223 | 10 |
| * | ChemoCentryx Inc. | 1,391 | 10 |
| * | Veracyte Inc. | 1,177 | 10 |
| * | Pieris Pharmaceuticals Inc. | 1,739 | 10 |
| * | Ardelyx Inc. | 1,842 | 9 |
| * | Pulse Biosciences Inc. | 456 | 9 |
| * | NantKwest Inc. | 1,461 | 9 |
| * | Surgery Partners Inc. | 923 | 9 |
| | Merrimack Pharmaceuticals Inc. | 6,460 | 9 |
| * | Protagonist Therapeutics Inc. | 532 | 9 |
| * | Corium International Inc. | 985 | 8 |
| * | Fortress Biotech Inc. | 1,698 | 8 |
| * | Kindred Biosciences Inc. | 1,054 | 8 |
| * | Neos Therapeutics Inc. | 936 | 8 |
| *,^ | ViewRay Inc. | 1,474 | 8 |
| * | Anavex Life Sciences Corp. | 1,739 | 8 |
| * | Conatus Pharmaceuticals Inc. | 1,342 | 8 |
| * | FONAR Corp. | 260 | 8 |
| * | Sientra Inc. | 650 | 7 |
| * | Cempra Inc. | 2,380 | 7 |
| * | Minerva Neurosciences Inc. | 1,177 | 7 |
| * | Clearside Biomedical Inc. | 998 | 7 |
| * | Ocular Therapeutix Inc. | 1,103 | 7 |
| *,^ | Nymox Pharmaceutical Corp. | 1,458 | 5 |
| * | Kura Oncology Inc. | 744 | 5 |
| * | Otonomy Inc. | 1,481 | 5 |
| * | Syndax Pharmaceuticals Inc. | 441 | 5 |
| * | Quotient Ltd. | 1,294 | 5 |
| * | Miragen Therapeutics Inc. | 432 | 4 |
| * | Obalon Therapeutics Inc. | 396 | 4 |
| *,^ | Zynerba Pharmaceuticals Inc. | 551 | 3 |
| * | Invitae Corp. | 331 | 3 |
| * | American Renal Associates Holdings Inc. | 71 | 1 |
| * | Flex Pharma Inc. | 29 | — |
| * | Asterias Biotherapeutics Inc. Warrants Exp. 09/29/2017 | 70 | — |
| | | | 153,354 |
| Materials & Processing (3.9%) | | |
| | Dow Chemical Co. | 51,953 | 3,463 |
| | EI du Pont de Nemours & Co. | 37,070 | 3,111 |
| | Monsanto Co. | 19,038 | 2,231 |
| | Praxair Inc. | 12,119 | 1,594 |
| | Ecolab Inc. | 10,972 | 1,463 |
| | Air Products & Chemicals Inc. | 9,131 | 1,327 |
| | LyondellBasell Industries NV Class A | 14,283 | 1,294 |
| | Sherwin-Williams Co. | 3,471 | 1,178 |
| | PPG Industries Inc. | 10,793 | 1,126 |
| | International Paper Co. | 17,222 | 928 |
| | Ingersoll-Rand plc | 10,860 | 927 |
| | Newmont Mining Corp. | 23,182 | 889 |
| * | Freeport-McMoRan Inc. | 58,034 | 858 |
| | Nucor Corp. | 13,668 | 753 |
| | Vulcan Materials Co. | 5,693 | 690 |
| | Ball Corp. | 15,055 | 602 |
| | Celanese Corp. Class A | 6,113 | 593 |
| | Martin Marietta Materials Inc. | 2,758 | 585 |
| | WestRock Co. | 10,180 | 579 |
| | Albemarle Corp. | 4,829 | 561 |
| | Masco Corp. | 14,158 | 521 |
29
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Eastman Chemical Co. | 5,872 | 506 |
| FMC Corp. | 5,867 | 506 |
| Fastenal Co. | 11,781 | 503 |
| International Flavors & Fragrances Inc. | 3,480 | 476 |
| Packaging Corp. of America | 4,124 | 464 |
| Chemours Co. | 8,113 | 398 |
| Sealed Air Corp. | 8,571 | 380 |
| Steel Dynamics Inc. | 10,315 | 355 |
| Owens Corning | 4,661 | 346 |
| * Crown Holdings Inc. | 5,813 | 343 |
| Acuity Brands Inc. | 1,883 | 333 |
| * Alcoa Corp. | 7,583 | 333 |
| Mosaic Co. | 15,377 | 307 |
| CF Industries Holdings Inc. | 10,305 | 299 |
| * Berry Global Group Inc. | 5,214 | 293 |
| RPM International Inc. | 5,717 | 280 |
| * Axalta Coating Systems Ltd. | 9,232 | 273 |
| Royal Gold Inc. | 2,861 | 267 |
| Lennox International Inc. | 1,471 | 244 |
| Olin Corp. | 7,240 | 233 |
| Huntsman Corp. | 8,593 | 228 |
| Reliance Steel & Aluminum Co. | 3,041 | 220 |
| WR Grace & Co. | 3,068 | 219 |
| Hexcel Corp. | 4,035 | 217 |
| AptarGroup Inc. | 2,463 | 206 |
| United States Steel Corp. | 7,696 | 205 |
| Sonoco Products Co. | 4,109 | 198 |
| Eagle Materials Inc. | 2,019 | 196 |
| Scotts Miracle-Gro Co. | 1,973 | 189 |
| Watsco Inc. | 1,223 | 180 |
| Graphic Packaging Holding Co. | 13,762 | 180 |
| * Owens-Illinois Inc. | 7,235 | 178 |
| Bemis Co. Inc. | 4,042 | 172 |
| Ashland Global Holdings Inc. | 2,738 | 170 |
| Versum Materials Inc. | 4,581 | 169 |
| * Louisiana-Pacific Corp. | 6,123 | 156 |
| Southern Copper Corp. | 3,573 | 145 |
| Belden Inc. | 1,870 | 144 |
| Valmont Industries Inc. | 987 | 142 |
| Cabot Corp. | 2,626 | 138 |
| * Univar Inc. | 4,885 | 138 |
| Timken Co. | 3,037 | 136 |
| Sensient Technologies Corp. | 1,883 | 136 |
| PolyOne Corp. | 3,613 | 131 |
| Trinseo SA | 1,934 | 129 |
| * Summit Materials Inc. Class A | 4,287 | 127 |
| NewMarket Corp. | 302 | 126 |
| * Beacon Roofing Supply Inc. | 2,663 | 125 |
| Westlake Chemical Corp. | 1,586 | 122 |
| * Ingevity Corp. | 1,877 | 118 |
| * USG Corp. | 3,908 | 117 |
| HB Fuller Co. | 2,248 | 113 |
| * Platform Specialty Products Corp. | 9,603 | 112 |
| Domtar Corp. | 2,648 | 107 |
| * Cleveland-Cliffs Inc. | 12,540 | 105 |
| * RBC Bearings Inc. | 945 | 104 |
| Worthington Industries Inc. | 2,028 | 101 |
| * Rexnord Corp. | 4,240 | 101 |
| * Allegheny Technologies Inc. | 4,839 | 101 |
| Balchem Corp. | 1,328 | 100 |
| * Armstrong World Industries Inc. | 2,065 | 98 |
| US Silica Holdings Inc. | 3,579 | 97 |
| Minerals Technologies Inc. | 1,515 | 97 |
| Compass Minerals International Inc. | 1,441 | 96 |
30
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Silgan Holdings Inc. | 3,123 | 94 |
| * Trex Co. Inc. | 1,215 | 92 |
| * GCP Applied Technologies Inc. | 3,237 | 91 |
| Hecla Mining Co. | 17,104 | 90 |
| Commercial Metals Co. | 4,713 | 89 |
| KapStone Paper and Packaging Corp. | 3,892 | 87 |
| Carpenter Technology Corp. | 2,135 | 87 |
| * Masonite International Corp. | 1,367 | 87 |
| * Ferro Corp. | 3,865 | 74 |
| Simpson Manufacturing Co. Inc. | 1,695 | 74 |
| Kaiser Aluminum Corp. | 769 | 74 |
| Cabot Microelectronics Corp. | 1,017 | 73 |
| Mueller Industries Inc. | 2,403 | 72 |
| Universal Forest Products Inc. | 814 | 71 |
| * AK Steel Holding Corp. | 12,474 | 70 |
| * Coeur Mining Inc. | 7,924 | 69 |
| Quaker Chemical Corp. | 497 | 69 |
| Stepan Co. | 888 | 69 |
| Tronox Ltd. Class A | 3,159 | 65 |
| Tahoe Resources Inc. | 13,429 | 64 |
| * MRC Global Inc. | 3,989 | 63 |
| * Boise Cascade Co. | 2,005 | 60 |
| * Installed Building Products Inc. | 1,010 | 58 |
| * US Concrete Inc. | 707 | 57 |
| Interface Inc. Class A | 2,950 | 56 |
| * BMC Stock Holdings Inc. | 2,743 | 56 |
| Comfort Systems USA Inc. | 1,631 | 56 |
| Apogee Enterprises Inc. | 1,206 | 53 |
| Neenah Paper Inc. | 682 | 53 |
| Innospec Inc. | 941 | 52 |
| Schweitzer-Mauduit International Inc. | 1,360 | 52 |
| Mueller Water Products Inc. Class A | 4,073 | 49 |
| * AdvanSix Inc. | 1,500 | 48 |
| * Patrick Industries Inc. | 641 | 47 |
| * Builders FirstSource Inc. | 2,906 | 47 |
| * Century Aluminum Co. | 2,393 | 47 |
| * Kraton Corp. | 1,334 | 44 |
| * Continental Building Products Inc. | 1,701 | 41 |
| * Gibraltar Industries Inc. | 1,416 | 41 |
| Innophos Holdings Inc. | 880 | 40 |
| * Koppers Holdings Inc. | 1,019 | 40 |
| Schnitzer Steel Industries Inc. | 1,443 | 39 |
| * JELD-WEN Holding Inc. | 1,260 | 38 |
| Deltic Timber Corp. | 490 | 38 |
| Chase Corp. | 401 | 38 |
| NN Inc. | 1,439 | 37 |
| * PGT Innovations Inc. | 2,716 | 36 |
| Global Brass & Copper Holdings Inc. | 1,175 | 35 |
| * Clearwater Paper Corp. | 748 | 35 |
| PH Glatfelter Co. | 1,961 | 34 |
| A Schulman Inc. | 1,117 | 34 |
| Materion Corp. | 872 | 33 |
| Greif Inc. Class A | 545 | 33 |
| Quanex Building Products Corp. | 1,669 | 33 |
| * GMS Inc. | 1,006 | 32 |
| * TimkenSteel Corp. | 2,083 | 31 |
| Rayonier Advanced Materials Inc. | 2,192 | 30 |
| Advanced Drainage Systems Inc. | 1,522 | 30 |
| * Caesarstone Ltd. | 1,004 | 29 |
| * Klondex Mines Ltd. | 8,625 | 29 |
| * NCI Building Systems Inc. | 1,671 | 28 |
| * Unifi Inc. | 867 | 27 |
| American Vanguard Corp. | 1,302 | 26 |
| Griffon Corp. | 1,346 | 25 |
31
| | | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Insteel Industries Inc. | 986 | 25 |
| | Calgon Carbon Corp. | 1,909 | 23 |
| | Kronos Worldwide Inc. | 1,086 | 23 |
| | KMG Chemicals Inc. | 444 | 21 |
| * | Armstrong Flooring Inc. | 1,340 | 20 |
| | Myers Industries Inc. | 973 | 18 |
| | Tredegar Corp. | 1,085 | 18 |
| * | Intrepid Potash Inc. | 4,576 | 17 |
| | Haynes International Inc. | 543 | 17 |
| * | Ply Gem Holdings Inc. | 1,058 | 16 |
| * | OMNOVA Solutions Inc. | 1,879 | 16 |
| * | Landec Corp. | 1,164 | 15 |
| | AAON Inc. | 464 | 15 |
| * | Veritiv Corp. | 533 | 15 |
| | Ardagh Group SA | 712 | 15 |
| | FutureFuel Corp. | 1,014 | 14 |
| | Greif Inc. Class B | 216 | 14 |
| | Aceto Corp. | 1,216 | 13 |
| | Culp Inc. | 382 | 11 |
| | Gold Resource Corp. | 2,491 | 10 |
| * | Uranium Energy Corp. | 6,859 | 9 |
| | DMC Global Inc. | 669 | 9 |
| * | UFP Technologies Inc. | 307 | 8 |
| | Omega Flex Inc. | 136 | 8 |
| * | Verso Corp. | 1,451 | 8 |
| * | AgroFresh Solutions Inc. | 1,083 | 8 |
| | LB Foster Co. Class A | 401 | 8 |
| * | Nexeo Solutions Inc. | 1,056 | 8 |
| | Eastern Co. | 262 | 7 |
| | Core Molding Technologies Inc. | 331 | 7 |
| | LSI Industries Inc. | 1,184 | 7 |
| * | Northwest Pipe Co. | 365 | 7 |
| * | Lawson Products Inc. | 277 | 7 |
| | Ampco-Pittsburgh Corp. | 406 | 6 |
| * | LSB Industries Inc. | 1,010 | 6 |
| * | Huttig Building Products Inc. | 1,047 | 6 |
| * | Handy & Harman Ltd. | 155 | 5 |
| * | Forterra Inc. | 999 | 3 |
| *,2 | Ferroglobe R&W Trust | 4,465 | — |
| | | | 42,635 |
| Other (0.0%)3 | | |
| *,2 | Dyax Corp CVR Exp. 12/31/2019 | 6,727 | 14 |
| * | Safety Income and Growth Inc. | 286 | 6 |
| * | Venator Materials plc | 200 | 4 |
| * | Akcea Therapeutics Inc. | 200 | 4 |
| * | Byline Bancorp Inc. | 100 | 2 |
| * | G1 Therapeutics Inc. | 100 | 2 |
| * | Mersana Therapeutics Inc. | 83 | 1 |
| *,2 | Tobira Therapeutics CVR Exp. 12/31/2028 | 277 | 1 |
| * | Tintri Inc. | 200 | 1 |
| | Fairfax Financial Holdings Ltd. | 2 | 1 |
| *,2 | Chelsea Therapeutics International Ltd. CVR | 2,322 | — |
| *,2 | Media General Inc. CVR | 5,133 | — |
| *,2 | Omthera Pharmaceuticals Inc. CVR | 152 | — |
| *,2 | Gerber Scientific Inc. CVR | 223 | — |
| *,2 | Durata Therapeutics Inc CVR Exp. 12/31/2018 | 12 | — |
| *,2 | Clinical Data CVR | 32 | — |
| | | | 36 |
| Producer Durables (10.8%) | | |
| | General Electric Co. | 372,945 | 9,156 |
| | Boeing Co. | 24,366 | 5,840 |
| | 3M Co. | 25,211 | 5,151 |
| | Honeywell International Inc. | 32,699 | 4,521 |
| | United Technologies Corp. | 32,376 | 3,876 |
32
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Union Pacific Corp. | 34,842 | 3,669 |
| Accenture plc Class A | 26,678 | 3,488 |
| United Parcel Service Inc. Class B | 29,905 | 3,420 |
| Lockheed Martin Corp. | 10,806 | 3,300 |
| Caterpillar Inc. | 24,473 | 2,875 |
| Raytheon Co. | 12,478 | 2,271 |
| FedEx Corp. | 10,539 | 2,259 |
| General Dynamics Corp. | 11,037 | 2,222 |
| Automatic Data Processing Inc. | 19,165 | 2,040 |
| CSX Corp. | 37,555 | 1,885 |
| Northrop Grumman Corp. | 6,854 | 1,866 |
| Illinois Tool Works Inc. | 13,099 | 1,801 |
| Emerson Electric Co. | 27,817 | 1,642 |
| Johnson Controls International plc | 40,154 | 1,590 |
| Deere & Co. | 13,618 | 1,579 |
| Norfolk Southern Corp. | 12,478 | 1,504 |
| Waste Management Inc. | 18,310 | 1,412 |
| Delta Air Lines Inc. | 29,004 | 1,369 |
| Eaton Corp. plc | 19,014 | 1,364 |
| Southwest Airlines Co. | 23,527 | 1,227 |
| Cummins Inc. | 6,564 | 1,046 |
| Roper Technologies Inc. | 4,321 | 997 |
| PACCAR Inc. | 14,058 | 932 |
| Rockwell Collins Inc. | 7,054 | 924 |
| Stanley Black & Decker Inc. | 6,360 | 916 |
| Rockwell Automation Inc. | 5,539 | 909 |
| Fortive Corp. | 13,385 | 870 |
| Parker-Hannifin Corp. | 5,352 | 861 |
| American Airlines Group Inc. | 19,000 | 850 |
| Paychex Inc. | 13,626 | 777 |
| * United Continental Holdings Inc. | 12,033 | 746 |
| * Mettler-Toledo International Inc. | 1,105 | 669 |
| Republic Services Inc. Class A | 9,667 | 631 |
| L3 Technologies Inc. | 3,385 | 614 |
| AMETEK Inc. | 9,606 | 608 |
| * Waters Corp. | 3,275 | 601 |
| Textron Inc. | 11,534 | 566 |
| Dover Corp. | 6,381 | 542 |
| * Verisk Analytics Inc. Class A | 6,599 | 535 |
| TransDigm Group Inc. | 2,035 | 530 |
| Cintas Corp. | 3,704 | 500 |
| Xylem Inc. | 7,890 | 490 |
| Kansas City Southern | 4,448 | 460 |
| Pentair plc | 7,191 | 446 |
| Expeditors International of Washington Inc. | 7,903 | 443 |
| * United Rentals Inc. | 3,671 | 433 |
| CH Robinson Worldwide Inc. | 6,129 | 433 |
| * Trimble Inc. | 11,094 | 429 |
| Arconic Inc. | 16,835 | 429 |
| Huntington Ingalls Industries Inc. | 2,001 | 428 |
| * CoStar Group Inc. | 1,380 | 396 |
| IDEX Corp. | 3,332 | 392 |
| Spirit AeroSystems Holdings Inc. Class A | 5,222 | 389 |
| Alaska Air Group Inc. | 5,161 | 385 |
| WW Grainger Inc. | 2,308 | 375 |
| Avery Dennison Corp. | 3,898 | 367 |
| Snap-on Inc. | 2,475 | 365 |
| AO Smith Corp. | 6,442 | 359 |
| JB Hunt Transport Services Inc. | 3,621 | 358 |
| Allegion plc | 4,262 | 335 |
| * Keysight Technologies Inc. | 8,176 | 334 |
| ManpowerGroup Inc. | 2,938 | 328 |
| Xerox Corp. | 9,949 | 321 |
| * Sensata Technologies Holding NV | 6,795 | 303 |
33
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * Middleby Corp. | 2,468 | 300 |
| * XPO Logistics Inc. | 4,856 | 297 |
| * HD Supply Holdings Inc. | 8,859 | 295 |
| Jacobs Engineering Group Inc. | 5,259 | 287 |
| * Copart Inc. | 8,747 | 286 |
| Toro Co. | 4,625 | 285 |
| Graco Inc. | 2,462 | 284 |
| * JetBlue Airways Corp. | 14,202 | 281 |
| Old Dominion Freight Line Inc. | 2,754 | 275 |
| Hubbell Inc. Class B | 2,371 | 267 |
| Wabtec Corp. | 3,767 | 266 |
| Nordson Corp. | 2,404 | 263 |
| Donaldson Co. Inc. | 5,412 | 256 |
| * Stericycle Inc. | 3,552 | 255 |
| Carlisle Cos. Inc. | 2,691 | 255 |
| Robert Half International Inc. | 5,511 | 250 |
| Macquarie Infrastructure Corp. | 3,321 | 247 |
| Orbital ATK Inc. | 2,158 | 241 |
| Oshkosh Corp. | 3,155 | 235 |
| Fluor Corp. | 5,953 | 230 |
| * Quanta Services Inc. | 6,386 | 229 |
| BWX Technologies Inc. | 4,189 | 229 |
| * AECOM | 6,763 | 227 |
| FLIR Systems Inc. | 5,946 | 226 |
| Flowserve Corp. | 5,672 | 223 |
| * Teledyne Technologies Inc. | 1,438 | 216 |
| Booz Allen Hamilton Holding Corp. Class A | 6,233 | 213 |
| AGCO Corp. | 2,985 | 204 |
| * Zebra Technologies Corp. | 1,923 | 198 |
| Rollins Inc. | 4,308 | 191 |
| Trinity Industries Inc. | 6,540 | 189 |
| Lincoln Electric Holdings Inc. | 2,125 | 185 |
| Curtiss-Wright Corp. | 1,903 | 184 |
| * Genesee & Wyoming Inc. Class A | 2,687 | 184 |
| Littelfuse Inc. | 987 | 184 |
| Ryder System Inc. | 2,335 | 181 |
| Landstar System Inc. | 1,921 | 179 |
| Air Lease Corp. Class A | 4,315 | 175 |
| MAXIMUS Inc. | 2,877 | 175 |
| Genpact Ltd. | 6,051 | 172 |
| Copa Holdings SA Class A | 1,384 | 172 |
| Allison Transmission Holdings Inc. | 4,674 | 162 |
| * Colfax Corp. | 4,024 | 160 |
| Woodward Inc. | 2,230 | 157 |
| Terex Corp. | 3,993 | 154 |
| Brink's Co. | 1,951 | 153 |
| Healthcare Services Group Inc. | 2,987 | 153 |
| ITT Inc. | 3,724 | 150 |
| Deluxe Corp. | 2,157 | 150 |
| Regal Beloit Corp. | 1,888 | 142 |
| * Kirby Corp. | 2,254 | 141 |
| Barnes Group Inc. | 2,215 | 138 |
| National Instruments Corp. | 3,418 | 138 |
| John Bean Technologies Corp. | 1,459 | 129 |
| * Darling Ingredients Inc. | 7,224 | 126 |
| MSC Industrial Direct Co. Inc. Class A | 1,816 | 125 |
| EnerSys | 1,933 | 124 |
| Kennametal Inc. | 3,506 | 123 |
| * Clean Harbors Inc. | 2,266 | 123 |
| EMCOR Group Inc. | 1,767 | 117 |
| Knight Transportation Inc. | 2,971 | 116 |
| * MasTec Inc. | 2,834 | 116 |
| * Conduent Inc. | 6,862 | 113 |
| Crane Co. | 1,500 | 111 |
34
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * KLX Inc. | 2,303 | 110 |
| * Generac Holdings Inc. | 2,733 | 110 |
| * Itron Inc. | 1,486 | 108 |
| * WESCO International Inc. | 2,137 | 108 |
| Pitney Bowes Inc. | 8,384 | 108 |
| * Welbilt Inc. | 5,378 | 107 |
| * Moog Inc. Class A | 1,393 | 107 |
| GATX Corp. | 1,762 | 107 |
| * On Assignment Inc. | 2,234 | 107 |
| * Dycom Industries Inc. | 1,304 | 105 |
| Tetra Tech Inc. | 2,453 | 104 |
| KBR Inc. | 6,422 | 104 |
| * Spirit Airlines Inc. | 3,068 | 104 |
| HEICO Corp. Class A | 1,430 | 104 |
| ABM Industries Inc. | 2,317 | 103 |
| HEICO Corp. | 1,196 | 103 |
| * Esterline Technologies Corp. | 1,193 | 102 |
| MSA Safety Inc. | 1,386 | 101 |
| * Advisory Board Co. | 1,840 | 98 |
| * Hawaiian Holdings Inc. | 2,258 | 97 |
| * TopBuild Corp. | 1,618 | 96 |
| Granite Construction Inc. | 1,734 | 96 |
| UniFirst Corp. | 656 | 94 |
| Hillenbrand Inc. | 2,604 | 93 |
| Herman Miller Inc. | 2,715 | 91 |
| * WageWorks Inc. | 1,535 | 90 |
| Applied Industrial Technologies Inc. | 1,546 | 88 |
| Convergys Corp. | 3,740 | 88 |
| * Advanced Energy Industries Inc. | 1,190 | 88 |
| * Swift Transportation Co. | 3,109 | 87 |
| * Aerojet Rocketdyne Holdings Inc. | 2,794 | 83 |
| * ExlService Holdings Inc. | 1,437 | 81 |
| Franklin Electric Co. Inc. | 2,087 | 80 |
| Exponent Inc. | 1,179 | 80 |
| * Proto Labs Inc. | 1,095 | 79 |
| Korn/Ferry International | 2,336 | 78 |
| Triton International Ltd. | 2,090 | 77 |
| * Navistar International Corp. | 2,201 | 75 |
| Watts Water Technologies Inc. Class A | 1,209 | 75 |
| SkyWest Inc. | 2,137 | 74 |
| HNI Corp. | 2,017 | 74 |
| * Electronics For Imaging Inc. | 2,043 | 73 |
| Covanta Holding Corp. | 5,047 | 72 |
| Allegiant Travel Co. Class A | 604 | 71 |
| Forward Air Corp. | 1,356 | 70 |
| * Saia Inc. | 1,215 | 69 |
| ESCO Technologies Inc. | 1,252 | 68 |
| * Atlas Air Worldwide Holdings Inc. | 1,019 | 68 |
| EnPro Industries Inc. | 954 | 67 |
| * OSI Systems Inc. | 802 | 67 |
| Brady Corp. Class A | 1,992 | 66 |
| Actuant Corp. Class A | 2,739 | 66 |
| * Harsco Corp. | 3,839 | 66 |
| Albany International Corp. | 1,212 | 65 |
| * FTI Consulting Inc. | 1,834 | 62 |
| * TriNet Group Inc. | 1,740 | 62 |
| Werner Enterprises Inc. | 1,828 | 60 |
| Altra Industrial Motion Corp. | 1,294 | 60 |
| Mobile Mini Inc. | 1,904 | 58 |
| Badger Meter Inc. | 1,250 | 57 |
| AZZ Inc. | 1,168 | 57 |
| Triumph Group Inc. | 2,158 | 57 |
| Insperity Inc. | 701 | 56 |
| * Hub Group Inc. Class A | 1,462 | 56 |
35
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * Rush Enterprises Inc. Class A | 1,371 | 56 |
| * SPX FLOW Inc. | 1,675 | 56 |
| Multi-Color Corp. | 698 | 56 |
| Wabash National Corp. | 2,645 | 56 |
| AAR Corp. | 1,517 | 55 |
| * Manitowoc Co. Inc. | 6,640 | 55 |
| ^ Chicago Bridge & Iron Co. NV | 4,419 | 55 |
| Standex International Corp. | 564 | 54 |
| Federal Signal Corp. | 2,842 | 53 |
| * Air Transport Services Group Inc. | 2,305 | 53 |
| Kaman Corp. | 1,079 | 53 |
| Sun Hydraulics Corp. | 1,102 | 53 |
| Matson Inc. | 1,964 | 51 |
| * Axon Enterprise Inc. | 2,319 | 50 |
| * Paylocity Holding Corp. | 1,021 | 50 |
| * ACCO Brands Corp. | 4,572 | 50 |
| Cubic Corp. | 1,159 | 50 |
| US Ecology Inc. | 958 | 49 |
| * Sykes Enterprises Inc. | 1,837 | 49 |
| Tennant Co. | 803 | 49 |
| McGrath RentCorp | 1,212 | 49 |
| * SPX Corp. | 2,013 | 49 |
| Steelcase Inc. Class A | 3,610 | 48 |
| Raven Industries Inc. | 1,692 | 47 |
| Heartland Express Inc. | 2,104 | 47 |
| * Kratos Defense & Security Solutions Inc. | 3,466 | 46 |
| Primoris Services Corp. | 1,618 | 46 |
| * Chart Industries Inc. | 1,366 | 46 |
| Aircastle Ltd. | 2,042 | 46 |
| * Tutor Perini Corp. | 1,739 | 45 |
| Alamo Group Inc. | 495 | 45 |
| Greenbrier Cos. Inc. | 1,054 | 45 |
| * Gardner Denver Holdings Inc. | 1,920 | 45 |
| * Herc Holdings Inc. | 1,068 | 45 |
| Astec Industries Inc. | 873 | 43 |
| Lindsay Corp. | 490 | 42 |
| * Aerovironment Inc. | 849 | 42 |
| Argan Inc. | 655 | 41 |
| Briggs & Stratton Corp. | 1,960 | 41 |
| General Cable Corp. | 2,406 | 41 |
| Encore Wire Corp. | 949 | 41 |
| Knoll Inc. | 2,190 | 40 |
| * PHH Corp. | 2,770 | 39 |
| * ICF International Inc. | 816 | 39 |
| * Lydall Inc. | 819 | 38 |
| ArcBest Corp. | 1,273 | 38 |
| MTS Systems Corp. | 780 | 38 |
| Hyster-Yale Materials Handling Inc. | 525 | 37 |
| GasLog Ltd. | 2,194 | 37 |
| Kadant Inc. | 424 | 37 |
| Marten Transport Ltd. | 2,145 | 37 |
| * TrueBlue Inc. | 1,777 | 36 |
| * SP Plus Corp. | 976 | 36 |
| ^ Ship Finance International Ltd. | 2,683 | 35 |
| Columbus McKinnon Corp. | 1,056 | 35 |
| * Navigant Consulting Inc. | 2,253 | 35 |
| * Aegion Corp. Class A | 1,561 | 34 |
| Douglas Dynamics Inc. | 958 | 33 |
| H&E Equipment Services Inc. | 1,415 | 33 |
| * Casella Waste Systems Inc. Class A | 1,951 | 33 |
| Scorpio Tankers Inc. | 7,990 | 33 |
| * CBIZ Inc. | 2,102 | 32 |
| CIRCOR International Inc. | 663 | 32 |
| * Modine Manufacturing Co. | 1,967 | 32 |
36
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * Milacron Holdings Corp. | 1,991 | 32 |
| * FARO Technologies Inc. | 900 | 31 |
| Quad/Graphics Inc. | 1,581 | 30 |
| Kelly Services Inc. Class A | 1,378 | 30 |
| * CSW Industrials Inc. | 688 | 29 |
| * Control4 Corp. | 1,155 | 29 |
| * RPX Corp. | 2,175 | 28 |
| Kimball International Inc. Class B | 1,634 | 28 |
| TeleTech Holdings Inc. | 697 | 28 |
| * Huron Consulting Group Inc. | 880 | 27 |
| RR Donnelley & Sons Co. | 2,814 | 26 |
| * International Seaways Inc. | 1,395 | 26 |
| * Thermon Group Holdings Inc. | 1,542 | 25 |
| LSC Communications Inc. | 1,573 | 25 |
| * SEACOR Holdings Inc. | 660 | 25 |
| * Atkore International Group Inc. | 1,493 | 25 |
| Kforce Inc. | 1,349 | 24 |
| VSE Corp. | 464 | 24 |
| * Engility Holdings Inc. | 778 | 24 |
| Gorman-Rupp Co. | 793 | 24 |
| Essendant Inc. | 2,014 | 24 |
| * Astronics Corp. | 870 | 23 |
| * Advanced Disposal Services Inc. | 947 | 23 |
| * Textainer Group Holdings Ltd. | 1,260 | 22 |
| * DXP Enterprises Inc. | 803 | 22 |
| Nordic American Tankers Ltd. | 4,539 | 22 |
| * Wesco Aircraft Holdings Inc. | 2,561 | 21 |
| * Vicor Corp. | 1,065 | 21 |
| Titan International Inc. | 2,357 | 20 |
| * YRC Worldwide Inc. | 1,491 | 20 |
| * Echo Global Logistics Inc. | 1,313 | 20 |
| Resources Connection Inc. | 1,556 | 20 |
| Heidrick & Struggles International Inc. | 1,085 | 20 |
| Mesa Laboratories Inc. | 143 | 20 |
| Ennis Inc. | 981 | 19 |
| * NV5 Global Inc. | 387 | 19 |
| ^ Frontline Ltd. | 3,761 | 18 |
| Forrester Research Inc. | 447 | 18 |
| DHT Holdings Inc. | 4,570 | 17 |
| NACCO Industries Inc. Class A | 220 | 16 |
| REV Group Inc. | 632 | 16 |
| Barrett Business Services Inc. | 308 | 16 |
| * Team Inc. | 1,280 | 16 |
| * Hudson Technologies Inc. | 1,771 | 16 |
| * GP Strategies Corp. | 548 | 16 |
| * Covenant Transportation Group Inc. Class A | 640 | 15 |
| American Railcar Industries Inc. | 425 | 15 |
| Park-Ohio Holdings Corp. | 382 | 15 |
| * Vectrus Inc. | 527 | 15 |
| * Ardmore Shipping Corp. | 1,859 | 15 |
| Spartan Motors Inc. | 1,625 | 15 |
| Miller Industries Inc. | 584 | 15 |
| * Sterling Construction Co. Inc. | 1,217 | 14 |
| CRA International Inc. | 380 | 14 |
| Hackett Group Inc. | 1,044 | 14 |
| * Ducommun Inc. | 499 | 14 |
| * ServiceSource International Inc. | 3,785 | 13 |
| Supreme Industries Inc. Class A | 633 | 13 |
| * Mistras Group Inc. | 664 | 13 |
| Bristow Group Inc. | 1,522 | 13 |
| * MYR Group Inc. | 476 | 12 |
| * Heritage-Crystal Clean Inc. | 628 | 12 |
| * Willdan Group Inc. | 374 | 12 |
| * Gener8 Maritime Inc. | 2,571 | 12 |
37
| | | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Powell Industries Inc. | 401 | 11 |
| * | TriMas Corp. | 458 | 11 |
| | Teekay Tankers Ltd. Class A | 7,689 | 11 |
| * | Energy Recovery Inc. | 1,662 | 11 |
| | Graham Corp. | 537 | 11 |
| | Hurco Cos. Inc. | 306 | 11 |
| | FreightCar America Inc. | 583 | 11 |
| * | Titan Machinery Inc. | 818 | 11 |
| | CECO Environmental Corp. | 1,327 | 10 |
| * | Great Lakes Dredge & Dock Corp. | 2,437 | 10 |
| | Costamare Inc. | 1,568 | 10 |
| | Advanced Emissions Solutions Inc. | 933 | 10 |
| * | HC2 Holdings Inc. | 2,122 | 10 |
| * | Liquidity Services Inc. | 1,689 | 10 |
| * | Daseke Inc. | 725 | 9 |
| * | Layne Christensen Co. | 858 | 9 |
| * | Roadrunner Transportation Systems Inc. | 1,172 | 9 |
| * | Radiant Logistics Inc. | 1,707 | 9 |
| * | Orion Group Holdings Inc. | 1,426 | 9 |
| * | Maxwell Technologies Inc. | 1,487 | 8 |
| * | Eagle Bulk Shipping Inc. | 1,821 | 8 |
| * | Hill International Inc. | 1,657 | 8 |
| * | Dorian LPG Ltd. | 1,112 | 8 |
| | Hardinge Inc. | 551 | 8 |
| | Schneider National Inc. Class B | 333 | 7 |
| | Allied Motion Technologies Inc. | 292 | 7 |
| | Preformed Line Products Co. | 136 | 7 |
| * | Commercial Vehicle Group Inc. | 1,175 | 7 |
| * | Twin Disc Inc. | 381 | 7 |
| * | IES Holdings Inc. | 373 | 6 |
| * | Navios Maritime Holdings Inc. | 3,989 | 6 |
| | EnviroStar Inc. | 183 | 6 |
| * | StarTek Inc. | 506 | 6 |
| * | Ascent Capital Group Inc. Class A | 594 | 6 |
| * | Blue Bird Corp. | 321 | 6 |
| * | Gencor Industries Inc. | 370 | 6 |
| * | Babcock & Wilcox Enterprises Inc. | 2,437 | 5 |
| * | Information Services Group Inc. | 1,467 | 5 |
| * | Genco Shipping & Trading Ltd. | 354 | 5 |
| * | Overseas Shipholding Group Inc. Class A | 2,128 | 5 |
| * | Willis Lease Finance Corp. | 197 | 5 |
| | Navios Maritime Acquisition Corp. | 3,523 | 4 |
| *,^ | ExOne Co. | 518 | 4 |
| | BG Staffing Inc. | 245 | 4 |
| * | Napco Security Technologies Inc. | 462 | 4 |
| | | | 118,347 |
| Technology (19.2%) | | |
| | Apple Inc. | 224,210 | 36,770 |
| | Microsoft Corp. | 322,449 | 24,110 |
| * | Facebook Inc. Class A | 100,191 | 17,230 |
| * | Alphabet Inc. Class A | 13,030 | 12,447 |
| * | Alphabet Inc. Class C | 12,737 | 11,964 |
| | Intel Corp. | 202,552 | 7,104 |
| | Cisco Systems Inc. | 214,761 | 6,917 |
| | Oracle Corp. | 123,513 | 6,216 |
| | International Business Machines Corp. | 36,984 | 5,290 |
| | Broadcom Ltd. | 17,009 | 4,287 |
| | NVIDIA Corp. | 24,269 | 4,112 |
| | Texas Instruments Inc. | 42,755 | 3,541 |
| | QUALCOMM Inc. | 63,401 | 3,314 |
| * | Adobe Systems Inc. | 21,270 | 3,300 |
| * | salesforce.com Inc. | 28,912 | 2,761 |
| | Activision Blizzard Inc. | 31,208 | 2,046 |
| | Applied Materials Inc. | 45,095 | 2,035 |
38
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * NXP Semiconductors NV | 16,296 | 1,841 |
| Cognizant Technology Solutions Corp. Class A | 25,087 | 1,775 |
| * Electronic Arts Inc. | 12,677 | 1,540 |
| Intuit Inc. | 10,234 | 1,448 |
| * Micron Technology Inc. | 45,104 | 1,442 |
| HP Inc. | 71,268 | 1,360 |
| Analog Devices Inc. | 15,489 | 1,296 |
| Hewlett Packard Enterprise Co. | 70,270 | 1,269 |
| Lam Research Corp. | 6,825 | 1,133 |
| Western Digital Corp. | 12,280 | 1,084 |
| Corning Inc. | 37,545 | 1,080 |
| * Autodesk Inc. | 9,033 | 1,034 |
| DXC Technology Co. | 11,901 | 1,012 |
| Amphenol Corp. Class A | 12,357 | 1,000 |
| * ServiceNow Inc. | 7,298 | 848 |
| Skyworks Solutions Inc. | 7,717 | 813 |
| * IHS Markit Ltd. | 16,439 | 770 |
| * Red Hat Inc. | 7,141 | 768 |
| Symantec Corp. | 25,593 | 767 |
| Microchip Technology Inc. | 8,428 | 732 |
| Xilinx Inc. | 10,898 | 720 |
| Harris Corp. | 5,265 | 647 |
| KLA-Tencor Corp. | 6,853 | 642 |
| Motorola Solutions Inc. | 7,164 | 631 |
| * Workday Inc. Class A | 5,685 | 624 |
| * Dell Technologies Inc. Class V | 8,308 | 623 |
| Maxim Integrated Products Inc. | 12,320 | 575 |
| * Citrix Systems Inc. | 6,626 | 518 |
| * Palo Alto Networks Inc. | 3,768 | 500 |
| * Twitter Inc. | 29,237 | 494 |
| * Cadence Design Systems Inc. | 12,017 | 472 |
| * Advanced Micro Devices Inc. | 36,075 | 469 |
| * Synopsys Inc. | 5,784 | 465 |
| * ANSYS Inc. | 3,590 | 462 |
| NetApp Inc. | 11,812 | 457 |
| Juniper Networks Inc. | 16,466 | 457 |
| * Gartner Inc. | 3,608 | 435 |
| CDW Corp. | 6,790 | 431 |
| * Arista Networks Inc. | 2,360 | 416 |
| CA Inc. | 12,458 | 413 |
| * Take-Two Interactive Software Inc. | 4,191 | 410 |
| * Qorvo Inc. | 5,513 | 404 |
| * VeriSign Inc. | 3,879 | 402 |
| * Splunk Inc. | 5,944 | 399 |
| Cognex Corp. | 3,605 | 393 |
| Amdocs Ltd. | 6,057 | 392 |
| CDK Global Inc. | 6,010 | 388 |
| Leidos Holdings Inc. | 6,200 | 362 |
| * IAC/InterActiveCorp | 3,107 | 353 |
| * VMware Inc. Class A | 3,192 | 345 |
| Marvell Technology Group Ltd. | 17,903 | 321 |
| * Akamai Technologies Inc. | 6,745 | 318 |
| Teradyne Inc. | 8,870 | 316 |
| * Arrow Electronics Inc. | 3,923 | 312 |
| * ON Semiconductor Corp. | 18,028 | 308 |
| * F5 Networks Inc. | 2,494 | 298 |
| SS&C Technologies Holdings Inc. | 7,382 | 286 |
| * CommScope Holding Co. Inc. | 8,480 | 280 |
| * PTC Inc. | 4,938 | 277 |
| * IPG Photonics Corp. | 1,560 | 274 |
| LogMeIn Inc. | 2,243 | 257 |
| Jabil Inc. | 7,817 | 245 |
| * Microsemi Corp. | 4,849 | 244 |
| * Guidewire Software Inc. | 3,220 | 244 |
39
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * Ultimate Software Group Inc. | 1,209 | 243 |
| * Coherent Inc. | 1,034 | 241 |
| * Fortinet Inc. | 6,301 | 241 |
| * Tyler Technologies Inc. | 1,376 | 238 |
| Universal Display Corp. | 1,822 | 232 |
| CSRA Inc. | 7,180 | 226 |
| * ARRIS International plc | 7,990 | 223 |
| * GrubHub Inc. | 3,764 | 215 |
| * Aspen Technology Inc. | 3,396 | 215 |
| Avnet Inc. | 5,434 | 210 |
| * Nuance Communications Inc. | 12,493 | 201 |
| Brocade Communications Systems Inc. | 16,029 | 198 |
| MKS Instruments Inc. | 2,368 | 195 |
| * NCR Corp. | 5,301 | 194 |
| Cypress Semiconductor Corp. | 14,084 | 193 |
| * Tableau Software Inc. Class A | 2,553 | 185 |
| * Teradata Corp. | 5,558 | 177 |
| * Cavium Inc. | 2,758 | 175 |
| * EPAM Systems Inc. | 2,133 | 173 |
| Blackbaud Inc. | 2,047 | 173 |
| * Proofpoint Inc. | 1,865 | 171 |
| Sabre Corp. | 9,248 | 171 |
| * Tech Data Corp. | 1,543 | 170 |
| * Entegris Inc. | 6,322 | 161 |
| * Paycom Software Inc. | 2,118 | 158 |
| * Cirrus Logic Inc. | 2,725 | 158 |
| * GoDaddy Inc. Class A | 3,497 | 157 |
| SYNNEX Corp. | 1,294 | 155 |
| * Lumentum Holdings Inc. | 2,653 | 151 |
| * Yelp Inc. Class A | 3,328 | 142 |
| * Integrated Device Technology Inc. | 5,723 | 141 |
| * ViaSat Inc. | 2,222 | 141 |
| * Silicon Laboratories Inc. | 1,834 | 139 |
| DST Systems Inc. | 2,670 | 137 |
| Science Applications International Corp. | 1,817 | 134 |
| * NetScout Systems Inc. | 4,042 | 132 |
| * CACI International Inc. Class A | 1,007 | 131 |
| * Manhattan Associates Inc. | 3,079 | 129 |
| * Ciena Corp. | 5,926 | 128 |
| Monolithic Power Systems Inc. | 1,225 | 124 |
| * Ellie Mae Inc. | 1,485 | 123 |
| * Atlassian Corp. plc Class A | 3,437 | 122 |
| * Sanmina Corp. | 3,267 | 122 |
| * ACI Worldwide Inc. | 5,305 | 121 |
| * iRobot Corp. | 1,256 | 120 |
| * Finisar Corp. | 4,821 | 116 |
| * EchoStar Corp. Class A | 1,929 | 116 |
| * Zendesk Inc. | 4,201 | 115 |
| Dolby Laboratories Inc. Class A | 2,241 | 113 |
| * FireEye Inc. | 7,651 | 113 |
| * RingCentral Inc. Class A | 2,641 | 112 |
| * Verint Systems Inc. | 2,789 | 111 |
| * CommVault Systems Inc. | 1,766 | 108 |
| * RealPage Inc. | 2,476 | 107 |
| InterDigital Inc. | 1,489 | 106 |
| * Mercury Systems Inc. | 2,181 | 105 |
| * Zynga Inc. Class A | 27,640 | 104 |
| * Cree Inc. | 4,244 | 103 |
| * Semtech Corp. | 2,709 | 102 |
| Vishay Intertechnology Inc. | 5,727 | 101 |
| * HubSpot Inc. | 1,358 | 100 |
| * DigitalGlobe Inc. | 2,866 | 99 |
| * Viavi Solutions Inc. | 9,583 | 96 |
| TiVo Corp. | 5,233 | 96 |
40
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * Anixter International Inc. | 1,286 | 95 |
| * Rogers Corp. | 800 | 95 |
| * II-VI Inc. | 2,597 | 93 |
| Pegasystems Inc. | 1,615 | 93 |
| * VeriFone Systems Inc. | 4,547 | 90 |
| * MACOM Technology Solutions Holdings Inc. | 1,948 | 89 |
| * Twilio Inc. Class A | 3,028 | 89 |
| Brooks Automation Inc. | 3,365 | 88 |
| Power Integrations Inc. | 1,187 | 86 |
| * Acxiom Corp. | 3,491 | 81 |
| * Envestnet Inc. | 1,821 | 81 |
| * Ambarella Inc. | 1,458 | 79 |
| * Cornerstone OnDemand Inc. | 2,192 | 77 |
| Progress Software Corp. | 2,262 | 76 |
| * Box Inc. | 3,823 | 75 |
| * Callidus Software Inc. | 2,846 | 73 |
| * Groupon Inc. Class A | 16,463 | 73 |
| * Plexus Corp. | 1,379 | 72 |
| * Benchmark Electronics Inc. | 2,162 | 70 |
| * NETGEAR Inc. | 1,454 | 70 |
| * New Relic Inc. | 1,411 | 68 |
| Plantronics Inc. | 1,559 | 66 |
| * Inphi Corp. | 1,734 | 66 |
| * Gigamon Inc. | 1,541 | 66 |
| Methode Electronics Inc. | 1,610 | 66 |
| * Rambus Inc. | 4,960 | 64 |
| Diebold Nixdorf Inc. | 3,142 | 64 |
| * Novanta Inc. | 1,635 | 64 |
| * Imperva Inc. | 1,422 | 63 |
| * Ubiquiti Networks Inc. | 1,065 | 63 |
| Ebix Inc. | 1,099 | 63 |
| * Synaptics Inc. | 1,518 | 63 |
| * Insight Enterprises Inc. | 1,573 | 63 |
| * Oclaro Inc. | 7,468 | 63 |
| * TTM Technologies Inc. | 4,405 | 63 |
| * Pure Storage Inc. Class A | 4,122 | 61 |
| * Fabrinet | 1,557 | 60 |
| * Extreme Networks Inc. | 5,274 | 60 |
| * Qualys Inc. | 1,262 | 60 |
| * Knowles Corp. | 4,059 | 60 |
| Xperi Corp. | 2,168 | 59 |
| * 3D Systems Corp. | 4,589 | 58 |
| * Five9 Inc. | 2,574 | 55 |
| * MaxLinear Inc. | 2,561 | 55 |
| * KEMET Corp. | 2,213 | 53 |
| * Black Knight Financial Services Inc. Class A | 1,233 | 53 |
| * FormFactor Inc. | 3,477 | 53 |
| * TrueCar Inc. | 3,043 | 52 |
| * Infinera Corp. | 6,066 | 51 |
| ManTech International Corp. Class A | 1,265 | 51 |
| * Diodes Inc. | 1,781 | 50 |
| * MicroStrategy Inc. Class A | 386 | 50 |
| CSG Systems International Inc. | 1,278 | 49 |
| * Bottomline Technologies de Inc. | 1,623 | 49 |
| * ePlus Inc. | 586 | 49 |
| * Q2 Holdings Inc. | 1,191 | 48 |
| ADTRAN Inc. | 2,182 | 48 |
| * Super Micro Computer Inc. | 1,799 | 48 |
| * GTT Communications Inc. | 1,497 | 48 |
| * ScanSource Inc. | 1,200 | 47 |
| * SPS Commerce Inc. | 770 | 47 |
| * Virtusa Corp. | 1,290 | 47 |
| * Stratasys Ltd. | 2,091 | 47 |
| NIC Inc. | 2,861 | 47 |
41
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * Blucora Inc. | 2,005 | 46 |
| * Web.com Group Inc. | 1,782 | 45 |
| * Coupa Software Inc. | 1,452 | 44 |
| * Alarm.com Holdings Inc. | 978 | 44 |
| * MINDBODY Inc. Class A | 1,808 | 43 |
| * Amkor Technology Inc. | 4,668 | 41 |
| * CEVA Inc. | 1,004 | 41 |
| * Vocera Communications Inc. | 1,458 | 41 |
| * Hortonworks Inc. | 2,356 | 40 |
| AVX Corp. | 2,259 | 39 |
| * Veeco Instruments Inc. | 2,014 | 38 |
| CTS Corp. | 1,676 | 38 |
| * IXYS Corp. | 1,620 | 37 |
| * Ultra Clean Holdings Inc. | 1,613 | 37 |
| * Nutanix Inc. | 1,680 | 37 |
| * Inovalon Holdings Inc. Class A | 2,717 | 37 |
| * Match Group Inc. | 1,671 | 36 |
| * LivePerson Inc. | 2,648 | 35 |
| * Varonis Systems Inc. | 890 | 35 |
| * Axcelis Technologies Inc. | 1,649 | 34 |
| * Cray Inc. | 1,815 | 34 |
| * PROS Holdings Inc. | 1,298 | 34 |
| * Impinj Inc. | 880 | 34 |
| * Loral Space & Communications Inc. | 740 | 34 |
| * Lattice Semiconductor Corp. | 5,942 | 34 |
| * Synchronoss Technologies Inc. | 1,981 | 33 |
| * Nanometrics Inc. | 1,261 | 33 |
| * Evolent Health Inc. Class A | 1,909 | 32 |
| Monotype Imaging Holdings Inc. | 1,746 | 32 |
| * Applied Optoelectronics Inc. | 535 | 32 |
| * Rudolph Technologies Inc. | 1,394 | 31 |
| * CommerceHub Inc. | 1,431 | 30 |
| * Barracuda Networks Inc. | 1,178 | 29 |
| * BroadSoft Inc. | 572 | 28 |
| * Perficient Inc. | 1,491 | 27 |
| * CalAmp Corp. | 1,466 | 27 |
| Syntel Inc. | 1,447 | 26 |
| * Silver Spring Networks Inc. | 2,043 | 26 |
| * ShoreTel Inc. | 3,409 | 25 |
| * Carbonite Inc. | 1,247 | 25 |
| Comtech Telecommunications Corp. | 1,250 | 24 |
| * Tucows Inc. Class A | 458 | 24 |
| * Kimball Electronics Inc. | 1,243 | 24 |
| * Benefitfocus Inc. | 746 | 23 |
| * Photronics Inc. | 2,835 | 22 |
| * VASCO Data Security International Inc. | 1,772 | 22 |
| Cohu Inc. | 1,178 | 22 |
| * Endurance International Group Holdings Inc. | 2,810 | 22 |
| * Actua Corp. | 1,685 | 22 |
| * Bazaarvoice Inc. | 4,496 | 21 |
| * Unisys Corp. | 2,621 | 20 |
| NVE Corp. | 254 | 19 |
| * Quantenna Communications Inc. | 1,022 | 19 |
| * Everbridge Inc. | 804 | 19 |
| * Sonus Networks Inc. | 2,678 | 19 |
| * Appfolio Inc. | 427 | 18 |
| * Xcerra Corp. | 1,842 | 18 |
| * PDF Solutions Inc. | 1,176 | 18 |
| * A10 Networks Inc. | 2,702 | 18 |
| * Glu Mobile Inc. | 4,834 | 18 |
| * Electro Scientific Industries Inc. | 1,385 | 17 |
| * Alpha & Omega Semiconductor Ltd. | 1,064 | 17 |
| * Rapid7 Inc. | 994 | 17 |
| * pdvWireless Inc. | 566 | 17 |
42
| | | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | MuleSoft Inc. Class A | 745 | 16 |
| * | Workiva Inc. | 797 | 16 |
| * | Blackline Inc. | 510 | 16 |
| * | KeyW Holding Corp. | 2,149 | 15 |
| * | Apptio Inc. Class A | 863 | 15 |
| * | Mitek Systems Inc. | 1,508 | 15 |
| * | EMCORE Corp. | 1,638 | 15 |
| * | Digimarc Corp. | 471 | 15 |
| | QAD Inc. Class A | 430 | 14 |
| * | Model N Inc. | 1,067 | 14 |
| * | Zix Corp. | 2,658 | 14 |
| | Park Electrochemical Corp. | 777 | 14 |
| * | ChannelAdvisor Corp. | 1,206 | 14 |
| * | Limelight Networks Inc. | 3,871 | 14 |
| * | Okta Inc. | 505 | 14 |
| * | Kopin Corp. | 3,357 | 13 |
| | Daktronics Inc. | 1,391 | 13 |
| * | DSP Group Inc. | 1,117 | 13 |
| * | Ichor Holdings Ltd. | 576 | 13 |
| | Systemax Inc. | 528 | 13 |
| * | Telenav Inc. | 1,968 | 13 |
| | Bel Fuse Inc. Class B | 501 | 13 |
| * | Meet Group Inc. | 3,237 | 13 |
| * | Cloudera Inc. | 626 | 12 |
| * | Harmonic Inc. | 3,722 | 12 |
| | PC Connection Inc. | 468 | 12 |
| * | Park City Group Inc. | 942 | 12 |
| * | Brightcove Inc. | 1,624 | 11 |
| * | Sparton Corp. | 473 | 11 |
| * | Digi International Inc. | 1,191 | 11 |
| * | MobileIron Inc. | 2,704 | 10 |
| * | Alteryx Inc. Class A | 426 | 10 |
| * | Sigma Designs Inc. | 1,602 | 10 |
| * | VirnetX Holding Corp. | 2,500 | 10 |
| * | NeoPhotonics Corp. | 1,689 | 10 |
| * | Presidio Inc. | 683 | 10 |
| * | Exa Corp. | 662 | 10 |
| * | KVH Industries Inc. | 798 | 9 |
| * | Immersion Corp. | 1,279 | 9 |
| * | Upland Software Inc. | 395 | 9 |
| * | TechTarget Inc. | 911 | 9 |
| * | Rubicon Project Inc. | 2,362 | 9 |
| * | Intevac Inc. | 963 | 9 |
| | Simulations Plus Inc. | 591 | 9 |
| * | Calix Inc. | 1,743 | 9 |
| * | Ooma Inc. | 868 | 9 |
| * | Amber Road Inc. | 968 | 8 |
| * | Quantum Corp. | 1,332 | 7 |
| * | Acacia Research Corp. | 2,241 | 7 |
| | Reis Inc. | 424 | 7 |
| * | Iteris Inc. | 1,125 | 7 |
| * | Global Eagle Entertainment Inc. | 2,328 | 7 |
| * | Avid Technology Inc. | 1,471 | 6 |
| * | PCM Inc. | 460 | 6 |
| * | Aerohive Networks Inc. | 1,333 | 5 |
| * | Revolution Lighting Technologies Inc. | 605 | 4 |
| * | Leaf Group Ltd. | 607 | 4 |
| * | GSI Technology Inc. | 605 | 4 |
| * | RealNetworks Inc. | 978 | 4 |
| * | SecureWorks Corp. Class A | 317 | 3 |
| *,^ | Veritone Inc. | 151 | 2 |
| * | Acacia Communications Inc. | 44 | 2 |
| * | Appian Corp. | 90 | 2 |
43
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * Guidance Software Inc. | 189 | 1 |
| | | 211,086 |
| Utilities (5.3%) | | |
| AT&T Inc. | 263,865 | 9,884 |
| Verizon Communications Inc. | 175,038 | 8,397 |
| NextEra Energy Inc. | 20,160 | 3,034 |
| Duke Energy Corp. | 30,440 | 2,657 |
| Dominion Energy Inc. | 27,158 | 2,139 |
| Southern Co. | 43,004 | 2,075 |
| American Electric Power Co. Inc. | 21,678 | 1,596 |
| PG&E Corp. | 21,710 | 1,528 |
| Exelon Corp. | 39,936 | 1,512 |
| Sempra Energy | 10,656 | 1,257 |
| PPL Corp. | 29,562 | 1,160 |
| Consolidated Edison Inc. | 13,184 | 1,111 |
| Xcel Energy Inc. | 22,126 | 1,095 |
| Edison International | 13,578 | 1,089 |
| Public Service Enterprise Group Inc. | 21,902 | 1,026 |
| WEC Energy Group Inc. | 13,405 | 874 |
| DTE Energy Co. | 7,675 | 862 |
| Eversource Energy | 13,101 | 825 |
| * T-Mobile US Inc. | 12,721 | 823 |
| * Level 3 Communications Inc. | 12,576 | 685 |
| Ameren Corp. | 10,558 | 633 |
| FirstEnergy Corp. | 19,352 | 631 |
| Entergy Corp. | 7,832 | 620 |
| American Water Works Co. Inc. | 7,451 | 603 |
| CMS Energy Corp. | 12,146 | 590 |
| CenterPoint Energy Inc. | 18,739 | 555 |
| ^ CenturyLink Inc. | 23,184 | 457 |
| Pinnacle West Capital Corp. | 4,790 | 431 |
| Alliant Energy Corp. | 9,139 | 391 |
| Atmos Energy Corp. | 4,361 | 384 |
| UGI Corp. | 7,611 | 376 |
| NiSource Inc. | 13,324 | 358 |
| SCANA Corp. | 5,640 | 341 |
| NRG Energy Inc. | 13,210 | 329 |
| Westar Energy Inc. Class A | 6,169 | 317 |
| OGE Energy Corp. | 8,840 | 316 |
| AES Corp. | 28,454 | 314 |
| Great Plains Energy Inc. | 9,287 | 285 |
| * Zayo Group Holdings Inc. | 8,149 | 279 |
| Vectren Corp. | 3,664 | 240 |
| * Calpine Corp. | 16,167 | 238 |
| MDU Resources Group Inc. | 8,528 | 231 |
| * Sprint Corp. | 27,103 | 224 |
| Aqua America Inc. | 6,315 | 211 |
| Portland General Electric Co. | 4,015 | 191 |
| WGL Holdings Inc. | 2,150 | 181 |
| National Fuel Gas Co. | 3,111 | 180 |
| IDACORP Inc. | 1,982 | 176 |
| ALLETE Inc. | 2,238 | 173 |
| New Jersey Resources Corp. | 3,828 | 167 |
| ONE Gas Inc. | 2,215 | 167 |
| Southwest Gas Holdings Inc. | 2,015 | 160 |
| Black Hills Corp. | 2,257 | 159 |
| j2 Global Inc. | 2,077 | 156 |
| * Vistra Energy Corp. | 8,828 | 156 |
| Spire Inc. | 2,032 | 156 |
| Hawaiian Electric Industries Inc. | 4,560 | 152 |
| PNM Resources Inc. | 3,433 | 146 |
| Avista Corp. | 2,731 | 140 |
| NorthWestern Corp. | 2,179 | 132 |
| South Jersey Industries Inc. | 3,429 | 123 |
44
| | | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| August 31, 2017 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Telephone & Data Systems Inc. | 4,164 | 122 |
| | Avangrid Inc. | 2,418 | 118 |
| | MGE Energy Inc. | 1,599 | 102 |
| | Ormat Technologies Inc. | 1,701 | 98 |
| | El Paso Electric Co. | 1,688 | 94 |
| | Northwest Natural Gas Co. | 1,177 | 78 |
| | Cogent Communications Holdings Inc. | 1,658 | 77 |
| | Pattern Energy Group Inc. Class A | 3,035 | 76 |
| | California Water Service Group | 2,027 | 76 |
| * | Straight Path Communications Inc. Class B | 425 | 76 |
| | American States Water Co. | 1,529 | 75 |
| | Otter Tail Corp. | 1,708 | 71 |
| | Shenandoah Telecommunications Co. | 1,944 | 70 |
| * | Vonage Holdings Corp. | 8,303 | 69 |
| * | General Communication Inc. Class A | 1,452 | 63 |
| * | 8x8 Inc. | 4,071 | 58 |
| | Chesapeake Utilities Corp. | 693 | 55 |
| | Consolidated Communications Holdings Inc. | 2,675 | 49 |
| * | Iridium Communications Inc. | 4,404 | 49 |
| * | Dynegy Inc. | 4,754 | 45 |
| | West Corp. | 1,794 | 42 |
| *,^ | Globalstar Inc. | 21,787 | 42 |
| | Cincinnati Bell Inc. | 1,928 | 41 |
| | SJW Group | 721 | 40 |
| * | Gogo Inc. | 2,800 | 39 |
| * | Boingo Wireless Inc. | 1,763 | 36 |
| | ATN International Inc. | 589 | 36 |
| | Middlesex Water Co. | 890 | 34 |
| * | ORBCOMM Inc. | 2,930 | 32 |
| | Connecticut Water Service Inc. | 577 | 31 |
| * | United States Cellular Corp. | 755 | 29 |
| * | Frontier Communications Corp. | 1,855 | 25 |
| | NRG Yield Inc. Class A | 1,278 | 23 |
| | NRG Yield Inc. | 1,256 | 23 |
| | York Water Co. | 668 | 22 |
| * | Lumos Networks Corp. | 1,131 | 20 |
| | Windstream Holdings Inc. | 9,679 | 20 |
| | Artesian Resources Corp. Class A | 437 | 16 |
| | Spok Holdings Inc. | 888 | 15 |
| * | Atlantic Power Corp. | 5,883 | 14 |
| | IDT Corp. Class B | 811 | 12 |
| | Delta Natural Gas Co. Inc. | 377 | 12 |
| | Spark Energy Inc. Class A | 617 | 10 |
| * | AquaVenture Holdings Ltd. | 611 | 9 |
| | RGC Resources Inc. | 334 | 9 |
| | Consolidated Water Co. Ltd. | 768 | 9 |
| * | Intelsat SA | 1,795 | 7 |
| | Genie Energy Ltd. Class B | 851 | 5 |
| | Unitil Corp. | 5 | — |
| | | | 57,872 |
| Total Common Stocks (Cost $931,313) | | 1,094,526 |
45
| | | | |
| Vanguard® Russell 3000 Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | | Market |
| | | | | Value |
| | Coupon | | Shares | ($000) |
| Temporary Cash Investments (0.3%)1 | | | | |
| Money Market Fund (0.2%) | | | | |
| 4,5 Vanguard Market Liquidity Fund | 1.224% | | 23,528 | 2,353 |
| |
| |
| | | | Face | |
| | | Maturity | Amount | |
| | | Date | ($000) | |
| U.S. Government and Agency Obligations (0.1%) | | | | |
| United States Treasury Bill | 1.023% | 10/5/17 | 100 | 100 |
| 6 United States Treasury Bill | 0.949% | 10/19/17 | 200 | 200 |
| | | | | 300 |
| Total Temporary Cash Investments (Cost $2,652) | | | | 2,653 |
| Total Investments (99.9%) (Cost $933,965) | | | | 1,097,179 |
| Other Assets and Liabilities—Net (0.1%)5 | | | | 1,544 |
| Net Assets (100%) | | | | 1,098,723 |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $389,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and -0.1%, respectively, of net
assets.
2 Security value determined using significant unobservable inputs.
3 “Other” represents securities that are not classified by the fund’s benchmark index.
4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day
yield.
5 Includes $419,000 of collateral received for securities on loan, of which $414,000 is held in Vanguard Market Liquidity Fund and $5,000 is held in
cash.
