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, 2017 – February 28, 2018
Item 1: Reports to Shareholders
 |
| Semiannual Report | February 28, 2018 |
| 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 |
| CEO’s Perspective. | 2 |
| Advisors’ Report. | 5 |
| Results of Proxy Voting. | 9 |
| Fund Profile. | 10 |
| Performance Summary. | 11 |
| Financial Statements. | 12 |
| About Your Fund’s Expenses. | 23 |
| Trustees Approve Advisory Arrangements. | 25 |
| Glossary. | 27 |
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 about 8% for the six months ended February 28, 2018, surpassing the result of about 5% for the benchmark Russell 2500 Value Index and the average return of about 7% for its peer small-capitalization value funds.
• Large-cap stocks outperformed their mid- and small-cap counterparts during the period, while growth stocks exceeded value stocks.
• Eight of the fund’s industry sectors recorded gains, five of them in double digits.
Utilities, real estate, and consumer staples produced negative returns.
• Based on relative performance, real estate, information technology, consumer discretionary, and industrials were the fund’s strongest sectors. Financials, materials, and energy detracted from performance.
• The fund had no exposure to telecommunication services stocks. This helped boost performance, as the sector produced a negative return for the benchmark.
| |
| Total Returns: Six Months Ended February 28, 2018 | |
| | Total |
| | Returns |
| Vanguard Explorer Value Fund | 7.61% |
| Russell 2500 Value Index | 5.25 |
| Small-Cap Value Funds Average | 6.63 |
| Small-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
| | |
| Expense Ratios | | |
| Your Fund Compared With Its Peer Group | | |
| | | Peer Group |
| | Fund | Average |
| Explorer Value Fund | 0.55% | 1.30% |
The fund expense ratio shown is from the prospectus dated December 21, 2017, and represents estimated costs for the current fiscal year. For the six months ended February 28, 2018, the fund’s annualized expense ratio was 0.59%. The peer-group expense ratio is derived from data provided by Lipper, a Thomson Reuters Company, and captures information through year-end 2017.
Peer group: Small-Cap Value Funds.
1
CEO’s Perspective
Tim Buckley
President and Chief Executive Officer
Dear Shareholder,
As I begin my tenure as Vanguard’s fourth chief executive, I’ve been reflecting on both the past and the future of the company where I have spent my entire professional career.
I feel extremely fortunate to have the chance to lead a company filled with people who come to work every day passionate about Vanguard’s core purpose: to take a stand for all investors, to treat them fairly, and to give them the best chance for investment success.
Making a real difference
When I joined Vanguard in 1991, I found a mission-driven team focused on improving lives—helping people retire more comfortably, put their children through college, and achieve financial security. I found a company with purpose in an industry ripe for improvement.
It was clear, even early in my career, that the cards were stacked against most investors. Hidden fees, performance-chasing, and poor advice were relentlessly eroding investors’ dreams.
We knew Vanguard could be different and, as a result, could make a real difference. Over the past 25 years, for example, Vanguard has lowered our funds’ asset-weighted average expense ratio
2
from 0.31% to 0.12%. And over the past decade, 94% of our funds have beaten the average annual return of their peers.1
Focused on your success
Vanguard is built for Vanguard investors—as a client-owned company, we focus solely on you, our fund shareholders. Everything we do is designed to give our clients the best chance for investment success. In my role as CEO, I intend to keep this priority front and center. We’re proud of what we’ve achieved, but we’re even more excited about what’s to come.
As I write this, we’ve experienced a period of pronounced market volatility. Strong economic growth and budding signs of inflation have raised concerns about a more aggressive Federal Reserve. Although volatility can test investors’ nerves, we sometimes think of this as “Vanguard weather”—a time when having a disciplined, low-cost, and long-term approach to investment management serves investors well.
| | | |
| Market Barometer | | | |
| | | | Total Returns |
| | | Periods Ended February 28, 2018 |
| | Six | One | Five Years |
| | Months | Year | (Annualized) |
| Stocks | | | |
| Russell 1000 Index (Large-caps) | 10.62% | 16.70% | 14.56% |
| Russell 2000 Index (Small-caps) | 8.30 | 10.51 | 12.19 |
| Russell 3000 Index (Broad U.S. market) | 10.45 | 16.22 | 14.37 |
| FTSE All-World ex US Index (International) | 7.84 | 21.50 | 6.69 |
| |
| Bonds | | | |
| Bloomberg Barclays U.S. Aggregate Bond Index | | | |
| (Broad taxable market) | -2.18% | 0.51% | 1.71% |
| Bloomberg Barclays Municipal Bond Index | | | |
| (Broad tax-exempt market) | -1.24 | 2.50 | 2.57 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.59 | 0.98 | 0.27 |
| |
| CPI | | | |
| Consumer Price Index | 1.41% | 2.21% | 1.41% |
The performance data shown represent past performance, which is not a guarantee of future results.
1 For the ten-year period through December 31, 2017, 9 of 9 Vanguard money market funds, 56 of 60 bond funds, 21 of 22 balanced funds, and 131 of 140 stock funds, or 217 of 231 Vanguard funds, outperformed their peer-group averages. Sources: Vanguard, based on data from Lipper, a Thomson Reuters Company.
3
Steady, time-tested guidance
Our guidance for investors, as always, is to stay the course, tune out the hyperbolic headlines, and focus on your goals and what you can control, such as costs and how much you save. This time-tested advice has served our clients well over the decades.
Regardless of how the markets perform in the short term, I’m incredibly optimistic about the future for our investors. We have a dedicated team serving you, and we will never stop striving to make Vanguard the best place for you to invest through our high-quality funds and services, advice and guidance to help you meet your financial goals, and an experience that makes you feel good about entrusting us with your hard-earned savings.
Thank you for your continued loyalty.
Sincerely,
Mortimer J. Buckley
President and Chief Executive Officer
March 19, 2018
4
Advisors’ Report
For the six months ended February 28, 2018, Vanguard Explorer Value Fund returned 7.61%, ahead of the return of its benchmark, the Russell 2500 Value Index, and the average return of its small-capitalization value peers. Your fund is managed by two independent advisors, a strategy that enhances the fund’s diversification by providing exposure to distinct yet complementary investment approaches. It is not uncommon for different advisors to have different views about individual securities or the broader investment environment.
The advisors, the amount and percentage of fund assets each manages, and brief descriptions of their investment strategies are presented in the table below. The advisors have also prepared a discussion of the investment environment that existed during the six months and of how their portfolio positioning reflects this assessment. (Please note that the Frontier discussion refers to industry sectors as defined by Russell classifications, rather than by the Global Industry Classification Standard used elsewhere in this report.) These comments were prepared on March 15, 2018.
| | | |
| Vanguard Explorer Value Fund Investment Advisors | |
| |
| | Fund Assets Managed | |
| Investment Advisor | % | $ Million | Investment Strategy |
| Cardinal Capital Management, | 49 | 330 | 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 | 320 | 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 | 4 | 25 | These short-term reserves are invested by |
| | | | Vanguard in equity index products to simulate |
| | | | investment in stocks. Each advisor may also |
| | | | maintain a modest cash position. |
5
Cardinal Capital Management, L.L.C.
Portfolio Managers:
Eugene Fox III, Managing Partner
Robert B. Kirkpatrick, CFA,
Managing Partner
Rachel D. Matthews, Partner
Robert Fields, Partner
For the six months ended February 28, 2018, the performance of Cardinal’s portion of the Explorer Value Fund outpaced that of its benchmark.
During this period, the performance of small- and mid-capitalization stocks was best characterized as cyclical. The consumer discretionary, materials, industrial, and energy sectors were the strongest performers, while the telecommunication services, real estate, and utilities sectors were the weakest. Stocks with larger market capitalizations and lower price/forward-earnings ratios also provided better returns. Investor behavior was generally consistent with a more optimistic view of the economy, primarily in response to the passage of the Tax Cuts and Jobs Act.
The main contributors to relative performance in our portion of the fund were stock selection in the information technology sector, a lower weighting and stock selection in the poorly performing real estate sector, not owning utilities, and stock selection in industrials. The primary detractor from relative performance was stock selection in materials.
Within information technology, the share price of internet services provider IAC/ InterActiveCorp rose significantly on strong results, particularly in its 83%-owned subsidiary, Match Group. In real estate, the share price of real estate owner and developer Howard Hughes rose as the company signed an attractive lease at its South Street Seaport commercial redevelopment and reported steady progress at its Summerlin and Ward Village residential projects. Not owning utilities contributed to performance because the sector declined as U.S. Treasury yields rose.
In industrials, shares of used-car auctioneer KAR Auction Services rose on solid results and guidance. In materials, shares of agricultural chemical provider FMC, a top performer in 2017, declined in early 2018 on concerns that the prospects for its lithium business would be less attractive after Latin American competitor SQM announced that it had secured access to a substantial new supply of lithium carbonate from the Chilean government.
Our near-term outlook for equities remains cautious as equity market valuations are full despite most economic indicators pointing to steady growth for 2018. The Federal Reserve, believing that inflation will hit its target, expects to gradually raise interest rates during the year. Inflation could become an area of concern if global growth pressures commodity prices and tight labor markets drive wage increases.
6
Although economic fundamentals continue to improve across much of the developed world, the U.S. dollar could gain support from improving U.S. growth. The mergers-and-acquisitions market should continue to be active as long as inexpensive capital is available and shareholder activism continues to lead to corporate breakups and sales of non-core assets.
Our investment team’s focus consistently remains on 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 believe that we are being adequately compensated, overall portfolio risk is reduced because the tools under management’s control are generally more dependable. Looking ahead, companies in our portfolio continue to redeploy their free cash flow through share repurchases, dividends, and opportunistic acquisitions that should bode well for future value creation.
Frontier Capital Management Co., LLC
Portfolio Managers:
Thomas W. Duncan, Jr.,
Executive Vice President
William A. Teichner, CFA,
Executive Vice President
Our portion of the fund benefited from positive stock and sector selection. Relative total attribution was positive in seven of the nine Russell sectors and was strongest in producer durables, materials and processing, and consumer discretionary. Financial services and health care were the only detractors.
The portfolio’s ten best contributing stocks added, on average, approximately 60 basis points each to absolute performance. (One basis point is equal to one-hundredth of 1%, and is used to denote the percentage change in a financial instrument.) These holdings were spread across four sectors and included four consumer discretionary companies and two holdings each from producer durables, materials and processing, and technology. The consumer discretionary positions included an entry-level home builder, two footwear-related companies, and a for-profit university.
The top contributor was LGI Homes (LGIH), a builder focused on first-time homeowners. The stock added approximately 120 basis points to performance as the company exceeded consensus earnings estimates. Earnings were driven by revenues, which grew with robust home sales across the firm’s nationwide markets as it deployed its distinctive marketing model. The company targets renters in a 25-mile radius of its communities through intensive direct mail campaigns in which it highlights the affordable monthly payments on an LGIH home.
The portfolio’s ten largest detractors trimmed, on average, approximately 30 basis points each from performance. These stocks were spread over four sectors and included four financial services
7
companies, three technology firms, two utilities, and one consumer discretionary holding. The financials included two property and casualty insurance stocks and two real estate investment trusts focused on office buildings.
The largest detractor was Aspen Insurance, a worldwide provider of insurance and reinsurance. The stock hindered performance by approximately 50 basis points. This was largely related to more than $300 million of losses from the three major hurricanes—Harvey, Irma, and Maria—that hit the U.S. in August and September 2017, along with more than $130 million in losses from wildfires in California. Harvey and Irma were the largest hurricanes to strike the U.S. since 2005, while Maria was the biggest storm to hit Puerto Rico since 1928.
Insuring against natural catastrophes is part of Aspen’s business, and the company diversifies its risk across the globe and limits its exposure by area and type of event. Nevertheless, there can be volatility in the year-to-year returns of insurance stocks, and our approach is to take a long-term view. The company is inexpensive as it trades around 90% of tangible book value. Over time, we believe the stock’s total return should benefit from growth in book value per share, dividends, and a higher multiple of book value.
During the period we bought three new stocks and sold six others. The purchases were spread across three sectors; the sales were across four. The net effect was an increase in consumer discretionary stocks and a reduction in materials and processing, technology, and financial services holdings. As is typical with our approach to investing, the changes were related to company-specific reasons rather than top-down positioning.
8
Results of Proxy Voting
At a special meeting of shareholders on November 15, 2017, fund shareholders approved the following proposals:
Proposal 1—Elect trustees for the fund.*
The individuals listed in the table below were elected as trustees for the fund. All trustees with the exception of Ms. Mulligan, Ms. Raskin, and Mr. Buckley (each of whom already serves as a director of The Vanguard Group, Inc.) served as trustees to the funds prior to the shareholder meeting.
| | | |
| | | | Percentage |
| Trustee | For | Withheld | For |
| Mortimer J. Buckley | 797,579,784 | 15,541,140 | 98.1% |
| Emerson U. Fullwood | 796,911,377 | 16,209,547 | 98.0% |
| Amy Gutmann | 796,611,379 | 16,509,545 | 98.0% |
| JoAnn Heffernan Heisen | 795,715,738 | 17,405,186 | 97.9% |
| F. Joseph Loughrey | 796,955,260 | 16,165,664 | 98.0% |
| Mark Loughridge | 797,027,324 | 16,093,600 | 98.0% |
| Scott C. Malpass | 797,191,317 | 15,929,607 | 98.0% |
| F. William McNabb III | 794,211,732 | 18,909,192 | 97.7% |
| Deanna Mulligan | 797,691,084 | 15,429,840 | 98.1% |
| André F. Perold | 793,048,517 | 20,072,408 | 97.5% |
| Sarah Bloom Raskin | 797,096,185 | 16,024,739 | 98.0% |
| Peter F. Volanakis | 796,849,973 | 16,270,951 | 98.0% |
| *Results are for all funds within the same trust. | | | |
Proposal 3—Approve a manager-of-managers arrangement with wholly owned subsidiaries of Vanguard.
This arrangement enables Vanguard or the fund to enter into and materially amend investment advisory arrangements with wholly owned subsidiaries of Vanguard, subject to the approval of the fund’s board of trustees and any conditions imposed by the Securities and Exchange Commission (SEC), while avoiding the costs and delays associated with obtaining future shareholder approval. The ability of the fund to operate in this manner is contingent upon the SEC’s approval of a pending application for an order of exemption.
| | | | | |
| | | | | Broker | Percentage |
| Vanguard Fund | For | Abstain | Against | Non-Votes | For |
| Explorer Value Fund | 8,927,842 | 378,646 | 577,409 | 853,969 | 83.1% |
9
Explorer Value Fund
Fund Profile
As of February 28, 2018
| | | |
| Portfolio Characteristics | | |
| | | Russell | DJ |
| | | 2500 | U.S. Total |
| | | Value | Market |
| | Fund | Index | FA Index |
| Number of Stocks | 112 | 1,737 | 3,746 |
| Median Market Cap | $3.2B | $4.3B | $68.2B |
| Price/Earnings Ratio | 20.5x | 16.9x | 21.7x |
| Price/Book Ratio | 1.8x | 1.6x | 3.0x |
| Return on Equity | 8.2% | 8.1% | 15.0% |
| Earnings Growth | | | |
| Rate | 12.7% | 6.6% | 8.5% |
| Dividend Yield | 1.5% | 2.1% | 1.7% |
| Foreign Holdings | 1.2% | 0.0% | 0.0% |
| Turnover Rate | | | |
| (Annualized) | 34% | — | — |
| Ticker Symbol | VEVFX | — | — |
| Expense Ratio1 | 0.55% | — | — |
| 30-Day SEC Yield | 0.97% | — | — |
| Short-Term Reserves | 3.5% | — | — |
| | | |
| Sector Diversification (% of equity exposure) |
| | | Russell | DJ |
| | | 2500 | U.S. Total |
| | | Value | Market |
| | Fund | Index | FA Index |
| Consumer Discretionary | 11.7% | 10.7% | 13.0% |
| Consumer Staples | 3.5 | 3.4 | 6.8 |
| Energy | 5.2 | 6.7 | 5.2 |
| Financials | 24.9 | 25.1 | 15.4 |
| Health Care | 4.9 | 6.0 | 13.4 |
| Industrials | 16.9 | 13.6 | 10.8 |
| Information Technology | 13.6 | 8.6 | 24.2 |
| Materials | 8.4 | 5.9 | 3.3 |
| Real Estate | 8.2 | 13.4 | 3.5 |
| Telecommunication | | | |
| Services | 0.0 | 0.3 | 1.7 |
| Utilities | 2.7 | 6.3 | 2.7 |
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 | 0.70 |
| Beta | 1.00 | 1.01 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
| | |
| Ten Largest Holdings (% of total net assets) |
| IAC/InterActiveCorp | Internet Software & | |
| | Services | 2.7% |
| PacWest Bancorp | Regional Banks | 2.6 |
| KAR Auction Services | Diversified Support | |
| Inc. | Services | 2.3 |
| Columbia Banking | | |
| System Inc. | Regional Banks | 1.7 |
| Nexstar Media Group | | |
| Inc. | Broadcasting | 1.7 |
| MB Financial Inc. | Regional Banks | 1.7 |
| Genesee & Wyoming | | |
| Inc. | Railroads | 1.6 |
| Ligand Pharmaceuticals | | |
| Inc. | Biotechnology | 1.6 |
| ACI Worldwide Inc. | Application Software | 1.6 |
| Six Flags Entertainment | | |
| Corp. | Leisure Facilities | 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 21, 2017, and represents estimated costs for the current fiscal year. For the six months ended February 28, 2018, the annualized expense ratio was 0.59%.
10
Explorer Value Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): March 30, 2010, Through February 28, 2018
Average Annual Total Returns: Periods Ended December 31, 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 | 13.27% | 13.99% | 13.13% |
See Financial Highlights for dividend and capital gains information.
11
Explorer Value Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2018
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 (93.2%)1 | | |
| Consumer Discretionary (10.9%) | |
| | Nexstar Media Group Inc. | | |
| | Class A | 161,527 | 11,541 |
| | Six Flags Entertainment | | |
| | Corp. | 162,597 | 10,421 |
| * | Modine Manufacturing | | |
| | Co. | 397,229 | 9,136 |
| * | Career Education Corp. | 554,892 | 7,341 |
| | Lithia Motors Inc. Class A | 68,666 | 7,134 |
| | Wendy’s Co. | 292,246 | 4,661 |
| * | Deckers Outdoor Corp. | 40,641 | 3,844 |
| * | Boot Barn Holdings Inc. | 209,382 | 3,689 |
| ^,* | Lands’ End Inc. | 203,051 | 3,655 |
| * | Vista Outdoor Inc. | 201,222 | 3,467 |
| * | LGI Homes Inc. | 56,031 | 3,171 |
| * | Del Taco Restaurants Inc. | 218,043 | 2,748 |
| ^ | Rent-A-Center Inc. | 177,557 | 1,335 |
| | Libbey Inc. | 209,202 | 1,312 |
| ^,* | Global Eagle | | |
| | Entertainment Inc. | 297,830 | 402 |
| | | | 73,857 |
| Consumer Staples (3.3%) | | |
| | Pinnacle Foods Inc. | 160,791 | 8,676 |
| * | HRG Group Inc. | 468,859 | 7,403 |
| * | Hostess Brands Inc. | | |
| | Class A | 323,148 | 3,956 |
| * | Central Garden & Pet Co. | | |
| | Class A | 53,506 | 1,939 |
| | | | 21,974 |
| Energy (4.8%) | | |
| * | Parsley Energy Inc. | | |
| | Class A | 321,868 | 8,137 |
| * | RSP Permian Inc. | 146,103 | 5,597 |
| * | Callon Petroleum Co. | 381,754 | 4,035 |
| * | PDC Energy Inc. | 72,998 | 3,835 |
| | SM Energy Co. | 193,832 | 3,555 |
| * | QEP Resources Inc. | 349,208 | 3,010 |
| | | | |
| | | | | Market |
| | | | | Value• |
| | | | Shares | ($000) |
| * | Carrizo Oil & Gas Inc. | 194,903 | 2,738 |
| * | International Seaways Inc. | 98,209 | 1,598 |
| | | | | 32,505 |
| Financials (23.5%) | | | |
| | PacWest Bancorp | | 336,435 | 17,542 |
| | Columbia Banking System | | |
| | Inc. | | 282,622 | 11,808 |
| | MB Financial Inc. | | 275,088 | 11,281 |
| | Popular Inc. | | 232,243 | 9,757 |
| | Argo Group International | | |
| | Holdings Ltd. | | 156,064 | 9,091 |
| | First Horizon National | | |
| | Corp. | | 460,484 | 8,772 |
| | Starwood Property Trust | | |
| | Inc. | | 410,464 | 8,312 |
| | Flushing Financial Corp. | 294,467 | 7,862 |
| | Washington Federal Inc. | 221,507 | 7,686 |
| | South State Corp. | | 82,412 | 7,145 |
| | Aspen Insurance Holdings | | |
| | Ltd. | | 190,586 | 6,937 |
| | BGC Partners Inc. Class A | 522,525 | 6,908 |
| | Affiliated Managers Group | | |
| | Inc. | | 35,276 | 6,680 |
| * | First BanCorp | | | |
| | (New York Shares) | 1,087,254 | 6,556 |
| | Navigators Group Inc. | 111,697 | 6,020 |
| | Renasant Corp. | | 143,359 | 5,987 |
| * | Bancorp Inc. | | 417,109 | 4,409 |
| | James River Group | | | |
| | Holdings Ltd. | | 127,821 | 4,181 |
| * | Texas Capital Bancshares | | |
| | Inc. | | 45,289 | 4,085 |
| | FirstCash Inc. | | 35,268 | 2,599 |
| * | Newmark Group Inc. | | | |
| | Class A | | 169,878 | 2,478 |
| | WSFS Financial Corp. | 47,139 | 2,249 |
| | | | | 158,345 |
12
Explorer Value Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| Health Care (4.1%) | | |
| * | Ligand Pharmaceuticals | | |
| | Inc. | 69,889 | 10,616 |
| * | Diplomat Pharmacy Inc. | 241,982 | 5,043 |
| * | Myriad Genetics Inc. | 141,523 | 4,588 |
| * | Impax Laboratories Inc. | 176,220 | 3,595 |
| * | Syneos Health Inc. | 59,519 | 2,494 |
| * | Lannett Co. Inc. | 83,961 | 1,343 |
| | | | 27,679 |
| Industrials (15.7%) | | |
| | KAR Auction Services Inc. | 282,579 | 15,282 |
| * | Genesee & Wyoming Inc. | | |
| | Class A | 158,987 | 11,054 |
| * | Teledyne Technologies Inc. | 43,686 | 8,123 |
| * | Beacon Roofing Supply Inc. | 150,325 | 7,954 |
| | BWX Technologies Inc. | 98,887 | 6,226 |
| * | Wesco Aircraft Holdings | | |
| | Inc. | 600,098 | 5,371 |
| | Kaman Corp. | 83,677 | 5,123 |
| | Interface Inc. Class A | 206,929 | 5,008 |
| | Encore Wire Corp. | 91,809 | 4,811 |
| * | BMC Stock Holdings Inc. | 242,735 | 4,551 |
| | HNI Corp. | 117,511 | 4,346 |
| | Actuant Corp. Class A | 179,597 | 4,077 |
| * | Saia Inc. | 49,671 | 3,609 |
| | EnerSys | 50,947 | 3,550 |
| * | MRC Global Inc. | 212,411 | 3,511 |
| * | WESCO International Inc. | 46,948 | 2,923 |
| | Altra Industrial Motion | | |
| | Corp. | 67,332 | 2,922 |
| | Briggs & Stratton Corp. | 123,055 | 2,766 |
| * | KLX Inc. | 40,116 | 2,715 |
| * | DXP Enterprises Inc. | 81,078 | 2,411 |
| | | | 106,333 |
| Information Technology (12.6%) | |
| * | IAC/InterActiveCorp | 121,029 | 18,022 |
| * | ACI Worldwide Inc. | 445,456 | 10,535 |
| * | Conduent Inc. | 454,590 | 8,592 |
| | Silicon Motion Technology | | |
| | Corp. ADR | 174,984 | 8,202 |
| * | Virtusa Corp. | 114,747 | 5,476 |
| | InterDigital Inc. | 70,798 | 5,083 |
| | j2 Global Inc. | 63,591 | 4,707 |
| | Jabil Inc. | 155,273 | 4,206 |
| ^,* | Match Group Inc. | 96,715 | 3,874 |
| * | Integrated Device | | |
| | Technology Inc. | 121,666 | 3,691 |
| * | Semtech Corp. | 97,945 | 3,296 |
| * | Infinera Corp. | 264,652 | 2,633 |
| * | Itron Inc. | 36,537 | 2,558 |
| * | Insight Enterprises Inc. | 65,279 | 2,280 |
| * | Veeco Instruments Inc. | 125,332 | 2,275 |
| | | | 85,430 |
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| Materials (8.0%) | | |
| | FMC Corp. | 128,962 | 10,121 |
| | Silgan Holdings Inc. | 315,552 | 8,978 |
| | Valvoline Inc. | 347,719 | 7,966 |
| * | Kraton Corp. | 171,026 | 7,253 |
| * | Allegheny Technologies | | |
| | Inc. | 191,513 | 4,962 |
| | Carpenter Technology | | |
| | Corp. | 93,960 | 4,786 |
| | Ashland Global Holdings | | |
| | Inc. | 49,290 | 3,491 |
| | Innophos Holdings Inc. | 81,554 | 3,389 |
| | Eagle Materials Inc. | 23,902 | 2,396 |
| | PH Glatfelter Co. | 41,414 | 845 |
| | | | 54,187 |
| Real Estate (7.7%) | | |
| * | Howard Hughes Corp. | 69,894 | 8,960 |
| | Medical Properties Trust | | |
| | Inc. | 671,807 | 8,236 |
| | Gaming and Leisure | | |
| | Properties Inc. | 228,514 | 7,600 |
| | Sunstone Hotel Investors | | |
| | Inc. | 472,938 | 6,825 |
| | Cousins Properties Inc. | 655,858 | 5,470 |
| | Invitation Homes Inc. | 227,532 | 4,949 |
| | Mack-Cali Realty Corp. | 262,629 | 4,436 |
| | Corporate Office | | |
| | Properties Trust | 128,128 | 3,198 |
| | National Retail Properties | | |
| | Inc. | 66,760 | 2,486 |
| | | | 52,160 |
| Utilities (2.6%) | | |
| | Portland General Electric | | |
| | Co. | 180,576 | 7,174 |
| | MDU Resources Group | | |
| | Inc. | 209,495 | 5,508 |
| | Unitil Corp. | 110,216 | 4,633 |
| | | | 17,315 |
| Total Common Stocks | | |
| (Cost $529,650) | | 629,785 |
| Temporary Cash Investments (7.8%)1 | |
| Money Market Fund (7.6%) | | |
| 2,3 | Vanguard Market | | |
| | Liquidity Fund, | | |
| | 1.601% | 510,615 | 51,056 |
13
Explorer Value Fund
| | | |
| | | Face | Market |
| | Amount | Value • |
| | | ($000) | ($000) |
| U. S. Government and Agency Obligations (0.2%) |
| | United States Treasury | | |
| | Bill, 1.432%, 4/26/18 | 400 | 399 |
| 4 | United States Treasury | | |
| | Bill, 1.424%, 5/31/18 | 150 | 150 |
| 4 | United States Treasury | | |
| | Bill, 1.509%, 6/21/18 | 1,100 | 1,094 |
| | | | 1,643 |
| Total Temporary Cash Investments | |
| (Cost $52,702) | | 52,699 |
| Total Investments (101.0%) | | |
| (Cost $582,352) | | 682,484 |
| Other Assets and Liabilities (-1.0%) | |
| Other Assets | | 2,393 |
| Liabilities 3 | | (9,470) |
| | | | (7,077) |
| Net Assets (100%) | | |
| Applicable to 18,908,089 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 675,407 |
| Net Asset Value Per Share | | $35.72 |
| |
| | | | Amount |
| | | | ($000) |
| Statement of Assets and Liabilities | |
| Assets | | |
| Investments in Securities, at Value | |
| | Unaffiliated Issuers | | 630,224 |
| | Collateral for Futures Contracts | | 1,204 |
| Total Unaffiliated Issuers | | 631,428 |
| | Affiliated Vanguard Funds | | 51,056 |
| Total Investments in Securities | | 682,484 |
| Investment in Vanguard | | 38 |
| Receivables for Investment Securities Sold | 1,025 |
| Receivables for Accrued Income | | 609 |
| Receivables for Capital Shares Issued | 686 |
| Other Assets | | 35 |
| Total Assets | | 684,877 |
| Liabilities | | |
| Payables for Investment Securities | |
| | Purchased | | 3,266 |
| Collateral for Securities on Loan | | 3,911 |
| Payables to Investment Advisor | | 605 |
| Payables for Capital Shares Redeemed | 773 |
| Payables to Vanguard | | 465 |
| Variation Margin Payable— | | |
| | Futures Contracts | | 450 |
| Total Liabilities | | 9,470 |
| Net Assets | | 675,407 |
| |
| At February 28, 2018, net assets consisted of: |
| | Amount |
| | ($000) |
| Paid-in Capital | 556,958 |
| Overdistributed Net Investment Income | (844) |
| Accumulated Net Realized Gains | 19,670 |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 100,132 |
| Futures Contracts | (509) |
| Net Assets | 675,407 |
• See Note A in Notes to Financial Statements.
^ Includes partial security positions on loan to broker-dealers.
The total value of securities on loan is $3,640,000.
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity
markets through the use of index futures contracts. After
giving effect to futures investments, the fund’s effective
common stock and temporary cash investment positions
represent 97.0% and 4.0%, 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 $3,911,000 of collateral received for securities
on loan.
4 Securities with a value of $1,204,000 have been segregated
as initial margin for open futures contracts.
ADR—American Depositary Receipt.
14
Explorer Value Fund
| | | | |
| Derivative Financial Instruments Outstanding as of Period End | | |
| Futures Contracts | | | | |
| | | | | ($000) |
| | | | | Value and |
| | | Number of | | Unrealized |
| | | Long (Short) | Notional | Appreciation |
| | Expiration | Contracts | Amount | (Depreciation) |
| Long Futures Contracts | | | | |
| E-mini Russell 2000 Index | March 2018 | 332 | 25,086 | (509) |
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.
15
Explorer Value Fund
Statement of Operations
| |
| | Six Months Ended |
| | February28,2018 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 4,108 |
| Interest1 | 325 |
| Securities Lending—Net | 39 |
| Total Income | 4,472 |
| Expenses | |
| Investment Advisory Fees—Note B | |
| Basic Fee | 1,063 |
| Performance Adjustment | 110 |
| The Vanguard Group—Note C | |
| Management and Administrative | 670 |
| Marketing and Distribution | 62 |
| Custodian Fees | 14 |
| Shareholders’ Reports and Proxy | 12 |
| Trustees’ Fees and Expenses | 1 |
| Total Expenses | 1,932 |
| Net Investment Income | 2,540 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 23,097 |
| Futures Contracts | 1,804 |
| Realized Net Gain (Loss) | 24,901 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 18,739 |
| Futures Contracts | (390) |
| Change in Unrealized Appreciation (Depreciation) | 18,349 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 45,790 |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $314,000, ($5,000), and ($10,000), respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
16
Explorer Value Fund
Statement of Changes in Net Assets
| | |
| | Six Months Ended | Year Ended |
| | February 28, | August 31, |
| | 2018 | 2017 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 2,540 | 5,213 |
| Realized Net Gain (Loss) | 24,901 | 17,669 |
| Change in Unrealized Appreciation (Depreciation) | 18,349 | 27,148 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 45,790 | 50,030 |
| Distributions | | |
| Net Investment Income | (5,243) | (4,203) |
| Realized Capital Gain1 | (20,022) | (6,166) |
| Total Distributions | (25,265) | (10,369) |
| Capital Share Transactions | | |
| Issued | 96,144 | 295,734 |
| Issued in Lieu of Cash Distributions | 24,128 | 9,836 |
| Redeemed | (72,330) | (115,593) |
| Net Increase (Decrease) from Capital Share Transactions | 47,942 | 189,977 |
| Total Increase (Decrease) | 68,467 | 229,638 |
| Net Assets | | |
| Beginning of Period | 606,940 | 377,302 |
| End of Period2 | 675,407 | 606,940 |
1 Includes fiscal 2018 and 2017 short-term gain distributions totaling $7,489,000 and $345,000, 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 ($844,000) and $1,859,000.
See accompanying Notes, which are an integral part of the Financial Statements.
17
Explorer Value Fund
Financial Highlights
| | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $34.45 | $31.55 | $30.09 | $32.97 | $29.39 | $23.44 |
| Investment Operations | | | | | | |
| Net Investment Income | .1401 | .3291 | .293 | .259 | .251 | .255 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | 2.517 | 3.331 | 2.964 | (1.284) | 5.539 | 6.429 |
| Total from Investment Operations | 2.657 | 3.660 | 3.257 | (1.025) | 5.790 | 6.684 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (. 288) | (. 308) | (. 237) | (. 272) | (.168) | (. 290) |
| Distributions from Realized Capital Gains | (1.099) | (.452) | (1.560) | (1.583) | (2.042) | (.444) |
| Total Distributions | (1.387) | (.760) | (1.797) | (1.855) | (2.210) | (.734) |
| Net Asset Value, End of Period | $35.72 | $34.45 | $31.55 | $30.09 | $32.97 | $29.39 |
| |
| Total Return2 | 7.61% | 11.64% | 11.41% | -3.12% | 20.34% | 29.19% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $675 | $607 | $377 | $291 | $323 | $222 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets3 | 0.59% | 0.55% | 0.57% | 0.56% | 0.57% | 0.60% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 0.92% | 0.98% | 1.03% | 0.78% | 0.83% | 0.88% |
| Portfolio Turnover Rate | 34% | 33% | 61% | 35% | 36% | 46% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information
about any applicable account service fees.
3 Includes performance-based investment advisory fee increases (decreases) of 0.03%, (0.01%), (0.01%), (0.02%), (0.02%), and 0.04%.
See accompanying Notes, which are an integral part of the Financial Statements.
18
Explorer Value Fund
Notes to Financial Statements
Vanguard Explorer Value Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The 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 six months ended February 28, 2018, the fund’s average investments in long and short futures contracts represented 3% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
3. Federal Income Taxes: The 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 for the period ended February 28, 2018, 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.
19
Explorer Value Fund
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the 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 tempo
rary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 28, 2018, 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 3000 Value Custom Index for the preceding three years. 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.
20
Explorer Value Fund
Vanguard manages the cash reserves of the fund as described below.
For the six months ended February 28, 2018, the aggregate investment advisory fee represented an effective annual basic rate of 0.32% of the fund’s average net assets, before an increase of $110,000 (0.03%) 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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2018, the fund had contributed to Vanguard capital in the amount of $38,000, 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 February 28, 2018, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 629,785 | — | — |
| Temporary Cash Investments | 51,056 | 1,643 | — |
| Futures Contracts—Liabilities1 | (450) | | — |
| Total | 680,391 | 1,643 | — |
| 1 Represents variation margin on the last day of the reporting period. | | | |
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
21
Explorer Value Fund
reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.
At February 28, 2018, the cost of investment securities for tax purposes was $582,352,000. Net unrealized appreciation of investment securities for tax purposes was $100,132,000, consisting of unrealized gains of $125,237,000 on securities that had risen in value since their purchase and $25,105,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 28, 2018, the fund purchased $120,889,000 of investment securities and sold $103,407,000 of investment securities, other than temporary cash investments.
G. Capital shares issued and redeemed were:
| | |
| | Six Months Ended | Year Ended |
| | February 28, 2018 | August 31, 2017 |
| | Shares | Shares |
| | (000) | (000) |
| Issued | 2,604 | 8,790 |
| Issued in Lieu of Cash Distributions | 659 | 290 |
| Redeemed | (1,972) | (3,422) |
| Net Increase (Decrease) in Shares Outstanding | 1,291 | 5,658 |
H. Management has determined that no material events or transactions occurred subsequent to February 28, 2018, that would require recognition or disclosure in these financial statements.
22
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.
23
| | | |
| Six Months Ended February 28, 2018 | | | |
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| Explorer Value Fund | 8/31/2017 | 2/28/2018 | Period |
| Based on Actual Fund Return | $1,000.00 | $1,076.13 | $3.04 |
| Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,021.87 | 2.96 |
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 0.59%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (181/365).
24
Trustees Approve Advisory Arrangements
The board of trustees of Vanguard Explorer Value Fund has renewed the fund’s investment advisory arrangements with Cardinal Capital Management, L.L.C. (Cardinal), and Frontier Capital Management Co., LLC (Frontier). The board determined that renewing the fund’s advisory arrangements was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of each advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisors and made monthly presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.
The board, or an investment committee made up of board members, also received information throughout the year during advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.
In addition, the board received monthly reports, which included a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report.
Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of the fund’s investment management services since its inception in 2010, and took into account the organizational depth and stability of each advisor. The board considered the following:
Cardinal. Founded in 1995, Cardinal is an investment advisor that manages small- and mid-cap value portfolios. Cardinal utilizes fundamental research to analyze a company’s ability to generate free cash flow and deploy that cash flow efficiently, enhancing shareholder value. Cardinal’s analysts engage extensively with company management teams to understand their capital allocation decisions. Cardinal seeks to purchase companies that can generate superior cash flow and make value-creating capital allocation decisions at attractive valuations. Cardinal has managed a portion of the fund since the fund’s inception.
Frontier. Founded in 1980, Frontier is an investment advisor with a long history of investing in small- and mid-cap stocks. Frontier employs a relative value approach that focuses on identifying companies with solid business models, unrecognized earnings power, and attractive valuations. The portfolio managers have the support of Frontier’s deep team of sector-focused analysts and other small- and mid-cap portfolio managers. Frontier has managed a portion of the fund since the fund’s inception.
The board concluded that each advisor’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangements.
25
Investment performance
The board considered the performance of the fund and each advisor since the fund’s inception, including any periods of outperformance or underperformance compared with a relevant benchmark and peer group. The board concluded that the performance was such that each advisory arrangement should continue. Information about the fund’s performance can be found in the Performance Summary section of this report.
Cost
The board concluded that the fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the fund’s advisory fee rate was also well below the peer-group average. Information about the fund’s expense ratio appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements section, which also includes information about the fund’s advisory fee rate.
The board did not consider the profitability of Cardinal or Frontier in determining whether to approve the advisory fees, because the firms are independent of Vanguard and the advisory fees are the result of arm’s-length negotiations.
The benefit of economies of scale
The board concluded that the fund’s shareholders benefit from economies of scale because of breakpoints in the advisory fee schedules for Cardinal and Frontier. The breakpoints reduce the effective rate of the fees as the fund’s assets managed by each advisor increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
26
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.
27
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.
28
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
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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 208 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 Trustees1
F. William McNabb III
Born in 1957. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2010–present) of Vanguard and of each of the investment companies served by Vanguard, trustee (2009–present) of each of the investment companies served by Vanguard, and director (2008–present) of Vanguard. Chief executive officer and president (2008–2017) of Vanguard and each of the investment companies served by Vanguard, managing director (1995–2008) of Vanguard, and director (1997–2018) of Vanguard Marketing Corporation. Director (2018–present) of UnitedHealth Group.
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) of the Children’s Hospital of Philadelphia.
Independent Trustees
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Lead director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania. Trustee of the National Constitution Center.
1 Mr. McNabb and Mr. Buckley are considered “interested persons,” as defined in the Investment Company Act of 1940, because they are officers of the Vanguard funds.
JoAnn Heffernan Heisen
Born in 1950. Trustee since July 1998. Principal occupation(s) during the past five years and other experience: corporate vice president of Johnson & Johnson (pharmaceuticals/medical devices/consumer products) and member of its 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. 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 in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), 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 in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors), the board of advisors for Spruceview Capital Partners, and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies LLC (private investment firm). Overseer of the Museum of Fine Arts Boston.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director of i(x) Investments, LLC.
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the Board of Hypertherm Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard and global head of Fund Administration at Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG LLP (audit, tax, and advisory services).
Brian Dvorak
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2017–present) of Vanguard and each of the investment companies served by Vanguard. Assistant vice president (2017–present) of Vanguard Marketing Corporation. Vice president and director of Enterprise Risk Management (2011–2013) at Oppenheimer Funds, Inc.
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2008–present) and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter MahoneyBorn in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Director and senior vice president (2016–2018) of Vanguard Marketing Corporation. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
| |
| Vanguard Senior Management Team |
| |
| Mortimer J. Buckley | James M. Norris |
| Gregory Davis | Thomas M. Rampulla |
| John James | Karin A. Risi |
| Martha G. King | Anne E. Robinson |
| John T. Marcante | Michael Rollings |
| Chris D. McIsaac | |
| |
| |
| Chairman Emeritus and Senior Advisor |
| |
| John J. Brennan | |
| Chairman, 1996–2009 | |
| Chief Executive Officer and President, 1996–2008 |
| |
| |
| Founder | |
| |
| John C. Bogle | |
| Chairman and Chief Executive Officer, 1974–1996 |
|  |
| P.O. Box 2600
Valley Forge, PA 19482-2600 |
Connect with Vanguard® > vanguard.com | |
| | |
| | |
| Fund Information > 800-662-7447 | Source for Bloomberg Barclays indexes: Bloomberg |
| Direct Investor Account Services > 800-662-2739 | Index Services Limited. Copyright 2018, Bloomberg. All |
| Institutional Investor Services > 800-523-1036 | rights reserved. |
| Text Telephone for People | |
| Who Are Deaf or Hard of Hearing > 800-749-7273 | CFA® is a registered trademark owned by CFA Institute. |
| |
| 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. | |
| | © 2018 The Vanguard Group, Inc. |
| | All rights reserved. |
| | Vanguard Marketing Corporation, Distributor. |
| |
| | Q16902 042018 |
 |
| Semiannual Report | February 28, 2018 |
| |
| 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 |
| CEO’s Perspective. | 3 |
| Results of Proxy Voting. | 6 |
| Russell 1000 Index Fund. | 8 |
| Russell 1000 Value Index Fund. | 23 |
| Russell 1000 Growth Index Fund. | 38 |
| About Your Fund’s Expenses. | 53 |
| Glossary. | 55 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: 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 six months ended February 28, 2018, results for the three funds reviewed in this report ranged from more than 7% for Vanguard Russell 1000 Value Index Fund to almost 14% for Vanguard Russell 1000 Growth Index Fund. Vanguard Russell 1000 Index Fund, which includes both growth and value stocks, returned more than 10%.
• The Index Fund and the 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 performance of the technology, financial services, and consumer discretionary sectors.
• Utilities and consumer staples detracted from the performance of the Index and Value Index Funds. Those two sectors made the smallest, though still positive, contributions to the performance of the Growth Index Fund.
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| Total Returns: Six Months Ended February 28, 2018 | |
| | Total |
| | Returns |
| Vanguard Russell 1000 Index Fund | |
| ETF Shares | |
| Market Price | 10.65% |
| Net Asset Value | 10.55 |
| Institutional Shares | 10.57 |
| Russell 1000 Index | 10.62 |
| Large-Cap Core Funds Average | 10.13 |
| 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 | 7.24% |
| Net Asset Value | 7.20 |
| Institutional Shares | 7.22 |
| Russell 1000 Value Index | 7.26 |
| Large-Cap Value Funds Average | 8.92 |
| 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 | 13.97% |
| Net Asset Value | 13.88 |
| Institutional Shares | 13.90 |
| Russell 1000 Growth Index | 13.94 |
| Large-Cap Growth Funds Average | 13.29 |
Large-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the Nasdaq exchange and are available only through brokers. The table provides ETF returns based on both the Nasdaq market price and the net asset value for a share. U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; and 8,417,623.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
| | | |
| Expense Ratios | | | |
| Your Fund Compared With Its Peer Group | | | |
| | ETF | Institutional | Peer Group |
| | Shares | Shares | Average |
| Russell 1000 Index Fund | 0.12% | 0.08% | 1.03% |
| Russell 1000 Value Index Fund | 0.12 | 0.08 | 1.04 |
| Russell 1000 Growth Index Fund | 0.12 | 0.08 | 1.10 |
The fund expense ratios shown are from the prospectus dated December 21, 2017, and represent estimated costs for the current fiscal year. For the six months ended February 28, 2018, the funds’ annualized expense ratios were: for the Russell 1000 Index Fund, 0.12% for ETF Shares and 0.08% for Institutional Shares; for the Russell 1000 Value Index Fund, 0.12% 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 2017.
Peer groups: For the Russell 1000 Index Fund, Large-Cap Core Funds; for the Russell 1000 Value Index Fund, Large-Cap Value Funds; and for the Russell 1000 Growth Index Fund, Large-Cap Growth Funds.
2
CEO’s Perspective
Tim Buckley
President and Chief Executive Officer
Dear Shareholder,
As I begin my tenure as Vanguard’s fourth chief executive, I’ve been reflecting on both the past and the future of the company where I have spent my entire professional career.
I feel extremely fortunate to have the chance to lead a company filled with people who come to work every day passionate about Vanguard’s core purpose: to take a stand for all investors, to treat them fairly, and to give them the best chance for investment success.
Making a real difference
When I joined Vanguard in 1991, I found a mission-driven team focused on improving lives—helping people retire more comfortably, put their children through college, and achieve financial security. I found a company with purpose in an industry ripe for improvement.
It was clear, even early in my career, that the cards were stacked against most investors. Hidden fees, performance-chasing, and poor advice were relentlessly eroding investors’ dreams.
We knew Vanguard could be different and, as a result, could make a real difference. Over the past 25 years, for example, Vanguard has lowered our funds’ asset-weighted average expense ratio
3
from 0.31% to 0.12%. And over the past decade, 94% of our funds have beaten the average annual return of their peers.1
Focused on your success
Vanguard is built for Vanguard investors—as a client-owned company, we focus solely on you, our fund shareholders. Everything we do is designed to give our clients the best chance for investment success. In my role as CEO, I intend to keep this priority front and center. We’re proud of what we’ve achieved, but we’re even more excited about what’s to come.
As I write this, we’ve experienced a period of pronounced market volatility. Strong economic growth and budding signs of inflation have raised concerns about a more aggressive Federal Reserve. Although volatility can test investors’ nerves, we sometimes think of this as “Vanguard weather”—a time when having a disciplined, low-cost, and long-term approach to investment management serves investors well.
| | | |
| Market Barometer | | | |
| | | | Total Returns |
| | | Periods Ended February 28, 2018 |
| | Six | One | Five Years |
| | Months | Year | (Annualized) |
| Stocks | | | |
| Russell 1000 Index (Large-caps) | 10.62% | 16.70% | 14.56% |
| Russell 2000 Index (Small-caps) | 8.30 | 10.51 | 12.19 |
| Russell 3000 Index (Broad U.S. market) | 10.45 | 16.22 | 14.37 |
| FTSE All-World ex US Index (International) | 7.84 | 21.50 | 6.69 |
| |
| Bonds | | | |
| Bloomberg Barclays U.S. Aggregate Bond Index | | | |
| (Broad taxable market) | -2.18% | 0.51% | 1.71% |
| Bloomberg Barclays Municipal Bond Index | | | |
| (Broad tax-exempt market) | -1.24 | 2.50 | 2.57 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.59 | 0.98 | 0.27 |
| |
| CPI | | | |
| Consumer Price Index | 1.41% | 2.21% | 1.41% |
The performance data shown represent past performance, which is not a guarantee of future results.
1 For the ten-year period through December 31, 2017, 9 of 9 Vanguard money market funds, 56 of 60 bond funds, 21 of 22 balanced funds, and 131 of 140 stock funds, or 217 of 231 Vanguard funds, outperformed their peer-group averages. Sources: Vanguard, based on data from Lipper, a Thomson Reuters Company.
4
Steady, time-tested guidance
Our guidance for investors, as always, is to stay the course, tune out the hyperbolic headlines, and focus on your goals and what you can control, such as costs and how much you save. This time-tested advice has served our clients well over the decades.
Regardless of how the markets perform in the short term, I’m incredibly optimistic about the future for our investors. We have a dedicated team serving you, and we will never stop striving to make Vanguard the best place for you to invest through our high-quality funds and services, advice and guidance to help you meet your financial goals, and an experience that makes you feel good about entrusting us with your hard-earned savings.
Thank you for your continued loyalty.
Sincerely,
Mortimer J. Buckley
President and Chief Executive Officer
March 19, 2018
5
Results of Proxy Voting
At a special meeting of shareholders on November 15, 2017, fund shareholders approved the following proposals:
Proposal 1—Elect trustees for the fund.*
The individuals listed in the table below were elected as trustees for the fund. All trustees with the exception of Ms. Mulligan, Ms. Raskin, and Mr. Buckley (each of whom already serves as a director of The Vanguard Group, Inc.) served as trustees to the funds prior to the shareholder meeting.
| | | |
| | | | Percentage |
| Trustee | For | Withheld | For |
| Mortimer J. Buckley | 797,579,784 | 15,541,140 | 98.1% |
| Emerson U. Fullwood | 796,911,377 | 16,209,547 | 98.0% |
| Amy Gutmann | 796,611,379 | 16,509,545 | 98.0% |
| JoAnn Heffernan Heisen | 795,715,738 | 17,405,186 | 97.9% |
| F. Joseph Loughrey | 796,955,260 | 16,165,664 | 98.0% |
| Mark Loughridge | 797,027,324 | 16,093,600 | 98.0% |
| Scott C. Malpass | 797,191,317 | 15,929,607 | 98.0% |
| F. William McNabb III | 794,211,732 | 18,909,192 | 97.7% |
| Deanna Mulligan | 797,691,084 | 15,429,840 | 98.1% |
| André F. Perold | 793,048,517 | 20,072,408 | 97.5% |
| Sarah Bloom Raskin | 797,096,185 | 16,024,739 | 98.0% |
| Peter F. Volanakis | 796,849,973 | 16,270,951 | 98.0% |
| * Results are for all funds within the same trust. | | | |
Proposal 2—Approve a manager-of-managers arrangement with third-party investment advisors.
This arrangement enables the fund to enter into and materially amend investment advisory arrangements with third-party investment advisors, subject to the approval of the fund’s board of trustees and certain conditions imposed by the Securities and Exchange Commission, while avoiding the costs and delays associated with obtaining future shareholder approval.
| | | | | |
| | | | | Broker | Percentage |
| Vanguard Fund | For | Abstain | Against | Non-Votes | For |
| Russell 1000 Growth Index Fund | 8,561,508 | 306,783 | 337,322 | 2,263,999 | 74.6% |
| Russell 1000 Index Fund | 6,972,585 | 191,845 | 38,546 | 1,186,495 | 83.1% |
| Russell 1000 Value Index Fund | 8,799,295 | 332,770 | 297,639 | 2,149,605 | 76.0% |
6
Proposal 3—Approve a manager-of-managers arrangement with wholly owned subsidiaries of Vanguard.
This arrangement enables Vanguard or the fund to enter into and materially amend investment advisory arrangements with wholly owned subsidiaries of Vanguard, subject to the approval of the fund’s board of trustees and any conditions imposed by the Securities and Exchange Commission (SEC), while avoiding the costs and delays associated with obtaining future shareholder approval. The ability of the fund to operate in this manner is contingent upon the SEC’s approval of a pending application for an order of exemption.
| | | | | |
| | | | | Broker | Percentage |
| Vanguard Fund | For | Abstain | Against | Non-Votes | For |
| Russell 1000 Growth Index Fund | 8,747,011 | 276,833 | 181,768 | 2,263,999 | 76.3% |
| Russell 1000 Index Fund | 6,976,744 | 184,875 | 41,357 | 1,186,495 | 83.2% |
| Russell 1000 Value Index Fund | 8,887,867 | 330,991 | 210,846 | 2,149,605 | 76.8% |
7
Russell 1000 Index Fund
Fund Profile
As of February 28, 2018
| | |
| Share-Class Characteristics | | |
| | ETF | Institutional |
| | Shares | Shares |
| Ticker Symbol | VONE | VRNIX |
| Expense Ratio1 | 0.12% | 0.08% |
| 30-Day SEC Yield | 1.74% | 1.78% |
| | | |
| Portfolio Characteristics | | |
| | | | DJ |
| | | Russell | U.S. Total |
| | | 1000 | Market |
| | Fund | Index | FA Index |
| Number of Stocks | 982 | 977 | 3,746 |
| Median Market Cap | $88.5B | $88.5B | $68.2B |
| Price/Earnings Ratio | 21.9x | 21.9x | 21.7x |
| Price/Book Ratio | 3.1x | 3.1x | 3.0x |
| Return on Equity | 15.8% | 15.8% | 15.0% |
| Earnings Growth Rate | 8.5% | 8.5% | 8.5% |
| Dividend Yield | 1.8% | 1.8% | 1.7% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | | | |
| (Annualized) | 9% | — | — |
| Short-Term Reserves | -0.2% | — | — |
| | | |
| Sector Diversification (% of equity exposure) |
| | | | DJ |
| | | Russell | U.S. Total |
| | | 1000 | Market |
| | Fund | Index | FA Index |
| Consumer Discretionary | 14.2% | 14.2% | 14.2% |
| Consumer Staples | 6.1 | 6.1 | 5.8 |
| Energy | 5.4 | 5.4 | 5.3 |
| Financial Services | 21.2 | 21.2 | 21.6 |
| Health Care | 13.1 | 13.1 | 13.2 |
| Materials & Processing | 3.6 | 3.6 | 3.9 |
| Producer Durables | 10.8 | 10.8 | 11.0 |
| Technology | 21.1 | 21.1 | 20.6 |
| Utilities | 4.5 | 4.5 | 4.4 |
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 |
| | 1000 | Market |
| | Index | FA Index |
| R-Squared | 1.00 | 1.00 |
| Beta | 1.00 | 0.99 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
| | |
| Ten Largest Holdings (% of total net assets) |
| Apple Inc. | Computer | |
| | Technology | 3.6% |
| Microsoft Corp. | Computer Services | |
| | Software & Systems | 2.7 |
| Alphabet Inc. | Computer Services | |
| | Software & Systems | 2.6 |
| Amazon.com Inc. | Diversified Retail | 2.3 |
| Facebook Inc. | Computer Services | |
| | Software & Systems | 1.6 |
| JPMorgan Chase & Co. | Diversified Financial | |
| | Services | 1.5 |
| Berkshire Hathaway Inc. Insurance: Multi-Line | 1.5 |
| Johnson & Johnson | Pharmaceuticals | 1.4 |
| Exxon Mobil Corp. | Oil: Integrated | 1.2 |
| Bank of America Corp. | Banks: Diversified | 1.2 |
| Top Ten | | 19.6% |
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 21, 2017, and represent estimated costs for the current fiscal year. For the six months ended February 28, 2018, the annualized 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.
Fiscal-Year Total Returns (%): September 20, 2010, Through February 28, 2018
Average Annual Total Returns: Periods Ended December 31, 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 | | 21.53% | 15.55% | 14.62% |
| Net Asset Value | | 21.54 | 15.54 | 14.62 |
| Institutional Shares | 10/15/2010 | 21.59 | 15.59 | 14.32 |
See Financial Highlights for dividend and capital gains information.
9
Russell 1000 Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 28, 2018
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. | 44,281 | 66,973 | 2.3% |
| Home Depot Inc. | 131,248 | 23,923 | 0.8% |
| Comcast Corp. Class A | 517,447 | 18,737 | 0.7% |
| Walt Disney Co. | 171,766 | 17,719 | 0.6% |
| Walmart Inc. | 159,929 | 14,395 | 0.5% |
| McDonald’s Corp. | 89,092 | 14,053 | 0.5% |
| * Netflix Inc. | 45,648 | 13,301 | 0.5% |
| Consumer Discretionary—Other † | | 237,642 | 8.3% |
| | | 406,743 | 14.2% |
| Consumer Staples | | | |
| Procter & Gamble Co. | 285,306 | 22,402 | 0.8% |
| Coca-Cola Co. | 427,907 | 18,494 | 0.6% |
| Philip Morris International Inc. | 172,927 | 17,907 | 0.6% |
| PepsiCo Inc. | 159,034 | 17,451 | 0.6% |
| Altria Group Inc. | 212,641 | 13,386 | 0.5% |
| 1 Consumer Staples—Other † | | 86,177 | 3.0% |
| | | 175,817 | 6.1% |
| Energy | | | |
| Exxon Mobil Corp. | 472,928 | 35,820 | 1.2% |
| Chevron Corp. | 210,791 | 23,592 | 0.8% |
| Energy—Other † | | 94,918 | 3.4% |
| | | 154,330 | 5.4% |
| Financial Services | | | |
| JPMorgan Chase & Co. | 384,847 | 44,450 | 1.5% |
| * Berkshire Hathaway Inc. Class B | 214,218 | 44,386 | 1.5% |
| Bank of America Corp. | 1,079,557 | 34,654 | 1.2% |
| Wells Fargo & Co. | 492,821 | 28,786 | 1.0% |
| Visa Inc. Class A | 202,760 | 24,927 | 0.9% |
10
| | | | |
| Russell 1000 Index Fund | | | | |
| |
| |
| |
| | | | Market | Percentage |
| | | | Value• | of Net |
| | | Shares | ($000) | Assets |
| Citigroup Inc. | | 294,590 | 22,239 | 0.8% |
| Mastercard Inc. Class A | | 104,925 | 18,442 | 0.7% |
| Financial Services—Other † | | | 389,068 | 13.6% |
| | | | 606,952 | 21.2% |
| Health Care | | | | |
| Johnson & Johnson | | 300,387 | 39,014 | 1.4% |
| UnitedHealth Group Inc. | | 106,924 | 24,182 | 0.8% |
| Pfizer Inc. | | 659,531 | 23,948 | 0.8% |
| AbbVie Inc. | | 177,537 | 20,564 | 0.7% |
| Merck & Co. Inc. | | 304,795 | 16,526 | 0.6% |
| Amgen Inc. | | 82,046 | 15,078 | 0.5% |
| Bristol-Myers Squibb Co. | | 183,454 | 12,145 | 0.4% |
| Medtronic plc | | 151,008 | 12,064 | 0.4% |
| Gilead Sciences Inc. | | 145,050 | 11,420 | 0.4% |
| Health Care—Other † | | | 199,418 | 7.0% |
| | | | 374,359 | 13.0% |
| Materials & Processing | | | | |
| DowDuPont Inc. | | 259,757 | 18,261 | 0.6% |
| Materials & Processing—Other † | | | 84,845 | 3.0% |
| | | | 103,106 | 3.6% |
| |
| 2Other † | | | 21 | 0.0% |
| |
| Producer Durables | | | | |
| Boeing Co. | | 62,009 | 22,460 | 0.8% |
| 3M Co. | | 64,619 | 15,218 | 0.5% |
| General Electric Co. | | 967,415 | 13,650 | 0.5% |
| Honeywell International Inc. | | 84,719 | 12,802 | 0.5% |
| Union Pacific Corp. | | 87,728 | 11,427 | 0.4% |
| Producer Durables—Other † | | | 233,267 | 8.1% |
| | | | 308,824 | 10.8% |
| Technology | | | | |
| Apple Inc. | | 572,503 | 101,974 | 3.6% |
| Microsoft Corp. | | 835,960 | 78,388 | 2.7% |
| * Facebook Inc. Class A | | 259,929 | 46,351 | 1.6% |
| * Alphabet Inc. Class C | | 34,070 | 37,638 | 1.3% |
| * Alphabet Inc. Class A | | 32,801 | 36,210 | 1.3% |
| Intel Corp. | | 525,650 | 25,909 | 0.9% |
| Cisco Systems Inc. | | 552,893 | 24,759 | 0.9% |
| Oracle Corp. | | 324,516 | 16,443 | 0.6% |
| NVIDIA Corp. | | 63,259 | 15,309 | 0.5% |
| International Business Machines Corp. | | 94,211 | 14,681 | 0.5% |
| Texas Instruments Inc. | | 111,185 | 12,047 | 0.4% |
| * Adobe Systems Inc. | | 55,232 | 11,551 | 0.4% |
| Technology—Other † | | | 181,486 | 6.3% |
| | | | 602,746 | 21.0% |
| Utilities | | | | |
| AT&T Inc. | | 685,662 | 24,890 | 0.9% |
| Verizon Communications Inc. | | 459,075 | 21,916 | 0.8% |
| Utilities—Other † | | | 82,140 | 2.8% |
| | | | 128,946 | 4.5% |
| Total Common Stocks (Cost $2,126,515) | | | 2,861,844 | 99.8%3 |
| |
| |
| 11 |
| | | | |
| Russell 1000 Index Fund | | | | |
| |
| |
| |
| | | | Market | Percentage |
| | | | Value• | of Net |
| | Coupon | Shares | ($000) | Assets |
| Temporary Cash Investments | | | | |
| Money Market Fund | | | | |
| 4,5 Vanguard Market Liquidity Fund | 1.601% | 36,769 | 3,677 | 0.1% |
| |
| 6U.S. Government and Agency Obligations † | | | 497 | 0.0% |
| Total Temporary Cash Investments (Cost $4,174) | | | 4,174 | 0.1%3 |
| 7Total Investments (Cost $2,130,689) | | | 2,866,018 | 99.9% |
| |
| | | | Amount | |
| | | | ($000) | |
| Other Assets and Liabilities | | | | |
| Other Assets | | | | |
| Investment in Vanguard | | | 155 | |
| Receivables for Accrued Income | | | 5,068 | |
| Receivables for Capital Shares Issued | | | 653 | |
| Other Assets | | | 618 | |
| Total Other Assets | | | 6,494 | 0.2% |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | (375) | |
| Collateral for Securities on Loan | | | (2,697) | |
| Payables for Capital Shares Redeemed | | | (133) | |
| Payables to Vanguard | | | (645) | |
| Variation Margin Payable—Futures Contracts | | | (93) | |
| Total Liabilities | | | (3,943) | (0.1%) |
| Net Assets | | | 2,868,569 | 100.0% |
| |
| |
| At February 28, 2018, net assets consisted of: | | | | |
| | | | | Amount |
| | | | | ($000) |
| Paid-in Capital | | | | 2,167,515 |
| Undistributed Net Investment Income | | | | 6,895 |
| Accumulated Net Realized Losses | | | | (41,281) |
| Unrealized Appreciation (Depreciation) | | | | |
| Investment Securities | | | | 735,329 |
| Futures Contracts | | | | 111 |
| Net Assets | | | | 2,868,569 |
| |
| |
| |
| |
| 12 |
| |
| Russell 1000 Index Fund | |
| |
| |
| |
| | Amount |
| | ($000) |
| ETF Shares—Net Assets | |
| Applicable to 6,800,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 845,786 |
| Net Asset Value Per Share—ETF Shares | $124.38 |
| |
| Institutional Shares—Net Assets | |
| Applicable to 8,394,982 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 2,022,783 |
| Net Asset Value Per Share—Institutional Shares | $240.95 |
• 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 $2,697,000 of collateral received for securities on loan.
6 Securities with a value of $423,000 have been segregated as initial margin for open futures contracts.
7 The total value of securities on loan is $2,553,000.
| | | | |
| 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 | March 2018 | 56 | 7,600 | 111 |
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 1000 Index Fund
| |
| Statement of Operations | |
| |
| | Six Months Ended |
| | February28,2018 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 25,135 |
| Interest1 | 21 |
| Securities Lending—Net | 28 |
| Total Income | 25,184 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 350 |
| Management and Administrative—ETF Shares | 306 |
| Management and Administrative—Institutional Shares | 485 |
| Marketing and Distribution—ETF Shares | 24 |
| Marketing and Distribution—Institutional Shares | 22 |
| Custodian Fees | 79 |
| Shareholders’ Reports and Proxy—ETF Shares | 18 |
| Shareholders’ Reports and Proxy—Institutional Shares | 3 |
| Trustees’ Fees and Expenses | 1 |
| Total Expenses | 1,288 |
| Net Investment Income | 23,896 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 102,074 |
| Futures Contracts | 454 |
| Realized Net Gain (Loss) | 102,528 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 160,300 |
| Futures Contracts | 25 |
| Change in Unrealized Appreciation (Depreciation) | 160,325 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 286,749 |
|
| 1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund |
| were $20,000, $2,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes. |
| |
| |
| |
| |
| See accompanying Notes, which are an integral part of the Financial Statements. |
| 14 |
Russell 1000 Index Fund
| | |
| Statement of Changes in Net Assets | | |
| |
| | Six Months Ended | Year Ended |
| | February 28, | August 31, |
| | 2018 | 2017 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 23,896 | 49,543 |
| Realized Net Gain (Loss) | 102,528 | 72,664 |
| Change in Unrealized Appreciation (Depreciation) | 160,325 | 254,042 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 286,749 | 376,249 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (7,355) | (13,358) |
| Institutional Shares | (20,433) | (34,418) |
| Realized Capital Gain | | |
| ETF Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (27,788) | (47,776) |
| Capital Share Transactions | | |
| ETF Shares | 51,163 | (45,968) |
| Institutional Shares | (179,569) | 227,507 |
| Net Increase (Decrease) from Capital Share Transactions | (128,406) | 181,539 |
| Total Increase (Decrease) | 130,555 | 510,012 |
| Net Assets | | |
| Beginning of Period | 2,738,014 | 2,228,002 |
| End of Period1 | 2,868,569 | 2,738,014 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $6,895,000 and $10,787,000.
See accompanying Notes, which are an integral part of the Financial Statements.
15
Russell 1000 Index Fund
Financial Highlights
ETF Shares
| | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $113.60 | $99.81 | $91.37 | $92.70 | $75.40 | $64.29 |
| Investment Operations | | | | | | |
| Net Investment Income | . 9901 | 2.0541 | 1.892 | 1.679 | 1.553 | 1.444 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | 10.928 | 13.753 | 8.383 | (1.355) | 17.272 | 11.068 |
| Total from Investment Operations | 11.918 | 15.807 | 10.275 | .324 | 18.825 | 12.512 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (1.138) | (2.017) | (1.835) | (1.654) | (1.525) | (1.402) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (1.138) | (2.017) | (1.835) | (1.654) | (1.525) | (1.402) |
| Net Asset Value, End of Period | $124.38 | $113.60 | $99.81 | $91.37 | $92.70 | $75.40 |
| |
| Total Return | 10.55% | 16.02% | 11.41% | 0.29% | 25.18% | 19.70% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $846 | $724 | $679 | $514 | $380 | $219 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.68% | 1.94% | 2.05% | 1.84% | 1.85% | 2.09% |
| Portfolio Turnover Rate2 | 9% | 11% | 9% | 4% | 7% | 11% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
16
Russell 1000 Index Fund
Financial Highlights
Institutional Shares
| | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $220.06 | $193.36 | $176.99 | $179.58 | $146.04 | $124.53 |
| Investment Operations | | | | | | |
| Net Investment Income | 1.9691 | 4.0801 | 3.732 | 3.329 | 3.060 | 2.850 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | 21.168 | 26.609 | 16.259 | (2.641) | 33.485 | 21.424 |
| Total from Investment Operations | 23.137 | 30.689 | 19.991 | .688 | 36.545 | 24.274 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (2.247) | (3.989) | (3.621) | (3.278) | (3.005) | (2.764) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (2.247) | (3.989) | (3.621) | (3.278) | (3.005) | (2.764) |
| Net Asset Value, End of Period | $240.95 | $220.06 | $193.36 | $176.99 | $179.58 | $146.04 |
| |
| Total Return | 10.57% | 16.06% | 11.47% | 0.33% | 25.24% | 19.73% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $2,023 | $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% | 0.08% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.72% | 1.98% | 2.09% | 1.88% | 1.89% | 2.13% |
| Portfolio Turnover Rate2 | 9% | 11% | 9% | 4% | 7% | 11% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
17
Russell 1000 Index Fund
Notes to Financial Statements
Vanguard Russell 1000 Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments 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, 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 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 six months ended February 28, 2018, 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 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 for the period ended February 28, 2018, 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 February 28, 2018, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
19
Russell 1000 Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses), 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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2018, the fund had contributed to Vanguard capital in the amount of $155,000, 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 February 28, 2018, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 2,861,831 | — | 13 |
| Temporary Cash Investments | 3,677 | 497 | — |
| Futures Contracts—Liabilities1 | (93) | — | — |
| Total | 2,865,415 | 497 | 13 |
| 1 Represents variation margin on the last day of the reporting period. | | | |
20
Russell 1000 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 six months ended February 28, 2018, the fund realized $102,357,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2017, the fund had available capital losses totaling $41,367,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2018; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2018, the cost of investment securities for tax purposes was $2,130,689,000. Net unrealized appreciation of investment securities for tax purposes was $735,329,000, consisting of unrealized gains of $815,931,000 on securities that had risen in value since their purchase and $80,602,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 28, 2018, the fund purchased $248,004,000 of investment securities and sold $378,578,000 of investment securities, other than temporary cash investments. Purchases and sales include $82,527,000 and $253,258,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 28, 2018, such purchases and sales were $40,125,000 and $19,905,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
21
Russell 1000 Index Fund
F. Capital share transactions for each class of shares were:
| | | | |
| | Six Months Ended | | Year Ended |
| | February 28, 2018 | August 31, 2017 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 310,240 | 2,550 | 120,235 | 1,150 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (259,077) | (2,125) | (166,203) | (1,575) |
| Net Increase (Decrease)—ETF Shares | 51,163 | 425 | (45,968) | (425) |
| Institutional Shares | | | | |
| Issued | 118,140 | 512 | 492,249 | 2,424 |
| Issued in Lieu of Cash Distributions | 19,247 | 84 | 31,880 | 157 |
| Redeemed | (316,956) | (1,352) | (296,622) | (1,442) |
| Net Increase (Decrease)—Institutional Shares | (179,569) | (756) | 227,507 | 1,139 |
G. Management has determined that no material events or transactions occurred subsequent to February 28, 2018, that would require recognition or disclosure in these financial statements.
22
Russell 1000 Value Index Fund
Fund Profile
As of February 28, 2018
| | |
| Share-Class Characteristics | | |
| | ETF | Institutional |
| | Shares | Shares |
| Ticker Symbol | VONV | VRVIX |
| Expense Ratio1 | 0.12% | 0.08% |
| 30-Day SEC Yield | 2.31% | 2.35% |
| | | |
| Portfolio Characteristics | | |
| | | Russell | DJ |
| | | 1000 | U.S. Total |
| | | Value | Market |
| | Fund | Index | FA Index |
| Number of Stocks | 714 | 712 | 3,746 |
| Median Market Cap | $66.0B | $66.0B | $68.2B |
| Price/Earnings Ratio | 17.3x | 17.3x | 21.7x |
| Price/Book Ratio | 2.0x | 2.0x | 3.0x |
| Return on Equity | 11.6% | 11.6% | 15.0% |
| Earnings Growth Rate | 4.7% | 4.7% | 8.5% |
| Dividend Yield | 2.4% | 2.4% | 1.7% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | | | |
| (Annualized) | 6% | — | — |
| Short-Term Reserves | -0.2% | — | — |
| | | |
| Sector Diversification (% of equity exposure) |
| | | Russell | DJ |
| | | 1000 | U.S. Total |
| | | Value | Market |
| | Fund | Index | FA Index |
| Consumer Discretionary | 8.4% | 8.4% | 14.2% |
| Consumer Staples | 7.0 | 7.0 | 5.8 |
| Energy | 10.3 | 10.3 | 5.3 |
| Financial Services | 32.3 | 32.3 | 21.6 |
| Health Care | 13.7 | 13.7 | 13.2 |
| Materials & Processing | 3.3 | 3.3 | 3.9 |
| Producer Durables | 7.9 | 7.9 | 11.0 |
| Technology | 8.7 | 8.7 | 20.6 |
| Utilities | 8.4 | 8.4 | 4.4 |
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 | 0.93 |
| 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) |
| JPMorgan Chase & Co. | Diversified Financial | |
| | Services | 3.2% |
| Berkshire Hathaway Inc. Insurance: Multi-Line | 3.2 |
| Exxon Mobil Corp. | Oil: Integrated | 2.6 |
| Bank of America Corp. | Banks: Diversified | 2.5 |
| Johnson & Johnson | Pharmaceuticals | 2.4 |
| Wells Fargo & Co. | Banks: Diversified | 2.1 |
| Intel Corp. | Semiconductors & | |
| | Components | 1.9 |
| AT&T Inc. | Utilities: | |
| | Telecommunications | 1.8 |
| Cisco Systems Inc. | Communications | |
| | Technology | 1.8 |
| Pfizer Inc. | Pharmaceuticals | 1.7 |
| Top Ten | | 23.2% |
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 21, 2017, and represent estimated costs for the current fiscal year. For the six months ended February 28, 2018, the annualized 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.
Fiscal-Year Total Returns (%): September 20, 2010, Through February 28, 2018
Average Annual Total Returns: Periods Ended December 31, 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 | | 13.56% | 13.87% | 13.25% |
| Net Asset Value | | 13.55 | 13.87 | 13.24 |
| Institutional Shares | 12/10/2010 | 13.60 | 13.93 | 12.58 |
See Financial Highlights for dividend and capital gains information.
24
Russell 1000 Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 28, 2018
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 | | | |
| Walmart Inc. | 332,189 | 29,900 | 1.0% |
| Time Warner Inc. | 179,716 | 16,706 | 0.6% |
| General Motors Co. | 298,420 | 11,743 | 0.4% |
| Walt Disney Co. | 113,140 | 11,671 | 0.4% |
| Consumer Discretionary—Other † | | 170,620 | 6.0% |
| | | 240,640 | 8.4% |
| Consumer Staples | | | |
| Procter & Gamble Co. | 561,850 | 44,117 | 1.5% |
| Philip Morris International Inc. | 326,630 | 33,823 | 1.2% |
| CVS Health Corp. | 235,294 | 15,937 | 0.6% |
| Mondelez International Inc. Class A | 338,959 | 14,880 | 0.5% |
| Colgate-Palmolive Co. | 167,571 | 11,557 | 0.4% |
| Consumer Staples—Other † | | 79,463 | 2.8% |
| | | 199,777 | 7.0% |
| Energy | | | |
| Exxon Mobil Corp. | 980,783 | 74,285 | 2.6% |
| Chevron Corp. | 437,327 | 48,946 | 1.7% |
| Schlumberger Ltd. | 322,168 | 21,147 | 0.7% |
| ConocoPhillips | 277,071 | 15,048 | 0.5% |
| EOG Resources Inc. | 121,364 | 12,309 | 0.4% |
| Occidental Petroleum Corp. | 176,777 | 11,597 | 0.4% |
| Energy—Other † | | 112,928 | 4.0% |
| | | 296,260 | 10.3% |
| Financial Services | | | |
| JPMorgan Chase & Co. | 798,747 | 92,255 | 3.2% |
| * Berkshire Hathaway Inc. Class B | 444,737 | 92,150 | 3.2% |
| Bank of America Corp. | 2,243,021 | 72,001 | 2.5% |
| Wells Fargo & Co. | 1,023,835 | 59,802 | 2.1% |
25
| | | |
| Russell 1000 Value Index Fund | | | |
| |
| |
| |
| | | Market | Percentage |
| | | Value• | of Net |
| | Shares | ($000) | Assets |
| Citigroup Inc. | 611,917 | 46,194 | 1.6% |
| Goldman Sachs Group Inc. | 81,301 | 21,376 | 0.7% |
| US Bancorp | 360,479 | 19,596 | 0.7% |
| PNC Financial Services Group Inc. | 111,784 | 17,624 | 0.6% |
| Morgan Stanley | 298,340 | 16,713 | 0.6% |
| American Express Co. | 166,607 | 16,246 | 0.6% |
| BlackRock Inc. | 28,731 | 15,786 | 0.5% |
| Chubb Ltd. | 107,456 | 15,250 | 0.5% |
| Bank of New York Mellon Corp. | 229,466 | 13,086 | 0.5% |
| CME Group Inc. | 78,235 | 13,000 | 0.5% |
| Financial Services—Other † | | 413,107 | 14.4% |
| | | 924,186 | 32.2% |
| Health Care | | | |
| Johnson & Johnson | 528,371 | 68,625 | 2.4% |
| Pfizer Inc. | 1,368,489 | 49,690 | 1.7% |
| Merck & Co. Inc. | 598,670 | 32,460 | 1.1% |
| Abbott Laboratories | 390,838 | 23,579 | 0.8% |
| Medtronic plc | 290,924 | 23,242 | 0.8% |
| Amgen Inc. | 121,094 | 22,253 | 0.8% |
| Anthem Inc. | 59,406 | 13,983 | 0.5% |
| Danaher Corp. | 141,598 | 13,845 | 0.5% |
| Bristol-Myers Squibb Co. | 193,473 | 12,808 | 0.5% |
| Allergan plc | 77,775 | 11,994 | 0.4% |
| Health Care—Other † | | 119,097 | 4.2% |
| | | 391,576 | 13.7% |
| Materials & Processing | | | |
| DowDuPont Inc. | 282,157 | 19,836 | 0.7% |
| Materials & Processing—Other † | | 74,180 | 2.6% |
| | | 94,016 | 3.3% |
| |
| 1Other † | | 13 | 0.0% |
| |
| Producer Durables | | | |
| General Electric Co. | 1,661,620 | 23,446 | 0.8% |
| United Technologies Corp. | 172,621 | 23,259 | 0.8% |
| Producer Durables—Other † | | 178,330 | 6.3% |
| | | 225,035 | 7.9% |
| Technology | | | |
| Intel Corp. | 1,090,565 | 53,754 | 1.9% |
| Cisco Systems Inc. | 1,147,151 | 51,369 | 1.8% |
| Oracle Corp. | 620,280 | 31,430 | 1.1% |
| QUALCOMM Inc. | 341,573 | 22,202 | 0.7% |
| Technology—Other † | | 91,203 | 3.2% |
| | | 249,958 | 8.7% |
| Utilities | | | |
| AT&T Inc. | 1,423,524 | 51,674 | 1.8% |
| Verizon Communications Inc. | 472,557 | 22,560 | 0.8% |
| NextEra Energy Inc. | 108,174 | 16,459 | 0.6% |
| Duke Energy Corp. | 162,049 | 12,209 | 0.4% |
| Utilities—Other † | | 137,407 | 4.8% |
| | | 240,309 | 8.4% |
| Total Common Stocks (Cost $2,484,973) | | 2,861,770 | 99.9%2 |
26
| | | | |
| Russell 1000 Value Index Fund | | | | |
| |
| |
| |
| | | | Market | Percentage |
| | | | Value• | of Net |
| | Coupon | Shares | ($000) | Assets |
| Temporary Cash Investments | | | | |
| Money Market Fund | | | | |
| 3,4 Vanguard Market Liquidity Fund | 1.601% | 5,977 | 598 | 0.0% |
| |
| 5U.S. Government and Agency Obligations † | | | 399 | 0.0% |
| Total Temporary Cash Investments (Cost $997) | | | 997 | 0.0%2 |
| 6Total Investments (Cost $2,485,970) | | | 2,862,767 | 99.9% |
| |
| | | | Amount | |
| | | | ($000) | |
| Other Assets and Liabilities | | | | |
| Other Assets | | | | |
| Investment in Vanguard | | | 158 | |
| Receivables for Accrued Income | | | 7,029 | |
| Receivables for Capital Shares Issued | | | 872 | |
| Total Other Assets | | | 8,059 | 0.3% |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | (198) | |
| Collateral for Securities on Loan | | | (596) | |
| Payables for Capital Shares Redeemed | | | (19) | |
| Payables to Vanguard | | | (657) | |
| Variation Margin Payable—Futures Contracts | | | (58) | |
| Other Liabilities | | | (3,879) | |
| Total Liabilities | | | (5,407) | (0.2%) |
| Net Assets | | | 2,865,419 | 100.0% |
| |
| At February 28, 2018, net assets consisted of: | |
| | Amount |
| | ($000) |
| Paid-in Capital | 2,528,924 |
| Undistributed Net Investment Income | 9,012 |
| Accumulated Net Realized Losses | (49,420) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 376,797 |
| Futures Contracts | 106 |
| Net Assets | 2,865,419 |
27
Russell 1000 Value Index Fund
| |
| | Amount |
| | ($000) |
| ETF Shares—Net Assets | |
| Applicable to 12,375,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 1,327,024 |
| Net Asset Value Per Share—ETF Shares | $107.23 |
| |
| Institutional Shares—Net Assets | |
| Applicable to 7,346,759 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 1,538,395 |
| Net Asset Value Per Share—Institutional Shares | $209.40 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer,
represent 1% or less of net assets.
1 “Other” represents securities that are not classified by the fund’s benchmark index.
2 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to
futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and -0.1%,
respectively, of net assets.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown
is the 7-day yield.
4 Includes $596,000 of collateral received for securities on loan.
5 Securities with a value of $399,000 have been segregated as initial margin for open futures contracts.
6 The total value of securities on loan is $565,000.
| | | | |
| 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 | March 2018 | 35 | 4,750 | 106 |
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.
28
Russell 1000 Value Index Fund
Statement of Operations
| |
| | Six Months Ended |
| | February28,2018 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 32,155 |
| Interest1 | 22 |
| Securities Lending—Net | 7 |
| Total Income | 32,184 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 352 |
| Management and Administrative—ETF Shares | 499 |
| Management and Administrative—Institutional Shares | 365 |
| Marketing and Distribution—ETF Shares | 39 |
| Marketing and Distribution—Institutional Shares | 18 |
| Custodian Fees | 74 |
| Shareholders’ Reports and Proxy—ETF Shares | 31 |
| Shareholders’ Reports and Proxy—Institutional Shares | 5 |
| Trustees’ Fees and Expenses | 1 |
| Total Expenses | 1,384 |
| Net Investment Income | 30,800 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 44,828 |
| Futures Contracts | 688 |
| Realized Net Gain (Loss) | 45,516 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 118,712 |
| Futures Contracts | (8) |
| Change in Unrealized Appreciation (Depreciation) | 118,704 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 195,020 |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $17,000, ($3,000), and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
29
Russell 1000 Value Index Fund
Statement of Changes in Net Assets
| | |
| | Six Months Ended | Year Ended |
| | February 28, | August 31, |
| | 2018 | 2017 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 30,800 | 62,216 |
| Realized Net Gain (Loss) | 45,516 | 93,658 |
| Change in Unrealized Appreciation (Depreciation) | 118,704 | 106,805 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 195,020 | 262,679 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (16,025) | (21,356) |
| Institutional Shares | (20,487) | (37,526) |
| Realized Capital Gain | | |
| ETF Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (36,512) | (58,882) |
| Capital Share Transactions | | |
| ETF Shares | 106,324 | 411,800 |
| Institutional Shares | (93,023) | (74,873) |
| Net Increase (Decrease) from Capital Share Transactions | 13,301 | 336,927 |
| Total Increase (Decrease) | 171,809 | 540,724 |
| Net Assets | | |
| Beginning of Period | 2,693,610 | 2,152,886 |
| End of Period1 | 2,865,419 | 2,693,610 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $9,012,000 and $14,724,000.
See accompanying Notes, which are an integral part of the Financial Statements.
30
Russell 1000 Value Index Fund
Financial Highlights
ETF Shares
| | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $101.32 | $93.14 | $84.77 | $89.83 | $73.82 | $61.49 |
| Investment Operations | | | | | | |
| Net Investment Income | 1.1401 | 2.4371 | 2.205 | 1.990 | 1.774 | 1.610 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | 6.127 | 8.109 | 8.312 | (5.097) | 15.967 | 12.290 |
| Total from Investment Operations | 7.267 | 10.546 | 10.517 | (3.107) | 17.741 | 13.900 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (1.357) | (2.366) | (2.147) | (1.953) | (1.731) | (1.570) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (1.357) | (2.366) | (2.147) | (1.953) | (1.731) | (1.570) |
| Net Asset Value, End of Period | $107.23 | $101.32 | $93.14 | $84.77 | $89.83 | $73.82 |
| |
| Total Return | 7.20% | 11.45% | 12.65% | -3.59% | 24.27% | 22.90% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $1,327 | $1,153 | $668 | $407 | $283 | $137 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | 0.15% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 2.19% | 2.48% | 2.58% | 2.26% | 2.22% | 2.39% |
| Portfolio Turnover Rate2 | 6% | 22% | 18% | 18% | 16% | 26% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
31
Russell 1000 Value Index Fund
Financial Highlights
Institutional Shares
| | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $197.85 | $181.86 | $165.50 | $175.38 | $144.13 | $120.04 |
| Investment Operations | | | | | | |
| Net Investment Income | 2.2671 | 4.8501 | 4.359 | 3.946 | 3.528 | 3.228 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | 11.966 | 15.821 | 16.249 | (9.955) | 31.182 | 24.017 |
| Total from Investment Operations | 14.233 | 20.671 | 20.608 | (6.009) | 34.710 | 27.245 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (2.683) | (4.681) | (4.248) | (3.871) | (3.460) | (3.155) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (2.683) | (4.681) | (4.248) | (3.871) | (3.460) | (3.155) |
| Net Asset Value, End of Period | $209.40 | $197.85 | $181.86 | $165.50 | $175.38 | $144.13 |
| |
| Total Return | 7.22% | 11.49% | 12.72% | -3.55% | 24.33% | 23.00% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $1,538 | $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% | 0.08% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 2.23% | 2.52% | 2.62% | 2.30% | 2.26% | 2.46% |
| Portfolio Turnover Rate2 | 6% | 22% | 18% | 18% | 16% | 26% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
32
Russell 1000 Value Index Fund
Notes to Financial Statements
Vanguard Russell 1000 Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments 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, 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 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 six months ended February 28, 2018, 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.
33
Russell 1000 Value Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2014–2017), and for the period ended February 28, 2018, 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 February 28, 2018, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
34
Russell 1000 Value Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses), 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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2018, the fund had contributed to Vanguard capital in the amount of $158,000, 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 February 28,
2018, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 2,861,770 | — | — |
| Temporary Cash Investments | 598 | 399 | — |
| Futures Contracts—Liabilities1 | (58) | — | — |
| Total | 2,862,310 | 399 | — |
| 1 Represents variation margin on the last day of the reporting period. | | | |
35
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 six months ended February 28, 2018, the fund realized $45,831,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2017, the fund had available capital losses totaling $48,991,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2018; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2018, the cost of investment securities for tax purposes was $2,485,976,000.
Net unrealized appreciation of investment securities for tax purposes was $376,791,000, consisting of unrealized gains of $517,085,000 on securities that had risen in value since their purchase and $140,294,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 28, 2018, the fund purchased $297,935,000 of investment securities and sold $284,663,000 of investment securities, other than temporary cash investments. Purchases and sales include $198,848,000 and $203,471,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
36
Russell 1000 Value Index Fund
F. Capital share transactions for each class of shares were:
| | | | |
| | Six Months Ended | | Year Ended |
| | February 28, 2018 | August 31, 2017 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 315,632 | 2,925 | 731,025 | 7,400 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (209,308) | (1,925) | (319,225) | (3,200) |
| Net Increase (Decrease)—ETF Shares | 106,324 | 1,000 | 411,800 | 4,200 |
| Institutional Shares | | | | |
| Issued | 114,090 | 545 | 399,585 | 2,102 |
| Issued in Lieu of Cash Distributions | 18,974 | 92 | 35,304 | 186 |
| Redeemed | (226,087) | (1,079) | (509,762) | (2,663) |
| Net Increase (Decrease)—Institutional Shares | (93,023) | (442) | (74,873) | (375) |
G. Management has determined that no material events or transactions occurred subsequent to February 28, 2018, that would require recognition or disclosure in these financial statements.
37
Russell 1000 Growth Index Fund
Fund Profile
As of February 28, 2018
| | |
| Share-Class Characteristics | | |
| | ETF | Institutional |
| | Shares | Shares |
| Ticker Symbol | VONG | VRGWX |
| Expense Ratio1 | 0.12% | 0.08% |
| 30-Day SEC Yield | 1.21% | 1.25% |
| | | |
| Portfolio Characteristics | | |
| | | Russell | DJ |
| | | 1000 | U.S. Total |
| | | Growth | Market |
| | Fund | Index | FA Index |
| Number of Stocks | 554 | 551 | 3,746 |
| Median Market Cap | $101.7B | $101.7B | $68.2B |
| Price/Earnings Ratio | 28.4x | 28.4x | 21.7x |
| Price/Book Ratio | 6.6x | 6.6x | 3.0x |
| Return on Equity | 22.1% | 22.1% | 15.0% |
| Earnings Growth Rate | 11.9% | 11.9% | 8.5% |
| Dividend Yield | 1.2% | 1.2% | 1.7% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | | | |
| (Annualized) | 6% | — | — |
| Short-Term Reserves | -0.1% | — | — |
| | | |
| Sector Diversification (% of equity exposure) |
| | | Russell | DJ |
| | | 1000 | U.S. Total |
| | | Growth | Market |
| | Fund | Index | FA Index |
| Consumer Discretionary | 19.6% | 19.6% | 14.2% |
| Consumer Staples | 5.4 | 5.4 | 5.8 |
| Energy | 0.8 | 0.8 | 5.3 |
| Financial Services | 10.9 | 10.9 | 21.6 |
| Health Care | 12.5 | 12.5 | 13.2 |
| Materials & Processing | 3.9 | 3.9 | 3.9 |
| Producer Durables | 13.5 | 13.5 | 11.0 |
| Technology | 32.5 | 32.5 | 20.6 |
| Utilities | 0.9 | 0.9 | 4.4 |
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 | 0.91 |
| Beta | 1.00 | 1.01 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
| | |
| Ten Largest Holdings (% of total net assets) |
| Apple Inc. | Computer | |
| | Technology | 6.9% |
| Microsoft Corp. | Computer Services | |
| | Software & Systems | 5.3 |
| Alphabet Inc. | Computer Services | |
| | Software & Systems | 5.0 |
| Amazon.com Inc. | Diversified Retail | 4.5 |
| Facebook Inc. | Computer Services | |
| | Software & Systems | 3.1 |
| Visa Inc. | Financial Data & | |
| | Systems | 1.7 |
| UnitedHealth Group Inc. | Health Care | |
| | Management | |
| | Services | 1.6 |
| Home Depot Inc. | Specialty Retail | 1.6 |
| Boeing Co. | Aerospace | 1.5 |
| AbbVie Inc. | Biotechnology | 1.4 |
| Top Ten | | 32.6% |
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 21, 2017, and represent estimated costs for the current fiscal year. For the six months ended February 28, 2018, the annualized expense ratios were 0.12% for ETF Shares and 0.08% for Institutional Shares.
38
Russell 1000 Growth Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): September 20, 2010, Through February 28, 2018
Average Annual Total Returns: Periods Ended December 31, 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.
See Financial Highlights for dividend and capital gains information.
39
Russell 1000 Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 28, 2018
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. | 131,727 | 199,231 | 4.5% |
| Home Depot Inc. | 391,021 | 71,271 | 1.6% |
| Comcast Corp. Class A | 1,423,669 | 51,551 | 1.2% |
| McDonald’s Corp. | 264,612 | 41,740 | 0.9% |
| * Netflix Inc. | 135,983 | 39,623 | 0.9% |
| Walt Disney Co. | 349,778 | 36,083 | 0.8% |
| * Booking Holdings Inc. | 16,255 | 33,063 | 0.8% |
| NIKE Inc. Class B | 431,974 | 28,955 | 0.7% |
| Costco Wholesale Corp. | 144,744 | 27,632 | 0.6% |
| Starbucks Corp. | 467,401 | 26,689 | 0.6% |
| Lowe’s Cos. Inc. | 276,375 | 24,760 | 0.6% |
| Consumer Discretionary—Other † | | 284,476 | 6.4% |
| | | 865,074 | 19.6% |
| Consumer Staples | | | |
| PepsiCo Inc. | 411,795 | 45,186 | 1.0% |
| Coca-Cola Co. | 952,590 | 41,171 | 0.9% |
| Altria Group Inc. | 632,674 | 39,827 | 0.9% |
| 1 Consumer Staples—Other † | | 110,544 | 2.5% |
| | | 236,728 | 5.3% |
| |
| Energy † | | 34,582 | 0.8% |
| |
| Financial Services | | | |
| Visa Inc. Class A | 603,209 | 74,158 | 1.7% |
| Mastercard Inc. Class A | 312,226 | 54,877 | 1.2% |
| * PayPal Holdings Inc. | 375,304 | 29,803 | 0.7% |
| American Tower Corp. | 139,979 | 19,503 | 0.4% |
| Financial Services—Other † | | 303,109 | 6.9% |
| | | 481,450 | 10.9% |
40
| | | |
| Russell 1000 Growth Index Fund | | | |
| |
| |
| |
| | | Market | Percentage |
| | | Value• | of Net |
| | Shares | ($000) | Assets |
| Health Care | | | |
| UnitedHealth Group Inc. | 317,933 | 71,904 | 1.6% |
| AbbVie Inc. | 528,134 | 61,174 | 1.4% |
| Eli Lilly & Co. | 324,154 | 24,966 | 0.6% |
| Gilead Sciences Inc. | 308,200 | 24,265 | 0.6% |
| * Celgene Corp. | 256,732 | 22,366 | 0.5% |
| Becton Dickinson and Co. | 86,217 | 19,142 | 0.4% |
| * Biogen Inc. | 66,043 | 19,086 | 0.4% |
| Stryker Corp. | 112,597 | 18,259 | 0.4% |
| Health Care—Other † | | 291,652 | 6.6% |
| | | 552,814 | 12.5% |
| Materials & Processing | | | |
| DowDuPont Inc. | 369,267 | 25,960 | 0.6% |
| Materials & Processing—Other † | | 146,170 | 3.3% |
| | | 172,130 | 3.9% |
| |
| 2Other † | | 42 | 0.0% |
| |
| Producer Durables | | | |
| Boeing Co. | 184,591 | 66,861 | 1.5% |
| 3M Co. | 192,251 | 45,277 | 1.0% |
| Accenture plc Class A | 205,475 | 33,084 | 0.8% |
| Union Pacific Corp. | 236,814 | 30,845 | 0.7% |
| Caterpillar Inc. | 170,660 | 26,389 | 0.6% |
| Lockheed Martin Corp. | 74,699 | 26,327 | 0.6% |
| United Parcel Service Inc. Class B | 228,719 | 23,881 | 0.5% |
| Honeywell International Inc. | 147,538 | 22,295 | 0.5% |
| FedEx Corp. | 81,992 | 20,204 | 0.5% |
| Northrop Grumman Corp. | 53,395 | 18,690 | 0.4% |
| Producer Durables—Other † | | 283,217 | 6.4% |
| | | 597,070 | 13.5% |
| Technology | | | |
| Apple Inc. | 1,703,436 | 303,416 | 6.9% |
| Microsoft Corp. | 2,486,649 | 233,173 | 5.3% |
| * Facebook Inc. Class A | 773,827 | 137,989 | 3.1% |
| * Alphabet Inc. Class C | 100,350 | 110,860 | 2.5% |
| * Alphabet Inc. Class A | 98,577 | 108,821 | 2.5% |
| NVIDIA Corp. | 188,455 | 45,606 | 1.0% |
| Texas Instruments Inc. | 330,993 | 35,863 | 0.8% |
| * Adobe Systems Inc. | 163,787 | 34,253 | 0.8% |
| Broadcom Ltd. | 134,023 | 33,031 | 0.7% |
| International Business Machines Corp. | 192,897 | 30,059 | 0.7% |
| * salesforce.com Inc. | 223,831 | 26,020 | 0.6% |
| Applied Materials Inc. | 353,311 | 20,347 | 0.4% |
| Technology—Other † | | 315,947 | 7.1% |
| | | 1,435,385 | 32.4% |
| Utilities | | | |
| Verizon Communications Inc. | 688,514 | 32,870 | 0.7% |
| Utilities—Other † | | 6,349 | 0.2% |
| | | 39,219 | 0.9% |
| Total Common Stocks (Cost $3,046,821) | | 4,414,494 | 99.8%3 |
41
| | | | |
| Russell 1000 Growth Index Fund | | | | |
| |
| |
| |
| | | | Market | Percentage |
| | | | Value• | of Net |
| | Coupon | Shares | ($000) | Assets |
| Temporary Cash Investments | | | | |
| Money Market Fund | | | | |
| 4,5 Vanguard Market Liquidity Fund | 1.601% | 118,514 | 11,850 | 0.3% |
| |
| 6U.S. Government and Agency Obligations † | | | 598 | 0.0% |
| Total Temporary Cash Investments (Cost $12,449) | | | 12,448 | 0.3%3 |
| 7Total Investments (Cost $3,059,270) | | | 4,426,942 | 100.1% |
| |
| | | | Amount | |
| | | | ($000) | |
| Other Assets and Liabilities | | | | |
| Other Assets | | | | |
| Investment in Vanguard | | | 235 | |
| Receivables for Accrued Income | | | 4,932 | |
| Receivables for Capital Shares Issued | | | 19,747 | |
| Other Assets | | | 193 | |
| Total Other Assets | | | 25,107 | 0.6% |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | (791) | |
| Collateral for Securities on Loan | | | (10,468) | |
| Payables for Capital Shares Redeemed | | | (16,547) | |
| Payables to Vanguard | | | (810) | |
| Variation Margin Payable—Futures Contracts | | | (104) | |
| Total Liabilities | | | (28,720) | (0.7%) |
| Net Assets | | | 4,423,329 | 100.0% |
| |
| At February 28, 2018, net assets consisted of: | |
| | Amount |
| | ($000) |
| Paid-in Capital | 3,135,683 |
| Undistributed Net Investment Income | 7,702 |
| Accumulated Net Realized Losses | (87,809) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 1,367,672 |
| Futures Contracts | 81 |
| Net Assets | 4,423,329 |
42
Russell 1000 Growth Index Fund
| |
| | Amount |
| | ($000) |
| ETF Shares—Net Assets | |
| Applicable to 11,651,711 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 1,675,399 |
| Net Asset Value Per Share—ETF Shares | $143.79 |
| |
| Institutional Shares—Net Assets | |
| Applicable to 9,938,839 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 2,747,930 |
| Net Asset Value Per Share—Institutional Shares | $276.48 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer,
represent 1% or less of net assets.
1 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 $10,468,000 of collateral received for securities on loan.
6 Securities with a value of $459,000 have been segregated as initial margin for open futures contracts.
7 The total value of securities on loan is $9,822,000.
| | | | |
| 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 | March 2018 | 63 | 8,550 | 81 |
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.
43
Russell 1000 Growth Index Fund
Statement of Operations
| |
| | Six Months Ended |
| | February28,2018 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 26,378 |
| Interest1 | 43 |
| Securities Lending—Net | 74 |
| Total Income | 26,495 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 495 |
| Management and Administrative—ETF Shares | 608 |
| Management and Administrative—Institutional Shares | 661 |
| Marketing and Distribution—ETF Shares | 46 |
| Marketing and Distribution—Institutional Shares | 29 |
| Custodian Fees | 53 |
| Shareholders’ Reports and Proxy—ETF Shares | 40 |
| Shareholders’ Reports and Proxy—Institutional Shares | 4 |
| Trustees’ Fees and Expenses | 1 |
| Total Expenses | 1,937 |
| Net Investment Income | 24,558 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 87,042 |
| Futures Contracts | 770 |
| Realized Net Gain (Loss) | 87,812 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 422,018 |
| Futures Contracts | (18) |
| Change in Unrealized Appreciation (Depreciation) | 422,000 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 534,370 |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $35,000, ($4,000), and ($2,000), respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
44
Russell 1000 Growth Index Fund
Statement of Changes in Net Assets
| | |
| | Six Months Ended | Year Ended |
| | February 28, | August 31, |
| | 2018 | 2017 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 24,558 | 48,004 |
| Realized Net Gain (Loss) | 87,812 | 82,617 |
| Change in Unrealized Appreciation (Depreciation) | 422,000 | 499,028 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 534,370 | 629,649 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (9,354) | (13,968) |
| Institutional Shares | (16,875) | (33,764) |
| Realized Capital Gain | | |
| ETF Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (26,229) | (47,732) |
| Capital Share Transactions | | |
| ETF Shares | 174,611 | 400,801 |
| Institutional Shares | (54,079) | 85,007 |
| Net Increase (Decrease) from Capital Share Transactions | 120,532 | 485,808 |
| Total Increase (Decrease) | 628,673 | 1,067,725 |
| Net Assets | | |
| Beginning of Period | 3,794,656 | 2,726,931 |
| End of Period1 | 4,423,329 | 3,794,656 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $7,702,000 and $9,373,000.
See accompanying Notes, which are an integral part of the Financial Statements.
45
Russell 1000 Growth Index Fund
Financial Highlights
ETF Shares
| | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $127.08 | $106.90 | $98.24 | $95.74 | $77.02 | $67.41 |
| Investment Operations | | | | | | |
| Net Investment Income | .7941 | 1.6841 | 1.602 | 1.466 | 1.293 | 1.226 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | 16.764 | 20.177 | 8.556 | 2.481 | 18.713 | 9.611 |
| Total from Investment Operations | 17.558 | 21.861 | 10.158 | 3.947 | 20.006 | 10.837 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.848) | (1.681) | (1.498) | (1.447) | (1.286) | (1.227) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.848) | (1.681) | (1.498) | (1.447) | (1.286) | (1.227) |
| Net Asset Value, End of Period | $143.79 | $127.08 | $106.90 | $98.24 | $95.74 | $77.02 |
| |
| Total Return | 13.88% | 20.66% | 10.44% | 4.11% | 26.15% | 16.27% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $1,675 | $1,319 | $738 | $452 | $295 | $148 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | 0.15% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.17% | 1.45% | 1.60% | 1.47% | 1.51% | 1.73% |
| Portfolio Turnover Rate 2 | 6% | 21% | 15% | 20% | 18% | 29% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
46
Russell 1000 Growth Index Fund
Financial Highlights
Institutional Shares
| | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $244.34 | $205.53 | $188.88 | $184.06 | $148.07 | $129.59 |
| Investment Operations | | | | | | |
| Net Investment Income | 1.5721 | 3.2911 | 3.147 | 2.882 | 2.544 | 2.446 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | 32.238 | 38.832 | 16.449 | 4.782 | 35.986 | 18.488 |
| Total from Investment Operations | 33.810 | 42.123 | 19.596 | 7.664 | 38.530 | 20.934 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (1.670) | (3.313) | (2.946) | (2.844) | (2.540) | (2.454) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (1.670) | (3.313) | (2.946) | (2.844) | (2.540) | (2.454) |
| Net Asset Value, End of Period | $276.48 | $244.34 | $205.53 | $188.88 | $184.06 | $148.07 |
| |
| Total Return | 13.90% | 20.72% | 10.48% | 4.15% | 26.20% | 16.35% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $2,748 | $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% | 0.08% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.21% | 1.49% | 1.64% | 1.51% | 1.55% | 1.80% |
| Portfolio Turnover Rate2 | 6% | 21% | 15% | 20% | 18% | 29% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
47
Russell 1000 Growth Index Fund
Notes to Financial Statements
Vanguard Russell 1000 Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments 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, 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 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 six months ended February 28, 2018, 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.
48
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 for the period ended February 28, 2018, 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 February 28, 2018, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
49
Russell 1000 Growth Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses), 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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2018, the fund had contributed to Vanguard capital in the amount of $235,000, representing 0.01% of the fund’s net assets and 0.09% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest
rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine
the fair value of investments). 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 February 28,
2018, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 4,414,462 | — | 32 |
| Temporary Cash Investments | 11,850 | 598 | — |
| Futures Contracts—Liabilities1 | (104) | — | — |
| Total | 4,426,208 | 598 | 32 |
| 1 Represents variation margin on the last day of the reporting period. | | | |
50
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 six months ended February 28, 2018, the fund realized $81,427,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2017, the fund had available capital losses totaling $94,095,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2018; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2018, the cost of investment securities for tax purposes was $3,059,270,000. Net unrealized appreciation of investment securities for tax purposes was $1,367,672,000, consisting of unrealized gains of $1,408,979,000 on securities that had risen in value since their purchase and $41,307,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 28, 2018, the fund purchased $415,231,000 of investment securities and sold $296,208,000 of investment securities, other than temporary cash investments. Purchases and sales include $227,122,000 and $177,772,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
51
Russell 1000 Growth Index Fund
F. Capital share transactions for each class of shares were:
| | | | |
| | Six Months Ended | | Year Ended |
| | February 28, 2018 | August 31, 2017 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 356,595 | 2,575 | 601,764 | 5,200 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (181,984) | (1,300) | (200,963) | (1,725) |
| Net Increase (Decrease)—ETF Shares | 174,611 | 1,275 | 400,801 | 3,475 |
| Institutional Shares | | | | |
| Issued | 272,139 | 1,033 | 575,144 | 2,636 |
| Issued in Lieu of Cash Distributions | 15,256 | 60 | 30,714 | 142 |
| Redeemed | (341,474) | (1,288) | (520,851) | (2,323) |
| Net Increase (Decrease)—Institutional Shares | (54,079) | (195) | 85,007 | 455 |
G. Management has determined that no material events or transactions occurred subsequent to February 28, 2018, that would require recognition or disclosure in these financial statements.
52
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.
53
| | | |
| Six Months Ended February 28, 2018 | | | |
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| | 8/31/2017 | 2/28/2018 | Period |
| Based on Actual Fund Return | | | |
| Russell 1000 Index Fund | | | |
| ETF Shares | $1,000.00 | $1,105.47 | $0.63 |
| Institutional Shares | 1,000.00 | 1,105.72 | 0.42 |
| Russell 1000 Value Index Fund | | | |
| ETF Shares | $1,000.00 | $1,072.03 | $0.62 |
| Institutional Shares | 1,000.00 | 1,072.24 | 0.41 |
| Russell 1000 Growth Index Fund | | | |
| ETF Shares | $1,000.00 | $1,138.76 | $0.64 |
| Institutional Shares | 1,000.00 | 1,138.99 | 0.42 |
| Based on Hypothetical 5% Yearly Return | | | |
| Russell 1000 Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.20 | $0.60 |
| Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
| Russell 1000 Value Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.20 | $0.60 |
| Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
| Russell 1000 Growth Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.20 | $0.60 |
| Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Russell 1000 Index Fund, 0.12% for ETF Shares and 0.08% for Institutional Shares; for the Russell 1000 Value Index Fund, 0.12% 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. The dollar amounts shown as ”Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (181/365).
54
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
55
Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 208 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 Trustees1
F. William McNabb III
Born in 1957. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2010–present) of Vanguard and of each of the investment companies served by Vanguard, trustee (2009–present) of each of the investment companies served by Vanguard, and director (2008–present) of Vanguard. Chief executive officer and president (2008–2017) of Vanguard and each of the investment companies served by Vanguard, managing director (1995–2008) of Vanguard, and director (1997–2018) of Vanguard Marketing Corporation. Director (2018–present) of UnitedHealth Group.
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) of the Children’s Hospital of Philadelphia.
Independent Trustees
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Lead director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania. Trustee of the National Constitution Center.
1 Mr. McNabb and Mr. Buckley are considered “interested persons,” as defined in the Investment Company Act of 1940, because they are officers of the Vanguard funds.
JoAnn Heffernan Heisen
Born in 1950. Trustee since July 1998. Principal occupation(s) during the past five years and other experience: corporate vice president of Johnson & Johnson (pharmaceuticals/medical devices/consumer products) and member of its 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. 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 in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), 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 in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors), the board of advisors for Spruceview Capital Partners, and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies LLC (private investment firm). Overseer of the Museum of Fine Arts Boston.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director of i(x) Investments, LLC.
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the Board of Hypertherm Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard and global head of Fund Administration at Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG LLP (audit, tax, and advisory services).
Brian Dvorak
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2017–present) of Vanguard and each of the investment companies served by Vanguard. Assistant vice president (2017–present) of Vanguard Marketing Corporation. Vice president and director of Enterprise Risk Management (2011–2013) at Oppenheimer Funds, Inc.
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2008–present) and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Director and senior vice president (2016–2018) of Vanguard Marketing Corporation. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
| |
| Vanguard Senior Management Team |
| |
| Mortimer J. Buckley | James M. Norris |
| Gregory Davis | Thomas M. Rampulla |
| John James | Karin A. Risi |
| Martha G. King | Anne E. Robinson |
| John T. Marcante | Michael Rollings |
| Chris D. McIsaac | |
| |
| |
| Chairman Emeritus and Senior Advisor |
| |
| John J. Brennan | |
| Chairman, 1996–2009 | |
| Chief Executive Officer and President, 1996–2008 |
| |
| |
| Founder | |
| |
| John C. Bogle | |
| Chairman and Chief Executive Officer, 1974–1996 |
|  |
| P.O. Box 2600
Valley Forge, PA 19482-2600 |
Connect with Vanguard® > vanguard.com | |
| | |
| Fund Information > 800-662-7447 | Source for Bloomberg Barclays indexes: Bloomberg |
| Direct Investor Account Services > 800-662-2739 | Index Services Limited. Copyright 2018, Bloomberg. All |
| | rights reserved. |
| Institutional Investor Services > 800-523-1036 | |
| | The Russell Indexes and Russell® are registered |
| Text Telephone for People | trademarks of Russell Investments and have been |
| Who Are Deaf or Hard of Hearing > 800-749-7273 | licensed for use by The Vanguard Group, Inc. The |
| This material may be used in conjunction | products are not sponsored, endorsed, sold, or |
| | promoted by Russell Investments and Russell |
| with the offering of shares of any Vanguard | Investments makes no representation regarding the |
| fund only if preceded or accompanied by | advisability of investing in the products. |
| 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 | |
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| Public Reference Section, Securities and Exchange | |
| Commission, Washington, DC 20549-1520. | |
| | © 2018 The Vanguard Group, Inc. |
| | All rights reserved. |
| | Vanguard Marketing Corporation, Distributor. |
| |
| | Q18482 042018 |
 |
| Semiannual Report | February 28, 2018 |
| |
| 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 |
| CEO’s Perspective. | 3 |
| Results of Proxy Voting. | 6 |
| Russell 2000 Index Fund. | 8 |
| Russell 2000 Value Index Fund. | 22 |
| Russell 2000 Growth Index Fund. | 36 |
| About Your Fund’s Expenses. | 51 |
| Glossary. | 53 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: 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 generally outpaced their value-oriented counterparts and large-capitalization stocks beat small-caps for the six months ended February 28, 2018. The broad trends were reflected in the performance of the three Vanguard Russell 2000 Index Funds.
• Results ranged from about 5% for Vanguard Russell 2000 Value Index Fund to more than 11% for Vanguard Russell 2000 Growth Index Fund. Vanguard Russell 2000 Index Fund, which includes both growth and value stocks, returned more than 8%.
• All three funds closely tracked their target indexes. The Index Fund exceeded the average return of its small-cap peer group. The Value and Growth Index Funds trailed their peers.
• The consumer discretionary and health care sectors were among the top contributors to all three funds. Utilities was the only sector to post negative returns.
| |
| Total Returns: Six Months Ended February 28, 2018 | |
| | Total |
| | Returns |
| Vanguard Russell 2000 Index Fund | |
| ETF Shares | |
| Market Price | 8.31% |
| Net Asset Value | 8.32 |
| Institutional Shares | 8.36 |
| Russell 2000 Index | 8.30 |
| Small-Cap Core Funds Average | 7.60 |
| 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 | 5.11% |
| Net Asset Value | 5.07 |
| Institutional Shares | 5.12 |
| Russell 2000 Value Index | 5.09 |
| Small-Cap Value Funds Average | 6.63 |
| 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 | 11.24% |
| Net Asset Value | 11.29 |
| Institutional Shares | 11.36 |
| Russell 2000 Growth Index | 11.32 |
| Small-Cap Growth Funds Average | 12.08 |
Small-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the Nasdaq exchange and are available only through brokers. The table provides ETF returns based on both the Nasdaq market price and the net asset value for a share. U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; and 8,417,623.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
| | | |
| Expense Ratios | | | |
| Your Fund Compared With Its Peer Group | | | |
| | ETF | Institutional | Peer Group |
| | Shares | Shares | Average |
| Russell 2000 Index Fund | 0.15% | 0.08% | 1.20% |
| Russell 2000 Value Index Fund | 0.20 | 0.08 | 1.30 |
| Russell 2000 Growth Index Fund | 0.20 | 0.08 | 1.31 |
The fund expense ratios shown are from the prospectus dated December 21, 2017, and represent estimated costs for the current fiscal year. For the six months ended February 28, 2018, the funds’ annualized 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 2017.
Peer groups: For the Russell 2000 Index Fund, Small-Cap Core Funds; for the Russell 2000 Value Index Fund, Small-Cap Value Funds; and for the Russell 2000 Growth Index Fund, Small-Cap Growth Funds.
2
CEO’s Perspective
Tim Buckley
President and Chief Executive Officer
Dear Shareholder,
As I begin my tenure as Vanguard’s fourth chief executive, I’ve been reflecting on both the past and the future of the company where I have spent my entire professional career.
I feel extremely fortunate to have the chance to lead a company filled with people who come to work every day passionate about Vanguard’s core purpose: to take a stand for all investors, to treat them fairly, and to give them the best chance for investment success.
Making a real difference
When I joined Vanguard in 1991, I found a mission-driven team focused on improving lives—helping people retire more comfortably, put their children through college, and achieve financial security. I found a company with purpose in an industry ripe for improvement.
It was clear, even early in my career, that the cards were stacked against most investors. Hidden fees, performance-chasing, and poor advice were relentlessly eroding investors’ dreams.
We knew Vanguard could be different and, as a result, could make a real difference. Over the past 25 years, for example, Vanguard has lowered our funds’ asset-weighted average expense ratio
3
from 0.31% to 0.12%. And over the past decade, 94% of our funds have beaten the average annual return of their peers.1
Focused on your success
Vanguard is built for Vanguard investors—as a client-owned company, we focus solely on you, our fund shareholders. Everything we do is designed to give our clients the best chance for investment success. In my role as CEO, I intend to keep this priority front and center. We’re proud of what we’ve achieved, but we’re even more excited about what’s to come.
As I write this, we’ve experienced a period of pronounced market volatility. Strong economic growth and budding signs of inflation have raised concerns about a more aggressive Federal Reserve. Although volatility can test investors’ nerves, we sometimes think of this as “Vanguard weather”—a time when having a disciplined, low-cost, and long-term approach to investment management serves investors well.
| | | |
| Market Barometer | | | |
| | | | Total Returns |
| | | Periods Ended February 28, 2018 |
| | Six | One | Five Years |
| | Months | Year | (Annualized) |
| Stocks | | | |
| Russell 1000 Index (Large-caps) | 10.62% | 16.70% | 14.56% |
| Russell 2000 Index (Small-caps) | 8.30 | 10.51 | 12.19 |
| Russell 3000 Index (Broad U.S. market) | 10.45 | 16.22 | 14.37 |
| FTSE All-World ex US Index (International) | 7.84 | 21.50 | 6.69 |
| |
| Bonds | | | |
| Bloomberg Barclays U.S. Aggregate Bond Index | | | |
| (Broad taxable market) | -2.18% | 0.51% | 1.71% |
| Bloomberg Barclays Municipal Bond Index | | | |
| (Broad tax-exempt market) | -1.24 | 2.50 | 2.57 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.59 | 0.98 | 0.27 |
| |
| CPI | | | |
| Consumer Price Index | 1.41% | 2.21% | 1.41% |
The performance data shown represent past performance, which is not a guarantee of future results.
1 For the ten-year period through December 31, 2017, 9 of 9 Vanguard money market funds, 56 of 60 bond funds, 21 of 22 balanced funds, and 131 of 140 stock funds, or 217 of 231 Vanguard funds, outperformed their peer-group averages. Sources: Vanguard, based on data from Lipper, a Thomson Reuters Company.
4
Steady, time-tested guidance
Our guidance for investors, as always, is to stay the course, tune out the hyperbolic headlines, and focus on your goals and what you can control, such as costs and how much you save. This time-tested advice has served our clients well over the decades.