6 Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
46
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© 2017 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA18540 102017
| | | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 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 | 1.250% | 8/31/19 | 21,930 | 21,896 |
| | United States Treasury Note/Bond | 1.500% | 8/15/20 | 62,835 | 62,962 |
| | United States Treasury Note/Bond | 1.625% | 8/31/22 | 61,100 | 60,861 |
| |
| Total U.S. Government and Agency Obligations (Cost $145,709) | | | | 145,719 |
| |
| Corporate Bonds (98.6%) | | | | |
| Finance (40.3%) | | | | |
| | Banking (32.9%) | | | | |
| | American Express Co. | 8.125% | 5/20/19 | 2,000 | 2,210 |
| | American Express Co. | 2.500% | 8/1/22 | 25,025 | 25,028 |
| | American Express Credit Corp. | 1.875% | 11/5/18 | 12,110 | 12,138 |
| | American Express Credit Corp. | 2.125% | 3/18/19 | 22,152 | 22,291 |
| | American Express Credit Corp. | 1.875% | 5/3/19 | 30,783 | 30,901 |
| | American Express Credit Corp. | 2.250% | 8/15/19 | 21,281 | 21,439 |
| | American Express Credit Corp. | 1.700% | 10/30/19 | 2,257 | 2,246 |
| | American Express Credit Corp. | 2.200% | 3/3/20 | 15,997 | 16,117 |
| | American Express Credit Corp. | 2.375% | 5/26/20 | 24,430 | 24,704 |
| | American Express Credit Corp. | 2.600% | 9/14/20 | 21,530 | 21,882 |
| | American Express Credit Corp. | 2.250% | 5/5/21 | 26,244 | 26,311 |
| | American Express Credit Corp. | 2.700% | 3/3/22 | 28,875 | 29,419 |
| | Associates Corp. of North America | 6.950% | 11/1/18 | 170 | 179 |
| | Australia & New Zealand Banking Group Ltd. | 2.000% | 11/16/18 | 9,130 | 9,181 |
| | Australia & New Zealand Banking Group Ltd. | 2.250% | 6/13/19 | 11,380 | 11,467 |
| | Australia & New Zealand Banking Group Ltd. | 1.600% | 7/15/19 | 18,239 | 18,173 |
| | Australia & New Zealand Banking Group Ltd. | 2.050% | 9/23/19 | 10,600 | 10,628 |
| | Australia & New Zealand Banking Group Ltd. | 2.125% | 8/19/20 | 13,000 | 12,987 |
| | Australia & New Zealand Banking Group Ltd. | 2.700% | 11/16/20 | 9,024 | 9,185 |
| | Australia & New Zealand Banking Group Ltd. | 2.300% | 6/1/21 | 12,410 | 12,451 |
| | Australia & New Zealand Banking Group Ltd. | 2.550% | 11/23/21 | 14,250 | 14,371 |
| | Australia & New Zealand Banking Group Ltd. | 2.625% | 5/19/22 | 14,000 | 14,135 |
| | Banco Bilbao Vizcaya Argentaria SA | 3.000% | 10/20/20 | 12,825 | 13,133 |
| | Banco Santander SA | 3.500% | 4/11/22 | 6,800 | 6,993 |
| | Bancolombia SA | 5.950% | 6/3/21 | 8,100 | 8,968 |
| | Bank of America Corp. | 6.000% | 9/1/17 | 4 | 4 |
| | Bank of America Corp. | 6.875% | 11/15/18 | 9,250 | 9,797 |
| | Bank of America Corp. | 2.600% | 1/15/19 | 59,560 | 60,144 |
| | Bank of America Corp. | 5.490% | 3/15/19 | 3,700 | 3,877 |
| | Bank of America Corp. | 2.650% | 4/1/19 | 34,558 | 34,938 |
| | Bank of America Corp. | 7.625% | 6/1/19 | 37,985 | 41,594 |
| | Bank of America Corp. | 2.250% | 4/21/20 | 36,305 | 36,462 |
| | Bank of America Corp. | 5.625% | 7/1/20 | 34,345 | 37,563 |
| | Bank of America Corp. | 2.625% | 10/19/20 | 37,511 | 38,001 |
| | Bank of America Corp. | 2.151% | 11/9/20 | 10,970 | 10,964 |
| | Bank of America Corp. | 5.875% | 1/5/21 | 15,680 | 17,459 |
| | Bank of America Corp. | 2.625% | 4/19/21 | 16,003 | 16,152 |
| | Bank of America Corp. | 5.000% | 5/13/21 | 22,231 | 24,278 |
| 1 | Bank of America Corp. | 2.369% | 7/21/21 | 35,600 | 35,648 |
| | Bank of America Corp. | 5.700% | 1/24/22 | 35,593 | 40,222 |
| 1 | Bank of America Corp. | 3.124% | 1/20/23 | 18,365 | 18,725 |
| 1 | Bank of America Corp. | 2.881% | 4/24/23 | 23,475 | 23,653 |
| 1 | Bank of America Corp. | 2.816% | 7/21/23 | 26,000 | 26,048 |
| | Bank of America NA | 2.050% | 12/7/18 | 19,155 | 19,241 |
| | Bank of Montreal | 2.375% | 1/25/19 | 23,116 | 23,326 |
| | Bank of Montreal | 1.500% | 7/18/19 | 20,639 | 20,560 |
| | Bank of Montreal | 2.100% | 12/12/19 | 15,605 | 15,707 |
| | Bank of Montreal | 2.100% | 6/15/20 | 11,500 | 11,552 |
| | Bank of Montreal | 1.900% | 8/27/21 | 27,714 | 27,561 |
| | Bank of New York Mellon Corp. | 2.100% | 1/15/19 | 10,991 | 11,048 |
| | Bank of New York Mellon Corp. | 2.200% | 3/4/19 | 9,450 | 9,510 |
| | Bank of New York Mellon Corp. | 2.200% | 5/15/19 | 12,035 | 12,121 |
| | Bank of New York Mellon Corp. | 5.450% | 5/15/19 | 4,250 | 4,504 |
1
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Bank of New York Mellon Corp. | 2.300% | 9/11/19 | 14,653 | 14,785 |
| Bank of New York Mellon Corp. | 4.600% | 1/15/20 | 1,766 | 1,876 |
| Bank of New York Mellon Corp. | 2.150% | 2/24/20 | 18,466 | 18,595 |
| Bank of New York Mellon Corp. | 2.600% | 8/17/20 | 15,700 | 15,988 |
| Bank of New York Mellon Corp. | 2.450% | 11/27/20 | 17,377 | 17,667 |
| Bank of New York Mellon Corp. | 4.150% | 2/1/21 | 2,000 | 2,134 |
| Bank of New York Mellon Corp. | 2.500% | 4/15/21 | 16,036 | 16,239 |
| Bank of New York Mellon Corp. | 2.050% | 5/3/21 | 23,830 | 23,759 |
| Bank of New York Mellon Corp. | 3.550% | 9/23/21 | 13,015 | 13,676 |
| Bank of New York Mellon Corp. | 2.600% | 2/7/22 | 12,550 | 12,747 |
| 1 Bank of New York Mellon Corp. | 2.661% | 5/16/23 | 17,375 | 17,548 |
| Bank of Nova Scotia | 2.050% | 10/30/18 | 14,712 | 14,785 |
| Bank of Nova Scotia | 1.950% | 1/15/19 | 10,883 | 10,935 |
| Bank of Nova Scotia | 2.050% | 6/5/19 | 29,183 | 29,358 |
| Bank of Nova Scotia | 1.650% | 6/14/19 | 19,985 | 19,999 |
| Bank of Nova Scotia | 2.150% | 7/14/20 | 14,150 | 14,294 |
| Bank of Nova Scotia | 2.350% | 10/21/20 | 14,285 | 14,444 |
| Bank of Nova Scotia | 4.375% | 1/13/21 | 5,600 | 6,011 |
| Bank of Nova Scotia | 2.450% | 3/22/21 | 17,668 | 17,905 |
| Bank of Nova Scotia | 2.800% | 7/21/21 | 11,364 | 11,613 |
| Bank of Nova Scotia | 2.700% | 3/7/22 | 21,602 | 21,983 |
| Barclays Bank plc | 5.125% | 1/8/20 | 7,070 | 7,540 |
| Barclays Bank plc | 5.140% | 10/14/20 | 13,335 | 14,323 |
| Barclays plc | 2.750% | 11/8/19 | 28,385 | 28,708 |
| Barclays plc | 2.875% | 6/8/20 | 21,090 | 21,361 |
| Barclays plc | 3.250% | 1/12/21 | 25,640 | 26,198 |
| Barclays plc | 3.200% | 8/10/21 | 18,605 | 18,979 |
| BB&T Corp. | 2.050% | 6/19/18 | 13,333 | 13,375 |
| BB&T Corp. | 2.250% | 2/1/19 | 15,095 | 15,208 |
| BB&T Corp. | 6.850% | 4/30/19 | 3,150 | 3,398 |
| BB&T Corp. | 5.250% | 11/1/19 | 5,562 | 5,931 |
| BB&T Corp. | 2.450% | 1/15/20 | 18,893 | 19,145 |
| BB&T Corp. | 2.625% | 6/29/20 | 6,013 | 6,130 |
| BB&T Corp. | 2.050% | 5/10/21 | 15,450 | 15,436 |
| BB&T Corp. | 3.950% | 3/22/22 | 2,809 | 2,984 |
| BB&T Corp. | 2.750% | 4/1/22 | 18,535 | 19,028 |
| BNP Paribas SA | 2.400% | 12/12/18 | 27,433 | 27,659 |
| BNP Paribas SA | 2.450% | 3/17/19 | 17,890 | 18,070 |
| BNP Paribas SA | 2.375% | 5/21/20 | 21,158 | 21,400 |
| BNP Paribas SA | 5.000% | 1/15/21 | 28,541 | 31,165 |
| BPCE SA | 2.500% | 12/10/18 | 12,950 | 13,066 |
| BPCE SA | 2.500% | 7/15/19 | 9,875 | 9,975 |
| BPCE SA | 2.250% | 1/27/20 | 18,305 | 18,377 |
| BPCE SA | 2.650% | 2/3/21 | 7,120 | 7,214 |
| BPCE SA | 2.750% | 12/2/21 | 20,775 | 21,128 |
| 2 BPCE SA | 3.000% | 5/22/22 | 4,800 | 4,847 |
| Branch Banking & Trust Co. | 2.300% | 10/15/18 | 9,985 | 10,043 |
| Branch Banking & Trust Co. | 1.450% | 5/10/19 | 20,099 | 20,018 |
| Branch Banking & Trust Co. | 2.100% | 1/15/20 | 6,005 | 6,040 |
| Branch Banking & Trust Co. | 2.850% | 4/1/21 | 7,341 | 7,521 |
| Branch Banking & Trust Co. | 2.625% | 1/15/22 | 7,200 | 7,334 |
| Canadian Imperial Bank of Commerce | 1.600% | 9/6/19 | 16,890 | 16,844 |
| Canadian Imperial Bank of Commerce | 2.550% | 6/16/22 | 14,875 | 15,019 |
| Capital One Bank USA NA | 2.150% | 11/21/18 | 6,400 | 6,422 |
| Capital One Bank USA NA | 2.250% | 2/13/19 | 22,225 | 22,308 |
| Capital One Bank USA NA | 2.300% | 6/5/19 | 6,425 | 6,448 |
| Capital One Bank USA NA | 8.800% | 7/15/19 | 5,327 | 5,953 |
| Capital One Financial Corp. | 2.450% | 4/24/19 | 17,450 | 17,571 |
| Capital One Financial Corp. | 2.500% | 5/12/20 | 13,100 | 13,219 |
| Capital One Financial Corp. | 4.750% | 7/15/21 | 16,200 | 17,535 |
| Capital One Financial Corp. | 3.050% | 3/9/22 | 12,275 | 12,440 |
| Capital One NA | 2.400% | 9/5/19 | 8,646 | 8,694 |
| Capital One NA | 1.850% | 9/13/19 | 12,890 | 12,820 |
| Capital One NA | 2.350% | 1/31/20 | 17,705 | 17,752 |
2
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Capital One NA | 2.950% | 7/23/21 | 10,315 | 10,465 |
| Capital One NA | 2.250% | 9/13/21 | 19,750 | 19,521 |
| Capital One NA | 2.650% | 8/8/22 | 15,000 | 14,921 |
| Citibank NA | 2.000% | 3/20/19 | 20,525 | 20,618 |
| Citibank NA | 2.100% | 6/12/20 | 25,075 | 25,203 |
| Citigroup Inc. | 2.500% | 9/26/18 | 21,565 | 21,725 |
| Citigroup Inc. | 2.050% | 12/7/18 | 25,981 | 26,062 |
| Citigroup Inc. | 2.550% | 4/8/19 | 27,936 | 28,194 |
| Citigroup Inc. | 8.500% | 5/22/19 | 2,350 | 2,603 |
| Citigroup Inc. | 2.050% | 6/7/19 | 27,500 | 27,535 |
| Citigroup Inc. | 2.500% | 7/29/19 | 21,474 | 21,683 |
| Citigroup Inc. | 2.450% | 1/10/20 | 25,390 | 25,642 |
| Citigroup Inc. | 2.400% | 2/18/20 | 33,805 | 34,062 |
| Citigroup Inc. | 5.375% | 8/9/20 | 8,504 | 9,260 |
| Citigroup Inc. | 2.650% | 10/26/20 | 34,312 | 34,799 |
| Citigroup Inc. | 2.700% | 3/30/21 | 44,913 | 45,470 |
| Citigroup Inc. | 2.350% | 8/2/21 | 9,652 | 9,625 |
| Citigroup Inc. | 2.900% | 12/8/21 | 42,271 | 43,029 |
| Citigroup Inc. | 4.500% | 1/14/22 | 36,108 | 38,938 |
| Citigroup Inc. | 2.750% | 4/25/22 | 35,675 | 35,914 |
| Citigroup Inc. | 4.050% | 7/30/22 | 9,137 | 9,616 |
| 1 Citigroup Inc. | 2.876% | 7/24/23 | 26,000 | 26,095 |
| Citizens Bank NA | 1.600% | 12/4/17 | 3,600 | 3,599 |
| Citizens Bank NA | 2.300% | 12/3/18 | 7,140 | 7,178 |
| Citizens Bank NA | 2.500% | 3/14/19 | 3,617 | 3,646 |
| Citizens Bank NA | 2.450% | 12/4/19 | 6,850 | 6,916 |
| Citizens Bank NA | 2.250% | 3/2/20 | 10,335 | 10,383 |
| Citizens Bank NA | 2.200% | 5/26/20 | 11,950 | 11,985 |
| Citizens Bank NA | 2.550% | 5/13/21 | 18,525 | 18,664 |
| Citizens Bank NA | 2.650% | 5/26/22 | 9,300 | 9,363 |
| Citizens Financial Group Inc. | 2.375% | 7/28/21 | 2,000 | 1,992 |
| Comerica Inc. | 2.125% | 5/23/19 | 7,075 | 7,082 |
| Commonwealth Bank of Australia | 2.500% | 9/20/18 | 18,510 | 18,662 |
| Commonwealth Bank of Australia | 1.750% | 11/2/18 | 8,025 | 8,025 |
| Commonwealth Bank of Australia | 2.250% | 3/13/19 | 19,000 | 19,119 |
| Commonwealth Bank of Australia | 2.050% | 3/15/19 | 7,525 | 7,553 |
| Commonwealth Bank of Australia | 2.300% | 9/6/19 | 14,450 | 14,577 |
| Commonwealth Bank of Australia | 2.300% | 3/12/20 | 2,300 | 2,318 |
| Commonwealth Bank of Australia | 2.400% | 11/2/20 | 10,925 | 11,011 |
| Commonwealth Bank of Australia | 2.550% | 3/15/21 | 13,657 | 13,801 |
| 2 Commonwealth Bank of Australia | 2.750% | 3/10/22 | 12,000 | 12,206 |
| Compass Bank | 2.750% | 9/29/19 | 2,885 | 2,910 |
| Compass Bank | 2.875% | 6/29/22 | 15,500 | 15,541 |
| Cooperatieve Rabobank UA | 2.250% | 1/14/19 | 24,736 | 24,891 |
| Cooperatieve Rabobank UA | 1.375% | 8/9/19 | 11,970 | 11,852 |
| Cooperatieve Rabobank UA | 2.250% | 1/14/20 | 15,300 | 15,437 |
| Cooperatieve Rabobank UA | 4.500% | 1/11/21 | 16,128 | 17,390 |
| Cooperatieve Rabobank UA | 2.500% | 1/19/21 | 31,055 | 31,500 |
| Cooperatieve Rabobank UA | 2.750% | 1/10/22 | 28,000 | 28,580 |
| Cooperatieve Rabobank UA | 3.875% | 2/8/22 | 27,548 | 29,402 |
| Cooperatieve Rabobank UA | 3.950% | 11/9/22 | 5,750 | 6,059 |
| Credit Suisse AG | 2.300% | 5/28/19 | 34,871 | 35,157 |
| Credit Suisse AG | 5.300% | 8/13/19 | 11,578 | 12,310 |
| Credit Suisse AG | 5.400% | 1/14/20 | 19,742 | 21,184 |
| Credit Suisse AG | 4.375% | 8/5/20 | 3,555 | 3,782 |
| Credit Suisse AG | 3.000% | 10/29/21 | 25,787 | 26,430 |
| 2 Credit Suisse Group AG | 3.574% | 1/9/23 | 12,250 | 12,602 |
| Credit Suisse Group Funding Guernsey Ltd. | 2.750% | 3/26/20 | 20,410 | 20,698 |
| Credit Suisse Group Funding Guernsey Ltd. | 3.125% | 12/10/20 | 32,958 | 33,755 |
| Credit Suisse Group Funding Guernsey Ltd. | 3.450% | 4/16/21 | 24,261 | 25,071 |
| Deutsche Bank AG | 2.500% | 2/13/19 | 25,922 | 26,204 |
| Deutsche Bank AG | 2.850% | 5/10/19 | 21,697 | 21,942 |
| Deutsche Bank AG | 2.700% | 7/13/20 | 26,200 | 26,372 |
| Deutsche Bank AG | 2.950% | 8/20/20 | 13,840 | 14,036 |
3
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Deutsche Bank AG | 3.125% | 1/13/21 | 14,748 | 14,963 |
| Deutsche Bank AG | 3.375% | 5/12/21 | 17,025 | 17,397 |
| Deutsche Bank AG | 4.250% | 10/14/21 | 46,100 | 48,643 |
| Discover Bank | 2.600% | 11/13/18 | 10,000 | 10,074 |
| Discover Bank | 7.000% | 4/15/20 | 3,900 | 4,318 |
| Discover Bank | 3.100% | 6/4/20 | 20,762 | 21,259 |
| Discover Bank | 3.200% | 8/9/21 | 6,500 | 6,652 |
| Discover Financial Services | 5.200% | 4/27/22 | 2,806 | 3,068 |
| Fifth Third Bancorp | 2.300% | 3/1/19 | 8,375 | 8,436 |
| Fifth Third Bancorp | 2.875% | 7/27/20 | 16,629 | 17,016 |
| Fifth Third Bancorp | 3.500% | 3/15/22 | 6,140 | 6,401 |
| Fifth Third Bancorp | 2.600% | 6/15/22 | 7,100 | 7,142 |
| Fifth Third Bank | 2.300% | 3/15/19 | 13,660 | 13,775 |
| Fifth Third Bank | 2.375% | 4/25/19 | 9,300 | 9,386 |
| Fifth Third Bank | 1.625% | 9/27/19 | 7,875 | 7,824 |
| Fifth Third Bank | 2.250% | 6/14/21 | 12,000 | 12,045 |
| Fifth Third Bank | 2.875% | 10/1/21 | 16,265 | 16,635 |
| First Horizon National Corp. | 3.500% | 12/15/20 | 7,000 | 7,211 |
| First Niagara Financial Group Inc. | 6.750% | 3/19/20 | 3,200 | 3,556 |
| First Republic Bank | 2.375% | 6/17/19 | 4,220 | 4,223 |
| First Republic Bank | 2.500% | 6/6/22 | 11,900 | 11,924 |
| Goldman Sachs Group Inc. | 2.625% | 1/31/19 | 37,059 | 37,439 |
| Goldman Sachs Group Inc. | 7.500% | 2/15/19 | 43,698 | 47,138 |
| Goldman Sachs Group Inc. | 2.000% | 4/25/19 | 2,990 | 2,994 |
| Goldman Sachs Group Inc. | 1.950% | 7/23/19 | 7,652 | 7,658 |
| Goldman Sachs Group Inc. | 2.550% | 10/23/19 | 29,706 | 30,042 |
| Goldman Sachs Group Inc. | 2.300% | 12/13/19 | 41,135 | 41,375 |
| Goldman Sachs Group Inc. | 5.375% | 3/15/20 | 27,436 | 29,614 |
| Goldman Sachs Group Inc. | 2.600% | 4/23/20 | 29,223 | 29,540 |
| Goldman Sachs Group Inc. | 6.000% | 6/15/20 | 18,544 | 20,452 |
| Goldman Sachs Group Inc. | 2.750% | 9/15/20 | 30,593 | 30,984 |
| Goldman Sachs Group Inc. | 2.600% | 12/27/20 | 2,775 | 2,802 |
| Goldman Sachs Group Inc. | 2.875% | 2/25/21 | 33,344 | 33,905 |
| Goldman Sachs Group Inc. | 2.625% | 4/25/21 | 32,609 | 32,841 |
| Goldman Sachs Group Inc. | 5.250% | 7/27/21 | 48,871 | 53,795 |
| Goldman Sachs Group Inc. | 2.350% | 11/15/21 | 16,915 | 16,831 |
| Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 66,886 | 75,397 |
| Goldman Sachs Group Inc. | 3.000% | 4/26/22 | 58,450 | 59,408 |
| 1 Goldman Sachs Group Inc. | 2.908% | 6/5/23 | 25,200 | 25,314 |
| 1 Goldman Sachs Group Inc. | 2.905% | 7/24/23 | 32,000 | 32,130 |
| HSBC Bank USA NA | 4.875% | 8/24/20 | 12,561 | 13,517 |
| HSBC Holdings plc | 3.400% | 3/8/21 | 39,000 | 40,388 |
| HSBC Holdings plc | 5.100% | 4/5/21 | 29,442 | 32,188 |
| HSBC Holdings plc | 2.950% | 5/25/21 | 29,090 | 29,690 |
| HSBC Holdings plc | 2.650% | 1/5/22 | 48,855 | 49,139 |
| HSBC Holdings plc | 4.875% | 1/14/22 | 7,365 | 8,090 |
| HSBC Holdings plc | 4.000% | 3/30/22 | 22,060 | 23,463 |
| 1 HSBC Holdings plc | 3.262% | 3/13/23 | 41,812 | 42,847 |
| HSBC USA Inc. | 1.700% | 3/5/18 | 10,764 | 10,771 |
| HSBC USA Inc. | 2.000% | 8/7/18 | 6,550 | 6,574 |
| HSBC USA Inc. | 2.625% | 9/24/18 | 5,904 | 5,953 |
| HSBC USA Inc. | 2.250% | 6/23/19 | 9,350 | 9,412 |
| HSBC USA Inc. | 2.375% | 11/13/19 | 24,795 | 25,033 |
| HSBC USA Inc. | 2.350% | 3/5/20 | 25,230 | 25,463 |
| HSBC USA Inc. | 2.750% | 8/7/20 | 19,174 | 19,558 |
| HSBC USA Inc. | 5.000% | 9/27/20 | 8,500 | 9,166 |
| Huntington Bancshares Inc. | 7.000% | 12/15/20 | 4,075 | 4,651 |
| Huntington Bancshares Inc. | 3.150% | 3/14/21 | 10,767 | 11,081 |
| Huntington Bancshares Inc. | 2.300% | 1/14/22 | 14,618 | 14,513 |
| Huntington National Bank | 2.200% | 11/6/18 | 8,250 | 8,286 |
| Huntington National Bank | 2.200% | 4/1/19 | 8,520 | 8,555 |
| Huntington National Bank | 2.375% | 3/10/20 | 8,250 | 8,328 |
| Huntington National Bank | 2.400% | 4/1/20 | 11,575 | 11,682 |
| Huntington National Bank | 2.875% | 8/20/20 | 3,250 | 3,323 |
4
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Huntington National Bank | 2.500% | 8/7/22 | 13,000 | 13,003 |
| ING Groep NV | 3.150% | 3/29/22 | 21,065 | 21,554 |
| Intesa Sanpaolo SPA | 3.875% | 1/15/19 | 16,537 | 16,910 |
| 2 Itau Corpbanca | 3.875% | 9/22/19 | 2,000 | 2,065 |
| JPMorgan Chase & Co. | 2.350% | 1/28/19 | 24,875 | 25,088 |
| JPMorgan Chase & Co. | 1.850% | 3/22/19 | 24,704 | 24,732 |
| JPMorgan Chase & Co. | 6.300% | 4/23/19 | 35,193 | 37,693 |
| JPMorgan Chase & Co. | 2.200% | 10/22/19 | 13,294 | 13,392 |
| JPMorgan Chase & Co. | 2.250% | 1/23/20 | 61,749 | 62,236 |
| JPMorgan Chase & Co. | 4.950% | 3/25/20 | 16,949 | 18,187 |
| JPMorgan Chase & Co. | 2.750% | 6/23/20 | 42,495 | 43,381 |
| JPMorgan Chase & Co. | 4.400% | 7/22/20 | 23,707 | 25,277 |
| JPMorgan Chase & Co. | 4.250% | 10/15/20 | 41,243 | 43,911 |
| JPMorgan Chase & Co. | 2.550% | 10/29/20 | 35,253 | 35,774 |
| JPMorgan Chase & Co. | 2.550% | 3/1/21 | 41,171 | 41,594 |
| JPMorgan Chase & Co. | 4.625% | 5/10/21 | 22,305 | 24,160 |
| JPMorgan Chase & Co. | 2.400% | 6/7/21 | 21,861 | 22,021 |
| JPMorgan Chase & Co. | 2.295% | 8/15/21 | 46,161 | 46,282 |
| JPMorgan Chase & Co. | 4.350% | 8/15/21 | 30,510 | 32,860 |
| JPMorgan Chase & Co. | 4.500% | 1/24/22 | 46,597 | 50,594 |
| 1 JPMorgan Chase & Co. | 2.776% | 4/25/23 | 17,700 | 17,839 |
| JPMorgan Chase Bank NA | 1.450% | 9/21/18 | 3,934 | 3,927 |
| JPMorgan Chase Bank NA | 1.650% | 9/23/19 | 13,173 | 13,150 |
| KeyBank NA | 2.350% | 3/8/19 | 12,020 | 12,128 |
| KeyBank NA | 1.600% | 8/22/19 | 9,150 | 9,104 |
| KeyBank NA | 2.500% | 12/15/19 | 9,515 | 9,683 |
| KeyBank NA | 2.250% | 3/16/20 | 13,508 | 13,614 |
| KeyBank NA | 2.500% | 11/22/21 | 13,000 | 13,153 |
| KeyBank NA | 2.400% | 6/9/22 | 1,000 | 1,005 |
| 1 KeyBank NA | 3.180% | 10/15/27 | 250 | 257 |
| KeyCorp | 2.300% | 12/13/18 | 15,141 | 15,246 |
| KeyCorp | 2.900% | 9/15/20 | 11,315 | 11,586 |
| KeyCorp | 5.100% | 3/24/21 | 9,030 | 9,915 |
| Lloyds Bank plc | 2.300% | 11/27/18 | 8,200 | 8,246 |
| Lloyds Bank plc | 2.700% | 8/17/20 | 13,980 | 14,211 |
| Lloyds Bank plc | 6.375% | 1/21/21 | 15,765 | 17,846 |
| Lloyds Banking Group plc | 3.100% | 7/6/21 | 13,370 | 13,648 |
| Lloyds Banking Group plc | 3.000% | 1/11/22 | 32,755 | 33,145 |
| Manufacturers & Traders Trust Co. | 2.300% | 1/30/19 | 17,800 | 17,924 |
| Manufacturers & Traders Trust Co. | 2.250% | 7/25/19 | 12,650 | 12,737 |
| Manufacturers & Traders Trust Co. | 2.100% | 2/6/20 | 6,075 | 6,096 |
| Manufacturers & Traders Trust Co. | 2.050% | 8/17/20 | 6,200 | 6,195 |
| Manufacturers & Traders Trust Co. | 2.500% | 5/18/22 | 500 | 505 |
| Mitsubishi UFJ Financial Group Inc. | 2.950% | 3/1/21 | 42,862 | 43,751 |
| Mitsubishi UFJ Financial Group Inc. | 2.190% | 9/13/21 | 20,650 | 20,526 |
| Mitsubishi UFJ Financial Group Inc. | 2.998% | 2/22/22 | 15,565 | 15,912 |
| Mitsubishi UFJ Financial Group Inc. | 2.665% | 7/25/22 | 29,000 | 29,143 |
| Mizuho Financial Group Inc. | 2.273% | 9/13/21 | 16,130 | 15,999 |
| Mizuho Financial Group Inc. | 2.953% | 2/28/22 | 18,450 | 18,742 |
| Morgan Stanley | 2.200% | 12/7/18 | 6,725 | 6,763 |
| Morgan Stanley | 2.500% | 1/24/19 | 24,339 | 24,546 |
| Morgan Stanley | 2.450% | 2/1/19 | 35,177 | 35,465 |
| Morgan Stanley | 7.300% | 5/13/19 | 28,632 | 31,167 |
| Morgan Stanley | 2.375% | 7/23/19 | 34,759 | 34,995 |
| Morgan Stanley | 5.625% | 9/23/19 | 42,234 | 45,268 |
| Morgan Stanley | 5.500% | 1/26/20 | 19,364 | 20,881 |
| Morgan Stanley | 2.650% | 1/27/20 | 48,261 | 49,024 |
| Morgan Stanley | 2.800% | 6/16/20 | 36,940 | 37,614 |
| Morgan Stanley | 5.500% | 7/24/20 | 24,686 | 26,935 |
| Morgan Stanley | 5.750% | 1/25/21 | 15,210 | 16,849 |
| Morgan Stanley | 2.500% | 4/21/21 | 45,105 | 45,330 |
| Morgan Stanley | 5.500% | 7/28/21 | 24,856 | 27,640 |
| Morgan Stanley | 2.625% | 11/17/21 | 53,376 | 53,735 |
| Morgan Stanley | 2.750% | 5/19/22 | 61,400 | 61,790 |
5
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| MUFG Americas Holdings Corp. | 2.250% | 2/10/20 | 16,425 | 16,503 |
| MUFG Americas Holdings Corp. | 3.500% | 6/18/22 | 3,025 | 3,143 |
| MUFG Union Bank NA | 2.625% | 9/26/18 | 16,700 | 16,845 |
| MUFG Union Bank NA | 2.250% | 5/6/19 | 5,300 | 5,322 |
| National Australia Bank Ltd. | 2.000% | 1/14/19 | 6,046 | 6,069 |
| National Australia Bank Ltd. | 1.375% | 7/12/19 | 11,670 | 11,584 |
| National Australia Bank Ltd. | 2.250% | 1/10/20 | 2,450 | 2,466 |
| National Australia Bank Ltd. | 2.125% | 5/22/20 | 24,200 | 24,298 |
| National Australia Bank Ltd. | 2.625% | 7/23/20 | 17,125 | 17,433 |
| National Australia Bank Ltd. | 2.625% | 1/14/21 | 18,730 | 18,976 |
| National Australia Bank Ltd. | 1.875% | 7/12/21 | 16,925 | 16,682 |
| National Australia Bank Ltd. | 2.800% | 1/10/22 | 21,250 | 21,689 |
| National Australia Bank Ltd. | 2.500% | 5/22/22 | 10,250 | 10,292 |
| National Bank of Canada | 2.100% | 12/14/18 | 11,650 | 11,695 |
| National Bank of Canada | 2.150% | 6/12/20 | 11,969 | 11,997 |
| National City Corp. | 6.875% | 5/15/19 | 10,935 | 11,818 |
| Northern Trust Corp. | 3.450% | 11/4/20 | 6,175 | 6,450 |
| Northern Trust Corp. | 3.375% | 8/23/21 | 5,855 | 6,120 |
| Northern Trust Corp. | 2.375% | 8/2/22 | 8,226 | 8,310 |
| PNC Bank NA | 1.800% | 11/5/18 | 10,900 | 10,922 |
| PNC Bank NA | 1.700% | 12/7/18 | 11,250 | 11,249 |
| PNC Bank NA | 2.200% | 1/28/19 | 10,162 | 10,226 |
| PNC Bank NA | 1.950% | 3/4/19 | 23,300 | 23,370 |
| PNC Bank NA | 2.250% | 7/2/19 | 10,726 | 10,809 |
| PNC Bank NA | 1.450% | 7/29/19 | 18,325 | 18,201 |
| PNC Bank NA | 2.400% | 10/18/19 | 21,007 | 21,243 |
| PNC Bank NA | 2.000% | 5/19/20 | 10,150 | 10,179 |
| PNC Bank NA | 2.300% | 6/1/20 | 8,408 | 8,493 |
| PNC Bank NA | 2.600% | 7/21/20 | 2,750 | 2,798 |
| PNC Bank NA | 2.450% | 11/5/20 | 14,013 | 14,209 |
| PNC Bank NA | 2.150% | 4/29/21 | 16,310 | 16,330 |
| PNC Bank NA | 2.550% | 12/9/21 | 6,850 | 6,944 |
| PNC Bank NA | 2.625% | 2/17/22 | 17,075 | 17,365 |
| PNC Funding Corp. | 6.700% | 6/10/19 | 5,605 | 6,071 |
| PNC Funding Corp. | 5.125% | 2/8/20 | 15,134 | 16,273 |
| PNC Funding Corp. | 4.375% | 8/11/20 | 4,976 | 5,321 |
| PNC Funding Corp. | 3.300% | 3/8/22 | 19,505 | 20,391 |
| RBC USA Holdco Corp. | 5.250% | 9/15/20 | 2,050 | 2,230 |
| Regions Bank | 2.250% | 9/14/18 | 9,760 | 9,797 |
| Regions Financial Corp. | 3.200% | 2/8/21 | 10,924 | 11,183 |
| Regions Financial Corp. | 2.750% | 8/14/22 | 13,200 | 13,276 |
| Royal Bank of Canada | 2.000% | 12/10/18 | 18,007 | 18,126 |
| Royal Bank of Canada | 2.150% | 3/15/19 | 14,727 | 14,871 |
| Royal Bank of Canada | 1.625% | 4/15/19 | 21,952 | 21,912 |
| Royal Bank of Canada | 1.500% | 7/29/19 | 26,400 | 26,307 |
| Royal Bank of Canada | 2.125% | 3/2/20 | 21,950 | 22,111 |
| Royal Bank of Canada | 2.150% | 3/6/20 | 9,802 | 9,871 |
| Royal Bank of Canada | 2.350% | 10/30/20 | 22,021 | 22,227 |
| Royal Bank of Canada | 2.500% | 1/19/21 | 19,200 | 19,500 |
| Royal Bank of Canada | 2.750% | 2/1/22 | 8,600 | 8,828 |
| Royal Bank of Scotland Group plc | 6.400% | 10/21/19 | 8,646 | 9,371 |
| 1 Royal Bank of Scotland Group plc | 3.498% | 5/15/23 | 32,450 | 32,782 |
| Royal Bank of Scotland plc | 5.625% | 8/24/20 | 100 | 108 |
| Santander Holdings USA Inc. | 2.700% | 5/24/19 | 16,815 | 16,964 |
| Santander Holdings USA Inc. | 2.650% | 4/17/20 | 9,309 | 9,346 |
| 2 Santander Holdings USA Inc. | 3.700% | 3/28/22 | 22,200 | 22,661 |
| Santander UK Group Holdings plc | 2.875% | 10/16/20 | 11,316 | 11,503 |
| Santander UK Group Holdings plc | 3.125% | 1/8/21 | 18,780 | 19,167 |
| Santander UK Group Holdings plc | 2.875% | 8/5/21 | 17,849 | 17,999 |
| Santander UK plc | 2.500% | 3/14/19 | 31,220 | 31,533 |
| Santander UK plc | 2.350% | 9/10/19 | 13,875 | 13,981 |
| Santander UK plc | 2.375% | 3/16/20 | 2,456 | 2,481 |
| Skandinaviska Enskilda Banken AB | 1.500% | 9/13/19 | 1,000 | 992 |
| Skandinaviska Enskilda Banken AB | 2.300% | 3/11/20 | 13,400 | 13,521 |
6
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Skandinaviska Enskilda Banken AB | 2.625% | 3/15/21 | 15,429 | 15,652 |
| Skandinaviska Enskilda Banken AB | 1.875% | 9/13/21 | 23,540 | 23,241 |
| Skandinaviska Enskilda Banken AB | 2.800% | 3/11/22 | 9,550 | 9,763 |
| Societe Generale SA | 2.625% | 10/1/18 | 9,350 | 9,434 |
| State Street Bank & Trust Co. | 5.250% | 10/15/18 | 225 | 234 |
| State Street Corp. | 2.550% | 8/18/20 | 22,116 | 22,572 |
| State Street Corp. | 4.375% | 3/7/21 | 7,069 | 7,598 |
| State Street Corp. | 1.950% | 5/19/21 | 9,277 | 9,242 |
| 1 State Street Corp. | 2.653% | 5/15/23 | 11,700 | 11,823 |
| Sumitomo Mitsui Banking Corp. | 1.762% | 10/19/18 | 6,000 | 6,005 |
| Sumitomo Mitsui Banking Corp. | 2.450% | 1/10/19 | 15,520 | 15,657 |
| Sumitomo Mitsui Banking Corp. | 1.966% | 1/11/19 | 6,470 | 6,484 |
| Sumitomo Mitsui Banking Corp. | 2.050% | 1/18/19 | 1,000 | 1,004 |
| Sumitomo Mitsui Banking Corp. | 2.250% | 7/11/19 | 15,411 | 15,508 |
| Sumitomo Mitsui Banking Corp. | 2.450% | 1/16/20 | 23,941 | 24,180 |
| Sumitomo Mitsui Banking Corp. | 2.650% | 7/23/20 | 8,240 | 8,371 |
| Sumitomo Mitsui Banking Corp. | 2.450% | 10/20/20 | 3,775 | 3,800 |
| Sumitomo Mitsui Banking Corp. | 3.200% | 7/18/22 | 8,417 | 8,686 |
| Sumitomo Mitsui Financial Group Inc. | 2.934% | 3/9/21 | 20,726 | 21,183 |
| Sumitomo Mitsui Financial Group Inc. | 2.058% | 7/14/21 | 12,340 | 12,209 |
| Sumitomo Mitsui Financial Group Inc. | 2.442% | 10/19/21 | 27,350 | 27,430 |
| Sumitomo Mitsui Financial Group Inc. | 2.846% | 1/11/22 | 13,500 | 13,732 |
| Sumitomo Mitsui Financial Group Inc. | 2.784% | 7/12/22 | 28,550 | 28,857 |
| SunTrust Bank | 2.250% | 1/31/20 | 12,080 | 12,161 |
| SunTrust Bank | 2.450% | 8/1/22 | 13,000 | 13,051 |
| SunTrust Banks Inc. | 2.350% | 11/1/18 | 10,874 | 10,943 |
| SunTrust Banks Inc. | 2.500% | 5/1/19 | 8,173 | 8,247 |
| SunTrust Banks Inc. | 2.900% | 3/3/21 | 9,750 | 9,944 |
| SunTrust Banks Inc. | 2.700% | 1/27/22 | 11,375 | 11,509 |
| Svenska Handelsbanken AB | 2.500% | 1/25/19 | 15,883 | 16,050 |
| Svenska Handelsbanken AB | 2.250% | 6/17/19 | 9,775 | 9,848 |
| Svenska Handelsbanken AB | 1.500% | 9/6/19 | 13,170 | 13,072 |
| Svenska Handelsbanken AB | 1.950% | 9/8/20 | 9,000 | 8,992 |
| Svenska Handelsbanken AB | 2.400% | 10/1/20 | 15,866 | 16,078 |
| Svenska Handelsbanken AB | 2.450% | 3/30/21 | 21,309 | 21,566 |
| Svenska Handelsbanken AB | 1.875% | 9/7/21 | 13,400 | 13,261 |
| Synchrony Bank | 3.000% | 6/15/22 | 13,000 | 13,014 |
| Synchrony Financial | 2.600% | 1/15/19 | 6,220 | 6,264 |
| Synchrony Financial | 3.000% | 8/15/19 | 19,781 | 20,073 |
| Synchrony Financial | 2.700% | 2/3/20 | 11,630 | 11,727 |
| Synchrony Financial | 3.750% | 8/15/21 | 13,568 | 14,039 |
| Toronto-Dominion Bank | 1.450% | 9/6/18 | 8,320 | 8,313 |
| Toronto-Dominion Bank | 2.625% | 9/10/18 | 22,461 | 22,700 |
| Toronto-Dominion Bank | 1.950% | 1/22/19 | 6,380 | 6,409 |
| Toronto-Dominion Bank | 2.125% | 7/2/19 | 28,975 | 29,226 |
| Toronto-Dominion Bank | 1.450% | 8/13/19 | 21,300 | 21,207 |
| Toronto-Dominion Bank | 2.250% | 11/5/19 | 22,927 | 23,160 |
| Toronto-Dominion Bank | 2.500% | 12/14/20 | 27,275 | 27,764 |
| Toronto-Dominion Bank | 2.125% | 4/7/21 | 23,650 | 23,754 |
| Toronto-Dominion Bank | 1.800% | 7/13/21 | 20,378 | 20,224 |
| UBS AG | 2.375% | 8/14/19 | 45,512 | 45,978 |
| UBS AG | 2.350% | 3/26/20 | 23,135 | 23,342 |
| UBS AG | 4.875% | 8/4/20 | 8,377 | 9,042 |
| US Bancorp | 1.950% | 11/15/18 | 17,545 | 17,610 |
| US Bancorp | 2.200% | 4/25/19 | 13,227 | 13,330 |
| US Bancorp | 2.350% | 1/29/21 | 8,950 | 9,051 |
| US Bancorp | 4.125% | 5/24/21 | 11,433 | 12,257 |
| US Bancorp | 2.625% | 1/24/22 | 16,528 | 16,852 |
| US Bancorp | 3.000% | 3/15/22 | 13,607 | 14,092 |
| US Bancorp | 2.950% | 7/15/22 | 23,866 | 24,503 |
| US Bank NA | 1.400% | 4/26/19 | 16,575 | 16,502 |
| US Bank NA | 2.125% | 10/28/19 | 19,021 | 19,160 |
| US Bank NA | 2.000% | 1/24/20 | 15,500 | 15,572 |
| Wells Fargo & Co. | 2.150% | 1/15/19 | 27,051 | 27,208 |
7
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Wells Fargo & Co. | 2.125% | 4/22/19 | 32,217 | 32,407 |
| Wells Fargo & Co. | 2.150% | 1/30/20 | 23,708 | 23,824 |
| Wells Fargo & Co. | 2.600% | 7/22/20 | 41,781 | 42,432 |
| Wells Fargo & Co. | 2.550% | 12/7/20 | 36,289 | 36,765 |
| Wells Fargo & Co. | 3.000% | 1/22/21 | 11,926 | 12,248 |
| Wells Fargo & Co. | 2.500% | 3/4/21 | 31,603 | 31,915 |
| Wells Fargo & Co. | 4.600% | 4/1/21 | 33,749 | 36,460 |
| Wells Fargo & Co. | 2.100% | 7/26/21 | 45,575 | 45,330 |
| Wells Fargo & Co. | 3.500% | 3/8/22 | 32,834 | 34,260 |
| Wells Fargo & Co. | 2.625% | 7/22/22 | 49,750 | 49,999 |
| Wells Fargo Bank NA | 1.800% | 11/28/18 | 2,450 | 2,453 |
| Wells Fargo Bank NA | 1.750% | 5/24/19 | 38,635 | 38,638 |
| Wells Fargo Bank NA | 2.150% | 12/6/19 | 29,806 | 30,005 |
| Westpac Banking Corp. | 1.950% | 11/23/18 | 11,900 | 11,928 |
| Westpac Banking Corp. | 2.250% | 1/17/19 | 18,473 | 18,589 |
| Westpac Banking Corp. | 1.650% | 5/13/19 | 10,000 | 9,964 |
| Westpac Banking Corp. | 1.600% | 8/19/19 | 26,400 | 26,309 |
| Westpac Banking Corp. | 4.875% | 11/19/19 | 26,085 | 27,763 |
| Westpac Banking Corp. | 2.150% | 3/6/20 | 21,321 | 21,461 |
| Westpac Banking Corp. | 2.300% | 5/26/20 | 14,000 | 14,111 |
| Westpac Banking Corp. | 2.600% | 11/23/20 | 18,167 | 18,448 |
| Westpac Banking Corp. | 2.100% | 5/13/21 | 13,032 | 13,010 |
| Westpac Banking Corp. | 2.000% | 8/19/21 | 20,625 | 20,542 |
| Westpac Banking Corp. | 2.800% | 1/11/22 | 16,000 | 16,371 |
| Westpac Banking Corp. | 2.500% | 6/28/22 | 24,675 | 24,789 |
| Brokerage (0.8%) | | | | |
| Ameriprise Financial Inc. | 7.300% | 6/28/19 | 5,975 | 6,542 |
| Ameriprise Financial Inc. | 5.300% | 3/15/20 | 9,395 | 10,148 |
| BGC Partners Inc. | 5.375% | 12/9/19 | 2,050 | 2,152 |
| BGC Partners Inc. | 5.125% | 5/27/21 | 2,250 | 2,378 |
| BlackRock Inc. | 5.000% | 12/10/19 | 19,562 | 20,929 |
| BlackRock Inc. | 4.250% | 5/24/21 | 8,922 | 9,615 |
| BlackRock Inc. | 3.375% | 6/1/22 | 5,725 | 6,011 |
| CBOE Holdings Inc. | 1.950% | 6/28/19 | 3,450 | 3,451 |
| Charles Schwab Corp. | 4.450% | 7/22/20 | 6,268 | 6,719 |
| E*TRADE Financial Corp. | 2.950% | 8/24/22 | 250 | 251 |
| Franklin Resources Inc. | 4.625% | 5/20/20 | 3,225 | 3,447 |
| Intercontinental Exchange Inc. | 2.500% | 10/15/18 | 8,200 | 8,275 |
| Intercontinental Exchange Inc. | 2.750% | 12/1/20 | 14,270 | 14,521 |
| Jefferies Group LLC | 8.500% | 7/15/19 | 7,002 | 7,766 |
| Jefferies Group LLC | 6.875% | 4/15/21 | 10,085 | 11,476 |
| Lazard Group LLC | 4.250% | 11/14/20 | 6,780 | 7,191 |
| Nasdaq Inc. | 5.550% | 1/15/20 | 8,437 | 9,119 |
| Nomura Holdings Inc. | 2.750% | 3/19/19 | 13,072 | 13,204 |
| Nomura Holdings Inc. | 6.700% | 3/4/20 | 15,700 | 17,369 |
| Raymond James Financial Inc. | 8.600% | 8/15/19 | 4,154 | 4,689 |
| Stifel Financial Corp. | 3.500% | 12/1/20 | 6,250 | 6,418 |
| TD Ameritrade Holding Corp. | 5.600% | 12/1/19 | 4,675 | 5,045 |
| TD Ameritrade Holding Corp. | 2.950% | 4/1/22 | 12,283 | 12,587 |
| Finance Companies (1.7%) | | | | |
| AerCap Ireland Capital DAC / AerCap Global Aviation | | | | |
| Trust | 3.750% | 5/15/19 | 13,886 | 14,233 |
| AerCap Ireland Capital DAC / AerCap Global Aviation | | | | |
| Trust | 4.250% | 7/1/20 | 7,720 | 8,106 |
| AerCap Ireland Capital DAC / AerCap Global Aviation | | | | |
| Trust | 4.625% | 10/30/20 | 14,422 | 15,323 |
| AerCap Ireland Capital DAC / AerCap Global Aviation | | | | |
| Trust | 4.500% | 5/15/21 | 14,136 | 15,019 |
| AerCap Ireland Capital DAC / AerCap Global Aviation | | | | |
| Trust | 5.000% | 10/1/21 | 14,737 | 15,934 |
| AerCap Ireland Capital DAC / AerCap Global Aviation | | | | |
| Trust | 3.950% | 2/1/22 | 11,933 | 12,470 |
8
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| AerCap Ireland Capital DAC / AerCap Global Aviation | | | | |
| Trust | 3.500% | 5/26/22 | 6,365 | 6,532 |
| AerCap Ireland Capital DAC / AerCap Global Aviation | | | | |
| Trust | 4.625% | 7/1/22 | 10,510 | 11,285 |
| Air Lease Corp. | 2.625% | 9/4/18 | 7,508 | 7,560 |
| Air Lease Corp. | 3.375% | 1/15/19 | 10,893 | 11,050 |
| Air Lease Corp. | 2.125% | 1/15/20 | 5,379 | 5,386 |
| Air Lease Corp. | 4.750% | 3/1/20 | 4,769 | 5,061 |
| Air Lease Corp. | 3.875% | 4/1/21 | 6,747 | 7,072 |
| Air Lease Corp. | 3.375% | 6/1/21 | 13,200 | 13,620 |
| Air Lease Corp. | 3.750% | 2/1/22 | 3,225 | 3,392 |
| Air Lease Corp. | 2.625% | 7/1/22 | 8,900 | 8,867 |
| Ares Capital Corp. | 4.875% | 11/30/18 | 6,980 | 7,209 |
| Ares Capital Corp. | 3.875% | 1/15/20 | 7,325 | 7,532 |
| Ares Capital Corp. | 3.625% | 1/19/22 | 8,975 | 9,103 |
| FS Investment Corp. | 4.000% | 7/15/19 | 4,000 | 4,081 |
| FS Investment Corp. | 4.250% | 1/15/20 | 3,475 | 3,555 |
| GATX Corp. | 2.500% | 3/15/19 | 1,065 | 1,073 |
| GATX Corp. | 2.500% | 7/30/19 | 3,875 | 3,904 |
| GATX Corp. | 2.600% | 3/30/20 | 5,025 | 5,094 |
| GATX Corp. | 4.850% | 6/1/21 | 3,400 | 3,694 |
| GE Capital International Funding Co. | 2.342% | 11/15/20 | 86,650 | 87,295 |
| HSBC Finance Corp. | 6.676% | 1/15/21 | 38,190 | 43,352 |
| 2 International Lease Finance Corp. | 7.125% | 9/1/18 | 13,355 | 14,006 |
| International Lease Finance Corp. | 5.875% | 4/1/19 | 9,905 | 10,475 |
| International Lease Finance Corp. | 6.250% | 5/15/19 | 12,464 | 13,274 |
| International Lease Finance Corp. | 8.250% | 12/15/20 | 19,374 | 22,716 |
| International Lease Finance Corp. | 4.625% | 4/15/21 | 5,850 | 6,238 |
| International Lease Finance Corp. | 8.625% | 1/15/22 | 7,340 | 9,028 |
| International Lease Finance Corp. | 5.875% | 8/15/22 | 10,194 | 11,519 |
| Prospect Capital Corp. | 5.000% | 7/15/19 | 2,225 | 2,304 |
| Insurance (3.0%) | | | | |
| AEGON Funding Co. LLC | 5.750% | 12/15/20 | 5,901 | 6,469 |
| Aetna Inc. | 2.200% | 3/15/19 | 9,730 | 9,778 |
| Aetna Inc. | 4.125% | 6/1/21 | 5,224 | 5,545 |
| Aflac Inc. | 2.400% | 3/16/20 | 5,496 | 5,558 |
| Aflac Inc. | 4.000% | 2/15/22 | 4,925 | 5,271 |
| Alleghany Corp. | 5.625% | 9/15/20 | 1,400 | 1,531 |
| Alleghany Corp. | 4.950% | 6/27/22 | 7,000 | 7,703 |
| Allied World Assurance Co. Holdings Ltd. | 5.500% | 11/15/20 | 2,625 | 2,852 |
| Allstate Corp. | 7.450% | 5/16/19 | 328 | 358 |
| Alterra Finance LLC | 6.250% | 9/30/20 | 5,170 | 5,745 |
| American Financial Group Inc. | 9.875% | 6/15/19 | 2,927 | 3,315 |
| American International Group Inc. | 2.300% | 7/16/19 | 15,709 | 15,827 |
| American International Group Inc. | 3.375% | 8/15/20 | 7,930 | 8,217 |
| American International Group Inc. | 6.400% | 12/15/20 | 7,925 | 8,947 |
| American International Group Inc. | 3.300% | 3/1/21 | 19,642 | 20,231 |
| American International Group Inc. | 4.875% | 6/1/22 | 21,158 | 23,302 |
| Anthem Inc. | 7.000% | 2/15/19 | 1,065 | 1,141 |
| Anthem Inc. | 2.250% | 8/15/19 | 15,645 | 15,683 |
| Anthem Inc. | 4.350% | 8/15/20 | 7,655 | 8,135 |
| Anthem Inc. | 3.700% | 8/15/21 | 8,260 | 8,653 |
| Anthem Inc. | 3.125% | 5/15/22 | 12,088 | 12,454 |
| Aon Corp. | 5.000% | 9/30/20 | 8,956 | 9,674 |
| Aon plc | 2.800% | 3/15/21 | 4,063 | 4,057 |
| AXIS Specialty Finance LLC | 5.875% | 6/1/20 | 6,842 | 7,466 |
| Berkshire Hathaway Finance Corp. | 1.700% | 3/15/19 | 20,045 | 20,045 |
| Berkshire Hathaway Finance Corp. | 1.300% | 8/15/19 | 12,550 | 12,471 |
| Berkshire Hathaway Finance Corp. | 2.900% | 10/15/20 | 6,366 | 6,573 |
| Berkshire Hathaway Finance Corp. | 4.250% | 1/15/21 | 9,427 | 10,133 |
| Berkshire Hathaway Finance Corp. | 3.000% | 5/15/22 | 13,920 | 14,460 |
| Berkshire Hathaway Inc. | 2.100% | 8/14/19 | 13,127 | 13,242 |
| Berkshire Hathaway Inc. | 2.200% | 3/15/21 | 10,900 | 10,997 |
9
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Berkshire Hathaway Inc. | 3.750% | 8/15/21 | 6,265 | 6,665 |
| Berkshire Hathaway Inc. | 3.400% | 1/31/22 | 5,334 | 5,620 |
| Chubb INA Holdings Inc. | 5.900% | 6/15/19 | 3,835 | 4,108 |
| Chubb INA Holdings Inc. | 2.300% | 11/3/20 | 23,287 | 23,493 |
| Cigna Corp. | 5.125% | 6/15/20 | 3,180 | 3,442 |
| Cigna Corp. | 4.375% | 12/15/20 | 1,750 | 1,887 |
| Cigna Corp. | 4.500% | 3/15/21 | 3,074 | 3,298 |
| Cigna Corp. | 4.000% | 2/15/22 | 6,290 | 6,677 |
| CNA Financial Corp. | 7.350% | 11/15/19 | 4,465 | 4,990 |
| CNA Financial Corp. | 5.875% | 8/15/20 | 6,758 | 7,425 |
| CNA Financial Corp. | 5.750% | 8/15/21 | 4,850 | 5,415 |
| Coventry Health Care Inc. | 5.450% | 6/15/21 | 8,729 | 9,615 |
| Enstar Group Ltd. | 4.500% | 3/10/22 | 4,100 | 4,269 |
| Hartford Financial Services Group Inc. | 6.000% | 1/15/19 | 6,060 | 6,386 |
| Hartford Financial Services Group Inc. | 5.500% | 3/30/20 | 8,154 | 8,828 |
| Hartford Financial Services Group Inc. | 5.125% | 4/15/22 | 9,444 | 10,522 |
| Humana Inc. | 2.625% | 10/1/19 | 6,205 | 6,290 |
| Lincoln National Corp. | 8.750% | 7/1/19 | 1,827 | 2,042 |
| Lincoln National Corp. | 6.250% | 2/15/20 | 3,675 | 4,024 |
| Lincoln National Corp. | 4.850% | 6/24/21 | 3,325 | 3,625 |
| Lincoln National Corp. | 4.200% | 3/15/22 | 3,372 | 3,595 |
| Manulife Financial Corp. | 4.900% | 9/17/20 | 7,100 | 7,687 |
| Markel Corp. | 4.900% | 7/1/22 | 4,870 | 5,333 |
| Marsh & McLennan Cos. Inc. | 2.550% | 10/15/18 | 2,150 | 2,169 |
| Marsh & McLennan Cos. Inc. | 2.350% | 9/10/19 | 6,030 | 6,075 |
| Marsh & McLennan Cos. Inc. | 2.350% | 3/6/20 | 6,226 | 6,280 |
| Marsh & McLennan Cos. Inc. | 4.800% | 7/15/21 | 7,781 | 8,472 |
| Marsh & McLennan Cos. Inc. | 2.750% | 1/30/22 | 14,265 | 14,498 |
| MetLife Inc. | 7.717% | 2/15/19 | 12,356 | 13,390 |
| MetLife Inc. | 4.750% | 2/8/21 | 16,835 | 18,331 |
| PartnerRe Finance B LLC | 5.500% | 6/1/20 | 5,210 | 5,654 |
| Primerica Inc. | 4.750% | 7/15/22 | 4,944 | 5,389 |
| 1 Principal Financial Group Inc. | 4.700% | 5/15/55 | 3,800 | 3,943 |
| Progressive Corp. | 3.750% | 8/23/21 | 7,749 | 8,206 |
| Protective Life Corp. | 7.375% | 10/15/19 | 5,425 | 5,987 |
| Prudential Financial Inc. | 7.375% | 6/15/19 | 9,916 | 10,857 |
| Prudential Financial Inc. | 2.350% | 8/15/19 | 6,200 | 6,239 |
| Prudential Financial Inc. | 5.375% | 6/21/20 | 11,869 | 12,938 |
| Prudential Financial Inc. | 4.500% | 11/15/20 | 6,150 | 6,595 |
| Prudential Financial Inc. | 4.500% | 11/16/21 | 6,200 | 6,735 |
| Reinsurance Group of America Inc. | 6.450% | 11/15/19 | 4,845 | 5,293 |
| Reinsurance Group of America Inc. | 5.000% | 6/1/21 | 6,925 | 7,532 |
| Torchmark Corp. | 9.250% | 6/15/19 | 3,000 | 3,371 |
| Travelers Cos. Inc. | 5.900% | 6/2/19 | 6,024 | 6,445 |
| Travelers Cos. Inc. | 3.900% | 11/1/20 | 4,340 | 4,573 |
| Trinity Acquisition plc | 3.500% | 9/15/21 | 5,454 | 5,599 |
| UnitedHealth Group Inc. | 1.700% | 2/15/19 | 8,771 | 8,771 |
| UnitedHealth Group Inc. | 1.625% | 3/15/19 | 9,490 | 9,489 |
| UnitedHealth Group Inc. | 2.300% | 12/15/19 | 10,575 | 10,681 |
| UnitedHealth Group Inc. | 2.700% | 7/15/20 | 21,021 | 21,522 |
| UnitedHealth Group Inc. | 3.875% | 10/15/20 | 4,404 | 4,635 |
| UnitedHealth Group Inc. | 4.700% | 2/15/21 | 5,692 | 6,148 |
| UnitedHealth Group Inc. | 2.125% | 3/15/21 | 11,147 | 11,192 |
| UnitedHealth Group Inc. | 3.375% | 11/15/21 | 7,100 | 7,439 |
| UnitedHealth Group Inc. | 2.875% | 12/15/21 | 15,100 | 15,515 |
| UnitedHealth Group Inc. | 2.875% | 3/15/22 | 11,627 | 11,919 |
| UnitedHealth Group Inc. | 3.350% | 7/15/22 | 11,078 | 11,643 |
| Unum Group | 5.625% | 9/15/20 | 2,143 | 2,344 |
| Unum Group | 3.000% | 5/15/21 | 4,500 | 4,557 |
| Willis Towers Watson plc | 5.750% | 3/15/21 | 4,015 | 4,417 |
| WR Berkley Corp. | 7.375% | 9/15/19 | 1,282 | 1,412 |
| WR Berkley Corp. | 5.375% | 9/15/20 | 3,175 | 3,457 |
| WR Berkley Corp. | 4.625% | 3/15/22 | 5,691 | 6,199 |
| XLIT Ltd. | 2.300% | 12/15/18 | 8,555 | 8,587 |
10
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| XLIT Ltd. | 5.750% | 10/1/21 | 4,390 | 4,939 |
| Other Finance (0.0%) | | | | |
| ORIX Corp. | 2.900% | 7/18/22 | 10,100 | 10,202 |
| |
| Real Estate Investment Trusts (1.9%) | | | | |
| Alexandria Real Estate Equities Inc. | 2.750% | 1/15/20 | 3,525 | 3,565 |
| Alexandria Real Estate Equities Inc. | 4.600% | 4/1/22 | 8,146 | 8,768 |
| American Campus Communities Operating Partnership | | | | |
| LP | 3.350% | 10/1/20 | 5,420 | 5,576 |
| AvalonBay Communities Inc. | 6.100% | 3/15/20 | 750 | 824 |
| AvalonBay Communities Inc. | 3.625% | 10/1/20 | 6,305 | 6,566 |
| AvalonBay Communities Inc. | 3.950% | 1/15/21 | 1,125 | 1,183 |
| Boston Properties LP | 3.700% | 11/15/18 | 16,624 | 16,930 |
| Boston Properties LP | 5.875% | 10/15/19 | 10,044 | 10,805 |
| Boston Properties LP | 5.625% | 11/15/20 | 6,275 | 6,895 |
| Boston Properties LP | 4.125% | 5/15/21 | 8,525 | 9,039 |
| Brixmor Operating Partnership LP | 3.875% | 8/15/22 | 5,253 | 5,427 |
| Camden Property Trust | 4.625% | 6/15/21 | 1,100 | 1,173 |
| Corporate Office Properties LP | 3.700% | 6/15/21 | 3,340 | 3,433 |
| DDR Corp. | 7.875% | 9/1/20 | 5,320 | 6,198 |
| DDR Corp. | 3.500% | 1/15/21 | 8,398 | 8,548 |
| DDR Corp. | 4.625% | 7/15/22 | 5,025 | 5,315 |
| Digital Realty Trust LP | 5.875% | 2/1/20 | 5,600 | 6,049 |
| Digital Realty Trust LP | 3.400% | 10/1/20 | 4,550 | 4,699 |
| Digital Realty Trust LP | 5.250% | 3/15/21 | 11,129 | 12,149 |
| Digital Realty Trust LP | 3.950% | 7/1/22 | 6,660 | 7,066 |
| Duke Realty LP | 3.875% | 2/15/21 | 3,050 | 3,189 |
| Duke Realty LP | 4.375% | 6/15/22 | 550 | 591 |
| EPR Properties | 7.750% | 7/15/20 | 1,000 | 1,134 |
| EPR Properties | 5.750% | 8/15/22 | 4,715 | 5,257 |
| ERP Operating LP | 2.375% | 7/1/19 | 5,869 | 5,927 |
| ERP Operating LP | 4.750% | 7/15/20 | 3,975 | 4,249 |
| ERP Operating LP | 4.625% | 12/15/21 | 13,106 | 14,263 |
| Essex Portfolio LP | 5.200% | 3/15/21 | 2,700 | 2,927 |
| Essex Portfolio LP | 3.625% | 8/15/22 | 1,300 | 1,347 |
| Government Properties Income Trust | 3.750% | 8/15/19 | 2,745 | 2,786 |
| Government Properties Income Trust | 4.000% | 7/15/22 | 6,500 | 6,529 |
| HCP Inc. | 3.750% | 2/1/19 | 6,496 | 6,663 |
| HCP Inc. | 2.625% | 2/1/20 | 20,793 | 21,008 |
| HCP Inc. | 5.375% | 2/1/21 | 2,087 | 2,277 |
| HCP Inc. | 3.150% | 8/1/22 | 3,271 | 3,340 |
| Healthcare Realty Trust Inc. | 5.750% | 1/15/21 | 2,505 | 2,767 |
| Healthcare Trust of America Holdings LP | 3.375% | 7/15/21 | 3,450 | 3,558 |
| Healthcare Trust of America Holdings LP | 2.950% | 7/1/22 | 7,903 | 7,988 |
| Highwoods Realty LP | 3.200% | 6/15/21 | 2,700 | 2,748 |
| Hospitality Properties Trust | 4.250% | 2/15/21 | 4,600 | 4,815 |
| Hospitality Properties Trust | 5.000% | 8/15/22 | 7,726 | 8,329 |
| Host Hotels & Resorts LP | 6.000% | 10/1/21 | 4,297 | 4,809 |
| Host Hotels & Resorts LP | 5.250% | 3/15/22 | 3,415 | 3,740 |
| Kimco Realty Corp. | 6.875% | 10/1/19 | 5,075 | 5,557 |
| Kimco Realty Corp. | 3.200% | 5/1/21 | 4,390 | 4,511 |
| Liberty Property LP | 4.750% | 10/1/20 | 5,485 | 5,842 |
| Liberty Property LP | 4.125% | 6/15/22 | 4,000 | 4,232 |
| Mack-Cali Realty LP | 4.500% | 4/18/22 | 3,615 | 3,717 |
| National Retail Properties Inc. | 6.875% | 10/15/17 | 2,000 | 2,011 |
| National Retail Properties Inc. | 5.500% | 7/15/21 | 300 | 330 |
| ProLogis LP | 3.350% | 2/1/21 | 5,746 | 5,964 |
| Realty Income Corp. | 6.750% | 8/15/19 | 11,315 | 12,320 |
| Regency Centers LP | 4.800% | 4/15/21 | 5,275 | 5,646 |
| Select Income REIT | 3.600% | 2/1/20 | 150 | 152 |
| Select Income REIT | 4.150% | 2/1/22 | 3,435 | 3,492 |
| Senior Housing Properties Trust | 3.250% | 5/1/19 | 6,050 | 6,129 |
| Simon Property Group LP | 2.200% | 2/1/19 | 13,672 | 13,764 |
11
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Simon Property Group LP | 2.500% | 9/1/20 | 6,098 | 6,202 |
| Simon Property Group LP | 4.375% | 3/1/21 | 10,350 | 11,052 |
| Simon Property Group LP | 2.500% | 7/15/21 | 4,975 | 5,021 |
| Simon Property Group LP | 4.125% | 12/1/21 | 9,775 | 10,451 |
| Simon Property Group LP | 2.350% | 1/30/22 | 5,950 | 5,966 |
| Simon Property Group LP | 3.375% | 3/15/22 | 6,464 | 6,711 |
| Simon Property Group LP | 2.625% | 6/15/22 | 15,300 | 15,470 |
| SL Green Realty Corp. | 7.750% | 3/15/20 | 2,500 | 2,791 |
| UDR Inc. | 3.700% | 10/1/20 | 7,825 | 8,101 |
| UDR Inc. | 4.625% | 1/10/22 | 650 | 699 |
| Ventas Realty LP / Ventas Capital Corp. | 4.000% | 4/30/19 | 5,360 | 5,517 |
| Ventas Realty LP / Ventas Capital Corp. | 2.700% | 4/1/20 | 8,018 | 8,110 |
| Ventas Realty LP / Ventas Capital Corp. | 4.750% | 6/1/21 | 8,381 | 9,025 |
| Ventas Realty LP / Ventas Capital Corp. | 4.250% | 3/1/22 | 7,804 | 8,316 |
| Ventas Realty LP / Ventas Capital Corp. | 3.250% | 8/15/22 | 7,100 | 7,274 |
| VEREIT Operating Partnership LP | 3.000% | 2/6/19 | 4,290 | 4,344 |
| VEREIT Operating Partnership LP | 4.125% | 6/1/21 | 9,350 | 9,811 |
| Vornado Realty LP | 2.500% | 6/30/19 | 7,727 | 7,800 |
| Vornado Realty LP | 5.000% | 1/15/22 | 4,050 | 4,401 |
| Washington Prime Group LP | 3.850% | 4/1/20 | 2,200 | 2,209 |
| Washington REIT | 4.950% | 10/1/20 | 2,150 | 2,274 |
| Welltower Inc. | 4.125% | 4/1/19 | 10,670 | 10,987 |
| Welltower Inc. | 6.125% | 4/15/20 | 5,525 | 6,085 |
| Welltower Inc. | 4.950% | 1/15/21 | 6,707 | 7,238 |
| Welltower Inc. | 5.250% | 1/15/22 | 4,559 | 5,046 |
| | | | | 10,289,460 |
| Industrial (54.0%) | | | | |
| Basic Industry (2.6%) | | | | |
| Agrium Inc. | 6.750% | 1/15/19 | 4,599 | 4,870 |
| Air Products & Chemicals Inc. | 4.375% | 8/21/19 | 3,840 | 4,032 |
| Air Products & Chemicals Inc. | 3.000% | 11/3/21 | 11,400 | 11,803 |
| Airgas Inc. | 2.375% | 2/15/20 | 2,200 | 2,220 |
| Airgas Inc. | 3.050% | 8/1/20 | 6,450 | 6,625 |
| Barrick Gold Corp. | 3.850% | 4/1/22 | 1,635 | 1,745 |
| Barrick North America Finance LLC | 4.400% | 5/30/21 | 16,752 | 18,256 |
| BHP Billiton Finance USA Ltd. | 3.250% | 11/21/21 | 600 | 631 |
| BHP Billiton Finance USA Ltd. | 2.875% | 2/24/22 | 14,270 | 14,698 |
| Cabot Corp. | 3.700% | 7/15/22 | 4,600 | 4,751 |
| Celanese US Holdings LLC | 5.875% | 6/15/21 | 5,325 | 5,944 |
| Celulosa Arauco y Constitucion SA | 7.250% | 7/29/19 | 5,480 | 5,953 |
| Celulosa Arauco y Constitucion SA | 5.000% | 1/21/21 | 4,925 | 5,233 |
| Celulosa Arauco y Constitucion SA | 4.750% | 1/11/22 | 6,675 | 7,037 |
| Domtar Corp. | 4.400% | 4/1/22 | 1,446 | 1,530 |
| Dow Chemical Co. | 8.550% | 5/15/19 | 31,345 | 34,775 |
| Dow Chemical Co. | 4.250% | 11/15/20 | 22,605 | 24,004 |
| Dow Chemical Co. | 4.125% | 11/15/21 | 16,310 | 17,407 |
| Eastman Chemical Co. | 2.700% | 1/15/20 | 12,325 | 12,480 |
| Eastman Chemical Co. | 4.500% | 1/15/21 | 51 | 54 |
| Eastman Chemical Co. | 3.600% | 8/15/22 | 6,125 | 6,371 |
| Ecolab Inc. | 2.000% | 1/14/19 | 7,000 | 7,035 |
| Ecolab Inc. | 2.250% | 1/12/20 | 4,495 | 4,540 |
| Ecolab Inc. | 4.350% | 12/8/21 | 14,942 | 16,255 |
| Ecolab Inc. | 2.375% | 8/10/22 | 7,000 | 7,042 |
| EI du Pont de Nemours & Co. | 5.750% | 3/15/19 | 200 | 212 |
| EI du Pont de Nemours & Co. | 4.625% | 1/15/20 | 11,662 | 12,403 |
| EI du Pont de Nemours & Co. | 2.200% | 5/1/20 | 30,215 | 30,441 |
| EI du Pont de Nemours & Co. | 3.625% | 1/15/21 | 9,275 | 9,729 |
| EI du Pont de Nemours & Co. | 4.250% | 4/1/21 | 6,295 | 6,739 |
| FMC Corp. | 5.200% | 12/15/19 | 3,150 | 3,339 |
| FMC Corp. | 3.950% | 2/1/22 | 1,775 | 1,831 |
| Goldcorp Inc. | 3.625% | 6/9/21 | 10,550 | 10,978 |
| International Paper Co. | 9.375% | 5/15/19 | 118 | 132 |
| International Paper Co. | 7.500% | 8/15/21 | 6,236 | 7,423 |
12
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| International Paper Co. | 4.750% | 2/15/22 | 15,975 | 17,479 |
| LyondellBasell Industries NV | 5.000% | 4/15/19 | 18,688 | 19,438 |
| LyondellBasell Industries NV | 6.000% | 11/15/21 | 13,060 | 14,741 |
| Methanex Corp. | 3.250% | 12/15/19 | 3,450 | 3,487 |
| Monsanto Co. | 1.850% | 11/15/18 | 2,535 | 2,536 |
| Monsanto Co. | 2.125% | 7/15/19 | 10,000 | 10,046 |
| Monsanto Co. | 2.750% | 7/15/21 | 4,905 | 4,976 |
| Mosaic Co. | 3.750% | 11/15/21 | 5,510 | 5,758 |
| Newmont Mining Corp. | 5.125% | 10/1/19 | 7,336 | 7,748 |
| Newmont Mining Corp. | 3.500% | 3/15/22 | 16,398 | 17,090 |
| Packaging Corp. of America | 3.900% | 6/15/22 | 5,000 | 5,272 |
| Potash Corp. of Saskatchewan Inc. | 6.500% | 5/15/19 | 5,170 | 5,539 |
| Potash Corp. of Saskatchewan Inc. | 4.875% | 3/30/20 | 4,925 | 5,216 |
| PPG Industries Inc. | 2.300% | 11/15/19 | 6,700 | 6,734 |
| PPG Industries Inc. | 3.600% | 11/15/20 | 3,975 | 4,136 |
| Praxair Inc. | 1.250% | 11/7/18 | 11,075 | 11,054 |
| Praxair Inc. | 4.500% | 8/15/19 | 6,575 | 6,912 |
| Praxair Inc. | 2.250% | 9/24/20 | 3,900 | 3,921 |
| Praxair Inc. | 4.050% | 3/15/21 | 5,125 | 5,467 |
| Praxair Inc. | 3.000% | 9/1/21 | 6,307 | 6,499 |
| Praxair Inc. | 2.450% | 2/15/22 | 4,075 | 4,129 |
| Praxair Inc. | 2.200% | 8/15/22 | 7,125 | 7,143 |
| Rayonier Inc. | 3.750% | 4/1/22 | 3,400 | 3,465 |
| Rio Tinto Finance USA Ltd. | 4.125% | 5/20/21 | 3,729 | 3,997 |
| Rio Tinto Finance USA Ltd. | 3.750% | 9/20/21 | 5,181 | 5,494 |
| Rio Tinto Finance USA plc | 3.500% | 3/22/22 | 7,516 | 7,897 |
| Rio Tinto Finance USA plc | 2.875% | 8/21/22 | 5,120 | 5,246 |
| RPM International Inc. | 6.125% | 10/15/19 | 3,450 | 3,730 |
| Sherwin-Williams Co. | 7.250% | 6/15/19 | 1,525 | 1,659 |
| Sherwin-Williams Co. | 2.250% | 5/15/20 | 22,260 | 22,370 |
| Sherwin-Williams Co. | 4.200% | 1/15/22 | 3,990 | 4,250 |
| Sherwin-Williams Co. | 2.750% | 6/1/22 | 14,530 | 14,641 |
| Southern Copper Corp. | 5.375% | 4/16/20 | 3,100 | 3,352 |
| Syngenta Finance NV | 3.125% | 3/28/22 | 6,107 | 6,078 |
| Vale Overseas Ltd. | 5.625% | 9/15/19 | 18,025 | 19,422 |
| Vale Overseas Ltd. | 4.625% | 9/15/20 | 7,753 | 8,238 |
| Vale Overseas Ltd. | 5.875% | 6/10/21 | 16,193 | 17,893 |
| Vale Overseas Ltd. | 4.375% | 1/11/22 | 32,674 | 34,430 |
| Westlake Chemical Corp. | 4.625% | 2/15/21 | 6,800 | 7,038 |
| WestRock MWV LLC | 7.375% | 9/1/19 | 950 | 1,045 |
| WestRock RKT Co. | 4.450% | 3/1/19 | 5,480 | 5,665 |
| WestRock RKT Co. | 3.500% | 3/1/20 | 2,500 | 2,571 |
| WestRock RKT Co. | 4.900% | 3/1/22 | 2,075 | 2,266 |
| Weyerhaeuser Co. | 7.375% | 10/1/19 | 4,815 | 5,342 |
| Weyerhaeuser Co. | 4.700% | 3/15/21 | 5,475 | 5,853 |
| Capital Goods (4.7%) | | | | |
| 3M Co. | 1.625% | 6/15/19 | 6,925 | 6,941 |
| 3M Co. | 2.000% | 8/7/20 | 7,675 | 7,732 |
| 3M Co. | 1.625% | 9/19/21 | 7,750 | 7,654 |
| 3M Co. | 2.000% | 6/26/22 | 5,850 | 5,851 |
| ABB Finance USA Inc. | 2.875% | 5/8/22 | 13,348 | 13,700 |
| Acuity Brands Lighting Inc. | 6.000% | 12/15/19 | 4,175 | 4,519 |
| Bemis Co. Inc. | 6.800% | 8/1/19 | 3,550 | 3,851 |
| Bemis Co. Inc. | 4.500% | 10/15/21 | 3,000 | 3,244 |
| Boeing Capital Corp. | 4.700% | 10/27/19 | 6,384 | 6,782 |
| Boeing Co. | 6.000% | 3/15/19 | 4,885 | 5,208 |
| Boeing Co. | 4.875% | 2/15/20 | 10,515 | 11,305 |
| Boeing Co. | 1.650% | 10/30/20 | 4,730 | 4,713 |
| Boeing Co. | 8.750% | 8/15/21 | 1,800 | 2,246 |
| Boeing Co. | 2.350% | 10/30/21 | 7,150 | 7,276 |
| Boeing Co. | 2.125% | 3/1/22 | 2,950 | 2,969 |
| Caterpillar Financial Services Corp. | 2.450% | 9/6/18 | 8,935 | 9,013 |
| Caterpillar Financial Services Corp. | 7.050% | 10/1/18 | 875 | 924 |
13
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Caterpillar Financial Services Corp. | 1.800% | 11/13/18 | 11,190 | 11,206 |
| Caterpillar Financial Services Corp. | 7.150% | 2/15/19 | 17,537 | 18,895 |
| Caterpillar Financial Services Corp. | 1.900% | 3/22/19 | 5,150 | 5,169 |
| Caterpillar Financial Services Corp. | 1.350% | 5/18/19 | 7,825 | 7,775 |
| Caterpillar Financial Services Corp. | 2.100% | 6/9/19 | 18,195 | 18,308 |
| Caterpillar Financial Services Corp. | 2.250% | 12/1/19 | 4,602 | 4,636 |
| Caterpillar Financial Services Corp. | 2.100% | 1/10/20 | 11,954 | 12,044 |
| Caterpillar Financial Services Corp. | 2.000% | 3/5/20 | 7,945 | 7,945 |
| Caterpillar Financial Services Corp. | 2.500% | 11/13/20 | 4,950 | 5,018 |
| Caterpillar Financial Services Corp. | 1.700% | 8/9/21 | 14,271 | 14,059 |
| Caterpillar Financial Services Corp. | 2.750% | 8/20/21 | 2,000 | 2,040 |
| Caterpillar Financial Services Corp. | 1.931% | 10/1/21 | 9,904 | 9,844 |
| Caterpillar Financial Services Corp. | 2.850% | 6/1/22 | 6,997 | 7,157 |
| Caterpillar Financial Services Corp. | 2.400% | 6/6/22 | 3,950 | 3,989 |
| Caterpillar Inc. | 7.900% | 12/15/18 | 12,715 | 13,729 |
| Caterpillar Inc. | 3.900% | 5/27/21 | 14,397 | 15,376 |
| Caterpillar Inc. | 2.600% | 6/26/22 | 4,100 | 4,173 |
| Crane Co. | 2.750% | 12/15/18 | 4,050 | 4,091 |
| CRH America Inc. | 5.750% | 1/15/21 | 3,159 | 3,495 |
| Deere & Co. | 4.375% | 10/16/19 | 8,872 | 9,377 |
| Deere & Co. | 2.600% | 6/8/22 | 18,534 | 18,886 |
| Dover Corp. | 4.300% | 3/1/21 | 4,550 | 4,854 |
| Eaton Corp. | 6.950% | 3/20/19 | 75 | 81 |
| Embraer SA | 5.150% | 6/15/22 | 6,218 | 6,649 |
| Emerson Electric Co. | 5.250% | 10/15/18 | 5,100 | 5,311 |
| Emerson Electric Co. | 4.875% | 10/15/19 | 4,160 | 4,425 |
| Emerson Electric Co. | 4.250% | 11/15/20 | 5,150 | 5,518 |
| Emerson Electric Co. | 2.625% | 12/1/21 | 8,350 | 8,521 |
| Exelis Inc. | 5.550% | 10/1/21 | 7,125 | 7,953 |
| FLIR Systems Inc. | 3.125% | 6/15/21 | 5,410 | 5,485 |
| Fortive Corp. | 1.800% | 6/15/19 | 4,750 | 4,738 |
| Fortive Corp. | 2.350% | 6/15/21 | 8,100 | 8,107 |
| Fortune Brands Home & Security Inc. | 3.000% | 6/15/20 | 3,490 | 3,555 |
| General Dynamics Corp. | 3.875% | 7/15/21 | 3,403 | 3,639 |
| General Electric Capital Corp. | 2.300% | 1/14/19 | 1,050 | 1,059 |
| General Electric Capital Corp. | 6.000% | 8/7/19 | 18,009 | 19,472 |
| General Electric Capital Corp. | 2.100% | 12/11/19 | 2,666 | 2,686 |
| General Electric Capital Corp. | 5.500% | 1/8/20 | 17,279 | 18,749 |
| General Electric Capital Corp. | 2.200% | 1/9/20 | 18,026 | 18,228 |
| General Electric Capital Corp. | 5.550% | 5/4/20 | 11,389 | 12,475 |
| General Electric Capital Corp. | 4.375% | 9/16/20 | 15,927 | 17,082 |
| General Electric Capital Corp. | 4.625% | 1/7/21 | 15,050 | 16,350 |
| General Electric Capital Corp. | 5.300% | 2/11/21 | 17,040 | 18,855 |
| General Electric Capital Corp. | 4.650% | 10/17/21 | 15,180 | 16,718 |
| Harris Corp. | 2.700% | 4/27/20 | 5,600 | 5,677 |
| Harris Corp. | 4.400% | 12/15/20 | 4,125 | 4,387 |
| Honeywell International Inc. | 1.400% | 10/30/19 | 15,875 | 15,762 |
| Honeywell International Inc. | 4.250% | 3/1/21 | 9,250 | 9,945 |
| Honeywell International Inc. | 1.850% | 11/1/21 | 21,337 | 21,179 |
| IDEX Corp. | 4.200% | 12/15/21 | 3,175 | 3,336 |
| Illinois Tool Works Inc. | 1.950% | 3/1/19 | 9,993 | 10,013 |
| Illinois Tool Works Inc. | 6.250% | 4/1/19 | 13,976 | 14,986 |
| Illinois Tool Works Inc. | 3.375% | 9/15/21 | 4,902 | 5,164 |
| Ingersoll-Rand Global Holding Co. Ltd. | 2.875% | 1/15/19 | 5,786 | 5,873 |
| Ingersoll-Rand Luxembourg Finance SA | 2.625% | 5/1/20 | 2,750 | 2,788 |
| John Deere Capital Corp. | 5.750% | 9/10/18 | 8,004 | 8,344 |
| John Deere Capital Corp. | 1.650% | 10/15/18 | 5,775 | 5,778 |
| John Deere Capital Corp. | 1.950% | 12/13/18 | 11,529 | 11,568 |
| John Deere Capital Corp. | 1.950% | 1/8/19 | 13,320 | 13,387 |
| John Deere Capital Corp. | 1.950% | 3/4/19 | 7,150 | 7,186 |
| John Deere Capital Corp. | 2.250% | 4/17/19 | 11,467 | 11,582 |
| John Deere Capital Corp. | 2.300% | 9/16/19 | 2,925 | 2,954 |
| John Deere Capital Corp. | 1.250% | 10/9/19 | 7,050 | 6,979 |
| John Deere Capital Corp. | 1.700% | 1/15/20 | 7,221 | 7,213 |
14
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| John Deere Capital Corp. | 2.050% | 3/10/20 | 7,065 | 7,101 |
| John Deere Capital Corp. | 2.200% | 3/13/20 | 2,500 | 2,522 |
| John Deere Capital Corp. | 1.950% | 6/22/20 | 9,150 | 9,185 |
| John Deere Capital Corp. | 2.375% | 7/14/20 | 5,715 | 5,793 |
| John Deere Capital Corp. | 2.450% | 9/11/20 | 3,500 | 3,553 |
| John Deere Capital Corp. | 2.550% | 1/8/21 | 5,400 | 5,496 |
| John Deere Capital Corp. | 2.800% | 3/4/21 | 3,720 | 3,814 |
| John Deere Capital Corp. | 3.900% | 7/12/21 | 7,398 | 7,861 |
| John Deere Capital Corp. | 3.150% | 10/15/21 | 5,364 | 5,587 |
| John Deere Capital Corp. | 2.650% | 1/6/22 | 7,200 | 7,337 |
| John Deere Capital Corp. | 2.750% | 3/15/22 | 5,675 | 5,805 |
| Johnson Controls International plc | 5.000% | 3/30/20 | 6,700 | 7,178 |
| Johnson Controls International plc | 4.250% | 3/1/21 | 4,514 | 4,803 |
| Johnson Controls International plc | 3.750% | 12/1/21 | 6,151 | 6,454 |
| Kennametal Inc. | 2.650% | 11/1/19 | 5,074 | 5,106 |
| Kennametal Inc. | 3.875% | 2/15/22 | 3,450 | 3,510 |
| Komatsu Mining Corp. | 5.125% | 10/15/21 | 7,150 | 7,936 |
| L3 Technologies Inc. | 5.200% | 10/15/19 | 10,440 | 11,131 |
| L3 Technologies Inc. | 4.750% | 7/15/20 | 10,334 | 11,042 |
| L3 Technologies Inc. | 4.950% | 2/15/21 | 12,650 | 13,650 |
| Lockheed Martin Corp. | 1.850% | 11/23/18 | 14,167 | 14,215 |
| Lockheed Martin Corp. | 4.250% | 11/15/19 | 8,955 | 9,403 |
| Lockheed Martin Corp. | 2.500% | 11/23/20 | 18,923 | 19,252 |
| Lockheed Martin Corp. | 3.350% | 9/15/21 | 9,732 | 10,173 |
| Masco Corp. | 7.125% | 3/15/20 | 946 | 1,057 |
| Masco Corp. | 3.500% | 4/1/21 | 4,675 | 4,829 |
| Masco Corp. | 5.950% | 3/15/22 | 2,578 | 2,904 |
| Northrop Grumman Corp. | 1.750% | 6/1/18 | 10,602 | 10,610 |
| Northrop Grumman Corp. | 5.050% | 8/1/19 | 2,930 | 3,102 |
| Northrop Grumman Corp. | 3.500% | 3/15/21 | 7,675 | 8,042 |
| Pentair Finance SA | 2.900% | 9/15/18 | 547 | 552 |
| Pentair Finance SA | 2.650% | 12/1/19 | 750 | 744 |
| Precision Castparts Corp. | 2.250% | 6/15/20 | 8,135 | 8,245 |
| Raytheon Co. | 4.400% | 2/15/20 | 8,050 | 8,558 |
| Raytheon Co. | 3.125% | 10/15/20 | 14,320 | 14,878 |
| Republic Services Inc. | 5.500% | 9/15/19 | 6,495 | 6,957 |
| Republic Services Inc. | 5.000% | 3/1/20 | 10,447 | 11,193 |
| Republic Services Inc. | 5.250% | 11/15/21 | 6,878 | 7,656 |
| Republic Services Inc. | 3.550% | 6/1/22 | 15,712 | 16,446 |
| Rockwell Automation Inc. | 2.050% | 3/1/20 | 5,725 | 5,740 |
| Rockwell Collins Inc. | 1.950% | 7/15/19 | 10,875 | 10,867 |
| Rockwell Collins Inc. | 5.250% | 7/15/19 | 2,750 | 2,904 |
| Rockwell Collins Inc. | 3.100% | 11/15/21 | 1,884 | 1,929 |
| Rockwell Collins Inc. | 2.800% | 3/15/22 | 17,030 | 17,271 |
| Roper Technologies Inc. | 2.050% | 10/1/18 | 16,516 | 16,571 |
| Roper Technologies Inc. | 6.250% | 9/1/19 | 3,768 | 4,080 |
| Roper Technologies Inc. | 3.000% | 12/15/20 | 13,971 | 14,304 |
| Roper Technologies Inc. | 2.800% | 12/15/21 | 9,370 | 9,492 |
| Snap-on Inc. | 6.125% | 9/1/21 | 3,000 | 3,479 |
| Stanley Black & Decker Inc. | 1.622% | 11/17/18 | 5,734 | 5,732 |
| Stanley Black & Decker Inc. | 2.451% | 11/17/18 | 12,193 | 12,321 |
| Stanley Black & Decker Inc. | 3.400% | 12/1/21 | 4,480 | 4,695 |
| 1 Stanley Black & Decker Inc. | 5.750% | 12/15/53 | 2,800 | 2,916 |
| United Technologies Corp. | 1.500% | 11/1/19 | 9,200 | 9,165 |
| United Technologies Corp. | 4.500% | 4/15/20 | 19,819 | 21,129 |
| United Technologies Corp. | 1.900% | 5/4/20 | 10,877 | 10,874 |
| United Technologies Corp. | 1.950% | 11/1/21 | 12,950 | 12,814 |
| United Technologies Corp. | 2.300% | 5/4/22 | 250 | 250 |
| United Technologies Corp. | 3.100% | 6/1/22 | 31,812 | 32,850 |
| Vulcan Materials Co. | 7.500% | 6/15/21 | 7,716 | 9,098 |
| Waste Management Inc. | 4.750% | 6/30/20 | 10,425 | 11,209 |
| Waste Management Inc. | 4.600% | 3/1/21 | 3,877 | 4,189 |
| Xylem Inc. | 4.875% | 10/1/21 | 5,800 | 6,319 |
15
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Communication (6.5%) | | | | |
| 21st Century Fox America Inc. | 6.900% | 3/1/19 | 7,325 | 7,856 |
| 21st Century Fox America Inc. | 5.650% | 8/15/20 | 7,150 | 7,868 |
| 21st Century Fox America Inc. | 4.500% | 2/15/21 | 9,151 | 9,833 |
| Activision Blizzard Inc. | 2.300% | 9/15/21 | 13,593 | 13,548 |
| Activision Blizzard Inc. | 2.600% | 6/15/22 | 6,925 | 6,954 |
| America Movil SAB de CV | 5.000% | 10/16/19 | 12,800 | 13,601 |
| America Movil SAB de CV | 5.000% | 3/30/20 | 26,535 | 28,560 |
| America Movil SAB de CV | 3.125% | 7/16/22 | 22,222 | 23,001 |
| American Tower Corp. | 3.400% | 2/15/19 | 14,145 | 14,427 |
| American Tower Corp. | 2.800% | 6/1/20 | 15,900 | 16,199 |
| American Tower Corp. | 5.050% | 9/1/20 | 9,226 | 9,974 |
| American Tower Corp. | 3.300% | 2/15/21 | 18,377 | 18,897 |
| American Tower Corp. | 3.450% | 9/15/21 | 6,200 | 6,425 |
| American Tower Corp. | 5.900% | 11/1/21 | 6,328 | 7,188 |
| American Tower Corp. | 2.250% | 1/15/22 | 4,255 | 4,203 |
| American Tower Corp. | 4.700% | 3/15/22 | 6,960 | 7,609 |
| AT&T Inc. | 2.375% | 11/27/18 | 20,453 | 20,591 |
| AT&T Inc. | 5.800% | 2/15/19 | 28,908 | 30,525 |
| AT&T Inc. | 2.300% | 3/11/19 | 28,306 | 28,483 |
| AT&T Inc. | 5.875% | 10/1/19 | 9,943 | 10,716 |
| AT&T Inc. | 5.200% | 3/15/20 | 17,665 | 18,982 |
| AT&T Inc. | 2.450% | 6/30/20 | 41,735 | 42,087 |
| AT&T Inc. | 4.600% | 2/15/21 | 12,620 | 13,503 |
| AT&T Inc. | 2.800% | 2/17/21 | 18,882 | 19,139 |
| AT&T Inc. | 5.000% | 3/1/21 | 22,820 | 24,740 |
| AT&T Inc. | 4.450% | 5/15/21 | 16,665 | 17,818 |
| AT&T Inc. | 3.875% | 8/15/21 | 18,286 | 19,142 |
| AT&T Inc. | 3.000% | 2/15/22 | 26,430 | 26,741 |
| AT&T Inc. | 3.200% | 3/1/22 | 20,025 | 20,474 |
| AT&T Inc. | 3.800% | 3/15/22 | 23,870 | 24,953 |
| AT&T Inc. | 3.000% | 6/30/22 | 31,980 | 32,342 |
| AT&T Inc. | 2.850% | 2/14/23 | 2,500 | 2,493 |
| British Telecommunications plc | 2.350% | 2/14/19 | 10,215 | 10,281 |
| CBS Corp. | 2.300% | 8/15/19 | 6,146 | 6,184 |
| CBS Corp. | 5.750% | 4/15/20 | 9,760 | 10,649 |
| CBS Corp. | 4.300% | 2/15/21 | 5,475 | 5,819 |
| CBS Corp. | 3.375% | 3/1/22 | 8,481 | 8,792 |
| Charter Communications Operating LLC / Charter | | | | |
| Communications Operating Capital | 3.579% | 7/23/20 | 34,015 | 34,905 |
| Charter Communications Operating LLC / Charter | | | | |
| Communications Operating Capital | 4.464% | 7/23/22 | 39,687 | 41,850 |
| Comcast Corp. | 5.700% | 7/1/19 | 9,957 | 10,652 |
| Comcast Corp. | 5.150% | 3/1/20 | 20,089 | 21,693 |
| Comcast Corp. | 1.625% | 1/15/22 | 10,680 | 10,440 |
| Comcast Corp. | 3.125% | 7/15/22 | 9,550 | 9,934 |
| Crown Castle International Corp. | 3.400% | 2/15/21 | 17,188 | 17,771 |
| Crown Castle International Corp. | 2.250% | 9/1/21 | 15,928 | 15,756 |
| Crown Castle International Corp. | 4.875% | 4/15/22 | 10,271 | 11,225 |
| Deutsche Telekom International Finance BV | 6.750% | 8/20/18 | 6,000 | 6,255 |
| Deutsche Telekom International Finance BV | 6.000% | 7/8/19 | 5,375 | 5,751 |
| Discovery Communications LLC | 5.625% | 8/15/19 | 4,430 | 4,706 |
| Discovery Communications LLC | 4.375% | 6/15/21 | 8,600 | 9,121 |
| Discovery Communications LLC | 3.300% | 5/15/22 | 14,538 | 14,577 |
| Electronic Arts Inc. | 3.700% | 3/1/21 | 10,550 | 11,032 |
| Moody's Corp. | 2.750% | 7/15/19 | 7,761 | 7,882 |
| Moody's Corp. | 5.500% | 9/1/20 | 5,650 | 6,195 |
| Moody's Corp. | 2.750% | 12/15/21 | 6,450 | 6,552 |
| NBCUniversal Media LLC | 5.150% | 4/30/20 | 32,509 | 35,271 |
| NBCUniversal Media LLC | 4.375% | 4/1/21 | 24,594 | 26,538 |
| Omnicom Group Inc. | 6.250% | 7/15/19 | 8,010 | 8,634 |
| Omnicom Group Inc. | 4.450% | 8/15/20 | 13,402 | 14,280 |
| Omnicom Group Inc. | 3.625% | 5/1/22 | 16,626 | 17,407 |
16
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Orange SA | 2.750% | 2/6/19 | 16,245 | 16,448 |
| Orange SA | 5.375% | 7/8/19 | 12,080 | 12,837 |
| Orange SA | 1.625% | 11/3/19 | 19,475 | 19,358 |
| Orange SA | 4.125% | 9/14/21 | 9,200 | 9,872 |
| Qwest Corp. | 6.750% | 12/1/21 | 11,741 | 12,864 |
| RELX Capital Inc. | 8.625% | 1/15/19 | 985 | 1,069 |
| S&P Global Inc. | 2.500% | 8/15/18 | 4,544 | 4,573 |
| S&P Global Inc. | 3.300% | 8/14/20 | 7,715 | 7,893 |
| Scripps Networks Interactive Inc. | 2.750% | 11/15/19 | 6,798 | 6,866 |
| Scripps Networks Interactive Inc. | 2.800% | 6/15/20 | 6,854 | 6,914 |
| Scripps Networks Interactive Inc. | 3.500% | 6/15/22 | 6,395 | 6,486 |
| Telefonica Emisiones SAU | 5.877% | 7/15/19 | 9,261 | 9,892 |
| Telefonica Emisiones SAU | 5.134% | 4/27/20 | 23,272 | 25,102 |
| Telefonica Emisiones SAU | 5.462% | 2/16/21 | 19,657 | 21,678 |
| Telefonos de Mexico SAB de CV | 5.500% | 11/15/19 | 1,750 | 1,885 |
| Thomson Reuters Corp. | 6.500% | 7/15/18 | 4,225 | 4,399 |
| Thomson Reuters Corp. | 4.700% | 10/15/19 | 4,825 | 5,084 |
| Thomson Reuters Corp. | 3.950% | 9/30/21 | 3,657 | 3,847 |
| Time Warner Cable LLC | 8.750% | 2/14/19 | 17,505 | 19,081 |
| Time Warner Cable LLC | 8.250% | 4/1/19 | 18,012 | 19,716 |
| Time Warner Cable LLC | 5.000% | 2/1/20 | 20,266 | 21,508 |
| Time Warner Cable LLC | 4.125% | 2/15/21 | 10,879 | 11,328 |
| Time Warner Cable LLC | 4.000% | 9/1/21 | 18,274 | 19,010 |
| Time Warner Inc. | 2.100% | 6/1/19 | 6,660 | 6,668 |
| Time Warner Inc. | 4.875% | 3/15/20 | 19,202 | 20,472 |
| Time Warner Inc. | 4.700% | 1/15/21 | 10,175 | 10,940 |
| Time Warner Inc. | 4.750% | 3/29/21 | 15,977 | 17,220 |
| Time Warner Inc. | 4.000% | 1/15/22 | 5,325 | 5,613 |
| Time Warner Inc. | 3.400% | 6/15/22 | 6,526 | 6,739 |
| Verizon Communications Inc. | 2.625% | 2/21/20 | 22,477 | 22,927 |
| Verizon Communications Inc. | 4.500% | 9/15/20 | 49,575 | 53,181 |
| Verizon Communications Inc. | 3.450% | 3/15/21 | 12,643 | 13,173 |
| Verizon Communications Inc. | 4.600% | 4/1/21 | 7,884 | 8,525 |
| Verizon Communications Inc. | 1.750% | 8/15/21 | 15,345 | 15,064 |
| Verizon Communications Inc. | 3.000% | 11/1/21 | 20,430 | 20,914 |
| Verizon Communications Inc. | 3.500% | 11/1/21 | 24,723 | 25,854 |
| Verizon Communications Inc. | 2.946% | 3/15/22 | 40,329 | 41,047 |
| Verizon Communications Inc. | 3.125% | 3/16/22 | 29,944 | 30,705 |
| Viacom Inc. | 5.625% | 9/15/19 | 10,150 | 10,822 |
| Viacom Inc. | 2.750% | 12/15/19 | 1,323 | 1,334 |
| Viacom Inc. | 3.875% | 12/15/21 | 7,264 | 7,550 |
| Viacom Inc. | 3.125% | 6/15/22 | 5,950 | 5,926 |
| Vodafone Group plc | 5.450% | 6/10/19 | 14,220 | 15,090 |
| Vodafone Group plc | 4.375% | 3/16/21 | 7,449 | 7,976 |
| Walt Disney Co. | 1.500% | 9/17/18 | 16,393 | 16,412 |
| Walt Disney Co. | 1.650% | 1/8/19 | 6,400 | 6,408 |
| Walt Disney Co. | 5.500% | 3/15/19 | 2,180 | 2,302 |
| Walt Disney Co. | 1.850% | 5/30/19 | 9,795 | 9,832 |
| Walt Disney Co. | 0.875% | 7/12/19 | 7,850 | 7,741 |
| Walt Disney Co. | 1.950% | 3/4/20 | 11,100 | 11,168 |
| Walt Disney Co. | 1.800% | 6/5/20 | 4,150 | 4,154 |
| Walt Disney Co. | 2.150% | 9/17/20 | 10,000 | 10,112 |
| Walt Disney Co. | 2.300% | 2/12/21 | 9,798 | 9,922 |
| Walt Disney Co. | 3.750% | 6/1/21 | 3,575 | 3,799 |
| Walt Disney Co. | 2.750% | 8/16/21 | 9,816 | 10,088 |
| Walt Disney Co. | 2.550% | 2/15/22 | 1,725 | 1,758 |
| Walt Disney Co. | 2.450% | 3/4/22 | 6,090 | 6,169 |
| WPP Finance 2010 | 4.750% | 11/21/21 | 10,127 | 11,029 |
| Consumer Cyclical (7.8%) | | | | |
| Advance Auto Parts Inc. | 5.750% | 5/1/20 | 2,175 | 2,360 |
| Advance Auto Parts Inc. | 4.500% | 1/15/22 | 4,050 | 4,309 |
| Alibaba Group Holding Ltd. | 2.500% | 11/28/19 | 26,750 | 27,028 |
| Alibaba Group Holding Ltd. | 3.125% | 11/28/21 | 16,200 | 16,665 |
17
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Amazon.com Inc. | 2.600% | 12/5/19 | 18,229 | 18,561 |
| 2 Amazon.com Inc. | 1.900% | 8/21/20 | 13,500 | 13,558 |
| Amazon.com Inc. | 3.300% | 12/5/21 | 8,693 | 9,108 |
| American Honda Finance Corp. | 2.125% | 10/10/18 | 13,818 | 13,897 |
| American Honda Finance Corp. | 1.500% | 11/19/18 | 605 | 604 |
| American Honda Finance Corp. | 1.700% | 2/22/19 | 5,358 | 5,358 |
| American Honda Finance Corp. | 1.200% | 7/12/19 | 9,989 | 9,903 |
| American Honda Finance Corp. | 2.250% | 8/15/19 | 15,411 | 15,544 |
| American Honda Finance Corp. | 2.000% | 2/14/20 | 13,814 | 13,880 |
| American Honda Finance Corp. | 2.150% | 3/13/20 | 3,845 | 3,877 |
| American Honda Finance Corp. | 1.950% | 7/20/20 | 8,500 | 8,519 |
| American Honda Finance Corp. | 2.450% | 9/24/20 | 16,074 | 16,311 |
| American Honda Finance Corp. | 1.650% | 7/12/21 | 7,050 | 6,942 |
| American Honda Finance Corp. | 1.700% | 9/9/21 | 15,056 | 14,846 |
| Automatic Data Processing Inc. | 2.250% | 9/15/20 | 15,691 | 15,898 |
| AutoNation Inc. | 5.500% | 2/1/20 | 3,518 | 3,777 |
| AutoNation Inc. | 3.350% | 1/15/21 | 5,150 | 5,261 |
| AutoZone Inc. | 1.625% | 4/21/19 | 8,290 | 8,248 |
| AutoZone Inc. | 4.000% | 11/15/20 | 2,484 | 2,608 |
| AutoZone Inc. | 2.500% | 4/15/21 | 1,625 | 1,627 |
| AutoZone Inc. | 3.700% | 4/15/22 | 9,672 | 10,094 |
| Best Buy Co. Inc. | 5.500% | 3/15/21 | 8,960 | 9,766 |
| Block Financial LLC | 4.125% | 10/1/20 | 14,848 | 15,463 |
| BorgWarner Inc. | 4.625% | 9/15/20 | 575 | 616 |
| Carnival Corp. | 3.950% | 10/15/20 | 7,620 | 8,077 |
| Coach Inc. | 3.000% | 7/15/22 | 5,425 | 5,423 |
| Costco Wholesale Corp. | 1.700% | 12/15/19 | 15,629 | 15,646 |
| Costco Wholesale Corp. | 1.750% | 2/15/20 | 5,335 | 5,345 |
| Costco Wholesale Corp. | 2.150% | 5/18/21 | 12,661 | 12,748 |
| Costco Wholesale Corp. | 2.250% | 2/15/22 | 6,985 | 7,033 |
| Costco Wholesale Corp. | 2.300% | 5/18/22 | 13,250 | 13,334 |
| CVS Health Corp. | 2.250% | 12/5/18 | 23,734 | 23,880 |
| CVS Health Corp. | 2.250% | 8/12/19 | 12,685 | 12,764 |
| CVS Health Corp. | 2.800% | 7/20/20 | 40,609 | 41,420 |
| CVS Health Corp. | 2.125% | 6/1/21 | 23,448 | 23,337 |
| CVS Health Corp. | 3.500% | 7/20/22 | 18,642 | 19,425 |
| Delphi Automotive plc | 3.150% | 11/19/20 | 4,050 | 4,151 |
| DR Horton Inc. | 3.750% | 3/1/19 | 8,595 | 8,767 |
| DR Horton Inc. | 4.000% | 2/15/20 | 3,928 | 4,090 |
| eBay Inc. | 2.200% | 8/1/19 | 16,119 | 16,239 |
| eBay Inc. | 2.150% | 6/5/20 | 10,500 | 10,539 |
| eBay Inc. | 3.250% | 10/15/20 | 7,635 | 7,891 |
| eBay Inc. | 2.875% | 8/1/21 | 7,859 | 8,010 |
| eBay Inc. | 3.800% | 3/9/22 | 8,265 | 8,707 |
| eBay Inc. | 2.600% | 7/15/22 | 11,850 | 11,873 |
| Expedia Inc. | 5.950% | 8/15/20 | 7,550 | 8,239 |
| Ford Motor Co. | 6.500% | 8/1/18 | 850 | 884 |
| Ford Motor Credit Co. LLC | 2.875% | 10/1/18 | 13,883 | 14,066 |
| Ford Motor Credit Co. LLC | 2.551% | 10/5/18 | 11,591 | 11,671 |
| Ford Motor Credit Co. LLC | 2.943% | 1/8/19 | 12,250 | 12,409 |
| Ford Motor Credit Co. LLC | 2.375% | 3/12/19 | 22,282 | 22,391 |
| Ford Motor Credit Co. LLC | 2.262% | 3/28/19 | 6,000 | 6,017 |
| Ford Motor Credit Co. LLC | 2.021% | 5/3/19 | 17,700 | 17,679 |
| Ford Motor Credit Co. LLC | 1.897% | 8/12/19 | 11,130 | 11,078 |
| Ford Motor Credit Co. LLC | 2.597% | 11/4/19 | 16,527 | 16,670 |
| Ford Motor Credit Co. LLC | 2.681% | 1/9/20 | 19,700 | 19,857 |
| Ford Motor Credit Co. LLC | 8.125% | 1/15/20 | 12,675 | 14,322 |
| Ford Motor Credit Co. LLC | 2.459% | 3/27/20 | 11,433 | 11,475 |
| Ford Motor Credit Co. LLC | 3.157% | 8/4/20 | 19,707 | 20,146 |
| Ford Motor Credit Co. LLC | 3.200% | 1/15/21 | 22,288 | 22,668 |
| Ford Motor Credit Co. LLC | 5.750% | 2/1/21 | 13,260 | 14,564 |
| Ford Motor Credit Co. LLC | 3.336% | 3/18/21 | 27,046 | 27,672 |
| Ford Motor Credit Co. LLC | 5.875% | 8/2/21 | 19,917 | 22,234 |
| Ford Motor Credit Co. LLC | 3.219% | 1/9/22 | 20,940 | 21,249 |
18
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Ford Motor Credit Co. LLC | 3.339% | 3/28/22 | 13,090 | 13,286 |
| Ford Motor Credit Co. LLC | 2.979% | 8/3/22 | 11,100 | 11,092 |
| General Motors Co. | 3.500% | 10/2/18 | 18,303 | 18,603 |
| General Motors Financial Co. Inc. | 3.100% | 1/15/19 | 18,610 | 18,866 |
| General Motors Financial Co. Inc. | 2.400% | 5/9/19 | 18,145 | 18,208 |
| General Motors Financial Co. Inc. | 3.500% | 7/10/19 | 18,282 | 18,711 |
| General Motors Financial Co. Inc. | 2.350% | 10/4/19 | 12,318 | 12,342 |
| General Motors Financial Co. Inc. | 3.150% | 1/15/20 | 16,134 | 16,447 |
| General Motors Financial Co. Inc. | 2.650% | 4/13/20 | 13,500 | 13,596 |
| General Motors Financial Co. Inc. | 3.200% | 7/13/20 | 30,026 | 30,684 |
| General Motors Financial Co. Inc. | 3.700% | 11/24/20 | 21,864 | 22,632 |
| General Motors Financial Co. Inc. | 4.200% | 3/1/21 | 23,146 | 24,290 |
| General Motors Financial Co. Inc. | 3.200% | 7/6/21 | 17,710 | 17,981 |
| General Motors Financial Co. Inc. | 4.375% | 9/25/21 | 14,100 | 14,926 |
| General Motors Financial Co. Inc. | 3.450% | 1/14/22 | 14,787 | 15,084 |
| General Motors Financial Co. Inc. | 3.450% | 4/10/22 | 18,387 | 18,727 |
| General Motors Financial Co. Inc. | 3.150% | 6/30/22 | 11,750 | 11,810 |
| Home Depot Inc. | 2.250% | 9/10/18 | 9,755 | 9,829 |
| Home Depot Inc. | 2.000% | 6/15/19 | 18,905 | 18,971 |
| Home Depot Inc. | 1.800% | 6/5/20 | 13,250 | 13,300 |
| Home Depot Inc. | 3.950% | 9/15/20 | 3,851 | 4,072 |
| Home Depot Inc. | 2.000% | 4/1/21 | 17,521 | 17,595 |
| Home Depot Inc. | 4.400% | 4/1/21 | 12,605 | 13,567 |
| Home Depot Inc. | 2.625% | 6/1/22 | 18,860 | 19,264 |
| Hyatt Hotels Corp. | 5.375% | 8/15/21 | 2,125 | 2,332 |
| JD.com Inc. | 3.125% | 4/29/21 | 6,700 | 6,709 |
| Kohl's Corp. | 4.000% | 11/1/21 | 7,145 | 7,389 |
| Lowe's Cos. Inc. | 1.150% | 4/15/19 | 4,500 | 4,460 |
| Lowe's Cos. Inc. | 4.625% | 4/15/20 | 8,295 | 8,761 |
| Lowe's Cos. Inc. | 3.750% | 4/15/21 | 4,443 | 4,683 |
| Lowe's Cos. Inc. | 3.800% | 11/15/21 | 9,598 | 10,234 |
| Lowe's Cos. Inc. | 3.120% | 4/15/22 | 9,092 | 9,433 |
| Macy's Retail Holdings Inc. | 3.450% | 1/15/21 | 5,200 | 5,205 |
| Macy's Retail Holdings Inc. | 3.875% | 1/15/22 | 7,950 | 7,978 |
| Marriott International Inc. | 3.000% | 3/1/19 | 11,138 | 11,277 |
| Marriott International Inc. | 3.375% | 10/15/20 | 5,825 | 6,021 |
| Marriott International Inc. | 2.875% | 3/1/21 | 4,120 | 4,183 |
| Marriott International Inc. | 3.125% | 10/15/21 | 2,750 | 2,805 |
| Marriott International Inc. | 2.300% | 1/15/22 | 12,135 | 12,017 |
| Mastercard Inc. | 2.000% | 4/1/19 | 7,232 | 7,268 |
| Mastercard Inc. | 2.000% | 11/21/21 | 9,488 | 9,478 |
| McDonald's Corp. | 2.100% | 12/7/18 | 10,420 | 10,490 |
| McDonald's Corp. | 5.000% | 2/1/19 | 7,035 | 7,363 |
| McDonald's Corp. | 1.875% | 5/29/19 | 7,134 | 7,158 |
| McDonald's Corp. | 2.200% | 5/26/20 | 8,612 | 8,699 |
| McDonald's Corp. | 3.500% | 7/15/20 | 5,500 | 5,742 |
| McDonald's Corp. | 2.750% | 12/9/20 | 16,611 | 17,018 |
| McDonald's Corp. | 3.625% | 5/20/21 | 4,196 | 4,413 |
| McDonald's Corp. | 2.625% | 1/15/22 | 13,866 | 14,076 |
| Nordstrom Inc. | 4.750% | 5/1/20 | 5,695 | 5,980 |
| Nordstrom Inc. | 4.000% | 10/15/21 | 5,900 | 6,085 |
| O'Reilly Automotive Inc. | 4.875% | 1/14/21 | 4,087 | 4,390 |
| O'Reilly Automotive Inc. | 4.625% | 9/15/21 | 3,346 | 3,606 |
| PACCAR Financial Corp. | 1.650% | 2/25/19 | 1,000 | 1,001 |
| PACCAR Financial Corp. | 1.300% | 5/10/19 | 8,850 | 8,805 |
| PACCAR Financial Corp. | 2.200% | 9/15/19 | 1,850 | 1,864 |
| PACCAR Financial Corp. | 2.500% | 8/14/20 | 3,000 | 3,084 |
| PACCAR Financial Corp. | 2.250% | 2/25/21 | 2,680 | 2,736 |
| QVC Inc. | 3.125% | 4/1/19 | 2,250 | 2,281 |
| QVC Inc. | 5.125% | 7/2/22 | 7,347 | 7,816 |
| Ralph Lauren Corp. | 2.125% | 9/26/18 | 2,925 | 2,939 |
| Ralph Lauren Corp. | 2.625% | 8/18/20 | 3,750 | 3,816 |
| Starbucks Corp. | 2.000% | 12/5/18 | 6,105 | 6,147 |
| Starbucks Corp. | 2.100% | 2/4/21 | 12,714 | 12,816 |
19
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Starbucks Corp. | 2.700% | 6/15/22 | 2,075 | 2,126 |
| Target Corp. | 2.300% | 6/26/19 | 10,645 | 10,777 |
| Target Corp. | 3.875% | 7/15/20 | 13,180 | 13,920 |
| Target Corp. | 2.900% | 1/15/22 | 13,860 | 14,263 |
| TJX Cos. Inc. | 2.750% | 6/15/21 | 11,385 | 11,670 |
| Toyota Motor Credit Corp. | 1.200% | 4/6/18 | 13,354 | 13,333 |
| Toyota Motor Credit Corp. | 1.550% | 7/13/18 | 13,775 | 13,781 |
| Toyota Motor Credit Corp. | 2.000% | 10/24/18 | 12,381 | 12,443 |
| Toyota Motor Credit Corp. | 1.700% | 1/9/19 | 12,750 | 12,768 |
| Toyota Motor Credit Corp. | 2.100% | 1/17/19 | 18,454 | 18,579 |
| Toyota Motor Credit Corp. | 1.700% | 2/19/19 | 17,080 | 17,106 |
| Toyota Motor Credit Corp. | 1.400% | 5/20/19 | 13,681 | 13,611 |
| Toyota Motor Credit Corp. | 2.125% | 7/18/19 | 11,660 | 11,758 |
| Toyota Motor Credit Corp. | 1.550% | 10/18/19 | 14,125 | 14,065 |
| Toyota Motor Credit Corp. | 2.150% | 3/12/20 | 16,248 | 16,371 |
| Toyota Motor Credit Corp. | 1.950% | 4/17/20 | 16,000 | 16,077 |
| Toyota Motor Credit Corp. | 4.500% | 6/17/20 | 2,250 | 2,406 |
| Toyota Motor Credit Corp. | 4.250% | 1/11/21 | 4,875 | 5,224 |
| Toyota Motor Credit Corp. | 1.900% | 4/8/21 | 16,528 | 16,491 |
| Toyota Motor Credit Corp. | 2.750% | 5/17/21 | 5,859 | 5,991 |
| Toyota Motor Credit Corp. | 3.400% | 9/15/21 | 12,227 | 12,816 |
| Toyota Motor Credit Corp. | 2.600% | 1/11/22 | 14,425 | 14,696 |
| Toyota Motor Credit Corp. | 3.300% | 1/12/22 | 17,974 | 18,831 |
| Toyota Motor Credit Corp. | 2.800% | 7/13/22 | 9,932 | 10,175 |
| VF Corp. | 3.500% | 9/1/21 | 3,750 | 3,938 |
| Visa Inc. | 2.200% | 12/14/20 | 46,900 | 47,374 |
| Wal-Mart Stores Inc. | 1.950% | 12/15/18 | 19,339 | 19,481 |
| Wal-Mart Stores Inc. | 4.125% | 2/1/19 | 3,058 | 3,176 |
| Wal-Mart Stores Inc. | 3.625% | 7/8/20 | 17,354 | 18,311 |
| Wal-Mart Stores Inc. | 3.250% | 10/25/20 | 25,525 | 26,680 |
| Wal-Mart Stores Inc. | 4.250% | 4/15/21 | 9,975 | 10,790 |
| Walgreen Co. | 5.250% | 1/15/19 | 1,352 | 1,416 |
| Walgreens Boots Alliance Inc. | 2.700% | 11/18/19 | 20,557 | 20,892 |
| Walgreens Boots Alliance Inc. | 3.300% | 11/18/21 | 13,150 | 13,632 |
| Western Union Co. | 5.253% | 4/1/20 | 2,825 | 3,006 |
| Western Union Co. | 3.600% | 3/15/22 | 12,000 | 12,273 |
| Wyndham Worldwide Corp. | 5.625% | 3/1/21 | 500 | 528 |
| Wyndham Worldwide Corp. | 4.250% | 3/1/22 | 7,750 | 7,849 |
| Consumer Noncyclical (15.1%) | | | | |
| Abbott Laboratories | 2.000% | 9/15/18 | 5,995 | 6,013 |
| Abbott Laboratories | 5.125% | 4/1/19 | 12,962 | 13,605 |
| Abbott Laboratories | 2.350% | 11/22/19 | 42,880 | 43,268 |
| Abbott Laboratories | 2.000% | 3/15/20 | 11,075 | 11,094 |
| Abbott Laboratories | 4.125% | 5/27/20 | 7,190 | 7,560 |
| Abbott Laboratories | 2.800% | 9/15/20 | 5,795 | 5,900 |
| Abbott Laboratories | 2.900% | 11/30/21 | 48,110 | 48,845 |
| Abbott Laboratories | 2.550% | 3/15/22 | 7,008 | 7,003 |
| AbbVie Inc. | 2.000% | 11/6/18 | 14,188 | 14,251 |
| AbbVie Inc. | 2.500% | 5/14/20 | 54,980 | 55,667 |
| AbbVie Inc. | 2.300% | 5/14/21 | 21,129 | 21,176 |
| Actavis Inc. | 6.125% | 8/15/19 | 1,050 | 1,133 |
| Actavis Inc. | 3.250% | 10/1/22 | 4,725 | 4,855 |
| Agilent Technologies Inc. | 5.000% | 7/15/20 | 5,975 | 6,438 |
| Allergan Funding SCS | 2.450% | 6/15/19 | 9,979 | 10,069 |
| Allergan Funding SCS | 3.000% | 3/12/20 | 47,470 | 48,298 |
| Allergan Funding SCS | 3.450% | 3/15/22 | 40,077 | 41,493 |
| Allergan Inc. | 3.375% | 9/15/20 | 12,143 | 12,548 |
| Altria Group Inc. | 9.700% | 11/10/18 | 2,275 | 2,488 |
| Altria Group Inc. | 9.250% | 8/6/19 | 10,537 | 11,986 |
| Altria Group Inc. | 2.625% | 1/14/20 | 22,608 | 23,015 |
| Altria Group Inc. | 4.750% | 5/5/21 | 21,696 | 23,659 |
| Altria Group Inc. | 2.850% | 8/9/22 | 30,498 | 31,165 |
| AmerisourceBergen Corp. | 4.875% | 11/15/19 | 2,850 | 3,021 |
20
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| AmerisourceBergen Corp. | 3.500% | 11/15/21 | 9,025 | 9,368 |
| Amgen Inc. | 5.700% | 2/1/19 | 9,826 | 10,368 |
| Amgen Inc. | 1.900% | 5/10/19 | 13,250 | 13,256 |
| Amgen Inc. | 2.200% | 5/22/19 | 20,472 | 20,589 |
| Amgen Inc. | 4.500% | 3/15/20 | 1,936 | 2,058 |
| Amgen Inc. | 2.125% | 5/1/20 | 14,238 | 14,324 |
| Amgen Inc. | 2.200% | 5/11/20 | 16,250 | 16,364 |
| Amgen Inc. | 3.450% | 10/1/20 | 11,997 | 12,476 |
| Amgen Inc. | 4.100% | 6/15/21 | 9,520 | 10,105 |
| Amgen Inc. | 1.850% | 8/19/21 | 8,878 | 8,749 |
| Amgen Inc. | 3.875% | 11/15/21 | 22,146 | 23,480 |
| Amgen Inc. | 2.700% | 5/1/22 | 5,172 | 5,227 |
| Amgen Inc. | 2.650% | 5/11/22 | 17,000 | 17,151 |
| Amgen Inc. | 3.625% | 5/15/22 | 16,735 | 17,566 |
| Anheuser-Busch Cos. LLC | 5.000% | 3/1/19 | 6,406 | 6,718 |
| Anheuser-Busch InBev Finance Inc. | 1.900% | 2/1/19 | 63,914 | 64,126 |
| Anheuser-Busch InBev Finance Inc. | 2.150% | 2/1/19 | 23,623 | 23,789 |
| Anheuser-Busch InBev Finance Inc. | 2.650% | 2/1/21 | 107,927 | 110,127 |
| Anheuser-Busch InBev Worldwide Inc. | 7.750% | 1/15/19 | 23,933 | 25,841 |
| Anheuser-Busch InBev Worldwide Inc. | 6.875% | 11/15/19 | 13,859 | 15,338 |
| Anheuser-Busch InBev Worldwide Inc. | 5.375% | 1/15/20 | 38,166 | 41,302 |
| Anheuser-Busch InBev Worldwide Inc. | 5.000% | 4/15/20 | 10,350 | 11,165 |
| Anheuser-Busch InBev Worldwide Inc. | 4.375% | 2/15/21 | 4,400 | 4,737 |
| Anheuser-Busch InBev Worldwide Inc. | 3.750% | 1/15/22 | 33,050 | 35,115 |
| Anheuser-Busch InBev Worldwide Inc. | 2.500% | 7/15/22 | 40,304 | 40,677 |
| 2 Anheuser-Busch North American Holding Corp. | 3.750% | 1/15/22 | 750 | 797 |
| Archer-Daniels-Midland Co. | 4.479% | 3/1/21 | 6,633 | 7,150 |
| AstraZeneca plc | 1.750% | 11/16/18 | 15,941 | 15,862 |
| AstraZeneca plc | 1.950% | 9/18/19 | 10,137 | 10,139 |
| AstraZeneca plc | 2.375% | 11/16/20 | 17,975 | 18,151 |
| AstraZeneca plc | 2.375% | 6/12/22 | 15,800 | 15,798 |
| 2 BAT Capital Corp. | 2.297% | 8/14/20 | 29,750 | 29,756 |
| 2 BAT Capital Corp. | 2.764% | 8/15/22 | 31,000 | 31,081 |
| Baxalta Inc. | 2.875% | 6/23/20 | 9,699 | 9,870 |
| Baxalta Inc. | 3.600% | 6/23/22 | 8,150 | 8,471 |
| Baxter International Inc. | 1.700% | 8/15/21 | 4,650 | 4,560 |
| Beam Suntory Inc. | 3.250% | 5/15/22 | 2,300 | 2,364 |
| Becton Dickinson & Co. | 2.133% | 6/6/19 | 14,100 | 14,151 |
| Becton Dickinson & Co. | 2.675% | 12/15/19 | 18,093 | 18,371 |
| Becton Dickinson & Co. | 2.404% | 6/5/20 | 14,000 | 14,083 |
| Becton Dickinson & Co. | 3.250% | 11/12/20 | 9,812 | 10,094 |
| Becton Dickinson & Co. | 3.125% | 11/8/21 | 12,470 | 12,773 |
| Becton Dickinson & Co. | 2.894% | 6/6/22 | 19,675 | 19,785 |
| Bio-Rad Laboratories Inc. | 4.875% | 12/15/20 | 5,600 | 6,048 |
| Biogen Inc. | 2.900% | 9/15/20 | 23,751 | 24,312 |
| Boston Scientific Corp. | 2.650% | 10/1/18 | 9,315 | 9,415 |
| Boston Scientific Corp. | 6.000% | 1/15/20 | 9,439 | 10,277 |
| Boston Scientific Corp. | 2.850% | 5/15/20 | 4,571 | 4,646 |
| Boston Scientific Corp. | 3.375% | 5/15/22 | 6,275 | 6,484 |
| Bristol-Myers Squibb Co. | 1.600% | 2/27/19 | 9,550 | 9,549 |
| Bristol-Myers Squibb Co. | 1.750% | 3/1/19 | 6,000 | 6,019 |
| Bristol-Myers Squibb Co. | 2.000% | 8/1/22 | 11,378 | 11,285 |
| Bunge Ltd. Finance Corp. | 8.500% | 6/15/19 | 9,885 | 10,959 |
| Bunge Ltd. Finance Corp. | 3.500% | 11/24/20 | 4,315 | 4,439 |
| Campbell Soup Co. | 4.500% | 2/15/19 | 1,699 | 1,764 |
| Campbell Soup Co. | 4.250% | 4/15/21 | 2,360 | 2,520 |
| Campbell Soup Co. | 2.500% | 8/2/22 | 7,475 | 7,566 |
| Cardinal Health Inc. | 1.948% | 6/14/19 | 12,700 | 12,708 |
| Cardinal Health Inc. | 2.400% | 11/15/19 | 1,140 | 1,150 |
| Cardinal Health Inc. | 4.625% | 12/15/20 | 8,300 | 8,903 |
| Cardinal Health Inc. | 2.616% | 6/15/22 | 17,408 | 17,500 |
| Cardinal Health Inc. | 3.200% | 6/15/22 | 1,942 | 1,979 |
| Celgene Corp. | 2.250% | 5/15/19 | 7,249 | 7,299 |
| Celgene Corp. | 2.875% | 8/15/20 | 18,684 | 19,160 |
21
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Celgene Corp. | 3.950% | 10/15/20 | 9,600 | 10,141 |
| Celgene Corp. | 3.250% | 8/15/22 | 20,766 | 21,459 |
| Celgene Corp. | 3.550% | 8/15/22 | 11,161 | 11,715 |
| Church & Dwight Co. Inc. | 2.450% | 12/15/19 | 3,325 | 3,367 |
| Church & Dwight Co. Inc. | 2.450% | 8/1/22 | 4,750 | 4,766 |
| Clorox Co. | 3.800% | 11/15/21 | 2,900 | 3,065 |
| Coca-Cola Co. | 1.650% | 11/1/18 | 14,377 | 14,414 |
| Coca-Cola Co. | 1.375% | 5/30/19 | 10,950 | 10,938 |
| Coca-Cola Co. | 1.875% | 10/27/20 | 19,137 | 19,187 |
| Coca-Cola Co. | 2.450% | 11/1/20 | 17,494 | 17,879 |
| Coca-Cola Co. | 3.150% | 11/15/20 | 14,150 | 14,736 |
| Coca-Cola Co. | 1.550% | 9/1/21 | 14,275 | 14,118 |
| Coca-Cola Co. | 3.300% | 9/1/21 | 15,864 | 16,683 |
| Coca-Cola Co. | 2.200% | 5/25/22 | 10,879 | 10,978 |
| Coca-Cola Enterprises Inc. | 3.500% | 9/15/20 | 5,275 | 5,494 |
| Coca-Cola Enterprises Inc. | 3.250% | 8/19/21 | 674 | 695 |
| Coca-Cola Enterprises Inc. | 4.500% | 9/1/21 | 4,925 | 5,278 |
| Coca-Cola Femsa SAB de CV | 2.375% | 11/26/18 | 5,686 | 5,705 |
| Coca-Cola Femsa SAB de CV | 4.625% | 2/15/20 | 2,175 | 2,308 |
| Colgate-Palmolive Co. | 1.500% | 11/1/18 | 3,655 | 3,660 |
| Colgate-Palmolive Co. | 1.750% | 3/15/19 | 6,619 | 6,650 |
| Colgate-Palmolive Co. | 2.450% | 11/15/21 | 3,895 | 3,970 |
| Colgate-Palmolive Co. | 2.300% | 5/3/22 | 6,644 | 6,721 |
| Constellation Brands Inc. | 3.875% | 11/15/19 | 9,175 | 9,531 |
| Constellation Brands Inc. | 3.750% | 5/1/21 | 5,433 | 5,684 |
| Constellation Brands Inc. | 6.000% | 5/1/22 | 7,039 | 8,077 |
| Constellation Brands Inc. | 2.700% | 5/9/22 | 12,250 | 12,342 |
| Covidien International Finance SA | 4.200% | 6/15/20 | 9,995 | 10,614 |
| Covidien International Finance SA | 3.200% | 6/15/22 | 7,075 | 7,351 |
| CR Bard Inc. | 4.400% | 1/15/21 | 5,143 | 5,455 |
| Danaher Corp. | 1.650% | 9/15/18 | 10,971 | 10,982 |
| Danaher Corp. | 2.400% | 9/15/20 | 5,219 | 5,297 |
| Diageo Capital plc | 4.828% | 7/15/20 | 5,060 | 5,469 |
| Diageo Investment Corp. | 2.875% | 5/11/22 | 15,925 | 16,360 |
| Dignity Health California GO | 2.637% | 11/1/19 | 2,450 | 2,480 |
| Dr Pepper Snapple Group Inc. | 2.530% | 11/15/21 | 1,000 | 1,006 |
| Edwards Lifesciences Corp. | 2.875% | 10/15/18 | 6,479 | 6,548 |
| Eli Lilly & Co. | 1.950% | 3/15/19 | 9,141 | 9,203 |
| Eli Lilly & Co. | 2.350% | 5/15/22 | 5,500 | 5,557 |
| Estee Lauder Cos. Inc. | 1.800% | 2/7/20 | 7,050 | 7,080 |
| Estee Lauder Cos. Inc. | 1.700% | 5/10/21 | 7,950 | 7,864 |
| Express Scripts Holding Co. | 2.250% | 6/15/19 | 16,519 | 16,593 |
| Express Scripts Holding Co. | 3.300% | 2/25/21 | 11,500 | 11,879 |
| Express Scripts Holding Co. | 4.750% | 11/15/21 | 26,021 | 28,372 |
| Express Scripts Holding Co. | 3.900% | 2/15/22 | 11,228 | 11,848 |
| Express Scripts Inc. | 7.250% | 6/15/19 | 750 | 817 |
| Flowers Foods Inc. | 4.375% | 4/1/22 | 4,725 | 5,125 |
| General Mills Inc. | 5.650% | 2/15/19 | 11,567 | 12,206 |
| General Mills Inc. | 2.200% | 10/21/19 | 11,768 | 11,841 |
| General Mills Inc. | 3.150% | 12/15/21 | 12,025 | 12,435 |
| Genzyme Corp. | 5.000% | 6/15/20 | 1,169 | 1,266 |
| Gilead Sciences Inc. | 1.850% | 9/4/18 | 11,180 | 11,220 |
| Gilead Sciences Inc. | 2.050% | 4/1/19 | 9,288 | 9,340 |
| Gilead Sciences Inc. | 2.350% | 2/1/20 | 9,969 | 10,095 |
| Gilead Sciences Inc. | 2.550% | 9/1/20 | 29,101 | 29,622 |
| Gilead Sciences Inc. | 4.500% | 4/1/21 | 16,646 | 17,955 |
| Gilead Sciences Inc. | 4.400% | 12/1/21 | 19,087 | 20,754 |
| Gilead Sciences Inc. | 1.950% | 3/1/22 | 6,600 | 6,520 |
| GlaxoSmithKline Capital plc | 2.850% | 5/8/22 | 24,028 | 24,667 |
| Hasbro Inc. | 3.150% | 5/15/21 | 4,350 | 4,467 |
| Hershey Co. | 4.125% | 12/1/20 | 4,625 | 4,943 |
| Hillshire Brands Co. | 4.100% | 9/15/20 | 2,707 | 2,846 |
| Ingredion Inc. | 4.625% | 11/1/20 | 2,425 | 2,601 |
| JM Smucker Co. | 2.500% | 3/15/20 | 9,399 | 9,519 |
22
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| JM Smucker Co. | 3.500% | 10/15/21 | 5,750 | 6,010 |
| JM Smucker Co. | 3.000% | 3/15/22 | 6,227 | 6,379 |
| Johnson & Johnson | 1.650% | 12/5/18 | 7,803 | 7,836 |
| Johnson & Johnson | 1.125% | 3/1/19 | 10,449 | 10,408 |
| Johnson & Johnson | 1.875% | 12/5/19 | 4,930 | 4,954 |
| Johnson & Johnson | 2.950% | 9/1/20 | 6,955 | 7,207 |
| Johnson & Johnson | 1.650% | 3/1/21 | 14,182 | 14,145 |
| Johnson & Johnson | 3.550% | 5/15/21 | 3,400 | 3,614 |
| Johnson & Johnson | 2.450% | 12/5/21 | 4,595 | 4,711 |
| Johnson & Johnson | 2.250% | 3/3/22 | 15,200 | 15,450 |
| Kaiser Foundation Hospitals | 3.500% | 4/1/22 | 4,000 | 4,209 |
| Kellogg Co. | 4.150% | 11/15/19 | 8,725 | 9,127 |
| Kellogg Co. | 4.000% | 12/15/20 | 8,130 | 8,619 |
| Kellogg Co. | 3.125% | 5/17/22 | 2,775 | 2,859 |
| Kimberly-Clark Corp. | 7.500% | 11/1/18 | 8,839 | 9,443 |
| Kimberly-Clark Corp. | 1.400% | 2/15/19 | 6,110 | 6,107 |
| Kimberly-Clark Corp. | 1.900% | 5/22/19 | 3,199 | 3,216 |
| Kimberly-Clark Corp. | 3.625% | 8/1/20 | 2,279 | 2,390 |
| Kimberly-Clark Corp. | 3.875% | 3/1/21 | 2,195 | 2,322 |
| Kimberly-Clark Corp. | 2.400% | 3/1/22 | 5,225 | 5,290 |
| Koninklijke Philips NV | 3.750% | 3/15/22 | 9,142 | 9,682 |
| Kraft Foods Group Inc. | 5.375% | 2/10/20 | 14,845 | 16,012 |
| Kraft Foods Group Inc. | 3.500% | 6/6/22 | 25,946 | 26,904 |
| Kraft Heinz Foods Co. | 2.800% | 7/2/20 | 19,775 | 20,141 |
| Kraft Heinz Foods Co. | 3.500% | 7/15/22 | 9,975 | 10,351 |
| Laboratory Corp. of America Holdings | 2.500% | 11/1/18 | 7,680 | 7,742 |
| Laboratory Corp. of America Holdings | 2.625% | 2/1/20 | 6,817 | 6,896 |
| Laboratory Corp. of America Holdings | 4.625% | 11/15/20 | 3,450 | 3,698 |
| Laboratory Corp. of America Holdings | 3.200% | 2/1/22 | 6,480 | 6,652 |
| Laboratory Corp. of America Holdings | 3.750% | 8/23/22 | 4,577 | 4,793 |
| Life Technologies Corp. | 6.000% | 3/1/20 | 5,025 | 5,477 |
| Life Technologies Corp. | 5.000% | 1/15/21 | 4,668 | 5,019 |
| Mattel Inc. | 2.350% | 5/6/19 | 5,155 | 5,184 |
| Mattel Inc. | 4.350% | 10/1/20 | 75 | 79 |
| Mattel Inc. | 2.350% | 8/15/21 | 6,000 | 5,923 |
| McCormick & Co. Inc. | 3.900% | 7/15/21 | 2,755 | 2,937 |
| McKesson Corp. | 7.500% | 2/15/19 | 5,009 | 5,407 |
| McKesson Corp. | 2.284% | 3/15/19 | 16,400 | 16,497 |
| McKesson Corp. | 4.750% | 3/1/21 | 7,850 | 8,453 |
| Mead Johnson Nutrition Co. | 4.900% | 11/1/19 | 6,475 | 6,880 |
| Mead Johnson Nutrition Co. | 3.000% | 11/15/20 | 12,989 | 13,364 |
| Medco Health Solutions Inc. | 4.125% | 9/15/20 | 6,000 | 6,331 |
| Medtronic Global Holdings SCA | 1.700% | 3/28/19 | 21,415 | 21,451 |
| Medtronic Inc. | 5.600% | 3/15/19 | 4,632 | 4,898 |
| Medtronic Inc. | 2.500% | 3/15/20 | 40,801 | 41,463 |
| Medtronic Inc. | 4.450% | 3/15/20 | 200 | 213 |
| Medtronic Inc. | 4.125% | 3/15/21 | 5,303 | 5,657 |
| Medtronic Inc. | 3.125% | 3/15/22 | 5,317 | 5,512 |
| Medtronic Inc. | 3.150% | 3/15/22 | 39,849 | 41,372 |
| Merck & Co. Inc. | 1.850% | 2/10/20 | 21,747 | 21,835 |
| Merck & Co. Inc. | 3.875% | 1/15/21 | 11,488 | 12,197 |
| Merck & Co. Inc. | 2.350% | 2/10/22 | 16,623 | 16,863 |
| Merck Sharp & Dohme Corp. | 5.000% | 6/30/19 | 15,186 | 16,118 |
| 2 Molson Coors Brewing Co. | 1.900% | 3/15/19 | 8,370 | 8,375 |
| Molson Coors Brewing Co. | 1.450% | 7/15/19 | 8,700 | 8,626 |
| 2 Molson Coors Brewing Co. | 2.250% | 3/15/20 | 6,500 | 6,522 |
| Molson Coors Brewing Co. | 2.100% | 7/15/21 | 13,685 | 13,536 |
| Molson Coors Brewing Co. | 3.500% | 5/1/22 | 6,050 | 6,296 |
| 2 Mondelez International Holdings Netherlands BV | 1.625% | 10/28/19 | 6,100 | 6,047 |
| Mylan Inc. | 2.550% | 3/28/19 | 12,429 | 12,488 |
| Mylan NV | 3.000% | 12/15/18 | 1,875 | 1,893 |
| Mylan NV | 2.500% | 6/7/19 | 6,770 | 6,778 |
| Mylan NV | 3.750% | 12/15/20 | 10,500 | 10,857 |
| Mylan NV | 3.150% | 6/15/21 | 23,007 | 23,221 |
23
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Newell Brands Inc. | 2.150% | 10/15/18 | 6,825 | 6,857 |
| Newell Brands Inc. | 2.875% | 12/1/19 | 5,400 | 5,499 |
| Newell Brands Inc. | 3.150% | 4/1/21 | 22,622 | 23,264 |
| Novartis Capital Corp. | 1.800% | 2/14/20 | 15,180 | 15,238 |
| Novartis Capital Corp. | 4.400% | 4/24/20 | 13,065 | 13,963 |
| Novartis Capital Corp. | 2.400% | 5/17/22 | 16,980 | 17,133 |
| Novartis Securities Investment Ltd. | 5.125% | 2/10/19 | 40,923 | 42,927 |
| Pall Corp. | 5.000% | 6/15/20 | 1,600 | 1,737 |
| PepsiCo Inc. | 2.250% | 1/7/19 | 6,271 | 6,330 |
| PepsiCo Inc. | 1.500% | 2/22/19 | 7,390 | 7,397 |
| PepsiCo Inc. | 1.550% | 5/2/19 | 22,400 | 22,440 |
| PepsiCo Inc. | 1.350% | 10/4/19 | 14,903 | 14,827 |
| PepsiCo Inc. | 4.500% | 1/15/20 | 10,475 | 11,158 |
| PepsiCo Inc. | 1.850% | 4/30/20 | 13,875 | 13,940 |
| PepsiCo Inc. | 2.150% | 10/14/20 | 18,675 | 18,889 |
| PepsiCo Inc. | 3.125% | 11/1/20 | 10,538 | 10,961 |
| PepsiCo Inc. | 3.000% | 8/25/21 | 8,100 | 8,427 |
| PepsiCo Inc. | 1.700% | 10/6/21 | 10,110 | 9,989 |
| PepsiCo Inc. | 2.750% | 3/5/22 | 13,742 | 14,161 |
| PepsiCo Inc. | 2.250% | 5/2/22 | 6,025 | 6,082 |
| PepsiCo Inc. | 3.100% | 7/17/22 | 11,125 | 11,617 |
| PerkinElmer Inc. | 5.000% | 11/15/21 | 5,175 | 5,664 |
| Perrigo Finance Unlimited Co. | 3.500% | 3/15/21 | 1,896 | 1,951 |
| Perrigo Finance Unlimited Co. | 3.500% | 12/15/21 | 7,484 | 7,796 |
| Pfizer Inc. | 2.100% | 5/15/19 | 20,626 | 20,829 |
| Pfizer Inc. | 1.450% | 6/3/19 | 17,620 | 17,596 |
| Pfizer Inc. | 1.700% | 12/15/19 | 16,969 | 17,011 |
| Pfizer Inc. | 5.200% | 8/12/20 | 3,425 | 3,759 |
| Pfizer Inc. | 1.950% | 6/3/21 | 13,577 | 13,642 |
| Pfizer Inc. | 2.200% | 12/15/21 | 14,500 | 14,656 |
| Pharmacia LLC | 6.500% | 12/1/18 | 2,150 | 2,275 |
| Philip Morris International Inc. | 1.875% | 1/15/19 | 15,160 | 15,197 |
| Philip Morris International Inc. | 1.625% | 2/21/19 | 5,400 | 5,393 |
| Philip Morris International Inc. | 1.375% | 2/25/19 | 7,400 | 7,368 |
| Philip Morris International Inc. | 2.000% | 2/21/20 | 13,684 | 13,700 |
| Philip Morris International Inc. | 4.500% | 3/26/20 | 12,825 | 13,643 |
| Philip Morris International Inc. | 1.875% | 2/25/21 | 14,829 | 14,646 |
| Philip Morris International Inc. | 4.125% | 5/17/21 | 6,650 | 7,093 |
| Philip Morris International Inc. | 2.900% | 11/15/21 | 4,275 | 4,383 |
| Philip Morris International Inc. | 2.625% | 2/18/22 | 7,800 | 7,908 |
| Philip Morris International Inc. | 2.375% | 8/17/22 | 6,000 | 5,986 |
| Philip Morris International Inc. | 2.500% | 8/22/22 | 8,070 | 8,101 |
| 1 Procter & Gamble - Esop | 9.360% | 1/1/21 | 969 | 1,105 |
| Procter & Gamble Co. | 1.600% | 11/15/18 | 7,907 | 7,942 |
| Procter & Gamble Co. | 1.900% | 11/1/19 | 15,210 | 15,313 |
| Procter & Gamble Co. | 1.850% | 2/2/21 | 15,575 | 15,571 |
| Procter & Gamble Co. | 1.700% | 11/3/21 | 9,000 | 8,937 |
| Procter & Gamble Co. | 2.300% | 2/6/22 | 7,940 | 8,055 |
| Quest Diagnostics Inc. | 2.700% | 4/1/19 | 4,975 | 5,020 |
| Quest Diagnostics Inc. | 4.750% | 1/30/20 | 3,375 | 3,585 |
| Quest Diagnostics Inc. | 2.500% | 3/30/20 | 5,130 | 5,150 |
| Quest Diagnostics Inc. | 4.700% | 4/1/21 | 3,525 | 3,791 |
| Reynolds American Inc. | 8.125% | 6/23/19 | 6,642 | 7,355 |
| Reynolds American Inc. | 6.875% | 5/1/20 | 6,400 | 7,167 |
| Reynolds American Inc. | 3.250% | 6/12/20 | 13,548 | 13,957 |
| Reynolds American Inc. | 4.000% | 6/12/22 | 13,175 | 13,968 |
| Sanofi | 4.000% | 3/29/21 | 27,362 | 29,267 |
| Shire Acquisitions Investments Ireland DAC | 1.900% | 9/23/19 | 45,231 | 45,069 |
| Shire Acquisitions Investments Ireland DAC | 2.400% | 9/23/21 | 45,865 | 45,561 |
| Stryker Corp. | 2.000% | 3/8/19 | 7,583 | 7,616 |
| Stryker Corp. | 4.375% | 1/15/20 | 4,200 | 4,432 |
| Stryker Corp. | 2.625% | 3/15/21 | 20,765 | 21,193 |
| Sysco Corp. | 5.375% | 3/17/19 | 150 | 158 |
| Sysco Corp. | 1.900% | 4/1/19 | 8,015 | 8,021 |
24
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Sysco Corp. | 2.600% | 10/1/20 | 5,211 | 5,294 |
| Sysco Corp. | 2.500% | 7/15/21 | 6,374 | 6,447 |
| Sysco Corp. | 2.600% | 6/12/22 | 7,375 | 7,425 |
| Teva Pharmaceutical Finance Co. BV | 3.650% | 11/10/21 | 11,270 | 11,249 |
| Teva Pharmaceutical Finance Co. BV | 2.950% | 12/18/22 | 1,250 | 1,197 |
| Teva Pharmaceutical Finance IV BV | 3.650% | 11/10/21 | 3,249 | 3,247 |
| Teva Pharmaceutical Finance IV LLC | 2.250% | 3/18/20 | 8,600 | 8,407 |
| Teva Pharmaceutical Finance Netherlands III BV | 1.700% | 7/19/19 | 27,174 | 26,459 |
| Teva Pharmaceutical Finance Netherlands III BV | 2.200% | 7/21/21 | 40,749 | 38,763 |
| The Kroger Co. | 6.800% | 12/15/18 | 1,885 | 1,998 |
| The Kroger Co. | 2.000% | 1/15/19 | 8,025 | 8,035 |
| The Kroger Co. | 2.300% | 1/15/19 | 10,281 | 10,319 |
| The Kroger Co. | 1.500% | 9/30/19 | 6,994 | 6,915 |
| The Kroger Co. | 6.150% | 1/15/20 | 6,877 | 7,504 |
| The Kroger Co. | 3.300% | 1/15/21 | 13,906 | 14,309 |
| The Kroger Co. | 2.600% | 2/1/21 | 7,605 | 7,635 |
| The Kroger Co. | 2.950% | 11/1/21 | 2,900 | 2,945 |
| The Kroger Co. | 3.400% | 4/15/22 | 5,204 | 5,348 |
| The Kroger Co. | 2.800% | 8/1/22 | 650 | 653 |
| Thermo Fisher Scientific Inc. | 2.150% | 12/14/18 | 7,150 | 7,185 |
| Thermo Fisher Scientific Inc. | 2.400% | 2/1/19 | 18,625 | 18,782 |
| Thermo Fisher Scientific Inc. | 4.700% | 5/1/20 | 1,275 | 1,361 |
| Thermo Fisher Scientific Inc. | 4.500% | 3/1/21 | 13,632 | 14,671 |
| Thermo Fisher Scientific Inc. | 3.600% | 8/15/21 | 10,895 | 11,419 |
| Thermo Fisher Scientific Inc. | 3.300% | 2/15/22 | 13,095 | 13,596 |
| Tupperware Brands Corp. | 4.750% | 6/1/21 | 6,300 | 6,725 |
| Tyson Foods Inc. | 2.650% | 8/15/19 | 15,367 | 15,559 |
| Tyson Foods Inc. | 2.250% | 8/23/21 | 5,500 | 5,509 |
| Tyson Foods Inc. | 4.500% | 6/15/22 | 14,020 | 15,257 |
| Unilever Capital Corp. | 4.800% | 2/15/19 | 6,292 | 6,576 |
| Unilever Capital Corp. | 2.200% | 3/6/19 | 9,990 | 10,065 |
| Unilever Capital Corp. | 1.800% | 5/5/20 | 3,500 | 3,505 |
| Unilever Capital Corp. | 2.100% | 7/30/20 | 8,280 | 8,343 |
| Unilever Capital Corp. | 4.250% | 2/10/21 | 10,963 | 11,803 |
| Unilever Capital Corp. | 1.375% | 7/28/21 | 5,190 | 5,068 |
| Unilever Capital Corp. | 2.200% | 5/5/22 | 11,050 | 11,066 |
| Whirlpool Corp. | 2.400% | 3/1/19 | 2,645 | 2,665 |
| Whirlpool Corp. | 4.850% | 6/15/21 | 4,000 | 4,367 |
| Whirlpool Corp. | 4.700% | 6/1/22 | 3,625 | 3,976 |
| Zimmer Biomet Holdings Inc. | 4.625% | 11/30/19 | 4,025 | 4,237 |
| Zimmer Biomet Holdings Inc. | 2.700% | 4/1/20 | 27,582 | 27,897 |
| Zimmer Biomet Holdings Inc. | 3.375% | 11/30/21 | 2,400 | 2,465 |
| Zimmer Biomet Holdings Inc. | 3.150% | 4/1/22 | 11,455 | 11,662 |
| Zoetis Inc. | 3.450% | 11/13/20 | 6,941 | 7,215 |
| Energy (7.4%) | | | | |
| Anadarko Petroleum Corp. | 8.700% | 3/15/19 | 5,095 | 5,572 |
| Anadarko Petroleum Corp. | 6.950% | 6/15/19 | 950 | 1,025 |
| Anadarko Petroleum Corp. | 4.850% | 3/15/21 | 20,255 | 21,529 |
| Apache Corp. | 6.900% | 9/15/18 | 3,825 | 4,014 |
| Apache Corp. | 3.625% | 2/1/21 | 9,850 | 10,168 |
| Apache Corp. | 3.250% | 4/15/22 | 7,520 | 7,663 |
| Baker Hughes a GE Co. LLC | 7.500% | 11/15/18 | 3,831 | 4,089 |
| Baker Hughes a GE Co. LLC | 3.200% | 8/15/21 | 7,833 | 8,050 |
| Boardwalk Pipelines LP | 5.750% | 9/15/19 | 3,605 | 3,818 |
| BP Capital Markets plc | 2.241% | 9/26/18 | 13,250 | 13,333 |
| BP Capital Markets plc | 4.750% | 3/10/19 | 8,540 | 8,924 |
| BP Capital Markets plc | 1.676% | 5/3/19 | 11,770 | 11,754 |
| BP Capital Markets plc | 2.237% | 5/10/19 | 16,291 | 16,414 |
| BP Capital Markets plc | 2.521% | 1/15/20 | 18,541 | 18,866 |
| BP Capital Markets plc | 2.315% | 2/13/20 | 21,202 | 21,360 |
| BP Capital Markets plc | 4.500% | 10/1/20 | 19,399 | 20,854 |
| BP Capital Markets plc | 4.742% | 3/11/21 | 12,230 | 13,359 |
| BP Capital Markets plc | 2.112% | 9/16/21 | 18,589 | 18,543 |
25
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| BP Capital Markets plc | 3.561% | 11/1/21 | 15,781 | 16,650 |
| BP Capital Markets plc | 3.062% | 3/17/22 | 6,989 | 7,218 |
| BP Capital Markets plc | 3.245% | 5/6/22 | 28,886 | 29,909 |
| Buckeye Partners LP | 2.650% | 11/15/18 | 5,128 | 5,157 |
| Buckeye Partners LP | 4.875% | 2/1/21 | 9,433 | 10,012 |
| Canadian Natural Resources Ltd. | 3.450% | 11/15/21 | 5,275 | 5,423 |
| Cenovus Energy Inc. | 5.700% | 10/15/19 | 22,775 | 23,999 |
| Cenovus Energy Inc. | 3.000% | 8/15/22 | 5,750 | 5,570 |
| Chevron Corp. | 1.790% | 11/16/18 | 18,276 | 18,339 |
| Chevron Corp. | 1.686% | 2/28/19 | 7,000 | 7,005 |