Regardless of how the markets perform in the short term, I’m incredibly optimistic about the future for our investors. We have a dedicated team serving you, and we will never stop striving to make Vanguard the best place for you to invest through our high-quality funds and services, advice
and guidance to help you meet your financial goals, and an experience that makes you feel good about entrusting us with your hard-earned savings.
Thank you for your continued loyalty.
Sincerely,
Mortimer J. Buckley
President and Chief Executive Officer
March 19, 2018
5
Results of Proxy Voting
At a special meeting of shareholders on November 15, 2017, fund shareholders approved the following proposals:
Proposal 1—Elect trustees for the fund.*
The individuals listed in the table below were elected as trustees for the fund. All trustees with the exception of Ms. Mulligan, Ms. Raskin, and Mr. Buckley (each of whom already serves as a director of The Vanguard Group, Inc.) served as trustees to the funds prior to the shareholder meeting.
| | | |
| | | | Percentage |
| Trustee | For | Withheld | For |
| Mortimer J. Buckley | 797,579,784 | 15,541,140 | 98.1% |
| Emerson U. Fullwood | 796,911,377 | 16,209,547 | 98.0% |
| Amy Gutmann | 796,611,379 | 16,509,545 | 98.0% |
| JoAnn Heffernan Heisen | 795,715,738 | 17,405,186 | 97.9% |
| F. Joseph Loughrey | 796,955,260 | 16,165,664 | 98.0% |
| Mark Loughridge | 797,027,324 | 16,093,600 | 98.0% |
| Scott C. Malpass | 797,191,317 | 15,929,607 | 98.0% |
| F. William McNabb III | 794,211,732 | 18,909,192 | 97.7% |
| Deanna Mulligan | 797,691,084 | 15,429,840 | 98.1% |
| André F. Perold | 793,048,517 | 20,072,408 | 97.5% |
| Sarah Bloom Raskin | 797,096,185 | 16,024,739 | 98.0% |
| Peter F. Volanakis | 796,849,973 | 16,270,951 | 98.0% |
| *Results are for all funds within the same trust. | | | |
Proposal 2—Approve a manager-of-managers arrangement with third-party investment advisors.
This arrangement enables the fund to enter into and materially amend investment advisory arrangements with third-party investment advisors, subject to the approval of the fund’s board of trustees and certain conditions imposed by the Securities and Exchange Commission, while avoiding the costs and delays associated with obtaining future shareholder approval.
| | | | | |
| | | | | Broker | Percentage |
| Vanguard Fund | For | Abstain | Against | Non-Votes | For |
| Russell 2000 Growth | | | | | |
| Index Fund | 1,490,456 | 50,123 | 27,494 | 384,198 | 76.3% |
| Russell 2000 Index Fund | 5,346,727 | 226,358 | 123,843 | 1,700,632 | 72.3% |
| Russell 2000 Value Index Fund | 1,123,237 | 56,468 | 21,445 | 242,317 | 77.8% |
6
Proposal 3—Approve a manager-of-managers arrangement with wholly owned subsidiaries of Vanguard.
This arrangement enables Vanguard or the fund to enter into and materially amend investment advisory arrangements with wholly owned subsidiaries of Vanguard, subject to the approval of the fund’s board of trustees and any conditions imposed by the Securities and Exchange Commission (SEC), while avoiding the costs and delays associated with obtaining future shareholder approval. The ability of the fund to operate in this manner is contingent upon the SEC’s approval of a pending application for an order of exemption.
| | | | | |
| | | | | Broker | Percentage |
| Vanguard Fund | For | Abstain | Against | Non-Votes | For |
| Russell 2000 Growth | | | | | |
| Index Fund | 1,490,126 | 51,641 | 26,305 | 384,198 | 76.3% |
| Russell 2000 Index Fund | 5,366,510 | 227,236 | 103,182 | 1,700,632 | 72.5% |
| Russell 2000 Value Index Fund | 1,128,621 | 53,429 | 19,099 | 242,317 | 78.2% |
7
Russell 2000 Index Fund
Fund Profile
As of February 28, 2018
| | |
| Share-Class Characteristics | | |
| | ETF | Institutional |
| | Shares | Shares |
| Ticker Symbol | VTWO | VRTIX |
| Expense Ratio1 | 0.15% | 0.08% |
| 30-Day SEC Yield | 1.11% | 1.18% |
| | | |
| Portfolio Characteristics | | |
| | | | DJ |
| | | Russell | U.S. Total |
| | | 2000 | Market |
| | Fund | Index | FA Index |
| Number of Stocks | 2,000 | 1,959 | 3,746 |
| Median Market Cap | $2.1B | $2.1B | $68.2B |
| Price/Earnings Ratio | 19.4x | 19.4x | 21.7x |
| Price/Book Ratio | 2.2x | 2.2x | 3.0x |
| Return on Equity | 7.9% | 7.9% | 15.0% |
| Earnings Growth Rate | 9.8% | 9.9% | 8.5% |
| Dividend Yield | 1.3% | 1.3% | 1.7% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | | | |
| (Annualized) | 12% | — | — |
| Short-Term Reserves | -0.3% | — | — |
| | | |
| Sector Diversification (% of equity exposure) |
| | | | DJ |
| | | Russell | U.S. Total |
| | | 2000 | Market |
| | Fund | Index | FA Index |
| Consumer Discretionary | 13.8% | 13.8% | 14.2% |
| Consumer Staples | 2.2 | 2.2 | 5.8 |
| Energy | 3.4 | 3.4 | 5.3 |
| Financial Services | 24.7 | 24.7 | 21.6 |
| Health Care | 16.2 | 16.2 | 13.2 |
| Materials & Processing | 7.2 | 7.2 | 3.9 |
| Producer Durables | 14.0 | 14.0 | 11.0 |
| Technology | 14.4 | 14.4 | 20.6 |
| Utilities | 4.1 | 4.1 | 4.4 |
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 | 0.69 |
| Beta | 1.00 | 1.13 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
| | |
| Ten Largest Holdings (% of total net assets) |
| Nektar Therapeutics | Biotechnology | 0.6% |
| Bluebird Bio Inc. | Biotechnology | 0.5 |
| GrubHub Inc. | Computer Services | |
| | Software & Systems | 0.4 |
| Sage Therapeutics Inc. | Biotechnology | 0.3 |
| Knight-Swift | | |
| Transportation Holdings | | |
| Inc. | Truckers | 0.3 |
| MKS Instruments Inc. | Production | |
| | Technology | |
| | Equipment | 0.3 |
| Curtiss-Wright Corp. | Aerospace | 0.3 |
| Aspen Technology Inc. | Computer Services | |
| | Software & Systems | 0.3 |
| EPAM Systems Inc. | Computer Services | |
| | Software & Systems | 0.3 |
| Catalent Inc. | Pharmaceuticals | 0.3 |
| Top Ten | | 3.6% |
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 21, 2017, and represent estimated costs for the current fiscal year. For the six months ended February 28, 2018, the annualized 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.
Fiscal-Year Total Returns (%): September 20, 2010, Through February 28, 2018
Average Annual Total Returns: Periods Ended December 31, 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 | | 14.68% | 14.14% | 13.61% |
| Net Asset Value | | 14.70 | 14.14 | 13.61 |
| Institutional Shares | 12/22/2010 | 14.78 | 14.22 | 11.51 |
See Financial Highlights for dividend and capital gains information.
9
Russell 2000 Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 28, 2018
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. | 47,046 | 4,618 | 0.2% |
| * Cimpress NV | 25,111 | 4,087 | 0.2% |
| * 2U Inc. | 48,380 | 4,005 | 0.2% |
| Consumer Discretionary—Other † | | 271,303 | 13.1% |
| | | 284,013 | 13.7% |
| Consumer Staples | | | |
| Snyder’s-Lance Inc. | 86,510 | 4,315 | 0.2% |
| Consumer Staples—Other † | | 41,101 | 2.0% |
| | | 45,416 | 2.2% |
| |
| Energy † | | 70,405 | 3.4% |
| |
| Financial Services | | | |
| * MGIC Investment Corp. | 371,919 | 5,129 | 0.3% |
| Fair Isaac Corp. | 29,886 | 5,079 | 0.3% |
| Sterling Bancorp | 213,716 | 4,969 | 0.2% |
| Umpqua Holdings Corp. | 222,942 | 4,751 | 0.2% |
| Wintrust Financial Corp. | 56,106 | 4,742 | 0.2% |
| * Texas Capital Bancshares Inc. | 50,013 | 4,511 | 0.2% |
| Radian Group Inc. | 217,280 | 4,459 | 0.2% |
| Hancock Holding Co. | 84,470 | 4,367 | 0.2% |
| Primerica Inc. | 44,530 | 4,342 | 0.2% |
| Stifel Financial Corp. | 66,978 | 4,278 | 0.2% |
| IBERIABANK Corp. | 50,719 | 4,098 | 0.2% |
| Chemical Financial Corp. | 71,360 | 3,938 | 0.2% |
| Financial Services—Other † | | 454,634 | 21.9% |
| | | 509,297 | 24.5% |
10
| | | | |
| Russell 2000 Index Fund | | | |
| |
| |
| |
| | | | Market | Percentage |
| | | | Value• | of Net |
| | | Shares | ($000) | Assets |
| Health Care | | | |
| * | Nektar Therapeutics Class A | 148,757 | 12,876 | 0.6% |
| * | Bluebird Bio Inc. | 49,070 | 9,863 | 0.5% |
| * | Sage Therapeutics Inc. | 41,242 | 6,655 | 0.3% |
| * | Catalent Inc. | 134,465 | 5,614 | 0.3% |
| * | Exact Sciences Corp. | 118,084 | 5,268 | 0.3% |
| * | Encompass Health Corp. | 98,825 | 5,263 | 0.2% |
| * | Insulet Corp. | 58,371 | 4,383 | 0.2% |
| * | LivaNova plc | 48,711 | 4,371 | 0.2% |
| | Cantel Medical Corp. | 36,742 | 4,273 | 0.2% |
| * | PRA Health Sciences Inc. | 49,770 | 4,181 | 0.2% |
| | Chemed Corp. | 15,798 | 4,102 | 0.2% |
| * | Masimo Corp. | 44,995 | 3,938 | 0.2% |
| | Health Care—Other † | | 264,355 | 12.7% |
| | | | 335,142 | 16.1% |
| Materials & Processing | | | |
| | Louisiana-Pacific Corp. | 145,844 | 4,157 | 0.2% |
| 1 | Materials & Processing—Other † | | 144,994 | 7.0% |
| | | | 149,151 | 7.2% |
| |
| 1,2Other † | | 319 | 0.0% |
| |
| Producer Durables | | | |
| | Knight-Swift Transportation Holdings Inc. | 126,238 | 6,080 | 0.3% |
| | Curtiss-Wright Corp. | 44,454 | 6,000 | 0.3% |
| | Littelfuse Inc. | 24,212 | 5,024 | 0.3% |
| | EMCOR Group Inc. | 59,083 | 4,509 | 0.2% |
| | MAXIMUS Inc. | 64,475 | 4,319 | 0.2% |
| | Producer Durables—Other † | | 264,006 | 12.7% |
| | | | 289,938 | 14.0% |
| Technology | | | |
| *,^ | GrubHub Inc. | 86,180 | 8,567 | 0.4% |
| | MKS Instruments Inc. | 54,040 | 6,017 | 0.3% |
| * | Aspen Technology Inc. | 73,325 | 5,667 | 0.3% |
| * | EPAM Systems Inc. | 50,028 | 5,659 | 0.3% |
| | Blackbaud Inc. | 47,795 | 4,900 | 0.3% |
| *,^ | Paycom Software Inc. | 49,391 | 4,886 | 0.2% |
| | Entegris Inc. | 142,449 | 4,729 | 0.2% |
| * | Proofpoint Inc. | 43,889 | 4,704 | 0.2% |
| | Monolithic Power Systems Inc. | 39,996 | 4,682 | 0.2% |
| * | Zendesk Inc. | 100,140 | 4,324 | 0.2% |
| * | RingCentral Inc. Class A | 65,283 | 4,090 | 0.2% |
| * | Integrated Device Technology Inc. | 134,477 | 4,080 | 0.2% |
| * | Silicon Laboratories Inc. | 42,089 | 3,935 | 0.2% |
| * | Nutanix Inc. | 107,647 | 3,924 | 0.2% |
| | Technology—Other † | | 227,038 | 10.9% |
| | | | 297,202 | 14.3% |
| Utilities | | | |
| | WGL Holdings Inc. | 51,330 | 4,274 | 0.2% |
| | IDACORP Inc. | 50,629 | 4,103 | 0.2% |
| | Utilities—Other † | | 75,333 | 3.6% |
| | | | 83,710 | 4.0% |
| Total Common Stocks (Cost $1,905,374) | | 2,064,593 | 99.4%3 |
11
| | | | |
| 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 | 1.601% | 363,301 | 36,326 | 1.8% |
| |
| 6U.S. Government and Agency Obligations† | | | 448 | 0.0% |
| Total Temporary Cash Investments (Cost $36,777) | | | 36,774 | 1.8%3 |
| Total Investments (Cost $1,942,151) | | | 2,101,367 | 101.2% |
| |
| | | | Amount | |
| | | | ($000) | |
| Other Assets and Liabilities | | | | |
| Other Assets | | | | |
| Investment in Vanguard | | | 111 | |
| Receivables for Investment Securities Sold | | | 1,804 | |
| Receivables for Accrued Income | | | 1,272 | |
| Receivables for Capital Shares Issued | | | 7,451 | |
| Other Assets | | | 426 | |
| Total Other Assets | | | 11,064 | 0.5% |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | (1,947) | |
| Collateral for Securities on Loan | | | (32,403) | |
| Payables for Capital Shares Redeemed | | | (750) | |
| Payables to Vanguard | | | (405) | |
| Variation Margin Payable—Futures Contracts | | | (96) | |
| Total Liabilities | | | (35,601) | (1.7%) |
| Net Assets | | | 2,076,830 | 100.0% |
| |
| At February 28, 2018, net assets consisted of: | |
| | Amount |
| | ($000) |
| Paid-in Capital | 1,950,680 |
| Undistributed Net Investment Income | 878 |
| Accumulated Net Realized Losses | (34,003) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 159,216 |
| Futures Contracts | 59 |
| Net Assets | 2,076,830 |
12
| |
| Russell 2000 Index Fund | |
| |
| |
| |
| | Amount |
| | ($000) |
| ETF Shares—Net Assets | |
| Applicable to 10,825,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 1,305,967 |
| Net Asset Value Per Share—ETF Shares | $120.64 |
| |
| Institutional Shares—Net Assets | |
| Applicable to 3,340,185 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 770,863 |
| Net Asset Value Per Share—Institutional Shares | $230.78 |
• 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.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $29,899,000.
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 1.2%,
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 $32,403,000 of collateral received for securities on loan.
6 Securities with a value of $448,000 have been segregated as initial margin for open futures contracts.
| | | | |
| Derivative Financial Instruments Outstanding as of Period End | | |
| Futures Contracts | | | | |
| | | | | ($000) |
| | | | | Value and |
| | | Number of | | Unrealized |
| | | Long (Short) | Notional | Appreciation |
| | Expiration | Contracts | Amount | (Depreciation) |
| Long Futures Contracts | | | | |
| E-mini Russell 2000 Index | March 2018 | 151 | 11,410 | 59 |
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 2000 Index Fund
Statement of Operations
| |
| | Six Months Ended |
| | February28,2018 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 10,261 |
| Interest1 | 44 |
| Securities Lending—Net | 1,151 |
| Total Income | 11,456 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 237 |
| Management and Administrative—ETF Shares | 584 |
| Management and Administrative—Institutional Shares | 117 |
| Marketing and Distribution—ETF Shares | 38 |
| Marketing and Distribution—Institutional Shares | 8 |
| Custodian Fees | 139 |
| Shareholders’ Reports and Proxy—ETF Shares | 48 |
| Shareholders’ Reports and Proxy—Institutional Shares | 5 |
| Trustees’ Fees and Expenses | 1 |
| Total Expenses | 1,177 |
| Net Investment Income | 10,279 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 90,221 |
| Futures Contracts | 874 |
| Realized Net Gain (Loss) | 91,095 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 35,411 |
| Futures Contracts | 51 |
| Change in Unrealized Appreciation (Depreciation) | 35,462 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 136,836 |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $38,000, ($1,000), and ($7,000), respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
14
Russell 2000 Index Fund
Statement of Changes in Net Assets
| | |
| | Six Months Ended | Year Ended |
| | February 28, | August 31, |
| | 2018 | 2017 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 10,279 | 20,174 |
| Realized Net Gain (Loss) | 91,095 | 44,973 |
| Change in Unrealized Appreciation (Depreciation) | 35,462 | 126,697 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 136,836 | 191,844 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (8,785) | (12,026) |
| Institutional Shares | (4,849) | (7,759) |
| Realized Capital Gain | | |
| ETF Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (13,634) | (19,785) |
| Capital Share Transactions | | |
| ETF Shares | 140,188 | 282,534 |
| Institutional Shares | 154,112 | 27,481 |
| Net Increase (Decrease) from Capital Share Transactions | 294,300 | 310,015 |
| Total Increase (Decrease) | 417,502 | 482,074 |
| Net Assets | | |
| Beginning of Period | 1,659,328 | 1,177,254 |
| End of Period1 | 2,076,830 | 1,659,328 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $878,000 and $4,232,000.
See accompanying Notes, which are an integral part of the Financial Statements.
15
Russell 2000 Index Fund
Financial Highlights
ETF Shares
| | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $112.21 | $98.98 | $92.71 | $93.72 | $80.46 | $64.74 |
| Investment Operations | | | | | | |
| Net Investment Income | . 6471 | 1.4431 | 1.302 | 1.2241 | 1.054 | 1.161 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | 8.674 | 13.255 | 6.537 | (1.163) | 13.163 | 15.604 |
| Total from Investment Operations | 9.321 | 14.698 | 7.839 | .061 | 14.217 | 16.765 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.891) | (1.468) | (1.569) | (1.071) | (.957) | (1.045) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.891) | (1.468) | (1.569) | (1.071) | (.957) | (1.045) |
| Net Asset Value, End of Period | $120.64 | $112.21 | $98.98 | $92.71 | $93.72 | $80.46 |
| |
| Total Return | 8.32% | 14.94% | 8.62% | 0.03% | 17.69% | 26.23% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $1,306 | $1,083 | $698 | $554 | $375 | $257 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.08% | 1.34% | 1.52% | 1.28% | 1.23% | 1.71% |
| Portfolio Turnover Rate 2 | 12% | 23% | 19% | 17% | 16% | 32% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
16
Russell 2000 Index Fund
Financial Highlights
Institutional Shares
| | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $214.65 | $189.31 | $177.40 | $179.29 | $153.88 | $123.77 |
| Investment Operations | | | | | | |
| Net Investment Income | 1.2801 | 2.9561 | 2.606 | 2.4531 | 2.110 | 2.306 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | 16.625 | 25.315 | 12.503 | (2.212) | 25.206 | 29.858 |
| Total from Investment Operations | 17.905 | 28.271 | 15.109 | .241 | 27.316 | 32.164 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (1.775) | (2.931) | (3.199) | (2.131) | (1.906) | (2.054) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (1.775) | (2.931) | (3.199) | (2.131) | (1.906) | (2.054) |
| Net Asset Value, End of Period | $230.78 | $214.65 | $189.31 | $177.40 | $179.29 | $153.88 |
| |
| Total Return | 8.36% | 15.03% | 8.69% | 0.11% | 17.78% | 26.33% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $771 | $576 | $479 | $528 | $320 | $278 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.15% | 1.41% | 1.59% | 1.35% | 1.30% | 1.78% |
| Portfolio Turnover Rate2 | 12% | 23% | 19% | 17% | 16% | 32% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
17
Russell 2000 Index Fund
Notes to Financial Statements
Vanguard Russell 2000 Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. ETF Shares are listed for trading on 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, 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 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 counter-party 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 six months ended February 28, 2018, 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 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 for the period ended February 28, 2018, 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 counter-parties. 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 February 28, 2018, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
19
Russell 2000 Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses), 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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2018, the fund had contributed to Vanguard capital in the amount of $111,000, 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 February 28,
2018, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 2,064,384 | — | 209 |
| Temporary Cash Investments | 36,326 | 448 | — |
| Futures Contracts—Liabilities1 | (96) | — | — |
| Total | 2,100,614 | 448 | 209 |
| 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
20
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 six months ended February 28, 2018, the fund realized $82,364,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.
For tax purposes, at August 31, 2017, the fund had available capital losses totaling $42,725,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2018; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2018, the cost of investment securities for tax purposes was $1,942,448,000. Net unrealized appreciation of investment securities for tax purposes was $158,919,000, consisting of unrealized gains of $339,819,000 on securities that had risen in value since their purchase and $180,900,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 28, 2018, the fund purchased $626,124,000 of investment securities and sold $340,448,000 of investment securities, other than temporary cash investments. Purchases and sales include $363,173,000 and $227,964,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F. Capital share transactions for each class of shares were:
| | | | |
| | Six Months Ended | | Year Ended |
| | February 28, 2018 | August 31, 2017 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 369,919 | 3,075 | 413,730 | 3,800 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (229,731) | (1,900) | (131,196) | (1,200) |
| Net Increase (Decrease)—ETF Shares | 140,188 | 1,175 | 282,534 | 2,600 |
| Institutional Shares | | | | |
| Issued | 206,639 | 879 | 162,735 | 807 |
| Issued in Lieu of Cash Distributions | 4,753 | 21 | 7,230 | 35 |
| Redeemed | (57,280) | (246) | (142,484) | (689) |
| Net Increase (Decrease)—Institutional Shares | 154,112 | 654 | 27,481 | 153 |
G. Management has determined that no material events or transactions occurred subsequent to February 28, 2018, that would require recognition or disclosure in these financial statements.
21
Russell 2000 Value Index Fund
Fund Profile
As of February 28, 2018
| | |
| Share-Class Characteristics | | |
| | ETF | Institutional |
| | Shares | Shares |
| Ticker Symbol | VTWV | VRTVX |
| Expense Ratio1 | 0.20% | 0.08% |
| 30-Day SEC Yield | 1.70% | 1.82% |
| | | |
| Portfolio Characteristics | | |
| | | Russell | DJ |
| | | 2000 | U.S. Total |
| | | Value | Market |
| | Fund | Index | FA Index |
| Number of Stocks | 1,394 | 1,373 | 3,746 |
| Median Market Cap | $1.7B | $1.7B | $68.2B |
| Price/Earnings Ratio | 16.6x | 16.7x | 21.7x |
| Price/Book Ratio | 1.4x | 1.4x | 3.0x |
| Return on Equity | 7.4% | 7.4% | 15.0% |
| Earnings Growth Rate | 6.9% | 6.9% | 8.5% |
| Dividend Yield | 1.9% | 1.9% | 1.7% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | | | |
| (Annualized) | 9% | — | — |
| Short-Term Reserves | -0.1% | — | — |
| | | |
| Sector Diversification (% of equity exposure) |
| | | Russell | DJ |
| | | 2000 | U.S. Total |
| | | Value | Market |
| | Fund | Index | FA Index |
| Consumer Discretionary | 11.7% | 11.7% | 14.2% |
| Consumer Staples | 2.2 | 2.2 | 5.8 |
| Energy | 6.1 | 6.1 | 5.3 |
| Financial Services | 40.8 | 40.8 | 21.6 |
| Health Care | 6.8 | 6.8 | 13.2 |
| Materials & Processing | 6.3 | 6.3 | 3.9 |
| Producer Durables | 12.1 | 12.1 | 11.0 |
| Technology | 7.6 | 7.6 | 20.6 |
| Utilities | 6.4 | 6.4 | 4.4 |
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 |
| | 2000 | U.S. Total |
| | Value | Market |
| | Index | FA Index |
| R-Squared | 1.00 | 0.57 |
| Beta | 1.00 | 1.04 |
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) |
| Bluebird Bio Inc. | Biotechnology | 0.6% |
| MGIC Investment Corp. | Consumer Lending | 0.5 |
| Sterling Bancorp | Banks: | |
| | Savings/Thrifts & | |
| | Mortgage Lending | 0.5 |
| Umpqua Holdings Corp. | Banks: Diversified | 0.5 |
| Wintrust Financial Corp. | Banks: Diversified | 0.5 |
| Radian Group Inc. | Insurance: | |
| | Property-Casualty | 0.5 |
| Hancock Holding Co. | Banks: Diversified | 0.4 |
| LivaNova plc | Medical Equipment | 0.4 |
| WGL Holdings Inc. | Utilities: Gas | |
| | Distributors | 0.4 |
| Snyder's-Lance Inc. | Foods | 0.4 |
| Top Ten | | 4.7% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
1 The expense ratios shown are from the prospectus dated December 21, 2017, and represent estimated costs for the current fiscal year. For the six months ended February 28, 2018, the annualized expense ratios were 0.20% for ETF Shares and 0.08% for Institutional Shares.
22
Russell 2000 Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): September 20, 2010, Through February 28, 2018
Average Annual Total Returns: Periods Ended December 31, 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 | | 7.74% | 12.84% | 12.52% |
| Net Asset Value | | 7.78 | 12.86 | 12.51 |
| Institutional Shares | 7/13/2012 | 7.91 | 13.00 | 13.48 |
See Financial Highlights for dividend and capital gains information.
23
Russell 2000 Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 28, 2018
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 | | | |
| American Eagle Outfitters Inc. | 54,792 | 1,056 | 0.3% |
| ILG Inc. | 32,736 | 994 | 0.3% |
| Aaron’s Inc. | 21,427 | 990 | 0.3% |
| Consumer Discretionary—Other † | | 35,423 | 10.7% |
| | | 38,463 | 11.6% |
| Consumer Staples | | | |
| Snyder’s-Lance Inc. | 29,220 | 1,457 | 0.4% |
| Consumer Staples—Other † | | 5,953 | 1.8% |
| | | 7,410 | 2.2% |
| Energy | | | |
| * PDC Energy Inc. | 22,374 | 1,175 | 0.4% |
| Energy—Other † | | 18,846 | 5.7% |
| | | 20,021 | 6.1% |
| Financial Services | | | |
| * MGIC Investment Corp. | 125,852 | 1,735 | 0.5% |
| Sterling Bancorp | 72,528 | 1,686 | 0.5% |
| Umpqua Holdings Corp. | 75,440 | 1,608 | 0.5% |
| Wintrust Financial Corp. | 18,877 | 1,595 | 0.5% |
| Radian Group Inc. | 73,590 | 1,510 | 0.5% |
| Hancock Holding Co. | 28,648 | 1,481 | 0.5% |
| Stifel Financial Corp. | 22,592 | 1,443 | 0.4% |
| IBERIABANK Corp. | 17,232 | 1,392 | 0.4% |
| Chemical Financial Corp. | 24,075 | 1,329 | 0.4% |
| CNO Financial Group Inc. | 57,506 | 1,296 | 0.4% |
| United Bankshares Inc. | 33,968 | 1,206 | 0.4% |
| Investors Bancorp Inc. | 88,581 | 1,196 | 0.4% |
| Cousins Properties Inc. | 142,740 | 1,190 | 0.4% |
| RLJ Lodging Trust | 57,570 | 1,140 | 0.4% |
24
| | | | |
| Russell 2000 Value Index Fund | | | |
| |
| |
| |
| | | | Market | Percentage |
| | | | Value• | of Net |
| | | Shares | ($000) | Assets |
| | UMB Financial Corp. | 15,381 | 1,123 | 0.3% |
| | Selective Insurance Group Inc. | 19,540 | 1,111 | 0.3% |
| | Healthcare Realty Trust Inc. | 41,823 | 1,110 | 0.3% |
| | Sunstone Hotel Investors Inc. | 76,633 | 1,106 | 0.3% |
| | Valley National Bancorp | 88,183 | 1,100 | 0.3% |
| | Cathay General Bancorp | 25,930 | 1,065 | 0.3% |
| | Fulton Financial Corp. | 58,304 | 1,055 | 0.3% |
| | Washington Federal Inc. | 29,795 | 1,034 | 0.3% |
| | MB Financial Inc. | 25,207 | 1,034 | 0.3% |
| | First Citizens BancShares Inc. Class A | 2,515 | 1,024 | 0.3% |
| | Gramercy Property Trust | 46,542 | 1,008 | 0.3% |
| | South State Corp. | 11,467 | 994 | 0.3% |
| | Financial Services—Other † | | 101,464 | 30.7% |
| | | | 134,035 | 40.5% |
| Health Care | | | |
| * | Bluebird Bio Inc. | 10,044 | 2,019 | 0.6% |
| * | LivaNova plc | 16,434 | 1,475 | 0.4% |
| | Health Care—Other † | | 18,802 | 5.7% |
| | | | 22,296 | 6.7% |
| Materials & Processing | | | |
| * | Allegheny Technologies Inc. | 42,578 | 1,103 | 0.3% |
| | Belden Inc. | 14,253 | 1,037 | 0.3% |
| * | Rexnord Corp. | 35,277 | 1,022 | 0.3% |
| 1 | Materials & Processing—Other † | | 17,394 | 5.3% |
| | | | 20,556 | 6.2% |
| |
| 1,2Other † | | 15 | 0.0% |
| |
| Producer Durables | | | |
| * | KLX Inc. | 17,540 | 1,187 | 0.4% |
| * | Darling Ingredients Inc. | 55,692 | 1,013 | 0.3% |
| | Producer Durables—Other † | | 37,399 | 11.3% |
| | | | 39,599 | 12.0% |
| Technology | | | |
| * | Cree Inc. | 33,107 | 1,252 | 0.4% |
| * | CACI International Inc. Class A | 8,287 | 1,235 | 0.4% |
| * | ViaSat Inc. | 17,073 | 1,192 | 0.3% |
| * | Tech Data Corp. | 10,963 | 1,133 | 0.3% |
| | Technology—Other † | | 20,126 | 6.1% |
| | | | 24,938 | 7.5% |
| Utilities | | | |
| | WGL Holdings Inc. | 17,565 | 1,463 | 0.4% |
| | IDACORP Inc. | 17,223 | 1,396 | 0.4% |
| | Portland General Electric Co. | 30,482 | 1,211 | 0.4% |
| | ALLETE Inc. | 17,409 | 1,186 | 0.4% |
| | ONE Gas Inc. | 17,817 | 1,133 | 0.4% |
| | Spire Inc. | 16,065 | 1,089 | 0.3% |
| | Avista Corp. | 22,043 | 1,054 | 0.3% |
| | New Jersey Resources Corp. | 26,934 | 1,026 | 0.3% |
| | Utilities—Other † | | 11,529 | 3.5% |
| | | | 21,087 | 6.4% |
| Total Common Stocks (Cost $294,305) | | 328,420 | 99.2%3 |
25
| | | | |
| Russell 2000 Value Index Fund | | | | |
| |
| |
| | | | Market | Percentage |
| | | | Value• | of Net |
| | Coupon | Shares | ($000) | Assets |
| Temporary Cash Investments | | | | |
| Money Market Fund | | | | |
| 4,5 Vanguard Market Liquidity Fund | 1.601% | 43,456 | 4,345 | 1.3% |
| |
| 6U.S. Government and Agency Obligations† | | | 199 | 0.1% |
| Total Temporary Cash Investments (Cost $4,544) | | | 4,544 | 1.4%3 |
| 7Total Investments (Cost $298,849) | | | 332,964 | 100.6% |
| |
| | | | Amount | |
| | | | ($000) | |
| Other Assets and Liabilities | | | | |
| Other Assets | | | | |
| Investment in Vanguard | | | 18 | |
| Receivables for Accrued Income | | | 265 | |
| Receivables for Capital Shares Issued | | | 164 | |
| Other Assets | | | 7 | |
| Total Other Assets | | | 454 | 0.1% |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | (14) | |
| Collateral for Securities on Loan | | | (2,218) | |
| Payables to Vanguard | | | (75) | |
| Variation Margin Payable-Futures Contracts | | | (45) | |
| Total Liabilities | | | (2,352) | (0.7%) |
| Net Assets | | | 331,066 | 100.0% |
| |
| At February 28, 2018, net assets consisted of: | |
| | Amount |
| | ($000) |
| Paid-in Capital | 311,871 |
| Undistributed Net Investment Income | 31 |
| Accumulated Net Realized Losses | (14,873) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 34,115 |
| Futures Contracts | (78) |
| Net Assets | 331,066 |
26
| |
| Russell 2000 Value Index Fund | |
| |
| |
| |
| | Amount |
| | ($000) |
| ETF Shares—Net Assets | |
| Applicable to 1,750,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 183,657 |
| Net Asset Value Per Share—ETF Shares | $104.95 |
| |
| Institutional Shares—Net Assets | |
| Applicable to 712,110 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 147,409 |
| Net Asset Value Per Share—Institutional Shares | $207.00 |
• 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.
* Non-income-producing security.
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 0.6%,
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 $2,218,000 of collateral received for securities on loan.
6 Securities with a value of $134,000 have been segregated as initial margin for open futures contracts.
7 The total value of securities on loan is $1,935,000.
| | | | |
| 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 | March 2018 | 33 | 2,493 | (78) |
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.
27
Russell 2000 Value Index Fund
Statement of Operations
| |
| | Six Months Ended |
| | February28,2018 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 2,672 |
| Interest1 | 12 |
| Securities Lending—Net | 162 |
| Total Income | 2,846 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 43 |
| Management and Administrative—ETF Shares | 104 |
| Management and Administrative—Institutional Shares | 7 |
| Marketing and Distribution—ETF Shares | 5 |
| Marketing and Distribution—Institutional Shares | 2 |
| Custodian Fees | 73 |
| Shareholders’ Reports and Proxy—ETF Shares | 12 |
| Shareholders’ Reports and Proxy—Institutional Shares | — |
| Total Expenses | 246 |
| Net Investment Income | 2,600 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 376 |
| Futures Contracts | 206 |
| Realized Net Gain (Loss) | 582 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 13,365 |
| Futures Contracts | (113) |
| Change in Unrealized Appreciation (Depreciation) | 13,252 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 16,434 |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $11,000, ($1,000), and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
28
Russell 2000 Value Index Fund
Statement of Changes in Net Assets
| | |
| | Six Months Ended | Year Ended |
| | February 28, | August 31, |
| | 2018 | 2017 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 2,600 | 5,564 |
| Realized Net Gain (Loss) | 582 | 16,665 |
| Change in Unrealized Appreciation (Depreciation) | 13,252 | 13,434 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 16,434 | 35,663 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (1,967) | (2,681) |
| Institutional Shares | (1,748) | (2,873) |
| Realized Capital Gain | | |
| ETF Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (3,715) | (5,554) |
| Capital Share Transactions | | |
| ETF Shares | 5,397 | 36,580 |
| Institutional Shares | (4,683) | 1,757 |
| Net Increase (Decrease) from Capital Share Transactions | 714 | 38,337 |
| Total Increase (Decrease) | 13,433 | 68,446 |
| Net Assets | | |
| Beginning of Period | 317,633 | 249,187 |
| End of Period1 | 331,066 | 317,633 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $31,000 and $1,146,000.
See accompanying Notes, which are an integral part of the Financial Statements.
29
Russell 2000 Value Index Fund
Financial Highlights
ETF Shares
| | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $100.96 | $90.64 | $81.88 | $87.76 | $75.48 | $61.97 |
| Investment Operations | | | | | | |
| Net Investment Income | .7841 | 1.7361 | 1.561 | 1.530 | 1.284 | 1.639 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | 4.353 | 10.358 | 9.305 | (5.907) | 12.219 | 13.109 |
| Total from Investment Operations | 5.137 | 12.094 | 10.866 | (4.377) | 13.503 | 14.748 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (1.147) | (1.774) | (2.106) | (1.503) | (1.223) | (1.238) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (1.147) | (1.774) | (2.106) | (1.503) | (1.223) | (1.238) |
| Net Asset Value, End of Period | $104.95 | $100.96 | $90.64 | $81.88 | $87.76 | $75.48 |
| |
| Total Return | 5.07% | 13.42% | 13.62% | -5.10% | 17.92% | 24.14% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $184 | $172 | $120 | $74 | $70 | $45 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.51% | 1.76% | 2.02% | 1.80% | 1.83% | 2.12% |
| Portfolio Turnover Rate2 | 9% | 36% | 31% | 28% | 36% | 60% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
30
Russell 2000 Value Index Fund
Financial Highlights
| | | | | | |
| Institutional Shares | | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $199.13 | $178.76 | $161.59 | $173.15 | $148.87 | $122.12 |
| Investment Operations | | | | | | |
| Net Investment Income | 1.7051 | 3.7371 | 3.265 | 3.195 | 2.724 | 3.360 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | 8.537 | 20.356 | 18.355 | (11.619) | 24.103 | 25.888 |
| Total from Investment Operations | 10.242 | 24.093 | 21.620 | (8.424) | 26.827 | 29.248 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (2.372) | (3.723) | (4.450) | (3.136) | (2.547) | (2.498) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (2.372) | (3.723) | (4.450) | (3.136) | (2.547) | (2.498) |
| Net Asset Value, End of Period | $207.00 | $199.13 | $178.76 | $161.59 | $173.15 | $148.87 |
| |
| Total Return | 5.12% | 13.55% | 13.76% | -4.97% | 18.07% | 24.29% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $147 | $146 | $129 | $71 | $82 | $51 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.63% | 1.88% | 2.14% | 1.92% | 1.95% | 2.24% |
| Portfolio Turnover Rate2 | 9% | 36% | 31% | 28% | 36% | 60% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
31
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, 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 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 six months ended February 28, 2018, 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.
32
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 for the period ended February 28, 2018, 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 February 28, 2018, 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.
33
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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2018, the fund had contributed to Vanguard capital in the amount of $18,000, 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 February 28,
2018, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 328,415 | — | 5 |
| Temporary Cash Investments | 4,345 | 199 | — |
| Futures Contracts—Liabilities1 | (45) | — | — |
| Total | 332,715 | 199 | 5 |
| 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
34
Russell 2000 Value 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.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2017, the fund had available capital losses totaling $15,392,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2018; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2018, the cost of investment securities for tax purposes was $298,892,000. Net unrealized appreciation of investment securities for tax purposes was $34,072,000, consisting of unrealized gains of $59,965,000 on securities that had risen in value since their purchase and $25,893,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 28, 2018, the fund purchased $21,276,000 of investment securities and sold $20,624,000 of investment securities, other than temporary cash investments. Purchases include $5,396,000, in connection with in-kind purchases of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 28, 2018, such purchases and sales were $2,012,000 and $4,401,000, 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:
| | | | |
| | Six Months Ended | | Year Ended |
| | February 28, 2018 | August 31, 2017 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 5,397 | 50 | 95,420 | 950 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | — | — | (58,840) | (575) |
| Net Increase (Decrease)—ETF Shares | 5,397 | 50 | 36,580 | 375 |
| Institutional Shares | | | | |
| Issued | 7,904 | 37 | 39,675 | 198 |
| Issued in Lieu of Cash Distributions | 1,672 | 8 | 2,511 | 13 |
| Redeemed | (14,259) | (66) | (40,429) | (200) |
| Net Increase (Decrease)—Institutional Shares | (4,683) | (21) | 1,757 | 11 |
G. Management has determined that no material events or transactions occurred subsequent to February 28, 2018, that would require recognition or disclosure in these financial statements.
35
Russell 2000 Growth Index Fund
Fund Profile
As of February 28, 2018
| | |
| Share-Class Characteristics | | |
| | ETF | Institutional |
| | Shares | Shares |
| Ticker Symbol | VTWG | VRTGX |
| Expense Ratio1 | 0.20% | 0.08% |
| 30-Day SEC Yield | 0.48% | 0.60% |
| | | |
| Portfolio Characteristics | | |
| | | Russell | DJ |
| | | 2000 | U.S. Total |
| | | Growth | Market |
| | Fund | Index | FA Index |
| Number of Stocks | 1,196 | 1,162 | 3,746 |
| Median Market Cap | $2.5B | $2.5B | $68.2B |
| Price/Earnings Ratio | 23.3x | 23.1x | 21.7x |
| Price/Book Ratio | 4.1x | 4.1x | 3.0x |
| Return on Equity | 9.8% | 9.9% | 15.0% |
| Earnings Growth Rate | 13.0% | 13.1% | 8.5% |
| Dividend Yield | 0.6% | 0.6% | 1.7% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | | | |
| (Annualized) | 14% | — | — |
| Short-Term Reserves | -0.1% | — | — |
| | | |
| Sector Diversification (% of equity exposure) |
| | | Russell | DJ |
| | | 2000 | U.S. Total |
| | | Growth | Market |
| | Fund | Index | FA Index |
| Consumer Discretionary | 15.6% | 15.6% | 14.2% |
| Consumer Staples | 2.2 | 2.2 | 5.8 |
| Energy | 1.0 | 1.0 | 5.3 |
| Financial Services | 10.3 | 10.3 | 21.6 |
| Health Care | 24.6 | 24.6 | 13.2 |
| Materials & Processing | 8.1 | 8.1 | 3.9 |
| Producer Durables | 15.8 | 15.8 | 11.0 |
| Technology | 20.4 | 20.4 | 20.6 |
| Utilities | 2.0 | 2.0 | 4.4 |
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 2000 | Market |
| | Growth Index | FA Index |
| R-Squared | 1.00 | 0.74 |
| Beta | 1.00 | 1.21 |
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) |
| Nektar Therapeutics | Biotechnology | 1.2% |
| GrubHub Inc. | Computer Services | |
| | Software & Systems | 0.8 |
| Sage Therapeutics Inc. | Biotechnology | 0.6 |
| Knight-Swift | | |
| Transportation Holdings | | |
| Inc. | Truckers | 0.6 |
| MKS Instruments Inc. | Production | |
| | Technology | |
| | Equipment | 0.5 |
| Aspen Technology Inc. | Computer Services | |
| | Software & Systems | 0.5 |
| EPAM Systems Inc. | Computer Services | |
| | Software & Systems | 0.5 |
| Catalent Inc. | Pharmaceuticals | 0.5 |
| Encompass Health Corp. Health Care Facilities | 0.5 |
| Exact Sciences Corp. | Biotechnology | 0.5 |
| Top Ten | | 6.2% |
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 21, 2017, and represent estimated costs for the current fiscal year. For the six months ended February 28, 2018, the annualized expense ratios were 0.20% for ETF Shares and 0.08% for Institutional Shares.
36
Russell 2000 Growth Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): September 20, 2010, Through February 28, 2018
Average Annual Total Returns: Periods Ended December 31, 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 | | 22.20% | 15.25% | 14.49% |
| Net Asset Value | | 22.13 | 15.24 | 14.49 |
| Institutional Shares | 5/25/2011 | 22.28 | 15.37 | 12.03 |
See Financial Highlights for dividend and capital gains information.
37
Russell 2000 Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 28, 2018
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. | 28,711 | 2,818 | 0.4% |
| * Cimpress NV | 15,305 | 2,491 | 0.4% |
| * 2U Inc. | 29,468 | 2,439 | 0.4% |
| Texas Roadhouse Inc. Class A | 40,948 | 2,263 | 0.3% |
| * Five Below Inc. | 33,119 | 2,214 | 0.3% |
| Churchill Downs Inc. | 8,237 | 2,127 | 0.3% |
| Consumer Discretionary—Other † | | 89,461 | 13.4% |
| | | 103,813 | 15.5% |
| |
| Consumer Staples † | | 14,320 | 2.1% |
| |
| Energy † | | 6,936 | 1.0% |
| |
| Financial Services | | | |
| Fair Isaac Corp. | 18,239 | 3,100 | 0.5% |
| Primerica Inc. | 27,104 | 2,643 | 0.4% |
| * Essent Group Ltd. | 49,759 | 2,244 | 0.3% |
| Evercore Inc. Class A | 23,534 | 2,190 | 0.3% |
| Financial Services—Other † | | 58,677 | 8.8% |
| | | 68,854 | 10.3% |
| Health Care | | | |
| * Nektar Therapeutics Class A | 90,697 | 7,851 | 1.2% |
| * Sage Therapeutics Inc. | 25,150 | 4,058 | 0.6% |
| * Catalent Inc. | 82,050 | 3,426 | 0.5% |
| * Encompass Health Corp. | 60,401 | 3,217 | 0.5% |
| * Exact Sciences Corp. | 72,077 | 3,215 | 0.5% |
| * Insulet Corp. | 35,619 | 2,675 | 0.4% |
| Cantel Medical Corp. | 22,290 | 2,593 | 0.4% |
38
| | | | |
| Russell 2000 Growth Index Fund | | | |
| |
| |
| |
| | | | Market | Percentage |
| | | | Value• | of Net |
| | | Shares | ($000) | Assets |
| | PRA Health Sciences Inc. | 30,315 | 2,546 | 0.4% |
| | Chemed Corp. | 9,622 | 2,498 | 0.4% |
| * | Masimo Corp. | 27,500 | 2,407 | 0.4% |
| * | Bluebird Bio Inc. | 11,775 | 2,367 | 0.3% |
| * | FibroGen Inc. | 42,755 | 2,356 | 0.3% |
| * | Medidata Solutions Inc. | 34,566 | 2,270 | 0.3% |
| * | Blueprint Medicines Corp. | 26,061 | 2,256 | 0.3% |
| | Health Care—Other † | | 120,387 | 18.0% |
| | | | 164,122 | 24.5% |
| Materials & Processing | | | |
| | Louisiana-Pacific Corp. | 83,709 | 2,386 | 0.4% |
| * | Summit Materials Inc. Class A | 67,873 | 2,147 | 0.3% |
| | Materials & Processing—Other † | | 49,343 | 7.4% |
| | | | 53,876 | 8.1% |
| |
| 1,2Other † | | 215 | 0.0% |
| |
| Producer Durables | | | |
| | Knight-Swift Transportation Holdings Inc. | 76,859 | 3,702 | 0.6% |
| | Littelfuse Inc. | 13,784 | 2,860 | 0.4% |
| | Curtiss-Wright Corp. | 20,238 | 2,732 | 0.4% |
| | MAXIMUS Inc. | 39,308 | 2,633 | 0.4% |
| * | On Assignment Inc. | 30,582 | 2,345 | 0.4% |
| | Woodward Inc. | 32,648 | 2,312 | 0.3% |
| | John Bean Technologies Corp. | 19,247 | 2,132 | 0.3% |
| | Producer Durables—Other † | | 86,382 | 12.9% |
| | | | 105,098 | 15.7% |
| Technology | | | |
| *,^ | GrubHub Inc. | 52,577 | 5,227 | 0.8% |
| | MKS Instruments Inc. | 33,004 | 3,675 | 0.6% |
| * | Aspen Technology Inc. | 44,808 | 3,463 | 0.5% |
| * | EPAM Systems Inc. | 30,519 | 3,452 | 0.5% |
| | Blackbaud Inc. | 29,215 | 2,995 | 0.5% |
| *,^ | Paycom Software Inc. | 30,138 | 2,981 | 0.4% |
| | Entegris Inc. | 87,051 | 2,890 | 0.4% |
| * | Proofpoint Inc. | 26,746 | 2,866 | 0.4% |
| | Monolithic Power Systems Inc. | 24,461 | 2,863 | 0.4% |
| * | Zendesk Inc. | 61,050 | 2,636 | 0.4% |
| * | RingCentral Inc. Class A | 39,847 | 2,496 | 0.4% |
| * | Integrated Device Technology Inc. | 82,121 | 2,492 | 0.4% |
| * | Silicon Laboratories Inc. | 25,722 | 2,405 | 0.4% |
| * | Nutanix Inc. | 65,651 | 2,393 | 0.4% |
| * | HubSpot Inc. | 20,891 | 2,320 | 0.3% |
| * | Lumentum Holdings Inc. | 37,873 | 2,310 | 0.3% |
| * | Yelp Inc. Class A | 48,981 | 2,134 | 0.3% |
| | Technology—Other † | | 86,687 | 12.9% |
| | | | 136,285 | 20.3% |
| |
| Utilities † | | 13,092 | 2.0% |
| Total Common Stocks (Cost $545,666) | | 666,611 | 99.5%3 |
39
| | | | |
| 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 | 1.601% | 144,753 | 14,474 | 2.1% |
| |
| 6U.S. Government and Agency Obligations† | | | 408 | 0.1% |
| Total Temporary Cash Investments (Cost $14,883) | | | 14,882 | 2.2%3 |
| Total Investments (Cost $560,549) | | | 681,493 | 101.7% |
| |
| | | | Amount | |
| | | | ($000) | |
| Other Assets and Liabilities | | | | |
| Other Assets | | | | |
| Investment in Vanguard | | | 37 | |
| Receivables for Investment Securities Sold | | | 1,096 | |
| Receivables for Accrued Income | | | 306 | |
| Receivables for Capital Shares Issued | | | 371 | |
| Other Assets | | | 360 | |
| Total Other Assets | | | 2,170 | 0.3% |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | (974) | |
| Collateral for Securities on Loan | | | (12,212) | |
| Payables to Vanguard | | | (137) | |
| Variation Margin Payable—Futures Contracts | | | (58) | |
| Total Liabilities | | | (13,381) | (2.0%) |
| Net Assets | | | 670,282 | 100.0% |
| |
| At February 28, 2018, net assets consisted of: | |
| | Amount |
| | ($000) |
| Paid-in Capital | 587,130 |
| Undistributed Net Investment Income | 392 |
| Accumulated Net Realized Losses | (38,162) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 120,944 |
| Futures Contracts | (22) |
| Net Assets | 670,282 |
40
Russell 2000 Growth Index Fund
| |
| | Amount |
| | ($000) |
| ETF Shares—Net Assets | |
| Applicable to 1,725,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 235,791 |
| Net Asset Value Per Share—ETF Shares | $136.69 |
| |
| Institutional Shares—Net Assets | |
| Applicable to 1,668,556 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 434,491 |
| Net Asset Value Per Share—Institutional Shares | $260.40 |
• 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 $11,435,000.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer,
represent 1% or less of net assets.
1 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 1.7%,
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 $12,212,000 of collateral received for securities on loan.
6 Securities with a value of $249,000 have been segregated as initial margin for open futures contracts.
| | | | |
| Derivative Financial Instruments Outstanding as of Period End | | |
| Futures Contracts | | | | |
| | | | | ($000) |
| | | | | Value and |
| | | Number of | | Unrealized |
| | | Long (Short) | Notional | Appreciation |
| | Expiration | Contracts | Amount | (Depreciation) |
| Long Futures Contracts | | | | |
| E-mini Russell 2000 Index | March 2018 | 43 | 3,249 | (22) |
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.
41
Russell 2000 Growth Index Fund
Statement of Operations
| |
| | Six Months Ended |
| | February28,2018 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 1,953 |
| Interest1 | 24 |
| Securities Lending—Net | 441 |
| Total Income | 2,418 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 76 |
| Management and Administrative—ETF Shares | 163 |
| Management and Administrative—Institutional Shares | 89 |
| Marketing and Distribution—ETF Shares | 7 |
| Marketing and Distribution—Institutional Shares | 5 |
| Custodian Fees | 23 |
| Shareholders’ Reports and Proxy—ETF Shares | 12 |
| Shareholders’ Reports and Proxy—Institutional Shares | 8 |
| Total Expenses | 383 |
| Net Investment Income | 2,035 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 7,961 |
| Futures Contracts | 286 |
| Realized Net Gain (Loss) | 8,247 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 55,487 |
| Futures Contracts | 12 |
| Change in Unrealized Appreciation (Depreciation) | 55,499 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 65,781 |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $20,000, ($1,000), and ($3,000), respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
42
Russell 2000 Growth Index Fund
Statement of Changes in Net Assets
| | |
| | Six Months Ended | Year Ended |
| | February 28, | August 31, |
| | 2018 | 2017 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 2,035 | 4,195 |
| Realized Net Gain (Loss) | 8,247 | 11,911 |
| Change in Unrealized Appreciation (Depreciation) | 55,499 | 53,655 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 65,781 | 69,761 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (754) | (1,648) |
| Institutional Shares | (1,664) | (2,980) |
| Realized Capital Gain | | |
| ETF Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (2,418) | (4,628) |
| Capital Share Transactions | | |
| ETF Shares | 20,111 | 25,090 |
| Institutional Shares | 22,881 | 110,695 |
| Net Increase (Decrease) from Capital Share Transactions | 42,992 | 135,785 |
| Total Increase (Decrease) | 106,355 | 200,918 |
| Net Assets | | |
| Beginning of Period | 563,927 | 363,009 |
| End of Period1 | 670,282 | 563,927 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $392,000 and $775,000
See accompanying Notes, which are an integral part of the Financial Statements.
43
Russell 2000 Growth Index Fund
Financial Highlights
ETF Shares
| | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $123.26 | $106.98 | $104.34 | $99.83 | $85.58 | $67.37 |
| Investment Operations | | | | | | |
| Net Investment Income | . 3731 | .9611 | . 989 | .680 | .646 | .699 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | 13.525 | 16.455 | 2.721 | 4.471 | 14.153 | 18.073 |
| Total from Investment Operations | 13.898 | 17.416 | 3.710 | 5.151 | 14.799 | 18.772 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.468) | (1.136) | (1.070) | (.641) | (.549) | (.562) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.468) | (1.136) | (1.070) | (.641) | (.549) | (.562) |
| Net Asset Value, End of Period | $136.69 | $123.26 | $106.98 | $104.34 | $99.83 | $85.58 |
| |
| Total Return | 11.29% | 16.39% | 3.62% | 5.17% | 17.30% | 28.07% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $236 | $194 | $144 | $149 | $100 | $68 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 0.57% | 0.83% | 0.99% | 0.67% | 0.60% | 0.96% |
| Portfolio Turnover Rate2 | 14% | 34% | 33% | 34% | 35% | 50% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
44
Russell 2000 Growth Index Fund
Financial Highlights
Institutional Shares
| | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $234.80 | $203.79 | $198.85 | $190.26 | $162.99 | $128.23 |
| Investment Operations | | | | | | |
| Net Investment Income | . 8661 | 2.1021 | 2.121 | 1.478 | 1.412 | 1.412 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | 25.755 | 31.338 | 5.185 | 8.565 | 26.992 | 34.504 |
| Total from Investment Operations | 26.621 | 33.440 | 7.306 | 10.043 | 28.404 | 35.916 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (1.021) | (2.430) | (2.366) | (1.453) | (1.134) | (1.156) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (1.021) | (2.430) | (2.366) | (1.453) | (1.134) | (1.156) |
| Net Asset Value, End of Period | $260.40 | $234.80 | $203.79 | $198.85 | $190.26 | $162.99 |
| |
| Total Return | 11.36% | 16.53% | 3.74% | 5.29% | 17.44% | 28.23% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $434 | $370 | $219 | $187 | $171 | $185 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 0.69% | 0.95% | 1.11% | 0.79% | 0.72% | 1.08% |
| Portfolio Turnover Rate2 | 14% | 34% | 33% | 34% | 35% | 50% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
45
Russell 2000 Growth Index Fund
Notes to Financial Statements
Vanguard Russell 2000 Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. ETF Shares are listed for trading on 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, 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 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 six months ended February 28, 2018, 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.
46
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 for the period ended February 28, 2018, 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 February 28, 2018, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
47
Russell 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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2018, the fund had contributed to Vanguard capital in the amount of $37,000, 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 February 28, 2018, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 666,445 | — | 166 |
| Temporary Cash Investments | 14,474 | 408 | — |
| Futures Contracts—Liabilities1 | (58) | — | — |
| Total | 680,861 | 408 | 166 |
| 1 Represents variation margin on the last day of the reporting period. | | | |
48
Russell 2000 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 six months ended February 28, 2018, the fund realized $1,315,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2017, the fund had available capital losses totaling $45,127,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2018; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2018, the cost of investment securities for tax purposes was $560,553,000. Net unrealized appreciation of investment securities for tax purposes was $120,940,000, consisting of unrealized gains of $160,153,000 on securities that had risen in value since their purchase and $39,213,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 28, 2018, the fund purchased $90,476,000 of investment securities and sold $48,503,000 of investment securities, other than temporary cash investments. Purchases and sales include $23,527,000 and $3,411,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 28, 2018, such purchases and sales were $2,769,000 and $6,347,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
49
Russell 2000 Growth Index Fund
F. Capital share transactions for each class of shares were:
| | | | |
| | Six Months Ended | | Year Ended |
| | February 28, 2018 | August 31, 2017 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 23,544 | 175 | 48,370 | 425 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (3,433) | (25) | (23,280) | (200) |
| Net Increase (Decrease)—ETF Shares | 20,111 | 150 | 25,090 | 225 |
| Institutional Shares | | | | |
| Issued | 44,879 | 179 | 142,467 | 647 |
| Issued in Lieu of Cash Distributions | 1,664 | 7 | 2,980 | 14 |
| Redeemed | (23,662) | (92) | (34,752) | (159) |
| Net Increase (Decrease)—Institutional Shares | 22,881 | 94 | 110,695 | 502 |
G. Management has determined that no material events or transactions occurred subsequent to February 28, 2018, that would require recognition or disclosure in these financial statements.
50
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
51
| | | |
| Six Months Ended February 28, 2018 | | | |
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| | 8/31/2017 | 2/28/2018 | Period |
| Based on Actual Fund Return | | | |
| Russell 2000 Index Fund | | | |
| ETF Shares | $1,000.00 | $1,083.17 | $0.77 |
| Institutional Shares | 1,000.00 | 1,083.55 | 0.41 |
| Russell 2000 Value Index Fund | | | |
| ETF Shares | $1,000.00 | $1,050.66 | $1.02 |
| Institutional Shares | 1,000.00 | 1,051.21 | 0.41 |
| Russell 2000 Growth Index Fund | | | |
| ETF Shares | $1,000.00 | $1,112.93 | $1.05 |
| Institutional Shares | 1,000.00 | 1,113.61 | 0.42 |
| Based on Hypothetical 5% Yearly Return | | | |
| Russell 2000 Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.05 | $0.75 |
| Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
| Russell 2000 Value Index Fund | | | |
| ETF Shares | $1,000.00 | $1,023.80 | $1.00 |
| Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
| Russell 2000 Growth Index Fund | | | |
| ETF Shares | $1,000.00 | $1,023.80 | $1.00 |
| Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Russell 2000 Index Fund, 0.15% 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 dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (181/365).
52
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share.
For a fund, the weighted average price/book ratio of the stocks it holds.
53
Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
54
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 208 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 Trustees1
F. William McNabb III
Born in 1957. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2010–present) of Vanguard and of each of the investment companies served by Vanguard, trustee (2009–present) of each of the investment companies served by Vanguard, and director (2008–present) of Vanguard. Chief executive officer and president (2008–2017) of Vanguard and each of the investment companies served by Vanguard, managing director (1995–2008) of Vanguard, and director (1997–2018) of Vanguard Marketing Corporation. Director (2018–present) of UnitedHealth Group.
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) of the Children’s Hospital of Philadelphia.
Independent Trustees
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Lead director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania. Trustee of the National Constitution Center.
1 Mr. McNabb and Mr. Buckley are considered “interested persons,” as defined in the Investment Company Act of 1940, because they are officers of the Vanguard funds.
JoAnn Heffernan Heisen
Born in 1950. Trustee since July 1998. Principal occupation(s) during the past five years and other experience: corporate vice president of Johnson & Johnson (pharmaceuticals/medical devices/consumer products) and member of its 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. 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 in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), 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 in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors), the board of advisors for Spruceview Capital Partners, and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies LLC (private investment firm). Overseer of the Museum of Fine Arts Boston.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director of i(x) Investments, LLC.
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the Board of Hypertherm Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard and global head of Fund Administration at Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG LLP (audit, tax, and advisory services).
Brian Dvorak
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2017–present) of Vanguard and each of the investment companies served by Vanguard. Assistant vice president (2017–present) of Vanguard Marketing Corporation. Vice president and director of Enterprise Risk Management (2011–2013) at Oppenheimer Funds, Inc.
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2008–present) and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Director and senior vice president (2016–2018) of Vanguard Marketing Corporation. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
| |
| Vanguard Senior Management Team |
| |
| Mortimer J. Buckley | James M. Norris |
| Gregory Davis | Thomas M. Rampulla |
| John James | Karin A. Risi |
| Martha G. King | Anne E. Robinson |
| John T. Marcante | Michael Rollings |
| Chris D. McIsaac | |
| |
| |
| Chairman Emeritus and Senior Advisor |
| |
| John J. Brennan | |
| Chairman, 1996–2009 | |
| Chief Executive Officer and President, 1996–2008 |
| |
| |
| Founder | |
| |
| John C. Bogle | |
| Chairman and Chief Executive Officer, 1974–1996 |
|  |
| P.O. Box 2600
Valley Forge, PA 19482-2600 |
Connect with Vanguard® > vanguard.com | |
| | |
| Fund Information > 800-662-7447 | Source for Bloomberg Barclays indexes: Bloomberg |
| Direct Investor Account Services > 800-662-2739 | Index Services Limited. Copyright 2018, Bloomberg. All |
| | rights reserved. |
| Institutional Investor Services > 800-523-1036 | |
| | The Russell Indexes and Russell® are registered |
| Text Telephone for People | trademarks of Russell Investments and have been |
| Who Are Deaf or Hard of Hearing > 800-749-7273 | licensed for use by The Vanguard Group, Inc. The |
| This material may be used in conjunction | products are not sponsored, endorsed, sold, or |
| | promoted by Russell Investments and Russell |
| with the offering of shares of any Vanguard | Investments makes no representation regarding the |
| fund only if preceded or accompanied by | advisability of investing in the products. |
| 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 | |
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| | © 2018 The Vanguard Group, Inc. |
| | All rights reserved. |
| | Vanguard Marketing Corporation, Distributor. |
| |
| | Q18512 042018 |
 |
| Semiannual Report | February 28, 2018 |
| 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 |
| CEO’s Perspective. | 3 |
| Results of Proxy Voting. | 6 |
| Fund Profile. | 8 |
| Performance Summary. | 9 |
| Financial Statements. | 10 |
| About Your Fund’s Expenses. | 22 |
| Glossary. | 24 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: 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 more than 10% for the six months ended February 28, 2018. The fund’s returns were in line with the return of its benchmark index and exceeded the average return of its multicapitalization core fund peers.
• In general for the period, large-cap stocks outperformed small-caps. Growth stocks easily outpaced their value counterparts.
• During the period, an increase in market volatility cooled what had been a broad stock market rally. Seven of the Russell 3000 Index Fund’s nine industry sectors produced positive performance, with technology, financial services, and consumer discretionary stocks leading the way.
• The consumer staples and utilities sectors were the only detractors.
| |
| Total Returns: Six Months Ended February 28, 2018 | |
| | Total |
| | Returns |
| Vanguard Russell 3000 Index Fund | |
| ETF Shares | |
| Market Price | 10.42% |
| Net Asset Value | 10.35 |
| Institutional Shares | 10.39 |
| Russell 3000 Index | 10.45 |
| Multi-Cap Core Funds Average | 9.31 |
Multi-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the Nasdaq exchange and are available only through brokers. The table provides ETF returns based on both the Nasdaq market price and the net asset value for a share. U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; and 8,417,623.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
1
| | | |
| Expense Ratios | | | |
| Your Fund Compared With Its Peer Group | | | |
| | ETF | Institutional | Peer Group |
| | Shares | Shares | Average |
| Russell 3000 Index Fund | 0.15% | 0.08% | 1.11% |
The fund expense ratios shown are from the prospectus dated December 21, 2017, and represent estimated costs for the current fiscal year. For the six months ended February 28, 2018, the annualized 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 2017.
Peer group: Multi-Cap Core Funds.
2
CEO’s Perspective
Tim Buckley
President and Chief Executive Officer
Dear Shareholder,
As I begin my tenure as Vanguard’s fourth chief executive, I’ve been reflecting on both the past and the future of the company where I have spent my entire professional career.
I feel extremely fortunate to have the chance to lead a company filled with people who come to work every day passionate about Vanguard’s core purpose: to take a stand for all investors, to treat them fairly, and to give them the best chance for investment success.
Making a real difference
When I joined Vanguard in 1991, I found a mission-driven team focused on improving lives—helping people retire more comfortably, put their children through college, and achieve financial security. I found a company with purpose in an industry ripe for improvement.
It was clear, even early in my career, that the cards were stacked against most investors. Hidden fees, performance-chasing, and poor advice were relentlessly eroding investors’ dreams.
We knew Vanguard could be different and, as a result, could make a real difference. Over the past 25 years, for example, Vanguard has lowered our funds’ asset-weighted average expense ratio
3
from 0.31% to 0.12%. And over the past decade, 94% of our funds have beaten the average annual return of their peers.1
Focused on your success
Vanguard is built for Vanguard investors—as a client-owned company, we focus solely on you, our fund shareholders. Everything we do is designed to give our clients the best chance for investment success. In my role as CEO, I intend to keep this priority front and center. We’re proud of what we’ve achieved, but we’re even more excited about what’s to come.
As I write this, we’ve experienced a period of pronounced market volatility. Strong economic growth and budding signs of inflation have raised concerns about a more aggressive Federal Reserve. Although volatility can test investors’ nerves, we sometimes think of this as “Vanguard weather”—a time when having a disciplined, low-cost, and long-term approach to investment management serves investors well.
| | | |
| Market Barometer | | | |
| | | | Total Returns |
| | | Periods Ended February 28, 2018 |
| | Six | One | Five Years |
| | Months | Year | (Annualized) |
| Stocks | | | |
| Russell 1000 Index (Large-caps) | 10.62% | 16.70% | 14.56% |
| Russell 2000 Index (Small-caps) | 8.30 | 10.51 | 12.19 |
| Russell 3000 Index (Broad U.S. market) | 10.45 | 16.22 | 14.37 |
| FTSE All-World ex US Index (International) | 7.84 | 21.50 | 6.69 |
| |
| Bonds | | | |
| Bloomberg Barclays U.S. Aggregate Bond Index | | | |
| (Broad taxable market) | -2.18% | 0.51% | 1.71% |
| Bloomberg Barclays Municipal Bond Index | | | |
| (Broad tax-exempt market) | -1.24 | 2.50 | 2.57 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.59 | 0.98 | 0.27 |
| |
| CPI | | | |
| Consumer Price Index | 1.41% | 2.21% | 1.41% |
The performance data shown represent past performance, which is not a guarantee of future results.
1 For the ten-year period through December 31, 2017, 9 of 9 Vanguard money market funds, 56 of 60 bond funds, 21 of 22 balanced funds, and 131 of 140 stock funds, or 217 of 231 Vanguard funds, outperformed their peer-group averages. Sources: Vanguard, based on data from Lipper, a Thomson Reuters Company.
4
Steady, time-tested guidance
Our guidance for investors, as always, is to stay the course, tune out the hyperbolic headlines, and focus on your goals and what you can control, such as costs and how much you save. This time-tested advice has served our clients well over the decades.
Regardless of how the markets perform in the short term, I’m incredibly optimistic about the future for our investors. We have a dedicated team serving you, and we will never stop striving to make Vanguard the best place for you to invest through our high-quality funds and services, advice
and guidance to help you meet your financial goals, and an experience that makes you feel good about entrusting us with your hard-earned savings.
Thank you for your continued loyalty.
Sincerely,
Mortimer J. Buckley
President and Chief Executive Officer
March 19, 2018
5
Results of Proxy Voting
At a special meeting of shareholders on November 15, 2017, fund shareholders approved the following proposals:
Proposal 1—Elect trustees for the fund.*
The individuals listed in the table below were elected as trustees for the fund. All trustees with the exception of Ms. Mulligan, Ms. Raskin, and Mr. Buckley (each of whom already serves as a director of The Vanguard Group, Inc.) served as trustees to the fund prior to the shareholder meeting.
| | | |
| | | | Percentage |
| Trustee | For | Withheld | For |
| Mortimer J. Buckley | 797,579,784 | 15,541,140 | 98.1% |
| Emerson U. Fullwood | 796,911,377 | 16,209,547 | 98.0% |
| Amy Gutmann | 796,611,379 | 16,509,545 | 98.0% |
| JoAnn Heffernan Heisen | 795,715,738 | 17,405,186 | 97.9% |
| F. Joseph Loughrey | 796,955,260 | 16,165,664 | 98.0% |
| Mark Loughridge | 797,027,324 | 16,093,600 | 98.0% |
| Scott C. Malpass | 797,191,317 | 15,929,607 | 98.0% |
| F. William McNabb III | 794,211,732 | 18,909,192 | 97.7% |
| Deanna Mulligan | 797,691,084 | 15,429,840 | 98.1% |
| André F. Perold | 793,048,517 | 20,072,408 | 97.5% |
| Sarah Bloom Raskin | 797,096,185 | 16,024,739 | 98.0% |
| Peter F. Volanakis | 796,849,973 | 16,270,951 | 98.0% |
| *Results are for all funds within the same trust. | | | |
Proposal 2—Approve a manager-of-managers arrangement with third-party investment advisors.
This arrangement enables the fund to enter into and materially amend investment advisory arrangements with third-party investment advisors, subject to the approval of the fund’s board of trustees and certain conditions imposed by the Securities and Exchange Commission, while avoiding the costs and delays associated with obtaining future shareholder approval.
| | | | | |
| | | | | Broker | Percentage |
| Vanguard Fund | For | Abstain | Against | Non-Votes | For |
| Russell 3000 Index Fund | 3,077,219 | 36,592 | 42,555 | 1,008,156 | 73.9% |
6
Proposal 3—Approve a manager-of-managers arrangement with wholly owned subsidiaries of Vanguard.
This arrangement enables Vanguard or the fund to enter into and materially amend investment advisory arrangements with wholly owned subsidiaries of Vanguard, subject to the approval of the fund’s board of trustees and any conditions imposed by the Securities and Exchange Commission (SEC), while avoiding the costs and delays associated with obtaining future shareholder approval. The ability of the fund to operate in this manner is contingent upon the SEC’s approval of a pending application for an order of exemption.
| | | | | |
| | | | | Broker | Percentage |
| Vanguard Fund | For | Abstain | Against | Non-Votes | For |
| Russell 3000 Index Fund | 3,080,700 | 32,216 | 43,450 | 1,008,156 | 74.0% |
7
Russell 3000 Index Fund
Fund Profile
As of February 28, 2018
| | |
| Share-Class Characteristics | | |
| | ETF | Institutional |
| | Shares | Shares |
| Ticker Symbol | VTHR | VRTTX |
| Expense Ratio1 | 0.15% | 0.08% |
| 30-Day SEC Yield | 1.67% | 1.74% |
| | | |
| Portfolio Characteristics | | |
| | | | DJ |
| | | Russell | U.S. Total |
| | | 3000 | Market |
| | Fund | Index | FA Index |
| Number of Stocks | 2,770 | 2,936 | 3,746 |
| Median Market Cap | $68.2B | $68.2B | $68.2B |
| Price/Earnings Ratio | 21.7x | 21.7x | 21.7x |
| Price/Book Ratio | 3.0x | 3.0x | 3.0x |
| Return on Equity | 15.0% | 15.0% | 15.0% |
| Earnings Growth Rate | 8.5% | 8.5% | 8.5% |
| Dividend Yield | 1.7% | 1.7% | 1.7% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | | | |
| (Annualized) | 18% | — | — |
| Short-Term Reserves | -0.1% | — | — |
| | | |
| Sector Diversification (% of equity exposure) |
| | | | DJ |
| | | Russell | U.S. Total |
| | | 3000 | Market |
| | Fund | Index | FA Index |
| Consumer Discretionary | 14.2% | 14.2% | 14.2% |
| Consumer Staples | 5.9 | 5.8 | 5.8 |
| Energy | 5.2 | 5.2 | 5.3 |
| Financial Services | 21.4 | 21.5 | 21.5 |
| Health Care | 13.3 | 13.3 | 13.3 |
| Materials & Processing | 3.9 | 3.9 | 3.9 |
| Producer Durables | 11.0 | 11.0 | 11.0 |
| Technology | 20.6 | 20.6 | 20.6 |
| Utilities | 4.5 | 4.5 | 4.4 |
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 |
| | 3000 | Market |
| | Index | FA Index |
| R-Squared | 1.00 | 1.00 |
| Beta | 1.00 | 1.00 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
| | |
| Ten Largest Holdings (% of total net assets) |
| Apple Inc. | Computer | |
| | Technology | 3.3% |
| Microsoft Corp. | Computer Services | |
| | Software & Systems | 2.5 |
| Alphabet Inc. | Computer Services | |
| | Software & Systems | 2.4 |
| Amazon.com Inc. | Diversified Retail | 2.2 |
| Facebook Inc. | Computer Services | |
| | Software & Systems | 1.5 |
| JPMorgan Chase & Co. | Diversified Financial | |
| | Services | 1.4 |
| Berkshire Hathaway Inc. Insurance: Multi-Line | 1.4 |
| Johnson & Johnson | Pharmaceuticals | 1.3 |
| Exxon Mobil Corp. | Oil: Integrated | 1.2 |
| Bank of America Corp. | Banks: Diversified | 1.1 |
| Top Ten | | 18.3% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
1 The expense ratios shown are from the prospectus dated December 21, 2017, and represent estimated costs for the current fiscal year. For the six months ended February 28, 2018, the annualized expense ratios were 0.15% for ETF Shares and 0.08% for Institutional Shares.
8
Russell 3000 Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): September 20, 2010, Through February 28, 2018
Average Annual Total Returns: Periods Ended December 31, 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 | | 20.94% | 15.41% | 14.53% |
| Net Asset Value | | 20.95 | 15.40 | 14.51 |
| Institutional Shares | 11/1/2010 | 21.03 | 15.48 | 14.20 |
See Financial Highlights for dividend and capital gains information.
9
Russell 3000 Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 28, 2018
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. | 16,767 | 25,359 | 2.1% |
| Home Depot Inc. | 49,648 | 9,049 | 0.8% |
| Comcast Corp. Class A | 195,799 | 7,090 | 0.6% |
| Walt Disney Co. | 65,292 | 6,736 | 0.6% |
| Walmart Inc. | 60,578 | 5,453 | 0.5% |
| McDonald’s Corp. | 33,603 | 5,301 | 0.4% |
| * Netflix Inc. | 17,264 | 5,030 | 0.4% |
| Consumer Discretionary—Other † | | 101,896 | 8.7% |
| | | 165,914 | 14.1% |
| Consumer Staples | | | |
| Procter & Gamble Co. | 107,976 | 8,478 | 0.7% |
| Coca-Cola Co. | 162,809 | 7,037 | 0.6% |
| Philip Morris International Inc. | 65,407 | 6,773 | 0.6% |
| PepsiCo Inc. | 60,319 | 6,619 | 0.6% |
| Altria Group Inc. | 80,290 | 5,054 | 0.4% |
| Consumer Staples—Other † | | 34,584 | 2.9% |
| | | 68,545 | 5.8% |
| Energy | | | |
| Exxon Mobil Corp. | 179,022 | 13,559 | 1.1% |
| Chevron Corp. | 79,553 | 8,904 | 0.8% |
| Energy—Other † | | 38,917 | 3.3% |
| | | 61,380 | 5.2% |
| Financial Services | | | |
| JPMorgan Chase & Co. | 146,725 | 16,947 | 1.5% |
| * Berkshire Hathaway Inc. Class B | 81,547 | 16,897 | 1.4% |
| Bank of America Corp. | 409,319 | 13,139 | 1.1% |
| Wells Fargo & Co. | 186,756 | 10,908 | 0.9% |
| Visa Inc. Class A | 76,766 | 9,438 | 0.8% |
10
| | | | |
| Russell 3000 Index Fund | | | |
| |
| |
| |
| | | | Market | Percentage |
| | | | Value• | of Net |
| | | Shares | ($000) | Assets |
| | Citigroup Inc. | 111,719 | 8,434 | 0.7% |
| | Mastercard Inc. Class A | 39,735 | 6,984 | 0.6% |
| | Financial Services—Other † | | 168,336 | 14.4% |
| | | | 251,083 | 21.4% |
| Health Care | | | |
| | Johnson & Johnson | 113,792 | 14,779 | 1.2% |
| | UnitedHealth Group Inc. | 40,354 | 9,126 | 0.8% |
| | Pfizer Inc. | 249,566 | 9,062 | 0.8% |
| | AbbVie Inc. | 67,246 | 7,789 | 0.7% |
| | Merck & Co. Inc. | 115,301 | 6,252 | 0.5% |
| | Amgen Inc. | 30,921 | 5,682 | 0.5% |
| | Bristol-Myers Squibb Co. | 69,073 | 4,573 | 0.4% |
| | Medtronic plc | 56,890 | 4,545 | 0.4% |
| | Gilead Sciences Inc. | 54,547 | 4,295 | 0.4% |
| | Health Care—Other † | | 89,784 | 7.6% |
| | | | 155,887 | 13.3% |
| Materials & Processing | | | |
| | DowDuPont Inc. | 98,226 | 6,905 | 0.6% |
| | Materials & Processing—Other † | | 38,281 | 3.3% |
| | | | 45,186 | 3.9% |
| |
| 1,2Other † | | 37 | 0.0% |
| |
| Producer Durables | | | |
| | Boeing Co. | 23,488 | 8,508 | 0.7% |
| | 3M Co. | 24,422 | 5,752 | 0.5% |
| | General Electric Co. | 366,024 | 5,165 | 0.4% |
| | Honeywell International Inc. | 32,221 | 4,869 | 0.4% |
| | Union Pacific Corp. | 33,208 | 4,325 | 0.4% |
| | Producer Durables—Other † | | 100,546 | 8.6% |
| | | | 129,165 | 11.0% |
| Technology | | | |
| | Apple Inc. | 216,776 | 38,612 | 3.3% |
| | Microsoft Corp. | 316,764 | 29,703 | 2.5% |
| * | Facebook Inc. Class A | 98,399 | 17,546 | 1.5% |
| * | Alphabet Inc. Class C | 12,673 | 14,000 | 1.2% |
| * | Alphabet Inc. Class A | 12,636 | 13,949 | 1.2% |
| | Intel Corp. | 198,346 | 9,776 | 0.8% |
| | Cisco Systems Inc. | 208,947 | 9,357 | 0.8% |
| | Oracle Corp. | 123,013 | 6,233 | 0.5% |
| | NVIDIA Corp. | 24,010 | 5,810 | 0.5% |
| | International Business Machines Corp. | 35,715 | 5,565 | 0.5% |
| | Texas Instruments Inc. | 42,170 | 4,569 | 0.4% |
| * | Adobe Systems Inc. | 20,552 | 4,298 | 0.4% |
| | Technology—Other † | | 81,391 | 6.9% |
| | | | 240,809 | 20.5% |
| Utilities | | | |
| | AT&T Inc. | 259,926 | 9,435 | 0.8% |
| | Verizon Communications Inc. | 173,543 | 8,285 | 0.7% |
| | Utilities—Other † | | 34,652 | 3.0% |
| | | | 52,372 | 4.5% |
| Total Common Stocks (Cost $924,988) | | 1,170,378 | 99.7%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 | 1.601% | 32,470 | 3,246 | 0.3% |
| |
| 6U.S Government and Agency Obligations † | | | 299 | 0.0% |
| Total Temporary Cash Investments (Cost $3,546) | | | 3,545 | 0.3%3 |
| 7Total Investments (Cost $928,534) | | | 1,173,923 | 100.0% |
| |
| | | | Amount | |
| | | | ($000) | |
| Other Assets and Liabilities | | | | |
| Other Assets | | | | |
| Investment in Vanguard | | | 67 | |
| Receivables for Accrued Income | | | 2,013 | |
| Other Assets | | | 77 | |
| Total Other Assets | | | 2,157 | 0.2% |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | (66) | |
| Collateral for Securities on Loan | | | (1,406) | |
| Payables for Capital Shares Redeemed | | | (818) | |
| Payables to Vanguard | | | (299) | |
| Variation Margin Payable—Futures Contracts | | | (54) | |
| Other Liabilities | | | (8) | |
| Total Liabilities | | | (2,651) | (0.2%) |
| Net Assets | | | 1,173,429 | 100.0% |
| |
| At February 28, 2018, net assets consisted of: | |
| | Amount |
| | ($000) |
| Paid-in Capital | 952,311 |
| Undistributed Net Investment Income | 2,678 |
| Accumulated Net Realized Losses | (26,876) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 245,389 |
| Futures Contracts | (73) |
| Net Assets | 1,173,429 |
12
| |
| Russell 3000 Index Fund | |
| |
| |
| |
| | Amount |
| | ($000) |
| ETF Shares—Net Assets | |
| Applicable to 2,900,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 359,861 |
| Net Asset Value Per Share—ETF Shares | $124.09 |
| |
| Institutional Shares—Net Assets | |
| Applicable to 3,387,157 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 813,568 |
| Net Asset Value Per Share—Institutional Shares | $240.19 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer,
represent 1% or less of net assets.
1 “Other” represents securities that are not classified by the fund’s benchmark index.
2 Security value determined using significant unobservable inputs.
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 0.0%,
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 $1,406,000 of collateral received for securities on loan.
6 Securities with a value of $209,000 have been segregated as initial margin for open futures contracts.
7 The total value of securities on loan is $1,295,000.
| | | | |
| 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 | March 2018 | 24 | 1,813 | (112) |
| E-mini S&P 500 Index | March 2018 | 13 | 1,764 | 39 |
| | | | | (73) |
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
| |
| | Six Months Ended |
| | February28,2018 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 9,916 |
| Interest1 | 18 |
| Securities Lending—Net | 30 |
| Total Income | 9,964 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 155 |
| Management and Administrative—ETF Shares | 184 |
| Management and Administrative—Institutional Shares | 157 |
| Marketing and Distribution—ETF Shares | 11 |
| Marketing and Distribution—Institutional Shares | 9 |
| Custodian Fees | 66 |
| Shareholders’ Reports and Proxy—ETF Shares | 8 |
| Shareholders’ Reports and Proxy—Institutional Shares | — |
| Total Expenses | 590 |
| Net Investment Income | 9,374 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 21,485 |
| Futures Contracts | 348 |
| Realized Net Gain (Loss) | 21,833 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 82,175 |
| Futures Contracts | (143) |
| Change in Unrealized Appreciation (Depreciation) | 82,032 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 113,239 |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $18,000, $1,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
14
Russell 3000 Index Fund
Statement of Changes in Net Assets
| | |
| | Six Months Ended | Year Ended |
| | February 28, | August 31, |
| | 2018 | 2017 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 9,374 | 22,270 |
| Realized Net Gain (Loss) | 21,833 | 52,614 |
| Change in Unrealized Appreciation (Depreciation) | 82,032 | 96,914 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 113,239 | 171,798 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (3,320) | (5,670) |
| Institutional Shares | (7,712) | (16,819) |
| Realized Capital Gain | | |
| ETF Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (11,032) | (22,489) |
| Capital Share Transactions | | |
| ETF Shares | (15,980) | 21,046 |
| Institutional Shares | (11,521) | (200,208) |
| Net Increase (Decrease) from Capital Share Transactions | (27,501) | (179,162) |
| Total Increase (Decrease) | 74,706 | (29,853) |
| Net Assets | | |
| Beginning of Period | 1,098,723 | 1,128,576 |
| End of Period1 | 1,173,429 | 1,098,723 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $2,678,000 and $4,336,000.
See accompanying Notes, which are an integral part of the Financial Statements.
15
Russell 3000 Index Fund
Financial Highlights
ETF Shares
| | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $113.52 | $99.77 | $91.43 | $92.82 | $75.79 | $64.28 |
| Investment Operations | | | | | | |
| Net Investment Income | . 9331 | 1.9801 | 1.850 | 1.649 | 1.485 | 1.313 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | 10.758 | 13.722 | 8.248 | (1.396) | 17.004 | 11.484 |
| Total from Investment Operations | 11.691 | 15.702 | 10.098 | .253 | 18.489 | 12.797 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (1.121) | (1.952) | (1.758) | (1.643) | (1.459) | (1.287) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (1.121) | (1.952) | (1.758) | (1.643) | (1.459) | (1.287) |
| Net Asset Value, End of Period | $124.09 | $113.52 | $99.77 | $91.43 | $92.82 | $75.79 |
| |
| Total Return | 10.35% | 15.92% | 11.20% | 0.21% | 24.58% | 20.14% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $360 | $343 | $282 | $169 | $121 | $76 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.59% | 1.85% | 1.98% | 1.76% | 1.77% | 2.03% |
| Portfolio Turnover Rate2 | 18% | 16% | 8% | 4% | 8% | 16% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
16
Russell 3000 Index Fund
Financial Highlights
Institutional Shares
| | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $219.72 | $193.10 | $176.98 | $179.64 | $146.68 | $124.40 |
| Investment Operations | | | | | | |
| Net Investment Income | 1.8961 | 3.9521 | 3.689 | 3.318 | 2.986 | 2.630 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | 20.815 | 26.583 | 15.965 | (2.689) | 32.903 | 22.226 |
| Total from Investment Operations | 22.711 | 30.535 | 19.654 | .629 | 35.889 | 24.856 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (2.241) | (3.915) | (3.534) | (3.289) | (2.929) | (2.576) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (2.241) | (3.915) | (3.534) | (3.289) | (2.929) | (2.576) |
| Net Asset Value, End of Period | $240.19 | $219.72 | $193.10 | $176.98 | $179.64 | $146.68 |
| |
| Total Return | 10.39% | 16.00% | 11.28% | 0.30% | 24.66% | 20.21% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $814 | $755 | $847 | $788 | $600 | $426 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.66% | 1.92% | 2.05% | 1.83% | 1.84% | 2.10% |
| Portfolio Turnover Rate2 | 18% | 16% | 8% | 4% | 8% | 16% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
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, 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 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 six months ended February 28, 2018, 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 for the period ended February 28, 2018, 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 February 28, 2018, 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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2018, the fund had contributed to Vanguard capital in the amount of $67,000, 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 February 28,
2018, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 1,170,358 | — | 20 |
| Temporary Cash Investments | 3,246 | 299 | — |
| Futures Contracts—Liabilities1 | (54) | — | — |
| Total | 1,173,550 | 299 | 20 |
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
20
Russell 3000 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 six months ended February 28, 2018, the fund realized $23,780,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2017, the fund had available capital losses totaling $24,860,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2018; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2018, the cost of investment securities for tax purposes was $928,551,000. Net unrealized appreciation of investment securities for tax purposes was $245,372,000, consisting of unrealized gains of $297,683,000 on securities that had risen in value since their purchase and $52,311,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 28, 2018, the fund purchased $154,037,000 of investment securities and sold $181,206,000 of investment securities, other than temporary cash investments. Purchases and sales include $48,934,000 and $68,473,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F. Capital share transactions for each class of shares were:
| | | | |
| | Six Months Ended | | Year Ended |
| | February 28, 2018 | August 31, 2017 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 52,505 | 425 | 212,775 | 1,925 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (68,485) | (550) | (191,729) | (1,725) |
| Net Increase (Decrease)—ETF Shares | (15,980) | (125) | 21,046 | 200 |
| Institutional Shares | | | | |
| Issued | 86,647 | 367 | 100,395 | 493 |
| Issued in Lieu of Cash Distributions | 7,547 | 33 | 16,428 | 81 |
| Redeemed | (105,715) | (451) | (317,031) | (1,521) |
| Net Increase (Decrease)—Institutional Shares | (11,521) | (51) | (200,208) | (947) |
G. Management has determined that no material events or transactions occurred subsequent to February 28, 2018, that would require recognition or disclosure in these financial statements.
21
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
22
| | | |
| Six Months Ended February 28, 2018 | | | |
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| Russell 3000 Index Fund | 8/31/2017 | 2/28/2018 | Period |
| Based on Actual Fund Return | | | |
| ETF Shares | $1,000.00 | $1,103.51 | $0.78 |
| Institutional Shares | 1,000.00 | 1,103.92 | 0.42 |
| Based on Hypothetical 5% Yearly Return | | | |
| ETF Shares | $1,000.00 | $1,024.05 | $0.75 |
| Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.15% for ETF Shares and 0.08% for Institutional Shares. The dollar amounts shown as ”Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (181/365).
23
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
24
Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
25
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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 208 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 Trustees1
F. William McNabb III
Born in 1957. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2010–present) of Vanguard and of each of the investment companies served by Vanguard, trustee (2009–present) of each of the investment companies served by Vanguard, and director (2008–present) of Vanguard. Chief executive officer and president (2008–2017) of Vanguard and each of the investment companies served by Vanguard, managing director (1995–2008) of Vanguard, and director (1997–2018) of Vanguard Marketing Corporation. Director (2018–present) of UnitedHealth Group.
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) of the Children’s Hospital of Philadelphia.
Independent Trustees
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Lead director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania. Trustee of the National Constitution Center.
1 Mr. McNabb and Mr. Buckley are considered “interested persons,” as defined in the Investment Company Act of 1940, because they are officers of the Vanguard funds.
JoAnn Heffernan Heisen
Born in 1950. Trustee since July 1998. Principal occupation(s) during the past five years and other experience: corporate vice president of Johnson & Johnson (pharmaceuticals/medical devices/consumer products) and member of its 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. 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 in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), 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 in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors), the board of advisors for Spruceview Capital Partners, and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies LLC (private investment firm). Overseer of the Museum of Fine Arts Boston.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director of i(x) Investments, LLC.
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the Board of Hypertherm Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard and global head of Fund Administration at Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG LLP (audit, tax, and advisory services).
Brian Dvorak
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2017–present) of Vanguard and each of the investment companies served by Vanguard. Assistant vice president (2017–present) of Vanguard Marketing Corporation. Vice president and director of Enterprise Risk Management (2011–2013) at Oppenheimer Funds, Inc.
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2008–present) and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Director and senior vice president (2016–2018) of Vanguard Marketing Corporation. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
| |
| Vanguard Senior Management Team |
| |
| Mortimer J. Buckley | James M. Norris |
| Gregory Davis | Thomas M. Rampulla |
| John James | Karin A. Risi |
| Martha G. King | Anne E. Robinson |
| John T. Marcante | Michael Rollings |
| Chris D. McIsaac | |
| |
| |
| Chairman Emeritus and Senior Advisor |
| |
| John J. Brennan | |
| Chairman, 1996–2009 | |
| Chief Executive Officer and President, 1996–2008 |
| |
| |
| Founder | |
| |
| John C. Bogle | |
| Chairman and Chief Executive Officer, 1974–1996 |
|  |
| P.O. Box 2600
Valley Forge, PA 19482-2600 |
Connect with Vanguard® > vanguard.com | |
| | |
| Fund Information > 800-662-7447 | Source for Bloomberg Barclays indexes: Bloomberg |
| Direct Investor Account Services > 800-662-2739 | Index Services Limited. Copyright 2018, Bloomberg. All |
| | rights reserved. |
| Institutional Investor Services > 800-523-1036 | |
| | The Russell Indexes and Russell® are registered |
| Text Telephone for People | trademarks of Russell Investments and have been |
| Who Are Deaf or Hard of Hearing > 800-749-7273 | licensed for use by The Vanguard Group, Inc. The |
| This material may be used in conjunction | products are not sponsored, endorsed, sold, or |
| | promoted by Russell Investments and Russell |
| with the offering of shares of any Vanguard | Investments makes no representation regarding the |
| fund only if preceded or accompanied by | advisability of investing in the products. |
| 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. | |
| | © 2018 The Vanguard Group, Inc. |
| | All rights reserved. |
| | Vanguard Marketing Corporation, Distributor. |
| |
| | Q18542 042018 |
 |
| Semiannual Report | February 28, 2018 |
| |
| Vanguard Sector Bond Index Funds |
| Vanguard Short-Term Treasury Index Fund |
| Vanguard Intermediate-Term Treasury Index Fund |
| Vanguard Long-Term Treasury 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 |
| CEO’s Perspective. | 4 |
| Results of Proxy Voting. | 7 |
| Short-Term Treasury Index Fund. | 9 |
| Intermediate-Term Treasury Index Fund. | 24 |
| Long-Term Treasury Index Fund. | 39 |
| Short-Term Corporate Bond Index Fund. | 53 |
| Intermediate-Term Corporate Bond Index Fund. | 69 |
| Long-Term Corporate Bond Index Fund. | 85 |
| Mortgage-Backed Securities Index Fund. | 102 |
| About Your Fund’s Expenses. | 118 |
| Glossary. | 121 |
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 six months ended February 28, 2018. The Federal Reserve’s continued path of gradual raises in short-term rates pushed up yields on those securities, and longer-term yields climbed on optimism about stronger growth and higher inflation.
• With bond prices declining as yields rose, all the funds in this report produced negative returns. They ranged from about –6% for Vanguard Long-Term Treasury Index Fund to about –1% for Vanguard Short-Term Treasury Index Fund. The funds all performed in line with their benchmarks, but the majority lagged their peer averages.
• Please note that the names of the three Vanguard Government Bond Index Funds changed in December to Vanguard Short-Term Treasury Index Fund, Vanguard Intermediate-Term Treasury Index Fund, and Vanguard Long-Term Treasury Index Fund. Their benchmarks also changed to reflect the funds’ narrower focus.
| | | | |
| Total Returns: Six Months Ended February 28, 2018 | | | | |
| | 30-Day SEC | Income | Capital | Total |
| | Yield | Returns | Returns | Returns |
| Vanguard Short-Term Treasury Index Fund | | | | |
| ETF Shares | 2.12% | | | |
| Market Price | | | | -0.84% |
| Net Asset Value | | | | -0.82 |
| Admiral™ Shares | 2.12 | 0.64% | -1.48% | -0.84 |
| Institutional Shares | 2.14 | 0.64 | -1.49 | -0.85 |
| Spliced Bloomberg Barclays U.S. Treasury 1–3 Year Index | | | | -0.79 |
| Short-Term U.S. Treasury Funds Average | | | | -0.42 |
| For a benchmark description, see the Glossary. | | | | |
| Short-Term U.S. Treasury Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | | |
| |
| Vanguard Intermediate-Term Treasury Index Fund | | | | |
| ETF Shares | 2.58% | | | |
| Market Price | | | | -3.27% |
| Net Asset Value | | | | -3.25 |
| Admiral Shares | 2.58 | 0.86% | -4.13% | -3.27 |
| Institutional Shares | 2.60 | 0.87 | -4.10 | -3.23 |
| Spliced Bloomberg Barclays U.S. Treasury 3–10 Year | | | | |
| Index | | | | -3.22 |
| General U.S. Treasury Funds Average | | | | -4.50 |
| For a benchmark description, see the Glossary. | | | | |
| General U.S. Treasury 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 Treasury Index Fund | | | | |
| ETF Shares | 3.04% | | | |
| Market Price | | | | -6.04% |
| Net Asset Value | | | | -5.98 |
| Admiral Shares | 3.04 | 1.22% | -7.19% | -5.97 |
| Institutional Shares | 3.06 | 1.22 | -7.18 | -5.96 |
| Spliced Bloomberg Barclays U.S. Long Treasury Index | | | | -5.98 |
| General U.S. Treasury Funds Average | | | | -4.50 |
| For a benchmark description, see the Glossary. | | | | |
| General U.S. Treasury Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | | |
| |
| Vanguard Short-Term Corporate Bond Index Fund | | | | |
| ETF Shares | 2.87% | | | |
| Market Price | | | | -1.22% |
| Net Asset Value | | | | -1.02 |
| Admiral Shares | 2.87 | 1.13% | -2.15% | -1.02 |
| Institutional Shares | 2.89 | 1.14 | -2.13 | -0.99 |
| Bloomberg Barclays U.S. 1–5 Year Corporate Bond Index | | | | -1.02 |
| Short-Intermediate Investment-Grade Debt Funds | | | | |
| Average | | | | -1.03 |
| 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 | 3.66% | | | |
| Market Price | | | | -2.62% |
| Net Asset Value | | | | -2.38 |
| Admiral Shares | 3.66 | 1.57% | -3.95% | -2.38 |
| Institutional Shares | 3.68 | 1.58 | -3.95 | -2.37 |
| Bloomberg Barclays U.S. 5–10 Year Corporate Bond Index | | | | -2.36 |
| Core Bond Funds Average | | | | -1.95 |
| Core Bond Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | | | |
| |
| Vanguard Long-Term Corporate Bond Index Fund | | | | |
| ETF Shares | 4.36% | | | |
| Market Price | | | | -1.89% |
| Net Asset Value | | | | -1.48 |
| Admiral Shares | 4.36 | 2.00% | -3.46% | -1.46 |
| Institutional Shares | 4.38 | 2.01 | -3.46 | -1.45 |
| Bloomberg Barclays U.S. 10+ Year Corporate Bond Index | | | | -1.55 |
| Corporate Debt Funds BBB-Rated Average | | | | -1.63 |
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 | 2.46% | | | |
| Market Price | | | | -1.97% |
| Net Asset Value | | | | -1.88 |
| Admiral Shares | 2.46 | 1.11% | -3.02% | -1.91 |
| Institutional Shares | 2.48 | 1.12 | -3.00 | -1.88 |
| Bloomberg Barclays U.S. MBS Float Adjusted Index | | | | -1.83 |
| U.S. Mortgage Funds Average | | | | -1.65 |
| 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.
| | | | |
| Expense Ratios | | | | |
| Your Fund Compared With Its Peer Group | | | | |
| | ETF | Admiral | Institutional | Peer Group |
| | Shares | Shares | Shares | Average |
| Short-Term Treasury Index Fund | 0.07% | 0.07% | 0.05% | 0.47% |
| Intermediate-Term Treasury Index Fund | 0.07 | 0.07 | 0.05 | 0.42 |
| Long-Term Treasury Index Fund | 0.07 | 0.07 | 0.05 | 0.99 |
| Short-Term Corporate Bond Index Fund | 0.07 | 0.07 | 0.05 | 0.73 |
| Intermediate-Term Corporate Bond Index Fund | 0.07 | 0.07 | 0.05 | 0.74 |
| Long-Term Corporate Bond Index Fund | 0.07 | 0.07 | 0.05 | 0.87 |
| Mortgage-Backed Securities Index Fund | 0.07 | 0.07 | 0.05 | 0.85 |
The fund expense ratios shown are from the prospectus dated December 21, 2017, and represent estimated costs for the current fiscal year. For the six months ended February 28, 2018, the funds’ annualized expense ratios were: for the Short-Term Treasury Index Fund, 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares; for the Intermediate-Term Treasury Index Fund, 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares; for the Long-Term Treasury 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 2017.
Peer groups: For the Short-Term Treasury Index Fund, Short-Term U.S. Treasury Funds; for the Intermediate-Term Treasury Index Fund, General U.S. Treasury Funds; for the Long-Term Treasury Index Fund, General U.S. Treasury 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 Debt Funds BBB-Rated; and for the Mortgage-Backed Securities Index Fund, U.S. Mortgage Funds.
3
CEO’s Perspective
Tim Buckley
President and Chief Executive Officer
Dear Shareholder,
As I begin my tenure as Vanguard’s fourth chief executive, I’ve been reflecting on both the past and the future of the company where I have spent my entire professional career.
I feel extremely fortunate to have the chance to lead a company filled with people who come to work every day passionate about Vanguard’s core purpose: to take a stand for all investors, to treat them fairly, and to give them the best chance for investment success.
Making a real difference
When I joined Vanguard in 1991, I found a mission-driven team focused on improving lives—helping people retire more comfortably, put their children through college, and achieve financial security. I found a company with purpose in an industry ripe for improvement.
It was clear, even early in my career, that the cards were stacked against most investors. Hidden fees, performance-chasing, and poor advice were relentlessly eroding investors’ dreams.
We knew Vanguard could be different and, as a result, could make a real difference. Over the past 25 years, for example, Vanguard has lowered our funds’ asset-weighted average expense ratio
4
from 0.31% to 0.12%. And over the past decade, 94% of our funds have beaten the average annual return of their peers.1
Focused on your success
Vanguard is built for Vanguard investors—as a client-owned company, we focus solely on you, our fund shareholders. Everything we do is designed to give our clients the best chance for investment success. In my role as CEO, I intend to keep this priority front and center. We’re proud of what we’ve achieved, but we’re even more excited about what’s to come.
As I write this, we’ve experienced a period of pronounced market volatility. Strong economic growth and budding signs of inflation have raised concerns about a more aggressive Federal Reserve. Although volatility can test investors’ nerves, we sometimes think of this as “Vanguard weather”—a time when having a disciplined, low-cost, and long-term approach to investment management serves investors well.
| | | |
| Market Barometer | | | |
| | | | Total Returns |
| | | Periods Ended February 28, 2018 |
| | Six | One | Five Years |
| | Months | Year | (Annualized) |
| Stocks | | | |
| Russell 1000 Index (Large-caps) | 10.62% | 16.70% | 14.56% |
| Russell 2000 Index (Small-caps) | 8.30 | 10.51 | 12.19 |
| Russell 3000 Index (Broad U.S. market) | 10.45 | 16.22 | 14.37 |
| FTSE All-World ex US Index (International) | 7.84 | 21.50 | 6.69 |
| |
| Bonds | | | |
| Bloomberg Barclays U. S. Aggregate Bond Index | | | |
| (Broad taxable market) | -2.18% | 0.51% | 1.71% |
| Bloomberg Barclays Municipal Bond Index | | | |
| (Broad tax-exempt market) | -1.24 | 2.50 | 2.57 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.59 | 0.98 | 0.27 |
| |
| CPI | | | |
| Consumer Price Index | 1.41% | 2.21% | 1.41% |
The performance data shown represent past performance, which is not a guarantee of future results.
1 For the ten-year period through December 31, 2017, 9 of 9 Vanguard money market funds, 56 of 60 bond funds, 21 of 22 balanced funds, and 131 of 140 stock funds, or 217 of 231 Vanguard funds, outperformed their peer-group averages. Sources: Vanguard, based on data from Lipper, a Thomson Reuters Company.
5
Steady, time-tested guidance
Our guidance for investors, as always, is to stay the course, tune out the hyperbolic headlines, and focus on your goals and what you can control, such as costs and how much you save. This time-tested advice has served our clients well over the decades.
Regardless of how the markets perform in the short term, I’m incredibly optimistic about the future for our investors. We have a dedicated team serving you, and we will never stop striving to make Vanguard the best place for you to invest through our high-quality funds and services, advice and guidance to help you meet your financial goals, and an experience that makes you feel good about entrusting us with your hard-earned savings.
Thank you for your continued loyalty.
Mortimer J. Buckley
President and Chief Executive Officer
March 19, 2018
6
Results of Proxy Voting
At a special meeting of shareholders on November 15, 2017, fund shareholders approved the following proposals:
Proposal 1—Elect trustees for the fund.*
The individuals listed in the table below were elected as trustees for the fund. All trustees with the exception of Ms. Mulligan, Ms. Raskin, and Mr. Buckley (each of whom already serves as a director of The Vanguard Group, Inc.) served as trustees to the funds prior to the shareholder meeting.
| | | |
| | | | Percentage |
| Trustee | For | Withheld | For |
| Mortimer J. Buckley | 797,579,784 | 15,541,140 | 98.1% |
| Emerson U. Fullwood | 796,911,377 | 16,209,547 | 98.0% |
| Amy Gutmann | 796,611,379 | 16,509,545 | 98.0% |
| JoAnn Heffernan Heisen | 795,715,738 | 17,405,186 | 97.9% |
| F. Joseph Loughrey | 796,955,260 | 16,165,664 | 98.0% |
| Mark Loughridge | 797,027,324 | 16,093,600 | 98.0% |
| Scott C. Malpass | 797,191,317 | 15,929,607 | 98.0% |
| F. William McNabb III | 794,211,732 | 18,909,192 | 97.7% |
| Deanna Mulligan | 797,691,084 | 15,429,840 | 98.1% |
| André F. Perold | 793,048,517 | 20,072,408 | 97.5% |
| Sarah Bloom Raskin | 797,096,185 | 16,024,739 | 98.0% |
| Peter F. Volanakis | 796,849,973 | 16,270,951 | 98.0% |
| * Results are for all funds within the same trust. | | | |
Proposal 2—Approve a manager-of-managers arrangement with third-party investment advisors.
This arrangement enables the fund to enter into and materially amend investment advisory arrangements with third-party investment advisors, subject to the approval of the fund’s board of trustees and certain conditions imposed by the Securities and Exchange Commission, while avoiding the costs and delays associated with obtaining future shareholder approval.
| | | | | |
| | | | | Broker | Percentage |
| Vanguard Fund | For | Abstain | Against | Non-Votes | For |
| Intermediate-Term | | | | | |
| Treasury Index Fund | 35,614,635 | 840,449 | 758,751 | 10,584,101 | 74.5% |
| Long-Term Treasury | | | | | |
| Index Fund | 15,864,741 | 824,879 | 820,125 | 3,033,230 | 77.2% |
| Short-Term Treasury | | | | | |
| Index Fund | 33,963,706 | 918,757 | 1,194,657 | 9,506,250 | 74.5% |
| Intermediate-Term Corporate | | | | | |
| Bond Index Fund | 136,123,746 | 2,873,556 | 5,142,363 | 42,316,803 | 73.0% |
| Long-Term Corporate | | | | | |
| Bond Index Fund | 20,226,001 | 510,192 | 2,284,089 | 4,166,146 | 74.4% |
| Short-Term Corporate | | | | | |
| Bond Index Fund | 249,231,106 | 7,876,256 | 10,599,030 | 70,539,475 | 73.7% |
| Mortgage-Backed Securities | | | | | |
| Index Fund | 78,100,681 | 598,367 | 452,976 | 11,021,785 | 86.6% |
7
Proposal 3—Approve a manager-of-managers arrangement with wholly owned subsidiaries of Vanguard.
This arrangement enables Vanguard or the fund to enter into and materially amend investment advisory arrangements with wholly owned subsidiaries of Vanguard, subject to the approval of the fund’s board of trustees and any conditions imposed by the Securities and Exchange Commission (SEC), while avoiding the costs and delays associated with obtaining future shareholder approval. The ability of the fund to operate in this manner is contingent upon the SEC’s approval of a pending application for an order of exemption.
| | | | | |
| | | | | Broker | Percentage |
| Vanguard Fund | For | Abstain | Against | Non-Votes | For |
| Intermediate-Term Treasury | | | | | |
| Index Fund | 35,664,017 | 913,243 | 636,574 | 10,584,101 | 74.6% |
| Long-Term Treasury | | | | | |
| Index Fund | 16,102,760 | 779,257 | 627,728 | 3,033,230 | 78.4% |
| Short-Term Treasury | | | | | |
| Index Fund | 34,217,007 | 861,887 | 998,227 | 9,506,250 | 75.1% |
| Intermediate-Term Corporate | | | | | |
| Bond Index Fund | 136,626,045 | 2,771,351 | 4,742,269 | 42,316,803 | 73.3% |
| Long-Term Corporate | | | | | |
| Bond Index Fund | 20,373,776 | 486,553 | 2,159,953 | 4,166,146 | 74.9% |
| Short-Term Corporate | | | | | |
| Bond Index Fund | 249,710,896 | 7,562,019 | 10,433,477 | 70,539,475 | 73.8% |
| Mortgage-Backed Securities | | | | | |
| Index Fund | 78,154,250 | 608,677 | 389,097 | 11,021,785 | 86.7% |
8
Short-Term Treasury Index Fund
Fund Profile
As of February 28, 2018
| | | |
| 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 | 2.12% | 2.12% | 2.14% |
| | | |
| Financial Attributes | | |
| |
| | | Spliced | |
| | | Bloomberg | |
| | | Barclays | |
| | | U.S. | Bloomberg |
| | | Treasury | Barclays |
| | | 1–3 Year | Aggregate |
| | Fund | Index | FA Index |
| Number of Bonds | 92 | 95 | 9,791 |
| Yield to Maturity | | | |
| (before expenses) | 2.3% | 2.3% | 3.1% |
| Average Coupon | 1.6% | 1.7% | 3.0% |
| Average Duration | 2.0 years | 2.0 years | 6.2 years |
| Average Effective | | | |
| Maturity | 2.0 years | 2.0 years | 8.4 years |
| Short-Term | | | |
| Reserves | 0.5% | — | — |
| |
| Sector Diversification (% of portfolio) | |
| U.S. Treasury | 100.0% |
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 | | |
| | Spliced | |
| | Bloomberg | |
| | Barclays | |
| | U.S. | Bloomberg |
| | Treasury | Barclays |
| | 1–3 Year | Aggregate |
| | Index | FA Index |
| R-Squared | 0.99 | 0.64 |
| Beta | 1.02 | 0.21 |
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% |
| 1 - 3 Years | 99.5 |
| |
| 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.
Investment Focus
1 The expense ratios shown are from the prospectus dated December 21, 2017, and represent estimated costs for the current fiscal year. For the six months ended February 28, 2018, the annualized expense ratios were 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares.
9
Short-Term Treasury Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
| | |
| Fiscal-Year Total Returns (%): November 19, 2009, Through February 28, 2018 | |
| | | Spliced |
| | | Bloomberg |
| | | Barclays U.S. |
| | | Treasury 1–3 |
| | ETF Shares Net Asset Value | Year 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 |
| 2018 | -0.82 | -0.79 |
| For a benchmark description, see the Glossary. | | |
| Note: For 2018, performance data reflect the six months ended February 28, 2018. | |
Average Annual Total Returns: Periods Ended December 31, 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 | | 0.28% | 0.49% | | | 0.74% |
| Net Asset Value | | 0.38 | 0.49 | | | 0.74 |
| Admiral Shares | 12/28/2009 | 0.40 | 0.50 | 0.62% | 0.19% | 0.81 |
| Institutional Shares | 8/23/2010 | 0.40 | 0.52 | 0.65 | -0.03 | 0.62 |
See Financial Highlights for dividend and capital gains information.
10
Short-Term Treasury Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2018
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 Obligations (99.2%) | | | | |
| U. S. Government Securities (99.2%) | | | | |
| United States Treasury Note/Bond | 1.375% | 2/28/19 | 8,000 | 7,942 |
| United States Treasury Note/Bond | 1.000% | 3/15/19 | 19,916 | 19,689 |
| United States Treasury Note/Bond | 1.250% | 3/31/19 | 16,000 | 15,852 |
| United States Treasury Note/Bond | 1.500% | 3/31/19 | 6,250 | 6,209 |
| United States Treasury Note/Bond | 1.625% | 3/31/19 | 78,585 | 78,168 |
| United States Treasury Note/Bond | 0.875% | 4/15/19 | 25,265 | 24,914 |
| United States Treasury Note/Bond | 1.250% | 4/30/19 | 40,085 | 39,678 |
| United States Treasury Note/Bond | 1.625% | 4/30/19 | 54,890 | 54,573 |
| United States Treasury Note/Bond | 0.875% | 5/15/19 | 65,634 | 64,649 |
| United States Treasury Note/Bond | 3.125% | 5/15/19 | 12,380 | 12,521 |
| United States Treasury Note/Bond | 1.125% | 5/31/19 | 5,000 | 4,937 |
| United States Treasury Note/Bond | 1.250% | 5/31/19 | 38,630 | 38,207 |
| United States Treasury Note/Bond | 1.500% | 5/31/19 | 28,375 | 28,149 |
| United States Treasury Note/Bond | 0.875% | 6/15/19 | 14,000 | 13,772 |
| United States Treasury Note/Bond | 1.000% | 6/30/19 | 13,000 | 12,801 |
| United States Treasury Note/Bond | 1.250% | 6/30/19 | 1,820 | 1,798 |
| United States Treasury Note/Bond | 1.625% | 6/30/19 | 57,030 | 56,629 |
| United States Treasury Note/Bond | 0.750% | 7/15/19 | 22,950 | 22,509 |
| United States Treasury Note/Bond | 0.875% | 7/31/19 | 2,500 | 2,455 |
| United States Treasury Note/Bond | 1.375% | 7/31/19 | 22,000 | 21,756 |
| United States Treasury Note/Bond | 1.625% | 7/31/19 | 58,850 | 58,399 |
| United States Treasury Note/Bond | 0.750% | 8/15/19 | 45,630 | 44,696 |
| United States Treasury Note/Bond | 3.625% | 8/15/19 | 15,000 | 15,302 |
| United States Treasury Note/Bond | 1.000% | 8/31/19 | 9,950 | 9,774 |
| United States Treasury Note/Bond | 1.250% | 8/31/19 | 32,000 | 31,555 |
| United States Treasury Note/Bond | 1.625% | 8/31/19 | 47,900 | 47,496 |
| United States Treasury Note/Bond | 0.875% | 9/15/19 | 16,315 | 15,989 |
| United States Treasury Note/Bond | 1.000% | 9/30/19 | 12,000 | 11,777 |
| United States Treasury Note/Bond | 1.375% | 9/30/19 | 35,695 | 35,232 |
| United States Treasury Note/Bond | 1.750% | 9/30/19 | 22,635 | 22,476 |
| United States Treasury Note/Bond | 1.000% | 10/15/19 | 32,000 | 31,385 |
| United States Treasury Note/Bond | 1.250% | 10/31/19 | 9,100 | 8,955 |
| United States Treasury Note/Bond | 1.500% | 10/31/19 | 88,075 | 87,043 |
| United States Treasury Note/Bond | 1.000% | 11/15/19 | 15,625 | 15,305 |
| United States Treasury Note/Bond | 3.375% | 11/15/19 | 15,000 | 15,284 |
| United States Treasury Note/Bond | 1.000% | 11/30/19 | 58,030 | 56,806 |
| United States Treasury Note/Bond | 1.500% | 11/30/19 | 47,010 | 46,415 |
11
| | | | |
| Short-Term Treasury Index Fund | | | | |
| |
| |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value • |
| | Coupon | Date | ($000) | ($000) |
| United States Treasury Note/Bond | 1.750% | 11/30/19 | 8,000 | 7,934 |
| United States Treasury Note/Bond | 1.375% | 12/15/19 | 63,605 | 62,641 |
| United States Treasury Note/Bond | 1.125% | 12/31/19 | 20,000 | 19,603 |
| United States Treasury Note/Bond | 1.625% | 12/31/19 | 39,200 | 38,759 |
| United States Treasury Note/Bond | 1.875% | 12/31/19 | 30,000 | 29,803 |
| United States Treasury Note/Bond | 1.375% | 1/15/20 | 92,050 | 90,569 |
| United States Treasury Note/Bond | 1.250% | 1/31/20 | 38,125 | 37,410 |
| United States Treasury Note/Bond | 1.375% | 1/31/20 | 12,025 | 11,828 |
| United States Treasury Note/Bond | 2.000% | 1/31/20 | 41,300 | 41,106 |
| United States Treasury Note/Bond | 1.375% | 2/15/20 | 48,406 | 47,574 |
| United States Treasury Note/Bond | 3.625% | 2/15/20 | 29,000 | 29,743 |
| United States Treasury Note/Bond | 1.250% | 2/29/20 | 15,000 | 14,700 |
| United States Treasury Note/Bond | 1.375% | 2/29/20 | 54,805 | 53,846 |
| United States Treasury Note/Bond | 2.250% | 2/29/20 | 15,000 | 14,998 |
| United States Treasury Note/Bond | 1.625% | 3/15/20 | 19,718 | 19,459 |
| United States Treasury Note/Bond | 1.125% | 3/31/20 | 8,000 | 7,810 |
| United States Treasury Note/Bond | 1.375% | 3/31/20 | 62,705 | 61,529 |
| United States Treasury Note/Bond | 1.500% | 4/15/20 | 65,330 | 64,258 |
| United States Treasury Note/Bond | 1.125% | 4/30/20 | 10,000 | 9,750 |
| United States Treasury Note/Bond | 1.375% | 4/30/20 | 13,540 | 13,276 |
| United States Treasury Note/Bond | 1.500% | 5/15/20 | 29,980 | 29,455 |
| United States Treasury Note/Bond | 3.500% | 5/15/20 | 36,095 | 37,009 |
| United States Treasury Note/Bond | 1.375% | 5/31/20 | 10,000 | 9,791 |
| United States Treasury Note/Bond | 1.500% | 5/31/20 | 54,825 | 53,840 |
| United States Treasury Note/Bond | 1.500% | 6/15/20 | 34,000 | 33,378 |
| United States Treasury Note/Bond | 1.625% | 6/30/20 | 30,000 | 29,517 |
| United States Treasury Note/Bond | 1.875% | 6/30/20 | 14,000 | 13,851 |
| United States Treasury Note/Bond | 1.500% | 7/15/20 | 78,090 | 76,589 |
| United States Treasury Note/Bond | 1.625% | 7/31/20 | 34,850 | 34,262 |
| United States Treasury Note/Bond | 2.000% | 7/31/20 | 15,650 | 15,523 |
| United States Treasury Note/Bond | 1.500% | 8/15/20 | 25,261 | 24,756 |
| United States Treasury Note/Bond | 2.625% | 8/15/20 | 20,000 | 20,125 |
| United States Treasury Note/Bond | 1.375% | 8/31/20 | 35,860 | 35,008 |
| United States Treasury Note/Bond | 2.125% | 8/31/20 | 20,000 | 19,884 |
| United States Treasury Note/Bond | 1.375% | 9/15/20 | 18,652 | 18,203 |
| United States Treasury Note/Bond | 1.375% | 9/30/20 | 21,565 | 21,033 |
| United States Treasury Note/Bond | 2.000% | 9/30/20 | 15,000 | 14,859 |
| United States Treasury Note/Bond | 1.625% | 10/15/20 | 44,388 | 43,549 |
| United States Treasury Note/Bond | 1.375% | 10/31/20 | 35,575 | 34,658 |
| United States Treasury Note/Bond | 1.750% | 10/31/20 | 28,000 | 27,545 |
| United States Treasury Note/Bond | 1.750% | 11/15/20 | 56,000 | 55,073 |
| United States Treasury Note/Bond | 2.625% | 11/15/20 | 45,000 | 45,281 |
| United States Treasury Note/Bond | 1.625% | 11/30/20 | 45,000 | 44,086 |
| United States Treasury Note/Bond | 2.000% | 11/30/20 | 35,770 | 35,401 |
| United States Treasury Note/Bond | 1.875% | 12/15/20 | 39,258 | 38,712 |
| United States Treasury Note/Bond | 1.750% | 12/31/20 | 39,624 | 38,918 |
| United States Treasury Note/Bond | 2.375% | 12/31/20 | 33,757 | 33,736 |
| United States Treasury Note/Bond | 2.000% | 1/15/21 | 64,090 | 63,369 |
| United States Treasury Note/Bond | 1.375% | 1/31/21 | 48,000 | 46,590 |
| United States Treasury Note/Bond | 2.125% | 1/31/21 | 29,000 | 28,765 |
| United States Treasury Note/Bond | 2.250% | 2/15/21 | 10,000 | 9,953 |
| United States Treasury Note/Bond | 3.625% | 2/15/21 | 45,000 | 46,540 |
| United States Treasury Note/Bond | 1.125% | 2/28/21 | 39,500 | 38,006 |
| United States Treasury Note/Bond | 2.000% | 2/28/21 | 30,000 | 29,630 |
| Total U.S. Government Obligations (Cost $2,940,098) | | 2,904,588 | |
12
| | | |
| Short-Term Treasury Index Fund | | | |
| |
| |
| |
| | | | Market |
| | | | Value• |
| | Coupon | Shares | ($000) |
| Temporary Cash Investment (0.5%) | | | |
| Money Market Fund (0.5%) | | | |
| 1 Vanguard Market Liquidity Fund | | | |
| (Cost $13,800) | 1.601% | 138,004 | 13,799 |
| Total Investments (99.7%) (Cost $2,953,898) | | | 2,918,387 |
| Other Assets and Liabilities (0.3%) | | | |
| Other Assets | | | 177,514 |
| Liabilities | | | (169,148) |
| | | | 8,366 |
| Net Assets (100%) | | | 2,926,753 |
| |
| | | | Amount |
| | | | ($000) |
| Statement of Assets and Liabilities | | | |
| Assets | | | |
| Investments in Securities, at Value | | | |
| Unaffiliated Issuers | | | 2,904,588 |
| Affiliated Vanguard Funds | | | 13,799 |
| Total Investments in Securities | | | 2,918,387 |
| Investment in Vanguard | | | 143 |
| Receivables for Investment Securities Sold | | | 162,704 |
| Receivables for Accrued Income | | | 9,598 |
| Receivables for Capital Shares Issued | | | 5,061 |
| Other Assets | | | 8 |
| Total Assets | | | 3,095,901 |
| Liabilities | | | |
| Payables for Investment Securities Purchased | | | 168,060 |
| Payables for Capital Shares Redeemed | | | 430 |
| Payables for Distributions | | | 254 |
| Payables to Vanguard | | | 404 |
| Total Liabilities | | | 169,148 |
| Net Assets | | | 2,926,753 |
13
| |
| Short-Term Treasury Index Fund | |
| |
| |
| At February 28, 2018, net assets consisted of: | |
| | Amount |
| | ($000) |
| Paid-in Capital | 2,968,100 |
| Undistributed Net Investment Income | 2,155 |
| Accumulated Net Realized Losses | (7,991) |
| Unrealized Appreciation (Depreciation) | (35,511) |
| Net Assets | 2,926,753 |
| |
| ETF Shares—Net Assets | |
| Applicable to 33,697,516 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 2,021,329 |
| Net Asset Value Per Share—ETF Shares | $59.98 |
| |
| Admiral Shares—Net Assets | |
| Applicable to 33,567,849 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 671,010 |
| Net Asset Value Per Share—Admiral Shares | $19.99 |
| |
| Institutional Shares—Net Assets | |
| Applicable to 9,333,913 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 234,414 |
| Net Asset Value Per Share—Institutional Shares | $25.11 |
• See Note A in Notes to Financial Statements.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown
is the 7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
14
| |
| Short-Term Treasury Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Six Months Ended |
| | February 28, 2018 |
| | ($000) |
| Investment Income | |
| Income | |
| Interest1 | 18,286 |
| Total Income | 18,286 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 52 |
| Management and Administrative—ETF Shares | 509 |
| Management and Administrative—Admiral Shares | 150 |
| Management and Administrative—Institutional Shares | 42 |
| Marketing and Distribution—ETF Shares | 58 |
| Marketing and Distribution—Admiral Shares | 21 |
| Marketing and Distribution—Institutional Shares | 2 |
| Custodian Fees | 5 |
| Shareholders’ Reports and Proxy—ETF Shares | 62 |
| Shareholders’ Reports and Proxy—Admiral Shares | 10 |
| Shareholders’ Reports and Proxy—Institutional Shares | — |
| Trustees’ Fees and Expenses | 1 |
| Total Expenses | 912 |
| Expenses Paid Indirectly | (3) |
| Net Expenses | 909 |
| Net Investment Income | 17,377 |
| Realized Net Gain (Loss) on Investment Securities Sold1 | (6,635) |
| Change in Unrealized Appreciation (Depreciation) of Investment Securities1 | (32,763) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (22,021) |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $54,000, ($7,000), and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
15
| | |
| Short-Term Treasury Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Six Months Ended | Year Ended |
| | February 28, | August 31, |
| | 2018 | 2017 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 17,377 | 19,015 |
| Realized Net Gain (Loss) | (6,635) | (1,507) |
| Change in Unrealized Appreciation (Depreciation) | (32,763) | (4,467) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (22,021) | 13,041 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (12,065) | (11,818) |
| Admiral Shares | (3,693) | (4,153) |
| Institutional Shares | (1,303) | (1,921) |
| Realized Capital Gain1 | | |
| ETF Shares | — | (153) |
| Admiral Shares | — | (62) |
| Institutional Shares | — | (28) |
| Total Distributions | (17,061) | (18,135) |
| Capital Share Transactions | | |
| ETF Shares | 217,435 | 926,710 |
| Admiral Shares | 172,564 | 144,213 |
| Institutional Shares | 29,637 | 116,737 |
| Net Increase (Decrease) from Capital Share Transactions | 419,636 | 1,187,660 |
| Total Increase (Decrease) | 380,554 | 1,182,566 |
| Net Assets | | |
| Beginning of Period | 2,546,199 | 1,363,633 |
| End of Period2 | 2,926,753 | 2,546,199 |
1 Includes fiscal 2018 and 2017 short-term gain distributions totaling $0 and $36,000, 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 $2,155,000 and $1,839,000.
See accompanying Notes, which are an integral part of the Financial Statements.
16
| | | | | | |
| Short-Term Treasury Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| ETF Shares | | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $60.86 | $61.14 | $61.03 | $60.95 | $60.75 | $60.98 |
| Investment Operations | | | | | | |
| Net Investment Income | . 3921 | .6141 | .478 | .351 | .198 | .158 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (.891) | (.311) | .118 | .102 | .227 | (.134) |
| Total from Investment Operations | (.499) | .303 | .596 | .453 | .425 | .024 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.381) | (.573) | (.462) | (.340) | (.177) | (.158) |
| Distributions from Realized Capital Gains | — | (.010) | (.024) | (.033) | (.048) | (.096) |
| Total Distributions | (.381) | (.583) | (.486) | (.373) | (.225) | (.254) |
| Net Asset Value, End of Period | $59.98 | $60.86 | $61.14 | $61.03 | $60.95 | $60.75 |
| |
| Total Return | -0.82% | 0.50% | 0.98% | 0.75% | 0.70% | 0.04% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $2,021 | $1,832 | $908 | $635 | $497 | $307 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.07% | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.31% | 1.01% | 0.80% | 0.59% | 0.34% | 0.26% |
| Portfolio Turnover Rate2 | 72% | 60% | 73% | 64% | 64% | 73% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
17
| | | | | | |
| Short-Term Treasury Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Admiral Shares | | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $20.29 | $20.38 | $20.35 | $20.33 | $20.27 | $20.35 |
| Investment Operations | | | | | | |
| Net Investment Income | .1311 | . 2021 | .158 | .116 | .068 | .053 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (.301) | (.096) | .040 | .031 | .074 | (.048) |
| Total from Investment Operations | (.170) | .106 | .198 | .147 | .142 | .005 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.130) | (.193) | (.160) | (.116) | (.066) | (.053) |
| Distributions from Realized Capital Gains | — | (.003) | (.008) | (.011) | (.016) | (.032) |
| Total Distributions | (.130) | (.196) | (.168) | (.127) | (.082) | (.085) |
| Net Asset Value, End of Period | $19.99 | $20.29 | $20.38 | $20.35 | $20.33 | $20.27 |
| |
| Total Return2 | -0.84% | 0.53% | 0.98% | 0.72% | 0.70% | 0.02% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $671 | $507 | $364 | $221 | $126 | $53 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.07% | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.31% | 1.01% | 0.80% | 0.59% | 0.34% | 0.26% |
| Portfolio Turnover Rate 3 | 72% | 60% | 73% | 64% | 64% | 73% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
Signal Shares were renamed Admiral Shares in October 2013. Prior periods’ Financial Highlights are for the Signal class.
1 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.
18
| | | | | | |
| Short-Term Treasury Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Institutional Shares | | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $25.49 | $25.60 | $25.57 | $25.54 | $25.47 | $25.57 |
| Investment Operations | | | | | | |
| Net Investment Income | .1661 | . 2601 | . 207 | .156 | .095 | .075 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (.381) | (.117) | .042 | .043 | .088 | (.059) |
| Total from Investment Operations | (.215) | .143 | .249 | .199 | .183 | .016 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.165) | (.249) | (.209) | (.155) | (.093) | (.075) |
| Distributions from Realized Capital Gains | — | (.004) | (.010) | (.014) | (.020) | (.041) |
| Total Distributions | (.165) | (.253) | (.219) | (.169) | (.113) | (.116) |
| Net Asset Value, End of Period | $25.11 | $25.49 | $25.60 | $25.57 | $25.54 | $25.47 |
| |
| Total Return | -0.85% | 0.56% | 0.98% | 0.78% | 0.72% | 0.06% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $234 | $208 | $92 | $67 | $49 | $17 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.05% | 0.05% | 0.05% | 0.07% | 0.09% | 0.09% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.33% | 1.03% | 0.82% | 0.62% | 0.37% | 0.29% |
| Portfolio Turnover Rate2 | 72% | 60% | 73% | 64% | 64% | 73% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
19
Short-Term Treasury Index Fund
Notes to Financial Statements
Vanguard Short-Term Treasury 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. The fund changed its name from Vanguard Short-Term Government Bond Index Fund to Vanguard Short-Term Treasury Index Fund in December 2017.
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 for the period ended February 28, 2018, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
4. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 28, 2018, or at any time during the period then ended.
20
Short-Term Treasury 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 Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2018, the fund had contributed to Vanguard capital in the amount of $143,000, representing 0.00% 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. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 28, 2018, custodian fee offset arrangements reduced the fund’s expenses by $3,000 (an annual rate of 0.00% of average net assets).
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.
21
Short-Term Treasury Index Fund
The following table summarizes the market value of the fund’s investments as of February 28, 2018, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| U.S. Government Obligations | — | 2,904,588 | — |
| Temporary Cash Investments | 13,799 | — | — |
| Total | 13,799 | 2,904,588 | — |
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended February 28, 2018, the fund realized $331,000 of net capital losses resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such losses are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2017, the fund had available capital losses totaling $1,686,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2018; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2018, the cost of investment securities for tax purposes was $2,953,898,000. Net unrealized depreciation of investment securities for tax purposes was $35,511,000, consisting of unrealized gains of $14,000 on securities that had risen in value since their purchase and $35,525,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 28, 2018, the fund purchased $1,548,369,000 of investment securities and sold $1,136,418,000 of investment securities, other than temporary cash investments. Purchases and sales include $282,490,000 and $68,118,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 28, 2018, such purchases and sales were $0 and $237,666,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
22
| | | | |
| Short-Term Treasury Index Fund | | | | |
| |
| |
| |
| |
| G. Capital share transactions for each class of shares were: | | | |
| | Six Months Ended | | Year Ended |
| | February 28, 2018 | August 31, 2017 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 286,797 | 4,750 | 969,314 | 15,950 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (69,362) | (1,150) | (42,604) | (700) |
| Net Increase (Decrease)—ETF Shares | 217,435 | 3,600 | 926,710 | 15,250 |
| Admiral Shares | | | | |
| Issued | 305,965 | 15,219 | 338,355 | 16,679 |
| Issued in Lieu of Cash Distributions | 2,865 | 143 | 3,318 | 164 |
| Redeemed | (136,266) | (6,773) | (197,460) | (9,736) |
| Net Increase (Decrease)—Admiral Shares | 172,564 | 8,589 | 144,213 | 7,107 |
| Institutional Shares | | | | |
| Issued | 68,784 | 2,725 | 149,457 | 5,851 |
| Issued in Lieu of Cash Distributions | 904 | 36 | 1,182 | 46 |
| Redeemed | (40,051) | (1,576) | (33,902) | (1,331) |
| Net Increase (Decrease)—Institutional Shares | 29,637 | 1,185 | 116,737 | 4,566 |
H. Management has determined that no material events or transactions occurred subsequent to February 28, 2018, that would require recognition or disclosure in these financial statements.
23
Intermediate-Term Treasury Index Fund
Fund Profile
As of February 28, 2018
| | | |
| 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 | 2.58% | 2.58% | 2.60% |
| | | |
| Financial Attributes | | |
| |
| | | Spliced | |
| | | Bloomberg | |
| | | Barclays | |
| | | U.S. | Bloomberg |
| | | Treasury | Barclays |
| | | 3–10 Year | Aggregate |
| | Fund | Index | FA Index |
| Number of Bonds | 111 | 115 | 9,791 |
| Yield to Maturity | | | |
| (before expenses) | 2.7% | 2.7% | 3.1% |
| Average Coupon | 2.0% | 2.1% | 3.0% |
| Average Duration | 5.2 years | 5.2 years | 6.2 years |
| Average Effective | | | |
| Maturity | 5.6 years | 5.6 years | 8.4 years |
| Short-Term | | | |
| Reserves | 0.4% | — | — |
| |
| Sector Diversification (% of portfolio) | |
| U.S. Treasury | 100.0% |
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 | | |
| | Spliced | |
| | Bloomberg | |
| | Barclays | |
| | U.S. | Bloomberg |
| | Treasury | Barclays |
| | 3–10 Year | Aggregate |
| | Index | FA Index |
| R-Squared | 1.00 | 0.83 |
| Beta | 1.03 | 1.02 |
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% |
| 3 - 5 Years | 49.4 |
| 5 - 10 Years | 50.4 |
| |
| 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.
Investment Focus
1 The expense ratios shown are from the prospectus dated December 21, 2017, and represent estimated costs for the current fiscal year. For the six months ended February 28, 2018, the annualized expense ratios were 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares.
24
Intermediate-Term Treasury Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
| | |
| Fiscal-Year Total Returns (%): November 19, 2009, Through February 28, 2018 | |
| | | Spliced |
| | | Bloomberg |
| | | Barclays U.S. |
| | | Treasury 3–10 |
| | ETF Shares Net Asset Value | Year 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 |
| 2018 | -3.25 | -3.22 |
| For a benchmark description, see the Glossary. | | |
| Note: For 2018, performance data reflect the six months ended February 28, 2018. | |
Average Annual Total Returns: Periods Ended December 31, 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 | | 1.63% | 1.19% | | | 2.82% |
| Net Asset Value | | 1.59 | 1.14 | | | 2.81 |
| Admiral Shares | 8/4/2010 | 1.63 | 1.15 | 1.66% | 0.67% | 2.33 |
| Institutional Shares | 3/19/2010 | 1.60 | 1.17 | 1.72 | 1.24 | 2.96 |
See Financial Highlights for dividend and capital gains information.
25
Intermediate-Term Treasury Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2018
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 Obligations (99.7%) | | | | |
| U. S. Government Securities (99.7%) | | | | |
| United States Treasury Note/Bond | 1.250% | 3/31/21 | 40,180 | 38,755 |
| United States Treasury Note/Bond | 2.250% | 3/31/21 | 12,175 | 12,105 |
| United States Treasury Note/Bond | 1.375% | 4/30/21 | 16,620 | 16,072 |
| United States Treasury Note/Bond | 2.250% | 4/30/21 | 4,000 | 3,975 |
| United States Treasury Note/Bond | 3.125% | 5/15/21 | 55,317 | 56,423 |
| United States Treasury Note/Bond | 8.125% | 5/15/21 | 1,340 | 1,573 |
| United States Treasury Note/Bond | 1.375% | 5/31/21 | 41,325 | 39,904 |
| United States Treasury Note/Bond | 2.000% | 5/31/21 | 34,810 | 34,293 |
| United States Treasury Note/Bond | 1.125% | 6/30/21 | 16,150 | 15,448 |
| United States Treasury Note/Bond | 2.125% | 6/30/21 | 46,555 | 46,017 |
| United States Treasury Note/Bond | 1.125% | 7/31/21 | 15,490 | 14,793 |
| United States Treasury Note/Bond | 2.250% | 7/31/21 | 6,200 | 6,148 |
| United States Treasury Note/Bond | 2.125% | 8/15/21 | 58,062 | 57,318 |
| United States Treasury Note/Bond | 8.125% | 8/15/21 | 1,775 | 2,106 |
| United States Treasury Note/Bond | 1.125% | 8/31/21 | 19,628 | 18,714 |
| United States Treasury Note/Bond | 2.000% | 8/31/21 | 21,325 | 20,955 |
| United States Treasury Note/Bond | 1.125% | 9/30/21 | 37,650 | 35,856 |
| United States Treasury Note/Bond | 2.125% | 9/30/21 | 50,760 | 50,062 |
| United States Treasury Note/Bond | 1.250% | 10/31/21 | 12,750 | 12,180 |
| United States Treasury Note/Bond | 2.000% | 10/31/21 | 60,715 | 59,577 |
| United States Treasury Note/Bond | 2.000% | 11/15/21 | 6,013 | 5,901 |
| United States Treasury Note/Bond | 1.750% | 11/30/21 | 11,327 | 11,007 |
| United States Treasury Note/Bond | 1.875% | 11/30/21 | 26,960 | 26,328 |
| United States Treasury Note/Bond | 2.000% | 12/31/21 | 20,385 | 19,971 |
| United States Treasury Note/Bond | 2.125% | 12/31/21 | 25,375 | 24,987 |
| United States Treasury Note/Bond | 1.500% | 1/31/22 | 21,519 | 20,668 |
| United States Treasury Note/Bond | 1.875% | 1/31/22 | 13,500 | 13,154 |
| United States Treasury Note/Bond | 2.000% | 2/15/22 | 31,394 | 30,742 |
| United States Treasury Note/Bond | 1.750% | 2/28/22 | 13,346 | 12,931 |
| United States Treasury Note/Bond | 1.875% | 2/28/22 | 27,300 | 26,575 |
| United States Treasury Note/Bond | 1.750% | 3/31/22 | 14,606 | 14,140 |
| United States Treasury Note/Bond | 1.875% | 3/31/22 | 45,500 | 44,256 |
| United States Treasury Note/Bond | 1.750% | 4/30/22 | 8,500 | 8,220 |
| United States Treasury Note/Bond | 1.875% | 4/30/22 | 15,000 | 14,576 |
| United States Treasury Note/Bond | 1.750% | 5/15/22 | 5,000 | 4,834 |
| United States Treasury Note/Bond | 1.750% | 5/31/22 | 59,440 | 57,416 |
26
| | | | |
| Intermediate-Term Treasury Index Fund | | | | |
| |
| |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value • |
| | Coupon | Date | ($000) | ($000) |
| United States Treasury Note/Bond | 1.875% | 5/31/22 | 11,375 | 11,053 |
| United States Treasury Note/Bond | 1.750% | 6/30/22 | 6,250 | 6,032 |
| United States Treasury Note/Bond | 2.125% | 6/30/22 | 14,650 | 14,368 |
| United States Treasury Note/Bond | 1.875% | 7/31/22 | 28,225 | 27,352 |
| United States Treasury Note/Bond | 2.000% | 7/31/22 | 46,920 | 45,755 |
| United States Treasury Note/Bond | 1.625% | 8/15/22 | 3,627 | 3,477 |
| United States Treasury Note/Bond | 7.250% | 8/15/22 | 975 | 1,167 |
| United States Treasury Note/Bond | 1.625% | 8/31/22 | 30,990 | 29,688 |
| United States Treasury Note/Bond | 1.875% | 8/31/22 | 16,398 | 15,886 |
| United States Treasury Note/Bond | 1.750% | 9/30/22 | 21,763 | 20,943 |
| United States Treasury Note/Bond | 1.875% | 9/30/22 | 25,515 | 24,690 |
| United States Treasury Note/Bond | 1.875% | 10/31/22 | 7,300 | 7,061 |
| United States Treasury Note/Bond | 2.000% | 10/31/22 | 25,070 | 24,373 |
| United States Treasury Note/Bond | 1.625% | 11/15/22 | 56,310 | 53,811 |
| United States Treasury Note/Bond | 7.625% | 11/15/22 | 2,075 | 2,536 |
| United States Treasury Note/Bond | 2.000% | 11/30/22 | 83,650 | 81,271 |
| United States Treasury Note/Bond | 2.125% | 12/31/22 | 43,310 | 42,295 |
| United States Treasury Note/Bond | 1.750% | 1/31/23 | 30,500 | 29,242 |
| United States Treasury Note/Bond | 2.375% | 1/31/23 | 33,680 | 33,259 |
| United States Treasury Note/Bond | 2.000% | 2/15/23 | 34,100 | 33,072 |
| United States Treasury Note/Bond | 7.125% | 2/15/23 | 2,590 | 3,128 |
| United States Treasury Note/Bond | 1.500% | 2/28/23 | 45,190 | 42,747 |
| United States Treasury Note/Bond | 2.625% | 2/28/23 | 33,000 | 32,964 |
| United States Treasury Note/Bond | 1.500% | 3/31/23 | 39,620 | 37,441 |
| United States Treasury Note/Bond | 1.625% | 4/30/23 | 16,430 | 15,603 |
| United States Treasury Note/Bond | 1.750% | 5/15/23 | 41,015 | 39,169 |
| United States Treasury Note/Bond | 1.625% | 5/31/23 | 27,205 | 25,806 |
| United States Treasury Note/Bond | 1.375% | 6/30/23 | 31,935 | 29,869 |
| United States Treasury Note/Bond | 1.250% | 7/31/23 | 16,725 | 15,512 |
| United States Treasury Note/Bond | 2.500% | 8/15/23 | 11,495 | 11,384 |
| United States Treasury Note/Bond | 6.250% | 8/15/23 | 1,725 | 2,037 |
| United States Treasury Note/Bond | 1.375% | 8/31/23 | 18,975 | 17,697 |
| United States Treasury Note/Bond | 1.375% | 9/30/23 | 20,600 | 19,187 |
| United States Treasury Note/Bond | 1.625% | 10/31/23 | 28,045 | 26,454 |
| United States Treasury Note/Bond | 2.750% | 11/15/23 | 11,995 | 12,021 |
| United States Treasury Note/Bond | 2.125% | 11/30/23 | 14,360 | 13,909 |
| United States Treasury Note/Bond | 2.250% | 12/31/23 | 19,200 | 18,708 |
| United States Treasury Note/Bond | 2.250% | 1/31/24 | 8,500 | 8,274 |
| United States Treasury Note/Bond | 2.750% | 2/15/24 | 64,890 | 64,951 |
| United States Treasury Note/Bond | 2.125% | 2/29/24 | 42,440 | 40,988 |
| United States Treasury Note/Bond | 2.125% | 3/31/24 | 19,000 | 18,335 |
| United States Treasury Note/Bond | 2.000% | 4/30/24 | 10,200 | 9,765 |
| United States Treasury Note/Bond | 2.500% | 5/15/24 | 53,175 | 52,402 |
| United States Treasury Note/Bond | 2.000% | 5/31/24 | 30,100 | 28,788 |
| United States Treasury Note/Bond | 2.000% | 6/30/24 | 28,400 | 27,140 |
| United States Treasury Note/Bond | 2.125% | 7/31/24 | 26,500 | 25,498 |
| United States Treasury Note/Bond | 2.375% | 8/15/24 | 73,140 | 71,415 |
| United States Treasury Note/Bond | 1.875% | 8/31/24 | 16,020 | 15,174 |
| United States Treasury Note/Bond | 2.125% | 9/30/24 | 22,128 | 21,250 |
| United States Treasury Note/Bond | 2.250% | 10/31/24 | 20,595 | 19,919 |
| United States Treasury Note/Bond | 2.250% | 11/15/24 | 36,416 | 35,198 |
| United States Treasury Note/Bond | 7.500% | 11/15/24 | 340 | 439 |
| United States Treasury Note/Bond | 2.125% | 11/30/24 | 48,360 | 46,373 |
| United States Treasury Note/Bond | 2.250% | 12/31/24 | 29,130 | 28,142 |
27
| | | | |
| Intermediate-Term Treasury Index Fund | | | | |
| |
| |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value • |
| | Coupon | Date | ($000) | ($000) |
| United States Treasury Note/Bond | 2.500% | 1/31/25 | 26,550 | 26,056 |
| United States Treasury Note/Bond | 2.000% | 2/15/25 | 66,148 | 62,769 |
| United States Treasury Note/Bond | 7.625% | 2/15/25 | 300 | 392 |
| United States Treasury Note/Bond | 2.750% | 2/28/25 | 29,500 | 29,408 |
| United States Treasury Note/Bond | 2.125% | 5/15/25 | 60,510 | 57,787 |
| United States Treasury Note/Bond | 2.000% | 8/15/25 | 30,840 | 29,134 |
| United States Treasury Note/Bond | 6.875% | 8/15/25 | 1,150 | 1,466 |
| United States Treasury Note/Bond | 2.250% | 11/15/25 | 61,585 | 59,093 |
| United States Treasury Note/Bond | 1.625% | 2/15/26 | 38,755 | 35,382 |
| United States Treasury Note/Bond | 1.625% | 5/15/26 | 38,590 | 35,117 |
| United States Treasury Note/Bond | 1.500% | 8/15/26 | 61,840 | 55,501 |
| United States Treasury Note/Bond | 2.000% | 11/15/26 | 41,327 | 38,544 |
| United States Treasury Note/Bond | 6.500% | 11/15/26 | 3,000 | 3,845 |
| United States Treasury Note/Bond | 2.250% | 2/15/27 | 60,335 | 57,337 |
| United States Treasury Note/Bond | 2.375% | 5/15/27 | 57,830 | 55,472 |
| United States Treasury Note/Bond | 2.250% | 8/15/27 | 55,070 | 52,179 |
| United States Treasury Note/Bond | 6.375% | 8/15/27 | 3,000 | 3,874 |
| United States Treasury Note/Bond | 2.250% | 11/15/27 | 54,365 | 51,434 |
| United States Treasury Note/Bond | 6.125% | 11/15/27 | 7,000 | 8,926 |
| United States Treasury Note/Bond | 2.750% | 2/15/28 | 20,700 | 20,490 |
| Total U.S. Government Obligations (Cost $3,056,936) | | | 2,947,204 |
| |
| | | | Shares | |
| Temporary Cash Investment (0.4%) | | | | |
| Money Market Fund (0.4%) | | | | |
| 1 Vanguard Market Liquidity Fund | | | | |
| (Cost $10,921) | 1.601% | | 109,212 | 10,920 |
| Total Investments (100.1%) (Cost $3,067,857) | | | | 2,958,124 |
| |
| | | | | Amount |
| | | | | ($000) |
| Other Assets and Liabilities (-0.1%) | | | | |
| Other Assets | | | | |
| Investment in Vanguard | | | | 153 |
| Receivables for Investment Securities Sold | | | | 68,977 |
| Receivables for Accrued Income | | | | 12,466 |
| Receivables for Capital Shares Issued | | | | 9,352 |
| Total Other Assets | | | | 90,948 |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | | (91,512) |
| Payables for Capital Shares Redeemed | | | | (1,123) |
| Payables for Distributions | | | | (230) |
| Payables to Vanguard | | | | (437) |
| Other Liabilities | | | | (879) |
| Total Liabilities | | | | (94,181) |
| Net Assets (100%) | | | | 2,954,891 |
28
| |
| Intermediate-Term Treasury Index Fund | |
| |
| |
| At February 28, 2018, net assets consisted of: | |
| | Amount |
| | ($000) |
| Paid-in Capital | 3,072,146 |
| Undistributed Net Investment Income | 2,412 |
| Accumulated Net Realized Losses | (9,934) |
| Unrealized Appreciation (Depreciation) | (109,733) |
| Net Assets | 2,954,891 |
| |
| ETF Shares—Net Assets | |
| Applicable to 26,751,191 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 1,674,929 |
| Net Asset Value Per Share—ETF Shares | $62.61 |
| |
| Admiral Shares—Net Assets | |
| Applicable to 46,812,512 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 988,709 |
| Net Asset Value Per Share—Admiral Shares | $21.12 |
| |
| Institutional Shares—Net Assets | |
| Applicable to 11,111,928 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 291,253 |
| Net Asset Value Per Share—Institutional Shares | $26.21 |
• See Note A in Notes to Financial Statements.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown
is the 7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
29
| |
| Intermediate-Term Treasury Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Six Months Ended |
| | February 28, 2018 |
| | ($000) |
| Investment Income | |
| Income | |
| Interest1 | 25,304 |
| Total Income | 25,304 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 54 |
| Management and Administrative—ETF Shares | 289 |
| Management and Administrative—Admiral Shares | 246 |
| Management and Administrative—Institutional Shares | 63 |
| Marketing and Distribution—ETF Shares | 47 |
| Marketing and Distribution—Admiral Shares | 35 |
| Marketing and Distribution—Institutional Shares | 4 |
| Custodian Fees | 5 |
| Shareholders’ Reports and Proxy—ETF Shares | 159 |
| Shareholders’ Reports and Proxy—Admiral Shares | 16 |
| Shareholders’ Reports and Proxy—Institutional Shares | 1 |
| Trustees’ Fees and Expenses | 1 |
| Total Expenses | 920 |
| Net Investment Income | 24,384 |
| Realized Net Gain (Loss) on Investment Securities Sold1 | (7,192) |
| Change in Unrealized Appreciation (Depreciation) of Investment Securities1 | (108,648) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (91,456) |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $36,000, ($1,000), and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
30
| | |
| Intermediate-Term Treasury Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Six Months Ended | Year Ended |
| | February 28, | August 31, |
| | 2018 | 2017 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 24,384 | 34,849 |
| Realized Net Gain (Loss) | (7,192) | (148) |
| Change in Unrealized Appreciation (Depreciation) | (108,648) | (32,895) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (91,456) | 1,806 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (13,310) | (16,506) |
| Admiral Shares | (8,228) | (11,627) |
| Institutional Shares | (2,650) | (5,744) |
| Realized Capital Gain1 | | |
| ETF Shares | — | (1,196) |
| Admiral Shares | — | (889) |
| Institutional Shares | — | (450) |
| Total Distributions | (24,188) | (36,412) |
| Capital Share Transactions | | |
| ETF Shares | 410,543 | 435,675 |
| Admiral Shares | 153,145 | 176,741 |
| Institutional Shares | (31,969) | 70,683 |
| Net Increase (Decrease) from Capital Share Transactions | 531,719 | 683,099 |
| Total Increase (Decrease) | 416,075 | 648,493 |
| Net Assets | | |
| Beginning of Period | 2,538,816 | 1,890,323 |
| End of Period2 | 2,954,891 | 2,538,816 |
1 Includes fiscal 2018 and 2017 short-term gain distributions totaling $0 and $418,000, 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 $2,412,000 and $2,216,000.
See accompanying Notes, which are an integral part of the Financial Statements.
31
| | | | | | |
| Intermediate-Term Treasury Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| ETF Shares | | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $65.29 | $66.54 | $64.80 | $64.14 | $62.96 | $66.58 |
| Investment Operations | | | | | | |
| Net Investment Income | . 5701 | 1.0431 | 1.035 | 1.054 | .920 | .861 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (2.680) | (1.201) | 1.770 | .649 | 1.292 | (2.940) |
| Total from Investment Operations | (2.110) | (.158) | 2.805 | 1.703 | 2.212 | (2.079) |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.570) | (1.011) | (1.038) | (1.043) | (.843) | (.861) |
| Distributions from Realized Capital Gains | — | (.081) | (.027) | — | (.189) | (.680) |
| Total Distributions | (.570) | (1.092) | (1.065) | (1.043) | (1.032) | (1.541) |
| Net Asset Value, End of Period | $62.61 | $65.29 | $66.54 | $64.80 | $64.14 | $62.96 |
| |
| Total Return | -3.25% | -0.21% | 4.37% | 2.67% | 3.54% | -3.18% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $1,675 | $1,329 | $908 | $360 | $164 | $123 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.07% | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.80% | 1.61% | 1.61% | 1.67% | 1.50% | 1.32% |
| Portfolio Turnover Rate2 | 32% | 32% | 37% | 35% | 43% | 54% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
32
| | | | | | |
| Intermediate-Term Treasury Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Admiral Shares | | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $22.03 | $22.45 | $21.86 | $21.64 | $21.27 | $22.50 |
| Investment Operations | | | | | | |
| Net Investment Income | .1921 | .3511 | .349 | .355 | .317 | .292 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (.909) | (.400) | .601 | .220 | .432 | (1.000) |
| Total from Investment Operations | (.717) | (.049) | .950 | .575 | .749 | (.708) |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.193) | (.344) | (.351) | (.355) | (.315) | (.292) |
| Distributions from Realized Capital Gains | — | (.027) | (.009) | — | (.064) | (.230) |
| Total Distributions | (.193) | (.371) | (.360) | (.355) | (.379) | (.522) |
| Net Asset Value, End of Period | $21.12 | $22.03 | $22.45 | $21.86 | $21.64 | $21.27 |
| |
| Total Return2 | -3.27% | -0.19% | 4.38% | 2.67% | 3.55% | -3.21% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $989 | $874 | $710 | $358 | $232 | $95 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.07% | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.80% | 1.61% | 1.61% | 1.67% | 1.50% | 1.32% |
| Portfolio Turnover Rate 3 | 32% | 32% | 37% | 35% | 43% | 54% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
Signal Shares were renamed Admiral Shares in October 2013. Prior periods’ Financial Highlights are for the Signal class.
1 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.
33
| | | | | | |
| Intermediate-Term Treasury Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Institutional Shares | | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $27.33 | $27.86 | $27.12 | $26.85 | $26.39 | $27.91 |
| Investment Operations | | | | | | |
| Net Investment Income | . 2411 | .4411 | .437 | .447 | .400 | .368 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (1.120) | (.507) | .752 | .271 | .536 | (1.235) |
| Total from Investment Operations | (.879) | (.066) | 1.189 | .718 | .936 | (.867) |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.241) | (.430) | (.438) | (.448) | (.397) | (.368) |
| Distributions from Realized Capital Gains | — | (.034) | (.011) | — | (.079) | (.285) |
| Total Distributions | (.241) | (.464) | (.449) | (.448) | (.476) | (.653) |
| Net Asset Value, End of Period | $26.21 | $27.33 | $27.86 | $27.12 | $26.85 | $26.39 |
| |
| Total Return | -3.23% | -0.21% | 4.42% | 2.69% | 3.58% | -3.17% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $291 | $336 | $272 | $208 | $54 | $59 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.05% | 0.05% | 0.05% | 0.07% | 0.09% | 0.09% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.82% | 1.63% | 1.63% | 1.70% | 1.53% | 1.35% |
| Portfolio Turnover Rate2 | 32% | 32% | 37% | 35% | 43% | 54% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
34
Intermediate-Term Treasury Index Fund
Notes to Financial Statements
Vanguard Intermediate-Term Treasury 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. The fund changed its name from Vanguard Intermediate-Term Government Bond Index Fund to Vanguard Intermediate-Term Treasury Index Fund in December 2017.
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 for the period ended February 28, 2018, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
4. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 28, 2018, or at any time during the period then ended.
35
Intermediate-Term Treasury 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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2018, the fund had contributed to Vanguard capital in the amount of $153,000, 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 February 28, 2018, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| U.S. Government Obligations | — | 2,947,204 | — |
| Temporary Cash Investments | 10,920 | — | — |
| Total | 10,920 | 2,947,204 | — |
36
Intermediate-Term Treasury 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 six months ended February 28, 2018, the fund realized $214,000 of net capital losses resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such losses are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2017, the fund had available capital losses totaling $2,942,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2018; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2018, the cost of investment securities for tax purposes was $3,067,857,000. Net unrealized depreciation of investment securities for tax purposes was $109,733,000, consisting of unrealized gains of $40,000 on securities that had risen in value since their purchase and $109,773,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 28, 2018, the fund purchased $1,058,989,000 of investment securities and sold $518,868,000 of investment securities, other than temporary cash investments. Purchases and sales include $460,316,000 and $53,391,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 28, 2018, such sales were $113,450,000; this amount is included in the sale of investment securities noted above.
37
| | | | |
| Intermediate-Term Treasury Index Fund | | | | |
| |
| |
| |
| |
| F. Capital share transactions for each class of shares were: | | | |
| | Six Months Ended | | Year Ended |
| | February 28, 2018 | August 31, 2017 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 464,446 | 7,250 | 610,836 | 9,400 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (53,903) | (850) | (175,161) | (2,700) |
| Net Increase (Decrease)—ETF Shares | 410,543 | 6,400 | 435,675 | 6,700 |
| Admiral Shares | | | | |
| Issued | 291,475 | 13,532 | 453,636 | 20,733 |
| Issued in Lieu of Cash Distributions | 7,141 | 332 | 10,936 | 501 |
| Redeemed | (145,471) | (6,747) | (287,831) | (13,186) |
| Net Increase (Decrease)—Admiral Shares | 153,145 | 7,117 | 176,741 | 8,048 |
| Institutional Shares | | | | |
| Issued | 31,114 | 1,168 | 200,088 | 7,293 |
| Issued in Lieu of Cash Distributions | 2,466 | 92 | 5,268 | 194 |
| Redeemed | (65,549) | (2,428) | (134,673) | (4,958) |
| Net Increase (Decrease)—Institutional Shares | (31,969) | (1,168) | 70,683 | 2,529 |
G. Management has determined that no material events or transactions occurred subsequent to February 28, 2018, that would require recognition or disclosure in these financial statements.
38
Long-Term Treasury Index Fund
Fund Profile
As of February 28, 2018
| | | |
| 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 | 3.04% | 3.04% | 3.06% |
| | | |
| Financial Attributes | | |
| |
| | | Spliced | |
| | | Bloomberg | |
| | | Barclays | Bloomberg |
| | | U.S. Long | Barclays |
| | | Treasury | Aggregate |
| | Fund | Index | FA Index |
| Number of Bonds | 49 | 47 | 9,791 |
| Yield to Maturity | | | |
| (before expenses) | 3.1% | 3.1% | 3.1% |
| Average Coupon | 3.3% | 3.3% | 3.0% |
| Average Duration | 17.2 years | 17.2 years | 6.2 years |
| Average Effective | | | |
| Maturity | 25.1 years | 25.1 years | 8.4 years |
| Short-Term | | | |
| Reserves | 0.9% | — | — |
| |
| Sector Diversification (% of portfolio) | |
| U.S. Treasury | 100.0% |
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 | | |
| | Spliced | |
| | Bloomberg | |
| | Barclays | Bloomberg |
| | U.S. Long | Barclays |
| | Treasury | Aggregate |
| | Index | FA Index |
| R-Squared | 0.99 | 0.87 |
| Beta | 1.04 | 3.20 |
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) | |
| 10 - 20 Years | 7.5% |
| 20 - 30 Years | 92.5 |
| |
| 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.
Investment Focus
1 The expense ratios shown are from the prospectus dated December 21, 2017, and represent estimated costs for the current fiscal year. For the six months ended February 28, 2018, the annualized expense ratios were 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares.
39
Long-Term Treasury Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
| | |
| Fiscal-Year Total Returns (%): November 19, 2009, Through February 28, 2018 | |
| | | Spliced |
| | | Bloomberg |
| | | Barclays U.S. |
| | | Long Treasury |
| | 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 |
| 2018 | -5.98 | -5.98 |
| For a benchmark description, see the Glossary. | | |
| Note: For 2018, performance data reflect the six months ended February 28, 2018. | |
Average Annual Total Returns: Periods Ended December 31, 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 | | 8.76% | 3.51% | | | 6.48% |
| Net Asset Value | | 8.66 | 3.46 | | | 6.47 |
| Admiral Shares | 3/1/2010 | 8.69 | 3.46 | 3.10% | 3.79% | 6.89 |
| Institutional Shares | 7/30/2010 | 8.67 | 3.48 | 3.07 | 2.87 | 5.94 |
See Financial Highlights for dividend and capital gains information.
40
Long-Term Treasury Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2018
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 Obligations (99.5%) | | | | |
| U. S. Government Securities (99.5%) | | | | |
| United States Treasury Note/Bond | 5.500% | 8/15/28 | 4,159 | 5,135 |
| United States Treasury Note/Bond | 5.250% | 11/15/28 | 9,149 | 11,127 |
| United States Treasury Note/Bond | 5.250% | 2/15/29 | 6,977 | 8,514 |
| United States Treasury Note/Bond | 6.125% | 8/15/29 | 4,800 | 6,305 |
| United States Treasury Note/Bond | 6.250% | 5/15/30 | 12,463 | 16,722 |
| United States Treasury Note/Bond | 5.375% | 2/15/31 | 22,795 | 28,828 |
| United States Treasury Note/Bond | 4.500% | 2/15/36 | 7,997 | 9,694 |
| United States Treasury Note/Bond | 4.750% | 2/15/37 | 6,721 | 8,431 |
| United States Treasury Note/Bond | 5.000% | 5/15/37 | 4,555 | 5,884 |
| United States Treasury Note/Bond | 4.375% | 2/15/38 | 5,489 | 6,607 |
| United States Treasury Note/Bond | 4.500% | 5/15/38 | 7,760 | 9,501 |
| United States Treasury Note/Bond | 3.500% | 2/15/39 | 15,201 | 16,289 |
| United States Treasury Note/Bond | 4.250% | 5/15/39 | 22,192 | 26,370 |
| United States Treasury Note/Bond | 4.500% | 8/15/39 | 16,914 | 20,783 |
| United States Treasury Note/Bond | 4.375% | 11/15/39 | 18,831 | 22,777 |
| United States Treasury Note/Bond | 4.625% | 2/15/40 | 25,895 | 32,377 |
| United States Treasury Note/Bond | 4.375% | 5/15/40 | 22,476 | 27,224 |
| United States Treasury Note/Bond | 3.875% | 8/15/40 | 16,708 | 18,890 |
| United States Treasury Note/Bond | 4.250% | 11/15/40 | 19,300 | 23,009 |
| United States Treasury Note/Bond | 4.750% | 2/15/41 | 22,268 | 28,402 |
| United States Treasury Note/Bond | 4.375% | 5/15/41 | 20,610 | 25,035 |
| United States Treasury Note/Bond | 3.750% | 8/15/41 | 25,988 | 28,875 |
| United States Treasury Note/Bond | 3.125% | 11/15/41 | 17,431 | 17,532 |
| United States Treasury Note/Bond | 3.125% | 2/15/42 | 20,606 | 20,722 |
| United States Treasury Note/Bond | 3.000% | 5/15/42 | 18,197 | 17,907 |
| United States Treasury Note/Bond | 2.750% | 8/15/42 | 37,854 | 35,571 |
| United States Treasury Note/Bond | 2.750% | 11/15/42 | 43,929 | 41,225 |
| United States Treasury Note/Bond | 3.125% | 2/15/43 | 33,284 | 33,383 |
| United States Treasury Note/Bond | 2.875% | 5/15/43 | 49,941 | 47,865 |
| United States Treasury Note/Bond | 3.625% | 8/15/43 | 41,347 | 45,055 |
| United States Treasury Note/Bond | 3.750% | 11/15/43 | 43,138 | 47,971 |
| United States Treasury Note/Bond | 3.625% | 2/15/44 | 49,541 | 54,008 |
| United States Treasury Note/Bond | 3.375% | 5/15/44 | 44,753 | 46,795 |
| United States Treasury Note/Bond | 3.125% | 8/15/44 | 53,513 | 53,555 |
| United States Treasury Note/Bond | 3.000% | 11/15/44 | 38,015 | 37,171 |
| United States Treasury Note/Bond | 2.500% | 2/15/45 | 37,064 | 32,825 |
41
| | | | |
| Long-Term Treasury Index Fund | | | | |
| |
| |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value • |
| | Coupon | Date | ($000) | ($000) |
| United States Treasury Note/Bond | 3.000% | 5/15/45 | 42,133 | 41,172 |
| United States Treasury Note/Bond | 2.875% | 8/15/45 | 56,665 | 54,027 |
| United States Treasury Note/Bond | 3.000% | 11/15/45 | 57,806 | 56,442 |
| United States Treasury Note/Bond | 2.500% | 2/15/46 | 56,157 | 49,549 |
| United States Treasury Note/Bond | 2.500% | 5/15/46 | 46,962 | 41,393 |
| United States Treasury Note/Bond | 2.250% | 8/15/46 | 35,756 | 29,828 |
| United States Treasury Note/Bond | 2.875% | 11/15/46 | 45,837 | 43,610 |
| United States Treasury Note/Bond | 3.000% | 2/15/47 | 45,063 | 43,944 |
| United States Treasury Note/Bond | 3.000% | 5/15/47 | 59,225 | 57,726 |
| United States Treasury Note/Bond | 2.750% | 8/15/47 | 50,444 | 46,732 |
| United States Treasury Note/Bond | 2.750% | 11/15/47 | 46,668 | 43,240 |
| United States Treasury Note/Bond | 3.000% | 2/15/48 | 17,300 | 16,876 |
| Total U.S. Government Obligations (Cost $1,542,945) | | 1,442,903 | |
| |
| | | | Shares | |
| Temporary Cash Investment (0.9%) | | | | |
| Money Market Fund (0.9%) | | | | |
| 1 Vanguard Market Liquidity Fund | | | | |
| (Cost $12,785) | 1.601% | | 127,850 | 12,784 |
| Total Investments (100.4%) (Cost $1,555,730) | | | | 1,455,687 |
| |
| | | | | Amount |
| | | | | ($000) |
| Other Assets and Liabilities (-0.4%) | | | | |
| Other Assets | | | | |
| Investment in Vanguard | | | | 81 |
| Receivables for Investment Securities Sold | | | | 4,868 |
| Receivables for Accrued Income | | | | 7,654 |
| Receivables for Capital Shares Issued | | | | 653 |
| Total Other Assets | | | | 13,256 |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | | (17,153) |
| Payables for Capital Shares Redeemed | | | | (1,870) |
| Payables for Distributions | | | | (171) |
| Payables to Vanguard | | | | (271) |
| Total Liabilities | | | | (19,465) |
| Net Assets (100%) | | | | 1,449,478 |
42
| |
| Long-Term Treasury Index Fund | |
| |
| |
| At February 28, 2018, net assets consisted of: | |
| | Amount |
| | ($000) |
| Paid-in Capital | 1,572,350 |
| Undistributed Net Investment Income | 1,243 |
| Accumulated Net Realized Losses | (24,072) |
| Unrealized Appreciation (Depreciation) | (100,043) |
| Net Assets | 1,449,478 |
| |
| ETF Shares—Net Assets | |
| Applicable to 8,467,292 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 618,897 |
| Net Asset Value Per Share—ETF Shares | $73.09 |
| |
| Admiral Shares—Net Assets | |
| Applicable to 20,631,953 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 506,321 |
| Net Asset Value Per Share—Admiral Shares | $24.54 |
| |
| Institutional Shares—Net Assets | |
| Applicable to 10,410,729 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 324,260 |
| Net Asset Value Per Share—Institutional Shares | $31.15 |
• See Note A in Notes to Financial Statements.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown
is the 7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
43
| |
| Long-Term Treasury Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Six Months Ended |
| | February 28, 2018 |
| | ($000) |
| Investment Income | |
| Income | |
| Interest1 | 18,556 |
| Total Income | 18,556 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 28 |
| Management and Administrative—ETF Shares | 138 |
| Management and Administrative—Admiral Shares | 124 |
| Management and Administrative—Institutional Shares | 63 |
| Marketing and Distribution—ETF Shares | 19 |
| Marketing and Distribution—Admiral Shares | 19 |
| Marketing and Distribution—Institutional Shares | 4 |
| Custodian Fees | 3 |
| Shareholders’ Reports and Proxy—ETF Shares | 33 |
| Shareholders’ Reports and Proxy—Admiral Shares | 16 |
| Shareholders’ Reports and Proxy—Institutional Shares | — |
| Trustees’ Fees and Expenses | 1 |
| Total Expenses | 448 |
| Net Investment Income | 18,108 |
| Realized Net Gain (Loss) on Investment Securities Sold1 | (1,375) |
| Change in Unrealized Appreciation (Depreciation) of Investment Securities1 | (101,495) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (84,762) |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $23,000, $4,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
44
| | |
| Long-Term Treasury Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Six Months Ended | Year Ended |
| | February 28, | August 31, |
| | 2018 | 2017 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 18,108 | 27,249 |
| Realized Net Gain (Loss) | (1,375) | (564) |
| Change in Unrealized Appreciation (Depreciation) | (101,495) | (82,295) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (84,762) | (55,610) |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (7,740) | (13,190) |
| Admiral Shares | (6,388) | (9,591) |
| Institutional Shares | (4,034) | (4,367) |
| Realized Capital Gain | | |
| ETF Shares | — | — |
| Admiral Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (18,162) | (27,148) |
| Capital Share Transactions | | |
| ETF Shares | 115,559 | 20,982 |
| Admiral Shares | 75,741 | 118,161 |
| Institutional Shares | 131,175 | 83,424 |
| Net Increase (Decrease) from Capital Share Transactions | 322,475 | 222,567 |
| Total Increase (Decrease) | 219,551 | 139,809 |
| Net Assets | | |
| Beginning of Period | 1,229,927 | 1,090,118 |
| End of Period1 | 1,449,478 | 1,229,927 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $1,243,000 and $1,297,000.
See accompanying Notes, which are an integral part of the Financial Statements.
45
| | | | | | |
| Long-Term Treasury Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| ETF Shares | | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $78.76 | $85.64 | $75.13 | $73.93 | $66.33 | $78.69 |
| Investment Operations | | | | | | |
| Net Investment Income | 1.0071 | 2.0061 | 2.021 | 2.073 | 2.100 | 2.055 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (5.671) | (6.905) | 10.511 | 1.206 | 7.429 | (12.216) |
| Total from Investment Operations | (4.664) | (4.899) | 12.532 | 3.279 | 9.529 | (10.161) |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (1.006) | (1.981) | (2.022) | (2.079) | (1.929) | (2.056) |
| Distributions from Realized Capital Gains | — | — | — | — | — | (.143) |
| Total Distributions | (1.006) | (1.981) | (2.022) | (2.079) | (1.929) | (2.199) |
| Net Asset Value, End of Period | $73.09 | $78.76 | $85.64 | $75.13 | $73.93 | $66.33 |
| |
| Total Return | -5.98% | -5.63% | 16.96% | 4.44% | 14.65% | -13.13% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $619 | $549 | $578 | $252 | $107 | $63 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.07% | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 2.65% | 2.62% | 2.58% | 2.76% | 3.17% | 2.80% |
| Portfolio Turnover Rate2 | 15% | 19% | 18% | 24% | 23% | 54% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
46
| | | | | | |
| Long-Term Treasury Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Admiral Shares | | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $26.44 | $28.75 | $25.21 | $24.81 | $22.32 | $26.48 |
| Investment Operations | | | | | | |
| Net Investment Income | . 3391 | . 6761 | .679 | .698 | .711 | .693 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (1.907) | (2.319) | 3.540 | .399 | 2.491 | (4.112) |
| Total from Investment Operations | (1.568) | (1.643) | 4.219 | 1.097 | 3.202 | (3.419) |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.332) | (.667) | (.679) | (.697) | (.712) | (.693) |
| Distributions from Realized Capital Gains | — | — | — | — | — | (.048) |
| Total Distributions | (.332) | (.667) | (.679) | (.697) | (.712) | (.741) |
| Net Asset Value, End of Period | $24.54 | $26.44 | $28.75 | $25.21 | $24.81 | $22.32 |
| |
| Total Return2 | -5.97% | -5.62% | 16.97% | 4.40% | 14.63% | -13.13% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $506 | $468 | $374 | $130 | $44 | $6 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.07% | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 2.65% | 2.62% | 2.58% | 2.76% | 3.17% | 2.80% |
| Portfolio Turnover Rate 3 | 15% | 19% | 18% | 24% | 23% | 54% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
Signal Shares were renamed Admiral Shares in October 2013. Prior periods’ Financial Highlights are for the Signal class.
1 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.
47
| | | | | | |
| Long-Term Treasury Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Institutional Shares | | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $33.56 | $36.49 | $32.00 | $31.48 | $28.32 | $33.60 |
| Investment Operations | | | | | | |
| Net Investment Income | . 4331 | .8651 | .868 | .896 | .910 | .890 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (2.419) | (2.942) | 4.492 | .517 | 3.161 | (5.219) |
| Total from Investment Operations | (1.986) | (2.077) | 5.360 | 1.413 | 4.071 | (4.329) |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.424) | (.853) | (.870) | (.893) | (.911) | (.890) |
| Distributions from Realized Capital Gains | — | — | — | — | — | (.061) |
| Total Distributions | (.424) | (.853) | (.870) | (.893) | (.911) | (.951) |
| Net Asset Value, End of Period | $31.15 | $33.56 | $36.49 | $32.00 | $31.48 | $28.32 |
| |
| Total Return | -5.96% | -5.60% | 16.99% | 4.47% | 14.66% | -13.10% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $324 | $213 | $138 | $154 | $95 | $37 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.05% | 0.05% | 0.05% | 0.07% | 0.09% | 0.09% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 2.67% | 2.64% | 2.60% | 2.79% | 3.20% | 2.83% |
| Portfolio Turnover Rate2 | 15% | 19% | 18% | 24% | 23% | 54% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
48
Long-Term Treasury Index Fund
Notes to Financial Statements
Vanguard Long-Term Treasury 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. The fund changed its name from Vanguard Long-Term Government Bond Index Fund to Vanguard Long-Term Treasury Index Fund in December 2017.
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 for the period ended February 28, 2018, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
4. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 28, 2018, or at any time during the period then ended.
49
Long-Term Treasury 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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2018, the fund had contributed to Vanguard capital in the amount of $81,000, 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.
50
Long-Term Treasury Index Fund
The following table summarizes the market value of the fund’s investments as of February 28, 2018, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| U.S. Government Obligations | — | 1,442,903 | — |
| Temporary Cash Investments | 12,784 | — | — |
| Total | 12,784 | 1,442,903 | — |
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended February 28, 2018, the fund realized $95,000 of net capital losses resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such losses are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2017, the fund had available capital losses totaling $22,792,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2018; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2018, the cost of investment securities for tax purposes was $1,555,730,000. Net unrealized depreciation of investment securities for tax purposes was $100,043,000, consisting of unrealized gains of $33,000 on securities that had risen in value since their purchase and $100,076,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 28, 2018, the fund purchased $577,081,000 of investment securities and sold $251,702,000 of investment securities, other than temporary cash investments. Purchases and sales include $236,302,000 and $121,914,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 28, 2018, such sales were $52,117,000; this amount is included in the sale of investment securities noted above.
51
| | | | |
| Long-Term Treasury Index Fund | | | | |
| |
| |
| |
| |
| F. Capital share transactions for each class of shares were: | | | |
| | Six Months Ended | | Year Ended |
| | February 28, 2018 | August 31, 2017 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 238,989 | 3,151 | 494,338 | 6,411 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (123,430) | (1,650) | (473,356) | (6,200) |
| Net Increase (Decrease)—ETF Shares | 115,559 | 1,501 | 20,982 | 211 |
| Admiral Shares | | | | |
| Issued | 143,158 | 5,562 | 322,560 | 12,713 |
| Issued in Lieu of Cash Distributions | 5,382 | 211 | 8,434 | 327 |
| Redeemed | (72,799) | (2,839) | (212,833) | (8,355) |
| Net Increase (Decrease)—Admiral Shares | 75,741 | 2,934 | 118,161 | 4,685 |
| Institutional Shares | | | | |
| Issued | 145,341 | 4,491 | 96,263 | 2,986 |
| Issued in Lieu of Cash Distributions | 4,034 | 125 | 4,367 | 134 |
| Redeemed | (18,200) | (564) | (17,206) | (530) |
| Net Increase (Decrease)—Institutional Shares | 131,175 | 4,052 | 83,424 | 2,590 |
G. Management has determined that no material events or transactions occurred subsequent to February 28, 2018, that would require recognition or disclosure in these financial statements.
52
Short-Term Corporate Bond Index Fund
Fund Profile
As of February 28, 2018
| | | |
| 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 | 2.87% | 2.87% | 2.89% |
| | | |
| Financial Attributes | | |
| |
| | | Bloomberg | |
| | | Barclays | |
| | | U.S. 1–5 | Bloomberg |
| | | Year | Barclays |
| | | Corporate | Aggregate |
| | Fund | Index | FA Index |
| Number of Bonds | 2,158 | 2,137 | 9,791 |
| Yield to Maturity | | | |
| (before expenses) | 3.1% | 3.1% | 3.1% |
| Average Coupon | 3.2% | 3.3% | 3.0% |
| Average Duration | 2.8 years | 2.8 years | 6.2 years |
| Average Effective | | | |
| Maturity | 3.0 years | 3.0 years | 8.4 years |
| Short-Term | | | |
| Reserves | 0.3% | — | — |
| |
| Sector Diversification (% of portfolio) | |
| Finance | 41.7% |
| Industrial | 53.9 |
| Utilities | 4.3 |
| Other | 0.1 |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
| | |
| Volatility Measures | | |
| | Bloomberg | |
| | Barclays | |
| | U.S. 1–5 | Bloomberg |
| | Year | Barclays |
| | Corporate | Aggregate |
| | Index | FA Index |
| R-Squared | 0.99 | 0.74 |
| Beta | 1.00 | 0.45 |
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% |
| 1 - 3 Years | 50.3 |
| 3 - 5 Years | 49.1 |
| 5 - 10 Years | 0.1 |
| |
| Distribution by Credit Quality (% of portfolio) |
| Aaa | 1.3 |
| Aa | 11.5 |
| A | 45.0 |
| Baa | 42.2 |
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 21, 2017, and represent estimated costs for the current fiscal year. For the six months ended February 28, 2018, the annualized expense ratios were 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares.
53
Short-Term Corporate Bond Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
| | |
| Fiscal-Year Total Returns (%): November 19, 2009, Through February 28, 2018 | |
| | | Bloomberg |
| | | Barclays U.S. |
| | | 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 |
| 2018 | -1.02 | -1.02 |
| Note: For 2018, performance data reflect the six months ended February 28, 2018. | |
Average Annual Total Returns: Periods Ended December 31, 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 | | 2.21% | 1.85% | | | 2.91% |
| Net Asset Value | | 2.45 | 1.93 | | | 2.92 |
| Admiral Shares | 11/18/2010 | 2.46 | 1.93 | 2.12% | 0.37% | 2.49 |
| Institutional Shares | 11/19/2009 | 2.48 | 1.95 | 2.16 | 0.79 | 2.95 |
See Financial Highlights for dividend and capital gains information.
54
Short-Term Corporate Bond Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 28, 2018
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 † | | | | 39,138 | 0.2% |
| Total U.S. Government and Agency Obligations (Cost $39,199) | | 39,138 | 0.2% |
| Corporate Bonds | | | | | |
| Finance | | | | | |
| | Banking | | | | | |
| | American Express Co. | 2.200%–8.125% | 5/20/19–2/27/23 | 91,211 | 89,275 | 0.3% |
| | American Express | | | | | |
| | Credit Corp. | 1.700%–2.700% | 3/18/19–3/3/22 | 182,066 | 179,905 | 0.7% |
| 1,2 | Bank of America Corp. | 3.004% | 12/20/23 | 99,593 | 97,493 | 0.4% |
| | Bank of America Corp. | 3.300% | 1/11/23 | 44,546 | 44,391 | 0.2% |
| 2 | Bank of America Corp. | 2.369% | 7/21/21 | 42,400 | 41,773 | 0.1% |
| 2 | Bank of America Corp. | 2.151%–5.875% | 3/15/19–3/5/24 | 380,592 | 375,021 | 1.4% |
| | Citibank NA | 1.850%–2.850% | 3/20/19–2/12/21 | 116,675 | 115,022 | 0.4% |
| | Citigroup Inc. | 2.900% | 12/8/21 | 43,271 | 42,683 | 0.2% |
| 2 | Citigroup Inc. | 2.050%–8.500% | 4/8/19–7/24/23 | 380,957 | 378,977 | 1.4% |
| | Credit Suisse AG | 2.300% | 5/28/19 | 43,371 | 43,129 | 0.2% |
| | Deutsche Bank AG | 4.250% | 10/14/21 | 45,370 | 46,245 | 0.2% |
| | Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 64,791 | 70,255 | 0.3% |
| | Goldman Sachs Group Inc. | 3.000% | 4/26/22 | 58,450 | 57,588 | 0.2% |
| | Goldman Sachs Group Inc. | 5.250% | 7/27/21 | 44,671 | 47,578 | 0.2% |
| | Goldman Sachs Group Inc. | 2.300% | 12/13/19 | 41,810 | 41,458 | 0.1% |
| 2 | Goldman Sachs Group | | | | | |
| | Inc. | 1.950%– 6.000% | 4/25/19–7/24/23 | 397,780 | 396,048 | 1.5% |
| | HSBC Bank USA NA | 4.875% | 8/24/20 | 12,601 | 13,109 | 0.1% |
| | HSBC Holdings plc | 2.650% | 1/5/22 | 50,435 | 48,996 | 0.2% |
| 2 | HSBC Holdings plc | 3.262% | 3/13/23 | 43,662 | 43,342 | 0.2% |
| 2 | HSBC Holdings plc | 2.950%–5.100% | 3/8/21–11/22/23 | 136,624 | 139,391 | 0.5% |
| | HSBC USA Inc. | 2.250%–5.000% | 6/23/19–9/27/20 | 90,468 | 90,191 | 0.3% |
| | JPMorgan Chase & Co. | 2.250% | 1/23/20 | 54,270 | 53,722 | 0.2% |
| | JPMorgan Chase & Co. | 4.500% | 1/24/22 | 46,435 | 48,597 | 0.2% |
55
| | | | | | |
| Short-Term Corporate Bond Index Fund | | | | |
| |
| |
| |
| | | | | Face | Market | Percentage |
| | | | Maturity | Amount | Value • | of Net |
| | | Coupon | Date | ($000) | ($000) | Assets |
| | JPMorgan Chase & Co. | 2.295% | 8/15/21 | 49,711 | 48,370 | 0.2% |
| | JPMorgan Chase & Co. | 2.550% | 3/1/21 | 44,521 | 43,912 | 0.2% |
| | JPMorgan Chase & Co. | 2.750% | 6/23/20 | 43,798 | 43,675 | 0.2% |
| | JPMorgan Chase & Co. | 4.250% | 10/15/20 | 40,348 | 41,721 | 0.1% |
| 2 | JPMorgan Chase & Co. | 1.850%– 6.300% | 3/22/19–4/25/23 | 334,242 | 337,553 | 1.3% |
| 2 | JPMorgan Chase Bank | | | | | |
| | NA | 1.650%–2.604% | 9/23/19–2/1/21 | 29,173 | 28,926 | 0.1% |
| | Morgan Stanley | 2.750% | 5/19/22 | 61,400 | 60,015 | 0.2% |
| | Morgan Stanley | 2.650% | 1/27/20 | 48,261 | 48,047 | 0.2% |
| | Morgan Stanley | 5.625% | 9/23/19 | 44,658 | 46,519 | 0.2% |
| | Morgan Stanley | 2.625% | 11/17/21 | 44,756 | 43,839 | 0.2% |
| | Morgan Stanley | 2.500% | 4/21/21 | 42,725 | 41,995 | 0.1% |
| | Morgan Stanley | 2.375%–7.300% | 5/13/19–2/25/23 | 270,043 | 278,263 | 1.1% |
| | UBS AG | 2.375% | 8/14/19 | 46,012 | 45,761 | 0.2% |
| | Wells Fargo & Co. | 3.069% | 1/24/23 | 53,627 | 52,758 | 0.2% |
| | Wells Fargo & Co. | 2.625% | 7/22/22 | 46,800 | 45,467 | 0.2% |
| | Wells Fargo & Co. | 2.100% | 7/26/21 | 43,541 | 42,057 | 0.1% |
| | Wells Fargo & Co. | 2.125%–4.600% | 4/22/19–2/13/23 | 266,841 | 266,165 | 1.0% |
| | Wells Fargo Bank NA | 1.750%–2.600% | 5/24/19–1/15/21 | 128,230 | 126,891 | 0.5% |
| 1,3 | Banking—Other † | | | | 4,727,160 | 18.1% |
| | Brokerage † | | | | 232,612 | 0.9% |
| | Finance Companies | | | | | |
| | GE Capital International | | | | | |
| | Funding Co. Unlimited Co. | 2.342% | 11/15/20 | 80,080 | 78,398 | 0.3% |
| | Finance Companies—Other † | | | | 279,412 | 1.1% |
| | Insurance † | | | | 847,264 | 3.3% |
| | Other Finance † | | | | 9,865 | 0.0% |
| | Real Estate Investment Trusts † | | | 511,930 | 2.0% |
| | | | | | 10,832,764 | 41.5% |
| Industrial | | | | | |
| | Basic Industry † | | | | 680,734 | 2.6% |
| | Capital Goods | | | | | |
| | General Electric Co. | 2.700% | 10/9/22 | 42,288 | 40,689 | 0.1% |
| | General Electric Co. | 2.100%– 6.000% | 8/7/19–1/9/23 | 168,389 | 172,708 | 0.7% |
| 4 | Capital Goods—Other † | | | | 1,148,947 | 4.4% |
| | Communication | | | | | |
| | AT&T Inc. | 2.300%–5.875% | 3/11/19–2/17/23 | 302,857 | 304,615 | 1.1% |
| | Charter Communications | | | | | |
| | Operating LLC / Charter | | | | | |
| | Communications | | | | | |
| | Operating Capital | 4.464% | 7/23/22 | 42,542 | 43,537 | 0.2% |
| | Verizon Communications Inc. | 2.946% | 3/15/22 | 43,979 | 43,463 | 0.2% |
| 1 | Communication—Other † | | | | 1,257,309 | 4.8% |
| | Consumer Cyclical | | | | | |
| | Ford Motor Credit Co. | | | | | |
| | LLC | 1.897%–8.125% | 3/12/19–9/20/22 | 285,623 | 286,799 | 1.1% |
| | Visa Inc. | 2.200% | 12/14/20 | 42,086 | 41,508 | 0.2% |
| 1 | Consumer Cyclical—Other † | | | | 1,672,578 | 6.4% |
| | Consumer Noncyclical | | | | | |
| | Abbott Laboratories | 2.900% | 11/30/21 | 50,203 | 49,858 | 0.2% |
| | Abbott Laboratories | 2.350% | 11/22/19 | 46,580 | 46,355 | 0.2% |
| | AbbVie Inc. | 2.500% | 5/14/20 | 60,080 | 59,623 | 0.2% |
| | AbbVie Inc. | 2.900% | 11/6/22 | 42,427 | 41,500 | 0.2% |
| | Allergan Funding SCS | 3.000% | 3/12/20 | 49,180 | 49,127 | 0.2% |
56
| | | | | | |
| Short-Term Corporate Bond Index Fund | | | | |
| |
| |
| |
| | | | | Face | Market | Percentage |
| | | | Maturity | Amount | Value • | of Net |
| | | Coupon | Date | ($000) | ($000) | Assets |
| | Anheuser-Busch Cos. LLC | 5.000% | 3/1/19 | 6,406 | 6,555 | 0.0% |
| | Anheuser-Busch InBev | | | | | |
| | Finance Inc. | 3.300% | 2/1/23 | 95,399 | 95,275 | 0.4% |
| | Anheuser-Busch InBev | | | | | |
| | Finance Inc. | 2.650% | 2/1/21 | 94,965 | 94,108 | 0.4% |
| | Anheuser-Busch InBev | | | | | |
| | Finance Inc. | 2.625% | 1/17/23 | 1,525 | 1,480 | 0.0% |
| | Anheuser-Busch InBev | | | | | |
| | Worldwide Inc. | 2.500% | 7/15/22 | 45,735 | 44,386 | 0.2% |
| | Anheuser-Busch InBev | | | | | |
| | Worldwide Inc. | 5.375% | 1/15/20 | 38,166 | 39,951 | 0.1% |
| | Anheuser-Busch InBev | | | | | |
| | Worldwide Inc. | 3.750%– 6.875% | 11/15/19–1/15/22 | 62,984 | 65,285 | 0.2% |
| 1 | Anheuser-Busch North | | | | | |
| | American Holding Corp. | 3.750% | 1/15/22 | 750 | 765 | 0.0% |
| | CVS Health Corp. | 2.800% | 7/20/20 | 41,384 | 41,049 | 0.1% |
| | Medtronic Inc. | 2.500% | 3/15/20 | 47,566 | 47,315 | 0.2% |
| | Medtronic Inc. | 3.150% | 3/15/22 | 40,913 | 40,930 | 0.1% |
| | Shire Acquisitions Investments | | | | | |
| | Ireland DAC | 1.900% | 9/23/19 | 47,027 | 46,275 | 0.2% |
| 1 | Consumer Noncyclical—Other † | | | | 2,963,789 | 11.3% |
| | Energy | | | | | |
| | Baker Hughes a GE Co. LLC | 3.200% | 8/15/21 | 7,983 | 8,005 | 0.0% |
| | Baker Hughes a GE Co. LLC / | | | | | |
| | Baker Hughes Co-Obligor Inc. | 2.773% | 12/15/22 | 16,600 | 16,208 | 0.1% |
| | Energy—Other † | | | | 1,880,410 | 7.2% |
| | Other Industrial † | | | | 18,956 | 0.1% |
| | Technology | | | | | |
| | Apple Inc. | 1.100%–2.850% | 5/6/19–2/23/23 | 360,100 | 354,542 | 1.4% |
| | Broadcom Corp. / | | | | | |
| | Broadcom Cayman | | | | | |
| | Finance Ltd. | 3.000% | 1/15/22 | 50,867 | 49,775 | 0.2% |
| 1 | Diamond 1 Finance Corp. / | | | | | |
| | Diamond 2 Finance Corp. | 4.420% | 6/15/21 | 65,326 | 66,655 | 0.2% |
| 1 | Diamond 1 Finance Corp. / | | | | | |
| | Diamond 2 Finance Corp. | 3.480% | 6/1/19 | 54,127 | 54,482 | 0.2% |
| | Hewlett Packard Enterprise | | | | | |
| | Co. | 3.600% | 10/15/20 | 46,481 | 47,016 | 0.2% |
| | Oracle Corp. | 1.900% | 9/15/21 | 57,224 | 55,249 | 0.2% |
| 1 | Technology—Other † | | | | 1,643,617 | 6.3% |
| | Transportation † | | | | 347,621 | 1.3% |
| | | | | | 13,969,049 | 53.4% |
| Utilities | | | | | |
| 1,3 | Electric † | | | | 1,029,839 | 3.9% |
| | Natural Gas † | | | | 69,173 | 0.3% |
| | | | | | 1,099,012 | 4.2% |
| Total Corporate Bonds (Cost $26,305,269) | | | 25,900,825 | 99.1% |
| Taxable Municipal Bonds (Cost $9,644) † | | | 9,529 | 0.0% |
57
| | | | |
| Short-Term Corporate Bond Index Fund | | | | |
| |
| |
| |
| | | | Market | Percentage |
| | | | Value• | of Net |
| | Coupon | Shares | ($000) | Assets |
| Temporary Cash Investment | | | | |
| Money Market Fund | | | | |
| 5 Vanguard Market Liquidity Fund | | | | |
| (Cost $89,584) | 1.601% | 895,917 | 89,583 | 0.3% |
| Total Investments (Cost $26,443,696) | | | 26,039,075 | 99.6% |
| |
| | | | Amount | |
| | | | ($000) | |
| Other Assets and Liabilities | | | | |
| Other Assets | | | | |
| Investment in Vanguard | | | 1,397 | |
| Receivables for Investment Securities Sold | | | 98,860 | |
| Receivables for Accrued Income | | | 216,708 | |
| Receivables for Capital Shares Issued | | | 5,894 | |
| Variation Margin Receivable—Futures Contracts | | | 1,059 | |
| Other Assets | | | 2,637 | |
| Total Other Assets | | | 326,555 | 1.2% |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | (206,059) | |
| Payables for Capital Shares Redeemed | | | (8,428) | |
| Payables for Distributions | | | (1,835) | |
| Payables to Vanguard | | | (4,885) | |
| Variation Margin Payable—Futures Contracts | | | (204) | |
| Total Liabilities | | | (221,411) | (0.8%) |
| Net Assets | | | 26,144,219 | 100.0% |
| |
| |
| At February 28, 2018, net assets consisted of: | | | | |
| | | | | Amount |
| | | | | ($000) |
| Paid-in Capital | | | | 26,520,541 |
| Undistributed Net Investment Income | | | | 43,312 |
| Accumulated Net Realized Losses | | | | (15,013) |
| Unrealized Appreciation (Depreciation) | | | | (404,621) |
| Net Assets | | | | 26,144,219 |
| |
| |
| ETF Shares—Net Assets | | | | |
| Applicable to 269,039,645 outstanding $.001 par value shares of | | | |
| beneficial interest (unlimited authorization) | | | | 21,121,401 |
| Net Asset Value Per Share—ETF Shares | | | | $78.51 |
58
| |
| Short-Term Corporate Bond Index Fund | |
| |
| |
| |
| | Amount |
| | ($000) |
| Admiral Shares—Net Assets | |
| Applicable to 164,548,938 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 3,511,912 |
| Net Asset Value Per Share—Admiral Shares | $21.34 |
| |
| Institutional Shares—Net Assets | |
| Applicable to 57,830,328 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 1,510,906 |
| Net Asset Value Per Share—Institutional Shares | $26.13 |
|
| • See Note A in Notes to Financial Statements. |
| † Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, |
| represent 1% or less of net assets. |
| 1 Certain of the fund’s securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be |
| sold in transactions exempt from registration, normally to qualified institutional buyers. At February 28, 2018, the aggregate value |
| of these securities was $419,633,000, representing 1.6% of net assets. |
| 2 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments |
| and prepayments or the possibility of the issue being called. |
| 3 Certain securities are valued using significant unobservable inputs. |
| 4 Securities with a value of $4,045,000 have been segregated as initial margin for recently closed futures contracts. |
| 5 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown |
| is the 7-day yield. |
See accompanying Notes, which are an integral part of the Financial Statements.
59
| |
| Short-Term Corporate Bond Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Six Months Ended |
| | February 28, 2018 |
| | ($000) |
| Investment Income | |
| Income | |
| Interest1 | 320,635 |
| Total Income | 320,635 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 510 |
| Management and Administrative—ETF Shares | 5,564 |
| Management and Administrative—Admiral Shares | 928 |
| Management and Administrative—Institutional Shares | 336 |
| Marketing and Distribution—ETF Shares | 597 |
| Marketing and Distribution—Admiral Shares | 129 |
| Marketing and Distribution—Institutional Shares | 19 |
| Custodian Fees | 68 |
| Shareholders’ Reports and Proxy—ETF Shares | 830 |
| Shareholders’ Reports and Proxy—Admiral Shares | 37 |
| Shareholders’ Reports and Proxy—Institutional Shares | 1 |
| Trustees’ Fees and Expenses | 8 |
| Total Expenses | 9,027 |
| Net Investment Income | 311,608 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | (10,194) |
| Futures Contracts | 2,802 |
| Realized Net Gain (Loss) | (7,392) |
| Change in Unrealized Appreciation (Depreciation) of Investment Securities1 | (578,260) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (274,044) |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $548,000, ($20,000), and ($5,000), respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
60
| | |
| Short-Term Corporate Bond Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Six Months Ended | Year Ended |
| | February 28, | August 31, |
| | 2018 | 2017 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 311,608 | 463,976 |
| Realized Net Gain (Loss) | (7,392) | 13,416 |
| Change in Unrealized Appreciation (Depreciation) | (578,260) | (39,014) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (274,044) | 438,378 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (249,645) | (368,312) |
| Admiral Shares | (39,237) | (53,903) |
| Institutional Shares | (18,290) | (27,080) |
| Realized Capital Gain | | |
| ETF Shares | — | — |
| Admiral Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (307,172) | (449,295) |
| Capital Share Transactions | | |
| ETF Shares | 731,496 | 6,749,919 |
| Admiral Shares | 407,008 | 1,222,309 |
| Institutional Shares | 30,784 | 495,280 |
| Net Increase (Decrease) from Capital Share Transactions | 1,169,288 | 8,467,508 |
| Total Increase (Decrease) | 588,072 | 8,456,591 |
| Net Assets | | |
| Beginning of Period | 25,556,147 | 17,099,556 |
| End of Period1 | 26,144,219 | 25,556,147 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $43,312,000 and $38,876,000.
See accompanying Notes, which are an integral part of the Financial Statements.
61
| | | | | | |
| Short-Term Corporate Bond Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| ETF Shares | | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $80.25 | $80.52 | $79.33 | $80.21 | $78.97 | $79.78 |
| Investment Operations | | | | | | |
| Net Investment Income | .9361 | 1.7681 | 1.661 | 1.504 | 1.436 | 1.523 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (1.751) | (.317) | 1.240 | (.743) | 1.305 | (.699) |
| Total from Investment Operations | (.815) | 1.451 | 2.901 | .761 | 2.741 | .824 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.925) | (1.721) | (1.648) | (1.492) | (1.321) | (1.517) |
| Distributions from Realized Capital Gains | — | — | (.063) | (.149) | (.180) | (.117) |
| Total Distributions | (.925) | (1.721) | (1.711) | (1.641) | (1.501) | (1.634) |
| Net Asset Value, End of Period | $78.51 | $80.25 | $80.52 | $79.33 | $80.21 | $78.97 |
| |
| Total Return | -1.02% | 1.84% | 3.71% | 0.96% | 3.50% | 1.03% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $21,121 | $20,862 | $14,121 | $10,377 | $8,430 | $6,705 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.07% | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 2.37% | 2.21% | 2.11% | 1.90% | 1.82% | 1.92% |
| Portfolio Turnover Rate2 | 51% | 66% | 57% | 62% | 56% | 61% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
62
| | | | | | |
| Short-Term Corporate Bond Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Admiral Shares | | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $21.81 | $21.89 | $21.57 | $21.81 | $21.51 | $21.73 |
| Investment Operations | | | | | | |
| Net Investment Income | . 2551 | . 4811 | .451 | .409 | .395 | .414 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (.475) | (.088) | .337 | (.199) | .347 | (.189) |
| Total from Investment Operations | (.220) | .393 | .788 | .210 | .742 | .225 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.250) | (.473) | (.451) | (.410) | (.393) | (.413) |
| Distributions from Realized Capital Gains | — | — | (.017) | (.040) | (.049) | (.032) |
| Total Distributions | (.250) | (.473) | (.468) | (.450) | (.442) | (.445) |
| Net Asset Value, End of Period | $21.34 | $21.81 | $21.89 | $21.57 | $21.81 | $21.51 |
| |
| Total Return2 | -1.02% | 1.83% | 3.70% | 0.97% | 3.47% | 1.03% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $3,512 | $3,180 | $1,959 | $1,222 | $821 | $76 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.07% | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | �� | | | |
| Average Net Assets | 2.37% | 2.21% | 2.11% | 1.90% | 1.82% | 1.92% |
| Portfolio Turnover Rate 3 | 51% | 66% | 57% | 62% | 56% | 61% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
Signal Shares were renamed Admiral Shares in October 2013. Prior periods’ Financial Highlights are for the Signal class.
1 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.
63
| | | | | | |
| Short-Term Corporate Bond Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Institutional Shares | | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $26.70 | $26.80 | $26.41 | $26.71 | $26.33 | $26.60 |
| Investment Operations | | | | | | |
| Net Investment Income | . 3141 | .5941 | .558 | .509 | .491 | .516 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (.577) | (.111) | .413 | (.249) | .437 | (.233) |
| Total from Investment Operations | (.263) | .483 | .971 | .260 | .928 | .283 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.307) | (.583) | (.560) | (.510) | (.488) | (.514) |
| Distributions from Realized Capital Gains | — | — | (.021) | (.050) | (.060) | (.039) |
| Total Distributions | (.307) | (.583) | (.581) | (.560) | (.548) | (.553) |
| Net Asset Value, End of Period | $26.13 | $26.70 | $26.80 | $26.41 | $26.71 | $26.33 |
| |
| Total Return | -0.99% | 1.84% | 3.72% | 0.98% | 3.55% | 1.06% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $1,511 | $1,515 | $1,020 | $745 | $634 | $262 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.05% | 0.05% | 0.05% | 0.07% | 0.09% | 0.09% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 2.39% | 2.23% | 2.13% | 1.93% | 1.85% | 1.95% |
| Portfolio Turnover Rate2 | 51% | 66% | 57% | 62% | 56% | 61% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
64
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 six months ended February 28, 2018, 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. The fund had no open futures contracts at February 28, 2018.
65
Short-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 for the period ended February 28, 2018, 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 February 28, 2018, 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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2018, the fund had contributed to Vanguard capital in the amount of $1,397,000, representing 0.01% of the fund’s net assets and 0.56% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
66
Short-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 February 28, 2018, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| U.S. Government and Agency Obligations | — | 39,138 | — |
| Corporate Bonds | — | 25,871,929 | 28,896 |
| Taxable Municipal Bonds | — | 9,529 | — |
| Temporary Cash Investments | 89,583 | — | — |
| Futures Contracts—Assets1 | 1,059 | — | — |
| Futures Contracts—Liabilities1 | (204) | — | — |
| Total | 90,438 | 25,920,596 | 28,896 |
1 Represents variation margin on the last day of the reporting period for recently closed futures contracts.
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended February 28, 2018, the fund realized $5,597,000 of net capital losses resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such losses are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2017, the fund had available capital losses totaling $11,570,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2018; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
67
Short-Term Corporate Bond Index Fund
At February 28, 2018, the cost of investment securities for tax purposes was $26,445,297,000. Net unrealized depreciation of investment securities for tax purposes was $406,222,000, consisting of unrealized gains of $4,674,000 on securities that had risen in value since their purchase and $410,896,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 28, 2018, the fund purchased $6,361,833,000 of investment securities and sold $4,974,433,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $2,465,074,000 and $2,570,920,000, respectively. Total purchases and sales include $1,606,399,000 and $900,514,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 28, 2018, such purchases and sales were $2,633,085,000 and $535,770,000, 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: | | | |
| | Six Months Ended | | Year Ended |
| | February 28, 2018 | August 31, 2017 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 1,647,197 | 20,668 | 6,885,407 | 86,293 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (915,701) | (11,600) | (135,488) | (1,700) |
| Net Increase (Decrease)—ETF Shares | 731,496 | 9,068 | 6,749,919 | 84,593 |
| Admiral Shares | | | | |
| Issued | 1,200,941 | 55,508 | 2,266,859 | 104,397 |
| Issued in Lieu of Cash Distributions | 31,685 | 1,469 | 43,547 | 2,006 |
| Redeemed | (825,618) | (38,188) | (1,088,097) | (50,134) |
| Net Increase (Decrease) —Admiral Shares | 407,008 | 18,789 | 1,222,309 | 56,269 |
| Institutional Shares | | | | |
| Issued | 205,579 | 7,742 | 622,558 | 23,451 |
| Issued in Lieu of Cash Distributions | 14,153 | 536 | 20,932 | 788 |
| Redeemed | (188,948) | (7,164) | (148,210) | (5,579) |
| Net Increase (Decrease)—Institutional Shares | 30,784 | 1,114 | 495,280 | 18,660 |
G. Management has determined that no material events or transactions occurred subsequent to February 28, 2018, that would require recognition or disclosure in these financial statements.
68
Intermediate-Term Corporate Bond Index Fund
Fund Profile
As of February 28, 2018
| | | |
| 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 | 3.66% | 3.66% | 3.68% |
| | | |
| Financial Attributes | | |
| |
| | | Bloomberg | |
| | | Barclays | |
| | | U.S. 5–10 | Bloomberg |
| | | Year | Barclays |
| | | Corporate | Aggregate |
| | Fund | Index | FA Index |
| Number of Bonds | 1,752 | 1,711 | 9,791 |
| Yield to Maturity | | | |
| (before expenses) | 3.8% | 3.8% | 3.1% |
| Average Coupon | 3.7% | 3.7% | 3.0% |
| Average Duration | 6.5 years | 6.4 years | 6.2 years |
| Average Effective | | | |
| Maturity | 7.5 years | 7.4 years | 8.4 years |
| Short-Term | | | |
| Reserves | 0.8% | — | — |
| |
| Sector Diversification (% of portfolio) | |
| Finance | 35.7% |
| Industrial | 58.2 |
| Treasury/Agency | 0.9 |
| Utilities | 5.2 |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
| | |
| Volatility Measures | | |
| | Bloomberg | |
| | Barclays | |
| | U.S. 5–10 | Bloomberg |
| | Year | Barclays |
| | Corporate | Aggregate |
| | Index | FA Index |
| R-Squared | 0.99 | 0.87 |
| Beta | 1.02 | 1.24 |
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 | 0.2 |
| 3 - 5 Years | 1.0 |
| 5 - 10 Years | 98.2 |
| 10 - 20 Years | 0.5 |
| |
| Distribution by Credit Quality (% of portfolio) |
| Aaa | 1.9 |
| Aa | 6.6 |
| A | 37.4 |
| Baa | 54.1 |
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 21, 2017, and represent estimated costs for the current fiscal year. For the six months ended February 28, 2018, the annualized expense ratios were 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares.
69
Intermediate-Term Corporate Bond Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
| | |
| Fiscal-Year Total Returns (%): November 19, 2009, Through February 28, 2018 | |
| | | Bloomberg |
| | | Barclays U.S. |
| | | 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 |
| 2018 | -2.38 | -2.36 |
| Note: For 2018, performance data reflect the six months ended February 28, 2018. | |
Average Annual Total Returns: Periods Ended December 31, 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 | | 5.25% | 3.37% | | | 5.73% |
| Net Asset Value | | 5.50 | 3.41 | | | 5.72 |
| Admiral Shares | 3/2/2010 | 5.52 | 3.42 | 3.57% | 2.07% | 5.64 |
| Fee-Adjusted Returns | | 5.25 | 3.37 | | | 5.61 |
| Institutional Shares | 11/19/2009 | 5.50 | 3.44 | 3.63 | 2.13 | 5.76 |
| Fee-Adjusted Returns | | 5.24 | 3.39 | | | 5.72 |
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.
70
Intermediate-Term Corporate Bond Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 28, 2018
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| | | | | | |
| | | | | Face | Market | Percentage |
| | | | Maturity | Amount | Value • | of Net |
| | | Coupon | Date | ($000) | ($000) | Assets |
| U.S. Government and Agency Obligations | | | | |
| U.S. Government Securities | | | | | |
| | United States Treasury | | | | | |
| | Note/Bond | 2.500% | 1/31/25 | 187,600 | 184,112 | 0.9% |
| | U.S. Government Securities—Other † | | | 8,331 | 0.0% |
| Total U.S. Government and Agency Obligations (Cost $192,375) | | 192,443 | 0.9% |
| Corporate Bonds | | | | | |
| Finance | | | | | |
| | Banking | | | | | |
| 1,2 | Bank of America Corp. | 3.419% | 12/20/28 | 108,744 | 104,103 | 0.5% |
| | Bank of America Corp. | 4.200% | 8/26/24 | 40,292 | 41,170 | 0.2% |
| | Bank of America Corp. | 3.500% | 4/19/26 | 39,529 | 38,983 | 0.2% |
| 1 | Bank of America Corp. | 3.093%– 6.220% | 7/24/23–3/5/29 | 458,652 | 457,740 | 2.2% |
| | Bank One Corp. | 7.625%–8.000% | 10/15/26–4/29/27 | 15,430 | 19,587 | 0.1% |
| | Citigroup Inc. | 4.450% | 9/29/27 | 48,255 | 49,128 | 0.2% |
| 1 | Citigroup Inc. | 3.887% | 1/10/28 | 44,350 | 44,148 | 0.2% |
| | Citigroup Inc. | 3.200% | 10/21/26 | 46,127 | 43,882 | 0.2% |
| 1 | Citigroup Inc. | 3.300%– 6.625% | 3/1/23–10/27/28 | 296,345 | 297,608 | 1.5% |
| | Credit Suisse AG | 3.625% | 9/9/24 | 41,938 | 41,763 | 0.2% |
| | Goldman Sachs Group Inc. | 4.000% | 3/3/24 | 42,333 | 43,017 | 0.2% |
| | Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 40,135 | 39,416 | 0.2% |
| | Goldman Sachs Group Inc. | 3.500% | 11/16/26 | 40,572 | 38,982 | 0.2% |
| 1 | Goldman Sachs Group | | | | | |
| | Inc. | 3.272%–5.950% | 7/8/24–4/23/29 | 226,813 | 225,071 | 1.1% |
| | HSBC Holdings plc | 4.300% | 3/8/26 | 39,570 | 40,684 | 0.2% |
| 1 | HSBC Holdings plc | 3.600%–5.100% | 4/5/21–3/13/28 | 172,153 | 172,598 | 0.8% |
| | HSBC USA Inc. | 3.500% | 6/23/24 | 8,935 | 8,886 | 0.1% |
| | JPMorgan Chase & Co. | 3.875% | 9/10/24 | 46,916 | 47,232 | 0.2% |
| | JPMorgan Chase & Co. | 3.300% | 4/1/26 | 43,805 | 42,417 | 0.2% |
| | JPMorgan Chase & Co. | 3.900% | 7/15/25 | 41,604 | 42,221 | 0.2% |
| 1 | JPMorgan Chase & Co. | 2.700%–4.250% | 5/1/23–1/23/29 | 373,462 | 367,596 | 1.8% |
71
| | | | | | |
| 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 | 43,762 | 44,209 | 0.2% |
| | Morgan Stanley | 3.875% | 1/27/26 | 43,223 | 43,330 | 0.2% |
| 1 | Morgan Stanley | 3.591% | 7/22/28 | 41,530 | 39,996 | 0.2% |
| 1 | Morgan Stanley | 3.772% | 1/24/29 | 40,600 | 39,596 | 0.2% |
| | Morgan Stanley | 3.125%– 6.250% | 5/22/23–4/23/27 | 281,896 | 283,461 | 1.4% |
| | Royal Bank of Scotland | | | | | |
| | Group plc | 3.875% | 9/12/23 | 44,568 | 44,297 | 0.2% |
| | Wachovia Corp. | 6.605%–7.574% | 10/1/25–8/1/26 | 2,377 | 2,894 | 0.0% |
| | Wells Fargo & Co. | 3.000% | 4/22/26 | 48,433 | 45,846 | 0.2% |
| | Wells Fargo & Co. | 4.100% | 6/3/26 | 42,039 | 42,014 | 0.2% |
| | Wells Fargo & Co. | 3.000% | 10/23/26 | 44,335 | 41,905 | 0.2% |
| 1 | Wells Fargo & Co. | 3.584% | 5/22/28 | 38,971 | 37,940 | 0.2% |
| | Wells Fargo & Co. | 3.000%–4.480% | 8/15/23–7/22/27 | 167,025 | 166,142 | 0.8% |
| 2,3 | Banking—Other † | | | | 1,920,817 | 9.3% |
| | Brokerage † | | | | 293,743 | 1.4% |
| | Finance Companies † | | | | 118,838 | 0.6% |
| 2 | Insurance † | | | | 863,470 | 4.2% |
| 2 | Other Finance † | �� | | | 15,266 | 0.1% |
| 3 | Real Estate Investment Trusts † | | | | 1,034,247 | 5.0% |
| | | | | | 7,284,243 | 35.3% |
| Industrial | | | | | |
| 2 | Basic Industry † | | | | 534,372 | 2.6% |
| 2 | Capital Goods † | | | | 889,414 | 4.3% |
| | Communication | | | | | |
| | AT&T Inc. | 3.900% | 8/14/27 | 64,900 | 64,403 | 0.3% |
| | AT&T Inc. | 3.400% | 5/15/25 | 63,003 | 60,396 | 0.3% |
| 2 | AT&T Inc. | 3.400%–4.450% | 3/1/24–2/15/28 | 203,107 | 202,790 | 1.0% |
| | Charter Communications | | | | | |
| | Operating LLC / Charter | | | | | |
| | Communications | | | | | |
| | Operating Capital | 4.908% | 7/23/25 | 61,844 | 63,578 | 0.3% |
| | Verizon Communications Inc. | 5.150% | 9/15/23 | 79,331 | 86,122 | 0.4% |
| | Verizon Communications Inc. | 3.376% | 2/15/25 | 55,392 | 54,076 | 0.3% |
| | Verizon Communications Inc. | 4.125% | 3/16/27 | 44,360 | 45,053 | 0.2% |
| | Verizon Communications | | | | | |
| | Inc. | 2.625%–4.150% | 3/15/24–8/15/26 | 85,848 | 83,237 | 0.4% |
| 2 | Communication—Other † | | | | 887,670 | 4.3% |
| | Consumer Cyclical | | | | | |
| 2 | Amazon.com Inc. | 3.150% | 8/22/27 | 45,670 | 43,934 | 0.2% |
| | Visa Inc. | 3.150% | 12/14/25 | 64,315 | 63,039 | 0.3% |
| 2 | Consumer Cyclical—Other † | | | | 1,359,655 | 6.6% |
| | Consumer Noncyclical | | | | | |
| | Abbott Laboratories | 3.750% | 11/30/26 | 44,383 | 43,964 | 0.2% |
| | AbbVie Inc. | 3.600% | 5/14/25 | 51,701 | 51,092 | 0.2% |
| | Allergan Funding SCS | 3.800% | 3/15/25 | 58,144 | 57,326 | 0.3% |
| | Anheuser-Busch InBev Finance | | | | | |
| | Inc. | 3.650% | 2/1/26 | 160,789 | 159,281 | 0.8% |
| 2 | BAT Capital Corp. | 3.557% | 8/15/27 | 48,635 | 46,455 | 0.2% |
| | Celgene Corp. | 3.875% | 8/15/25 | 40,849 | 40,815 | 0.2% |
| | CVS Health Corp. | 3.875% | 7/20/25 | 39,031 | 38,554 | 0.2% |
| | Medtronic Inc. | 3.500% | 3/15/25 | 55,291 | 55,229 | 0.3% |
| | Reynolds American Inc. | 4.450% | 6/12/25 | 37,101 | 38,102 | 0.2% |
| 2 | Consumer Noncyclical—Other † | | | | 2,478,970 | 12.0% |
72
| | | | | | |
| Intermediate-Term Corporate Bond Index Fund | | | |
| |
| |
| |
| | | | | Face | Market | Percentage |
| | | | Maturity | Amount | Value • | of Net |
| | | Coupon | Date | ($000) | ($000) | Assets |
| | Energy † | | | | 1,913,329 | 9.3% |
| | Other Industrial † | | | | 55,960 | 0.3% |
| | Technology | | | | | |
| 4 | Apple Inc. | 2.400% | 5/3/23 | 73,203 | 70,844 | 0.3% |
| | Apple Inc. | 3.250% | 2/23/26 | 43,587 | 42,811 | 0.2% |
| | Apple Inc. | 2.450%–3.450% | 2/9/24–11/13/27 | 307,036 | 297,249 | 1.4% |
| | Broadcom Corp. / | | | | | |
| | Broadcom Cayman | | | | | |
| | Finance Ltd. | 3.875% | 1/15/27 | 72,123 | 69,273 | 0.3% |
| 2 | Dell International LLC / | | | | | |
| | EMC Corp. | 5.450% | 6/15/23 | 51,745 | 54,605 | 0.3% |
| 2 | Diamond 1 Finance | | | | | |
| | Corp. / Diamond 2 | | | | | |
| | Finance Corp. | 6.020% | 6/15/26 | 62,946 | 67,350 | 0.3% |
| | Microsoft Corp. | 3.300% | 2/6/27 | 56,602 | 56,091 | 0.3% |
| | Microsoft Corp. | 2.400% | 8/8/26 | 56,752 | 52,550 | 0.3% |
| | Microsoft Corp. | 2.000%–3.625% | 5/1/23–11/3/25 | 158,366 | 154,752 | 0.7% |
| | Oracle Corp. | 2.650% | 7/15/26 | 40,568 | 37,865 | 0.2% |
| | Oracle Corp. | 2.400% | 9/15/23 | 39,503 | 37,759 | 0.2% |
| | Oracle Corp. | 2.950%–3.625% | 7/15/23–11/15/27 | 142,860 | 139,996 | 0.7% |
| 2 | Technology—Other † | | | | 974,216 | 4.7% |
| | Transportation † | | | | 417,491 | 2.0% |
| | | | | | 11,889,668 | 57.6% |
| Utilities | | | | | |
| 2,3 | Electric † | | | | 946,953 | 4.6% |
| | Natural Gas † | | | | 87,005 | 0.4% |
| | Other Utility † | | | | 20,077 | 0.1% |
| | | | | | 1,054,035 | 5.1% |
| Total Corporate Bonds (Cost $20,674,267) | | | 20,227,946 | 98.0% |
| |
| | | | | Shares | | |
| Temporary Cash Investment | | | | |
| Money Market Fund | | | | | |
| 5 | Vanguard Market Liquidity Fund | | | | |
| | (Cost $162,240) | 1.601% | | 1,622,557 | 162,240 | 0.8% |
| Total Investments (Cost $21,028,882) | | | 20,582,629 | 99.7% |
73
| | |
| Intermediate-Term Corporate Bond Index Fund | | |
| |
| |
| |
| | | Percentage |
| | Amount | of Net |
| | ($000) | Assets |
| Other Assets and Liabilities | | |
| Other Assets | | |
| Investment in Vanguard | 1,102 | |
| Receivables for Investment Securities Sold | 404,287 | |
| Receivables for Accrued Income | 200,763 | |
| Receivables for Capital Shares Issued | 2,417 | |
| Variation Margin Receivable—Futures Contracts | — | |
| Total Other Assets | 608,569 | 2.9% |
| Liabilities | | |
| Payables for Investment Securities Purchased | (532,848) | |
| Payables for Capital Shares Redeemed | (1,710) | |
| Payables for Distributions | (1,036) | |
| Payables to Vanguard | (3,015) | |
| Variation Margin Payable—Futures Contracts | (41) | |
| Other Liabilities | (6,857) | |
| Total Liabilities | (545,507) | (2.6%) |
| Net Assets | 20,645,691 | 100.0% |
| |
| |
| At February 28, 2018, net assets consisted of: | | |
| | | Amount |
| | | ($000) |
| Paid-in Capital | | 21,064,263 |
| Undistributed Net Investment Income | | 52,295 |
| Accumulated Net Realized Losses | | (24,614) |
| Unrealized Appreciation (Depreciation) | | |
| Investment Securities | | (446,253) |
| Futures Contracts | | — |
| Net Assets | | 20,645,691 |
| |
| ETF Shares—Net Assets | | |
| Applicable to 222,624,668 outstanding $.001 par value shares of | | |
| beneficial interest (unlimited authorization) | | 18,889,271 |
| Net Asset Value Per Share—ETF Shares | | $84.85 |
| |
| Admiral Shares—Net Assets | | |
| Applicable to 48,620,393 outstanding $.001 par value shares of | | |
| beneficial interest (unlimited authorization) | | 1,110,492 |
| Net Asset Value Per Share—Admiral Shares | | $22.84 |
74
| |
| Intermediate-Term Corporate Bond Index Fund | |
| |
| |
| |
| | Amount |
| | ($000) |
| Institutional Shares—Net Assets | |
| Applicable to 22,885,604 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 645,928 |
| Net Asset Value Per Share—Institutional Shares | $28.22 |
• See Note A in Notes to Financial Statements.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer,
represent 1% or less of net assets.
1 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments
and prepayments or the possibility of the issue being called.
2 Certain of the fund’s securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be
sold in transactions exempt from registration, normally to qualified institutional buyers. At February 28, 2018, the aggregate value
of these securities was $553,751,000, representing 2.7% of net assets.
3 Certain securites value determined using significant unobservable inputs.
4 Securities with a value of $1,529,000 have been segregated as initial margin for open futures contracts.
5 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown
is the 7-day yield.
| | | | |
| 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 | | | | |
| 10-Year U.S. Treasury Note | June 2018 | 15 | 1,801 | — |
| | | | | — |
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.
75
| |
| Intermediate-Term Corporate Bond Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Six Months Ended |
| | February 28, 2018 |
| | ($000) |
| Investment Income | |
| Income | |
| Interest1 | 336,642 |
| Total Income | 336,642 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 390 |
| Management and Administrative—ETF Shares | 4,712 |
| Management and Administrative—Admiral Shares | 299 |
| Management and Administrative—Institutional Shares | 133 |
| Marketing and Distribution—ETF Shares | 557 |
| Marketing and Distribution—Admiral Shares | 41 |
| Marketing and Distribution—Institutional Shares | 7 |
| Custodian Fees | 34 |
| Shareholders’ Reports and Proxy—ETF Shares | 645 |
| Shareholders’ Reports and Proxy—Admiral Shares | 11 |
| Shareholders’ Reports and Proxy—Institutional Shares | — |
| Trustees’ Fees and Expenses | 6 |
| Total Expenses | 6,835 |
| Net Investment Income | 329,807 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | (2,497) |
| Futures Contracts | 2,509 |
| Realized Net Gain (Loss) | 12 |
| Change in Unrealized Appreciation (Depreciation) of Investment Securities1 | (828,529) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (498,710) |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $535,000, ($41,000), and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
76
| | |
| Intermediate-Term Corporate Bond Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Six Months Ended | Year Ended |
| | February 28, | August 31, |
| | 2018 | 2017 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 329,807 | 456,587 |
| Realized Net Gain (Loss) | 12 | 27,719 |
| Change in Unrealized Appreciation (Depreciation) | (828,529) | (65,344) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (498,710) | 418,962 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (294,064) | (397,564) |
| Admiral Shares | (17,579) | (26,554) |
| Institutional Shares | (10,320) | (14,578) |
| Realized Capital Gain | | |
| ETF Shares | — | — |
| Admiral Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (321,963) | (438,696) |
| Capital Share Transactions | | |
| ETF Shares | 2,939,920 | 6,663,645 |
| Admiral Shares | 141,369 | 318,614 |
| Institutional Shares | 99,740 | 187,545 |
| Net Increase (Decrease) from Capital Share Transactions | 3,181,029 | 7,169,804 |
| Total Increase (Decrease) | 2,360,356 | 7,150,070 |
| Net Assets | | |
| Beginning of Period | 18,285,335 | 11,135,265 |
| End of Period1 | 20,645,691 | 18,285,335 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $52,295,000 and $44,451,000.
See accompanying Notes, which are an integral part of the Financial Statements.
77
| | | | | | |
| Intermediate-Term Corporate Bond Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| ETF Shares | | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $88.35 | $89.47 | $84.39 | $86.98 | $82.31 | $86.78 |
| Investment Operations | | | | | | |
| Net Investment Income | 1.4441 | 2.8691 | 2.831 | 2.767 | 2.724 | 2.715 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (3.517) | (1.184) | 5.083 | (2.473) | 5.024 | (4.042) |
| Total from Investment Operations | (2.073) | 1.685 | 7.914 | .294 | 7.748 | (1.327) |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (1.427) | (2.805) | (2.834) | (2.754) | (2.496) | (2.713) |
| Distributions from Realized Capital Gains | — | — | — | (.130) | (.582) | (.430) |
| Total Distributions | (1.427) | (2.805) | (2.834) | (2.884) | (3.078) | (3.143) |
| Net Asset Value, End of Period | $84.85 | $88.35 | $89.47 | $84.39 | $86.98 | $82.31 |
| |
| Total Return | -2.38% | 1.98% | 9.58% | 0.32% | 9.60% | -1.64% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $18,889 | $16,699 | $10,048 | $5,393 | $4,010 | $3,161 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.07% | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 3.35% | 3.30% | 3.34% | 3.25% | 3.25% | 3.16% |
| Portfolio Turnover Rate2 | 65% | 65% | 71% | 56% | 65% | 73% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
78
| | | | | | |
| Intermediate-Term Corporate Bond Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Admiral Shares | | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $23.78 | $24.08 | $22.71 | $23.40 | $22.20 | $23.40 |
| Investment Operations | | | | | | |
| Net Investment Income | . 3901 | .7741 | .764 | .745 | .736 | .732 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (.950) | (.318) | 1.371 | (.654) | 1.355 | (1.085) |
| Total from Investment Operations | (.560) | .456 | 2.135 | .091 | 2.091 | (.353) |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.380) | (.756) | (.765) | (.746) | (.734) | (.731) |
| Distributions from Realized Capital Gains | — | — | — | (.035) | (.157) | (.116) |
| Total Distributions | (.380) | (.756) | (.765) | (.781) | (.891) | (.847) |
| Net Asset Value, End of Period | $22.84 | $23.78 | $24.08 | $22.71 | $23.40 | $22.20 |
| |
| Total Return2 | -2.38% | 1.99% | 9.57% | 0.37% | 9.60% | -1.62% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $1,110 | $1,014 | $700 | $423 | $239 | $55 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.07% | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 3.35% | 3.30% | 3.34% | 3.25% | 3.25% | 3.16% |
| Portfolio Turnover Rate 3 | 65% | 65% | 71% | 56% | 65% | 73% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
Signal Shares were renamed Admiral Shares in October 2013. Prior periods’ Financial Highlights are for the Signal class.
1 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.
79
| | | | | | |
| Intermediate-Term Corporate Bond Index Fund | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Institutional Shares | | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $29.38 | $29.75 | $28.06 | $28.92 | $27.44 | $28.93 |
| Investment Operations | | | | | | |
| Net Investment Income | . 4841 | .9621 | .949 | .931 | .919 | .913 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (1.172) | (.392) | 1.690 | (.816) | 1.671 | (1.347) |
| Total from Investment Operations | (.688) | .570 | 2.639 | .115 | 2.590 | (.434) |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.472) | (.940) | (.949) | (.932) | (.916) | (.913) |
| Distributions from Realized Capital Gains | — | — | — | (.043) | (.194) | (.143) |
| Total Distributions | (.472) | (.940) | (.949) | (.975) | (1.110) | (1.056) |
| Net Asset Value, End of Period | $28.22 | $29.38 | $29.75 | $28.06 | $28.92 | $27.44 |
| |
| Total Return2 | -2.37% | 2.01% | 9.58% | 0.37% | 9.62% | -1.61% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $646 | $572 | $387 | $338 | $307 | $164 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.05% | 0.05% | 0.05% | 0.07% | 0.09% | 0.09% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 3.37% | 3.32% | 3.36% | 3.28% | 3.28% | 3.19% |
| Portfolio Turnover Rate 3 | 65% | 65% | 71% | 56% | 65% | 73% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include 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.
80
Intermediate-Term Corporate Bond Index Fund
Notes to Financial Statements
Vanguard Intermediate-Term Corporate Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers three classes of shares: ETF Shares, Admiral Shares, and Institutional Shares. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker. Admiral Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The 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 six months ended February 28, 2018, the fund’s average investments in long and short futures contracts represented less than 1% and 0%, respectively, of net assets, based on the average of 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 for the period ended February 28, 2018, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
81
Intermediate-Term Corporate Bond Index Fund
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 February 28, 2018, 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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2018, the fund had contributed to Vanguard capital in the amount of $1,102,000, representing 0.01% of the fund’s net assets and 0.44% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
82
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 February 28, 2018, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| U.S. Government and Agency Obligations | — | 192,443 | — |
| Corporate Bonds | — | 20,203,463 | 24,483 |
| Temporary Cash Investments | 162,240 | — | — |
| Futures Contracts—Assets1 | — | — | — |
| Futures Contracts—Liabilities1 | (41) | — | — |
| Total | 162,199 | 20,395,906 | 24,483 |
| 1 Represents variation margin on the last day of the reporting period for futures contracts. |
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended February 28, 2018, the fund realized $8,066,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2017, the fund had available capital losses totaling $12,927,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2018; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
83
Intermediate-Term Corporate Bond Index Fund
At February 28, 2018, the cost of investment securities for tax purposes was $21,032,468,000. Net unrealized depreciation of investment securities for tax purposes was $449,839,000, consisting of unrealized gains of $27,531,000 on securities that had risen in value since their purchase and $477,370,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 28, 2018, the fund purchased $6,420,812,000 of investment securities and sold $3,376,659,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $3,468,009,000 and $3,321,478,000, respectively. Total purchases and sales include $3,200,394,000 and $339,952,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 28, 2018, such purchases and sales were $679,179,000 and $2,600,347,000, 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: | | | |
| | Six Months Ended | | Year Ended |
| | February 28, 2018 | August 31, 2017 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued1 | 3,286,674 | 37,612 | 6,950,937 | 80,003 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (346,754) | (4,000) | (287,292) | (3,300) |
| Net Increase (Decrease)—ETF Shares | 2,939,920 | 33,612 | 6,663,645 | 76,703 |
| Admiral Shares | | | | |
| Issued1 | 288,681 | 12,286 | 526,063 | 22,458 |
| Issued in Lieu of Cash Distributions | 14,681 | 628 | 22,355 | 953 |
| Redeemed | (161,993) | (6,925) | (229,804) | (9,850) |
| Net Increase (Decrease)—Admiral Shares | 141,369 | 5,989 | 318,614 | 13,561 |
| Institutional Shares | | | | |
| Issued1 | 120,073 | 4,113 | 224,066 | 7,736 |
| Issued in Lieu of Cash Distributions | 6,871 | 238 | 8,685 | 300 |
| Redeemed | (27,204) | (938) | (45,206) | (1,569) |
| Net Increase (Decrease)—Institutional Shares | 99,740 | 3,413 | 187,545 | 6,467 |
1 Includes purchase fees for fiscal 2018 and 2017 of $1,179,000 and $1,802,000, respectively (fund totals).
G. Management has determined that no material events or transactions occurred subsequent to February 28, 2018, that would require recognition or disclosure in these financial statements.
84
Long-Term Corporate Bond Index Fund
Fund Profile
As of February 28, 2018
| | | |
| 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 | 4.36% | 4.36% | 4.38% |
| | | |
| Financial Attributes | | |
| |
| | | Bloomberg | |
| | | Barclays | |
| | | U.S. 10+ | Bloomberg |
| | | Year | Barclays |
| | | Corporate | Aggregate |
| | Fund | Bond Index | FA Index |
| Number of Bonds | 1,781 | 1,750 | 9,791 |
| Yield to Maturity | | | |
| (before expenses) | 4.4% | 4.4% | 3.1% |
| Average Coupon | 5.0% | 5.1% | 3.0% |
| Average Duration | 13.9 years | 13.9 years | 6.2 years |
| Average Effective | | | |
| Maturity | 23.7 years | 23.5 years | 8.4 years |
| Short-Term | | | |
| Reserves | 0.9% | — | — |
| |
| Sector Diversification (% of portfolio) | |
| Finance | 17.1% |
| Industrial | 70.6 |
| Utilities | 12.0 |
| Other | 0.3 |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
| | |
| Volatility Measures | | |
| | Bloomberg | |
| | Barclays | |
| | U.S. 10+ | Bloomberg |
| | Year | Barclays |
| | Corporate | Aggregate |
| | Bond Index | FA Index |
| R-Squared | 0.99 | 0.72 |
| Beta | 1.02 | 2.29 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
| |
| Distribution by Effective Maturity | |
| (% of portfolio) | |
| Under 1 Year | 0.3% |
| 5 - 10 Years | 0.6 |
| 10 - 20 Years | 29.9 |
| 20 - 30 Years | 63.3 |
| Over 30 Years | 5.9 |
| |
| Distribution by Credit Quality (% of portfolio) |
| Aaa | 3.7% |
| Aa | 5.7 |
| A | 41.9 |
| Baa | 48.7 |
Credit-quality ratings are obtained from Barclays and are from Moody's, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating for each issue is shown. "Not Rated" is used to classify securities for which a rating is not available. For more information about these ratings, see the Glossary entry for Credit Quality.
Investment Focus
1 The expense ratios shown are from the prospectus dated December 21, 2017, and represent estimated costs for the current fiscal year. For the six months ended February 28, 2018, the annualized expense ratios were 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares.
85
Long-Term Corporate Bond Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
| | |
| Fiscal-Year Total Returns (%): November 19, 2009, Through February 28, 2018 | |
| | | Bloomberg |
| | | Barclays U.S. |
| | | 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 |
| 2018 | -1.48 | -1.55 |
| Note: For 2018, performance data reflect the six months ended February 28, 2018. | |
Average Annual Total Returns: Periods Ended December 31, 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 | | 11.78% | 5.41% | | | 8.05% |
| Net Asset Value | | 12.40 | 5.42 | | | 8.04 |
| Admiral Shares | 1/19/2010 | 12.43 | 5.43 | 4.91% | 3.18% | 8.09 |
| Fee-Adjusted Returns | | 11.31 | 5.22 | | | 7.95 |
| Institutional Shares | 11/19/2009 | 12.42 | 5.44 | 4.92 | 3.16 | 8.08 |
| Fee-Adjusted Returns | | 11.29 | 5.23 | | | 7.94 |
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.