| Chevron Corp. | 4.950% | 3/3/19 | 20,143 | 21,125 |
| Chevron Corp. | 1.561% | 5/16/19 | 13,650 | 13,609 |
| Chevron Corp. | 2.193% | 11/15/19 | 8,870 | 8,968 |
| Chevron Corp. | 1.961% | 3/3/20 | 23,990 | 24,137 |
| Chevron Corp. | 1.991% | 3/3/20 | 6,761 | 6,802 |
| Chevron Corp. | 2.427% | 6/24/20 | 11,725 | 11,915 |
| Chevron Corp. | 2.419% | 11/17/20 | 14,312 | 14,541 |
| Chevron Corp. | 2.100% | 5/16/21 | 23,562 | 23,623 |
| Chevron Corp. | 2.411% | 3/3/22 | 18,900 | 19,121 |
| Chevron Corp. | 2.498% | 3/3/22 | 5,905 | 5,996 |
| Columbia Pipeline Group Inc. | 3.300% | 6/1/20 | 8,620 | 8,866 |
| ConocoPhillips Co. | 2.200% | 5/15/20 | 11,268 | 11,339 |
| ConocoPhillips Co. | 4.200% | 3/15/21 | 18,920 | 20,199 |
| ConocoPhillips Co. | 2.875% | 11/15/21 | 7,835 | 8,012 |
| Devon Energy Corp. | 4.000% | 7/15/21 | 6,663 | 6,922 |
| Devon Energy Corp. | 3.250% | 5/15/22 | 14,503 | 14,668 |
| Dominion Energy Gas Holdings LLC | 2.500% | 12/15/19 | 7,550 | 7,619 |
| Dominion Energy Gas Holdings LLC | 2.800% | 11/15/20 | 9,750 | 9,932 |
| Enable Midstream Partners LP | 2.400% | 5/15/19 | 5,081 | 5,051 |
| Enbridge Energy Partners LP | 9.875% | 3/1/19 | 4,325 | 4,815 |
| Enbridge Energy Partners LP | 5.200% | 3/15/20 | 7,842 | 8,367 |
| Enbridge Energy Partners LP | 4.375% | 10/15/20 | 7,870 | 8,263 |
| Enbridge Energy Partners LP | 4.200% | 9/15/21 | 7,569 | 7,945 |
| Enbridge Inc. | 2.900% | 7/15/22 | 7,150 | 7,197 |
| Encana Corp. | 6.500% | 5/15/19 | 5,155 | 5,516 |
| Encana Corp. | 3.900% | 11/15/21 | 7,264 | 7,468 |
| Energy Transfer LP | 9.700% | 3/15/19 | 2,800 | 3,111 |
| Energy Transfer LP | 9.000% | 4/15/19 | 2,546 | 2,813 |
| Energy Transfer LP | 4.150% | 10/1/20 | 13,970 | 14,580 |
| Energy Transfer LP | 4.650% | 6/1/21 | 16,799 | 17,791 |
| Energy Transfer LP | 5.200% | 2/1/22 | 10,307 | 11,135 |
| EnLink Midstream Partners LP | 2.700% | 4/1/19 | 5,120 | 5,107 |
| Enterprise Products Operating LLC | 6.500% | 1/31/19 | 11,690 | 12,405 |
| Enterprise Products Operating LLC | 2.550% | 10/15/19 | 11,385 | 11,483 |
| Enterprise Products Operating LLC | 5.250% | 1/31/20 | 7,356 | 7,899 |
| Enterprise Products Operating LLC | 5.200% | 9/1/20 | 10,325 | 11,203 |
| Enterprise Products Operating LLC | 2.850% | 4/15/21 | 7,642 | 7,738 |
| Enterprise Products Operating LLC | 4.050% | 2/15/22 | 6,868 | 7,287 |
| 1 Enterprise Products Operating LLC | 4.875% | 8/16/77 | 3,500 | 3,492 |
| EOG Resources Inc. | 6.875% | 10/1/18 | 3,015 | 3,174 |
| EOG Resources Inc. | 5.625% | 6/1/19 | 17,233 | 18,330 |
| EOG Resources Inc. | 2.450% | 4/1/20 | 5,705 | 5,748 |
| EOG Resources Inc. | 4.400% | 6/1/20 | 7,750 | 8,185 |
| EOG Resources Inc. | 4.100% | 2/1/21 | 5,975 | 6,297 |
| EQT Corp. | 8.125% | 6/1/19 | 5,975 | 6,553 |
| EQT Corp. | 4.875% | 11/15/21 | 10,372 | 11,249 |
| Exxon Mobil Corp. | 1.708% | 3/1/19 | 13,555 | 13,588 |
| Exxon Mobil Corp. | 1.819% | 3/15/19 | 23,303 | 23,356 |
| Exxon Mobil Corp. | 1.912% | 3/6/20 | 26,325 | 26,495 |
| Exxon Mobil Corp. | 2.222% | 3/1/21 | 35,035 | 35,478 |
| Exxon Mobil Corp. | 2.397% | 3/6/22 | 14,749 | 14,938 |
| Halliburton Co. | 3.250% | 11/15/21 | 4,447 | 4,560 |
| Hess Corp. | 8.125% | 2/15/19 | 1,200 | 1,291 |
| Husky Energy Inc. | 6.150% | 6/15/19 | 1,535 | 1,642 |
26
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Husky Energy Inc. | 7.250% | 12/15/19 | 9,020 | 10,014 |
| Husky Energy Inc. | 3.950% | 4/15/22 | 7,634 | 7,984 |
| Kinder Morgan Energy Partners LP | 2.650% | 2/1/19 | 11,238 | 11,327 |
| Kinder Morgan Energy Partners LP | 9.000% | 2/1/19 | 4,935 | 5,393 |
| Kinder Morgan Energy Partners LP | 6.850% | 2/15/20 | 6,550 | 7,232 |
| Kinder Morgan Energy Partners LP | 6.500% | 4/1/20 | 8,270 | 9,093 |
| Kinder Morgan Energy Partners LP | 5.300% | 9/15/20 | 5,355 | 5,763 |
| Kinder Morgan Energy Partners LP | 3.500% | 3/1/21 | 12,701 | 13,026 |
| Kinder Morgan Energy Partners LP | 5.800% | 3/1/21 | 4,750 | 5,221 |
| Kinder Morgan Energy Partners LP | 5.000% | 10/1/21 | 12,725 | 13,721 |
| Kinder Morgan Energy Partners LP | 4.150% | 3/1/22 | 2,150 | 2,259 |
| Kinder Morgan Inc. | 3.050% | 12/1/19 | 25,070 | 25,469 |
| Kinder Morgan Inc. | 6.500% | 9/15/20 | 3,878 | 4,299 |
| Magellan Midstream Partners LP | 6.550% | 7/15/19 | 6,376 | 6,894 |
| Magellan Midstream Partners LP | 4.250% | 2/1/21 | 4,050 | 4,284 |
| Marathon Oil Corp. | 2.700% | 6/1/20 | 9,360 | 9,355 |
| Marathon Petroleum Corp. | 2.700% | 12/14/18 | 7,650 | 7,723 |
| Marathon Petroleum Corp. | 3.400% | 12/15/20 | 12,350 | 12,749 |
| Marathon Petroleum Corp. | 5.125% | 3/1/21 | 9,004 | 9,793 |
| Nabors Industries Inc. | 6.150% | 2/15/18 | 7,224 | 7,328 |
| Nabors Industries Inc. | 9.250% | 1/15/19 | 1,550 | 1,662 |
| Nabors Industries Inc. | 5.000% | 9/15/20 | 990 | 988 |
| National Fuel Gas Co. | 4.900% | 12/1/21 | 5,250 | 5,617 |
| Noble Energy Inc. | 8.250% | 3/1/19 | 6,414 | 7,019 |
| Noble Energy Inc. | 5.625% | 5/1/21 | 1,752 | 1,792 |
| Noble Energy Inc. | 4.150% | 12/15/21 | 13,811 | 14,626 |
| Occidental Petroleum Corp. | 4.100% | 2/1/21 | 13,521 | 14,318 |
| Occidental Petroleum Corp. | 3.125% | 2/15/22 | 9,962 | 10,325 |
| Occidental Petroleum Corp. | 2.600% | 4/15/22 | 10,220 | 10,364 |
| ONEOK Inc. | 4.250% | 2/1/22 | 10,000 | 10,429 |
| ONEOK Partners LP | 3.200% | 9/15/18 | 9,665 | 9,767 |
| ONEOK Partners LP | 8.625% | 3/1/19 | 6,575 | 7,171 |
| Petro-Canada | 9.250% | 10/15/21 | 2,795 | 3,503 |
| Phillips 66 | 4.300% | 4/1/22 | 27,575 | 29,414 |
| Phillips 66 Partners LP | 2.646% | 2/15/20 | 4,075 | 4,101 |
| Pioneer Natural Resources Co. | 7.500% | 1/15/20 | 5,200 | 5,804 |
| Pioneer Natural Resources Co. | 3.450% | 1/15/21 | 7,375 | 7,600 |
| Pioneer Natural Resources Co. | 3.950% | 7/15/22 | 8,711 | 9,172 |
| Plains All American Pipeline LP / PAA Finance Corp. | 8.750% | 5/1/19 | 8,165 | 8,956 |
| Plains All American Pipeline LP / PAA Finance Corp. | 2.600% | 12/15/19 | 2,500 | 2,504 |
| Plains All American Pipeline LP / PAA Finance Corp. | 5.750% | 1/15/20 | 9,652 | 10,297 |
| Plains All American Pipeline LP / PAA Finance Corp. | 5.000% | 2/1/21 | 7,359 | 7,747 |
| Plains All American Pipeline LP / PAA Finance Corp. | 3.650% | 6/1/22 | 8,075 | 8,129 |
| Regency Energy Partners LP / Regency Energy Finance | | | | |
| Corp. | 5.750% | 9/1/20 | 7,506 | 8,106 |
| Regency Energy Partners LP / Regency Energy Finance | | | | |
| Corp. | 6.500% | 7/15/21 | 4,383 | 4,478 |
| Regency Energy Partners LP / Regency Energy Finance | | | | |
| Corp. | 5.875% | 3/1/22 | 14,636 | 16,209 |
| Repsol Oil & Gas Canada Inc. | 3.750% | 2/1/21 | 5,045 | 4,988 |
| Sabine Pass Liquefaction LLC | 5.625% | 2/1/21 | 32,400 | 35,316 |
| Sabine Pass Liquefaction LLC | 6.250% | 3/15/22 | 12,215 | 13,788 |
| Shell International Finance BV | 1.625% | 11/10/18 | 18,745 | 18,755 |
| Shell International Finance BV | 2.000% | 11/15/18 | 21,027 | 21,131 |
| Shell International Finance BV | 1.375% | 5/10/19 | 9,448 | 9,415 |
| Shell International Finance BV | 1.375% | 9/12/19 | 23,240 | 23,128 |
| Shell International Finance BV | 4.300% | 9/22/19 | 23,324 | 24,523 |
| Shell International Finance BV | 4.375% | 3/25/20 | 16,185 | 17,220 |
| Shell International Finance BV | 2.125% | 5/11/20 | 32,219 | 32,509 |
| Shell International Finance BV | 2.250% | 11/10/20 | 16,490 | 16,601 |
| Shell International Finance BV | 1.875% | 5/10/21 | 32,557 | 32,448 |
| Shell International Finance BV | 1.750% | 9/12/21 | 13,300 | 13,157 |
| Shell International Finance BV | 2.375% | 8/21/22 | 14,562 | 14,683 |
27
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Southern Natural Gas Co. LLC / Southern Natural | | | | |
| Issuing Corp. | 4.400% | 6/15/21 | 3,120 | 3,318 |
| Spectra Energy Partners LP | 2.950% | 9/25/18 | 9,498 | 9,594 |
| Sunoco Logistics Partners Operations LP | 4.400% | 4/1/21 | 12,155 | 12,885 |
| Sunoco Logistics Partners Operations LP | 4.650% | 2/15/22 | 2,600 | 2,774 |
| TC Pipelines LP | 4.650% | 6/15/21 | 2,228 | 2,347 |
| Total Capital International SA | 2.125% | 1/10/19 | 14,324 | 14,414 |
| Total Capital International SA | 2.100% | 6/19/19 | 20,845 | 21,002 |
| Total Capital International SA | 2.750% | 6/19/21 | 10,756 | 11,042 |
| Total Capital International SA | 2.875% | 2/17/22 | 11,028 | 11,295 |
| Total Capital SA | 4.450% | 6/24/20 | 18,680 | 20,016 |
| Total Capital SA | 4.125% | 1/28/21 | 9,010 | 9,645 |
| Total Capital SA | 4.250% | 12/15/21 | 1,950 | 2,114 |
| TransCanada PipeLines Ltd. | 3.125% | 1/15/19 | 6,099 | 6,201 |
| TransCanada PipeLines Ltd. | 7.125% | 1/15/19 | 3,257 | 3,487 |
| TransCanada PipeLines Ltd. | 3.800% | 10/1/20 | 14,725 | 15,500 |
| TransCanada PipeLines Ltd. | 2.500% | 8/1/22 | 22,910 | 23,094 |
| Valero Energy Corp. | 9.375% | 3/15/19 | 8,522 | 9,446 |
| Valero Energy Corp. | 6.125% | 2/1/20 | 9,696 | 10,579 |
| Western Gas Partners LP | 5.375% | 6/1/21 | 5,002 | 5,408 |
| Western Gas Partners LP | 4.000% | 7/1/22 | 14,806 | 15,353 |
| Williams Partners LP | 5.250% | 3/15/20 | 23,059 | 24,807 |
| Williams Partners LP | 4.125% | 11/15/20 | 6,712 | 7,045 |
| Williams Partners LP | 4.000% | 11/15/21 | 7,350 | 7,700 |
| Williams Partners LP | 3.600% | 3/15/22 | 13,120 | 13,520 |
| Williams Partners LP | 3.350% | 8/15/22 | 14,260 | 14,503 |
| XTO Energy Inc. | 6.500% | 12/15/18 | 3,485 | 3,697 |
| Other Industrial (0.1%) | | | | |
| Cintas Corp. No 2 | 4.300% | 6/1/21 | 2,015 | 2,154 |
| Cintas Corp. No 2 | 2.900% | 4/1/22 | 5,750 | 5,867 |
| Cintas Corp. No 2 | 3.250% | 6/1/22 | 3,225 | 3,337 |
| Fluor Corp. | 3.375% | 9/15/21 | 5,000 | 5,203 |
| Yale University Connecticut GO | 2.086% | 4/15/19 | 1,400 | 1,412 |
| Technology (8.6%) | | | | |
| Adobe Systems Inc. | 4.750% | 2/1/20 | 13,655 | 14,635 |
| Alphabet Inc. | 3.625% | 5/19/21 | 10,055 | 10,673 |
| Altera Corp. | 2.500% | 11/15/18 | 12,830 | 12,991 |
| Amphenol Corp. | 2.550% | 1/30/19 | 11,003 | 11,100 |
| Amphenol Corp. | 2.200% | 4/1/20 | 10,051 | 10,101 |
| Amphenol Corp. | 3.125% | 9/15/21 | 470 | 483 |
| Amphenol Corp. | 4.000% | 2/1/22 | 4,560 | 4,834 |
| Analog Devices Inc. | 2.500% | 12/5/21 | 9,830 | 9,902 |
| Apple Inc. | 1.550% | 2/8/19 | 6,850 | 6,866 |
| Apple Inc. | 1.700% | 2/22/19 | 9,191 | 9,222 |
| Apple Inc. | 2.100% | 5/6/19 | 25,496 | 25,751 |
| Apple Inc. | 1.100% | 8/2/19 | 16,290 | 16,171 |
| Apple Inc. | 1.550% | 2/7/20 | 18,997 | 18,943 |
| Apple Inc. | 1.900% | 2/7/20 | 13,426 | 13,496 |
| Apple Inc. | 2.000% | 5/6/20 | 18,025 | 18,189 |
| Apple Inc. | 1.800% | 5/11/20 | 15,500 | 15,545 |
| Apple Inc. | 2.250% | 2/23/21 | 45,420 | 45,894 |
| Apple Inc. | 2.850% | 5/6/21 | 37,148 | 38,356 |
| Apple Inc. | 1.550% | 8/4/21 | 17,112 | 16,870 |
| Apple Inc. | 2.150% | 2/9/22 | 22,467 | 22,536 |
| Apple Inc. | 2.500% | 2/9/22 | 20,340 | 20,702 |
| Apple Inc. | 2.300% | 5/11/22 | 18,050 | 18,204 |
| Apple Inc. | 2.700% | 5/13/22 | 12,836 | 13,162 |
| Applied Materials Inc. | 2.625% | 10/1/20 | 8,200 | 8,374 |
| Applied Materials Inc. | 4.300% | 6/15/21 | 10,202 | 11,075 |
| Arrow Electronics Inc. | 3.500% | 4/1/22 | 4,706 | 4,796 |
| Autodesk Inc. | 3.125% | 6/15/20 | 5,000 | 5,076 |
| Avnet Inc. | 5.875% | 6/15/20 | 2,339 | 2,524 |
| Avnet Inc. | 3.750% | 12/1/21 | 5,200 | 5,334 |
28
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Baidu Inc. | 2.750% | 6/9/19 | 14,466 | 14,595 |
| Baidu Inc. | 3.000% | 6/30/20 | 6,550 | 6,665 |
| Baidu Inc. | 2.875% | 7/6/22 | 16,375 | 16,536 |
| 2 Broadcom Corp. / Broadcom Cayman Finance Ltd. | 2.375% | 1/15/20 | 38,590 | 38,686 |
| 2 Broadcom Corp. / Broadcom Cayman Finance Ltd. | 3.000% | 1/15/22 | 50,217 | 50,907 |
| Broadridge Financial Solutions Inc. | 3.950% | 9/1/20 | 2,800 | 2,948 |
| CA Inc. | 5.375% | 12/1/19 | 9,525 | 10,155 |
| CA Inc. | 3.600% | 8/1/20 | 5,469 | 5,633 |
| CA Inc. | 3.600% | 8/15/22 | 7,500 | 7,668 |
| Cisco Systems Inc. | 4.950% | 2/15/19 | 32,221 | 33,753 |
| Cisco Systems Inc. | 1.600% | 2/28/19 | 14,431 | 14,452 |
| Cisco Systems Inc. | 2.125% | 3/1/19 | 28,576 | 28,808 |
| Cisco Systems Inc. | 1.400% | 9/20/19 | 10,615 | 10,575 |
| Cisco Systems Inc. | 4.450% | 1/15/20 | 32,129 | 34,178 |
| Cisco Systems Inc. | 2.450% | 6/15/20 | 28,075 | 28,651 |
| Cisco Systems Inc. | 2.200% | 2/28/21 | 27,562 | 27,870 |
| Cisco Systems Inc. | 2.900% | 3/4/21 | 8,850 | 9,140 |
| Cisco Systems Inc. | 1.850% | 9/20/21 | 28,395 | 28,245 |
| Cisco Systems Inc. | 3.000% | 6/15/22 | 1,550 | 1,613 |
| Corning Inc. | 6.625% | 5/15/19 | 3,155 | 3,400 |
| Corning Inc. | 4.250% | 8/15/20 | 2,000 | 2,120 |
| Corning Inc. | 2.900% | 5/15/22 | 4,150 | 4,213 |
| 2 Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 3.480% | 6/1/19 | 51,957 | 52,860 |
| 2 Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 4.420% | 6/15/21 | 63,242 | 66,337 |
| DXC Technology Co. | 2.875% | 3/27/20 | 8,500 | 8,646 |
| Equifax Inc. | 2.300% | 6/1/21 | 5,475 | 5,456 |
| Fidelity National Information Services Inc. | 2.850% | 10/15/18 | 9,738 | 9,863 |
| Fidelity National Information Services Inc. | 3.625% | 10/15/20 | 12,392 | 12,962 |
| Fidelity National Information Services Inc. | 2.250% | 8/15/21 | 14,650 | 14,624 |
| Fiserv Inc. | 2.700% | 6/1/20 | 11,970 | 12,150 |
| Fiserv Inc. | 4.625% | 10/1/20 | 5,454 | 5,843 |
| Fiserv Inc. | 4.750% | 6/15/21 | 615 | 667 |
| Flex Ltd. | 4.625% | 2/15/20 | 5,200 | 5,482 |
| Hewlett Packard Enterprise Co. | 2.850% | 10/5/18 | 36,235 | 36,654 |
| Hewlett Packard Enterprise Co. | 3.600% | 10/15/20 | 45,136 | 46,831 |
| HP Inc. | 3.750% | 12/1/20 | 1,335 | 1,397 |
| HP Inc. | 4.300% | 6/1/21 | 18,735 | 19,960 |
| HP Inc. | 4.375% | 9/15/21 | 14,309 | 15,264 |
| HP Inc. | 4.650% | 12/9/21 | 27,721 | 30,012 |
| Intel Corp. | 1.850% | 5/11/20 | 14,950 | 14,985 |
| Intel Corp. | 2.450% | 7/29/20 | 23,822 | 24,237 |
| Intel Corp. | 1.700% | 5/19/21 | 9,823 | 9,740 |
| Intel Corp. | 3.300% | 10/1/21 | 18,230 | 19,168 |
| Intel Corp. | 2.350% | 5/11/22 | 10,750 | 10,823 |
| Intel Corp. | 3.100% | 7/29/22 | 12,118 | 12,623 |
| International Business Machines Corp. | 7.625% | 10/15/18 | 17,040 | 18,166 |
| International Business Machines Corp. | 1.950% | 2/12/19 | 11,730 | 11,796 |
| International Business Machines Corp. | 1.875% | 5/15/19 | 5,360 | 5,382 |
| International Business Machines Corp. | 1.800% | 5/17/19 | 13,500 | 13,561 |
| International Business Machines Corp. | 8.375% | 11/1/19 | 4,191 | 4,772 |
| International Business Machines Corp. | 1.900% | 1/27/20 | 11,450 | 11,514 |
| International Business Machines Corp. | 1.625% | 5/15/20 | 29,558 | 29,515 |
| International Business Machines Corp. | 2.250% | 2/19/21 | 11,707 | 11,833 |
| International Business Machines Corp. | 2.900% | 11/1/21 | 7,625 | 7,867 |
| International Business Machines Corp. | 2.500% | 1/27/22 | 13,500 | 13,738 |
| International Business Machines Corp. | 1.875% | 8/1/22 | 11,866 | 11,678 |
| Jabil Inc. | 5.625% | 12/15/20 | 3,500 | 3,797 |
| Juniper Networks Inc. | 3.125% | 2/26/19 | 2,845 | 2,884 |
| Juniper Networks Inc. | 3.300% | 6/15/20 | 2,450 | 2,517 |
| Juniper Networks Inc. | 4.600% | 3/15/21 | 1,655 | 1,767 |
| Keysight Technologies Inc. | 3.300% | 10/30/19 | 3,800 | 3,862 |
| KLA-Tencor Corp. | 3.375% | 11/1/19 | 1,200 | 1,230 |
| KLA-Tencor Corp. | 4.125% | 11/1/21 | 6,065 | 6,437 |
| Lam Research Corp. | 2.750% | 3/15/20 | 5,630 | 5,674 |
29
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Lam Research Corp. | 2.800% | 6/15/21 | 11,850 | 12,043 |
| Maxim Integrated Products Inc. | 2.500% | 11/15/18 | 5,573 | 5,619 |
| Microsoft Corp. | 1.300% | 11/3/18 | 28,812 | 28,797 |
| Microsoft Corp. | 1.625% | 12/6/18 | 5,802 | 5,823 |
| Microsoft Corp. | 4.200% | 6/1/19 | 16,615 | 17,392 |
| Microsoft Corp. | 1.100% | 8/8/19 | 33,750 | 33,496 |
| Microsoft Corp. | 1.850% | 2/6/20 | 20,920 | 21,064 |
| Microsoft Corp. | 1.850% | 2/12/20 | 20,485 | 20,602 |
| Microsoft Corp. | 3.000% | 10/1/20 | 17,681 | 18,350 |
| Microsoft Corp. | 2.000% | 11/3/20 | 38,060 | 38,387 |
| Microsoft Corp. | 4.000% | 2/8/21 | 375 | 401 |
| Microsoft Corp. | 1.550% | 8/8/21 | 40,374 | 39,802 |
| Microsoft Corp. | 2.400% | 2/6/22 | 22,900 | 23,279 |
| Microsoft Corp. | 2.375% | 2/12/22 | 20,799 | 21,069 |
| Motorola Solutions Inc. | 3.500% | 9/1/21 | 4,600 | 4,733 |
| Motorola Solutions Inc. | 3.750% | 5/15/22 | 9,903 | 10,302 |
| NetApp Inc. | 3.375% | 6/15/21 | 5,675 | 5,826 |
| NVIDIA Corp. | 2.200% | 9/16/21 | 13,200 | 13,191 |
| Oracle Corp. | 2.375% | 1/15/19 | 24,444 | 24,717 |
| Oracle Corp. | 5.000% | 7/8/19 | 27,179 | 28,882 |
| Oracle Corp. | 2.250% | 10/8/19 | 28,067 | 28,435 |
| Oracle Corp. | 3.875% | 7/15/20 | 12,428 | 13,179 |
| Oracle Corp. | 2.800% | 7/8/21 | 16,598 | 17,138 |
| Oracle Corp. | 1.900% | 9/15/21 | 55,404 | 55,261 |
| Oracle Corp. | 2.500% | 5/15/22 | 31,030 | 31,516 |
| Pitney Bowes Inc. | 6.250% | 3/15/19 | 780 | 826 |
| Pitney Bowes Inc. | 3.375% | 10/1/21 | 9,640 | 9,657 |
| Pitney Bowes Inc. | 3.875% | 5/15/22 | 6,200 | 6,290 |
| QUALCOMM Inc. | 1.850% | 5/20/19 | 16,275 | 16,335 |
| QUALCOMM Inc. | 2.100% | 5/20/20 | 22,605 | 22,766 |
| QUALCOMM Inc. | 2.250% | 5/20/20 | 29,260 | 29,560 |
| QUALCOMM Inc. | 3.000% | 5/20/22 | 25,130 | 25,913 |
| Seagate HDD Cayman | 3.750% | 11/15/18 | 7,083 | 7,198 |
| 2 Seagate HDD Cayman | 4.250% | 3/1/22 | 11,750 | 11,574 |
| Tech Data Corp. | 3.700% | 2/15/22 | 9,730 | 9,927 |
| Texas Instruments Inc. | 1.650% | 8/3/19 | 7,256 | 7,256 |
| Texas Instruments Inc. | 1.750% | 5/1/20 | 3,058 | 3,062 |
| Texas Instruments Inc. | 2.750% | 3/12/21 | 12,325 | 12,664 |
| Texas Instruments Inc. | 1.850% | 5/15/22 | 4,100 | 4,050 |
| Total System Services Inc. | 3.800% | 4/1/21 | 12,244 | 12,764 |
| Tyco Electronics Group SA | 2.375% | 12/17/18 | 3,657 | 3,682 |
| Tyco Electronics Group SA | 2.350% | 8/1/19 | 4,117 | 4,138 |
| Tyco Electronics Group SA | 4.875% | 1/15/21 | 180 | 194 |
| Tyco Electronics Group SA | 3.500% | 2/3/22 | 8,647 | 9,022 |
| Verisk Analytics Inc. | 5.800% | 5/1/21 | 5,089 | 5,668 |
| VMware Inc. | 2.300% | 8/21/20 | 17,000 | 17,053 |
| VMware Inc. | 2.950% | 8/21/22 | 20,200 | 20,286 |
| Xerox Corp. | 2.750% | 3/15/19 | 5,686 | 5,714 |
| Xerox Corp. | 5.625% | 12/15/19 | 6,725 | 7,179 |
| Xerox Corp. | 2.800% | 5/15/20 | 3,100 | 3,119 |
| Xerox Corp. | 3.500% | 8/20/20 | 300 | 306 |
| Xerox Corp. | 2.750% | 9/1/20 | 6,365 | 6,380 |
| Xerox Corp. | 4.500% | 5/15/21 | 15,199 | 16,002 |
| 2 Xerox Corp. | 4.070% | 3/17/22 | 3,205 | 3,306 |
| Xilinx Inc. | 2.125% | 3/15/19 | 5,795 | 5,821 |
| Xilinx Inc. | 3.000% | 3/15/21 | 7,341 | 7,527 |
| Transportation (1.2%) | | | | |
| Burlington Northern Santa Fe LLC | 4.700% | 10/1/19 | 12,089 | 12,813 |
| Burlington Northern Santa Fe LLC | 3.600% | 9/1/20 | 775 | 809 |
| Burlington Northern Santa Fe LLC | 4.100% | 6/1/21 | 1,767 | 1,882 |
| Burlington Northern Santa Fe LLC | 3.450% | 9/15/21 | 6,334 | 6,636 |
| Burlington Northern Santa Fe LLC | 3.050% | 3/15/22 | 9,350 | 9,704 |
| Canadian National Railway Co. | 5.550% | 3/1/19 | 6,350 | 6,708 |
30
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Canadian National Railway Co. | 2.850% | 12/15/21 | 3,925 | 4,034 |
| Canadian Pacific Railway Co. | 7.250% | 5/15/19 | 4,230 | 4,589 |
| Canadian Pacific Railway Co. | 9.450% | 8/1/21 | 2,250 | 2,793 |
| Canadian Pacific Railway Co. | 4.500% | 1/15/22 | 1,900 | 2,044 |
| 1 Continental Airlines 2007-1 Class A Pass Through Trust | 5.983% | 10/19/23 | 5,249 | 5,773 |
| 1 Continental Airlines 2009-2 Class A Pass Through Trust | 7.250% | 5/10/21 | 2,464 | 2,719 |
| 1 Continental Airlines 2010-1 Class A Pass Through Trust | 4.750% | 7/12/22 | 1,817 | 1,924 |
| CSX Corp. | 3.700% | 10/30/20 | 4,212 | 4,401 |
| CSX Corp. | 4.250% | 6/1/21 | 8,365 | 8,931 |
| 1 Delta Air Lines 2007-1 Class A Pass Through Trust | 6.821% | 2/10/24 | 2,918 | 3,380 |
| 1 Delta Air Lines 2009-1 Class A Pass Through Trust | 7.750% | 6/17/21 | 1,685 | 1,845 |
| 1 Delta Air Lines 2010-2 Class A Pass Through Trust | 4.950% | 11/23/20 | 1,386 | 1,433 |
| 1 Delta Air Lines 2012-1 Class A Pass Through Trust | 4.750% | 11/7/21 | 1,524 | 1,609 |
| Delta Air Lines Inc. | 2.875% | 3/13/20 | 5,150 | 5,226 |
| Delta Air Lines Inc. | 3.625% | 3/15/22 | 13,900 | 14,320 |
| FedEx Corp. | 8.000% | 1/15/19 | 5,300 | 5,729 |
| FedEx Corp. | 2.300% | 2/1/20 | 9,830 | 9,904 |
| FedEx Corp. | 2.625% | 8/1/22 | 6,000 | 6,130 |
| JB Hunt Transport Services Inc. | 2.400% | 3/15/19 | 2,150 | 2,163 |
| JB Hunt Transport Services Inc. | 3.300% | 8/15/22 | 2,250 | 2,308 |
| Norfolk Southern Corp. | 5.900% | 6/15/19 | 6,915 | 7,404 |
| Norfolk Southern Corp. | 3.250% | 12/1/21 | 9,998 | 10,364 |
| Norfolk Southern Corp. | 3.000% | 4/1/22 | 5,925 | 6,061 |
| Norfolk Southern Railway Co. | 9.750% | 6/15/20 | 1,780 | 2,143 |
| 1 Northwest Airlines 2007-1 Class A Pass Through Trust | 7.027% | 5/1/21 | 1,505 | 1,633 |
| Ryder System Inc. | 2.450% | 11/15/18 | 4,450 | 4,484 |
| Ryder System Inc. | 2.350% | 2/26/19 | 2,575 | 2,594 |
| Ryder System Inc. | 2.550% | 6/1/19 | 5,655 | 5,716 |
| Ryder System Inc. | 2.450% | 9/3/19 | 5,020 | 5,072 |
| Ryder System Inc. | 2.650% | 3/2/20 | 5,725 | 5,815 |
| Ryder System Inc. | 2.500% | 5/11/20 | 3,950 | 3,995 |
| Ryder System Inc. | 2.875% | 9/1/20 | 4,078 | 4,161 |
| Ryder System Inc. | 2.250% | 9/1/21 | 4,490 | 4,475 |
| Ryder System Inc. | 3.450% | 11/15/21 | 250 | 260 |
| Ryder System Inc. | 2.800% | 3/1/22 | 7,950 | 8,079 |
| Southwest Airlines Co. | 2.750% | 11/6/19 | 4,040 | 4,101 |
| Southwest Airlines Co. | 2.650% | 11/5/20 | 5,609 | 5,679 |
| Union Pacific Corp. | 2.250% | 2/15/19 | 6,680 | 6,738 |
| Union Pacific Corp. | 1.800% | 2/1/20 | 4,958 | 4,951 |
| Union Pacific Corp. | 2.250% | 6/19/20 | 6,650 | 6,724 |
| Union Pacific Corp. | 4.000% | 2/1/21 | 6,854 | 7,292 |
| Union Pacific Corp. | 4.163% | 7/15/22 | 7,825 | 8,474 |
| United Parcel Service Inc. | 5.125% | 4/1/19 | 25,256 | 26,582 |
| United Parcel Service Inc. | 3.125% | 1/15/21 | 13,486 | 13,995 |
| United Parcel Service Inc. | 2.350% | 5/16/22 | 11,400 | 11,559 |
| United Parcel Service of America Inc. | 8.375% | 4/1/20 | 2,250 | 2,604 |
| | | | | 13,811,250 |
| Utilities (4.3%) | | | | |
| Electric (4.1%) | | | | |
| Alabama Power Co. | 3.375% | 10/1/20 | 745 | 773 |
| Alabama Power Co. | 2.450% | 3/30/22 | 7,625 | 7,702 |
| Ameren Corp. | 2.700% | 11/15/20 | 7,352 | 7,472 |
| Appalachian Power Co. | 4.600% | 3/30/21 | 4,500 | 4,834 |
| Arizona Public Service Co. | 8.750% | 3/1/19 | 6,402 | 7,037 |
| Baltimore Gas & Electric Co. | 3.500% | 11/15/21 | 5,347 | 5,629 |
| Berkshire Hathaway Energy Co. | 2.000% | 11/15/18 | 4,418 | 4,435 |
| Berkshire Hathaway Energy Co. | 2.400% | 2/1/20 | 4,750 | 4,802 |
| CenterPoint Energy Houston Electric LLC | 1.850% | 6/1/21 | 7,000 | 6,936 |
| CenterPoint Energy Houston Electric LLC | 2.250% | 8/1/22 | 2,537 | 2,538 |
| CenterPoint Energy Inc. | 2.500% | 9/1/22 | 1,250 | 1,257 |
| Cleveland Electric Illuminating Co. | 8.875% | 11/15/18 | 1,950 | 2,108 |
| CMS Energy Corp. | 8.750% | 6/15/19 | 9,936 | 11,070 |
| CMS Energy Corp. | 6.250% | 2/1/20 | 2,775 | 3,047 |
31
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| CMS Energy Corp. | 5.050% | 3/15/22 | 3,700 | 4,098 |
| Commonwealth Edison Co. | 2.150% | 1/15/19 | 7,375 | 7,413 |
| Commonwealth Edison Co. | 4.000% | 8/1/20 | 2,625 | 2,750 |
| Commonwealth Edison Co. | 3.400% | 9/1/21 | 7,100 | 7,453 |
| Consolidated Edison Co. of New York Inc. | 7.125% | 12/1/18 | 5,102 | 5,430 |
| Consolidated Edison Co. of New York Inc. | 6.650% | 4/1/19 | 7,450 | 8,005 |
| Consolidated Edison Co. of New York Inc. | 4.450% | 6/15/20 | 2,750 | 2,942 |
| Consolidated Edison Inc. | 2.000% | 3/15/20 | 4,040 | 4,053 |
| Consolidated Edison Inc. | 2.000% | 5/15/21 | 10,250 | 10,208 |
| Constellation Energy Group Inc. | 5.150% | 12/1/20 | 6,811 | 7,373 |
| Consumers Energy Co. | 6.125% | 3/15/19 | 6,490 | 6,917 |
| Consumers Energy Co. | 6.700% | 9/15/19 | 275 | 301 |
| Consumers Energy Co. | 5.650% | 4/15/20 | 2,875 | 3,150 |
| Consumers Energy Co. | 2.850% | 5/15/22 | 4,944 | 5,081 |
| Dominion Energy Inc. | 1.875% | 1/15/19 | 6,150 | 6,153 |
| Dominion Energy Inc. | 2.962% | 7/1/19 | 9,875 | 10,035 |
| Dominion Energy Inc. | 1.600% | 8/15/19 | 3,800 | 3,773 |
| Dominion Energy Inc. | 5.200% | 8/15/19 | 6,285 | 6,667 |
| Dominion Energy Inc. | 2.500% | 12/1/19 | 16,351 | 16,541 |
| Dominion Energy Inc. | 2.579% | 7/1/20 | 11,126 | 11,235 |
| Dominion Energy Inc. | 4.450% | 3/15/21 | 8,706 | 9,353 |
| Dominion Energy Inc. | 4.104% | 4/1/21 | 5,350 | 5,625 |
| Dominion Energy Inc. | 2.000% | 8/15/21 | 6,045 | 5,969 |
| Dominion Energy Inc. | 2.750% | 1/15/22 | 4,250 | 4,308 |
| DTE Electric Co. | 3.450% | 10/1/20 | 5,050 | 5,264 |
| DTE Energy Co. | 1.500% | 10/1/19 | 4,930 | 4,871 |
| DTE Energy Co. | 2.400% | 12/1/19 | 7,550 | 7,610 |
| DTE Energy Co. | 3.300% | 6/15/22 | 1,585 | 1,633 |
| Duke Energy Carolinas LLC | 7.000% | 11/15/18 | 3,105 | 3,293 |
| Duke Energy Carolinas LLC | 4.300% | 6/15/20 | 3,325 | 3,544 |
| Duke Energy Carolinas LLC | 3.900% | 6/15/21 | 5,375 | 5,729 |
| Duke Energy Corp. | 5.050% | 9/15/19 | 7,920 | 8,404 |
| Duke Energy Corp. | 1.800% | 9/1/21 | 13,000 | 12,820 |
| Duke Energy Corp. | 3.550% | 9/15/21 | 6,250 | 6,545 |
| Duke Energy Corp. | 2.400% | 8/15/22 | 6,700 | 6,701 |
| Duke Energy Corp. | 3.050% | 8/15/22 | 8,418 | 8,642 |
| Duke Energy Florida LLC | 3.100% | 8/15/21 | 2,675 | 2,776 |
| Duke Energy Indiana LLC | 3.750% | 7/15/20 | 4,350 | 4,567 |
| Duke Energy Ohio Inc. | 5.450% | 4/1/19 | 10,754 | 11,356 |
| Duke Energy Progress Llc | 5.300% | 1/15/19 | 17,328 | 18,146 |
| Duke Energy Progress Llc | 3.000% | 9/15/21 | 2,500 | 2,588 |
| Duke Energy Progress Llc | 2.800% | 5/15/22 | 7,350 | 7,554 |
| Edison International | 2.125% | 4/15/20 | 8,400 | 8,431 |
| Edison International | 2.400% | 9/15/22 | 2,675 | 2,678 |
| Emera US Finance LP | 2.150% | 6/15/19 | 6,584 | 6,592 |
| Emera US Finance LP | 2.700% | 6/15/21 | 16,070 | 16,227 |
| Entergy Arkansas Inc. | 3.750% | 2/15/21 | 4,592 | 4,807 |
| Entergy Corp. | 5.125% | 9/15/20 | 3,575 | 3,860 |
| Entergy Corp. | 4.000% | 7/15/22 | 8,874 | 9,450 |
| Entergy Gulf States Louisiana LLC | 3.950% | 10/1/20 | 3,810 | 3,986 |
| Entergy Louisiana LLC | 6.500% | 9/1/18 | 1,875 | 1,961 |
| Entergy Texas Inc. | 7.125% | 2/1/19 | 6,155 | 6,582 |
| Eversource Energy | 4.500% | 11/15/19 | 4,032 | 4,244 |
| Exelon Corp. | 2.850% | 6/15/20 | 12,025 | 12,280 |
| Exelon Corp. | 2.450% | 4/15/21 | 4,100 | 4,118 |
| Exelon Corp. | 3.497% | 6/1/22 | 10,025 | 10,389 |
| Exelon Generation Co. LLC | 5.200% | 10/1/19 | 7,690 | 8,190 |
| Exelon Generation Co. LLC | 2.950% | 1/15/20 | 21,996 | 22,414 |
| Exelon Generation Co. LLC | 4.000% | 10/1/20 | 8,196 | 8,619 |
| Exelon Generation Co. LLC | 3.400% | 3/15/22 | 3,000 | 3,099 |
| Exelon Generation Co. LLC | 4.250% | 6/15/22 | 10,064 | 10,728 |
| FirstEnergy Corp. | 2.850% | 7/15/22 | 6,900 | 6,936 |
| Fortis Inc. | 2.100% | 10/4/21 | 13,398 | 13,244 |
| Georgia Power Co. | 1.950% | 12/1/18 | 14,493 | 14,533 |
32
| | | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | | Face | Market |
| | | | Maturity | Amount | Value |
| | | Coupon | Date | ($000) | ($000) |
| | Georgia Power Co. | 4.250% | 12/1/19 | 6,245 | 6,554 |
| | Georgia Power Co. | 2.000% | 3/30/20 | 8,030 | 8,020 |
| | Georgia Power Co. | 2.400% | 4/1/21 | 5,058 | 5,093 |
| | Georgia Power Co. | 2.850% | 5/15/22 | 3,300 | 3,375 |
| | Great Plains Energy Inc. | 4.850% | 6/1/21 | 4,630 | 4,933 |
| | Indiana Michigan Power Co. | 7.000% | 3/15/19 | 5,367 | 5,760 |
| | Kansas City Power & Light Co. | 7.150% | 4/1/19 | 5,488 | 5,938 |
| | Kentucky Utilities Co. | 3.250% | 11/1/20 | 3,925 | 4,067 |
| | LG&E & KU Energy LLC | 3.750% | 11/15/20 | 6,200 | 6,479 |
| | LG&E & KU Energy LLC | 4.375% | 10/1/21 | 1,575 | 1,684 |
| | Metropolitan Edison Co. | 7.700% | 1/15/19 | 2,017 | 2,164 |
| | MidAmerican Energy Co. | 2.400% | 3/15/19 | 4,333 | 4,382 |
| | National Rural Utilities Cooperative Finance Corp. | 10.375% | 11/1/18 | 12,887 | 14,134 |
| | National Rural Utilities Cooperative Finance Corp. | 2.150% | 2/1/19 | 6,400 | 6,440 |
| | National Rural Utilities Cooperative Finance Corp. | 1.650% | 2/8/19 | 5,400 | 5,400 |
| | National Rural Utilities Cooperative Finance Corp. | 1.500% | 11/1/19 | 8,615 | 8,581 |
| | National Rural Utilities Cooperative Finance Corp. | 2.300% | 11/15/19 | 2,600 | 2,629 |
| | National Rural Utilities Cooperative Finance Corp. | 2.000% | 1/27/20 | 8,900 | 8,956 |
| | National Rural Utilities Cooperative Finance Corp. | 2.350% | 6/15/20 | 3,085 | 3,124 |
| | National Rural Utilities Cooperative Finance Corp. | 2.300% | 11/1/20 | 1,950 | 1,972 |
| | National Rural Utilities Cooperative Finance Corp. | 3.050% | 2/15/22 | 5,842 | 6,054 |
| | National Rural Utilities Cooperative Finance Corp. | 2.400% | 4/25/22 | 6,680 | 6,770 |
| | Nevada Power Co. | 7.125% | 3/15/19 | 12,217 | 13,186 |
| | NextEra Energy Capital Holdings Inc. | 1.649% | 9/1/18 | 3,271 | 3,269 |
| | NextEra Energy Capital Holdings Inc. | 6.000% | 3/1/19 | 10,585 | 11,203 |
| | NextEra Energy Capital Holdings Inc. | 2.300% | 4/1/19 | 7,590 | 7,651 |
| | NextEra Energy Capital Holdings Inc. | 2.400% | 9/15/19 | 7,070 | 7,129 |
| | NextEra Energy Capital Holdings Inc. | 2.700% | 9/15/19 | 5,289 | 5,356 |
| | NextEra Energy Capital Holdings Inc. | 4.500% | 6/1/21 | 3,315 | 3,553 |
| 1,3 | NextEra Energy Capital Holdings Inc. | 7.300% | 9/1/67 | 1,005 | 1,010 |
| | Northern States Power Co. | 2.200% | 8/15/20 | 3,200 | 3,232 |
| | Northern States Power Co. | 2.150% | 8/15/22 | 2,875 | 2,872 |
| | NorthWestern Corp. | 6.340% | 4/1/19 | 2,000 | 2,134 |
| | NV Energy Inc. | 6.250% | 11/15/20 | 2,500 | 2,810 |
| | Oglethorpe Power Corp. | 6.100% | 3/15/19 | 1,815 | 1,921 |
| | Ohio Power Co. | 5.375% | 10/1/21 | 5,512 | 6,163 |
| | Oncor Electric Delivery Co. LLC | 6.800% | 9/1/18 | 5,325 | 5,581 |
| | Oncor Electric Delivery Co. LLC | 2.150% | 6/1/19 | 2,599 | 2,605 |
| | Oncor Electric Delivery Co. LLC | 4.100% | 6/1/22 | 4,628 | 4,934 |
| | Pacific Gas & Electric Co. | 8.250% | 10/15/18 | 12,511 | 13,380 |
| | Pacific Gas & Electric Co. | 3.500% | 10/1/20 | 9,309 | 9,723 |
| | Pacific Gas & Electric Co. | 4.250% | 5/15/21 | 3,362 | 3,598 |
| | Pacific Gas & Electric Co. | 2.450% | 8/15/22 | 5,735 | 5,774 |
| | PacifiCorp | 5.500% | 1/15/19 | 4,748 | 4,984 |
| | PacifiCorp | 3.850% | 6/15/21 | 4,502 | 4,775 |
| | PacifiCorp | 2.950% | 2/1/22 | 5,887 | 6,070 |
| | PECO Energy Co. | 1.700% | 9/15/21 | 4,225 | 4,166 |
| | Pennsylvania Electric Co. | 5.200% | 4/1/20 | 3,725 | 3,981 |
| | PG&E Corp. | 2.400% | 3/1/19 | 4,358 | 4,382 |
| | Portland General Electric Co. | 6.100% | 4/15/19 | 2,510 | 2,678 |
| | PPL Capital Funding Inc. | 4.200% | 6/15/22 | 7,855 | 8,476 |
| | PPL Electric Utilities Corp. | 3.000% | 9/15/21 | 4,300 | 4,439 |
| | Progress Energy Inc. | 7.050% | 3/15/19 | 1,485 | 1,597 |
| | Progress Energy Inc. | 4.875% | 12/1/19 | 4,856 | 5,154 |
| | Progress Energy Inc. | 4.400% | 1/15/21 | 4,475 | 4,773 |
| | Progress Energy Inc. | 3.150% | 4/1/22 | 7,873 | 8,070 |
| | PSEG Power LLC | 5.125% | 4/15/20 | 4,280 | 4,578 |
| | PSEG Power LLC | 3.000% | 6/15/21 | 6,225 | 6,362 |
| | Public Service Co. of Colorado | 5.125% | 6/1/19 | 5,000 | 5,281 |
| | Public Service Co. of Colorado | 3.200% | 11/15/20 | 3,175 | 3,288 |
| | Public Service Co. of Oklahoma | 5.150% | 12/1/19 | 1,372 | 1,454 |
| | Public Service Electric & Gas Co. | 2.300% | 9/15/18 | 5,674 | 5,710 |
| | Public Service Electric & Gas Co. | 1.900% | 3/15/21 | 8,350 | 8,315 |
| | Public Service Enterprise Group Inc. | 1.600% | 11/15/19 | 6,750 | 6,692 |
33
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Public Service Enterprise Group Inc. | 2.000% | 11/15/21 | 1,100 | 1,084 |
| Puget Energy Inc. | 6.500% | 12/15/20 | 6,175 | 6,972 |
| Puget Energy Inc. | 6.000% | 9/1/21 | 6,326 | 7,114 |
| Puget Energy Inc. | 5.625% | 7/15/22 | 7,725 | 8,669 |
| San Diego Gas & Electric Co. | 3.000% | 8/15/21 | 3,431 | 3,553 |
| SCANA Corp. | 4.750% | 5/15/21 | 4,850 | 5,140 |
| South Carolina Electric & Gas Co. | 6.500% | 11/1/18 | 4,225 | 4,445 |
| Southern California Edison Co. | 3.875% | 6/1/21 | 5,600 | 5,948 |
| 1 Southern California Edison Co. | 1.845% | 2/1/22 | 1,784 | 1,766 |
| Southern California Edison Co. | 2.400% | 2/1/22 | 850 | 859 |
| Southern Co. | 2.450% | 9/1/18 | 6,700 | 6,751 |
| Southern Co. | 1.850% | 7/1/19 | 9,300 | 9,301 |
| Southern Co. | 2.150% | 9/1/19 | 5,875 | 5,906 |
| Southern Co. | 2.750% | 6/15/20 | 7,620 | 7,751 |
| Southern Co. | 2.350% | 7/1/21 | 15,966 | 15,986 |
| 1 Southern Co. | 5.500% | 3/15/57 | 5,925 | 6,281 |
| Southern Power Co. | 1.950% | 12/15/19 | 6,300 | 6,289 |
| Southern Power Co. | 2.375% | 6/1/20 | 2,460 | 2,472 |
| Southern Power Co. | 2.500% | 12/15/21 | 5,450 | 5,455 |
| Southwestern Electric Power Co. | 6.450% | 1/15/19 | 4,630 | 4,900 |
| Tampa Electric Co. | 5.400% | 5/15/21 | 2,225 | 2,462 |
| TECO Finance Inc. | 5.150% | 3/15/20 | 3,755 | 3,988 |
| UIL Holdings Corp. | 4.625% | 10/1/20 | 1,220 | 1,300 |
| Union Electric Co. | 6.700% | 2/1/19 | 5,375 | 5,735 |
| Virginia Electric & Power Co. | 5.000% | 6/30/19 | 1,000 | 1,058 |
| Virginia Electric & Power Co. | 2.950% | 1/15/22 | 4,450 | 4,583 |
| Virginia Electric & Power Co. | 3.450% | 9/1/22 | 500 | 525 |
| WEC Energy Group Inc. | 2.450% | 6/15/20 | 3,633 | 3,679 |
| Wisconsin Electric Power Co. | 2.950% | 9/15/21 | 2,870 | 2,962 |
| Wisconsin Public Service Corp. | 1.650% | 12/4/18 | 3,145 | 3,146 |
| Xcel Energy Inc. | 4.700% | 5/15/20 | 8,065 | 8,537 |
| Xcel Energy Inc. | 2.400% | 3/15/21 | 12,995 | 13,102 |
| Xcel Energy Inc. | 2.600% | 3/15/22 | 3,700 | 3,742 |
| Natural Gas (0.2%) | | | | |
| Atmos Energy Corp. | 8.500% | 3/15/19 | 2,787 | 3,060 |
| CenterPoint Energy Resources Corp. | 4.500% | 1/15/21 | 5,251 | 5,543 |
| NiSource Finance Corp. | 6.800% | 1/15/19 | 503 | 534 |
| NiSource Finance Corp. | 5.450% | 9/15/20 | 5,225 | 5,720 |
| ONE Gas Inc. | 2.070% | 2/1/19 | 2,835 | 2,839 |
| Sempra Energy | 9.800% | 2/15/19 | 2,596 | 2,885 |
| Sempra Energy | 1.625% | 10/7/19 | 13,343 | 13,275 |
| Sempra Energy | 2.400% | 3/15/20 | 8,289 | 8,360 |
| Sempra Energy | 2.850% | 11/15/20 | 5,372 | 5,474 |
| Sempra Energy | 4.050% | 12/1/23 | 300 | 321 |
| Southern Co. Gas Capital Corp. | 5.250% | 8/15/19 | 2,825 | 2,994 |
| Southern Co. Gas Capital Corp. | 3.500% | 9/15/21 | 4,600 | 4,792 |
| Other Utility (0.0%) | | | | |
| United Utilities plc | 5.375% | 2/1/19 | 3,000 | 3,116 |
| |
| | | | | 1,105,076 |
| |
| Total Corporate Bonds (Cost $25,032,115) | | | | 25,205,786 |
| |
| Taxable Municipal Bonds (0.0%) | | | | |
| Dartmouth College New Hampshire GO | 4.750% | 6/1/19 | 862 | 911 |
| Emory University Georgia GO | 5.625% | 9/1/19 | 1,980 | 2,109 |
| Princeton University New Jersey GO | 4.950% | 3/1/19 | 4,482 | 4,699 |
| Stanford University California GO | 4.750% | 5/1/19 | 2,800 | 2,943 |
| |
| Total Taxable Municipal Bonds (Cost $10,708) | | | | 10,662 |
34
| | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | |
| Schedule of Investments | | | |
| August 31, 2017 | | | |
| |
| | | | Market |
| | | | Value |
| | Coupon | Shares | ($000) |
| Temporary Cash Investment (0.3%) | | | |
| Money Market Fund (0.3%) | | | |
| 4 Vanguard Market Liquidity Fund (Cost | | | |
| $63,952) | 1.224% | 639,428 | 63,956 |
| |
| Total Investments (99.5%) (Cost $25,252,484) | | | 25,426,123 |
| Other Assets and Liabilities—Net (0.5%)5 | | | 130,024 |
| Net Assets (100%) | | | 25,556,147 |
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 August 31, 2017, the aggregate value of these securities was $388,193,000,
representing 1.5% of net assets.
3 Adjustable-rate security based upon 3-month USD LIBOR plus spread.
4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day
yield.
5 Cash of $1,846,000 has been segregated as initial margin for recently closed futures contracts.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.
35
| | | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | | Face | Market |
| | | | Maturity | Amount | Value |
| | | Coupon | Date | ($000) | ($000) |
| |
| U.S. Government and Agency Obligations (0.2%) | | | | |
| U.S. Government Securities (0.2%) | | | | |
| | United States Treasury Note/Bond | 1.875% | 7/31/22 | 15 | 15 |
| | United States Treasury Note/Bond | 1.625% | 8/31/22 | 37,000 | 36,855 |
| | United States Treasury Note/Bond | 2.125% | 7/31/24 | 680 | 688 |
| | United States Treasury Note/Bond | 1.875% | 8/31/24 | 9,000 | 8,957 |
| | United States Treasury Note/Bond | 2.250% | 8/15/27 | 970 | 981 |
| |
| Total U.S. Government and Agency Obligations (Cost $47,486) | | | | 47,496 |
| |
| Corporate Bonds (98.6%) | | | | |
| Finance (34.0%) | | | | |
| | Banking (23.0%) | | | | |
| | American Express Co. | 2.650% | 12/2/22 | 13,672 | 13,814 |
| | American Express Co. | 3.625% | 12/5/24 | 6,926 | 7,204 |
| | American Express Credit Corp. | 3.300% | 5/3/27 | 24,466 | 24,924 |
| | Associated Banc-Corp | 4.250% | 1/15/25 | 500 | 519 |
| | Australia & New Zealand Banking Group Ltd. | 3.700% | 11/16/25 | 6,350 | 6,765 |
| | Banco Santander SA | 4.250% | 4/11/27 | 12,340 | 12,881 |
| | Bank of America Corp. | 2.503% | 10/21/22 | 22,726 | 22,507 |
| | Bank of America Corp. | 3.300% | 1/11/23 | 53,263 | 54,776 |
| | Bank of America Corp. | 4.100% | 7/24/23 | 19,059 | 20,335 |
| | Bank of America Corp. | 4.125% | 1/22/24 | 29,307 | 31,362 |
| | Bank of America Corp. | 4.000% | 4/1/24 | 29,875 | 31,750 |
| | Bank of America Corp. | 4.200% | 8/26/24 | 34,610 | 36,355 |
| | Bank of America Corp. | 4.000% | 1/22/25 | 26,789 | 27,684 |
| | Bank of America Corp. | 3.950% | 4/21/25 | 31,870 | 32,838 |
| | Bank of America Corp. | 3.875% | 8/1/25 | 36,597 | 38,486 |
| | Bank of America Corp. | 4.450% | 3/3/26 | 29,321 | 31,037 |
| | Bank of America Corp. | 3.500% | 4/19/26 | 33,640 | 34,211 |
| | Bank of America Corp. | 6.220% | 9/15/26 | 400 | 472 |
| | Bank of America Corp. | 4.250% | 10/22/26 | 21,431 | 22,485 |
| | Bank of America Corp. | 3.248% | 10/21/27 | 10,000 | 9,801 |
| 1 | Bank of America Corp. | 3.824% | 1/20/28 | 21,750 | 22,339 |
| 1 | Bank of America Corp. | 3.705% | 4/24/28 | 17,150 | 17,545 |
| 1 | Bank of America Corp. | 3.593% | 7/21/28 | 28,700 | 29,131 |
| | Bank of Montreal | 2.550% | 11/6/22 | 10,390 | 10,532 |
| | Bank of New York Mellon Corp. | 2.200% | 8/16/23 | 10,221 | 10,061 |
| | Bank of New York Mellon Corp. | 3.650% | 2/4/24 | 8,601 | 9,098 |
| | Bank of New York Mellon Corp. | 3.400% | 5/15/24 | 5,606 | 5,838 |
| | Bank of New York Mellon Corp. | 3.250% | 9/11/24 | 9,026 | 9,308 |
| | Bank of New York Mellon Corp. | 3.000% | 2/24/25 | 10,223 | 10,358 |
| | Bank of New York Mellon Corp. | 3.950% | 11/18/25 | 2,475 | 2,665 |
| | Bank of New York Mellon Corp. | 2.800% | 5/4/26 | 5,997 | 5,955 |
| | Bank of New York Mellon Corp. | 2.450% | 8/17/26 | 9,630 | 9,296 |
| | Bank of New York Mellon Corp. | 3.250% | 5/16/27 | 11,250 | 11,515 |
| 1 | Bank of New York Mellon Corp. | 3.442% | 2/7/28 | 11,550 | 11,945 |
| | Bank of Nova Scotia | 4.500% | 12/16/25 | 14,441 | 15,404 |
| | Bank One Corp. | 7.625% | 10/15/26 | 7,020 | 9,113 |
| | Bank One Corp. | 8.000% | 4/29/27 | 1,185 | 1,587 |
| | Barclays Bank plc | 3.750% | 5/15/24 | 1,600 | 1,678 |
| | Barclays plc | 3.684% | 1/10/23 | 25,800 | 26,501 |
| | Barclays plc | 4.375% | 9/11/24 | 14,417 | 14,778 |
| | Barclays plc | 3.650% | 3/16/25 | 26,330 | 26,533 |
| | Barclays plc | 4.375% | 1/12/26 | 23,675 | 24,896 |
| | Barclays plc | 5.200% | 5/12/26 | 22,406 | 23,947 |
| | BNP Paribas SA | 3.250% | 3/3/23 | 11,240 | 11,672 |
| | BNP Paribas SA | 4.250% | 10/15/24 | 11,568 | 12,175 |
| | BPCE SA | 4.000% | 4/15/24 | 20,546 | 21,957 |
| | BPCE SA | 3.375% | 12/2/26 | 4,750 | 4,872 |
| | Branch Banking & Trust Co. | 3.625% | 9/16/25 | 15,540 | 16,344 |
| | Branch Banking & Trust Co. | 3.800% | 10/30/26 | 6,427 | 6,842 |
36
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Capital One Bank USA NA | 3.375% | 2/15/23 | 19,156 | 19,499 |
| Capital One Financial Corp. | 3.500% | 6/15/23 | 8,957 | 9,253 |
| Capital One Financial Corp. | 3.750% | 4/24/24 | 12,561 | 13,040 |
| Capital One Financial Corp. | 3.200% | 2/5/25 | 7,435 | 7,434 |
| Capital One Financial Corp. | 4.200% | 10/29/25 | 21,788 | 22,430 |
| Capital One Financial Corp. | 3.750% | 7/28/26 | 14,285 | 14,186 |
| Capital One Financial Corp. | 3.750% | 3/9/27 | 12,825 | 12,965 |
| Citigroup Inc. | 3.375% | 3/1/23 | 1,000 | 1,029 |
| Citigroup Inc. | 3.500% | 5/15/23 | 15,912 | 16,304 |
| Citigroup Inc. | 3.875% | 10/25/23 | 11,408 | 12,006 |
| Citigroup Inc. | 3.750% | 6/16/24 | 10,302 | 10,790 |
| Citigroup Inc. | 4.000% | 8/5/24 | 7,125 | 7,425 |
| Citigroup Inc. | 3.875% | 3/26/25 | 12,731 | 13,043 |
| Citigroup Inc. | 3.300% | 4/27/25 | 12,732 | 12,919 |
| Citigroup Inc. | 4.400% | 6/10/25 | 30,221 | 31,923 |
| Citigroup Inc. | 5.500% | 9/13/25 | 16,855 | 19,028 |
| Citigroup Inc. | 3.700% | 1/12/26 | 25,901 | 26,666 |
| Citigroup Inc. | 4.600% | 3/9/26 | 17,698 | 18,875 |
| Citigroup Inc. | 3.400% | 5/1/26 | 18,253 | 18,345 |
| Citigroup Inc. | 3.200% | 10/21/26 | 41,207 | 40,781 |
| Citigroup Inc. | 4.300% | 11/20/26 | 9,546 | 9,957 |
| 1 Citigroup Inc. | 3.887% | 1/10/28 | 28,950 | 29,854 |
| 1 Citigroup Inc. | 3.668% | 7/24/28 | 31,700 | 32,082 |
| Citizens Financial Group Inc. | 4.300% | 12/3/25 | 6,923 | 7,317 |
| Comerica Bank | 4.000% | 7/27/25 | 3,500 | 3,631 |
| Comerica Inc. | 3.800% | 7/22/26 | 159 | 163 |
| Compass Bank | 3.875% | 4/10/25 | 8,300 | 8,345 |
| Cooperatieve Rabobank UA | 3.950% | 11/9/22 | 17,178 | 18,100 |
| Cooperatieve Rabobank UA | 4.625% | 12/1/23 | 23,141 | 25,131 |
| Cooperatieve Rabobank UA | 3.375% | 5/21/25 | 10,070 | 10,474 |
| Cooperatieve Rabobank UA | 4.375% | 8/4/25 | 17,283 | 18,342 |
| Cooperatieve Rabobank UA | 3.750% | 7/21/26 | 17,056 | 17,362 |
| Credit Suisse AG | 3.625% | 9/9/24 | 37,060 | 38,843 |
| 2 Credit Suisse Group AG | 3.574% | 1/9/23 | 3,700 | 3,806 |
| 2 Credit Suisse Group AG | 4.282% | 1/9/28 | 8,000 | 8,381 |
| Credit Suisse Group Funding Guernsey Ltd. | 3.800% | 9/15/22 | 20,172 | 21,076 |
| Credit Suisse Group Funding Guernsey Ltd. | 3.800% | 6/9/23 | 18,780 | 19,602 |
| Credit Suisse Group Funding Guernsey Ltd. | 3.750% | 3/26/25 | 18,322 | 18,755 |
| Credit Suisse Group Funding Guernsey Ltd. | 4.550% | 4/17/26 | 25,345 | 27,265 |
| Deutsche Bank AG | 3.700% | 5/30/24 | 17,745 | 18,146 |
| Deutsche Bank AG | 4.100% | 1/13/26 | 8,560 | 8,871 |
| Discover Bank | 4.200% | 8/8/23 | 11,357 | 12,082 |
| Discover Bank | 4.250% | 3/13/26 | 3,512 | 3,672 |
| Discover Bank | 3.450% | 7/27/26 | 13,245 | 13,112 |
| Discover Financial Services | 3.850% | 11/21/22 | 5,873 | 6,110 |
| Discover Financial Services | 3.950% | 11/6/24 | 7,003 | 7,216 |
| Discover Financial Services | 3.750% | 3/4/25 | 8,387 | 8,490 |
| Discover Financial Services | 4.100% | 2/9/27 | 7,126 | 7,300 |
| Fifth Third Bancorp | 4.300% | 1/16/24 | 8,121 | 8,696 |
| Fifth Third Bank | 3.850% | 3/15/26 | 7,550 | 7,842 |
| FirstMerit Bank NA | 4.270% | 11/25/26 | 450 | 473 |
| FirstMerit Corp. | 4.350% | 2/4/23 | 1,600 | 1,691 |
| Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 26,916 | 27,942 |
| Goldman Sachs Group Inc. | 4.000% | 3/3/24 | 35,178 | 37,192 |
| Goldman Sachs Group Inc. | 3.850% | 7/8/24 | 28,397 | 29,688 |
| Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 32,345 | 32,913 |
| Goldman Sachs Group Inc. | 3.750% | 5/22/25 | 22,905 | 23,578 |
| Goldman Sachs Group Inc. | 4.250% | 10/21/25 | 20,435 | 21,374 |
| Goldman Sachs Group Inc. | 3.750% | 2/25/26 | 24,406 | 25,187 |
| Goldman Sachs Group Inc. | 3.500% | 11/16/26 | 34,294 | 34,394 |
| Goldman Sachs Group Inc. | 5.950% | 1/15/27 | 10,937 | 12,847 |
| Goldman Sachs Group Inc. | 3.850% | 1/26/27 | 28,793 | 29,536 |
| 1 Goldman Sachs Group Inc. | 3.691% | 6/5/28 | 31,200 | 31,630 |
| HSBC Holdings plc | 5.100% | 4/5/21 | | — |
37
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| HSBC Holdings plc | 3.600% | 5/25/23 | 28,856 | 30,119 |
| HSBC Holdings plc | 4.250% | 3/14/24 | 22,016 | 23,087 |
| HSBC Holdings plc | 4.250% | 8/18/25 | 18,256 | 19,054 |
| HSBC Holdings plc | 4.300% | 3/8/26 | 33,345 | 35,949 |
| HSBC Holdings plc | 3.900% | 5/25/26 | 26,619 | 27,939 |
| HSBC Holdings plc | 4.375% | 11/23/26 | 18,067 | 18,993 |
| 1 HSBC Holdings plc | 4.041% | 3/13/28 | 28,450 | 29,888 |
| HSBC USA Inc. | 3.500% | 6/23/24 | 6,355 | 6,592 |
| ING Groep NV | 3.950% | 3/29/27 | 17,430 | 18,247 |
| Intesa Sanpaolo SPA | 5.250% | 1/12/24 | 11,400 | 12,641 |
| JPMorgan Chase & Co. | 3.250% | 9/23/22 | 32,058 | 33,137 |
| JPMorgan Chase & Co. | 2.972% | 1/15/23 | 22,600 | 22,977 |
| JPMorgan Chase & Co. | 3.200% | 1/25/23 | 27,867 | 28,652 |
| JPMorgan Chase & Co. | 3.375% | 5/1/23 | 25,864 | 26,520 |
| JPMorgan Chase & Co. | 2.700% | 5/18/23 | 27,013 | 27,091 |
| JPMorgan Chase & Co. | 3.875% | 2/1/24 | 23,466 | 24,918 |
| JPMorgan Chase & Co. | 3.625% | 5/13/24 | 27,147 | 28,381 |
| JPMorgan Chase & Co. | 3.875% | 9/10/24 | 31,157 | 32,544 |
| JPMorgan Chase & Co. | 3.125% | 1/23/25 | 35,634 | 35,921 |
| 1 JPMorgan Chase & Co. | 3.220% | 3/1/25 | 15,199 | 15,448 |
| JPMorgan Chase & Co. | 3.900% | 7/15/25 | 30,713 | 32,475 |
| JPMorgan Chase & Co. | 3.300% | 4/1/26 | 36,869 | 37,082 |
| JPMorgan Chase & Co. | 3.200% | 6/15/26 | 23,403 | 23,381 |
| JPMorgan Chase & Co. | 2.950% | 10/1/26 | 28,465 | 28,025 |
| JPMorgan Chase & Co. | 4.125% | 12/15/26 | 23,202 | 24,450 |
| 1 JPMorgan Chase & Co. | 3.782% | 2/1/28 | 26,957 | 27,906 |
| 1 JPMorgan Chase & Co. | 3.540% | 5/1/28 | 26,225 | 26,714 |
| KeyBank NA | 3.300% | 6/1/25 | 5,845 | 6,029 |
| KeyBank NA | 3.400% | 5/20/26 | 8,586 | 8,681 |
| Lloyds Banking Group plc | 4.500% | 11/4/24 | 13,159 | 13,881 |
| Lloyds Banking Group plc | 4.582% | 12/10/25 | 16,621 | 17,544 |
| Lloyds Banking Group plc | 4.650% | 3/24/26 | 14,114 | 14,970 |
| Lloyds Banking Group plc | 3.750% | 1/11/27 | 19,620 | 20,020 |
| Manufacturers & Traders Trust Co. | 2.900% | 2/6/25 | 10,900 | 10,942 |
| Manufacturers & Traders Trust Co. | 3.400% | 8/17/27 | 2,500 | 2,531 |
| Mitsubishi UFJ Financial Group Inc. | 2.527% | 9/13/23 | 8,300 | 8,218 |
| Mitsubishi UFJ Financial Group Inc. | 3.850% | 3/1/26 | 29,089 | 30,723 |
| Mitsubishi UFJ Financial Group Inc. | 2.757% | 9/13/26 | 10,000 | 9,753 |
| Mitsubishi UFJ Financial Group Inc. | 3.677% | 2/22/27 | 16,195 | 16,967 |
| Mitsubishi UFJ Financial Group Inc. | 3.287% | 7/25/27 | 14,000 | 14,100 |
| Mizuho Financial Group Inc. | 2.839% | 9/13/26 | 9,275 | 9,091 |
| Mizuho Financial Group Inc. | 3.663% | 2/28/27 | 3,150 | 3,294 |
| Morgan Stanley | 4.875% | 11/1/22 | 23,644 | 25,869 |
| Morgan Stanley | 3.750% | 2/25/23 | 28,612 | 29,944 |
| Morgan Stanley | 4.100% | 5/22/23 | 21,813 | 22,905 |
| Morgan Stanley | 3.875% | 4/29/24 | 37,922 | 39,855 |
| Morgan Stanley | 3.700% | 10/23/24 | 33,110 | 34,431 |
| Morgan Stanley | 4.000% | 7/23/25 | 34,660 | 36,473 |
| Morgan Stanley | 5.000% | 11/24/25 | 25,818 | 28,364 |
| Morgan Stanley | 3.875% | 1/27/26 | 36,588 | 38,139 |
| Morgan Stanley | 3.125% | 7/27/26 | 35,022 | 34,573 |
| Morgan Stanley | 6.250% | 8/9/26 | 2,990 | 3,618 |
| Morgan Stanley | 4.350% | 9/8/26 | 26,196 | 27,506 |
| Morgan Stanley | 3.625% | 1/20/27 | 36,081 | 36,895 |
| Morgan Stanley | 3.950% | 4/23/27 | 23,809 | 24,224 |
| 1 Morgan Stanley | 3.591% | 7/22/28 | 38,500 | 38,975 |
| MUFG Americas Holdings Corp. | 3.000% | 2/10/25 | 3,874 | 3,863 |
| National Australia Bank Ltd. | 3.000% | 1/20/23 | 9,286 | 9,491 |
| National Australia Bank Ltd. | 3.375% | 1/14/26 | 7,675 | 7,908 |
| National Australia Bank Ltd. | 2.500% | 7/12/26 | 14,450 | 13,955 |
| Northern Trust Corp. | 3.950% | 10/30/25 | 6,856 | 7,348 |
| 1 Northern Trust Corp. | 3.375% | 5/8/32 | 2,925 | 2,952 |
| People's United Bank NA | 4.000% | 7/15/24 | 1,500 | 1,539 |
38
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| People's United Financial Inc. | 3.650% | 12/6/22 | 2,913 | 3,008 |
| PNC Bank NA | 2.700% | 11/1/22 | 15,234 | 15,354 |
| PNC Bank NA | 2.950% | 1/30/23 | 7,515 | 7,658 |
| PNC Bank NA | 3.800% | 7/25/23 | 5,167 | 5,486 |
| PNC Bank NA | 3.300% | 10/30/24 | 6,625 | 6,865 |
| PNC Bank NA | 2.950% | 2/23/25 | 8,346 | 8,445 |
| PNC Bank NA | 3.250% | 6/1/25 | 9,309 | 9,562 |
| PNC Bank NA | 4.200% | 11/1/25 | 4,875 | 5,309 |
| PNC Financial Services Group Inc. | 2.854% | 11/9/22 | 5,365 | 5,466 |
| PNC Financial Services Group Inc. | 3.900% | 4/29/24 | 7,495 | 7,944 |
| PNC Financial Services Group Inc. | 3.150% | 5/19/27 | 12,375 | 12,476 |
| Royal Bank of Canada | 4.650% | 1/27/26 | 20,476 | 22,233 |
| Royal Bank of Scotland Group plc | 3.875% | 9/12/23 | 38,539 | 39,407 |
| Royal Bank of Scotland Group plc | 4.800% | 4/5/26 | 11,005 | 11,794 |
| Santander Holdings USA Inc. | 4.500% | 7/17/25 | 14,418 | 15,086 |
| 2 Santander Holdings USA Inc. | 4.400% | 7/13/27 | 8,200 | 8,416 |
| Santander Issuances SAU | 5.179% | 11/19/25 | 13,735 | 14,775 |
| Santander UK Group Holdings plc | 3.571% | 1/10/23 | 11,699 | 12,005 |
| Santander UK plc | 4.000% | 3/13/24 | 11,876 | 12,660 |
| State Street Corp. | 3.100% | 5/15/23 | 10,153 | 10,433 |
| State Street Corp. | 3.700% | 11/20/23 | 11,414 | 12,275 |
| State Street Corp. | 3.300% | 12/16/24 | 11,306 | 11,818 |
| State Street Corp. | 3.550% | 8/18/25 | 14,038 | 14,864 |
| State Street Corp. | 2.650% | 5/19/26 | 7,603 | 7,485 |
| Sumitomo Mitsui Banking Corp. | 3.000% | 1/18/23 | 1,375 | 1,403 |
| Sumitomo Mitsui Banking Corp. | 3.950% | 7/19/23 | 4,600 | 4,921 |
| Sumitomo Mitsui Banking Corp. | 3.950% | 1/10/24 | 3,180 | 3,402 |
| Sumitomo Mitsui Banking Corp. | 3.400% | 7/11/24 | 10,900 | 11,324 |
| Sumitomo Mitsui Banking Corp. | 3.650% | 7/23/25 | 2,500 | 2,634 |
| Sumitomo Mitsui Financial Group Inc. | 3.784% | 3/9/26 | 15,447 | 16,241 |
| Sumitomo Mitsui Financial Group Inc. | 2.632% | 7/14/26 | 29,730 | 28,654 |
| Sumitomo Mitsui Financial Group Inc. | 3.010% | 10/19/26 | 20,125 | 19,994 |
| Sumitomo Mitsui Financial Group Inc. | 3.446% | 1/11/27 | 14,700 | 15,131 |
| Sumitomo Mitsui Financial Group Inc. | 3.364% | 7/12/27 | 12,200 | 12,469 |
| SunTrust Bank | 2.750% | 5/1/23 | 4,400 | 4,422 |
| SunTrust Bank | 3.300% | 5/15/26 | 6,737 | 6,736 |
| SVB Financial Group | 3.500% | 1/29/25 | 3,125 | 3,161 |
| Synchrony Financial | 4.250% | 8/15/24 | 18,695 | 19,512 |
| Synchrony Financial | 4.500% | 7/23/25 | 13,983 | 14,681 |
| Synchrony Financial | 3.700% | 8/4/26 | 7,574 | 7,488 |
| 1 Toronto-Dominion Bank | 3.625% | 9/15/31 | 15,675 | 15,757 |
| US Bancorp | 3.700% | 1/30/24 | 11,298 | 12,018 |
| US Bancorp | 3.600% | 9/11/24 | 10,462 | 10,984 |
| US Bancorp | 3.100% | 4/27/26 | 9,975 | 10,033 |
| US Bancorp | 2.375% | 7/22/26 | 9,650 | 9,276 |
| US Bancorp | 3.150% | 4/27/27 | 14,162 | 14,360 |
| US Bank NA | 2.800% | 1/27/25 | 13,515 | 13,576 |
| Wachovia Corp. | 6.605% | 10/1/25 | 475 | 570 |
| Wachovia Corp. | 7.574% | 8/1/26 | 1,775 | 2,301 |
| Wells Fargo & Co. | 3.069% | 1/24/23 | 43,863 | 44,828 |
| Wells Fargo & Co. | 3.450% | 2/13/23 | 25,002 | 25,733 |
| Wells Fargo & Co. | 4.125% | 8/15/23 | 17,338 | 18,455 |
| Wells Fargo & Co. | 4.480% | 1/16/24 | 9,124 | 9,883 |
| Wells Fargo & Co. | 3.300% | 9/9/24 | 26,490 | 27,137 |
| Wells Fargo & Co. | 3.000% | 2/19/25 | 28,482 | 28,534 |
| Wells Fargo & Co. | 3.550% | 9/29/25 | 31,472 | 32,584 |
| Wells Fargo & Co. | 3.000% | 4/22/26 | 38,573 | 38,045 |
| Wells Fargo & Co. | 4.100% | 6/3/26 | 33,320 | 34,987 |
| Wells Fargo & Co. | 3.000% | 10/23/26 | 39,381 | 38,846 |
| Wells Fargo & Co. | 4.300% | 7/22/27 | 23,960 | 25,503 |
| 1 Wells Fargo & Co. | 3.584% | 5/22/28 | 31,946 | 32,713 |
| Westpac Banking Corp. | 2.850% | 5/13/26 | 15,200 | 15,070 |
| Westpac Banking Corp. | 2.700% | 8/19/26 | 10,194 | 9,985 |
39
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Westpac Banking Corp. | 3.350% | 3/8/27 | 19,200 | 19,765 |
| 1 Westpac Banking Corp. | 4.322% | 11/23/31 | 16,200 | 16,811 |
| Brokerage (1.5%) | | | | |
| Affiliated Managers Group Inc. | 4.250% | 2/15/24 | 4,900 | 5,223 |
| Affiliated Managers Group Inc. | 3.500% | 8/1/25 | 2,191 | 2,241 |
| Ameriprise Financial Inc. | 4.000% | 10/15/23 | 12,237 | 13,186 |
| Ameriprise Financial Inc. | 3.700% | 10/15/24 | 6,845 | 7,234 |
| Ameriprise Financial Inc. | 2.875% | 9/15/26 | 4,930 | 4,835 |
| Apollo Investment Corp. | 5.250% | 3/3/25 | 3,670 | 3,843 |
| BlackRock Inc. | 3.500% | 3/18/24 | 14,305 | 15,151 |
| BlackRock Inc. | 3.200% | 3/15/27 | 8,600 | 8,841 |
| Brookfield Asset Management Inc. | 4.000% | 1/15/25 | 4,385 | 4,534 |
| Brookfield Finance Inc. | 4.250% | 6/2/26 | 4,285 | 4,436 |
| Brookfield Finance LLC | 4.000% | 4/1/24 | 8,195 | 8,545 |
| CBOE Holdings Inc. | 3.650% | 1/12/27 | 7,277 | 7,521 |
| Charles Schwab Corp. | 3.225% | 9/1/22 | 1,500 | 1,547 |
| Charles Schwab Corp. | 3.000% | 3/10/25 | 1,025 | 1,023 |
| Charles Schwab Corp. | 3.450% | 2/13/26 | 3,185 | 3,321 |
| Charles Schwab Corp. | 3.200% | 3/2/27 | 9,595 | 9,755 |
| CME Group Inc. | 3.000% | 9/15/22 | 8,505 | 8,788 |
| CME Group Inc. | 3.000% | 3/15/25 | 7,853 | 8,038 |
| Eaton Vance Corp. | 3.625% | 6/15/23 | 2,100 | 2,185 |
| Eaton Vance Corp. | 3.500% | 4/6/27 | 4,550 | 4,670 |
| Franklin Resources Inc. | 2.800% | 9/15/22 | 2,150 | 2,188 |
| Franklin Resources Inc. | 2.850% | 3/30/25 | 4,902 | 4,914 |
| Intercontinental Exchange Inc. | 2.350% | 9/15/22 | 2,500 | 2,506 |
| Intercontinental Exchange Inc. | 4.000% | 10/15/23 | 9,326 | 10,051 |
| Intercontinental Exchange Inc. | 3.750% | 12/1/25 | 11,535 | 12,330 |
| Intercontinental Exchange Inc. | 3.100% | 9/15/27 | 1,500 | 1,507 |
| Invesco Finance plc | 3.125% | 11/30/22 | 6,338 | 6,515 |
| Invesco Finance plc | 4.000% | 1/30/24 | 6,301 | 6,722 |
| Invesco Finance plc | 3.750% | 1/15/26 | 7,055 | 7,442 |
| Janus Capital Group Inc. | 4.875% | 8/1/25 | 3,380 | 3,673 |
| Jefferies Group LLC | 5.125% | 1/20/23 | 4,725 | 5,167 |
| Jefferies Group LLC | 4.850% | 1/15/27 | 11,490 | 12,262 |
| Jefferies Group LLC | 6.450% | 6/8/27 | 3,604 | 4,193 |
| Lazard Group LLC | 3.750% | 2/13/25 | 2,935 | 3,007 |
| Lazard Group LLC | 3.625% | 3/1/27 | 5,225 | 5,239 |
| Legg Mason Inc. | 3.950% | 7/15/24 | 1,265 | 1,309 |
| Legg Mason Inc. | 4.750% | 3/15/26 | 4,300 | 4,620 |
| Leucadia National Corp. | 5.500% | 10/18/23 | 8,766 | 9,391 |
| Nasdaq Inc. | 4.250% | 6/1/24 | 2,554 | 2,730 |
| Nasdaq Inc. | 3.850% | 6/30/26 | 8,800 | 9,117 |
| Raymond James Financial Inc. | 3.625% | 9/15/26 | 5,335 | 5,385 |
| Stifel Financial Corp. | 4.250% | 7/18/24 | 4,615 | 4,773 |
| TD Ameritrade Holding Corp. | 3.625% | 4/1/25 | 6,550 | 6,847 |
| TD Ameritrade Holding Corp. | 3.300% | 4/1/27 | 11,100 | 11,290 |
| Finance Companies (0.4%) | | | | |
| AerCap Ireland Capital DAC / AerCap Global Aviation | | | | |
| Trust | 3.650% | 7/21/27 | 14,625 | 14,643 |
| Air Lease Corp. | 3.000% | 9/15/23 | 9,518 | 9,520 |
| Air Lease Corp. | 4.250% | 9/15/24 | 5,544 | 5,871 |
| Air Lease Corp. | 3.625% | 4/1/27 | 6,155 | 6,191 |
| Ares Capital Corp. | 3.500% | 2/10/23 | 5,400 | 5,385 |
| GATX Corp. | 3.900% | 3/30/23 | 1,775 | 1,859 |
| GATX Corp. | 3.250% | 3/30/25 | 2,650 | 2,651 |
| GATX Corp. | 3.250% | 9/15/26 | 4,010 | 3,966 |
| GATX Corp. | 3.850% | 3/30/27 | 1,550 | 1,601 |
| GE Capital International Funding Co. | 3.373% | 11/15/25 | 22,707 | 23,565 |
| Insurance (4.3%) | | | | |
| Aetna Inc. | 2.750% | 11/15/22 | 7,861 | 7,961 |
| Aetna Inc. | 2.800% | 6/15/23 | 18,344 | 18,582 |
| Aetna Inc. | 3.500% | 11/15/24 | 8,670 | 9,073 |
40
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Aflac Inc. | 3.625% | 6/15/23 | 7,550 | 8,022 |
| Aflac Inc. | 3.625% | 11/15/24 | 8,375 | 8,860 |
| Aflac Inc. | 3.250% | 3/17/25 | 3,575 | 3,661 |
| Aflac Inc. | 2.875% | 10/15/26 | 4,943 | 4,901 |
| Allied World Assurance Co. Holdings Ltd. | 4.350% | 10/29/25 | 5,223 | 5,345 |
| Allstate Corp. | 3.150% | 6/15/23 | 6,692 | 6,904 |
| Allstate Corp. | 3.280% | 12/15/26 | 6,982 | 7,178 |
| 1 Allstate Corp. | 5.750% | 8/15/53 | 7,105 | 7,816 |
| American Financial Group Inc. | 3.500% | 8/15/26 | 4,495 | 4,532 |
| American International Group Inc. | 4.125% | 2/15/24 | 10,240 | 10,933 |
| American International Group Inc. | 3.750% | 7/10/25 | 14,872 | 15,415 |
| American International Group Inc. | 3.900% | 4/1/26 | 18,236 | 19,064 |
| Anthem Inc. | 3.300% | 1/15/23 | 12,324 | 12,742 |
| Anthem Inc. | 3.500% | 8/15/24 | 8,084 | 8,412 |
| Aon Corp. | 8.205% | 1/1/27 | 3,275 | 4,290 |
| Aon plc | 4.000% | 11/27/23 | 6,025 | 6,495 |
| Aon plc | 3.500% | 6/14/24 | 7,424 | 7,612 |
| Aon plc | 3.875% | 12/15/25 | 10,759 | 11,450 |
| Arch Capital Finance LLC | 4.011% | 12/15/26 | 8,775 | 9,225 |
| Aspen Insurance Holdings Ltd. | 4.650% | 11/15/23 | 2,465 | 2,670 |
| Assurant Inc. | 4.000% | 3/15/23 | 3,050 | 3,187 |
| Assured Guaranty US Holdings Inc. | 5.000% | 7/1/24 | 4,796 | 5,253 |
| Berkshire Hathaway Inc. | 3.000% | 2/11/23 | 8,281 | 8,551 |
| Berkshire Hathaway Inc. | 2.750% | 3/15/23 | 26,941 | 27,487 |
| Berkshire Hathaway Inc. | 3.125% | 3/15/26 | 31,294 | 31,936 |
| 2 Brighthouse Financial Inc. | 3.700% | 6/22/27 | 16,880 | 16,696 |
| Brown & Brown Inc. | 4.200% | 9/15/24 | 5,785 | 6,119 |
| Chubb INA Holdings Inc. | 2.875% | 11/3/22 | 15,405 | 15,775 |
| Chubb INA Holdings Inc. | 2.700% | 3/13/23 | 4,947 | 4,999 |
| Chubb INA Holdings Inc. | 3.350% | 5/15/24 | 3,991 | 4,160 |
| Chubb INA Holdings Inc. | 3.150% | 3/15/25 | 10,178 | 10,424 |
| Chubb INA Holdings Inc. | 3.350% | 5/3/26 | 19,653 | 20,322 |
| Cigna Corp. | 3.250% | 4/15/25 | 10,100 | 10,303 |
| Cigna Corp. | 7.875% | 5/15/27 | 1,040 | 1,406 |
| CNA Financial Corp. | 3.950% | 5/15/24 | 3,895 | 4,071 |
| CNA Financial Corp. | 4.500% | 3/1/26 | 5,740 | 6,200 |
| CNA Financial Corp. | 3.450% | 8/15/27 | 1,000 | 1,000 |
| Fidelity National Financial Inc. | 5.500% | 9/1/22 | 2,575 | 2,814 |
| First American Financial Corp. | 4.600% | 11/15/24 | 2,850 | 2,958 |
| Hanover Insurance Group Inc. | 4.500% | 4/15/26 | 2,650 | 2,791 |
| Humana Inc. | 3.150% | 12/1/22 | 8,716 | 8,938 |
| Humana Inc. | 3.850% | 10/1/24 | 10,036 | 10,593 |
| Humana Inc. | 3.950% | 3/15/27 | 9,555 | 10,105 |
| Kemper Corp. | 4.350% | 2/15/25 | 5,187 | 5,285 |
| Lincoln National Corp. | 4.000% | 9/1/23 | 2,200 | 2,328 |
| Lincoln National Corp. | 3.350% | 3/9/25 | 3,885 | 3,936 |
| Lincoln National Corp. | 3.625% | 12/12/26 | 5,945 | 6,083 |
| Loews Corp. | 2.625% | 5/15/23 | 7,533 | 7,564 |
| Loews Corp. | 3.750% | 4/1/26 | 3,602 | 3,765 |
| Manulife Financial Corp. | 4.150% | 3/4/26 | 16,423 | 17,661 |
| 1 Manulife Financial Corp. | 4.061% | 2/24/32 | 6,000 | 6,145 |
| Marsh & McLennan Cos. Inc. | 3.300% | 3/14/23 | 7,732 | 8,022 |
| Marsh & McLennan Cos. Inc. | 4.050% | 10/15/23 | 925 | 990 |
| Marsh & McLennan Cos. Inc. | 3.500% | 6/3/24 | 5,375 | 5,596 |
| Marsh & McLennan Cos. Inc. | 3.500% | 3/10/25 | 8,065 | 8,399 |
| Marsh & McLennan Cos. Inc. | 3.750% | 3/14/26 | 9,240 | 9,749 |
| Mercury General Corp. | 4.400% | 3/15/27 | 3,700 | 3,827 |
| MetLife Inc. | 3.048% | 12/15/22 | 4,934 | 5,090 |
| MetLife Inc. | 4.368% | 9/15/23 | 12,636 | 13,858 |
| MetLife Inc. | 3.600% | 4/10/24 | 11,697 | 12,284 |
| MetLife Inc. | 3.000% | 3/1/25 | 4,783 | 4,837 |
| MetLife Inc. | 3.600% | 11/13/25 | 6,225 | 6,572 |
| Montpelier Re Holdings Ltd. | 4.700% | 10/15/22 | 3,075 | 3,329 |
| Munich Re America Corp. | 7.450% | 12/15/26 | 1,350 | 1,761 |
41
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Old Republic International Corp. | 4.875% | 10/1/24 | 3,575 | 3,861 |
| Old Republic International Corp. | 3.875% | 8/26/26 | 6,875 | 7,022 |
| Principal Financial Group Inc. | 3.300% | 9/15/22 | 1,775 | 1,839 |
| Principal Financial Group Inc. | 3.125% | 5/15/23 | 3,583 | 3,669 |
| Principal Financial Group Inc. | 3.400% | 5/15/25 | 4,808 | 4,958 |
| Principal Financial Group Inc. | 3.100% | 11/15/26 | 4,739 | 4,753 |
| Progressive Corp. | 2.450% | 1/15/27 | 5,185 | 4,973 |
| Prudential Financial Inc. | 3.500% | 5/15/24 | 11,335 | 11,908 |
| 1 Prudential Financial Inc. | 5.875% | 9/15/42 | 10,100 | 11,100 |
| 1 Prudential Financial Inc. | 5.625% | 6/15/43 | 15,446 | 16,720 |
| 1 Prudential Financial Inc. | 5.200% | 3/15/44 | 5,215 | 5,515 |
| 1 Prudential Financial Inc. | 5.375% | 5/15/45 | 11,098 | 11,873 |
| Reinsurance Group of America Inc. | 4.700% | 9/15/23 | 3,200 | 3,486 |
| Reinsurance Group of America Inc. | 3.950% | 9/15/26 | 3,850 | 3,961 |
| RenaissanceRe Finance Inc. | 3.450% | 7/1/27 | 4,975 | 4,981 |
| Swiss Re Solutions Holding Corp. | 7.000% | 2/15/26 | 2,540 | 3,180 |
| Torchmark Corp. | 3.800% | 9/15/22 | 1,130 | 1,175 |
| Trinity Acquisition plc | 4.400% | 3/15/26 | 5,862 | 6,225 |
| UnitedHealth Group Inc. | 2.750% | 2/15/23 | 5,400 | 5,475 |
| UnitedHealth Group Inc. | 2.875% | 3/15/23 | 11,461 | 11,696 |
| UnitedHealth Group Inc. | 3.750% | 7/15/25 | 23,742 | 25,229 |
| UnitedHealth Group Inc. | 3.100% | 3/15/26 | 10,340 | 10,509 |
| UnitedHealth Group Inc. | 3.450% | 1/15/27 | 12,860 | 13,367 |
| UnitedHealth Group Inc. | 3.375% | 4/15/27 | 6,125 | 6,340 |
| Unum Group | 4.000% | 3/15/24 | 5,175 | 5,459 |
| Voya Financial Inc. | 5.500% | 7/15/22 | 2,636 | 2,947 |
| Voya Financial Inc. | 3.125% | 7/15/24 | 4,200 | 4,180 |
| Voya Financial Inc. | 3.650% | 6/15/26 | 6,000 | 6,071 |
| Willis North America Inc. | 3.600% | 5/15/24 | 9,040 | 9,332 |
| XLIT Ltd. | 6.375% | 11/15/24 | 1,954 | 2,316 |
| XLIT Ltd. | 4.450% | 3/31/25 | 6,250 | 6,514 |
| XLIT Ltd. | 6.250% | 5/15/27 | 2,460 | 2,962 |
| Other Finance (0.0%) | | | | |
| Jones Lang LaSalle Inc. | 4.400% | 11/15/22 | 925 | 988 |
| ORIX Corp. | 3.700% | 7/18/27 | 5,784 | 5,869 |
| Real Estate Investment Trusts (4.8%) | | | | |
| Alexandria Real Estate Equities Inc. | 3.900% | 6/15/23 | 3,525 | 3,694 |
| Alexandria Real Estate Equities Inc. | 4.300% | 1/15/26 | 4,106 | 4,366 |
| Alexandria Real Estate Equities Inc. | 3.950% | 1/15/27 | 4,675 | 4,852 |
| American Campus Communities Operating Partnership | | | | |
| LP | 3.750% | 4/15/23 | 5,849 | 6,102 |
| American Campus Communities Operating Partnership | | | | |
| LP | 4.125% | 7/1/24 | 2,975 | 3,136 |
| AvalonBay Communities Inc. | 2.950% | 9/15/22 | 500 | 511 |
| AvalonBay Communities Inc. | 2.850% | 3/15/23 | 1,650 | 1,663 |
| AvalonBay Communities Inc. | 4.200% | 12/15/23 | 4,650 | 5,034 |
| AvalonBay Communities Inc. | 3.500% | 11/15/24 | 3,733 | 3,884 |
| AvalonBay Communities Inc. | 3.450% | 6/1/25 | 6,401 | 6,620 |
| AvalonBay Communities Inc. | 3.500% | 11/15/25 | 3,000 | 3,088 |
| AvalonBay Communities Inc. | 2.950% | 5/11/26 | 5,890 | 5,844 |
| AvalonBay Communities Inc. | 2.900% | 10/15/26 | 3,725 | 3,654 |
| AvalonBay Communities Inc. | 3.350% | 5/15/27 | 4,725 | 4,826 |
| Boston Properties LP | 3.850% | 2/1/23 | 7,986 | 8,479 |
| Boston Properties LP | 3.125% | 9/1/23 | 6,127 | 6,326 |
| Boston Properties LP | 3.800% | 2/1/24 | 10,432 | 10,988 |
| Boston Properties LP | 3.650% | 2/1/26 | 12,536 | 12,918 |
| Boston Properties LP | 2.750% | 10/1/26 | 9,033 | 8,679 |
| Brixmor Operating Partnership LP | 3.250% | 9/15/23 | 6,419 | 6,399 |
| Brixmor Operating Partnership LP | 3.650% | 6/15/24 | 3,300 | 3,311 |
| Brixmor Operating Partnership LP | 3.850% | 2/1/25 | 8,917 | 8,978 |
| Brixmor Operating Partnership LP | 4.125% | 6/15/26 | 8,095 | 8,203 |
| Brixmor Operating Partnership LP | 3.900% | 3/15/27 | 5,225 | 5,257 |
| Camden Property Trust | 2.950% | 12/15/22 | 5,825 | 5,843 |
42
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| CBL & Associates LP | 5.250% | 12/1/23 | 6,864 | 6,857 |
| CBL & Associates LP | 4.600% | 10/15/24 | 5,020 | 4,793 |
| CBL & Associates LP | 5.950% | 12/15/26 | 1,425 | 1,441 |
| Columbia Property Trust Operating Partnership LP | 4.150% | 4/1/25 | 4,618 | 4,772 |
| Columbia Property Trust Operating Partnership LP | 3.650% | 8/15/26 | 5,128 | 5,077 |
| Corporate Office Properties LP | 3.600% | 5/15/23 | 3,625 | 3,640 |
| Corporate Office Properties LP | 5.250% | 2/15/24 | 3,075 | 3,307 |
| Corporate Office Properties LP | 5.000% | 7/1/25 | 1,000 | 1,079 |
| CubeSmart LP | 4.375% | 12/15/23 | 2,950 | 3,148 |
| CubeSmart LP | 4.000% | 11/15/25 | 3,525 | 3,616 |
| CubeSmart LP | 3.125% | 9/1/26 | 2,920 | 2,816 |
| DCT Industrial Operating Partnership LP | 4.500% | 10/15/23 | 2,300 | 2,445 |
| DDR Corp. | 3.375% | 5/15/23 | 6,805 | 6,735 |
| DDR Corp. | 3.900% | 8/15/24 | 4,000 | 4,050 |
| DDR Corp. | 3.625% | 2/1/25 | 8,625 | 8,434 |
| DDR Corp. | 4.250% | 2/1/26 | 4,204 | 4,218 |
| DDR Corp. | 4.700% | 6/1/27 | 5,125 | 5,302 |
| Digital Realty Trust LP | 3.625% | 10/1/22 | 4,661 | 4,878 |
| Digital Realty Trust LP | 2.750% | 2/1/23 | 1,000 | 1,004 |
| Digital Realty Trust LP | 4.750% | 10/1/25 | 3,823 | 4,170 |
| Digital Realty Trust LP | 3.700% | 8/15/27 | 12,625 | 12,875 |
| Duke Realty LP | 3.875% | 10/15/22 | 4,293 | 4,516 |
| Duke Realty LP | 3.625% | 4/15/23 | 2,500 | 2,599 |
| Duke Realty LP | 3.750% | 12/1/24 | 3,650 | 3,807 |
| Duke Realty LP | 3.250% | 6/30/26 | 1,800 | 1,804 |
| EPR Properties | 4.500% | 4/1/25 | 3,850 | 3,954 |
| EPR Properties | 4.750% | 12/15/26 | 5,100 | 5,301 |
| EPR Properties | 4.500% | 6/1/27 | 6,375 | 6,489 |
| ERP Operating LP | 3.000% | 4/15/23 | 4,125 | 4,209 |
| ERP Operating LP | 3.375% | 6/1/25 | 2,950 | 3,034 |
| ERP Operating LP | 2.850% | 11/1/26 | 5,940 | 5,840 |
| ERP Operating LP | 3.250% | 8/1/27 | 2,000 | 2,028 |
| Essex Portfolio LP | 3.250% | 5/1/23 | 5,715 | 5,796 |
| Essex Portfolio LP | 3.875% | 5/1/24 | 4,739 | 4,955 |
| Essex Portfolio LP | 3.500% | 4/1/25 | 5,290 | 5,367 |
| Essex Portfolio LP | 3.375% | 4/15/26 | 5,200 | 5,189 |
| Essex Portfolio LP | 3.625% | 5/1/27 | 3,300 | 3,352 |
| Federal Realty Investment Trust | 2.750% | 6/1/23 | 5,352 | 5,288 |
| Federal Realty Investment Trust | 3.250% | 7/15/27 | 2,950 | 2,957 |
| HCP Inc. | 4.000% | 12/1/22 | 9,160 | 9,702 |
| HCP Inc. | 4.250% | 11/15/23 | 15,439 | 16,542 |
| HCP Inc. | 4.200% | 3/1/24 | 4,350 | 4,602 |
| HCP Inc. | 3.875% | 8/15/24 | 8,360 | 8,681 |
| HCP Inc. | 3.400% | 2/1/25 | 7,433 | 7,500 |
| HCP Inc. | 4.000% | 6/1/25 | 8,169 | 8,561 |
| Healthcare Trust of America Holdings LP | 3.700% | 4/15/23 | 1,875 | 1,934 |
| Healthcare Trust of America Holdings LP | 3.500% | 8/1/26 | 3,050 | 3,024 |
| Healthcare Trust of America Holdings LP | 3.750% | 7/1/27 | 10,222 | 10,326 |
| Highwoods Realty LP | 3.625% | 1/15/23 | 800 | 816 |
| Highwoods Realty LP | 3.875% | 3/1/27 | 3,950 | 4,030 |
| Hospitality Properties Trust | 4.500% | 6/15/23 | 2,825 | 2,995 |
| Hospitality Properties Trust | 4.650% | 3/15/24 | 3,140 | 3,291 |
| Hospitality Properties Trust | 4.500% | 3/15/25 | 3,100 | 3,212 |
| Hospitality Properties Trust | 5.250% | 2/15/26 | 4,650 | 5,034 |
| Hospitality Properties Trust | 4.950% | 2/15/27 | 6,350 | 6,727 |
| Host Hotels & Resorts LP | 4.750% | 3/1/23 | 5,448 | 5,893 |
| Host Hotels & Resorts LP | 3.750% | 10/15/23 | 8,290 | 8,528 |
| Host Hotels & Resorts LP | 3.875% | 4/1/24 | 6,914 | 7,125 |
| Host Hotels & Resorts LP | 4.000% | 6/15/25 | 6,175 | 6,378 |
| Kilroy Realty LP | 3.800% | 1/15/23 | 4,150 | 4,297 |
| Kilroy Realty LP | 4.375% | 10/1/25 | 6,817 | 7,188 |
| Kimco Realty Corp. | 3.400% | 11/1/22 | 5,475 | 5,683 |
| Kimco Realty Corp. | 3.125% | 6/1/23 | 3,563 | 3,592 |
| Kimco Realty Corp. | 2.700% | 3/1/24 | 3,315 | 3,233 |
43
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Kimco Realty Corp. | 3.300% | 2/1/25 | 1,075 | 1,083 |
| Kimco Realty Corp. | 2.800% | 10/1/26 | 6,855 | 6,494 |
| Kimco Realty Corp. | 3.800% | 4/1/27 | 8,077 | 8,271 |
| Kite Realty Group LP | 4.000% | 10/1/26 | 2,875 | 2,787 |
| Liberty Property LP | 3.375% | 6/15/23 | 4,223 | 4,311 |
| Liberty Property LP | 4.400% | 2/15/24 | 3,426 | 3,682 |
| Liberty Property LP | 3.750% | 4/1/25 | 4,550 | 4,707 |
| Liberty Property LP | 3.250% | 10/1/26 | 4,850 | 4,804 |
| LifeStorage LP | 3.500% | 7/1/26 | 5,431 | 5,238 |
| Mack-Cali Realty LP | 3.150% | 5/15/23 | 985 | 940 |
| Mid-America Apartments LP | 4.300% | 10/15/23 | 2,475 | 2,649 |
| Mid-America Apartments LP | 3.750% | 6/15/24 | 5,140 | 5,335 |
| Mid-America Apartments LP | 4.000% | 11/15/25 | 5,800 | 6,088 |
| Mid-America Apartments LP | 3.600% | 6/1/27 | 9,600 | 9,780 |
| National Retail Properties Inc. | 3.800% | 10/15/22 | 2,233 | 2,338 |
| National Retail Properties Inc. | 3.300% | 4/15/23 | 2,775 | 2,830 |
| National Retail Properties Inc. | 3.900% | 6/15/24 | 4,250 | 4,408 |
| National Retail Properties Inc. | 4.000% | 11/15/25 | 3,618 | 3,756 |
| National Retail Properties Inc. | 3.600% | 12/15/26 | 7,197 | 7,201 |
| Omega Healthcare Investors Inc. | 4.375% | 8/1/23 | 10,425 | 10,829 |
| Omega Healthcare Investors Inc. | 4.950% | 4/1/24 | 6,355 | 6,728 |
| Omega Healthcare Investors Inc. | 4.500% | 1/15/25 | 4,450 | 4,567 |
| Omega Healthcare Investors Inc. | 5.250% | 1/15/26 | 7,225 | 7,731 |
| Omega Healthcare Investors Inc. | 4.500% | 4/1/27 | 4,235 | 4,293 |
| Omega Healthcare Investors Inc. | 4.750% | 1/15/28 | 1,500 | 1,526 |
| Physicians Realty LP | 4.300% | 3/15/27 | 3,950 | 4,074 |
| Piedmont Operating Partnership LP | 3.400% | 6/1/23 | 1,000 | 994 |
| Piedmont Operating Partnership LP | 4.450% | 3/15/24 | 4,525 | 4,725 |
| Prologis LP | 4.250% | 8/15/23 | 10,172 | 11,175 |
| Prologis LP | 3.750% | 11/1/25 | 7,020 | 7,439 |
| Realty Income Corp. | 3.250% | 10/15/22 | 6,602 | 6,778 |
| Realty Income Corp. | 4.650% | 8/1/23 | 6,605 | 7,203 |
| Realty Income Corp. | 3.875% | 7/15/24 | 2,675 | 2,783 |
| Realty Income Corp. | 4.125% | 10/15/26 | 10,868 | 11,366 |
| Realty Income Corp. | 3.000% | 1/15/27 | 5,500 | 5,320 |
| Regency Centers Corp. | 3.750% | 11/15/22 | 2,530 | 2,630 |
| Regency Centers LP | 3.600% | 2/1/27 | 9,283 | 9,392 |
| Sabra Health Care LP | 5.125% | 8/15/26 | 4,425 | 4,541 |
| Select Income REIT | 4.250% | 5/15/24 | 4,150 | 4,181 |
| Select Income REIT | 4.500% | 2/1/25 | 4,125 | 4,184 |
| Simon Property Group LP | 2.750% | 2/1/23 | 7,077 | 7,142 |
| Simon Property Group LP | 3.750% | 2/1/24 | 5,084 | 5,334 |
| Simon Property Group LP | 3.375% | 10/1/24 | 8,373 | 8,597 |
| Simon Property Group LP | 3.500% | 9/1/25 | 7,173 | 7,415 |
| Simon Property Group LP | 3.300% | 1/15/26 | 11,323 | 11,487 |
| Simon Property Group LP | 3.250% | 11/30/26 | 4,450 | 4,513 |
| Simon Property Group LP | 3.375% | 6/15/27 | 11,200 | 11,408 |
| Tanger Properties LP | 3.750% | 12/1/24 | 1,100 | 1,114 |
| Tanger Properties LP | 3.125% | 9/1/26 | 3,690 | 3,504 |
| Tanger Properties LP | 3.875% | 7/15/27 | 4,475 | 4,512 |
| UDR Inc. | 3.750% | 7/1/24 | 5,080 | 5,268 |
| UDR Inc. | 4.000% | 10/1/25 | 3,690 | 3,890 |
| UDR Inc. | 2.950% | 9/1/26 | 3,915 | 3,773 |
| UDR Inc. | 3.500% | 7/1/27 | 2,350 | 2,385 |
| Ventas Realty LP | 3.100% | 1/15/23 | 6,700 | 6,796 |
| Ventas Realty LP | 3.125% | 6/15/23 | 3,724 | 3,763 |
| Ventas Realty LP | 3.750% | 5/1/24 | 3,555 | 3,669 |
| Ventas Realty LP | 3.500% | 2/1/25 | 5,815 | 5,886 |
| Ventas Realty LP | 4.125% | 1/15/26 | 5,726 | 5,995 |
| Ventas Realty LP | 3.250% | 10/15/26 | 7,255 | 7,152 |
| Ventas Realty LP | 3.850% | 4/1/27 | 2,514 | 2,580 |
| VEREIT Operating Partnership LP | 4.600% | 2/6/24 | 7,621 | 8,040 |
| VEREIT Operating Partnership LP | 4.875% | 6/1/26 | 6,742 | 7,239 |
| VEREIT Operating Partnership LP | 3.950% | 8/15/27 | 9,896 | 9,926 |
44
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Washington Prime Group LP | 5.950% | 8/15/24 | 5,000 | 5,119 |
| Washington REIT | 3.950% | 10/15/22 | 1,550 | 1,586 |
| Weingarten Realty Investors | 3.375% | 10/15/22 | 2,550 | 2,612 |
| Weingarten Realty Investors | 3.500% | 4/15/23 | 2,975 | 3,015 |
| Weingarten Realty Investors | 4.450% | 1/15/24 | 725 | 764 |
| Weingarten Realty Investors | 3.850% | 6/1/25 | 600 | 610 |
| Welltower Inc. | 3.750% | 3/15/23 | 5,310 | 5,590 |
| Welltower Inc. | 4.500% | 1/15/24 | 3,794 | 4,114 |
| Welltower Inc. | 4.000% | 6/1/25 | 12,371 | 13,059 |
| Welltower Inc. | 4.250% | 4/1/26 | 9,747 | 10,439 |
| WP Carey Inc. | 4.600% | 4/1/24 | 5,858 | 6,204 |
| WP Carey Inc. | 4.000% | 2/1/25 | 2,550 | 2,587 |
| WP Carey Inc. | 4.250% | 10/1/26 | 2,575 | 2,641 |
| | | | | 6,214,645 |
| Industrial (59.7%) | | | | |
| Basic Industry (2.8%) | | | | |
| Agrium Inc. | 3.150% | 10/1/22 | 10,253 | 10,571 |
| Agrium Inc. | 3.500% | 6/1/23 | 6,914 | 7,193 |
| Agrium Inc. | 3.375% | 3/15/25 | 7,963 | 8,033 |
| Air Products & Chemicals Inc. | 2.750% | 2/3/23 | 2,850 | 2,918 |
| Air Products & Chemicals Inc. | 3.350% | 7/31/24 | 6,495 | 6,758 |
| Airgas Inc. | 3.650% | 7/15/24 | 3,444 | 3,627 |
| Albemarle Corp. | 4.150% | 12/1/24 | 4,900 | 5,217 |
| Barrick Gold Corp. | 4.100% | 5/1/23 | 8,281 | 8,964 |
| BHP Billiton Finance USA Ltd. | 3.850% | 9/30/23 | 17,665 | 19,127 |
| Braskem Finance Ltd. | 6.450% | 2/3/24 | 8,600 | 9,653 |
| Celanese US Holdings LLC | 4.625% | 11/15/22 | 3,373 | 3,660 |
| Celulosa Arauco y Constitucion SA | 4.500% | 8/1/24 | 5,900 | 6,228 |
| Cytec Industries Inc. | 3.500% | 4/1/23 | 6,631 | 6,791 |
| Dow Chemical Co. | 3.000% | 11/15/22 | 16,492 | 16,926 |
| Dow Chemical Co. | 3.500% | 10/1/24 | 11,439 | 11,918 |
| Eastman Chemical Co. | 3.800% | 3/15/25 | 8,679 | 8,976 |
| Ecolab Inc. | 3.250% | 1/14/23 | 2,933 | 3,047 |
| Ecolab Inc. | 2.700% | 11/1/26 | 10,467 | 10,199 |
| EI du Pont de Nemours & Co. | 2.800% | 2/15/23 | 14,730 | 14,971 |
| Fibria Overseas Finance Ltd. | 5.250% | 5/12/24 | 5,393 | 5,723 |
| Fibria Overseas Finance Ltd. | 5.500% | 1/17/27 | 8,180 | 8,528 |
| FMC Corp. | 4.100% | 2/1/24 | 4,400 | 4,567 |
| Georgia-Pacific LLC | 8.000% | 1/15/24 | 2,541 | 3,295 |
| Georgia-Pacific LLC | 7.375% | 12/1/25 | 2,427 | 3,159 |
| Goldcorp Inc. | 3.700% | 3/15/23 | 14,842 | 15,487 |
| HB Fuller Co. | 4.000% | 2/15/27 | 550 | 573 |
| International Flavors & Fragrances Inc. | 3.200% | 5/1/23 | 1,475 | 1,509 |
| International Paper Co. | 3.650% | 6/15/24 | 6,519 | 6,800 |
| International Paper Co. | 3.800% | 1/15/26 | 11,325 | 11,759 |
| International Paper Co. | 3.000% | 2/15/27 | 12,540 | 12,165 |
| LYB International Finance BV | 4.000% | 7/15/23 | 8,060 | 8,569 |
| LYB International Finance II BV | 3.500% | 3/2/27 | 14,700 | 14,737 |
| LyondellBasell Industries NV | 5.750% | 4/15/24 | 12,461 | 14,315 |
| Methanex Corp. | 4.250% | 12/1/24 | 4,040 | 4,029 |
| Monsanto Co. | 2.200% | 7/15/22 | 1,350 | 1,326 |
| Monsanto Co. | 3.375% | 7/15/24 | 8,905 | 9,131 |
| Monsanto Co. | 2.850% | 4/15/25 | 4,625 | 4,562 |
| Monsanto Co. | 5.500% | 8/15/25 | 575 | 657 |
| Mosaic Co. | 4.250% | 11/15/23 | 10,300 | 10,792 |
| NewMarket Corp. | 4.100% | 12/15/22 | 1,360 | 1,421 |
| Nucor Corp. | 4.125% | 9/15/22 | 6,066 | 6,503 |
| Nucor Corp. | 4.000% | 8/1/23 | 5,439 | 5,811 |
| Packaging Corp. of America | 4.500% | 11/1/23 | 8,130 | 8,869 |
| Packaging Corp. of America | 3.650% | 9/15/24 | 4,980 | 5,145 |
| Potash Corp. of Saskatchewan Inc. | 3.625% | 3/15/24 | 4,915 | 5,057 |
| Potash Corp. of Saskatchewan Inc. | 3.000% | 4/1/25 | 4,050 | 4,013 |
| Potash Corp. of Saskatchewan Inc. | 4.000% | 12/15/26 | 17,150 | 18,026 |
45
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Praxair Inc. | 2.200% | 8/15/22 | 1,543 | 1,547 |
| Praxair Inc. | 2.700% | 2/21/23 | 2,475 | 2,504 |
| Praxair Inc. | 2.650% | 2/5/25 | 4,243 | 4,220 |
| Praxair Inc. | 3.200% | 1/30/26 | 9,125 | 9,395 |
| Reliance Steel & Aluminum Co. | 4.500% | 4/15/23 | 4,325 | 4,580 |
| Rio Tinto Finance USA Ltd. | 3.750% | 6/15/25 | 13,015 | 13,833 |
| RPM International Inc. | 3.450% | 11/15/22 | 3,405 | 3,532 |
| RPM International Inc. | 3.750% | 3/15/27 | 8,099 | 8,306 |
| Sherwin-Williams Co. | 3.125% | 6/1/24 | 11,900 | 12,075 |
| Sherwin-Williams Co. | 3.450% | 8/1/25 | 4,625 | 4,704 |
| Sherwin-Williams Co. | 3.950% | 1/15/26 | 3,200 | 3,374 |
| Sherwin-Williams Co. | 3.450% | 6/1/27 | 11,575 | 11,697 |
| Southern Copper Corp. | 3.500% | 11/8/22 | 3,030 | 3,122 |
| Southern Copper Corp. | 3.875% | 4/23/25 | 5,975 | 6,188 |
| Vale Overseas Ltd. | 6.250% | 8/10/26 | 23,040 | 26,122 |
| Westlake Chemical Corp. | 3.600% | 8/15/26 | 13,205 | 13,303 |
| 2 WestRock Co. | 3.000% | 9/15/24 | 3,000 | 3,003 |
| WestRock RKT Co. | 4.000% | 3/1/23 | 4,370 | 4,647 |
| Weyerhaeuser Co. | 3.250% | 3/15/23 | 750 | 767 |
| Weyerhaeuser Co. | 4.625% | 9/15/23 | 5,280 | 5,806 |
| Weyerhaeuser Co. | 8.500% | 1/15/25 | 1,375 | 1,801 |
| Yamana Gold Inc. | 4.950% | 7/15/24 | 2,835 | 2,874 |
| Capital Goods (4.4%) | | | | |
| 3M Co. | 3.000% | 8/7/25 | 4,624 | 4,718 |
| 3M Co. | 2.250% | 9/19/26 | 8,580 | 8,191 |
| Allegion plc | 5.875% | 9/15/23 | 2,500 | 2,675 |
| Bemis Co. Inc. | 3.100% | 9/15/26 | 2,400 | 2,396 |
| Boeing Co. | 1.875% | 6/15/23 | 4,300 | 4,216 |
| Boeing Co. | 7.950% | 8/15/24 | 3,780 | 5,031 |
| Boeing Co. | 2.850% | 10/30/24 | 6,108 | 6,254 |
| Boeing Co. | 2.500% | 3/1/25 | 220 | 218 |
| Boeing Co. | 2.600% | 10/30/25 | 3,150 | 3,145 |
| Boeing Co. | 2.250% | 6/15/26 | 2,725 | 2,636 |
| Boeing Co. | 2.800% | 3/1/27 | 2,300 | 2,315 |
| Carlisle Cos. Inc. | 3.750% | 11/15/22 | 3,775 | 3,890 |
| Caterpillar Financial Services Corp. | 2.625% | 3/1/23 | 2,735 | 2,767 |
| Caterpillar Financial Services Corp. | 3.750% | 11/24/23 | 6,435 | 6,889 |
| Caterpillar Financial Services Corp. | 3.300% | 6/9/24 | 3,750 | 3,897 |
| Caterpillar Financial Services Corp. | 3.250% | 12/1/24 | 4,900 | 5,128 |
| Caterpillar Financial Services Corp. | 2.400% | 8/9/26 | 5,650 | 5,467 |
| Caterpillar Inc. | 3.400% | 5/15/24 | 14,472 | 15,184 |
| Crane Co. | 4.450% | 12/15/23 | 2,550 | 2,714 |
| Dover Corp. | 3.150% | 11/15/25 | 6,450 | 6,599 |
| Eagle Materials Inc. | 4.500% | 8/1/26 | 649 | 677 |
| Eaton Corp. | 2.750% | 11/2/22 | 17,603 | 17,868 |
| Embraer Netherlands Finance BV | 5.050% | 6/15/25 | 14,258 | 15,100 |
| Embraer Netherlands Finance BV | 5.400% | 2/1/27 | 7,975 | 8,519 |
| 2 Embraer Overseas Ltd. | 5.696% | 9/16/23 | 2,725 | 2,978 |
| Emerson Electric Co. | 2.625% | 2/15/23 | 4,800 | 4,868 |
| Emerson Electric Co. | 3.150% | 6/1/25 | 4,550 | 4,717 |
| Flowserve Corp. | 3.500% | 9/15/22 | 4,625 | 4,702 |
| Flowserve Corp. | 4.000% | 11/15/23 | 4,225 | 4,364 |
| Fortive Corp. | 3.150% | 6/15/26 | 10,152 | 10,282 |
| Fortune Brands Home & Security Inc. | 4.000% | 6/15/25 | 3,600 | 3,794 |
| General Dynamics Corp. | 2.250% | 11/15/22 | 12,199 | 12,248 |
| General Dynamics Corp. | 1.875% | 8/15/23 | 7,854 | 7,662 |
| General Dynamics Corp. | 2.125% | 8/15/26 | 5,000 | 4,768 |
| General Electric Capital Corp. | 3.150% | 9/7/22 | 12,232 | 12,687 |
| General Electric Capital Corp. | 3.100% | 1/9/23 | 17,097 | 17,871 |
| General Electric Co. | 2.700% | 10/9/22 | 33,438 | 34,228 |
| General Electric Co. | 3.375% | 3/11/24 | 8,946 | 9,429 |
| General Electric Co. | 3.450% | 5/15/24 | 8,028 | 8,484 |
| Harris Corp. | 3.832% | 4/27/25 | 4,680 | 4,904 |
46
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Hexcel Corp. | 4.700% | 8/15/25 | 500 | 539 |
| Hexcel Corp. | 3.950% | 2/15/27 | 7,355 | 7,570 |
| Honeywell International Inc. | 3.350% | 12/1/23 | 2,775 | 2,939 |
| Honeywell International Inc. | 2.500% | 11/1/26 | 16,517 | 16,051 |
| Hubbell Inc. | 3.350% | 3/1/26 | 3,704 | 3,766 |
| Hubbell Inc. | 3.150% | 8/15/27 | 3,500 | 3,538 |
| Illinois Tool Works Inc. | 3.500% | 3/1/24 | 9,439 | 9,988 |
| Illinois Tool Works Inc. | 2.650% | 11/15/26 | 14,261 | 14,063 |
| Ingersoll-Rand Global Holding Co. Ltd. | 4.250% | 6/15/23 | 10,227 | 11,076 |
| Ingersoll-Rand Luxembourg Finance SA | 3.550% | 11/1/24 | 2,838 | 2,954 |
| John Deere Capital Corp. | 2.800% | 1/27/23 | 4,289 | 4,387 |
| John Deere Capital Corp. | 2.800% | 3/6/23 | 13,859 | 14,160 |
| John Deere Capital Corp. | 3.350% | 6/12/24 | 6,245 | 6,545 |
| John Deere Capital Corp. | 2.650% | 6/24/24 | 2,825 | 2,833 |
| John Deere Capital Corp. | 3.400% | 9/11/25 | 2,175 | 2,279 |
| John Deere Capital Corp. | 2.650% | 6/10/26 | 6,780 | 6,700 |
| Johnson Controls International plc | 3.625% | 7/2/24 | 4,097 | 4,295 |
| Johnson Controls International plc | 3.900% | 2/14/26 | 7,497 | 7,995 |
| L3 Technologies Inc. | 3.950% | 5/28/24 | 4,186 | 4,345 |
| L3 Technologies Inc. | 3.850% | 12/15/26 | 8,150 | 8,477 |
| Leggett & Platt Inc. | 3.800% | 11/15/24 | 2,700 | 2,775 |
| Legrand France SA | 8.500% | 2/15/25 | 3,485 | 4,556 |
| Lennox International Inc. | 3.000% | 11/15/23 | 3,575 | 3,608 |
| Lockheed Martin Corp. | 3.100% | 1/15/23 | 3,200 | 3,314 |
| Lockheed Martin Corp. | 2.900% | 3/1/25 | 10,634 | 10,711 |
| Lockheed Martin Corp. | 3.550% | 1/15/26 | 23,430 | 24,495 |
| Martin Marietta Materials Inc. | 4.250% | 7/2/24 | 2,550 | 2,713 |
| Martin Marietta Materials Inc. | 3.450% | 6/1/27 | 3,875 | 3,906 |
| Masco Corp. | 4.450% | 4/1/25 | 4,810 | 5,107 |
| Masco Corp. | 4.375% | 4/1/26 | 9,350 | 9,907 |
| Mohawk Industries Inc. | 3.850% | 2/1/23 | 4,590 | 4,805 |
| Northrop Grumman Corp. | 3.250% | 8/1/23 | 10,858 | 11,292 |
| Northrop Grumman Corp. | 3.200% | 2/1/27 | 7,350 | 7,511 |
| Northrop Grumman Systems Corp. | 7.875% | 3/1/26 | 1,300 | 1,737 |
| Owens Corning | 4.200% | 12/15/22 | 6,437 | 6,793 |
| Owens Corning | 4.200% | 12/1/24 | 2,850 | 2,980 |
| Owens Corning | 3.400% | 8/15/26 | 6,450 | 6,405 |
| Parker-Hannifin Corp. | 3.500% | 9/15/22 | 5,195 | 5,467 |
| Parker-Hannifin Corp. | 3.300% | 11/21/24 | 4,497 | 4,669 |
| 2 Parker-Hannifin Corp. | 3.250% | 3/1/27 | 15,728 | 16,035 |
| Precision Castparts Corp. | 2.500% | 1/15/23 | 12,297 | 12,430 |
| Precision Castparts Corp. | 3.250% | 6/15/25 | 12,698 | 12,891 |
| Raytheon Co. | 2.500% | 12/15/22 | 13,120 | 13,304 |
| Raytheon Co. | 3.150% | 12/15/24 | 2,375 | 2,435 |
| Raytheon Co. | 7.200% | 8/15/27 | 1,455 | 1,984 |
| Republic Services Inc. | 4.750% | 5/15/23 | 7,018 | 7,824 |
| Republic Services Inc. | 3.200% | 3/15/25 | 5,869 | 5,990 |
| Republic Services Inc. | 2.900% | 7/1/26 | 5,825 | 5,779 |
| Rockwell Automation Inc. | 2.875% | 3/1/25 | 1,500 | 1,497 |
| Rockwell Collins Inc. | 3.700% | 12/15/23 | 3,515 | 3,696 |
| Rockwell Collins Inc. | 3.200% | 3/15/24 | 14,355 | 14,607 |
| Rockwell Collins Inc. | 3.500% | 3/15/27 | 14,980 | 15,319 |
| Roper Technologies Inc. | 3.125% | 11/15/22 | 5,247 | 5,363 |
| Roper Technologies Inc. | 3.850% | 12/15/25 | 3,850 | 4,041 |
| Roper Technologies Inc. | 3.800% | 12/15/26 | 13,300 | 13,825 |
| Snap-on Inc. | 3.250% | 3/1/27 | 2,910 | 2,989 |
| Spirit AeroSystems Inc. | 3.850% | 6/15/26 | 3,260 | 3,325 |
| Stanley Black & Decker Inc. | 2.900% | 11/1/22 | 8,624 | 8,829 |
| Textron Inc. | 4.300% | 3/1/24 | 2,740 | 2,905 |
| Textron Inc. | 3.875% | 3/1/25 | 3,250 | 3,370 |
| Textron Inc. | 4.000% | 3/15/26 | 4,750 | 4,991 |
| Textron Inc. | 3.650% | 3/15/27 | 6,650 | 6,788 |
| Timken Co. | 3.875% | 9/1/24 | 2,685 | 2,743 |
| United Technologies Corp. | 2.800% | 5/4/24 | 10,903 | 11,007 |
47
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| United Technologies Corp. | 2.650% | 11/1/26 | 12,425 | 12,106 |
| United Technologies Corp. | 3.125% | 5/4/27 | 11,445 | 11,514 |
| Vulcan Materials Co. | 4.500% | 4/1/25 | 4,805 | 5,174 |
| Vulcan Materials Co. | 3.900% | 4/1/27 | 6,600 | 6,828 |
| Wabtec Corp. | 3.450% | 11/15/26 | 6,942 | 6,903 |
| Waste Management Inc. | 2.900% | 9/15/22 | 6,360 | 6,532 |
| Waste Management Inc. | 2.400% | 5/15/23 | 9,750 | 9,710 |
| Waste Management Inc. | 3.500% | 5/15/24 | 3,205 | 3,367 |
| Waste Management Inc. | 3.125% | 3/1/25 | 6,591 | 6,738 |
| Waste Management Inc. | 7.100% | 8/1/26 | 1,300 | 1,703 |
| Xylem Inc. | 3.250% | 11/1/26 | 5,125 | 5,173 |
| Communication (8.1%) | | | | |
| 21st Century Fox America Inc. | 3.000% | 9/15/22 | 12,601 | 12,857 |
| 21st Century Fox America Inc. | 4.000% | 10/1/23 | 3,500 | 3,723 |
| 21st Century Fox America Inc. | 3.700% | 9/15/24 | 4,510 | 4,731 |
| 21st Century Fox America Inc. | 3.700% | 10/15/25 | 1,575 | 1,644 |
| 21st Century Fox America Inc. | 7.700% | 10/30/25 | 685 | 893 |
| 21st Century Fox America Inc. | 3.375% | 11/15/26 | 6,800 | 6,893 |
| Activision Blizzard Inc. | 3.400% | 9/15/26 | 12,718 | 12,964 |
| Activision Blizzard Inc. | 3.400% | 6/15/27 | 4,450 | 4,519 |
| American Tower Corp. | 3.500% | 1/31/23 | 15,093 | 15,681 |
| American Tower Corp. | 5.000% | 2/15/24 | 11,669 | 12,881 |
| American Tower Corp. | 4.000% | 6/1/25 | 11,638 | 12,134 |
| American Tower Corp. | 4.400% | 2/15/26 | 4,373 | 4,654 |
| American Tower Corp. | 3.375% | 10/15/26 | 9,737 | 9,656 |
| American Tower Corp. | 3.125% | 1/15/27 | 2,575 | 2,502 |
| American Tower Corp. | 3.550% | 7/15/27 | 7,080 | 7,049 |
| AT&T Inc. | 2.625% | 12/1/22 | 17,039 | 16,897 |
| AT&T Inc. | 2.850% | 2/14/23 | 20,000 | 19,943 |
| AT&T Inc. | 3.600% | 2/17/23 | 29,660 | 30,598 |
| AT&T Inc. | 3.800% | 3/1/24 | 12,691 | 13,065 |
| AT&T Inc. | 3.900% | 3/11/24 | 10,634 | 11,073 |
| AT&T Inc. | 4.450% | 4/1/24 | 13,752 | 14,753 |
| AT&T Inc. | 3.400% | 8/14/24 | 34,446 | 34,716 |
| AT&T Inc. | 3.950% | 1/15/25 | 21,925 | 22,657 |
| AT&T Inc. | 3.400% | 5/15/25 | 53,378 | 53,189 |
| AT&T Inc. | 4.125% | 2/17/26 | 27,874 | 28,886 |
| AT&T Inc. | 4.250% | 3/1/27 | 25,897 | 26,876 |
| AT&T Inc. | 3.900% | 8/14/27 | 57,400 | 58,002 |
| CBS Corp. | 2.500% | 2/15/23 | 5,800 | 5,766 |
| CBS Corp. | 3.700% | 8/15/24 | 9,133 | 9,391 |
| CBS Corp. | 3.500% | 1/15/25 | 3,750 | 3,832 |
| CBS Corp. | 4.000% | 1/15/26 | 11,469 | 12,023 |
| CBS Corp. | 2.900% | 1/15/27 | 6,050 | 5,789 |
| CC Holdings GS V LLC / Crown Castle GS III Corp. | 3.849% | 4/15/23 | 11,166 | 11,742 |
| Charter Communications Operating LLC / Charter | | | | |
| Communications Operating Capital | 4.908% | 7/23/25 | 56,296 | 60,182 |
| Comcast Cable Communications Holdings Inc. | 9.455% | 11/15/22 | 9,564 | 12,796 |
| Comcast Corp. | 2.850% | 1/15/23 | 8,547 | 8,710 |
| Comcast Corp. | 2.750% | 3/1/23 | 15,657 | 15,851 |
| Comcast Corp. | 3.000% | 2/1/24 | 17,301 | 17,673 |
| Comcast Corp. | 3.600% | 3/1/24 | 11,266 | 11,877 |
| Comcast Corp. | 3.375% | 2/15/25 | 11,383 | 11,756 |
| Comcast Corp. | 3.375% | 8/15/25 | 18,039 | 18,588 |
| Comcast Corp. | 3.150% | 3/1/26 | 25,127 | 25,328 |
| Comcast Corp. | 2.350% | 1/15/27 | 10,040 | 9,407 |
| Comcast Corp. | 3.300% | 2/1/27 | 22,200 | 22,610 |
| Crown Castle International Corp. | 5.250% | 1/15/23 | 20,331 | 22,678 |
| Crown Castle International Corp. | 3.200% | 9/1/24 | 11,525 | 11,573 |
| Crown Castle International Corp. | 4.450% | 2/15/26 | 11,628 | 12,445 |
| Crown Castle International Corp. | 3.700% | 6/15/26 | 7,781 | 7,861 |
| Crown Castle International Corp. | 4.000% | 3/1/27 | 4,945 | 5,122 |
| Crown Castle International Corp. | 3.650% | 9/1/27 | 5,500 | 5,531 |
48
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Discovery Communications LLC | 3.250% | 4/1/23 | 2,200 | 2,211 |
| Discovery Communications LLC | 3.800% | 3/13/24 | 5,350 | 5,439 |
| Discovery Communications LLC | 3.450% | 3/15/25 | 3,300 | 3,227 |
| Discovery Communications LLC | 4.900% | 3/11/26 | 10,327 | 10,899 |
| Electronic Arts Inc. | 4.800% | 3/1/26 | 4,596 | 5,131 |
| Grupo Televisa SAB | 6.625% | 3/18/25 | 7,900 | 9,504 |
| Grupo Televisa SAB | 4.625% | 1/30/26 | 2,290 | 2,469 |
| Historic TW Inc. | 9.150% | 2/1/23 | 2,810 | 3,644 |
| Interpublic Group of Cos. Inc. | 3.750% | 2/15/23 | 4,064 | 4,265 |
| Interpublic Group of Cos. Inc. | 4.200% | 4/15/24 | 8,475 | 8,980 |
| Moody's Corp. | 4.500% | 9/1/22 | 3,046 | 3,311 |
| 2 Moody's Corp. | 2.625% | 1/15/23 | 8,758 | 8,787 |
| Moody's Corp. | 4.875% | 2/15/24 | 7,864 | 8,771 |
| NBCUniversal Media LLC | 2.875% | 1/15/23 | 16,724 | 17,081 |
| Omnicom Group Inc. | 3.650% | 11/1/24 | 12,398 | 12,822 |
| Omnicom Group Inc. | 3.600% | 4/15/26 | 13,532 | 13,770 |
| Pacific Bell Telephone Co. | 7.125% | 3/15/26 | 1,352 | 1,685 |
| RELX Capital Inc. | 3.125% | 10/15/22 | 6,894 | 6,984 |
| Rogers Communications Inc. | 3.000% | 3/15/23 | 5,456 | 5,566 |
| Rogers Communications Inc. | 4.100% | 10/1/23 | 10,345 | 11,148 |
| Rogers Communications Inc. | 3.625% | 12/15/25 | 7,912 | 8,223 |
| Rogers Communications Inc. | 2.900% | 11/15/26 | 5,671 | 5,562 |
| S&P Global Inc. | 4.000% | 6/15/25 | 9,056 | 9,594 |
| S&P Global Inc. | 4.400% | 2/15/26 | 8,120 | 8,828 |
| S&P Global Inc. | 2.950% | 1/22/27 | 8,950 | 8,768 |
| Scripps Networks Interactive Inc. | 3.900% | 11/15/24 | 5,632 | 5,741 |
| Scripps Networks Interactive Inc. | 3.950% | 6/15/25 | 5,500 | 5,625 |
| TCI Communications Inc. | 7.875% | 2/15/26 | 1,457 | 1,973 |
| Telefonica Emisiones SAU | 4.570% | 4/27/23 | 6,850 | 7,525 |
| Telefonica Emisiones SAU | 4.103% | 3/8/27 | 17,980 | 18,758 |
| TELUS Corp. | 2.800% | 2/16/27 | 2,575 | 2,459 |
| Thomson Reuters Corp. | 4.300% | 11/23/23 | 3,250 | 3,492 |
| Thomson Reuters Corp. | 3.850% | 9/29/24 | 6,075 | 6,404 |
| Thomson Reuters Corp. | 3.350% | 5/15/26 | 9,000 | 9,107 |
| Time Warner Cos. Inc. | 7.570% | 2/1/24 | 4,220 | 5,279 |
| Time Warner Entertainment Co. LP | 8.375% | 3/15/23 | 10,623 | 13,291 |
| Time Warner Inc. | 4.050% | 12/15/23 | 5,478 | 5,828 |
| Time Warner Inc. | 3.550% | 6/1/24 | 9,253 | 9,484 |
| Time Warner Inc. | 3.600% | 7/15/25 | 21,312 | 21,541 |
| Time Warner Inc. | 3.875% | 1/15/26 | 7,040 | 7,157 |
| Time Warner Inc. | 2.950% | 7/15/26 | 5,193 | 4,908 |
| Time Warner Inc. | 3.800% | 2/15/27 | 19,641 | 19,699 |
| Verizon Communications Inc. | 2.450% | 11/1/22 | 16,236 | 16,059 |
| Verizon Communications Inc. | 5.150% | 9/15/23 | 69,238 | 77,278 |
| Verizon Communications Inc. | 4.150% | 3/15/24 | 14,309 | 15,171 |
| Verizon Communications Inc. | 3.500% | 11/1/24 | 32,733 | 33,330 |
| 2 Verizon Communications Inc. | 3.376% | 2/15/25 | 33,880 | 34,007 |
| Verizon Communications Inc. | 2.625% | 8/15/26 | 26,230 | 24,573 |
| Verizon Communications Inc. | 4.125% | 3/16/27 | 39,555 | 41,080 |
| Viacom Inc. | 4.250% | 9/1/23 | 11,135 | 11,487 |
| Viacom Inc. | 3.875% | 4/1/24 | 9,413 | 9,485 |
| Viacom Inc. | 3.450% | 10/4/26 | 10,060 | 9,685 |
| Vodafone Group plc | 2.500% | 9/26/22 | 12,887 | 12,993 |
| Vodafone Group plc | 2.950% | 2/19/23 | 14,132 | 14,406 |
| Walt Disney Co. | 2.350% | 12/1/22 | 8,873 | 8,940 |
| Walt Disney Co. | 3.150% | 9/17/25 | 12,235 | 12,574 |
| Walt Disney Co. | 3.000% | 2/13/26 | 10,884 | 11,069 |
| Walt Disney Co. | 1.850% | 7/30/26 | 13,275 | 12,265 |
| Walt Disney Co. | 2.950% | 6/15/27 | 6,650 | 6,722 |
| WPP Finance 2010 | 3.625% | 9/7/22 | 8,010 | 8,420 |
| WPP Finance 2010 | 3.750% | 9/19/24 | 6,086 | 6,240 |
| Consumer Cyclical (7.5%) | | | | |
| Advance Auto Parts Inc. | 4.500% | 12/1/23 | 4,500 | 4,766 |
49
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Alibaba Group Holding Ltd. | 3.600% | 11/28/24 | 20,775 | 21,727 |
| Amazon.com Inc. | 2.500% | 11/29/22 | 18,303 | 18,521 |
| 2 Amazon.com Inc. | 2.400% | 2/22/23 | 12,700 | 12,767 |
| 2 Amazon.com Inc. | 2.800% | 8/22/24 | 25,500 | 25,868 |
| Amazon.com Inc. | 3.800% | 12/5/24 | 9,571 | 10,310 |
| 2 Amazon.com Inc. | 3.150% | 8/22/27 | 37,500 | 38,168 |
| American Honda Finance Corp. | 2.900% | 2/16/24 | 10,340 | 10,547 |
| American Honda Finance Corp. | 2.300% | 9/9/26 | 2,792 | 2,668 |
| Automatic Data Processing Inc. | 3.375% | 9/15/25 | 10,176 | 10,615 |
| AutoNation Inc. | 4.500% | 10/1/25 | 5,830 | 6,215 |
| AutoZone Inc. | 2.875% | 1/15/23 | 4,650 | 4,629 |
| AutoZone Inc. | 3.125% | 7/15/23 | 1,542 | 1,566 |
| AutoZone Inc. | 3.250% | 4/15/25 | 6,105 | 6,084 |
| AutoZone Inc. | 3.125% | 4/21/26 | 6,176 | 5,955 |
| AutoZone Inc. | 3.750% | 6/1/27 | 6,860 | 6,976 |
| Bed Bath & Beyond Inc. | 3.749% | 8/1/24 | 2,100 | 2,116 |
| Block Financial LLC | 5.500% | 11/1/22 | 4,350 | 4,775 |
| Block Financial LLC | 5.250% | 10/1/25 | 4,800 | 5,227 |
| BorgWarner Inc. | 3.375% | 3/15/25 | 4,575 | 4,652 |
| Coach Inc. | 4.250% | 4/1/25 | 5,893 | 6,120 |
| Coach Inc. | 4.125% | 7/15/27 | 5,980 | 6,015 |
| Costco Wholesale Corp. | 2.750% | 5/18/24 | 12,361 | 12,503 |
| Costco Wholesale Corp. | 3.000% | 5/18/27 | 13,170 | 13,289 |
| Cummins Inc. | 3.650% | 10/1/23 | 4,483 | 4,775 |
| CVS Health Corp. | 2.750% | 12/1/22 | 19,637 | 19,764 |
| CVS Health Corp. | 4.750% | 12/1/22 | 3,324 | 3,670 |
| CVS Health Corp. | 4.000% | 12/5/23 | 15,148 | 16,159 |
| CVS Health Corp. | 3.375% | 8/12/24 | 6,498 | 6,673 |
| CVS Health Corp. | 3.875% | 7/20/25 | 30,931 | 32,412 |
| CVS Health Corp. | 2.875% | 6/1/26 | 25,169 | 24,564 |
| Darden Restaurants Inc. | 3.850% | 5/1/27 | 5,050 | 5,260 |
| Delphi Automotive plc | 4.250% | 1/15/26 | 7,600 | 8,168 |
| Delphi Corp. | 4.150% | 3/15/24 | 7,627 | 8,119 |
| Dollar General Corp. | 3.250% | 4/15/23 | 7,998 | 8,181 |
| Dollar General Corp. | 4.150% | 11/1/25 | 5,029 | 5,402 |
| Dollar General Corp. | 3.875% | 4/15/27 | 6,675 | 6,976 |
| DR Horton Inc. | 4.375% | 9/15/22 | 3,000 | 3,210 |
| DR Horton Inc. | 4.750% | 2/15/23 | 5,100 | 5,565 |
| DR Horton Inc. | 5.750% | 8/15/23 | 2,800 | 3,202 |
| eBay Inc. | 2.750% | 1/30/23 | 11,610 | 11,634 |
| eBay Inc. | 3.450% | 8/1/24 | 5,934 | 6,076 |
| eBay Inc. | 3.600% | 6/5/27 | 9,625 | 9,592 |
| Expedia Inc. | 4.500% | 8/15/24 | 5,485 | 5,858 |
| Expedia Inc. | 5.000% | 2/15/26 | 7,293 | 8,052 |
| Ford Motor Co. | 4.346% | 12/8/26 | 14,309 | 14,820 |
| Ford Motor Credit Co. LLC | 4.250% | 9/20/22 | 9,475 | 10,018 |
| Ford Motor Credit Co. LLC | 3.096% | 5/4/23 | 10,021 | 9,959 |
| Ford Motor Credit Co. LLC | 4.375% | 8/6/23 | 10,139 | 10,706 |
| Ford Motor Credit Co. LLC | 3.810% | 1/9/24 | 16,614 | 16,970 |
| Ford Motor Credit Co. LLC | 3.664% | 9/8/24 | 7,150 | 7,190 |
| Ford Motor Credit Co. LLC | 4.134% | 8/4/25 | 19,883 | 20,398 |
| Ford Motor Credit Co. LLC | 4.389% | 1/8/26 | 12,255 | 12,702 |
| General Motors Co. | 4.875% | 10/2/23 | 20,379 | 21,917 |
| General Motors Co. | 4.000% | 4/1/25 | 4,290 | 4,340 |
| General Motors Financial Co. Inc. | 3.700% | 5/9/23 | 15,236 | 15,513 |
| General Motors Financial Co. Inc. | 4.250% | 5/15/23 | 8,063 | 8,412 |
| General Motors Financial Co. Inc. | 3.950% | 4/13/24 | 12,420 | 12,717 |
| General Motors Financial Co. Inc. | 4.000% | 1/15/25 | 14,928 | 15,125 |
| General Motors Financial Co. Inc. | 4.300% | 7/13/25 | 8,717 | 8,973 |
| General Motors Financial Co. Inc. | 5.250% | 3/1/26 | 14,375 | 15,655 |
| General Motors Financial Co. Inc. | 4.000% | 10/6/26 | 9,827 | 9,832 |
| General Motors Financial Co. Inc. | 4.350% | 1/17/27 | 18,313 | 18,805 |
| Harley-Davidson Inc. | 3.500% | 7/28/25 | 4,000 | 4,136 |
| Harman International Industries Inc. | 4.150% | 5/15/25 | 3,221 | 3,380 |
50
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Home Depot Inc. | 2.700% | 4/1/23 | 12,336 | 12,523 |
| Home Depot Inc. | 3.750% | 2/15/24 | 14,671 | 15,718 |
| Home Depot Inc. | 3.350% | 9/15/25 | 11,195 | 11,715 |
| Home Depot Inc. | 3.000% | 4/1/26 | 13,968 | 14,188 |
| Home Depot Inc. | 2.125% | 9/15/26 | 9,609 | 9,093 |
| Hyatt Hotels Corp. | 3.375% | 7/15/23 | 3,925 | 4,019 |
| Hyatt Hotels Corp. | 4.850% | 3/15/26 | 2,150 | 2,377 |
| JD.com Inc. | 3.875% | 4/29/26 | 5,600 | 5,642 |
| Kohl's Corp. | 3.250% | 2/1/23 | 2,825 | 2,762 |
| Kohl's Corp. | 4.750% | 12/15/23 | 2,263 | 2,357 |
| Kohl's Corp. | 4.250% | 7/17/25 | 7,724 | 7,805 |
| Lear Corp. | 4.750% | 1/15/23 | 1,550 | 1,600 |
| Lear Corp. | 5.375% | 3/15/24 | 5,000 | 5,325 |
| Lear Corp. | 5.250% | 1/15/25 | 5,965 | 6,390 |
| Lear Corp. | 3.800% | 9/15/27 | 4,700 | 4,706 |
| Lowe's Cos. Inc. | 3.875% | 9/15/23 | 5,366 | 5,783 |
| Lowe's Cos. Inc. | 3.125% | 9/15/24 | 3,779 | 3,893 |
| Lowe's Cos. Inc. | 3.375% | 9/15/25 | 13,852 | 14,479 |
| Lowe's Cos. Inc. | 2.500% | 4/15/26 | 15,628 | 15,082 |
| Lowe's Cos. Inc. | 3.100% | 5/3/27 | 18,925 | 19,063 |
| Macy's Retail Holdings Inc. | 2.875% | 2/15/23 | 11,268 | 10,597 |
| Macy's Retail Holdings Inc. | 4.375% | 9/1/23 | 4,435 | 4,446 |
| Macy's Retail Holdings Inc. | 3.625% | 6/1/24 | 5,043 | 4,780 |
| Macy's Retail Holdings Inc. | 6.650% | 7/15/24 | 991 | 1,087 |
| Magna International Inc. | 3.625% | 6/15/24 | 8,983 | 9,442 |
| Magna International Inc. | 4.150% | 10/1/25 | 6,950 | 7,492 |
| Marriott International Inc. | 3.250% | 9/15/22 | 2,500 | 2,574 |
| Marriott International Inc. | 3.750% | 3/15/25 | 5,550 | 5,782 |
| Marriott International Inc. | 3.750% | 10/1/25 | 2,110 | 2,187 |
| Marriott International Inc. | 3.125% | 6/15/26 | 9,034 | 9,008 |
| Mastercard Inc. | 3.375% | 4/1/24 | 13,931 | 14,663 |
| Mastercard Inc. | 2.950% | 11/21/26 | 8,475 | 8,576 |
| McDonald's Corp. | 3.250% | 6/10/24 | 1,625 | 1,685 |
| McDonald's Corp. | 3.375% | 5/26/25 | 12,145 | 12,548 |
| McDonald's Corp. | 3.700% | 1/30/26 | 18,819 | 19,773 |
| McDonald's Corp. | 3.500% | 3/1/27 | 11,680 | 12,088 |
| NIKE Inc. | 2.250% | 5/1/23 | 2,099 | 2,094 |
| NIKE Inc. | 2.375% | 11/1/26 | 14,223 | 13,746 |
| Nordstrom Inc. | 4.000% | 3/15/27 | 3,600 | 3,616 |
| NVR Inc. | 3.950% | 9/15/22 | 5,152 | 5,414 |
| O'Reilly Automotive Inc. | 3.800% | 9/1/22 | 2,250 | 2,363 |
| O'Reilly Automotive Inc. | 3.850% | 6/15/23 | 6,625 | 6,948 |
| O'Reilly Automotive Inc. | 3.550% | 3/15/26 | 3,696 | 3,739 |
| O'Reilly Automotive Inc. | 3.600% | 9/1/27 | 2,350 | 2,359 |
| Priceline Group Inc. | 2.750% | 3/15/23 | 1,750 | 1,759 |
| Priceline Group Inc. | 3.650% | 3/15/25 | 7,350 | 7,569 |
| Priceline Group Inc. | 3.600% | 6/1/26 | 12,358 | 12,654 |
| QVC Inc. | 4.375% | 3/15/23 | 6,618 | 6,847 |
| QVC Inc. | 4.850% | 4/1/24 | 8,618 | 9,087 |
| QVC Inc. | 4.450% | 2/15/25 | 5,750 | 5,844 |
| Royal Caribbean Cruises Ltd. | 5.250% | 11/15/22 | 6,900 | 7,676 |
| Staples Inc. | 5.375% | 1/12/23 | 3,975 | 3,975 |
| Starbucks Corp. | 3.850% | 10/1/23 | 8,519 | 9,219 |
| Starbucks Corp. | 2.450% | 6/15/26 | 5,650 | 5,500 |
| Target Corp. | 3.500% | 7/1/24 | 10,375 | 10,834 |
| Target Corp. | 2.500% | 4/15/26 | 12,695 | 12,149 |
| TJX Cos. Inc. | 2.500% | 5/15/23 | 7,609 | 7,675 |
| TJX Cos. Inc. | 2.250% | 9/15/26 | 9,931 | 9,367 |
| Toyota Motor Credit Corp. | 2.625% | 1/10/23 | 5,839 | 5,921 |
| Toyota Motor Credit Corp. | 2.250% | 10/18/23 | 6,225 | 6,170 |
| Toyota Motor Credit Corp. | 2.900% | 4/17/24 | 8,835 | 9,049 |
| Toyota Motor Credit Corp. | 3.200% | 1/11/27 | 7,133 | 7,389 |
| Visa Inc. | 2.800% | 12/14/22 | 30,852 | 31,633 |
51
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Visa Inc. | 3.150% | 12/14/25 | 49,918 | 51,183 |
| Wal-Mart Stores Inc. | 2.550% | 4/11/23 | 19,586 | 19,917 |
| Wal-Mart Stores Inc. | 3.300% | 4/22/24 | 20,713 | 21,820 |
| Wal-Mart Stores Inc. | 5.875% | 4/5/27 | 5,566 | 6,984 |
| Walgreen Co. | 3.100% | 9/15/22 | 9,527 | 9,760 |
| Walgreens Boots Alliance Inc. | 3.800% | 11/18/24 | 25,198 | 26,241 |
| Walgreens Boots Alliance Inc. | 3.450% | 6/1/26 | 26,167 | 26,240 |
| Wyndham Worldwide Corp. | 3.900% | 3/1/23 | 2,950 | 2,935 |
| Wyndham Worldwide Corp. | 4.150% | 4/1/24 | 3,225 | 3,250 |
| Wyndham Worldwide Corp. | 5.100% | 10/1/25 | 4,647 | 4,914 |
| Wyndham Worldwide Corp. | 4.500% | 4/1/27 | 4,450 | 4,543 |
| Consumer Noncyclical (15.2%) | | | | |