86
Long-Term Corporate Bond Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 28, 2018
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 |
| Corporate Bonds | | | | | |
| Finance | | | | | |
| Banking | | | | | |
| 1 Bank of America Corp. | 3.946%–7.750% | 1/29/37–1/23/49 | 26,801 | 30,645 | 1.0% |
| Bank of America NA | 6.000% | 10/15/36 | 2,567 | 3,185 | 0.1% |
| Bank One Capital III | 8.750% | 9/1/30 | 468 | 656 | 0.0% |
| 1 Citigroup Inc. | 3.878%–8.125% | 7/25/28–4/24/48 | 26,856 | 31,203 | 1.1% |
| Goldman Sachs Capital I | 6.345% | 2/15/34 | 2,422 | 2,900 | 0.1% |
| Goldman Sachs Group Inc. | 6.750% | 10/1/37 | 10,410 | 13,130 | 0.5% |
| Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 5,422 | 6,866 | 0.2% |
| 1 Goldman Sachs Group | | | | | |
| Inc. | 3.814%– 6.450% | 4/23/29–10/21/45 | 24,579 | 26,165 | 0.9% |
| HSBC Holdings plc | 6.500% | 9/15/37 | 4,860 | 6,030 | 0.2% |
| 1 JPMorgan Chase & Co. | 3.882%– 6.400% | 5/15/38–1/23/49 | 39,292 | 42,549 | 1.4% |
| Morgan Stanley | 6.375% | 7/24/42 | 4,731 | 6,142 | 0.2% |
| Wachovia Corp. | 5.500%–7.500% | 4/15/35–10/15/35 | 3,233 | 3,820 | 0.1% |
| Wells Fargo & Co. | 3.900%–5.606% | 2/7/35–12/7/46 | 27,987 | 29,584 | 1.0% |
| Wells Fargo Bank NA | 5.850%– 6.600% | 8/26/36–1/15/38 | 5,096 | 6,469 | 0.2% |
| 1 Wells Fargo Capital X | 5.950% | 12/1/86 | 1,350 | 1,480 | 0.1% |
| 2 Banking—Other † | | | | 70,906 | 2.4% |
| Brokerage † | | | | 10,505 | 0.4% |
| Finance Companies | | | | | |
| GE Capital International | | | | | |
| Funding Co. Unlimited Co. | 4.418% | 11/15/35 | 21,322 | 20,877 | 0.7% |
| Finance Companies—Other † | | | | 641 | 0.0% |
| Insurance | | | | | |
| Berkshire Hathaway | | | | | |
| Finance Corp. | 4.300%–5.750% | 1/15/40–5/15/43 | 3,715 | 4,134 | 0.1% |
| Berkshire Hathaway Inc. | 4.500% | 2/11/43 | 1,906 | 2,063 | 0.1% |
| 2 Insurance—Other † | | | | 163,971 | 5.5% |
| Real Estate Investment Trusts † | | | | 20,963 | 0.7% |
| | | | | 504,884 | 17.0% |
87
| | | | | |
| Long-Term Corporate Bond Index Fund | | | | |
| |
| |
| |
| | | | Face | Market | Percentage |
| | | Maturity | Amount | Value • | of Net |
| | Coupon | Date | ($000) | ($000) | Assets |
| Industrial | | | | | |
| Basic Industry | | | | | |
| Lubrizol Corp. | 6.500% | 10/1/34 | 403 | 518 | 0.0% |
| Vale Overseas Ltd. | 6.875% | 11/21/36 | 5,283 | 6,353 | 0.2% |
| 2 Basic Industry—Other † | | | | 123,791 | 4.2% |
| Capital Goods | | | | | |
| General Electric Co. | 6.750% | 3/15/32 | 5,675 | 7,032 | 0.3% |
| General Electric Co. | 5.875% | 1/14/38 | 5,753 | 6,731 | 0.2% |
| General Electric Co. | 4.125%– 6.875% | 8/7/37–3/11/44 | 13,619 | 14,770 | 0.5% |
| Precision Castparts | | | | | |
| Corp. | 3.900%–4.375% | 6/15/35– 6/15/45 | 1,580 | 1,627 | 0.1% |
| United Technologies Corp. | 4.500% | 6/1/42 | 6,515 | 6,678 | 0.2% |
| 3 Capital Goods—Other † | | | | 113,377 | 3.8% |
| Communication | | | | | |
| AT&T Corp. | 8.250% | 11/15/31 | 972 | 1,285 | 0.0% |
| AT&T Inc. | 4.900% | 8/14/37 | 10,130 | 10,141 | 0.3% |
| AT&T Inc. | 5.150% | 2/14/50 | 9,590 | 9,588 | 0.3% |
| AT&T Inc. | 4.500% | 3/9/48 | 8,408 | 7,671 | 0.3% |
| AT&T Inc. | 5.250% | 3/1/37 | 7,159 | 7,420 | 0.3% |
| AT&T Inc. | 4.750% | 5/15/46 | 6,893 | 6,523 | 0.2% |
| 2 AT&T Inc. | 4.300% | 2/15/30 | 6,300 | 6,157 | 0.2% |
| 2 AT&T Inc. | 4.300%– 6.375% | 5/15/35–8/14/58 | 52,203 | 51,506 | 1.7% |
| British Telecommunications plc | 9.125% | 12/15/30 | 5,092 | 7,414 | 0.3% |
| Charter Communications | | | | | |
| Operating LLC / Charter | | | | | |
| Communications | | | | | |
| Operating Capital | 6.484% | 10/23/45 | 6,880 | 7,747 | 0.3% |
| Charter Communications | | | | | |
| Operating LLC / Charter | | | | | |
| Communications | | | | | |
| Operating Capital | 4.200%– 6.834% | 3/15/28–10/23/55 | 12,015 | 12,483 | 0.4% |
| Comcast Corp. | 3.200%–7.050% | 5/1/28–11/1/52 | 46,069 | 47,736 | 1.6% |
| Deutsche Telekom | | | | | |
| International Finance BV | 8.750% | 6/15/30 | 7,770 | 11,073 | 0.4% |
| NBCUniversal Media | | | | | |
| LLC | 4.450%– 6.400% | 4/30/40–1/15/43 | 4,840 | 5,694 | 0.2% |
| Orange SA | 9.000% | 3/1/31 | 4,610 | 6,798 | 0.2% |
| Time Warner Cable LLC | 4.500%–7.300% | 5/1/37–9/15/42 | 15,093 | 16,278 | 0.5% |
| Time Warner Entertainment | | | | | |
| Co. LP | 8.375% | 7/15/33 | 1,448 | 1,922 | 0.1% |
| Verizon Communications Inc. | 5.012% | 8/21/54 | 10,824 | 10,717 | 0.4% |
| Verizon Communications Inc. | 4.672% | 3/15/55 | 9,969 | 9,275 | 0.3% |
| Verizon Communications Inc. | 4.522% | 9/15/48 | 9,724 | 9,187 | 0.3% |
| Verizon Communications Inc. | 4.862% | 8/21/46 | 9,103 | 9,062 | 0.3% |
| Verizon Communications Inc. | 5.012% | 4/15/49 | 7,904 | 8,042 | 0.3% |
| Verizon Communications Inc. | 4.500% | 8/10/33 | 6,475 | 6,505 | 0.2% |
| Verizon Communications Inc. | 5.250% | 3/16/37 | 6,105 | 6,468 | 0.2% |
| Verizon Communications Inc. | 4.272% | 1/15/36 | 6,125 | 5,859 | 0.2% |
| Verizon Communications | | | | | |
| Inc. | 3.850%–5.500% | 11/1/34–3/16/47 | 19,686 | 19,222 | 0.6% |
| 2 Communication—Other † | | | | 129,596 | 4.4% |
| Consumer Cyclical | | | | | |
| 2 Amazon.com Inc. | 3.875% | 8/22/37 | 6,235 | 6,179 | 0.2% |
| 2 Amazon.com Inc. | 4.050% | 8/22/47 | 5,900 | 5,858 | 0.2% |
88
| | | | | |
| Long-Term Corporate Bond Index Fund | | | | |
| |
| |
| |
| | | | Face | Market | Percentage |
| | | Maturity | Amount | Value • | of Net |
| | Coupon | Date | ($000) | ($000) | Assets |
| Home Depot Inc. | 5.875% | 12/16/36 | 5,952 | 7,584 | 0.3% |
| Visa Inc. | 4.300% | 12/14/45 | 6,797 | 7,195 | 0.3% |
| 2 Consumer Cyclical—Other † | | | | 151,827 | 5.1% |
| Consumer Noncyclical | | | | | |
| Abbott Laboratories | 4.900% | 11/30/46 | 7,050 | 7,571 | 0.3% |
| Amgen Inc. | 4.663% | 6/15/51 | 6,457 | 6,513 | 0.2% |
| Anheuser-Busch InBev | | | | | |
| Finance Inc. | 4.900% | 2/1/46 | 20,587 | 21,985 | 0.8% |
| Anheuser-Busch InBev | | | | | |
| Finance Inc. | 4.700% | 2/1/36 | 11,527 | 12,111 | 0.4% |
| Anheuser-Busch InBev | | | | | |
| Finance Inc. | 4.000%–4.625% | 1/17/43–2/1/44 | 2,640 | 2,595 | 0.1% |
| Anheuser-Busch InBev | | | | | |
| Worldwide Inc. | 3.750%–8.200% | 6/15/35–10/6/48 | 13,096 | 14,589 | 0.5% |
| AstraZeneca plc | 6.450% | 9/15/37 | 4,653 | 5,961 | 0.2% |
| CVS Health Corp. | 5.125% | 7/20/45 | 6,653 | 6,935 | 0.2% |
| GlaxoSmithKline Capital Inc. | 6.375% | 5/15/38 | 5,005 | 6,636 | 0.2% |
| Medtronic Inc. | 4.625% | 3/15/45 | 8,588 | 9,289 | 0.3% |
| Medtronic Inc. | 4.375% | 3/15/35 | 6,252 | 6,594 | 0.2% |
| Pfizer Inc. | 7.200% | 3/15/39 | 4,662 | 6,752 | 0.2% |
| 2 Consumer Noncyclical—Other † | | | | 395,790 | 13.4% |
| Energy | | | | | |
| Baker Hughes a GE Co. LLC | 5.125% | 9/15/40 | 1,870 | 2,057 | 0.1% |
| Baker Hughes a GE Co. LLC / | | | | | |
| Baker Hughes Co-Obligor Inc. | 4.080% | 12/15/47 | 2,650 | 2,492 | 0.1% |
| ConocoPhillips | 6.500% | 2/1/39 | 5,460 | 7,109 | 0.2% |
| Kinder Morgan Energy | | | | | |
| Partners LP | 4.700%–7.750% | 3/15/31–9/1/44 | 16,445 | 18,278 | 0.6% |
| Kinder Morgan Inc. | 4.300%–7.800% | 3/1/28–2/15/46 | 10,533 | 11,199 | 0.4% |
| Shell International Finance BV | 6.375% | 12/15/38 | 5,661 | 7,463 | 0.3% |
| Shell International Finance BV | 4.375% | 5/11/45 | 5,528 | 5,816 | 0.2% |
| Tennessee Gas Pipeline | | | | | |
| Co. LLC | 7.000%–7.625% | 10/15/28–4/1/37 | 1,009 | 1,243 | 0.0% |
| Energy—Other † | | | | 290,453 | 9.8% |
| Other Industrial † | | | | 14,980 | 0.5% |
| Technology | | | | | |
| Apple Inc. | 4.650% | 2/23/46 | 7,373 | 8,042 | 0.3% |
| Apple Inc. | 3.850% | 5/4/43 | 6,227 | 6,059 | 0.2% |
| Apple Inc. | 3.450%–4.500% | 2/23/36–11/13/47 | 21,323 | 21,292 | 0.7% |
| 2 Intel Corp. | 3.734% | 12/8/47 | 7,013 | 6,708 | 0.2% |
| Microsoft Corp. | 3.700% | 8/8/46 | 8,671 | 8,431 | 0.3% |
| Microsoft Corp. | 4.250% | 2/6/47 | 5,525 | 5,897 | 0.2% |
| Microsoft Corp. | 3.450%–5.300% | 2/12/35–2/6/57 | 45,651 | 47,506 | 1.6% |
| Oracle Corp. | 3.250%– 6.500% | 5/15/30–5/15/55 | 38,908 | 41,286 | 1.4% |
| 2 Technology—Other † | | | | 60,540 | 2.0% |
| Transportation | | | | | |
| Burlington Northern | | | | | |
| Santa Fe LLC | 3.900%– 6.200% | 8/15/36– 6/15/48 | 21,591 | 23,366 | 0.8% |
| 2 Transportation—Other † | | | | 83,632 | 2.8% |
| | | | | 2,068,059 | 69.7% |
| Utilities | | | | | |
| Electric | | | | | |
| 2 Berkshire Hathaway | | | | | |
| Energy Co. | 3.250%– 6.125% | 4/15/28–7/15/48 | 10,995 | 12,645 | 0.4% |
89
| | | | | | |
| Long-Term Corporate Bond Index Fund | | | | |
| |
| |
| |
| | | | | Face | Market | Percentage |
| | | | Maturity | Amount | Value • | of Net |
| | | Coupon | Date | ($000) | ($000) | Assets |
| | Duke Energy Carolinas | | | | | |
| | LLC | 3.700%– 6.450% | 12/1/28–3/15/48 | 10,227 | 11,302 | 0.4% |
| | Duke Energy Corp. | 3.750%–4.800% | 12/15/45–8/15/47 | 5,930 | 5,583 | 0.2% |
| | Duke Energy Florida | | | | | |
| | LLC | 3.400%– 6.400% | 9/15/37–10/1/46 | 3,774 | 4,456 | 0.1% |
| 1 | Duke Energy Florida | | | | | |
| | Project Finance LLC | 2.538%–3.112% | 9/1/29–9/1/36 | 1,725 | 1,595 | 0.1% |
| | Duke Energy Indiana | | | | | |
| | LLC | 3.750%– 6.450% | 10/15/35–5/15/46 | 4,227 | 4,936 | 0.2% |
| | Duke Energy Ohio Inc. | 3.700% | 6/15/46 | 645 | 618 | 0.0% |
| | Duke Energy Progress | | | | | |
| | LLC | 3.600%– 6.300% | 4/1/38–9/15/47 | 7,956 | 8,023 | 0.3% |
| | MidAmerican Energy | | | | | |
| | Co. | 3.650%– 6.750% | 12/30/31–8/1/48 | 6,225 | 6,901 | 0.2% |
| | Nevada Power Co. | 6.650%– 6.750% | 4/1/36–7/1/37 | 1,549 | 2,064 | 0.1% |
| | Pacific Gas & Electric Co. | 6.050% | 3/1/34 | 6,584 | 7,688 | 0.3% |
| | PacifiCorp | 4.100%–7.700% | 11/15/31–2/1/42 | 6,082 | 7,570 | 0.2% |
| | Progress Energy Inc. | 6.000%–7.750% | 3/1/31–12/1/39 | 3,403 | 4,420 | 0.1% |
| 2,4 | Electric—Other † | | | | 240,682 | 8.1% |
| | Natural Gas | | | | | |
| | Piedmont Natural Gas | | | | | |
| | Co. Inc. | 3.640%–4.650% | 8/1/43–11/1/46 | 1,100 | 1,063 | 0.0% |
| | Natural Gas—Other † | | | | 26,156 | 0.9% |
| | Other Utility † | | | | 7,251 | 0.3% |
| | | | | | 352,953 | 11.9% |
| Total Corporate Bonds (Cost $2,953,471) | | | 2,925,896 | 98.6% |
| Taxable Municipal Bonds (Cost $7,640) † | | | 7,464 | 0.3% |
| |
| | | | | Shares | | |
| Temporary Cash Investment | | | | |
| Money Market Fund | | | | | |
| 5 | Vanguard Market Liquidity Fund | | | | |
| | (Cost $26,876) | 1.601% | | 268,784 | 26,875 | 0.9% |
| Total Investments (Cost $2,987,987) | | | 2,960,235 | 99.8% |
90
| | |
| Long-Term Corporate Bond Index Fund | | |
| |
| |
| |
| | | Percentage |
| | Amount | of Net |
| | ($000) | Assets |
| Other Assets and Liabilities | | |
| Other Assets | | |
| Investment in Vanguard | 169 | |
| Receivables for Investment Securities Sold | 3,999 | |
| Receivables for Accrued Income | 36,345 | |
| Receivables for Capital Shares Issued | 1,728 | |
| Variation Margin Receivable-Futures Contracts | 57 | |
| Other Assets | 93 | |
| Total Other Assets | 42,391 | 1.4% |
| Liabilities | | |
| Payables for Investment Securities Purchased | (34,600) | |
| Payables for Capital Shares Redeemed | (714) | |
| Payables for Distributions | (278) | |
| Payables to Vanguard | (624) | |
| Variation Margin Payable-Futures Contracts | (213) | |
| Other Liabilities | (114) | |
| Total Liabilities | (36,543) | (1.2%) |
| Net Assets | 2,966,083 | 100.0% |
| |
| |
| At February 28, 2018, net assets consisted of: | | |
| | | Amount |
| | | ($000) |
| Paid-in Capital | | 3,022,412 |
| Undistributed Net Investment Income | | 7,811 |
| Accumulated Net Realized Losses | | (36,328) |
| Unrealized Appreciation (Depreciation) | | |
| Investment Securities | | (27,752) |
| Futures Contracts | | (60) |
| Net Assets | | 2,966,083 |
| |
| |
| ETF Shares—Net Assets | | |
| Applicable to 24,104,289 outstanding $.001 par value shares of | | |
| beneficial interest (unlimited authorization) | | 2,188,394 |
| Net Asset Value Per Share—ETF Shares | | $90.79 |
91
| |
| Long-Term Corporate Bond Index Fund | |
| |
| |
| |
| | Amount |
| | ($000) |
| Admiral Shares—Net Assets | |
| Applicable to 7,937,259 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 192,957 |
| Net Asset Value Per Share—Admiral Shares | $24.31 |
| |
| Institutional Shares—Net Assets | |
| Applicable to 19,380,104 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 584,732 |
| Net Asset Value Per Share—Institutional Shares | $30.17 |
• See Note A in Notes to Financial Statements.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer,
represent 1% or less of net assets.
1 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments
and prepayments or the possibility of the issue being called.
2 Certain of the fund’s securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be
sold in transactions exempt from registration, normally to qualified institutional buyers. At February 28, 2018, the aggregate value
of these securities was $70,470,000, representing 2.4% of net assets.
3 Securities with a value of $686,000 have been segregated as initial margin for open futures contracts.
4 Certain of the fund’s securities are valued using significant unobservable inputs.
5 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown
is the 7-day yield.
| | | | |
| 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 | | | | |
| Ultra 10-Year U.S. Treasury Note | June 2018 | 54 | 6,915 | (3) |
| 30-Year U.S. Treasury Bond | June 2018 | 11 | 1,578 | — |
| | | | | (3) |
| |
| Short Futures Contracts | | | | |
| Ultra Long U. S. Treasury Bond | June 2018 | (84) | (13,094) | (57) |
| | | | | (60) |
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.
92
| |
| Long-Term Corporate Bond Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Six Months Ended |
| | February 28, 2018 |
| | ($000) |
| Investment Income | |
| Income | |
| Interest1 | 64,412 |
| Total Income | 64,412 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 60 |
| Management and Administrative—ETF Shares | 579 |
| Management and Administrative—Admiral Shares | 50 |
| Management and Administrative—Institutional Shares | 121 |
| Marketing and Distribution—ETF Shares | 71 |
| Marketing and Distribution—Admiral Shares | 7 |
| Marketing and Distribution—Institutional Shares | 6 |
| Custodian Fees | 20 |
| Shareholders’ Reports and Proxy—ETF Shares | 89 |
| Shareholders’ Reports and Proxy—Admiral Shares | 2 |
| Shareholders’ Reports and Proxy—Institutional Shares | — |
| Trustees’ Fees and Expenses | 1 |
| Total Expenses | 1,006 |
| Net Investment Income | 63,406 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 22,700 |
| Futures Contracts | (619) |
| Realized Net Gain (Loss) | 22,081 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | (132,418) |
| Futures Contracts | (106) |
| Change in Unrealized Appreciation (Depreciation) | (132,524) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (47,037) |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $109,000, ($7,000), and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
93
| | |
| Long-Term Corporate Bond Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Six Months Ended | Year Ended |
| | February 28, | August 31, |
| | 2018 | 2017 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 63,406 | 95,044 |
| Realized Net Gain (Loss) | 22,081 | 8,603 |
| Change in Unrealized Appreciation (Depreciation) | (132,524) | (37,094) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (47,037) | 66,553 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (47,112) | (68,989) |
| Admiral Shares | (3,810) | (4,937) |
| Institutional Shares | (11,871) | (18,938) |
| Realized Capital Gain | | |
| ETF Shares | — | — |
| Admiral Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (62,793) | (92,864) |
| Capital Share Transactions | | |
| ETF Shares | 171,297 | 623,715 |
| Admiral Shares | 39,607 | 70,782 |
| Institutional Shares | 78,513 | 150,313 |
| Net Increase (Decrease) from Capital Share Transactions | 289,417 | 844,810 |
| Total Increase (Decrease) | 179,587 | 818,499 |
| Net Assets | | |
| Beginning of Period | 2,786,496 | 1,967,997 |
| End of Period1 | 2,966,083 | 2,786,496 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $7,811,000 and $7,198,000.
See accompanying Notes, which are an integral part of the Financial Statements.
94
| | | | | | |
| Long-Term Corporate Bond Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| ETF Shares | | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $94.07 | $96.37 | $85.25 | $92.38 | $82.11 | $92.15 |
| Investment Operations | | | | | | |
| Net Investment Income | 1.9411 | 3.8971 | 3.905 | 3.910 | 3.964 | 4.018 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments 2 | (3.283) | (2.356) | 11.127 | (7.127) | 9.937 | (9.816) |
| Total from Investment Operations | (1.342) | 1.541 | 15.032 | (3.217) | 13.901 | (5.798) |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (1.938) | (3.841) | (3.912) | (3.913) | (3.631) | (4.018) |
| Distributions from Realized Capital Gains | — | — | — | — | — | (.224) |
| Total Distributions | (1.938) | (3.841) | (3.912) | (3.913) | (3.631) | (4.242) |
| Net Asset Value, End of Period | $90.79 | $94.07 | $96.37 | $85.25 | $92.38 | $82.11 |
| |
| Total Return | -1.48% | 1.81% | 18.21% | -3.64% | 17.35% | -6.55% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $2,188 | $2,098 | $1,494 | $972 | $878 | $624 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.07% | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 4.17% | 4.27% | 4.46% | 4.37% | 4.63% | 4.47% |
| Portfolio Turnover Rate 3 | 51% | 56% | 59% | 64% | 54% | 57% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Includes increases from purchase fees of $.05, $.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.
95
| | | | | | |
| Long-Term Corporate Bond Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Admiral Shares | | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $25.18 | $25.79 | $22.80 | $24.71 | $22.04 | $24.74 |
| Investment Operations | �� | | | | | |
| Net Investment Income | . 5221 | 1.0471 | 1.047 | 1.048 | 1.066 | 1.078 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments 2 | (.879) | (.625) | 2.991 | (1.911) | 2.669 | (2.640) |
| Total from Investment Operations | (.357) | .422 | 4.038 | (.863) | 3.735 | (1.562) |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.513) | (1.032) | (1.048) | (1.047) | (1.065) | (1.078) |
| Distributions from Realized Capital Gains | — | — | — | — | — | (.060) |
| Total Distributions | (.513) | (1.032) | (1.048) | (1.047) | (1.065) | (1.138) |
| Net Asset Value, End of Period | $24.31 | $25.18 | $25.79 | $22.80 | $24.71 | $22.04 |
| |
| Total Return 3 | -1.46% | 1.84% | 18.21% | -3.66% | 17.37% | -6.57% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $193 | $161 | $90 | $67 | $44 | $18 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.07% | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 4.17% | 4.27% | 4.46% | 4.37% | 4.63% | 4.47% |
| Portfolio Turnover Rate 4 | 51% | 56% | 59% | 64% | 54% | 57% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
Signal Shares were renamed Admiral Shares in October 2013. Prior periods’ Financial Highlights are for the Signal class.
1 Calculated based on average shares outstanding.
2 Includes increases from purchase fees of $.01, $.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.
96
| | | | | | |
| Long-Term Corporate Bond Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Institutional Shares | | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $31.25 | $32.02 | $28.31 | $30.68 | $27.37 | $30.71 |
| Investment Operations | | | | | | |
| Net Investment Income | . 6501 | 1.3061 | 1.306 | 1.310 | 1.331 | 1.347 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments 2 | (1.090) | (.790) | 3.710 | (2.370) | 3.308 | (3.265) |
| Total from Investment Operations | (.440) | .516 | 5.016 | (1.060) | 4.639 | (1.918) |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.640) | (1.286) | (1.306) | (1.310) | (1.329) | (1.347) |
| Distributions from Realized Capital Gains | — | — | — | — | — | (.075) |
| Total Distributions | (.640) | (1.286) | (1.306) | (1.310) | (1.329) | (1.422) |
| Net Asset Value, End of Period | $30.17 | $31.25 | $32.02 | $28.31 | $30.68 | $27.37 |
| |
| Total Return3 | -1.45% | 1.81% | 18.22% | -3.62% | 17.38% | -6.50% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $585 | $528 | $384 | $296 | $250 | $206 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.05% | 0.05% | 0.05% | 0.07% | 0.09% | 0.09% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 4.19% | 4.29% | 4.48% | 4.40% | 4.66% | 4.50% |
| Portfolio Turnover Rate 4 | 51% | 56% | 59% | 64% | 54% | 57% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Includes increases from purchase fees of $.02, $.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.
97
Long-Term Corporate Bond Index Fund
Notes to Financial Statements
Vanguard Long-Term Corporate Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers three classes of shares: ETF Shares, Admiral Shares, and Institutional Shares. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker. Admiral Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The 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 six months ended February 28, 2018, the fund’s average investments in long and short futures contracts each represented less than 1% of net assets, 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 for the period ended February 28, 2018, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
98
Long-Term Corporate Bond Index Fund
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 February 28, 2018, 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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2018, the fund had contributed to Vanguard capital in the amount of $169,000, 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.
99
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 February 28, 2018, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Corporate Bonds | — | 2,924,898 | 998 |
| Taxable Municipal Bonds | — | 7,464 | — |
| Temporary Cash Investments | 26,875 | — | — |
| Futures Contracts—Assets1 | 57 | — | — |
| Futures Contracts—Liabilities1 | (213) | — | — |
| Total | 26,719 | 2,932,362 | 998 |
| 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 six months ended February 28, 2018, the fund realized $21,202,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2017, the fund had available capital losses totaling $36,018,000 that may be carried forward indefinitely to offset future capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2018; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
100
Long-Term Corporate Bond Index Fund
At February 28, 2018, the cost of investment securities for tax purposes was $2,989,130,000. Net unrealized depreciation of investment securities for tax purposes was $28,895,000, consisting of unrealized gains of $30,066,000 on securities that had risen in value since their purchase and $58,961,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 28, 2018, the fund purchased $1,066,150,000 of investment securities and sold $768,081,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $351,387,000 and $351,389,000, respectively. Total purchases and sales include $518,105,000 and $356,947,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 28, 2018, such purchases and sales were $136,260,000 and $285,863,000, 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: | | | |
| | Six Months Ended | | Year Ended |
| | February 28, 2018 | August 31, 2017 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued1 | 536,223 | 5,700 | 1,037,964 | 11,403 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (364,926) | (3,900) | (414,249) | (4,600) |
| Net Increase (Decrease)—ETF Shares | 171,297 | 1,800 | 623,715 | 6,803 |
| Admiral Shares | | | | |
| Issued1 | 68,695 | 2,720 | 97,733 | 4,001 |
| Issued in Lieu of Cash Distributions | 2,956 | 118 | 3,760 | 154 |
| Redeemed | (32,044) | (1,277) | (30,711) | (1,269) |
| Net Increase (Decrease)—Admiral Shares | 39,607 | 1,561 | 70,782 | 2,886 |
| Institutional Shares | | | | |
| Issued1 | 93,049 | 2,949 | 163,296 | 5,330 |
| Issued in Lieu of Cash Distributions | 11,014 | 354 | 18,070 | 595 |
| Redeemed | (25,550) | (809) | (31,053) | (1,034) |
| Net Increase (Decrease)—Institutional Shares | 78,513 | 2,494 | 150,313 | 4,891 |
1 Includes purchase fees for fiscal 2018 and 2017 of $1,781,000 and $2,617,000, respectively (fund totals).
G. Management has determined that no material events or transactions occurred subsequent to February 28, 2018, that would require recognition or disclosure in these financial statements.
101
Mortgage-Backed Securities Index Fund
Fund Profile
As of February 28, 2018
| | | |
| 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 | 2.46% | 2.46% | 2.48% |
| | | |
| Financial Attributes | | |
| |
| | | Bloomberg | |
| | | Barclays | Bloomberg |
| | | U.S. MBS | Barclays |
| | | Float Adj | Aggregate |
| | Fund | Index | FA Index |
| Number of Bonds | 5562 | 308 | 9,791 |
| Yield to Maturity | | | |
| (before expenses) | 3.3% | 3.4% | 3.1% |
| Average Coupon | 3.6% | 3.6% | 3.0% |
| Average Duration | 5.1 years | 5.2 years | 6.2 years |
| Average Effective | | | |
| Maturity | 7.4 years | 7.5 years | 8.4 years |
| Short-Term | | | |
| Reserves | 10.2% | — | — |
| |
| Sector Diversification (% of portfolio) | |
| Government Mortgage-Backed | 100.0% |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
| | |
| Volatility Measures | | |
| | Bloomberg | |
| | Barclays | Bloomberg |
| | U.S. MBS | Barclays |
| | Float Adj | Aggregate |
| | Index | FA Index |
| R-Squared | 0.99 | 0.86 |
| Beta | 1.05 | 0.65 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
| |
| Distribution by Effective Maturity | |
| (% of portfolio) | |
| Under 1 Year | 1.2% |
| 1 - 3 Years | 1.4 |
| 3 - 5 Years | 10.0 |
| 5 - 10 Years | 86.5 |
| 10 - 20 Years | 0.9 |
| |
| 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.
| |
| Distribution by Coupon (% of portfolio) | |
| 0% - 5.0% | 96.9% |
| 5.0% - 5.5% | 1.8 |
| 5.5% - 6.0% | 1.1 |
| 6.0% - 6.5% | 0.2 |
1 The expense ratios shown are from the prospectus dated December 21, 2017, and represent estimated costs for the current fiscal year.
For the six months ended February 28, 2018, the annualized expense ratios were 0.07% for ETF Shares, 0.07% for Admiral Shares, and
0.05% for Institutional Shares.
2 Issues are mortgage pools grouped by coupon.
102
Mortgage-Backed Securities Index Fund
Investment Focus
103
Mortgage-Backed Securities Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
| | |
| Fiscal-Year Total Returns (%): November 19, 2009, Through February 28, 2018 | |
| | | Bloomberg |
| | | Barclays U.S. |
| | | 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 |
| 2018 | -1.88 | -1.83 |
| Note: For 2018, performance data reflect the six months ended February 28, 2018. | |
Average Annual Total Returns: Periods Ended December 31, 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 | | 2.44% | 1.93% | | | 2.78% |
| Net Asset Value | | 2.37 | 1.93 | | | 2.78 |
| Admiral Shares | 12/3/2009 | 2.32 | 1.92 | 1.73% | 1.03% | 2.76 |
| Institutional Shares | 10/31/2013 | 2.38 | — | 1.82 | 0.59 | 2.41 |
See Financial Highlights for dividend and capital gains information.
104
Mortgage-Backed Securities Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2018
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 (0.0%) | | | | |
| | United States Treasury Note/Bond | 2.375% | 1/31/23 | 1,000 | 987 |
| |
| Conventional Mortgage-Backed Securities (99.3%) | | | |
| 1,2 | Fannie Mae Pool | 2.000% | 11/1/27–11/1/31 | 13,780 | 13,112 |
| 1,2 | Fannie Mae Pool | 2.500% | 11/1/26–10/1/46 | 170,283 | 166,199 |
| 1,2,3 | Fannie Mae Pool | 3.000% | 11/1/25–3/1/48 | 608,537 | 596,829 |
| 1,2,3 | Fannie Mae Pool | 3.500% | 10/1/20–4/1/48 | 720,401 | 722,354 |
| 1,2,3 | Fannie Mae Pool | 4.000% | 7/1/18–4/1/48 | 468,300 | 481,352 |
| 1,2,3 | Fannie Mae Pool | 4.500% | 4/1/18–4/1/48 | 177,958 | 187,330 |
| 1,2 | Fannie Mae Pool | 5.000% | 3/1/18–3/1/44 | 61,637 | 66,370 |
| 1,2 | Fannie Mae Pool | 5.500% | 12/1/18–2/1/42 | 48,384 | 53,043 |
| 1,2 | Fannie Mae Pool | 6.000% | 12/1/20–5/1/41 | 32,456 | 36,201 |
| 1,2 | Fannie Mae Pool | 6.500% | 10/1/21–10/1/39 | 7,835 | 8,727 |
| 1,2 | Fannie Mae Pool | 7.000% | 12/1/22–10/1/37 | 680 | 767 |
| 1,2 | Fannie Mae Pool | 7.500% | 11/1/22 | 4 | 4 |
| 1,2 | Freddie Mac Gold Pool | 2.000% | 1/1/28–12/1/31 | 8,216 | 7,799 |
| 1,2 | Freddie Mac Gold Pool | 2.500% | 8/1/22–10/1/46 | 127,388 | 124,537 |
| 1,2,3,4 Freddie Mac Gold Pool | 3.000% | 1/1/26–3/1/48 | 429,880 | 420,879 |
| 1,2,3 | Freddie Mac Gold Pool | 3.500% | 9/1/25–4/1/48 | 468,207 | 469,556 |
| 1,2,3 | Freddie Mac Gold Pool | 4.000% | 7/1/18–4/1/48 | 273,662 | 281,392 |
| 1,2,3 | Freddie Mac Gold Pool | 4.500% | 4/1/18–4/1/48 | 100,919 | 106,149 |
| 1,2 | Freddie Mac Gold Pool | 5.000% | 3/1/18–3/1/42 | 38,250 | 41,235 |
| 1,2 | Freddie Mac Gold Pool | 5.500% | 4/1/21– 6/1/41 | 33,340 | 36,512 |
| 1,2 | Freddie Mac Gold Pool | 6.000% | 1/1/24–5/1/40 | 19,110 | 21,369 |
| 1,2 | Freddie Mac Gold Pool | 6.500% | 10/1/28–9/1/39 | 3,341 | 3,771 |
| 1,2 | Freddie Mac Gold Pool | 7.000% | 7/1/28–12/1/38 | 274 | 312 |
| 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 | 22,519 | 22,164 |
| 1,3 | Ginnie Mae I Pool | 3.500% | 2/15/26–3/1/48 | 26,083 | 26,357 |
| 1,3 | Ginnie Mae I Pool | 4.000% | 7/15/24–3/1/48 | 39,130 | 40,392 |
| 1,3 | Ginnie Mae I Pool | 4.500% | 9/15/18–3/1/48 | 39,893 | 41,648 |
| 1 | Ginnie Mae I Pool | 5.000% | 5/15/18–4/15/41 | 21,268 | 22,573 |
| 1 | Ginnie Mae I Pool | 5.500% | 10/15/32–3/15/40 | 9,362 | 10,258 |
| 1 | Ginnie Mae I Pool | 6.000% | 4/15/28–5/15/41 | 3,984 | 4,457 |
| 1 | Ginnie Mae I Pool | 6.500% | 5/15/24–1/15/39 | 166 | 190 |
| 1 | Ginnie Mae I Pool | 7.000% | 10/15/27 | 5 | 5 |
| 1 | Ginnie Mae II Pool | 2.500% | 6/20/27–12/20/46 | 29,364 | 28,180 |
105
| | | | | |
| Mortgage-Backed Securities Index Fund | | | | |
| |
| |
| |
| | | | | Face | Market |
| | | | Maturity | Amount | Value • |
| | | Coupon | Date | ($000) | ($000) |
| 1,3,4 Ginnie Mae II Pool | 3.000% | 10/20/26–4/1/48 | 419,013 | 411,155 |
| 1,3 | Ginnie Mae II Pool | 3.500% | 12/20/25–4/1/48 | 648,212 | 654,096 |
| 1,3 | Ginnie Mae II Pool | 4.000% | 9/20/25–4/1/48 | 293,528 | 302,211 |
| 1,3 | Ginnie Mae II Pool | 4.500% | 4/20/18–4/1/48 | 108,788 | 114,317 |
| 1 | Ginnie Mae II Pool | 5.000% | 6/20/33–3/20/46 | 36,054 | 38,556 |
| 1 | Ginnie Mae II Pool | 5.500% | 11/20/33–5/20/45 | 12,852 | 13,820 |
| 1 | Ginnie Mae II Pool | 6.000% | 3/20/31–9/20/41 | 6,034 | 6,648 |
| 1 | Ginnie Mae II Pool | 6.500% | 10/20/28–9/20/40 | 460 | 514 |
| 1 | Ginnie Mae II Pool | 7.000% | 4/20/38–11/20/38 | 86 | 99 |
| | | | | | 5,583,440 |
| Nonconventional Mortgage-Backed Securities (0.1%) | | | |
| 1,2 | Fannie Mae Pool | 2.124% | 3/1/43 | 493 | 489 |
| 1,2 | Fannie Mae Pool | 2.179% | 6/1/43 | 297 | 296 |
| 1,2 | Fannie Mae Pool | 2.266% | 7/1/43 | 895 | 872 |
| 1,2 | Fannie Mae Pool | 2.394% | 10/1/42 | 341 | 339 |
| 1,2,5 Fannie Mae Pool | 3.051% | 12/1/41 | 93 | 95 |
| 1,2,5 Fannie Mae Pool | 3.060% | 9/1/37 | 27 | 28 |
| 1,2 | Fannie Mae Pool | 3.344% | 8/1/42 | 126 | 126 |
| 1,2,5 Fannie Mae Pool | 3.423% | 10/1/37 | 92 | 95 |
| 1,2,5 Fannie Mae Pool | 3.440% | 10/1/39–9/1/42 | 505 | 525 |
| 1,2,5 Fannie Mae Pool | 3.447% | 6/1/42 | 970 | 1,007 |
| 1,2,5 Fannie Mae Pool | 3.450% | 12/1/40 | 168 | 176 |
| 1,2,6 Fannie Mae Pool | 3.480% | 5/1/42 | 78 | 81 |
| 1,2,5 Fannie Mae Pool | 3.481% | 4/1/37 | 8 | 8 |
| 1,2,5 Fannie Mae Pool | 3.555% | 11/1/41 | 86 | 92 |
| 1,2,5 Fannie Mae Pool | 3.556% | 12/1/39–3/1/42 | 264 | 275 |
| 1,2,5 Fannie Mae Pool | 3.560% | 10/1/40–12/1/40 | 19 | 20 |
| 1,2,5 Fannie Mae Pool | 3.563% | 11/1/41 | 27 | 29 |
| 1,2,5 Fannie Mae Pool | 3.565% | 11/1/40–12/1/40 | 17 | 18 |
| 1,2,5 Fannie Mae Pool | 3.566% | 5/1/42 | 35 | 37 |
| 1,2,5 Fannie Mae Pool | 3.567% | 12/1/41 | 94 | 99 |
| 1,2,5 Fannie Mae Pool | 3.574% | 9/1/40 | 195 | 205 |
| 1,2,6 Fannie Mae Pool | 3.597% | 8/1/39 | 51 | 52 |
| 1,2,5 Fannie Mae Pool | 3.600% | 1/1/42 | 185 | 193 |
| 1,2,5 Fannie Mae Pool | 3.601% | 3/1/41 | 159 | 166 |
| 1,2 | Fannie Mae Pool | 3.615% | 4/1/41 | 54 | 54 |
| 1,2,5 Fannie Mae Pool | 3.622% | 2/1/41 | 4 | 4 |
| 1,2,5 Fannie Mae Pool | 3.625% | 11/1/39 | 21 | 21 |
| 1,2,5 Fannie Mae Pool | 3.632% | 5/1/41 | 43 | 45 |
| 1,2,5 Fannie Mae Pool | 3.638% | 5/1/40 | 3 | 3 |
| 1,2,5 Fannie Mae Pool | 3.645% | 1/1/40 | 3 | 3 |
| 1,2,6 Fannie Mae Pool | 3.651% | 2/1/42 | 144 | 153 |
| 1,2,5 Fannie Mae Pool | 3.627% | 3/1/38 | 3 | 3 |
| 1,2 | Freddie Mac Non Gold Pool | 2.532% | 11/1/43 | 372 | 381 |
| 1,2,5 Freddie Mac Non Gold Pool | 3.410% | 10/1/37 | 11 | 11 |
| 1,2,5 Freddie Mac Non Gold Pool | 3.473% | 2/1/37 | 17 | 17 |
| 1,2,5 Freddie Mac Non Gold Pool | 3.495% | 12/1/40 | 24 | 24 |
| 1,2,5 Freddie Mac Non Gold Pool | 3.604% | 12/1/39 | 17 | 18 |
| 1,2,5 Freddie Mac Non Gold Pool | 3.639% | 2/1/42 | 31 | 32 |
| 1,2,5 Freddie Mac Non Gold Pool | 3.649% | 9/1/40 | 52 | 55 |
| 1,2,5 Freddie Mac Non Gold Pool | 3.660% | 2/1/41 | 5 | 5 |
| 1,2,5 Freddie Mac Non Gold Pool | 3.668% | 2/1/41 | 121 | 128 |
| 1,2,5 Freddie Mac Non Gold Pool | 3.686% | 6/1/37 | 185 | 195 |
| 1,2,5 Freddie Mac Non Gold Pool | 3.694% | 6/1/41 | 67 | 69 |
106
| | | | |
| Mortgage-Backed Securities Index Fund | | | | |
| |
| |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value • |
| | Coupon | Date | ($000) | ($000) |
| 1,2,5 Freddie Mac Non Gold Pool | 3.706% | 5/1/40 | 2 | 2 |
| 1,2,5 Freddie Mac Non Gold Pool | 3.708% | 6/1/40 | 35 | 37 |
| 1,2,5 Freddie Mac Non Gold Pool | 3.723% | 6/1/40 | 57 | 60 |
| 1,2 Freddie Mac Non Gold Pool | 4.990% | 3/1/38 | 16 | 17 |
| 1,7 Ginnie Mae II Pool | 2.375% | 1/20/41–2/20/41 | 470 | 487 |
| 1,7 Ginnie Mae II Pool | 2.625% | 4/20/41 | 6 | 6 |
| 1,7 Ginnie Mae II Pool | 2.750% | 7/20/41–8/20/41 | 117 | 121 |
| 1,7 Ginnie Mae II Pool | 3.125% | 11/20/40–12/20/42 | 488 | 501 |
| 1,7 Ginnie Mae II Pool | 3.625% | 11/20/40 | 12 | 12 |
| | | | | 7,787 |
| Total U.S. Government and Agency Obligations (Cost $5,751,779) | | 5,592,214 |
| |
| | | | Shares | |
| Temporary Cash Investment (11.3%) | | | | |
| Money Market Fund (11.3%) | | | | |
| 8 Vanguard Market Liquidity Fund | | | | |
| (Cost $634,535) | 1.601% | | 6,345,272 | 634,464 |
| Total Investments (110.7%) (Cost $6,386,314) | | | | 6,226,678 |
| Other Assets and Liabilities (-10.7%) | | | | |
| Other Assets | | | | 179,335 |
| Liabilities | | | | (782,918) |
| | | | | (603,583) |
| Net Assets (100%) | | | | 5,623,095 |
| |
| | | | | Amount |
| | | | | ($000) |
| Statement of Assets and Liabilities | | | | |
| Assets | | | | |
| Investments in Securities, at Value | | | | |
| Unaffiliated Issuers | | | | 5,590,407 |
| Collateral Pledged for TBA Transactions | | | | 1,807 |
| Total Unaffiliated Issuers | | | | 5,592,214 |
| Affiliated Vanguard Funds | | | | 634,464 |
| Total Investments in Securities | | | | 6,226,678 |
| Investment in Vanguard | | | | 293 |
| Receivables for Investment Securities Sold | | | | 156,867 |
| Receivables for Accrued Income | | | | 16,546 |
| Receivables for Capital Shares Issued | | | | 5,372 |
| Other Assets | | | | 257 |
| Total Assets | | | | 6,406,013 |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | | 781,105 |
| Payables for Capital Shares Redeemed | | | | 502 |
| Payables for Distributions | | | | 506 |
| Payables to Vanguard | | | | 805 |
| Total Liabilities | | | | 782,918 |
| Net Assets | | | | 5,623,095 |
107
| |
| Mortgage-Backed Securities Index Fund | |
| |
| |
| At February 28, 2018, net assets consisted of: | |
| | Amount |
| | ($000) |
| Paid-in Capital | 5,787,129 |
| Undistributed Net Investment Income | 10,265 |
| Accumulated Net Realized Losses | (14,663) |
| Unrealized Appreciation (Depreciation) | (159,636) |
| Net Assets | 5,623,095 |
| |
| ETF Shares—Net Assets | |
| Applicable to 97,151,190 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 4,995,408 |
| Net Asset Value Per Share—ETF Shares | $51.42 |
| |
| Admiral Shares—Net Assets | |
| Applicable to 27,640,493 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 567,589 |
| Net Asset Value Per Share—Admiral Shares | $20.53 |
| |
| Institutional Shares—Net Assets | |
| Applicable to 2,159,810 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 60,098 |
| Net Asset Value Per Share—Institutional Shares | $27.83 |
• 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 February 28,
2018.
4 Securities with a value of $1,807,000 have been segregated as collateral for certain open To Be Announced (TBA) transactions.
5 Adjustable-rate security based upon 12-month USD LIBOR plus spread.
6 Adjustable-rate security based upon 6-month USD LIBOR plus spread.
7 Adjustable-rate security based upon one-year Constant Maturity Treasury yield plus spread.
8 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.
108
| |
| Mortgage-Backed Securities Index Fund | |
| |
| |
| Statement of Operations | |
| |
| | Six Months Ended |
| | February 28, 2018 |
| | ($000) |
| Investment Income | |
| Income | |
| Interest1 | 63,486 |
| Total Income | 63,486 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 104 |
| Management and Administrative—ETF Shares | 842 |
| Management and Administrative—Admiral Shares | 122 |
| Management and Administrative—Institutional Shares | 11 |
| Marketing and Distribution—ETF Shares | 143 |
| Marketing and Distribution—Admiral Shares | 21 |
| Marketing and Distribution—Institutional Shares | — |
| Custodian Fees | 69 |
| Shareholders’ Reports and Proxy—ETF Shares | 483 |
| Shareholders’ Reports and Proxy—Admiral Shares | 31 |
| Shareholders’ Reports and Proxy—Institutional Shares | — |
| Trustees’ Fees and Expenses | 2 |
| Total Expenses | 1,828 |
| Net Investment Income | 61,658 |
| Realized Net Gain (Loss) on Investment Securities Sold1 | (11,321) |
| Change in Unrealized Appreciation (Depreciation) of Investment Securities1 | (154,889) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (104,552) |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $4,990,000, ($54,000), and ($168,000), respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
109
| | |
| Mortgage-Backed Securities Index Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Six Months Ended | Year Ended |
| | February 28, | August 31, |
| | 2018 | 2017 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 61,658 | 81,386 |
| Realized Net Gain (Loss) | (11,321) | (3,034) |
| Change in Unrealized Appreciation (Depreciation) | (154,889) | (33,643) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (104,552) | 44,709 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (52,431) | (66,407) |
| Admiral Shares | (6,302) | (10,261) |
| Institutional Shares | (615) | (951) |
| Realized Capital Gain1 | | |
| ETF Shares | — | (9,143) |
| Admiral Shares | — | (1,699) |
| Institutional Shares | — | (139) |
| Total Distributions | (59,348) | (88,600) |
| Capital Share Transactions | | |
| ETF Shares | 888,281 | 1,449,272 |
| Admiral Shares | 58,091 | (18,274) |
| Institutional Shares | 9,786 | 6,068 |
| Net Increase (Decrease) from Capital Share Transactions | 956,158 | 1,437,066 |
| Total Increase (Decrease) | 792,258 | 1,393,175 |
| Net Assets | | |
| Beginning of Period | 4,830,837 | 3,437,662 |
| End of Period2 | 5,623,095 | 4,830,837 |
1 Includes fiscal 2018 and 2017 short-term gain distributions totaling $0 and $10,882,000, 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 $10,265,000 and $7,955,000.
See accompanying Notes, which are an integral part of the Financial Statements.
110
| | | | | | |
| Mortgage-Backed Securities Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| ETF Shares | | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $53.00 | $53.79 | $53.05 | $52.65 | $50.85 | $52.63 |
| Investment Operations | | | | | | |
| Net Investment Income | . 6111 | 1.0591 | .967 | .748 | .887 | .292 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (1.597) | (.682) | .968 | .554 | 1.741 | (1.524) |
| Total from Investment Operations | (.986) | .377 | 1.935 | 1.302 | 2.628 | (1.232) |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.594) | (1.004) | (.955) | (.741) | (.828) | (.294) |
| Distributions from Realized Capital Gains | — | (.163) | (.240) | (.161) | — | (.254) |
| Total Distributions | (.594) | (1.167) | (1.195) | (.902) | (.828) | (.548) |
| Net Asset Value, End of Period | $51.42 | $53.00 | $53.79 | $53.05 | $52.65 | $50.85 |
| |
| Total Return | -1.88% | 0.74% | 3.70% | 2.49% | 5.21% | -2.36% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $4,995 | $4,252 | $2,837 | $1,451 | $542 | $417 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.07% | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 2.35% | 2.00% | 1.85% | 1.43% | 1.72% | 0.57% |
| Portfolio Turnover Rate2 | 306% | 339% | 380% | 713% | 514% | 840% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Includes 103%, 133%, 175%, 331%, 294%, and 371% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
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| | | | | | |
| Mortgage-Backed Securities Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Admiral Shares | | | | | | |
| | Six Months | | | | | |
| | Ended | | | | | |
| For a Share Outstanding | February 28, | | | Year Ended August 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $21.17 | $21.49 | $21.20 | $21.05 | $20.35 | $21.06 |
| Investment Operations | | | | | | |
| Net Investment Income | . 2441 | .4131 | .388 | .298 | .356 | .118 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (.647) | (.258) | .387 | .214 | .699 | (.608) |
| Total from Investment Operations | (.403) | .155 | .775 | .512 | 1.055 | (.490) |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.237) | (.410) | (.389) | (.297) | (.355) | (.118) |
| Distributions from Realized Capital Gains | — | (.065) | (.096) | (.065) | — | (.102) |
| Total Distributions | (.237) | (.475) | (.485) | (.362) | (.355) | (.220) |
| Net Asset Value, End of Period | $20.53 | $21.17 | $21.49 | $21.20 | $21.05 | $20.35 |
| |
| Total Return2 | -1.91% | 0.76% | 3.70% | 2.44% | 5.22% | -2.35% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $568 | $527 | $554 | $424 | $305 | $295 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.07% | 0.07% | 0.07% | 0.10% | 0.12% | 0.12% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 2.35% | 2.00% | 1.85% | 1.43% | 1.72% | 0.57% |
| Portfolio Turnover Rate 3 | 306% | 339% | 380% | 713% | 514% | 840% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
Signal Shares were renamed Admiral Shares in October 2013. Prior periods’ Financial Highlights are for the Signal class.
1 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 103%, 133%, 175%, 331%, 294%, and 371% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
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| | | | | | |
| Mortgage-Backed Securities Index Fund | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Institutional Shares | | | | | | |
| | Six Months | | | | Oct. 31, | Sept. 1, |
| | Ended | | | | 20132 to | 2012 to |
| For a Share Outstanding | February 28, | Year Ended August 31, | Aug. 31, | Jan. 22, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | 20131 |
| Net Asset Value, Beginning of Period | $28.69 | $29.12 | $28.73 | $28.52 | $28.04 | $28.34 |
| Investment Operations | | | | | | |
| Net Investment Income | . 334 3 | .5713 | .532 | .412 | .390 | .042 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | (.870) | (.353) | .522 | .295 | .504 | (.146) |
| Total from Investment Operations | (.536) | .218 | 1.054 | .707 | .894 | (.104) |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.324) | (.560) | (.534) | (.410) | (.414) | (.049) |
| Distributions from Realized Capital Gains | — | (.088) | (.130) | (.087) | — | (.137) |
| Total Distributions | (.324) | (.648) | (.664) | (.497) | (.414) | (.186) |
| Net Asset Value, End of Period | $27.83 | $28.69 | $29.12 | $28.73 | $28.52 | $28.051 |
| |
| Total Return | -1.88% | 0.79% | 3.72% | 2.49% | 3.22% | -0.37% |
| |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $60 | $52 | $47 | $44 | $109 | $0 |
| Ratio of Total Expenses to | | | | | | |
| Average Net Assets | 0.05% | 0.05% | 0.05% | 0.07% | 0.09%4 | 0.09% 4 |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 2.37% | 2.02% | 1.87% | 1.46% | 1.75%4 | 0.35%4 |
| Portfolio Turnover Rate 5 | 306% | 339% | 380% | 713% | 514% | 840% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
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 Annualized.
5 Includes 103%, 133%, 175%, 331%, 294%, and 371% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
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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 counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.
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.
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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 for the period ended February 28, 2018, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
5. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 28, 2018, or at any time during the period then ended.
7. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. Fees assessed on capital share transactions are credited to paid-in capital.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses), 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.
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Mortgage-Backed Securities Index Fund
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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2018, the fund had contributed to Vanguard capital in the amount of $293,000, 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 February 28, 2018, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| U.S. Government and Agency Obligations | — | 5,592,214 | — |
| Temporary Cash Investments | 634,464 | — | — |
| Total | 634,434 | 5,592,214 | — |
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2017, the fund had available capital losses totaling $3,344,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital
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Mortgage-Backed Securities Index Fund
losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2018; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2018, the cost of investment securities for tax purposes was $6,386,315,000. Net unrealized depreciation of investment securities for tax purposes was $159,637,000, consisting of unrealized gains of $1,685,000 on securities that had risen in value since their purchase and $161,322,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 28, 2018, the fund purchased $9,029,174,000 of investment securities and sold $8,070,638,000 of investment securities, other than temporary cash investments. Purchases and sales include $324,511,000 and $0, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
| | | | |
| F. Capital share transactions for each class of shares were: | | | |
| | Six Months Ended | | Year Ended |
| | February 28, 2018 | August 31, 2017 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 1,002,674 | 19,100 | 1,746,074 | 33,125 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (114,393) | (2,175) | (296,802) | (5,650) |
| Net Increase (Decrease)—ETF Shares | 888,281 | 16,925 | 1,449,272 | 27,475 |
| Admiral Shares | | | | |
| Issued | 110,433 | 5,267 | 194,551 | 9,213 |
| Issued in Lieu of Cash Distributions | 3,280 | 157 | 6,385 | 304 |
| Redeemed | (55,622) | (2,659) | (219,210) | (10,403) |
| Net Increase (Decrease)—Admiral Shares | 58,091 | 2,765 | (18,274) | (886) |
| Institutional Shares | | | | |
| Issued | 10,248 | 363 | 6,657 | 234 |
| Issued in Lieu of Cash Distributions | 615 | 22 | 1,090 | 38 |
| Redeemed | (1,077) | (38) | (1,679) | (59) |
| Net Increase (Decrease) —Institutional Shares | 9,786 | 347 | 6,068 | 213 |
At February 28, 2018, one shareholder was the record or beneficial owner of 29% of the fund’s net assets. If the shareholder were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio.
G. Management has determined that no material events or transactions occurred subsequent to February 28, 2018, that would require recognition or disclosure in these financial statements.
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About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
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| | | |
| Six Months Ended February 28, 2018 | | | |
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| | 8/31/2017 | 2/28/2018 | Period |
| Based on Actual Fund Return | | | |
| Short-Term Treasury Index Fund | | | |
| ETF Shares | $1,000.00 | $991.77 | $0.35 |
| Admiral Shares | 1,000.00 | 991.62 | 0.35 |
| Institutional Shares | 1,000.00 | 991.55 | 0.25 |
| Intermediate-Term Treasury Index Fund | | | |
| ETF Shares | $1,000.00 | $967.51 | $0.34 |
| Admiral Shares | 1,000.00 | 967.31 | 0.34 |
| Institutional Shares | 1,000.00 | 967.71 | 0.24 |
| Long-Term Treasury Index Fund | | | |
| ETF Shares | $1,000.00 | $940.24 | $0.34 |
| Admiral Shares | 1,000.00 | 940.27 | 0.34 |
| Institutional Shares | 1,000.00 | 940.41 | 0.24 |
| Short-Term Corporate Bond Index Fund | | | |
| ETF Shares | $1,000.00 | $989.76 | $0.35 |
| Admiral Shares | 1,000.00 | 989.83 | 0.35 |
| Institutional Shares | 1,000.00 | 990.09 | 0.25 |
| Intermediate-Term Corporate Bond Index Fund | | | |
| ETF Shares | $1,000.00 | $976.22 | $0.34 |
| Admiral Shares | 1,000.00 | 976.19 | 0.34 |
| Institutional Shares | 1,000.00 | 976.31 | 0.24 |
| Long-Term Corporate Bond Index Fund | | | |
| ETF Shares | $1,000.00 | $985.25 | $0.34 |
| Admiral Shares | 1,000.00 | 985.36 | 0.34 |
| Institutional Shares | 1,000.00 | 985.46 | 0.25 |
| Mortgage-Backed Securities Index Fund | | | |
| ETF Shares | $1,000.00 | $981.24 | $0.34 |
| Admiral Shares | 1,000.00 | 980.85 | 0.34 |
| Institutional Shares | 1,000.00 | 981.19 | 0.25 |
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| | | |
| Six Months Ended February 28, 2018 | | | |
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| | 8/31/2017 | 2/28/2018 | Period |
| Based on Hypothetical 5% Yearly Return | | | |
| Short-Term Treasury Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.45 | $0.35 |
| Admiral Shares | 1,000.00 | 1,024.45 | 0.35 |
| Institutional Shares | 1,000.00 | 1,024.55 | 0.25 |
| Intermediate-Term Treasury Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.45 | $0.35 |
| Admiral Shares | 1,000.00 | 1,024.45 | 0.35 |
| Institutional Shares | 1,000.00 | 1,024.55 | 0.25 |
| Long-Term Treasury Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.45 | $0.35 |
| Admiral Shares | 1,000.00 | 1,024.45 | 0.35 |
| Institutional Shares | 1,000.00 | 1,024.55 | 0.25 |
| Short-Term Corporate Bond Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.45 | $0.35 |
| Admiral Shares | 1,000.00 | 1,024.45 | 0.35 |
| Institutional Shares | 1,000.00 | 1,024.55 | 0.25 |
| Intermediate-Term Corporate Bond Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.45 | $0.35 |
| Admiral Shares | 1,000.00 | 1,024.45 | 0.35 |
| Institutional Shares | 1,000.00 | 1,024.55 | 0.25 |
| Long-Term Corporate Bond Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.45 | $0.35 |
| Admiral Shares | 1,000.00 | 1,024.45 | 0.35 |
| Institutional Shares | 1,000.00 | 1,024.55 | 0.25 |
| Mortgage-Backed Securities Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.45 | $0.35 |
| Admiral Shares | 1,000.00 | 1,024.45 | 0.35 |
| Institutional Shares | 1,000.00 | 1,024.55 | 0.25 |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Short-Term Treasury Index Fund, 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares; for the Intermediate-Term Treasury Index Fund, 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.05% for Institutional Shares; for the Long-Term Treasury 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. The dollar amounts shown as ”Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (181/365).
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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.
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.
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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. Long Treasury Index: Bloomberg Barclays U.S. Long Government Float Adjusted Index through December 11, 2017; Bloomberg Barclays U.S. Long Treasury Bond Index thereafter.
Spliced Bloomberg Barclays U.S. Treasury 1-3 Year Index: Bloomberg Barclays U.S. 1-3 Year Government Float Adjusted Index through December 11, 2017; Bloomberg Barclays U.S. Treasury 1-3 Year Bond Index thereafter.
Spliced Bloomberg Barclays U.S. Treasury 3-10 Year Index: Bloomberg Barclays U.S. 3-10 Year Government Float Adjusted Index through December 11, 2017; Bloomberg Barclays U.S. Treasury 3-10 Year Bond Index thereafter.
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BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. BARCLAYS is a trademark and service mark of Barclays Bank Plc, used under license. Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (BISL) (collectively, Bloomberg), or Bloomberg’s licensors, own all proprietary rights in the Bloomberg Barclays U.S. Treasury 1–3 Year Bond Index, Bloomberg Barclays U.S. Treasury 3–10 Year Bond Index, Bloomberg Barclays U.S. Long Treasury Bond Index, Bloomberg Barclays U.S. 1–5 Year Corporate Bond Index, Bloomberg Barclays U.S. 5–10 Year Corporate Bond Index, Bloomberg Barclays U.S. 10+ Year Corporate Bond Index, and Bloomberg Barclays U.S. MBS Float Adjusted Index (the Indices or Bloomberg Barclays Indices).
Neither Barclays Bank Plc, Barclays Capital Inc., or any affiliate (collectively Barclays) or Bloomberg is the issuer or producer of the Sector Bond Index Funds and neither Bloomberg nor Barclays has any responsibilities, obligations or duties to investors in the Sector Bond Index Funds. The Indices are licensed for use by The Vanguard Group, Inc. (Vanguard) as the sponsor of the Sector Bond Index Funds. Bloomberg and Barclays’ only relationship with Vanguard in respect to the Indices is the licensing of the Indices, which is determined, composed and calculated by BISL, or any successor thereto, without regard to the Issuer or the Sector Bond Index Funds or the owners of the Sector Bond Index Funds.
Additionally, Vanguard may for itself execute transaction(s) with Barclays in or relating to the Indices in connection with the Sector Bond Index Funds. Investors acquire the Sector Bond Index Funds from Vanguard and investors neither acquire any interest in the Indices nor enter into any relationship of any kind whatsoever with Bloomberg or Barclays upon making an investment in the Sector Bond Index Funds. The Sector Bond Index Funds are not sponsored, endorsed, sold or promoted by Bloomberg or Barclays. Neither Bloomberg nor Barclays makes any representation or warranty, express or implied regarding the advisability of investing in the Sector Bond Index Funds or the advisability of investing in securities generally or the ability of the Indices to track corresponding or relative market performance. Neither Bloomberg nor Barclays has passed on the legality or suitability of the Sector Bond Index Funds with respect to any person or entity. Neither Bloomberg nor Barclays is responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Sector Bond Index Funds to be issued. Neither Bloomberg nor Barclays has any obligation to take the needs of the Issuer or the owners of the Sector Bond Index Funds or any other third party into consideration in determining, composing or calculating the Indices. Neither Bloomberg nor Barclays has any obligation or liability in connection with administration, marketing or trading of the Sector Bond Index Funds.
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The licensing agreement between Bloomberg and Barclays is solely for the benefit of Bloomberg and Barclays and not for the benefit of the owners of the Sector Bond Index Funds, investors or other third parties. In addition, the licensing agreement between Vanguard and Bloomberg is solely for the benefit of Vanguard and Bloomberg and not for the benefit of the owners of the Sector Bond Index Funds, investors or other third parties.
NEITHER BLOOMBERG NOR BARCLAYS SHALL HAVE ANY LIABILITY TO THE ISSUER, INVESTORS OR TO OTHER THIRD PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS OF THE BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE BLOOMBERG BARCLAYS INDICES. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, THE INVESTORS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND EACH HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE BLOOMBERG BARCLAYS INDICES OR
ANY DATA INCLUDED THEREIN. BLOOMBERG RESERVES THE RIGHT TO CHANGE THE METHODS OF CALCULATION OR PUBLICATION, OR TO CEASE THE CALCULATION OR PUBLICATION OF THE BLOOMBERG BARCLAYS INDICES, AND NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY MISCALCULATION OF OR ANY INCORRECT, DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT TO ANY OF THE BLOOMBERG BARCLAYS INDICES. NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY DAMAGES, INCLUDING, WITHOUT LIMITATION, ANY SPECIAL, INDIRECT OR CONSEQUENTIAL DAMAGES, OR ANY LOST PROFITS AND EVEN IF ADVISED OF THE POSSIBILITY OF SUCH, RESULTING FROM THE USE OF BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN OR WITH RESPECT TO THE SECTOR BOND INDEX FUNDS.
None of the information supplied by Bloomberg or Barclays and used in this publication may be reproduced in any manner without the prior written permission of both Bloomberg and Barclays Capital, the investment banking division of Barclays Bank Plc. Barclays Bank Plc is registered in England No. 1026167. Registered office 1 Churchill Place London E14 5HP.
© 2018 Bloomberg. Used with Permission.
Source: Bloomberg Index Services Limited. Copyright 2018, Bloomberg. All rights reserved.
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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 208 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 Trustees1
F. William McNabb III
Born in 1957. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2010–present) of Vanguard and of each of the investment companies served by Vanguard, trustee (2009–present) of each of the investment companies served by Vanguard, and director (2008–present) of Vanguard. Chief executive officer and president (2008–2017) of Vanguard and each of the investment companies served by Vanguard, managing director (1995–2008) of Vanguard, and director (1997–2018) of Vanguard Marketing Corporation. Director (2018–present) of UnitedHealth Group.
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) of the Children’s Hospital of Philadelphia.
Independent Trustees
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Lead director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania. Trustee of the National Constitution Center.
1 Mr. McNabb and Mr. Buckley are considered “interested persons,” as defined in the Investment Company Act of 1940, because they are officers of the Vanguard funds.
JoAnn Heffernan Heisen
Born in 1950. Trustee since July 1998. Principal occupation(s) during the past five years and other experience: corporate vice president of Johnson & Johnson (pharmaceuticals/medical devices/consumer products) and member of its 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. 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 in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), 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 in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors), the board of advisors for Spruceview Capital Partners, and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies LLC (private investment firm). Overseer of the Museum of Fine Arts Boston.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director of i(x) Investments, LLC.
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the Board of Hypertherm Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard and global head of Fund Administration at Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG LLP (audit, tax, and advisory services).
Brian Dvorak
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2017–present) of Vanguard and each of the investment companies served by Vanguard. Assistant vice president (2017–present) of Vanguard Marketing Corporation. Vice president and director of Enterprise Risk Management (2011–2013) at Oppenheimer Funds, Inc.
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2008–present) and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Director and senior vice president (2016–2018) of Vanguard Marketing Corporation. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
| |
| Vanguard Senior Management Team |
| |
| Mortimer J. Buckley | James M. Norris |
| Gregory Davis | Thomas M. Rampulla |
| John James | Karin A. Risi |
| Martha G. King | Anne E. Robinson |
| John T. Marcante | Michael Rollings |
| Chris D. McIsaac | |
| |
| |
| Chairman Emeritus and Senior Advisor |
| |
| John J. Brennan | |
| Chairman, 1996–2009 | |
| Chief Executive Officer and President, 1996–2008 |
| |
| |
| Founder | |
| |
| John C. Bogle | |
| Chairman and Chief Executive Officer, 1974–1996 |
|  |
| 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. | |
| | © 2018 The Vanguard Group, Inc. |
| | All rights reserved. |
| | Vanguard Marketing Corporation, Distributor. |
| |
| | Q16422 042018 |
 |
| Semiannual Report | February 28, 2018 |
| Vanguard Total Corporate Bond ETF |
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 |
| CEO’s Perspective. | 3 |
| Fund Profile. | 6 |
| Performance Summary. | 7 |
| Financial Statements. | 8 |
| About Your Fund’s Expenses. | 16 |
| Trustees Approve Advisory Arrangement. | 18 |
| Glossary. | 19 |
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
• From its inception on November 7, 2017, through February 28, 2018, Vanguard Total Corporate Bond ETF returned –2.22%. Its benchmark returned –2.07%, and the average return of its peer group was –1.81%.
• This ETF seeks to track the investment performance of the Bloomberg Barclays U.S. Corporate Bond Index, which measures the investment-grade, fixed-rate, taxable U.S. dollar-denominated corporate bond market. The index includes securities across the maturity spectrum publicly issued by industrial, utility, and financial companies.
• During the period under review, the Federal Reserve stayed on its path of gradually raising short-term interest rates, which pushed up yields on those securities. Longer-term yields climbed on optimism about stronger growth and higher inflation.
• With bond yields rising, prices declined. Long-term corporate bonds saw the biggest drop in prices, contributing to a return of about –3%. Their short-term counterparts held up better, returning about –1%.
| | | | |
| Total Returns: Period Ended February 28, 2018 | | | | |
| | 30-Day SEC | Income | Capital | Since |
| | Yield | Return | Return | Inception |
| Vanguard Total Corporate Bond ETF | | | | |
| ETF Shares | 3.22% | | | |
| Market Price (Inception: 11/7/2017) | | | | -2.22% |
| Net Asset Value (Inception:11/7/2017) | | 0.78% | -3.00% | -2.22 |
| Bloomberg Barclays U.S. Corporate Bond Index | | | | -2.07 |
| Core Bond Funds Average | | | | -1.81 |
Core Bond Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. Benchmark returns are calculated since the inception of the fund.
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. The market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
1
| | |
| Expense Ratios | | |
| Your Fund Compared With Its Peer Group | | |
| | Acquired Fund Fees | Peer Group |
| | and Expenses | Average |
| Total Corporate Bond ETF | 0.07% | 0.21% |
The acquired fund fees and expenses—drawn from the prospectus dated November 7, 2017—represent an estimate of the weighted average of the expense ratios and any transaction fees charged by the underlying mutual funds (the “acquired” funds) in which the Total Corporate Bond ETF invests. The Total Corporate Bond ETF does not charge any expenses or fees of its own. For the period ended February 28, 2018, the annualized acquired fund fees and expenses were 0.07%. The peer-group expense ratio is derived from data provided by Lipper, a Thomson Reuters Company, and captures information through year-end 2017.
Peer group: Core Bond Funds.
| | |
| Underlying Funds: Allocations and Returns | | |
| Period Ended February 28, 2018 | | |
| | Percentage of | Returns Since |
| | Total Corporate | Inception1 |
| | Bond ETF Assets | (11/7/2017) |
| Vanguard Short-Term Corporate Bond ETF | 38.3% | -0.99% |
| Vanguard Long-Term Corporate Bond ETF | 31.7 | -2.91 |
| Vanguard Intermediate-Term Corporate Bond ETF | 30.0 | -2.44 |
| Combined | 100.0% | -2.22% |
| 1 The table provides returns based on the net asset value for a share. | | |
2
CEO’s Perspective
Tim Buckley
President and Chief Executive Officer
Dear Shareholder,
As I begin my tenure as Vanguard’s fourth chief executive, I’ve been reflecting on both the past and the future of the company where I have spent my entire professional career.
I feel extremely fortunate to have the chance to lead a company filled with people who come to work every day passionate about Vanguard’s core purpose: to take a stand for all investors, to treat them fairly, and to give them the best chance for investment success.
Making a real difference
When I joined Vanguard in 1991, I found a mission-driven team focused on improving lives—helping people retire more comfortably, put their children through college, and achieve financial security. I found a company with purpose in an industry ripe for improvement.
It was clear, even early in my career, that the cards were stacked against most investors. Hidden fees, performance-chasing, and poor advice were relentlessly eroding investors’ dreams.
We knew Vanguard could be different and, as a result, could make a real difference. Over the past 25 years, for example, Vanguard has lowered our funds’ asset-weighted average expense ratio
3
from 0.31% to 0.12%. And over the past decade, 94% of our funds have beaten the average annual return of their peers.1
Focused on your success
Vanguard is built for Vanguard investors—as a client-owned company, we focus solely on you, our fund shareholders. Everything we do is designed to give our clients the best chance for investment success. In my role as CEO, I intend to keep this priority front and center. We’re proud of what we’ve achieved, but we’re even more excited about what’s to come.
As I write this, we’ve experienced a period of pronounced market volatility. Strong economic growth and budding signs of inflation have raised concerns about a more aggressive Federal Reserve. Although volatility can test investors’ nerves, we sometimes think of this as “Vanguard weather”—a time when having a disciplined, low-cost, and long-term approach to investment management serves investors well.
| | | |
| Market Barometer | | | |
| | | | Total Returns |
| | | Periods Ended February 28, 2018 |
| | Six | One | Five Years |
| | Months | Year | (Annualized) |
| Stocks | | | |
| Russell 1000 Index (Large-caps) | 10.62% | 16.70% | 14.56% |
| Russell 2000 Index (Small-caps) | 8.30 | 10.51 | 12.19 |
| Russell 3000 Index (Broad U.S. market) | 10.45 | 16.22 | 14.37 |
| FTSE All-World ex US Index (International) | 7.84 | 21.50 | 6.69 |
| |
| Bonds | | | |
| Bloomberg Barclays U.S. Aggregate Bond Index | | | |
| (Broad taxable market) | -2.18% | 0.51% | 1.71% |
| Bloomberg Barclays Municipal Bond Index | | | |
| (Broad tax-exempt market) | -1.24 | 2.50 | 2.57 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.59 | 0.98 | 0.27 |
| |
| CPI | | | |
| Consumer Price Index | 1.41% | 2.21% | 1.41% |
The performance data shown represent past performance, which is not a guarantee of future results.
1 For the ten-year period through December 31, 2017, 9 of 9 Vanguard money market funds, 56 of 60 bond funds, 21 of 22 balanced funds, and 131 of 140 stock funds, or 217 of 231 Vanguard funds, outperformed their peer-group averages. Sources: Vanguard, based on data from Lipper, a Thomson Reuters Company.
4
Steady, time-tested guidance
Our guidance for investors, as always, is to stay the course, tune out the hyperbolic headlines, and focus on your goals and what you can control, such as costs and how much you save. This time-tested advice has served our clients well over the decades.
Regardless of how the markets perform in the short term, I’m incredibly optimistic about the future for our investors. We have a dedicated team serving you, and we will never stop striving to make Vanguard the best place for you to invest through our high-quality funds and services, advice
and guidance to help you meet your financial goals, and an experience that makes you feel good about entrusting us with your hard-earned savings.
Thank you for your continued loyalty.
Mortimer J. Buckley
President and Chief Executive Officer
March 19, 2018
5
Total Corporate Bond ETF
Fund Profile
As of February 28, 2018
| |
| Total Fund Characteristics | |
| Ticker Symbol | VTC |
| 30-Day SEC Yield | 3.22% |
| Acquired Fund Fees and Expenses1 | 0.07% |
| |
| Allocation to Underlying Vanguard Funds |
| Vanguard Short-Term Corporate Bond ETF | 38.3% |
| Vanguard Long-Term Corporate Bond ETF | 31.7 |
| Vanguard Intermediate-Term Corporate | |
| Bond ETF | 30.0 |
1 This figure—drawn from the prospectus dated November 7, 2017—represents an estimate of the weighted average of the expense ratios and any transaction fees charged by the underlying funds (the ”acquired” funds) in which the Total Corporate Bond ETF invests. The Total Corporate Bond ETF does not charge any expenses or fees of its own. For the period ended February 28, 2018, the annualized acquired fund fees and expenses were 0.07%.
6
Total Corporate Bond ETF
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Period Total Returns (%): November 7, 2017, Through February 28, 2018
Total Returns: Period Ended December 31, 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 Date | Since Inception |
| ETF Shares | 11/7/2017 | |
| Market Price | | 0.57% |
| Net Asset Value | | 0.49 |
See Financial Highlights for dividend and capital gains information.
7
Total Corporate Bond ETF
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2018
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) |
| Investment Companies (100.3%) | | |
| U.S. Bond Funds (100.3%) | | |
| Vanguard Short-Term Corporate Bond ETF | 222,228 | 17,436 |
| Vanguard Long-Term Corporate Bond ETF | 158,803 | 14,419 |
| Vanguard Intermediate-Term Corporate Bond ETF | 160,936 | 13,654 |
| Total Investment Companies (Cost $46,657) | | 45,509 |
| Temporary Cash Investment (0.1%) | | |
| Money Market Fund (0.1%) | | |
| 1 Vanguard Market Liquidity Fund, 1.601% (Cost $25) | 251 | 25 |
| Total Investments (100.4%) (Cost $46,682) | | 45,534 |
| Other Assets and Liabilities (-0.4%) | | |
| Other Assets | | — |
| Liabilities | | (194) |
| Net Assets (100%) | | |
| Applicable to 550,000 outstanding $.001 par value shares of | | |
| beneficial interest (unlimited authorization) | | 45,340 |
| Net Asset Value Per Share | | $82.44 |
| |
| | | Amount |
| | | ($000) |
| Statement of Assets and Liabilities | | |
| Assets | | |
| Investments in Securities, at Value—Affiliated Vanguard Funds | | 45,534 |
| Total Assets | | 45,534 |
| Liabilities | | |
| Payables for Investment Securities Purchased | | 194 |
| Total Liabilities | | 194 |
| Net Assets | | 45,340 |
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| |
| Total Corporate Bond ETF | |
| |
| |
| |
| At February 28, 2018, net assets consisted of: | |
| | Amount |
| | ($000) |
| Paid-in Capital | 46,494 |
| Overdistributed Net Investment Income | (1) |
| Accumulated Net Realized Losses | (5) |
| Unrealized Appreciation (Depreciation) | (1,148) |
| Net Assets | 45,340 |
• See Note A in Notes to Financial Statements.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown
for Vanguard Market Liquidity Fund is the 7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
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| |
| Total Corporate Bond ETF | |
| |
| |
| Statement of Operations | |
| |
| | Nov.7,20171 to |
| | February28,2018 |
| | ($000) |
| Investment Income | |
| Income | |
| Income Distributions Received from Affiliated Funds | 247 |
| Net Investment Income—Note B | 247 |
| Realized Net Gain (Loss) on Affiliated Investment Securities Sold | (5) |
| Change in Unrealized Appreciation (Depreciation) of | |
| Affiliated Investment Securities | (1,148) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (906) |
| 1 Inception. | |
See accompanying Notes, which are an integral part of the Financial Statements.
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| |
| Total Corporate Bond ETF | |
| |
| |
| Statement of Changes in Net Assets | |
| |
| | Nov. 7, 20171 to |
| | February 28, 2018 |
| | ($000) |
| Increase (Decrease) in Net Assets | |
| Operations | |
| Net Investment Income | 247 |
| Realized Net Gain (Loss) | (5) |
| Change in Unrealized Appreciation (Depreciation) | (1,148) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (906) |
| Distributions | |
| Net Investment Income | (248) |
| Realized Capital Gain | — |
| Total Distributions | (248) |
| Capital Share Transactions | |
| Issued | 46,494 |
| Issued in Lieu of Cash Distributions | — |
| Redeemed | — |
| Net Increase (Decrease) from Capital Share Transactions | 46,494 |
| Total Increase (Decrease) | 45,340 |
| Net Assets | |
| Beginning of Period | — |
| End of Period2 | 45,340 |
1 Inception.
2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($1,000).
See accompanying Notes, which are an integral part of the Financial Statements.
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| |
| Total Corporate Bond ETF | |
| |
| |
| Financial Highlights | |
| |
| |
| | Nov. 7, 20171 to |
| For a Share Outstanding Throughout the Period | February 28, 2018 |
| Net Asset Value, Beginning of Period | $85.00 |
| Investment Operations | |
| Net Investment Income2 | .642 |
| Capital Gain Distributions Received | — |
| Net Realized and Unrealized Gain (Loss) on Investments | (2.523) |
| Total from Investment Operations | (1.881) |
| Distributions | |
| Dividends from Net Investment Income | (.679) |
| Distributions from Realized Capital Gains | — |
| Total Distributions | (. 679) |
| Net Asset Value, End of Period | $82.44 |
| |
| Total Return | -2.22% |
| |
| Ratios/Supplemental Data | |
| Net Assets, End of Period (Millions) | $45 |
| Ratio of Total Expenses to Average Net Assets | — |
| Acquired Fund Fees and Expenses | 0.07% |
| Ratio of Net Investment Income to Average Net Assets | 2.45% |
| Portfolio Turnover Rate 3 | 3% |
The expense ratio, acquired fund fees and expenses, net investment income ratio, and turnover rate for the current period have
been annualized.
1 Inception.
2 Calculated based on average shares outstanding.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
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Total Corporate Bond ETF
Notes to Financial Statements
Vanguard Total Corporate Bond ETF is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund seeks to match the performance of its target index by investing in select Vanguard bond index ETFs. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker. Financial statements and other information about each underlying fund are available on vanguard.com.
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: Underlying ETFs are valued at the latest quoted sales prices or official closing prices taken from their primary market or, if not traded on the valuation date, at the mean of the latest quoted bid and asked prices. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. Federal Income Taxes: The fund intends to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for the period ended February 28, 2018, 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. Other: Income and capital gain distributions received are recorded on the ex-dividend date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the 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. The FSA provides that expenses otherwise allocable to Vanguard funds-of-funds may be reduced or eliminated to the extent of savings realized by the underlying Vanguard funds by virtue of being part of a fund-of-funds. Accordingly, all expenses for services provided by Vanguard to the fund and all other expenses incurred by the fund during the period ended February 28, 2018, were borne by the underlying Vanguard funds in which the fund invests. The fund’s trustees and officers are also trustees and officers, respectively, of the underlying Vanguard funds, as well as directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the 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.
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Total Corporate Bond ETF
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.
At February 28, 2018, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
At February 28, 2018, the cost of investment securities for tax purposes was $46,682,000. Net unrealized depreciation of investment securities for tax purposes was $1,148,000, consisting entirely of unrealized losses on securities that had fallen in value since their purchase.
| | | | | | | | |
| E. Transactions during the period in affiliated underlying Vanguard funds were as follows: | |
| |
| | | | | | Current Period Transactions | |
| | Nov. 7, | | Proceeds | Realized | | | | Feb. 28, |
| 20171 | | from | Net | Change in | | Capital Gain | 2018 |
| Market | Purchases | Securities | Gain | Unrealized | | Distributions | Market |
| Value | at Cost2 | Sold | (Loss) | App. (Dep.) | Income | Received | Value |
| ($000) | ($000) | ($000) | ($000) | ($000) | ($000) | ($000) | |
| Vanguard Market | | | | | | | | |
| Liquidity Fund | — | NA 3 | NA 3 | — | — | — | — | 25 |
| Vanguard | | | | | | | | |
| Intermediate-Term | | | | | | | | |
| Corporate Bond ETF | — | 14,250 | 217 | (4) | (375) | 77 | — | 13,654 |
| Vanguard | | | | | | | | |
| Long-Term | | | | | | | | |
| Corporate Bond ETF | — | 15,164 | 186 | (1) | (558) | 101 | — | 14,419 |
| Vanguard Short-Term | | | | | | | | |
| Corporate Bond ETF | — | 17,702 | 51 | — | (215) | 69 | — | 17,436 |
| Total | — | 47,116 | 454 | (5) | (1,148) | 247 | — | 45,534 |
1 Inception.
2 Includes $46,481,000 of portfolio securities received as a result of in-kind purchases of the fund’s capital shares.
3 Not applicable—purchases and sales are for temporary cash investment purposes.
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| |
| Total Corporate Bond ETF | |
| |
| |
| |
| |
| F. Capital shares issued and redeemed were: | |
| | November 7, 20171 to |
| | February 28, 2018 |
| | Shares |
| | (000) |
| Issued | 550 |
| Issued in Lieu of Cash Distributions | — |
| Redeemed | — |
| Net Increase (Decrease) in Shares Outstanding | 550 |
| 1 Inception. | |
G. Management has determined that no material events or transactions occurred subsequent to February 28, 2018, that would require recognition or disclosure in these financial statements.
15
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 typical fund’s expenses are expressed as a percentage of its average net assets. The Total Corporate Bond ETF has no direct expenses, but bears its proportionate share of the costs for the underlying funds in which it invests. These indirect expenses make up the acquired fund fees and expenses, also expressed as a percentage of average net assets.
The following examples are intended to help you understand the ongoing cost (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 costs were calculated using the acquired fund fees and expenses for the Total Corporate Bond ETF.
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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| | | |
| Period Ended February 28, 2018 | | | |
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| Total Corporate Bond ETF | 11/7/2017 | 2/28/2018 | Period |
| Based on Actual Fund Return | $1,000.00 | $977.83 | $0.21 |
| Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,015.26 | 0.22 |
The calculations are based on acquired fund fees and expenses charged by the underlying funds in which the Total Corporate Bond ETF invests. The Total Corporate Bond ETF’s annualized expense figure for the period is 0.07%. The dollar amounts shown as “Expenses Paid” are equal to the annualized average weighted expense ratio for the underlying funds multiplied by the average account value over the period, multiplied by the number of days in the period since inception, November 7, 2017, through February 28, 2018, then divided by the number of days in the most recent 12-month period (114/365).
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Trustees Approve Advisory Arrangement
Effective November 2017, the board of Vanguard Scottsdale Funds approved the launch of Vanguard Total Corporate Bond ETF, which utilizes an internalized management structure whereby The Vanguard Group, Inc. (Vanguard), through its Fixed Income Group, provides investment advisory services to the fund. The board determined that the investment advisory arrangement with Vanguard was in the best interests of the fund and its prospective 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 trustees 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 considered the quality of the investment management services to be provided to the fund and took into account the organizational depth and stability of the advisor. The board noted 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 approval of the advisory arrangement.
Investment performance
The board determined that the Fixed Income Group, in its management of other Vanguard funds, has a track record of consistent performance and disciplined investment processes. Information about the fund’s performance since inception can be found in the Performance Summary section of this report.
Cost
The board concluded that the fund’s acquired fund fees and expenses will be well below the average expense ratio charged by funds in its peer group. The fund will not incur fees directly; however, the board noted that each of the underlying funds in which the fund will invest has advisory expenses well below the relevant peer-group average. Information about the fund’s acquired fund fees and expenses appears in the About Your Fund’s Expenses section as well as in the Financial Statements section.
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 Vanguard’s at-cost arrangement with the fund 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 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.
Acquired Fund Fees and Expenses. Funds that invest in other Vanguard funds incur no direct expenses, but they do bear proportionate shares of the operating, administrative, and advisory expenses of the underlying funds, and they must pay any fees charged by those funds. The figure for acquired fund fees and expenses represents a weighted average of these underlying costs. Acquired is a term that the Securities and Exchange Commission applies to any mutual fund whose shares are owned by another fund.
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.
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BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. BARCLAYS is a trademark and service mark of Barclays Bank Plc, used under license. Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (BISL) (collectively, Bloomberg), or Bloomberg’s licensors, own all proprietary rights in the Bloomberg Barclays U.S. Corporate Bond Index, including its component Bloomberg Barclays U.S. 1–5 Year Corporate Bond Index, Bloomberg Barclays U.S. 5–10 Year Corporate Bond Index, and Bloomberg Barclays U.S. 10+ Year Corporate Bond Index (the Indices or Bloomberg Barclays Indices).
Neither Barclays Bank Plc, Barclays Capital Inc., or any affiliate (collectively Barclays) or Bloomberg is the issuer or producer of Vanguard Total Corporate Bond ETF, including Vanguard Short-Term Corporate Bond ETF, Vanguard Intermediate-Term Corporate Bond ETF, and Vanguard Long-Term Corporate Bond ETF (collectively, ETFs), and neither Bloomberg nor Barclays has any responsibilities, obligations or duties to investors in the ETFs. The Indices are licensed for use by The Vanguard Group, Inc. (Vanguard) as the sponsor of the ETFs. Bloomberg and Barclays only relationship with Vanguard in respect of the Indices is the licensing of the Indices, which are determined, composed and calculated by BISL, or any successor thereto, without regard to the Issuer or the ETFs or the owners of the ETFs.
Additionally, Vanguard may for itself execute transaction(s) with Barclays in or relating to the Indices in connection with the ETFs. Investors acquire the ETFs from Vanguard and investors neither acquire any interest in the Indices nor enter into any relationship of any kind whatsoever with Bloomberg or Barclays upon making an investment in the ETFs. The ETFs are not sponsored, endorsed, sold or promoted by Bloomberg or Barclays. Neither Bloomberg nor Barclays makes any representation or warranty, express or implied regarding the advisability of investing in the ETFs or the advisability of investing in securities generally or the ability of the Indices to track corresponding or relative market performance. Neither Bloomberg nor Barclays has passed on the legality or suitability of the ETFs with respect to any person or entity. Neither Bloomberg nor Barclays is responsible for and has not participated in the determination of the timing of, prices at, or quantities of the ETFs to be issued. Neither Bloomberg nor Barclays has any obligation to take the needs of the Issuer or the owners of the ETFs or any other third party into consideration in determining, composing or calculating the Indices. Neither Bloomberg nor Barclays has any obligation or liability in connection with administration, marketing or trading of the ETFs.
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The licensing agreement between Bloomberg and Barclays is solely for the benefit of Bloomberg and Barclays and not for the benefit of the owners of the ETFs, investors or other third parties. In addition, the licensing agreement between Vanguard and Bloomberg is solely for the benefit of Vanguard and Bloomberg and not for the benefit of the owners of the ETFs, investors or other third parties.
NEITHER BLOOMBERG NOR BARCLAYS SHALL HAVE ANY LIABILITY TO THE ISSUER, INVESTORS OR TO OTHER THIRD PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS OF THE INDICES OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE INDICES. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, THE INVESTORS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDICES OR ANY DATA INCLUDED THEREIN. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND EACH HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE INDICES OR ANY DATA INCLUDED THEREIN. BLOOMBERG RESERVES THE RIGHT TO CHANGE THE METHODS OF CALCULATION OR PUBLICATION, OR TO CEASE THE CALCULATION OR PUBLICATION OF THE INDICES, AND NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY MISCALCULATION OF OR ANY INCORRECT, DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT TO ANY OF THE INDICES. NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY DAMAGES, INCLUDING, WITHOUT LIMITATION, ANY SPECIAL, INDIRECT OR CONSEQUENTIAL DAMAGES, OR ANY LOST PROFITS AND EVEN IF ADVISED OF THE POSSIBILITY OF SUCH, RESULTING FROM THE USE OF THE INDICES OR ANY DATA INCLUDED THEREIN OR WITH RESPECT TO THE ETFS.
None of the information supplied by Bloomberg or Barclays and used in this publication may be reproduced in any manner without the prior written permission of both Bloomberg and Barclays Capital, the investment banking division of Barclays Bank Plc. Barclays Bank Plc is registered in England No. 1026167. Registered office 1 Churchill Place London E14 5HP.
© 2018 Bloomberg. Used with Permission.
Source: Bloomberg Index Services Limited. Copyright 2018, Bloomberg. All rights reserved.
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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 208 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 Trustees1
F. William McNabb III
Born in 1957. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2010–present) of Vanguard and of each of the investment companies served by Vanguard, trustee (2009–present) of each of the investment companies served by Vanguard, and director (2008–present) of Vanguard. Chief executive officer and president (2008–2017) of Vanguard and each of the investment companies served by Vanguard, managing director (1995–2008) of Vanguard, and director (1997–2018) of Vanguard Marketing Corporation. Director (2018–present) of UnitedHealth Group.
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) of the Children’s Hospital of Philadelphia.
Independent Trustees
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Lead director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania. Trustee of the National Constitution Center.
1 Mr. McNabb and Mr. Buckley are considered “interested persons,” as defined in the Investment Company Act of 1940, because they are officers of the Vanguard funds.
JoAnn Heffernan Heisen
Born in 1950. Trustee since July 1998. Principal occupation(s) during the past five years and other experience: corporate vice president of Johnson & Johnson (pharmaceuticals/medical devices/consumer products) and member of its 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. 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 in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), 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 in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors), the board of advisors for Spruceview Capital Partners, and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies LLC (private investment firm). Overseer of the Museum of Fine Arts Boston.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director of i(x) Investments, LLC.
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the Board of Hypertherm Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard and global head of Fund Administration at Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG LLP (audit, tax, and advisory services).
Brian Dvorak
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2017–present) of Vanguard and each of the investment companies served by Vanguard. Assistant vice president (2017–present) of Vanguard Marketing Corporation. Vice president and director of Enterprise Risk Management (2011–2013) at Oppenheimer Funds, Inc.
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2008–present) and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Director and senior vice president (2016–2018) of Vanguard Marketing Corporation. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
| |
| Vanguard Senior Management Team |
| |
| Mortimer J. Buckley | James M. Norris |
| Gregory Davis | Thomas M. Rampulla |
| John James | Karin A. Risi |
| Martha G. King | Anne E. Robinson |
| John T. Marcante | Michael Rollings |
| Chris D. McIsaac | |
| |
| |
| Chairman Emeritus and Senior Advisor |
| |
| John J. Brennan | |
| Chairman, 1996–2009 | |
| Chief Executive Officer and President, 1996–2008 |
| |
| |
| Founder | |
| |
| John C. Bogle | |
| Chairman and Chief Executive Officer, 1974–1996 |
|  |
| 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. | © 2018 The Vanguard Group, Inc. |
| | All rights reserved. |
| | U.S. Patent Nos. 6,879,964; 7,337,138; |
| | 7,720,749; 7,925,573; 8,090,646; and 8,417,623 |
| | Vanguard Marketing Corporation, Distributor. |
| |
| | Q9852 042018 |
Item 2: Code of Ethics.
Not Applicable.
Item 3: Audit Committee Financial Expert.
Not Applicable.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Not Applicable.
Item 5: Audit Committee of Listed Registrants.
Not Applicable.
Item 6: Investments.
| | | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| Common Stocks (99.8%)1 | | |
| Consumer Discretionary (14.2%) | | |
| * | Amazon.com Inc. | 44,281 | 66,973 |
| | Home Depot Inc. | 131,248 | 23,923 |
| | Comcast Corp. Class A | 517,447 | 18,737 |
| | Walt Disney Co. | 171,766 | 17,719 |
| | Walmart Inc. | 159,929 | 14,395 |
| | McDonald's Corp. | 89,092 | 14,053 |
| * | Netflix Inc. | 45,648 | 13,301 |
| * | Booking Holdings Inc. | 5,468 | 11,122 |
| | NIKE Inc. Class B | 145,053 | 9,723 |
| | Costco Wholesale Corp. | 48,502 | 9,259 |
| | Starbucks Corp. | 156,911 | 8,960 |
| | Lowe's Cos. Inc. | 92,834 | 8,317 |
| | Time Warner Inc. | 86,451 | 8,036 |
| * | Charter Communications Inc. Class A | 20,535 | 7,021 |
| | TJX Cos. Inc. | 71,501 | 5,912 |
| | General Motors Co. | 144,852 | 5,700 |
| *,^ | Tesla Inc. | 14,769 | 5,067 |
| | Marriott International Inc. Class A | 33,901 | 4,787 |
| * | eBay Inc. | 108,600 | 4,655 |
| | Target Corp. | 61,502 | 4,638 |
| | Ford Motor Co. | 433,586 | 4,600 |
| | Twenty-First Century Fox Inc. Class A | 116,163 | 4,277 |
| | Estee Lauder Cos. Inc. Class A | 24,229 | 3,354 |
| | Ross Stores Inc. | 42,782 | 3,341 |
| | Yum! Brands Inc. | 37,440 | 3,047 |
| | Carnival Corp. | 45,289 | 3,030 |
| | Las Vegas Sands Corp. | 40,017 | 2,914 |
| | Dollar General Corp. | 30,447 | 2,880 |
| | Aptiv plc | 29,727 | 2,715 |
| | VF Corp. | 36,355 | 2,711 |
| * | Dollar Tree Inc. | 25,682 | 2,636 |
| | Royal Caribbean Cruises Ltd. | 19,035 | 2,410 |
| * | O'Reilly Automotive Inc. | 9,303 | 2,272 |
| | Best Buy Co. Inc. | 28,591 | 2,071 |
| * | AutoZone Inc. | 3,028 | 2,013 |
| | CBS Corp. Class B | 37,103 | 1,965 |
| | Omnicom Group Inc. | 25,752 | 1,963 |
| | Hilton Worldwide Holdings Inc. | 24,191 | 1,954 |
| | MGM Resorts International | 55,677 | 1,906 |
| | Twenty-First Century Fox Inc. | 48,690 | 1,773 |
| | Yum China Holdings Inc. | 40,917 | 1,772 |
| | DR Horton Inc. | 39,082 | 1,638 |
| * | Mohawk Industries Inc. | 6,817 | 1,635 |
| | Tapestry Inc. | 31,909 | 1,624 |
| | Lennar Corp. Class A | 27,345 | 1,547 |
| | Genuine Parts Co. | 16,118 | 1,480 |
| | Wynn Resorts Ltd. | 8,808 | 1,475 |
| | Expedia Inc. | 13,701 | 1,441 |
| * | Liberty Interactive Corp. QVC Group Class A | 49,158 | 1,419 |
| | Lear Corp. | 7,602 | 1,418 |
| | Newell Brands Inc. | 54,496 | 1,400 |
| * | LKQ Corp. | 35,432 | 1,399 |
| | Nielsen Holdings plc | 40,110 | 1,309 |
| * | Ulta Beauty Inc. | 6,423 | 1,306 |
| | L Brands Inc. | 26,420 | 1,303 |
| | PVH Corp. | 8,967 | 1,294 |
| | Wyndham Worldwide Corp. | 11,086 | 1,284 |
| | Kohl's Corp. | 19,369 | 1,280 |
| | Darden Restaurants Inc. | 13,853 | 1,277 |
| * | Norwegian Cruise Line Holdings Ltd. | 22,268 | 1,267 |
| | Whirlpool Corp. | 7,745 | 1,258 |
1
| | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * CarMax Inc. | 20,108 | 1,245 |
| Viacom Inc. Class B | 36,832 | 1,228 |
| Hasbro Inc. | 12,734 | 1,217 |
| Tiffany & Co. | 11,881 | 1,200 |
| BorgWarner Inc. | 23,705 | 1,163 |
| Aramark | 27,281 | 1,138 |
| Fortune Brands Home & Security Inc. | 17,712 | 1,074 |
| Domino's Pizza Inc. | 4,787 | 1,065 |
| * NVR Inc. | 366 | 1,041 |
| ^ Sirius XM Holdings Inc. | 163,623 | 1,028 |
| Interpublic Group of Cos. Inc. | 43,714 | 1,023 |
| * DISH Network Corp. Class A | 24,204 | 1,009 |
| Coty Inc. Class A | 51,879 | 1,002 |
| * Michael Kors Holdings Ltd. | 15,773 | 993 |
| Macy's Inc. | 33,518 | 986 |
| Vail Resorts Inc. | 4,501 | 927 |
| * Liberty Broadband Corp. | 10,506 | 923 |
| * Burlington Stores Inc. | 7,449 | 914 |
| * Chipotle Mexican Grill Inc. Class A | 2,823 | 899 |
| Tractor Supply Co. | 13,818 | 897 |
| Advance Auto Parts Inc. | 7,848 | 897 |
| PulteGroup Inc. | 30,522 | 857 |
| * Lululemon Athletica Inc. | 10,456 | 848 |
| Scripps Networks Interactive Inc. Class A | 9,417 | 846 |
| Harley-Davidson Inc. | 18,454 | 837 |
| Gap Inc. | 26,430 | 835 |
| * Liberty Media Corp-Liberty SiriusXMClass C | 19,376 | 809 |
| KAR Auction Services Inc. | 14,795 | 800 |
| Hanesbrands Inc. | 41,123 | 798 |
| * WABCO Holdings Inc. | 5,706 | 787 |
| Garmin Ltd. | 13,247 | 785 |
| Goodyear Tire & Rubber Co. | 27,024 | 782 |
| Service Corp. International | 20,376 | 763 |
| * ServiceMaster Global Holdings Inc. | 14,732 | 757 |
| Polaris Industries Inc. | 6,541 | 746 |
| * Discovery Communications Inc. Class A | 30,594 | 744 |
| Toll Brothers Inc. | 16,631 | 729 |
| Thor Industries Inc. | 5,540 | 715 |
| * Liberty Media Corp-Liberty Formula One | 21,328 | 702 |
| Gentex Corp. | 30,906 | 702 |
| * Live Nation Entertainment Inc. | 15,033 | 673 |
| Nordstrom Inc. | 12,825 | 658 |
| News Corp. Class A | 40,493 | 653 |
| Adient plc | 10,333 | 641 |
| Ralph Lauren Corp. Class A | 6,046 | 640 |
| Leggett & Platt Inc. | 14,454 | 628 |
| Foot Locker Inc. | 13,549 | 622 |
| Mattel Inc. | 37,646 | 599 |
| Carter's Inc. | 5,084 | 593 |
| Pool Corp. | 4,273 | 590 |
| Dunkin' Brands Group Inc. | 9,836 | 589 |
| * Skechers U.S.A. Inc. Class A | 14,299 | 585 |
| H&R Block Inc. | 22,697 | 575 |
| * Bright Horizons Family Solutions Inc. | 5,889 | 563 |
| Brunswick Corp. | 9,533 | 545 |
| Cinemark Holdings Inc. | 11,541 | 491 |
| * Madison Square Garden Co. Class A | 2,009 | 491 |
| Williams-Sonoma Inc. | 9,316 | 482 |
| Delphi Technologies plc | 10,048 | 480 |
| * TripAdvisor Inc. | 11,839 | 474 |
| * Liberty Ventures Class A | 8,723 | 467 |
| Six Flags Entertainment Corp. | 7,161 | 459 |
| * Liberty Media Corp-Liberty SiriusXM Class A | 10,321 | 433 |
| Extended Stay America Inc. | 21,266 | 426 |
2
| | | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Visteon Corp. | 3,393 | 420 |
| * | Hyatt Hotels Corp. Class A | 4,988 | 385 |
| | Tribune Media Co. Class A | 8,906 | 371 |
| | Cable One Inc. | 534 | 364 |
| *,^ | Under Armour Inc. | 23,172 | 349 |
| * | Lions Gate Entertainment Corp. Class B | 12,993 | 349 |
| * | Liberty Broadband Corp. Class A | 3,886 | 340 |
| | Signet Jewelers Ltd. | 6,636 | 334 |
| * | Hilton Grand Vacations Inc. | 7,519 | 324 |
| * | Wayfair Inc. | 4,184 | 324 |
| | Bed Bath & Beyond Inc. | 14,979 | 321 |
| *,^ | AutoNation Inc. | 6,337 | 318 |
| | Wendy's Co. | 19,943 | 318 |
| * | Urban Outfitters Inc. | 8,876 | 313 |
| | International Game Technology plc | 11,809 | 313 |
| | John Wiley & Sons Inc. Class A | 4,826 | 310 |
| | TEGNA Inc. | 23,240 | 299 |
| | Graham Holdings Co. Class B | 510 | 296 |
| | Regal Entertainment Group Class A | 12,772 | 294 |
| * | Under Armour Inc. Class A | 17,543 | 291 |
| | Dick's Sporting Goods Inc. | 9,015 | 289 |
| | Choice Hotels International Inc. | 3,612 | 286 |
| * | Michaels Cos. Inc. | 12,118 | 279 |
| * | AMC Networks Inc. Class A | 5,284 | 278 |
| | Tupperware Brands Corp. | 5,547 | 272 |
| * | Murphy USA Inc. | 3,579 | 269 |
| * | Tempur Sealy International Inc. | 5,053 | 250 |
| | News Corp. Class B | 14,478 | 237 |
| * | Sally Beauty Holdings Inc. | 14,031 | 236 |
| * | Liberty Expedia Holdings Inc. Class A | 5,903 | 232 |
| * | Discovery Communications Inc. | 8,122 | 187 |
| | AMERCO | 531 | 183 |
| | Penske Automotive Group Inc. | 3,895 | 178 |
| | GameStop Corp. Class A | 10,909 | 171 |
| | Lennar Corp. Class B | 3,070 | 139 |
| * | Pandora Media Inc. | 29,109 | 128 |
| * | Lions Gate Entertainment Corp. Class A | 4,486 | 127 |
| | Viacom Inc. Class A | 3,229 | 126 |
| * | Floor & Decor Holdings Inc. Class A | 2,361 | 106 |
| * | Liberty Media Corp-Liberty Formula One Class A | 2,864 | 90 |
| * | Altice USA Inc. Class A | 1,263 | 23 |
| | | | 406,743 |
| Consumer Staples (6.1%) | | |
| | Procter & Gamble Co. | 285,306 | 22,402 |
| | Coca-Cola Co. | 427,907 | 18,494 |
| | Philip Morris International Inc. | 172,927 | 17,907 |
| | PepsiCo Inc. | 159,034 | 17,451 |
| | Altria Group Inc. | 212,641 | 13,386 |
| | CVS Health Corp. | 113,357 | 7,678 |
| | Mondelez International Inc. Class A | 163,216 | 7,165 |
| | Walgreens Boots Alliance Inc. | 97,149 | 6,693 |
| | Colgate-Palmolive Co. | 95,635 | 6,596 |
| | Kraft Heinz Co. | 66,930 | 4,488 |
| | Kimberly-Clark Corp. | 39,669 | 4,400 |
| | Constellation Brands Inc. Class A | 18,087 | 3,897 |
| | General Mills Inc. | 63,296 | 3,200 |
| | Sysco Corp. | 53,448 | 3,188 |
| * | Monster Beverage Corp. | 45,807 | 2,903 |
| | Kroger Co. | 99,481 | 2,698 |
| | Archer-Daniels-Midland Co. | 61,472 | 2,552 |
| | Dr Pepper Snapple Group Inc. | 20,303 | 2,360 |
| | Tyson Foods Inc. Class A | 31,009 | 2,306 |
| | Clorox Co. | 14,358 | 1,853 |
| | Kellogg Co. | 27,317 | 1,808 |
3
| | | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Conagra Brands Inc. | 43,594 | 1,575 |
| | JM Smucker Co. | 12,308 | 1,554 |
| | Hershey Co. | 15,638 | 1,537 |
| | Molson Coors Brewing Co. Class B | 19,307 | 1,472 |
| | McCormick & Co. Inc. | 13,511 | 1,443 |
| | Church & Dwight Co. Inc. | 27,917 | 1,373 |
| | Brown-Forman Corp. Class B | 19,182 | 1,339 |
| | Bunge Ltd. | 15,436 | 1,164 |
| | Ingredion Inc. | 7,851 | 1,026 |
| | Hormel Foods Corp. | 29,658 | 963 |
| | Lamb Weston Holdings Inc. | 16,064 | 869 |
| | Campbell Soup Co. | 19,427 | 836 |
| * | US Foods Holding Corp. | 23,369 | 780 |
| | Pinnacle Foods Inc. | 12,970 | 700 |
| * | Herbalife Ltd. | 7,011 | 646 |
| * | Post Holdings Inc. | 7,092 | 537 |
| | Casey's General Stores Inc. | 4,131 | 464 |
| | Brown-Forman Corp. Class A | 6,455 | 439 |
| * | Blue Buffalo Pet Products Inc. | 10,227 | 410 |
| | Flowers Foods Inc. | 19,392 | 402 |
| | Nu Skin Enterprises Inc. Class A | 5,647 | 397 |
| * | Hain Celestial Group Inc. | 11,146 | 388 |
| * | Sprouts Farmers Market Inc. | 14,775 | 381 |
| | Energizer Holdings Inc. | 6,560 | 357 |
| * | Edgewell Personal Care Co. | 6,257 | 314 |
| | Spectrum Brands Holdings Inc. | 2,716 | 268 |
| * | Rite Aid Corp. | 122,578 | 241 |
| * | TreeHouse Foods Inc. | 6,003 | 228 |
| * | Pilgrim's Pride Corp. | 6,116 | 154 |
| | Seaboard Corp. | 30 | 122 |
| *,2 | Herbalife Ltd. CVR | 1,316 | 13 |
| | | | 175,817 |
| Energy (5.4%) | | |
| | Exxon Mobil Corp. | 472,928 | 35,820 |
| | Chevron Corp. | 210,791 | 23,592 |
| | Schlumberger Ltd. | 154,834 | 10,163 |
| | ConocoPhillips | 133,579 | 7,255 |
| | EOG Resources Inc. | 64,102 | 6,501 |
| | Occidental Petroleum Corp. | 84,874 | 5,568 |
| | Halliburton Co. | 96,205 | 4,466 |
| | Valero Energy Corp. | 48,581 | 4,393 |
| | Phillips 66 | 48,437 | 4,377 |
| | Anadarko Petroleum Corp. | 60,868 | 3,472 |
| | Kinder Morgan Inc. | 213,906 | 3,465 |
| | Marathon Petroleum Corp. | 53,829 | 3,448 |
| | Pioneer Natural Resources Co. | 18,779 | 3,197 |
| | Williams Cos. Inc. | 91,957 | 2,553 |
| * | Concho Resources Inc. | 16,381 | 2,470 |
| | ONEOK Inc. | 41,538 | 2,340 |
| | Devon Energy Corp. | 58,118 | 1,782 |
| | Noble Energy Inc. | 53,764 | 1,604 |
| | Andeavor | 17,411 | 1,560 |
| | National Oilwell Varco Inc. | 42,619 | 1,496 |
| | Hess Corp. | 32,765 | 1,488 |
| | Apache Corp. | 42,479 | 1,451 |
| | Marathon Oil Corp. | 94,215 | 1,368 |
| * | Diamondback Energy Inc. | 10,955 | 1,365 |
| | EQT Corp. | 26,217 | 1,319 |
| | Baker Hughes a GE Co. | 47,674 | 1,259 |
| | Cabot Oil & Gas Corp. | 50,717 | 1,225 |
| * | Cheniere Energy Inc. | 22,788 | 1,197 |
| | Targa Resources Corp. | 24,546 | 1,096 |
| | Cimarex Energy Co. | 10,526 | 1,011 |
| | HollyFrontier Corp. | 19,871 | 851 |
4
| | | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Helmerich & Payne Inc. | 11,634 | 751 |
| * | Parsley Energy Inc. Class A | 25,608 | 647 |
| * | WPX Energy Inc. | 43,242 | 611 |
| * | Energen Corp. | 10,588 | 579 |
| * | First Solar Inc. | 9,132 | 574 |
| * | RSP Permian Inc. | 14,317 | 549 |
| | Valvoline Inc. | 22,852 | 524 |
| * | Newfield Exploration Co. | 21,759 | 508 |
| * | Antero Resources Corp. | 25,167 | 473 |
| * | Continental Resources Inc. | 9,518 | 452 |
| | Murphy Oil Corp. | 17,799 | 451 |
| | Patterson-UTI Energy Inc. | 22,797 | 412 |
| | CNX Resources Corp. | 24,873 | 400 |
| * | Transocean Ltd. | 43,012 | 392 |
| | PBF Energy Inc. Class A | 12,392 | 363 |
| | Range Resources Corp. | 24,941 | 331 |
| * | Chesapeake Energy Corp. | 98,639 | 278 |
| *,^ | Centennial Resource Development Inc.Class A | 14,313 | 273 |
| * | Whiting Petroleum Corp. | 9,825 | 267 |
| * | Weatherford International plc | 96,620 | 254 |
| * | QEP Resources Inc. | 27,643 | 238 |
| | Nabors Industries Ltd. | 34,764 | 225 |
| | SM Energy Co. | 12,103 | 222 |
| | Oceaneering International Inc. | 10,694 | 197 |
| * | Southwestern Energy Co. | 55,042 | 197 |
| * | Gulfport Energy Corp. | 17,322 | 168 |
| | World Fuel Services Corp. | 7,270 | 166 |
| * | Extraction Oil & Gas Inc. | 13,035 | 157 |
| * | Laredo Petroleum Inc. | 17,584 | 148 |
| * | Kosmos Energy Ltd. | 25,075 | 135 |
| | RPC Inc. | 6,279 | 123 |
| * | CONSOL Energy Inc. | 3,552 | 113 |
| | | | 154,330 |
| Financial Services (21.2%) | | |
| | JPMorgan Chase & Co. | 384,847 | 44,450 |
| * | Berkshire Hathaway Inc. Class B | 214,218 | 44,386 |
| | Bank of America Corp. | 1,079,557 | 34,654 |
| | Wells Fargo & Co. | 492,821 | 28,786 |
| | Visa Inc. Class A | 202,760 | 24,927 |
| | Citigroup Inc. | 294,590 | 22,239 |
| | Mastercard Inc. Class A | 104,925 | 18,442 |
| | Goldman Sachs Group Inc. | 39,200 | 10,307 |
| * | PayPal Holdings Inc. | 125,974 | 10,004 |
| | US Bancorp | 174,056 | 9,462 |
| | PNC Financial Services Group Inc. | 53,757 | 8,475 |
| | Morgan Stanley | 143,366 | 8,031 |
| | American Express Co. | 80,039 | 7,805 |
| | BlackRock Inc. | 13,900 | 7,637 |
| | Chubb Ltd. | 51,768 | 7,347 |
| | Charles Schwab Corp. | 132,006 | 6,999 |
| | American Tower Corp. | 46,908 | 6,536 |
| | CME Group Inc. | 37,857 | 6,290 |
| | Bank of New York Mellon Corp. | 110,284 | 6,289 |
| | American International Group Inc. | 100,440 | 5,759 |
| | S&P Global Inc. | 28,890 | 5,541 |
| | Simon Property Group Inc. | 34,550 | 5,304 |
| | Capital One Financial Corp. | 53,647 | 5,254 |
| | Prudential Financial Inc. | 47,614 | 5,062 |
| | Crown Castle International Corp. | 44,652 | 4,914 |
| | BB&T Corp. | 87,600 | 4,761 |
| | Marsh & McLennan Cos. Inc. | 57,158 | 4,745 |
| | Intercontinental Exchange Inc. | 64,913 | 4,744 |
| | MetLife Inc. | 100,689 | 4,651 |
| | State Street Corp. | 41,530 | 4,408 |
5
| | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Travelers Cos. Inc. | 30,722 | 4,270 |
| Aon plc | 27,561 | 3,867 |
| Aflac Inc. | 43,155 | 3,836 |
| Allstate Corp. | 40,397 | 3,727 |
| SunTrust Banks Inc. | 53,015 | 3,703 |
| Progressive Corp. | 64,281 | 3,701 |
| Prologis Inc. | 58,658 | 3,559 |
| Fidelity National Information Services Inc. | 36,574 | 3,554 |
| * Fiserv Inc. | 23,616 | 3,386 |
| Equinix Inc. | 8,608 | 3,375 |
| Public Storage | 16,455 | 3,199 |
| Discover Financial Services | 40,414 | 3,186 |
| Synchrony Financial | 87,415 | 3,181 |
| Moody's Corp. | 18,459 | 3,080 |
| M&T Bank Corp. | 15,757 | 2,991 |
| T. Rowe Price Group Inc. | 26,181 | 2,930 |
| Weyerhaeuser Co. | 83,297 | 2,918 |
| Fifth Third Bancorp | 78,835 | 2,605 |
| * Worldpay Inc. Class A | 31,686 | 2,575 |
| Ameriprise Financial Inc. | 16,440 | 2,572 |
| Regions Financial Corp. | 129,346 | 2,511 |
| KeyCorp | 118,713 | 2,508 |
| Northern Trust Corp. | 23,282 | 2,465 |
| AvalonBay Communities Inc. | 15,344 | 2,394 |
| Citizens Financial Group Inc. | 54,635 | 2,376 |
| Digital Realty Trust Inc. | 22,791 | 2,294 |
| Equity Residential | 39,783 | 2,237 |
| Willis Towers Watson plc | 14,109 | 2,228 |
| Welltower Inc. | 40,999 | 2,152 |
| * SBA Communications Corp. Class A | 13,402 | 2,108 |
| Hartford Financial Services Group Inc. | 39,557 | 2,091 |
| Boston Properties Inc. | 17,027 | 2,024 |
| * FleetCor Technologies Inc. | 9,935 | 1,986 |
| Global Payments Inc. | 16,953 | 1,922 |
| Ventas Inc. | 39,551 | 1,911 |
| Huntington Bancshares Inc. | 120,944 | 1,899 |
| Comerica Inc. | 19,396 | 1,886 |
| Lincoln National Corp. | 24,385 | 1,857 |
| Principal Financial Group Inc. | 29,733 | 1,853 |
| Total System Services Inc. | 20,630 | 1,814 |
| * Markel Corp. | 1,517 | 1,687 |
| First Republic Bank | 17,968 | 1,667 |
| Essex Property Trust Inc. | 7,309 | 1,636 |
| TD Ameritrade Holding Corp. | 28,260 | 1,625 |
| * CBRE Group Inc. Class A | 34,073 | 1,593 |
| * E*TRADE Financial Corp. | 30,175 | 1,576 |
| Realty Income Corp. | 31,554 | 1,552 |
| Loews Corp. | 30,745 | 1,517 |
| Host Hotels & Resorts Inc. | 81,660 | 1,516 |
| Equifax Inc. | 13,347 | 1,508 |
| Invesco Ltd. | 44,938 | 1,462 |
| GGP Inc. | 69,027 | 1,461 |
| * SVB Financial Group | 5,772 | 1,437 |
| Franklin Resources Inc. | 36,841 | 1,425 |
| Ally Financial Inc. | 49,869 | 1,391 |
| MSCI Inc. Class A | 9,826 | 1,391 |
| Arthur J Gallagher & Co. | 19,962 | 1,380 |
| Cboe Global Markets Inc. | 12,236 | 1,371 |
| Broadridge Financial Solutions Inc. | 13,478 | 1,353 |
| Raymond James Financial Inc. | 14,111 | 1,308 |
| Alliance Data Systems Corp. | 5,371 | 1,294 |
| Cincinnati Financial Corp. | 17,350 | 1,294 |
| Unum Group | 25,326 | 1,291 |
| Vornado Realty Trust | 19,301 | 1,283 |
6
| | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Annaly Capital Management Inc. | 125,990 | 1,264 |
| Alexandria Real Estate Equities Inc. | 10,413 | 1,263 |
| * Square Inc. | 26,675 | 1,228 |
| XL Group Ltd. | 28,345 | 1,199 |
| * Arch Capital Group Ltd. | 13,578 | 1,198 |
| Zions Bancorporation | 21,655 | 1,190 |
| Affiliated Managers Group Inc. | 6,211 | 1,176 |
| FNF Group | 29,014 | 1,159 |
| Extra Space Storage Inc. | 13,504 | 1,149 |
| HCP Inc. | 52,255 | 1,131 |
| Reinsurance Group of America Inc. Class A | 7,215 | 1,110 |
| Mid-America Apartment Communities Inc. | 12,745 | 1,094 |
| SL Green Realty Corp. | 11,235 | 1,089 |
| Torchmark Corp. | 12,709 | 1,085 |
| Everest Re Group Ltd. | 4,511 | 1,084 |
| SEI Investments Co. | 14,710 | 1,071 |
| Voya Financial Inc. | 20,289 | 1,035 |
| East West Bancorp Inc. | 15,773 | 1,034 |
| Jack Henry & Associates Inc. | 8,683 | 1,019 |
| * Alleghany Corp. | 1,677 | 1,017 |
| Nasdaq Inc. | 12,504 | 1,010 |
| Western Union Co. | 50,506 | 1,001 |
| Duke Realty Corp. | 40,202 | 996 |
| * TransUnion | 17,279 | 986 |
| UDR Inc. | 29,165 | 981 |
| Iron Mountain Inc. | 30,542 | 961 |
| Regency Centers Corp. | 16,368 | 951 |
| Federal Realty Investment Trust | 8,114 | 924 |
| Macerich Co. | 15,301 | 902 |
| * Signature Bank | 6,096 | 891 |
| FactSet Research Systems Inc. | 4,344 | 883 |
| American Financial Group Inc. | 7,718 | 871 |
| Leucadia National Corp. | 35,575 | 853 |
| MarketAxess Holdings Inc. | 4,037 | 817 |
| * First Data Corp. Class A | 52,053 | 813 |
| Jones Lang LaSalle Inc. | 4,967 | 798 |
| Camden Property Trust | 9,964 | 794 |
| VEREIT Inc. | 115,491 | 791 |
| AGNC Investment Corp. | 43,087 | 773 |
| Sun Communities Inc. | 8,749 | 766 |
| CIT Group Inc. | 14,408 | 764 |
| Gaming and Leisure Properties Inc. | 22,787 | 758 |
| Equity LifeStyle Properties Inc. | 8,913 | 754 |
| PacWest Bancorp | 14,309 | 746 |
| People's United Financial Inc. | 37,730 | 722 |
| Kilroy Realty Corp. | 10,562 | 719 |
| WR Berkley Corp. | 10,484 | 717 |
| New York Community Bancorp Inc. | 52,405 | 714 |
| Invitation Homes Inc. | 32,795 | 713 |
| WP Carey Inc. | 11,597 | 695 |
| Lazard Ltd. Class A | 12,861 | 694 |
| First American Financial Corp. | 11,777 | 683 |
| Kimco Realty Corp. | 45,285 | 677 |
| Brown & Brown Inc. | 12,865 | 677 |
| Bank of the Ozarks | 13,405 | 669 |
| Apartment Investment & Management Co. | 17,103 | 661 |
| Eaton Vance Corp. | 12,248 | 648 |
| Prosperity Bancshares Inc. | 8,631 | 647 |
| New Residential Investment Corp. | 40,122 | 647 |
| LPL Financial Holdings Inc. | 9,987 | 642 |
| Synovus Financial Corp. | 12,983 | 640 |
| * WEX Inc. | 4,274 | 639 |
| Cullen/Frost Bankers Inc. | 6,141 | 639 |
| Liberty Property Trust | 16,154 | 634 |
7
| | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| First Horizon National Corp. | 33,060 | 630 |
| Douglas Emmett Inc. | 17,448 | 624 |
| * Western Alliance Bancorp | 10,628 | 621 |
| National Retail Properties Inc. | 16,583 | 618 |
| Lamar Advertising Co. Class A | 9,084 | 604 |
| Forest City Realty Trust Inc. Class A | 28,283 | 602 |
| Commerce Bancshares Inc. | 10,344 | 598 |
| Starwood Property Trust Inc. | 28,488 | 577 |
| Validus Holdings Ltd. | 8,443 | 571 |
| * Athene Holding Ltd. Class A | 11,971 | 565 |
| DCT Industrial Trust Inc. | 10,142 | 561 |
| RenaissanceRe Holdings Ltd. | 4,372 | 561 |
| Healthcare Trust of America Inc. Class A | 22,211 | 552 |
| Associated Banc-Corp | 22,132 | 547 |
| Webster Financial Corp. | 10,006 | 546 |
| American Campus Communities Inc. | 14,919 | 544 |
| Omega Healthcare Investors Inc. | 21,315 | 543 |
| CubeSmart | 20,190 | 541 |
| Hudson Pacific Properties Inc. | 17,040 | 538 |
| Old Republic International Corp. | 26,755 | 536 |
| Dun & Bradstreet Corp. | 4,237 | 530 |
| Interactive Brokers Group Inc. | 7,576 | 526 |
| * SLM Corp. | 47,756 | 521 |
| * Howard Hughes Corp. | 4,042 | 518 |
| Brixmor Property Group Inc. | 33,341 | 518 |
| * Brighthouse Financial Inc. | 9,485 | 515 |
| Assurant Inc. | 5,895 | 504 |
| American Homes 4 Rent Class A | 26,156 | 502 |
| Hanover Insurance Group Inc. | 4,647 | 501 |
| Pinnacle Financial Partners Inc. | 7,710 | 498 |
| CyrusOne Inc. | 9,900 | 494 |
| FNB Corp. | 35,057 | 491 |
| * Zillow Group Inc. | 10,263 | 489 |
| Medical Properties Trust Inc. | 39,571 | 485 |
| Highwoods Properties Inc. | 11,162 | 480 |
| Rayonier Inc. | 14,120 | 480 |
| * Equity Commonwealth | 15,927 | 469 |
| * Euronet Worldwide Inc. | 5,483 | 465 |
| Popular Inc. | 11,042 | 464 |
| Colony NorthStar Inc. Class A | 59,120 | 460 |
| BankUnited Inc. | 11,389 | 458 |
| Hospitality Properties Trust | 17,798 | 453 |
| STORE Capital Corp. | 18,575 | 443 |
| Axis Capital Holdings Ltd. | 8,957 | 442 |
| Assured Guaranty Ltd. | 12,679 | 438 |
| Life Storage Inc. | 5,335 | 419 |
| Park Hotels & Resorts Inc. | 15,814 | 411 |
| * CoreLogic Inc. | 8,974 | 408 |
| * Credit Acceptance Corp. | 1,274 | 401 |
| EPR Properties | 6,854 | 395 |
| Apple Hospitality REIT Inc. | 23,066 | 392 |
| Senior Housing Properties Trust | 25,837 | 391 |
| TCF Financial Corp. | 17,392 | 388 |
| Spirit Realty Capital Inc. | 49,714 | 388 |
| Bank of Hawaii Corp. | 4,655 | 382 |
| Taubman Centers Inc. | 6,449 | 377 |
| Navient Corp. | 28,667 | 372 |
| Realogy Holdings Corp. | 14,509 | 371 |
| Legg Mason Inc. | 8,944 | 357 |
| * Zillow Group Inc. Class A | 7,497 | 356 |
| Weingarten Realty Investors | 13,105 | 356 |
| CoreSite Realty Corp. | 3,691 | 346 |
| Chimera Investment Corp. | 20,584 | 345 |
| Federated Investors Inc. Class B | 10,360 | 338 |
8
| | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| BGC Partners Inc. Class A | 25,277 | 334 |
| White Mountains Insurance Group Ltd. | 413 | 333 |
| Erie Indemnity Co. Class A | 2,711 | 314 |
| Paramount Group Inc. | 22,474 | 313 |
| Outfront Media Inc. | 15,106 | 310 |
| MFA Financial Inc. | 43,474 | 310 |
| JBG SMITH Properties | 9,405 | 307 |
| Retail Properties of America Inc. | 24,677 | 295 |
| Brandywine Realty Trust | 18,779 | 294 |
| Piedmont Office Realty Trust Inc. Class A | 15,924 | 286 |
| CoreCivic Inc. | 13,505 | 281 |
| Two Harbors Investment Corp. | 18,987 | 279 |
| Uniti Group Inc. | 18,100 | 278 |
| ProAssurance Corp. | 5,773 | 276 |
| Columbia Property Trust Inc. | 13,193 | 275 |
| Corporate Office Properties Trust | 10,857 | 271 |
| Santander Consumer USA Holdings Inc. | 16,235 | 265 |
| BOK Financial Corp. | 2,757 | 260 |
| DDR Corp. | 33,340 | 260 |
| Aspen Insurance Holdings Ltd. | 6,492 | 236 |
| Empire State Realty Trust Inc. | 13,971 | 236 |
| Tanger Factory Outlet Centers Inc. | 9,988 | 223 |
| * OneMain Holdings Inc. | 7,221 | 221 |
| Morningstar Inc. | 2,097 | 196 |
| First Hawaiian Inc. | 5,904 | 164 |
| CNA Financial Corp. | 2,992 | 153 |
| Mercury General Corp. | 2,976 | 136 |
| TFS Financial Corp. | 7,327 | 107 |
| American National Insurance Co. | 827 | 97 |
| * VICI Properties Inc. | 596 | 12 |
| | | 606,952 |
| Health Care (13.0%) | | |
| Johnson & Johnson | 300,387 | 39,014 |
| UnitedHealth Group Inc. | 106,924 | 24,182 |
| Pfizer Inc. | 659,531 | 23,948 |
| AbbVie Inc. | 177,537 | 20,564 |
| Merck & Co. Inc. | 304,795 | 16,526 |
| Amgen Inc. | 82,046 | 15,078 |
| Bristol-Myers Squibb Co. | 183,454 | 12,145 |
| Medtronic plc | 151,008 | 12,064 |
| Gilead Sciences Inc. | 145,050 | 11,420 |
| Abbott Laboratories | 188,418 | 11,367 |
| Thermo Fisher Scientific Inc. | 44,535 | 9,289 |
| Eli Lilly & Co. | 109,120 | 8,404 |
| * Celgene Corp. | 86,060 | 7,498 |
| * Biogen Inc. | 23,549 | 6,805 |
| Anthem Inc. | 28,753 | 6,768 |
| Danaher Corp. | 68,668 | 6,714 |
| Becton Dickinson and Co. | 28,914 | 6,419 |
| Aetna Inc. | 35,366 | 6,262 |
| Stryker Corp. | 37,759 | 6,123 |
| Allergan plc | 37,338 | 5,758 |
| * Intuitive Surgical Inc. | 12,332 | 5,259 |
| Cigna Corp. | 26,601 | 5,211 |
| * Express Scripts Holding Co. | 62,933 | 4,748 |
| * Vertex Pharmaceuticals Inc. | 27,994 | 4,648 |
| Zoetis Inc. | 54,600 | 4,415 |
| Humana Inc. | 15,841 | 4,306 |
| * Boston Scientific Corp. | 152,003 | 4,144 |
| Baxter International Inc. | 55,361 | 3,753 |
| * Illumina Inc. | 16,172 | 3,688 |
| McKesson Corp. | 23,538 | 3,513 |
| HCA Healthcare Inc. | 31,745 | 3,151 |
| * Edwards Lifesciences Corp. | 23,190 | 3,100 |
9
| | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * Alexion Pharmaceuticals Inc. | 24,201 | 2,842 |
| * Regeneron Pharmaceuticals Inc. | 8,791 | 2,817 |
| Zimmer Biomet Holdings Inc. | 22,452 | 2,610 |
| Agilent Technologies Inc. | 35,878 | 2,461 |
| Cardinal Health Inc. | 35,220 | 2,438 |
| * Mylan NV | 59,332 | 2,392 |
| * Align Technology Inc. | 8,828 | 2,318 |
| * Cerner Corp. | 32,037 | 2,056 |
| * Laboratory Corp. of America Holdings | 11,441 | 1,976 |
| * Centene Corp. | 18,982 | 1,925 |
| * IDEXX Laboratories Inc. | 9,620 | 1,801 |
| * IQVIA Holdings Inc. | 17,828 | 1,753 |
| AmerisourceBergen Corp. Class A | 17,764 | 1,690 |
| * Incyte Corp. | 19,399 | 1,652 |
| Quest Diagnostics Inc. | 15,342 | 1,581 |
| * BioMarin Pharmaceutical Inc. | 19,467 | 1,580 |
| ResMed Inc. | 15,477 | 1,475 |
| Dentsply Sirona Inc. | 25,254 | 1,416 |
| * Bioverativ Inc. | 12,136 | 1,270 |
| Teleflex Inc. | 4,949 | 1,236 |
| Cooper Cos. Inc. | 5,344 | 1,232 |
| * ABIOMED Inc. | 4,546 | 1,219 |
| * Varian Medical Systems Inc. | 10,211 | 1,219 |
| * DaVita Inc. | 16,825 | 1,212 |
| Perrigo Co. plc | 14,861 | 1,211 |
| * Hologic Inc. | 30,932 | 1,201 |
| * Henry Schein Inc. | 17,756 | 1,175 |
| * Alnylam Pharmaceuticals Inc. | 9,453 | 1,136 |
| Universal Health Services Inc. Class B | 9,428 | 1,077 |
| * Alkermes plc | 16,981 | 969 |
| * WellCare Health Plans Inc. | 4,894 | 949 |
| PerkinElmer Inc. | 12,280 | 937 |
| STERIS plc | 9,839 | 898 |
| * QIAGEN NV | 24,784 | 835 |
| * Exelixis Inc. | 32,241 | 832 |
| * Veeva Systems Inc. Class A | 11,829 | 824 |
| * Neurocrine Biosciences Inc. | 9,546 | 806 |
| * Ionis Pharmaceuticals Inc. | 13,593 | 718 |
| West Pharmaceutical Services Inc. | 8,162 | 712 |
| * Juno Therapeutics Inc. | 7,513 | 652 |
| * Seattle Genetics Inc. | 11,582 | 625 |
| * athenahealth Inc. | 4,444 | 621 |
| * Bio-Rad Laboratories Inc. Class A | 2,275 | 614 |
| Hill-Rom Holdings Inc. | 7,156 | 599 |
| Bio-Techne Corp. | 4,062 | 574 |
| * MEDNAX Inc. | 10,399 | 572 |
| * Charles River Laboratories International Inc. | 5,129 | 547 |
| * United Therapeutics Corp. | 4,706 | 545 |
| * DexCom Inc. | 9,689 | 544 |
| * Envision Healthcare Corp. | 13,375 | 515 |
| * Agios Pharmaceuticals Inc. | 5,248 | 422 |
| Bruker Corp. | 11,101 | 340 |
| * Acadia Healthcare Co. Inc. | 8,570 | 327 |
| Patterson Cos. Inc. | 8,878 | 280 |
| * ACADIA Pharmaceuticals Inc. | 10,685 | 266 |
| * TESARO Inc. | 4,072 | 225 |
| * Premier Inc. Class A | 6,120 | 203 |
| * LifePoint Health Inc. | 3,945 | 182 |
| * Mallinckrodt plc | 10,371 | 173 |
| * Akorn Inc. | 9,901 | 168 |
| * Endo International plc | 24,323 | 153 |
| * OPKO Health Inc. | 39,660 | 134 |
| * Brookdale Senior Living Inc. | 20,089 | 131 |
| * Intercept Pharmaceuticals Inc. | 2,161 | 129 |
10
| | | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| *,^ | Intrexon Corp. | 6,399 | 83 |
| * | Quorum Health Corp. | 35 | — |
| | | | 374,359 |
| Materials & Processing (3.6%) | | |
| | DowDuPont Inc. | 259,757 | 18,261 |
| | Monsanto Co. | 48,912 | 6,034 |
| | Praxair Inc. | 31,936 | 4,782 |
| | LyondellBasell Industries NV Class A | 36,074 | 3,904 |
| | Air Products & Chemicals Inc. | 23,726 | 3,815 |
| | Ecolab Inc. | 28,542 | 3,723 |
| | Sherwin-Williams Co. | 9,106 | 3,657 |
| | PPG Industries Inc. | 28,456 | 3,200 |
| * | Freeport-McMoRan Inc. | 150,290 | 2,795 |
| | International Paper Co. | 45,820 | 2,730 |
| | Ingersoll-Rand plc | 27,845 | 2,473 |
| | Nucor Corp. | 35,680 | 2,333 |
| | Newmont Mining Corp. | 59,241 | 2,263 |
| | WestRock Co. | 28,068 | 1,846 |
| | Fastenal Co. | 32,334 | 1,769 |
| | Vulcan Materials Co. | 14,659 | 1,726 |
| | Eastman Chemical Co. | 16,081 | 1,625 |
| | Ball Corp. | 38,836 | 1,552 |
| | Celanese Corp. Class A | 15,170 | 1,530 |
| | Masco Corp. | 36,500 | 1,501 |
| | Martin Marietta Materials Inc. | 7,020 | 1,432 |
| | Packaging Corp. of America | 10,572 | 1,260 |
| | Albemarle Corp. | 12,495 | 1,255 |
| | International Flavors & Fragrances Inc. | 8,860 | 1,251 |
| | Steel Dynamics Inc. | 25,599 | 1,184 |
| | FMC Corp. | 14,771 | 1,159 |
| | CF Industries Holdings Inc. | 25,869 | 1,067 |
| | Mosaic Co. | 38,578 | 1,015 |
| | Owens Corning | 12,177 | 990 |
| | Chemours Co. | 20,449 | 972 |
| * | Alcoa Corp. | 20,253 | 911 |
| | Lennox International Inc. | 4,327 | 885 |
| | Sealed Air Corp. | 19,655 | 833 |
| | United States Steel Corp. | 19,093 | 831 |
| | Reliance Steel & Aluminum Co. | 8,672 | 782 |
| * | Berry Global Group Inc. | 14,200 | 772 |
| * | Axalta Coating Systems Ltd. | 23,826 | 734 |
| | RPM International Inc. | 14,335 | 713 |
| | Huntsman Corp. | 21,967 | 709 |
| * | Crown Holdings Inc. | 14,221 | 709 |
| | Hexcel Corp. | 9,772 | 657 |
| | Acuity Brands Inc. | 4,595 | 655 |
| | AptarGroup Inc. | 6,747 | 603 |
| | Olin Corp. | 18,504 | 601 |
| | Royal Gold Inc. | 7,104 | 574 |
| | Watsco Inc. | 3,315 | 548 |
| | Graphic Packaging Holding Co. | 33,942 | 520 |
| | Sonoco Products Co. | 10,753 | 516 |
| | Eagle Materials Inc. | 5,106 | 512 |
| | WR Grace & Co. | 7,450 | 493 |
| | Ashland Global Holdings Inc. | 6,800 | 482 |
| | Southern Copper Corp. | 8,904 | 470 |
| | Versum Materials Inc. | 11,899 | 441 |
| | Westlake Chemical Corp. | 4,037 | 437 |
| | Bemis Co. Inc. | 9,886 | 436 |
| | Scotts Miracle-Gro Co. | 4,723 | 424 |
| | Cabot Corp. | 6,680 | 402 |
| * | Owens-Illinois Inc. | 17,717 | 382 |
| | Valmont Industries Inc. | 2,526 | 372 |
| * | Univar Inc. | 12,528 | 361 |
11
| | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| NewMarket Corp. | 806 | 337 |
| Timken Co. | 7,548 | 331 |
| * USG Corp. | 9,291 | 311 |
| Domtar Corp. | 6,824 | 305 |
| * Armstrong World Industries Inc. | 4,830 | 291 |
| * Platform Specialty Products Corp. | 23,972 | 250 |
| Silgan Holdings Inc. | 8,092 | 230 |
| Tahoe Resources Inc. | 31,266 | 153 |
| Ardagh Group SA | 1,573 | 29 |
| | | 103,106 |
| Other (0.0%)3 | | |
| * ADT Inc. | 1,950 | 21 |
| |
| Producer Durables (10.8%) | | |
| Boeing Co. | 62,009 | 22,460 |
| 3M Co. | 64,619 | 15,218 |
| General Electric Co. | 967,415 | 13,650 |
| Honeywell International Inc. | 84,719 | 12,802 |
| Union Pacific Corp. | 87,728 | 11,427 |
| United Technologies Corp. | 83,027 | 11,187 |
| Accenture plc Class A | 69,031 | 11,115 |
| Lockheed Martin Corp. | 27,923 | 9,841 |
| Caterpillar Inc. | 63,213 | 9,775 |
| United Parcel Service Inc. Class B | 76,806 | 8,019 |
| Raytheon Co. | 32,539 | 7,078 |
| FedEx Corp. | 27,500 | 6,776 |
| General Dynamics Corp. | 28,879 | 6,424 |
| Northrop Grumman Corp. | 17,918 | 6,272 |
| Automatic Data Processing Inc. | 49,821 | 5,745 |
| Deere & Co. | 35,357 | 5,688 |
| Illinois Tool Works Inc. | 33,843 | 5,464 |
| CSX Corp. | 94,988 | 5,103 |
| Emerson Electric Co. | 71,423 | 5,075 |
| Norfolk Southern Corp. | 32,172 | 4,475 |
| Waste Management Inc. | 48,280 | 4,168 |
| Eaton Corp. plc | 49,675 | 4,009 |
| Delta Air Lines Inc. | 72,697 | 3,918 |
| Johnson Controls International plc | 104,080 | 3,837 |
| Southwest Airlines Co. | 62,018 | 3,587 |
| Roper Technologies Inc. | 11,185 | 3,077 |
| Cummins Inc. | 17,667 | 2,971 |
| PACCAR Inc. | 38,240 | 2,738 |
| Stanley Black & Decker Inc. | 17,022 | 2,710 |
| Fortive Corp. | 34,263 | 2,631 |
| Parker-Hannifin Corp. | 14,653 | 2,615 |
| American Airlines Group Inc. | 48,040 | 2,606 |
| Rockwell Automation Inc. | 14,299 | 2,585 |
| Rockwell Collins Inc. | 18,039 | 2,484 |
| Paychex Inc. | 36,014 | 2,346 |
| * United Continental Holdings Inc. | 30,006 | 2,034 |
| AMETEK Inc. | 25,041 | 1,897 |
| L3 Technologies Inc. | 8,854 | 1,838 |
| Textron Inc. | 29,280 | 1,752 |
| * Waters Corp. | 8,543 | 1,748 |
| * Mettler-Toledo International Inc. | 2,818 | 1,737 |
| Dover Corp. | 17,078 | 1,710 |
| * Verisk Analytics Inc. Class A | 16,710 | 1,708 |
| Republic Services Inc. Class A | 25,362 | 1,704 |
| * United Rentals Inc. | 9,395 | 1,645 |
| Cintas Corp. | 9,634 | 1,644 |
| TransDigm Group Inc. | 5,329 | 1,536 |
| WW Grainger Inc. | 5,784 | 1,513 |
| Xylem Inc. | 20,113 | 1,500 |
| CH Robinson Worldwide Inc. | 15,709 | 1,467 |
12
| | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * CoStar Group Inc. | 3,928 | 1,344 |
| * XPO Logistics Inc. | 13,109 | 1,290 |
| Pentair plc | 18,782 | 1,290 |
| Huntington Ingalls Industries Inc. | 4,913 | 1,287 |
| Expeditors International of Washington Inc. | 19,522 | 1,268 |
| Spirit AeroSystems Holdings Inc. Class A | 12,983 | 1,185 |
| Kansas City Southern | 11,365 | 1,171 |
| Arconic Inc. | 47,870 | 1,168 |
| Avery Dennison Corp. | 9,858 | 1,165 |
| JB Hunt Transport Services Inc. | 9,767 | 1,158 |
| IDEX Corp. | 8,402 | 1,149 |
| * Trimble Inc. | 28,138 | 1,067 |
| * Copart Inc. | 22,494 | 1,053 |
| AO Smith Corp. | 15,940 | 1,023 |
| Snap-on Inc. | 6,377 | 1,015 |
| * Sensata Technologies Holding NV | 18,610 | 984 |
| * Keysight Technologies Inc. | 20,880 | 982 |
| Old Dominion Freight Line Inc. | 6,725 | 934 |
| Fluor Corp. | 16,281 | 926 |
| Allegion plc | 10,493 | 883 |
| Nordson Corp. | 6,523 | 875 |
| ManpowerGroup Inc. | 7,353 | 871 |
| Orbital ATK Inc. | 6,491 | 857 |
| Alaska Air Group Inc. | 13,199 | 851 |
| Jacobs Engineering Group Inc. | 13,575 | 829 |
| Graco Inc. | 18,667 | 828 |
| * Zebra Technologies Corp. | 5,726 | 791 |
| Hubbell Inc. Class B | 5,985 | 784 |
| Wabtec Corp. | 9,613 | 782 |
| Robert Half International Inc. | 13,544 | 773 |
| Xerox Corp. | 25,117 | 762 |
| * Middleby Corp. | 6,228 | 749 |
| * HD Supply Holdings Inc. | 20,482 | 742 |
| FLIR Systems Inc. | 15,098 | 741 |
| * JetBlue Airways Corp. | 35,162 | 740 |
| Toro Co. | 11,565 | 735 |
| * Teledyne Technologies Inc. | 3,818 | 710 |
| Carlisle Cos. Inc. | 6,692 | 689 |
| Donaldson Co. Inc. | 14,309 | 679 |
| BWX Technologies Inc. | 10,301 | 649 |
| Oshkosh Corp. | 8,170 | 645 |
| * AECOM | 17,639 | 626 |
| Flowserve Corp. | 14,303 | 606 |
| Booz Allen Hamilton Holding Corp. Class A | 15,578 | 591 |
| National Instruments Corp. | 11,577 | 585 |
| * Stericycle Inc. | 9,048 | 567 |
| Lincoln Electric Holdings Inc. | 6,452 | 565 |
| * Quanta Services Inc. | 16,141 | 556 |
| Allison Transmission Holdings Inc. | 13,630 | 540 |
| Trinity Industries Inc. | 16,485 | 538 |
| Genpact Ltd. | 17,072 | 536 |
| Rollins Inc. | 10,489 | 527 |
| HEICO Corp. Class A | 7,151 | 518 |
| Crane Co. | 5,465 | 505 |
| Landstar System Inc. | 4,581 | 498 |
| ITT Inc. | 9,695 | 487 |
| AGCO Corp. | 7,298 | 486 |
| * Genesee & Wyoming Inc. Class A | 6,703 | 466 |
| Copa Holdings SA Class A | 3,404 | 463 |
| Air Lease Corp. Class A | 10,551 | 461 |
| * Kirby Corp. | 5,854 | 439 |
| Ryder System Inc. | 5,773 | 418 |
| MSC Industrial Direct Co. Inc. Class A | 4,771 | 417 |
| * Conduent Inc. | 20,705 | 391 |
13
| | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Macquarie Infrastructure Corp. | 8,747 | 354 |
| Regal Beloit Corp. | 4,895 | 354 |
| Terex Corp. | 8,488 | 352 |
| * WESCO International Inc. | 5,123 | 319 |
| * Colfax Corp. | 9,642 | 307 |
| * Spirit Airlines Inc. | 7,616 | 303 |
| * Clean Harbors Inc. | 5,723 | 286 |
| * Welbilt Inc. | 14,079 | 279 |
| HEICO Corp. | 3,189 | 273 |
| Pitney Bowes Inc. | 20,360 | 252 |
| * Gardner Denver Holdings Inc. | 7,058 | 226 |
| | | 308,824 |
| Technology (21.0%) | | |
| Apple Inc. | 572,503 | 101,974 |
| Microsoft Corp. | 835,960 | 78,388 |
| * Facebook Inc. Class A | 259,929 | 46,351 |
| * Alphabet Inc. Class C | 34,070 | 37,638 |
| * Alphabet Inc. Class A | 32,801 | 36,210 |
| Intel Corp. | 525,650 | 25,909 |
| Cisco Systems Inc. | 552,893 | 24,759 |
| Oracle Corp. | 324,516 | 16,443 |
| NVIDIA Corp. | 63,259 | 15,309 |
| International Business Machines Corp. | 94,211 | 14,681 |
| Texas Instruments Inc. | 111,185 | 12,047 |
| * Adobe Systems Inc. | 55,232 | 11,551 |
| Broadcom Ltd. | 45,219 | 11,145 |
| QUALCOMM Inc. | 164,885 | 10,718 |
| * salesforce.com Inc. | 74,980 | 8,716 |
| Applied Materials Inc. | 118,591 | 6,830 |
| Activision Blizzard Inc. | 82,169 | 6,009 |
| * Micron Technology Inc. | 121,152 | 5,913 |
| Cognizant Technology Solutions Corp. Class A | 65,157 | 5,344 |
| * NXP Semiconductors NV | 38,023 | 4,740 |
| Intuit Inc. | 26,988 | 4,503 |
| HP Inc. | 185,593 | 4,341 |
| * Electronic Arts Inc. | 33,251 | 4,113 |
| Analog Devices Inc. | 40,636 | 3,663 |
| Lam Research Corp. | 17,926 | 3,439 |
| Hewlett Packard Enterprise Co. | 180,245 | 3,351 |
| DXC Technology Co. | 31,336 | 3,213 |
| Amphenol Corp. Class A | 33,161 | 3,031 |
| * ServiceNow Inc. | 18,620 | 2,998 |
| * Red Hat Inc. | 19,744 | 2,910 |
| Western Digital Corp. | 32,932 | 2,866 |
| Corning Inc. | 95,735 | 2,784 |
| * Autodesk Inc. | 23,219 | 2,728 |
| * Twitter Inc. | 74,172 | 2,363 |
| Microchip Technology Inc. | 25,357 | 2,255 |
| Skyworks Solutions Inc. | 20,584 | 2,249 |
| Harris Corp. | 13,291 | 2,075 |
| * IHS Markit Ltd. | 42,906 | 2,019 |
| Xilinx Inc. | 27,785 | 1,980 |
| KLA-Tencor Corp. | 17,300 | 1,960 |
| Motorola Solutions Inc. | 18,303 | 1,943 |
| Maxim Integrated Products Inc. | 31,450 | 1,917 |
| * Workday Inc. Class A | 14,881 | 1,885 |
| NetApp Inc. | 30,339 | 1,837 |
| Symantec Corp. | 68,312 | 1,796 |
| * Palo Alto Networks Inc. | 9,943 | 1,724 |
| * Dell Technologies Inc. Class V | 22,626 | 1,681 |
| * Arista Networks Inc. | 5,892 | 1,589 |
| * Citrix Systems Inc. | 16,900 | 1,555 |
| * ANSYS Inc. | 9,509 | 1,521 |
| * Splunk Inc. | 15,592 | 1,453 |
14
| | | |
| Vanguard® Russell 1000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Synopsys Inc. | 16,748 | 1,418 |
| * | Take-Two Interactive Software Inc. | 12,258 | 1,371 |
| * | Akamai Technologies Inc. | 18,548 | 1,251 |
| | CDW Corp. | 16,776 | 1,223 |
| | CA Inc. | 34,617 | 1,215 |
| * | Cadence Design Systems Inc. | 30,873 | 1,197 |
| * | IAC/InterActiveCorp | 7,651 | 1,139 |
| * | Qorvo Inc. | 14,116 | 1,139 |
| *,^ | Advanced Micro Devices Inc. | 92,546 | 1,121 |
| * | Gartner Inc. | 9,822 | 1,114 |
| * | VeriSign Inc. | 9,563 | 1,109 |
| * | ON Semiconductor Corp. | 45,690 | 1,093 |
| | Juniper Networks Inc. | 42,039 | 1,079 |
| * | F5 Networks Inc. | 7,170 | 1,065 |
| | Amdocs Ltd. | 15,828 | 1,041 |
| * | VMware Inc. Class A | 7,903 | 1,041 |
| | Marvell Technology Group Ltd. | 43,771 | 1,028 |
| | Leidos Holdings Inc. | 16,020 | 1,014 |
| | Cognex Corp. | 18,599 | 999 |
| * | IPG Photonics Corp. | 4,026 | 989 |
| | Teradyne Inc. | 21,760 | 988 |
| | CDK Global Inc. | 14,043 | 964 |
| | SS&C Technologies Holdings Inc. | 19,410 | 961 |
| * | PTC Inc. | 12,956 | 956 |
| * | GoDaddy Inc. Class A | 15,081 | 902 |
| * | Microsemi Corp. | 12,872 | 835 |
| * | CommScope Holding Co. Inc. | 21,249 | 823 |
| * | Fortinet Inc. | 15,893 | 802 |
| * | Arrow Electronics Inc. | 9,667 | 789 |
| * | Tyler Technologies Inc. | 3,777 | 767 |
| * | Ultimate Software Group Inc. | 3,128 | 746 |
| | CSRA Inc. | 17,734 | 719 |
| * | Guidewire Software Inc. | 8,255 | 663 |
| * | Cavium Inc. | 7,402 | 659 |
| | LogMeIn Inc. | 5,676 | 656 |
| | Cypress Semiconductor Corp. | 35,919 | 628 |
| | Universal Display Corp. | 4,615 | 599 |
| * | Black Knight Inc. | 12,244 | 583 |
| * | Coherent Inc. | 2,730 | 571 |
| * | Tableau Software Inc. Class A | 6,983 | 570 |
| | Avnet Inc. | 13,158 | 562 |
| | DST Systems Inc. | 6,541 | 544 |
| * | Atlassian Corp. plc Class A | 9,993 | 543 |
| | Sabre Corp. | 22,493 | 517 |
| | Jabil Inc. | 18,792 | 509 |
| * | Nuance Communications Inc. | 31,300 | 503 |
| * | ARRIS International plc | 19,343 | 493 |
| * | Teradata Corp. | 13,214 | 487 |
| * | NCR Corp. | 13,787 | 455 |
| | Dolby Laboratories Inc. Class A | 5,956 | 384 |
| * | FireEye Inc. | 21,070 | 350 |
| * | Manhattan Associates Inc. | 7,839 | 330 |
| * | EchoStar Corp. Class A | 5,136 | 298 |
| * | Zynga Inc. Class A | 84,945 | 294 |
| * | Match Group Inc. | 4,492 | 180 |
| | Switch Inc. | 3,873 | 53 |
| | | | 602,746 |
| Utilities (4.5%) | | |
| | AT&T Inc. | 685,662 | 24,890 |
| | Verizon Communications Inc. | 459,075 | 21,916 |
| | NextEra Energy Inc. | 52,048 | 7,919 |
| | Duke Energy Corp. | 78,028 | 5,879 |
| | Dominion Energy Inc. | 71,516 | 5,297 |
| | Southern Co. | 110,667 | 4,765 |
15
| | | | | |
| Vanguard® Russell 1000 Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | | | Market |
| | | | | | Value |
| | | | | Shares | ($000) |
| | Exelon Corp. | | | 106,757 | 3,954 |
| | American Electric Power Co. Inc. | | | 54,732 | 3,589 |
| | Sempra Energy | | | 27,955 | 3,047 |
| | Public Service Enterprise Group Inc. | | | 56,502 | 2,736 |
| | Consolidated Edison Inc. | | | 34,707 | 2,599 |
| | Xcel Energy Inc. | | | 56,141 | 2,430 |
| | PG&E Corp. | | | 57,641 | 2,369 |
| | PPL Corp. | | | 76,522 | 2,192 |
| | Edison International | | | 35,145 | 2,129 |
| | WEC Energy Group Inc. | | | 35,220 | 2,110 |
| | Eversource Energy | | | 35,395 | 2,018 |
| | DTE Energy Co. | | | 19,945 | 2,010 |
| * | T-Mobile US Inc. | | | 32,718 | 1,983 |
| | CenturyLink Inc. | | | 107,381 | 1,897 |
| | FirstEnergy Corp. | | | 49,344 | 1,595 |
| | American Water Works Co. Inc. | | | 19,989 | 1,586 |
| | Entergy Corp. | | | 19,868 | 1,506 |
| | Ameren Corp. | | | 27,559 | 1,496 |
| | CenterPoint Energy Inc. | | | 48,418 | 1,310 |
| | CMS Energy Corp. | | | 30,713 | 1,304 |
| | Alliant Energy Corp. | | | 26,525 | 1,025 |
| | Pinnacle West Capital Corp. | | | 12,187 | 938 |
| | Atmos Energy Corp. | | | 11,440 | 921 |
| | NiSource Inc. | | | 36,985 | 855 |
| | NRG Energy Inc. | | | 32,968 | 853 |
| | UGI Corp. | | | 19,054 | 821 |
| | AES Corp. | | | 74,881 | 814 |
| | Westar Energy Inc. Class A | | | 15,610 | 761 |
| * | Zayo Group Holdings Inc. | | | 20,756 | 744 |
| | Great Plains Energy Inc. | | | 23,625 | 689 |
| | OGE Energy Corp. | | | 21,914 | 687 |
| | Aqua America Inc. | | | 19,662 | 672 |
| * | Calpine Corp. | | | 39,348 | 599 |
| | SCANA Corp. | | | 14,432 | 573 |
| | MDU Resources Group Inc. | | | 21,356 | 561 |
| | Vectren Corp. | | | 9,088 | 548 |
| * | Vistra Energy Corp. | | | 26,943 | 511 |
| | National Fuel Gas Co. | | | 8,589 | 425 |
| | Hawaiian Electric Industries Inc. | | | 11,950 | 394 |
| * | Sprint Corp. | | | 69,589 | 361 |
| | Telephone & Data Systems Inc. | | | 11,169 | 313 |
| | Avangrid Inc. | | | 6,272 | 304 |
| * | United States Cellular Corp. | | | 1,317 | 51 |
| | | | | | 128,946 |
| Total Common Stocks (Cost $2,126,515) | | | | 2,861,844 |
| |
| | | Coupon | | | |
| Temporary Cash Investments (0.1%)1 | | | | |
| Money Market Fund (0.1%) | | | | |
| 4,5 | Vanguard Market Liquidity Fund | 1.601% | | 36,769 | 3,677 |
| |
| |
| | | | | Face | |
| | | | Maturity | Amount | |
| | | | Date | ($000) | |
| U.S. Government and Agency Obligations (0.0%) | | | | |
| 6 | United States Treasury Bill | 1.475% | 6/21/18 | 500 | 497 |
| Total Temporary Cash Investments (Cost $4,174) | | | | 4,174 |
16
| |
| Vanguard® Russell 1000 Index Fund | |
| Schedule of Investments | |
| February 28, 2018 | |
| | |
| |
| Total Investments (99.9%) (Cost $2,130,689) | 2,866,018 |
| Other Assets and Liabilities—Net (0.1%)5 | 2,551 |
| Net Assets (100%) | 2,868,569 |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $2,553,000.
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 $2,697,000 of collateral received for securities on loan.
6 Securities with a value of $423,000 have been segregated as initial margin for open futures contracts.
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
17
| | |
| Vanguard® Russell 1000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Common Stocks (99.9%)1 | | |
| Consumer Discretionary (8.4%) | | |
| Walmart Inc. | 332,189 | 29,900 |
| Time Warner Inc. | 179,716 | 16,706 |
| General Motors Co. | 298,420 | 11,743 |
| Walt Disney Co. | 113,140 | 11,671 |
| * eBay Inc. | 225,447 | 9,663 |
| Target Corp. | 127,623 | 9,624 |
| Ford Motor Co. | 901,569 | 9,566 |
| Twenty-First Century Fox Inc. Class A | 228,382 | 8,409 |
| Carnival Corp. | 94,191 | 6,302 |
| Royal Caribbean Cruises Ltd. | 39,538 | 5,005 |
| * Charter Communications Inc. Class A | 13,900 | 4,753 |
| Best Buy Co. Inc. | 59,679 | 4,323 |
| Dollar General Corp. | 39,372 | 3,724 |
| MGM Resorts International | 106,488 | 3,645 |
| Twenty-First Century Fox Inc. | 96,348 | 3,509 |
| Lennar Corp. Class A | 58,130 | 3,289 |
| * Mohawk Industries Inc. | 13,352 | 3,203 |
| Comcast Corp. Class A | 80,389 | 2,911 |
| Newell Brands Inc. | 112,136 | 2,881 |
| Tapestry Inc. | 54,408 | 2,770 |
| Viacom Inc. Class B | 82,312 | 2,744 |
| Nielsen Holdings plc | 82,040 | 2,677 |
| * Norwegian Cruise Line Holdings Ltd. | 46,118 | 2,624 |
| PVH Corp. | 17,895 | 2,582 |
| Kohl's Corp. | 38,910 | 2,572 |
| Tiffany & Co. | 24,820 | 2,508 |
| Whirlpool Corp. | 14,989 | 2,435 |
| * LKQ Corp. | 60,679 | 2,396 |
| L Brands Inc. | 46,482 | 2,293 |
| BorgWarner Inc. | 43,782 | 2,149 |
| Coty Inc. Class A | 108,443 | 2,095 |
| Macy's Inc. | 70,524 | 2,074 |
| * Michael Kors Holdings Ltd. | 30,849 | 1,941 |
| * Liberty Broadband Corp. | 21,764 | 1,913 |
| Genuine Parts Co. | 20,700 | 1,901 |
| * Liberty Media Corp-Liberty SiriusXM Class C | 41,844 | 1,747 |
| Gap Inc. | 52,437 | 1,656 |
| Garmin Ltd. | 27,896 | 1,653 |
| Goodyear Tire & Rubber Co. | 57,006 | 1,650 |
| News Corp. Class A | 98,225 | 1,584 |
| DR Horton Inc. | 35,272 | 1,478 |
| VF Corp. | 19,492 | 1,453 |
| Advance Auto Parts Inc. | 12,117 | 1,384 |
| Aramark | 32,486 | 1,355 |
| Ralph Lauren Corp. Class A | 12,793 | 1,354 |
| Adient plc | 21,764 | 1,351 |
| PulteGroup Inc. | 45,067 | 1,265 |
| * Liberty Media Corp-Liberty Formula One | 37,535 | 1,236 |
| Foot Locker Inc. | 26,353 | 1,210 |
| * Discovery Communications Inc. | 51,363 | 1,180 |
| * Liberty Interactive Corp. QVC Group Class A | 39,000 | 1,126 |
| H&R Block Inc. | 41,004 | 1,039 |
| Cinemark Holdings Inc. | 24,236 | 1,031 |
| Mattel Inc. | 63,108 | 1,003 |
| * Liberty Ventures Class A | 18,121 | 970 |
| * Madison Square Garden Co. Class A | 3,861 | 943 |
| * Liberty Media Corp-Liberty SiriusXM Class A | 19,737 | 828 |
| Williams-Sonoma Inc. | 15,895 | 823 |
| Toll Brothers Inc. | 18,460 | 809 |
| * Burlington Stores Inc. | 6,575 | 806 |
| * Hyatt Hotels Corp. Class A | 10,426 | 806 |
18
| | | |
| Vanguard® Russell 1000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Scripps Networks Interactive Inc. Class A | 8,834 | 794 |
| | Tribune Media Co. Class A | 18,710 | 780 |
| * | Discovery Communications Inc. Class A | 30,423 | 740 |
| * | Liberty Broadband Corp. Class A | 8,009 | 700 |
| | Signet Jewelers Ltd. | 13,825 | 695 |
| * | Skechers U.S.A. Inc. Class A | 16,926 | 693 |
| | Bed Bath & Beyond Inc. | 31,888 | 684 |
| | International Game Technology plc | 25,313 | 671 |
| *,^ | AutoNation Inc. | 13,254 | 665 |
| * | Urban Outfitters Inc. | 18,604 | 657 |
| | John Wiley & Sons Inc. Class A | 10,100 | 649 |
| | TEGNA Inc. | 48,783 | 627 |
| * | AutoZone Inc. | 925 | 615 |
| | Hasbro Inc. | 6,296 | 602 |
| | Graham Holdings Co. Class B | 988 | 573 |
| * | Murphy USA Inc. | 7,455 | 560 |
| | Gentex Corp. | 23,440 | 532 |
| * | TripAdvisor Inc. | 13,187 | 529 |
| | Yum China Holdings Inc. | 11,498 | 498 |
| | Lear Corp. | 2,616 | 488 |
| * | DISH Network Corp. Class A | 11,517 | 480 |
| | Hilton Worldwide Holdings Inc. | 5,906 | 477 |
| | Harley-Davidson Inc. | 10,245 | 465 |
| | Regal Entertainment Group Class A | 19,017 | 437 |
| | Extended Stay America Inc. | 19,734 | 395 |
| | AMERCO | 1,134 | 390 |
| * | Liberty Expedia Holdings Inc. Class A | 9,852 | 387 |
| | Penske Automotive Group Inc. | 8,172 | 374 |
| * | Liberty Media Corp-Liberty Formula One Class A | 11,766 | 371 |
| | GameStop Corp. Class A | 22,600 | 355 |
| | Interpublic Group of Cos. Inc. | 13,841 | 324 |
| * | Tempur Sealy International Inc. | 6,465 | 320 |
| * | Sally Beauty Holdings Inc. | 18,590 | 313 |
| | News Corp. Class B | 17,670 | 290 |
| * | Dollar Tree Inc. | 2,782 | 286 |
| | Leggett & Platt Inc. | 5,846 | 254 |
| | Brunswick Corp. | 3,944 | 226 |
| * | Lions Gate Entertainment Corp. Class B | 8,389 | 225 |
| | Lennar Corp. Class B | 4,541 | 206 |
| * | Under Armour Inc. Class A | 11,753 | 195 |
| * | Under Armour Inc. | 10,984 | 165 |
| | Fortune Brands Home & Security Inc. | 2,432 | 147 |
| | Dick's Sporting Goods Inc. | 4,501 | 144 |
| * | Michaels Cos. Inc. | 5,808 | 134 |
| ^ | Sirius XM Holdings Inc. | 18,309 | 115 |
| * | Lions Gate Entertainment Corp. Class A | 3,941 | 111 |
| | Viacom Inc. Class A | 1,573 | 61 |
| | | | 240,640 |
| Consumer Staples (7.0%) | | |
| | Procter & Gamble Co. | 561,850 | 44,117 |
| | Philip Morris International Inc. | 326,630 | 33,823 |
| | CVS Health Corp. | 235,294 | 15,937 |
| | Mondelez International Inc. Class A | 338,959 | 14,880 |
| | Colgate-Palmolive Co. | 167,571 | 11,557 |
| | Walgreens Boots Alliance Inc. | 164,502 | 11,333 |
| | Coca-Cola Co. | 223,802 | 9,673 |
| | Kraft Heinz Co. | 138,938 | 9,316 |
| | Archer-Daniels-Midland Co. | 127,134 | 5,279 |
| | Tyson Foods Inc. Class A | 64,503 | 4,798 |
| | PepsiCo Inc. | 43,026 | 4,721 |
| | Conagra Brands Inc. | 90,748 | 3,279 |
| | JM Smucker Co. | 25,609 | 3,234 |
| | Molson Coors Brewing Co. Class B | 39,910 | 3,043 |
| | Kroger Co. | 94,520 | 2,563 |
19
| | |
| Vanguard® Russell 1000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Bunge Ltd. | 32,363 | 2,441 |
| Ingredion Inc. | 16,425 | 2,146 |
| Hormel Foods Corp. | 61,995 | 2,012 |
| General Mills Inc. | 37,920 | 1,917 |
| * US Foods Holding Corp. | 47,288 | 1,579 |
| Pinnacle Foods Inc. | 27,435 | 1,480 |
| Lamb Weston Holdings Inc. | 25,705 | 1,390 |
| Kimberly-Clark Corp. | 12,166 | 1,349 |
| * Post Holdings Inc. | 14,747 | 1,118 |
| Casey's General Stores Inc. | 8,835 | 992 |
| Flowers Foods Inc. | 40,847 | 847 |
| * Hain Celestial Group Inc. | 23,061 | 802 |
| * Edgewell Personal Care Co. | 13,329 | 668 |
| Campbell Soup Co. | 14,002 | 603 |
| Nu Skin Enterprises Inc. Class A | 8,553 | 602 |
| Clorox Co. | 4,332 | 559 |
| * TreeHouse Foods Inc. | 8,902 | 338 |
| Hershey Co. | 3,355 | 330 |
| Kellogg Co. | 4,577 | 303 |
| * Rite Aid Corp. | 127,601 | 251 |
| Seaboard Corp. | 59 | 239 |
| Brown-Forman Corp. Class A | 1,818 | 124 |
| Brown-Forman Corp. Class B | 1,444 | 101 |
| * Pilgrim's Pride Corp. | 1,309 | 33 |
| | | 199,777 |
| Energy (10.3%) | | |
| Exxon Mobil Corp. | 980,783 | 74,285 |
| Chevron Corp. | 437,327 | 48,946 |
| Schlumberger Ltd. | 322,168 | 21,147 |
| ConocoPhillips | 277,071 | 15,048 |
| EOG Resources Inc. | 121,364 | 12,309 |
| Occidental Petroleum Corp. | 176,777 | 11,597 |
| Valero Energy Corp. | 101,178 | 9,149 |
| Phillips 66 | 100,856 | 9,114 |
| Anadarko Petroleum Corp. | 126,201 | 7,199 |
| Kinder Morgan Inc. | 444,299 | 7,198 |
| Marathon Petroleum Corp. | 111,818 | 7,163 |
| Pioneer Natural Resources Co. | 39,032 | 6,644 |
| * Concho Resources Inc. | 33,933 | 5,117 |
| Williams Cos. Inc. | 162,924 | 4,523 |
| Devon Energy Corp. | 112,395 | 3,447 |
| Noble Energy Inc. | 112,515 | 3,356 |
| Andeavor | 35,922 | 3,219 |
| National Oilwell Varco Inc. | 87,702 | 3,077 |
| Halliburton Co. | 64,574 | 2,998 |
| Hess Corp. | 65,177 | 2,960 |
| Apache Corp. | 84,125 | 2,873 |
| Marathon Oil Corp. | 195,264 | 2,835 |
| Baker Hughes a GE Co. | 98,548 | 2,602 |
| EQT Corp. | 46,638 | 2,346 |
| Targa Resources Corp. | 48,713 | 2,175 |
| * Diamondback Energy Inc. | 17,445 | 2,174 |
| HollyFrontier Corp. | 40,922 | 1,753 |
| Helmerich & Payne Inc. | 24,263 | 1,566 |
| * WPX Energy Inc. | 91,951 | 1,299 |
| * Energen Corp. | 22,116 | 1,210 |
| * First Solar Inc. | 18,832 | 1,184 |
| Valvoline Inc. | 46,696 | 1,070 |
| Murphy Oil Corp. | 38,036 | 964 |
| Patterson-UTI Energy Inc. | 47,439 | 857 |
| * Cheniere Energy Inc. | 15,854 | 833 |
| CNX Resources Corp. | 51,811 | 833 |
| * Transocean Ltd. | 91,048 | 829 |
| Cabot Oil & Gas Corp. | 30,901 | 747 |
20
| | | |
| Vanguard® Russell 1000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | PBF Energy Inc. Class A | 24,846 | 728 |
| | Range Resources Corp. | 52,190 | 694 |
| *,^ | Centennial Resource Development Inc. Class A | 30,927 | 590 |
| * | RSP Permian Inc. | 14,864 | 569 |
| * | Whiting Petroleum Corp. | 20,458 | 557 |
| * | Chesapeake Energy Corp. | 192,209 | 542 |
| * | Continental Resources Inc. | 11,274 | 536 |
| * | Weatherford International plc | 200,698 | 528 |
| * | Antero Resources Corp. | 26,531 | 499 |
| | SM Energy Co. | 25,981 | 476 |
| * | QEP Resources Inc. | 54,404 | 469 |
| * | Parsley Energy Inc. Class A | 17,956 | 454 |
| | Nabors Industries Ltd. | 70,014 | 453 |
| | Oceaneering International Inc. | 22,320 | 410 |
| * | Southwestern Energy Co. | 114,808 | 410 |
| | World Fuel Services Corp. | 15,426 | 352 |
| * | Extraction Oil & Gas Inc. | 27,435 | 331 |
| * | Gulfport Energy Corp. | 32,589 | 316 |
| * | Kosmos Energy Ltd. | 54,189 | 292 |
| * | CONSOL Energy Inc. | 6,477 | 205 |
| | Cimarex Energy Co. | 1,857 | 178 |
| | RPC Inc. | 1,252 | 25 |
| | | | 296,260 |
| Financial Services (32.2%) | | |
| | JPMorgan Chase & Co. | 798,747 | 92,255 |
| * | Berkshire Hathaway Inc. Class B | 444,737 | 92,150 |
| | Bank of America Corp. | 2,243,021 | 72,001 |
| | Wells Fargo & Co. | 1,023,835 | 59,802 |
| | Citigroup Inc. | 611,917 | 46,194 |
| | Goldman Sachs Group Inc. | 81,301 | 21,376 |
| | US Bancorp | 360,479 | 19,596 |
| | PNC Financial Services Group Inc. | 111,784 | 17,624 |
| | Morgan Stanley | 298,340 | 16,713 |
| | American Express Co. | 166,607 | 16,246 |
| | BlackRock Inc. | 28,731 | 15,786 |
| | Chubb Ltd. | 107,456 | 15,250 |
| | Bank of New York Mellon Corp. | 229,466 | 13,086 |
| | CME Group Inc. | 78,235 | 13,000 |
| | Prudential Financial Inc. | 99,271 | 10,554 |
| | American International Group Inc. | 182,935 | 10,489 |
| | Capital One Financial Corp. | 104,067 | 10,191 |
| | BB&T Corp. | 182,246 | 9,905 |
| | MetLife Inc. | 209,048 | 9,656 |
| | Travelers Cos. Inc. | 63,825 | 8,872 |
| | State Street Corp. | 82,349 | 8,741 |
| | Aflac Inc. | 89,857 | 7,986 |
| | SunTrust Banks Inc. | 110,405 | 7,711 |
| | Prologis Inc. | 122,110 | 7,410 |
| | Synchrony Financial | 181,724 | 6,613 |
| | Discover Financial Services | 83,704 | 6,598 |
| | M&T Bank Corp. | 32,569 | 6,183 |
| | Weyerhaeuser Co. | 172,619 | 6,047 |
| | Allstate Corp. | 60,732 | 5,603 |
| | Fifth Third Bancorp | 162,470 | 5,370 |
| | KeyCorp | 246,412 | 5,207 |
| | Intercontinental Exchange Inc. | 70,928 | 5,183 |
| | Regions Financial Corp. | 266,978 | 5,182 |
| | T. Rowe Price Group Inc. | 45,829 | 5,128 |
| | Northern Trust Corp. | 48,217 | 5,105 |
| | Citizens Financial Group Inc. | 114,726 | 4,989 |
| | AvalonBay Communities Inc. | 31,974 | 4,989 |
| | Equity Residential | 82,833 | 4,658 |
| | Willis Towers Watson plc | 29,144 | 4,602 |
| | Welltower Inc. | 85,665 | 4,497 |
21
| | |
| Vanguard® Russell 1000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Hartford Financial Services Group Inc. | 81,936 | 4,330 |
| Ventas Inc. | 82,075 | 3,966 |
| Huntington Bancshares Inc. | 249,357 | 3,915 |
| Comerica Inc. | 39,801 | 3,869 |
| Principal Financial Group Inc. | 61,855 | 3,855 |
| Lincoln National Corp. | 50,307 | 3,832 |
| Boston Properties Inc. | 30,261 | 3,597 |
| * Markel Corp. | 3,162 | 3,516 |
| Essex Property Trust Inc. | 15,095 | 3,379 |
| * E*TRADE Financial Corp. | 62,330 | 3,255 |
| Realty Income Corp. | 65,234 | 3,208 |
| Fidelity National Information Services Inc. | 32,644 | 3,172 |
| Loews Corp. | 64,130 | 3,164 |
| Host Hotels & Resorts Inc. | 168,635 | 3,130 |
| GGP Inc. | 143,032 | 3,028 |
| Franklin Resources Inc. | 77,005 | 2,978 |
| Charles Schwab Corp. | 56,071 | 2,973 |
| Ally Financial Inc. | 103,757 | 2,895 |
| Unum Group | 52,504 | 2,676 |
| Annaly Capital Management Inc. | 264,517 | 2,653 |
| Alexandria Real Estate Equities Inc. | 21,859 | 2,652 |
| Cincinnati Financial Corp. | 35,337 | 2,636 |
| Vornado Realty Trust | 39,650 | 2,636 |
| Invesco Ltd. | 78,768 | 2,563 |
| Zions Bancorporation | 46,370 | 2,549 |
| Affiliated Managers Group Inc. | 12,855 | 2,434 |
| FNF Group | 60,409 | 2,412 |
| HCP Inc. | 108,070 | 2,339 |
| Reinsurance Group of America Inc. Class A | 14,787 | 2,274 |
| Torchmark Corp. | 26,629 | 2,273 |
| Everest Re Group Ltd. | 9,365 | 2,250 |
| Mid-America Apartment Communities Inc. | 25,948 | 2,227 |
| * Arch Capital Group Ltd. | 24,640 | 2,174 |
| SL Green Realty Corp. | 22,192 | 2,151 |
| Nasdaq Inc. | 26,257 | 2,120 |
| Raymond James Financial Inc. | 22,653 | 2,100 |
| * Alleghany Corp. | 3,417 | 2,071 |
| UDR Inc. | 61,070 | 2,053 |
| Duke Realty Corp. | 82,527 | 2,044 |
| East West Bancorp Inc. | 30,871 | 2,024 |
| Regency Centers Corp. | 34,409 | 2,000 |
| Voya Financial Inc. | 38,971 | 1,988 |
| Macerich Co. | 31,338 | 1,847 |
| American Financial Group Inc. | 16,106 | 1,817 |
| * CBRE Group Inc. Class A | 38,382 | 1,794 |
| Jones Lang LaSalle Inc. | 10,477 | 1,683 |
| XL Group Ltd. | 39,685 | 1,679 |
| Camden Property Trust | 20,857 | 1,663 |
| AGNC Investment Corp. | 90,585 | 1,625 |
| CIT Group Inc. | 30,146 | 1,599 |
| VEREIT Inc. | 228,234 | 1,563 |
| People's United Financial Inc. | 80,838 | 1,547 |
| PacWest Bancorp | 29,586 | 1,543 |
| Sun Communities Inc. | 17,555 | 1,537 |
| WR Berkley Corp. | 22,096 | 1,511 |
| Kilroy Realty Corp. | 22,107 | 1,505 |
| New York Community Bancorp Inc. | 110,199 | 1,501 |
| Invitation Homes Inc. | 67,107 | 1,460 |
| First American Financial Corp. | 24,939 | 1,447 |
| WP Carey Inc. | 24,042 | 1,441 |
| Kimco Realty Corp. | 96,092 | 1,438 |
| Brown & Brown Inc. | 27,173 | 1,430 |
| Apartment Investment & Management Co. | 35,812 | 1,384 |
| Leucadia National Corp. | 56,611 | 1,358 |
22
| | |
| Vanguard® Russell 1000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Cullen/Frost Bankers Inc. | 12,989 | 1,351 |
| Synovus Financial Corp. | 27,266 | 1,344 |
| Liberty Property Trust | 33,853 | 1,329 |
| National Retail Properties Inc. | 34,955 | 1,302 |
| First Horizon National Corp. | 66,765 | 1,272 |
| Commerce Bancshares Inc. | 21,499 | 1,242 |
| Forest City Realty Trust Inc. Class A | 57,916 | 1,232 |
| New Residential Investment Corp. | 75,910 | 1,224 |
| Validus Holdings Ltd. | 17,921 | 1,212 |
| DCT Industrial Trust Inc. | 21,258 | 1,177 |
| Starwood Property Trust Inc. | 57,878 | 1,172 |
| * Athene Holding Ltd. Class A | 24,633 | 1,163 |
| Healthcare Trust of America Inc. Class A | 46,450 | 1,154 |
| Federal Realty Investment Trust | 10,122 | 1,153 |
| American Campus Communities Inc. | 31,492 | 1,149 |
| Webster Financial Corp. | 21,013 | 1,147 |
| Prosperity Bancshares Inc. | 15,179 | 1,138 |
| Omega Healthcare Investors Inc. | 44,524 | 1,134 |
| Interactive Brokers Group Inc. | 16,165 | 1,122 |
| Digital Realty Trust Inc. | 11,113 | 1,118 |
| Old Republic International Corp. | 55,709 | 1,116 |
| RenaissanceRe Holdings Ltd. | 8,677 | 1,113 |
| * SLM Corp. | 100,853 | 1,100 |
| Brixmor Property Group Inc. | 69,600 | 1,082 |
| Hanover Insurance Group Inc. | 9,950 | 1,074 |
| * Howard Hughes Corp. | 8,357 | 1,071 |
| FNB Corp. | 75,545 | 1,059 |
| Gaming and Leisure Properties Inc. | 31,720 | 1,055 |
| American Homes 4 Rent Class A | 54,794 | 1,051 |
| Rayonier Inc. | 30,573 | 1,039 |
| * Brighthouse Financial Inc. | 19,012 | 1,032 |
| Simon Property Group Inc. | 6,694 | 1,028 |
| Medical Properties Trust Inc. | 82,913 | 1,017 |
| Hudson Pacific Properties Inc. | 32,072 | 1,013 |
| Highwoods Properties Inc. | 23,489 | 1,010 |
| Popular Inc. | 23,619 | 992 |
| BankUnited Inc. | 24,356 | 980 |
| Associated Banc-Corp | 38,811 | 959 |
| Colony NorthStar Inc. Class A | 122,893 | 956 |
| Hospitality Properties Trust | 37,522 | 955 |
| Axis Capital Holdings Ltd. | 18,905 | 933 |
| STORE Capital Corp. | 38,993 | 930 |
| Assured Guaranty Ltd. | 26,590 | 919 |
| Arthur J Gallagher & Co. | 12,785 | 884 |
| Park Hotels & Resorts Inc. | 33,045 | 859 |
| Assurant Inc. | 9,872 | 844 |
| Senior Housing Properties Trust | 54,690 | 828 |
| * Equity Commonwealth | 28,034 | 825 |
| Life Storage Inc. | 10,497 | 825 |
| Apple Hospitality REIT Inc. | 48,277 | 820 |
| EPR Properties | 14,221 | 820 |
| Spirit Realty Capital Inc. | 104,832 | 818 |
| TCF Financial Corp. | 36,136 | 806 |
| Bank of Hawaii Corp. | 9,736 | 798 |
| Realogy Holdings Corp. | 30,972 | 791 |
| * SVB Financial Group | 3,128 | 779 |
| Navient Corp. | 59,481 | 771 |
| Weingarten Realty Investors | 28,144 | 764 |
| * Signature Bank | 5,077 | 742 |
| Bank of the Ozarks | 14,766 | 737 |
| Chimera Investment Corp. | 43,213 | 724 |
| Pinnacle Financial Partners Inc. | 11,061 | 714 |
| First Republic Bank | 7,359 | 683 |
| Paramount Group Inc. | 48,640 | 679 |
23
| | |
| Vanguard® Russell 1000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| White Mountains Insurance Group Ltd. | 804 | 649 |
| JBG SMITH Properties | 19,615 | 640 |
| Dun & Bradstreet Corp. | 5,065 | 633 |
| MFA Financial Inc. | 88,945 | 633 |
| Retail Properties of America Inc. | 52,098 | 623 |
| Brandywine Realty Trust | 39,544 | 619 |
| Piedmont Office Realty Trust Inc. Class A | 33,705 | 605 |
| Two Harbors Investment Corp. | 40,802 | 599 |
| Legg Mason Inc. | 14,730 | 588 |
| Uniti Group Inc. | 37,897 | 582 |
| ProAssurance Corp. | 12,157 | 581 |
| Columbia Property Trust Inc. | 27,195 | 566 |
| * Western Alliance Bancorp | 9,667 | 565 |
| Corporate Office Properties Trust | 22,616 | 564 |
| CoreCivic Inc. | 26,821 | 558 |
| Outfront Media Inc. | 27,168 | 557 |
| Santander Consumer USA Holdings Inc. | 33,839 | 553 |
| Ameriprise Financial Inc. | 3,485 | 545 |
| DDR Corp. | 69,765 | 544 |
| BOK Financial Corp. | 5,731 | 541 |
| BGC Partners Inc. Class A | 39,890 | 527 |
| Empire State Realty Trust Inc. | 30,563 | 515 |
| Federated Investors Inc. Class B | 15,804 | 515 |
| Tanger Factory Outlet Centers Inc. | 20,094 | 449 |
| * OneMain Holdings Inc. | 14,440 | 443 |
| Taubman Centers Inc. | 6,777 | 396 |
| * CoreLogic Inc. | 8,066 | 367 |
| Extra Space Storage Inc. | 4,300 | 366 |
| CubeSmart | 13,584 | 364 |
| TD Ameritrade Holding Corp. | 6,118 | 352 |
| Aspen Insurance Holdings Ltd. | 9,247 | 337 |
| First Hawaiian Inc. | 12,104 | 336 |
| * Zillow Group Inc. | 6,875 | 328 |
| CNA Financial Corp. | 6,341 | 324 |
| Mercury General Corp. | 6,417 | 293 |
| * WEX Inc. | 1,818 | 272 |
| Douglas Emmett Inc. | 7,305 | 261 |
| Iron Mountain Inc. | 8,050 | 253 |
| * Zillow Group Inc. Class A | 4,780 | 227 |
| American National Insurance Co. | 1,711 | 200 |
| Erie Indemnity Co. Class A | 1,599 | 185 |
| TFS Financial Corp. | 11,579 | 170 |
| Lazard Ltd. Class A | 2,850 | 154 |
| Lamar Advertising Co. Class A | 2,166 | 144 |
| CyrusOne Inc. | 2,765 | 138 |
| * Credit Acceptance Corp. | 239 | 75 |
| Morningstar Inc. | 341 | 32 |
| * VICI Properties Inc. | 373 | 7 |
| | | 924,186 |
| Health Care (13.7%) | | |
| Johnson & Johnson | 528,371 | 68,625 |
| Pfizer Inc. | 1,368,489 | 49,690 |
| Merck & Co. Inc. | 598,670 | 32,460 |
| Abbott Laboratories | 390,838 | 23,579 |
| Medtronic plc | 290,924 | 23,242 |
| Amgen Inc. | 121,094 | 22,253 |
| Anthem Inc. | 59,406 | 13,983 |
| Danaher Corp. | 141,598 | 13,845 |
| Bristol-Myers Squibb Co. | 193,473 | 12,808 |
| Allergan plc | 77,775 | 11,994 |
| Thermo Fisher Scientific Inc. | 50,672 | 10,569 |
| * Express Scripts Holding Co. | 122,028 | 9,207 |
| Aetna Inc. | 50,076 | 8,866 |
| Baxter International Inc. | 104,713 | 7,098 |
24
| | |
| Vanguard® Russell 1000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Gilead Sciences Inc. | 85,941 | 6,766 |
| McKesson Corp. | 43,871 | 6,547 |
| HCA Healthcare Inc. | 61,203 | 6,074 |
| Zimmer Biomet Holdings Inc. | 46,774 | 5,437 |
| Cardinal Health Inc. | 72,904 | 5,046 |
| * Mylan NV | 123,506 | 4,980 |
| * Laboratory Corp. of America Holdings | 23,571 | 4,071 |
| Agilent Technologies Inc. | 56,354 | 3,865 |
| * Centene Corp. | 34,362 | 3,485 |
| Quest Diagnostics Inc. | 31,603 | 3,257 |
| Dentsply Sirona Inc. | 52,160 | 2,924 |
| * DaVita Inc. | 35,263 | 2,540 |
| Perrigo Co. plc | 30,385 | 2,475 |
| Universal Health Services Inc. Class B | 19,698 | 2,250 |
| Teleflex Inc. | 8,684 | 2,170 |
| STERIS plc | 19,384 | 1,770 |
| PerkinElmer Inc. | 20,515 | 1,566 |
| Cigna Corp. | 6,949 | 1,361 |
| * Juno Therapeutics Inc. | 15,631 | 1,356 |
| * Bio-Rad Laboratories Inc. Class A | 4,874 | 1,316 |
| * IQVIA Holdings Inc. | 12,539 | 1,233 |
| * QIAGEN NV | 35,071 | 1,182 |
| * MEDNAX Inc. | 21,252 | 1,168 |
| * Alexion Pharmaceuticals Inc. | 9,796 | 1,151 |
| * United Therapeutics Corp. | 9,886 | 1,145 |
| * Hologic Inc. | 27,419 | 1,065 |
| * Envision Healthcare Corp. | 27,441 | 1,056 |
| * Biogen Inc. | 2,905 | 840 |
| * Acadia Healthcare Co. Inc. | 17,845 | 680 |
| Cooper Cos. Inc. | 2,425 | 559 |
| Patterson Cos. Inc. | 16,996 | 537 |
| Humana Inc. | 1,947 | 529 |
| Bruker Corp. | 15,124 | 464 |
| * Mallinckrodt plc | 21,171 | 353 |
| * LifePoint Health Inc. | 7,040 | 325 |
| * Endo International plc | 50,755 | 320 |
| * Premier Inc. Class A | 9,536 | 316 |
| * Alnylam Pharmaceuticals Inc. | 2,507 | 301 |
| * Brookdale Senior Living Inc. | 41,885 | 274 |
| * OPKO Health Inc. | 66,930 | 227 |
| * WellCare Health Plans Inc. | 851 | 165 |
| Hill-Rom Holdings Inc. | 1,000 | 84 |
| * Agios Pharmaceuticals Inc. | 911 | 73 |
| * Intrexon Corp. | 3,329 | 43 |
| * Akorn Inc. | 622 | 11 |
| | | 391,576 |
| Materials & Processing (3.3%) | | |
| DowDuPont Inc. | 282,157 | 19,836 |
| Air Products & Chemicals Inc. | 49,605 | 7,976 |
| Nucor Corp. | 74,538 | 4,875 |
| Newmont Mining Corp. | 123,089 | 4,702 |
| * Freeport-McMoRan Inc. | 250,934 | 4,667 |
| LyondellBasell Industries NV Class A | 42,187 | 4,565 |
| WestRock Co. | 57,828 | 3,803 |
| Eastman Chemical Co. | 33,955 | 3,432 |
| Ingersoll-Rand plc | 28,707 | 2,549 |
| CF Industries Holdings Inc. | 53,807 | 2,219 |
| Mosaic Co. | 80,985 | 2,132 |
| Steel Dynamics Inc. | 45,634 | 2,111 |
| Owens Corning | 25,550 | 2,077 |
| Albemarle Corp. | 20,623 | 2,071 |
| * Alcoa Corp. | 42,661 | 1,918 |
| United States Steel Corp. | 40,206 | 1,749 |
| Reliance Steel & Aluminum Co. | 16,221 | 1,463 |
25
| | |
| Vanguard® Russell 1000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Ball Corp. | 35,799 | 1,430 |
| Celanese Corp. Class A | 12,516 | 1,262 |
| Olin Corp. | 38,309 | 1,245 |
| Praxair Inc. | 8,076 | 1,209 |
| Sonoco Products Co. | 22,769 | 1,092 |
| Masco Corp. | 24,923 | 1,025 |
| Ashland Global Holdings Inc. | 14,065 | 996 |
| AptarGroup Inc. | 10,630 | 951 |
| Bemis Co. Inc. | 21,095 | 930 |
| Sealed Air Corp. | 20,278 | 859 |
| Cabot Corp. | 13,903 | 837 |
| Versum Materials Inc. | 22,449 | 831 |
| Huntsman Corp. | 23,702 | 765 |
| Royal Gold Inc. | 9,317 | 753 |
| Valmont Industries Inc. | 5,033 | 740 |
| Timken Co. | 15,810 | 693 |
| * USG Corp. | 19,948 | 667 |
| Domtar Corp. | 14,108 | 631 |
| International Paper Co. | 8,552 | 510 |
| Hexcel Corp. | 6,896 | 464 |
| PPG Industries Inc. | 4,058 | 456 |
| * Crown Holdings Inc. | 8,999 | 449 |
| Westlake Chemical Corp. | 4,089 | 443 |
| Acuity Brands Inc. | 2,965 | 423 |
| Tahoe Resources Inc. | 68,920 | 336 |
| Graphic Packaging Holding Co. | 21,359 | 327 |
| * Platform Specialty Products Corp. | 27,392 | 286 |
| Martin Marietta Materials Inc. | 1,389 | 283 |
| Vulcan Materials Co. | 2,161 | 254 |
| * Owens-Illinois Inc. | 8,043 | 173 |
| Lennox International Inc. | 666 | 136 |
| RPM International Inc. | 2,510 | 125 |
| Southern Copper Corp. | 1,897 | 100 |
| Scotts Miracle-Gro Co. | 926 | 83 |
| NewMarket Corp. | 150 | 63 |
| Ardagh Group SA | 2,342 | 44 |
| | | 94,016 |
| Other (0.0%)2 | | |
| * ADT Inc. | 1,221 | 13 |
| |
| Producer Durables (7.9%) | | |
| General Electric Co. | 1,661,620 | 23,446 |
| United Technologies Corp. | 172,621 | 23,259 |
| Honeywell International Inc. | 73,117 | 11,049 |
| Norfolk Southern Corp. | 66,898 | 9,304 |
| Raytheon Co. | 42,279 | 9,196 |
| Emerson Electric Co. | 127,485 | 9,059 |
| Eaton Corp. plc | 103,293 | 8,336 |
| Delta Air Lines Inc. | 151,218 | 8,151 |
| Johnson Controls International plc | 216,494 | 7,982 |
| General Dynamics Corp. | 35,547 | 7,907 |
| PACCAR Inc. | 79,472 | 5,689 |
| Stanley Black & Decker Inc. | 31,678 | 5,043 |
| * United Continental Holdings Inc. | 62,343 | 4,226 |
| Cummins Inc. | 24,864 | 4,181 |
| L3 Technologies Inc. | 17,836 | 3,702 |
| Textron Inc. | 61,556 | 3,684 |
| Republic Services Inc. Class A | 52,765 | 3,545 |
| AMETEK Inc. | 43,862 | 3,322 |
| Dover Corp. | 31,759 | 3,179 |
| American Airlines Group Inc. | 56,706 | 3,076 |
| Pentair plc | 38,163 | 2,621 |
| Kansas City Southern | 23,794 | 2,452 |
| Spirit AeroSystems Holdings Inc. Class A | 26,759 | 2,443 |
26
| | |
| Vanguard® Russell 1000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Arconic Inc. | 98,565 | 2,404 |
| Union Pacific Corp. | 16,929 | 2,205 |
| Lockheed Martin Corp. | 5,775 | 2,035 |
| * Keysight Technologies Inc. | 42,754 | 2,010 |
| Caterpillar Inc. | 12,349 | 1,910 |
| ManpowerGroup Inc. | 15,753 | 1,866 |
| Fluor Corp. | 32,406 | 1,844 |
| Snap-on Inc. | 11,336 | 1,805 |
| Orbital ATK Inc. | 13,287 | 1,755 |
| Jacobs Engineering Group Inc. | 27,331 | 1,669 |
| Xerox Corp. | 52,846 | 1,602 |
| * JetBlue Airways Corp. | 73,398 | 1,545 |
| Waste Management Inc. | 17,468 | 1,508 |
| Xylem Inc. | 19,909 | 1,485 |
| * Teledyne Technologies Inc. | 7,964 | 1,481 |
| Carlisle Cos. Inc. | 14,068 | 1,448 |
| Oshkosh Corp. | 17,317 | 1,367 |
| Flowserve Corp. | 30,260 | 1,282 |
| * AECOM | 36,021 | 1,279 |
| * Stericycle Inc. | 19,172 | 1,202 |
| Trinity Industries Inc. | 34,908 | 1,139 |
| Wabtec Corp. | 13,571 | 1,104 |
| CSX Corp. | 20,059 | 1,078 |
| Crane Co. | 11,416 | 1,054 |
| * Sensata Technologies Holding NV | 19,606 | 1,036 |
| AGCO Corp. | 15,542 | 1,035 |
| ITT Inc. | 20,189 | 1,013 |
| * Genesee & Wyoming Inc. Class A | 14,192 | 987 |
| Air Lease Corp. Class A | 21,187 | 925 |
| * Kirby Corp. | 12,181 | 914 |
| Copa Holdings SA Class A | 6,576 | 894 |
| Ryder System Inc. | 12,053 | 872 |
| * Quanta Services Inc. | 25,105 | 865 |
| * Conduent Inc. | 43,295 | 818 |
| Expeditors International of Washington Inc. | 12,008 | 780 |
| Macquarie Infrastructure Corp. | 19,042 | 771 |
| Terex Corp. | 18,116 | 752 |
| FLIR Systems Inc. | 15,099 | 741 |
| Old Dominion Freight Line Inc. | 5,317 | 739 |
| Regal Beloit Corp. | 10,164 | 735 |
| Parker-Hannifin Corp. | 4,103 | 732 |
| * XPO Logistics Inc. | 7,177 | 707 |
| * WESCO International Inc. | 11,035 | 687 |
| * Colfax Corp. | 20,135 | 640 |
| * Spirit Airlines Inc. | 15,797 | 629 |
| Hubbell Inc. Class B | 4,570 | 599 |
| Pitney Bowes Inc. | 42,446 | 526 |
| MSC Industrial Direct Co. Inc. Class A | 5,937 | 519 |
| Fortive Corp. | 6,652 | 511 |
| * Trimble Inc. | 11,987 | 455 |
| Huntington Ingalls Industries Inc. | 1,692 | 443 |
| Roper Technologies Inc. | 1,277 | 351 |
| Alaska Air Group Inc. | 4,889 | 315 |
| National Instruments Corp. | 5,337 | 270 |
| * Clean Harbors Inc. | 3,560 | 178 |
| WW Grainger Inc. | 677 | 177 |
| IDEX Corp. | 1,214 | 166 |
| Avery Dennison Corp. | 1,035 | 122 |
| Donaldson Co. Inc. | 2,445 | 116 |
| Booz Allen Hamilton Holding Corp. Class A | 2,264 | 86 |
| | | 225,035 |
| Technology (8.7%) | | |
| Intel Corp. | 1,090,565 | 53,754 |
| Cisco Systems Inc. | 1,147,151 | 51,369 |
27
| | |
| Vanguard® Russell 1000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Oracle Corp. | 620,280 | 31,430 |
| QUALCOMM Inc. | 341,573 | 22,202 |
| International Business Machines Corp. | 61,261 | 9,546 |
| HP Inc. | 385,536 | 9,018 |
| Hewlett Packard Enterprise Co. | 374,902 | 6,969 |
| Corning Inc. | 187,259 | 5,445 |
| Western Digital Corp. | 58,640 | 5,104 |
| * Twitter Inc. | 144,842 | 4,615 |
| * NXP Semiconductors NV | 34,250 | 4,270 |
| Motorola Solutions Inc. | 34,019 | 3,611 |
| Harris Corp. | 20,408 | 3,187 |
| * Micron Technology Inc. | 61,452 | 2,999 |
| * Synopsys Inc. | 31,748 | 2,688 |
| * Akamai Technologies Inc. | 38,222 | 2,578 |
| CA Inc. | 72,773 | 2,554 |
| Juniper Networks Inc. | 85,651 | 2,198 |
| Amdocs Ltd. | 32,974 | 2,169 |
| Marvell Technology Group Ltd. | 91,558 | 2,151 |
| Leidos Holdings Inc. | 32,862 | 2,080 |
| * IHS Markit Ltd. | 38,267 | 1,800 |
| * Arrow Electronics Inc. | 20,530 | 1,675 |
| Cypress Semiconductor Corp. | 68,625 | 1,199 |
| Avnet Inc. | 27,640 | 1,180 |
| * Qorvo Inc. | 14,122 | 1,140 |
| Jabil Inc. | 39,599 | 1,073 |
| * Nuance Communications Inc. | 65,269 | 1,048 |
| * ARRIS International plc | 41,098 | 1,048 |
| DST Systems Inc. | 12,515 | 1,041 |
| * Teradata Corp. | 27,802 | 1,024 |
| * Autodesk Inc. | 8,658 | 1,017 |
| * Guidewire Software Inc. | 10,671 | 857 |
| * CommScope Holding Co. Inc. | 21,481 | 832 |
| Dolby Laboratories Inc. Class A | 12,422 | 802 |
| * FireEye Inc. | 42,010 | 697 |
| * EchoStar Corp. Class A | 10,984 | 637 |
| * Zynga Inc. Class A | 177,898 | 615 |
| NetApp Inc. | 8,987 | 544 |
| LogMeIn Inc. | 4,430 | 512 |
| * Microsemi Corp. | 4,972 | 323 |
| Sabre Corp. | 10,396 | 239 |
| Xilinx Inc. | 3,041 | 217 |
| * ON Semiconductor Corp. | 6,780 | 162 |
| SS&C Technologies Holdings Inc. | 3,192 | 158 |
| Teradyne Inc. | 3,206 | 146 |
| Switch Inc. | 2,504 | 35 |
| | | 249,958 |
| Utilities (8.4%) | | |
| AT&T Inc. | 1,423,524 | 51,674 |
| Verizon Communications Inc. | 472,557 | 22,560 |
| NextEra Energy Inc. | 108,174 | 16,459 |
| Duke Energy Corp. | 162,049 | 12,209 |
| Dominion Energy Inc. | 148,332 | 10,987 |
| Southern Co. | 230,028 | 9,905 |
| Exelon Corp. | 221,581 | 8,207 |
| American Electric Power Co. Inc. | 114,364 | 7,500 |
| Sempra Energy | 57,962 | 6,317 |
| Public Service Enterprise Group Inc. | 117,104 | 5,671 |
| Consolidated Edison Inc. | 71,820 | 5,379 |
| Xcel Energy Inc. | 117,470 | 5,084 |
| PG&E Corp. | 118,031 | 4,850 |
| PPL Corp. | 158,088 | 4,529 |
| Edison International | 73,549 | 4,456 |
| WEC Energy Group Inc. | 73,094 | 4,380 |
| Eversource Energy | 73,027 | 4,163 |
28
| | | | | |
| Vanguard® Russell 1000 Value Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | | | Market |
| | | | | | Value |
| | | | | Shares | ($000) |
| | DTE Energy Co. | | | 41,280 | 4,160 |
| | CenturyLink Inc. | | | 222,229 | 3,927 |
| | FirstEnergy Corp. | | | 102,933 | 3,328 |
| | American Water Works Co. Inc. | | | 41,070 | 3,259 |
| | Entergy Corp. | | | 41,240 | 3,127 |
| | Ameren Corp. | | | 56,161 | 3,050 |
| | CMS Energy Corp. | | | 64,039 | 2,718 |
| | CenterPoint Energy Inc. | | | 99,824 | 2,700 |
| | Alliant Energy Corp. | | | 53,860 | 2,082 |
| | Pinnacle West Capital Corp. | | | 25,412 | 1,956 |
| | Atmos Energy Corp. | | | 24,126 | 1,942 |
| | NiSource Inc. | | | 77,665 | 1,796 |
| | UGI Corp. | | | 40,084 | 1,727 |
| | AES Corp. | | | 152,518 | 1,658 |
| | Westar Energy Inc. Class A | | | 32,790 | 1,598 |
| * | T-Mobile US Inc. | | | 26,067 | 1,580 |
| | Great Plains Energy Inc. | | | 49,942 | 1,456 |
| | NRG Energy Inc. | | | 55,772 | 1,442 |
| | OGE Energy Corp. | | | 45,632 | 1,430 |
| | Aqua America Inc. | | | 40,705 | 1,392 |
| * | Calpine Corp. | | | 83,454 | 1,270 |
| | SCANA Corp. | | | 30,555 | 1,212 |
| | MDU Resources Group Inc. | | | 45,367 | 1,193 |
| | Vectren Corp. | | | 19,085 | 1,150 |
| * | Vistra Energy Corp. | | | 55,101 | 1,044 |
| | National Fuel Gas Co. | | | 16,891 | 835 |
| | Hawaiian Electric Industries Inc. | | | 24,760 | 816 |
| * | Sprint Corp. | | | 143,382 | 744 |
| | Telephone & Data Systems Inc. | | | 22,447 | 629 |
| | Avangrid Inc. | | | 12,930 | 627 |
| * | United States Cellular Corp. | | | 3,402 | 131 |
| |
| | | | | | 240,309 |
| Total Common Stocks (Cost $2,484,973) | | | | 2,861,770 |
| |
| |
| | | Coupon | | | |
| Temporary Cash Investments (0.0%)1 | | | | |
| Money Market Fund (0.0%) | | | | |
| 3,4 | Vanguard Market Liquidity Fund | 1.601% | | 5,977 | 598 |
| |
| | | | | Face | |
| | | | Maturity | Amount | |
| | | | Date | ($000) | |
| U.S. Government and Agency Obligations (0.0%) | | | | |
| 5 | United States Treasury Bill | 1.432% | 4/26/18 | 400 | 399 |
| Total Temporary Cash Investments (Cost $997) | | | | 997 |
| Total Investments (99.9%) (Cost $2,485,970) | | | | 2,862,767 |
| Other Assets and Liabilities—Net (0.1%)4 | | | | 2,652 |
| Net Assets (100%) | | | | 2,865,419 |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $565,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and -0.1%, respectively, of net
assets.
2 “Other” represents securities that are not classified by the fund’s benchmark index.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day
yield.
29
Vanguard® Russell 1000 Value Index Fund
Schedule of Investments
February 28, 2018
4 Includes $596,000 of collateral received for securities on loan.
5 Securities with a value of $399,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
30
| | | |
| Vanguard® Russell 1000 Growth Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| Common Stocks (99.8%)1 | | |
| Consumer Discretionary (19.6%) | | |
| * | Amazon.com Inc. | 131,727 | 199,231 |
| | Home Depot Inc. | 391,021 | 71,271 |
| | Comcast Corp. Class A | 1,423,669 | 51,551 |
| | McDonald's Corp. | 264,612 | 41,740 |
| * | Netflix Inc. | 135,983 | 39,623 |
| | Walt Disney Co. | 349,778 | 36,083 |
| * | Booking Holdings Inc. | 16,255 | 33,063 |
| | NIKE Inc. Class B | 431,974 | 28,955 |
| | Costco Wholesale Corp. | 144,744 | 27,632 |
| | Starbucks Corp. | 467,401 | 26,689 |
| | Lowe's Cos. Inc. | 276,375 | 24,760 |
| | TJX Cos. Inc. | 210,875 | 17,435 |
| *,^ | Tesla Inc. | 44,034 | 15,106 |
| | Marriott International Inc. Class A | 100,718 | 14,222 |
| * | Charter Communications Inc. Class A | 41,042 | 14,034 |
| | Estee Lauder Cos. Inc. Class A | 72,197 | 9,995 |
| | Ross Stores Inc. | 125,123 | 9,771 |
| | Yum! Brands Inc. | 111,658 | 9,087 |
| | Las Vegas Sands Corp. | 119,476 | 8,699 |
| | Aptiv plc | 88,628 | 8,094 |
| * | Dollar Tree Inc. | 72,250 | 7,416 |
| * | O'Reilly Automotive Inc. | 27,644 | 6,750 |
| | VF Corp. | 80,031 | 5,968 |
| | CBS Corp. Class B | 110,542 | 5,855 |
| | Omnicom Group Inc. | 76,593 | 5,839 |
| * | AutoZone Inc. | 7,775 | 5,168 |
| | Hilton Worldwide Holdings Inc. | 63,265 | 5,111 |
| | Yum China Holdings Inc. | 105,675 | 4,578 |
| | Wynn Resorts Ltd. | 26,501 | 4,439 |
| | Expedia Inc. | 40,682 | 4,279 |
| * | Ulta Beauty Inc. | 19,377 | 3,940 |
| | Wyndham Worldwide Corp. | 32,919 | 3,811 |
| | Darden Restaurants Inc. | 41,339 | 3,811 |
| * | CarMax Inc. | 60,670 | 3,757 |
| | Lear Corp. | 18,557 | 3,462 |
| | Dollar General Corp. | 34,677 | 3,280 |
| | Domino's Pizza Inc. | 14,367 | 3,195 |
| * | NVR Inc. | 1,100 | 3,128 |
| ^ | Sirius XM Holdings Inc. | 455,505 | 2,861 |
| | Fortune Brands Home & Security Inc. | 46,436 | 2,817 |
| | Vail Resorts Inc. | 13,186 | 2,715 |
| | Hasbro Inc. | 28,361 | 2,710 |
| | Tractor Supply Co. | 41,403 | 2,688 |
| * | Chipotle Mexican Grill Inc. Class A | 8,332 | 2,653 |
| * | Liberty Interactive Corp. QVC Group Class A | 90,685 | 2,618 |
| | DR Horton Inc. | 61,732 | 2,587 |
| * | Lululemon Athletica Inc. | 31,510 | 2,555 |
| | Interpublic Group of Cos. Inc. | 108,096 | 2,529 |
| | KAR Auction Services Inc. | 44,549 | 2,409 |
| * | DISH Network Corp. Class A | 56,091 | 2,338 |
| | Hanesbrands Inc. | 119,724 | 2,323 |
| * | WABCO Holdings Inc. | 16,663 | 2,299 |
| * | ServiceMaster Global Holdings Inc. | 44,283 | 2,274 |
| | Service Corp. International | 59,937 | 2,243 |
| | Polaris Industries Inc. | 19,416 | 2,213 |
| | Thor Industries Inc. | 16,245 | 2,096 |
| | Nordstrom Inc. | 38,641 | 1,983 |
| * | Live Nation Entertainment Inc. | 44,191 | 1,980 |
| | Harley-Davidson Inc. | 40,508 | 1,838 |
| | Carter's Inc. | 15,541 | 1,813 |
| | Dunkin' Brands Group Inc. | 29,845 | 1,787 |
31
| | | |
| Vanguard® Russell 1000 Growth Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Pool Corp. | 12,947 | 1,787 |
| * | Bright Horizons Family Solutions Inc. | 17,762 | 1,698 |
| | Genuine Parts Co. | 17,906 | 1,645 |
| * | Burlington Stores Inc. | 12,919 | 1,584 |
| | Leggett & Platt Inc. | 35,191 | 1,529 |
| | Aramark | 34,308 | 1,431 |
| | Delphi Technologies plc | 29,619 | 1,414 |
| | Scripps Networks Interactive Inc. Class A | 15,708 | 1,412 |
| | Six Flags Entertainment Corp. | 21,901 | 1,404 |
| | Gentex Corp. | 60,685 | 1,378 |
| | Brunswick Corp. | 23,680 | 1,355 |
| * | Visteon Corp. | 10,402 | 1,288 |
| | Cable One Inc. | 1,532 | 1,043 |
| | Toll Brothers Inc. | 23,181 | 1,016 |
| * | Wayfair Inc. | 12,814 | 992 |
| | Wendy's Co. | 61,936 | 988 |
| * | Hilton Grand Vacations Inc. | 22,479 | 970 |
| | Choice Hotels International Inc. | 11,238 | 890 |
| * | AMC Networks Inc. Class A | 15,953 | 839 |
| | Tupperware Brands Corp. | 17,013 | 835 |
| | Tapestry Inc. | 15,685 | 799 |
| * | Skechers U.S.A. Inc. Class A | 18,438 | 754 |
| * | Under Armour Inc. Class A | 43,931 | 728 |
| | Advance Auto Parts Inc. | 6,219 | 711 |
| | Extended Stay America Inc. | 35,170 | 704 |
| | PulteGroup Inc. | 24,829 | 697 |
| *,^ | Under Armour Inc. | 46,047 | 693 |
| * | TripAdvisor Inc. | 17,195 | 689 |
| | Dick's Sporting Goods Inc. | 20,977 | 672 |
| | Twenty-First Century Fox Inc. Class A | 17,678 | 651 |
| * | Michaels Cos. Inc. | 27,728 | 638 |
| | L Brands Inc. | 12,519 | 618 |
| * | Lions Gate Entertainment Corp. Class B | 22,843 | 613 |
| * | LKQ Corp. | 14,073 | 556 |
| | MGM Resorts International | 11,898 | 407 |
| | BorgWarner Inc. | 7,113 | 349 |
| * | Pandora Media Inc. | 78,668 | 347 |
| | Mattel Inc. | 20,961 | 333 |
| * | Floor & Decor Holdings Inc. Class A | 7,179 | 324 |
| * | Mohawk Industries Inc. | 1,261 | 303 |
| | Whirlpool Corp. | 1,813 | 294 |
| * | Tempur Sealy International Inc. | 5,763 | 285 |
| | Williams-Sonoma Inc. | 5,382 | 279 |
| * | Lions Gate Entertainment Corp. Class A | 9,613 | 271 |
| | H&R Block Inc. | 10,238 | 259 |
| | Twenty-First Century Fox Inc. | 7,046 | 257 |
| * | Sally Beauty Holdings Inc. | 14,469 | 244 |
| | Regal Entertainment Group Class A | 9,800 | 225 |
| * | Michael Kors Holdings Ltd. | 3,450 | 217 |
| | Foot Locker Inc. | 2,886 | 133 |
| * | Liberty Expedia Holdings Inc. Class A | 3,193 | 125 |
| * | Madison Square Garden Co. Class A | 500 | 122 |
| | Gap Inc. | 3,864 | 122 |
| | | | 865,074 |
| Consumer Staples (5.3%) | | |
| | PepsiCo Inc. | 411,795 | 45,186 |
| | Coca-Cola Co. | 952,590 | 41,171 |
| | Altria Group Inc. | 632,674 | 39,827 |
| | Constellation Brands Inc. Class A | 53,567 | 11,543 |
| | Kimberly-Clark Corp. | 99,993 | 11,091 |
| | Sysco Corp. | 159,254 | 9,500 |
| * | Monster Beverage Corp. | 136,776 | 8,668 |
| | Dr Pepper Snapple Group Inc. | 59,984 | 6,973 |
| | General Mills Inc. | 133,966 | 6,772 |
32
| | | |
| Vanguard® Russell 1000 Growth Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Kellogg Co. | 74,748 | 4,948 |
| | Philip Morris International Inc. | 46,383 | 4,803 |
| | Clorox Co. | 36,446 | 4,705 |
| | Kroger Co. | 160,672 | 4,357 |
| | McCormick & Co. Inc. | 39,580 | 4,226 |
| | Church & Dwight Co. Inc. | 82,065 | 4,037 |
| | Hershey Co. | 40,877 | 4,017 |
| | Brown-Forman Corp. Class B | 55,208 | 3,853 |
| | Walgreens Boots Alliance Inc. | 53,662 | 3,697 |
| | Procter & Gamble Co. | 43,369 | 3,405 |
| | Colgate-Palmolive Co. | 44,879 | 3,095 |
| * | Herbalife Ltd. | 21,288 | 1,961 |
| | Campbell Soup Co. | 38,384 | 1,652 |
| * | Blue Buffalo Pet Products Inc. | 31,308 | 1,254 |
| | Brown-Forman Corp. Class A | 16,872 | 1,147 |
| * | Sprouts Farmers Market Inc. | 43,454 | 1,119 |
| | Energizer Holdings Inc. | 20,109 | 1,096 |
| | Spectrum Brands Holdings Inc. | 7,865 | 776 |
| | Lamb Weston Holdings Inc. | 11,073 | 599 |
| * | Pilgrim's Pride Corp. | 15,234 | 384 |
| | Nu Skin Enterprises Inc. Class A | 4,550 | 320 |
| *,^ | Rite Aid Corp. | 158,155 | 312 |
| * | TreeHouse Foods Inc. | 5,322 | 202 |
| *,2 | Herbalife Ltd. CVR | 3,325 | 32 |
| | | | 236,728 |
| Energy (0.8%) | | |
| | Halliburton Co. | 194,005 | 9,006 |
| | ONEOK Inc. | 124,343 | 7,004 |
| | Cimarex Energy Co. | 28,844 | 2,772 |
| | Cabot Oil & Gas Corp. | 106,941 | 2,584 |
| * | Cheniere Energy Inc. | 44,510 | 2,338 |
| | EOG Resources Inc. | 17,977 | 1,823 |
| * | Newfield Exploration Co. | 65,654 | 1,532 |
| * | Parsley Energy Inc. Class A | 50,778 | 1,284 |
| | Williams Cos. Inc. | 40,356 | 1,120 |
| * | Diamondback Energy Inc. | 7,499 | 935 |
| * | RSP Permian Inc. | 22,328 | 855 |
| * | Antero Resources Corp. | 37,152 | 699 |
| * | Continental Resources Inc. | 12,493 | 593 |
| | EQT Corp. | 10,939 | 550 |
| * | Laredo Petroleum Inc. | 53,193 | 446 |
| | Devon Energy Corp. | 12,259 | 376 |
| ^ | RPC Inc. | 17,301 | 340 |
| | Apache Corp. | 6,412 | 219 |
| * | Chesapeake Energy Corp. | 20,183 | 57 |
| * | Gulfport Energy Corp. | 5,111 | 49 |
| | | | 34,582 |
| Financial Services (10.9%) | | |
| | Visa Inc. Class A | 603,209 | 74,158 |
| | Mastercard Inc. Class A | 312,226 | 54,877 |
| * | PayPal Holdings Inc. | 375,304 | 29,803 |
| | American Tower Corp. | 139,979 | 19,503 |
| | Charles Schwab Corp. | 312,023 | 16,543 |
| | S&P Global Inc. | 85,388 | 16,377 |
| | Crown Castle International Corp. | 133,096 | 14,649 |
| | Simon Property Group Inc. | 93,274 | 14,318 |
| | Marsh & McLennan Cos. Inc. | 170,558 | 14,160 |
| | Aon plc | 82,171 | 11,530 |
| | Progressive Corp. | 191,739 | 11,040 |
| | Equinix Inc. | 25,723 | 10,086 |
| * | Fiserv Inc. | 70,146 | 10,058 |
| | Public Storage | 48,983 | 9,524 |
| | Moody's Corp. | 55,025 | 9,183 |
| * | Worldpay Inc. Class A | 94,940 | 7,717 |
33
| | |
| Vanguard® Russell 1000 Growth Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Ameriprise Financial Inc. | 44,044 | 6,890 |
| Intercontinental Exchange Inc. | 92,358 | 6,750 |
| * SBA Communications Corp. Class A | 39,740 | 6,250 |
| Fidelity National Information Services Inc. | 61,901 | 6,016 |
| * FleetCor Technologies Inc. | 29,493 | 5,897 |
| Global Payments Inc. | 50,288 | 5,702 |
| Total System Services Inc. | 60,098 | 5,286 |
| Digital Realty Trust Inc. | 51,605 | 5,194 |
| Equifax Inc. | 39,485 | 4,462 |
| TD Ameritrade Holding Corp. | 75,001 | 4,313 |
| MSCI Inc. Class A | 29,433 | 4,165 |
| Cboe Global Markets Inc. | 36,507 | 4,089 |
| First Republic Bank | 42,689 | 3,962 |
| Broadridge Financial Solutions Inc. | 38,962 | 3,911 |
| Alliance Data Systems Corp. | 16,111 | 3,882 |
| * Square Inc. | 80,032 | 3,685 |
| SEI Investments Co. | 44,362 | 3,231 |
| * SVB Financial Group | 12,778 | 3,181 |
| Allstate Corp. | 33,508 | 3,091 |
| Western Union Co. | 151,430 | 3,001 |
| * TransUnion | 52,385 | 2,990 |
| Jack Henry & Associates Inc. | 25,459 | 2,986 |
| Extra Space Storage Inc. | 34,399 | 2,926 |
| Arthur J Gallagher & Co. | 40,237 | 2,781 |
| FactSet Research Systems Inc. | 12,715 | 2,583 |
| Iron Mountain Inc. | 79,735 | 2,508 |
| * First Data Corp. Class A | 156,392 | 2,443 |
| MarketAxess Holdings Inc. | 12,060 | 2,441 |
| Equity LifeStyle Properties Inc. | 26,833 | 2,270 |
| American International Group Inc. | 36,014 | 2,065 |
| * CBRE Group Inc. Class A | 42,656 | 1,994 |
| Eaton Vance Corp. | 37,147 | 1,966 |
| Lazard Ltd. Class A | 34,895 | 1,883 |
| LPL Financial Holdings Inc. | 29,208 | 1,877 |
| Lamar Advertising Co. Class A | 24,518 | 1,630 |
| * WEX Inc. | 10,419 | 1,558 |
| * Signature Bank | 10,570 | 1,545 |
| Douglas Emmett Inc. | 42,730 | 1,528 |
| * Euronet Worldwide Inc. | 16,616 | 1,410 |
| T. Rowe Price Group Inc. | 12,167 | 1,361 |
| CyrusOne Inc. | 26,361 | 1,315 |
| * Zillow Group Inc. | 24,741 | 1,179 |
| XL Group Ltd. | 26,866 | 1,137 |
| CubeSmart | 40,790 | 1,094 |
| * Western Alliance Bancorp | 18,405 | 1,076 |
| CoreSite Realty Corp. | 11,294 | 1,060 |
| Federal Realty Investment Trust | 9,297 | 1,059 |
| Capital One Financial Corp. | 10,610 | 1,039 |
| * Credit Acceptance Corp. | 3,295 | 1,037 |
| Raymond James Financial Inc. | 10,959 | 1,016 |
| Bank of the Ozarks | 18,655 | 931 |
| Boston Properties Inc. | 7,562 | 899 |
| * CoreLogic Inc. | 15,768 | 717 |
| Erie Indemnity Co. Class A | 6,101 | 706 |
| Gaming and Leisure Properties Inc. | 21,007 | 699 |
| State Street Corp. | 6,215 | 660 |
| Invesco Ltd. | 19,425 | 632 |
| Leucadia National Corp. | 24,997 | 600 |
| * Zillow Group Inc. Class A | 12,439 | 591 |
| Dun & Bradstreet Corp. | 4,728 | 591 |
| Taubman Centers Inc. | 9,518 | 556 |
| Morningstar Inc. | 5,786 | 541 |
| * Arch Capital Group Ltd. | 5,337 | 471 |
| Pinnacle Financial Partners Inc. | 7,125 | 460 |
34
| | |
| Vanguard® Russell 1000 Growth Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Assurant Inc. | 3,579 | 306 |
| Federated Investors Inc. Class B | 8,447 | 275 |
| BGC Partners Inc. Class A | 19,048 | 252 |
| Legg Mason Inc. | 6,260 | 250 |
| Aspen Insurance Holdings Ltd. | 6,173 | 225 |
| East West Bancorp Inc. | 2,922 | 192 |
| Voya Financial Inc. | 3,396 | 173 |
| Hudson Pacific Properties Inc. | 5,277 | 167 |
| Outfront Media Inc. | 6,221 | 128 |
| RenaissanceRe Holdings Ltd. | 932 | 120 |
| Tanger Factory Outlet Centers Inc. | 1,930 | 43 |
| * VICI Properties Inc. | 1,218 | 24 |
| | | 481,450 |
| Health Care (12.5%) | | |
| UnitedHealth Group Inc. | 317,933 | 71,904 |
| AbbVie Inc. | 528,134 | 61,174 |
| Eli Lilly & Co. | 324,154 | 24,966 |
| Gilead Sciences Inc. | 308,200 | 24,265 |
| * Celgene Corp. | 256,732 | 22,366 |
| Becton Dickinson and Co. | 86,217 | 19,142 |
| * Biogen Inc. | 66,043 | 19,086 |
| Stryker Corp. | 112,597 | 18,259 |
| Bristol-Myers Squibb Co. | 268,576 | 17,780 |
| Johnson & Johnson | 136,734 | 17,759 |
| * Intuitive Surgical Inc. | 36,783 | 15,686 |
| * Vertex Pharmaceuticals Inc. | 83,344 | 13,838 |
| Cigna Corp. | 69,277 | 13,571 |
| Zoetis Inc. | 162,803 | 13,164 |
| Amgen Inc. | 70,241 | 12,908 |
| Thermo Fisher Scientific Inc. | 59,584 | 12,428 |
| * Boston Scientific Corp. | 453,179 | 12,354 |
| Humana Inc. | 44,475 | 12,089 |
| * Illumina Inc. | 48,220 | 10,995 |
| * Edwards Lifesciences Corp. | 69,170 | 9,246 |
| * Regeneron Pharmaceuticals Inc. | 26,229 | 8,405 |
| * Align Technology Inc. | 26,281 | 6,899 |
| * Alexion Pharmaceuticals Inc. | 58,191 | 6,834 |
| * Cerner Corp. | 95,267 | 6,112 |
| Aetna Inc. | 34,012 | 6,022 |
| * IDEXX Laboratories Inc. | 28,900 | 5,411 |
| AmerisourceBergen Corp. Class A | 52,697 | 5,015 |
| * Incyte Corp. | 57,537 | 4,900 |
| * BioMarin Pharmaceutical Inc. | 57,813 | 4,693 |
| ResMed Inc. | 46,255 | 4,407 |
| * Bioverativ Inc. | 35,741 | 3,741 |
| * ABIOMED Inc. | 13,625 | 3,654 |
| * Varian Medical Systems Inc. | 30,519 | 3,642 |
| * Henry Schein Inc. | 52,130 | 3,450 |
| * IQVIA Holdings Inc. | 34,770 | 3,419 |
| * Alnylam Pharmaceuticals Inc. | 24,559 | 2,951 |
| * Alkermes plc | 50,136 | 2,862 |
| Cooper Cos. Inc. | 12,379 | 2,854 |
| Merck & Co. Inc. | 49,703 | 2,695 |
| Medtronic plc | 33,084 | 2,643 |
| * WellCare Health Plans Inc. | 13,493 | 2,616 |
| * Veeva Systems Inc. Class A | 35,835 | 2,498 |
| * Exelixis Inc. | 95,097 | 2,453 |
| * Neurocrine Biosciences Inc. | 28,819 | 2,433 |
| * Ionis Pharmaceuticals Inc. | 40,743 | 2,152 |
| West Pharmaceutical Services Inc. | 24,130 | 2,105 |
| * Hologic Inc. | 52,255 | 2,029 |
| * Seattle Genetics Inc. | 34,141 | 1,844 |
| * athenahealth Inc. | 13,040 | 1,822 |
| Agilent Technologies Inc. | 26,000 | 1,783 |
35
| | | |
| Vanguard® Russell 1000 Growth Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Bio-Techne Corp. | 12,248 | 1,731 |
| | Hill-Rom Holdings Inc. | 20,401 | 1,707 |
| * | Charles River Laboratories International Inc. | 15,618 | 1,665 |
| * | DexCom Inc. | 28,350 | 1,592 |
| * | Agios Pharmaceuticals Inc. | 14,515 | 1,167 |
| | McKesson Corp. | 7,391 | 1,103 |
| | Baxter International Inc. | 15,152 | 1,027 |
| * | Express Scripts Holding Co. | 12,592 | 950 |
| *,^ | ACADIA Pharmaceuticals Inc. | 32,893 | 819 |
| * | QIAGEN NV | 24,189 | 815 |
| * | Centene Corp. | 7,009 | 711 |
| * | TESARO Inc. | 12,077 | 667 |
| | HCA Healthcare Inc. | 6,601 | 655 |
| | Teleflex Inc. | 2,388 | 597 |
| | PerkinElmer Inc. | 6,767 | 517 |
| * | Akorn Inc. | 28,598 | 484 |
| | Bruker Corp. | 11,967 | 367 |
| * | Intercept Pharmaceuticals Inc. | 5,768 | 344 |
| *,^ | Intrexon Corp. | 13,973 | 182 |
| * | Premier Inc. Class A | 5,386 | 178 |
| * | LifePoint Health Inc. | 2,024 | 93 |
| | Patterson Cos. Inc. | 2,493 | 79 |
| * | OPKO Health Inc. | 11,723 | 40 |
| | | | 552,814 |
| Materials & Processing (3.9%) | | |
| | DowDuPont Inc. | 369,267 | 25,960 |
| | Monsanto Co. | 145,367 | 17,934 |
| | Praxair Inc. | 83,047 | 12,436 |
| | Ecolab Inc. | 84,949 | 11,082 |
| | Sherwin-Williams Co. | 27,124 | 10,892 |
| | PPG Industries Inc. | 78,915 | 8,873 |
| | International Paper Co. | 123,988 | 7,388 |
| | Fastenal Co. | 95,710 | 5,237 |
| | LyondellBasell Industries NV Class A | 46,905 | 5,076 |
| | Vulcan Materials Co. | 40,524 | 4,771 |
| | Martin Marietta Materials Inc. | 18,837 | 3,841 |
| | International Flavors & Fragrances Inc. | 26,278 | 3,712 |
| | Ingersoll-Rand plc | 41,625 | 3,696 |
| | Packaging Corp. of America | 30,768 | 3,668 |
| | FMC Corp. | 44,400 | 3,485 |
| | Chemours Co. | 60,837 | 2,890 |
| | Masco Corp. | 67,309 | 2,768 |
| | Celanese Corp. Class A | 26,663 | 2,689 |
| | Ball Corp. | 63,136 | 2,522 |
| | Lennox International Inc. | 11,701 | 2,394 |
| * | Berry Global Group Inc. | 42,646 | 2,320 |
| * | Axalta Coating Systems Ltd. | 70,083 | 2,159 |
| | RPM International Inc. | 39,653 | 1,974 |
| | Watsco Inc. | 10,013 | 1,656 |
| * | Freeport-McMoRan Inc. | 88,889 | 1,653 |
| | Eagle Materials Inc. | 15,512 | 1,555 |
| | WR Grace & Co. | 22,602 | 1,496 |
| * | Crown Holdings Inc. | 29,852 | 1,488 |
| | Acuity Brands Inc. | 9,483 | 1,352 |
| | Hexcel Corp. | 19,934 | 1,341 |
| | Sealed Air Corp. | 30,491 | 1,292 |
| | Southern Copper Corp. | 24,444 | 1,289 |
| | Scotts Miracle-Gro Co. | 13,250 | 1,190 |
| | Graphic Packaging Holding Co. | 72,731 | 1,114 |
| * | Univar Inc. | 37,999 | 1,095 |
| | Huntsman Corp. | 32,556 | 1,051 |
| | NewMarket Corp. | 2,319 | 969 |
| * | Owens-Illinois Inc. | 42,722 | 921 |
| * | Armstrong World Industries Inc. | 14,863 | 896 |
36
| | |
| Vanguard® Russell 1000 Growth Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Silgan Holdings Inc. | 24,195 | 688 |
| Albemarle Corp. | 6,712 | 674 |
| Royal Gold Inc. | 7,859 | 635 |
| Westlake Chemical Corp. | 5,820 | 630 |
| Steel Dynamics Inc. | 9,573 | 443 |
| AptarGroup Inc. | 4,667 | 417 |
| * Platform Specialty Products Corp. | 32,487 | 339 |
| Versum Materials Inc. | 3,217 | 119 |
| Ardagh Group SA | 3,230 | 60 |
| | | 172,130 |
| Other (0.0%)3 | | |
| * ADT Inc. | 4,011 | 42 |
| |
| Producer Durables (13.5%) | | |
| Boeing Co. | 184,591 | 66,861 |
| 3M Co. | 192,251 | 45,277 |
| Accenture plc Class A | 205,475 | 33,084 |
| Union Pacific Corp. | 236,814 | 30,845 |
| Caterpillar Inc. | 170,660 | 26,389 |
| Lockheed Martin Corp. | 74,699 | 26,327 |
| United Parcel Service Inc. Class B | 228,719 | 23,881 |
| Honeywell International Inc. | 147,538 | 22,295 |
| FedEx Corp. | 81,992 | 20,204 |
| Northrop Grumman Corp. | 53,395 | 18,690 |
| Automatic Data Processing Inc. | 148,242 | 17,095 |
| Deere & Co. | 105,558 | 16,981 |
| Illinois Tool Works Inc. | 100,899 | 16,289 |
| CSX Corp. | 253,558 | 13,621 |
| Southwest Airlines Co. | 182,412 | 10,551 |
| Waste Management Inc. | 118,786 | 10,254 |
| Roper Technologies Inc. | 31,487 | 8,662 |
| General Dynamics Corp. | 35,161 | 7,822 |
| Raytheon Co. | 35,734 | 7,773 |
| Rockwell Automation Inc. | 42,533 | 7,690 |
| Rockwell Collins Inc. | 53,654 | 7,389 |
| General Electric Co. | 501,408 | 7,075 |
| Fortive Corp. | 91,970 | 7,063 |
| Paychex Inc. | 106,421 | 6,931 |
| Parker-Hannifin Corp. | 37,900 | 6,764 |
| * Mettler-Toledo International Inc. | 8,386 | 5,168 |
| * Waters Corp. | 25,240 | 5,165 |
| * Verisk Analytics Inc. Class A | 50,204 | 5,130 |
| * United Rentals Inc. | 27,986 | 4,900 |
| Cintas Corp. | 28,498 | 4,864 |
| TransDigm Group Inc. | 16,043 | 4,625 |
| CH Robinson Worldwide Inc. | 46,487 | 4,340 |
| WW Grainger Inc. | 16,054 | 4,199 |
| * CoStar Group Inc. | 11,765 | 4,025 |
| JB Hunt Transport Services Inc. | 28,785 | 3,413 |
| American Airlines Group Inc. | 62,237 | 3,376 |
| Avery Dennison Corp. | 27,691 | 3,272 |
| Huntington Ingalls Industries Inc. | 12,360 | 3,238 |
| IDEX Corp. | 23,608 | 3,230 |
| * Copart Inc. | 65,348 | 3,059 |
| AO Smith Corp. | 47,369 | 3,041 |
| Cummins Inc. | 16,855 | 2,835 |
| * XPO Logistics Inc. | 28,707 | 2,826 |
| Allegion plc | 31,868 | 2,680 |
| Expeditors International of Washington Inc. | 41,086 | 2,669 |
| Nordson Corp. | 18,926 | 2,537 |
| * Trimble Inc. | 65,258 | 2,475 |
| Graco Inc. | 54,402 | 2,413 |
| * Zebra Technologies Corp. | 17,261 | 2,384 |
| Robert Half International Inc. | 40,667 | 2,321 |
37
| | |
| Vanguard® Russell 1000 Growth Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Xylem Inc. | 30,831 | 2,299 |
| * HD Supply Holdings Inc. | 61,582 | 2,232 |
| Toro Co. | 34,752 | 2,209 |
| * Middleby Corp. | 18,131 | 2,180 |
| Emerson Electric Co. | 30,139 | 2,142 |
| Alaska Air Group Inc. | 32,642 | 2,105 |
| BWX Technologies Inc. | 30,974 | 1,950 |
| Donaldson Co. Inc. | 39,653 | 1,882 |
| Old Dominion Freight Line Inc. | 12,611 | 1,752 |
| Lincoln Electric Holdings Inc. | 19,432 | 1,701 |
| Booz Allen Hamilton Holding Corp. Class A | 44,420 | 1,685 |
| Allison Transmission Holdings Inc. | 41,178 | 1,632 |
| Rollins Inc. | 31,756 | 1,596 |
| Genpact Ltd. | 50,452 | 1,583 |
| Hubbell Inc. Class B | 11,633 | 1,525 |
| * Sensata Technologies Holding NV | 28,513 | 1,507 |
| Landstar System Inc. | 13,841 | 1,506 |
| HEICO Corp. Class A | 20,033 | 1,452 |
| National Instruments Corp. | 27,873 | 1,409 |
| FLIR Systems Inc. | 24,536 | 1,205 |
| AMETEK Inc. | 12,189 | 923 |
| * Welbilt Inc. | 43,245 | 857 |
| HEICO Corp. | 9,977 | 854 |
| Stanley Black & Decker Inc. | 5,077 | 808 |
| Wabtec Corp. | 8,974 | 730 |
| * Gardner Denver Holdings Inc. | 21,226 | 680 |
| * Clean Harbors Inc. | 12,524 | 625 |
| Dover Corp. | 5,433 | 544 |
| MSC Industrial Direct Co. Inc. Class A | 5,786 | 506 |
| * Quanta Services Inc. | 12,176 | 419 |
| Snap-on Inc. | 2,450 | 390 |
| Copa Holdings SA Class A | 737 | 100 |
| Air Lease Corp. Class A | 1,933 | 84 |
| | | 597,070 |
| Technology (32.4%) | | |
| Apple Inc. | 1,703,436 | 303,416 |
| Microsoft Corp. | 2,486,649 | 233,173 |
| * Facebook Inc. Class A | 773,827 | 137,989 |
| * Alphabet Inc. Class C | 100,350 | 110,860 |
| * Alphabet Inc. Class A | 98,577 | 108,821 |
| NVIDIA Corp. | 188,455 | 45,606 |
| Texas Instruments Inc. | 330,993 | 35,863 |
| * Adobe Systems Inc. | 163,787 | 34,253 |
| Broadcom Ltd. | 134,023 | 33,031 |
| International Business Machines Corp. | 192,897 | 30,059 |
| * salesforce.com Inc. | 223,831 | 26,020 |
| Applied Materials Inc. | 353,311 | 20,347 |
| Activision Blizzard Inc. | 244,985 | 17,916 |
| Cognizant Technology Solutions Corp. Class A | 193,625 | 15,881 |
| Intuit Inc. | 80,479 | 13,429 |
| * Micron Technology Inc. | 273,135 | 13,332 |
| * Electronic Arts Inc. | 99,275 | 12,280 |
| Analog Devices Inc. | 121,142 | 10,921 |
| Lam Research Corp. | 53,407 | 10,247 |
| DXC Technology Co. | 93,676 | 9,606 |
| Amphenol Corp. Class A | 98,908 | 9,039 |
| * ServiceNow Inc. | 55,312 | 8,906 |
| * Red Hat Inc. | 58,588 | 8,636 |
| * NXP Semiconductors NV | 64,053 | 7,985 |
| Microchip Technology Inc. | 75,408 | 6,706 |
| Skyworks Solutions Inc. | 61,031 | 6,668 |
| * Autodesk Inc. | 56,226 | 6,605 |
| KLA-Tencor Corp. | 51,950 | 5,886 |
| Maxim Integrated Products Inc. | 93,064 | 5,671 |
38
| | | |
| Vanguard® Russell 1000 Growth Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Workday Inc. Class A | 44,166 | 5,595 |
| | Xilinx Inc. | 77,973 | 5,556 |
| | Symantec Corp. | 202,523 | 5,324 |
| * | Palo Alto Networks Inc. | 29,513 | 5,117 |
| * | Dell Technologies Inc. Class V | 67,994 | 5,051 |
| * | Arista Networks Inc. | 17,528 | 4,728 |
| | NetApp Inc. | 77,047 | 4,665 |
| * | Citrix Systems Inc. | 50,090 | 4,608 |
| * | ANSYS Inc. | 28,283 | 4,524 |
| * | Splunk Inc. | 46,198 | 4,306 |
| * | Take-Two Interactive Software Inc. | 36,985 | 4,138 |
| | Oracle Corp. | 78,532 | 3,979 |
| | CDW Corp. | 49,598 | 3,617 |
| * | Cadence Design Systems Inc. | 91,982 | 3,566 |
| * | IAC/InterActiveCorp | 22,983 | 3,422 |
| * | IHS Markit Ltd. | 72,126 | 3,394 |
| *,^ | Advanced Micro Devices Inc. | 277,171 | 3,357 |
| * | Gartner Inc. | 28,862 | 3,273 |
| * | VeriSign Inc. | 28,097 | 3,260 |
| * | F5 Networks Inc. | 20,959 | 3,113 |
| * | ON Semiconductor Corp. | 129,649 | 3,101 |
| *,^ | VMware Inc. Class A | 23,495 | 3,096 |
| | Cognex Corp. | 54,622 | 2,934 |
| * | IPG Photonics Corp. | 11,827 | 2,905 |
| | CDK Global Inc. | 42,076 | 2,890 |
| * | PTC Inc. | 37,776 | 2,786 |
| | Teradyne Inc. | 61,057 | 2,772 |
| * | GoDaddy Inc. Class A | 45,281 | 2,708 |
| | SS&C Technologies Holdings Inc. | 52,140 | 2,582 |
| * | Fortinet Inc. | 48,146 | 2,430 |
| * | Tyler Technologies Inc. | 11,377 | 2,311 |
| * | Ultimate Software Group Inc. | 9,385 | 2,238 |
| | CSRA Inc. | 53,507 | 2,169 |
| * | Microsemi Corp. | 31,560 | 2,048 |
| * | Cavium Inc. | 22,165 | 1,974 |
| * | Black Knight Inc. | 37,927 | 1,807 |
| | Universal Display Corp. | 13,688 | 1,777 |
| * | Qorvo Inc. | 21,829 | 1,762 |
| * | Tableau Software Inc. Class A | 21,232 | 1,734 |
| * | Coherent Inc. | 8,048 | 1,683 |
| * | Atlassian Corp. plc Class A | 30,413 | 1,651 |
| | Harris Corp. | 10,173 | 1,589 |
| * | NCR Corp. | 39,948 | 1,318 |
| | LogMeIn Inc. | 10,834 | 1,252 |
| | Sabre Corp. | 53,887 | 1,238 |
| | Western Digital Corp. | 14,170 | 1,233 |
| * | CommScope Holding Co. Inc. | 31,822 | 1,232 |
| * | Manhattan Associates Inc. | 23,073 | 971 |
| * | Guidewire Software Inc. | 9,641 | 774 |
| | Motorola Solutions Inc. | 5,043 | 535 |
| *,^ | Match Group Inc. | 11,896 | 476 |
| | Corning Inc. | 16,178 | 470 |
| * | Twitter Inc. | 13,509 | 430 |
| * | Synopsys Inc. | 3,820 | 323 |
| | DST Systems Inc. | 2,029 | 169 |
| | Cypress Semiconductor Corp. | 8,783 | 153 |
| | Switch Inc. | 8,623 | 119 |
| | | | 1,435,385 |
| Utilities (0.9%) | | |
| | Verizon Communications Inc. | 688,514 | 32,870 |
| * | T-Mobile US Inc. | 60,293 | 3,654 |
| * | Zayo Group Holdings Inc. | 61,323 | 2,199 |
39
| | | | | |
| Vanguard® Russell 1000 Growth Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | | | Market |
| | | | | | Value |
| | | | | Shares | ($000) |
| | NRG Energy Inc. | | | 19,190 | 496 |
| | | | | | 39,219 |
| Total Common Stocks (Cost $3,046,821) | | | | 4,414,494 |
| | | Coupon | | | |
| Temporary Cash Investments (0.3%)1 | | | | |
| Money Market Fund (0.3%) | | | | |
| 4,5 | Vanguard Market Liquidity Fund | 1.601% | | 118,514 | 11,850 |
| |
| | | | | Face | |
| | | | Maturity | Amount | |
| | | | Date | ($000) | |
| U.S. Government and Agency Obligations (0.0%) | | | | |
| 6 | United States Treasury Bill | 1.432% | 4/26/18 | 300 | 299 |
| 6 | United States Treasury Bill | 1.602% | 5/24/18 | 300 | 299 |
| | | | | | 598 |
| Total Temporary Cash Investments (Cost $12,449) | | | | 12,448 |
| Total Investments (100.1%) (Cost $3,059,270) | | | | 4,426,942 |
| Other Assets and Liabilities—Net (-0.1%)5 | | | | (3,613) |
| Net Assets (100%) | | | | 4,423,329 |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $9,822,000.