| Abbott Laboratories | 3.250% | 4/15/23 | 8,580 | 8,821 |
| Abbott Laboratories | 3.400% | 11/30/23 | 21,984 | 22,661 |
| Abbott Laboratories | 2.950% | 3/15/25 | 11,191 | 11,055 |
| Abbott Laboratories | 3.875% | 9/15/25 | 1,400 | 1,466 |
| Abbott Laboratories | 3.750% | 11/30/26 | 41,259 | 42,585 |
| AbbVie Inc. | 2.900% | 11/6/22 | 29,426 | 29,925 |
| AbbVie Inc. | 3.200% | 11/6/22 | 14,748 | 15,139 |
| AbbVie Inc. | 2.850% | 5/14/23 | 14,403 | 14,533 |
| AbbVie Inc. | 3.600% | 5/14/25 | 41,501 | 42,817 |
| AbbVie Inc. | 3.200% | 5/14/26 | 25,221 | 25,216 |
| Actavis Inc. | 3.250% | 10/1/22 | 16,945 | 17,410 |
| Agilent Technologies Inc. | 3.200% | 10/1/22 | 5,950 | 6,102 |
| Agilent Technologies Inc. | 3.875% | 7/15/23 | 4,175 | 4,364 |
| Agilent Technologies Inc. | 3.050% | 9/22/26 | 3,000 | 2,941 |
| Allergan Funding SCS | 3.850% | 6/15/24 | 15,992 | 16,857 |
| Allergan Funding SCS | 3.800% | 3/15/25 | 47,950 | 49,998 |
| Allergan Inc. | 2.800% | 3/15/23 | 3,650 | 3,647 |
| Altria Group Inc. | 2.950% | 5/2/23 | 3,172 | 3,234 |
| Altria Group Inc. | 4.000% | 1/31/24 | 21,585 | 23,180 |
| Altria Group Inc. | 2.625% | 9/16/26 | 3,650 | 3,553 |
| AmerisourceBergen Corp. | 3.400% | 5/15/24 | 4,685 | 4,823 |
| AmerisourceBergen Corp. | 3.250% | 3/1/25 | 5,475 | 5,595 |
| Amgen Inc. | 2.250% | 8/19/23 | 4,311 | 4,222 |
| Amgen Inc. | 3.625% | 5/22/24 | 19,744 | 20,756 |
| Amgen Inc. | 3.125% | 5/1/25 | 9,646 | 9,746 |
| Amgen Inc. | 2.600% | 8/19/26 | 17,992 | 17,304 |
| Anheuser-Busch InBev Finance Inc. | 2.625% | 1/17/23 | 12,618 | 12,692 |
| Anheuser-Busch InBev Finance Inc. | 3.300% | 2/1/23 | 75,931 | 78,799 |
| Anheuser-Busch InBev Finance Inc. | 3.700% | 2/1/24 | 15,901 | 16,847 |
| Anheuser-Busch InBev Finance Inc. | 3.650% | 2/1/26 | 128,532 | 133,896 |
| Archer-Daniels-Midland Co. | 2.500% | 8/11/26 | 11,318 | 10,971 |
| AstraZeneca plc | 3.375% | 11/16/25 | 23,361 | 23,852 |
| AstraZeneca plc | 3.125% | 6/12/27 | 7,760 | 7,749 |
| 2 BAT Capital Corp. | 3.222% | 8/15/24 | 22,525 | 22,692 |
| 2 BAT Capital Corp. | 3.557% | 8/15/27 | 44,650 | 45,365 |
| Baxalta Inc. | 4.000% | 6/23/25 | 26,929 | 28,381 |
| Baxter International Inc. | 2.600% | 8/15/26 | 7,295 | 7,072 |
| Beam Suntory Inc. | 3.250% | 6/15/23 | 1,050 | 1,078 |
| Becton Dickinson & Co. | 3.875% | 5/15/24 | 3,500 | 3,645 |
| Becton Dickinson & Co. | 3.363% | 6/6/24 | 19,400 | 19,646 |
| Becton Dickinson & Co. | 3.734% | 12/15/24 | 17,090 | 17,641 |
| Becton Dickinson & Co. | 3.700% | 6/6/27 | 24,915 | 25,297 |
| Bestfoods | 7.250% | 12/15/26 | 519 | 691 |
| Biogen Inc. | 3.625% | 9/15/22 | 12,170 | 12,785 |
| Biogen Inc. | 4.050% | 9/15/25 | 20,822 | 22,214 |
| Boston Scientific Corp. | 4.125% | 10/1/23 | 2,710 | 2,894 |
| Boston Scientific Corp. | 3.850% | 5/15/25 | 10,250 | 10,671 |
| Bristol-Myers Squibb Co. | 7.150% | 6/15/23 | 900 | 1,112 |
| Bristol-Myers Squibb Co. | 3.250% | 11/1/23 | 9,945 | 10,445 |
| Bunge Ltd. Finance Corp. | 3.250% | 8/15/26 | 9,210 | 8,978 |
| Campbell Soup Co. | 3.300% | 3/19/25 | 2,850 | 2,901 |
52
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Cardinal Health Inc. | 3.200% | 3/15/23 | 5,509 | 5,628 |
| Cardinal Health Inc. | 3.079% | 6/15/24 | 16,450 | 16,678 |
| Cardinal Health Inc. | 3.500% | 11/15/24 | 1,608 | 1,661 |
| Cardinal Health Inc. | 3.750% | 9/15/25 | 2,755 | 2,901 |
| Cardinal Health Inc. | 3.410% | 6/15/27 | 13,860 | 14,030 |
| Catholic Health Initiatives Colorado GO | 2.950% | 11/1/22 | 4,290 | 4,228 |
| Celgene Corp. | 4.000% | 8/15/23 | 6,393 | 6,898 |
| Celgene Corp. | 3.625% | 5/15/24 | 9,752 | 10,190 |
| Celgene Corp. | 3.875% | 8/15/25 | 27,305 | 28,898 |
| Church & Dwight Co. Inc. | 2.875% | 10/1/22 | 900 | 916 |
| Church & Dwight Co. Inc. | 3.150% | 8/1/27 | 4,450 | 4,457 |
| Clorox Co. | 3.050% | 9/15/22 | 5,625 | 5,820 |
| Clorox Co. | 3.500% | 12/15/24 | 5,428 | 5,628 |
| Coca-Cola Bottling Co. Consolidated | 3.800% | 11/25/25 | 4,950 | 5,108 |
| Coca-Cola Co. | 2.500% | 4/1/23 | 11,278 | 11,444 |
| Coca-Cola Co. | 3.200% | 11/1/23 | 11,754 | 12,291 |
| Coca-Cola Co. | 2.875% | 10/27/25 | 21,469 | 21,785 |
| Coca-Cola Co. | 2.550% | 6/1/26 | 6,150 | 6,082 |
| Coca-Cola Co. | 2.250% | 9/1/26 | 10,769 | 10,349 |
| Coca-Cola Co. | 2.900% | 5/25/27 | 5,200 | 5,256 |
| Coca-Cola Femsa SAB de CV | 3.875% | 11/26/23 | 10,930 | 11,655 |
| Colgate-Palmolive Co. | 1.950% | 2/1/23 | 4,575 | 4,527 |
| Colgate-Palmolive Co. | 2.100% | 5/1/23 | 4,076 | 4,031 |
| Colgate-Palmolive Co. | 3.250% | 3/15/24 | 8,209 | 8,612 |
| Conagra Brands Inc. | 3.250% | 9/15/22 | 2,675 | 2,753 |
| Conagra Brands Inc. | 3.200% | 1/25/23 | 6,118 | 6,274 |
| Constellation Brands Inc. | 4.250% | 5/1/23 | 15,251 | 16,452 |
| Constellation Brands Inc. | 4.750% | 11/15/24 | 9,935 | 10,991 |
| Constellation Brands Inc. | 3.700% | 12/6/26 | 6,212 | 6,406 |
| Constellation Brands Inc. | 3.500% | 5/9/27 | 4,730 | 4,819 |
| Covidien International Finance SA | 2.950% | 6/15/23 | 5,000 | 5,120 |
| CR Bard Inc. | 3.000% | 5/15/26 | 4,350 | 4,366 |
| Danaher Corp. | 3.350% | 9/15/25 | 5,010 | 5,287 |
| Diageo Capital plc | 2.625% | 4/29/23 | 15,363 | 15,634 |
| Dignity Health California GO | 3.125% | 11/1/22 | 800 | 808 |
| Dignity Health California GO | 3.812% | 11/1/24 | 2,600 | 2,701 |
| Dr Pepper Snapple Group Inc. | 3.130% | 12/15/23 | 8,730 | 8,962 |
| Dr Pepper Snapple Group Inc. | 3.400% | 11/15/25 | 2,400 | 2,453 |
| Dr Pepper Snapple Group Inc. | 2.550% | 9/15/26 | 5,950 | 5,657 |
| Dr Pepper Snapple Group Inc. | 3.430% | 6/15/27 | 3,223 | 3,290 |
| Eli Lilly & Co. | 2.750% | 6/1/25 | 12,115 | 12,248 |
| Eli Lilly & Co. | 5.500% | 3/15/27 | 559 | 677 |
| Eli Lilly & Co. | 3.100% | 5/15/27 | 9,775 | 10,004 |
| Estee Lauder Cos. Inc. | 3.150% | 3/15/27 | 5,975 | 6,127 |
| Express Scripts Holding Co. | 3.000% | 7/15/23 | 16,047 | 16,170 |
| Express Scripts Holding Co. | 3.500% | 6/15/24 | 10,646 | 10,889 |
| Express Scripts Holding Co. | 4.500% | 2/25/26 | 20,723 | 22,369 |
| Express Scripts Holding Co. | 3.400% | 3/1/27 | 18,907 | 18,797 |
| Flowers Foods Inc. | 3.500% | 10/1/26 | 4,575 | 4,567 |
| Fomento Economico Mexicano SAB de CV | 2.875% | 5/10/23 | 2,500 | 2,525 |
| General Mills Inc. | 3.650% | 2/15/24 | 5,551 | 5,833 |
| General Mills Inc. | 3.200% | 2/10/27 | 7,125 | 7,141 |
| Gilead Sciences Inc. | 3.250% | 9/1/22 | 11,903 | 12,400 |
| Gilead Sciences Inc. | 2.500% | 9/1/23 | 17,706 | 17,660 |
| Gilead Sciences Inc. | 3.700% | 4/1/24 | 18,522 | 19,627 |
| Gilead Sciences Inc. | 3.500% | 2/1/25 | 19,251 | 20,104 |
| Gilead Sciences Inc. | 3.650% | 3/1/26 | 29,595 | 31,067 |
| Gilead Sciences Inc. | 2.950% | 3/1/27 | 15,045 | 14,956 |
| GlaxoSmithKline Capital Inc. | 2.800% | 3/18/23 | 14,340 | 14,705 |
| Hershey Co. | 2.625% | 5/1/23 | 750 | 758 |
| Hershey Co. | 3.200% | 8/21/25 | 2,100 | 2,156 |
| Hershey Co. | 2.300% | 8/15/26 | 4,297 | 4,101 |
| Hershey Co. | 7.200% | 8/15/27 | 146 | 190 |
| Ingredion Inc. | 3.200% | 10/1/26 | 5,315 | 5,281 |
53
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| JM Smucker Co. | 3.500% | 3/15/25 | 9,400 | 9,752 |
| Johnson & Johnson | 2.050% | 3/1/23 | 7,945 | 7,942 |
| Johnson & Johnson | 6.730% | 11/15/23 | 50 | 62 |
| Johnson & Johnson | 3.375% | 12/5/23 | 8,095 | 8,732 |
| Johnson & Johnson | 2.450% | 3/1/26 | 24,554 | 24,197 |
| Johnson & Johnson | 2.950% | 3/3/27 | 11,525 | 11,763 |
| Kaiser Foundation Hospitals | 3.150% | 5/1/27 | 4,500 | 4,593 |
| Kellogg Co. | 2.650% | 12/1/23 | 9,550 | 9,530 |
| Kellogg Co. | 3.250% | 4/1/26 | 7,006 | 7,062 |
| Kimberly-Clark Corp. | 2.400% | 6/1/23 | 3,364 | 3,373 |
| Kimberly-Clark Corp. | 3.050% | 8/15/25 | 3,000 | 3,070 |
| Kimberly-Clark Corp. | 2.750% | 2/15/26 | 4,600 | 4,603 |
| Kraft Heinz Foods Co. | 3.950% | 7/15/25 | 19,983 | 20,648 |
| Kraft Heinz Foods Co. | 3.000% | 6/1/26 | 26,217 | 25,252 |
| Laboratory Corp. of America Holdings | 4.000% | 11/1/23 | 2,050 | 2,165 |
| Laboratory Corp. of America Holdings | 3.250% | 9/1/24 | 7,000 | 7,091 |
| Laboratory Corp. of America Holdings | 3.600% | 2/1/25 | 11,545 | 11,938 |
| Laboratory Corp. of America Holdings | 3.600% | 9/1/27 | 3,000 | 3,057 |
| McCormick & Co. Inc. | 3.400% | 8/15/27 | 15,000 | 15,225 |
| McKesson Corp. | 2.700% | 12/15/22 | 4,345 | 4,358 |
| McKesson Corp. | 2.850% | 3/15/23 | 4,050 | 4,073 |
| McKesson Corp. | 3.796% | 3/15/24 | 12,737 | 13,417 |
| Mead Johnson Nutrition Co. | 4.125% | 11/15/25 | 10,250 | 11,150 |
| Medtronic Global Holdings SCA | 3.350% | 4/1/27 | 15,143 | 15,629 |
| Medtronic Inc. | 2.750% | 4/1/23 | 2,072 | 2,112 |
| Medtronic Inc. | 3.625% | 3/15/24 | 12,131 | 12,901 |
| Medtronic Inc. | 3.500% | 3/15/25 | 46,175 | 48,668 |
| Merck & Co. Inc. | 2.400% | 9/15/22 | 13,694 | 13,917 |
| Merck & Co. Inc. | 2.800% | 5/18/23 | 20,341 | 20,885 |
| Merck & Co. Inc. | 2.750% | 2/10/25 | 26,400 | 26,555 |
| Molson Coors Brewing Co. | 3.000% | 7/15/26 | 25,607 | 25,016 |
| Mylan Inc. | 4.200% | 11/29/23 | 6,845 | 7,159 |
| Mylan NV | 3.950% | 6/15/26 | 23,275 | 23,616 |
| Newell Brands Inc. | 3.850% | 4/1/23 | 24,627 | 26,034 |
| Newell Brands Inc. | 4.000% | 12/1/24 | 5,952 | 6,268 |
| Newell Brands Inc. | 3.900% | 11/1/25 | 3,110 | 3,260 |
| Newell Brands Inc. | 4.200% | 4/1/26 | 27,044 | 28,781 |
| Novartis Capital Corp. | 2.400% | 9/21/22 | 17,227 | 17,426 |
| Novartis Capital Corp. | 3.400% | 5/6/24 | 23,386 | 24,682 |
| Novartis Capital Corp. | 3.000% | 11/20/25 | 19,856 | 20,303 |
| Novartis Capital Corp. | 3.100% | 5/17/27 | 11,204 | 11,457 |
| PepsiCo Inc. | 2.750% | 3/1/23 | 16,670 | 17,153 |
| PepsiCo Inc. | 3.600% | 3/1/24 | 10,975 | 11,685 |
| PepsiCo Inc. | 2.750% | 4/30/25 | 10,667 | 10,716 |
| PepsiCo Inc. | 3.500% | 7/17/25 | 6,860 | 7,235 |
| PepsiCo Inc. | 2.850% | 2/24/26 | 7,660 | 7,693 |
| PepsiCo Inc. | 2.375% | 10/6/26 | 15,736 | 15,225 |
| Perrigo Finance Unlimited Co. | 3.900% | 12/15/24 | 10,787 | 11,116 |
| Perrigo Finance Unlimited Co. | 4.375% | 3/15/26 | 11,382 | 11,792 |
| Pfizer Inc. | 3.000% | 6/15/23 | 9,705 | 10,088 |
| Pfizer Inc. | 3.400% | 5/15/24 | 13,227 | 14,004 |
| Pfizer Inc. | 2.750% | 6/3/26 | 20,185 | 20,134 |
| Pfizer Inc. | 3.000% | 12/15/26 | 14,775 | 15,048 |
| Philip Morris International Inc. | 2.625% | 3/6/23 | 5,950 | 5,974 |
| Philip Morris International Inc. | 2.125% | 5/10/23 | 4,580 | 4,474 |
| Philip Morris International Inc. | 3.600% | 11/15/23 | 4,059 | 4,269 |
| Philip Morris International Inc. | 3.250% | 11/10/24 | 16,398 | 16,797 |
| Philip Morris International Inc. | 3.375% | 8/11/25 | 10,037 | 10,407 |
| Philip Morris International Inc. | 2.750% | 2/25/26 | 7,375 | 7,253 |
| Procter & Gamble Co. | 3.100% | 8/15/23 | 11,009 | 11,554 |
| Procter & Gamble Co. | 2.700% | 2/2/26 | 6,200 | 6,250 |
| Procter & Gamble Co. | 2.450% | 11/3/26 | 7,675 | 7,580 |
| Procter & Gamble Co. | 2.850% | 8/11/27 | 10,000 | 10,145 |
| Providence St. Joseph Health Obligated Group | 2.746% | 10/1/26 | 2,225 | 2,175 |
54
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Quest Diagnostics Inc. | 4.250% | 4/1/24 | 1,650 | 1,777 |
| Quest Diagnostics Inc. | 3.500% | 3/30/25 | 2,840 | 2,935 |
| Quest Diagnostics Inc. | 3.450% | 6/1/26 | 10,375 | 10,601 |
| Reynolds American Inc. | 4.850% | 9/15/23 | 6,407 | 7,009 |
| Reynolds American Inc. | 4.450% | 6/12/25 | 26,514 | 28,620 |
| Shire Acquisitions Investments Ireland DAC | 2.875% | 9/23/23 | 28,989 | 28,858 |
| Shire Acquisitions Investments Ireland DAC | 3.200% | 9/23/26 | 29,260 | 28,726 |
| SSM Health Care Corp. | 3.823% | 6/1/27 | 4,500 | 4,708 |
| Stryker Corp. | 3.375% | 5/15/24 | 4,753 | 4,930 |
| Stryker Corp. | 3.375% | 11/1/25 | 7,315 | 7,548 |
| Stryker Corp. | 3.500% | 3/15/26 | 11,607 | 12,056 |
| Sysco Corp. | 3.750% | 10/1/25 | 7,768 | 8,142 |
| Sysco Corp. | 3.300% | 7/15/26 | 8,360 | 8,468 |
| Sysco Corp. | 3.250% | 7/15/27 | 8,350 | 8,425 |
| Teva Pharmaceutical Finance Co. BV | 2.950% | 12/18/22 | 14,775 | 14,153 |
| Teva Pharmaceutical Finance Netherlands III BV | 2.800% | 7/21/23 | 32,884 | 30,956 |
| Teva Pharmaceutical Finance Netherlands III BV | 3.150% | 10/1/26 | 39,286 | 35,888 |
| The Kroger Co. | 3.850% | 8/1/23 | 8,928 | 9,322 |
| The Kroger Co. | 4.000% | 2/1/24 | 7,735 | 8,126 |
| The Kroger Co. | 3.500% | 2/1/26 | 1,000 | 993 |
| The Kroger Co. | 2.650% | 10/15/26 | 9,009 | 8,394 |
| The Kroger Co. | 3.700% | 8/1/27 | 4,375 | 4,403 |
| Thermo Fisher Scientific Inc. | 3.150% | 1/15/23 | 11,421 | 11,746 |
| Thermo Fisher Scientific Inc. | 3.000% | 4/15/23 | 13,387 | 13,653 |
| Thermo Fisher Scientific Inc. | 4.150% | 2/1/24 | 10,307 | 11,091 |
| Thermo Fisher Scientific Inc. | 3.650% | 12/15/25 | 3,705 | 3,871 |
| Thermo Fisher Scientific Inc. | 2.950% | 9/19/26 | 13,506 | 13,324 |
| Thermo Fisher Scientific Inc. | 3.200% | 8/15/27 | 6,000 | 6,009 |
| Tyson Foods Inc. | 3.950% | 8/15/24 | 15,974 | 16,988 |
| Tyson Foods Inc. | 3.550% | 6/2/27 | 16,150 | 16,521 |
| Unilever Capital Corp. | 2.600% | 5/5/24 | 16,750 | 16,697 |
| Unilever Capital Corp. | 3.100% | 7/30/25 | 4,725 | 4,821 |
| Unilever Capital Corp. | 2.000% | 7/28/26 | 10,200 | 9,491 |
| Unilever Capital Corp. | 2.900% | 5/5/27 | 500 | 499 |
| Whirlpool Corp. | 4.000% | 3/1/24 | 2,000 | 2,118 |
| Whirlpool Corp. | 3.700% | 5/1/25 | 4,650 | 4,831 |
| Whole Foods Market Inc. | 5.200% | 12/3/25 | 10,998 | 12,712 |
| Wyeth LLC | 6.450% | 2/1/24 | 7,414 | 9,077 |
| Zimmer Biomet Holdings Inc. | 3.550% | 4/1/25 | 23,733 | 24,140 |
| Zoetis Inc. | 3.250% | 2/1/23 | 17,400 | 18,005 |
| Zoetis Inc. | 4.500% | 11/13/25 | 8,275 | 9,194 |
| Energy (9.8%) | | | | |
| Anadarko Petroleum Corp. | 3.450% | 7/15/24 | 7,258 | 7,178 |
| Anadarko Petroleum Corp. | 5.550% | 3/15/26 | 16,010 | 17,834 |
| Andeavor | 5.375% | 10/1/22 | 500 | 514 |
| 2 Andeavor | 4.750% | 12/15/23 | 18,059 | 19,368 |
| Andeavor | 5.125% | 4/1/24 | 2,000 | 2,113 |
| 2 Andeavor | 5.125% | 12/15/26 | 9,850 | 10,737 |
| Apache Corp. | 3.250% | 4/15/22 | 5,992 | 6,106 |
| Apache Corp. | 2.625% | 1/15/23 | 1,075 | 1,055 |
| Boardwalk Pipelines LP | 3.375% | 2/1/23 | 3,275 | 3,265 |
| Boardwalk Pipelines LP | 4.950% | 12/15/24 | 6,225 | 6,647 |
| Boardwalk Pipelines LP | 5.950% | 6/1/26 | 6,740 | 7,562 |
| Boardwalk Pipelines LP | 4.450% | 7/15/27 | 6,262 | 6,416 |
| BP Capital Markets plc | 2.500% | 11/6/22 | 14,984 | 14,986 |
| BP Capital Markets plc | 2.750% | 5/10/23 | 24,634 | 24,754 |
| BP Capital Markets plc | 3.994% | 9/26/23 | 6,275 | 6,739 |
| BP Capital Markets plc | 3.216% | 11/28/23 | 13,625 | 14,020 |
| BP Capital Markets plc | 3.814% | 2/10/24 | 9,669 | 10,288 |
| BP Capital Markets plc | 3.224% | 4/14/24 | 11,467 | 11,758 |
| BP Capital Markets plc | 3.535% | 11/4/24 | 10,018 | 10,544 |
| BP Capital Markets plc | 3.506% | 3/17/25 | 9,260 | 9,636 |
| BP Capital Markets plc | 3.119% | 5/4/26 | 10,210 | 10,291 |
55
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | �� | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| BP Capital Markets plc | 3.017% | 1/16/27 | 9,500 | 9,434 |
| BP Capital Markets plc | 3.588% | 4/14/27 | 14,075 | 14,577 |
| Buckeye Partners LP | 4.150% | 7/1/23 | 6,181 | 6,485 |
| Buckeye Partners LP | 4.350% | 10/15/24 | 682 | 709 |
| Buckeye Partners LP | 3.950% | 12/1/26 | 9,140 | 9,145 |
| Canadian Natural Resources Ltd. | 2.950% | 1/15/23 | 16,775 | 16,811 |
| Canadian Natural Resources Ltd. | 3.800% | 4/15/24 | 7,604 | 7,786 |
| Canadian Natural Resources Ltd. | 3.900% | 2/1/25 | 3,667 | 3,740 |
| Canadian Natural Resources Ltd. | 3.850% | 6/1/27 | 13,570 | 13,600 |
| Cenovus Energy Inc. | 3.800% | 9/15/23 | 6,950 | 6,915 |
| 2 Cenovus Energy Inc. | 4.250% | 4/15/27 | 15,310 | 14,750 |
| Chevron Corp. | 2.355% | 12/5/22 | 18,474 | 18,572 |
| Chevron Corp. | 2.566% | 5/16/23 | 8,408 | 8,506 |
| Chevron Corp. | 3.191% | 6/24/23 | 29,497 | 30,790 |
| Chevron Corp. | 2.895% | 3/3/24 | 9,430 | 9,668 |
| Chevron Corp. | 3.326% | 11/17/25 | 10,573 | 10,999 |
| Chevron Corp. | 2.954% | 5/16/26 | 28,175 | 28,394 |
| Cimarex Energy Co. | 4.375% | 6/1/24 | 10,718 | 11,354 |
| Cimarex Energy Co. | 3.900% | 5/15/27 | 6,450 | 6,551 |
| Columbia Pipeline Group Inc. | 4.500% | 6/1/25 | 9,858 | 10,574 |
| ConocoPhillips Co. | 2.400% | 12/15/22 | 12,959 | 12,884 |
| ConocoPhillips Co. | 3.350% | 11/15/24 | 12,732 | 13,133 |
| ConocoPhillips Co. | 3.350% | 5/15/25 | 1,075 | 1,106 |
| ConocoPhillips Co. | 4.950% | 3/15/26 | 19,007 | 21,318 |
| Devon Energy Corp. | 5.850% | 12/15/25 | 6,800 | 7,755 |
| Dominion Energy Gas Holdings LLC | 3.550% | 11/1/23 | 3,025 | 3,084 |
| Dominion Energy Gas Holdings LLC | 3.600% | 12/15/24 | 5,725 | 5,898 |
| Enable Midstream Partners LP | 3.900% | 5/15/24 | 4,200 | 4,207 |
| Enable Midstream Partners LP | 4.400% | 3/15/27 | 10,050 | 10,220 |
| Enbridge Energy Partners LP | 5.875% | 10/15/25 | 6,425 | 7,385 |
| Enbridge Inc. | 2.900% | 7/15/22 | 1,800 | 1,812 |
| Enbridge Inc. | 4.000% | 10/1/23 | 4,255 | 4,461 |
| Enbridge Inc. | 3.500% | 6/10/24 | 6,031 | 6,121 |
| Enbridge Inc. | 4.250% | 12/1/26 | 13,425 | 14,167 |
| Enbridge Inc. | 3.700% | 7/15/27 | 9,757 | 9,859 |
| 1 Enbridge Inc. | 6.000% | 1/15/77 | 6,500 | 6,872 |
| 1 Enbridge Inc. | 5.500% | 7/15/77 | 11,000 | 11,097 |
| Energy Transfer LP | 3.600% | 2/1/23 | 10,670 | 10,781 |
| Energy Transfer LP | 4.900% | 2/1/24 | 2,290 | 2,459 |
| Energy Transfer LP | 4.050% | 3/15/25 | 12,773 | 12,845 |
| Energy Transfer LP | 4.750% | 1/15/26 | 17,520 | 18,468 |
| Energy Transfer LP | 4.200% | 4/15/27 | 5,454 | 5,530 |
| EnLink Midstream Partners LP | 4.400% | 4/1/24 | 11,562 | 11,856 |
| EnLink Midstream Partners LP | 4.150% | 6/1/25 | 3,324 | 3,326 |
| EnLink Midstream Partners LP | 4.850% | 7/15/26 | 4,800 | 5,037 |
| Enterprise Products Operating LLC | 3.350% | 3/15/23 | 22,862 | 23,552 |
| Enterprise Products Operating LLC | 3.900% | 2/15/24 | 6,554 | 6,835 |
| Enterprise Products Operating LLC | 3.750% | 2/15/25 | 14,126 | 14,653 |
| Enterprise Products Operating LLC | 3.700% | 2/15/26 | 6,798 | 6,986 |
| Enterprise Products Operating LLC | 3.950% | 2/15/27 | 3,985 | 4,167 |
| 1 Enterprise Products Operating LLC | 5.250% | 8/16/77 | 7,500 | 7,491 |
| EOG Resources Inc. | 2.625% | 3/15/23 | 10,967 | 10,977 |
| EOG Resources Inc. | 3.150% | 4/1/25 | 4,301 | 4,266 |
| EOG Resources Inc. | 4.150% | 1/15/26 | 11,984 | 12,649 |
| EQT Midstream Partners LP | 4.000% | 8/1/24 | 3,830 | 3,913 |
| EQT Midstream Partners LP | 4.125% | 12/1/26 | 7,500 | 7,634 |
| Exxon Mobil Corp. | 2.726% | 3/1/23 | 19,589 | 20,098 |
| Exxon Mobil Corp. | 3.176% | 3/15/24 | 4,640 | 4,840 |
| Exxon Mobil Corp. | 2.709% | 3/6/25 | 19,845 | 20,090 |
| Exxon Mobil Corp. | 3.043% | 3/1/26 | 29,974 | 30,836 |
| Halliburton Co. | 3.500% | 8/1/23 | 11,779 | 12,214 |
| Halliburton Co. | 3.800% | 11/15/25 | 26,598 | 27,444 |
| Helmerich & Payne International Drilling Co. | 4.650% | 3/15/25 | 6,050 | 6,473 |
| Hess Corp. | 3.500% | 7/15/24 | 2,750 | 2,661 |
56
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Hess Corp. | 4.300% | 4/1/27 | 12,085 | 11,823 |
| HollyFrontier Corp. | 5.875% | 4/1/26 | 11,309 | 12,161 |
| Husky Energy Inc. | 4.000% | 4/15/24 | 10,225 | 10,466 |
| Kerr-McGee Corp. | 6.950% | 7/1/24 | 4,708 | 5,517 |
| Kinder Morgan Energy Partners LP | 3.950% | 9/1/22 | 8,401 | 8,750 |
| Kinder Morgan Energy Partners LP | 3.450% | 2/15/23 | 8,349 | 8,425 |
| Kinder Morgan Energy Partners LP | 3.500% | 9/1/23 | 10,225 | 10,310 |
| Kinder Morgan Energy Partners LP | 4.150% | 2/1/24 | 6,083 | 6,300 |
| Kinder Morgan Energy Partners LP | 4.300% | 5/1/24 | 9,623 | 10,052 |
| Kinder Morgan Energy Partners LP | 4.250% | 9/1/24 | 7,452 | 7,762 |
| Kinder Morgan Inc. | 3.150% | 1/15/23 | 9,000 | 8,998 |
| Kinder Morgan Inc. | 4.300% | 6/1/25 | 19,055 | 19,892 |
| Magellan Midstream Partners LP | 5.000% | 3/1/26 | 7,750 | 8,686 |
| Marathon Oil Corp. | 2.800% | 11/1/22 | 8,039 | 7,829 |
| Marathon Oil Corp. | 3.850% | 6/1/25 | 16,987 | 16,672 |
| Marathon Oil Corp. | 4.400% | 7/15/27 | 9,500 | 9,566 |
| Marathon Petroleum Corp. | 3.625% | 9/15/24 | 8,689 | 8,842 |
| MPLX LP | 5.500% | 2/15/23 | 536 | 551 |
| MPLX LP | 4.500% | 7/15/23 | 15,766 | 16,756 |
| MPLX LP | 4.875% | 12/1/24 | 18,523 | 19,992 |
| MPLX LP | 4.000% | 2/15/25 | 6,284 | 6,417 |
| MPLX LP | 4.875% | 6/1/25 | 18,570 | 19,883 |
| MPLX LP | 4.125% | 3/1/27 | 8,450 | 8,551 |
| National Fuel Gas Co. | 3.750% | 3/1/23 | 6,075 | 6,218 |
| National Fuel Gas Co. | 5.200% | 7/15/25 | 2,450 | 2,644 |
| National Oilwell Varco Inc. | 2.600% | 12/1/22 | 15,273 | 14,894 |
| Noble Energy Inc. | 3.900% | 11/15/24 | 7,077 | 7,245 |
| Occidental Petroleum Corp. | 2.700% | 2/15/23 | 13,055 | 13,090 |
| Occidental Petroleum Corp. | 3.500% | 6/15/25 | 7,490 | 7,720 |
| Occidental Petroleum Corp. | 3.400% | 4/15/26 | 17,476 | 17,879 |
| Occidental Petroleum Corp. | 3.000% | 2/15/27 | 5,977 | 5,884 |
| Oceaneering International Inc. | 4.650% | 11/15/24 | 6,170 | 6,051 |
| ONEOK Inc. | 7.500% | 9/1/23 | 8,530 | 10,268 |
| ONEOK Inc. | 4.000% | 7/13/27 | 2,500 | 2,530 |
| ONEOK Partners LP | 3.375% | 10/1/22 | 14,080 | 14,209 |
| ONEOK Partners LP | 5.000% | 9/15/23 | 2,650 | 2,877 |
| ONEOK Partners LP | 4.900% | 3/15/25 | 5,684 | 6,147 |
| Phillips 66 Partners LP | 3.605% | 2/15/25 | 6,493 | 6,536 |
| Phillips 66 Partners LP | 3.550% | 10/1/26 | 5,225 | 5,164 |
| Pioneer Natural Resources Co. | 4.450% | 1/15/26 | 5,780 | 6,187 |
| Plains All American Pipeline LP / PAA Finance Corp. | 3.650% | 6/1/22 | 580 | 584 |
| Plains All American Pipeline LP / PAA Finance Corp. | 2.850% | 1/31/23 | 4,600 | 4,428 |
| Plains All American Pipeline LP / PAA Finance Corp. | 3.850% | 10/15/23 | 8,003 | 8,088 |
| Plains All American Pipeline LP / PAA Finance Corp. | 3.600% | 11/1/24 | 7,574 | 7,409 |
| Plains All American Pipeline LP / PAA Finance Corp. | 4.650% | 10/15/25 | 7,655 | 7,931 |
| Plains All American Pipeline LP / PAA Finance Corp. | 4.500% | 12/15/26 | 9,560 | 9,776 |
| Regency Energy Partners LP / Regency Energy Finance | | | | |
| Corp. | 5.000% | 10/1/22 | 9,147 | 9,844 |
| Regency Energy Partners LP / Regency Energy Finance | | | | |
| Corp. | 5.500% | 4/15/23 | 3,978 | 4,097 |
| Regency Energy Partners LP / Regency Energy Finance | | | | |
| Corp. | 4.500% | 11/1/23 | 7,134 | 7,491 |
| Sabine Pass Liquefaction LLC | 5.625% | 4/15/23 | 18,170 | 20,123 |
| Sabine Pass Liquefaction LLC | 5.750% | 5/15/24 | 28,818 | 32,060 |
| Sabine Pass Liquefaction LLC | 5.625% | 3/1/25 | 23,250 | 25,662 |
| Sabine Pass Liquefaction LLC | 5.875% | 6/30/26 | 16,675 | 18,634 |
| Sabine Pass Liquefaction LLC | 5.000% | 3/15/27 | 15,000 | 15,881 |
| Sasol Financing International plc | 4.500% | 11/14/22 | 7,000 | 7,249 |
| Schlumberger Investment SA | 3.650% | 12/1/23 | 15,647 | 16,612 |
| Shell International Finance BV | 2.250% | 1/6/23 | 8,321 | 8,310 |
| Shell International Finance BV | 3.400% | 8/12/23 | 11,044 | 11,627 |
| Shell International Finance BV | 3.250% | 5/11/25 | 25,123 | 26,071 |
| Shell International Finance BV | 2.875% | 5/10/26 | 25,444 | 25,542 |
| Shell International Finance BV | 2.500% | 9/12/26 | 14,872 | 14,539 |
57
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Spectra Energy Capital LLC | 3.300% | 3/15/23 | 3,425 | 3,441 |
| Spectra Energy Partners LP | 4.750% | 3/15/24 | 10,722 | 11,765 |
| Spectra Energy Partners LP | 3.500% | 3/15/25 | 6,200 | 6,306 |
| Spectra Energy Partners LP | 3.375% | 10/15/26 | 6,518 | 6,504 |
| Suncor Energy Inc. | 3.600% | 12/1/24 | 8,190 | 8,455 |
| Sunoco Logistics Partners Operations LP | 3.450% | 1/15/23 | 1,120 | 1,129 |
| Sunoco Logistics Partners Operations LP | 4.250% | 4/1/24 | 9,400 | 9,651 |
| Sunoco Logistics Partners Operations LP | 5.950% | 12/1/25 | 6,380 | 7,139 |
| Sunoco Logistics Partners Operations LP | 3.900% | 7/15/26 | 2,540 | 2,511 |
| TC PipeLines LP | 4.375% | 3/13/25 | 475 | 498 |
| TC PipeLines LP | 3.900% | 5/25/27 | 6,765 | 6,846 |
| 2 TechnipFMC plc | 3.450% | 10/1/22 | 2,845 | 2,857 |
| Tennessee Gas Pipeline Co. LLC | 7.000% | 3/15/27 | 950 | 1,141 |
| Tosco Corp. | 7.800% | 1/1/27 | 972 | 1,276 |
| Total Capital Canada Ltd. | 2.750% | 7/15/23 | 19,313 | 19,728 |
| Total Capital International SA | 2.700% | 1/25/23 | 8,109 | 8,234 |
| Total Capital International SA | 3.700% | 1/15/24 | 10,907 | 11,598 |
| Total Capital International SA | 3.750% | 4/10/24 | 10,954 | 11,670 |
| TransCanada PipeLines Ltd. | 3.750% | 10/16/23 | 10,004 | 10,624 |
| TransCanada PipeLines Ltd. | 4.875% | 1/15/26 | 7,539 | 8,546 |
| Transcontinental Gas Pipe Line Co. LLC | 7.850% | 2/1/26 | 6,850 | 8,932 |
| Valero Energy Corp. | 3.650% | 3/15/25 | 6,444 | 6,601 |
| Valero Energy Corp. | 3.400% | 9/15/26 | 13,925 | 13,784 |
| Valero Energy Partners LP | 4.375% | 12/15/26 | 5,750 | 5,955 |
| Western Gas Partners LP | 3.950% | 6/1/25 | 8,706 | 8,751 |
| Western Gas Partners LP | 4.650% | 7/1/26 | 3,767 | 3,924 |
| Williams Partners LP | 4.500% | 11/15/23 | 5,881 | 6,318 |
| Williams Partners LP | 4.300% | 3/4/24 | 10,927 | 11,579 |
| Williams Partners LP | 3.900% | 1/15/25 | 12,110 | 12,428 |
| Williams Partners LP | 4.000% | 9/15/25 | 12,601 | 12,965 |
| Williams Partners LP | 3.750% | 6/15/27 | 17,840 | 17,865 |
| Williams Partners LP / ACMP Finance Corp. | 4.875% | 3/15/24 | 8,015 | 8,366 |
| Other Industrial (0.2%) | | | | |
| CBRE Services Inc. | 5.000% | 3/15/23 | 4,396 | 4,566 |
| CBRE Services Inc. | 5.250% | 3/15/25 | 4,670 | 5,219 |
| CBRE Services Inc. | 4.875% | 3/1/26 | 6,545 | 7,118 |
| Cintas Corp. No 2 | 3.700% | 4/1/27 | 10,500 | 11,123 |
| Fluor Corp. | 3.500% | 12/15/24 | 5,375 | 5,542 |
| Howard Hughes Medical Institute Revenue | 3.500% | 9/1/23 | 8,967 | 9,513 |
| Technology (9.8%) | | | | |
| Adobe Systems Inc. | 3.250% | 2/1/25 | 11,644 | 12,014 |
| Alphabet Inc. | 3.375% | 2/25/24 | 14,433 | 15,252 |
| Alphabet Inc. | 1.998% | 8/15/26 | 16,474 | 15,570 |
| Altera Corp. | 4.100% | 11/15/23 | 4,400 | 4,805 |
| Amphenol Corp. | 3.200% | 4/1/24 | 3,500 | 3,575 |
| Analog Devices Inc. | 2.875% | 6/1/23 | 5,250 | 5,327 |
| Analog Devices Inc. | 3.125% | 12/5/23 | 7,282 | 7,452 |
| Analog Devices Inc. | 3.900% | 12/15/25 | 9,676 | 10,192 |
| Analog Devices Inc. | 3.500% | 12/5/26 | 10,847 | 11,138 |
| Apple Inc. | 2.850% | 2/23/23 | 20,736 | 21,311 |
| Apple Inc. | 2.400% | 5/3/23 | 65,980 | 66,059 |
| Apple Inc. | 3.000% | 2/9/24 | 17,378 | 17,867 |
| Apple Inc. | 3.450% | 5/6/24 | 32,471 | 34,227 |
| Apple Inc. | 2.850% | 5/11/24 | 21,645 | 22,011 |
| Apple Inc. | 2.500% | 2/9/25 | 19,963 | 19,719 |
| Apple Inc. | 3.200% | 5/13/25 | 22,272 | 22,990 |
| Apple Inc. | 3.250% | 2/23/26 | 40,777 | 42,051 |
| Apple Inc. | 2.450% | 8/4/26 | 20,014 | 19,430 |
| Apple Inc. | 3.350% | 2/9/27 | 26,010 | 26,899 |
| Apple Inc. | 3.200% | 5/11/27 | 24,800 | 25,356 |
| Apple Inc. | 3.000% | 6/20/27 | 10,750 | 10,811 |
| Applied Materials Inc. | 3.900% | 10/1/25 | 7,850 | 8,421 |
| Applied Materials Inc. | 3.300% | 4/1/27 | 14,300 | 14,676 |
58
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Arrow Electronics Inc. | 4.500% | 3/1/23 | 2,170 | 2,311 |
| Arrow Electronics Inc. | 4.000% | 4/1/25 | 4,720 | 4,874 |
| Autodesk Inc. | 3.600% | 12/15/22 | 1,343 | 1,382 |
| Autodesk Inc. | 4.375% | 6/15/25 | 1,800 | 1,935 |
| Autodesk Inc. | 3.500% | 6/15/27 | 5,300 | 5,299 |
| Avnet Inc. | 4.875% | 12/1/22 | 4,025 | 4,310 |
| Avnet Inc. | 4.625% | 4/15/26 | 5,415 | 5,654 |
| Baidu Inc. | 3.500% | 11/28/22 | 6,699 | 6,952 |
| Baidu Inc. | 4.125% | 6/30/25 | 4,585 | 4,885 |
| Baidu Inc. | 3.625% | 7/6/27 | 7,975 | 8,075 |
| Broadcom Corp. | 2.500% | 8/15/22 | 500 | 480 |
| 2 Broadcom Corp. / Broadcom Cayman Finance Ltd. | 3.625% | 1/15/24 | 28,635 | 29,458 |
| 2 Broadcom Corp. / Broadcom Cayman Finance Ltd. | 3.875% | 1/15/27 | 58,178 | 59,923 |
| Broadridge Financial Solutions Inc. | 3.400% | 6/27/26 | 4,744 | 4,714 |
| CA Inc. | 4.700% | 3/15/27 | 4,200 | 4,458 |
| Cadence Design Systems Inc. | 4.375% | 10/15/24 | 1,575 | 1,679 |
| Cisco Systems Inc. | 2.600% | 2/28/23 | 4,600 | 4,676 |
| Cisco Systems Inc. | 2.200% | 9/20/23 | 9,554 | 9,465 |
| Cisco Systems Inc. | 3.625% | 3/4/24 | 13,676 | 14,600 |
| Cisco Systems Inc. | 2.950% | 2/28/26 | 9,803 | 9,934 |
| Cisco Systems Inc. | 2.500% | 9/20/26 | 19,997 | 19,486 |
| 2 Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 5.450% | 6/15/23 | 44,470 | 48,601 |
| 2 Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 6.020% | 6/15/26 | 50,867 | 56,721 |
| DXC Technology Co. | 4.450% | 9/18/22 | 2,250 | 2,403 |
| DXC Technology Co. | 4.250% | 4/15/24 | 10,725 | 11,311 |
| DXC Technology Co. | 4.750% | 4/15/27 | 5,775 | 6,178 |
| Equifax Inc. | 3.300% | 12/15/22 | 1,955 | 2,024 |
| Equifax Inc. | 3.250% | 6/1/26 | 2,150 | 2,146 |
| Fidelity National Information Services Inc. | 4.500% | 10/15/22 | 3,351 | 3,646 |
| Fidelity National Information Services Inc. | 3.500% | 4/15/23 | 8,833 | 9,204 |
| Fidelity National Information Services Inc. | 3.875% | 6/5/24 | 2,864 | 3,016 |
| Fidelity National Information Services Inc. | 5.000% | 10/15/25 | 7,334 | 8,263 |
| Fidelity National Information Services Inc. | 3.000% | 8/15/26 | 22,590 | 22,237 |
| Fiserv Inc. | 3.500% | 10/1/22 | 6,866 | 7,145 |
| Fiserv Inc. | 3.850% | 6/1/25 | 11,350 | 11,953 |
| Flex Ltd. | 5.000% | 2/15/23 | 5,075 | 5,590 |
| Flex Ltd. | 4.750% | 6/15/25 | 7,425 | 8,082 |
| Google Inc. | 3.375% | 2/25/24 | — | — |
| Hewlett Packard Enterprise Co. | 4.400% | 10/15/22 | 16,917 | 18,041 |
| Hewlett Packard Enterprise Co. | 4.900% | 10/15/25 | 29,902 | 31,744 |
| HP Inc. | 4.050% | 9/15/22 | 3,938 | 4,204 |
| Intel Corp. | 2.700% | 12/15/22 | 17,265 | 17,678 |
| Intel Corp. | 2.875% | 5/11/24 | 17,450 | 17,729 |
| Intel Corp. | 3.700% | 7/29/25 | 28,285 | 30,134 |
| Intel Corp. | 2.600% | 5/19/26 | 11,306 | 11,070 |
| Intel Corp. | 3.150% | 5/11/27 | 16,745 | 17,050 |
| International Business Machines Corp. | 2.875% | 11/9/22 | 11,215 | 11,502 |
| International Business Machines Corp. | 3.375% | 8/1/23 | 15,055 | 15,726 |
| International Business Machines Corp. | 3.625% | 2/12/24 | 29,999 | 31,587 |
| International Business Machines Corp. | 7.000% | 10/30/25 | 6,350 | 8,221 |
| International Business Machines Corp. | 3.450% | 2/19/26 | 13,740 | 14,227 |
| International Business Machines Corp. | 3.300% | 1/27/27 | 5,740 | 5,869 |
| International Business Machines Corp. | 6.220% | 8/1/27 | 1,022 | 1,270 |
| Jabil Inc. | 4.700% | 9/15/22 | 2,850 | 3,090 |
| Juniper Networks Inc. | 4.500% | 3/15/24 | 4,650 | 4,930 |
| Juniper Networks Inc. | 4.350% | 6/15/25 | 1,550 | 1,628 |
| Keysight Technologies Inc. | 4.550% | 10/30/24 | 5,400 | 5,758 |
| Keysight Technologies Inc. | 4.600% | 4/6/27 | 8,350 | 8,901 |
| KLA-Tencor Corp. | 4.650% | 11/1/24 | 12,965 | 14,139 |
| Lam Research Corp. | 3.800% | 3/15/25 | 4,025 | 4,204 |
| Maxim Integrated Products Inc. | 3.375% | 3/15/23 | 4,512 | 4,621 |
| Maxim Integrated Products Inc. | 3.450% | 6/15/27 | 6,800 | 6,866 |
| Microsoft Corp. | 2.650% | 11/3/22 | 12,626 | 12,928 |
| Microsoft Corp. | 2.125% | 11/15/22 | 6,801 | 6,797 |
59
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Microsoft Corp. | 2.375% | 5/1/23 | 11,981 | 12,036 |
| Microsoft Corp. | 2.000% | 8/8/23 | 23,512 | 23,217 |
| Microsoft Corp. | 3.625% | 12/15/23 | 14,033 | 15,048 |
| Microsoft Corp. | 2.875% | 2/6/24 | 31,367 | 32,263 |
| Microsoft Corp. | 2.700% | 2/12/25 | 28,619 | 28,884 |
| Microsoft Corp. | 3.125% | 11/3/25 | 29,388 | 30,401 |
| Microsoft Corp. | 2.400% | 8/8/26 | 45,350 | 44,093 |
| Microsoft Corp. | 3.300% | 2/6/27 | 44,329 | 46,256 |
| Motorola Solutions Inc. | 3.500% | 3/1/23 | 8,449 | 8,534 |
| Motorola Solutions Inc. | 4.000% | 9/1/24 | 7,794 | 7,994 |
| Motorola Solutions Inc. | 7.500% | 5/15/25 | 1,971 | 2,376 |
| NVIDIA Corp. | 3.200% | 9/16/26 | 11,350 | 11,357 |
| Oracle Corp. | 2.500% | 10/15/22 | 27,299 | 27,644 |
| Oracle Corp. | 3.625% | 7/15/23 | 17,006 | 18,170 |
| Oracle Corp. | 2.400% | 9/15/23 | 34,013 | 34,076 |
| Oracle Corp. | 3.400% | 7/8/24 | 21,114 | 22,163 |
| Oracle Corp. | 2.950% | 5/15/25 | 20,707 | 21,032 |
| Oracle Corp. | 2.650% | 7/15/26 | 36,381 | 35,724 |
| Pitney Bowes Inc. | 4.625% | 3/15/24 | 5,127 | 5,247 |
| QUALCOMM Inc. | 2.600% | 1/30/23 | 19,827 | 20,019 |
| QUALCOMM Inc. | 2.900% | 5/20/24 | 19,062 | 19,303 |
| QUALCOMM Inc. | 3.450% | 5/20/25 | 21,315 | 22,071 |
| QUALCOMM Inc. | 3.250% | 5/20/27 | 24,700 | 24,941 |
| Seagate HDD Cayman | 4.750% | 6/1/23 | 9,057 | 9,091 |
| 2 Seagate HDD Cayman | 4.875% | 3/1/24 | 9,415 | 9,262 |
| Seagate HDD Cayman | 4.750% | 1/1/25 | 9,409 | 9,103 |
| Seagate HDD Cayman | 4.875% | 6/1/27 | 7,300 | 6,862 |
| Tech Data Corp. | 4.950% | 2/15/27 | 6,471 | 6,933 |
| Texas Instruments Inc. | 2.250% | 5/1/23 | 2,685 | 2,675 |
| Texas Instruments Inc. | 2.625% | 5/15/24 | 6,125 | 6,160 |
| Total System Services Inc. | 3.750% | 6/1/23 | 8,150 | 8,449 |
| Total System Services Inc. | 4.800% | 4/1/26 | 9,464 | 10,403 |
| Trimble Navigation Ltd. | 4.750% | 12/1/24 | 2,975 | 3,197 |
| Tyco Electronics Group SA | 3.450% | 8/1/24 | 4,007 | 4,189 |
| Tyco Electronics Group SA | 3.700% | 2/15/26 | 3,900 | 4,093 |
| Tyco Electronics Group SA | 3.125% | 8/15/27 | 4,750 | 4,795 |
| Verisk Analytics Inc. | 4.125% | 9/12/22 | 3,947 | 4,227 |
| Verisk Analytics Inc. | 4.000% | 6/15/25 | 12,900 | 13,630 |
| VMware Inc. | 3.900% | 8/21/27 | 14,400 | 14,528 |
| Xerox Corp. | 3.800% | 5/15/24 | 1,650 | 1,653 |
| Xilinx Inc. | 2.950% | 6/1/24 | 8,200 | 8,314 |
| Transportation (1.9%) | | | | |
| 1 American Airlines 2013-1 Class A Pass Through Trust | 4.000% | 1/15/27 | 3,485 | 3,608 |
| 1 American Airlines 2013-2 Class A Pass Through Trust | 4.950% | 7/15/24 | 10,778 | 11,504 |
| 1 American Airlines 2014-1 Class A Pass Through Trust | 3.700% | 4/1/28 | 5,769 | 5,890 |
| 1 American Airlines 2015-1 Class A Pass Through Trust | 3.375% | 11/1/28 | 9,243 | 9,391 |
| 1 American Airlines 2015-1 Class B Pass Through Trust | 3.700% | 11/1/24 | 1,936 | 1,940 |
| 1 American Airlines 2017-1B Class B Pass Through Trust | 4.950% | 2/15/25 | 2,075 | 2,169 |
| 1 BNSF Funding Trust I | 6.613% | 12/15/55 | 1,890 | 2,172 |
| Burlington Northern Santa Fe LLC | 3.050% | 9/1/22 | 7,835 | 8,112 |
| Burlington Northern Santa Fe LLC | 3.000% | 3/15/23 | 8,376 | 8,649 |
| Burlington Northern Santa Fe LLC | 3.850% | 9/1/23 | 11,838 | 12,792 |
| Burlington Northern Santa Fe LLC | 3.750% | 4/1/24 | 9,605 | 10,303 |
| Burlington Northern Santa Fe LLC | 3.400% | 9/1/24 | 7,081 | 7,384 |
| Burlington Northern Santa Fe LLC | 3.000% | 4/1/25 | 8,130 | 8,283 |
| Burlington Northern Santa Fe LLC | 3.650% | 9/1/25 | 7,565 | 8,021 |
| Burlington Northern Santa Fe LLC | 7.000% | 12/15/25 | 2,901 | 3,730 |
| Canadian National Railway Co. | 2.950% | 11/21/24 | 5,680 | 5,835 |
| Canadian National Railway Co. | 2.750% | 3/1/26 | 3,508 | 3,537 |
| Canadian Pacific Railway Co. | 4.450% | 3/15/23 | 3,311 | 3,600 |
| Canadian Pacific Railway Co. | 2.900% | 2/1/25 | 10,859 | 10,915 |
| 1 Continental Airlines 2012-1 Class A Pass Through Trust | 4.150% | 10/11/25 | 8,304 | 8,757 |
| 1 Continental Airlines 2012-2 Class A Pass Through Trust | 4.000% | 4/29/26 | 4,132 | 4,347 |
60
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| CSX Corp. | 3.700% | 11/1/23 | 3,075 | 3,269 |
| CSX Corp. | 3.400% | 8/1/24 | 8,677 | 8,896 |
| CSX Corp. | 3.350% | 11/1/25 | 7,310 | 7,616 |
| CSX Corp. | 2.600% | 11/1/26 | 10,251 | 9,867 |
| CSX Corp. | 3.250% | 6/1/27 | 9,550 | 9,564 |
| 1 CSX Transportation Inc. | 6.251% | 1/15/23 | 28 | 32 |
| 1 Delta Air Lines 2015-1 Class AA Pass Through Trust | 3.625% | 7/30/27 | 343 | 354 |
| FedEx Corp. | 2.700% | 4/15/23 | 1,700 | 1,705 |
| FedEx Corp. | 4.000% | 1/15/24 | 6,170 | 6,642 |
| FedEx Corp. | 3.200% | 2/1/25 | 6,579 | 6,739 |
| FedEx Corp. | 3.250% | 4/1/26 | 10,736 | 10,944 |
| FedEx Corp. | 3.300% | 3/15/27 | 3,070 | 3,117 |
| JB Hunt Transport Services Inc. | 3.300% | 8/15/22 | 150 | 154 |
| Kansas City Southern | 3.000% | 5/15/23 | 5,575 | 5,649 |
| Norfolk Southern Corp. | 2.903% | 2/15/23 | 7,236 | 7,364 |
| Norfolk Southern Corp. | 3.850% | 1/15/24 | 2,635 | 2,811 |
| Norfolk Southern Corp. | 5.590% | 5/17/25 | 3,270 | 3,796 |
| Norfolk Southern Corp. | 2.900% | 6/15/26 | 6,660 | 6,628 |
| Norfolk Southern Corp. | 7.800% | 5/15/27 | 3,692 | 4,997 |
| Norfolk Southern Corp. | 3.150% | 6/1/27 | 5,500 | 5,577 |
| Southwest Airlines Co. | 3.000% | 11/15/26 | 3,500 | 3,436 |
| 1 Southwest Airlines Co. 2007-1 Pass Through Trust | 6.150% | 2/1/24 | 1,096 | 1,217 |
| Trinity Industries Inc. | 4.550% | 10/1/24 | 3,090 | 3,103 |
| Union Pacific Corp. | 2.950% | 1/15/23 | 3,957 | 4,082 |
| Union Pacific Corp. | 2.750% | 4/15/23 | 2,065 | 2,076 |
| Union Pacific Corp. | 3.646% | 2/15/24 | 6,350 | 6,764 |
| Union Pacific Corp. | 3.750% | 3/15/24 | 5,570 | 5,962 |
| Union Pacific Corp. | 3.250% | 1/15/25 | 3,757 | 3,866 |
| Union Pacific Corp. | 3.250% | 8/15/25 | 6,204 | 6,445 |
| Union Pacific Corp. | 2.750% | 3/1/26 | 9,408 | 9,399 |
| Union Pacific Corp. | 3.000% | 4/15/27 | 5,675 | 5,759 |
| 1 United Airlines 2013-1 Class A Pass Through Trust | 4.300% | 2/15/27 | 6,712 | 7,180 |
| 1 United Airlines 2014-1 Class A Pass Through Trust | 4.000% | 10/11/27 | 5,593 | 5,895 |
| 1 United Airlines 2014-2 Class A Pass Through Trust | 3.750% | 3/3/28 | 6,365 | 6,527 |
| United Parcel Service Inc. | 2.450% | 10/1/22 | 11,544 | 11,706 |
| United Parcel Service Inc. | 2.400% | 11/15/26 | 8,331 | 8,140 |
| 1 US Airways 2012-1 Class A Pass Through Trust | 5.900% | 4/1/26 | 882 | 996 |
| 1 US Airways 2013-1 Class A Pass Through Trust | 3.950% | 5/15/27 | 2,860 | 2,980 |
| 1 US Airways Inc. 2012-2 Class A Pass Through Trust | 4.625% | 12/3/26 | 1,753 | 1,875 |
| | | | | 10,910,828 |
| Utilities (4.9%) | | | | |
| Electric (4.4%) | | | | |
| AEP Transmission Co. LLC | 3.100% | 12/1/26 | 5,755 | 5,823 |
| Alabama Power Co. | 3.550% | 12/1/23 | 7,325 | 7,772 |
| Ameren Corp. | 3.650% | 2/15/26 | 1,450 | 1,510 |
| Ameren Illinois Co. | 2.700% | 9/1/22 | 2,920 | 2,982 |
| Ameren Illinois Co. | 3.250% | 3/1/25 | 5,691 | 5,893 |
| American Electric Power Co. Inc. | 2.950% | 12/15/22 | 4,851 | 4,979 |
| Appalachian Power Co. | 3.400% | 6/1/25 | 1,275 | 1,322 |
| Appalachian Power Co. | 3.300% | 6/1/27 | 3,400 | 3,479 |
| Arizona Public Service Co. | 3.150% | 5/15/25 | 3,565 | 3,630 |
| Baltimore Gas & Electric Co. | 3.350% | 7/1/23 | 3,425 | 3,564 |
| Baltimore Gas & Electric Co. | 2.400% | 8/15/26 | 3,225 | 3,101 |
| Berkshire Hathaway Energy Co. | 3.750% | 11/15/23 | 8,485 | 9,016 |
| Berkshire Hathaway Energy Co. | 3.500% | 2/1/25 | 4,725 | 4,915 |
| Black Hills Corp. | 4.250% | 11/30/23 | 1,000 | 1,066 |
| Black Hills Corp. | 3.950% | 1/15/26 | 3,720 | 3,881 |
| Black Hills Corp. | 3.150% | 1/15/27 | 1,900 | 1,874 |
| CenterPoint Energy Houston Electric LLC | 2.400% | 9/1/26 | 1,840 | 1,776 |
| CenterPoint Energy Houston Electric LLC | 3.000% | 2/1/27 | 3,351 | 3,380 |
| CenterPoint Energy Inc. | 2.500% | 9/1/22 | 3,300 | 3,318 |
| Cleco Corporate Holdings LLC | 3.743% | 5/1/26 | 10,356 | 10,579 |
| Cleveland Electric Illuminating Co. | 5.500% | 8/15/24 | 2,900 | 3,355 |
61
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| CMS Energy Corp. | 3.000% | 5/15/26 | 2,670 | 2,655 |
| CMS Energy Corp. | 3.450% | 8/15/27 | 575 | 589 |
| Commonwealth Edison Co. | 2.550% | 6/15/26 | 6,100 | 5,976 |
| Commonwealth Edison Co. | 2.950% | 8/15/27 | 4,300 | 4,332 |
| Connecticut Light & Power Co. | 2.500% | 1/15/23 | 4,475 | 4,491 |
| Connecticut Light & Power Co. | 3.200% | 3/15/27 | 5,400 | 5,551 |
| Consumers Energy Co. | 3.375% | 8/15/23 | 3,560 | 3,756 |
| Delmarva Power & Light Co. | 3.500% | 11/15/23 | 4,249 | 4,477 |
| Dominion Energy Inc. | 2.750% | 9/15/22 | 2,684 | 2,707 |
| Dominion Energy Inc. | 3.625% | 12/1/24 | 4,735 | 4,916 |
| Dominion Energy Inc. | 3.900% | 10/1/25 | 8,562 | 9,027 |
| Dominion Energy Inc. | 2.850% | 8/15/26 | 9,550 | 9,283 |
| 1 Dominion Energy Inc. | 5.750% | 10/1/54 | 4,975 | 5,394 |
| DTE Electric Co. | 3.650% | 3/15/24 | 8,725 | 9,270 |
| DTE Electric Co. | 3.375% | 3/1/25 | 3,661 | 3,819 |
| DTE Energy Co. | 3.850% | 12/1/23 | 2,225 | 2,356 |
| DTE Energy Co. | 3.500% | 6/1/24 | 3,100 | 3,190 |
| DTE Energy Co. | 2.850% | 10/1/26 | 7,975 | 7,737 |
| DTE Energy Co. | 3.800% | 3/15/27 | 5,300 | 5,527 |
| Duke Energy Carolinas LLC | 2.500% | 3/15/23 | 4,524 | 4,584 |
| Duke Energy Carolinas LLC | 2.950% | 12/1/26 | 6,330 | 6,395 |
| Duke Energy Corp. | 3.950% | 10/15/23 | 4,700 | 5,008 |
| Duke Energy Corp. | 3.750% | 4/15/24 | 12,392 | 13,134 |
| Duke Energy Corp. | 2.650% | 9/1/26 | 16,256 | 15,721 |
| Duke Energy Corp. | 3.150% | 8/15/27 | 9,000 | 9,036 |
| Duke Energy Florida LLC | 3.200% | 1/15/27 | 7,500 | 7,707 |
| Duke Energy Ohio Inc. | 3.800% | 9/1/23 | 5,886 | 6,287 |
| Duke Energy Progress LLC | 3.250% | 8/15/25 | 6,740 | 6,997 |
| Edison International | 2.950% | 3/15/23 | 2,711 | 2,760 |
| Emera US Finance LP | 3.550% | 6/15/26 | 11,421 | 11,609 |
| Enel Americas SA | 4.000% | 10/25/26 | 2,155 | 2,233 |
| Enel Generacion Chile SA | 4.250% | 4/15/24 | 2,200 | 2,309 |
| Entergy Arkansas Inc. | 3.700% | 6/1/24 | 2,350 | 2,483 |
| Entergy Arkansas Inc. | 3.500% | 4/1/26 | 5,545 | 5,799 |
| Entergy Corp. | 2.950% | 9/1/26 | 6,875 | 6,730 |
| Entergy Gulf States Louisiana LLC | 5.590% | 10/1/24 | 2,785 | 3,251 |
| Entergy Louisiana LLC | 4.050% | 9/1/23 | 5,150 | 5,583 |
| Entergy Louisiana LLC | 5.400% | 11/1/24 | 3,815 | 4,437 |
| Entergy Louisiana LLC | 2.400% | 10/1/26 | 10,300 | 9,938 |
| Entergy Louisiana LLC | 3.120% | 9/1/27 | 4,000 | 4,086 |
| Eversource Energy | 2.800% | 5/1/23 | 3,585 | 3,633 |
| Eversource Energy | 3.150% | 1/15/25 | 3,330 | 3,391 |
| Exelon Corp. | 3.950% | 6/15/25 | 14,403 | 15,220 |
| Exelon Corp. | 3.400% | 4/15/26 | 9,121 | 9,269 |
| FirstEnergy Corp. | 4.250% | 3/15/23 | 12,300 | 13,061 |
| FirstEnergy Corp. | 3.900% | 7/15/27 | 17,130 | 17,463 |
| Florida Power & Light Co. | 2.750% | 6/1/23 | 2,150 | 2,207 |
| Florida Power & Light Co. | 3.250% | 6/1/24 | 4,570 | 4,772 |
| Florida Power & Light Co. | 3.125% | 12/1/25 | 10,856 | 11,233 |
| Fortis Inc. | 3.055% | 10/4/26 | 24,975 | 24,413 |
| Georgia Power Co. | 3.250% | 4/1/26 | 3,050 | 3,091 |
| Georgia Power Co. | 3.250% | 3/30/27 | 3,288 | 3,325 |
| Gulf Power Co. | 3.300% | 5/30/27 | 5,225 | 5,387 |
| Indiana Michigan Power Co. | 3.200% | 3/15/23 | 2,105 | 2,130 |
| ITC Holdings Corp. | 4.050% | 7/1/23 | 1,925 | 2,027 |
| ITC Holdings Corp. | 3.650% | 6/15/24 | 4,045 | 4,202 |
| ITC Holdings Corp. | 3.250% | 6/30/26 | 6,540 | 6,554 |
| Kansas City Power & Light Co. | 3.150% | 3/15/23 | 6,120 | 6,281 |
| Kansas City Power & Light Co. | 3.650% | 8/15/25 | 400 | 409 |
| Louisville Gas & Electric Co. | 3.300% | 10/1/25 | 1,700 | 1,759 |
| MidAmerican Energy Co. | 3.500% | 10/15/24 | 5,690 | 5,997 |
| MidAmerican Energy Co. | 3.100% | 5/1/27 | 3,800 | 3,879 |
| National Rural Utilities Cooperative Finance Corp. | 2.700% | 2/15/23 | 5,995 | 6,057 |
| National Rural Utilities Cooperative Finance Corp. | 3.400% | 11/15/23 | 875 | 919 |
62
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| National Rural Utilities Cooperative Finance Corp. | 2.950% | 2/7/24 | 10,500 | 10,673 |
| National Rural Utilities Cooperative Finance Corp. | 2.850% | 1/27/25 | 4,562 | 4,592 |
| National Rural Utilities Cooperative Finance Corp. | 3.250% | 11/1/25 | 6,178 | 6,360 |
| National Rural Utilities Cooperative Finance Corp. | 3.050% | 4/25/27 | 4,000 | 4,055 |
| 1 National Rural Utilities Cooperative Finance Corp. | 4.750% | 4/30/43 | 1,850 | 1,906 |
| 1 National Rural Utilities Cooperative Finance Corp. | 5.250% | 4/20/46 | 3,125 | 3,341 |
| NextEra Energy Capital Holdings Inc. | 3.550% | 5/1/27 | 14,400 | 14,958 |
| Northern States Power Co. | 2.600% | 5/15/23 | 4,185 | 4,217 |
| NSTAR Electric Co. | 2.375% | 10/15/22 | 2,000 | 2,011 |
| NSTAR Electric Co. | 3.200% | 5/15/27 | 4,800 | 4,916 |
| Oncor Electric Delivery Co. LLC | 7.000% | 9/1/22 | 6,531 | 7,885 |
| Oncor Electric Delivery Co. LLC | 2.950% | 4/1/25 | 2,650 | 2,666 |
| Pacific Gas & Electric Co. | 3.250% | 6/15/23 | 3,725 | 3,875 |
| Pacific Gas & Electric Co. | 3.850% | 11/15/23 | 2,113 | 2,264 |
| Pacific Gas & Electric Co. | 3.750% | 2/15/24 | 6,081 | 6,492 |
| Pacific Gas & Electric Co. | 3.400% | 8/15/24 | 4,561 | 4,770 |
| Pacific Gas & Electric Co. | 3.500% | 6/15/25 | 5,896 | 6,177 |
| Pacific Gas & Electric Co. | 2.950% | 3/1/26 | 9,990 | 10,086 |
| Pacific Gas & Electric Co. | 3.300% | 3/15/27 | 2,900 | 2,988 |
| PacifiCorp | 2.950% | 6/1/23 | 1,550 | 1,605 |
| PacifiCorp | 3.600% | 4/1/24 | 2,650 | 2,807 |
| PacifiCorp | 3.350% | 7/1/25 | 4,710 | 4,897 |
| PECO Energy Co. | 2.375% | 9/15/22 | 5,204 | 5,231 |
| PECO Energy Co. | 3.150% | 10/15/25 | 1,265 | 1,296 |
| Potomac Electric Power Co. | 3.600% | 3/15/24 | 3,700 | 3,913 |
| PPL Capital Funding Inc. | 3.500% | 12/1/22 | 2,695 | 2,816 |
| PPL Capital Funding Inc. | 3.400% | 6/1/23 | 7,399 | 7,678 |
| PPL Capital Funding Inc. | 3.950% | 3/15/24 | 2,363 | 2,502 |
| PPL Capital Funding Inc. | 3.100% | 5/15/26 | 12,601 | 12,570 |
| Public Service Co. of Colorado | 2.250% | 9/15/22 | 2,985 | 2,996 |
| Public Service Co. of New Hampshire | 3.500% | 11/1/23 | 2,550 | 2,698 |
| Public Service Electric & Gas Co. | 2.375% | 5/15/23 | 5,027 | 5,019 |
| Public Service Electric & Gas Co. | 3.000% | 5/15/25 | 3,749 | 3,818 |
| Public Service Electric & Gas Co. | 2.250% | 9/15/26 | 6,175 | 5,905 |
| Public Service Electric & Gas Co. | 3.000% | 5/15/27 | 5,000 | 5,083 |
| Puget Energy Inc. | 3.650% | 5/15/25 | 4,920 | 5,059 |
| San Diego Gas & Electric Co. | 3.600% | 9/1/23 | 3,200 | 3,392 |
| San Diego Gas & Electric Co. | 2.500% | 5/15/26 | 8,025 | 7,863 |
| Scottish Power Ltd. | 5.810% | 3/15/25 | 1,760 | 2,023 |
| Sierra Pacific Power Co. | 3.375% | 8/15/23 | 750 | 785 |
| Sierra Pacific Power Co. | 2.600% | 5/1/26 | 4,700 | 4,613 |
| Southern California Edison Co. | 3.500% | 10/1/23 | 4,556 | 4,807 |
| Southern Co. | 2.950% | 7/1/23 | 19,371 | 19,635 |
| Southern Co. | 3.250% | 7/1/26 | 13,508 | 13,485 |
| Southern Power Co. | 4.150% | 12/1/25 | 4,125 | 4,381 |
| Southwestern Electric Power Co. | 2.750% | 10/1/26 | 4,550 | 4,449 |
| Southwestern Public Service Co. | 3.300% | 6/15/24 | 4,050 | 4,209 |
| TransAlta Corp. | 4.500% | 11/15/22 | 6,594 | 6,714 |
| Tucson Electric Power Co. | 3.050% | 3/15/25 | 2,750 | 2,744 |
| Union Electric Co. | 3.500% | 4/15/24 | 4,550 | 4,780 |
| Union Electric Co. | 2.950% | 6/15/27 | 5,300 | 5,335 |
| Virginia Electric & Power Co. | 3.450% | 9/1/22 | 2,465 | 2,588 |
| Virginia Electric & Power Co. | 2.750% | 3/15/23 | 5,242 | 5,321 |
| Virginia Electric & Power Co. | 3.450% | 2/15/24 | 2,180 | 2,278 |
| Virginia Electric & Power Co. | 3.100% | 5/15/25 | 2,752 | 2,808 |
| Virginia Electric & Power Co. | 3.150% | 1/15/26 | 9,061 | 9,260 |
| Virginia Electric & Power Co. | 2.950% | 11/15/26 | 9,230 | 9,287 |
| Virginia Electric & Power Co. | 3.500% | 3/15/27 | 9,800 | 10,276 |
| WEC Energy Group Inc. | 3.550% | 6/15/25 | 4,826 | 5,022 |
| Westar Energy Inc. | 2.550% | 7/1/26 | 5,474 | 5,362 |
| Westar Energy Inc. | 3.100% | 4/1/27 | 2,857 | 2,911 |
| Xcel Energy Inc. | 3.300% | 6/1/25 | 6,480 | 6,653 |
| Xcel Energy Inc. | 3.350% | 12/1/26 | 6,170 | 6,332 |
63
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Natural Gas (0.4%) | | | | |
| Atmos Energy Corp. | 3.000% | 6/15/27 | 5,500 | 5,564 |
| NiSource Finance Corp. | 3.490% | 5/15/27 | 11,400 | 11,662 |
| ONE Gas Inc. | 3.610% | 2/1/24 | 1,500 | 1,571 |
| Sempra Energy | 2.875% | 10/1/22 | 4,743 | 4,810 |
| Sempra Energy | 4.050% | 12/1/23 | 6,472 | 6,918 |
| Sempra Energy | 3.550% | 6/15/24 | 5,124 | 5,307 |
| Sempra Energy | 3.750% | 11/15/25 | 3,852 | 4,017 |
| Sempra Energy | 3.250% | 6/15/27 | 8,850 | 8,826 |
| Southern California Gas Co. | 3.150% | 9/15/24 | 4,350 | 4,505 |
| Southern California Gas Co. | 3.200% | 6/15/25 | 1,700 | 1,754 |
| Southern California Gas Co. | 2.600% | 6/15/26 | 8,840 | 8,702 |
| Southern Co. Gas Capital Corp. | 2.450% | 10/1/23 | 4,585 | 4,512 |
| Southern Co. Gas Capital Corp. | 3.875% | 11/15/25 | 1,975 | 2,033 |
| Southern Co. Gas Capital Corp. | 3.250% | 6/15/26 | 2,875 | 2,872 |
| Other Utility (0.1%) | | | | |
| American Water Capital Corp. | 3.850% | 3/1/24 | 3,366 | 3,590 |
| American Water Capital Corp. | 3.400% | 3/1/25 | 6,130 | 6,402 |
| American Water Capital Corp. | 2.950% | 9/1/27 | 2,500 | 2,508 |
| |
| | | | | 898,025 |
| |
| Total Corporate Bonds (Cost $17,641,279) | | | | 18,023,498 |
| |
| Taxable Municipal Bonds (0.0%) | | | | |
| George Washington University District of Columbia GO | 3.485% | 9/15/22 | 1,450 | 1,528 |
| |
| Total Taxable Municipal Bonds (Cost $1,482) | | | | 1,528 |
| |
| |
| | | | Shares | |
| |
| Temporary Cash Investment (0.2%) | | | | |
| Money Market Fund (0.2%) | | | | |
| 3 Vanguard Market Liquidity Fund (Cost | | | | |
| $31,382) | 1.224% | | 313,763 | 31,383 |
| |
| Total Investments (99.0%) (Cost $17,721,629) | | | | 18,103,905 |
| Other Assets and Liabilities—Net (1.0%)4 | | | | 181,430 |
| Net Assets (100%) | | | | 18,285,335 |
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 August 31, 2017, the aggregate value of these securities was $498,646,000,
representing 2.7% 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 with a value of $652,000 have been segregated as initial margin for recently closed futures contracts.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.
64
| | | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | | Face | Market |
| | | | Maturity | Amount | Value |
| | | Coupon | Date | ($000) | ($000) |
| |
| U.S. Government and Agency Obligations (0.0%) | | | | |
| U.S. Government Securities (0.0%) | | | | |
| | United States Treasury Note/Bond (Cost $58) | 3.000% | 5/15/47 | 55 | 58 |
| |
| Corporate Bonds (98.2%) | | | | |
| Finance (17.2%) | | | | |
| | Banking (9.8%) | | | | |
| | American Express Co. | 4.050% | 12/3/42 | 1,472 | 1,501 |
| | Bank of America Corp. | 3.248% | 10/21/27 | 5,522 | 5,412 |
| | Bank of America Corp. | 4.183% | 11/25/27 | 2,817 | 2,906 |
| | Bank of America Corp. | 6.750% | 6/1/28 | 575 | 720 |
| | Bank of America Corp. | 6.110% | 1/29/37 | 3,588 | 4,488 |
| 1 | Bank of America Corp. | 4.244% | 4/24/38 | 4,350 | 4,569 |
| | Bank of America Corp. | 7.750% | 5/14/38 | 3,898 | 5,697 |
| | Bank of America Corp. | 5.875% | 2/7/42 | 2,675 | 3,425 |
| | Bank of America Corp. | 5.000% | 1/21/44 | 3,935 | 4,527 |
| | Bank of America Corp. | 4.875% | 4/1/44 | 1,447 | 1,642 |
| | Bank of America Corp. | 4.750% | 4/21/45 | 585 | 636 |
| 1 | Bank of America Corp. | 4.443% | 1/20/48 | 2,120 | 2,276 |
| | Bank of America NA | 6.000% | 10/15/36 | 1,492 | 1,896 |
| | Bank of New York Mellon Corp. | 3.000% | 10/30/28 | 840 | 828 |
| | Bank of New York Mellon Corp. | 3.300% | 8/23/29 | 1,300 | 1,301 |
| | Bank One Capital III | 8.750% | 9/1/30 | 783 | 1,148 |
| | Barclays plc | 4.337% | 1/10/28 | 3,445 | 3,592 |
| | Barclays plc | 4.836% | 5/9/28 | 3,490 | 3,627 |
| | Barclays plc | 5.250% | 8/17/45 | 1,490 | 1,701 |
| | Barclays plc | 4.950% | 1/10/47 | 2,375 | 2,590 |
| | Citigroup Inc. | 4.450% | 9/29/27 | 5,926 | 6,265 |
| | Citigroup Inc. | 6.625% | 1/15/28 | 200 | 244 |
| | Citigroup Inc. | 4.125% | 7/25/28 | 3,016 | 3,105 |
| | Citigroup Inc. | 6.625% | 6/15/32 | 2,423 | 3,076 |
| | Citigroup Inc. | 6.000% | 10/31/33 | 1,280 | 1,556 |
| | Citigroup Inc. | 6.125% | 8/25/36 | 1,098 | 1,346 |
| | Citigroup Inc. | 8.125% | 7/15/39 | 3,512 | 5,468 |
| | Citigroup Inc. | 5.875% | 1/30/42 | 1,226 | 1,550 |
| | Citigroup Inc. | 6.675% | 9/13/43 | 1,490 | 2,016 |
| | Citigroup Inc. | 5.300% | 5/6/44 | 1,950 | 2,253 |
| | Citigroup Inc. | 4.650% | 7/30/45 | 2,100 | 2,311 |
| | Citigroup Inc. | 4.750% | 5/18/46 | 3,050 | 3,278 |
| 1 | Citigroup Inc. | 4.281% | 4/24/48 | 1,600 | 1,673 |
| | Cooperatieve Rabobank UA | 5.250% | 5/24/41 | 2,455 | 3,022 |
| | Cooperatieve Rabobank UA | 5.750% | 12/1/43 | 3,295 | 4,140 |
| | Cooperatieve Rabobank UA | 5.250% | 8/4/45 | 1,119 | 1,324 |
| 2 | Credit Suisse Group AG | 4.282% | 1/9/28 | 1,060 | 1,111 |
| | Credit Suisse Group Funding Guernsey Ltd. | 4.875% | 5/15/45 | 2,802 | 3,141 |
| | Credit Suisse USA Inc. | 7.125% | 7/15/32 | 1,265 | 1,767 |
| | Fifth Third Bancorp | 8.250% | 3/1/38 | 1,377 | 2,107 |
| | First Republic Bank | 4.375% | 8/1/46 | 450 | 449 |
| | First Republic Bank | 4.625% | 2/13/47 | 1,000 | 1,039 |
| | Goldman Sachs Capital I | 6.345% | 2/15/34 | 2,181 | 2,734 |
| | Goldman Sachs Group Inc. | 6.125% | 2/15/33 | 4,264 | 5,371 |
| | Goldman Sachs Group Inc. | 6.450% | 5/1/36 | 1,831 | 2,345 |
| | Goldman Sachs Group Inc. | 6.750% | 10/1/37 | 9,545 | 12,537 |
| | Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 4,573 | 6,039 |
| | Goldman Sachs Group Inc. | 4.800% | 7/8/44 | 3,701 | 4,125 |
| | Goldman Sachs Group Inc. | 5.150% | 5/22/45 | 2,640 | 2,994 |
| | Goldman Sachs Group Inc. | 4.750% | 10/21/45 | 2,823 | 3,147 |
| | HSBC Bank USA NA | 5.875% | 11/1/34 | 1,885 | 2,346 |
| | HSBC Bank USA NA | 5.625% | 8/15/35 | 1,420 | 1,729 |
| | HSBC Bank USA NA | 7.000% | 1/15/39 | 1,175 | 1,654 |
| | HSBC Holdings plc | 7.625% | 5/17/32 | 945 | 1,288 |
| | HSBC Holdings plc | 6.500% | 5/2/36 | 2,675 | 3,466 |
| | HSBC Holdings plc | 6.500% | 9/15/37 | 5,425 | 7,088 |
65
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| HSBC Holdings plc | 6.800% | 6/1/38 | 2,303 | 3,112 |
| HSBC Holdings plc | 6.100% | 1/14/42 | 840 | 1,126 |
| HSBC Holdings plc | 5.250% | 3/14/44 | 3,147 | 3,646 |
| JPMorgan Chase & Co. | 4.250% | 10/1/27 | 2,523 | 2,675 |
| JPMorgan Chase & Co. | 3.625% | 12/1/27 | 1,220 | 1,231 |
| JPMorgan Chase & Co. | 6.400% | 5/15/38 | 3,859 | 5,151 |
| 1 JPMorgan Chase & Co. | 3.882% | 7/24/38 | 4,575 | 4,598 |
| JPMorgan Chase & Co. | 5.500% | 10/15/40 | 2,656 | 3,255 |
| JPMorgan Chase & Co. | 5.600% | 7/15/41 | 2,866 | 3,569 |
| JPMorgan Chase & Co. | 5.400% | 1/6/42 | 2,425 | 2,956 |
| JPMorgan Chase & Co. | 5.625% | 8/16/43 | 2,475 | 3,022 |
| JPMorgan Chase & Co. | 4.850% | 2/1/44 | 1,665 | 1,920 |
| JPMorgan Chase & Co. | 4.950% | 6/1/45 | 3,091 | 3,488 |
| 1 JPMorgan Chase & Co. | 4.260% | 2/22/48 | 3,745 | 3,936 |
| 1 JPMorgan Chase & Co. | 4.032% | 7/24/48 | 2,600 | 2,635 |
| KeyBank NA | 6.950% | 2/1/28 | 256 | 327 |
| Lloyds Banking Group plc | 5.300% | 12/1/45 | 645 | 757 |
| Morgan Stanley | 7.250% | 4/1/32 | 1,530 | 2,116 |
| 1 Morgan Stanley | 3.971% | 7/22/38 | 3,250 | 3,275 |
| Morgan Stanley | 6.375% | 7/24/42 | 3,581 | 4,820 |
| Morgan Stanley | 4.300% | 1/27/45 | 4,796 | 4,997 |
| Morgan Stanley | 4.375% | 1/22/47 | 4,325 | 4,584 |
| Regions Bank | 6.450% | 6/26/37 | 947 | 1,188 |
| Regions Financial Corp. | 7.375% | 12/10/37 | 358 | 482 |
| Wachovia Bank NA | 5.850% | 2/1/37 | 1,420 | 1,776 |
| Wachovia Corp. | 7.500% | 4/15/35 | 445 | 616 |
| Wachovia Corp. | 5.500% | 8/1/35 | 1,278 | 1,511 |
| Wachovia Corp. | 6.550% | 10/15/35 | 25 | 31 |
| Wells Fargo & Co. | 5.375% | 2/7/35 | 1,110 | 1,337 |
| Wells Fargo & Co. | 5.375% | 11/2/43 | 3,449 | 4,025 |
| Wells Fargo & Co. | 5.606% | 1/15/44 | 4,267 | 5,137 |
| Wells Fargo & Co. | 4.650% | 11/4/44 | 3,502 | 3,723 |
| Wells Fargo & Co. | 3.900% | 5/1/45 | 3,420 | 3,464 |
| Wells Fargo & Co. | 4.900% | 11/17/45 | 3,637 | 4,001 |
| Wells Fargo & Co. | 4.400% | 6/14/46 | 4,031 | 4,175 |
| Wells Fargo & Co. | 4.750% | 12/7/46 | 3,208 | 3,472 |
| Wells Fargo Bank NA | 5.950% | 8/26/36 | 895 | 1,150 |
| Wells Fargo Bank NA | 6.600% | 1/15/38 | 2,525 | 3,488 |
| 1 Wells Fargo Capital X | 5.950% | 12/1/86 | 1,350 | 1,526 |
| Brokerage (0.3%) | | | | |
| CME Group Inc. | 5.300% | 9/15/43 | 1,320 | 1,673 |
| Intercontinental Exchange Inc. | 3.100% | 9/15/27 | 600 | 603 |
| Invesco Finance plc | 5.375% | 11/30/43 | 845 | 1,028 |
| Jefferies Group LLC | 6.250% | 1/15/36 | 835 | 915 |
| Jefferies Group LLC | 6.500% | 1/20/43 | 708 | 811 |
| Legg Mason Inc. | 5.625% | 1/15/44 | 905 | 984 |
| Raymond James Financial Inc. | 4.950% | 7/15/46 | 1,220 | 1,330 |
| Finance Companies (0.8%) | | | | |
| GATX Corp. | 5.200% | 3/15/44 | 465 | 505 |
| GATX Corp. | 4.500% | 3/30/45 | 355 | 347 |
| GE Capital International Funding Co. | 4.418% | 11/15/35 | 19,642 | 21,370 |
| Insurance (5.7%) | | | | |
| ACE Capital Trust II | 9.700% | 4/1/30 | 397 | 600 |
| Aetna Inc. | 6.625% | 6/15/36 | 1,605 | 2,208 |
| Aetna Inc. | 6.750% | 12/15/37 | 815 | 1,140 |
| Aetna Inc. | 4.500% | 5/15/42 | 789 | 881 |
| Aetna Inc. | 4.125% | 11/15/42 | 750 | 783 |
| Aetna Inc. | 4.750% | 3/15/44 | 550 | 632 |
| Aetna Inc. | 3.875% | 8/15/47 | 1,400 | 1,429 |
| Aflac Inc. | 4.000% | 10/15/46 | 525 | 528 |
| Alleghany Corp. | 4.900% | 9/15/44 | 454 | 488 |
| Allstate Corp. | 5.350% | 6/1/33 | 806 | 939 |
| Allstate Corp. | 5.550% | 5/9/35 | 590 | 725 |
66
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Allstate Corp. | 5.950% | 4/1/36 | 985 | 1,283 |
| Allstate Corp. | 4.500% | 6/15/43 | 855 | 958 |
| Allstate Corp. | 4.200% | 12/15/46 | 834 | 887 |
| 1 Allstate Corp. | 6.500% | 5/15/67 | 800 | 951 |
| American Financial Group Inc. | 4.500% | 6/15/47 | 470 | 495 |
| American International Group Inc. | 3.875% | 1/15/35 | 2,678 | 2,634 |
| American International Group Inc. | 4.700% | 7/10/35 | 1,073 | 1,171 |
| American International Group Inc. | 6.250% | 5/1/36 | 1,120 | 1,412 |
| American International Group Inc. | 4.500% | 7/16/44 | 3,479 | 3,607 |
| American International Group Inc. | 4.800% | 7/10/45 | 1,575 | 1,707 |
| American International Group Inc. | 4.375% | 1/15/55 | 1,265 | 1,253 |
| 1 American International Group Inc. | 8.175% | 5/15/68 | 675 | 925 |
| Anthem Inc. | 5.950% | 12/15/34 | 818 | 1,000 |
| Anthem Inc. | 5.850% | 1/15/36 | 1,220 | 1,503 |
| Anthem Inc. | 6.375% | 6/15/37 | 1,020 | 1,336 |
| Anthem Inc. | 4.625% | 5/15/42 | 1,606 | 1,750 |
| Anthem Inc. | 4.650% | 1/15/43 | 1,490 | 1,637 |
| Anthem Inc. | 5.100% | 1/15/44 | 825 | 961 |
| Anthem Inc. | 4.650% | 8/15/44 | 1,200 | 1,315 |
| Anthem Inc. | 4.850% | 8/15/54 | 675 | 762 |
| Aon Corp. | 6.250% | 9/30/40 | 485 | 630 |
| Aon plc | 4.600% | 6/14/44 | 875 | 930 |
| Aon plc | 4.750% | 5/15/45 | 1,250 | 1,382 |
| Arch Capital Finance LLC | 5.031% | 12/15/46 | 1,025 | 1,159 |
| Arch Capital Group Ltd. | 7.350% | 5/1/34 | 375 | 507 |
| Arch Capital Group US Inc. | 5.144% | 11/1/43 | 760 | 875 |
| Assurant Inc. | 6.750% | 2/15/34 | 734 | 926 |
| AXA Financial Inc. | 7.000% | 4/1/28 | 1,000 | 1,291 |
| AXA SA | 8.600% | 12/15/30 | 1,978 | 2,848 |
| Berkshire Hathaway Finance Corp. | 5.750% | 1/15/40 | 994 | 1,283 |
| Berkshire Hathaway Finance Corp. | 4.400% | 5/15/42 | 1,325 | 1,457 |
| Berkshire Hathaway Finance Corp. | 4.300% | 5/15/43 | 970 | 1,053 |
| Berkshire Hathaway Inc. | 4.500% | 2/11/43 | 1,665 | 1,858 |
| 2 Brighthouse Financial Inc. | 4.700% | 6/22/47 | 2,835 | 2,783 |
| Chubb Corp. | 6.000% | 5/11/37 | 1,170 | 1,539 |
| Chubb Corp. | 6.500% | 5/15/38 | 1,005 | 1,406 |
| Chubb INA Holdings Inc. | 6.700% | 5/15/36 | 990 | 1,379 |
| Chubb INA Holdings Inc. | 4.150% | 3/13/43 | 743 | 793 |
| Chubb INA Holdings Inc. | 4.350% | 11/3/45 | 2,710 | 2,985 |
| Cigna Corp. | 6.150% | 11/15/36 | 705 | 911 |
| Cigna Corp. | 5.875% | 3/15/41 | 475 | 614 |
| Cigna Corp. | 5.375% | 2/15/42 | 1,450 | 1,769 |
| Cincinnati Financial Corp. | 6.920% | 5/15/28 | 775 | 1,017 |
| Cincinnati Financial Corp. | 6.125% | 11/1/34 | 569 | 708 |
| Endurance Specialty Holdings Ltd. | 7.000% | 7/15/34 | 595 | 733 |
| Everest Reinsurance Holdings Inc. | 4.868% | 6/1/44 | 690 | 737 |
| Hartford Financial Services Group Inc. | 5.950% | 10/15/36 | 366 | 464 |
| Hartford Financial Services Group Inc. | 6.100% | 10/1/41 | 865 | 1,130 |
| Hartford Financial Services Group Inc. | 4.300% | 4/15/43 | 475 | 502 |
| Humana Inc. | 4.625% | 12/1/42 | 736 | 809 |
| Humana Inc. | 4.950% | 10/1/44 | 1,170 | 1,343 |
| Humana Inc. | 4.800% | 3/15/47 | 650 | 730 |
| Lincoln National Corp. | 6.150% | 4/7/36 | 714 | 874 |
| Lincoln National Corp. | 6.300% | 10/9/37 | 575 | 726 |
| Lincoln National Corp. | 7.000% | 6/15/40 | 985 | 1,341 |
| Loews Corp. | 6.000% | 2/1/35 | 678 | 834 |
| Loews Corp. | 4.125% | 5/15/43 | 785 | 786 |
| Manulife Financial Corp. | 5.375% | 3/4/46 | 1,185 | 1,468 |
| Markel Corp. | 5.000% | 4/5/46 | 750 | 831 |
| Marsh & McLennan Cos. Inc. | 5.875% | 8/1/33 | 985 | 1,232 |
| Marsh & McLennan Cos. Inc. | 4.350% | 1/30/47 | 925 | 1,000 |
| MetLife Inc. | 6.500% | 12/15/32 | 800 | 1,052 |
| MetLife Inc. | 6.375% | 6/15/34 | 1,240 | 1,627 |
| MetLife Inc. | 5.700% | 6/15/35 | 1,195 | 1,487 |
67
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| MetLife Inc. | 5.875% | 2/6/41 | 1,091 | 1,389 |
| MetLife Inc. | 4.125% | 8/13/42 | 2,293 | 2,358 |
| MetLife Inc. | 4.875% | 11/13/43 | 2,440 | 2,777 |
| MetLife Inc. | 4.721% | 12/15/44 | 949 | 1,065 |
| MetLife Inc. | 4.050% | 3/1/45 | 1,895 | 1,934 |
| MetLife Inc. | 4.600% | 5/13/46 | 1,299 | 1,433 |
| 1 MetLife Inc. | 6.400% | 12/15/66 | 2,112 | 2,434 |
| 1 MetLife Inc. | 10.750% | 8/1/69 | 510 | 854 |
| 1 Nationwide Financial Services Inc. | 6.750% | 5/15/87 | 640 | 709 |
| Principal Financial Group Inc. | 4.625% | 9/15/42 | 640 | 703 |
| Principal Financial Group Inc. | 4.350% | 5/15/43 | 715 | 756 |
| Principal Financial Group Inc. | 4.300% | 11/15/46 | 1,200 | 1,271 |
| Progressive Corp. | 6.625% | 3/1/29 | 338 | 439 |
| Progressive Corp. | 6.250% | 12/1/32 | 149 | 197 |
| Progressive Corp. | 4.350% | 4/25/44 | 1,025 | 1,121 |
| Progressive Corp. | 3.700% | 1/26/45 | 150 | 149 |
| Progressive Corp. | 4.125% | 4/15/47 | 2,300 | 2,425 |
| Prudential Financial Inc. | 5.750% | 7/15/33 | 763 | 926 |
| Prudential Financial Inc. | 5.400% | 6/13/35 | 353 | 418 |
| Prudential Financial Inc. | 5.900% | 3/17/36 | 320 | 404 |
| Prudential Financial Inc. | 5.700% | 12/14/36 | 1,426 | 1,766 |
| Prudential Financial Inc. | 6.625% | 12/1/37 | 773 | 1,043 |
| Prudential Financial Inc. | 6.625% | 6/21/40 | 1,095 | 1,493 |
| Prudential Financial Inc. | 6.200% | 11/15/40 | 620 | 810 |
| Prudential Financial Inc. | 5.625% | 5/12/41 | 518 | 637 |
| Prudential Financial Inc. | 5.800% | 11/16/41 | 300 | 380 |
| Prudential Financial Inc. | 5.100% | 8/15/43 | 480 | 561 |
| Prudential Financial Inc. | 4.600% | 5/15/44 | 1,491 | 1,648 |
| Transatlantic Holdings Inc. | 8.000% | 11/30/39 | 521 | 716 |
| Travelers Cos. Inc. | 6.750% | 6/20/36 | 955 | 1,339 |
| Travelers Cos. Inc. | 6.250% | 6/15/37 | 1,035 | 1,384 |
| Travelers Cos. Inc. | 5.350% | 11/1/40 | 1,263 | 1,563 |
| Travelers Cos. Inc. | 4.600% | 8/1/43 | 1,028 | 1,180 |
| Travelers Cos. Inc. | 4.300% | 8/25/45 | 800 | 868 |
| Travelers Cos. Inc. | 3.750% | 5/15/46 | 625 | 619 |
| Travelers Cos. Inc. | 4.000% | 5/30/47 | 1,270 | 1,311 |
| Travelers Property Casualty Corp. | 6.375% | 3/15/33 | 600 | 780 |
| UnitedHealth Group Inc. | 4.625% | 7/15/35 | 2,305 | 2,642 |
| UnitedHealth Group Inc. | 5.800% | 3/15/36 | 1,547 | 1,971 |
| UnitedHealth Group Inc. | 6.500% | 6/15/37 | 690 | 951 |
| UnitedHealth Group Inc. | 6.625% | 11/15/37 | 975 | 1,382 |
| UnitedHealth Group Inc. | 6.875% | 2/15/38 | 1,685 | 2,427 |
| UnitedHealth Group Inc. | 5.700% | 10/15/40 | 196 | 248 |
| UnitedHealth Group Inc. | 5.950% | 2/15/41 | 485 | 637 |
| UnitedHealth Group Inc. | 4.625% | 11/15/41 | 1,135 | 1,275 |
| UnitedHealth Group Inc. | 4.375% | 3/15/42 | 498 | 541 |
| UnitedHealth Group Inc. | 3.950% | 10/15/42 | 925 | 954 |
| UnitedHealth Group Inc. | 4.250% | 3/15/43 | 1,015 | 1,094 |
| UnitedHealth Group Inc. | 4.750% | 7/15/45 | 4,357 | 5,067 |
| UnitedHealth Group Inc. | 4.200% | 1/15/47 | 2,225 | 2,390 |
| UnitedHealth Group Inc. | 4.250% | 4/15/47 | 1,400 | 1,516 |
| Unum Group | 5.750% | 8/15/42 | 780 | 941 |
| Voya Financial Inc. | 5.700% | 7/15/43 | 628 | 738 |
| Voya Financial Inc. | 4.800% | 6/15/46 | 457 | 487 |
| WR Berkley Corp. | 6.250% | 2/15/37 | 150 | 188 |
| WR Berkley Corp. | 4.750% | 8/1/44 | 606 | 637 |
| XLIT Ltd. | 5.250% | 12/15/43 | 472 | 533 |
| XLIT Ltd. | 5.500% | 3/31/45 | 940 | 1,031 |
| Real Estate Investment Trusts (0.6%) | | | | |
| Alexandria Real Estate Equities Inc. | 3.950% | 1/15/28 | 1,225 | 1,264 |
| Alexandria Real Estate Equities Inc. | 4.500% | 7/30/29 | 304 | 327 |
| AvalonBay Communities Inc. | 3.900% | 10/15/46 | 1,037 | 1,023 |
| ERP Operating LP | 4.500% | 7/1/44 | 1,295 | 1,391 |
68
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| ERP Operating LP | 4.500% | 6/1/45 | 375 | 404 |
| ERP Operating LP | 4.000% | 8/1/47 | 400 | 404 |
| Federal Realty Investment Trust | 4.500% | 12/1/44 | 990 | 1,055 |
| HCP Inc. | 6.750% | 2/1/41 | 394 | 517 |
| Kilroy Realty LP | 4.250% | 8/15/29 | 650 | 680 |
| Kimco Realty Corp. | 4.250% | 4/1/45 | 825 | 808 |
| Kimco Realty Corp. | 4.125% | 12/1/46 | 525 | 501 |
| Kimco Realty Corp. | 4.450% | 9/1/47 | 200 | 202 |
| Omega Healthcare Investors Inc. | 4.750% | 1/15/28 | 1,500 | 1,526 |
| Realty Income Corp. | 4.650% | 3/15/47 | 1,025 | 1,098 |
| Regency Centers LP | 4.400% | 2/1/47 | 1,100 | 1,121 |
| Simon Property Group LP | 6.750% | 2/1/40 | 820 | 1,131 |
| Simon Property Group LP | 4.750% | 3/15/42 | 1,070 | 1,179 |
| Simon Property Group LP | 4.250% | 10/1/44 | 875 | 901 |
| Simon Property Group LP | 4.250% | 11/30/46 | 1,010 | 1,043 |
| Ventas Realty LP | 5.700% | 9/30/43 | 382 | 457 |
| Ventas Realty LP | 4.375% | 2/1/45 | 388 | 390 |
| Welltower Inc. | 6.500% | 3/15/41 | 549 | 706 |
| | | | | 478,797 |
| Industrial (69.5%) | | | | |
| Basic Industry (4.4%) | | | | |
| Agrium Inc. | 4.125% | 3/15/35 | 1,120 | 1,132 |
| Agrium Inc. | 7.125% | 5/23/36 | 380 | 503 |
| Agrium Inc. | 6.125% | 1/15/41 | 608 | 758 |
| Agrium Inc. | 4.900% | 6/1/43 | 915 | 1,019 |
| Agrium Inc. | 5.250% | 1/15/45 | 1,103 | 1,269 |
| Albemarle Corp. | 5.450% | 12/1/44 | 400 | 473 |
| Barrick Gold Corp. | 5.250% | 4/1/42 | 1,950 | 2,250 |
| Barrick North America Finance LLC | 5.700% | 5/30/41 | 1,410 | 1,700 |
| Barrick North America Finance LLC | 5.750% | 5/1/43 | 1,506 | 1,871 |
| Barrick PD Australia Finance Pty Ltd. | 5.950% | 10/15/39 | 1,661 | 2,035 |
| BHP Billiton Finance USA Ltd. | 4.125% | 2/24/42 | 2,025 | 2,140 |
| BHP Billiton Finance USA Ltd. | 5.000% | 9/30/43 | 4,065 | 4,824 |
| Domtar Corp. | 6.750% | 2/15/44 | 275 | 307 |
| Dow Chemical Co. | 7.375% | 11/1/29 | 1,715 | 2,311 |
| Dow Chemical Co. | 4.250% | 10/1/34 | 1,521 | 1,584 |
| Dow Chemical Co. | 9.400% | 5/15/39 | 1,220 | 2,055 |
| Dow Chemical Co. | 5.250% | 11/15/41 | 1,365 | 1,557 |
| Dow Chemical Co. | 4.375% | 11/15/42 | 2,275 | 2,334 |
| Dow Chemical Co. | 4.625% | 10/1/44 | 1,220 | 1,296 |
| Eastman Chemical Co. | 4.800% | 9/1/42 | 650 | 694 |
| Eastman Chemical Co. | 4.650% | 10/15/44 | 1,770 | 1,878 |
| Ecolab Inc. | 5.500% | 12/8/41 | 1,289 | 1,597 |
| EI du Pont de Nemours & Co. | 6.500% | 1/15/28 | 400 | 505 |
| EI du Pont de Nemours & Co. | 4.900% | 1/15/41 | 1,790 | 2,019 |
| EI du Pont de Nemours & Co. | 4.150% | 2/15/43 | 1,070 | 1,093 |
| Georgia-Pacific LLC | 7.250% | 6/1/28 | 366 | 486 |
| Georgia-Pacific LLC | 7.750% | 11/15/29 | 478 | 675 |
| Georgia-Pacific LLC | 8.875% | 5/15/31 | 665 | 1,053 |
| Goldcorp Inc. | 5.450% | 6/9/44 | 770 | 873 |
| International Flavors & Fragrances Inc. | 4.375% | 6/1/47 | 950 | 995 |
| International Paper Co. | 5.000% | 9/15/35 | 1,163 | 1,301 |
| International Paper Co. | 7.300% | 11/15/39 | 1,288 | 1,769 |
| International Paper Co. | 6.000% | 11/15/41 | 590 | 719 |
| International Paper Co. | 4.800% | 6/15/44 | 1,255 | 1,338 |
| International Paper Co. | 5.150% | 5/15/46 | 750 | 848 |
| International Paper Co. | 4.400% | 8/15/47 | 2,910 | 2,951 |
| International Paper Co. | 4.350% | 8/15/48 | 1,800 | 1,829 |
| Lubrizol Corp. | 6.500% | 10/1/34 | 415 | 554 |
| LYB International Finance BV | 5.250% | 7/15/43 | 975 | 1,101 |
| LYB International Finance BV | 4.875% | 3/15/44 | 2,325 | 2,509 |
| LyondellBasell Industries NV | 4.625% | 2/26/55 | 1,987 | 1,993 |
| Meadwestvaco Corp. | 7.950% | 2/15/31 | 1,100 | 1,564 |
69
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Methanex Corp. | 5.650% | 12/1/44 | 450 | 440 |
| Monsanto Co. | 4.200% | 7/15/34 | 930 | 952 |
| Monsanto Co. | 5.875% | 4/15/38 | 555 | 662 |
| Monsanto Co. | 3.600% | 7/15/42 | 665 | 589 |
| Monsanto Co. | 4.650% | 11/15/43 | 100 | 104 |
| Monsanto Co. | 4.400% | 7/15/44 | 100 | 103 |
| Monsanto Co. | 3.950% | 4/15/45 | 1,475 | 1,425 |
| Monsanto Co. | 4.700% | 7/15/64 | 1,420 | 1,440 |
| Mosaic Co. | 5.450% | 11/15/33 | 975 | 1,018 |
| Mosaic Co. | 4.875% | 11/15/41 | 205 | 194 |
| Mosaic Co. | 5.625% | 11/15/43 | 1,225 | 1,269 |
| Newmont Mining Corp. | 5.875% | 4/1/35 | 661 | 788 |
| Newmont Mining Corp. | 6.250% | 10/1/39 | 954 | 1,202 |
| Newmont Mining Corp. | 4.875% | 3/15/42 | 2,273 | 2,453 |
| Nucor Corp. | 6.400% | 12/1/37 | 905 | 1,190 |
| Nucor Corp. | 5.200% | 8/1/43 | 920 | 1,086 |
| Placer Dome Inc. | 6.450% | 10/15/35 | 234 | 280 |
| Potash Corp. of Saskatchewan Inc. | 5.875% | 12/1/36 | 1,235 | 1,476 |
| Potash Corp. of Saskatchewan Inc. | 5.625% | 12/1/40 | 635 | 761 |
| Praxair Inc. | 3.550% | 11/7/42 | 1,020 | 996 |
| Rio Tinto Alcan Inc. | 7.250% | 3/15/31 | 855 | 1,124 |
| Rio Tinto Alcan Inc. | 6.125% | 12/15/33 | 794 | 997 |
| Rio Tinto Alcan Inc. | 5.750% | 6/1/35 | 685 | 812 |
| Rio Tinto Finance USA Ltd. | 7.125% | 7/15/28 | 1,178 | 1,590 |
| Rio Tinto Finance USA Ltd. | 5.200% | 11/2/40 | 1,612 | 1,941 |
| Rio Tinto Finance USA plc | 4.750% | 3/22/42 | 1,340 | 1,536 |
| Rio Tinto Finance USA plc | 4.125% | 8/21/42 | 1,570 | 1,649 |
| Rohm & Haas Co. | 7.850% | 7/15/29 | 1,090 | 1,514 |
| RPM International Inc. | 5.250% | 6/1/45 | 500 | 566 |
| Sherwin-Williams Co. | 4.000% | 12/15/42 | 216 | 209 |
| Sherwin-Williams Co. | 4.550% | 8/1/45 | 700 | 733 |
| Sherwin-Williams Co. | 4.500% | 6/1/47 | 2,350 | 2,458 |
| Southern Copper Corp. | 7.500% | 7/27/35 | 2,620 | 3,378 |
| Southern Copper Corp. | 6.750% | 4/16/40 | 1,565 | 1,912 |
| Southern Copper Corp. | 5.250% | 11/8/42 | 965 | 1,011 |
| Southern Copper Corp. | 5.875% | 4/23/45 | 2,700 | 3,053 |
| Syngenta Finance NV | 4.375% | 3/28/42 | 225 | 202 |
| Vale Canada Ltd. | 7.200% | 9/15/32 | 560 | 607 |
| Vale Overseas Ltd. | 8.250% | 1/17/34 | 695 | 869 |
| Vale Overseas Ltd. | 6.875% | 11/21/36 | 5,520 | 6,327 |
| Vale Overseas Ltd. | 6.875% | 11/10/39 | 2,788 | 3,178 |
| Vale SA | 5.625% | 9/11/42 | 2,475 | 2,518 |
| Westlake Chemical Corp. | 5.000% | 8/15/46 | 1,250 | 1,358 |
| Westrock MWV LLC | 8.200% | 1/15/30 | 485 | 691 |
| Weyerhaeuser Co. | 6.950% | 10/1/27 | 405 | 518 |
| Weyerhaeuser Co. | 7.375% | 3/15/32 | 1,444 | 2,040 |
| Weyerhaeuser Co. | 6.875% | 12/15/33 | 625 | 804 |
| Capital Goods (5.1%) | | | | |
| 3M Co. | 6.375% | 2/15/28 | 355 | 460 |
| 3M Co. | 5.700% | 3/15/37 | 1,337 | 1,745 |
| 3M Co. | 3.875% | 6/15/44 | 377 | 393 |
| 3M Co. | 3.125% | 9/19/46 | 1,050 | 963 |
| ABB Finance USA Inc. | 4.375% | 5/8/42 | 1,110 | 1,220 |
| Boeing Co. | 6.125% | 2/15/33 | 875 | 1,144 |
| Boeing Co. | 3.300% | 3/1/35 | 70 | 68 |
| Boeing Co. | 6.625% | 2/15/38 | 300 | 423 |
| Boeing Co. | 6.875% | 3/15/39 | 695 | 1,024 |
| Boeing Co. | 5.875% | 2/15/40 | 721 | 958 |
| Boeing Co. | 3.375% | 6/15/46 | 825 | 787 |
| Boeing Co. | 3.650% | 3/1/47 | 550 | 553 |
| Caterpillar Inc. | 5.300% | 9/15/35 | 635 | 765 |
| Caterpillar Inc. | 6.050% | 8/15/36 | 515 | 673 |
| Caterpillar Inc. | 5.200% | 5/27/41 | 855 | 1,046 |
70
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Caterpillar Inc. | 3.803% | 8/15/42 | 4,240 | 4,348 |
| Caterpillar Inc. | 4.300% | 5/15/44 | 542 | 597 |
| Caterpillar Inc. | 4.750% | 5/15/64 | 650 | 741 |
| Deere & Co. | 5.375% | 10/16/29 | 601 | 741 |
| Deere & Co. | 8.100% | 5/15/30 | 204 | 303 |
| Deere & Co. | 7.125% | 3/3/31 | 300 | 425 |
| Deere & Co. | 3.900% | 6/9/42 | 2,548 | 2,704 |
| Dover Corp. | 5.375% | 10/15/35 | 500 | 600 |
| Dover Corp. | 6.600% | 3/15/38 | 125 | 170 |
| Dover Corp. | 5.375% | 3/1/41 | 541 | 663 |
| Eaton Corp. | 4.000% | 11/2/32 | 1,100 | 1,168 |
| Eaton Corp. | 4.150% | 11/2/42 | 1,775 | 1,829 |
| Emerson Electric Co. | 5.250% | 11/15/39 | 345 | 416 |
| Fortive Corp. | 4.300% | 6/15/46 | 825 | 872 |
| General Dynamics Corp. | 3.600% | 11/15/42 | 532 | 535 |
| General Electric Capital Corp. | 6.750% | 3/15/32 | 6,085 | 8,488 |
| General Electric Capital Corp. | 6.150% | 8/7/37 | 1,686 | 2,240 |
| General Electric Capital Corp. | 5.875% | 1/14/38 | 5,628 | 7,304 |
| General Electric Capital Corp. | 6.875% | 1/10/39 | 2,800 | 4,058 |
| General Electric Co. | 4.125% | 10/9/42 | 3,180 | 3,364 |
| General Electric Co. | 4.500% | 3/11/44 | 3,930 | 4,341 |
| Harris Corp. | 4.854% | 4/27/35 | 975 | 1,088 |
| Harris Corp. | 6.150% | 12/15/40 | 548 | 694 |
| Harris Corp. | 5.054% | 4/27/45 | 1,035 | 1,179 |
| Honeywell International Inc. | 5.700% | 3/15/36 | 850 | 1,088 |
| Honeywell International Inc. | 5.700% | 3/15/37 | 1,255 | 1,615 |
| Honeywell International Inc. | 5.375% | 3/1/41 | 753 | 952 |
| Illinois Tool Works Inc. | 4.875% | 9/15/41 | 1,092 | 1,300 |
| Illinois Tool Works Inc. | 3.900% | 9/1/42 | 1,863 | 1,946 |
| Ingersoll-Rand Global Holding Co. Ltd. | 5.750% | 6/15/43 | 961 | 1,216 |
| Ingersoll-Rand Luxembourg Finance SA | 4.650% | 11/1/44 | 515 | 568 |
| Johnson Controls International plc | 6.000% | 1/15/36 | 510 | 640 |
| Johnson Controls International plc | 5.700% | 3/1/41 | 430 | 507 |
| Johnson Controls International plc | 4.625% | 7/2/44 | 905 | 1,000 |
| Johnson Controls International plc | 5.125% | 9/14/45 | 1,100 | 1,283 |
| Johnson Controls International plc | 4.500% | 2/15/47 | 797 | 855 |
| Johnson Controls International plc | 4.950% | 7/2/64 | 655 | 714 |
| Lafarge SA | 7.125% | 7/15/36 | 850 | 1,103 |
| Lockheed Martin Corp. | 3.600% | 3/1/35 | 661 | 662 |
| Lockheed Martin Corp. | 4.500% | 5/15/36 | 1,000 | 1,106 |
| Lockheed Martin Corp. | 6.150% | 9/1/36 | 815 | 1,070 |
| Lockheed Martin Corp. | 5.500% | 11/15/39 | 295 | 359 |
| Lockheed Martin Corp. | 5.720% | 6/1/40 | 779 | 980 |
| Lockheed Martin Corp. | 4.850% | 9/15/41 | 1,330 | 1,531 |
| Lockheed Martin Corp. | 4.070% | 12/15/42 | 2,715 | 2,821 |
| Lockheed Martin Corp. | 3.800% | 3/1/45 | 1,608 | 1,587 |
| Lockheed Martin Corp. | 4.700% | 5/15/46 | 3,645 | 4,121 |
| Masco Corp. | 7.750% | 8/1/29 | 140 | 191 |
| Masco Corp. | 6.500% | 8/15/32 | 140 | 174 |
| Masco Corp. | 4.500% | 5/15/47 | 725 | 730 |
| Northrop Grumman Corp. | 5.050% | 11/15/40 | 590 | 689 |
| Northrop Grumman Corp. | 4.750% | 6/1/43 | 1,680 | 1,897 |
| Northrop Grumman Corp. | 3.850% | 4/15/45 | 1,044 | 1,036 |
| Northrop Grumman Systems Corp. | 7.750% | 2/15/31 | 931 | 1,336 |
| Owens Corning | 7.000% | 12/1/36 | 563 | 738 |
| Owens Corning | 4.300% | 7/15/47 | 1,300 | 1,262 |
| Parker-Hannifin Corp. | 4.200% | 11/21/34 | 790 | 847 |
| Parker-Hannifin Corp. | 6.250% | 5/15/38 | 690 | 931 |
| Parker-Hannifin Corp. | 4.450% | 11/21/44 | 585 | 642 |
| 2 Parker-Hannifin Corp. | 4.100% | 3/1/47 | 1,325 | 1,384 |
| Precision Castparts Corp. | 4.200% | 6/15/35 | 225 | 245 |
| Precision Castparts Corp. | 3.900% | 1/15/43 | 441 | 454 |
| Precision Castparts Corp. | 4.375% | 6/15/45 | 950 | 1,064 |
| Raytheon Co. | 4.875% | 10/15/40 | 675 | 805 |
71
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Raytheon Co. | 4.700% | 12/15/41 | 470 | 544 |
| Raytheon Co. | 4.200% | 12/15/44 | 738 | 808 |
| Republic Services Inc. | 6.200% | 3/1/40 | 700 | 929 |
| Republic Services Inc. | 5.700% | 5/15/41 | 620 | 780 |
| Rockwell Collins Inc. | 4.800% | 12/15/43 | 485 | 538 |
| Rockwell Collins Inc. | 4.350% | 4/15/47 | 2,130 | 2,241 |
| Sonoco Products Co. | 5.750% | 11/1/40 | 975 | 1,162 |
| Stanley Black & Decker Inc. | 5.200% | 9/1/40 | 590 | 682 |
| United Technologies Corp. | 6.700% | 8/1/28 | 600 | 787 |
| United Technologies Corp. | 7.500% | 9/15/29 | 750 | 1,059 |
| United Technologies Corp. | 5.400% | 5/1/35 | 1,028 | 1,231 |
| United Technologies Corp. | 6.050% | 6/1/36 | 978 | 1,259 |
| United Technologies Corp. | 6.125% | 7/15/38 | 1,674 | 2,161 |
| United Technologies Corp. | 5.700% | 4/15/40 | 2,039 | 2,535 |
| United Technologies Corp. | 4.500% | 6/1/42 | 6,065 | 6,572 |
| United Technologies Corp. | 4.150% | 5/15/45 | 1,409 | 1,440 |
| United Technologies Corp. | 3.750% | 11/1/46 | 2,425 | 2,331 |
| United Technologies Corp. | 4.050% | 5/4/47 | 850 | 861 |
| Vulcan Materials Co. | 4.500% | 6/15/47 | 1,185 | 1,217 |
| Waste Management Inc. | 7.000% | 7/15/28 | 230 | 308 |
| Waste Management Inc. | 3.900% | 3/1/35 | 1,357 | 1,423 |
| Waste Management Inc. | 6.125% | 11/30/39 | 350 | 462 |
| Waste Management Inc. | 4.100% | 3/1/45 | 1,155 | 1,229 |
| WW Grainger Inc. | 4.600% | 6/15/45 | 2,065 | 2,240 |
| WW Grainger Inc. | 3.750% | 5/15/46 | 1,025 | 984 |
| Xylem Inc. | 4.375% | 11/1/46 | 683 | 721 |
| Communication (14.8%) | | | | |
| 21st Century Fox America Inc. | 6.550% | 3/15/33 | 601 | 765 |
| 21st Century Fox America Inc. | 6.200% | 12/15/34 | 2,075 | 2,600 |
| 21st Century Fox America Inc. | 6.400% | 12/15/35 | 2,290 | 2,933 |
| 21st Century Fox America Inc. | 8.150% | 10/17/36 | 468 | 696 |
| 21st Century Fox America Inc. | 6.150% | 3/1/37 | 2,175 | 2,757 |
| 21st Century Fox America Inc. | 6.650% | 11/15/37 | 1,622 | 2,155 |
| 21st Century Fox America Inc. | 7.850% | 3/1/39 | 425 | 628 |
| 21st Century Fox America Inc. | 6.900% | 8/15/39 | 1,035 | 1,406 |
| 21st Century Fox America Inc. | 6.150% | 2/15/41 | 2,335 | 2,970 |
| 21st Century Fox America Inc. | 5.400% | 10/1/43 | 1,245 | 1,464 |
| 21st Century Fox America Inc. | 4.750% | 9/15/44 | 1,025 | 1,102 |
| 21st Century Fox America Inc. | 4.950% | 10/15/45 | 700 | 774 |
| 21st Century Fox America Inc. | 7.750% | 12/1/45 | 405 | 615 |
| 21st Century Fox America Inc. | 4.750% | 11/15/46 | 1,125 | 1,217 |
| Activision Blizzard Inc. | 4.500% | 6/15/47 | 900 | 933 |
| America Movil SAB de CV | 6.375% | 3/1/35 | 1,780 | 2,244 |
| America Movil SAB de CV | 6.125% | 11/15/37 | 875 | 1,083 |
| America Movil SAB de CV | 6.125% | 3/30/40 | 3,376 | 4,199 |
| America Movil SAB de CV | 4.375% | 7/16/42 | 1,850 | 1,941 |
| Ameritech Capital Funding Corp. | 6.550% | 1/15/28 | 435 | 510 |
| AT&T Corp. | 8.250% | 11/15/31 | 884 | 1,241 |
| AT&T Inc. | 4.500% | 5/15/35 | 4,335 | 4,243 |
| AT&T Inc. | 5.250% | 3/1/37 | 5,248 | 5,547 |
| AT&T Inc. | 4.900% | 8/14/37 | 8,650 | 8,753 |
| AT&T Inc. | 6.500% | 9/1/37 | 1,310 | 1,572 |
| AT&T Inc. | 6.300% | 1/15/38 | 2,155 | 2,530 |
| AT&T Inc. | 6.550% | 2/15/39 | 1,279 | 1,535 |
| AT&T Inc. | 6.350% | 3/15/40 | 1,100 | 1,282 |
| AT&T Inc. | 6.000% | 8/15/40 | 1,028 | 1,165 |
| AT&T Inc. | 5.350% | 9/1/40 | 3,539 | 3,734 |
| AT&T Inc. | 6.375% | 3/1/41 | 2,695 | 3,193 |
| AT&T Inc. | 5.550% | 8/15/41 | 1,849 | 1,991 |
| AT&T Inc. | 5.150% | 3/15/42 | 2,184 | 2,222 |
| AT&T Inc. | 4.300% | 12/15/42 | 3,438 | 3,204 |
| AT&T Inc. | 4.800% | 6/15/44 | 3,395 | 3,297 |
| AT&T Inc. | 4.350% | 6/15/45 | 6,026 | 5,469 |
72
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| AT&T Inc. | 4.750% | 5/15/46 | 6,143 | 5,886 |
| AT&T Inc. | 5.450% | 3/1/47 | 6,409 | 6,733 |
| AT&T Inc. | 4.500% | 3/9/48 | 6,958 | 6,441 |
| AT&T Inc. | 4.550% | 3/9/49 | 3,166 | 2,924 |
| AT&T Inc. | 5.150% | 2/14/50 | 8,850 | 8,924 |
| AT&T Inc. | 5.700% | 3/1/57 | 1,685 | 1,800 |
| AT&T Inc. | 5.300% | 8/14/58 | 5,000 | 5,070 |
| AT&T Mobility LLC | 7.125% | 12/15/31 | 828 | 1,073 |
| Bellsouth Capital Funding Corp. | 7.875% | 2/15/30 | 644 | 862 |
| BellSouth LLC | 6.875% | 10/15/31 | 673 | 812 |
| BellSouth LLC | 6.550% | 6/15/34 | 445 | 528 |
| BellSouth LLC | 6.000% | 11/15/34 | 450 | 506 |
| BellSouth Telecommunications LLC | 6.375% | 6/1/28 | 597 | 736 |
| British Telecommunications plc | 9.125% | 12/15/30 | 4,587 | 7,050 |
| CBS Corp. | 3.375% | 2/15/28 | 1,365 | 1,344 |
| CBS Corp. | 7.875% | 7/30/30 | 906 | 1,261 |
| CBS Corp. | 5.500% | 5/15/33 | 790 | 883 |
| CBS Corp. | 5.900% | 10/15/40 | 533 | 638 |
| CBS Corp. | 4.850% | 7/1/42 | 1,235 | 1,304 |
| CBS Corp. | 4.900% | 8/15/44 | 1,197 | 1,274 |
| CBS Corp. | 4.600% | 1/15/45 | 530 | 550 |
| 2 Charter Communications Operating LLC / Charter | | | | |
| Communications Operating Capital | 3.750% | 2/15/28 | 1,750 | 1,707 |
| Charter Communications Operating LLC / Charter | | | | |
| Communications Operating Capital | 6.384% | 10/23/35 | 3,500 | 4,002 |
| Charter Communications Operating LLC / Charter | | | | |
| Communications Operating Capital | 6.484% | 10/23/45 | 6,973 | 8,022 |
| 2 Charter Communications Operating LLC / Charter | | | | |
| Communications Operating Capital | 5.375% | 5/1/47 | 2,825 | 2,883 |
| Charter Communications Operating LLC / Charter | | | | |
| Communications Operating Capital | 6.834% | 10/23/55 | 450 | 526 |
| Comcast Corp. | 3.150% | 2/15/28 | 2,865 | 2,857 |
| Comcast Corp. | 4.250% | 1/15/33 | 3,217 | 3,432 |
| Comcast Corp. | 7.050% | 3/15/33 | 1,195 | 1,633 |
| Comcast Corp. | 4.200% | 8/15/34 | 1,880 | 1,974 |
| Comcast Corp. | 5.650% | 6/15/35 | 1,190 | 1,444 |
| Comcast Corp. | 4.400% | 8/15/35 | 2,188 | 2,359 |
| Comcast Corp. | 6.500% | 11/15/35 | 1,838 | 2,415 |
| Comcast Corp. | 3.200% | 7/15/36 | 2,421 | 2,256 |
| Comcast Corp. | 6.450% | 3/15/37 | 3,590 | 4,741 |
| Comcast Corp. | 6.950% | 8/15/37 | 2,517 | 3,498 |
| Comcast Corp. | 6.400% | 5/15/38 | 1,605 | 2,112 |
| Comcast Corp. | 6.550% | 7/1/39 | 650 | 881 |
| Comcast Corp. | 6.400% | 3/1/40 | 2,036 | 2,732 |
| Comcast Corp. | 4.650% | 7/15/42 | 2,207 | 2,400 |
| Comcast Corp. | 4.500% | 1/15/43 | 660 | 702 |
| Comcast Corp. | 4.750% | 3/1/44 | 1,990 | 2,196 |
| Comcast Corp. | 4.600% | 8/15/45 | 3,070 | 3,337 |
| Comcast Corp. | 3.400% | 7/15/46 | 2,345 | 2,125 |
| Comcast Corp. | 4.000% | 8/15/47 | 1,000 | 1,004 |
| Crown Castle International Corp. | 3.650% | 9/1/27 | 1,750 | 1,760 |
| Crown Castle International Corp. | 4.750% | 5/15/47 | 1,400 | 1,444 |
| Deutsche Telekom International Finance BV | 8.750% | 6/15/30 | 6,354 | 9,400 |
| Deutsche Telekom International Finance BV | 9.250% | 6/1/32 | 779 | 1,239 |
| Discovery Communications LLC | 6.350% | 6/1/40 | 1,160 | 1,334 |
| Discovery Communications LLC | 4.950% | 5/15/42 | 955 | 951 |
| Discovery Communications LLC | 4.875% | 4/1/43 | 2,029 | 1,951 |
| Grupo Televisa SAB | 8.500% | 3/11/32 | 415 | 557 |
| Grupo Televisa SAB | 6.625% | 1/15/40 | 621 | 755 |
| Grupo Televisa SAB | 5.000% | 5/13/45 | 1,725 | 1,757 |
| Grupo Televisa SAB | 6.125% | 1/31/46 | 2,050 | 2,402 |
| Historic TW Inc. | 6.625% | 5/15/29 | 705 | 882 |
| Koninklijke KPN NV | 8.375% | 10/1/30 | 1,301 | 1,832 |
| 2 Moody's Corp. | 3.250% | 1/15/28 | 1,018 | 1,026 |
73
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Moody's Corp. | 5.250% | 7/15/44 | 995 | 1,165 |
| NBCUniversal Media LLC | 6.400% | 4/30/40 | 1,750 | 2,332 |
| NBCUniversal Media LLC | 5.950% | 4/1/41 | 2,220 | 2,826 |
| NBCUniversal Media LLC | 4.450% | 1/15/43 | 1,950 | 2,061 |
| New Cingular Wireless Services Inc. | 8.750% | 3/1/31 | 1,145 | 1,665 |
| Orange SA | 9.000% | 3/1/31 | 4,790 | 7,332 |
| Orange SA | 5.375% | 1/13/42 | 1,831 | 2,170 |
| Orange SA | 5.500% | 2/6/44 | 699 | 847 |
| Qwest Corp. | 6.875% | 9/15/33 | 1,567 | 1,547 |
| Rogers Communications Inc. | 7.500% | 8/15/38 | 675 | 951 |
| Rogers Communications Inc. | 4.500% | 3/15/43 | 806 | 873 |
| Rogers Communications Inc. | 5.450% | 10/1/43 | 1,000 | 1,210 |
| Rogers Communications Inc. | 5.000% | 3/15/44 | 1,726 | 1,986 |
| S&P Global Inc. | 6.550% | 11/15/37 | 763 | 983 |
| TCI Communications Inc. | 7.125% | 2/15/28 | 521 | 692 |
| Telefonica Emisiones SAU | 7.045% | 6/20/36 | 3,463 | 4,574 |
| Telefonica Emisiones SAU | 5.213% | 3/8/47 | 4,670 | 5,188 |
| Telefonica Europe BV | 8.250% | 9/15/30 | 1,632 | 2,313 |
| TELUS Corp. | 3.700% | 9/15/27 | 725 | 748 |
| Thomson Reuters Corp. | 5.500% | 8/15/35 | 750 | 854 |
| Thomson Reuters Corp. | 5.850% | 4/15/40 | 951 | 1,114 |
| Thomson Reuters Corp. | 4.500% | 5/23/43 | 650 | 678 |
| Thomson Reuters Corp. | 5.650% | 11/23/43 | 554 | 661 |
| Time Warner Cable LLC | 6.550% | 5/1/37 | 2,440 | 2,807 |
| Time Warner Cable LLC | 7.300% | 7/1/38 | 2,749 | 3,390 |
| Time Warner Cable LLC | 6.750% | 6/15/39 | 2,990 | 3,509 |
| Time Warner Cable LLC | 5.875% | 11/15/40 | 2,023 | 2,171 |
| Time Warner Cable LLC | 5.500% | 9/1/41 | 2,575 | 2,645 |
| Time Warner Cable LLC | 4.500% | 9/15/42 | 1,790 | 1,634 |
| Time Warner Cos. Inc. | 6.950% | 1/15/28 | 1,238 | 1,568 |
| Time Warner Entertainment Co. LP | 8.375% | 7/15/33 | 1,448 | 1,922 |
| Time Warner Inc. | 7.625% | 4/15/31 | 1,448 | 1,994 |
| Time Warner Inc. | 7.700% | 5/1/32 | 1,300 | 1,818 |
| Time Warner Inc. | 6.500% | 11/15/36 | 1,220 | 1,480 |
| Time Warner Inc. | 6.200% | 3/15/40 | 922 | 1,096 |
| Time Warner Inc. | 6.100% | 7/15/40 | 1,635 | 1,899 |
| Time Warner Inc. | 6.250% | 3/29/41 | 1,375 | 1,642 |
| Time Warner Inc. | 5.375% | 10/15/41 | 1,170 | 1,261 |
| Time Warner Inc. | 4.900% | 6/15/42 | 1,470 | 1,488 |
| Time Warner Inc. | 5.350% | 12/15/43 | 920 | 990 |
| Time Warner Inc. | 4.650% | 6/1/44 | 1,012 | 985 |
| Time Warner Inc. | 4.850% | 7/15/45 | 1,234 | 1,244 |
| Verizon Communications Inc. | 4.500% | 8/10/33 | 6,500 | 6,614 |
| Verizon Communications Inc. | 4.400% | 11/1/34 | 5,082 | 5,090 |
| Verizon Communications Inc. | 4.272% | 1/15/36 | 6,025 | 5,857 |
| Verizon Communications Inc. | 5.250% | 3/16/37 | 6,448 | 6,953 |
| Verizon Communications Inc. | 4.812% | 3/15/39 | 3,033 | 3,076 |
| Verizon Communications Inc. | 4.750% | 11/1/41 | 1,545 | 1,522 |
| Verizon Communications Inc. | 3.850% | 11/1/42 | 2,636 | 2,284 |
| Verizon Communications Inc. | 4.125% | 8/15/46 | 3,275 | 2,905 |
| Verizon Communications Inc. | 4.862% | 8/21/46 | 8,785 | 8,738 |
| Verizon Communications Inc. | 5.500% | 3/16/47 | 3,060 | 3,311 |
| Verizon Communications Inc. | 4.522% | 9/15/48 | 8,325 | 7,768 |
| Verizon Communications Inc. | 5.012% | 4/15/49 | 7,154 | 7,182 |
| Verizon Communications Inc. | 5.012% | 8/21/54 | 9,674 | 9,475 |
| Verizon Communications Inc. | 4.672% | 3/15/55 | 9,369 | 8,736 |
| Viacom Inc. | 4.850% | 12/15/34 | 1,675 | 1,600 |
| Viacom Inc. | 6.875% | 4/30/36 | 820 | 923 |
| Viacom Inc. | 4.375% | 3/15/43 | 3,825 | 3,249 |
| Viacom Inc. | 5.850% | 9/1/43 | 1,835 | 1,893 |
| Viacom Inc. | 5.250% | 4/1/44 | 621 | 600 |
| Vodafone Group plc | 7.875% | 2/15/30 | 1,595 | 2,201 |
| Vodafone Group plc | 6.250% | 11/30/32 | 891 | 1,104 |
| Vodafone Group plc | 6.150% | 2/27/37 | 2,110 | 2,619 |
74
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Vodafone Group plc | 4.375% | 2/19/43 | 2,528 | 2,562 |
| Walt Disney Co. | 7.000% | 3/1/32 | 645 | 918 |
| Walt Disney Co. | 4.375% | 8/16/41 | 816 | 886 |
| Walt Disney Co. | 4.125% | 12/1/41 | 970 | 1,025 |
| Walt Disney Co. | 3.700% | 12/1/42 | 1,040 | 1,032 |
| Walt Disney Co. | 4.125% | 6/1/44 | 1,969 | 2,074 |
| Walt Disney Co. | 3.000% | 7/30/46 | 300 | 263 |
| WPP Finance 2010 | 5.125% | 9/7/42 | 525 | 559 |
| WPP Finance 2010 | 5.625% | 11/15/43 | 850 | 979 |
| Consumer Cyclical (6.9%) | | | | |
| Alibaba Group Holding Ltd. | 4.500% | 11/28/34 | 1,080 | 1,210 |
| Amazon.com Inc. | 4.800% | 12/5/34 | 2,407 | 2,760 |
| 2 Amazon.com Inc. | 3.875% | 8/22/37 | 4,800 | 4,955 |
| Amazon.com Inc. | 4.950% | 12/5/44 | 2,284 | 2,664 |
| 2 Amazon.com Inc. | 4.050% | 8/22/47 | 6,150 | 6,338 |
| 2 Amazon.com Inc. | 4.250% | 8/22/57 | 3,900 | 4,049 |
| Bed Bath & Beyond Inc. | 4.915% | 8/1/34 | 475 | 450 |
| Bed Bath & Beyond Inc. | 5.165% | 8/1/44 | 1,545 | 1,388 |
| BorgWarner Inc. | 4.375% | 3/15/45 | 765 | 776 |
| Cummins Inc. | 7.125% | 3/1/28 | 425 | 570 |
| Cummins Inc. | 4.875% | 10/1/43 | 550 | 638 |
| CVS Health Corp. | 4.875% | 7/20/35 | 1,000 | 1,117 |
| CVS Health Corp. | 5.300% | 12/5/43 | 1,983 | 2,332 |
| CVS Health Corp. | 5.125% | 7/20/45 | 6,378 | 7,382 |
| Daimler Finance North America LLC | 8.500% | 1/18/31 | 2,582 | 3,900 |
| Darden Restaurants Inc. | 6.800% | 10/15/37 | 500 | 648 |
| Delphi Automotive plc | 4.400% | 10/1/46 | 605 | 618 |
| eBay Inc. | 4.000% | 7/15/42 | 1,272 | 1,155 |
| Ford Holdings LLC | 9.300% | 3/1/30 | 650 | 922 |
| Ford Motor Co. | 6.625% | 10/1/28 | 1,125 | 1,354 |
| Ford Motor Co. | 6.375% | 2/1/29 | 546 | 642 |
| Ford Motor Co. | 7.450% | 7/16/31 | 3,367 | 4,313 |
| Ford Motor Co. | 4.750% | 1/15/43 | 2,826 | 2,715 |
| Ford Motor Co. | 7.400% | 11/1/46 | 435 | 574 |
| Ford Motor Co. | 5.291% | 12/8/46 | 2,050 | 2,101 |
| General Motors Co. | 4.200% | 10/1/27 | 1,300 | 1,315 |
| General Motors Co. | 5.000% | 4/1/35 | 1,342 | 1,341 |
| General Motors Co. | 6.600% | 4/1/36 | 2,065 | 2,397 |
| General Motors Co. | 5.150% | 4/1/38 | 1,700 | 1,714 |
| General Motors Co. | 6.250% | 10/2/43 | 2,183 | 2,439 |
| General Motors Co. | 5.200% | 4/1/45 | 2,555 | 2,527 |
| General Motors Co. | 6.750% | 4/1/46 | 1,670 | 1,978 |
| General Motors Co. | 5.400% | 4/1/48 | 1,500 | 1,517 |
| Harley-Davidson Inc. | 4.625% | 7/28/45 | 335 | 350 |
| Home Depot Inc. | 5.875% | 12/16/36 | 5,177 | 6,739 |
| Home Depot Inc. | 5.400% | 9/15/40 | 1,230 | 1,525 |
| Home Depot Inc. | 5.950% | 4/1/41 | 1,465 | 1,940 |
| Home Depot Inc. | 4.200% | 4/1/43 | 1,809 | 1,928 |
| Home Depot Inc. | 4.875% | 2/15/44 | 1,493 | 1,755 |
| Home Depot Inc. | 4.400% | 3/15/45 | 2,655 | 2,903 |
| Home Depot Inc. | 4.250% | 4/1/46 | 2,165 | 2,339 |
| Home Depot Inc. | 3.900% | 6/15/47 | 1,400 | 1,431 |
| Home Depot Inc. | 3.500% | 9/15/56 | 1,550 | 1,430 |
| Kohl's Corp. | 5.550% | 7/17/45 | 785 | 739 |
| Lear Corp. | 3.800% | 9/15/27 | 1,200 | 1,201 |
| Lowe's Cos. Inc. | 6.500% | 3/15/29 | 331 | 436 |
| Lowe's Cos. Inc. | 4.650% | 4/15/42 | 1,210 | 1,341 |
| Lowe's Cos. Inc. | 4.250% | 9/15/44 | 530 | 560 |
| Lowe's Cos. Inc. | 4.375% | 9/15/45 | 2,050 | 2,205 |
| Lowe's Cos. Inc. | 3.700% | 4/15/46 | 2,760 | 2,667 |
| Lowe's Cos. Inc. | 4.050% | 5/3/47 | 2,750 | 2,814 |
| Macy's Retail Holdings Inc. | 7.000% | 2/15/28 | 450 | 492 |
| Macy's Retail Holdings Inc. | 6.900% | 4/1/29 | 690 | 748 |
75
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Macy's Retail Holdings Inc. | 6.900% | 1/15/32 | 225 | 244 |
| Macy's Retail Holdings Inc. | 6.700% | 7/15/34 | 340 | 361 |
| Macy's Retail Holdings Inc. | 4.500% | 12/15/34 | 830 | 712 |
| Macy's Retail Holdings Inc. | 6.375% | 3/15/37 | 860 | 895 |
| Mastercard Inc. | 3.800% | 11/21/46 | 1,035 | 1,067 |
| McDonald's Corp. | 4.700% | 12/9/35 | 1,820 | 2,038 |
| McDonald's Corp. | 6.300% | 10/15/37 | 1,470 | 1,928 |
| McDonald's Corp. | 6.300% | 3/1/38 | 1,351 | 1,770 |
| McDonald's Corp. | 5.700% | 2/1/39 | 407 | 503 |
| McDonald's Corp. | 3.700% | 2/15/42 | 1,033 | 985 |
| McDonald's Corp. | 3.625% | 5/1/43 | 950 | 895 |
| McDonald's Corp. | 4.600% | 5/26/45 | 895 | 966 |
| McDonald's Corp. | 4.875% | 12/9/45 | 3,402 | 3,874 |
| McDonald's Corp. | 4.450% | 3/1/47 | 825 | 881 |
| NIKE Inc. | 3.625% | 5/1/43 | 500 | 494 |
| NIKE Inc. | 3.875% | 11/1/45 | 1,445 | 1,492 |
| NIKE Inc. | 3.375% | 11/1/46 | 1,050 | 997 |
| Nordstrom Inc. | 6.950% | 3/15/28 | 555 | 634 |
| Nordstrom Inc. | 5.000% | 1/15/44 | 1,674 | 1,648 |
| O'Reilly Automotive Inc. | 3.600% | 9/1/27 | 800 | 803 |
| Priceline Group Inc. | 3.550% | 3/15/28 | 850 | 858 |
| QVC Inc. | 5.450% | 8/15/34 | 685 | 673 |
| QVC Inc. | 5.950% | 3/15/43 | 105 | 104 |
| Starbucks Corp. | 4.300% | 6/15/45 | 425 | 471 |
| Target Corp. | 6.350% | 11/1/32 | 724 | 940 |
| Target Corp. | 6.500% | 10/15/37 | 1,027 | 1,383 |
| Target Corp. | 7.000% | 1/15/38 | 975 | 1,380 |
| Target Corp. | 4.000% | 7/1/42 | 2,632 | 2,642 |
| Target Corp. | 3.625% | 4/15/46 | 2,060 | 1,934 |
| VF Corp. | 6.450% | 11/1/37 | 720 | 963 |
| Visa Inc. | 4.150% | 12/14/35 | 3,710 | 4,046 |
| Visa Inc. | 4.300% | 12/14/45 | 5,617 | 6,261 |
| Wal-Mart Stores Inc. | 7.550% | 2/15/30 | 1,743 | 2,561 |
| Wal-Mart Stores Inc. | 5.250% | 9/1/35 | 5,275 | 6,494 |
| Wal-Mart Stores Inc. | 6.200% | 4/15/38 | 3,809 | 5,210 |
| Wal-Mart Stores Inc. | 5.625% | 4/1/40 | 1,947 | 2,515 |
| Wal-Mart Stores Inc. | 4.875% | 7/8/40 | 1,875 | 2,227 |
| Wal-Mart Stores Inc. | 5.000% | 10/25/40 | 3,143 | 3,787 |
| Wal-Mart Stores Inc. | 5.625% | 4/15/41 | 3,331 | 4,331 |
| Wal-Mart Stores Inc. | 4.000% | 4/11/43 | 1,961 | 2,079 |
| Wal-Mart Stores Inc. | 4.750% | 10/2/43 | 1,650 | 1,949 |
| Wal-Mart Stores Inc. | 4.300% | 4/22/44 | 1,927 | 2,158 |
| Walgreen Co. | 4.400% | 9/15/42 | 610 | 620 |
| Walgreens Boots Alliance Inc. | 4.500% | 11/18/34 | 1,401 | 1,477 |
| Walgreens Boots Alliance Inc. | 4.800% | 11/18/44 | 2,569 | 2,780 |
| Walgreens Boots Alliance Inc. | 4.650% | 6/1/46 | 1,050 | 1,109 |
| Western Union Co. | 6.200% | 11/17/36 | 610 | 662 |
| Western Union Co. | 6.200% | 6/21/40 | 180 | 191 |
| Consumer Noncyclical (16.9%) | | | | |
| Abbott Laboratories | 4.750% | 11/30/36 | 3,390 | 3,716 |
| Abbott Laboratories | 6.150% | 11/30/37 | 1,000 | 1,252 |
| Abbott Laboratories | 6.000% | 4/1/39 | 801 | 981 |
| Abbott Laboratories | 5.300% | 5/27/40 | 1,293 | 1,474 |
| Abbott Laboratories | 4.750% | 4/15/43 | 1,375 | 1,485 |
| Abbott Laboratories | 4.900% | 11/30/46 | 6,225 | 6,958 |
| AbbVie Inc. | 4.500% | 5/14/35 | 4,604 | 4,902 |
| AbbVie Inc. | 4.300% | 5/14/36 | 1,727 | 1,798 |
| AbbVie Inc. | 4.400% | 11/6/42 | 4,546 | 4,710 |
| AbbVie Inc. | 4.700% | 5/14/45 | 4,392 | 4,752 |
| AbbVie Inc. | 4.450% | 5/14/46 | 3,501 | 3,672 |
| Actavis Inc. | 4.625% | 10/1/42 | 400 | 427 |
| AHS Hospital Corp. | 5.024% | 7/1/45 | 700 | 856 |
| Allergan Funding SCS | 4.550% | 3/15/35 | 5,300 | 5,693 |
76
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Allergan Funding SCS | 4.850% | 6/15/44 | 2,906 | 3,191 |
| Allergan Funding SCS | 4.750% | 3/15/45 | 2,585 | 2,826 |
| Altria Group Inc. | 4.250% | 8/9/42 | 2,296 | 2,340 |
| Altria Group Inc. | 4.500% | 5/2/43 | 1,130 | 1,196 |
| Altria Group Inc. | 5.375% | 1/31/44 | 2,979 | 3,557 |
| Altria Group Inc. | 3.875% | 9/16/46 | 1,885 | 1,827 |
| AmerisourceBergen Corp. | 4.250% | 3/1/45 | 837 | 853 |
| Amgen Inc. | 6.400% | 2/1/39 | 850 | 1,082 |
| Amgen Inc. | 4.950% | 10/1/41 | 1,685 | 1,871 |
| Amgen Inc. | 5.150% | 11/15/41 | 2,725 | 3,145 |
| Amgen Inc. | 4.400% | 5/1/45 | 4,824 | 5,032 |
| Amgen Inc. | 4.563% | 6/15/48 | 2,441 | 2,590 |
| Amgen Inc. | 4.663% | 6/15/51 | 6,182 | 6,724 |
| Anheuser-Busch InBev Finance Inc. | 4.700% | 2/1/36 | 11,183 | 12,402 |
| Anheuser-Busch InBev Finance Inc. | 4.000% | 1/17/43 | 1,490 | 1,493 |
| Anheuser-Busch InBev Finance Inc. | 4.625% | 2/1/44 | 1,175 | 1,291 |
| Anheuser-Busch InBev Finance Inc. | 4.900% | 2/1/46 | 18,067 | 20,516 |
| Anheuser-Busch InBev Worldwide Inc. | 8.200% | 1/15/39 | 1,860 | 2,947 |
| Anheuser-Busch InBev Worldwide Inc. | 8.000% | 11/15/39 | 715 | 1,112 |
| Anheuser-Busch InBev Worldwide Inc. | 4.950% | 1/15/42 | 3,130 | 3,544 |
| Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 2,699 | 2,624 |
| Anheuser-Busch InBev Worldwide Inc. | 4.439% | 10/6/48 | 4,195 | 4,485 |
| Archer-Daniels-Midland Co. | 5.935% | 10/1/32 | 605 | 766 |
| Archer-Daniels-Midland Co. | 5.375% | 9/15/35 | 810 | 984 |
| Archer-Daniels-Midland Co. | 4.535% | 3/26/42 | 1,116 | 1,260 |
| Archer-Daniels-Midland Co. | 4.016% | 4/16/43 | 1,631 | 1,739 |
| Ascension Health | 3.945% | 11/15/46 | 1,575 | 1,644 |
| 1 Ascension Health | 4.847% | 11/15/53 | 725 | 853 |
| AstraZeneca plc | 6.450% | 9/15/37 | 5,208 | 6,894 |
| AstraZeneca plc | 4.000% | 9/18/42 | 1,972 | 1,927 |
| AstraZeneca plc | 4.375% | 11/16/45 | 1,069 | 1,127 |
| 2 BAT Capital Corp. | 4.390% | 8/15/37 | 5,300 | 5,456 |
| 2 BAT Capital Corp. | 4.540% | 8/15/47 | 4,250 | 4,385 |
| Baxalta Inc. | 5.250% | 6/23/45 | 1,750 | 2,022 |
| Baxter International Inc. | 3.500% | 8/15/46 | 682 | 619 |
| Baylor Scott & White Holdings Texas Revenue | 4.185% | 11/15/45 | 1,143 | 1,217 |
| Becton Dickinson & Co. | 5.000% | 11/12/40 | 717 | 793 |
| Becton Dickinson & Co. | 4.875% | 5/15/44 | 1,000 | 1,046 |
| Becton Dickinson & Co. | 4.685% | 12/15/44 | 2,046 | 2,146 |
| Becton Dickinson & Co. | 4.669% | 6/6/47 | 1,600 | 1,675 |
| Biogen Inc. | 5.200% | 9/15/45 | 3,220 | 3,709 |
| Boston Children's Hospital Corp. Revenue | 4.115% | 1/1/47 | 550 | 593 |
| Boston Scientific Corp. | 7.000% | 11/15/35 | 575 | 750 |
| Boston Scientific Corp. | 7.375% | 1/15/40 | 490 | 668 |
| Bristol-Myers Squibb Co. | 3.250% | 8/1/42 | 1,091 | 1,016 |
| Bristol-Myers Squibb Co. | 4.500% | 3/1/44 | 137 | 154 |
| Brown-Forman Corp. | 4.500% | 7/15/45 | 850 | 931 |
| Campbell Soup Co. | 3.800% | 8/2/42 | 525 | 506 |
| Cardinal Health Inc. | 4.600% | 3/15/43 | 482 | 506 |
| Cardinal Health Inc. | 4.500% | 11/15/44 | 694 | 718 |
| Cardinal Health Inc. | 4.900% | 9/15/45 | 575 | 638 |
| Cardinal Health Inc. | 4.368% | 6/15/47 | 1,050 | 1,079 |
| 1 Catholic Health Initiatives Colorado GO | 4.350% | 11/1/42 | 1,251 | 1,190 |
| Celgene Corp. | 5.250% | 8/15/43 | 585 | 677 |
| Celgene Corp. | 4.625% | 5/15/44 | 1,460 | 1,570 |
| Celgene Corp. | 5.000% | 8/15/45 | 3,855 | 4,403 |
| Children's Hospital Medical Center Ohio GO | 4.268% | 5/15/44 | 425 | 456 |
| Church & Dwight Co. Inc. | 3.950% | 8/1/47 | 700 | 703 |
| City of Hope | 5.623% | 11/15/43 | 575 | 734 |
| Cleveland Clinic Foundation Ohio Revenue | 4.858% | 1/1/14 | 650 | 719 |
| Coca-Cola Femsa SAB de CV | 5.250% | 11/26/43 | 1,200 | 1,402 |
| Colgate-Palmolive Co. | 4.000% | 8/15/45 | 870 | 920 |
| Colgate-Palmolive Co. | 3.700% | 8/1/47 | 1,135 | 1,146 |
| Conagra Brands Inc. | 7.000% | 10/1/28 | 475 | 605 |
77
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Conagra Brands Inc. | 8.250% | 9/15/30 | 520 | 712 |
| Constellation Brands Inc. | 4.500% | 5/9/47 | 875 | 913 |
| Danaher Corp. | 4.375% | 9/15/45 | 734 | 820 |
| Delhaize America LLC | 9.000% | 4/15/31 | 320 | 472 |
| Diageo Capital plc | 5.875% | 9/30/36 | 1,003 | 1,311 |
| Diageo Capital plc | 3.875% | 4/29/43 | 620 | 637 |
| Diageo Investment Corp. | 7.450% | 4/15/35 | 774 | 1,145 |
| Diageo Investment Corp. | 4.250% | 5/11/42 | 819 | 885 |
| Dignity Health California GO | 4.500% | 11/1/42 | 625 | 608 |
| Dignity Health California GO | 5.267% | 11/1/64 | 400 | 437 |
| 2 Dr Pepper Snapple Group Inc. | 4.500% | 11/15/45 | 775 | 834 |
| Dr Pepper Snapple Group Inc. | 4.420% | 12/15/46 | 650 | 693 |
| Duke University Health System Inc. | 3.920% | 6/1/47 | 755 | 788 |
| Eli Lilly & Co. | 5.550% | 3/15/37 | 1,045 | 1,313 |
| Eli Lilly & Co. | 3.700% | 3/1/45 | 948 | 947 |
| Eli Lilly & Co. | 3.950% | 5/15/47 | 875 | 923 |
| Estee Lauder Cos. Inc. | 6.000% | 5/15/37 | 565 | 720 |
| Estee Lauder Cos. Inc. | 4.375% | 6/15/45 | 890 | 971 |
| Estee Lauder Cos. Inc. | 4.150% | 3/15/47 | 1,125 | 1,195 |
| Express Scripts Holding Co. | 6.125% | 11/15/41 | 865 | 1,045 |
| Express Scripts Holding Co. | 4.800% | 7/15/46 | 2,855 | 3,004 |
| Fomento Economico Mexicano SAB de CV | 4.375% | 5/10/43 | 885 | 914 |
| Genentech Inc. | 5.250% | 7/15/35 | 625 | 756 |
| General Mills Inc. | 5.400% | 6/15/40 | 923 | 1,088 |
| General Mills Inc. | 4.150% | 2/15/43 | 625 | 630 |
| Gilead Sciences Inc. | 4.600% | 9/1/35 | 2,149 | 2,364 |
| Gilead Sciences Inc. | 4.000% | 9/1/36 | 1,750 | 1,796 |
| Gilead Sciences Inc. | 5.650% | 12/1/41 | 784 | 977 |
| Gilead Sciences Inc. | 4.800% | 4/1/44 | 3,829 | 4,236 |
| Gilead Sciences Inc. | 4.500% | 2/1/45 | 4,084 | 4,368 |
| Gilead Sciences Inc. | 4.750% | 3/1/46 | 3,705 | 4,117 |
| Gilead Sciences Inc. | 4.150% | 3/1/47 | 2,495 | 2,561 |
| GlaxoSmithKline Capital Inc. | 5.375% | 4/15/34 | 655 | 791 |
| GlaxoSmithKline Capital Inc. | 6.375% | 5/15/38 | 4,295 | 5,890 |
| GlaxoSmithKline Capital Inc. | 4.200% | 3/18/43 | 1,250 | 1,353 |
| Hackensack Meridian Health | 4.500% | 7/1/57 | 400 | 447 |
| Hasbro Inc. | 6.350% | 3/15/40 | 560 | 689 |
| Hasbro Inc. | 5.100% | 5/15/44 | 830 | 897 |
| JM Smucker Co. | 4.250% | 3/15/35 | 1,116 | 1,177 |
| JM Smucker Co. | 4.375% | 3/15/45 | 875 | 933 |
| Johns Hopkins Health System Corp. | 3.837% | 5/15/46 | 700 | 725 |
| Johnson & Johnson | 6.950% | 9/1/29 | 410 | 572 |
| Johnson & Johnson | 4.950% | 5/15/33 | 700 | 851 |
| Johnson & Johnson | 4.375% | 12/5/33 | 1,145 | 1,310 |
| Johnson & Johnson | 3.550% | 3/1/36 | 1,959 | 2,025 |
| Johnson & Johnson | 3.625% | 3/3/37 | 3,653 | 3,819 |
| Johnson & Johnson | 5.950% | 8/15/37 | 1,885 | 2,575 |
| Johnson & Johnson | 5.850% | 7/15/38 | 865 | 1,166 |
| Johnson & Johnson | 4.500% | 9/1/40 | 734 | 847 |
| Johnson & Johnson | 4.850% | 5/15/41 | 420 | 513 |
| Johnson & Johnson | 4.500% | 12/5/43 | 707 | 823 |
| Johnson & Johnson | 3.700% | 3/1/46 | 1,870 | 1,942 |
| Johnson & Johnson | 3.750% | 3/3/47 | 3,050 | 3,192 |
| Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 1,164 | 1,384 |
| Kaiser Foundation Hospitals | 4.150% | 5/1/47 | 2,400 | 2,572 |
| Kellogg Co. | 7.450% | 4/1/31 | 700 | 961 |
| Kellogg Co. | 4.500% | 4/1/46 | 1,300 | 1,370 |
| Kimberly-Clark Corp. | 6.625% | 8/1/37 | 780 | 1,118 |
| Kimberly-Clark Corp. | 5.300% | 3/1/41 | 575 | 720 |
| Kimberly-Clark Corp. | 3.700% | 6/1/43 | 669 | 653 |
| Kimberly-Clark Corp. | 3.200% | 7/30/46 | 1,650 | 1,527 |
| Koninklijke Ahold Delhaize NV | 5.700% | 10/1/40 | 1,589 | 1,856 |
| Koninklijke Philips NV | 6.875% | 3/11/38 | 175 | 238 |
| Koninklijke Philips NV | 5.000% | 3/15/42 | 1,440 | 1,623 |
78
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Kraft Foods Group Inc. | 6.875% | 1/26/39 | 1,895 | 2,451 |
| Kraft Foods Group Inc. | 6.500% | 2/9/40 | 1,863 | 2,323 |
| Kraft Foods Group Inc. | 5.000% | 6/4/42 | 3,141 | 3,322 |
| Kraft Heinz Foods Co. | 5.000% | 7/15/35 | 1,198 | 1,305 |
| Kraft Heinz Foods Co. | 5.200% | 7/15/45 | 4,236 | 4,565 |
| Kraft Heinz Foods Co. | 4.375% | 6/1/46 | 4,465 | 4,357 |
| Kroger Co. | 4.450% | 2/1/47 | 1,950 | 1,877 |
| Kroger Co. | 4.650% | 1/15/48 | 875 | 863 |
| Laboratory Corp. of America Holdings | 3.600% | 9/1/27 | 300 | 306 |
| Laboratory Corp. of America Holdings | 4.700% | 2/1/45 | 2,071 | 2,184 |
| Mattel Inc. | 5.450% | 11/1/41 | 450 | 457 |
| 1 Mayo Clinic | 3.774% | 11/15/43 | 450 | 461 |
| 1 Mayo Clinic | 4.000% | 11/15/47 | 635 | 659 |
| 1 Mayo Clinic | 4.128% | 11/15/52 | 400 | 424 |
| McCormick & Co. Inc. | 4.200% | 8/15/47 | 800 | 831 |
| McKesson Corp. | 6.000% | 3/1/41 | 855 | 1,056 |
| McKesson Corp. | 4.883% | 3/15/44 | 1,363 | 1,505 |
| Mead Johnson Nutrition Co. | 5.900% | 11/1/39 | 595 | 754 |
| Mead Johnson Nutrition Co. | 4.600% | 6/1/44 | 789 | 881 |
| Medtronic Inc. | 4.375% | 3/15/35 | 5,077 | 5,609 |
| Medtronic Inc. | 6.500% | 3/15/39 | 155 | 212 |
| Medtronic Inc. | 5.550% | 3/15/40 | 865 | 1,071 |
| Medtronic Inc. | 4.500% | 3/15/42 | 1,887 | 2,082 |
| Medtronic Inc. | 4.625% | 3/15/44 | 1,032 | 1,167 |
| Medtronic Inc. | 4.625% | 3/15/45 | 7,658 | 8,693 |
| Memorial Sloan-Kettering Cancer Center New York GO | 5.000% | 7/1/42 | 685 | 806 |
| Memorial Sloan-Kettering Cancer Center New York GO | 4.125% | 7/1/52 | 895 | 929 |
| Memorial Sloan-Kettering Cancer Center New York GO | 4.200% | 7/1/55 | 714 | 767 |
| Merck & Co. Inc. | 6.500% | 12/1/33 | 2,604 | 3,531 |
| Merck & Co. Inc. | 6.550% | 9/15/37 | 980 | 1,368 |
| Merck & Co. Inc. | 3.600% | 9/15/42 | 590 | 587 |
| Merck & Co. Inc. | 4.150% | 5/18/43 | 1,620 | 1,744 |
| Merck & Co. Inc. | 3.700% | 2/10/45 | 4,195 | 4,241 |
| Merck Sharp & Dohme Corp. | 5.950% | 12/1/28 | 355 | 441 |
| Merck Sharp & Dohme Corp. | 5.850% | 6/30/39 | 900 | 1,195 |
| Molson Coors Brewing Co. | 5.000% | 5/1/42 | 2,296 | 2,540 |
| Molson Coors Brewing Co. | 4.200% | 7/15/46 | 2,757 | 2,740 |
| Mondelez International Inc. | 6.500% | 2/9/40 | 909 | 1,183 |
| Mylan Inc. | 5.400% | 11/29/43 | 682 | 743 |
| Mylan NV | 5.250% | 6/15/46 | 1,800 | 1,935 |
| New York & Presbyterian Hospital | 4.024% | 8/1/45 | 1,000 | 1,034 |
| New York & Presbyterian Hospital | 4.063% | 8/1/56 | 700 | 715 |
| Newell Brands Inc. | 5.375% | 4/1/36 | 1,650 | 1,929 |
| Newell Brands Inc. | 5.500% | 4/1/46 | 2,921 | 3,475 |
| Northwell Healthcare Inc. | 3.979% | 11/1/46 | 850 | 833 |
| Novartis Capital Corp. | 3.700% | 9/21/42 | 848 | 854 |
| Novartis Capital Corp. | 4.400% | 5/6/44 | 4,045 | 4,532 |
| Novartis Capital Corp. | 4.000% | 11/20/45 | 1,300 | 1,381 |
| NYU Hospitals Center | 4.784% | 7/1/44 | 425 | 477 |
| 1 NYU Hospitals Center | 4.368% | 7/1/47 | 775 | 841 |
| Partners Healthcare System Inc. | 4.117% | 7/1/55 | 475 | 493 |
| PepsiCo Inc. | 5.500% | 1/15/40 | 1,588 | 2,013 |
| PepsiCo Inc. | 4.875% | 11/1/40 | 1,404 | 1,643 |
| PepsiCo Inc. | 4.000% | 3/5/42 | 1,795 | 1,868 |
| PepsiCo Inc. | 3.600% | 8/13/42 | 150 | 146 |
| PepsiCo Inc. | 4.250% | 10/22/44 | 1,561 | 1,683 |
| PepsiCo Inc. | 4.600% | 7/17/45 | 612 | 697 |
| PepsiCo Inc. | 4.450% | 4/14/46 | 2,615 | 2,931 |
| PepsiCo Inc. | 3.450% | 10/6/46 | 2,003 | 1,912 |
| PepsiCo Inc. | 4.000% | 5/2/47 | 1,655 | 1,730 |
| Perrigo Finance Unlimited Co. | 4.900% | 12/15/44 | 983 | 992 |
| Pfizer Inc. | 4.000% | 12/15/36 | 1,523 | 1,645 |
| Pfizer Inc. | 7.200% | 3/15/39 | 4,555 | 6,856 |
| Pfizer Inc. | 5.600% | 9/15/40 | 36 | 45 |
79
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Pfizer Inc. | 4.300% | 6/15/43 | 1,162 | 1,266 |
| Pfizer Inc. | 4.400% | 5/15/44 | 1,835 | 2,039 |
| Pfizer Inc. | 4.125% | 12/15/46 | 2,850 | 3,051 |
| Pharmacia LLC | 6.600% | 12/1/28 | 1,105 | 1,473 |
| Philip Morris International Inc. | 6.375% | 5/16/38 | 2,199 | 2,934 |
| Philip Morris International Inc. | 4.375% | 11/15/41 | 1,280 | 1,359 |
| Philip Morris International Inc. | 4.500% | 3/20/42 | 931 | 1,004 |
| Philip Morris International Inc. | 3.875% | 8/21/42 | 1,205 | 1,176 |
| Philip Morris International Inc. | 4.125% | 3/4/43 | 1,843 | 1,872 |
| Philip Morris International Inc. | 4.875% | 11/15/43 | 1,055 | 1,188 |