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 $10,468,000 of collateral received for securities on loan.
6 Securities with a value of $459,000 have been segregated as initial margin for open futures contracts.
CVR—Contingent Value Rights.
40
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| |
| © 2018 The Vanguard Group, Inc. |
| All rights reserved. |
| Vanguard Marketing Corporation, Distributor. |
| |
| SNA18482 042018 |
| | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Common Stocks (99.4%)1 | | |
| Consumer Discretionary (13.7%) | | |
| * Grand Canyon Education Inc. | 47,046 | 4,618 |
| * Cimpress NV | 25,111 | 4,087 |
| * 2U Inc. | 48,380 | 4,005 |
| Dana Inc. | 146,931 | 3,904 |
| Texas Roadhouse Inc. Class A | 67,149 | 3,711 |
| * Five Below Inc. | 54,233 | 3,625 |
| Churchill Downs Inc. | 13,559 | 3,501 |
| * Avis Budget Group Inc. | 72,605 | 3,280 |
| ILG Inc. | 106,714 | 3,240 |
| * Planet Fitness Inc. Class A | 86,831 | 3,211 |
| American Eagle Outfitters Inc. | 163,371 | 3,148 |
| Nexstar Media Group Inc. Class A | 44,012 | 3,145 |
| * Stamps.com Inc. | 16,402 | 3,134 |
| * Etsy Inc. | 121,625 | 3,078 |
| New York Times Co. Class A | 126,082 | 3,039 |
| Marriott Vacations Worldwide Corp. | 21,469 | 3,016 |
| Cracker Barrel Old Country Store Inc. | 19,302 | 3,013 |
| * Deckers Outdoor Corp. | 31,763 | 3,004 |
| Boyd Gaming Corp. | 83,341 | 2,949 |
| Aaron's Inc. | 63,696 | 2,943 |
| * Ollie's Bargain Outlet Holdings Inc. | 47,858 | 2,840 |
| * Adtalem Global Education Inc. | 60,622 | 2,792 |
| Wolverine World Wide Inc. | 94,905 | 2,779 |
| Tenneco Inc. | 51,139 | 2,687 |
| Jack in the Box Inc. | 29,629 | 2,669 |
| LCI Industries | 24,346 | 2,661 |
| * Steven Madden Ltd. | 59,443 | 2,610 |
| * Shutterfly Inc. | 33,106 | 2,540 |
| * Taylor Morrison Home Corp. Class A | 111,384 | 2,499 |
| * Helen of Troy Ltd. | 27,414 | 2,469 |
| Children's Place Inc. | 17,345 | 2,468 |
| Lithia Motors Inc. Class A | 23,646 | 2,457 |
| Sinclair Broadcast Group Inc. Class A | 71,713 | 2,424 |
| Big Lots Inc. | 42,932 | 2,413 |
| * Scientific Games Corp. | 53,429 | 2,375 |
| KB Home | 85,247 | 2,366 |
| * SiteOne Landscape Supply Inc. | 34,080 | 2,346 |
| Red Rock Resorts Inc. Class A | 69,313 | 2,322 |
| * TRI Pointe Group Inc. | 150,458 | 2,307 |
| Meredith Corp. | 39,878 | 2,285 |
| * Penn National Gaming Inc. | 85,063 | 2,264 |
| Columbia Sportswear Co. | 29,190 | 2,206 |
| Bloomin' Brands Inc. | 93,234 | 2,153 |
| * Cooper-Standard Holdings Inc. | 17,314 | 2,110 |
| * Meritor Inc. | 84,121 | 2,061 |
| Cheesecake Factory Inc. | 43,161 | 2,007 |
| * Cars.com Inc. | 72,532 | 1,987 |
| * Chegg Inc. | 95,809 | 1,908 |
| * Weight Watchers International Inc. | 28,209 | 1,907 |
| * Dave & Buster's Entertainment Inc. | 41,866 | 1,874 |
| * Dorman Products Inc. | 27,081 | 1,869 |
| * American Woodmark Corp. | 14,221 | 1,826 |
| * Sotheby's | 38,324 | 1,770 |
| Travelport Worldwide Ltd. | 123,988 | 1,767 |
| PriceSmart Inc. | 22,070 | 1,738 |
| * Caesars Entertainment Corp. | 136,262 | 1,731 |
| * RH | 20,232 | 1,717 |
| * Meritage Homes Corp. | 38,341 | 1,626 |
| Cooper Tire & Rubber Co. | 51,758 | 1,623 |
| Monro Inc. | 31,682 | 1,613 |
| Brinker International Inc. | 46,536 | 1,602 |
1
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Matthews International Corp. Class A | 31,245 | 1,601 |
| *,^ | Eldorado Resorts Inc. | 46,824 | 1,597 |
| * | G-III Apparel Group Ltd. | 43,207 | 1,595 |
| * | Pinnacle Entertainment Inc. | 52,798 | 1,593 |
| * | La Quinta Holdings Inc. | 81,476 | 1,538 |
| ^ | Papa John's International Inc. | 25,976 | 1,500 |
| | World Wrestling Entertainment Inc. Class A | 38,888 | 1,484 |
| | La-Z-Boy Inc. | 48,148 | 1,478 |
| * | MSG Networks Inc. | 59,870 | 1,461 |
| * | American Axle & Manufacturing Holdings Inc. | 98,598 | 1,455 |
| | Callaway Golf Co. | 93,590 | 1,449 |
| | Abercrombie & Fitch Co. | 68,884 | 1,421 |
| | Winnebago Industries Inc. | 31,444 | 1,369 |
| * | Sleep Number Corp. | 39,633 | 1,365 |
| | Group 1 Automotive Inc. | 19,821 | 1,364 |
| | Office Depot Inc. | 518,343 | 1,363 |
| * | Cavco Industries Inc. | 8,510 | 1,354 |
| * | JC Penney Co. Inc. | 310,017 | 1,342 |
| | Camping World Holdings Inc. Class A | 32,076 | 1,341 |
| *,^ | Trade Desk Inc. Class A | 23,678 | 1,332 |
| | Dine Brands Global Inc. | 17,496 | 1,329 |
| * | Fox Factory Holding Corp. | 35,106 | 1,318 |
| | Oxford Industries Inc. | 16,448 | 1,315 |
| | Wingstop Inc. | 28,989 | 1,313 |
| | Chico's FAS Inc. | 128,669 | 1,292 |
| * | Central Garden & Pet Co. Class A | 35,540 | 1,288 |
| | DSW Inc. Class A | 65,593 | 1,286 |
| | Entercom Communications Corp. Class A | 127,007 | 1,257 |
| | MDC Holdings Inc. | 44,711 | 1,238 |
| * | Asbury Automotive Group Inc. | 18,521 | 1,220 |
| * | IMAX Corp. | 56,031 | 1,182 |
| | Caleres Inc. | 42,101 | 1,179 |
| | Tailored Brands Inc. | 49,049 | 1,148 |
| ^ | Dillard's Inc. Class A | 14,044 | 1,145 |
| * | Gentherm Inc. | 36,671 | 1,129 |
| | Gannett Co. Inc. | 112,282 | 1,127 |
| | International Speedway Corp. Class A | 24,160 | 1,087 |
| | Viad Corp. | 20,190 | 1,051 |
| | Scholastic Corp. | 28,395 | 1,034 |
| * | Belmond Ltd. Class A | 89,490 | 1,034 |
| *,^ | Overstock.com Inc. | 16,865 | 1,019 |
| | Standard Motor Products Inc. | 21,617 | 1,009 |
| *,^ | SeaWorld Entertainment Inc. | 68,636 | 1,004 |
| * | Quotient Technology Inc. | 75,806 | 997 |
| * | Hertz Global Holdings Inc. | 54,585 | 993 |
| * | Vista Outdoor Inc. | 57,390 | 989 |
| * | LGI Homes Inc. | 17,363 | 983 |
| ^ | Sonic Corp. | 38,936 | 978 |
| * | Denny's Corp. | 63,687 | 958 |
| * | Instructure Inc. | 22,001 | 955 |
| | Strayer Education Inc. | 10,609 | 951 |
| * | Shutterstock Inc. | 18,910 | 950 |
| | Guess? Inc. | 59,909 | 946 |
| *,^ | Fitbit Inc. Class A | 194,047 | 928 |
| | Nutrisystem Inc. | 29,812 | 917 |
| * | Career Education Corp. | 68,020 | 900 |
| | New Media Investment Group Inc. | 51,942 | 896 |
| | Capella Education Co. | 11,511 | 894 |
| * | Gray Television Inc. | 64,570 | 891 |
| | BJ's Restaurants Inc. | 20,028 | 871 |
| *,^ | Shake Shack Inc. Class A | 22,293 | 869 |
| * | Crocs Inc. | 69,772 | 854 |
| ^ | AMC Entertainment Holdings Inc. Class A | 53,847 | 808 |
| | EW Scripps Co. Class A | 58,059 | 799 |
2
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Liberty Media Corp-Liberty Braves Class C | 34,367 | 789 |
| * | Genesco Inc. | 19,580 | 770 |
| * | M/I Homes Inc. | 26,477 | 769 |
| * | Liberty TripAdvisor Holdings Inc. Class A | 73,196 | 761 |
| | Inter Parfums Inc. | 17,473 | 741 |
| * | Laureate Education Inc. Class A | 55,183 | 738 |
| | Sturm Ruger & Co. Inc. | 16,947 | 730 |
| | Ruth's Hospitality Group Inc. | 29,567 | 726 |
| * | Universal Electronics Inc. | 14,262 | 706 |
| * | Houghton Mifflin Harcourt Co. | 103,721 | 705 |
| * | Red Robin Gourmet Burgers Inc. | 12,888 | 691 |
| * | William Lyon Homes Class A | 26,992 | 682 |
| | Acushnet Holdings Corp. | 31,575 | 669 |
| * | Lumber Liquidators Holdings Inc. | 28,325 | 656 |
| * | Malibu Boats Inc. Class A | 20,451 | 655 |
| * | HealthStream Inc. | 26,294 | 635 |
| * | National Vision Holdings Inc. | 18,242 | 630 |
| * | Conn's Inc. | 18,621 | 609 |
| | Buckle Inc. | 28,782 | 606 |
| *,^ | Fossil Group Inc. | 44,704 | 598 |
| | Ethan Allen Interiors Inc. | 25,063 | 595 |
| * | Stoneridge Inc. | 26,969 | 587 |
| *,^ | GoPro Inc. Class A | 108,144 | 582 |
| * | K12 Inc. | 38,770 | 579 |
| * | Century Communities Inc. | 19,401 | 577 |
| * | Regis Corp. | 35,379 | 569 |
| * | Express Inc. | 76,882 | 555 |
| * | Hibbett Sports Inc. | 20,459 | 527 |
| | Tower International Inc. | 20,002 | 522 |
| | Marcus Corp. | 19,231 | 519 |
| * | Beazer Homes USA Inc. | 31,484 | 495 |
| | Sonic Automotive Inc. Class A | 24,936 | 489 |
| * | QuinStreet Inc. | 36,971 | 485 |
| * | American Public Education Inc. | 15,780 | 485 |
| * | American Outdoor Brands Corp. | 53,711 | 483 |
| * | XO Group Inc. | 24,936 | 481 |
| * | MarineMax Inc. | 22,508 | 470 |
| | Movado Group Inc. | 15,101 | 468 |
| | National CineMedia Inc. | 61,581 | 464 |
| * | Monarch Casino & Resort Inc. | 10,721 | 453 |
| * | MCBC Holdings Inc. | 18,373 | 450 |
| * | Chuy's Holdings Inc. | 16,577 | 448 |
| | National Presto Industries Inc. | 4,899 | 445 |
| * | Carrols Restaurant Group Inc. | 34,450 | 443 |
| * | MDC Partners Inc. Class A | 56,269 | 442 |
| * | Fiesta Restaurant Group Inc. | 25,718 | 437 |
| | Entravision Communications Corp. Class A | 67,441 | 435 |
| * | Biglari Holdings Inc. | 1,011 | 424 |
| | Hooker Furniture Corp. | 11,330 | 423 |
| * | Del Taco Restaurants Inc. | 33,105 | 417 |
| | Finish Line Inc. Class A | 39,201 | 416 |
| * | Central Garden & Pet Co. | 10,641 | 411 |
| * | ZAGG Inc. | 27,228 | 410 |
| | Carriage Services Inc. Class A | 14,968 | 407 |
| * | Ascena Retail Group Inc. | 173,597 | 394 |
| *,^ | Party City Holdco Inc. | 27,114 | 392 |
| | Emerald Expositions Events Inc. | 18,207 | 388 |
| * | Motorcar Parts of America Inc. | 19,041 | 388 |
| *,^ | elf Beauty Inc. | 20,755 | 383 |
| | Haverty Furniture Cos. Inc. | 18,766 | 382 |
| * | tronc Inc. | 19,733 | 377 |
| * | Central European Media Enterprises Ltd. Class A | 81,995 | 365 |
| * | Zumiez Inc. | 18,442 | 363 |
| * | Nautilus Inc. | 30,254 | 359 |
3
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Superior Industries International Inc. | 24,651 | 356 |
| * | Perry Ellis International Inc. | 13,274 | 354 |
| * | Del Frisco's Restaurant Group Inc. | 20,914 | 348 |
| * | America's Car-Mart Inc. | 7,053 | 343 |
| *,^ | Eros International plc | 25,522 | 337 |
| | Bassett Furniture Industries Inc. | 10,190 | 328 |
| ^ | Rent-A-Center Inc. | 42,687 | 321 |
| * | Drive Shack Inc. | 62,974 | 318 |
| * | 1-800-Flowers.com Inc. Class A | 26,934 | 314 |
| | Johnson Outdoors Inc. Class A | 4,950 | 305 |
| | Citi Trends Inc. | 13,387 | 297 |
| *,^ | Carvana Co. | 14,587 | 292 |
| * | Zoe's Kitchen Inc. | 19,595 | 292 |
| | Flexsteel Industries Inc. | 7,476 | 291 |
| * | Potbelly Corp. | 22,600 | 290 |
| * | Golden Entertainment Inc. | 10,411 | 290 |
| * | Barnes & Noble Education Inc. | 38,929 | 284 |
| * | Reading International Inc. Class A | 17,252 | 283 |
| | Barnes & Noble Inc. | 60,673 | 273 |
| | Winmark Corp. | 2,109 | 267 |
| | Shoe Carnival Inc. | 11,423 | 267 |
| | Cato Corp. Class A | 23,279 | 264 |
| * | Hovnanian Enterprises Inc. Class A | 119,426 | 260 |
| * | Franklin Covey Co. | 9,819 | 254 |
| * | Daily Journal Corp. | 1,115 | 253 |
| * | Care.com Inc. | 13,977 | 250 |
| | Pier 1 Imports Inc. | 80,568 | 250 |
| | RCI Hospitality Holdings Inc. | 9,182 | 248 |
| * | Bojangles' Inc. | 18,227 | 239 |
| * | Rosetta Stone Inc. | 17,020 | 233 |
| *,^ | Lands' End Inc. | 12,849 | 231 |
| * | Liberty Media Corp-Liberty Braves Class A | 9,983 | 229 |
| | Speedway Motorsports Inc. | 11,607 | 228 |
| *,^ | Revlon Inc. Class A | 11,487 | 226 |
| | Tile Shop Holdings Inc. | 39,585 | 214 |
| * | Boot Barn Holdings Inc. | 12,025 | 212 |
| | Superior Uniform Group Inc. | 8,403 | 211 |
| * | Vera Bradley Inc. | 20,165 | 203 |
| * | Horizon Global Corp. | 24,358 | 201 |
| * | El Pollo Loco Holdings Inc. | 20,418 | 199 |
| *,^ | WideOpenWest Inc. | 20,499 | 198 |
| | Weyco Group Inc. | 6,299 | 192 |
| * | Francesca's Holdings Corp. | 36,788 | 192 |
| * | Lindblad Expeditions Holdings Inc. | 20,133 | 185 |
| | Nathan's Famous Inc. | 2,742 | 178 |
| * | Habit Restaurants Inc. Class A | 20,520 | 178 |
| * | Sportsman's Warehouse Holdings Inc. | 36,470 | 177 |
| | Clear Channel Outdoor Holdings Inc. Class A | 35,890 | 172 |
| | Tilly's Inc. Class A | 13,117 | 171 |
| * | Century Casinos Inc. | 21,257 | 169 |
| *,^ | Duluth Holdings Inc. | 9,768 | 164 |
| | CSS Industries Inc. | 8,837 | 163 |
| * | Red Lion Hotels Corp. | 16,748 | 162 |
| * | Hemisphere Media Group Inc. Class A | 14,360 | 161 |
| * | Fogo De Chao Inc. | 9,827 | 153 |
| * | At Home Group Inc. | 5,174 | 153 |
| * | New Home Co. Inc. | 12,723 | 143 |
| | Saga Communications Inc. Class A | 3,635 | 142 |
| | Lifetime Brands Inc. | 10,073 | 141 |
| | Libbey Inc. | 22,288 | 140 |
| | Hamilton Beach Brands Holding Co. Class A | 5,633 | 140 |
| * | Clarus Corp. | 20,367 | 136 |
| * | Kirkland's Inc. | 15,515 | 136 |
| * | J Alexander's Holdings Inc. | 13,670 | 135 |
4
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Build-A-Bear Workshop Inc. | 14,575 | 133 |
| ^ | Big 5 Sporting Goods Corp. | 20,647 | 127 |
| ^ | Fred's Inc. Class A | 37,326 | 124 |
| | Escalade Inc. | 10,079 | 122 |
| * | Bridgepoint Education Inc. Class A | 18,315 | 122 |
| * | Gaia Inc. Class A | 9,343 | 120 |
| | Marine Products Corp. | 8,310 | 119 |
| | Collectors Universe Inc. | 7,487 | 117 |
| * | Delta Apparel Inc. | 6,451 | 116 |
| * | VOXX International Corp. Class A | 19,820 | 107 |
| * | J. Jill Inc. | 12,146 | 105 |
| * | Cambium Learning Group Inc. | 12,822 | 95 |
| * | FTD Cos. Inc. | 15,763 | 95 |
| *,^ | Eastman Kodak Co. | 16,917 | 89 |
| | Bluegreen Vacations Corp. | 4,145 | 80 |
| * | Container Store Group Inc. | 14,877 | 75 |
| * | Vitamin Shoppe Inc. | 19,911 | 75 |
| * | Empire Resorts Inc. | 3,176 | 74 |
| * | Sequential Brands Group Inc. | 37,034 | 73 |
| * | Funko Inc. Class A | 9,709 | 72 |
| *,^ | Noodles & Co. Class A | 10,966 | 68 |
| * | Townsquare Media Inc. Class A | 9,534 | 66 |
| *,^ | Iconix Brand Group Inc. | 46,656 | 65 |
| | Liberty Tax Inc. | 7,297 | 57 |
| | Salem Media Group Inc. Class A | 12,870 | 53 |
| * | Roku Inc. | 1,260 | 51 |
| *,^ | Cogint Inc. | 18,871 | 49 |
| | Beasley Broadcast Group Inc. Class A | 4,288 | 45 |
| * | Stitch Fix Inc. Class A | 1,656 | 34 |
| *,^ | Sears Holdings Corp. | 11,077 | 27 |
| * | Inspired Entertainment Inc. | 3,704 | 20 |
| | | | 284,013 |
| Consumer Staples (2.2%) | | |
| | Snyder's-Lance Inc. | 86,510 | 4,315 |
| * | Performance Food Group Co. | 90,714 | 2,780 |
| | Sanderson Farms Inc. | 20,230 | 2,491 |
| | Lancaster Colony Corp. | 18,899 | 2,237 |
| * | United Natural Foods Inc. | 50,976 | 2,175 |
| | J&J Snack Foods Corp. | 15,148 | 2,035 |
| | Vector Group Ltd. | 98,764 | 1,979 |
| ^ | B&G Foods Inc. | 66,129 | 1,832 |
| | WD-40 Co. | 13,822 | 1,724 |
| | Fresh Del Monte Produce Inc. | 32,419 | 1,513 |
| | Calavo Growers Inc. | 16,156 | 1,379 |
| * | Boston Beer Co. Inc. Class A | 8,307 | 1,354 |
| * | Cal-Maine Foods Inc. | 28,676 | 1,222 |
| | Universal Corp. | 24,734 | 1,216 |
| | National Beverage Corp. | 11,805 | 1,156 |
| | MGP Ingredients Inc. | 12,910 | 1,083 |
| * | Diplomat Pharmacy Inc. | 48,445 | 1,010 |
| * | Hostess Brands Inc. Class A | 79,835 | 977 |
| | Andersons Inc. | 27,231 | 954 |
| | Core-Mark Holding Co. Inc. | 45,607 | 934 |
| | PetMed Express Inc. | 19,748 | 892 |
| | Coca-Cola Bottling Co. Consolidated | 4,713 | 880 |
| * | USANA Health Sciences Inc. | 11,382 | 870 |
| | Dean Foods Co. | 91,156 | 790 |
| | Medifast Inc. | 10,723 | 684 |
| | SpartanNash Co. | 37,111 | 622 |
| | Tootsie Roll Industries Inc. | 17,008 | 568 |
| | SUPERVALU Inc. | 38,198 | 544 |
| * | Freshpet Inc. | 25,262 | 505 |
| | John B Sanfilippo & Son Inc. | 8,463 | 489 |
| | Ingles Markets Inc. Class A | 14,061 | 453 |
5
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Chefs' Warehouse Inc. | 19,666 | 443 |
| | Weis Markets Inc. | 9,562 | 356 |
| * | Primo Water Corp. | 25,653 | 312 |
| *,^ | Cadiz Inc. | 21,576 | 299 |
| *,^ | GNC Holdings Inc. Class A | 68,232 | 291 |
| * | Farmer Brothers Co. | 8,590 | 268 |
| | Limoneira Co. | 12,338 | 264 |
| * | Craft Brew Alliance Inc. | 12,420 | 222 |
| * | Seneca Foods Corp. Class A | 6,951 | 202 |
| | Village Super Market Inc. Class A | 8,146 | 193 |
| * | Smart & Final Stores Inc. | 22,680 | 163 |
| | Natural Health Trends Corp. | 7,704 | 134 |
| | Nature's Sunshine Products Inc. | 11,270 | 127 |
| | Turning Point Brands Inc. | 5,306 | 111 |
| * | Castle Brands Inc. | 93,552 | 109 |
| ^ | Orchids Paper Products Co. | 8,640 | 92 |
| | Alico Inc. | 2,923 | 78 |
| * | Natural Grocers by Vitamin Cottage Inc. | 8,419 | 59 |
| * | Lifeway Foods Inc. | 4,397 | 30 |
| | | | 45,416 |
| Energy (3.4%) | | |
| * | PDC Energy Inc. | 66,308 | 3,483 |
| | Delek US Holdings Inc. | 83,056 | 2,834 |
| * | Matador Resources Co. | 97,240 | 2,806 |
| | Peabody Energy Corp. | 67,183 | 2,735 |
| | Golar LNG Ltd. | 96,452 | 2,606 |
| * | Callon Petroleum Co. | 200,469 | 2,119 |
| * | Oasis Petroleum Inc. | 268,406 | 2,115 |
| * | SRC Energy Inc. | 234,786 | 2,083 |
| * | McDermott International Inc. | 284,389 | 2,076 |
| | Ensco plc Class A | 429,436 | 1,907 |
| | Arch Coal Inc. Class A | 19,158 | 1,834 |
| * | Dril-Quip Inc. | 37,809 | 1,703 |
| | SemGroup Corp. Class A | 66,615 | 1,479 |
| * | Rowan Cos. plc Class A | 116,432 | 1,416 |
| * | Superior Energy Services Inc. | 151,867 | 1,299 |
| * | Oil States International Inc. | 50,708 | 1,247 |
| * | C&J Energy Services Inc. | 46,345 | 1,112 |
| * | Carrizo Oil & Gas Inc. | 76,963 | 1,081 |
| | Warrior Met Coal Inc. | 33,270 | 1,038 |
| * | NOW Inc. | 106,926 | 1,015 |
| * | Unit Corp. | 51,643 | 990 |
| * | Noble Corp. plc | 243,623 | 945 |
| *,^ | Diamond Offshore Drilling Inc. | 65,056 | 943 |
| * | ProPetro Holding Corp. | 57,372 | 925 |
| * | Forum Energy Technologies Inc. | 80,399 | 909 |
| * | Denbury Resources Inc. | 400,044 | 876 |
| * | Helix Energy Solutions Group Inc. | 140,281 | 836 |
| * | Exterran Corp. | 32,304 | 836 |
| *,^ | WildHorse Resource Development Corp. | 47,968 | 815 |
| * | Halcon Resources Corp. | 129,793 | 785 |
| * | Ultra Petroleum Corp. | 193,981 | 716 |
| | Green Plains Inc. | 38,947 | 713 |
| * | Fairmount Santrol Holdings Inc. | 156,590 | 702 |
| *,^ | Jagged Peak Energy Inc. | 56,827 | 699 |
| *,^ | Resolute Energy Corp. | 21,394 | 695 |
| * | Newpark Resources Inc. | 83,710 | 691 |
| * | SunCoke Energy Inc. | 64,267 | 686 |
| * | Ring Energy Inc. | 49,696 | 674 |
| | Archrock Inc. | 69,705 | 662 |
| *,^ | Keane Group Inc. | 42,492 | 661 |
| * | California Resources Corp. | 42,335 | 597 |
| * | Stone Energy Corp. | 19,248 | 583 |
| * | Sunrun Inc. | 86,256 | 577 |
6
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Bonanza Creek Energy Inc. | 20,032 | 562 |
| * | Par Pacific Holdings Inc. | 31,408 | 535 |
| * | Penn Virginia Corp. | 14,150 | 528 |
| | TerraForm Power Inc. Class A | 45,261 | 521 |
| * | Tellurian Inc. | 58,084 | 507 |
| * | SandRidge Energy Inc. | 34,936 | 491 |
| * | REX American Resources Corp. | 5,837 | 471 |
| | CVR Energy Inc. | 15,582 | 462 |
| *,^ | SunPower Corp. Class A | 59,830 | 424 |
| * | Renewable Energy Group Inc. | 37,951 | 421 |
| * | TETRA Technologies Inc. | 113,613 | 412 |
| * | Select Energy Services Inc. Class A | 26,418 | 379 |
| * | Matrix Service Co. | 25,974 | 371 |
| * | W&T Offshore Inc. | 93,865 | 365 |
| * | Bill Barrett Corp. | 75,834 | 344 |
| * | Flotek Industries Inc. | 56,577 | 337 |
| * | Abraxas Petroleum Corp. | 153,096 | 329 |
| * | Natural Gas Services Group Inc. | 12,070 | 301 |
| * | Solaris Oilfield Infrastructure Inc. Class A | 17,359 | 292 |
| * | Basic Energy Services Inc. | 17,456 | 283 |
| * | SEACOR Marine Holdings Inc. | 16,670 | 282 |
| | Panhandle Oil and Gas Inc. Class A | 15,390 | 275 |
| | Frank's International NV | 50,542 | 264 |
| * | Cloud Peak Energy Inc. | 74,215 | 244 |
| * | Green Brick Partners Inc. | 23,850 | 241 |
| * | Earthstone Energy Inc. Class A | 23,681 | 218 |
| * | Trecora Resources | 19,398 | 215 |
| * | Mammoth Energy Services Inc. | 8,138 | 213 |
| * | TPI Composites Inc. | 10,579 | 210 |
| *,^ | Sanchez Energy Corp. | 70,418 | 206 |
| * | Pioneer Energy Services Corp. | 74,643 | 205 |
| | Evolution Petroleum Corp. | 24,790 | 200 |
| * | Clean Energy Fuels Corp. | 134,748 | 187 |
| * | Era Group Inc. | 19,819 | 187 |
| * | RigNet Inc. | 13,876 | 186 |
| * | SilverBow Resources Inc. | 6,664 | 185 |
| * | Pacific Ethanol Inc. | 40,790 | 167 |
| * | Smart Sand Inc. | 21,864 | 162 |
| * | NCS Multistage Holdings Inc. | 11,004 | 161 |
| * | Lilis Energy Inc. | 43,079 | 158 |
| * | CARBO Ceramics Inc. | 22,506 | 153 |
| * | Ameresco Inc. Class A | 18,540 | 151 |
| * | Energy XXI Gulf Coast Inc. | 28,519 | 150 |
| * | Midstates Petroleum Co. Inc. | 10,922 | 147 |
| * | Independence Contract Drilling Inc. | 34,870 | 145 |
| * | Eclipse Resources Corp. | 88,014 | 142 |
| * | Key Energy Services Inc. | 10,220 | 137 |
| * | Geospace Technologies Corp. | 12,925 | 132 |
| *,^ | Approach Resources Inc. | 43,042 | 125 |
| * | Parker Drilling Co. | 136,414 | 123 |
| * | Gastar Exploration Inc. | 173,381 | 117 |
| | Gulf Island Fabrication Inc. | 13,857 | 114 |
| | Adams Resources & Energy Inc. | 2,714 | 107 |
| | Hallador Energy Co. | 14,838 | 98 |
| *,^ | Vivint Solar Inc. | 28,359 | 85 |
| * | Isramco Inc. | 682 | 72 |
| * | Contango Oil & Gas Co. | 22,807 | 66 |
| * | Ranger Energy Services Inc. | 6,479 | 58 |
| * | EP Energy Corp. Class A | 35,902 | 54 |
| *,^ | Jones Energy Inc. Class A | 54,854 | 51 |
| * | Ramaco Resources Inc. | 6,589 | 45 |
| * | Nine Energy Service Inc. | 1,587 | 43 |
| * | Willbros Group Inc. | 40,906 | 39 |
| * | Rosehill Resources Inc. | 3,406 | 21 |
7
| | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * Liberty Oilfield Services Inc. Class A | 958 | 18 |
| * Westmoreland Coal Co. | 17,252 | 7 |
| Noble Energy Inc. | 8 | — |
| | | 70,405 |
| Financial Services (24.5%) | | |
| * MGIC Investment Corp. | 371,919 | 5,129 |
| Fair Isaac Corp. | 29,886 | 5,079 |
| Sterling Bancorp | 213,716 | 4,969 |
| Umpqua Holdings Corp. | 222,942 | 4,751 |
| Wintrust Financial Corp. | 56,106 | 4,742 |
| * Texas Capital Bancshares Inc. | 50,013 | 4,511 |
| Radian Group Inc. | 217,280 | 4,459 |
| Hancock Holding Co. | 84,470 | 4,367 |
| Primerica Inc. | 44,530 | 4,342 |
| Stifel Financial Corp. | 66,978 | 4,278 |
| IBERIABANK Corp. | 50,719 | 4,098 |
| Chemical Financial Corp. | 71,360 | 3,938 |
| CNO Financial Group Inc. | 170,010 | 3,832 |
| * Essent Group Ltd. | 81,548 | 3,677 |
| Home BancShares Inc. | 158,152 | 3,636 |
| Evercore Inc. Class A | 38,642 | 3,596 |
| United Bankshares Inc. | 100,463 | 3,566 |
| Cousins Properties Inc. | 422,885 | 3,527 |
| Investors Bancorp Inc. | 260,009 | 3,510 |
| Gramercy Property Trust | 160,719 | 3,480 |
| FirstCash Inc. | 46,561 | 3,432 |
| RLJ Lodging Trust | 170,313 | 3,374 |
| First Industrial Realty Trust Inc. | 119,298 | 3,344 |
| MB Financial Inc. | 81,203 | 3,330 |
| Healthcare Realty Trust Inc. | 124,897 | 3,316 |
| UMB Financial Corp. | 45,367 | 3,312 |
| Selective Insurance Group Inc. | 57,709 | 3,281 |
| Sunstone Hotel Investors Inc. | 226,678 | 3,271 |
| Valley National Bancorp | 260,466 | 3,248 |
| South State Corp. | 36,214 | 3,140 |
| Cathay General Bancorp | 76,250 | 3,131 |
| Fulton Financial Corp. | 171,800 | 3,110 |
| PotlatchDeltic Corp. | 60,349 | 3,087 |
| Ryman Hospitality Properties Inc. | 44,327 | 3,057 |
| Glacier Bancorp Inc. | 78,425 | 3,051 |
| Washington Federal Inc. | 87,449 | 3,034 |
| * Green Dot Corp. Class A | 46,539 | 3,031 |
| First Citizens BancShares Inc. Class A | 7,433 | 3,026 |
| Columbia Banking System Inc. | 72,338 | 3,022 |
| Sabra Health Care REIT Inc. | 178,607 | 3,015 |
| First Financial Bankshares Inc. | 63,592 | 2,925 |
| LaSalle Hotel Properties | 114,363 | 2,805 |
| EastGroup Properties Inc. | 33,717 | 2,732 |
| BancorpSouth Bank | 85,509 | 2,694 |
| American Equity Investment Life Holding Co. | 86,825 | 2,658 |
| National Health Investors Inc. | 40,453 | 2,624 |
| Community Bank System Inc. | 49,220 | 2,624 |
| GEO Group Inc. | 123,175 | 2,624 |
| Physicians Realty Trust | 181,205 | 2,604 |
| First Midwest Bancorp Inc. | 102,566 | 2,484 |
| Bank of NT Butterfield & Son Ltd. | 54,039 | 2,465 |
| * Blackhawk Network Holdings Inc. | 54,992 | 2,461 |
| CVB Financial Corp. | 106,043 | 2,439 |
| Great Western Bancorp Inc. | 59,569 | 2,436 |
| Education Realty Trust Inc. | 76,724 | 2,389 |
| Simmons First National Corp. Class A | 83,166 | 2,366 |
| Hope Bancorp Inc. | 130,494 | 2,357 |
| Pebblebrook Hotel Trust | 69,194 | 2,353 |
| RLI Corp. | 38,680 | 2,352 |
8
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Old National Bancorp | 134,837 | 2,292 |
| | United Community Banks Inc. | 73,561 | 2,274 |
| | Kemper Corp. | 39,801 | 2,245 |
| *,^ | BofI Holding Inc. | 60,259 | 2,241 |
| * | Enstar Group Ltd. | 11,300 | 2,237 |
| | Urban Edge Properties | 103,230 | 2,228 |
| *,^ | LendingTree Inc. | 6,392 | 2,228 |
| | PS Business Parks Inc. | 19,883 | 2,204 |
| | STAG Industrial Inc. | 95,250 | 2,169 |
| | Xenia Hotels & Resorts Inc. | 108,156 | 2,127 |
| | International Bancshares Corp. | 54,899 | 2,122 |
| | Trustmark Corp. | 67,663 | 2,114 |
| | Union Bankshares Corp. | 56,231 | 2,102 |
| | Rexford Industrial Realty Inc. | 77,793 | 2,100 |
| | DiamondRock Hospitality Co. | 201,431 | 2,071 |
| | Washington REIT | 80,816 | 2,043 |
| | LegacyTexas Financial Group Inc. | 47,807 | 2,003 |
| | Acadia Realty Trust | 82,842 | 1,995 |
| | Financial Engines Inc. | 59,113 | 1,980 |
| | Apollo Commercial Real Estate Finance Inc. | 108,309 | 1,978 |
| | Kennedy-Wilson Holdings Inc. | 120,953 | 1,978 |
| * | FCB Financial Holdings Inc. Class A | 36,351 | 1,950 |
| | Ameris Bancorp | 36,664 | 1,949 |
| * | Eagle Bancorp Inc. | 31,470 | 1,921 |
| | Renasant Corp. | 45,470 | 1,899 |
| * | HRG Group Inc. | 119,742 | 1,891 |
| | Independent Bank Corp. | 26,963 | 1,871 |
| | Retail Opportunity Investments Corp. | 108,140 | 1,856 |
| | ServisFirst Bancshares Inc. | 46,137 | 1,853 |
| | Towne Bank | 63,660 | 1,817 |
| | Banner Corp. | 32,839 | 1,815 |
| | Hilltop Holdings Inc. | 74,505 | 1,811 |
| | Terreno Realty Corp. | 53,389 | 1,778 |
| | Invesco Mortgage Capital Inc. | 113,169 | 1,739 |
| | WesBanco Inc. | 41,969 | 1,730 |
| | Lexington Realty Trust | 216,360 | 1,722 |
| * | PRA Group Inc. | 44,623 | 1,709 |
| | First Merchants Corp. | 41,163 | 1,701 |
| | Horace Mann Educators Corp. | 41,214 | 1,696 |
| | HFF Inc. Class A | 37,032 | 1,691 |
| | Argo Group International Holdings Ltd. | 28,967 | 1,687 |
| | First Financial Bancorp | 61,413 | 1,670 |
| * | Pacific Premier Bancorp Inc. | 39,604 | 1,665 |
| | CenterState Bank Corp. | 60,259 | 1,641 |
| | Waddell & Reed Financial Inc. Class A | 81,076 | 1,622 |
| | Capitol Federal Financial Inc. | 127,981 | 1,598 |
| | QTS Realty Trust Inc. Class A | 49,235 | 1,589 |
| | Moelis & Co. Class A | 31,152 | 1,581 |
| | Northwest Bancshares Inc. | 95,180 | 1,562 |
| | Provident Financial Services Inc. | 61,425 | 1,528 |
| | Mack-Cali Realty Corp. | 90,455 | 1,528 |
| | Chesapeake Lodging Trust | 59,030 | 1,526 |
| | Artisan Partners Asset Management Inc. Class A | 45,073 | 1,521 |
| | Alexander & Baldwin Inc. | 68,059 | 1,497 |
| | NBT Bancorp Inc. | 42,625 | 1,483 |
| | Berkshire Hills Bancorp Inc. | 39,792 | 1,462 |
| | LTC Properties Inc. | 39,305 | 1,452 |
| | Westamerica Bancorporation | 25,271 | 1,448 |
| | WSFS Financial Corp. | 30,305 | 1,446 |
| * | Genworth Financial Inc. Class A | 509,381 | 1,386 |
| | Summit Hotel Properties Inc. | 103,502 | 1,363 |
| | Agree Realty Corp. | 28,923 | 1,362 |
| | S&T Bancorp Inc. | 34,481 | 1,361 |
| | Four Corners Property Trust Inc. | 61,565 | 1,352 |
9
| | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Park National Corp. | 13,343 | 1,348 |
| First Commonwealth Financial Corp. | 96,336 | 1,346 |
| Walker & Dunlop Inc. | 27,820 | 1,345 |
| Heartland Financial USA Inc. | 24,456 | 1,305 |
| Government Properties Income Trust | 94,363 | 1,295 |
| American Assets Trust Inc. | 40,408 | 1,282 |
| * Third Point Reinsurance Ltd. | 91,919 | 1,278 |
| Houlihan Lokey Inc. Class A | 27,026 | 1,255 |
| Infinity Property & Casualty Corp. | 10,636 | 1,255 |
| Sandy Spring Bancorp Inc. | 32,184 | 1,247 |
| Employers Holdings Inc. | 31,819 | 1,246 |
| Independent Bank Group Inc. | 17,671 | 1,240 |
| Washington Prime Group Inc. | 186,514 | 1,222 |
| Boston Private Financial Holdings Inc. | 83,249 | 1,215 |
| First Busey Corp. | 40,748 | 1,208 |
| Piper Jaffray Cos. | 14,355 | 1,199 |
| * Quality Care Properties Inc. | 96,140 | 1,191 |
| Brookline Bancorp Inc. | 74,953 | 1,188 |
| Ladder Capital Corp. Class A | 79,145 | 1,169 |
| * First BanCorp | 191,755 | 1,156 |
| OM Asset Management plc | 75,263 | 1,154 |
| Select Income REIT | 63,280 | 1,150 |
| * NMI Holdings Inc. Class A | 57,489 | 1,141 |
| * Cannae Holdings Inc. | 61,664 | 1,133 |
| National General Holdings Corp. | 49,064 | 1,127 |
| * Seacoast Banking Corp. of Florida | 42,976 | 1,127 |
| Tompkins Financial Corp. | 14,651 | 1,124 |
| Redwood Trust Inc. | 76,514 | 1,121 |
| Navigators Group Inc. | 20,566 | 1,108 |
| Kite Realty Group Trust | 73,201 | 1,108 |
| WisdomTree Investments Inc. | 115,070 | 1,106 |
| State Bank Financial Corp. | 37,664 | 1,090 |
| Lakeland Financial Corp. | 24,030 | 1,089 |
| National Storage Affiliates Trust | 44,240 | 1,085 |
| PennyMac Mortgage Investment Trust | 64,764 | 1,080 |
| Nelnet Inc. Class A | 19,333 | 1,070 |
| OceanFirst Financial Corp. | 41,307 | 1,069 |
| AMERISAFE Inc. | 19,077 | 1,068 |
| Global Net Lease Inc. | 67,747 | 1,060 |
| Safety Insurance Group Inc. | 14,569 | 1,039 |
| Beneficial Bancorp Inc. | 69,037 | 1,036 |
| Enterprise Financial Services Corp. | 22,075 | 1,034 |
| Kearny Financial Corp. | 79,519 | 1,034 |
| First Interstate BancSystem Inc. Class A | 26,011 | 1,027 |
| * LendingClub Corp. | 326,137 | 1,027 |
| * Encore Capital Group Inc. | 23,988 | 1,027 |
| ^ AmTrust Financial Services Inc. | 85,621 | 1,025 |
| * Cardtronics plc Class A | 45,653 | 1,022 |
| City Holding Co. | 15,081 | 1,016 |
| Monmouth Real Estate Investment Corp. | 70,990 | 1,002 |
| RE/MAX Holdings Inc. Class A | 18,077 | 1,000 |
| CareTrust REIT Inc. | 75,310 | 998 |
| EVERTEC Inc. | 60,647 | 982 |
| CYS Investments Inc. | 155,098 | 980 |
| First Bancorp | 28,117 | 974 |
| Seritage Growth Properties Class A | 25,644 | 969 |
| Meta Financial Group Inc. | 9,019 | 969 |
| Hanmi Financial Corp. | 31,641 | 967 |
| United Fire Group Inc. | 21,624 | 962 |
| Meridian Bancorp Inc. | 47,518 | 953 |
| MainSource Financial Group Inc. | 24,714 | 933 |
| Ramco-Gershenson Properties Trust | 78,229 | 922 |
| Southside Bancshares Inc. | 27,573 | 921 |
| Universal Insurance Holdings Inc. | 31,276 | 916 |
10
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | ARMOUR Residential REIT Inc. | 41,999 | 900 |
| | Hannon Armstrong Sustainable Infrastructure Capital Inc. | 50,664 | 892 |
| | BancFirst Corp. | 16,700 | 889 |
| | Tier REIT Inc. | 47,634 | 885 |
| | Heritage Financial Corp. | 29,584 | 880 |
| | PJT Partners Inc. | 18,277 | 874 |
| | ConnectOne Bancorp Inc. | 30,238 | 871 |
| | Lakeland Bancorp Inc. | 45,430 | 868 |
| | Banc of California Inc. | 43,411 | 866 |
| | Cohen & Steers Inc. | 21,544 | 862 |
| | Virtus Investment Partners Inc. | 6,968 | 857 |
| | Banco Latinoamericano de Comercio Exterior SA | 30,580 | 852 |
| * | Customers Bancorp Inc. | 28,978 | 850 |
| | Franklin Street Properties Corp. | 104,965 | 849 |
| | Stewart Information Services Corp. | 21,083 | 846 |
| | Central Pacific Financial Corp. | 30,025 | 837 |
| | James River Group Holdings Ltd. | 25,451 | 832 |
| | Preferred Bank | 13,168 | 821 |
| | Capstead Mortgage Corp. | 97,531 | 814 |
| | Bryn Mawr Bank Corp. | 18,665 | 813 |
| | Chatham Lodging Trust | 44,606 | 811 |
| | National Bank Holdings Corp. Class A | 24,785 | 808 |
| | Easterly Government Properties Inc. | 42,314 | 806 |
| | MTGE Investment Corp. | 46,564 | 792 |
| | InfraREIT Inc. | 42,404 | 790 |
| * | St. Joe Co. | 44,741 | 787 |
| | 1st Source Corp. | 15,965 | 787 |
| | United Financial Bancorp Inc. | 50,466 | 787 |
| | Washington Trust Bancorp Inc. | 15,113 | 784 |
| | TrustCo Bank Corp. NY | 92,148 | 783 |
| | Stock Yards Bancorp Inc. | 22,282 | 782 |
| | CBL & Associates Properties Inc. | 168,194 | 779 |
| | Alexander's Inc. | 2,117 | 773 |
| * | HomeStreet Inc. | 26,784 | 769 |
| | TriCo Bancshares | 20,354 | 760 |
| | Flushing Financial Corp. | 28,172 | 752 |
| | Virtu Financial Inc. Class A | 25,288 | 751 |
| * | Flagstar Bancorp Inc. | 21,177 | 747 |
| | Carolina Financial Corp. | 18,946 | 735 |
| | Granite Point Mortgage Trust Inc. | 43,479 | 733 |
| | Getty Realty Corp. | 31,004 | 732 |
| * | Enova International Inc. | 33,171 | 730 |
| | Cass Information Systems Inc. | 12,437 | 728 |
| | CoBiz Financial Inc. | 38,385 | 728 |
| * | Triumph Bancorp Inc. | 17,704 | 725 |
| | Univest Corp. of Pennsylvania | 26,049 | 714 |
| | Independence Realty Trust Inc. | 83,756 | 714 |
| * | Ambac Financial Group Inc. | 47,100 | 714 |
| *,^ | MBIA Inc. | 89,281 | 713 |
| | Pennsylvania REIT | 68,103 | 711 |
| | German American Bancorp Inc. | 21,437 | 710 |
| | Kinsale Capital Group Inc. | 14,485 | 710 |
| | Universal Health Realty Income Trust | 12,714 | 704 |
| | National Western Life Group Inc. Class A | 2,289 | 698 |
| | Northfield Bancorp Inc. | 44,395 | 689 |
| | Community Trust Bancorp Inc. | 15,586 | 678 |
| | Federal Agricultural Mortgage Corp. | 8,841 | 672 |
| | Camden National Corp. | 15,914 | 672 |
| | New Senior Investment Group Inc. | 83,027 | 671 |
| | Guaranty Bancorp | 24,254 | 666 |
| * | iStar Inc. | 65,881 | 665 |
| *,^ | Trupanion Inc. | 22,405 | 664 |
| | First of Long Island Corp. | 24,241 | 661 |
| | Diamond Hill Investment Group Inc. | 3,216 | 659 |
11
| | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * EZCORP Inc. Class A | 50,608 | 658 |
| Horizon Bancorp | 23,242 | 658 |
| Hersha Hospitality Trust Class A | 39,019 | 656 |
| Investment Technology Group Inc. | 33,055 | 655 |
| FBL Financial Group Inc. Class A | 9,962 | 647 |
| Bridge Bancorp Inc. | 19,456 | 646 |
| * World Acceptance Corp. | 5,885 | 633 |
| Oritani Financial Corp. | 39,551 | 617 |
| Live Oak Bancshares Inc. | 23,621 | 616 |
| New York Mortgage Trust Inc. | 111,318 | 613 |
| * INTL. FCStone Inc. | 15,109 | 599 |
| Armada Hoffler Properties Inc. | 44,700 | 585 |
| * Donnelley Financial Solutions Inc. | 33,567 | 581 |
| Peapack Gladstone Financial Corp. | 17,557 | 579 |
| CatchMark Timber Trust Inc. Class A | 44,046 | 576 |
| Opus Bank | 20,431 | 573 |
| Saul Centers Inc. | 11,700 | 572 |
| Investors Real Estate Trust | 122,973 | 572 |
| Heritage Commerce Corp. | 36,084 | 569 |
| NorthStar Realty Europe Corp. | 54,763 | 563 |
| Dime Community Bancshares Inc. | 31,226 | 562 |
| Peoples Bancorp Inc. | 16,174 | 558 |
| Mercantile Bank Corp. | 16,497 | 546 |
| Cadence BanCorp Class A | 19,907 | 546 |
| First Defiance Financial Corp. | 10,229 | 544 |
| Great Southern Bancorp Inc. | 11,210 | 543 |
| * First Foundation Inc. | 29,516 | 539 |
| QCR Holdings Inc. | 12,142 | 529 |
| * Front Yard Residential Corp. | 50,160 | 526 |
| Urstadt Biddle Properties Inc. Class A | 30,033 | 526 |
| * Bancorp Inc. | 49,040 | 518 |
| * National Commerce Corp. | 11,972 | 514 |
| * FB Financial Corp. | 12,951 | 512 |
| * Marcus & Millichap Inc. | 16,204 | 507 |
| Preferred Apartment Communities Inc. Class A | 36,395 | 507 |
| * Nationstar Mortgage Holdings Inc. | 29,569 | 506 |
| * TriState Capital Holdings Inc. | 22,379 | 500 |
| Blue Hills Bancorp Inc. | 24,714 | 498 |
| * Greenlight Capital Re Ltd. Class A | 30,325 | 497 |
| Greenhill & Co. Inc. | 24,229 | 493 |
| Fidelity Southern Corp. | 21,872 | 492 |
| * Nicolet Bankshares Inc. | 9,073 | 491 |
| Hamilton Lane Inc. Class A | 13,961 | 488 |
| * Everi Holdings Inc. | 64,886 | 483 |
| Midland States Bancorp Inc. | 15,406 | 483 |
| Gladstone Commercial Corp. | 27,892 | 472 |
| First Community Bancshares Inc. | 17,358 | 471 |
| Whitestone REIT | 37,983 | 469 |
| RMR Group Inc. Class A | 7,400 | 465 |
| OFG Bancorp | 43,205 | 464 |
| * Green Bancorp Inc. | 21,111 | 460 |
| AG Mortgage Investment Trust Inc. | 28,128 | 460 |
| United Community Financial Corp. | 49,798 | 460 |
| Waterstone Financial Inc. | 26,731 | 460 |
| Independent Bank Corp. | 19,906 | 455 |
| Anworth Mortgage Asset Corp. | 99,700 | 455 |
| Financial Institutions Inc. | 14,650 | 450 |
| First Financial Corp. | 10,463 | 449 |
| * Veritex Holdings Inc. | 16,111 | 447 |
| Bank of Marin Bancorp | 6,711 | 444 |
| State Auto Financial Corp. | 16,005 | 441 |
| Westwood Holdings Group Inc. | 8,120 | 441 |
| Maiden Holdings Ltd. | 72,542 | 435 |
| * Allegiance Bancshares Inc. | 11,326 | 432 |
12
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | HomeTrust Bancshares Inc. | 16,474 | 427 |
| | Bar Harbor Bankshares | 15,674 | 425 |
| | Access National Corp. | 15,145 | 423 |
| | CorEnergy Infrastructure Trust Inc. | 11,777 | 422 |
| | Ashford Hospitality Trust Inc. | 76,387 | 421 |
| | NexPoint Residential Trust Inc. | 17,142 | 413 |
| | West Bancorporation Inc. | 16,868 | 410 |
| * | Tejon Ranch Co. | 18,495 | 410 |
| * | Republic First Bancorp Inc. | 48,455 | 409 |
| | People's Utah Bancorp | 13,447 | 408 |
| | United Insurance Holdings Corp. | 20,779 | 406 |
| * | Equity Bancshares Inc. Class A | 10,888 | 402 |
| | Community Healthcare Trust Inc. | 17,072 | 402 |
| | CNB Financial Corp. | 14,946 | 402 |
| | Old Second Bancorp Inc. | 29,093 | 400 |
| * | Ocwen Financial Corp. | 106,912 | 389 |
| | B. Riley Financial Inc. | 20,797 | 385 |
| | Republic Bancorp Inc. Class A | 10,288 | 383 |
| | Arrow Financial Corp. | 11,721 | 378 |
| * | Health Insurance Innovations Inc. Class A | 12,030 | 375 |
| * | Cowen Inc. Class A | 26,116 | 375 |
| | UMH Properties Inc. | 32,085 | 374 |
| * | PennyMac Financial Services Inc. Class A | 15,913 | 371 |
| | Farmers National Banc Corp. | 27,103 | 366 |
| | Heritage Insurance Holdings Inc. | 21,722 | 362 |
| * | Franklin Financial Network Inc. | 11,658 | 362 |
| * | Atlantic Capital Bancshares Inc. | 20,915 | 362 |
| | Sierra Bancorp | 13,728 | 357 |
| | Cedar Realty Trust Inc. | 89,826 | 357 |
| | Ladenburg Thalmann Financial Services Inc. | 106,288 | 355 |
| | Western Asset Mortgage Capital Corp. | 40,070 | 353 |
| | MidWestOne Financial Group Inc. | 11,102 | 353 |
| | First Connecticut Bancorp Inc. | 14,082 | 353 |
| * | PCSB Financial Corp. | 18,223 | 350 |
| | First Mid-Illinois Bancshares Inc. | 10,039 | 343 |
| * | FRP Holdings Inc. | 6,556 | 343 |
| | Southern National Bancorp of Virginia Inc. | 21,938 | 337 |
| | First Bancshares Inc. | 10,623 | 337 |
| | Ares Commercial Real Estate Corp. | 26,896 | 331 |
| | Farmers & Merchants Bancorp Inc. | 8,873 | 328 |
| *,^ | Citizens Inc.Class A | 46,711 | 320 |
| ^ | Orchid Island Capital Inc. | 44,145 | 317 |
| * | MoneyGram International Inc. | 29,301 | 314 |
| | One Liberty Properties Inc. | 14,244 | 310 |
| | Clifton Bancorp Inc. | 19,892 | 307 |
| | Dynex Capital Inc. | 50,896 | 306 |
| * | Global Indemnity Ltd. | 8,251 | 305 |
| | First Internet Bancorp | 8,047 | 305 |
| * | Regional Management Corp. | 10,076 | 301 |
| | First Bancorp Inc. | 11,122 | 300 |
| | Arlington Asset Investment Corp. Class A | 27,286 | 295 |
| | American National Bankshares Inc. | 8,165 | 295 |
| *,^ | Altisource Portfolio Solutions SA | 11,035 | 294 |
| | City Office REIT Inc. | 29,009 | 291 |
| | Investors Title Co. | 1,505 | 290 |
| | Enterprise Bancorp Inc. | 9,254 | 289 |
| | Peoples Financial Services Corp. | 6,890 | 284 |
| * | Southern First Bancshares Inc. | 6,677 | 281 |
| | MedEquities Realty Trust Inc. | 28,261 | 273 |
| | HCI Group Inc. | 7,821 | 271 |
| | Resource Capital Corp. | 31,110 | 270 |
| * | BSB Bancorp Inc. | 9,263 | 269 |
| | PICO Holdings Inc. | 21,833 | 267 |
| | Old Line Bancshares Inc. | 8,403 | 266 |
13
| | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Western New England Bancorp Inc. | 26,697 | 266 |
| National Bankshares Inc. | 6,648 | 265 |
| Farmers Capital Bank Corp. | 7,241 | 264 |
| Oppenheimer Holdings Inc. Class A | 9,854 | 262 |
| Summit Financial Group Inc. | 10,908 | 261 |
| Citizens & Northern Corp. | 11,613 | 260 |
| Capital City Bank Group Inc. | 10,821 | 260 |
| Hingham Institution for Savings | 1,285 | 257 |
| * Forestar Group Inc. | 10,327 | 255 |
| Macatawa Bank Corp. | 25,769 | 255 |
| * WMIH Corp. | 195,736 | 252 |
| * On Deck Capital Inc. | 48,274 | 251 |
| * eHealth Inc. | 15,221 | 248 |
| GAIN Capital Holdings Inc. | 34,957 | 248 |
| * HarborOne Bancorp Inc. | 12,865 | 248 |
| * Safeguard Scientifics Inc. | 20,132 | 246 |
| Charter Financial Corp. | 12,295 | 244 |
| Home Bancorp Inc. | 5,842 | 242 |
| Sutherland Asset Management Corp. | 17,506 | 242 |
| Consolidated-Tomoka Land Co. | 3,845 | 238 |
| ^ Farmland Partners Inc. | 31,493 | 237 |
| Century Bancorp Inc. Class A | 3,014 | 231 |
| BankFinancial Corp. | 14,337 | 230 |
| Southern Missouri Bancorp Inc. | 6,753 | 228 |
| Territorial Bancorp Inc. | 7,618 | 228 |
| EMC Insurance Group Inc. | 8,705 | 227 |
| Ames National Corp. | 8,471 | 225 |
| Northrim BanCorp Inc. | 6,753 | 225 |
| Jernigan Capital Inc. | 13,229 | 223 |
| Ashford Hospitality Prime Inc. | 25,866 | 222 |
| Civista Bancshares Inc. | 9,844 | 222 |
| Codorus Valley Bancorp Inc. | 8,471 | 222 |
| MutualFirst Financial Inc. | 6,139 | 219 |
| Bear State Financial Inc. | 21,311 | 219 |
| KKR Real Estate Finance Trust Inc. | 10,997 | 216 |
| * Redfin Corp. | 10,386 | 214 |
| ACNB Corp. | 7,532 | 211 |
| Baldwin & Lyons Inc. | 9,289 | 210 |
| TPG RE Finance Trust Inc. | 11,251 | 208 |
| Shore Bancshares Inc. | 12,189 | 207 |
| Great Ajax Corp. | 15,732 | 204 |
| * AV Homes Inc. | 12,139 | 204 |
| Union Bankshares Inc. | 3,904 | 200 |
| Evans Bancorp Inc. | 4,618 | 199 |
| First Business Financial Services Inc. | 8,236 | 198 |
| Investar Holding Corp. | 8,133 | 198 |
| Federated National Holding Co. | 12,629 | 195 |
| Central Valley Community Bancorp | 9,926 | 194 |
| BCB Bancorp Inc. | 12,473 | 191 |
| Bankwell Financial Group Inc. | 6,090 | 191 |
| FNB Bancorp | 5,314 | 190 |
| Cherry Hill Mortgage Investment Corp. | 11,731 | 189 |
| * Entegra Financial Corp. | 6,727 | 189 |
| Safety Income & Growth Inc. | 10,837 | 189 |
| Penns Woods Bancorp Inc. | 4,633 | 188 |
| MidSouth Bancorp Inc. | 15,009 | 188 |
| * Atlas Financial Holdings Inc. | 10,526 | 185 |
| Orrstown Financial Services Inc. | 7,464 | 184 |
| Pzena Investment Management Inc. Class A | 16,936 | 184 |
| Riverview Bancorp Inc. | 20,979 | 181 |
| Norwood Financial Corp. | 6,100 | 180 |
| MBT Financial Corp. | 17,532 | 179 |
| Timberland Bancorp Inc. | 6,259 | 179 |
| Stratus Properties Inc. | 5,965 | 177 |
14
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Industrial Logistics Properties Trust | 8,731 | 175 |
| * | Community Bankers Trust Corp. | 21,096 | 175 |
| | Bluerock Residential Growth REIT Inc. Class A | 23,245 | 175 |
| | Independence Holding Co. | 6,061 | 173 |
| | Premier Financial Bancorp Inc. | 9,497 | 167 |
| * | Capstar Financial Holdings Inc. | 8,775 | 167 |
| | Kingstone Cos. Inc. | 8,733 | 167 |
| | LCNB Corp. | 8,974 | 166 |
| | Bank of Commerce Holdings | 15,248 | 165 |
| * | NI Holdings Inc. | 10,161 | 164 |
| * | Metropolitan Bank Holding Corp. | 3,666 | 163 |
| | Northeast Bancorp | 7,343 | 161 |
| | Ohio Valley Banc Corp. | 4,105 | 161 |
| | Reliant Bancorp Inc. | 6,696 | 159 |
| | SI Financial Group Inc. | 10,949 | 158 |
| | Unity Bancorp Inc. | 7,628 | 158 |
| * | Byline Bancorp Inc. | 6,825 | 157 |
| * | SmartFinancial Inc. | 7,155 | 156 |
| | United Security Bancshares | 15,232 | 155 |
| * | First Northwest Bancorp | 9,639 | 154 |
| | Associated Capital Group Inc. Class A | 4,464 | 154 |
| * | Howard Bancorp Inc. | 8,514 | 153 |
| | C&F Financial Corp. | 3,306 | 153 |
| | Merchants Bancorp | 7,453 | 153 |
| | Tiptree Inc. | 26,475 | 152 |
| | Clipper Realty Inc. | 16,873 | 150 |
| * | Malvern Bancorp Inc. | 6,286 | 150 |
| | Donegal Group Inc. Class A | 8,990 | 142 |
| | Community Financial Corp. | 3,777 | 141 |
| | Prudential Bancorp Inc. | 7,947 | 139 |
| | ESSA Bancorp Inc. | 9,189 | 134 |
| | Owens Realty Mortgage Inc. | 9,377 | 133 |
| | Chemung Financial Corp. | 3,095 | 132 |
| | County Bancorp Inc. | 4,861 | 130 |
| | First Financial Northwest Inc. | 8,143 | 129 |
| * | Elevate Credit Inc. | 17,816 | 127 |
| * | Hallmark Financial Services Inc. | 12,620 | 124 |
| | Peoples Bancorp of North Carolina Inc. | 4,432 | 123 |
| | Middlefield Banc Corp. | 2,534 | 122 |
| * | Pacific Mercantile Bancorp | 14,651 | 121 |
| ^ | Global Medical REIT Inc. | 18,553 | 121 |
| | Parke Bancorp Inc. | 5,769 | 120 |
| | Two River Bancorp | 6,976 | 120 |
| | GAMCO Investors Inc. Class A | 4,236 | 114 |
| | First Guaranty Bancshares Inc. | 4,352 | 109 |
| | Greene County Bancorp Inc. | 2,922 | 106 |
| * | Trinity Place Holdings Inc. | 16,925 | 102 |
| | Silvercrest Asset Management Group Inc. Class A | 6,646 | 100 |
| | Crawford & Co. Class B | 11,144 | 100 |
| | DNB Financial Corp. | 2,904 | 98 |
| * | Provident Bancorp Inc. | 4,077 | 95 |
| | Provident Financial Holdings Inc. | 5,130 | 93 |
| | RBB Bancorp | 3,566 | 91 |
| | Ellington Residential Mortgage REIT | 8,596 | 91 |
| *,^ | Impac Mortgage Holdings Inc. | 10,144 | 90 |
| | Old Point Financial Corp. | 3,439 | 86 |
| | Guaranty Bancshares Inc. | 2,194 | 78 |
| * | Maui Land & Pineapple Co. Inc. | 6,646 | 74 |
| * | Americold Realty Trust | 4,079 | 73 |
| | CBTX Inc. | 2,619 | 72 |
| | Blue Capital Reinsurance Holdings Ltd. | 6,253 | 69 |
| * | Newmark Group Inc. Class A | 3,112 | 45 |
| * | Transcontinental Realty Investors Inc. | 1,455 | 43 |
| | Medley Management Inc. Class A | 5,033 | 31 |
15
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Oconee Federal Financial Corp. | 1,024 | 29 |
| | Griffin Industrial Realty Inc. | 644 | 23 |
| | Luther Burbank Corp. | 1,789 | 23 |
| | Value Line Inc. | 1,151 | 21 |
| | RAIT Financial Trust | 81,423 | 15 |
| *,^ | CPI Card Group Inc. | 3,810 | 10 |
| | | | 509,297 |
| Health Care (16.1%) | | |
| * | Nektar Therapeutics Class A | 148,757 | 12,876 |
| * | Bluebird Bio Inc. | 49,070 | 9,863 |
| * | Sage Therapeutics Inc. | 41,242 | 6,655 |
| * | Catalent Inc. | 134,465 | 5,614 |
| * | Exact Sciences Corp. | 118,084 | 5,268 |
| * | Encompass Health Corp. | 98,825 | 5,263 |
| * | Insulet Corp. | 58,371 | 4,383 |
| * | LivaNova plc | 48,711 | 4,371 |
| | Cantel Medical Corp. | 36,742 | 4,273 |
| * | PRA Health Sciences Inc. | 49,770 | 4,181 |
| | Chemed Corp. | 15,798 | 4,102 |
| * | Masimo Corp. | 44,995 | 3,938 |
| * | FibroGen Inc. | 70,144 | 3,865 |
| *,^ | Sarepta Therapeutics Inc. | 61,452 | 3,857 |
| * | Haemonetics Corp. | 53,459 | 3,790 |
| * | Medidata Solutions Inc. | 56,625 | 3,718 |
| * | Blueprint Medicines Corp. | 42,729 | 3,699 |
| * | ICU Medical Inc. | 15,108 | 3,494 |
| * | Array BioPharma Inc. | 200,268 | 3,469 |
| * | Avexis Inc. | 27,767 | 3,436 |
| * | Globus Medical Inc. | 70,828 | 3,374 |
| * | Integra LifeSciences Holdings Corp. | 63,955 | 3,372 |
| * | Molina Healthcare Inc. | 44,190 | 3,195 |
| * | Ligand Pharmaceuticals Inc. | 20,996 | 3,189 |
| * | Penumbra Inc. | 29,448 | 3,186 |
| * | Neogen Corp. | 50,107 | 2,920 |
| * | HealthEquity Inc. | 50,127 | 2,886 |
| * | AMN Healthcare Services Inc. | 47,431 | 2,640 |
| * | Amicus Therapeutics Inc. | 186,964 | 2,573 |
| * | Clovis Oncology Inc. | 44,243 | 2,569 |
| * | Loxo Oncology Inc. | 22,999 | 2,558 |
| * | Allscripts Healthcare Solutions Inc. | 182,962 | 2,538 |
| * | NuVasive Inc. | 51,107 | 2,472 |
| * | Magellan Health Inc. | 24,213 | 2,443 |
| * | Portola Pharmaceuticals Inc. | 57,261 | 2,423 |
| * | Horizon Pharma plc | 164,460 | 2,398 |
| * | Halozyme Therapeutics Inc. | 120,209 | 2,363 |
| * | Halyard Health Inc. | 47,083 | 2,325 |
| * | Syneos Health Inc. | 54,532 | 2,285 |
| * | Nevro Corp. | 27,898 | 2,263 |
| * | Merit Medical Systems Inc. | 48,899 | 2,225 |
| * | AnaptysBio Inc. | 17,957 | 2,204 |
| * | Global Blood Therapeutics Inc. | 37,105 | 2,176 |
| *,^ | Teladoc Inc. | 54,134 | 2,171 |
| * | Myriad Genetics Inc. | 65,753 | 2,132 |
| * | Medicines Co. | 69,543 | 2,129 |
| * | Wright Medical Group NV | 104,442 | 2,125 |
| * | Inogen Inc. | 17,119 | 2,068 |
| * | Sangamo Therapeutics Inc. | 84,297 | 2,019 |
| * | Select Medical Holdings Corp. | 107,213 | 1,941 |
| * | Ironwood Pharmaceuticals Inc. Class A | 134,421 | 1,909 |
| * | Supernus Pharmaceuticals Inc. | 48,670 | 1,893 |
| * | Ultragenyx Pharmaceutical Inc. | 39,506 | 1,889 |
| * | Puma Biotechnology Inc. | 28,892 | 1,888 |
| * | Spectrum Pharmaceuticals Inc. | 87,427 | 1,881 |
| * | Insmed Inc. | 77,130 | 1,867 |
16
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Prestige Brands Holdings Inc. | 53,848 | 1,820 |
| * | Immunomedics Inc. | 102,843 | 1,739 |
| * | Aerie Pharmaceuticals Inc. | 33,054 | 1,691 |
| * | Cambrex Corp. | 32,442 | 1,685 |
| * | Amedisys Inc. | 28,440 | 1,684 |
| * | Tenet Healthcare Corp. | 81,131 | 1,671 |
| * | Emergent BioSolutions Inc. | 33,446 | 1,662 |
| | CONMED Corp. | 27,426 | 1,660 |
| * | Omnicell Inc. | 37,466 | 1,635 |
| * | Integer Holdings Corp. | 30,948 | 1,580 |
| * | Spark Therapeutics Inc. | 27,584 | 1,575 |
| * | Acceleron Pharma Inc. | 37,469 | 1,571 |
| * | Arena Pharmaceuticals Inc. | 39,236 | 1,521 |
| * | NxStage Medical Inc. | 64,855 | 1,510 |
| * | Impax Laboratories Inc. | 73,238 | 1,494 |
| | Abaxis Inc. | 21,904 | 1,460 |
| * | Radius Health Inc. | 38,186 | 1,455 |
| * | Zogenix Inc. | 34,128 | 1,447 |
| * | Tivity Health Inc. | 36,442 | 1,405 |
| * | Corcept Therapeutics Inc. | 90,953 | 1,382 |
| * | Esperion Therapeutics Inc. | 16,931 | 1,361 |
| * | HMS Holdings Corp. | 83,859 | 1,345 |
| * | Varex Imaging Corp. | 37,625 | 1,313 |
| * | Prothena Corp. plc | 38,325 | 1,291 |
| * | Momenta Pharmaceuticals Inc. | 75,511 | 1,287 |
| * | Repligen Corp. | 37,505 | 1,286 |
| | Ensign Group Inc. | 48,054 | 1,283 |
| * | Editas Medicine Inc. | 34,359 | 1,259 |
| * | Quidel Corp. | 28,344 | 1,236 |
| * | Cotiviti Holdings Inc. | 36,704 | 1,230 |
| * | Pacira Pharmaceuticals Inc. | 39,201 | 1,227 |
| * | Enanta Pharmaceuticals Inc. | 15,555 | 1,223 |
| * | Foundation Medicine Inc. | 14,461 | 1,197 |
| * | Novocure Ltd. | 57,609 | 1,184 |
| * | Xencor Inc. | 38,099 | 1,167 |
| * | Innoviva Inc. | 75,033 | 1,164 |
| * | Aimmune Therapeutics Inc. | 35,158 | 1,143 |
| * | MyoKardia Inc. | 19,569 | 1,139 |
| *,^ | Theravance Biopharma Inc. | 42,214 | 1,113 |
| * | ImmunoGen Inc. | 99,761 | 1,108 |
| * | Iovance Biotherapeutics Inc. | 61,758 | 1,071 |
| | Analogic Corp. | 12,589 | 1,051 |
| * | Acorda Therapeutics Inc. | 43,399 | 1,031 |
| * | PTC Therapeutics Inc. | 40,008 | 1,030 |
| * | Atara Biotherapeutics Inc. | 26,680 | 1,028 |
| * | BioTelemetry Inc. | 31,744 | 1,025 |
| * | Retrophin Inc. | 40,456 | 1,012 |
| * | LHC Group Inc. | 15,718 | 1,012 |
| | Owens & Minor Inc. | 60,665 | 996 |
| * | Dynavax Technologies Corp. | 60,906 | 984 |
| * | Intersect ENT Inc. | 26,667 | 983 |
| * | Dermira Inc. | 38,176 | 982 |
| * | OraSure Technologies Inc. | 56,459 | 974 |
| * | Orthofix International NV | 17,217 | 964 |
| | US Physical Therapy Inc. | 12,283 | 952 |
| * | Natus Medical Inc. | 30,497 | 950 |
| * | Heron Therapeutics Inc. | 45,298 | 922 |
| * | Assembly Biosciences Inc. | 16,054 | 911 |
| * | Glaukos Corp. | 28,580 | 895 |
| * | iRhythm Technologies Inc. | 14,170 | 881 |
| * | Alder Biopharmaceuticals Inc. | 63,241 | 879 |
| *,^ | Epizyme Inc. | 49,029 | 868 |
| * | CytomX Therapeutics Inc. | 29,134 | 866 |
| * | MacroGenics Inc. | 33,981 | 853 |
17
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | K2M Group Holdings Inc. | 41,077 | 851 |
| | Luminex Corp. | 42,517 | 834 |
| | Atrion Corp. | 1,414 | 833 |
| * | Vanda Pharmaceuticals Inc. | 44,094 | 831 |
| *,^ | TherapeuticsMD Inc. | 165,567 | 828 |
| * | Intra-Cellular Therapies Inc. | 42,573 | 825 |
| *,^ | Flexion Therapeutics Inc. | 32,494 | 824 |
| * | AxoGen Inc. | 27,560 | 805 |
| * | REGENXBIO Inc. | 27,929 | 795 |
| * | Cardiovascular Systems Inc. | 33,250 | 791 |
| | Kindred Healthcare Inc. | 84,612 | 778 |
| | Phibro Animal Health Corp. Class A | 19,825 | 762 |
| * | Almost Family Inc. | 12,803 | 755 |
| * | Anika Therapeutics Inc. | 14,331 | 746 |
| *,^ | MiMedx Group Inc. | 103,450 | 733 |
| * | AMAG Pharmaceuticals Inc. | 34,819 | 733 |
| * | Providence Service Corp. | 11,309 | 719 |
| * | TG Therapeutics Inc. | 51,311 | 718 |
| * | Revance Therapeutics Inc. | 22,712 | 703 |
| | National HealthCare Corp. | 11,980 | 703 |
| *,^ | Accelerate Diagnostics Inc. | 26,060 | 685 |
| *,^ | Novavax Inc. | 311,397 | 676 |
| * | Amphastar Pharmaceuticals Inc. | 36,389 | 668 |
| * | Quality Systems Inc. | 52,936 | 664 |
| * | R1 RCM Inc. | 101,001 | 663 |
| * | STAAR Surgical Co. | 40,946 | 643 |
| * | Akebia Therapeutics Inc. | 44,929 | 642 |
| * | Genomic Health Inc. | 19,838 | 635 |
| * | CryoLife Inc. | 32,404 | 614 |
| *,^ | WaVe Life Sciences Ltd. | 12,013 | 612 |
| * | AngioDynamics Inc. | 36,771 | 599 |
| * | Collegium Pharmaceutical Inc. | 24,932 | 598 |
| * | Cutera Inc. | 13,227 | 596 |
| | Meridian Bioscience Inc. | 41,280 | 576 |
| * | Five Prime Therapeutics Inc. | 26,921 | 572 |
| * | AtriCure Inc. | 32,357 | 572 |
| | Invacare Corp. | 32,797 | 564 |
| * | Triple-S Management Corp. Class B | 23,181 | 563 |
| * | Audentes Therapeutics Inc. | 16,564 | 558 |
| *,^ | La Jolla Pharmaceutical Co. | 17,787 | 552 |
| * | Rigel Pharmaceuticals Inc. | 146,069 | 549 |
| | LeMaitre Vascular Inc. | 15,218 | 529 |
| * | Madrigal Pharmaceuticals Inc. | 4,110 | 518 |
| * | ANI Pharmaceuticals Inc. | 7,950 | 509 |
| * | Karyopharm Therapeutics Inc. | 33,450 | 494 |
| * | Voyager Therapeutics Inc. | 17,172 | 493 |
| * | Community Health Systems Inc. | 95,024 | 487 |
| *,^ | ZIOPHARM Oncology Inc. | 130,298 | 486 |
| * | Cerus Corp. | 112,870 | 483 |
| * | BioCryst Pharmaceuticals Inc. | 96,822 | 481 |
| * | NeoGenomics Inc. | 56,777 | 477 |
| * | Progenics Pharmaceuticals Inc. | 70,509 | 471 |
| * | Lantheus Holdings Inc. | 30,508 | 467 |
| *,^ | Omeros Corp. | 45,766 | 462 |
| *,^ | Lannett Co. Inc. | 28,641 | 458 |
| * | Kura Oncology Inc. | 20,241 | 457 |
| * | Aclaris Therapeutics Inc. | 22,931 | 457 |
| * | Cross Country Healthcare Inc. | 35,208 | 456 |
| * | Heska Corp. | 6,682 | 454 |
| * | Accuray Inc. | 81,489 | 452 |
| * | CorVel Corp. | 9,199 | 450 |
| * | Eagle Pharmaceuticals Inc. | 7,959 | 447 |
| *,^ | Synergy Pharmaceuticals Inc. | 245,350 | 444 |
| * | Intellia Therapeutics Inc. | 16,590 | 433 |
18
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Fate Therapeutics Inc. | 38,133 | 429 |
| * | Tactile Systems Technology Inc. | 12,989 | 420 |
| *,^ | Keryx Biopharmaceuticals Inc. | 88,853 | 408 |
| * | Agenus Inc. | 74,062 | 399 |
| * | Codexis Inc. | 41,174 | 393 |
| * | Concert Pharmaceuticals Inc. | 17,940 | 393 |
| * | Depomed Inc. | 57,070 | 392 |
| * | Surmodics Inc. | 13,006 | 391 |
| *,^ | Abeona Therapeutics Inc. | 28,167 | 390 |
| * | Stemline Therapeutics Inc. | 22,452 | 385 |
| * | Achillion Pharmaceuticals Inc. | 118,280 | 384 |
| * | Coherus Biosciences Inc. | 38,384 | 380 |
| *,^ | Cara Therapeutics Inc. | 26,843 | 375 |
| *,^ | Lexicon Pharmaceuticals Inc. | 43,105 | 372 |
| * | RadNet Inc. | 37,138 | 371 |
| * | BioScrip Inc. | 117,475 | 371 |
| * | PDL BioPharma Inc. | 151,676 | 364 |
| *,^ | Adamas Pharmaceuticals Inc. | 14,787 | 362 |
| *,^ | Corbus Pharmaceuticals Holdings Inc. | 48,478 | 359 |
| *,^ | Achaogen Inc. | 34,191 | 357 |
| * | Biohaven Pharmaceutical Holding Co. Ltd. | 10,474 | 355 |
| * | MediciNova Inc. | 33,863 | 354 |
| * | Cascadian Therapeutics Inc. | 35,320 | 352 |
| *,^ | Geron Corp. | 147,335 | 340 |
| | Computer Programs & Systems Inc. | 11,334 | 338 |
| *,^ | Inovio Pharmaceuticals Inc. | 81,525 | 334 |
| * | Endologix Inc. | 82,774 | 333 |
| * | Cytokinetics Inc. | 41,543 | 322 |
| *,^ | Antares Pharma Inc. | 145,853 | 321 |
| * | Corium International Inc. | 24,526 | 319 |
| * | Tabula Rasa HealthCare Inc. | 9,741 | 315 |
| * | Paratek Pharmaceuticals Inc. | 23,636 | 310 |
| * | Jounce Therapeutics Inc. | 14,543 | 307 |
| | Utah Medical Products Inc. | 3,453 | 306 |
| * | Pieris Pharmaceuticals Inc. | 35,622 | 303 |
| * | Celldex Therapeutics Inc. | 131,807 | 297 |
| * | Edge Therapeutics Inc. | 19,694 | 296 |
| *,^ | Surgery Partners Inc. | 18,468 | 293 |
| * | Natera Inc. | 31,907 | 287 |
| * | Capital Senior Living Corp. | 24,308 | 287 |
| * | Entellus Medical Inc. | 11,817 | 284 |
| * | Invitae Corp. | 42,545 | 280 |
| * | Oxford Immunotec Global plc | 25,662 | 280 |
| * | Aduro Biotech Inc. | 44,608 | 279 |
| * | Reata Pharmaceuticals Inc. Class A | 11,361 | 274 |
| *,^ | Rockwell Medical Inc. | 46,851 | 273 |
| | National Research Corp. Class A | 9,502 | 269 |
| * | Enzo Biochem Inc. | 41,667 | 264 |
| *,^ | ViewRay Inc. | 31,015 | 258 |
| * | Fluidigm Corp. | 37,817 | 256 |
| *,^ | Akcea Therapeutics Inc. | 15,073 | 256 |
| * | Idera Pharmaceuticals Inc. | 143,669 | 254 |
| * | Addus HomeCare Corp. | 7,357 | 253 |
| * | Pacific Biosciences of California Inc. | 104,940 | 250 |
| * | BioSpecifics Technologies Corp. | 6,067 | 246 |
| * | ChemoCentryx Inc. | 24,446 | 238 |
| * | Catalyst Pharmaceuticals Inc. | 72,628 | 232 |
| * | RTI Surgical Inc. | 54,266 | 231 |
| * | Calithera Biosciences Inc. | 29,938 | 231 |
| * | Chimerix Inc. | 46,429 | 226 |
| * | Castlight Health Inc. Class B | 63,376 | 225 |
| * | BioTime Inc. | 85,563 | 224 |
| * | Kindred Biosciences Inc. | 24,916 | 222 |
| * | Medpace Holdings Inc. | 6,754 | 216 |
19
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | GenMark Diagnostics Inc. | 52,404 | 216 |
| * | Rhythm Pharmaceuticals Inc. | 8,167 | 211 |
| * | Civitas Solutions Inc. | 15,825 | 206 |
| * | Deciphera Pharmaceuticals Inc. | 8,167 | 204 |
| * | NewLink Genetics Corp. | 28,445 | 204 |
| *,^ | Neos Therapeutics Inc. | 24,135 | 200 |
| * | Apellis Pharmaceuticals Inc. | 10,864 | 199 |
| * | Otonomy Inc. | 33,267 | 198 |
| * | American Renal Associates Holdings Inc. | 9,841 | 195 |
| * | Seres Therapeutics Inc. | 20,474 | 195 |
| * | Tocagen Inc. | 17,638 | 192 |
| *,^ | Bellicum Pharmaceuticals Inc. | 27,243 | 189 |
| * | Protagonist Therapeutics Inc. | 11,145 | 189 |
| * | Strongbridge Biopharma plc | 24,568 | 179 |
| * | Ardelyx Inc. | 33,189 | 178 |
| * | G1 Therapeutics Inc. | 7,799 | 176 |
| *,^ | Insys Therapeutics Inc. | 23,665 | 173 |
| * | Durect Corp. | 138,322 | 169 |
| *,^ | Pulse Biosciences Inc. | 8,739 | 162 |
| * | PetIQ Inc. | 7,248 | 159 |
| * | FONAR Corp. | 6,280 | 155 |
| *,^ | Dova Pharmaceuticals Inc. | 5,114 | 155 |
| * | Aratana Therapeutics Inc. | 41,222 | 153 |
| *,^ | Calyxt Inc. | 8,077 | 148 |
| * | Merrimack Pharmaceuticals Inc. | 13,205 | 147 |
| * | Minerva Neurosciences Inc. | 27,838 | 146 |
| * | Veracyte Inc. | 24,134 | 145 |
| * | Tetraphase Pharmaceuticals Inc. | 51,246 | 144 |
| * | Fortress Biotech Inc. | 33,394 | 142 |
| *,^ | Athersys Inc. | 102,900 | 141 |
| * | Conatus Pharmaceuticals Inc. | 26,905 | 140 |
| * | Sientra Inc. | 14,566 | 139 |
| * | Clearside Biomedical Inc. | 21,433 | 138 |
| * | Syros Pharmaceuticals Inc. | 12,958 | 137 |
| *,^ | NantKwest Inc. | 29,784 | 132 |
| * | NanoString Technologies Inc. | 20,582 | 132 |
| * | Selecta Biosciences Inc. | 14,268 | 131 |
| *,^ | Quotient Ltd. | 28,165 | 130 |
| *,^ | VBI Vaccines Inc. | 35,279 | 129 |
| * | Melinta Therapeutics Inc. | 9,888 | 123 |
| * | Recro Pharma Inc. | 13,581 | 122 |
| * | Ocular Therapeutix Inc. | 23,360 | 122 |
| * | Teligent Inc. | 42,633 | 119 |
| *,^ | Zynerba Pharmaceuticals Inc. | 11,903 | 116 |
| *,^ | Athenex Inc. | 7,125 | 113 |
| * | Syndax Pharmaceuticals Inc. | 12,169 | 110 |
| * | Kala Pharmaceuticals Inc. | 7,618 | 107 |
| *,^ | Corindus Vascular Robotics Inc. | 106,434 | 106 |
| * | Trevena Inc. | 59,154 | 106 |
| * | AAC Holdings Inc. | 10,716 | 101 |
| *,^ | Organovo Holdings Inc. | 99,068 | 100 |
| * | Immune Design Corp. | 33,476 | 97 |
| *,^ | Optinose Inc. | 5,390 | 95 |
| *,^ | Nymox Pharmaceutical Corp. | 29,504 | 95 |
| * | Mersana Therapeutics Inc. | 5,391 | 93 |
| *,^ | Anavex Life Sciences Corp. | 38,931 | 92 |
| *,^ | XBiotech Inc. | 17,991 | 87 |
| * | OrthoPediatrics Corp. | 4,281 | 76 |
| * | Miragen Therapeutics Inc. | 13,585 | 75 |
| *,^ | Advaxis Inc. | 38,596 | 72 |
| * | Sienna Biopharmaceuticals Inc. | 4,563 | 72 |
| *,^ | Viveve Medical Inc. | 16,194 | 70 |
| * | Ra Pharmaceuticals Inc. | 10,932 | 70 |
| * | Novelion Therapeutics Inc. | 16,821 | 70 |
20
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| *,^ | Asterias Biotherapeutics Inc. Class A | 31,471 | 68 |
| *,^ | Genesis Healthcare Inc. | 50,156 | 67 |
| * | Corvus Pharmaceuticals Inc. | 7,541 | 62 |
| * | Curis Inc. | 120,967 | 60 |
| * | scPharmaceuticals Inc. | 3,733 | 60 |
| *,^ | Matinas BioPharma Holdings Inc. | 59,698 | 59 |
| * | Spero Therapeutics Inc. | 5,514 | 58 |
| * | Versartis Inc. | 34,914 | 56 |
| * | NantHealth Inc. | 17,149 | 52 |
| * | ConforMIS Inc. | 37,434 | 51 |
| * | Odonate Therapeutics Inc. | 1,678 | 45 |
| * | Celcuity Inc. | 2,495 | 43 |
| * | Axovant Sciences Ltd. | 29,718 | 43 |
| * | vTv Therapeutics Inc. Class A | 6,555 | 37 |
| * | Allena Pharmaceuticals Inc. | 4,957 | 34 |
| * | Aileron Therapeutics Inc. | 3,810 | 31 |
| * | Obalon Therapeutics Inc. | 7,765 | 31 |
| * | Quanterix Corp. | 1,352 | 28 |
| *,^ | Restoration Robotics Inc. | 4,990 | 28 |
| * | Ovid therapeutics Inc. | 4,229 | 28 |
| * | Genocea Biosciences Inc. | 22,492 | 22 |
| * | Denali Therapeutics Inc. | 721 | 17 |
| * | ARMO BioSciences Inc. | 244 | 11 |
| * | Solid Biosciences Inc. | 338 | 10 |
| *,^ | Oncocyte Corp. | 2,776 | 9 |
| | | | 335,142 |
| Materials & Processing (7.2%) | | |
| | Louisiana-Pacific Corp. | 145,844 | 4,157 |
| * | Beacon Roofing Supply Inc. | 66,970 | 3,543 |
| | Trinseo SA | 44,488 | 3,541 |
| * | Summit Materials Inc. Class A | 111,073 | 3,513 |
| | PolyOne Corp. | 80,666 | 3,332 |
| * | Allegheny Technologies Inc. | 126,270 | 3,272 |
| | Sensient Technologies Corp. | 44,435 | 3,197 |
| * | Ingevity Corp. | 42,660 | 3,196 |
| | Belden Inc. | 42,262 | 3,074 |
| * | Trex Co. Inc. | 29,627 | 3,063 |
| | KapStone Paper and Packaging Corp. | 87,397 | 3,049 |
| * | Rexnord Corp. | 104,521 | 3,029 |
| * | RBC Bearings Inc. | 23,464 | 2,827 |
| | Commercial Metals Co. | 116,147 | 2,822 |
| | HB Fuller Co. | 50,644 | 2,552 |
| | Cabot Microelectronics Corp. | 24,995 | 2,547 |
| | Minerals Technologies Inc. | 35,292 | 2,425 |
| | Balchem Corp. | 31,623 | 2,380 |
| | Carpenter Technology Corp. | 46,612 | 2,374 |
| | Simpson Manufacturing Co. Inc. | 41,461 | 2,294 |
| * | GCP Applied Technologies Inc. | 72,036 | 2,215 |
| * | Builders FirstSource Inc. | 110,858 | 2,126 |
| | US Silica Holdings Inc. | 81,993 | 2,123 |
| * | Cleveland-Cliffs Inc. | 300,422 | 2,112 |
| * | JELD-WEN Holding Inc. | 67,738 | 2,111 |
| | Compass Minerals International Inc. | 34,075 | 2,055 |
| | Universal Forest Products Inc. | 59,960 | 1,975 |
| | Worthington Industries Inc. | 44,474 | 1,967 |
| | Quaker Chemical Corp. | 12,966 | 1,848 |
| * | Ferro Corp. | 84,422 | 1,806 |
| * | Masonite International Corp. | 28,564 | 1,744 |
| | Mueller Water Products Inc. Class A | 153,939 | 1,693 |
| | Kaiser Aluminum Corp. | 16,555 | 1,662 |
| | Tronox Ltd. Class A | 90,461 | 1,654 |
| *,^ | AK Steel Holding Corp. | 317,881 | 1,640 |
| | Stepan Co. | 19,903 | 1,594 |
| | Boise Cascade Co. | 39,059 | 1,574 |
21
| | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Innospec Inc. | 23,901 | 1,552 |
| Mueller Industries Inc. | 58,473 | 1,549 |
| AAON Inc. | 41,414 | 1,522 |
| Comfort Systems USA Inc. | 36,801 | 1,511 |
| * Patrick Industries Inc. | 24,524 | 1,507 |
| * MRC Global Inc. | 90,485 | 1,496 |
| Greif Inc. Class A | 25,513 | 1,469 |
| Hecla Mining Co. | 394,667 | 1,444 |
| Interface Inc. Class A | 59,569 | 1,442 |
| * Coeur Mining Inc. | 185,031 | 1,415 |
| * Installed Building Products Inc. | 21,560 | 1,288 |
| Neenah Inc. | 16,651 | 1,276 |
| * Kraton Corp. | 29,999 | 1,272 |
| A Schulman Inc. | 28,544 | 1,252 |
| * AdvanSix Inc. | 30,251 | 1,251 |
| * BMC Stock Holdings Inc. | 65,416 | 1,227 |
| Apogee Enterprises Inc. | 28,278 | 1,220 |
| Schweitzer-Mauduit International Inc. | 30,431 | 1,193 |
| * US Concrete Inc. | 15,795 | 1,149 |
| * Gibraltar Industries Inc. | 31,730 | 1,101 |
| Calgon Carbon Corp. | 50,501 | 1,073 |
| * Continental Building Products Inc. | 37,980 | 1,033 |
| Materion Corp. | 19,908 | 1,003 |
| * Century Aluminum Co. | 49,745 | 948 |
| Advanced Drainage Systems Inc. | 35,635 | 910 |
| Schnitzer Steel Industries Inc. | 26,557 | 903 |
| PH Glatfelter Co. | 43,266 | 883 |
| Rayonier Advanced Materials Inc. | 43,199 | 880 |
| * PGT Innovations Inc. | 48,875 | 855 |
| * GMS Inc. | 27,413 | 849 |
| * Koppers Holdings Inc. | 20,613 | 833 |
| Innophos Holdings Inc. | 19,402 | 806 |
| KMG Chemicals Inc. | 13,151 | 789 |
| Chase Corp. | 7,105 | 739 |
| * TimkenSteel Corp. | 40,095 | 656 |
| * NCI Building Systems Inc. | 39,921 | 651 |
| NN Inc. | 27,007 | 645 |
| Global Brass & Copper Holdings Inc. | 21,717 | 615 |
| * Clearwater Paper Corp. | 16,129 | 606 |
| * Verso Corp. | 34,564 | 606 |
| Quanex Building Products Corp. | 34,788 | 583 |
| * Unifi Inc. | 16,432 | 575 |
| American Vanguard Corp. | 28,541 | 557 |
| Griffon Corp. | 29,030 | 543 |
| Haynes International Inc. | 12,708 | 529 |
| Insteel Industries Inc. | 18,475 | 522 |
| Caesarstone Ltd. | 23,052 | 499 |
| Kronos Worldwide Inc. | 22,715 | 487 |
| * Ply Gem Holdings Inc. | 22,163 | 479 |
| Myers Industries Inc. | 23,101 | 438 |
| * OMNOVA Solutions Inc. | 43,293 | 437 |
| Tredegar Corp. | 25,958 | 414 |
| * PQ Group Holdings Inc. | 29,903 | 401 |
| * Landec Corp. | 27,090 | 352 |
| Greif Inc. Class B | 5,632 | 339 |
| Hawkins Inc. | 9,535 | 319 |
| * Intrepid Potash Inc. | 95,644 | 317 |
| Culp Inc. | 11,140 | 310 |
| * Armstrong Flooring Inc. | 21,634 | 303 |
| DMC Global Inc. | 14,270 | 302 |
| FutureFuel Corp. | 25,048 | 300 |
| * Veritiv Corp. | 11,594 | 281 |
| * Nexeo Solutions Inc. | 26,764 | 249 |
| * Klondex Mines Ltd. | 180,280 | 238 |
22
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Gold Resource Corp. | 54,204 | 221 |
| * | LB Foster Co. Class A | 8,350 | 218 |
| | Aceto Corp. | 29,943 | 215 |
| | Olympic Steel Inc. | 9,167 | 207 |
| * | Foundation Building Materials Inc. | 14,739 | 202 |
| | LSI Industries Inc. | 24,731 | 193 |
| * | UFP Technologies Inc. | 6,742 | 192 |
| | Oil-Dri Corp. of America | 4,887 | 176 |
| * | AgroFresh Solutions Inc. | 22,509 | 174 |
| *,^ | Uranium Energy Corp. | 131,078 | 170 |
| * | Northwest Pipe Co. | 9,637 | 169 |
| * | LSB Industries Inc. | 21,939 | 164 |
| * | Ryerson Holding Corp. | 16,092 | 162 |
| | Omega Flex Inc. | 2,891 | 161 |
| | Valhi Inc. | 25,982 | 148 |
| * | Lawson Products Inc. | 6,288 | 147 |
| | United States Lime & Minerals Inc. | 2,031 | 145 |
| | Eastern Co. | 5,541 | 141 |
| | Core Molding Technologies Inc. | 7,497 | 136 |
| *,^ | Forterra Inc. | 18,596 | 132 |
| * | Huttig Building Products Inc. | 23,620 | 122 |
| * | Shiloh Industries Inc. | 15,061 | 110 |
| | Ampco-Pittsburgh Corp. | 8,133 | 83 |
| * | NL Industries Inc. | 7,778 | 63 |
| | CompX International Inc. | 1,520 | 21 |
| *,2 | Ferroglobe R&W Trust | 46,440 | — |
| | | | 149,151 |
| Other (0.0%)3 | | |
| *,2 | Dyax Corp. CVR Exp. 12/31/2019 | 83,094 | 166 |
| * | Cactus Inc. | 1,394 | 34 |
| * | Victory Capital Holdings Inc. Class A | 2,475 | 32 |
| *,^,2 | Tobira Therapeutics CVR Exp. 12/31/2028 | 6,227 | 28 |
| * | Evolus Inc. | 933 | 11 |
| * | Cardlytics Inc. | 606 | 11 |
| * | Menlo Therapeutics Inc. | 314 | 11 |
| *,2 | NewStar Financial Inc. CVR Line | 18,788 | 10 |
| * | Quintana Energy Services Inc. | 608 | 6 |
| * | resTORbio Inc. | 248 | 5 |
| *,2 | Media General Inc. CVR | 85,418 | 4 |
| *,2 | Omthera Pharmaceuticals Inc. CVR | 2,012 | 1 |
| *,2 | Gerber Scientific Inc. CVR | 2,358 | — |
| *,2 | Clinical Data CVR | 913 | — |
| *,2 | Chelsea Therapeutics International Ltd. CVR | 31,094 | — |
| | | | 319 |
| Producer Durables (14.0%) | | |
| | Knight-Swift Transportation Holdings Inc. | 126,238 | 6,080 |
| | Curtiss-Wright Corp. | 44,454 | 6,000 |
| | Littelfuse Inc. | 24,212 | 5,024 |
| | EMCOR Group Inc. | 59,083 | 4,509 |
| | MAXIMUS Inc. | 64,475 | 4,319 |
| * | On Assignment Inc. | 50,123 | 3,844 |
| | Woodward Inc. | 53,408 | 3,783 |
| * | KLX Inc. | 51,951 | 3,516 |
| | John Bean Technologies Corp. | 31,487 | 3,487 |
| | Deluxe Corp. | 48,619 | 3,452 |
| * | MasTec Inc. | 66,858 | 3,406 |
| | Brink's Co. | 45,955 | 3,378 |
| | Kennametal Inc. | 80,594 | 3,320 |
| * | Dycom Industries Inc. | 30,246 | 3,304 |
| | Healthcare Services Group Inc. | 71,402 | 3,244 |
| | EnerSys | 43,806 | 3,053 |
| | Barnes Group Inc. | 50,412 | 3,040 |
| * | Darling Ingredients Inc. | 164,640 | 2,995 |
| | Hillenbrand Inc. | 63,561 | 2,790 |
23
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | SkyWest Inc. | 50,916 | 2,790 |
| | Tetra Tech Inc. | 56,110 | 2,747 |
| * | Generac Holdings Inc. | 61,084 | 2,717 |
| * | Proto Labs Inc. | 24,885 | 2,711 |
| | Applied Industrial Technologies Inc. | 38,442 | 2,706 |
| | MSA Safety Inc. | 33,499 | 2,701 |
| * | Advanced Energy Industries Inc. | 40,534 | 2,688 |
| * | Moog Inc. Class A | 32,022 | 2,684 |
| | GATX Corp. | 38,394 | 2,647 |
| * | TopBuild Corp. | 35,544 | 2,475 |
| * | Itron Inc. | 34,343 | 2,404 |
| | UniFirst Corp. | 15,354 | 2,384 |
| | Insperity Inc. | 36,406 | 2,377 |
| | Granite Construction Inc. | 39,874 | 2,317 |
| | Korn/Ferry International | 52,827 | 2,214 |
| | Convergys Corp. | 94,571 | 2,195 |
| | Herman Miller Inc. | 59,955 | 2,152 |
| | KBR Inc. | 141,202 | 2,138 |
| | Allegiant Travel Co. Class A | 12,733 | 2,118 |
| | Watts Water Technologies Inc. Class A | 27,986 | 2,113 |
| * | WageWorks Inc. | 39,958 | 2,096 |
| * | SPX FLOW Inc. | 42,137 | 2,055 |
| | Exponent Inc. | 25,785 | 2,005 |
| | ABM Industries Inc. | 56,255 | 1,978 |
| * | TriNet Group Inc. | 41,630 | 1,964 |
| * | Esterline Technologies Corp. | 26,162 | 1,933 |
| * | Aerojet Rocketdyne Holdings Inc. | 70,068 | 1,892 |
| * | ExlService Holdings Inc. | 32,982 | 1,881 |
| | Hawaiian Holdings Inc. | 52,198 | 1,879 |
| * | Navistar International Corp. | 49,955 | 1,864 |
| | Mobile Mini Inc. | 44,286 | 1,858 |
| * | Saia Inc. | 25,447 | 1,849 |
| | Albany International Corp. | 28,649 | 1,824 |
| *,^ | Axon Enterprise Inc. | 52,038 | 1,812 |
| | Franklin Electric Co. Inc. | 46,255 | 1,811 |
| * | FTI Consulting Inc. | 37,796 | 1,803 |
| | Werner Enterprises Inc. | 47,946 | 1,786 |
| | Chicago Bridge & Iron Co. NV | 101,296 | 1,769 |
| | Covanta Holding Corp. | 118,016 | 1,764 |
| | Brady Corp. Class A | 46,395 | 1,735 |
| | Kaman Corp. | 27,617 | 1,691 |
| * | Chart Industries Inc. | 30,640 | 1,689 |
| * | Harsco Corp. | 82,387 | 1,668 |
| | Forward Air Corp. | 29,807 | 1,610 |
| | HNI Corp. | 43,278 | 1,600 |
| * | Herc Holdings Inc. | 24,453 | 1,595 |
| * | Air Transport Services Group Inc. | 59,313 | 1,570 |
| | Cubic Corp. | 25,194 | 1,547 |
| | EnPro Industries Inc. | 21,287 | 1,542 |
| | ESCO Technologies Inc. | 25,422 | 1,497 |
| | General Cable Corp. | 49,357 | 1,459 |
| * | Hub Group Inc. Class A | 32,605 | 1,423 |
| * | Atlas Air Worldwide Holdings Inc. | 23,332 | 1,420 |
| | Greenbrier Cos. Inc. | 27,366 | 1,418 |
| | Triton International Ltd. | 48,065 | 1,371 |
| | AAR Corp. | 32,128 | 1,368 |
| | Triumph Group Inc. | 48,736 | 1,362 |
| | Actuant Corp. Class A | 59,443 | 1,349 |
| | ACCO Brands Corp. | 106,478 | 1,347 |
| | Badger Meter Inc. | 28,014 | 1,333 |
| * | SPX Corp. | 42,493 | 1,327 |
| * | Rush Enterprises Inc. Class A | 30,508 | 1,297 |
| | Wabash National Corp. | 58,932 | 1,288 |
| * | Electronics For Imaging Inc. | 46,226 | 1,266 |
24
| | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Federal Signal Corp. | 58,860 | 1,259 |
| Astec Industries Inc. | 21,267 | 1,253 |
| Altra Industrial Motion Corp. | 28,593 | 1,241 |
| * Paylocity Holding Corp. | 26,462 | 1,238 |
| Sun Hydraulics Corp. | 23,640 | 1,227 |
| Raven Industries Inc. | 36,084 | 1,225 |
| Standex International Corp. | 12,584 | 1,209 |
| H&E Equipment Services Inc. | 31,898 | 1,202 |
| Matson Inc. | 42,098 | 1,200 |
| McGrath RentCorp | 23,495 | 1,189 |
| * TriMas Corp. | 45,449 | 1,177 |
| US Ecology Inc. | 22,172 | 1,173 |
| * Milacron Holdings Corp. | 54,249 | 1,163 |
| Steelcase Inc. Class A | 84,250 | 1,150 |
| * Sykes Enterprises Inc. | 39,204 | 1,139 |
| * Modine Manufacturing Co. | 49,398 | 1,136 |
| Tennant Co. | 17,603 | 1,134 |
| * OSI Systems Inc. | 17,640 | 1,114 |
| * TrueBlue Inc. | 40,917 | 1,113 |
| ^ Schneider National Inc. Class B | 42,707 | 1,104 |
| Encore Wire Corp. | 20,290 | 1,063 |
| AZZ Inc. | 25,924 | 1,059 |
| Alamo Group Inc. | 9,449 | 1,050 |
| * Aerovironment Inc. | 20,941 | 1,041 |
| Knoll Inc. | 48,517 | 1,032 |
| Kadant Inc. | 10,817 | 1,032 |
| * Kratos Defense & Security Solutions Inc. | 85,582 | 1,031 |
| * ICF International Inc. | 17,974 | 1,025 |
| * Casella Waste Systems Inc. Class A | 39,195 | 996 |
| * FARO Technologies Inc. | 16,746 | 994 |
| Primoris Services Corp. | 39,463 | 983 |
| Douglas Dynamics Inc. | 22,064 | 982 |
| * Advanced Disposal Services Inc. | 43,666 | 977 |
| Manitowoc Co. Inc. | 31,803 | 945 |
| Briggs & Stratton Corp. | 41,864 | 941 |
| * CBIZ Inc. | 51,734 | 934 |
| Lindsay Corp. | 10,521 | 930 |
| Heartland Express Inc. | 47,433 | 926 |
| Aircastle Ltd. | 47,452 | 924 |
| * Navigant Consulting Inc. | 46,085 | 916 |
| * Tutor Perini Corp. | 37,601 | 908 |
| Kelly Services Inc. Class A | 30,690 | 905 |
| Multi-Color Corp. | 13,703 | 868 |
| ArcBest Corp. | 25,988 | 860 |
| ^ Teekay Corp. | 112,893 | 858 |
| Ship Finance International Ltd. | 58,608 | 847 |
| MTS Systems Corp. | 17,240 | 844 |
| Marten Transport Ltd. | 38,834 | 841 |
| Quad/Graphics Inc. | 31,550 | 833 |
| * Astronics Corp. | 21,448 | 827 |
| * Lydall Inc. | 16,596 | 799 |
| Columbus McKinnon Corp. | 22,179 | 787 |
| CIRCOR International Inc. | 16,678 | 784 |
| * Huron Consulting Group Inc. | 22,118 | 774 |
| * Aegion Corp. Class A | 32,661 | 750 |
| * Evoqua Water Technologies Corp. | 32,603 | 747 |
| Hyster-Yale Materials Handling Inc. | 10,350 | 737 |
| * Atkore International Group Inc. | 33,277 | 723 |
| * Thermon Group Holdings Inc. | 32,149 | 702 |
| * Echo Global Logistics Inc. | 26,346 | 697 |
| * SEACOR Holdings Inc. | 16,380 | 680 |
| * CSW Industrials Inc. | 14,486 | 664 |
| GasLog Ltd. | 40,245 | 664 |
| Titan International Inc. | 50,468 | 649 |
25
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Kforce Inc. | 23,248 | 644 |
| * | SP Plus Corp. | 17,492 | 630 |
| | REV Group Inc. | 22,754 | 614 |
| * | Control4 Corp. | 25,279 | 608 |
| | Kimball International Inc. Class B | 36,822 | 605 |
| | Argan Inc. | 14,533 | 581 |
| | Scorpio Tankers Inc. | 238,695 | 549 |
| | RR Donnelley & Sons Co. | 71,756 | 541 |
| | Barrett Business Services Inc. | 7,155 | 532 |
| * | MYR Group Inc. | 15,854 | 513 |
| | Spartan Motors Inc. | 34,684 | 512 |
| | Ennis Inc. | 25,718 | 502 |
| * | TTEC Holdings Inc. | 14,028 | 500 |
| * | Wesco Aircraft Holdings Inc. | 55,651 | 498 |
| | LSC Communications Inc. | 34,067 | 496 |
| * | Engility Holdings Inc. | 17,990 | 491 |
| | Gorman-Rupp Co. | 18,044 | 481 |
| | Heidrick & Struggles International Inc. | 18,199 | 480 |
| * | Team Inc. | 29,194 | 477 |
| * | International Seaways Inc. | 29,318 | 477 |
| | Bristow Group Inc. | 31,923 | 471 |
| | Resources Connection Inc. | 29,963 | 466 |
| * | DXP Enterprises Inc. | 15,653 | 466 |
| | RPX Corp. | 46,265 | 464 |
| | Scorpio Bulkers Inc. | 58,224 | 451 |
| * | Textainer Group Holdings Ltd. | 27,209 | 444 |
| * | Vicor Corp. | 16,936 | 436 |
| *,^ | Plug Power Inc. | 231,972 | 431 |
| * | InnerWorkings Inc. | 45,927 | 424 |
| | Mesa Laboratories Inc. | 3,232 | 423 |
| | Hackett Group Inc. | 23,367 | 421 |
| *,^ | Energous Corp. | 19,034 | 420 |
| | VSE Corp. | 8,557 | 415 |
| | Forrester Research Inc. | 10,195 | 413 |
| | CRA International Inc. | 7,829 | 391 |
| * | Titan Machinery Inc. | 18,642 | 372 |
| | Park-Ohio Holdings Corp. | 8,902 | 355 |
| * | NV5 Global Inc. | 8,024 | 347 |
| * | Mistras Group Inc. | 17,410 | 343 |
| * | PHH Corp. | 32,251 | 341 |
| | Systemax Inc. | 11,566 | 330 |
| | DHT Holdings Inc. | 85,454 | 321 |
| * | Sterling Construction Co. Inc. | 26,026 | 314 |
| * | CAI International Inc. | 15,503 | 313 |
| * | Covenant Transportation Group Inc. Class A | 11,963 | 309 |
| * | Vectrus Inc. | 11,097 | 303 |
| * | Vishay Precision Group Inc. | 10,055 | 301 |
| * | Ducommun Inc. | 10,668 | 300 |
| ^ | Frontline Ltd. | 76,629 | 297 |
| | Essendant Inc. | 37,052 | 294 |
| * | ServiceSource International Inc. | 79,891 | 292 |
| | Costamare Inc. | 49,992 | 289 |
| * | Heritage-Crystal Clean Inc. | 14,459 | 289 |
| * | Babcock & Wilcox Enterprises Inc. | 45,230 | 288 |
| * | YRC Worldwide Inc. | 32,621 | 284 |
| * | GP Strategies Corp. | 12,675 | 279 |
| * | Layne Christensen Co. | 17,934 | 278 |
| | Miller Industries Inc. | 11,226 | 273 |
| | American Railcar Industries Inc. | 7,178 | 267 |
| *,^ | Energy Recovery Inc. | 37,207 | 255 |
| * | Gener8 Maritime Inc. | 45,732 | 254 |
| | Hurco Cos. Inc. | 6,052 | 253 |
| * | Great Lakes Dredge & Dock Corp. | 55,550 | 253 |
| * | Commercial Vehicle Group Inc. | 24,667 | 249 |
26
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Daseke Inc. | 23,611 | 238 |
| | Teekay Tankers Ltd. Class A | 202,004 | 232 |
| | Powell Industries Inc. | 8,715 | 232 |
| | Marlin Business Services Corp. | 8,831 | 228 |
| * | Hudson Technologies Inc. | 36,527 | 223 |
| * | Rush Enterprises Inc. Class B | 5,472 | 218 |
| * | Ardmore Shipping Corp. | 28,182 | 213 |
| | Hardinge Inc. | 11,582 | 213 |
| * | HC2 Holdings Inc. | 42,262 | 210 |
| | Allied Motion Technologies Inc. | 6,616 | 207 |
| * | Maxwell Technologies Inc. | 36,276 | 206 |
| * | Twin Disc Inc. | 8,606 | 206 |
| | Nordic American Tankers Ltd. | 97,044 | 203 |
| ^ | Advanced Emissions Solutions Inc. | 20,369 | 196 |
| | Graham Corp. | 9,582 | 194 |
| * | Eagle Bulk Shipping Inc. | 38,643 | 188 |
| * | Hill International Inc. | 33,606 | 187 |
| * | Liquidity Services Inc. | 26,783 | 183 |
| | FreightCar America Inc. | 12,246 | 181 |
| | Universal Logistics Holdings Inc. | 8,179 | 181 |
| | Preformed Line Products Co. | 2,947 | 179 |
| * | Safe Bulkers Inc. | 48,327 | 177 |
| | NACCO Industries Inc. Class A | 4,157 | 171 |
| * | Orion Group Holdings Inc. | 27,146 | 170 |
| * | Blue Bird Corp. | 7,311 | 170 |
| * | Dorian LPG Ltd. | 22,972 | 168 |
| * | Willdan Group Inc. | 7,492 | 157 |
| * | Radiant Logistics Inc. | 37,970 | 140 |
| * | Gencor Industries Inc. | 8,373 | 135 |
| * | IES Holdings Inc. | 8,658 | 133 |
| * | Information Services Group Inc. | 30,798 | 130 |
| | CECO Environmental Corp. | 30,722 | 126 |
| ^ | EnviroStar Inc. | 3,546 | 122 |
| * | Napco Security Technologies Inc. | 12,080 | 122 |
| * | Navios Maritime Holdings Inc. | 94,606 | 118 |
| * | PHI Inc. | 11,833 | 117 |
| * | Genco Shipping & Trading Ltd. | 8,431 | 116 |
| | BG Staffing Inc. | 7,035 | 116 |
| * | Roadrunner Transportation Systems Inc. | 29,660 | 114 |
| * | StarTek Inc. | 10,511 | 114 |
| * | Willis Lease Finance Corp. | 3,406 | 93 |
| *,^ | ExOne Co. | 10,364 | 87 |
| * | DHI Group Inc. | 45,268 | 75 |
| * | Overseas Shipholding Group Inc. Class A | 42,189 | 75 |
| * | Ascent Capital Group Inc. Class A | 10,257 | 70 |
| ^ | Navios Maritime Acquisition Corp. | 76,541 | 58 |
| *,^ | Aqua Metals Inc. | 18,847 | 44 |
| | | | 289,938 |
| Technology (14.3%) | | |
| *,^ | GrubHub Inc. | 86,180 | 8,567 |
| | MKS Instruments Inc. | 54,040 | 6,017 |
| * | Aspen Technology Inc. | 73,325 | 5,667 |
| * | EPAM Systems Inc. | 50,028 | 5,659 |
| | Blackbaud Inc. | 47,795 | 4,900 |
| *,^ | Paycom Software Inc. | 49,391 | 4,886 |
| | Entegris Inc. | 142,449 | 4,729 |
| * | Proofpoint Inc. | 43,889 | 4,704 |
| | Monolithic Power Systems Inc. | 39,996 | 4,682 |
| * | Zendesk Inc. | 100,140 | 4,324 |
| * | RingCentral Inc. Class A | 65,283 | 4,090 |
| * | Integrated Device Technology Inc. | 134,477 | 4,080 |
| * | Silicon Laboratories Inc. | 42,089 | 3,935 |
| * | Nutanix Inc. | 107,647 | 3,924 |
| * | HubSpot Inc. | 34,268 | 3,805 |
27
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Lumentum Holdings Inc. | 62,059 | 3,786 |
| *,^ | ViaSat Inc. | 53,452 | 3,730 |
| * | Cree Inc. | 98,031 | 3,709 |
| * | CACI International Inc. Class A | 24,494 | 3,651 |
| * | Tech Data Corp. | 35,254 | 3,643 |
| | SYNNEX Corp. | 29,100 | 3,598 |
| * | Yelp Inc. Class A | 80,346 | 3,500 |
| * | Ciena Corp. | 141,722 | 3,284 |
| | Science Applications International Corp. | 43,483 | 3,148 |
| * | RealPage Inc. | 58,950 | 3,080 |
| * | Ellie Mae Inc. | 34,012 | 3,016 |
| * | Cirrus Logic Inc. | 64,746 | 2,869 |
| * | ACI Worldwide Inc. | 117,106 | 2,770 |
| | InterDigital Inc. | 34,814 | 2,500 |
| * | Verint Systems Inc. | 63,910 | 2,486 |
| * | Rogers Corp. | 18,089 | 2,484 |
| | Vishay Intertechnology Inc. | 133,173 | 2,450 |
| * | Callidus Software Inc. | 68,026 | 2,442 |
| * | Envestnet Inc. | 43,486 | 2,396 |
| * | Qualys Inc. | 32,344 | 2,395 |
| * | II-VI Inc. | 60,913 | 2,345 |
| * | NetScout Systems Inc. | 84,880 | 2,254 |
| | Progress Software Corp. | 47,876 | 2,244 |
| * | Anixter International Inc. | 29,184 | 2,205 |
| * | Viavi Solutions Inc. | 228,686 | 2,200 |
| * | Cornerstone OnDemand Inc. | 53,636 | 2,199 |
| * | New Relic Inc. | 30,635 | 2,199 |
| * | Semtech Corp. | 65,184 | 2,193 |
| * | Acxiom Corp. | 79,184 | 2,167 |
| * | Mercury Systems Inc. | 47,117 | 2,166 |
| | Pegasystems Inc. | 36,615 | 2,124 |
| * | Twilio Inc. Class A | 62,151 | 2,123 |
| * | Pure Storage Inc. Class A | 97,606 | 2,115 |
| * | CommVault Systems Inc. | 40,131 | 2,089 |
| * | Finisar Corp. | 114,778 | 2,066 |
| * | Plexus Corp. | 33,560 | 2,024 |
| | Ebix Inc. | 24,006 | 2,015 |
| * | Sanmina Corp. | 72,175 | 1,988 |
| * | Box Inc. | 81,043 | 1,950 |
| | Power Integrations Inc. | 28,829 | 1,937 |
| * | VeriFone Systems Inc. | 112,352 | 1,865 |
| * | Cloudera Inc. | 97,465 | 1,857 |
| | Brooks Automation Inc. | 69,420 | 1,854 |
| *,^ | iRobot Corp. | 26,623 | 1,809 |
| * | Novanta Inc. | 32,255 | 1,801 |
| | TiVo Corp. | 119,816 | 1,797 |
| | Plantronics Inc. | 32,948 | 1,781 |
| * | NETGEAR Inc. | 31,530 | 1,758 |
| * | Five9 Inc. | 53,295 | 1,618 |
| * | Synaptics Inc. | 34,700 | 1,613 |
| * | GTT Communications Inc. | 30,967 | 1,598 |
| * | Imperva Inc. | 34,005 | 1,586 |
| * | Ambarella Inc. | 32,725 | 1,573 |
| | CSG Systems International Inc. | 33,334 | 1,556 |
| * | MINDBODY Inc. Class A | 42,925 | 1,530 |
| * | TTM Technologies Inc. | 93,458 | 1,510 |
| * | Bottomline Technologies de Inc. | 39,741 | 1,509 |
| * | Benchmark Electronics Inc. | 49,996 | 1,500 |
| * | Infinera Corp. | 147,287 | 1,466 |
| * | Groupon Inc. Class A | 339,347 | 1,452 |
| | ManTech International Corp. Class A | 25,722 | 1,450 |
| * | Q2 Holdings Inc. | 31,426 | 1,431 |
| *,^ | Ubiquiti Networks Inc. | 22,405 | 1,425 |
| * | MaxLinear Inc. | 62,068 | 1,411 |
28
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Methode Electronics Inc. | 35,746 | 1,410 |
| * | Coupa Software Inc. | 31,474 | 1,404 |
| * | Rambus Inc. | 108,328 | 1,377 |
| * | Virtusa Corp. | 26,972 | 1,287 |
| * | Knowles Corp. | 88,111 | 1,272 |
| * | Extreme Networks Inc. | 110,840 | 1,265 |
| * | Insight Enterprises Inc. | 35,559 | 1,242 |
| * | MicroStrategy Inc. Class A | 9,515 | 1,218 |
| * | Oclaro Inc. | 165,456 | 1,186 |
| ^ | Diebold Nixdorf Inc. | 75,474 | 1,185 |
| * | Diodes Inc. | 38,941 | 1,172 |
| * | Inphi Corp. | 41,936 | 1,164 |
| * | Varonis Systems Inc. | 19,573 | 1,099 |
| * | Fabrinet | 36,310 | 1,095 |
| | Xperi Corp. | 48,862 | 1,077 |
| *,^ | 3D Systems Corp. | 109,078 | 1,036 |
| * | Blucora Inc. | 44,388 | 1,034 |
| * | Amkor Technology Inc. | 102,075 | 1,026 |
| * | SPS Commerce Inc. | 16,954 | 1,018 |
| * | ePlus Inc. | 13,191 | 1,010 |
| | Monotype Imaging Holdings Inc. | 41,624 | 1,003 |
| * | KEMET Corp. | 55,564 | 999 |
| * | FormFactor Inc. | 71,989 | 943 |
| * | Stratasys Ltd. | 49,905 | 910 |
| * | Hortonworks Inc. | 50,180 | 902 |
| * | Syntel Inc. | 32,903 | 883 |
| * | Cray Inc. | 40,179 | 876 |
| *,^ | Evolent Health Inc. Class A | 59,647 | 874 |
| | NIC Inc. | 64,298 | 868 |
| *,^ | MACOM Technology Solutions Holdings Inc. | 40,471 | 864 |
| * | Veeco Instruments Inc. | 47,094 | 855 |
| * | PROS Holdings Inc. | 26,697 | 837 |
| * | Rudolph Technologies Inc. | 31,131 | 827 |
| | CTS Corp. | 31,988 | 822 |
| * | ScanSource Inc. | 24,811 | 813 |
| * | Vocera Communications Inc. | 29,326 | 806 |
| * | CEVA Inc. | 21,920 | 806 |
| * | CalAmp Corp. | 34,399 | 805 |
| * | Alteryx Inc. Class A | 23,513 | 804 |
| * | LivePerson Inc. | 55,528 | 802 |
| | AVX Corp. | 46,379 | 802 |
| * | TrueCar Inc. | 70,961 | 787 |
| | ADTRAN Inc. | 49,308 | 772 |
| * | Inovalon Holdings Inc. Class A | 64,222 | 771 |
| * | Okta Inc. | 19,565 | 755 |
| * | MuleSoft Inc. Class A | 24,395 | 753 |
| * | Axcelis Technologies Inc. | 30,277 | 740 |
| * | Lattice Semiconductor Corp. | 122,741 | 738 |
| * | Alarm.com Holdings Inc. | 20,373 | 736 |
| *,^ | Acacia Communications Inc. | 18,888 | 731 |
| * | Carbonite Inc. | 25,318 | 713 |
| * | Super Micro Computer Inc. | 39,064 | 707 |
| * | Web.com Group Inc. | 38,715 | 697 |
| * | Blackline Inc. | 15,641 | 688 |
| * | Apptio Inc. Class A | 23,509 | 679 |
| * | Perficient Inc. | 34,348 | 669 |
| * | Nanometrics Inc. | 24,240 | 640 |
| * | Ultra Clean Holdings Inc. | 32,908 | 634 |
| * | Workiva Inc. | 25,873 | 589 |
| * | Electro Scientific Industries Inc. | 31,937 | 573 |
| * | Loral Space & Communications Inc. | 12,763 | 565 |
| * | Rapid7 Inc. | 21,368 | 564 |
| * | Unisys Corp. | 50,286 | 563 |
| | Cohu Inc. | 27,638 | 554 |
29
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Everbridge Inc. | 17,265 | 551 |
| * | Xcerra Corp. | 53,683 | 537 |
| *,^ | Tucows Inc. Class A | 9,133 | 528 |
| *,^ | Applied Optoelectronics Inc. | 18,730 | 523 |
| * | Photronics Inc. | 66,239 | 517 |
| | Comtech Telecommunications Corp. | 23,357 | 516 |
| * | CommerceHub Inc. | 25,821 | 492 |
| * | Ichor Holdings Ltd. | 18,339 | 474 |
| * | Kimball Electronics Inc. | 26,632 | 462 |
| | QAD Inc. Class A | 10,038 | 452 |
| * | Endurance International Group Holdings Inc. | 59,881 | 437 |
| * | Synchronoss Technologies Inc. | 44,277 | 414 |
| * | USA Technologies Inc. | 49,411 | 403 |
| * | Model N Inc. | 23,536 | 402 |
| * | Glu Mobile Inc. | 106,517 | 395 |
| * | Benefitfocus Inc. | 15,875 | 384 |
| * | Appfolio Inc. | 9,371 | 376 |
| * | KeyW Holding Corp. | 49,544 | 372 |
| * | VASCO Data Security International Inc. | 30,348 | 366 |
| * | TechTarget Inc. | 19,831 | 343 |
| | American Software Inc.Class A | 27,261 | 339 |
| *,^ | Immersion Corp. | 29,113 | 337 |
| * | CommerceHub Inc. Class A | 16,953 | 336 |
| | NVE Corp. | 4,783 | 332 |
| * | Presidio Inc. | 21,984 | 321 |
| | Park Electrochemical Corp. | 18,868 | 321 |
| * | PDF Solutions Inc. | 28,123 | 313 |
| * | Quantenna Communications Inc. | 22,727 | 313 |
| * | Ribbon Communications Inc. | 48,015 | 311 |
| | Daktronics Inc. | 34,802 | 310 |
| * | Alpha & Omega Semiconductor Ltd. | 20,161 | 310 |
| * | A10 Networks Inc. | 49,041 | 308 |
| * | pdvWireless Inc. | 9,539 | 307 |
| * | Limelight Networks Inc. | 75,813 | 306 |
| *,^ | Yext Inc. | 23,868 | 303 |
| * | AXT Inc. | 37,770 | 282 |
| * | Digi International Inc. | 26,999 | 282 |
| | PC Connection Inc. | 11,335 | 281 |
| * | Calix Inc. | 42,649 | 279 |
| * | MobileIron Inc. | 57,438 | 276 |
| *,^ | Digimarc Corp. | 10,434 | 270 |
| * | Internap Corp. | 20,439 | 266 |
| * | DSP Group Inc. | 21,561 | 262 |
| * | Harmonic Inc. | 81,909 | 248 |
| *,^ | Impinj Inc. | 18,320 | 233 |
| * | Brightcove Inc. | 33,767 | 231 |
| * | Mitek Systems Inc. | 30,135 | 231 |
| * | Sparton Corp. | 10,159 | 230 |
| * | ChannelAdvisor Corp. | 25,252 | 223 |
| * | Sigma Designs Inc. | 37,193 | 223 |
| * | SendGrid Inc. | 8,361 | 218 |
| * | Zix Corp. | 53,053 | 215 |
| * | SMART Global Holdings Inc. | 6,013 | 209 |
| *,^ | NeoPhotonics Corp. | 32,148 | 195 |
| * | Upland Software Inc. | 8,117 | 194 |
| *,^ | Kopin Corp. | 61,977 | 190 |
| *,^ | VirnetX Holding Corp. | 49,220 | 190 |
| * | Amber Road Inc. | 20,485 | 186 |
| * | Ooma Inc. | 16,785 | 179 |
| | Reis Inc. | 9,154 | 176 |
| * | Meet Group Inc. | 67,091 | 176 |
| * | Acacia Research Corp. | 50,118 | 173 |
| * | Agilysys Inc. | 15,426 | 172 |
| | Simulations Plus Inc. | 10,943 | 170 |
30
| | | |
| Vanguard® Russell 2000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Bel Fuse Inc. Class B | 9,614 | 166 |
| * | Avid Technology Inc. | 33,807 | 162 |
| * | KVH Industries Inc. | 15,820 | 161 |
| * | ForeScout Technologies Inc. | 5,416 | 161 |
| * | Clearfield Inc. | 11,459 | 155 |
| * | Telenav Inc. | 28,381 | 155 |
| *,^ | Park City Group Inc. | 13,881 | 144 |
| * | Aerohive Networks Inc. | 32,955 | 138 |
| * | EMCORE Corp. | 26,051 | 138 |
| * | Iteris Inc. | 23,898 | 133 |
| * | Pixelworks Inc. | 28,411 | 125 |
| * | Intevac Inc. | 20,160 | 122 |
| * | CyberOptics Corp. | 6,978 | 114 |
| * | GSI Technology Inc. | 15,033 | 114 |
| * | Quantum Corp. | 28,314 | 104 |
| * | Aquantia Corp. | 7,006 | 97 |
| * | Leaf Group Ltd. | 12,412 | 96 |
| *,^ | MicroVision Inc. | 82,220 | 90 |
| * | SecureWorks Corp. Class A | 8,674 | 86 |
| * | Casa Systems Inc. | 3,705 | 84 |
| * | ARC Document Solutions Inc. | 37,279 | 79 |
| * | RealNetworks Inc. | 27,326 | 76 |
| * | Global Eagle Entertainment Inc. | 53,355 | 72 |
| * | PCM Inc. | 9,951 | 71 |
| * | Bandwidth Inc. Class A | 2,471 | 68 |
| * | Rubicon Project Inc. | 41,393 | 67 |
| * | SailPoint Technologies Holding Inc. | 3,106 | 65 |
| *,^ | Akoustis Technologies Inc. | 10,892 | 63 |
| * | MongoDB Inc. | 1,848 | 60 |
| *,^ | Revolution Lighting Technologies Inc. | 14,186 | 48 |
| *,^ | Veritone Inc. | 2,971 | 41 |
| *,^ | Tintri Inc. | 8,405 | 41 |
| *,^ | Ominto Inc. | 12,129 | 41 |
| * | Altair Engineering Inc. Class A | 1,484 | 39 |
| * | Radisys Corp. | 34,410 | 30 |
| * | Majesco | 4,964 | 27 |
| *,^ | Cargurus Inc. | 755 | 24 |
| * | PlayAGS Inc. | 870 | 18 |
| * | NXP Semiconductors NV | 4 | 1 |
| * | Actua Corp. | 88 | — |
| | | | 297,202 |
| Utilities (4.0%) | | |
| | WGL Holdings Inc. | 51,330 | 4,274 |
| | IDACORP Inc. | 50,629 | 4,103 |
| | Portland General Electric Co. | 89,723 | 3,565 |
| | ALLETE Inc. | 51,297 | 3,496 |
| | j2 Global Inc. | 46,816 | 3,465 |
| | ONE Gas Inc. | 52,375 | 3,330 |
| | New Jersey Resources Corp. | 86,258 | 3,286 |
| | Spire Inc. | 47,293 | 3,206 |
| | Southwest Gas Holdings Inc. | 47,595 | 3,136 |
| | Avista Corp. | 64,889 | 3,104 |
| | PNM Resources Inc. | 80,085 | 2,819 |
| | Black Hills Corp. | 53,668 | 2,726 |
| | Ormat Technologies Inc. | 40,473 | 2,533 |
| | NorthWestern Corp. | 48,915 | 2,499 |
| | South Jersey Industries Inc. | 81,079 | 2,125 |
| * | Vonage Holdings Corp. | 206,769 | 2,099 |
| | El Paso Electric Co. | 40,649 | 1,976 |
| | American States Water Co. | 36,406 | 1,934 |
| | MGE Energy Inc. | 34,890 | 1,832 |
| | California Water Service Group | 48,194 | 1,829 |
| | Cogent Communications Holdings Inc. | 41,896 | 1,795 |
| * | 8x8 Inc. | 88,165 | 1,609 |
31
| | | | | |
| Vanguard® Russell 2000 Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | | | Market |
| | | | | | Value |
| | | | | Shares | ($000) |
| | Otter Tail Corp. | | | 39,211 | 1,561 |
| | Shenandoah Telecommunications Co. | | | 46,876 | 1,537 |
| | Northwest Natural Gas Co. | | | 28,365 | 1,479 |
| | Pattern Energy Group Inc. Class A | | | 78,615 | 1,460 |
| * | Dynegy Inc. | | | 110,217 | 1,348 |
| | Chesapeake Utilities Corp. | | | 15,882 | 1,058 |
| * | GCI Liberty Inc. | | | 26,548 | 1,021 |
| * | Boingo Wireless Inc. | | | 38,194 | 1,011 |
| | NRG Yield Inc. | | | 63,912 | 1,000 |
| *,^ | Iridium Communications Inc. | | | 83,643 | 979 |
| | SJW Group | | | 16,278 | 862 |
| | Consolidated Communications Holdings Inc. | | | 65,187 | 754 |
| * | ORBCOMM Inc. | | | 67,737 | 704 |
| * | Cincinnati Bell Inc. | | | 41,691 | 673 |
| | ATN International Inc. | | | 10,667 | 639 |
| | Connecticut Water Service Inc. | | | 11,926 | 616 |
| | Unitil Corp. | | | 14,239 | 599 |
| | Middlesex Water Co. | | | 16,183 | 573 |
| ^ | Frontier Communications Corp. | | | 79,175 | 557 |
| | NRG Yield Inc. Class A | | | 35,847 | 551 |
| * | Globalstar Inc. | | | 567,769 | 540 |
| *,^ | Gogo Inc. | | | 57,089 | 518 |
| | York Water Co. | | | 13,378 | 376 |
| | Spok Holdings Inc. | | | 19,953 | 310 |
| | Windstream Holdings Inc. | | | 185,039 | 292 |
| | Artesian Resources Corp. Class A | | | 7,725 | 256 |
| * | Atlantic Power Corp. | | | 113,717 | 239 |
| | IDT Corp. Class B | | | 17,574 | 212 |
| * | Intelsat SA | | | 38,077 | 184 |
| | Consolidated Water Co. Ltd. | | | 14,651 | 184 |
| * | Hawaiian Telcom Holdco Inc. | | | 6,064 | 171 |
| ^ | RGC Resources Inc. | | | 6,789 | 169 |
| * | AquaVenture Holdings Ltd. | | | 11,749 | 151 |
| * | Pure Cycle Corp. | | | 17,355 | 138 |
| | Spark Energy Inc. Class A | | | 11,500 | 107 |
| | Global Water Resources Inc. | | | 9,777 | 84 |
| | Genie Energy Ltd. Class B | | | 12,620 | 56 |
| | | | | | 83,710 |
| Total Common Stocks (Cost $1,905,374) | | | | 2,064,593 |
| | | Coupon | | | |
| Temporary Cash Investments (1.8%) 1 | | | | |
| Money Market Fund (1.8%) | | | | |
| 4,5 | Vanguard Market Liquidity Fund | 1.601% | | 363,301 | 36,326 |
| | | | | Face | |
| | | | Maturity | Amount | |
| | | | Date | ($000) | |
| U.S. Government and Agency Obligations (0.0%) | | | | |
| 6 | United States Treasury Bill | 1.446% | 5/31/18 | 450 | 448 |
| Total Temporary Cash Investments (Cost $36,777) | | | | 36,774 |
| Total Investments (101.2%) (Cost $1,942,151) | | | | 2,101,367 |
| Other Assets and Liabilities—Net (-1.2%)5 | | | | (24,537) |
| Net Assets (100%) | | | | 2,076,830 |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $29,899,000.