| Philip Morris International Inc. | 4.250% | 11/10/44 | 2,867 | 3,026 |
| Procter & Gamble Co. | 5.500% | 2/1/34 | 1,550 | 1,996 |
| Procter & Gamble Co. | 5.550% | 3/5/37 | 1,700 | 2,289 |
| Quest Diagnostics Inc. | 4.700% | 3/30/45 | 500 | 532 |
| Reynolds American Inc. | 5.700% | 8/15/35 | 1,580 | 1,855 |
| Reynolds American Inc. | 7.250% | 6/15/37 | 876 | 1,197 |
| Reynolds American Inc. | 6.150% | 9/15/43 | 125 | 156 |
| Reynolds American Inc. | 5.850% | 8/15/45 | 4,239 | 5,124 |
| RWJ Barnabas Health Inc. | 3.949% | 7/1/46 | 625 | 632 |
| Stryker Corp. | 4.100% | 4/1/43 | 682 | 690 |
| Stryker Corp. | 4.375% | 5/15/44 | 975 | 1,022 |
| Stryker Corp. | 4.625% | 3/15/46 | 1,370 | 1,513 |
| Sysco Corp. | 5.375% | 9/21/35 | 1,389 | 1,631 |
| Sysco Corp. | 4.850% | 10/1/45 | 350 | 395 |
| Sysco Corp. | 4.500% | 4/1/46 | 935 | 998 |
| Teva Pharmaceutical Finance Co. LLC | 6.150% | 2/1/36 | 1,478 | 1,600 |
| Teva Pharmaceutical Finance Netherlands III BV | 4.100% | 10/1/46 | 3,277 | 2,758 |
| 1 Texas Health Resources | 4.330% | 11/15/55 | 552 | 601 |
| The Kroger Co. | 7.700% | 6/1/29 | 680 | 899 |
| The Kroger Co. | 8.000% | 9/15/29 | 200 | 269 |
| The Kroger Co. | 7.500% | 4/1/31 | 480 | 642 |
| The Kroger Co. | 6.900% | 4/15/38 | 181 | 227 |
| The Kroger Co. | 5.400% | 7/15/40 | 1,163 | 1,252 |
| The Kroger Co. | 5.150% | 8/1/43 | 675 | 714 |
| The Kroger Co. | 3.875% | 10/15/46 | 625 | 552 |
| The Pepsi Bottling Group Inc. | 7.000% | 3/1/29 | 2,115 | 2,906 |
| Thermo Fisher Scientific Inc. | 5.300% | 2/1/44 | 808 | 954 |
| Thermo Fisher Scientific Inc. | 4.100% | 8/15/47 | 1,400 | 1,411 |
| Trinity Health Corp. | 4.125% | 12/1/45 | 600 | 614 |
| Tyson Foods Inc. | 4.875% | 8/15/34 | 885 | 986 |
| Tyson Foods Inc. | 5.150% | 8/15/44 | 1,074 | 1,233 |
| Tyson Foods Inc. | 4.550% | 6/2/47 | 1,330 | 1,428 |
| Unilever Capital Corp. | 5.900% | 11/15/32 | 1,199 | 1,578 |
| Whirlpool Corp. | 4.500% | 6/1/46 | 800 | 847 |
| Wyeth LLC | 6.500% | 2/1/34 | 1,505 | 2,056 |
| Wyeth LLC | 6.000% | 2/15/36 | 1,659 | 2,183 |
| Wyeth LLC | 5.950% | 4/1/37 | 2,644 | 3,504 |
| Zimmer Biomet Holdings Inc. | 5.750% | 11/30/39 | 650 | 759 |
| Zimmer Biomet Holdings Inc. | 4.450% | 8/15/45 | 702 | 706 |
| Zoetis Inc. | 4.700% | 2/1/43 | 1,885 | 2,051 |
| Energy (10.7%) | | | | |
| Alberta Energy Co. Ltd. | 7.375% | 11/1/31 | 695 | 854 |
| Anadarko Finance Co. | 7.500% | 5/1/31 | 1,577 | 1,965 |
| Anadarko Petroleum Corp. | 6.450% | 9/15/36 | 2,750 | 3,215 |
| Anadarko Petroleum Corp. | 7.950% | 6/15/39 | 295 | 388 |
| Anadarko Petroleum Corp. | 6.200% | 3/15/40 | 1,528 | 1,721 |
| Anadarko Petroleum Corp. | 4.500% | 7/15/44 | 1,100 | 1,017 |
| Anadarko Petroleum Corp. | 6.600% | 3/15/46 | 2,530 | 3,060 |
| Apache Corp. | 6.000% | 1/15/37 | 1,761 | 2,031 |
| Apache Corp. | 5.100% | 9/1/40 | 2,871 | 2,978 |
| Apache Corp. | 5.250% | 2/1/42 | 555 | 584 |
| Apache Corp. | 4.750% | 4/15/43 | 2,365 | 2,359 |
| Apache Corp. | 4.250% | 1/15/44 | 950 | 880 |
80
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Apache Finance Canada Corp. | 7.750% | 12/15/29 | 900 | 1,203 |
| Baker Hughes a GE Co. LLC | 5.125% | 9/15/40 | 2,245 | 2,624 |
| BP Capital Markets plc | 3.723% | 11/28/28 | 1,380 | 1,441 |
| Buckeye Partners LP | 5.850% | 11/15/43 | 695 | 754 |
| Buckeye Partners LP | 5.600% | 10/15/44 | 556 | 586 |
| Burlington Resources Finance Co. | 7.200% | 8/15/31 | 1,544 | 2,091 |
| Burlington Resources Finance Co. | 7.400% | 12/1/31 | 1,131 | 1,563 |
| Canadian Natural Resources Ltd. | 7.200% | 1/15/32 | 843 | 1,051 |
| Canadian Natural Resources Ltd. | 6.450% | 6/30/33 | 761 | 889 |
| Canadian Natural Resources Ltd. | 5.850% | 2/1/35 | 400 | 447 |
| Canadian Natural Resources Ltd. | 6.500% | 2/15/37 | 655 | 782 |
| Canadian Natural Resources Ltd. | 6.250% | 3/15/38 | 2,327 | 2,731 |
| Canadian Natural Resources Ltd. | 6.750% | 2/1/39 | 509 | 625 |
| Canadian Natural Resources Ltd. | 4.950% | 6/1/47 | 1,040 | 1,072 |
| 2 Cenovus Energy Inc. | 5.250% | 6/15/37 | 1,725 | 1,620 |
| Cenovus Energy Inc. | 6.750% | 11/15/39 | 2,800 | 2,996 |
| Cenovus Energy Inc. | 4.450% | 9/15/42 | 775 | 648 |
| Cenovus Energy Inc. | 5.200% | 9/15/43 | 550 | 503 |
| 2 Cenovus Energy Inc. | 5.400% | 6/15/47 | 1,400 | 1,325 |
| Columbia Pipeline Group Inc. | 5.800% | 6/1/45 | 750 | 908 |
| Conoco Funding Co. | 7.250% | 10/15/31 | 712 | 970 |
| ConocoPhillips | 5.900% | 10/15/32 | 815 | 989 |
| ConocoPhillips | 5.900% | 5/15/38 | 946 | 1,175 |
| ConocoPhillips | 6.500% | 2/1/39 | 4,795 | 6,308 |
| ConocoPhillips Canada Funding Co. I | 5.950% | 10/15/36 | 952 | 1,190 |
| ConocoPhillips Co. | 4.150% | 11/15/34 | 1,175 | 1,196 |
| ConocoPhillips Co. | 4.300% | 11/15/44 | 1,403 | 1,461 |
| ConocoPhillips Co. | 5.950% | 3/15/46 | 808 | 1,035 |
| ConocoPhillips Holding Co. | 6.950% | 4/15/29 | 2,225 | 2,917 |
| Devon Energy Corp. | 7.950% | 4/15/32 | 1,530 | 2,014 |
| Devon Energy Corp. | 5.600% | 7/15/41 | 2,217 | 2,360 |
| Devon Energy Corp. | 4.750% | 5/15/42 | 1,312 | 1,285 |
| Devon Energy Corp. | 5.000% | 6/15/45 | 1,289 | 1,305 |
| Devon Financing Co. LLC | 7.875% | 9/30/31 | 1,695 | 2,219 |
| Dominion Energy Gas Holdings LLC | 4.800% | 11/1/43 | 666 | 725 |
| Dominion Energy Gas Holdings LLC | 4.600% | 12/15/44 | 677 | 721 |
| Enable Midstream Partners LP | 5.000% | 5/15/44 | 873 | 838 |
| Enbridge Energy Partners LP | 7.500% | 4/15/38 | 1,360 | 1,735 |
| Enbridge Energy Partners LP | 5.500% | 9/15/40 | 720 | 766 |
| Enbridge Energy Partners LP | 7.375% | 10/15/45 | 650 | 842 |
| Enbridge Inc. | 4.500% | 6/10/44 | 700 | 708 |
| Enbridge Inc. | 5.500% | 12/1/46 | 1,500 | 1,738 |
| Encana Corp. | 8.125% | 9/15/30 | 500 | 641 |
| Encana Corp. | 6.500% | 8/15/34 | 1,198 | 1,384 |
| Encana Corp. | 6.625% | 8/15/37 | 1,750 | 2,053 |
| Encana Corp. | 6.500% | 2/1/38 | 658 | 764 |
| Encana Corp. | 5.150% | 11/15/41 | 50 | 49 |
| Energy Transfer LP | 8.250% | 11/15/29 | 264 | 349 |
| Energy Transfer LP | 4.900% | 3/15/35 | 1,565 | 1,562 |
| Energy Transfer LP | 6.625% | 10/15/36 | 645 | 745 |
| Energy Transfer LP | 7.500% | 7/1/38 | 923 | 1,124 |
| Energy Transfer LP | 6.050% | 6/1/41 | 784 | 839 |
| Energy Transfer LP | 6.500% | 2/1/42 | 1,270 | 1,427 |
| Energy Transfer LP | 5.150% | 2/1/43 | 345 | 334 |
| Energy Transfer LP | 5.950% | 10/1/43 | 652 | 690 |
| Energy Transfer LP | 5.150% | 3/15/45 | 2,110 | 2,054 |
| Energy Transfer LP | 6.125% | 12/15/45 | 2,398 | 2,613 |
| Energy Transfer LP | 5.300% | 4/15/47 | 1,500 | 1,496 |
| Eni USA Inc. | 7.300% | 11/15/27 | 395 | 500 |
| EnLink Midstream Partners LP | 5.600% | 4/1/44 | 633 | 643 |
| EnLink Midstream Partners LP | 5.050% | 4/1/45 | 1,200 | 1,141 |
| EnLink Midstream Partners LP | 5.450% | 6/1/47 | 350 | 351 |
| Enterprise Products Operating LLC | 6.875% | 3/1/33 | 854 | 1,084 |
| Enterprise Products Operating LLC | 6.650% | 10/15/34 | 360 | 457 |
81
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Enterprise Products Operating LLC | 7.550% | 4/15/38 | 740 | 1,011 |
| Enterprise Products Operating LLC | 6.125% | 10/15/39 | 1,280 | 1,578 |
| Enterprise Products Operating LLC | 6.450% | 9/1/40 | 710 | 900 |
| Enterprise Products Operating LLC | 5.950% | 2/1/41 | 926 | 1,117 |
| Enterprise Products Operating LLC | 5.700% | 2/15/42 | 804 | 943 |
| Enterprise Products Operating LLC | 4.850% | 8/15/42 | 2,535 | 2,676 |
| Enterprise Products Operating LLC | 4.450% | 2/15/43 | 1,575 | 1,583 |
| Enterprise Products Operating LLC | 4.850% | 3/15/44 | 3,713 | 3,957 |
| Enterprise Products Operating LLC | 5.100% | 2/15/45 | 1,106 | 1,226 |
| Enterprise Products Operating LLC | 4.900% | 5/15/46 | 1,670 | 1,812 |
| Enterprise Products Operating LLC | 4.950% | 10/15/54 | 650 | 686 |
| EOG Resources Inc. | 3.900% | 4/1/35 | 760 | 746 |
| Exxon Mobil Corp. | 3.567% | 3/6/45 | 1,410 | 1,381 |
| Exxon Mobil Corp. | 4.114% | 3/1/46 | 4,615 | 4,924 |
| Halliburton Co. | 4.850% | 11/15/35 | 2,165 | 2,338 |
| Halliburton Co. | 6.700% | 9/15/38 | 1,316 | 1,672 |
| Halliburton Co. | 7.450% | 9/15/39 | 1,296 | 1,798 |
| Halliburton Co. | 4.500% | 11/15/41 | 1,080 | 1,068 |
| Halliburton Co. | 4.750% | 8/1/43 | 1,580 | 1,648 |
| Halliburton Co. | 5.000% | 11/15/45 | 3,729 | 4,033 |
| Hess Corp. | 7.875% | 10/1/29 | 1,045 | 1,249 |
| Hess Corp. | 7.300% | 8/15/31 | 820 | 937 |
| Hess Corp. | 7.125% | 3/15/33 | 1,050 | 1,172 |
| Hess Corp. | 6.000% | 1/15/40 | 1,392 | 1,422 |
| Hess Corp. | 5.600% | 2/15/41 | 2,186 | 2,131 |
| Hess Corp. | 5.800% | 4/1/47 | 800 | 803 |
| Husky Energy Inc. | 6.800% | 9/15/37 | 690 | 862 |
| Kerr-McGee Corp. | 7.875% | 9/15/31 | 565 | 724 |
| Kinder Morgan Energy Partners LP | 7.400% | 3/15/31 | 238 | 292 |
| Kinder Morgan Energy Partners LP | 7.750% | 3/15/32 | 1,492 | 1,888 |
| Kinder Morgan Energy Partners LP | 7.300% | 8/15/33 | 675 | 827 |
| Kinder Morgan Energy Partners LP | 5.800% | 3/15/35 | 975 | 1,046 |
| Kinder Morgan Energy Partners LP | 6.500% | 2/1/37 | 1,135 | 1,282 |
| Kinder Morgan Energy Partners LP | 6.950% | 1/15/38 | 1,742 | 2,089 |
| Kinder Morgan Energy Partners LP | 6.500% | 9/1/39 | 1,253 | 1,437 |
| Kinder Morgan Energy Partners LP | 6.550% | 9/15/40 | 1,075 | 1,241 |
| Kinder Morgan Energy Partners LP | 7.500% | 11/15/40 | 600 | 749 |
| Kinder Morgan Energy Partners LP | 6.375% | 3/1/41 | 825 | 945 |
| Kinder Morgan Energy Partners LP | 5.625% | 9/1/41 | 540 | 562 |
| Kinder Morgan Energy Partners LP | 5.000% | 8/15/42 | 612 | 602 |
| Kinder Morgan Energy Partners LP | 4.700% | 11/1/42 | 1,079 | 1,029 |
| Kinder Morgan Energy Partners LP | 5.000% | 3/1/43 | 405 | 398 |
| Kinder Morgan Energy Partners LP | 5.500% | 3/1/44 | 2,245 | 2,327 |
| Kinder Morgan Energy Partners LP | 5.400% | 9/1/44 | 700 | 716 |
| Kinder Morgan Inc. | 7.800% | 8/1/31 | 200 | 256 |
| Kinder Morgan Inc. | 7.750% | 1/15/32 | 1,130 | 1,451 |
| Kinder Morgan Inc. | 5.300% | 12/1/34 | 2,340 | 2,449 |
| Kinder Morgan Inc. | 5.550% | 6/1/45 | 3,586 | 3,799 |
| Kinder Morgan Inc. | 5.050% | 2/15/46 | 550 | 552 |
| Magellan Midstream Partners LP | 5.150% | 10/15/43 | 915 | 1,017 |
| Magellan Midstream Partners LP | 4.250% | 9/15/46 | 885 | 880 |
| Marathon Oil Corp. | 6.800% | 3/15/32 | 961 | 1,077 |
| Marathon Oil Corp. | 6.600% | 10/1/37 | 1,471 | 1,644 |
| Marathon Oil Corp. | 5.200% | 6/1/45 | 950 | 923 |
| Marathon Petroleum Corp. | 6.500% | 3/1/41 | 1,483 | 1,728 |
| Marathon Petroleum Corp. | 4.750% | 9/15/44 | 1,569 | 1,533 |
| Marathon Petroleum Corp. | 5.850% | 12/15/45 | 375 | 405 |
| Marathon Petroleum Corp. | 5.000% | 9/15/54 | 1,000 | 939 |
| MPLX LP | 5.200% | 3/1/47 | 1,850 | 1,907 |
| National Oilwell Varco Inc. | 3.950% | 12/1/42 | 1,882 | 1,589 |
| Noble Energy Inc. | 6.000% | 3/1/41 | 1,396 | 1,557 |
| Noble Energy Inc. | 5.250% | 11/15/43 | 1,742 | 1,790 |
| Noble Energy Inc. | 5.050% | 11/15/44 | 1,355 | 1,372 |
| Noble Energy Inc. | 4.950% | 8/15/47 | 1,000 | 1,000 |
82
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Occidental Petroleum Corp. | 4.625% | 6/15/45 | 1,484 | 1,616 |
| Occidental Petroleum Corp. | 4.400% | 4/15/46 | 2,205 | 2,335 |
| Occidental Petroleum Corp. | 4.100% | 2/15/47 | 1,040 | 1,057 |
| ONEOK Inc. | 6.000% | 6/15/35 | 800 | 889 |
| ONEOK Inc. | 4.950% | 7/13/47 | 1,100 | 1,108 |
| ONEOK Partners LP | 6.650% | 10/1/36 | 789 | 945 |
| ONEOK Partners LP | 6.850% | 10/15/37 | 860 | 1,062 |
| ONEOK Partners LP | 6.125% | 2/1/41 | 1,071 | 1,218 |
| ONEOK Partners LP | 6.200% | 9/15/43 | 1,209 | 1,404 |
| Petro-Canada | 5.350% | 7/15/33 | 545 | 615 |
| Petro-Canada | 5.950% | 5/15/35 | 1,470 | 1,763 |
| Petro-Canada | 6.800% | 5/15/38 | 1,390 | 1,841 |
| Phillips 66 | 4.650% | 11/15/34 | 1,575 | 1,672 |
| Phillips 66 | 5.875% | 5/1/42 | 2,666 | 3,242 |
| Phillips 66 | 4.875% | 11/15/44 | 2,519 | 2,739 |
| Phillips 66 Partners LP | 4.680% | 2/15/45 | 775 | 757 |
| Phillips 66 Partners LP | 4.900% | 10/1/46 | 800 | 802 |
| Plains All American Pipeline LP / PAA Finance Corp. | 6.650% | 1/15/37 | 685 | 766 |
| Plains All American Pipeline LP / PAA Finance Corp. | 5.150% | 6/1/42 | 745 | 704 |
| Plains All American Pipeline LP / PAA Finance Corp. | 4.300% | 1/31/43 | 990 | 849 |
| Plains All American Pipeline LP / PAA Finance Corp. | 4.700% | 6/15/44 | 1,655 | 1,504 |
| Plains All American Pipeline LP / PAA Finance Corp. | 4.900% | 2/15/45 | 475 | 442 |
| Sabine Pass Liquefaction LLC | 4.200% | 3/15/28 | 2,900 | 2,911 |
| Shell International Finance BV | 4.125% | 5/11/35 | 2,799 | 2,979 |
| Shell International Finance BV | 6.375% | 12/15/38 | 4,103 | 5,585 |
| Shell International Finance BV | 5.500% | 3/25/40 | 1,329 | 1,631 |
| Shell International Finance BV | 3.625% | 8/21/42 | 1,279 | 1,220 |
| Shell International Finance BV | 4.550% | 8/12/43 | 2,490 | 2,719 |
| Shell International Finance BV | 4.375% | 5/11/45 | 5,355 | 5,729 |
| Shell International Finance BV | 4.000% | 5/10/46 | 3,985 | 4,041 |
| Shell International Finance BV | 3.750% | 9/12/46 | 2,400 | 2,335 |
| Spectra Energy Partners LP | 5.950% | 9/25/43 | 755 | 902 |
| Spectra Energy Partners LP | 4.500% | 3/15/45 | 1,425 | 1,442 |
| Suncor Energy Inc. | 7.150% | 2/1/32 | 715 | 948 |
| Suncor Energy Inc. | 5.950% | 12/1/34 | 825 | 994 |
| Suncor Energy Inc. | 6.500% | 6/15/38 | 1,930 | 2,516 |
| Suncor Energy Inc. | 6.850% | 6/1/39 | 1,385 | 1,855 |
| Sunoco Logistics Partners Operations LP | 6.100% | 2/15/42 | 725 | 779 |
| Sunoco Logistics Partners Operations LP | 4.950% | 1/15/43 | 1,050 | 995 |
| Sunoco Logistics Partners Operations LP | 5.300% | 4/1/44 | 1,000 | 982 |
| Sunoco Logistics Partners Operations LP | 5.350% | 5/15/45 | 1,030 | 1,020 |
| Tennessee Gas Pipeline Co. LLC | 7.000% | 10/15/28 | 740 | 902 |
| Tennessee Gas Pipeline Co. LLC | 7.625% | 4/1/37 | 621 | 801 |
| Texas Eastern Transmission LP | 7.000% | 7/15/32 | 766 | 998 |
| Tosco Corp. | 8.125% | 2/15/30 | 520 | 729 |
| TransCanada PipeLines Ltd. | 4.625% | 3/1/34 | 1,900 | 2,101 |
| TransCanada PipeLines Ltd. | 5.600% | 3/31/34 | 460 | 547 |
| TransCanada PipeLines Ltd. | 5.850% | 3/15/36 | 1,025 | 1,264 |
| TransCanada PipeLines Ltd. | 6.200% | 10/15/37 | 905 | 1,171 |
| TransCanada PipeLines Ltd. | 7.250% | 8/15/38 | 1,554 | 2,210 |
| TransCanada PipeLines Ltd. | 7.625% | 1/15/39 | 2,225 | 3,293 |
| TransCanada PipeLines Ltd. | 6.100% | 6/1/40 | 1,745 | 2,289 |
| TransCanada PipeLines Ltd. | 5.000% | 10/16/43 | 950 | 1,110 |
| Transcontinental Gas Pipe Line Co. LLC | 5.400% | 8/15/41 | 700 | 805 |
| Transcontinental Gas Pipe Line Co. LLC | 4.450% | 8/1/42 | 610 | 607 |
| Valero Energy Corp. | 7.500% | 4/15/32 | 1,189 | 1,530 |
| Valero Energy Corp. | 6.625% | 6/15/37 | 2,766 | 3,448 |
| Valero Energy Corp. | 4.900% | 3/15/45 | 1,145 | 1,205 |
| Western Gas Partners LP | 5.450% | 4/1/44 | 1,025 | 1,053 |
| Williams Partners LP | 6.300% | 4/15/40 | 1,865 | 2,197 |
| Williams Partners LP | 5.800% | 11/15/43 | 1,041 | 1,176 |
| Williams Partners LP | 5.400% | 3/4/44 | 550 | 597 |
| Williams Partners LP | 4.900% | 1/15/45 | 1,190 | 1,200 |
| Williams Partners LP | 5.100% | 9/15/45 | 1,760 | 1,845 |
83
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Other Industrial (0.5%) | | | | |
| California Institute of Technology GO | 4.321% | 8/1/45 | 605 | 677 |
| California Institute of Technology GO | 4.700% | 11/1/11 | 568 | 608 |
| 1 Johns Hopkins University Maryland GO | 4.083% | 7/1/53 | 535 | 569 |
| 1 Massachusetts Institute of Technology GO | 3.959% | 7/1/38 | 650 | 709 |
| Massachusetts Institute of Technology GO | 5.600% | 7/1/11 | 1,070 | 1,414 |
| Massachusetts Institute of Technology GO | 4.678% | 7/1/14 | 975 | 1,111 |
| Massachusetts Institute of Technology GO | 3.885% | 7/1/16 | 850 | 817�� |
| 1 Northwestern University Illinois GO | 4.643% | 12/1/44 | 975 | 1,163 |
| President & Fellows of Harvard College Massachusetts | | | | |
| GO | 3.619% | 10/1/37 | 436 | 461 |
| President & Fellows of Harvard College Massachusetts | | | | |
| Revenue | 3.300% | 7/15/56 | 1,000 | 977 |
| 1 Rice University Texas GO | 3.574% | 5/15/45 | 920 | 942 |
| Stanford University California GO | 3.647% | 5/1/48 | 1,195 | 1,273 |
| 1 University of Notre Dame DU LAC Indiana GO | 3.438% | 2/15/45 | 675 | 676 |
| University of Pennsylvania GO | 4.674% | 9/1/12 | 450 | 500 |
| 1 University of Southern California GO | 3.028% | 10/1/39 | 1,677 | 1,602 |
| 1 University of Southern California GO | 3.841% | 10/1/47 | 200 | 212 |
| Technology (6.8%) | | | | |
| Analog Devices Inc. | 4.500% | 12/5/36 | 300 | 314 |
| Analog Devices Inc. | 5.300% | 12/15/45 | 400 | 478 |
| Apple Inc. | 4.500% | 2/23/36 | 1,545 | 1,761 |
| Apple Inc. | 3.850% | 5/4/43 | 4,901 | 4,992 |
| Apple Inc. | 4.450% | 5/6/44 | 2,600 | 2,879 |
| Apple Inc. | 3.450% | 2/9/45 | 3,328 | 3,176 |
| Apple Inc. | 4.375% | 5/13/45 | 4,230 | 4,662 |
| Apple Inc. | 4.650% | 2/23/46 | 6,398 | 7,271 |
| Apple Inc. | 3.850% | 8/4/46 | 3,648 | 3,700 |
| Apple Inc. | 4.250% | 2/9/47 | 1,980 | 2,146 |
| Applied Materials Inc. | 5.100% | 10/1/35 | 833 | 982 |
| Applied Materials Inc. | 5.850% | 6/15/41 | 915 | 1,157 |
| Applied Materials Inc. | 4.350% | 4/1/47 | 1,925 | 2,067 |
| Arrow Electronics Inc. | 3.875% | 1/12/28 | 975 | 975 |
| Cisco Systems Inc. | 5.900% | 2/15/39 | 3,447 | 4,534 |
| Cisco Systems Inc. | 5.500% | 1/15/40 | 3,475 | 4,386 |
| Corning Inc. | 4.700% | 3/15/37 | 250 | 265 |
| Corning Inc. | 5.750% | 8/15/40 | 918 | 1,093 |
| Corning Inc. | 4.750% | 3/15/42 | 255 | 273 |
| 2 Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 8.100% | 7/15/36 | 2,748 | 3,450 |
| 2 Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 8.350% | 7/15/46 | 3,536 | 4,577 |
| Fidelity National Information Services Inc. | 4.500% | 8/15/46 | 921 | 961 |
| Hewlett Packard Enterprise Co. | 6.200% | 10/15/35 | 1,335 | 1,453 |
| Hewlett Packard Enterprise Co. | 6.350% | 10/15/45 | 2,850 | 3,022 |
| HP Enterprise Services LLC | 7.450% | 10/15/29 | 500 | 613 |
| HP Inc. | 6.000% | 9/15/41 | 1,742 | 1,849 |
| Intel Corp. | 4.000% | 12/15/32 | 798 | 870 |
| Intel Corp. | 4.800% | 10/1/41 | 2,454 | 2,836 |
| Intel Corp. | 4.250% | 12/15/42 | 2,345 | 2,517 |
| Intel Corp. | 4.900% | 7/29/45 | 2,866 | 3,380 |
| Intel Corp. | 4.100% | 5/19/46 | 2,057 | 2,172 |
| Intel Corp. | 4.100% | 5/11/47 | 2,000 | 2,107 |
| International Business Machines Corp. | 6.500% | 1/15/28 | 230 | 296 |
| International Business Machines Corp. | 5.875% | 11/29/32 | 1,195 | 1,526 |
| International Business Machines Corp. | 5.600% | 11/30/39 | 1,419 | 1,747 |
| International Business Machines Corp. | 4.000% | 6/20/42 | 2,121 | 2,146 |
| International Business Machines Corp. | 4.700% | 2/19/46 | 1,375 | 1,534 |
| Juniper Networks Inc. | 5.950% | 3/15/41 | 680 | 765 |
| Microsoft Corp. | 3.500% | 2/12/35 | 2,575 | 2,637 |
| Microsoft Corp. | 4.200% | 11/3/35 | 1,640 | 1,815 |
| Microsoft Corp. | 3.450% | 8/8/36 | 4,465 | 4,486 |
| Microsoft Corp. | 4.100% | 2/6/37 | 5,244 | 5,742 |
| Microsoft Corp. | 5.200% | 6/1/39 | 685 | 846 |
84
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Microsoft Corp. | 4.500% | 10/1/40 | 1,846 | 2,084 |
| Microsoft Corp. | 5.300% | 2/8/41 | 1,254 | 1,583 |
| Microsoft Corp. | 3.500% | 11/15/42 | 1,635 | 1,609 |
| Microsoft Corp. | 3.750% | 5/1/43 | 1,401 | 1,420 |
| Microsoft Corp. | 4.875% | 12/15/43 | 900 | 1,055 |
| Microsoft Corp. | 3.750% | 2/12/45 | 3,840 | 3,902 |
| Microsoft Corp. | 4.450% | 11/3/45 | 4,900 | 5,533 |
| Microsoft Corp. | 3.700% | 8/8/46 | 7,381 | 7,386 |
| Microsoft Corp. | 4.250% | 2/6/47 | 5,250 | 5,789 |
| Microsoft Corp. | 4.000% | 2/12/55 | 4,214 | 4,316 |
| Microsoft Corp. | 4.750% | 11/3/55 | 1,885 | 2,187 |
| Microsoft Corp. | 3.950% | 8/8/56 | 2,602 | 2,646 |
| Microsoft Corp. | 4.500% | 2/6/57 | 3,750 | 4,204 |
| Motorola Solutions Inc. | 5.500% | 9/1/44 | 700 | 706 |
| Oracle Corp. | 3.250% | 5/15/30 | 425 | 432 |
| Oracle Corp. | 4.300% | 7/8/34 | 3,813 | 4,165 |
| Oracle Corp. | 3.900% | 5/15/35 | 3,006 | 3,133 |
| Oracle Corp. | 3.850% | 7/15/36 | 2,540 | 2,635 |
| Oracle Corp. | 6.500% | 4/15/38 | 2,039 | 2,822 |
| Oracle Corp. | 6.125% | 7/8/39 | 2,130 | 2,846 |
| Oracle Corp. | 5.375% | 7/15/40 | 3,478 | 4,275 |
| Oracle Corp. | 4.500% | 7/8/44 | 1,320 | 1,457 |
| Oracle Corp. | 4.125% | 5/15/45 | 3,994 | 4,168 |
| Oracle Corp. | 4.000% | 7/15/46 | 4,290 | 4,397 |
| Oracle Corp. | 4.375% | 5/15/55 | 2,025 | 2,199 |
| QUALCOMM Inc. | 4.650% | 5/20/35 | 1,795 | 1,984 |
| QUALCOMM Inc. | 4.800% | 5/20/45 | 2,779 | 3,052 |
| QUALCOMM Inc. | 4.300% | 5/20/47 | 2,450 | 2,531 |
| Seagate HDD Cayman | 5.750% | 12/1/34 | 825 | 767 |
| Tyco Electronics Group SA | 7.125% | 10/1/37 | 870 | 1,257 |
| Verisk Analytics Inc. | 5.500% | 6/15/45 | 700 | 806 |
| Xerox Corp. | 6.750% | 12/15/39 | 622 | 673 |
| Transportation (3.4%) | | | | |
| 1 American Airlines 2015-2 Class AA Pass Through Trust | 3.600% | 9/22/27 | 595 | 617 |
| 1 American Airlines 2016-1 Class A Pass Through Trust | 4.100% | 1/15/28 | 285 | 301 |
| 1 American Airlines 2016-1 Class AA Pass Through Trust | 3.575% | 1/15/28 | 642 | 661 |
| 1 American Airlines 2016-2 Class A Pass Through Trust | 3.650% | 6/15/28 | 292 | 298 |
| 1 American Airlines 2016-2 Class AA Pass Through Trust | 3.200% | 12/15/29 | 1,120 | 1,131 |
| 1 American Airlines 2016-3 Class A Pass Through Trust | 3.250% | 4/15/30 | 275 | 275 |
| 1 American Airlines 2016-3 Class AA Pass Through Trust | 3.000% | 10/15/28 | 950 | 941 |
| 1 American Airlines 2017-1 Class AA Pass Through Trust | 3.650% | 8/15/30 | 600 | 621 |
| 1 American Airlines 2017-2 Class AA Pass Through Trust | 3.350% | 10/15/29 | 1,700 | 1,719 |
| Burlington Northern Santa Fe LLC | 6.200% | 8/15/36 | 925 | 1,228 |
| Burlington Northern Santa Fe LLC | 5.750% | 5/1/40 | 1,332 | 1,690 |
| Burlington Northern Santa Fe LLC | 5.050% | 3/1/41 | 966 | 1,130 |
| Burlington Northern Santa Fe LLC | 5.400% | 6/1/41 | 1,023 | 1,258 |
| Burlington Northern Santa Fe LLC | 4.950% | 9/15/41 | 300 | 349 |
| Burlington Northern Santa Fe LLC | 4.400% | 3/15/42 | 616 | 669 |
| Burlington Northern Santa Fe LLC | 4.375% | 9/1/42 | 1,177 | 1,272 |
| Burlington Northern Santa Fe LLC | 4.450% | 3/15/43 | 1,687 | 1,843 |
| Burlington Northern Santa Fe LLC | 5.150% | 9/1/43 | 936 | 1,125 |
| Burlington Northern Santa Fe LLC | 4.900% | 4/1/44 | 1,919 | 2,218 |
| Burlington Northern Santa Fe LLC | 4.550% | 9/1/44 | 1,600 | 1,771 |
| Burlington Northern Santa Fe LLC | 4.150% | 4/1/45 | 1,737 | 1,817 |
| Burlington Northern Santa Fe LLC | 4.700% | 9/1/45 | 1,875 | 2,120 |
| Burlington Northern Santa Fe LLC | 3.900% | 8/1/46 | 700 | 711 |
| Burlington Northern Santa Fe LLC | 4.125% | 6/15/47 | 2,140 | 2,249 |
| Canadian National Railway Co. | 6.900% | 7/15/28 | 721 | 977 |
| Canadian National Railway Co. | 6.250% | 8/1/34 | 875 | 1,168 |
| Canadian National Railway Co. | 6.200% | 6/1/36 | 630 | 846 |
| Canadian National Railway Co. | 6.375% | 11/15/37 | 1,084 | 1,496 |
| Canadian National Railway Co. | 4.500% | 11/7/43 | 200 | 227 |
| Canadian National Railway Co. | 3.200% | 8/2/46 | 510 | 477 |
85
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Canadian Pacific Railway Co. | 7.125% | 10/15/31 | 1,029 | 1,440 |
| Canadian Pacific Railway Co. | 5.750% | 3/15/33 | 170 | 202 |
| Canadian Pacific Railway Co. | 4.800% | 9/15/35 | 405 | 466 |
| Canadian Pacific Railway Co. | 5.950% | 5/15/37 | 560 | 705 |
| Canadian Pacific Railway Co. | 5.750% | 1/15/42 | 315 | 395 |
| Canadian Pacific Railway Co. | 4.800% | 8/1/45 | 650 | 759 |
| Canadian Pacific Railway Co. | 6.125% | 9/15/15 | 1,430 | 1,848 |
| CSX Corp. | 6.000% | 10/1/36 | 823 | 1,039 |
| CSX Corp. | 6.150% | 5/1/37 | 988 | 1,282 |
| CSX Corp. | 6.220% | 4/30/40 | 985 | 1,285 |
| CSX Corp. | 5.500% | 4/15/41 | 1,096 | 1,329 |
| CSX Corp. | 4.750% | 5/30/42 | 1,015 | 1,119 |
| CSX Corp. | 4.400% | 3/1/43 | 500 | 525 |
| CSX Corp. | 4.100% | 3/15/44 | 2,112 | 2,127 |
| CSX Corp. | 3.800% | 11/1/46 | 1,306 | 1,255 |
| CSX Corp. | 3.950% | 5/1/50 | 850 | 809 |
| CSX Corp. | 4.500% | 8/1/54 | 626 | 645 |
| CSX Corp. | 4.250% | 11/1/66 | 1,230 | 1,191 |
| FedEx Corp. | 4.900% | 1/15/34 | 1,280 | 1,443 |
| FedEx Corp. | 3.900% | 2/1/35 | 559 | 561 |
| FedEx Corp. | 3.875% | 8/1/42 | 456 | 441 |
| FedEx Corp. | 4.100% | 4/15/43 | 811 | 800 |
| FedEx Corp. | 5.100% | 1/15/44 | 2,011 | 2,275 |
| FedEx Corp. | 4.100% | 2/1/45 | 672 | 663 |
| FedEx Corp. | 4.750% | 11/15/45 | 1,840 | 1,988 |
| FedEx Corp. | 4.550% | 4/1/46 | 1,435 | 1,524 |
| FedEx Corp. | 4.400% | 1/15/47 | 2,015 | 2,080 |
| FedEx Corp. | 4.500% | 2/1/65 | 384 | 378 |
| Kansas City Southern | 4.300% | 5/15/43 | 820 | 846 |
| Kansas City Southern | 4.950% | 8/15/45 | 940 | 1,065 |
| 1 Latam Airlines 2015-1 Pass Through Trust A | 4.200% | 8/15/29 | 981 | 992 |
| Norfolk Southern Corp. | 7.250% | 2/15/31 | 545 | 760 |
| Norfolk Southern Corp. | 7.050% | 5/1/37 | 255 | 350 |
| Norfolk Southern Corp. | 4.837% | 10/1/41 | 957 | 1,090 |
| Norfolk Southern Corp. | 3.950% | 10/1/42 | 580 | 587 |
| Norfolk Southern Corp. | 4.800% | 8/15/43 | 811 | 924 |
| Norfolk Southern Corp. | 4.450% | 6/15/45 | 1,129 | 1,239 |
| Norfolk Southern Corp. | 4.650% | 1/15/46 | 995 | 1,127 |
| 2 Norfolk Southern Corp. | 4.050% | 8/15/52 | 1,870 | 1,864 |
| Norfolk Southern Corp. | 6.000% | 3/15/05 | 473 | 578 |
| 1 Spirit Airlines Class A Pass Through Certificates Series | | | | |
| 2015-1 | 4.100% | 10/1/29 | 590 | 622 |
| Union Pacific Corp. | 3.375% | 2/1/35 | 471 | 467 |
| Union Pacific Corp. | 4.300% | 6/15/42 | 543 | 590 |
| Union Pacific Corp. | 4.250% | 4/15/43 | 637 | 682 |
| Union Pacific Corp. | 4.821% | 2/1/44 | 100 | 116 |
| Union Pacific Corp. | 4.150% | 1/15/45 | 325 | 342 |
| Union Pacific Corp. | 4.050% | 11/15/45 | 725 | 762 |
| Union Pacific Corp. | 4.050% | 3/1/46 | 860 | 904 |
| Union Pacific Corp. | 3.350% | 8/15/46 | 369 | 345 |
| Union Pacific Corp. | 4.000% | 4/15/47 | 1,650 | 1,721 |
| Union Pacific Corp. | 3.799% | 10/1/51 | 3,453 | 3,416 |
| Union Pacific Corp. | 3.875% | 2/1/55 | 890 | 883 |
| Union Pacific Corp. | 4.375% | 11/15/65 | 810 | 881 |
| 1 United Airlines 2015-1 Class AA Pass Through Trust | 3.450% | 12/1/27 | 428 | 439 |
| 1 United Airlines 2016-1 Class A Pass Through Trust | 3.450% | 1/7/30 | 450 | 459 |
| 1 United Airlines 2016-1 Class AA Pass Through Trust | 3.100% | 7/7/28 | 1,250 | 1,255 |
| 1 United Airlines 2016-2 Class A Pass Through Trust | 3.100% | 10/7/28 | 475 | 479 |
| 1 United Airlines 2016-2 Class AA Pass Through Trust | 2.875% | 10/7/28 | 850 | 828 |
| United Parcel Service Inc. | 6.200% | 1/15/38 | 2,422 | 3,322 |
| United Parcel Service Inc. | 4.875% | 11/15/40 | 740 | 881 |
| United Parcel Service Inc. | 3.625% | 10/1/42 | 640 | 641 |
| United Parcel Service Inc. | 3.400% | 11/15/46 | 425 | 411 |
86
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| United Parcel Service of America Inc. | 8.375% | 4/1/30 | 325 | 469 |
| | | | | 1,937,715 |
| Utilities (11.5%) | | | | |
| Electric (10.5%) | | | | |
| AEP Transmission Co. LLC | 4.000% | 12/1/46 | 800 | 838 |
| Alabama Power Co. | 6.125% | 5/15/38 | 790 | 1,021 |
| Alabama Power Co. | 6.000% | 3/1/39 | 575 | 744 |
| Alabama Power Co. | 3.850% | 12/1/42 | 552 | 563 |
| Alabama Power Co. | 4.150% | 8/15/44 | 700 | 749 |
| Alabama Power Co. | 3.750% | 3/1/45 | 600 | 616 |
| Alabama Power Co. | 4.300% | 1/2/46 | 1,412 | 1,548 |
| Ameren Illinois Co. | 4.150% | 3/15/46 | 555 | 602 |
| Appalachian Power Co. | 7.000% | 4/1/38 | 540 | 761 |
| Appalachian Power Co. | 4.400% | 5/15/44 | 460 | 502 |
| Appalachian Power Co. | 4.450% | 6/1/45 | 625 | 697 |
| Arizona Public Service Co. | 5.050% | 9/1/41 | 530 | 622 |
| Arizona Public Service Co. | 4.500% | 4/1/42 | 728 | 806 |
| Arizona Public Service Co. | 4.350% | 11/15/45 | 875 | 959 |
| Arizona Public Service Co. | 3.750% | 5/15/46 | 730 | 723 |
| Baltimore Gas & Electric Co. | 6.350% | 10/1/36 | 448 | 596 |
| Baltimore Gas & Electric Co. | 3.500% | 8/15/46 | 900 | 869 |
| Baltimore Gas & Electric Co. | 3.750% | 8/15/47 | 525 | 529 |
| Berkshire Hathaway Energy Co. | 8.480% | 9/15/28 | 378 | 558 |
| Berkshire Hathaway Energy Co. | 6.125% | 4/1/36 | 2,656 | 3,462 |
| Berkshire Hathaway Energy Co. | 5.950% | 5/15/37 | 1,446 | 1,857 |
| Berkshire Hathaway Energy Co. | 6.500% | 9/15/37 | 937 | 1,277 |
| Berkshire Hathaway Energy Co. | 5.150% | 11/15/43 | 1,020 | 1,215 |
| Berkshire Hathaway Energy Co. | 4.500% | 2/1/45 | 2,510 | 2,754 |
| Black Hills Corp. | 4.200% | 9/15/46 | 530 | 534 |
| CenterPoint Energy Houston Electric LLC | 6.950% | 3/15/33 | 450 | 622 |
| CenterPoint Energy Houston Electric LLC | 3.550% | 8/1/42 | 730 | 720 |
| CenterPoint Energy Houston Electric LLC | 4.500% | 4/1/44 | 796 | 911 |
| Cleco Corporate Holdings LLC | 4.973% | 5/1/46 | 425 | 465 |
| Cleveland Electric Illuminating Co. | 5.950% | 12/15/36 | 280 | 342 |
| CMS Energy Corp. | 4.875% | 3/1/44 | 384 | 435 |
| Commonwealth Edison Co. | 5.900% | 3/15/36 | 917 | 1,185 |
| Commonwealth Edison Co. | 6.450% | 1/15/38 | 632 | 867 |
| Commonwealth Edison Co. | 3.800% | 10/1/42 | 370 | 379 |
| Commonwealth Edison Co. | 4.600% | 8/15/43 | 1,000 | 1,143 |
| Commonwealth Edison Co. | 4.700% | 1/15/44 | 557 | 649 |
| Commonwealth Edison Co. | 3.700% | 3/1/45 | 1,145 | 1,146 |
| Commonwealth Edison Co. | 4.350% | 11/15/45 | 909 | 1,006 |
| Commonwealth Edison Co. | 3.650% | 6/15/46 | 675 | 677 |
| Commonwealth Edison Co. | 3.750% | 8/15/47 | 1,525 | 1,549 |
| Connecticut Light & Power Co. | 4.300% | 4/15/44 | 800 | 884 |
| Connecticut Light & Power Co. | 4.150% | 6/1/45 | 450 | 489 |
| Consolidated Edison Co. of New York Inc. | 5.300% | 3/1/35 | 745 | 892 |
| Consolidated Edison Co. of New York Inc. | 5.850% | 3/15/36 | 700 | 895 |
| Consolidated Edison Co. of New York Inc. | 6.200% | 6/15/36 | 376 | 499 |
| Consolidated Edison Co. of New York Inc. | 6.300% | 8/15/37 | 1,390 | 1,866 |
| Consolidated Edison Co. of New York Inc. | 6.750% | 4/1/38 | 575 | 816 |
| Consolidated Edison Co. of New York Inc. | 5.500% | 12/1/39 | 425 | 534 |
| Consolidated Edison Co. of New York Inc. | 5.700% | 6/15/40 | 1,060 | 1,366 |
| Consolidated Edison Co. of New York Inc. | 4.200% | 3/15/42 | 636 | 682 |
| Consolidated Edison Co. of New York Inc. | 3.950% | 3/1/43 | 1,657 | 1,726 |
| Consolidated Edison Co. of New York Inc. | 4.450% | 3/15/44 | 2,050 | 2,292 |
| Consolidated Edison Co. of New York Inc. | 4.500% | 12/1/45 | 810 | 916 |
| Consolidated Edison Co. of New York Inc. | 3.850% | 6/15/46 | 1,580 | 1,620 |
| Consolidated Edison Co. of New York Inc. | 3.875% | 6/15/47 | 500 | 520 |
| Consolidated Edison Co. of New York Inc. | 4.625% | 12/1/54 | 710 | 807 |
| Consolidated Edison Co. of New York Inc. | 4.300% | 12/1/56 | 760 | 817 |
| Consumers Energy Co. | 3.950% | 5/15/43 | 420 | 442 |
| Consumers Energy Co. | 3.250% | 8/15/46 | 993 | 930 |
| Consumers Energy Co. | 3.950% | 7/15/47 | 565 | 599 |
87
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Delmarva Power & Light Co. | 4.150% | 5/15/45 | 500 | 539 |
| Dominion Energy Inc. | 6.300% | 3/15/33 | 270 | 343 |
| Dominion Energy Inc. | 5.950% | 6/15/35 | 2,155 | 2,684 |
| Dominion Energy Inc. | 4.900% | 8/1/41 | 780 | 875 |
| Dominion Energy Inc. | 4.050% | 9/15/42 | 805 | 807 |
| Dominion Energy Inc. | 4.700% | 12/1/44 | 946 | 1,051 |
| Dominion Resources Inc. | 5.250% | 8/1/33 | 512 | 595 |
| Dominion Resources Inc. | 7.000% | 6/15/38 | 575 | 780 |
| DTE Electric Co. | 4.000% | 4/1/43 | 625 | 663 |
| DTE Electric Co. | 4.300% | 7/1/44 | 808 | 894 |
| DTE Electric Co. | 3.700% | 3/15/45 | 965 | 984 |
| DTE Electric Co. | 3.700% | 6/1/46 | 425 | 431 |
| DTE Electric Co. | 3.750% | 8/15/47 | 750 | 774 |
| DTE Energy Co. | 6.375% | 4/15/33 | 570 | 727 |
| Duke Energy Carolinas LLC | 6.000% | 12/1/28 | 435 | 548 |
| Duke Energy Carolinas LLC | 6.450% | 10/15/32 | 508 | 689 |
| Duke Energy Carolinas LLC | 6.100% | 6/1/37 | 1,270 | 1,668 |
| Duke Energy Carolinas LLC | 6.000% | 1/15/38 | 710 | 939 |
| Duke Energy Carolinas LLC | 6.050% | 4/15/38 | 816 | 1,086 |
| Duke Energy Carolinas LLC | 5.300% | 2/15/40 | 1,080 | 1,335 |
| Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 653 | 712 |
| Duke Energy Carolinas LLC | 4.000% | 9/30/42 | 785 | 825 |
| Duke Energy Carolinas LLC | 3.750% | 6/1/45 | 830 | 848 |
| Duke Energy Carolinas LLC | 3.875% | 3/15/46 | 1,655 | 1,722 |
| Duke Energy Corp. | 4.800% | 12/15/45 | 1,025 | 1,153 |
| Duke Energy Corp. | 3.750% | 9/1/46 | 3,360 | 3,253 |
| Duke Energy Corp. | 3.950% | 8/15/47 | 875 | 879 |
| Duke Energy Florida LLC | 6.350% | 9/15/37 | 1,025 | 1,402 |
| Duke Energy Florida LLC | 6.400% | 6/15/38 | 1,251 | 1,741 |
| Duke Energy Florida LLC | 5.650% | 4/1/40 | 275 | 355 |
| Duke Energy Florida LLC | 3.850% | 11/15/42 | 415 | 427 |
| Duke Energy Florida LLC | 3.400% | 10/1/46 | 1,198 | 1,148 |
| 1 Duke Energy Florida Project Finance LLC | 2.538% | 9/1/29 | 1,200 | 1,183 |
| 1 Duke Energy Florida Project Finance LLC | 2.858% | 3/1/33 | 300 | 289 |
| 1 Duke Energy Florida Project Finance LLC | 3.112% | 9/1/36 | 225 | 218 |
| Duke Energy Indiana LLC | 6.120% | 10/15/35 | 633 | 803 |
| Duke Energy Indiana LLC | 6.350% | 8/15/38 | 441 | 612 |
| Duke Energy Indiana LLC | 6.450% | 4/1/39 | 618 | 854 |
| Duke Energy Indiana LLC | 4.900% | 7/15/43 | 365 | 429 |
| Duke Energy Indiana LLC | 3.750% | 5/15/46 | 560 | 565 |
| Duke Energy Ohio Inc. | 3.700% | 6/15/46 | 630 | 632 |
| Duke Energy Progress LLC | 6.300% | 4/1/38 | 908 | 1,233 |
| Duke Energy Progress LLC | 4.100% | 5/15/42 | 843 | 908 |
| Duke Energy Progress LLC | 4.100% | 3/15/43 | 1,110 | 1,178 |
| Duke Energy Progress LLC | 4.375% | 3/30/44 | 620 | 688 |
| Duke Energy Progress LLC | 4.150% | 12/1/44 | 1,005 | 1,080 |
| Duke Energy Progress LLC | 4.200% | 8/15/45 | 650 | 709 |
| Duke Energy Progress LLC | 3.700% | 10/15/46 | 2,140 | 2,153 |
| El Paso Electric Co. | 6.000% | 5/15/35 | 534 | 639 |
| El Paso Electric Co. | 5.000% | 12/1/44 | 475 | 513 |
| Emera US Finance LP | 4.750% | 6/15/46 | 2,576 | 2,741 |
| Entergy Louisiana LLC | 3.120% | 9/1/27 | 1,250 | 1,277 |
| Entergy Louisiana LLC | 3.250% | 4/1/28 | 500 | 510 |
| Entergy Louisiana LLC | 3.050% | 6/1/31 | 575 | 567 |
| Entergy Louisiana LLC | 4.950% | 1/15/45 | 750 | 778 |
| Entergy Mississippi Inc. | 2.850% | 6/1/28 | 1,200 | 1,187 |
| Entergy Texas Inc. | 5.150% | 6/1/45 | 390 | 412 |
| Exelon Corp. | 4.950% | 6/15/35 | 525 | 587 |
| Exelon Corp. | 5.625% | 6/15/35 | 950 | 1,151 |
| Exelon Corp. | 5.100% | 6/15/45 | 1,235 | 1,432 |
| Exelon Corp. | 4.450% | 4/15/46 | 2,158 | 2,286 |
| Exelon Generation Co. LLC | 6.250% | 10/1/39 | 1,122 | 1,259 |
| Exelon Generation Co. LLC | 5.750% | 10/1/41 | 285 | 301 |
| Exelon Generation Co. LLC | 5.600% | 6/15/42 | 2,437 | 2,542 |
88
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| FirstEnergy Corp. | 7.375% | 11/15/31 | 2,637 | 3,551 |
| FirstEnergy Corp. | 4.850% | 7/15/47 | 1,635 | 1,713 |
| Florida Power & Light Co. | 5.625% | 4/1/34 | 525 | 662 |
| Florida Power & Light Co. | 4.950% | 6/1/35 | 135 | 159 |
| Florida Power & Light Co. | 5.650% | 2/1/37 | 502 | 644 |
| Florida Power & Light Co. | 5.950% | 2/1/38 | 779 | 1,041 |
| Florida Power & Light Co. | 5.960% | 4/1/39 | 855 | 1,144 |
| Florida Power & Light Co. | 5.690% | 3/1/40 | 907 | 1,188 |
| Florida Power & Light Co. | 5.250% | 2/1/41 | 655 | 816 |
| Florida Power & Light Co. | 4.125% | 2/1/42 | 1,627 | 1,772 |
| Florida Power & Light Co. | 4.050% | 6/1/42 | 1,055 | 1,137 |
| Florida Power & Light Co. | 3.800% | 12/15/42 | 1,110 | 1,153 |
| Florida Power & Light Co. | 4.050% | 10/1/44 | 188 | 205 |
| Georgia Power Co. | 5.650% | 3/1/37 | 635 | 754 |
| Georgia Power Co. | 5.950% | 2/1/39 | 935 | 1,173 |
| Georgia Power Co. | 5.400% | 6/1/40 | 356 | 427 |
| Georgia Power Co. | 4.750% | 9/1/40 | 731 | 808 |
| Georgia Power Co. | 4.300% | 3/15/42 | 2,948 | 3,112 |
| Georgia Power Co. | 4.300% | 3/15/43 | 330 | 345 |
| Iberdrola International BV | 6.750% | 7/15/36 | 466 | 613 |
| Indiana Michigan Power Co. | 6.050% | 3/15/37 | 915 | 1,170 |
| Indiana Michigan Power Co. | 4.550% | 3/15/46 | 300 | 339 |
| Indiana Michigan Power Co. | 3.750% | 7/1/47 | 1,000 | 1,001 |
| Interstate Power & Light Co. | 6.250% | 7/15/39 | 540 | 715 |
| Interstate Power & Light Co. | 3.700% | 9/15/46 | 570 | 562 |
| ITC Holdings Corp. | 5.300% | 7/1/43 | 660 | 785 |
| 1 John Sevier Combined Cycle Generation LLC | 4.626% | 1/15/42 | 875 | 966 |
| Kansas City Power & Light Co. | 6.050% | 11/15/35 | 250 | 317 |
| Kansas City Power & Light Co. | 5.300% | 10/1/41 | 565 | 668 |
| Kansas City Power & Light Co. | 4.200% | 6/15/47 | 325 | 342 |
| Kentucky Utilities Co. | 5.125% | 11/1/40 | 1,160 | 1,414 |
| Kentucky Utilities Co. | 4.375% | 10/1/45 | 100 | 111 |
| MidAmerican Energy Co. | 6.750% | 12/30/31 | 805 | 1,110 |
| MidAmerican Energy Co. | 5.750% | 11/1/35 | 610 | 774 |
| MidAmerican Energy Co. | 5.800% | 10/15/36 | 560 | 715 |
| MidAmerican Energy Co. | 4.800% | 9/15/43 | 1,060 | 1,241 |
| MidAmerican Energy Co. | 4.400% | 10/15/44 | 450 | 501 |
| MidAmerican Energy Co. | 4.250% | 5/1/46 | 725 | 797 |
| MidAmerican Energy Co. | 3.950% | 8/1/47 | 250 | 264 |
| MidAmerican Funding LLC | 6.927% | 3/1/29 | 250 | 336 |
| Mississippi Power Co. | 4.250% | 3/15/42 | 780 | 764 |
| National Rural Utilities Cooperative Finance Corp. | 8.000% | 3/1/32 | 1,060 | 1,583 |
| National Rural Utilities Cooperative Finance Corp. | 4.023% | 11/1/32 | 614 | 666 |
| Nevada Power Co. | 6.650% | 4/1/36 | 900 | 1,231 |
| Nevada Power Co. | 6.750% | 7/1/37 | 595 | 815 |
| Nevada Power Co. | 5.450% | 5/15/41 | 291 | 353 |
| Northern States Power Co. | 6.250% | 6/1/36 | 260 | 348 |
| Northern States Power Co. | 6.200% | 7/1/37 | 811 | 1,098 |
| Northern States Power Co. | 5.350% | 11/1/39 | 325 | 405 |
| Northern States Power Co. | 3.400% | 8/15/42 | 1,580 | 1,520 |
| Northern States Power Co. | 4.125% | 5/15/44 | 900 | 967 |
| Northern States Power Co. | 4.000% | 8/15/45 | 450 | 475 |
| Northern States Power Co. | 3.600% | 5/15/46 | 595 | 601 |
| NorthWestern Corp. | 4.176% | 11/15/44 | 616 | 663 |
| NSTAR Electric Co. | 5.500% | 3/15/40 | 510 | 645 |
| NSTAR Electric Co. | 4.400% | 3/1/44 | 265 | 295 |
| Oglethorpe Power Corp. | 5.950% | 11/1/39 | 415 | 512 |
| Oglethorpe Power Corp. | 5.375% | 11/1/40 | 901 | 1,053 |
| Oglethorpe Power Corp. | 5.250% | 9/1/50 | 535 | 609 |
| Ohio Edison Co. | 6.875% | 7/15/36 | 870 | 1,175 |
| Oklahoma Gas & Electric Co. | 4.150% | 4/1/47 | 425 | 453 |
| Oklahoma Gas & Electric Co. | 3.850% | 8/15/47 | 525 | 538 |
| Oncor Electric Delivery Co. LLC | 7.000% | 5/1/32 | 1,209 | 1,685 |
| Oncor Electric Delivery Co. LLC | 7.250% | 1/15/33 | 605 | 854 |
89
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Oncor Electric Delivery Co. LLC | 7.500% | 9/1/38 | 525 | 789 |
| Oncor Electric Delivery Co. LLC | 5.250% | 9/30/40 | 830 | 1,010 |
| Oncor Electric Delivery Co. LLC | 4.550% | 12/1/41 | 490 | 546 |
| Oncor Electric Delivery Co. LLC | 5.300% | 6/1/42 | 1,040 | 1,283 |
| Oncor Electric Delivery Co. LLC | 3.750% | 4/1/45 | 455 | 463 |
| Pacific Gas & Electric Co. | 6.050% | 3/1/34 | 6,209 | 8,075 |
| Pacific Gas & Electric Co. | 5.800% | 3/1/37 | 1,625 | 2,104 |
| Pacific Gas & Electric Co. | 6.350% | 2/15/38 | 144 | 196 |
| Pacific Gas & Electric Co. | 6.250% | 3/1/39 | 690 | 932 |
| Pacific Gas & Electric Co. | 5.400% | 1/15/40 | 1,410 | 1,744 |
| Pacific Gas & Electric Co. | 4.450% | 4/15/42 | 450 | 503 |
| Pacific Gas & Electric Co. | 3.750% | 8/15/42 | 130 | 131 |
| Pacific Gas & Electric Co. | 4.600% | 6/15/43 | 949 | 1,077 |
| Pacific Gas & Electric Co. | 5.125% | 11/15/43 | 678 | 826 |
| Pacific Gas & Electric Co. | 4.750% | 2/15/44 | 1,365 | 1,589 |
| Pacific Gas & Electric Co. | 4.300% | 3/15/45 | 770 | 840 |
| Pacific Gas & Electric Co. | 4.250% | 3/15/46 | 820 | 895 |
| Pacific Gas & Electric Co. | 4.000% | 12/1/46 | 2,000 | 2,105 |
| PacifiCorp | 7.700% | 11/15/31 | 550 | 812 |
| PacifiCorp | 5.250% | 6/15/35 | 585 | 705 |
| PacifiCorp | 6.100% | 8/1/36 | 365 | 482 |
| PacifiCorp | 5.750% | 4/1/37 | 1,054 | 1,350 |
| PacifiCorp | 6.250% | 10/15/37 | 1,019 | 1,377 |
| PacifiCorp | 6.350% | 7/15/38 | 680 | 937 |
| PacifiCorp | 6.000% | 1/15/39 | 1,005 | 1,334 |
| PacifiCorp | 4.100% | 2/1/42 | 1,070 | 1,139 |
| PECO Energy Co. | 5.950% | 10/1/36 | 170 | 222 |
| PECO Energy Co. | 4.150% | 10/1/44 | 240 | 261 |
| Potomac Electric Power Co. | 6.500% | 11/15/37 | 530 | 733 |
| Potomac Electric Power Co. | 4.150% | 3/15/43 | 2,377 | 2,555 |
| PPL Capital Funding Inc. | 4.700% | 6/1/43 | 535 | 586 |
| PPL Capital Funding Inc. | 5.000% | 3/15/44 | 725 | 833 |
| PPL Electric Utilities Corp. | 6.250% | 5/15/39 | 1,050 | 1,425 |
| PPL Electric Utilities Corp. | 4.750% | 7/15/43 | 250 | 295 |
| PPL Electric Utilities Corp. | 4.125% | 6/15/44 | 480 | 513 |
| PPL Electric Utilities Corp. | 3.950% | 6/1/47 | 1,000 | 1,055 |
| Progress Energy Inc. | 7.750% | 3/1/31 | 1,130 | 1,623 |
| Progress Energy Inc. | 7.000% | 10/30/31 | 642 | 884 |
| Progress Energy Inc. | 6.000% | 12/1/39 | 840 | 1,076 |
| PSEG Power LLC | 8.625% | 4/15/31 | 965 | 1,285 |
| Public Service Co. of Colorado | 6.500% | 8/1/38 | 230 | 321 |
| Public Service Co. of Colorado | 3.600% | 9/15/42 | 1,045 | 1,041 |
| Public Service Co. of Colorado | 4.300% | 3/15/44 | 1,050 | 1,161 |
| Public Service Co. of Colorado | 3.800% | 6/15/47 | 575 | 595 |
| Public Service Electric & Gas Co. | 5.800% | 5/1/37 | 440 | 569 |
| Public Service Electric & Gas Co. | 5.500% | 3/1/40 | 105 | 133 |
| Public Service Electric & Gas Co. | 3.950% | 5/1/42 | 755 | 799 |
| Public Service Electric & Gas Co. | 3.650% | 9/1/42 | 905 | 909 |
| Public Service Electric & Gas Co. | 3.800% | 1/1/43 | 950 | 970 |
| Public Service Electric & Gas Co. | 3.800% | 3/1/46 | 925 | 957 |
| Puget Sound Energy Inc. | 6.274% | 3/15/37 | 426 | 567 |
| Puget Sound Energy Inc. | 5.757% | 10/1/39 | 585 | 730 |
| Puget Sound Energy Inc. | 5.795% | 3/15/40 | 477 | 615 |
| Puget Sound Energy Inc. | 5.638% | 4/15/41 | 400 | 508 |
| Puget Sound Energy Inc. | 4.300% | 5/20/45 | 1,208 | 1,334 |
| San Diego Gas & Electric Co. | 6.000% | 6/1/39 | 504 | 678 |
| San Diego Gas & Electric Co. | 4.500% | 8/15/40 | 416 | 471 |
| San Diego Gas & Electric Co. | 3.750% | 6/1/47 | 800 | 818 |
| Sierra Pacific Power Co. | 6.750% | 7/1/37 | 655 | 899 |
| South Carolina Electric & Gas Co. | 6.625% | 2/1/32 | 1,040 | 1,365 |
| South Carolina Electric & Gas Co. | 5.300% | 5/15/33 | 505 | 595 |
| South Carolina Electric & Gas Co. | 6.050% | 1/15/38 | 490 | 632 |
| South Carolina Electric & Gas Co. | 5.450% | 2/1/41 | 435 | 535 |
| South Carolina Electric & Gas Co. | 4.350% | 2/1/42 | 821 | 882 |
90
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| South Carolina Electric & Gas Co. | 4.600% | 6/15/43 | 930 | 1,036 |
| South Carolina Electric & Gas Co. | 4.100% | 6/15/46 | 735 | 765 |
| South Carolina Electric & Gas Co. | 4.500% | 6/1/64 | 698 | 760 |
| South Carolina Electric & Gas Co. | 5.100% | 6/1/65 | 790 | 950 |
| Southern California Edison Co. | 6.650% | 4/1/29 | 450 | 585 |
| Southern California Edison Co. | 6.000% | 1/15/34 | 585 | 755 |
| Southern California Edison Co. | 5.750% | 4/1/35 | 251 | 320 |
| Southern California Edison Co. | 5.350% | 7/15/35 | 605 | 741 |
| Southern California Edison Co. | 5.550% | 1/15/36 | 220 | 272 |
| Southern California Edison Co. | 5.625% | 2/1/36 | 1,540 | 1,937 |
| Southern California Edison Co. | 5.550% | 1/15/37 | 450 | 565 |
| Southern California Edison Co. | 5.950% | 2/1/38 | 997 | 1,314 |
| Southern California Edison Co. | 6.050% | 3/15/39 | 600 | 806 |
| Southern California Edison Co. | 5.500% | 3/15/40 | 570 | 725 |
| Southern California Edison Co. | 4.500% | 9/1/40 | 520 | 587 |
| Southern California Edison Co. | 4.050% | 3/15/42 | 1,595 | 1,705 |
| Southern California Edison Co. | 3.900% | 3/15/43 | 775 | 817 |
| Southern California Edison Co. | 4.650% | 10/1/43 | 1,316 | 1,535 |
| Southern California Edison Co. | 3.600% | 2/1/45 | 596 | 594 |
| Southern California Edison Co. | 4.000% | 4/1/47 | 1,225 | 1,317 |
| Southern Co. | 4.250% | 7/1/36 | 856 | 887 |
| Southern Co. | 4.400% | 7/1/46 | 3,025 | 3,142 |
| Southern Power Co. | 5.150% | 9/15/41 | 1,035 | 1,134 |
| Southern Power Co. | 5.250% | 7/15/43 | 420 | 463 |
| Southern Power Co. | 4.950% | 12/15/46 | 650 | 701 |
| Southwestern Electric Power Co. | 6.200% | 3/15/40 | 575 | 753 |
| Southwestern Electric Power Co. | 3.900% | 4/1/45 | 1,025 | 1,036 |
| Southwestern Public Service Co. | 4.500% | 8/15/41 | 370 | 415 |
| Southwestern Public Service Co. | 3.400% | 8/15/46 | 1,000 | 955 |
| Southwestern Public Service Co. | 3.700% | 8/15/47 | 775 | 784 |
| Tampa Electric Co. | 6.550% | 5/15/36 | 50 | 66 |
| Tampa Electric Co. | 6.150% | 5/15/37 | 265 | 339 |
| Tampa Electric Co. | 4.100% | 6/15/42 | 515 | 537 |
| Tampa Electric Co. | 4.350% | 5/15/44 | 840 | 903 |
| Toledo Edison Co. | 6.150% | 5/15/37 | 710 | 895 |
| TransAlta Corp. | 6.500% | 3/15/40 | 680 | 679 |
| Union Electric Co. | 5.300% | 8/1/37 | 635 | 773 |
| Union Electric Co. | 8.450% | 3/15/39 | 560 | 910 |
| Union Electric Co. | 3.900% | 9/15/42 | 752 | 788 |
| Union Electric Co. | 3.650% | 4/15/45 | 790 | 793 |
| Virginia Electric & Power Co. | 6.000% | 1/15/36 | 1,010 | 1,304 |
| Virginia Electric & Power Co. | 6.000% | 5/15/37 | 913 | 1,207 |
| Virginia Electric & Power Co. | 6.350% | 11/30/37 | 827 | 1,124 |
| Virginia Electric & Power Co. | 8.875% | 11/15/38 | 454 | 776 |
| Virginia Electric & Power Co. | 4.000% | 1/15/43 | 1,010 | 1,059 |
| Virginia Electric & Power Co. | 4.650% | 8/15/43 | 995 | 1,138 |
| Virginia Electric & Power Co. | 4.450% | 2/15/44 | 1,270 | 1,415 |
| Virginia Electric & Power Co. | 4.200% | 5/15/45 | 590 | 640 |
| Virginia Electric & Power Co. | 4.000% | 11/15/46 | 1,114 | 1,174 |
| Westar Energy Inc. | 4.125% | 3/1/42 | 950 | 1,011 |
| Westar Energy Inc. | 4.100% | 4/1/43 | 748 | 808 |
| Westar Energy Inc. | 4.250% | 12/1/45 | 317 | 347 |
| Wisconsin Electric Power Co. | 5.625% | 5/15/33 | 335 | 410 |
| Wisconsin Electric Power Co. | 5.700% | 12/1/36 | 250 | 316 |
| Wisconsin Electric Power Co. | 4.250% | 6/1/44 | 270 | 290 |
| Wisconsin Electric Power Co. | 4.300% | 12/15/45 | 420 | 456 |
| Wisconsin Power & Light Co. | 6.375% | 8/15/37 | 484 | 656 |
| Wisconsin Public Service Corp. | 3.671% | 12/1/42 | 370 | 368 |
| Wisconsin Public Service Corp. | 4.752% | 11/1/44 | 570 | 668 |
| Xcel Energy Inc. | 6.500% | 7/1/36 | 530 | 712 |
| Natural Gas (0.7%) | | | | |
| Atmos Energy Corp. | 5.500% | 6/15/41 | 750 | 938 |
| Atmos Energy Corp. | 4.150% | 1/15/43 | 872 | 931 |
91
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| August 31, 2017 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Atmos Energy Corp. | 4.125% | 10/15/44 | 1,740 | 1,874 |
| CenterPoint Energy Resources Corp. | 5.850% | 1/15/41 | 639 | 800 |
| CenterPoint Energy Resources Corp. | 4.100% | 9/1/47 | 525 | 537 |
| KeySpan Corp. | 5.803% | 4/1/35 | 155 | 191 |
| NiSource Finance Corp. | 5.950% | 6/15/41 | 800 | 1,011 |
| Nisource Finance Corp. | 5.250% | 2/15/43 | 910 | 1,070 |
| NiSource Finance Corp. | 4.800% | 2/15/44 | 1,198 | 1,342 |
| NiSource Finance Corp. | 5.650% | 2/1/45 | 125 | 155 |
| NiSource Finance Corp. | 4.375% | 5/15/47 | 2,210 | 2,359 |
| ONE Gas Inc. | 4.658% | 2/1/44 | 738 | 829 |
| Piedmont Natural Gas Co. Inc. | 4.650% | 8/1/43 | 325 | 363 |
| Piedmont Natural Gas Co. Inc. | 3.640% | 11/1/46 | 500 | 482 |
| Sempra Energy | 6.000% | 10/15/39 | 1,276 | 1,625 |
| Southern California Gas Co. | 5.125% | 11/15/40 | 760 | 926 |
| Southern California Gas Co. | 3.750% | 9/15/42 | 325 | 338 |
| Southern Co. Gas Capital Corp. | 6.000% | 10/1/34 | 215 | 259 |
| Southern Co. Gas Capital Corp. | 5.875% | 3/15/41 | 1,234 | 1,517 |
| Southern Co. Gas Capital Corp. | 4.400% | 6/1/43 | 785 | 820 |
| Southern Co. Gas Capital Corp. | 3.950% | 10/1/46 | 650 | 637 |
| Southern Co. Gas Capital Corp. | 4.400% | 5/30/47 | 850 | 891 |
| Southwest Gas Corp. | 4.875% | 10/1/43 | 300 | 333 |
| Southwest Gas Corp. | 3.800% | 9/29/46 | 500 | 489 |
| Other Utility (0.3%) | | | | |
| American Water Capital Corp. | 6.593% | 10/15/37 | 1,730 | 2,412 |
| American Water Capital Corp. | 4.300% | 12/1/42 | 475 | 516 |
| American Water Capital Corp. | 4.300% | 9/1/45 | 725 | 788 |
| American Water Capital Corp. | 4.000% | 12/1/46 | 325 | 339 |
| American Water Capital Corp. | 3.750% | 9/1/47 | 1,300 | 1,324 |
| United Utilities plc | 6.875% | 8/15/28 | 745 | 919 |
| Veolia Environnement SA | 6.750% | 6/1/38 | 692 | 911 |
| | | | | 321,054 |
| |
| Total Corporate Bonds (Cost $2,633,182) | | | | 2,737,566 |
| |
| Taxable Municipal Bonds (0.2%) | | | | |
| George Washington University District of Columbia GO | 4.300% | 9/15/44 | 900 | 992 |
| George Washington University District of Columbia GO | 4.868% | 9/15/45 | 40 | 48 |
| Missouri Health & Educational Facilities Authority | | | | |
| Revenue (Washington University) | 3.652% | 8/15/57 | 600 | 612 |
| New York University Hospitals Center Revenue | 5.750% | 7/1/43 | 745 | 956 |
| President & Fellows of Harvard College Massachusetts | | | | |
| GO | 4.875% | 10/15/40 | 443 | 557 |
| President & Fellows of Harvard College Massachusetts | | | | |
| GO | 3.150% | 7/15/46 | 540 | 518 |
| Princeton University New Jersey GO | 5.700% | 3/1/39 | 665 | 916 |
| University of Southern California GO | 5.250% | 10/1/11 | 770 | 962 |
| |
| Total Taxable Municipal Bonds (Cost $5,279) | | | | 5,561 |
| |
| |
| | | | Shares | |
| |
| Temporary Cash Investment (0.7%) | | | | |
| Money Market Fund (0.7%) | | | | |
| 3 Vanguard Market Liquidity Fund (Cost | | | | |
| $18,613) | 1.224% | | 186,100 | 18,614 |
| |
| Total Investments (99.1%) (Cost $2,657,132) | | | | 2,761,799 |
| Other Assets and Liabilities—Net (0.9%)4 | | | | 24,697 |
| Net Assets (100%) | | | | 2,786,496 |
92
Vanguard® Long-Term Corporate Bond Index Fund
Schedule of Investments
August 31, 2017
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 August 31, 2017, the aggregate value of these securities was $49,747,000,
representing 1.8% 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 $417,000 has been segregated as initial margin for open futures contracts.
GO—General Obligation Bond.
93
|
| © 2017 The Vanguard Group, Inc. |
| All rights reserved. |
| Vanguard Marketing Corporation, Distributor. |
| |
| SNA16420 102017 |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Scottsdale Funds and the Shareholders of Vanguard Russell 1000 Index Fund, Vanguard Russell 1000 Value Index Fund and Vanguard Russell 1000 Growth Index Fund
In our opinion, the accompanying statements of net assets – investments summary and the related statements of operations and of changes in net assets and the financial highlights (included in Item 1 of this Form N-CSR) and the schedules of investments (included in Item 6 of this Form N-CSR) present fairly, in all material respects, the financial position of Vanguard Russell 1000 Index Fund, Vanguard Russell 1000 Value Index Fund and Vanguard Russell 1000 Growth Index Fund (constituting separate portfolios of Vanguard Scottsdale Funds, hereafter referred to as the “Funds”) as of August 31, 2017, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements, financial highlights and schedules of investments (hereafter referred to as "financial statements") are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of August 31, 2017 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP, Two Commerce Square, Suite 1800, 2001 Market Street, Philadelphia, PA 19103-7042
| | T: (267) 330 3000, F: (267) 330 3300, www.pwc.com/us |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Scottsdale Funds and the Shareholders of Vanguard Russell 2000 Index Fund, Vanguard Russell 2000 Value Index Fund and Vanguard Russell 2000 Growth Index Fund
In our opinion, the accompanying statements of net assets – investments summary and the related statements of operations and of changes in net assets and the financial highlights (included in Item 1 of this Form N-CSR) and the schedules of investments (included in Item 6 of this Form N-CSR) present fairly, in all material respects, the financial position of Vanguard Russell 2000 Index Fund, Vanguard Russell 2000 Value Index Fund and Vanguard Russell 2000 Growth Index Fund (constituting separate portfolios of Vanguard Scottsdale Funds, hereafter referred to as the “Funds”) as of August 31, 2017, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements, financial highlights and schedules of investments (hereafter referred to as "financial statements") are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of August 31, 2017 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP, Two Commerce Square, Suite 1800, 2001 Market Street, Philadelphia, PA 19103-7042
| | T:(267) 330 3000, F: (267) 330 3300, www.pwc.com/us |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Scottsdale Funds and the Shareholders of Vanguard Russell 3000 Index Fund
In our opinion, the accompanying statement of net assets – investments summary and the related statements of operations and of changes in net assets and the financial highlights (included in Item 1 of this Form N-CSR) and the schedule of investments (included in Item 6 of this Form N-CSR) present fairly, in all material respects, the financial position of Vanguard Russell 3000 Index Fund (constituting a separate portfolio of Vanguard Scottsdale Funds, hereafter referred to as the “Fund”) as of August 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements, financial highlights and schedule of investments (hereafter referred to as "financial statements") are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of August 31, 2017 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP, Two Commerce Square, Suite 1800, 2001 Market Street, Philadelphia, PA 19103-7042
| | T: (267) 330 3000, F: (267) 330 3300, www.pwc.com/us |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Scottsdale Funds and the Shareholders of Vanguard Short-Term Corporate Bond Index Fund, Vanguard Intermediate-Term Corporate Bond Index Fund and Vanguard Long-Term Corporate Bond Index Fund
In our opinion, the accompanying statements of net assets – investments summary and the related statements of operations and of changes in net assets and the financial highlights (included in Item 1 of this Form N-CSR) and the schedules of investments (included in Item 6 of this Form N-CSR) present fairly, in all material respects, the financial position of Vanguard Short-Term Corporate Bond Index Fund, Vanguard Intermediate-Term Corporate Bond Index Fund and Vanguard Long-Term Corporate Bond Index Fund (constituting separate portfolios of Vanguard Scottsdale Funds, hereafter referred to as the “Funds”) at August 31, 2017, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements, financial highlights and schedules of investments (hereafter referred to as "financial statements") are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2017 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.
Commission and is not intended to be and should not be used by anyone other than the specified parties.
PricewaterhouseCoopers LLP, Two Commerce Square, Suite 1800, 2001 Market Street, Philadelphia, PA 19103-7042
| | T:(267) 330 3000, F: (267) 330 3300, www.pwc.com/us |
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not Applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not Applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not Applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not Applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not Applicable.
Item 13: Exhibits.
(a) Code of Ethics.
(b) Certifications.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| |
| | VANGUARD SCOTTSDALE FUNDS |
| |
| |
| BY: | /s/ F. WILLIAM MCNABB III* |
| | F. WILLIAM MCNABB III |
| | CHIEF EXECUTIVE OFFICER |
| |
| Date: October 18, 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: October 18, 2017 |
| |
| | VANGUARD SCOTTSDALE FUNDS |
| |
| |
| BY: | /s/ THOMAS J. HIGGINS* |
| THOMAS J. HIGGINS |
| | CHIEF FINANCIAL OFFICER |
| |
| Date: October 18, 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.