32
Vanguard® Russell 2000 Index Fund
Schedule of Investments
February 28, 2018
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 1.2%, 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 $32,403,000 of collateral received for securities on loan.
6 Securities with a value of $448,000 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 | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Common Stocks (99.2%)1 | | |
| Consumer Discretionary (11.6%) | | |
| American Eagle Outfitters Inc. | 54,792 | 1,056 |
| ILG Inc. | 32,736 | 994 |
| Aaron's Inc. | 21,427 | 990 |
| * Deckers Outdoor Corp. | 9,993 | 945 |
| * Adtalem Global Education Inc. | 20,399 | 939 |
| Meredith Corp. | 13,399 | 768 |
| * TRI Pointe Group Inc. | 47,992 | 736 |
| * Meritor Inc. | 28,358 | 695 |
| Dana Inc. | 25,547 | 679 |
| * Cars.com Inc. | 24,369 | 667 |
| * Penn National Gaming Inc. | 25,067 | 667 |
| KB Home | 22,415 | 622 |
| * Cooper-Standard Holdings Inc. | 4,583 | 558 |
| * Caesars Entertainment Corp. | 43,724 | 555 |
| Cooper Tire & Rubber Co. | 17,446 | 547 |
| * G-III Apparel Group Ltd. | 14,640 | 540 |
| * Meritage Homes Corp. | 12,125 | 514 |
| * American Axle & Manufacturing Holdings Inc. | 33,476 | 494 |
| * MSG Networks Inc. | 20,155 | 492 |
| Callaway Golf Co. | 31,471 | 487 |
| Travelport Worldwide Ltd. | 33,682 | 480 |
| Columbia Sportswear Co. | 6,301 | 476 |
| Abercrombie & Fitch Co. | 23,028 | 475 |
| Group 1 Automotive Inc. | 6,685 | 460 |
| Office Depot Inc. | 172,682 | 454 |
| * JC Penney Co. Inc. | 104,710 | 453 |
| * Helen of Troy Ltd. | 5,022 | 452 |
| DSW Inc. Class A | 22,054 | 432 |
| Chico's FAS Inc. | 43,071 | 432 |
| * La Quinta Holdings Inc. | 21,673 | 409 |
| Caleres Inc. | 14,073 | 394 |
| Dillard's Inc. Class A | 4,678 | 382 |
| * Central Garden & Pet Co. Class A | 10,513 | 381 |
| Gannett Co. Inc. | 37,892 | 380 |
| International Speedway Corp. Class A | 8,089 | 364 |
| * Belmond Ltd. Class A | 29,950 | 346 |
| Scholastic Corp. | 9,498 | 346 |
| * Hertz Global Holdings Inc. | 18,504 | 337 |
| * Vista Outdoor Inc. | 19,118 | 329 |
| Guess? Inc. | 20,520 | 324 |
| * Fitbit Inc. Class A | 65,124 | 311 |
| * Career Education Corp. | 23,138 | 306 |
| New Media Investment Group Inc. | 17,473 | 301 |
| La-Z-Boy Inc. | 9,251 | 284 |
| Oxford Industries Inc. | 3,433 | 274 |
| AMC Entertainment Holdings Inc. Class A | 18,080 | 271 |
| Tailored Brands Inc. | 11,433 | 268 |
| EW Scripps Co. Class A | 19,388 | 267 |
| * Genesco Inc. | 6,604 | 260 |
| * Liberty TripAdvisor Holdings Inc. Class A | 24,176 | 251 |
| MDC Holdings Inc. | 8,971 | 248 |
| * Laureate Education Inc. Class A | 18,448 | 247 |
| Acushnet Holdings Corp. | 10,847 | 230 |
| * Conn's Inc. | 6,337 | 207 |
| Buckle Inc. | 9,843 | 207 |
| * M/I Homes Inc. | 7,086 | 206 |
| Ethan Allen Interiors Inc. | 8,544 | 203 |
| * Fossil Group Inc. | 15,156 | 203 |
| * Stoneridge Inc. | 9,201 | 200 |
| * Regis Corp. | 12,186 | 196 |
| * William Lyon Homes Class A | 7,607 | 192 |
34
| | | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Express Inc. | 26,460 | 191 |
| * | K12 Inc. | 12,700 | 190 |
| | New York Times Co. Class A | 7,770 | 187 |
| | Jack in the Box Inc. | 2,047 | 184 |
| * | Century Communities Inc. | 6,065 | 180 |
| * | Hibbett Sports Inc. | 6,940 | 179 |
| | Dine Brands Global Inc. | 2,317 | 176 |
| *,^ | Overstock.com Inc. | 2,854 | 172 |
| | Tower International Inc. | 6,590 | 172 |
| | Sonic Automotive Inc. Class A | 8,686 | 170 |
| * | Beazer Homes USA Inc. | 10,761 | 169 |
| * | QuinStreet Inc. | 12,797 | 168 |
| * | American Public Education Inc. | 5,427 | 167 |
| * | Pinnacle Entertainment Inc. | 5,430 | 164 |
| | National CineMedia Inc. | 21,256 | 160 |
| * | Monarch Casino & Resort Inc. | 3,714 | 157 |
| * | National Vision Holdings Inc. | 4,477 | 155 |
| | Movado Group Inc. | 4,973 | 154 |
| * | Carrols Restaurant Group Inc. | 11,750 | 151 |
| | Finish Line Inc. Class A | 13,675 | 145 |
| | Viad Corp. | 2,772 | 144 |
| * | Del Taco Restaurants Inc. | 11,423 | 144 |
| * | Fiesta Restaurant Group Inc. | 8,386 | 143 |
| * | Biglari Holdings Inc. | 333 | 140 |
| | National Presto Industries Inc. | 1,525 | 138 |
| | Sonic Corp. | 5,484 | 138 |
| * | Ascena Retail Group Inc. | 58,637 | 133 |
| | Inter Parfums Inc. | 3,123 | 132 |
| | Brinker International Inc. | 3,833 | 132 |
| | Haverty Furniture Cos. Inc. | 6,464 | 132 |
| | Standard Motor Products Inc. | 2,781 | 130 |
| * | Party City Holdco Inc. | 8,886 | 128 |
| * | Motorcar Parts of America Inc. | 6,281 | 128 |
| * | Central European Media Enterprises Ltd. Class A | 28,258 | 126 |
| * | Zumiez Inc. | 6,376 | 126 |
| | Emerald Expositions Events Inc. | 5,769 | 123 |
| * | Del Frisco's Restaurant Group Inc. | 7,294 | 121 |
| * | Central Garden & Pet Co. | 3,099 | 120 |
| | Superior Industries International Inc. | 8,101 | 117 |
| | Marriott Vacations Worldwide Corp. | 823 | 116 |
| * | LGI Homes Inc. | 2,008 | 114 |
| | Bassett Furniture Industries Inc. | 3,474 | 112 |
| | Rent-A-Center Inc. | 14,857 | 112 |
| * | Perry Ellis International Inc. | 4,118 | 110 |
| * | Gray Television Inc. | 7,624 | 105 |
| * | MDC Partners Inc. Class A | 13,374 | 105 |
| | Flexsteel Industries Inc. | 2,626 | 102 |
| | Citi Trends Inc. | 4,575 | 101 |
| * | Barnes & Noble Education Inc. | 13,195 | 96 |
| | Boyd Gaming Corp. | 2,722 | 96 |
| | Johnson Outdoors Inc. Class A | 1,552 | 96 |
| | Entercom Communications Corp. Class A | 9,663 | 96 |
| | Barnes & Noble Inc. | 20,408 | 92 |
| | Shoe Carnival Inc. | 3,881 | 91 |
| | Cato Corp. Class A | 7,945 | 90 |
| *,^ | Carvana Co. | 4,491 | 90 |
| * | Daily Journal Corp. | 387 | 88 |
| * | Gentherm Inc. | 2,753 | 85 |
| *,^ | Lands' End Inc. | 4,649 | 84 |
| | Pier 1 Imports Inc. | 26,992 | 84 |
| | Carriage Services Inc. Class A | 3,039 | 83 |
| * | Crocs Inc. | 6,732 | 82 |
| * | Golden Entertainment Inc. | 2,902 | 81 |
| * | Denny's Corp. | 5,272 | 79 |
35
| | | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Speedway Motorsports Inc. | 4,010 | 79 |
| | RCI Hospitality Holdings Inc. | 2,870 | 78 |
| * | Potbelly Corp. | 5,920 | 76 |
| * | America's Car-Mart Inc. | 1,558 | 76 |
| * | Zoe's Kitchen Inc. | 4,988 | 74 |
| * | Houghton Mifflin Harcourt Co. | 10,895 | 74 |
| * | 1-800-Flowers.com Inc. Class A | 6,342 | 74 |
| * | Boot Barn Holdings Inc. | 4,179 | 74 |
| * | Hovnanian Enterprises Inc. Class A | 33,446 | 73 |
| * | Reading International Inc. Class A | 4,393 | 72 |
| * | Vera Bradley Inc. | 7,061 | 71 |
| * | El Pollo Loco Holdings Inc. | 7,112 | 69 |
| * | MarineMax Inc. | 3,217 | 67 |
| * | Rosetta Stone Inc. | 4,895 | 67 |
| | Weyco Group Inc. | 2,185 | 67 |
| | Clear Channel Outdoor Holdings Inc. Class A | 12,469 | 60 |
| | Winnebago Industries Inc. | 1,355 | 59 |
| * | Century Casinos Inc. | 7,381 | 59 |
| | Tilly's Inc. Class A | 4,431 | 58 |
| * | Red Lion Hotels Corp. | 5,855 | 57 |
| * | Drive Shack Inc. | 11,243 | 57 |
| | CSS Industries Inc. | 3,079 | 57 |
| *,^ | Revlon Inc. Class A | 2,867 | 57 |
| *,^ | Eros International plc | 4,240 | 56 |
| * | Fogo De Chao Inc. | 3,290 | 51 |
| | Saga Communications Inc. Class A | 1,310 | 51 |
| * | Hemisphere Media Group Inc. Class A | 4,552 | 51 |
| * | tronc Inc. | 2,527 | 48 |
| * | Clarus Corp. | 7,204 | 48 |
| | Lifetime Brands Inc. | 3,414 | 48 |
| * | Kirkland's Inc. | 5,369 | 47 |
| * | New Home Co. Inc. | 4,105 | 46 |
| * | WideOpenWest Inc. | 4,768 | 46 |
| | Libbey Inc. | 7,164 | 45 |
| * | J Alexander's Holdings Inc. | 4,512 | 45 |
| * | Delta Apparel Inc. | 2,391 | 43 |
| | Escalade Inc. | 3,551 | 43 |
| * | Build-A-Bear Workshop Inc. | 4,695 | 43 |
| * | ZAGG Inc. | 2,817 | 42 |
| * | XO Group Inc. | 2,164 | 42 |
| * | Weight Watchers International Inc. | 610 | 41 |
| ^ | Big 5 Sporting Goods Corp. | 6,666 | 41 |
| | Fred's Inc. Class A | 11,955 | 40 |
| * | Gaia Inc. Class A | 3,066 | 39 |
| * | VOXX International Corp. Class A | 7,010 | 38 |
| * | FTD Cos. Inc. | 5,911 | 36 |
| | Hamilton Beach Brands Holding Co. Class A | 1,335 | 33 |
| | Marcus Corp. | 1,105 | 30 |
| * | Container Store Group Inc. | 5,611 | 28 |
| * | Sequential Brands Group Inc. | 13,904 | 28 |
| * | Cambium Learning Group Inc. | 3,666 | 27 |
| * | Vitamin Shoppe Inc. | 6,805 | 26 |
| *,^ | Iconix Brand Group Inc. | 16,630 | 23 |
| | Capella Education Co. | 258 | 20 |
| * | Townsquare Media Inc. Class A | 2,813 | 20 |
| * | Franklin Covey Co. | 699 | 18 |
| | Beasley Broadcast Group Inc. Class A | 1,701 | 18 |
| | Liberty Tax Inc. | 2,169 | 17 |
| * | Funko Inc. Class A | 2,304 | 17 |
| *,^ | Cogint Inc. | 6,412 | 17 |
| | Salem Media Group Inc. Class A | 3,896 | 16 |
| * | Red Robin Gourmet Burgers Inc. | 243 | 13 |
| * | Empire Resorts Inc. | 517 | 12 |
| * | At Home Group Inc. | 385 | 11 |
36
| | | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Bluegreen Vacations Corp. | 509 | 10 |
| *,^ | Sears Holdings Corp. | 3,365 | 8 |
| * | Roku Inc. | 164 | 7 |
| * | Bridgepoint Education Inc. Class A | 875 | 6 |
| *,^ | Eastman Kodak Co. | 934 | 5 |
| | Nathan's Famous Inc. | 74 | 5 |
| * | Stitch Fix Inc. Class A | 188 | 4 |
| | | | 38,463 |
| Consumer Staples (2.2%) | | |
| | Snyder's-Lance Inc. | 29,220 | 1,457 |
| | Sanderson Farms Inc. | 6,841 | 842 |
| * | United Natural Foods Inc. | 17,146 | 732 |
| | Fresh Del Monte Produce Inc. | 10,980 | 513 |
| * | Cal-Maine Foods Inc. | 9,685 | 413 |
| | Universal Corp. | 8,321 | 409 |
| | Vector Group Ltd. | 17,872 | 358 |
| * | Diplomat Pharmacy Inc. | 16,589 | 346 |
| | Andersons Inc. | 9,018 | 316 |
| * | Hostess Brands Inc. Class A | 25,480 | 312 |
| | Dean Foods Co. | 28,909 | 251 |
| | SpartanNash Co. | 12,254 | 205 |
| | SUPERVALU Inc. | 13,188 | 188 |
| | Ingles Markets Inc. Class A | 4,851 | 156 |
| | Weis Markets Inc. | 3,292 | 123 |
| *,^ | Cadiz Inc. | 7,295 | 101 |
| * | GNC Holdings Inc. Class A | 22,880 | 97 |
| * | Farmer Brothers Co. | 3,029 | 95 |
| * | Seneca Foods Corp. Class A | 2,375 | 69 |
| | Village Super Market Inc. Class A | 2,711 | 64 |
| | Tootsie Roll Industries Inc. | 1,827 | 61 |
| | Limoneira Co. | 2,843 | 61 |
| * | Smart & Final Stores Inc. | 7,904 | 57 |
| | MGP Ingredients Inc. | 532 | 45 |
| | Nature's Sunshine Products Inc. | 3,757 | 42 |
| ^ | Orchids Paper Products Co. | 3,154 | 34 |
| | Alico Inc. | 1,032 | 27 |
| * | Natural Grocers by Vitamin Cottage Inc. | 3,375 | 23 |
| * | Chefs' Warehouse Inc. | 559 | 13 |
| | | | 7,410 |
| Energy (6.1%) | | |
| * | PDC Energy Inc. | 22,374 | 1,175 |
| | Delek US Holdings Inc. | 28,076 | 958 |
| | Peabody Energy Corp. | 22,586 | 920 |
| | Golar LNG Ltd. | 32,531 | 879 |
| * | Callon Petroleum Co. | 68,152 | 720 |
| * | Oasis Petroleum Inc. | 90,387 | 712 |
| * | McDermott International Inc. | 96,026 | 701 |
| | Ensco plc Class A | 145,051 | 644 |
| * | SRC Energy Inc. | 70,650 | 627 |
| | Arch Coal Inc. Class A | 6,515 | 624 |
| * | Dril-Quip Inc. | 12,860 | 579 |
| | SemGroup Corp. Class A | 22,442 | 498 |
| * | Rowan Cos. plc Class A | 39,590 | 481 |
| * | Superior Energy Services Inc. | 51,447 | 440 |
| * | Oil States International Inc. | 17,187 | 423 |
| * | C&J Energy Services Inc. | 15,643 | 375 |
| | Warrior Met Coal Inc. | 11,066 | 345 |
| * | NOW Inc. | 36,076 | 342 |
| * | Unit Corp. | 17,395 | 333 |
| *,^ | Diamond Offshore Drilling Inc. | 22,119 | 321 |
| * | Noble Corp. plc | 82,602 | 321 |
| * | Forum Energy Technologies Inc. | 27,233 | 308 |
| * | Denbury Resources Inc. | 134,552 | 295 |
| * | Exterran Corp. | 10,973 | 284 |
37
| | | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Helix Energy Solutions Group Inc. | 47,385 | 282 |
| *,^ | WildHorse Resource Development Corp. | 16,273 | 276 |
| * | Halcon Resources Corp. | 43,908 | 266 |
| | Green Plains Inc. | 13,533 | 248 |
| * | Newpark Resources Inc. | 28,986 | 239 |
| * | SunCoke Energy Inc. | 22,167 | 237 |
| *,^ | Resolute Energy Corp. | 6,858 | 223 |
| * | Ultra Petroleum Corp. | 60,038 | 222 |
| | Archrock Inc. | 23,263 | 221 |
| * | California Resources Corp. | 14,392 | 203 |
| * | Stone Energy Corp. | 6,610 | 200 |
| * | Sunrun Inc. | 28,979 | 194 |
| | TerraForm Power Inc. Class A | 15,604 | 180 |
| * | Bonanza Creek Energy Inc. | 6,239 | 175 |
| * | SandRidge Energy Inc. | 11,734 | 165 |
| * | REX American Resources Corp. | 1,987 | 160 |
| | CVR Energy Inc. | 5,149 | 153 |
| *,^ | SunPower Corp. Class A | 20,473 | 145 |
| * | Renewable Energy Group Inc. | 13,004 | 144 |
| * | TETRA Technologies Inc. | 38,844 | 141 |
| * | Matrix Service Co. | 9,131 | 131 |
| * | W&T Offshore Inc. | 30,239 | 118 |
| * | Bill Barrett Corp. | 25,687 | 116 |
| * | Par Pacific Holdings Inc. | 6,677 | 114 |
| * | ProPetro Holding Corp. | 6,528 | 105 |
| * | Flotek Industries Inc. | 17,011 | 101 |
| * | Natural Gas Services Group Inc. | 4,008 | 100 |
| * | Basic Energy Services Inc. | 5,986 | 97 |
| * | SEACOR Marine Holdings Inc. | 5,684 | 96 |
| | Frank's International NV | 16,276 | 85 |
| * | Cloud Peak Energy Inc. | 25,192 | 83 |
| * | Green Brick Partners Inc. | 8,065 | 82 |
| * | Trecora Resources | 6,875 | 76 |
| * | Mammoth Energy Services Inc. | 2,827 | 74 |
| * | Pioneer Energy Services Corp. | 26,043 | 72 |
| * | Era Group Inc. | 6,794 | 64 |
| * | Earthstone Energy Inc. Class A | 6,780 | 62 |
| * | Clean Energy Fuels Corp. | 43,973 | 61 |
| * | Pacific Ethanol Inc. | 14,388 | 59 |
| * | CARBO Ceramics Inc. | 8,131 | 55 |
| * | SilverBow Resources Inc. | 1,938 | 54 |
| * | Ameresco Inc. Class A | 6,533 | 53 |
| * | Midstates Petroleum Co. Inc. | 3,893 | 53 |
| * | Independence Contract Drilling Inc. | 11,889 | 49 |
| * | Eclipse Resources Corp. | 30,573 | 49 |
| * | Key Energy Services Inc. | 3,590 | 48 |
| * | Geospace Technologies Corp. | 4,601 | 47 |
| | Panhandle Oil and Gas Inc. Class A | 2,547 | 46 |
| * | Energy XXI Gulf Coast Inc. | 8,504 | 45 |
| *,^ | Approach Resources Inc. | 15,061 | 44 |
| * | Parker Drilling Co. | 47,101 | 42 |
| | Gulf Island Fabrication Inc. | 4,786 | 40 |
| | Hallador Energy Co. | 5,599 | 37 |
| | Adams Resources & Energy Inc. | 795 | 31 |
| *,^ | Vivint Solar Inc. | 9,816 | 29 |
| * | Fairmount Santrol Holdings Inc. | 6,123 | 27 |
| * | Contango Oil & Gas Co. | 8,536 | 25 |
| * | Gastar Exploration Inc. | 30,931 | 21 |
| * | EP Energy Corp. Class A | 13,480 | 20 |
| * | Penn Virginia Corp. | 499 | 19 |
| * | Ranger Energy Services Inc. | 1,586 | 14 |
| * | Willbros Group Inc. | 14,091 | 13 |
| * | Jones Energy Inc. Class A | 14,518 | 13 |
| *,^ | Ramaco Resources Inc. | 1,937 | 13 |
38
| | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * Ring Energy Inc. | 920 | 13 |
| * Keane Group Inc. | 679 | 11 |
| * Abraxas Petroleum Corp. | 4,254 | 9 |
| * Solaris Oilfield Infrastructure Inc. Class A | 333 | 6 |
| * Smart Sand Inc. | 752 | 6 |
| * Nine Energy Service Inc. | 163 | 4 |
| * Rosehill Resources Inc. | 705 | 4 |
| * NCS Multistage Holdings Inc. | 150 | 2 |
| * Liberty Oilfield Services Inc. Class A | 116 | 2 |
| * Westmoreland Coal Co. | 4,891 | 2 |
| | | 20,021 |
| Financial Services (40.5%) | | |
| * MGIC Investment Corp. | 125,852 | 1,735 |
| Sterling Bancorp | 72,528 | 1,686 |
| Umpqua Holdings Corp. | 75,440 | 1,608 |
| Wintrust Financial Corp. | 18,877 | 1,595 |
| Radian Group Inc. | 73,590 | 1,510 |
| Hancock Holding Co. | 28,648 | 1,481 |
| Stifel Financial Corp. | 22,592 | 1,443 |
| IBERIABANK Corp. | 17,232 | 1,392 |
| Chemical Financial Corp. | 24,075 | 1,329 |
| CNO Financial Group Inc. | 57,506 | 1,296 |
| United Bankshares Inc. | 33,968 | 1,206 |
| Investors Bancorp Inc. | 88,581 | 1,196 |
| Cousins Properties Inc. | 142,740 | 1,190 |
| RLJ Lodging Trust | 57,570 | 1,140 |
| UMB Financial Corp. | 15,381 | 1,123 |
| Selective Insurance Group Inc. | 19,540 | 1,111 |
| Healthcare Realty Trust Inc. | 41,823 | 1,110 |
| Sunstone Hotel Investors Inc. | 76,633 | 1,106 |
| Valley National Bancorp | 88,183 | 1,100 |
| Cathay General Bancorp | 25,930 | 1,065 |
| Fulton Financial Corp. | 58,304 | 1,055 |
| Washington Federal Inc. | 29,795 | 1,034 |
| MB Financial Inc. | 25,207 | 1,034 |
| First Citizens BancShares Inc. Class A | 2,515 | 1,024 |
| Gramercy Property Trust | 46,542 | 1,008 |
| South State Corp. | 11,467 | 994 |
| LaSalle Hotel Properties | 38,654 | 948 |
| FirstCash Inc. | 12,803 | 944 |
| Columbia Banking System Inc. | 21,998 | 919 |
| BancorpSouth Bank | 28,843 | 909 |
| American Equity Investment Life Holding Co. | 29,393 | 900 |
| Community Bank System Inc. | 16,669 | 889 |
| First Industrial Realty Trust Inc. | 31,538 | 884 |
| Glacier Bancorp Inc. | 22,217 | 864 |
| Sabra Health Care REIT Inc. | 49,842 | 841 |
| First Midwest Bancorp Inc. | 34,654 | 839 |
| Great Western Bancorp Inc. | 20,006 | 818 |
| Education Realty Trust Inc. | 25,822 | 804 |
| CVB Financial Corp. | 34,824 | 801 |
| Simmons First National Corp. Class A | 28,132 | 800 |
| Pebblebrook Hotel Trust | 23,337 | 794 |
| Hope Bancorp Inc. | 43,819 | 791 |
| Old National Bancorp | 45,741 | 778 |
| United Community Banks Inc. | 24,732 | 764 |
| Kemper Corp. | 13,442 | 758 |
| * Enstar Group Ltd. | 3,821 | 757 |
| STAG Industrial Inc. | 32,226 | 734 |
| Xenia Hotels & Resorts Inc. | 36,491 | 718 |
| International Bancshares Corp. | 18,523 | 716 |
| Trustmark Corp. | 22,850 | 714 |
| Union Bankshares Corp. | 19,037 | 712 |
| DiamondRock Hospitality Co. | 67,804 | 697 |
39
| | | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | GEO Group Inc. | 32,293 | 688 |
| | Acadia Realty Trust | 28,059 | 676 |
| | Apollo Commercial Real Estate Finance Inc. | 36,725 | 671 |
| * | FCB Financial Holdings Inc. Class A | 12,256 | 658 |
| | Renasant Corp. | 15,325 | 640 |
| | Independent Bank Corp. | 9,120 | 633 |
| | Towne Bank | 21,610 | 617 |
| | Banner Corp. | 11,136 | 616 |
| | Hilltop Holdings Inc. | 24,794 | 603 |
| | Invesco Mortgage Capital Inc. | 38,157 | 586 |
| | WesBanco Inc. | 14,192 | 585 |
| | Lexington Realty Trust | 73,425 | 584 |
| | Argo Group International Holdings Ltd. | 9,857 | 574 |
| | First Merchants Corp. | 13,869 | 573 |
| | Horace Mann Educators Corp. | 13,831 | 569 |
| | First Financial Bancorp | 20,743 | 564 |
| | Retail Opportunity Investments Corp. | 32,832 | 563 |
| | CenterState Bank Corp. | 20,433 | 557 |
| | Waddell & Reed Financial Inc. Class A | 27,471 | 549 |
| | Capitol Federal Financial Inc. | 43,642 | 545 |
| | Northwest Bancshares Inc. | 32,076 | 526 |
| | Provident Financial Services Inc. | 20,902 | 520 |
| | Mack-Cali Realty Corp. | 30,647 | 518 |
| | Chesapeake Lodging Trust | 19,955 | 516 |
| | Alexander & Baldwin Inc. | 23,131 | 509 |
| | NBT Bancorp Inc. | 14,329 | 499 |
| | Berkshire Hills Bancorp Inc. | 13,498 | 496 |
| | Westamerica Bancorporation | 8,525 | 488 |
| | National Health Investors Inc. | 7,475 | 485 |
| * | Genworth Financial Inc. Class A | 170,191 | 463 |
| | Summit Hotel Properties Inc. | 35,019 | 461 |
| | First Commonwealth Financial Corp. | 32,594 | 455 |
| | S&T Bancorp Inc. | 11,526 | 455 |
| | Agree Realty Corp. | 9,576 | 451 |
| | Park National Corp. | 4,459 | 450 |
| | Heartland Financial USA Inc. | 8,282 | 442 |
| | Terreno Realty Corp. | 13,263 | 442 |
| | Government Properties Income Trust | 32,022 | 439 |
| *,^ | BofI Holding Inc. | 11,717 | 436 |
| | Washington REIT | 17,031 | 431 |
| | Sandy Spring Bancorp Inc. | 10,889 | 422 |
| | Kite Realty Group Trust | 27,869 | 422 |
| | Employers Holdings Inc. | 10,757 | 421 |
| | Independent Bank Group Inc. | 5,954 | 418 |
| | Rexford Industrial Realty Inc. | 15,467 | 418 |
| | Washington Prime Group Inc. | 62,835 | 412 |
| | Boston Private Financial Holdings Inc. | 27,772 | 405 |
| | First Busey Corp. | 13,637 | 404 |
| | Brookline Bancorp Inc. | 25,251 | 400 |
| | Physicians Realty Trust | 27,634 | 397 |
| | LegacyTexas Financial Group Inc. | 9,454 | 396 |
| * | Quality Care Properties Inc. | 31,925 | 396 |
| | Ladder Capital Corp. Class A | 26,570 | 392 |
| | Select Income REIT | 21,433 | 389 |
| * | First BanCorp | 64,292 | 388 |
| | Piper Jaffray Cos. | 4,592 | 383 |
| * | Cannae Holdings Inc. | 20,800 | 382 |
| | Redwood Trust Inc. | 25,922 | 380 |
| * | Seacoast Banking Corp. of Florida | 14,294 | 375 |
| | Navigators Group Inc. | 6,944 | 374 |
| | PennyMac Mortgage Investment Trust | 22,241 | 371 |
| * | Pacific Premier Bancorp Inc. | 8,765 | 369 |
| | OceanFirst Financial Corp. | 14,219 | 368 |
| | State Bank Financial Corp. | 12,546 | 363 |
40
| | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Infinity Property & Casualty Corp. | 3,074 | 363 |
| AMERISAFE Inc. | 6,428 | 360 |
| Global Net Lease Inc. | 22,841 | 357 |
| Safety Insurance Group Inc. | 5,001 | 357 |
| WSFS Financial Corp. | 7,431 | 354 |
| Tompkins Financial Corp. | 4,618 | 354 |
| Nelnet Inc. Class A | 6,387 | 353 |
| * Texas Capital Bancshares Inc. | 3,904 | 352 |
| First Financial Bankshares Inc. | 7,623 | 351 |
| Kearny Financial Corp. | 26,823 | 349 |
| Beneficial Bancorp Inc. | 23,209 | 348 |
| Enterprise Financial Services Corp. | 7,423 | 348 |
| AmTrust Financial Services Inc. | 28,926 | 346 |
| First Interstate BancSystem Inc. Class A | 8,736 | 345 |
| * Encore Capital Group Inc. | 8,059 | 345 |
| City Holding Co. | 5,057 | 341 |
| CYS Investments Inc. | 52,501 | 332 |
| Seritage Growth Properties Class A | 8,777 | 332 |
| RE/MAX Holdings Inc. Class A | 5,979 | 331 |
| Hanmi Financial Corp. | 10,789 | 330 |
| * NMI Holdings Inc. Class A | 16,548 | 328 |
| First Bancorp | 9,468 | 328 |
| United Fire Group Inc. | 7,355 | 327 |
| National Storage Affiliates Trust | 13,308 | 326 |
| Kennedy-Wilson Holdings Inc. | 19,647 | 321 |
| Southside Bancshares Inc. | 9,468 | 316 |
| Ramco-Gershenson Properties Trust | 26,343 | 310 |
| MainSource Financial Group Inc. | 8,212 | 310 |
| Tier REIT Inc. | 16,375 | 304 |
| Lakeland Financial Corp. | 6,705 | 304 |
| Hannon Armstrong Sustainable Infrastructure Capital Inc. | 17,052 | 300 |
| ARMOUR Residential REIT Inc. | 13,968 | 299 |
| Meta Financial Group Inc. | 2,775 | 298 |
| PJT Partners Inc. | 6,207 | 297 |
| BancFirst Corp. | 5,565 | 296 |
| LTC Properties Inc. | 8,018 | 296 |
| Heritage Financial Corp. | 9,868 | 294 |
| Banc of California Inc. | 14,563 | 291 |
| Banco Latinoamericano de Comercio Exterior SA | 10,167 | 283 |
| * Customers Bancorp Inc. | 9,628 | 282 |
| Lakeland Bancorp Inc. | 14,779 | 282 |
| Franklin Street Properties Corp. | 34,846 | 282 |
| James River Group Holdings Ltd. | 8,547 | 280 |
| Monmouth Real Estate Investment Corp. | 19,794 | 279 |
| Easterly Government Properties Inc. | 14,513 | 276 |
| American Assets Trust Inc. | 8,642 | 274 |
| Capstead Mortgage Corp. | 32,734 | 273 |
| 1st Source Corp. | 5,533 | 273 |
| Chatham Lodging Trust | 14,973 | 272 |
| Meridian Bancorp Inc. | 13,522 | 271 |
| Stewart Information Services Corp. | 6,665 | 267 |
| United Financial Bancorp Inc. | 16,925 | 264 |
| InfraREIT Inc. | 14,116 | 263 |
| CBL & Associates Properties Inc. | 56,730 | 263 |
| Stock Yards Bancorp Inc. | 7,471 | 262 |
| * St. Joe Co. | 14,819 | 261 |
| MTGE Investment Corp. | 15,314 | 260 |
| TrustCo Bank Corp. NY | 30,596 | 260 |
| Central Pacific Financial Corp. | 9,320 | 260 |
| * HomeStreet Inc. | 8,996 | 258 |
| * Flagstar Bancorp Inc. | 7,310 | 258 |
| Washington Trust Bancorp Inc. | 4,971 | 258 |
| Flushing Financial Corp. | 9,539 | 255 |
| TriCo Bancshares | 6,798 | 254 |
41
| | | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Granite Point Mortgage Trust Inc. | 14,802 | 249 |
| | Bryn Mawr Bank Corp. | 5,724 | 249 |
| | Virtus Investment Partners Inc. | 2,016 | 248 |
| * | Triumph Bancorp Inc. | 6,024 | 247 |
| | Pennsylvania REIT | 23,528 | 246 |
| | Independence Realty Trust Inc. | 28,820 | 246 |
| | Getty Realty Corp. | 10,329 | 244 |
| | Bank of NT Butterfield & Son Ltd. | 5,304 | 242 |
| | Home BancShares Inc. | 10,473 | 241 |
| *,^ | MBIA Inc. | 30,118 | 241 |
| | German American Bancorp Inc. | 7,259 | 240 |
| * | PRA Group Inc. | 6,232 | 239 |
| | National Western Life Group Inc. Class A | 779 | 238 |
| | Univest Corp. of Pennsylvania | 8,664 | 237 |
| * | Ambac Financial Group Inc. | 15,608 | 236 |
| | Federal Agricultural Mortgage Corp. | 3,014 | 229 |
| | Camden National Corp. | 5,353 | 226 |
| | CoBiz Financial Inc. | 11,856 | 225 |
| | Horizon Bancorp | 7,923 | 224 |
| | Hersha Hospitality Trust Class A | 13,239 | 222 |
| * | iStar Inc. | 21,950 | 222 |
| | Community Trust Bancorp Inc. | 5,084 | 221 |
| | FBL Financial Group Inc. Class A | 3,380 | 219 |
| | New Senior Investment Group Inc. | 27,139 | 219 |
| * | Third Point Reinsurance Ltd. | 15,714 | 218 |
| * | World Acceptance Corp. | 2,021 | 217 |
| | ConnectOne Bancorp Inc. | 7,540 | 217 |
| * | EZCORP Inc. Class A | 16,621 | 216 |
| | Bridge Bancorp Inc. | 6,497 | 216 |
| | New York Mortgage Trust Inc. | 38,443 | 212 |
| | Oritani Financial Corp. | 13,473 | 210 |
| * | INTL. FCStone Inc. | 5,209 | 207 |
| | Peapack Gladstone Financial Corp. | 5,989 | 198 |
| | Northfield Bancorp Inc. | 12,627 | 196 |
| | Dime Community Bancshares Inc. | 10,834 | 195 |
| | Peoples Bancorp Inc. | 5,629 | 194 |
| | CatchMark Timber Trust Inc. Class A | 14,827 | 194 |
| | Investment Technology Group Inc. | 9,699 | 192 |
| | NorthStar Realty Europe Corp. | 18,670 | 192 |
| | Investors Real Estate Trust | 41,253 | 192 |
| | Cadence BanCorp Class A | 6,788 | 186 |
| | Mercantile Bank Corp. | 5,524 | 183 |
| | Guaranty Bancorp | 6,641 | 182 |
| | National Bank Holdings Corp. Class A | 5,581 | 182 |
| | First of Long Island Corp. | 6,672 | 182 |
| | QCR Holdings Inc. | 4,164 | 182 |
| | First Defiance Financial Corp. | 3,402 | 181 |
| | Great Southern Bancorp Inc. | 3,730 | 181 |
| * | Front Yard Residential Corp. | 16,986 | 178 |
| | Heritage Commerce Corp. | 11,174 | 176 |
| | Preferred Apartment Communities Inc. Class A | 12,561 | 175 |
| * | Enova International Inc. | 7,829 | 172 |
| * | Bancorp Inc. | 16,254 | 172 |
| | Urstadt Biddle Properties Inc. Class A | 9,715 | 170 |
| | Greenhill & Co. Inc. | 8,362 | 170 |
| * | Greenlight Capital Re Ltd. Class A | 10,339 | 170 |
| * | Nationstar Mortgage Holdings Inc. | 9,718 | 166 |
| | Fidelity Southern Corp. | 7,287 | 164 |
| * | Nicolet Bankshares Inc. | 2,995 | 162 |
| | Ameris Bancorp | 3,023 | 161 |
| | Independent Bank Corp. | 6,961 | 159 |
| | AG Mortgage Investment Trust Inc. | 9,701 | 159 |
| | Midland States Bancorp Inc. | 4,995 | 157 |
| | United Community Financial Corp. | 16,863 | 156 |
42
| | | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | OFG Bancorp | 14,467 | 156 |
| | First Community Bancshares Inc. | 5,633 | 153 |
| | Anworth Mortgage Asset Corp. | 33,379 | 152 |
| | Financial Institutions Inc. | 4,928 | 151 |
| | Whitestone REIT | 12,252 | 151 |
| | Bank of Marin Bancorp | 2,281 | 151 |
| | Gladstone Commercial Corp. | 8,921 | 151 |
| | State Auto Financial Corp. | 5,469 | 151 |
| | National General Holdings Corp. | 6,454 | 148 |
| * | HomeTrust Bancshares Inc. | 5,706 | 148 |
| | CorEnergy Infrastructure Trust Inc. | 4,101 | 147 |
| | Four Corners Property Trust Inc. | 6,458 | 142 |
| * | Tejon Ranch Co. | 6,394 | 142 |
| | First Financial Corp. | 3,295 | 141 |
| | Ashford Hospitality Trust Inc. | 25,428 | 140 |
| | Bar Harbor Bankshares | 5,128 | 139 |
| | Waterstone Financial Inc. | 8,008 | 138 |
| | Old Second Bancorp Inc. | 9,890 | 136 |
| | NexPoint Residential Trust Inc. | 5,617 | 135 |
| | CNB Financial Corp. | 5,008 | 135 |
| | Access National Corp. | 4,764 | 133 |
| | B. Riley Financial Inc. | 7,138 | 132 |
| | RLI Corp. | 2,169 | 132 |
| * | Eagle Bancorp Inc. | 2,150 | 131 |
| | Arrow Financial Corp. | 4,048 | 131 |
| * | PennyMac Financial Services Inc. Class A | 5,525 | 129 |
| * | TriState Capital Holdings Inc. | 5,553 | 124 |
| * | First Foundation Inc. | 6,761 | 123 |
| | Western Asset Mortgage Capital Corp. | 13,952 | 123 |
| | Republic Bancorp Inc. Class A | 3,301 | 123 |
| * | Ocwen Financial Corp. | 33,717 | 123 |
| | People's Utah Bancorp | 4,022 | 122 |
| | MidWestOne Financial Group Inc. | 3,815 | 121 |
| * | Green Bancorp Inc. | 5,549 | 121 |
| | Maiden Holdings Ltd. | 20,097 | 121 |
| | Cedar Realty Trust Inc. | 30,212 | 120 |
| | Sierra Bancorp | 4,609 | 120 |
| * | Cowen Inc. Class A | 8,280 | 119 |
| | Farmers National Banc Corp. | 8,701 | 117 |
| | First Mid-Illinois Bancshares Inc. | 3,432 | 117 |
| | Ares Commercial Real Estate Corp. | 9,364 | 115 |
| * | FRP Holdings Inc. | 2,186 | 114 |
| | Southern National Bancorp of Virginia Inc. | 7,369 | 113 |
| * | PCSB Financial Corp. | 5,884 | 113 |
| | Community Healthcare Trust Inc. | 4,739 | 112 |
| | Farmers & Merchants Bancorp Inc. | 2,988 | 111 |
| * | Republic First Bancorp Inc. | 12,978 | 110 |
| | Orchid Island Capital Inc. | 15,194 | 109 |
| ^ | Heritage Insurance Holdings Inc. | 6,525 | 109 |
| | One Liberty Properties Inc. | 5,000 | 109 |
| | First Bancshares Inc. | 3,402 | 108 |
| | Ladenburg Thalmann Financial Services Inc. | 31,620 | 106 |
| * | Global Indemnity Ltd. | 2,843 | 105 |
| | Dynex Capital Inc. | 17,281 | 104 |
| *,^ | Citizens Inc. Class A | 15,138 | 104 |
| | First Internet Bancorp | 2,737 | 104 |
| * | Atlantic Capital Bancshares Inc. | 5,925 | 102 |
| | Clifton Bancorp Inc. | 6,635 | 102 |
| | Arlington Asset Investment Corp. Class A | 9,455 | 102 |
| | West Bancorporation Inc. | 4,161 | 101 |
| | Enterprise Bancorp Inc. | 3,227 | 101 |
| | American National Bankshares Inc. | 2,785 | 101 |
| * | Veritex Holdings Inc. | 3,564 | 99 |
| * | Regional Management Corp. | 3,270 | 98 |
43
| | | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Peoples Financial Services Corp. | 2,346 | 97 |
| * | National Commerce Corp. | 2,240 | 96 |
| * | MoneyGram International Inc. | 8,955 | 96 |
| | First Connecticut Bancorp Inc. | 3,783 | 95 |
| | First Bancorp Inc. | 3,482 | 94 |
| * | Franklin Financial Network Inc. | 3,023 | 94 |
| * | Southern First Bancshares Inc. | 2,220 | 94 |
| | Capital City Bank Group Inc. | 3,850 | 92 |
| | National Bankshares Inc. | 2,318 | 92 |
| | Farmers Capital Bank Corp. | 2,516 | 92 |
| * | Equity Bancshares Inc. Class A | 2,466 | 91 |
| | Oppenheimer Holdings Inc. Class A | 3,429 | 91 |
| | Macatawa Bank Corp. | 9,098 | 90 |
| | Summit Financial Group Inc. | 3,724 | 89 |
| * | Forestar Group Inc. | 3,598 | 89 |
| | Citizens & Northern Corp. | 3,964 | 89 |
| * | On Deck Capital Inc. | 16,940 | 88 |
| | Western New England Bancorp Inc. | 8,780 | 87 |
| * | Safeguard Scientifics Inc. | 7,135 | 87 |
| * | FB Financial Corp. | 2,198 | 87 |
| | Blue Hills Bancorp Inc. | 4,250 | 86 |
| | GAIN Capital Holdings Inc. | 11,976 | 85 |
| | City Office REIT Inc. | 8,445 | 85 |
| | PICO Holdings Inc. | 6,897 | 84 |
| | Resource Capital Corp. | 9,690 | 84 |
| | Ames National Corp. | 3,142 | 83 |
| | Home Bancorp Inc. | 1,995 | 83 |
| | Old Line Bancshares Inc. | 2,615 | 83 |
| *,^ | WMIH Corp. | 64,091 | 83 |
| | Farmland Partners Inc. | 10,856 | 82 |
| | Territorial Bancorp Inc. | 2,688 | 80 |
| | Universal Insurance Holdings Inc. | 2,737 | 80 |
| | Northrim BanCorp Inc. | 2,371 | 79 |
| | Century Bancorp Inc. Class A | 1,022 | 78 |
| | Civista Bancshares Inc. | 3,468 | 78 |
| | Codorus Valley Bancorp Inc. | 2,983 | 78 |
| | Ashford Hospitality Prime Inc. | 9,060 | 78 |
| | Sutherland Asset Management Corp. | 5,644 | 78 |
| | EMC Insurance Group Inc. | 2,984 | 78 |
| | BankFinancial Corp. | 4,819 | 77 |
| | MutualFirst Financial Inc. | 2,125 | 76 |
| | Shore Bancshares Inc. | 4,373 | 74 |
| | Southern Missouri Bancorp Inc. | 2,174 | 74 |
| | Baldwin & Lyons Inc. | 3,229 | 73 |
| | KKR Real Estate Finance Trust Inc. | 3,648 | 71 |
| | TPG RE Finance Trust Inc. | 3,858 | 71 |
| | MedEquities Realty Trust Inc. | 7,331 | 71 |
| | Jernigan Capital Inc. | 4,179 | 71 |
| * | AV Homes Inc. | 4,178 | 70 |
| | Great Ajax Corp. | 5,374 | 70 |
| | Evans Bancorp Inc. | 1,612 | 69 |
| | First Business Financial Services Inc. | 2,813 | 68 |
| | Charter Financial Corp. | 3,382 | 67 |
| | Walker & Dunlop Inc. | 1,385 | 67 |
| | BCB Bancorp Inc. | 4,339 | 66 |
| | Cherry Hill Mortgage Investment Corp. | 4,112 | 66 |
| | FNB Bancorp | 1,849 | 66 |
| | Penns Woods Bancorp Inc. | 1,612 | 65 |
| | Bear State Financial Inc. | 6,342 | 65 |
| | Opus Bank | 2,311 | 65 |
| | Central Valley Community Bancorp | 3,302 | 64 |
| | Orrstown Financial Services Inc. | 2,595 | 64 |
| | Riverview Bancorp Inc. | 7,363 | 64 |
| | MBT Financial Corp. | 6,165 | 63 |
44
| | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Carolina Financial Corp. | 1,619 | 63 |
| * BSB Bancorp Inc. | 2,153 | 62 |
| * Community Bankers Trust Corp. | 7,499 | 62 |
| * Entegra Financial Corp. | 2,214 | 62 |
| Timberland Bancorp Inc. | 2,174 | 62 |
| Federated National Holding Co. | 3,977 | 61 |
| Stratus Properties Inc. | 2,061 | 61 |
| Independence Holding Co. | 2,127 | 61 |
| Kingstone Cos. Inc. | 3,163 | 60 |
| Norwood Financial Corp. | 1,999 | 59 |
| Bluerock Residential Growth REIT Inc. Class A | 7,834 | 59 |
| ACNB Corp. | 2,094 | 59 |
| Bank of Commerce Holdings | 5,417 | 59 |
| Reliant Bancorp Inc. | 2,423 | 58 |
| MidSouth Bancorp Inc. | 4,538 | 57 |
| SI Financial Group Inc. | 3,929 | 57 |
| EVERTEC Inc. | 3,487 | 56 |
| * First Northwest Bancorp | 3,521 | 56 |
| Ohio Valley Banc Corp. | 1,425 | 56 |
| Unity Bancorp Inc. | 2,696 | 56 |
| Northeast Bancorp | 2,535 | 56 |
| * SmartFinancial Inc. | 2,500 | 55 |
| Hamilton Lane Inc. Class A | 1,544 | 54 |
| LCNB Corp. | 2,911 | 54 |
| Premier Financial Bancorp Inc. | 3,045 | 54 |
| * Malvern Bancorp Inc. | 2,240 | 53 |
| C&F Financial Corp. | 1,143 | 53 |
| Bankwell Financial Group Inc. | 1,689 | 53 |
| Associated Capital Group Inc. Class A | 1,532 | 53 |
| Community Financial Corp. | 1,384 | 52 |
| * Redfin Corp. | 2,492 | 51 |
| Owens Realty Mortgage Inc. | 3,520 | 50 |
| Prudential Bancorp Inc. | 2,838 | 49 |
| * Metropolitan Bank Holding Corp. | 1,113 | 49 |
| Tiptree Inc. | 8,566 | 49 |
| * NI Holdings Inc. | 3,053 | 49 |
| Donegal Group Inc. Class A | 3,076 | 49 |
| Investar Holding Corp. | 1,934 | 47 |
| Safety Income & Growth Inc. | 2,699 | 47 |
| Hingham Institution for Savings | 234 | 47 |
| * Hallmark Financial Services Inc. | 4,752 | 47 |
| United Security Bancshares | 4,550 | 46 |
| * Byline Bancorp Inc. | 2,001 | 46 |
| Merchants Bancorp | 2,247 | 46 |
| Chemung Financial Corp. | 1,069 | 46 |
| Peoples Bancorp of North Carolina Inc. | 1,624 | 45 |
| * HarborOne Bancorp Inc. | 2,350 | 45 |
| * Allegiance Bancshares Inc. | 1,180 | 45 |
| ESSA Bancorp Inc. | 3,055 | 45 |
| * Howard Bancorp Inc. | 2,447 | 44 |
| Middlefield Banc Corp. | 913 | 44 |
| Two River Bancorp | 2,515 | 43 |
| * Pacific Mercantile Bancorp | 5,218 | 43 |
| Parke Bancorp Inc. | 1,989 | 41 |
| * Elevate Credit Inc. | 5,735 | 41 |
| Clipper Realty Inc. | 4,581 | 41 |
| County Bancorp Inc. | 1,523 | 41 |
| * Capstar Financial Holdings Inc. | 2,130 | 41 |
| First Financial Northwest Inc. | 2,544 | 40 |
| HCI Group Inc. | 1,145 | 40 |
| First Guaranty Bancshares Inc. | 1,499 | 38 |
| DNB Financial Corp. | 1,083 | 36 |
| * HRG Group Inc. | 2,300 | 36 |
| Global Medical REIT Inc. | 5,542 | 36 |
45
| | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| GAMCO Investors Inc. Class A | 1,307 | 35 |
| Provident Financial Holdings Inc. | 1,895 | 35 |
| United Insurance Holdings Corp. | 1,762 | 34 |
| Old Point Financial Corp. | 1,266 | 32 |
| Ellington Residential Mortgage REIT | 2,927 | 31 |
| * Atlas Financial Holdings Inc. | 1,746 | 31 |
| RBB Bancorp | 1,142 | 29 |
| * Provident Bancorp Inc. | 1,242 | 29 |
| * LendingClub Corp. | 9,022 | 28 |
| * Impac Mortgage Holdings Inc. | 3,193 | 28 |
| CareTrust REIT Inc. | 1,840 | 24 |
| CBTX Inc. | 871 | 24 |
| * Industrial Logistics Properties Trust | 1,164 | 23 |
| Blue Capital Reinsurance Holdings Ltd. | 2,043 | 23 |
| Investors Title Co. | 111 | 21 |
| * Transcontinental Realty Investors Inc. | 619 | 18 |
| UMH Properties Inc. | 1,584 | 18 |
| * Donnelley Financial Solutions Inc. | 1,053 | 18 |
| Armada Hoffler Properties Inc. | 1,357 | 18 |
| Saul Centers Inc. | 344 | 17 |
| Pzena Investment Management Inc. Class A | 1,315 | 14 |
| Alexander's Inc. | 33 | 12 |
| Oconee Federal Financial Corp. | 382 | 11 |
| * eHealth Inc. | 599 | 10 |
| Griffin Industrial Realty Inc. | 253 | 9 |
| * Americold Realty Trust | 440 | 8 |
| Crawford & Co. Class B | 785 | 7 |
| Union Bankshares Inc. | 136 | 7 |
| Medley Management Inc. Class A | 1,087 | 7 |
| Greene County Bancorp Inc. | 180 | 7 |
| Consolidated-Tomoka Land Co. | 95 | 6 |
| RAIT Financial Trust | 32,227 | 6 |
| * Newmark Group Inc. Class A | 327 | 5 |
| Luther Burbank Corp. | 215 | 3 |
| Value Line Inc. | 29 | 1 |
| | | 134,035 |
| Health Care (6.7%) | | |
| * Bluebird Bio Inc. | 10,044 | 2,019 |
| * LivaNova plc | 16,434 | 1,475 |
| * Allscripts Healthcare Solutions Inc. | 61,321 | 851 |
| * Horizon Pharma plc | 55,120 | 804 |
| * Halyard Health Inc. | 15,785 | 779 |
| * Myriad Genetics Inc. | 21,997 | 713 |
| * Spectrum Pharmaceuticals Inc. | 29,299 | 630 |
| CONMED Corp. | 9,176 | 555 |
| * Integer Holdings Corp. | 10,433 | 533 |
| * Impax Laboratories Inc. | 24,768 | 505 |
| * Enanta Pharmaceuticals Inc. | 5,311 | 418 |
| * Immunomedics Inc. | 21,363 | 361 |
| Analogic Corp. | 4,185 | 349 |
| * Atara Biotherapeutics Inc. | 9,068 | 349 |
| * ICU Medical Inc. | 1,502 | 347 |
| * Iovance Biotherapeutics Inc. | 19,429 | 337 |
| Owens & Minor Inc. | 20,399 | 335 |
| * Retrophin Inc. | 13,118 | 328 |
| * Momenta Pharmaceuticals Inc. | 19,126 | 326 |
| * Sarepta Therapeutics Inc. | 4,958 | 311 |
| * Dynavax Technologies Corp. | 18,799 | 304 |
| * Emergent BioSolutions Inc. | 5,970 | 297 |
| * Acorda Therapeutics Inc. | 12,485 | 297 |
| * Intra-Cellular Therapies Inc. | 14,394 | 279 |
| * Orthofix International NV | 4,722 | 264 |
| Kindred Healthcare Inc. | 28,524 | 262 |
| * AMAG Pharmaceuticals Inc. | 12,120 | 255 |
46
| | | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Alder Biopharmaceuticals Inc. | 17,756 | 247 |
| * | Haemonetics Corp. | 3,443 | 244 |
| * | Magellan Health Inc. | 2,237 | 226 |
| | National HealthCare Corp. | 3,845 | 226 |
| * | AngioDynamics Inc. | 12,510 | 204 |
| * | Five Prime Therapeutics Inc. | 9,329 | 198 |
| * | MacroGenics Inc. | 7,862 | 197 |
| * | Collegium Pharmaceutical Inc. | 8,096 | 194 |
| * | REGENXBIO Inc. | 6,816 | 194 |
| | Invacare Corp. | 11,119 | 191 |
| * | Almost Family Inc. | 3,150 | 186 |
| | Ensign Group Inc. | 6,813 | 182 |
| * | Voyager Therapeutics Inc. | 5,850 | 168 |
| * | Community Health Systems Inc. | 32,224 | 165 |
| * | Lannett Co. Inc. | 9,768 | 156 |
| * | Tivity Health Inc. | 4,003 | 154 |
| | Luminex Corp. | 7,840 | 154 |
| * | Triple-S Management Corp. Class B | 6,152 | 149 |
| * | Intellia Therapeutics Inc. | 5,718 | 149 |
| *,^ | Novavax Inc. | 65,827 | 143 |
| * | Array BioPharma Inc. | 8,247 | 143 |
| * | Karyopharm Therapeutics Inc. | 9,261 | 137 |
| * | Abeona Therapeutics Inc. | 9,671 | 134 |
| * | Achillion Pharmaceuticals Inc. | 40,214 | 131 |
| * | PDL BioPharma Inc. | 52,217 | 125 |
| * | Zogenix Inc. | 2,913 | 124 |
| * | Editas Medicine Inc. | 3,358 | 123 |
| * | Cascadian Therapeutics Inc. | 11,994 | 120 |
| * | Fate Therapeutics Inc. | 10,025 | 113 |
| * | BioScrip Inc. | 35,673 | 113 |
| * | Stemline Therapeutics Inc. | 6,506 | 112 |
| * | Prothena Corp. plc | 3,035 | 102 |
| * | Celldex Therapeutics Inc. | 45,054 | 101 |
| * | Insmed Inc. | 3,820 | 92 |
| * | Acceleron Pharma Inc. | 2,055 | 86 |
| * | Cross Country Healthcare Inc. | 6,606 | 86 |
| * | Quality Systems Inc. | 6,532 | 82 |
| * | Epizyme Inc. | 4,423 | 78 |
| * | BioTime Inc. | 29,575 | 77 |
| * | Concert Pharmaceuticals Inc. | 3,516 | 77 |
| * | Medpace Holdings Inc. | 2,375 | 76 |
| * | Chimerix Inc. | 15,459 | 75 |
| * | PTC Therapeutics Inc. | 2,597 | 67 |
| * | CryoLife Inc. | 3,521 | 67 |
| * | Kindred Biosciences Inc. | 7,478 | 67 |
| * | Portola Pharmaceuticals Inc. | 1,501 | 64 |
| * | HMS Holdings Corp. | 3,834 | 61 |
| * | Ardelyx Inc. | 11,238 | 60 |
| * | Dermira Inc. | 2,345 | 60 |
| * | Adamas Pharmaceuticals Inc. | 2,429 | 59 |
| * | Otonomy Inc. | 9,714 | 58 |
| * | Medicines Co. | 1,857 | 57 |
| | Computer Programs & Systems Inc. | 1,869 | 56 |
| * | Tetraphase Pharmaceuticals Inc. | 17,156 | 48 |
| * | Sientra Inc. | 5,006 | 48 |
| * | Heron Therapeutics Inc. | 2,251 | 46 |
| * | Providence Service Corp. | 704 | 45 |
| * | Anika Therapeutics Inc. | 848 | 44 |
| * | NantKwest Inc. | 9,656 | 43 |
| * | Recro Pharma Inc. | 4,503 | 41 |
| * | MyoKardia Inc. | 676 | 39 |
| * | Melinta Therapeutics Inc. | 3,075 | 38 |
| * | AAC Holdings Inc. | 4,014 | 38 |
| * | Protagonist Therapeutics Inc. | 2,235 | 38 |
47
| | | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Trevena Inc. | 18,087 | 32 |
| * | Immune Design Corp. | 9,667 | 28 |
| * | NanoString Technologies Inc. | 4,182 | 27 |
| | Meridian Bioscience Inc. | 1,907 | 27 |
| * | BioCryst Pharmaceuticals Inc. | 5,074 | 25 |
| * | Corvus Pharmaceuticals Inc. | 2,949 | 24 |
| * | LHC Group Inc. | 341 | 22 |
| * | Novelion Therapeutics Inc. | 5,277 | 22 |
| * | Agenus Inc. | 4,002 | 22 |
| *,^ | Akcea Therapeutics Inc. | 1,265 | 21 |
| * | Cerus Corp. | 4,819 | 21 |
| * | Bellicum Pharmaceuticals Inc. | 2,920 | 20 |
| * | Clearside Biomedical Inc. | 3,117 | 20 |
| * | R1 RCM Inc. | 3,069 | 20 |
| *,^ | Nymox Pharmaceutical Corp. | 6,128 | 20 |
| * | RTI Surgical Inc. | 4,541 | 19 |
| * | NantHealth Inc. | 6,235 | 19 |
| * | OraSure Technologies Inc. | 1,071 | 18 |
| * | Rhythm Pharmaceuticals Inc. | 709 | 18 |
| * | Deciphera Pharmaceuticals Inc. | 723 | 18 |
| * | MediciNova Inc. | 1,720 | 18 |
| * | Cara Therapeutics Inc. | 1,279 | 18 |
| * | Apellis Pharmaceuticals Inc. | 935 | 17 |
| * | Audentes Therapeutics Inc. | 503 | 17 |
| | Phibro Animal Health Corp. Class A | 420 | 16 |
| * | Merrimack Pharmaceuticals Inc. | 1,447 | 16 |
| | Utah Medical Products Inc. | 181 | 16 |
| *,^ | Quotient Ltd. | 3,457 | 16 |
| * | G1 Therapeutics Inc. | 639 | 14 |
| * | Accelerate Diagnostics Inc. | 520 | 14 |
| * | Biohaven Pharmaceutical Holding Co. Ltd. | 402 | 14 |
| * | ConforMIS Inc. | 9,283 | 13 |
| * | PetIQ Inc. | 570 | 12 |
| * | Dova Pharmaceuticals Inc. | 408 | 12 |
| * | Calyxt Inc. | 667 | 12 |
| * | Lantheus Holdings Inc. | 755 | 12 |
| | National Research Corp. Class A | 344 | 10 |
| * | Kala Pharmaceuticals Inc. | 680 | 10 |
| * | Tocagen Inc. | 826 | 9 |
| * | Athenex Inc. | 543 | 9 |
| * | American Renal Associates Holdings Inc. | 385 | 8 |
| * | scPharmaceuticals Inc. | 467 | 7 |
| * | Mersana Therapeutics Inc. | 411 | 7 |
| * | Minerva Neurosciences Inc. | 1,340 | 7 |
| * | Codexis Inc. | 702 | 7 |
| * | Rockwell Medical Inc. | 1,137 | 7 |
| * | OrthoPediatrics Corp. | 371 | 7 |
| * | FONAR Corp. | 255 | 6 |
| * | Sienna Biopharmaceuticals Inc. | 398 | 6 |
| * | Enzo Biochem Inc. | 830 | 5 |
| * | Spero Therapeutics Inc. | 493 | 5 |
| * | Celcuity Inc. | 280 | 5 |
| * | Obalon Therapeutics Inc. | 1,180 | 5 |
| * | Idera Pharmaceuticals Inc. | 2,539 | 4 |
| * | Allena Pharmaceuticals Inc. | 626 | 4 |
| * | Miragen Therapeutics Inc. | 743 | 4 |
| * | Odonate Therapeutics Inc. | 144 | 4 |
| * | Neos Therapeutics Inc. | 465 | 4 |
| * | Quanterix Corp. | 138 | 3 |
| * | Optinose Inc. | 158 | 3 |
| * | Athersys Inc. | 1,930 | 3 |
| * | Denali Therapeutics Inc. | 96 | 2 |
| * | Advaxis Inc. | 1,080 | 2 |
48
| | | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| *,^ | Genocea Biosciences Inc. | 1,597 | 2 |
| | | | 22,296 |
| Materials & Processing (6.2%) | | |
| * | Allegheny Technologies Inc. | 42,578 | 1,103 |
| | Belden Inc. | 14,253 | 1,037 |
| * | Rexnord Corp. | 35,277 | 1,022 |
| | Commercial Metals Co. | 39,176 | 952 |
| | Carpenter Technology Corp. | 15,714 | 800 |
| * | GCP Applied Technologies Inc. | 24,294 | 747 |
| * | Cleveland-Cliffs Inc. | 100,909 | 709 |
| | Simpson Manufacturing Co. Inc. | 11,817 | 654 |
| | Kaiser Aluminum Corp. | 5,627 | 565 |
| | Tronox Ltd. Class A | 30,449 | 557 |
| *,^ | AK Steel Holding Corp. | 106,797 | 551 |
| | Innospec Inc. | 8,087 | 525 |
| * | MRC Global Inc. | 30,175 | 499 |
| | Hecla Mining Co. | 133,257 | 488 |
| | Boise Cascade Co. | 10,509 | 424 |
| * | Coeur Mining Inc. | 52,477 | 401 |
| * | BMC Stock Holdings Inc. | 20,981 | 393 |
| * | Gibraltar Industries Inc. | 10,617 | 368 |
| | Trinseo SA | 4,504 | 359 |
| | Minerals Technologies Inc. | 5,131 | 352 |
| | Materion Corp. | 6,830 | 344 |
| | Calgon Carbon Corp. | 15,957 | 339 |
| * | Kraton Corp. | 7,948 | 337 |
| | Schweitzer-Mauduit International Inc. | 8,398 | 329 |
| * | Beacon Roofing Supply Inc. | 5,749 | 304 |
| | PH Glatfelter Co. | 14,851 | 303 |
| | Schnitzer Steel Industries Inc. | 8,871 | 302 |
| * | Century Aluminum Co. | 15,773 | 300 |
| | US Silica Holdings Inc. | 10,847 | 281 |
| | Innophos Holdings Inc. | 6,450 | 268 |
| | Mueller Water Products Inc. Class A | 20,064 | 221 |
| * | TimkenSteel Corp. | 13,272 | 217 |
| | HB Fuller Co. | 4,218 | 213 |
| * | Clearwater Paper Corp. | 5,415 | 204 |
| | Stepan Co. | 2,497 | 200 |
| | American Vanguard Corp. | 9,846 | 192 |
| * | Verso Corp. | 10,851 | 190 |
| * | Unifi Inc. | 5,282 | 185 |
| | Quanex Building Products Corp. | 10,810 | 181 |
| | Haynes International Inc. | 4,299 | 179 |
| | Tredegar Corp. | 8,875 | 142 |
| | Rayonier Advanced Materials Inc. | 5,491 | 112 |
| | DMC Global Inc. | 4,942 | 105 |
| * | Armstrong Flooring Inc. | 7,440 | 104 |
| * | Intrepid Potash Inc. | 31,128 | 103 |
| | FutureFuel Corp. | 8,577 | 103 |
| * | Veritiv Corp. | 3,950 | 96 |
| * | Landec Corp. | 7,195 | 94 |
| * | PQ Group Holdings Inc. | 6,684 | 90 |
| | Hawkins Inc. | 2,670 | 89 |
| | Louisiana-Pacific Corp. | 3,105 | 88 |
| * | Nexeo Solutions Inc. | 8,906 | 83 |
| | Universal Forest Products Inc. | 2,366 | 78 |
| * | LB Foster Co. Class A | 2,913 | 76 |
| | Gold Resource Corp. | 18,365 | 75 |
| | Neenah Inc. | 965 | 74 |
| | Olympic Steel Inc. | 3,139 | 71 |
| | Aceto Corp. | 9,674 | 69 |
| | LSI Industries Inc. | 8,483 | 66 |
| | Greif Inc. Class A | 1,144 | 66 |
| * | UFP Technologies Inc. | 2,260 | 64 |
49
| | | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Oil-Dri Corp. of America | 1,758 | 63 |
| | Caesarstone Ltd. | 2,926 | 63 |
| | Compass Minerals International Inc. | 1,031 | 62 |
| | Worthington Industries Inc. | 1,339 | 59 |
| * | AdvanSix Inc. | 1,417 | 59 |
| * | Northwest Pipe Co. | 3,342 | 59 |
| * | AgroFresh Solutions Inc. | 7,497 | 58 |
| * | Ryerson Holding Corp. | 5,603 | 57 |
| * | LSB Industries Inc. | 7,570 | 57 |
| * | Klondex Mines Ltd. | 42,778 | 56 |
| * | OMNOVA Solutions Inc. | 5,152 | 52 |
| | Eastern Co. | 1,949 | 50 |
| | Interface Inc. Class A | 2,040 | 49 |
| * | Foundation Building Materials Inc. | 3,490 | 48 |
| | Core Molding Technologies Inc. | 2,570 | 47 |
| | Valhi Inc. | 8,080 | 46 |
| | United States Lime & Minerals Inc. | 618 | 44 |
| | Ampco-Pittsburgh Corp. | 2,876 | 29 |
| | Griffon Corp. | 1,453 | 27 |
| * | NL Industries Inc. | 2,963 | 24 |
| | Insteel Industries Inc. | 675 | 19 |
| | Greif Inc. Class B | 310 | 19 |
| | Global Brass & Copper Holdings Inc. | 583 | 16 |
| * | Lawson Products Inc. | 588 | 14 |
| * | Shiloh Industries Inc. | 1,692 | 12 |
| * | Huttig Building Products Inc. | 2,218 | 11 |
| | CompX International Inc. | 552 | 8 |
| * | Uranium Energy Corp. | 3,740 | 5 |
| *,2 | Ferroglobe R&W Trust | 19,424 | — |
| | | | 20,556 |
| Other (0.0%)3 | | |
| * | Victory Capital Holdings Inc. Class A | 300 | 4 |
| * | Cactus Inc. | 146 | 4 |
| *,2 | NewStar Financial Inc. CVR Line | 6,148 | 3 |
| *,2 | Media General Inc. CVR | 35,434 | 2 |
| * | Quintana Energy Services Inc. | 140 | 1 |
| * | Evolus Inc. | 111 | 1 |
| *,2 | Gerber Scientific Inc. CVR | 519 | — |
| | | | 15 |
| Producer Durables (12.0%) | | |
| * | KLX Inc. | 17,540 | 1,187 |
| * | Darling Ingredients Inc. | 55,692 | 1,013 |
| | SkyWest Inc. | 17,140 | 939 |
| | GATX Corp. | 12,960 | 893 |
| | Barnes Group Inc. | 14,741 | 889 |
| * | Moog Inc. Class A | 9,782 | 820 |
| | UniFirst Corp. | 5,159 | 801 |
| | Korn/Ferry International | 17,857 | 748 |
| | Convergys Corp. | 31,907 | 741 |
| * | Esterline Technologies Corp. | 8,854 | 654 |
| | KBR Inc. | 42,309 | 641 |
| | Mobile Mini Inc. | 14,745 | 619 |
| * | FTI Consulting Inc. | 12,830 | 612 |
| | Werner Enterprises Inc. | 16,167 | 602 |
| | Chicago Bridge & Iron Co. NV | 34,087 | 595 |
| * | Navistar International Corp. | 15,861 | 592 |
| * | Chart Industries Inc. | 10,358 | 571 |
| | Kaman Corp. | 8,577 | 525 |
| | Cubic Corp. | 8,509 | 522 |
| | Curtiss-Wright Corp. | 3,776 | 510 |
| | ESCO Technologies Inc. | 8,585 | 506 |
| * | SPX FLOW Inc. | 10,357 | 505 |
| * | Hub Group Inc. Class A | 11,047 | 482 |
| | Greenbrier Cos. Inc. | 9,208 | 477 |
50
| | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * Atlas Air Worldwide Holdings Inc. | 7,835 | 477 |
| AAR Corp. | 10,832 | 461 |
| Triumph Group Inc. | 16,436 | 459 |
| Triton International Ltd. | 15,918 | 454 |
| ACCO Brands Corp. | 35,365 | 447 |
| * TriMas Corp. | 15,329 | 397 |
| * Modine Manufacturing Co. | 16,678 | 384 |
| McGrath RentCorp | 7,480 | 379 |
| EMCOR Group Inc. | 4,889 | 373 |
| Encore Wire Corp. | 6,936 | 363 |
| * Saia Inc. | 4,902 | 356 |
| * Aerovironment Inc. | 7,061 | 351 |
| * TrueBlue Inc. | 12,861 | 350 |
| * Sykes Enterprises Inc. | 12,006 | 349 |
| * ICF International Inc. | 6,039 | 344 |
| * TopBuild Corp. | 4,788 | 333 |
| Federal Signal Corp. | 15,307 | 327 |
| ABM Industries Inc. | 9,248 | 325 |
| Manitowoc Co. Inc. | 10,747 | 319 |
| Wabash National Corp. | 14,503 | 317 |
| Briggs & Stratton Corp. | 13,965 | 314 |
| Aircastle Ltd. | 16,014 | 312 |
| * CBIZ Inc. | 17,245 | 311 |
| * Navigant Consulting Inc. | 15,354 | 305 |
| Kelly Services Inc. Class A | 10,312 | 304 |
| Watts Water Technologies Inc. Class A | 3,903 | 295 |
| Ship Finance International Ltd. | 20,031 | 289 |
| Marten Transport Ltd. | 13,102 | 284 |
| MTS Systems Corp. | 5,678 | 278 |
| * Casella Waste Systems Inc. Class A | 10,726 | 273 |
| Columbus McKinnon Corp. | 7,549 | 268 |
| * Huron Consulting Group Inc. | 7,313 | 256 |
| ArcBest Corp. | 7,727 | 256 |
| * Tutor Perini Corp. | 10,551 | 255 |
| * FARO Technologies Inc. | 4,218 | 250 |
| * Aegion Corp. Class A | 10,769 | 247 |
| * Thermon Group Holdings Inc. | 11,046 | 241 |
| * Echo Global Logistics Inc. | 9,076 | 240 |
| GasLog Ltd. | 14,034 | 232 |
| Actuant Corp. Class A | 10,110 | 230 |
| * SEACOR Holdings Inc. | 5,485 | 228 |
| * Rush Enterprises Inc. Class A | 5,213 | 222 |
| * Kratos Defense & Security Solutions Inc. | 18,142 | 219 |
| Astec Industries Inc. | 3,651 | 215 |
| Titan International Inc. | 16,549 | 213 |
| Matson Inc. | 7,399 | 211 |
| Scorpio Tankers Inc. | 82,290 | 189 |
| Granite Construction Inc. | 3,015 | 175 |
| LSC Communications Inc. | 11,781 | 172 |
| * Engility Holdings Inc. | 6,239 | 170 |
| * Wesco Aircraft Holdings Inc. | 18,940 | 170 |
| Heidrick & Struggles International Inc. | 6,301 | 166 |
| Bristow Group Inc. | 11,028 | 163 |
| * International Seaways Inc. | 9,995 | 163 |
| Gorman-Rupp Co. | 5,984 | 160 |
| Ennis Inc. | 8,145 | 159 |
| Scorpio Bulkers Inc. | 20,099 | 156 |
| RPX Corp. | 15,198 | 152 |
| * SP Plus Corp. | 4,164 | 150 |
| Resources Connection Inc. | 9,544 | 148 |
| * Textainer Group Holdings Ltd. | 9,056 | 148 |
| VSE Corp. | 2,956 | 143 |
| ^ Teekay Corp. | 18,513 | 141 |
| Albany International Corp. | 2,150 | 137 |
51
| | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| CIRCOR International Inc. | 2,902 | 136 |
| RR Donnelley & Sons Co. | 17,424 | 131 |
| Brady Corp. Class A | 3,507 | 131 |
| * CSW Industrials Inc. | 2,840 | 130 |
| CRA International Inc. | 2,557 | 128 |
| * Titan Machinery Inc. | 6,382 | 127 |
| Quad/Graphics Inc. | 4,798 | 127 |
| Littelfuse Inc. | 595 | 123 |
| * PHH Corp. | 11,013 | 117 |
| Park-Ohio Holdings Corp. | 2,891 | 115 |
| * Evoqua Water Technologies Corp. | 4,954 | 113 |
| * Covenant Transportation Group Inc. Class A | 4,136 | 107 |
| DHT Holdings Inc. | 27,712 | 104 |
| * Mistras Group Inc. | 5,271 | 104 |
| * Ducommun Inc. | 3,688 | 104 |
| Herman Miller Inc. | 2,856 | 103 |
| ^ Frontline Ltd. | 26,384 | 102 |
| Essendant Inc. | 12,595 | 100 |
| * MYR Group Inc. | 3,036 | 98 |
| Costamare Inc. | 16,952 | 98 |
| * Vishay Precision Group Inc. | 3,217 | 96 |
| * Babcock & Wilcox Enterprises Inc. | 15,129 | 96 |
| * Layne Christensen Co. | 6,124 | 95 |
| American Railcar Industries Inc. | 2,474 | 92 |
| * Gener8 Maritime Inc. | 16,509 | 92 |
| Standex International Corp. | 933 | 90 |
| * Team Inc. | 5,356 | 88 |
| Miller Industries Inc. | 3,566 | 87 |
| * Vectrus Inc. | 3,078 | 84 |
| * Great Lakes Dredge & Dock Corp. | 18,101 | 82 |
| * Sterling Construction Co. Inc. | 6,810 | 82 |
| Powell Industries Inc. | 3,087 | 82 |
| Hurco Cos. Inc. | 1,961 | 82 |
| ^ Teekay Tankers Ltd. Class A | 70,379 | 81 |
| * YRC Worldwide Inc. | 8,455 | 74 |
| Spartan Motors Inc. | 4,937 | 73 |
| Hardinge Inc. | 3,961 | 73 |
| Steelcase Inc. Class A | 5,304 | 72 |
| * Maxwell Technologies Inc. | 12,612 | 72 |
| * Twin Disc Inc. | 2,991 | 72 |
| Nordic American Tankers Ltd. | 34,141 | 71 |
| Graham Corp. | 3,346 | 68 |
| Tetra Tech Inc. | 1,357 | 66 |
| * Eagle Bulk Shipping Inc. | 13,450 | 65 |
| Preformed Line Products Co. | 1,065 | 65 |
| FreightCar America Inc. | 4,250 | 63 |
| Hawaiian Holdings Inc. | 1,723 | 62 |
| * Safe Bulkers Inc. | 16,840 | 62 |
| * Liquidity Services Inc. | 8,972 | 61 |
| * Dorian LPG Ltd. | 7,817 | 57 |
| * CAI International Inc. | 2,789 | 56 |
| NACCO Industries Inc. Class A | 1,357 | 56 |
| Marlin Business Services Corp. | 2,056 | 53 |
| Alamo Group Inc. | 456 | 51 |
| * Milacron Holdings Corp. | 2,186 | 47 |
| * Rush Enterprises Inc. Class B | 1,176 | 47 |
| * Gencor Industries Inc. | 2,898 | 47 |
| ^ Advanced Emissions Solutions Inc. | 4,840 | 47 |
| * IES Holdings Inc. | 3,032 | 47 |
| CECO Environmental Corp. | 10,445 | 43 |
| Hyster-Yale Materials Handling Inc. | 593 | 42 |
| * Heritage-Crystal Clean Inc. | 2,051 | 41 |
| * Roadrunner Transportation Systems Inc. | 10,480 | 40 |
| * PHI Inc. | 4,054 | 40 |
52
| | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * Navios Maritime Holdings Inc. | 31,433 | 39 |
| * DXP Enterprises Inc. | 1,263 | 38 |
| * Ardmore Shipping Corp. | 4,904 | 37 |
| * Genco Shipping & Trading Ltd. | 2,689 | 37 |
| Franklin Electric Co. Inc. | 912 | 36 |
| * ServiceSource International Inc. | 8,702 | 32 |
| General Cable Corp. | 1,052 | 31 |
| * Orion Group Holdings Inc. | 4,903 | 31 |
| * Willis Lease Finance Corp. | 1,122 | 31 |
| * NV5 Global Inc. | 679 | 29 |
| Kimball International Inc. Class B | 1,771 | 29 |
| * DHI Group Inc. | 16,983 | 28 |
| * Blue Bird Corp. | 1,206 | 28 |
| Schneider National Inc. Class B | 1,050 | 27 |
| Systemax Inc. | 950 | 27 |
| * Overseas Shipholding Group Inc. Class A | 14,909 | 26 |
| * Ascent Capital Group Inc. Class A | 3,806 | 26 |
| Navios Maritime Acquisition Corp. | 30,416 | 23 |
| Knoll Inc. | 1,036 | 22 |
| Tennant Co. | 320 | 21 |
| * Control4 Corp. | 852 | 20 |
| Universal Logistics Holdings Inc. | 917 | 20 |
| * Information Services Group Inc. | 4,324 | 18 |
| Heartland Express Inc. | 904 | 18 |
| * Vicor Corp. | 542 | 14 |
| * GP Strategies Corp. | 435 | 10 |
| * InnerWorkings Inc. | 918 | 8 |
| * Hill International Inc. | 1,150 | 6 |
| * Daseke Inc. | 582 | 6 |
| * ExOne Co. | 285 | 2 |
| | | 39,599 |
| Technology (7.5%) | | |
| * Cree Inc. | 33,107 | 1,252 |
| * CACI International Inc. Class A | 8,287 | 1,235 |
| * ViaSat Inc. | 17,073 | 1,192 |
| * Tech Data Corp. | 10,963 | 1,133 |
| SYNNEX Corp. | 7,826 | 968 |
| Vishay Intertechnology Inc. | 44,866 | 826 |
| * NetScout Systems Inc. | 28,531 | 757 |
| * Anixter International Inc. | 9,814 | 741 |
| * Verint Systems Inc. | 18,054 | 702 |
| * Plexus Corp. | 11,354 | 685 |
| * Sanmina Corp. | 24,205 | 667 |
| TiVo Corp. | 40,547 | 608 |
| * NETGEAR Inc. | 10,573 | 589 |
| * VeriFone Systems Inc. | 34,571 | 574 |
| * II-VI Inc. | 14,564 | 561 |
| * Benchmark Electronics Inc. | 16,827 | 505 |
| * Infinera Corp. | 49,584 | 493 |
| ManTech International Corp. Class A | 8,697 | 490 |
| * Viavi Solutions Inc. | 48,287 | 464 |
| * Knowles Corp. | 29,665 | 428 |
| * TTM Technologies Inc. | 24,519 | 396 |
| * Finisar Corp. | 20,959 | 377 |
| * Acxiom Corp. | 12,899 | 353 |
| * Rambus Inc. | 27,076 | 344 |
| * Amkor Technology Inc. | 33,058 | 332 |
| * Ambarella Inc. | 6,417 | 309 |
| * Cray Inc. | 13,699 | 299 |
| * Diodes Inc. | 9,654 | 291 |
| * Veeco Instruments Inc. | 15,799 | 287 |
| CTS Corp. | 10,915 | 280 |
| AVX Corp. | 15,829 | 274 |
| * Blucora Inc. | 11,724 | 273 |
53
| | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * ScanSource Inc. | 8,277 | 271 |
| * Insight Enterprises Inc. | 7,463 | 261 |
| ADTRAN Inc. | 16,217 | 254 |
| * Evolent Health Inc. Class A | 15,571 | 228 |
| * Perficient Inc. | 10,978 | 214 |
| * Electro Scientific Industries Inc. | 10,942 | 196 |
| * Super Micro Computer Inc. | 10,458 | 189 |
| * MicroStrategy Inc. Class A | 1,429 | 183 |
| * Photronics Inc. | 22,929 | 179 |
| Comtech Telecommunications Corp. | 7,890 | 174 |
| Monotype Imaging Holdings Inc. | 7,124 | 172 |
| * Kimball Electronics Inc. | 9,077 | 157 |
| Cohu Inc. | 7,776 | 156 |
| * Stratasys Ltd. | 8,293 | 151 |
| * Synchronoss Technologies Inc. | 15,018 | 140 |
| * Glu Mobile Inc. | 34,178 | 127 |
| * KeyW Holding Corp. | 16,440 | 123 |
| Progress Software Corp. | 2,544 | 119 |
| * VASCO Data Security International Inc. | 9,542 | 115 |
| * Virtusa Corp. | 2,394 | 114 |
| Park Electrochemical Corp. | 6,679 | 114 |
| * Ribbon Communications Inc. | 16,537 | 107 |
| * pdvWireless Inc. | 3,286 | 106 |
| PC Connection Inc. | 3,981 | 99 |
| * Alpha & Omega Semiconductor Ltd. | 6,415 | 99 |
| * Calix Inc. | 15,033 | 98 |
| * AXT Inc. | 12,974 | 97 |
| CSG Systems International Inc. | 2,077 | 97 |
| * Digi International Inc. | 9,208 | 96 |
| * DSP Group Inc. | 6,935 | 84 |
| * Harmonic Inc. | 27,395 | 83 |
| * Sigma Designs Inc. | 13,126 | 79 |
| * TechTarget Inc. | 4,087 | 71 |
| * Sparton Corp. | 3,115 | 71 |
| * NeoPhotonics Corp. | 11,310 | 69 |
| * Bottomline Technologies de Inc. | 1,652 | 63 |
| * Unisys Corp. | 5,348 | 60 |
| * Acacia Research Corp. | 17,334 | 60 |
| * Mercury Systems Inc. | 1,273 | 58 |
| * Limelight Networks Inc. | 14,469 | 58 |
| * Agilysys Inc. | 5,222 | 58 |
| * Oclaro Inc. | 7,527 | 54 |
| QAD Inc. Class A | 1,198 | 54 |
| * KVH Industries Inc. | 5,170 | 53 |
| * Meet Group Inc. | 19,594 | 51 |
| American Software Inc. Class A | 3,828 | 48 |
| Daktronics Inc. | 5,139 | 46 |
| Bel Fuse Inc. Class B | 2,556 | 44 |
| * Nanometrics Inc. | 1,498 | 40 |
| * Presidio Inc. | 2,664 | 39 |
| * GSI Technology Inc. | 4,990 | 38 |
| * Leaf Group Ltd. | 4,140 | 32 |
| * SMART Global Holdings Inc. | 872 | 30 |
| * ARC Document Solutions Inc. | 14,001 | 30 |
| * Rudolph Technologies Inc. | 1,123 | 30 |
| * Quantum Corp. | 7,839 | 29 |
| * EMCORE Corp. | 5,391 | 29 |
| * Telenav Inc. | 5,119 | 28 |
| * SecureWorks Corp. Class A | 2,826 | 28 |
| * Rubicon Project Inc. | 15,535 | 25 |
| * Xcerra Corp. | 2,481 | 25 |
| * RealNetworks Inc. | 8,282 | 23 |
| * Acacia Communications Inc. | 567 | 22 |
| * Global Eagle Entertainment Inc. | 15,406 | 21 |
54
| | | |
| Vanguard® Russell 2000 Value Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | CyberOptics Corp. | 1,122 | 18 |
| * | SendGrid Inc. | 695 | 18 |
| * | Avid Technology Inc. | 3,203 | 15 |
| * | PCM Inc. | 2,124 | 15 |
| * | ForeScout Technologies Inc. | 442 | 13 |
| * | Revolution Lighting Technologies Inc. | 3,851 | 13 |
| * | Aquantia Corp. | 776 | 11 |
| * | Casa Systems Inc. | 432 | 10 |
| * | Radisys Corp. | 10,910 | 9 |
| | NVE Corp. | 115 | 8 |
| * | Bandwidth Inc. Class A | 282 | 8 |
| * | SailPoint Technologies Holding Inc. | 353 | 7 |
| * | Digimarc Corp. | 267 | 7 |
| * | Kopin Corp. | 2,229 | 7 |
| *,^ | Tintri Inc. | 1,244 | 6 |
| * | PDF Solutions Inc. | 437 | 5 |
| * | ChannelAdvisor Corp. | 541 | 5 |
| * | Park City Group Inc. | 398 | 4 |
| * | Altair Engineering Inc. Class A | 120 | 3 |
| * | PlayAGS Inc. | 101 | 2 |
| | | | 24,938 |
| Utilities (6.4%) | | |
| | WGL Holdings Inc. | 17,565 | 1,463 |
| | IDACORP Inc. | 17,223 | 1,396 |
| | Portland General Electric Co. | 30,482 | 1,211 |
| | ALLETE Inc. | 17,409 | 1,186 |
| | ONE Gas Inc. | 17,817 | 1,133 |
| | Spire Inc. | 16,065 | 1,089 |
| | Avista Corp. | 22,043 | 1,054 |
| | New Jersey Resources Corp. | 26,934 | 1,026 |
| | Southwest Gas Holdings Inc. | 14,502 | 955 |
| | PNM Resources Inc. | 27,122 | 955 |
| | Black Hills Corp. | 18,190 | 924 |
| | NorthWestern Corp. | 16,616 | 849 |
| | South Jersey Industries Inc. | 26,946 | 706 |
| | El Paso Electric Co. | 13,700 | 666 |
| | Otter Tail Corp. | 13,162 | 524 |
| | Northwest Natural Gas Co. | 9,581 | 500 |
| * | Dynegy Inc. | 37,397 | 457 |
| | Ormat Technologies Inc. | 7,119 | 446 |
| | Pattern Energy Group Inc. Class A | 21,002 | 390 |
| | NRG Yield Inc. | 22,001 | 344 |
| *,^ | Iridium Communications Inc. | 28,211 | 330 |
| | MGE Energy Inc. | 6,010 | 316 |
| | Chesapeake Utilities Corp. | 4,651 | 310 |
| | SJW Group | 5,607 | 297 |
| | California Water Service Group | 6,272 | 238 |
| * | Cincinnati Bell Inc. | 14,379 | 232 |
| | Connecticut Water Service Inc. | 4,073 | 210 |
| | ATN International Inc. | 3,475 | 208 |
| | Unitil Corp. | 4,760 | 200 |
| | American States Water Co. | 3,707 | 197 |
| ^ | Frontier Communications Corp. | 26,717 | 188 |
| | NRG Yield Inc. Class A | 11,884 | 183 |
| | Consolidated Communications Holdings Inc. | 10,372 | 120 |
| | Spok Holdings Inc. | 6,753 | 105 |
| | Windstream Holdings Inc. | 62,723 | 99 |
| | Artesian Resources Corp. Class A | 2,636 | 87 |
| *,^ | Globalstar Inc. | 67,709 | 64 |
| | Consolidated Water Co. Ltd. | 5,118 | 64 |
| * | Intelsat SA | 12,190 | 59 |
| * | Hawaiian Telcom Holdco Inc. | 2,091 | 59 |
| * | AquaVenture Holdings Ltd. | 4,057 | 52 |
| | RGC Resources Inc. | 1,355 | 34 |
55
| | | | | |
| Vanguard® Russell 2000 Value Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | | | Market |
| | | | | | Value |
| | | | | Shares | ($000) |
| | Middlesex Water Co. | | | 787 | 28 |
| | IDT Corp. Class B | | | 2,255 | 27 |
| * | GCI Liberty Inc. | | | 604 | 23 |
| * | Atlantic Power Corp. | | | 10,825 | 23 |
| | Genie Energy Ltd. Class B | | | 4,838 | 22 |
| * | ORBCOMM Inc. | | | 1,918 | 20 |
| | York Water Co. | | | 467 | 13 |
| | Spark Energy Inc. Class A | | | 513 | 5 |
| | | | | | 21,087 |
| Total Common Stocks (Cost $294,305) | | | | 328,420 |
| | | Coupon | | | |
| Temporary Cash Investments (1.4%)1 | | | | |
| Money Market Fund (1.3%) | | | | |
| 4,5 | Vanguard Market Liquidity Fund | 1.601% | | 43,456 | 4,345 |
| | | | | Face | |
| | | | Maturity | Amount | |
| | | | Date | ($000) | |
| U.S. Government and Agency Obligations (0.1%) | | | | |
| 6 | United States Treasury Bill | 1.475% | 6/21/18 | 200 | 199 |
| Total Temporary Cash Investments (Cost $4,544) | | | | 4,544 |
| Total Investments (100.6%) (Cost $298,849) | | | | 332,964 |
| Other Assets and Liabilities—Net (-0.6%)5 | | | | (1,898) |
| Net Assets (100%) | | | | 331,066 |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,935,000.
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 0.6%, 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 $2,218,000 of collateral received for securities on loan.
6 Securities with a value of $134,000 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 | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| Common Stocks (99.5%)1 | | |
| Consumer Discretionary (15.5%) | | |
| * | Grand Canyon Education Inc. | 28,711 | 2,818 |
| * | Cimpress NV | 15,305 | 2,491 |
| * | 2U Inc. | 29,468 | 2,439 |
| | Texas Roadhouse Inc. Class A | 40,948 | 2,263 |
| * | Five Below Inc. | 33,119 | 2,214 |
| | Churchill Downs Inc. | 8,237 | 2,127 |
| * | Avis Budget Group Inc. | 44,224 | 1,998 |
| * | Planet Fitness Inc. Class A | 52,862 | 1,955 |
| | Nexstar Media Group Inc. Class A | 26,819 | 1,916 |
| * | Stamps.com Inc. | 9,985 | 1,908 |
| * | Etsy Inc. | 73,860 | 1,869 |
| | Cracker Barrel Old Country Store Inc. | 11,756 | 1,835 |
| * | Ollie's Bargain Outlet Holdings Inc. | 29,177 | 1,732 |
| | Wolverine World Wide Inc. | 57,645 | 1,688 |
| | Tenneco Inc. | 31,245 | 1,642 |
| | Marriott Vacations Worldwide Corp. | 11,618 | 1,632 |
| | Boyd Gaming Corp. | 46,014 | 1,628 |
| | LCI Industries | 14,855 | 1,624 |
| * | Steven Madden Ltd. | 36,245 | 1,591 |
| * | Shutterfly Inc. | 20,277 | 1,556 |
| * | Taylor Morrison Home Corp. Class A | 67,933 | 1,524 |
| | Children's Place Inc. | 10,579 | 1,505 |
| | New York Times Co. Class A | 62,410 | 1,504 |
| | Lithia Motors Inc. Class A | 14,383 | 1,494 |
| | Sinclair Broadcast Group Inc. Class A | 43,803 | 1,481 |
| | Big Lots Inc. | 26,032 | 1,463 |
| * | Scientific Games Corp. | 32,596 | 1,449 |
| * | SiteOne Landscape Supply Inc. | 20,741 | 1,428 |
| | Red Rock Resorts Inc. Class A | 42,331 | 1,418 |
| | Bloomin' Brands Inc. | 56,692 | 1,309 |
| | Jack in the Box Inc. | 14,396 | 1,297 |
| | Cheesecake Factory Inc. | 26,210 | 1,218 |
| * | Chegg Inc. | 58,388 | 1,163 |
| | Dana Inc. | 43,160 | 1,147 |
| * | Dave & Buster's Entertainment Inc. | 25,372 | 1,136 |
| * | Dorman Products Inc. | 16,456 | 1,135 |
| * | American Woodmark Corp. | 8,610 | 1,106 |
| * | Weight Watchers International Inc. | 16,049 | 1,085 |
| * | Sotheby's | 23,286 | 1,075 |
| | PriceSmart Inc. | 13,543 | 1,067 |
| * | RH | 12,274 | 1,042 |
| | Monro Inc. | 19,361 | 985 |
| | Matthews International Corp. Class A | 19,215 | 985 |
| *,^ | Eldorado Resorts Inc. | 28,577 | 974 |
| ^ | Papa John's International Inc. | 15,944 | 921 |
| | World Wrestling Entertainment Inc. Class A | 23,759 | 906 |
| * | Sleep Number Corp. | 24,092 | 830 |
| * | Cavco Industries Inc. | 5,210 | 829 |
| | Camping World Holdings Inc. Class A | 19,491 | 815 |
| * | Trade Desk Inc. Class A | 14,464 | 814 |
| * | Fox Factory Holding Corp. | 21,526 | 808 |
| | Wingstop Inc. | 17,719 | 803 |
| | Brinker International Inc. | 21,759 | 749 |
| * | Asbury Automotive Group Inc. | 11,315 | 745 |
| | Winnebago Industries Inc. | 16,956 | 738 |
| * | IMAX Corp. | 34,222 | 722 |
| * | Pinnacle Entertainment Inc. | 22,759 | 687 |
| * | Helen of Troy Ltd. | 7,539 | 679 |
| * | SeaWorld Entertainment Inc. | 41,745 | 611 |
| * | Quotient Technology Inc. | 46,295 | 609 |
| | Entercom Communications Corp. Class A | 60,344 | 597 |
57
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Strayer Education Inc. | 6,489 | 582 |
| * | Instructure Inc. | 13,316 | 578 |
| * | Shutterstock Inc. | 11,304 | 568 |
| | Nutrisystem Inc. | 18,214 | 560 |
| * | Gentherm Inc. | 17,554 | 541 |
| | BJ's Restaurants Inc. | 12,371 | 538 |
| *,^ | Shake Shack Inc. Class A | 13,653 | 532 |
| | Capella Education Co. | 6,558 | 510 |
| | Dine Brands Global Inc. | 6,421 | 488 |
| | Columbia Sportswear Co. | 6,342 | 479 |
| * | Liberty Media Corp-Liberty Braves Class C | 20,868 | 479 |
| * | Denny's Corp. | 29,791 | 448 |
| | Sturm Ruger & Co. Inc. | 10,366 | 446 |
| | Ruth's Hospitality Group Inc. | 17,966 | 441 |
| * | Universal Electronics Inc. | 8,580 | 425 |
| | La-Z-Boy Inc. | 13,197 | 405 |
| * | Red Robin Gourmet Burgers Inc. | 7,408 | 397 |
| * | Lumber Liquidators Holdings Inc. | 17,155 | 397 |
| * | Malibu Boats Inc. Class A | 12,366 | 396 |
| * | LGI Homes Inc. | 6,917 | 391 |
| | Viad Corp. | 7,365 | 383 |
| | Standard Motor Products Inc. | 8,177 | 382 |
| * | HealthStream Inc. | 15,664 | 378 |
| * | Crocs Inc. | 30,638 | 375 |
| *,^ | GoPro Inc. Class A | 66,968 | 360 |
| * | Gray Television Inc. | 25,772 | 356 |
| | Sonic Corp. | 13,824 | 347 |
| | KB Home | 11,385 | 316 |
| | Oxford Industries Inc. | 3,929 | 314 |
| *,^ | Overstock.com Inc. | 5,088 | 307 |
| | MDC Holdings Inc. | 10,951 | 303 |
| * | Houghton Mifflin Harcourt Co. | 43,677 | 297 |
| * | American Outdoor Brands Corp. | 32,652 | 294 |
| * | MCBC Holdings Inc. | 11,375 | 279 |
| * | Cooper-Standard Holdings Inc. | 2,282 | 278 |
| * | Chuy's Holdings Inc. | 10,058 | 272 |
| | Entravision Communications Corp. Class A | 41,081 | 265 |
| | Marcus Corp. | 9,491 | 256 |
| | Hooker Furniture Corp. | 6,859 | 256 |
| *,^ | elf Beauty Inc. | 12,681 | 234 |
| | Tailored Brands Inc. | 9,513 | 223 |
| * | Nautilus Inc. | 18,492 | 219 |
| * | XO Group Inc. | 11,281 | 217 |
| | Travelport Worldwide Ltd. | 15,038 | 214 |
| | Inter Parfums Inc. | 4,984 | 211 |
| * | La Quinta Holdings Inc. | 10,576 | 200 |
| | ILG Inc. | 5,990 | 182 |
| * | ZAGG Inc. | 11,741 | 177 |
| * | Penn National Gaming Inc. | 6,572 | 175 |
| * | MarineMax Inc. | 8,192 | 171 |
| | Winmark Corp. | 1,324 | 168 |
| * | Care.com Inc. | 8,355 | 149 |
| * | tronc Inc. | 7,764 | 149 |
| * | Bojangles' Inc. | 10,777 | 141 |
| * | Liberty Media Corp-Liberty Braves Class A | 6,122 | 140 |
| | Tile Shop Holdings Inc. | 24,076 | 130 |
| | Superior Uniform Group Inc. | 5,175 | 130 |
| * | Horizon Global Corp. | 15,291 | 126 |
| * | Franklin Covey Co. | 4,838 | 125 |
| * | Deckers Outdoor Corp. | 1,265 | 120 |
| * | Francesca's Holdings Corp. | 22,814 | 119 |
| * | National Vision Holdings Inc. | 3,267 | 113 |
| * | Lindblad Expeditions Holdings Inc. | 12,114 | 112 |
| * | Habit Restaurants Inc. Class A | 12,576 | 109 |
58
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Sportsman's Warehouse Holdings Inc. | 22,397 | 109 |
| | Nathan's Famous Inc. | 1,669 | 109 |
| *,^ | Eros International plc | 7,825 | 103 |
| *,^ | Duluth Holdings Inc. | 5,964 | 100 |
| * | Central Garden & Pet Co. Class A | 2,730 | 99 |
| | Carriage Services Inc. Class A | 3,571 | 97 |
| * | Drive Shack Inc. | 18,676 | 94 |
| * | M/I Homes Inc. | 3,153 | 92 |
| * | MDC Partners Inc. Class A | 10,896 | 86 |
| * | William Lyon Homes Class A | 3,099 | 78 |
| * | TRI Pointe Group Inc. | 5,067 | 78 |
| * | America's Car-Mart Inc. | 1,514 | 74 |
| | Collectors Universe Inc. | 4,614 | 72 |
| * | At Home Group Inc. | 2,403 | 71 |
| | Marine Products Corp. | 4,929 | 70 |
| * | Meritage Homes Corp. | 1,541 | 65 |
| * | Bridgepoint Education Inc. Class A | 9,635 | 64 |
| * | J. Jill Inc. | 7,425 | 64 |
| * | 1-800-Flowers.com Inc. Class A | 5,263 | 61 |
| * | Caesars Entertainment Corp. | 4,684 | 59 |
| * | Potbelly Corp. | 3,694 | 47 |
| * | Zoe's Kitchen Inc. | 3,065 | 46 |
| *,^ | Eastman Kodak Co. | 8,428 | 44 |
| *,^ | Revlon Inc. Class A | 2,229 | 44 |
| *,^ | Noodles & Co. Class A | 6,697 | 42 |
| * | Reading International Inc. Class A | 2,423 | 40 |
| * | WideOpenWest Inc. | 4,107 | 40 |
| * | Hovnanian Enterprises Inc. Class A | 17,634 | 38 |
| | Bluegreen Vacations Corp. | 1,964 | 38 |
| * | Golden Entertainment Inc. | 1,295 | 36 |
| * | Central Garden & Pet Co. | 724 | 28 |
| | National Presto Industries Inc. | 288 | 26 |
| * | Empire Resorts Inc. | 1,103 | 26 |
| * | Century Communities Inc. | 845 | 25 |
| * | Rosetta Stone Inc. | 1,673 | 23 |
| * | Roku Inc. | 553 | 23 |
| | Emerald Expositions Events Inc. | 871 | 19 |
| * | Funko Inc. Class A | 2,328 | 17 |
| * | Stitch Fix Inc. Class A | 772 | 16 |
| * | Carvana Co. | 725 | 15 |
| * | Party City Holdco Inc. | 980 | 14 |
| * | Cambium Learning Group Inc. | 1,884 | 14 |
| * | Fiesta Restaurant Group Inc. | 809 | 14 |
| | RCI Hospitality Holdings Inc. | 492 | 13 |
| * | Inspired Entertainment Inc. | 2,264 | 12 |
| * | Hemisphere Media Group Inc. Class A | 563 | 6 |
| * | Sears Holdings Corp. | 1,522 | 4 |
| | Liberty Tax Inc. | 372 | 3 |
| | Fred's Inc. Class A | 787 | 3 |
| | | | 103,813 |
| Consumer Staples (2.1%) | | |
| * | Performance Food Group Co. | 55,201 | 1,692 |
| | Lancaster Colony Corp. | 11,532 | 1,365 |
| | J&J Snack Foods Corp. | 9,205 | 1,236 |
| | B&G Foods Inc. | 40,140 | 1,112 |
| | WD-40 Co. | 8,482 | 1,058 |
| | Calavo Growers Inc. | 9,781 | 835 |
| * | Boston Beer Co. Inc. Class A | 5,079 | 828 |
| | National Beverage Corp. | 7,163 | 701 |
| | MGP Ingredients Inc. | 6,936 | 582 |
| | Core-Mark Holding Co. Inc. | 27,847 | 570 |
| | Vector Group Ltd. | 27,579 | 553 |
| | PetMed Express Inc. | 12,139 | 549 |
| | Coca-Cola Bottling Co. Consolidated | 2,869 | 535 |
59
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | USANA Health Sciences Inc. | 6,930 | 529 |
| | Medifast Inc. | 6,443 | 411 |
| * | Freshpet Inc. | 15,278 | 306 |
| | John B Sanfilippo & Son Inc. | 5,206 | 301 |
| * | Chefs' Warehouse Inc. | 11,118 | 251 |
| ^ | Tootsie Roll Industries Inc. | 7,285 | 243 |
| * | Primo Water Corp. | 15,491 | 189 |
| * | Craft Brew Alliance Inc. | 7,814 | 139 |
| ^ | Natural Health Trends Corp. | 4,651 | 81 |
| | Turning Point Brands Inc. | 3,135 | 65 |
| *,^ | Castle Brands Inc. | 53,071 | 62 |
| | Limoneira Co. | 2,397 | 51 |
| * | Hostess Brands Inc. Class A | 2,578 | 32 |
| | Dean Foods Co. | 2,694 | 23 |
| * | Lifeway Foods Inc. | 3,108 | 21 |
| | | | 14,320 |
| Energy (1.0%) | | |
| * | Matador Resources Co. | 59,676 | 1,722 |
| * | Carrizo Oil & Gas Inc. | 47,327 | 665 |
| *,^ | Jagged Peak Energy Inc. | 35,063 | 431 |
| * | Ring Energy Inc. | 28,742 | 390 |
| * | ProPetro Holding Corp. | 23,325 | 376 |
| * | Fairmount Santrol Holdings Inc. | 83,900 | 376 |
| * | Keane Group Inc. | 22,965 | 357 |
| * | Tellurian Inc. | 35,010 | 306 |
| * | Penn Virginia Corp. | 7,797 | 291 |
| * | Select Energy Services Inc. Class A | 16,148 | 232 |
| * | Abraxas Petroleum Corp. | 84,886 | 183 |
| * | Solaris Oilfield Infrastructure Inc. Class A | 10,274 | 173 |
| * | SRC Energy Inc. | 16,237 | 144 |
| * | TPI Composites Inc. | 6,594 | 131 |
| *,^ | Sanchez Energy Corp. | 44,495 | 130 |
| * | Par Pacific Holdings Inc. | 7,549 | 129 |
| | Evolution Petroleum Corp. | 15,551 | 125 |
| * | RigNet Inc. | 8,224 | 110 |
| * | Lilis Energy Inc. | 26,479 | 97 |
| | Panhandle Oil and Gas Inc. Class A | 5,215 | 93 |
| * | NCS Multistage Holdings Inc. | 6,206 | 91 |
| * | Smart Sand Inc. | 12,115 | 90 |
| * | Isramco Inc. | 433 | 45 |
| * | Ultra Petroleum Corp. | 10,571 | 39 |
| * | Gastar Exploration Inc. | 55,266 | 37 |
| * | Bonanza Creek Energy Inc. | 862 | 24 |
| * | Resolute Energy Corp. | 708 | 23 |
| * | SilverBow Resources Inc. | 821 | 23 |
| * | Flotek Industries Inc. | 3,480 | 21 |
| * | Nine Energy Service Inc. | 700 | 19 |
| | CVR Energy Inc. | 554 | 16 |
| * | Energy XXI Gulf Coast Inc. | 2,812 | 15 |
| * | W&T Offshore Inc. | 3,058 | 12 |
| * | Liberty Oilfield Services Inc. Class A | 431 | 8 |
| * | Ranger Energy Services Inc. | 638 | 6 |
| * | Jones Energy Inc. Class A | 3,146 | 3 |
| * | Rosehill Resources Inc. | 307 | 2 |
| * | Westmoreland Coal Co. | 2,599 | 1 |
| | | | 6,936 |
| Financial Services (10.3%) | | |
| | Fair Isaac Corp. | 18,239 | 3,100 |
| | Primerica Inc. | 27,104 | 2,643 |
| * | Essent Group Ltd. | 49,759 | 2,244 |
| | Evercore Inc. Class A | 23,534 | 2,190 |
| * | Texas Capital Bancshares Inc. | 23,483 | 2,118 |
| | PotlatchDeltic Corp. | 36,772 | 1,881 |
| | Ryman Hospitality Properties Inc. | 27,117 | 1,870 |
60
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Green Dot Corp. Class A | 28,337 | 1,846 |
| | Home BancShares Inc. | 77,664 | 1,785 |
| | EastGroup Properties Inc. | 20,529 | 1,663 |
| * | Blackhawk Network Holdings Inc. | 33,419 | 1,495 |
| * | LendingTree Inc. | 3,906 | 1,361 |
| | Urban Edge Properties | 63,078 | 1,361 |
| | PS Business Parks Inc. | 12,069 | 1,338 |
| | Financial Engines Inc. | 35,992 | 1,206 |
| | RLI Corp. | 19,829 | 1,206 |
| | First Financial Bankshares Inc. | 25,174 | 1,158 |
| | ServisFirst Bancshares Inc. | 28,259 | 1,135 |
| * | HRG Group Inc. | 68,973 | 1,089 |
| | Bank of NT Butterfield & Son Ltd. | 23,435 | 1,069 |
| | HFF Inc. Class A | 22,474 | 1,026 |
| | QTS Realty Trust Inc. Class A | 30,094 | 971 |
| | Moelis & Co. Class A | 19,065 | 968 |
| * | Eagle Bancorp Inc. | 15,501 | 946 |
| | Artisan Partners Asset Management Inc. Class A | 27,595 | 931 |
| | Ameris Bancorp | 16,807 | 893 |
| | Physicians Realty Trust | 59,902 | 861 |
| | Houlihan Lokey Inc. Class A | 16,382 | 760 |
| | National Health Investors Inc. | 11,166 | 724 |
| | OM Asset Management plc | 45,966 | 705 |
| | Walker & Dunlop Inc. | 14,528 | 702 |
| | WisdomTree Investments Inc. | 70,279 | 675 |
| | Kennedy-Wilson Holdings Inc. | 39,007 | 638 |
| * | PRA Group Inc. | 16,240 | 622 |
| * | Cardtronics plc Class A | 27,755 | 621 |
| *,^ | BofI Holding Inc. | 15,583 | 580 |
| * | LendingClub Corp. | 183,191 | 577 |
| | Four Corners Property Trust Inc. | 26,210 | 576 |
| | CareTrust REIT Inc. | 42,785 | 567 |
| | Cohen & Steers Inc. | 13,076 | 523 |
| | Rexford Industrial Realty Inc. | 19,265 | 520 |
| | EVERTEC Inc. | 31,129 | 504 |
| | Preferred Bank | 8,054 | 502 |
| | LegacyTexas Financial Group Inc. | 11,957 | 501 |
| | Virtu Financial Inc. Class A | 15,577 | 463 |
| | First Industrial Realty Trust Inc. | 16,271 | 456 |
| | Alexander's Inc. | 1,243 | 454 |
| | Washington REIT | 17,427 | 441 |
| | Kinsale Capital Group Inc. | 8,788 | 431 |
| | Universal Health Realty Income Trust | 7,752 | 429 |
| | Cass Information Systems Inc. | 7,274 | 426 |
| | National General Holdings Corp. | 18,512 | 425 |
| | Universal Insurance Holdings Inc. | 14,419 | 422 |
| * | Trupanion Inc. | 13,619 | 404 |
| | Diamond Hill Investment Group Inc. | 1,957 | 401 |
| * | Third Point Reinsurance Ltd. | 28,508 | 396 |
| | FirstCash Inc. | 5,251 | 387 |
| | Live Oak Bancshares Inc. | 14,331 | 374 |
| | LTC Properties Inc. | 9,713 | 359 |
| * | Pacific Premier Bancorp Inc. | 8,357 | 351 |
| | GEO Group Inc. | 16,397 | 349 |
| | Carolina Financial Corp. | 8,747 | 339 |
| * | Donnelley Financial Solutions Inc. | 18,878 | 327 |
| | Armada Hoffler Properties Inc. | 24,627 | 322 |
| | Sabra Health Care REIT Inc. | 18,691 | 316 |
| | Gramercy Property Trust | 14,471 | 313 |
| * | Marcus & Millichap Inc. | 9,930 | 311 |
| | Saul Centers Inc. | 6,305 | 309 |
| | Glacier Bancorp Inc. | 7,855 | 306 |
| * | Everi Holdings Inc. | 40,061 | 298 |
| | Terreno Realty Corp. | 8,746 | 291 |
61
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | American Assets Trust Inc. | 8,934 | 283 |
| | RMR Group Inc. Class A | 4,327 | 272 |
| | Westwood Holdings Group Inc. | 4,953 | 269 |
| | WSFS Financial Corp. | 4,912 | 234 |
| | Opus Bank | 8,239 | 231 |
| * | Health Insurance Innovations Inc. Class A | 7,232 | 226 |
| | Hamilton Lane Inc. Class A | 5,882 | 206 |
| * | Allegiance Bancshares Inc. | 4,962 | 189 |
| | Columbia Banking System Inc. | 4,501 | 188 |
| | United Insurance Holdings Corp. | 9,604 | 188 |
| | UMH Properties Inc. | 16,028 | 187 |
| *,^ | Altisource Portfolio Solutions SA | 6,661 | 177 |
| | National Bank Holdings Corp. Class A | 5,320 | 173 |
| | MB Financial Inc. | 4,203 | 172 |
| * | FB Financial Corp. | 4,010 | 159 |
| * | National Commerce Corp. | 3,440 | 148 |
| | Blue Hills Bancorp Inc. | 7,274 | 147 |
| | ConnectOne Bancorp Inc. | 5,001 | 144 |
| * | Enova International Inc. | 6,393 | 141 |
| * | eHealth Inc. | 8,514 | 139 |
| | Investors Title Co. | 715 | 138 |
| | South State Corp. | 1,524 | 132 |
| | Consolidated-Tomoka Land Co. | 2,106 | 130 |
| | Retail Opportunity Investments Corp. | 7,110 | 122 |
| * | First Foundation Inc. | 6,231 | 114 |
| | Union Bankshares Inc. | 2,193 | 112 |
| | Lakeland Financial Corp. | 2,414 | 109 |
| | Infinity Property & Casualty Corp. | 918 | 108 |
| * | NMI Holdings Inc. Class A | 5,380 | 107 |
| | Monmouth Real Estate Investment Corp. | 7,466 | 105 |
| | HCI Group Inc. | 2,814 | 97 |
| | Meridian Bancorp Inc. | 4,678 | 94 |
| * | Veritex Holdings Inc. | 3,196 | 89 |
| | Pzena Investment Management Inc. Class A | 7,997 | 87 |
| * | TriState Capital Holdings Inc. | 3,782 | 85 |
| * | Industrial Logistics Properties Trust | 4,075 | 82 |
| * | Equity Bancshares Inc. Class A | 2,213 | 82 |
| | Guaranty Bancorp | 2,846 | 78 |
| | Hingham Institution for Savings | 388 | 78 |
| * | HarborOne Bancorp Inc. | 3,934 | 76 |
| | First of Long Island Corp. | 2,756 | 75 |
| | Virtus Investment Partners Inc. | 593 | 73 |
| | Silvercrest Asset Management Group Inc. Class A | 4,557 | 69 |
| | National Storage Affiliates Trust | 2,772 | 68 |
| * | Trinity Place Holdings Inc. | 11,209 | 67 |
| * | Atlas Financial Holdings Inc. | 3,427 | 60 |
| * | Republic First Bancorp Inc. | 6,933 | 59 |
| * | Franklin Financial Network Inc. | 1,878 | 58 |
| | Meta Financial Group Inc. | 528 | 57 |
| | Greene County Bancorp Inc. | 1,512 | 55 |
| | Investment Technology Group Inc. | 2,770 | 55 |
| * | Green Bancorp Inc. | 2,482 | 54 |
| | Crawford & Co. Class B | 5,992 | 54 |
| | West Bancorporation Inc. | 2,062 | 50 |
| | Guaranty Bancshares Inc. | 1,357 | 48 |
| | First Connecticut Bancorp Inc. | 1,906 | 48 |
| | Community Healthcare Trust Inc. | 2,020 | 48 |
| | CoBiz Financial Inc. | 2,450 | 46 |
| * | Maui Land & Pineapple Co. Inc. | 3,987 | 44 |
| | MedEquities Realty Trust Inc. | 4,494 | 43 |
| | Central Pacific Financial Corp. | 1,525 | 42 |
| | Investar Holding Corp. | 1,712 | 42 |
| * | Redfin Corp. | 1,956 | 40 |
| | Bryn Mawr Bank Corp. | 915 | 40 |
62
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Tompkins Financial Corp. | 518 | 40 |
| * | Atlantic Capital Bancshares Inc. | 2,244 | 39 |
| | Piper Jaffray Cos. | 460 | 38 |
| | Northfield Bancorp Inc. | 2,470 | 38 |
| * | BSB Bancorp Inc. | 1,304 | 38 |
| * | Americold Realty Trust | 1,811 | 33 |
| | City Office REIT Inc. | 3,188 | 32 |
| | Heritage Commerce Corp. | 1,944 | 31 |
| | People's Utah Bancorp | 1,001 | 30 |
| | Maiden Holdings Ltd. | 5,033 | 30 |
| | Charter Financial Corp. | 1,511 | 30 |
| * | Capstar Financial Holdings Inc. | 1,458 | 28 |
| | Safety Income & Growth Inc. | 1,476 | 26 |
| | Stewart Information Services Corp. | 633 | 25 |
| | Heritage Insurance Holdings Inc. | 1,518 | 25 |
| | Ladenburg Thalmann Financial Services Inc. | 7,361 | 25 |
| | Waterstone Financial Inc. | 1,283 | 22 |
| | Bankwell Financial Group Inc. | 686 | 21 |
| * | Newmark Group Inc. Class A | 1,458 | 21 |
| | Access National Corp. | 723 | 20 |
| | Bear State Financial Inc. | 1,907 | 20 |
| * | Howard Bancorp Inc. | 1,034 | 19 |
| | Old Line Bancshares Inc. | 586 | 19 |
| | Midland States Bancorp Inc. | 556 | 17 |
| * | MoneyGram International Inc. | 1,560 | 17 |
| | GAMCO Investors Inc. Class A | 604 | 16 |
| | PICO Holdings Inc. | 1,238 | 15 |
| * | Regional Management Corp. | 503 | 15 |
| | Value Line Inc. | 747 | 14 |
| | Western New England Bancorp Inc. | 1,357 | 14 |
| * | Ocwen Financial Corp. | 3,637 | 13 |
| | NexPoint Residential Trust Inc. | 538 | 13 |
| * | Cowen Inc. Class A | 770 | 11 |
| | Luther Burbank Corp. | 841 | 11 |
| | Clipper Realty Inc. | 1,132 | 10 |
| | Merchants Bancorp | 482 | 10 |
| | First Financial Northwest Inc. | 604 | 10 |
| * | Metropolitan Bank Holding Corp. | 208 | 9 |
| | RBB Bancorp | 321 | 8 |
| * | Byline Bancorp Inc. | 324 | 7 |
| | Medley Management Inc. Class A | 1,179 | 7 |
| | Southern Missouri Bancorp Inc. | 211 | 7 |
| *,^ | CPI Card Group Inc. | 2,336 | 6 |
| | MidSouth Bancorp Inc. | 444 | 6 |
| | CBTX Inc. | 196 | 5 |
| | Oconee Federal Financial Corp. | 175 | 5 |
| * | Elevate Credit Inc. | 650 | 5 |
| | Global Medical REIT Inc. | 703 | 5 |
| * | Provident Bancorp Inc. | 179 | 4 |
| | | | 68,854 |
| Health Care (24.5%) | | |
| * | Nektar Therapeutics Class A | 90,697 | 7,851 |
| * | Sage Therapeutics Inc. | 25,150 | 4,058 |
| * | Catalent Inc. | 82,050 | 3,426 |
| * | Encompass Health Corp. | 60,401 | 3,217 |
| * | Exact Sciences Corp. | 72,077 | 3,215 |
| * | Insulet Corp. | 35,619 | 2,675 |
| | Cantel Medical Corp. | 22,290 | 2,593 |
| * | PRA Health Sciences Inc. | 30,315 | 2,546 |
| | Chemed Corp. | 9,622 | 2,498 |
| * | Masimo Corp. | 27,500 | 2,407 |
| * | Bluebird Bio Inc. | 11,775 | 2,367 |
| * | FibroGen Inc. | 42,755 | 2,356 |
| * | Medidata Solutions Inc. | 34,566 | 2,270 |
63
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Blueprint Medicines Corp. | 26,061 | 2,256 |
| * | Avexis Inc. | 16,854 | 2,085 |
| * | Globus Medical Inc. | 43,246 | 2,060 |
| * | Integra LifeSciences Holdings Corp. | 38,874 | 2,050 |
| * | Molina Healthcare Inc. | 26,983 | 1,951 |
| * | Penumbra Inc. | 17,969 | 1,944 |
| * | Ligand Pharmaceuticals Inc. | 12,517 | 1,901 |
| * | Haemonetics Corp. | 26,409 | 1,872 |
| * | Array BioPharma Inc. | 106,832 | 1,850 |
| * | Sarepta Therapeutics Inc. | 28,506 | 1,789 |
| * | Neogen Corp. | 30,232 | 1,762 |
| * | HealthEquity Inc. | 30,563 | 1,760 |
| * | AMN Healthcare Services Inc. | 28,955 | 1,611 |
| * | Amicus Therapeutics Inc. | 113,932 | 1,568 |
| * | Clovis Oncology Inc. | 26,819 | 1,557 |
| * | Loxo Oncology Inc. | 13,952 | 1,552 |
| * | NuVasive Inc. | 31,164 | 1,507 |
| * | ICU Medical Inc. | 6,515 | 1,507 |
| * | Halozyme Therapeutics Inc. | 72,826 | 1,432 |
| * | Syneos Health Inc. | 33,529 | 1,405 |
| * | Nevro Corp. | 16,916 | 1,372 |
| * | Portola Pharmaceuticals Inc. | 32,093 | 1,358 |
| * | Merit Medical Systems Inc. | 29,719 | 1,352 |
| * | AnaptysBio Inc. | 10,896 | 1,338 |
| * | Global Blood Therapeutics Inc. | 22,540 | 1,322 |
| *,^ | Teladoc Inc. | 32,919 | 1,320 |
| * | Wright Medical Group NV | 63,818 | 1,299 |
| * | Inogen Inc. | 10,401 | 1,257 |
| * | Sangamo Therapeutics Inc. | 51,185 | 1,226 |
| * | Medicines Co. | 38,989 | 1,194 |
| * | Select Medical Holdings Corp. | 65,580 | 1,187 |
| * | Ironwood Pharmaceuticals Inc. Class A | 82,144 | 1,166 |
| * | Ultragenyx Pharmaceutical Inc. | 24,139 | 1,154 |
| * | Supernus Pharmaceuticals Inc. | 29,474 | 1,147 |
| * | Puma Biotechnology Inc. | 17,540 | 1,146 |
| * | Prestige Brands Holdings Inc. | 32,545 | 1,100 |
| * | Magellan Health Inc. | 10,748 | 1,084 |
| * | Aerie Pharmaceuticals Inc. | 20,214 | 1,034 |
| * | Cambrex Corp. | 19,894 | 1,034 |
| * | Amedisys Inc. | 17,393 | 1,030 |
| * | Tenet Healthcare Corp. | 49,569 | 1,021 |
| * | Omnicell Inc. | 22,886 | 999 |
| * | Insmed Inc. | 39,983 | 968 |
| * | Spark Therapeutics Inc. | 16,854 | 962 |
| * | Arena Pharmaceuticals Inc. | 24,091 | 934 |
| * | NxStage Medical Inc. | 39,786 | 926 |
| | Abaxis Inc. | 13,429 | 895 |
| * | Radius Health Inc. | 23,324 | 888 |
| * | Corcept Therapeutics Inc. | 55,541 | 844 |
| * | Esperion Therapeutics Inc. | 10,398 | 836 |
| * | Varex Imaging Corp. | 23,108 | 806 |
| * | Acceleron Pharma Inc. | 18,927 | 794 |
| * | Repligen Corp. | 22,872 | 784 |
| * | Quidel Corp. | 17,319 | 755 |
| * | Pacira Pharmaceuticals Inc. | 24,062 | 753 |
| * | Cotiviti Holdings Inc. | 22,407 | 751 |
| * | Foundation Medicine Inc. | 8,896 | 736 |
| * | Novocure Ltd. | 35,209 | 724 |
| * | HMS Holdings Corp. | 44,465 | 713 |
| * | Innoviva Inc. | 45,731 | 709 |
| * | Xencor Inc. | 23,153 | 709 |
| * | Aimmune Therapeutics Inc. | 21,521 | 699 |
| * | ImmunoGen Inc. | 61,240 | 680 |
| *,^ | Theravance Biopharma Inc. | 25,532 | 673 |
64
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Zogenix Inc. | 15,693 | 665 |
| * | MyoKardia Inc. | 10,924 | 636 |
| * | BioTelemetry Inc. | 19,432 | 628 |
| * | Prothena Corp. plc | 18,115 | 610 |
| * | Intersect ENT Inc. | 16,267 | 599 |
| * | LHC Group Inc. | 9,010 | 580 |
| * | Natus Medical Inc. | 18,621 | 580 |
| | US Physical Therapy Inc. | 7,389 | 573 |
| * | Tivity Health Inc. | 14,835 | 572 |
| * | OraSure Technologies Inc. | 32,536 | 562 |
| * | Assembly Biosciences Inc. | 9,881 | 561 |
| * | Editas Medicine Inc. | 15,149 | 555 |
| * | Glaukos Corp. | 17,419 | 545 |
| * | iRhythm Technologies Inc. | 8,725 | 542 |
| * | CytomX Therapeutics Inc. | 17,668 | 525 |
| * | K2M Group Holdings Inc. | 25,130 | 520 |
| *,^ | Flexion Therapeutics Inc. | 20,056 | 509 |
| * | PTC Therapeutics Inc. | 19,656 | 506 |
| *,^ | TherapeuticsMD Inc. | 101,159 | 506 |
| * | Vanda Pharmaceuticals Inc. | 26,756 | 504 |
| | Atrion Corp. | 856 | 504 |
| * | Dermira Inc. | 19,135 | 492 |
| * | Emergent BioSolutions Inc. | 9,857 | 490 |
| * | Cardiovascular Systems Inc. | 20,487 | 487 |
| * | AxoGen Inc. | 16,602 | 485 |
| * | Heron Therapeutics Inc. | 23,711 | 483 |
| | Ensign Group Inc. | 17,222 | 460 |
| * | MiMedx Group Inc. | 63,175 | 448 |
| *,^ | TG Therapeutics Inc. | 31,580 | 442 |
| | Phibro Animal Health Corp. Class A | 11,449 | 440 |
| * | Revance Therapeutics Inc. | 14,051 | 435 |
| * | Amphastar Pharmaceuticals Inc. | 22,109 | 406 |
| * | Immunomedics Inc. | 23,907 | 404 |
| *,^ | Accelerate Diagnostics Inc. | 14,906 | 392 |
| * | Epizyme Inc. | 22,136 | 392 |
| * | STAAR Surgical Co. | 24,861 | 390 |
| * | Akebia Therapeutics Inc. | 27,147 | 388 |
| * | Genomic Health Inc. | 12,069 | 386 |
| * | Anika Therapeutics Inc. | 7,348 | 382 |
| * | R1 RCM Inc. | 56,166 | 368 |
| *,^ | WaVe Life Sciences Ltd. | 7,195 | 367 |
| * | Cutera Inc. | 8,029 | 362 |
| * | Providence Service Corp. | 5,646 | 359 |
| * | AtriCure Inc. | 19,772 | 349 |
| * | Rigel Pharmaceuticals Inc. | 90,929 | 342 |
| *,^ | La Jolla Pharmaceutical Co. | 10,769 | 334 |
| * | Madrigal Pharmaceuticals Inc. | 2,544 | 321 |
| | LeMaitre Vascular Inc. | 9,093 | 316 |
| * | Audentes Therapeutics Inc. | 9,269 | 312 |
| * | ANI Pharmaceuticals Inc. | 4,862 | 312 |
| | Meridian Bioscience Inc. | 22,071 | 308 |
| *,^ | ZIOPHARM Oncology Inc. | 79,657 | 297 |
| * | NeoGenomics Inc. | 34,315 | 288 |
| * | Progenics Pharmaceuticals Inc. | 42,804 | 286 |
| * | Aclaris Therapeutics Inc. | 14,308 | 285 |
| * | CorVel Corp. | 5,748 | 281 |
| * | Omeros Corp. | 27,831 | 281 |
| * | Kura Oncology Inc. | 12,358 | 279 |
| * | Eagle Pharmaceuticals Inc. | 4,948 | 278 |
| * | Accuray Inc. | 49,911 | 277 |
| *,^ | Synergy Pharmaceuticals Inc. | 152,785 | 277 |
| * | Heska Corp. | 4,063 | 276 |
| * | Cerus Corp. | 61,581 | 264 |
| * | Lantheus Holdings Inc. | 16,990 | 260 |
65
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Tactile Systems Technology Inc. | 8,014 | 259 |
| * | Quality Systems Inc. | 20,620 | 259 |
| * | CryoLife Inc. | 13,511 | 256 |
| * | BioCryst Pharmaceuticals Inc. | 51,154 | 254 |
| *,^ | Keryx Biopharmaceuticals Inc. | 54,109 | 248 |
| * | Depomed Inc. | 35,375 | 243 |
| * | Surmodics Inc. | 7,968 | 240 |
| * | Coherus Biosciences Inc. | 23,219 | 230 |
| * | Codexis Inc. | 23,780 | 227 |
| * | Lexicon Pharmaceuticals Inc. | 26,055 | 225 |
| * | RadNet Inc. | 22,328 | 223 |
| *,^ | Corbus Pharmaceuticals Holdings Inc. | 30,015 | 222 |
| | Luminex Corp. | 11,156 | 219 |
| *,^ | Achaogen Inc. | 20,928 | 218 |
| *,^ | Geron Corp. | 91,117 | 210 |
| * | Agenus Inc. | 38,446 | 207 |
| *,^ | Inovio Pharmaceuticals Inc. | 49,920 | 205 |
| * | Endologix Inc. | 50,434 | 203 |
| *,^ | Cara Therapeutics Inc. | 14,133 | 198 |
| * | Cytokinetics Inc. | 25,456 | 197 |
| * | Momenta Pharmaceuticals Inc. | 11,490 | 196 |
| * | Biohaven Pharmaceutical Holding Co. Ltd. | 5,735 | 194 |
| * | Antares Pharma Inc. | 88,083 | 194 |
| * | Corium International Inc. | 14,901 | 194 |
| * | Tabula Rasa HealthCare Inc. | 5,984 | 193 |
| * | Jounce Therapeutics Inc. | 8,950 | 189 |
| * | Paratek Pharmaceuticals Inc. | 14,398 | 189 |
| * | Pieris Pharmaceuticals Inc. | 22,115 | 188 |
| *,^ | MediciNova Inc. | 17,871 | 187 |
| * | Entellus Medical Inc. | 7,519 | 180 |
| *,^ | Surgery Partners Inc. | 11,361 | 180 |
| * | Edge Therapeutics Inc. | 11,957 | 180 |
| * | Capital Senior Living Corp. | 15,056 | 178 |
| * | Natera Inc. | 19,586 | 176 |
| * | Invitae Corp. | 26,122 | 172 |
| * | Aduro Biotech Inc. | 27,007 | 169 |
| * | Oxford Immunotec Global plc | 15,451 | 168 |
| * | Reata Pharmaceuticals Inc. Class A | 6,931 | 167 |
| * | Fluidigm Corp. | 23,638 | 160 |
| *,^ | Novavax Inc. | 73,330 | 159 |
| *,^ | Rockwell Medical Inc. | 27,183 | 158 |
| * | Addus HomeCare Corp. | 4,605 | 158 |
| | Utah Medical Products Inc. | 1,777 | 158 |
| *,^ | ViewRay Inc. | 18,745 | 156 |
| * | Pacific Biosciences of California Inc. | 63,641 | 151 |
| * | Enzo Biochem Inc. | 23,860 | 151 |
| | National Research Corp. Class A | 5,309 | 150 |
| * | MacroGenics Inc. | 5,978 | 150 |
| * | ChemoCentryx Inc. | 14,976 | 146 |
| * | Calithera Biosciences Inc. | 18,768 | 145 |
| * | Idera Pharmaceuticals Inc. | 81,567 | 144 |
| * | Catalyst Pharmaceuticals Inc. | 44,127 | 141 |
| * | BioSpecifics Technologies Corp. | 3,468 | 140 |
| * | Castlight Health Inc. Class B | 39,176 | 139 |
| * | REGENXBIO Inc. | 4,757 | 135 |
| * | Cross Country Healthcare Inc. | 10,014 | 130 |
| * | GenMark Diagnostics Inc. | 31,239 | 129 |
| * | Civitas Solutions Inc. | 9,884 | 129 |
| * | NewLink Genetics Corp. | 17,687 | 127 |
| * | Seres Therapeutics Inc. | 12,710 | 121 |
| * | Neos Therapeutics Inc. | 14,341 | 119 |
| *,^ | Adamas Pharmaceuticals Inc. | 4,815 | 118 |
| *,^ | Akcea Therapeutics Inc. | 6,873 | 117 |
| * | Almost Family Inc. | 1,971 | 116 |
66
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Orthofix International NV | 2,060 | 115 |
| * | Strongbridge Biopharma plc | 15,068 | 110 |
| | Computer Programs & Systems Inc. | 3,641 | 109 |
| * | Durect Corp. | 87,784 | 107 |
| * | RTI Surgical Inc. | 25,125 | 107 |
| *,^ | Insys Therapeutics Inc. | 14,646 | 107 |
| * | Tocagen Inc. | 9,670 | 105 |
| *,^ | Pulse Biosciences Inc. | 5,626 | 104 |
| * | American Renal Associates Holdings Inc. | 5,222 | 104 |
| * | Concert Pharmaceuticals Inc. | 4,706 | 103 |
| * | Rhythm Pharmaceuticals Inc. | 3,733 | 97 |
| * | Deciphera Pharmaceuticals Inc. | 3,743 | 94 |
| * | Alder Biopharmaceuticals Inc. | 6,683 | 93 |
| * | Apellis Pharmaceuticals Inc. | 4,897 | 90 |
| * | Aratana Therapeutics Inc. | 23,765 | 88 |
| * | Acorda Therapeutics Inc. | 3,710 | 88 |
| * | Veracyte Inc. | 14,239 | 86 |
| * | Fortress Biotech Inc. | 20,086 | 86 |
| * | Conatus Pharmaceuticals Inc. | 16,131 | 84 |
| * | G1 Therapeutics Inc. | 3,689 | 83 |
| * | Bellicum Pharmaceuticals Inc. | 11,839 | 82 |
| *,^ | Athersys Inc. | 59,798 | 82 |
| * | FONAR Corp. | 3,255 | 80 |
| * | Syros Pharmaceuticals Inc. | 7,500 | 79 |
| *,^ | VBI Vaccines Inc. | 21,122 | 78 |
| * | Selecta Biosciences Inc. | 8,313 | 76 |
| * | Ocular Therapeutix Inc. | 14,063 | 74 |
| * | Minerva Neurosciences Inc. | 13,753 | 72 |
| * | PetIQ Inc. | 3,276 | 72 |
| * | Triple-S Management Corp. Class B | 2,947 | 72 |
| *,^ | Dova Pharmaceuticals Inc. | 2,362 | 71 |
| *,^ | Zynerba Pharmaceuticals Inc. | 7,258 | 71 |
| * | Calyxt Inc. | 3,819 | 70 |
| * | Teligent Inc. | 24,677 | 69 |
| * | Fate Therapeutics Inc. | 5,981 | 67 |
| * | Karyopharm Therapeutics Inc. | 4,351 | 64 |
| * | Organovo Holdings Inc. | 63,424 | 64 |
| *,^ | Corindus Vascular Robotics Inc. | 63,922 | 64 |
| * | Syndax Pharmaceuticals Inc. | 6,634 | 60 |
| *,^ | Anavex Life Sciences Corp. | 23,799 | 56 |
| * | Merrimack Pharmaceuticals Inc. | 4,883 | 54 |
| *,^ | XBiotech Inc. | 10,610 | 51 |
| * | Protagonist Therapeutics Inc. | 2,961 | 50 |
| * | Clearside Biomedical Inc. | 7,604 | 49 |
| * | Athenex Inc. | 3,082 | 49 |
| *,^ | Optinose Inc. | 2,673 | 47 |
| * | Kala Pharmaceuticals Inc. | 3,297 | 46 |
| * | Dynavax Technologies Corp. | 2,833 | 46 |
| *,^ | Quotient Ltd. | 9,935 | 46 |
| * | Iovance Biotherapeutics Inc. | 2,629 | 46 |
| * | Ra Pharmaceuticals Inc. | 7,101 | 45 |
| * | Stemline Therapeutics Inc. | 2,593 | 44 |
| *,^ | Asterias Biotherapeutics Inc. Class A | 19,181 | 41 |
| * | Curis Inc. | 80,833 | 40 |
| *,^ | Matinas BioPharma Holdings Inc. | 40,053 | 40 |
| *,^ | Advaxis Inc. | 21,236 | 40 |
| * | Mersana Therapeutics Inc. | 2,268 | 39 |
| * | Miragen Therapeutics Inc. | 6,881 | 38 |
| * | Viveve Medical Inc. | 8,796 | 38 |
| * | OrthoPediatrics Corp. | 2,151 | 38 |
| *,^ | Genesis Healthcare Inc. | 28,260 | 38 |
| * | Sienna Biopharmaceuticals Inc. | 2,210 | 35 |
| * | Versartis Inc. | 21,162 | 34 |
| * | BioScrip Inc. | 9,643 | 30 |
67
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | NanoString Technologies Inc. | 4,693 | 30 |
| * | Axovant Sciences Ltd. | 20,130 | 29 |
| * | Spero Therapeutics Inc. | 2,733 | 29 |
| * | scPharmaceuticals Inc. | 1,733 | 28 |
| *,^ | Nymox Pharmaceutical Corp. | 8,017 | 26 |
| * | vTv Therapeutics Inc. Class A | 4,373 | 25 |
| * | Ovid therapeutics Inc. | 3,377 | 22 |
| * | Celcuity Inc. | 1,273 | 22 |
| * | Collegium Pharmaceutical Inc. | 775 | 19 |
| * | Allena Pharmaceuticals Inc. | 2,440 | 17 |
| * | Odonate Therapeutics Inc. | 576 | 16 |
| * | Aileron Therapeutics Inc. | 1,765 | 14 |
| * | Genocea Biosciences Inc. | 13,719 | 14 |
| * | Obalon Therapeutics Inc. | 3,056 | 12 |
| * | Restoration Robotics Inc. | 2,126 | 12 |
| * | Kindred Biosciences Inc. | 1,248 | 11 |
| * | ConforMIS Inc. | 7,756 | 11 |
| * | Quanterix Corp. | 414 | 9 |
| * | Denali Therapeutics Inc. | 337 | 8 |
| * | Immune Design Corp. | 2,501 | 7 |
| * | Oncocyte Corp. | 2,053 | 7 |
| * | Melinta Therapeutics Inc. | 451 | 6 |
| * | ARMO BioSciences Inc. | 113 | 5 |
| * | Solid Biosciences Inc. | 155 | 5 |
| * | Recro Pharma Inc. | 485 | 4 |
| * | Trevena Inc. | 1,736 | 3 |
| | | | 164,122 |
| Materials & Processing (8.1%) | | |
| | Louisiana-Pacific Corp. | 83,709 | 2,386 |
| * | Summit Materials Inc. Class A | 67,873 | 2,147 |
| | PolyOne Corp. | 49,193 | 2,032 |
| * | Ingevity Corp. | 26,078 | 1,953 |
| | Sensient Technologies Corp. | 27,091 | 1,949 |
| * | Trex Co. Inc. | 18,049 | 1,866 |
| | KapStone Paper and Packaging Corp. | 53,133 | 1,854 |
| * | RBC Bearings Inc. | 14,280 | 1,721 |
| * | Beacon Roofing Supply Inc. | 30,492 | 1,613 |
| | Cabot Microelectronics Corp. | 15,214 | 1,550 |
| | Trinseo SA | 19,028 | 1,515 |
| | Balchem Corp. | 19,353 | 1,456 |
| * | Builders FirstSource Inc. | 67,715 | 1,299 |
| * | JELD-WEN Holding Inc. | 41,238 | 1,285 |
| | HB Fuller Co. | 23,112 | 1,165 |
| | Compass Minerals International Inc. | 18,899 | 1,140 |
| | Quaker Chemical Corp. | 7,948 | 1,133 |
| | Worthington Industries Inc. | 25,050 | 1,108 |
| * | Ferro Corp. | 51,170 | 1,094 |
| | Universal Forest Products Inc. | 32,610 | 1,074 |
| * | Masonite International Corp. | 17,332 | 1,058 |
| | AAON Inc. | 25,411 | 934 |
| | Comfort Systems USA Inc. | 22,553 | 926 |
| | Mueller Industries Inc. | 34,883 | 924 |
| * | Patrick Industries Inc. | 14,880 | 914 |
| | Minerals Technologies Inc. | 12,166 | 836 |
| | Interface Inc. Class A | 32,752 | 793 |
| | US Silica Holdings Inc. | 30,571 | 791 |
| * | Installed Building Products Inc. | 13,228 | 790 |
| | Greif Inc. Class A | 13,506 | 778 |
| | A Schulman Inc. | 17,439 | 765 |
| | Apogee Enterprises Inc. | 17,260 | 745 |
| * | US Concrete Inc. | 9,661 | 703 |
| * | AdvanSix Inc. | 15,796 | 653 |
| | Neenah Inc. | 8,400 | 644 |
| * | Continental Building Products Inc. | 23,207 | 631 |
68
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Mueller Water Products Inc. Class A | 57,268 | 630 |
| | Stepan Co. | 7,754 | 621 |
| | Advanced Drainage Systems Inc. | 21,511 | 550 |
| * | GMS Inc. | 16,751 | 519 |
| * | PGT Innovations Inc. | 29,409 | 515 |
| * | Koppers Holdings Inc. | 12,694 | 513 |
| | KMG Chemicals Inc. | 8,024 | 481 |
| | Chase Corp. | 4,344 | 452 |
| * | NCI Building Systems Inc. | 24,381 | 397 |
| | NN Inc. | 16,480 | 394 |
| | Global Brass & Copper Holdings Inc. | 12,135 | 343 |
| | Rayonier Advanced Materials Inc. | 16,480 | 336 |
| | Kronos Worldwide Inc. | 13,765 | 295 |
| * | Ply Gem Holdings Inc. | 13,601 | 294 |
| | Griffon Corp. | 15,475 | 289 |
| | Insteel Industries Inc. | 9,855 | 278 |
| | Myers Industries Inc. | 14,009 | 265 |
| | Simpson Manufacturing Co. Inc. | 3,820 | 211 |
| | Caesarstone Ltd. | 8,863 | 192 |
| | Boise Cascade Co. | 4,618 | 186 |
| | Culp Inc. | 6,591 | 183 |
| | Greif Inc. Class B | 2,965 | 178 |
| * | OMNOVA Solutions Inc. | 17,543 | 177 |
| * | Kraton Corp. | 3,932 | 167 |
| | Schweitzer-Mauduit International Inc. | 3,654 | 143 |
| * | Coeur Mining Inc. | 18,161 | 139 |
| *,^ | Uranium Energy Corp. | 80,809 | 105 |
| | Omega Flex Inc. | 1,816 | 101 |
| * | PQ Group Holdings Inc. | 6,010 | 81 |
| *,^ | Forterra Inc. | 11,296 | 80 |
| * | Lawson Products Inc. | 3,048 | 71 |
| * | Huttig Building Products Inc. | 11,119 | 57 |
| | Calgon Carbon Corp. | 2,477 | 53 |
| * | Landec Corp. | 3,835 | 50 |
| * | Klondex Mines Ltd. | 32,242 | 43 |
| | Hawkins Inc. | 1,200 | 40 |
| * | Shiloh Industries Inc. | 5,359 | 39 |
| * | Foundation Building Materials Inc. | 2,817 | 39 |
| * | BMC Stock Holdings Inc. | 2,037 | 38 |
| * | Century Aluminum Co. | 1,764 | 34 |
| | Quanex Building Products Corp. | 1,913 | 32 |
| * | Verso Corp. | 1,425 | 25 |
| | United States Lime & Minerals Inc. | 128 | 9 |
| | Valhi Inc. | 1,000 | 6 |
| | | | 53,876 |
| Other (0.0%)2 | | |
| *,3 | Dyax Corp. CVR Exp. 12/31/2019 | 73,258 | 146 |
| *,^,3 | Tobira Therapeutics CVR Exp. 12/31/2028 | 3,989 | 18 |
| * | Cactus Inc. | 639 | 16 |
| * | Victory Capital Holdings Inc. Class A | 1,125 | 15 |
| * | Evolus Inc. | 422 | 5 |
| * | Cardlytics Inc. | 277 | 5 |
| * | Menlo Therapeutics Inc. | 143 | 5 |
| * | Quintana Energy Services Inc. | 284 | 3 |
| *,3 | Omthera Pharmaceuticals Inc. CVR | 2,001 | 1 |
| *,3 | NewStar Financial Inc. CVR Line | 2,203 | 1 |
| *,3 | Clinical Data CVR | 367 | — |
| *,3 | Chelsea Therapeutics International Ltd. CVR | 27,975 | — |
| | | | 215 |
| Producer Durables (15.7%) | | |
| | Knight-Swift Transportation Holdings Inc. | 76,859 | 3,702 |
| | Littelfuse Inc. | 13,784 | 2,860 |
| | Curtiss-Wright Corp. | 20,238 | 2,732 |
| | MAXIMUS Inc. | 39,308 | 2,633 |
69
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | On Assignment Inc. | 30,582 | 2,345 |
| | Woodward Inc. | 32,648 | 2,312 |
| | John Bean Technologies Corp. | 19,247 | 2,132 |
| | Deluxe Corp. | 29,725 | 2,110 |
| * | MasTec Inc. | 40,818 | 2,080 |
| | EMCOR Group Inc. | 27,189 | 2,075 |
| | Brink's Co. | 28,120 | 2,067 |
| | Kennametal Inc. | 49,247 | 2,029 |
| * | Dycom Industries Inc. | 18,486 | 2,019 |
| | Healthcare Services Group Inc. | 43,564 | 1,979 |
| | EnerSys | 26,760 | 1,865 |
| | Hillenbrand Inc. | 38,687 | 1,698 |
| * | Generac Holdings Inc. | 37,319 | 1,660 |
| | Applied Industrial Technologies Inc. | 23,483 | 1,653 |
| * | Proto Labs Inc. | 15,156 | 1,651 |
| | MSA Safety Inc. | 20,446 | 1,649 |
| * | Advanced Energy Industries Inc. | 24,248 | 1,608 |
| | Tetra Tech Inc. | 31,832 | 1,558 |
| * | Itron Inc. | 20,881 | 1,462 |
| | Insperity Inc. | 22,156 | 1,447 |
| | Allegiant Travel Co. Class A | 7,735 | 1,286 |
| * | WageWorks Inc. | 24,395 | 1,280 |
| | Exponent Inc. | 15,678 | 1,219 |
| * | TriNet Group Inc. | 25,332 | 1,195 |
| * | ExlService Holdings Inc. | 20,103 | 1,146 |
| * | Aerojet Rocketdyne Holdings Inc. | 42,232 | 1,140 |
| | Herman Miller Inc. | 31,068 | 1,115 |
| *,^ | Axon Enterprise Inc. | 31,810 | 1,108 |
| | Granite Construction Inc. | 18,958 | 1,101 |
| | Covanta Holding Corp. | 71,549 | 1,070 |
| | Franklin Electric Co. Inc. | 26,797 | 1,049 |
| | Hawaiian Holdings Inc. | 28,780 | 1,036 |
| * | Harsco Corp. | 49,281 | 998 |
| | Forward Air Corp. | 18,131 | 979 |
| | HNI Corp. | 26,425 | 977 |
| * | Herc Holdings Inc. | 14,851 | 968 |
| * | Air Transport Services Group Inc. | 35,861 | 949 |
| | EnPro Industries Inc. | 13,004 | 942 |
| * | TopBuild Corp. | 12,919 | 900 |
| | Albany International Corp. | 13,751 | 875 |
| | General Cable Corp. | 28,296 | 836 |
| | Brady Corp. Class A | 22,157 | 829 |
| * | SPX Corp. | 26,122 | 816 |
| | Badger Meter Inc. | 17,129 | 815 |
| * | Electronics For Imaging Inc. | 28,262 | 774 |
| | Altra Industrial Motion Corp. | 17,602 | 764 |
| * | Paylocity Holding Corp. | 16,207 | 758 |
| | Sun Hydraulics Corp. | 14,497 | 753 |
| | Raven Industries Inc. | 22,026 | 748 |
| | Watts Water Technologies Inc. Class A | 9,879 | 746 |
| | H&E Equipment Services Inc. | 19,207 | 724 |
| | US Ecology Inc. | 13,325 | 705 |
| * | OSI Systems Inc. | 10,768 | 680 |
| | Tennant Co. | 10,277 | 662 |
| | AZZ Inc. | 15,828 | 647 |
| | Kadant Inc. | 6,615 | 631 |
| * | Milacron Holdings Corp. | 29,380 | 630 |
| ^ | Schneider National Inc. Class B | 23,673 | 612 |
| | ABM Industries Inc. | 17,383 | 611 |
| | Douglas Dynamics Inc. | 13,472 | 599 |
| * | Advanced Disposal Services Inc. | 26,742 | 598 |
| | Primoris Services Corp. | 23,981 | 597 |
| | Knoll Inc. | 27,700 | 589 |
| | Standex International Corp. | 6,067 | 583 |
70
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Steelcase Inc. Class A | 41,850 | 571 |
| | Lindsay Corp. | 6,400 | 566 |
| | Alamo Group Inc. | 4,992 | 555 |
| | Heartland Express Inc. | 27,361 | 534 |
| | Multi-Color Corp. | 8,330 | 528 |
| * | Astronics Corp. | 13,043 | 503 |
| * | Saia Inc. | 6,785 | 493 |
| * | Lydall Inc. | 10,150 | 489 |
| * | Atkore International Group Inc. | 20,186 | 439 |
| | Actuant Corp. Class A | 18,434 | 418 |
| | Kforce Inc. | 14,266 | 395 |
| | Astec Industries Inc. | 6,521 | 384 |
| * | Rush Enterprises Inc. Class A | 8,957 | 381 |
| | Hyster-Yale Materials Handling Inc. | 5,258 | 374 |
| | REV Group Inc. | 13,804 | 373 |
| | Argan Inc. | 8,836 | 353 |
| | Matson Inc. | 12,091 | 345 |
| * | Control4 Corp. | 13,995 | 336 |
| | Barrett Business Services Inc. | 4,344 | 323 |
| * | SPX FLOW Inc. | 6,530 | 318 |
| | Kimball International Inc. Class B | 19,084 | 314 |
| * | TTEC Holdings Inc. | 8,573 | 306 |
| | Quad/Graphics Inc. | 10,772 | 284 |
| | Mesa Laboratories Inc. | 2,009 | 263 |
| | Hackett Group Inc. | 14,538 | 262 |
| *,^ | Plug Power Inc. | 138,628 | 258 |
| *,^ | Energous Corp. | 11,610 | 256 |
| | Forrester Research Inc. | 6,246 | 253 |
| * | Evoqua Water Technologies Corp. | 11,013 | 252 |
| | Barnes Group Inc. | 4,099 | 247 |
| * | Kratos Defense & Security Solutions Inc. | 20,349 | 245 |
| * | InnerWorkings Inc. | 26,563 | 245 |
| * | Vicor Corp. | 9,354 | 241 |
| | CIRCOR International Inc. | 4,974 | 234 |
| * | DXP Enterprises Inc. | 7,454 | 222 |
| | Wabash National Corp. | 9,926 | 217 |
| | Federal Signal Corp. | 8,757 | 187 |
| | Spartan Motors Inc. | 12,460 | 184 |
| * | CSW Industrials Inc. | 3,859 | 177 |
| * | NV5 Global Inc. | 3,764 | 163 |
| * | Commercial Vehicle Group Inc. | 15,610 | 158 |
| * | FARO Technologies Inc. | 2,610 | 155 |
| | Systemax Inc. | 5,378 | 154 |
| * | GP Strategies Corp. | 6,955 | 153 |
| *,^ | Energy Recovery Inc. | 22,243 | 153 |
| * | Moog Inc. Class A | 1,805 | 151 |
| | KBR Inc. | 9,556 | 145 |
| * | MYR Group Inc. | 4,466 | 144 |
| * | Hudson Technologies Inc. | 22,762 | 139 |
| * | Daseke Inc. | 13,775 | 139 |
| * | Team Inc. | 8,356 | 137 |
| * | HC2 Holdings Inc. | 25,745 | 128 |
| | Allied Motion Technologies Inc. | 4,067 | 127 |
| * | Casella Waste Systems Inc. Class A | 4,716 | 120 |
| * | SP Plus Corp. | 3,236 | 116 |
| * | ServiceSource International Inc. | 31,117 | 114 |
| * | Hill International Inc. | 19,201 | 107 |
| * | Willdan Group Inc. | 4,743 | 99 |
| * | Heritage-Crystal Clean Inc. | 4,957 | 99 |
| | RR Donnelley & Sons Co. | 12,206 | 92 |
| * | CAI International Inc. | 4,482 | 91 |
| | Kaman Corp. | 1,411 | 86 |
| * | Tutor Perini Corp. | 3,552 | 86 |
| * | Radiant Logistics Inc. | 23,076 | 85 |
71
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Universal Logistics Holdings Inc. | 3,733 | 82 |
| ^ | EnviroStar Inc. | 2,244 | 77 |
| | ArcBest Corp. | 2,145 | 71 |
| | BG Staffing Inc. | 4,277 | 70 |
| * | Napco Security Technologies Inc. | 6,929 | 70 |
| * | StarTek Inc. | 6,440 | 70 |
| * | Ardmore Shipping Corp. | 8,792 | 66 |
| * | Sykes Enterprises Inc. | 2,231 | 65 |
| * | Navistar International Corp. | 1,707 | 64 |
| * | Rush Enterprises Inc. Class B | 1,449 | 58 |
| * | Blue Bird Corp. | 2,432 | 56 |
| *,^ | ExOne Co. | 6,442 | 54 |
| * | Orion Group Holdings Inc. | 8,297 | 52 |
| * | Information Services Group Inc. | 11,859 | 50 |
| * | Sterling Construction Co. Inc. | 3,897 | 47 |
| | McGrath RentCorp | 907 | 46 |
| | Marlin Business Services Corp. | 1,659 | 43 |
| * | YRC Worldwide Inc. | 4,431 | 39 |
| * | TrueBlue Inc. | 1,385 | 38 |
| * | Vectrus Inc. | 1,301 | 36 |
| | Advanced Emissions Solutions Inc. | 3,628 | 35 |
| *,^ | Aqua Metals Inc. | 9,966 | 23 |
| * | Mistras Group Inc. | 1,081 | 21 |
| * | Great Lakes Dredge & Dock Corp. | 3,265 | 15 |
| | Miller Industries Inc. | 519 | 13 |
| * | Willis Lease Finance Corp. | 198 | 5 |
| | | | 105,098 |
| Technology (20.3%) | | |
| *,^ | GrubHub Inc. | 52,577 | 5,227 |
| | MKS Instruments Inc. | 33,004 | 3,675 |
| * | Aspen Technology Inc. | 44,808 | 3,463 |
| * | EPAM Systems Inc. | 30,519 | 3,452 |
| | Blackbaud Inc. | 29,215 | 2,995 |
| *,^ | Paycom Software Inc. | 30,138 | 2,981 |
| | Entegris Inc. | 87,051 | 2,890 |
| * | Proofpoint Inc. | 26,746 | 2,866 |
| | Monolithic Power Systems Inc. | 24,461 | 2,863 |
| * | Zendesk Inc. | 61,050 | 2,636 |
| * | RingCentral Inc. Class A | 39,847 | 2,496 |
| * | Integrated Device Technology Inc. | 82,121 | 2,492 |
| * | Silicon Laboratories Inc. | 25,722 | 2,405 |
| * | Nutanix Inc. | 65,651 | 2,393 |
| * | HubSpot Inc. | 20,891 | 2,320 |
| * | Lumentum Holdings Inc. | 37,873 | 2,310 |
| * | Yelp Inc. Class A | 48,981 | 2,134 |
| * | Ciena Corp. | 86,534 | 2,005 |
| | Science Applications International Corp. | 26,567 | 1,923 |
| * | RealPage Inc. | 35,858 | 1,874 |
| * | Ellie Mae Inc. | 20,755 | 1,840 |
| * | Cirrus Logic Inc. | 39,405 | 1,746 |
| * | ACI Worldwide Inc. | 71,221 | 1,684 |
| | InterDigital Inc. | 21,165 | 1,520 |
| * | Rogers Corp. | 11,022 | 1,514 |
| * | Callidus Software Inc. | 41,359 | 1,485 |
| * | Qualys Inc. | 19,646 | 1,455 |
| * | Envestnet Inc. | 26,311 | 1,450 |
| * | New Relic Inc. | 18,735 | 1,345 |
| * | Semtech Corp. | 39,599 | 1,332 |
| * | Cornerstone OnDemand Inc. | 32,388 | 1,328 |
| * | Twilio Inc. Class A | 38,132 | 1,303 |
| | Pegasystems Inc. | 22,389 | 1,299 |
| * | Pure Storage Inc. Class A | 59,505 | 1,289 |
| * | CommVault Systems Inc. | 24,363 | 1,268 |
| | Ebix Inc. | 14,689 | 1,233 |
72
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Mercury Systems Inc. | 26,391 | 1,213 |
| * | Box Inc. | 49,538 | 1,192 |
| | Power Integrations Inc. | 17,507 | 1,176 |
| | Progress Software Corp. | 24,391 | 1,143 |
| * | Cloudera Inc. | 59,726 | 1,138 |
| | Brooks Automation Inc. | 42,121 | 1,125 |
| *,^ | iRobot Corp. | 16,219 | 1,102 |
| * | Novanta Inc. | 19,619 | 1,096 |
| | Plantronics Inc. | 20,113 | 1,087 |
| * | Five9 Inc. | 32,508 | 987 |
| * | Synaptics Inc. | 21,008 | 976 |
| * | GTT Communications Inc. | 18,907 | 976 |
| * | Imperva Inc. | 20,816 | 971 |
| * | MINDBODY Inc. Class A | 26,264 | 936 |
| * | Groupon Inc. Class A | 207,999 | 890 |
| *,^ | Ubiquiti Networks Inc. | 13,776 | 876 |
| * | Q2 Holdings Inc. | 19,115 | 871 |
| | Methode Electronics Inc. | 21,848 | 862 |
| * | Coupa Software Inc. | 19,312 | 861 |
| * | MaxLinear Inc. | 37,574 | 854 |
| * | Bottomline Technologies de Inc. | 21,378 | 812 |
| | CSG Systems International Inc. | 16,855 | 787 |
| * | Extreme Networks Inc. | 68,265 | 779 |
| ^ | Diebold Nixdorf Inc. | 46,095 | 724 |
| *,^ | Inphi Corp. | 25,759 | 715 |
| * | Acxiom Corp. | 25,060 | 686 |
| * | Varonis Systems Inc. | 11,998 | 674 |
| * | Fabrinet | 22,149 | 668 |
| | Xperi Corp. | 29,807 | 657 |
| *,^ | 3D Systems Corp. | 66,694 | 634 |
| * | Oclaro Inc. | 87,936 | 630 |
| * | SPS Commerce Inc. | 10,344 | 621 |
| * | ePlus Inc. | 8,036 | 615 |
| * | KEMET Corp. | 33,898 | 609 |
| * | Finisar Corp. | 32,198 | 580 |
| * | FormFactor Inc. | 43,956 | 576 |
| * | Virtusa Corp. | 12,005 | 573 |
| * | Hortonworks Inc. | 30,572 | 550 |
| * | Syntel Inc. | 20,157 | 541 |
| *,^ | MACOM Technology Solutions Holdings Inc. | 24,936 | 532 |
| | NIC Inc. | 39,192 | 529 |
| * | PROS Holdings Inc. | 16,388 | 514 |
| * | Viavi Solutions Inc. | 52,094 | 501 |
| * | CalAmp Corp. | 21,090 | 493 |
| * | Alteryx Inc. Class A | 14,428 | 493 |
| * | LivePerson Inc. | 33,954 | 491 |
| * | CEVA Inc. | 13,331 | 490 |
| * | Vocera Communications Inc. | 17,738 | 488 |
| * | TrueCar Inc. | 43,196 | 479 |
| * | Inovalon Holdings Inc. Class A | 39,261 | 471 |
| * | Okta Inc. | 11,972 | 462 |
| * | MuleSoft Inc. Class A | 14,786 | 457 |
| * | Rudolph Technologies Inc. | 17,059 | 453 |
| * | Lattice Semiconductor Corp. | 74,795 | 450 |
| | SYNNEX Corp. | 3,620 | 448 |
| * | Alarm.com Holdings Inc. | 12,362 | 447 |
| * | Axcelis Technologies Inc. | 18,268 | 447 |
| * | Carbonite Inc. | 15,478 | 436 |
| * | Blackline Inc. | 9,673 | 426 |
| * | Web.com Group Inc. | 23,421 | 422 |
| * | Apptio Inc. Class A | 14,344 | 415 |
| * | II-VI Inc. | 10,764 | 414 |
| * | MicroStrategy Inc. Class A | 3,238 | 414 |
| * | Acacia Communications Inc. | 10,555 | 408 |
73
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Ambarella Inc. | 8,352 | 402 |
| * | Ultra Clean Holdings Inc. | 19,999 | 385 |
| * | Workiva Inc. | 15,702 | 357 |
| * | Rapid7 Inc. | 13,186 | 348 |
| * | Loral Space & Communications Inc. | 7,815 | 346 |
| * | CommerceHub Inc. | 17,672 | 337 |
| * | Everbridge Inc. | 10,492 | 335 |
| *,^ | Tucows Inc. Class A | 5,628 | 325 |
| *,^ | Applied Optoelectronics Inc. | 11,499 | 321 |
| * | Nanometrics Inc. | 12,007 | 317 |
| �� | Monotype Imaging Holdings Inc. | 12,370 | 298 |
| * | Insight Enterprises Inc. | 8,406 | 294 |
| * | Ichor Holdings Ltd. | 11,341 | 293 |
| * | Xcerra Corp. | 28,656 | 287 |
| * | Stratasys Ltd. | 15,102 | 275 |
| * | Endurance International Group Holdings Inc. | 35,196 | 257 |
| * | Model N Inc. | 14,620 | 250 |
| * | USA Technologies Inc. | 29,949 | 244 |
| * | Verint Systems Inc. | 6,235 | 243 |
| * | Unisys Corp. | 21,501 | 241 |
| * | Appfolio Inc. | 5,819 | 233 |
| * | Benefitfocus Inc. | 9,612 | 233 |
| * | Rambus Inc. | 17,212 | 219 |
| *,^ | Immersion Corp. | 18,075 | 209 |
| * | TTM Technologies Inc. | 12,058 | 195 |
| * | A10 Networks Inc. | 30,712 | 193 |
| | NVE Corp. | 2,725 | 189 |
| * | Diodes Inc. | 6,218 | 187 |
| * | Quantenna Communications Inc. | 13,485 | 185 |
| *,^ | Yext Inc. | 14,318 | 182 |
| | QAD Inc. Class A | 4,016 | 181 |
| * | PDF Solutions Inc. | 16,153 | 180 |
| * | Tech Data Corp. | 1,687 | 174 |
| * | CommerceHub Inc. Class A | 8,533 | 169 |
| * | MobileIron Inc. | 35,102 | 168 |
| * | Internap Corp. | 12,465 | 162 |
| * | Digimarc Corp. | 6,008 | 156 |
| * | Brightcove Inc. | 20,945 | 143 |
| *,^ | Impinj Inc. | 11,185 | 142 |
| * | Mitek Systems Inc. | 18,522 | 142 |
| * | Blucora Inc. | 5,760 | 134 |
| * | Zix Corp. | 32,843 | 133 |
| * | ChannelAdvisor Corp. | 14,712 | 130 |
| * | Evolent Health Inc. Class A | 8,814 | 129 |
| * | Presidio Inc. | 8,499 | 124 |
| * | ViaSat Inc. | 1,777 | 124 |
| *,^ | VirnetX Holding Corp. | 31,396 | 121 |
| * | Upland Software Inc. | 5,052 | 121 |
| | American Software Inc. Class A | 9,640 | 120 |
| | Daktronics Inc. | 12,519 | 112 |
| * | Amber Road Inc. | 12,156 | 111 |
| * | Ooma Inc. | 10,265 | 109 |
| * | Kopin Corp. | 34,681 | 106 |
| | Reis Inc. | 5,492 | 106 |
| | Simulations Plus Inc. | 6,782 | 105 |
| * | SendGrid Inc. | 3,762 | 98 |
| * | Clearfield Inc. | 7,239 | 98 |
| * | Super Micro Computer Inc. | 5,076 | 92 |
| * | VeriFone Systems Inc. | 5,525 | 92 |
| *,^ | Aerohive Networks Inc. | 19,774 | 83 |
| * | Limelight Networks Inc. | 20,291 | 82 |
| * | Iteris Inc. | 14,668 | 82 |
| *,^ | Park City Group Inc. | 7,716 | 80 |
| * | SMART Global Holdings Inc. | 2,231 | 77 |
74
| | | |
| Vanguard® Russell 2000 Growth Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Pixelworks Inc. | 17,467 | 77 |
| * | Intevac Inc. | 12,437 | 75 |
| * | ForeScout Technologies Inc. | 2,421 | 72 |
| * | TechTarget Inc. | 4,042 | 70 |
| * | Avid Technology Inc. | 14,045 | 67 |
| | Cohu Inc. | 2,877 | 58 |
| *,^ | MicroVision Inc. | 48,968 | 54 |
| * | Telenav Inc. | 9,260 | 50 |
| *,^ | Akoustis Technologies Inc. | 7,358 | 42 |
| * | Casa Systems Inc. | 1,802 | 41 |
| * | CyberOptics Corp. | 2,433 | 40 |
| * | EMCORE Corp. | 7,082 | 38 |
| * | Aquantia Corp. | 2,687 | 37 |
| * | Amkor Technology Inc. | 3,327 | 33 |
| * | Bandwidth Inc. Class A | 1,129 | 31 |
| * | SailPoint Technologies Holding Inc. | 1,447 | 30 |
| *,^ | Ominto Inc. | 8,368 | 28 |
| | Bel Fuse Inc. Class B | 1,517 | 26 |
| *,^ | Veritone Inc. | 1,644 | 23 |
| * | Perficient Inc. | 1,159 | 23 |
| * | Tintri Inc. | 4,371 | 21 |
| * | Majesco | 3,585 | 19 |
| * | VASCO Data Security International Inc. | 1,444 | 17 |
| * | Meet Group Inc. | 6,230 | 16 |
| * | PCM Inc. | 2,257 | 16 |
| * | Altair Engineering Inc. Class A | 481 | 13 |
| * | Glu Mobile Inc. | 3,337 | 12 |
| * | Quantum Corp. | 3,169 | 12 |
| * | Alpha & Omega Semiconductor Ltd. | 680 | 10 |
| * | PlayAGS Inc. | 404 | 8 |
| * | Sparton Corp. | 322 | 7 |
| * | Cargurus Inc. | 186 | 6 |
| * | MongoDB Inc. | 141 | 5 |
| * | Radisys Corp. | 3,272 | 3 |
| * | Revolution Lighting Technologies Inc. | 802 | 3 |
| * | Global Eagle Entertainment Inc. | 1,556 | 2 |
| | | | 136,285 |
| Utilities (2.0%) | | |
| | j2 Global Inc. | 28,397 | 2,102 |
| * | Vonage Holdings Corp. | 125,732 | 1,276 |
| | Cogent Communications Holdings Inc. | 25,404 | 1,089 |
| * | 8x8 Inc. | 53,885 | 983 |
| | Shenandoah Telecommunications Co. | 28,517 | 935 |
| | American States Water Co. | 15,257 | 810 |
| | Ormat Technologies Inc. | 11,819 | 740 |
| | California Water Service Group | 18,179 | 690 |
| * | Boingo Wireless Inc. | 23,297 | 617 |
| * | GCI Liberty Inc. | 15,317 | 589 |
| | MGE Energy Inc. | 10,415 | 547 |
| * | ORBCOMM Inc. | 38,401 | 399 |
| *,^ | Gogo Inc. | 34,607 | 314 |
| | Middlesex Water Co. | 8,361 | 296 |
| | Consolidated Communications Holdings Inc. | 21,874 | 253 |
| *,^ | Globalstar Inc. | 229,038 | 218 |
| | York Water Co. | 7,123 | 200 |
| | Southwest Gas Holdings Inc. | 2,941 | 194 |
| | Pattern Energy Group Inc. Class A | 10,149 | 189 |
| | New Jersey Resources Corp. | 4,100 | 156 |
| * | Atlantic Power Corp. | 50,518 | 106 |
| * | Pure Cycle Corp. | 10,644 | 85 |
| | IDT Corp. Class B | 6,547 | 79 |
| | Chesapeake Utilities Corp. | 1,113 | 74 |
| | Global Water Resources Inc. | 6,445 | 55 |
| | Spark Energy Inc. Class A | 5,890 | 55 |
75
| | | | | |
| Vanguard® Russell 2000 Growth Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | | | Market |
| | | | | | Value |
| | | | | Shares | ($000) |
| | RGC Resources Inc. | | | 1,647 | 41 |
| | | | | | 13,092 |
| Total Common Stocks (Cost $545,666) | | | | 666,611 |
| | | Coupon | | | |
| Temporary Cash Investments (2.2%)1 | | | | |
| Money Market Fund (2.1%) | | | | |
| 4,5 | Vanguard Market Liquidity Fund | 1.601% | | 144,753 | 14,474 |
| |
| | | | | Face | |
| | | | Maturity | Amount | |
| | | | Date | ($000) | |
| U.S. Government and Agency Obligations (0.1%) | | | | |
| 6 | United States Treasury Bill | 1.602% | 5/24/18 | 200 | 199 |
| 6 | United States Treasury Bill | 1.446% | 5/31/18 | 210 | 209 |
| | | | | | 408 |
| Total Temporary Cash Investments (Cost $14,883) | | | | 14,882 |
| Total Investments (101.7%) (Cost $560,549) | | | | 681,493 |
| Other Assets and Liabilities—Net (-1.7%)5 | | | | (11,211) |
| Net Assets (100%) | | | | 670,282 |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $11,435,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 1.7%, respectively, of net
assets.
2 “Other” represents securities that are not classified by the fund’s benchmark index.
3 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 $12,212,000 of collateral received for securities on loan.
6 Securities with a value of $249,000 have been segregated as initial margin for open futures contracts.
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
76
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| |
| © 2018 The Vanguard Group, Inc. |
| All rights reserved. |
| Vanguard Marketing Corporation, Distributor. |
| |
| SNA18512 042018 |
| | | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| Common Stocks (99.7%)1 | | |
| Consumer Discretionary (14.1%) | | |
| * | Amazon.com Inc. | 16,767 | 25,359 |
| | Home Depot Inc. | 49,648 | 9,049 |
| | Comcast Corp. Class A | 195,799 | 7,090 |
| | Walt Disney Co. | 65,292 | 6,736 |
| | Walmart Inc. | 60,578 | 5,453 |
| | McDonald's Corp. | 33,603 | 5,301 |
| * | Netflix Inc. | 17,264 | 5,030 |
| * | Booking Holdings Inc. | 2,061 | 4,192 |
| | NIKE Inc. Class B | 54,251 | 3,636 |
| | Costco Wholesale Corp. | 18,198 | 3,474 |
| | Starbucks Corp. | 59,524 | 3,399 |
| | Lowe's Cos. Inc. | 34,716 | 3,110 |
| | Time Warner Inc. | 32,723 | 3,042 |
| * | Charter Communications Inc. Class A | 7,685 | 2,628 |
| | TJX Cos. Inc. | 27,021 | 2,234 |
| | General Motors Co. | 54,650 | 2,150 |
| *,^ | Tesla Inc. | 5,640 | 1,935 |
| | Marriott International Inc. Class A | 12,936 | 1,827 |
| * | eBay Inc. | 41,399 | 1,774 |
| | Target Corp. | 23,387 | 1,764 |
| | Ford Motor Co. | 165,062 | 1,751 |
| | Twenty-First Century Fox Inc. Class A | 45,633 | 1,680 |
| | Estee Lauder Cos. Inc. Class A | 9,269 | 1,283 |
| | Ross Stores Inc. | 15,965 | 1,247 |
| | Yum! Brands Inc. | 14,347 | 1,168 |
| | Carnival Corp. | 17,271 | 1,156 |
| | Las Vegas Sands Corp. | 15,312 | 1,115 |
| | Dollar General Corp. | 11,649 | 1,102 |
| | VF Corp. | 13,794 | 1,029 |
| * | Dollar Tree Inc. | 9,738 | 1,000 |
| | Aptiv plc | 10,865 | 992 |
| | Royal Caribbean Cruises Ltd. | 7,265 | 920 |
| * | O'Reilly Automotive Inc. | 3,533 | 863 |
| | Best Buy Co. Inc. | 10,853 | 786 |
| * | AutoZone Inc. | 1,159 | 770 |
| | CBS Corp. Class B | 14,093 | 747 |
| | Omnicom Group Inc. | 9,785 | 746 |
| | Hilton Worldwide Holdings Inc. | 9,213 | 744 |
| | MGM Resorts International | 21,117 | 723 |
| | Yum China Holdings Inc. | 15,613 | 676 |
| | Twenty-First Century Fox Inc. | 17,175 | 626 |
| * | Mohawk Industries Inc. | 2,603 | 624 |
| | Tapestry Inc. | 12,016 | 612 |
| | DR Horton Inc. | 14,409 | 604 |
| | Wynn Resorts Ltd. | 3,385 | 567 |
| | Genuine Parts Co. | 6,031 | 554 |
| | Expedia Inc. | 5,189 | 546 |
| * | Liberty Interactive Corp. QVC Group Class A | 18,841 | 544 |
| | Lear Corp. | 2,886 | 538 |
| | Newell Brands Inc. | 20,636 | 530 |
| * | LKQ Corp. | 12,995 | 513 |
| * | Ulta Beauty Inc. | 2,466 | 501 |
| | L Brands Inc. | 10,118 | 499 |
| | Viacom Inc. Class B | 14,743 | 492 |
| | Lennar Corp. Class A | 8,682 | 491 |
| | Nielsen Holdings plc | 15,015 | 490 |
| | Darden Restaurants Inc. | 5,266 | 485 |
| | Wyndham Worldwide Corp. | 4,188 | 485 |
| | Whirlpool Corp. | 2,950 | 479 |
| | PVH Corp. | 3,320 | 479 |
| * | Norwegian Cruise Line Holdings Ltd. | 8,418 | 479 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * CarMax Inc. | 7,710 | 477 |
| Kohl's Corp. | 7,147 | 472 |
| Tiffany & Co. | 4,552 | 460 |
| Hasbro Inc. | 4,790 | 458 |
| BorgWarner Inc. | 8,974 | 440 |
| Aramark | 10,315 | 430 |
| Domino's Pizza Inc. | 1,838 | 409 |
| * Liberty Media Corp-Liberty SiriusXM C | 9,555 | 399 |
| * NVR Inc. | 140 | 398 |
| ^ Sirius XM Holdings Inc. | 63,299 | 398 |
| * DISH Network Corp. Class A | 9,314 | 388 |
| * Michael Kors Holdings Ltd. | 6,168 | 388 |
| Fortune Brands Home & Security Inc. | 6,360 | 386 |
| Macy's Inc. | 13,092 | 385 |
| Interpublic Group of Cos. Inc. | 16,263 | 381 |
| Coty Inc. Class A | 19,594 | 379 |
| * Liberty Broadband Corp. | 4,035 | 355 |
| Vail Resorts Inc. | 1,706 | 351 |
| Advance Auto Parts Inc. | 3,058 | 349 |
| * Burlington Stores Inc. | 2,833 | 347 |
| * Chipotle Mexican Grill Inc. Class A | 1,079 | 344 |
| Tractor Supply Co. | 5,276 | 343 |
| * Lululemon Athletica Inc. | 4,012 | 325 |
| Harley-Davidson Inc. | 7,077 | 321 |
| PulteGroup Inc. | 11,319 | 318 |
| Scripps Networks Interactive Inc. Class A | 3,498 | 314 |
| Gap Inc. | 9,895 | 313 |
| KAR Auction Services Inc. | 5,773 | 312 |
| Hanesbrands Inc. | 15,624 | 303 |
| Goodyear Tire & Rubber Co. | 10,437 | 302 |
| Garmin Ltd. | 5,061 | 300 |
| Service Corp. International | 7,849 | 294 |
| Polaris Industries Inc. | 2,554 | 291 |
| * ServiceMaster Global Holdings Inc. | 5,649 | 290 |
| * WABCO Holdings Inc. | 2,095 | 289 |
| Gentex Corp. | 11,949 | 271 |
| Toll Brothers Inc. | 6,122 | 268 |
| Thor Industries Inc. | 2,080 | 268 |
| Nordstrom Inc. | 5,034 | 258 |
| * Live Nation Entertainment Inc. | 5,585 | 250 |
| Adient plc | 3,973 | 247 |
| Ralph Lauren Corp. Class A | 2,296 | 243 |
| Leggett & Platt Inc. | 5,586 | 243 |
| News Corp. Class A | 14,734 | 238 |
| Mattel Inc. | 14,845 | 236 |
| Foot Locker Inc. | 5,135 | 236 |
| Pool Corp. | 1,706 | 236 |
| * Liberty Media Corp-Liberty Formula One | 6,945 | 229 |
| H&R Block Inc. | 8,968 | 227 |
| Carter's Inc. | 1,943 | 227 |
| Dunkin' Brands Group Inc. | 3,764 | 225 |
| * Bright Horizons Family Solutions Inc. | 2,358 | 225 |
| * Skechers U.S.A. Inc. Class A | 5,443 | 223 |
| Brunswick Corp. | 3,607 | 206 |
| * Liberty Ventures Class A | 3,765 | 202 |
| Cinemark Holdings Inc. | 4,548 | 194 |
| * Grand Canyon Education Inc. | 1,886 | 185 |
| * Madison Square Garden Co. Class A | 756 | 185 |
| Delphi Technologies plc | 3,824 | 183 |
| Williams-Sonoma Inc. | 3,502 | 181 |
| * TripAdvisor Inc. | 4,445 | 178 |
| Six Flags Entertainment Corp. | 2,729 | 175 |
| * Cimpress NV | 1,034 | 168 |
| Dana Inc. | 6,265 | 166 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Texas Roadhouse Inc. Class A | 2,908 | 161 |
| * 2U Inc. | 1,936 | 160 |
| * Five Below Inc. | 2,365 | 158 |
| * Visteon Corp. | 1,274 | 158 |
| Extended Stay America Inc. | 7,864 | 158 |
| * Discovery Communications Inc. | 6,607 | 152 |
| * Hyatt Hotels Corp. Class A | 1,924 | 149 |
| * Discovery Communications Inc. Class A | 6,109 | 149 |
| Tribune Media Co. Class A | 3,516 | 147 |
| Churchill Downs Inc. | 566 | 146 |
| * Under Armour Inc. | 9,600 | 145 |
| * Planet Fitness Inc. Class A | 3,904 | 144 |
| ILG Inc. | 4,745 | 144 |
| Cable One Inc. | 207 | 141 |
| * Avis Budget Group Inc. | 3,115 | 141 |
| Signet Jewelers Ltd. | 2,697 | 136 |
| Nexstar Media Group Inc. Class A | 1,884 | 135 |
| Marriott Vacations Worldwide Corp. | 941 | 132 |
| * Hilton Grand Vacations Inc. | 3,060 | 132 |
| * Stamps.com Inc. | 690 | 132 |
| * Wayfair Inc. | 1,700 | 132 |
| American Eagle Outfitters Inc. | 6,825 | 132 |
| * Lions Gate Entertainment Corp. Class B | 4,873 | 131 |
| Wendy's Co. | 8,177 | 130 |
| Bed Bath & Beyond Inc. | 5,963 | 128 |
| Aaron's Inc. | 2,763 | 128 |
| * Deckers Outdoor Corp. | 1,343 | 127 |
| John Wiley & Sons Inc. Class A | 1,960 | 126 |
| New York Times Co. Class A | 5,207 | 126 |
| * Etsy Inc. | 4,925 | 125 |
| Boyd Gaming Corp. | 3,432 | 121 |
| * Liberty Broadband Corp. Class A | 1,376 | 120 |
| International Game Technology plc | 4,476 | 119 |
| TEGNA Inc. | 9,186 | 118 |
| * AutoNation Inc. | 2,348 | 118 |
| Wolverine World Wide Inc. | 3,996 | 117 |
| Cracker Barrel Old Country Store Inc. | 746 | 116 |
| * Urban Outfitters Inc. | 3,256 | 115 |
| * Ollie's Bargain Outlet Holdings Inc. | 1,893 | 112 |
| * Adtalem Global Education Inc. | 2,398 | 110 |
| * Taylor Morrison Home Corp. Class A | 4,906 | 110 |
| * Helen of Troy Ltd. | 1,215 | 109 |
| * Michaels Cos. Inc. | 4,748 | 109 |
| LCI Industries | 998 | 109 |
| Tenneco Inc. | 2,057 | 108 |
| Children's Place Inc. | 759 | 108 |
| Tupperware Brands Corp. | 2,195 | 108 |
| Regal Entertainment Group Class A | 4,595 | 106 |
| Dick's Sporting Goods Inc. | 3,286 | 105 |
| News Corp. Class B | 6,403 | 105 |
| Red Rock Resorts Inc. Class A | 3,133 | 105 |
| * AMC Networks Inc. Class A | 1,995 | 105 |
| Jack in the Box Inc. | 1,148 | 103 |
| Choice Hotels International Inc. | 1,303 | 103 |
| * Shutterfly Inc. | 1,334 | 102 |
| * Steven Madden Ltd. | 2,320 | 102 |
| * Tempur Sealy International Inc. | 2,038 | 101 |
| Sinclair Broadcast Group Inc. Class A | 2,957 | 100 |
| Graham Holdings Co. Class B | 171 | 99 |
| * Under Armour Inc. Class A | 5,938 | 98 |
| Bloomin' Brands Inc. | 4,258 | 98 |
| * Scientific Games Corp. | 2,193 | 97 |
| KB Home | 3,462 | 96 |
| Lithia Motors Inc. Class A | 924 | 96 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * Murphy USA Inc. | 1,272 | 96 |
| Big Lots Inc. | 1,684 | 95 |
| * SiteOne Landscape Supply Inc. | 1,349 | 93 |
| Columbia Sportswear Co. | 1,226 | 93 |
| Meredith Corp. | 1,604 | 92 |
| * TRI Pointe Group Inc. | 5,970 | 92 |
| * Penn National Gaming Inc. | 3,425 | 91 |
| * Chegg Inc. | 4,433 | 88 |
| Cheesecake Factory Inc. | 1,857 | 86 |
| * Sally Beauty Holdings Inc. | 5,110 | 86 |
| * Dorman Products Inc. | 1,201 | 83 |
| * Cooper-Standard Holdings Inc. | 662 | 81 |
| * Meritor Inc. | 3,256 | 80 |
| * Cars.com Inc. | 2,857 | 78 |
| * Dave & Buster's Entertainment Inc. | 1,742 | 78 |
| * Weight Watchers International Inc. | 1,148 | 78 |
| * Central Garden & Pet Co. Class A | 2,117 | 77 |
| * Sotheby's | 1,652 | 76 |
| PriceSmart Inc. | 953 | 75 |
| Lennar Corp. Class B | 1,640 | 74 |
| * Liberty Expedia Holdings Inc. Class A | 1,885 | 74 |
| * Liberty Media Corp-Liberty SiriusXM A | 1,731 | 73 |
| Travelport Worldwide Ltd. | 5,066 | 72 |
| * Meritage Homes Corp. | 1,675 | 71 |
| Brinker International Inc. | 2,058 | 71 |
| Monro Inc. | 1,388 | 71 |
| Penske Automotive Group Inc. | 1,525 | 70 |
| Cooper Tire & Rubber Co. | 2,216 | 69 |
| * RH | 817 | 69 |
| Matthews International Corp. Class A | 1,353 | 69 |
| * American Woodmark Corp. | 539 | 69 |
| GameStop Corp. Class A | 4,349 | 68 |
| * Caesars Entertainment Corp. | 5,368 | 68 |
| AMERCO | 196 | 67 |
| * G-III Apparel Group Ltd. | 1,815 | 67 |
| * La Quinta Holdings Inc. | 3,547 | 67 |
| * MSG Networks Inc. | 2,740 | 67 |
| La-Z-Boy Inc. | 2,160 | 66 |
| Papa John's International Inc. | 1,140 | 66 |
| * Liberty Media Corp-Liberty Formula One Class A | 2,009 | 63 |
| Group 1 Automotive Inc. | 919 | 63 |
| * Sleep Number Corp. | 1,783 | 61 |
| Camping World Holdings Inc. Class A | 1,468 | 61 |
| Abercrombie & Fitch Co. | 2,970 | 61 |
| * Cavco Industries Inc. | 385 | 61 |
| * Eldorado Resorts Inc. | 1,788 | 61 |
| Dine Brands Global Inc. | 797 | 61 |
| Callaway Golf Co. | 3,897 | 60 |
| Wingstop Inc. | 1,324 | 60 |
| * Fox Factory Holding Corp. | 1,593 | 60 |
| Office Depot Inc. | 22,331 | 59 |
| * JC Penney Co. Inc. | 13,469 | 58 |
| Oxford Industries Inc. | 720 | 58 |
| * Pinnacle Entertainment Inc. | 1,902 | 57 |
| MDC Holdings Inc. | 2,056 | 57 |
| Entercom Communications Corp. Class A | 5,652 | 56 |
| World Wrestling Entertainment Inc. Class A | 1,450 | 55 |
| * Asbury Automotive Group Inc. | 839 | 55 |
| * IMAX Corp. | 2,580 | 54 |
| * American Axle & Manufacturing Holdings Inc. | 3,683 | 54 |
| Winnebago Industries Inc. | 1,245 | 54 |
| Dillard's Inc. Class A | 650 | 53 |
| * Trade Desk Inc. Class A | 942 | 53 |
| DSW Inc. Class A | 2,668 | 52 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Chico's FAS Inc. | 5,117 | 51 |
| Gannett Co. Inc. | 4,930 | 50 |
| Caleres Inc. | 1,718 | 48 |
| Sonic Corp. | 1,904 | 48 |
| * Gray Television Inc. | 3,455 | 48 |
| Tailored Brands Inc. | 2,017 | 47 |
| * Floor & Decor Holdings Inc. Class A | 1,044 | 47 |
| * LGI Homes Inc. | 813 | 46 |
| * Quotient Technology Inc. | 3,477 | 46 |
| * Instructure Inc. | 1,051 | 46 |
| Standard Motor Products Inc. | 970 | 45 |
| * Career Education Corp. | 3,397 | 45 |
| * Overstock.com Inc. | 742 | 45 |
| * SeaWorld Entertainment Inc. | 3,059 | 45 |
| * Lions Gate Entertainment Corp. Class A | 1,566 | 44 |
| * Vista Outdoor Inc. | 2,563 | 44 |
| Strayer Education Inc. | 487 | 44 |
| Guess? Inc. | 2,718 | 43 |
| * Gentherm Inc. | 1,393 | 43 |
| * Pandora Media Inc. | 9,704 | 43 |
| * Hertz Global Holdings Inc. | 2,320 | 42 |
| International Speedway Corp. Class A | 920 | 41 |
| Capella Education Co. | 532 | 41 |
| * Liberty Media Corp-Liberty Braves | 1,795 | 41 |
| * Crocs Inc. | 3,320 | 41 |
| * Belmond Ltd. Class A | 3,476 | 40 |
| * Shake Shack Inc. Class A | 1,008 | 39 |
| Scholastic Corp. | 1,056 | 38 |
| Viad Corp. | 736 | 38 |
| * Universal Electronics Inc. | 748 | 37 |
| * Red Robin Gourmet Burgers Inc. | 687 | 37 |
| * M/I Homes Inc. | 1,266 | 37 |
| AMC Entertainment Holdings Inc. Class A | 2,432 | 37 |
| * Shutterstock Inc. | 722 | 36 |
| New Media Investment Group Inc. | 2,079 | 36 |
| * Denny's Corp. | 2,355 | 35 |
| EW Scripps Co. Class A | 2,525 | 35 |
| * Genesco Inc. | 880 | 35 |
| * Fitbit Inc. Class A | 7,222 | 35 |
| Inter Parfums Inc. | 790 | 34 |
| Sturm Ruger & Co. Inc. | 771 | 33 |
| Nutrisystem Inc. | 1,079 | 33 |
| * William Lyon Homes Class A | 1,311 | 33 |
| * National Vision Holdings Inc. | 957 | 33 |
| BJ's Restaurants Inc. | 760 | 33 |
| Buckle Inc. | 1,543 | 33 |
| * Liberty TripAdvisor Holdings Inc. Class A | 3,104 | 32 |
| Ethan Allen Interiors Inc. | 1,344 | 32 |
| Ruth's Hospitality Group Inc. | 1,298 | 32 |
| * Lumber Liquidators Holdings Inc. | 1,340 | 31 |
| * HealthStream Inc. | 1,270 | 31 |
| * Houghton Mifflin Harcourt Co. | 4,445 | 30 |
| Marcus Corp. | 1,074 | 29 |
| * Laureate Education Inc. Class A | 2,117 | 28 |
| * Fossil Group Inc. | 2,115 | 28 |
| * Express Inc. | 3,852 | 28 |
| * K12 Inc. | 1,749 | 26 |
| * Carrols Restaurant Group Inc. | 2,006 | 26 |
| * Stoneridge Inc. | 1,183 | 26 |
| National CineMedia Inc. | 3,417 | 26 |
| * Malibu Boats Inc. Class A | 796 | 26 |
| National Presto Industries Inc. | 273 | 25 |
| * Regis Corp. | 1,530 | 25 |
| * QuinStreet Inc. | 1,860 | 24 |
| | | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Hooker Furniture Corp. | 649 | 24 |
| * | Hibbett Sports Inc. | 915 | 24 |
| *,^ | GoPro Inc. Class A | 4,335 | 23 |
| * | Conn's Inc. | 712 | 23 |
| * | Central European Media Enterprises Ltd. Class A | 5,175 | 23 |
| | Tower International Inc. | 877 | 23 |
| * | American Outdoor Brands Corp. | 2,515 | 23 |
| | Acushnet Holdings Corp. | 1,068 | 23 |
| * | Beazer Homes USA Inc. | 1,425 | 22 |
| * | Century Communities Inc. | 749 | 22 |
| | Haverty Furniture Cos. Inc. | 1,083 | 22 |
| * | MarineMax Inc. | 1,052 | 22 |
| | Finish Line Inc. Class A | 2,013 | 21 |
| * | American Public Education Inc. | 693 | 21 |
| * | Fiesta Restaurant Group Inc. | 1,232 | 21 |
| * | MDC Partners Inc. Class A | 2,668 | 21 |
| * | tronc Inc. | 1,092 | 21 |
| * | Monarch Casino & Resort Inc. | 486 | 21 |
| | Entravision Communications Corp. Class A | 3,094 | 20 |
| | Superior Industries International Inc. | 1,377 | 20 |
| | Viacom Inc. Class A | 492 | 19 |
| * | ZAGG Inc. | 1,275 | 19 |
| * | Chuy's Holdings Inc. | 709 | 19 |
| * | Del Taco Restaurants Inc. | 1,417 | 18 |
| * | Ascena Retail Group Inc. | 7,864 | 18 |
| * | MCBC Holdings Inc. | 727 | 18 |
| * | Zumiez Inc. | 877 | 17 |
| *,^ | elf Beauty Inc. | 926 | 17 |
| * | Motorcar Parts of America Inc. | 823 | 17 |
| * | Care.com Inc. | 924 | 17 |
| | Carriage Services Inc. Class A | 605 | 16 |
| *,^ | Eros International plc | 1,238 | 16 |
| * | Nautilus Inc. | 1,379 | 16 |
| * | Party City Holdco Inc. | 1,124 | 16 |
| * | America's Car-Mart Inc. | 329 | 16 |
| | Bassett Furniture Industries Inc. | 497 | 16 |
| | Rent-A-Center Inc. | 2,116 | 16 |
| | Winmark Corp. | 122 | 15 |
| * | Barnes & Noble Education Inc. | 2,104 | 15 |
| * | Perry Ellis International Inc. | 548 | 15 |
| * | Golden Entertainment Inc. | 519 | 14 |
| | Barnes & Noble Inc. | 3,208 | 14 |
| | Sonic Automotive Inc. Class A | 722 | 14 |
| * | Franklin Covey Co. | 540 | 14 |
| * | Revlon Inc. Class A | 702 | 14 |
| * | Reading International Inc. Class A | 835 | 14 |
| * | 1-800-Flowers.com Inc. Class A | 1,174 | 14 |
| | Citi Trends Inc. | 617 | 14 |
| | Movado Group Inc. | 438 | 14 |
| * | Daily Journal Corp. | 59 | 13 |
| | Flexsteel Industries Inc. | 338 | 13 |
| | Shoe Carnival Inc. | 560 | 13 |
| | Johnson Outdoors Inc. Class A | 212 | 13 |
| * | El Pollo Loco Holdings Inc. | 1,330 | 13 |
| | Cato Corp. Class A | 1,134 | 13 |
| * | Zoe's Kitchen Inc. | 860 | 13 |
| * | Hovnanian Enterprises Inc. Class A | 5,863 | 13 |
| | Emerald Expositions Events Inc. | 594 | 13 |
| * | Rosetta Stone Inc. | 913 | 13 |
| * | XO Group Inc. | 629 | 12 |
| * | Lands' End Inc. | 666 | 12 |
| | RCI Hospitality Holdings Inc. | 442 | 12 |
| * | Drive Shack Inc. | 2,271 | 11 |
| | Pier 1 Imports Inc. | 3,612 | 11 |
| | | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Speedway Motorsports Inc. | 556 | 11 |
| * | Habit Restaurants Inc. Class A | 1,257 | 11 |
| * | Carvana Co. | 541 | 11 |
| | Clear Channel Outdoor Holdings Inc. Class A | 2,248 | 11 |
| * | Vera Bradley Inc. | 1,033 | 10 |
| | Weyco Group Inc. | 338 | 10 |
| * | At Home Group Inc. | 339 | 10 |
| * | Horizon Global Corp. | 1,167 | 10 |
| | Tile Shop Holdings Inc. | 1,724 | 9 |
| * | Del Frisco's Restaurant Group Inc. | 557 | 9 |
| | Nathan's Famous Inc. | 141 | 9 |
| * | Francesca's Holdings Corp. | 1,745 | 9 |
| * | Century Casinos Inc. | 1,006 | 8 |
| | Tilly's Inc. Class A | 561 | 7 |
| *,^ | Duluth Holdings Inc. | 427 | 7 |
| * | Boot Barn Holdings Inc. | 379 | 7 |
| * | Bridgepoint Education Inc. Class A | 968 | 6 |
| * | Delta Apparel Inc. | 340 | 6 |
| * | Clarus Corp. | 887 | 6 |
| * | Build-A-Bear Workshop Inc. | 646 | 6 |
| * | Sportsman's Warehouse Holdings Inc. | 1,178 | 6 |
| | Libbey Inc. | 886 | 6 |
| | Fred's Inc. Class A | 1,664 | 6 |
| * | Bojangles' Inc. | 394 | 5 |
| * | VOXX International Corp. Class A | 941 | 5 |
| | Superior Uniform Group Inc. | 197 | 5 |
| | Marine Products Corp. | 339 | 5 |
| * | FTD Cos. Inc. | 794 | 5 |
| * | Vitamin Shoppe Inc. | 1,121 | 4 |
| * | Eastman Kodak Co. | 773 | 4 |
| * | Iconix Brand Group Inc. | 2,429 | 3 |
| * | Roku Inc. | 82 | 3 |
| * | Sequential Brands Group Inc. | 1,577 | 3 |
| * | Funko Inc. Class A | 350 | 3 |
| | Liberty Tax Inc. | 321 | 3 |
| * | Cogint Inc. | 942 | 2 |
| | | | 165,914 |
| Consumer Staples (5.8%) | | |
| | Procter & Gamble Co. | 107,976 | 8,478 |
| | Coca-Cola Co. | 162,809 | 7,037 |
| | Philip Morris International Inc. | 65,407 | 6,773 |
| | PepsiCo Inc. | 60,319 | 6,619 |
| | Altria Group Inc. | 80,290 | 5,054 |
| | CVS Health Corp. | 42,308 | 2,866 |
| | Mondelez International Inc. Class A | 61,718 | 2,709 |
| | Walgreens Boots Alliance Inc. | 37,069 | 2,554 |
| | Colgate-Palmolive Co. | 36,118 | 2,491 |
| | Kraft Heinz Co. | 25,169 | 1,688 |
| | Kimberly-Clark Corp. | 14,963 | 1,660 |
| | Constellation Brands Inc. Class A | 6,735 | 1,451 |
| | Sysco Corp. | 20,411 | 1,218 |
| | General Mills Inc. | 24,056 | 1,216 |
| * | Monster Beverage Corp. | 17,490 | 1,108 |
| | Kroger Co. | 37,826 | 1,026 |
| | Archer-Daniels-Midland Co. | 23,336 | 969 |
| | Dr Pepper Snapple Group Inc. | 7,658 | 890 |
| | Tyson Foods Inc. Class A | 11,834 | 880 |
| | Clorox Co. | 5,433 | 701 |
| | Kellogg Co. | 10,335 | 684 |
| | Conagra Brands Inc. | 16,420 | 593 |
| | JM Smucker Co. | 4,612 | 582 |
| | Hershey Co. | 5,854 | 575 |
| | Molson Coors Brewing Co. Class B | 7,211 | 550 |
| | McCormick & Co. Inc. | 5,070 | 541 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Brown-Forman Corp. Class B | 7,645 | 534 |
| Church & Dwight Co. Inc. | 10,475 | 515 |
| Bunge Ltd. | 5,929 | 447 |
| Ingredion Inc. | 3,010 | 393 |
| Hormel Foods Corp. | 11,348 | 368 |
| Lamb Weston Holdings Inc. | 6,079 | 329 |
| Campbell Soup Co. | 7,408 | 319 |
| * US Foods Holding Corp. | 8,843 | 295 |
| Pinnacle Foods Inc. | 5,066 | 273 |
| * Herbalife Ltd. | 2,687 | 247 |
| * Post Holdings Inc. | 2,781 | 211 |
| Snyder's-Lance Inc. | 3,613 | 180 |
| Casey's General Stores Inc. | 1,578 | 177 |
| * Blue Buffalo Pet Products Inc. | 3,982 | 160 |
| Nu Skin Enterprises Inc. Class A | 2,240 | 158 |
| * Hain Celestial Group Inc. | 4,451 | 155 |
| Flowers Foods Inc. | 7,358 | 153 |
| Energizer Holdings Inc. | 2,583 | 141 |
| Brown-Forman Corp. Class A | 2,064 | 140 |
| * Sprouts Farmers Market Inc. | 5,337 | 137 |
| * Edgewell Personal Care Co. | 2,479 | 124 |
| * Performance Food Group Co. | 3,644 | 112 |
| Sanderson Farms Inc. | 889 | 109 |
| Spectrum Brands Holdings Inc. | 1,054 | 104 |
| Lancaster Colony Corp. | 817 | 97 |
| * United Natural Foods Inc. | 2,158 | 92 |
| * Rite Aid Corp. | 44,978 | 89 |
| * TreeHouse Foods Inc. | 2,174 | 83 |
| Vector Group Ltd. | 4,112 | 82 |
| J&J Snack Foods Corp. | 588 | 79 |
| B&G Foods Inc. | 2,772 | 77 |
| WD-40 Co. | 603 | 75 |
| Fresh Del Monte Produce Inc. | 1,310 | 61 |
| * Pilgrim's Pride Corp. | 2,400 | 60 |
| Calavo Growers Inc. | 700 | 60 |
| * Boston Beer Co. Inc. Class A | 339 | 55 |
| National Beverage Corp. | 541 | 53 |
| Universal Corp. | 1,061 | 52 |
| * Cal-Maine Foods Inc. | 1,190 | 51 |
| MGP Ingredients Inc. | 602 | 51 |
| * Hostess Brands Inc. Class A | 3,643 | 45 |
| Seaboard Corp. | 11 | 45 |
| PetMed Express Inc. | 948 | 43 |
| * Diplomat Pharmacy Inc. | 1,996 | 42 |
| Core-Mark Holding Co. Inc. | 2,007 | 41 |
| Andersons Inc. | 1,114 | 39 |
| Coca-Cola Bottling Co. Consolidated | 198 | 37 |
| * USANA Health Sciences Inc. | 453 | 35 |
| Dean Foods Co. | 3,990 | 35 |
| Medifast Inc. | 521 | 33 |
| John B Sanfilippo & Son Inc. | 461 | 27 |
| Tootsie Roll Industries Inc. | 789 | 26 |
| SpartanNash Co. | 1,564 | 26 |
| Ingles Markets Inc. Class A | 792 | 26 |
| SUPERVALU Inc. | 1,733 | 25 |
| * Chefs' Warehouse Inc. | 1,051 | 24 |
| * Freshpet Inc. | 1,175 | 23 |
| Weis Markets Inc. | 553 | 21 |
| * Cadiz Inc. | 1,174 | 16 |
| * Primo Water Corp. | 1,149 | 14 |
| * Craft Brew Alliance Inc. | 706 | 13 |
| * GNC Holdings Inc. Class A | 2,838 | 12 |
| * Farmer Brothers Co. | 383 | 12 |
| * Seneca Foods Corp. Class A | 391 | 11 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Limoneira Co. | 518 | 11 |
| Village Super Market Inc. Class A | 424 | 10 |
| * Smart & Final Stores Inc. | 1,163 | 8 |
| Natural Health Trends Corp. | 417 | 7 |
| Orchids Paper Products Co. | 675 | 7 |
| Nature's Sunshine Products Inc. | 472 | 5 |
| * Castle Brands Inc. | 4,435 | 5 |
| Turning Point Brands Inc. | 231 | 5 |
| Alico Inc. | 180 | 5 |
| | | 68,545 |
| Energy (5.2%) | | |
| Exxon Mobil Corp. | 179,022 | 13,559 |
| Chevron Corp. | 79,553 | 8,904 |
| Schlumberger Ltd. | 57,705 | 3,788 |
| ConocoPhillips | 49,050 | 2,664 |
| EOG Resources Inc. | 24,488 | 2,484 |
| Occidental Petroleum Corp. | 31,438 | 2,062 |
| Halliburton Co. | 36,563 | 1,697 |
| Valero Energy Corp. | 18,564 | 1,679 |
| Phillips 66 | 18,531 | 1,675 |
| Anadarko Petroleum Corp. | 23,185 | 1,322 |
| Kinder Morgan Inc. | 81,614 | 1,322 |
| Marathon Petroleum Corp. | 20,545 | 1,316 |
| Pioneer Natural Resources Co. | 7,166 | 1,220 |
| Williams Cos. Inc. | 35,041 | 973 |
| * Concho Resources Inc. | 6,236 | 940 |
| ONEOK Inc. | 15,906 | 896 |
| Devon Energy Corp. | 22,129 | 679 |
| Noble Energy Inc. | 20,161 | 601 |
| Andeavor | 6,605 | 592 |
| National Oilwell Varco Inc. | 15,805 | 555 |
| Apache Corp. | 16,023 | 547 |
| Hess Corp. | 11,880 | 540 |
| Marathon Oil Corp. | 35,685 | 518 |
| * Diamondback Energy Inc. | 4,127 | 514 |
| EQT Corp. | 9,860 | 496 |
| Baker Hughes a GE Co. | 17,806 | 470 |
| Cabot Oil & Gas Corp. | 19,435 | 470 |
| * Cheniere Energy Inc. | 8,612 | 452 |
| Targa Resources Corp. | 8,871 | 396 |
| Cimarex Energy Co. | 4,045 | 389 |
| HollyFrontier Corp. | 7,550 | 323 |
| Helmerich & Payne Inc. | 4,609 | 298 |
| * Parsley Energy Inc. Class A | 9,776 | 247 |
| * WPX Energy Inc. | 16,420 | 232 |
| * Energen Corp. | 4,177 | 229 |
| * First Solar Inc. | 3,486 | 219 |
| * RSP Permian Inc. | 5,408 | 207 |
| Valvoline Inc. | 8,564 | 196 |
| * Newfield Exploration Co. | 8,264 | 193 |
| * Antero Resources Corp. | 10,059 | 189 |
| * Continental Resources Inc. | 3,803 | 181 |
| Murphy Oil Corp. | 6,993 | 177 |
| Patterson-UTI Energy Inc. | 9,009 | 163 |
| CNX Resources Corp. | 9,942 | 160 |
| * Transocean Ltd. | 16,473 | 150 |
| * PDC Energy Inc. | 2,700 | 142 |
| Range Resources Corp. | 9,784 | 130 |
| PBF Energy Inc. Class A | 4,412 | 129 |
| Delek US Holdings Inc. | 3,626 | 124 |
| * Chesapeake Energy Corp. | 40,288 | 114 |
| * Matador Resources Co. | 3,911 | 113 |
| Peabody Energy Corp. | 2,763 | 112 |
| * Centennial Resource Development Inc. Class A | 5,856 | 112 |
| | | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Golar LNG Ltd. | 4,062 | 110 |
| * | Whiting Petroleum Corp. | 4,026 | 110 |
| * | Weatherford International plc | 38,090 | 100 |
| * | QEP Resources Inc. | 10,564 | 91 |
| * | Callon Petroleum Co. | 8,422 | 89 |
| | SM Energy Co. | 4,828 | 89 |
| | Nabors Industries Ltd. | 13,679 | 88 |
| * | McDermott International Inc. | 12,119 | 88 |
| * | Oasis Petroleum Inc. | 10,824 | 85 |
| * | SRC Energy Inc. | 9,477 | 84 |
| | Ensco plc Class A | 18,768 | 83 |
| * | Dril-Quip Inc. | 1,770 | 80 |
| | Oceaneering International Inc. | 4,069 | 75 |
| | Arch Coal Inc. Class A | 758 | 73 |
| * | Southwestern Energy Co. | 20,268 | 72 |
| | World Fuel Services Corp. | 2,906 | 66 |
| * | Rowan Cos. plc Class A | 5,227 | 64 |
| | SemGroup Corp. Class A | 2,826 | 63 |
| * | Gulfport Energy Corp. | 6,420 | 62 |
| * | Laredo Petroleum Inc. | 6,889 | 58 |
| * | Extraction Oil & Gas Inc. | 4,530 | 55 |
| * | Oil States International Inc. | 2,210 | 54 |
| * | C&J Energy Services Inc. | 2,230 | 54 |
| * | Superior Energy Services Inc. | 5,790 | 50 |
| | RPC Inc. | 2,287 | 45 |
| * | Kosmos Energy Ltd. | 8,246 | 44 |
| * | NOW Inc. | 4,644 | 44 |
| * | ProPetro Holding Corp. | 2,701 | 44 |
| * | Noble Corp. plc | 10,987 | 43 |
| * | Carrizo Oil & Gas Inc. | 3,012 | 42 |
| * | Unit Corp. | 2,166 | 41 |
| * | CONSOL Energy Inc. | 1,242 | 39 |
| * | Newpark Resources Inc. | 4,535 | 37 |
| * | SunCoke Energy Inc. | 3,444 | 37 |
| | Warrior Met Coal Inc. | 1,178 | 37 |
| * | Resolute Energy Corp. | 1,073 | 35 |
| * | Denbury Resources Inc. | 15,693 | 34 |
| * | Halcon Resources Corp. | 5,612 | 34 |
| * | Helix Energy Solutions Group Inc. | 5,684 | 34 |
| * | Forum Energy Technologies Inc. | 2,906 | 33 |
| | Archrock Inc. | 3,395 | 32 |
| * | Ring Energy Inc. | 2,284 | 31 |
| * | Keane Group Inc. | 1,960 | 30 |
| * | Diamond Offshore Drilling Inc. | 2,094 | 30 |
| * | WildHorse Resource Development Corp. | 1,737 | 29 |
| | TerraForm Power Inc. Class A | 2,531 | 29 |
| * | Stone Energy Corp. | 956 | 29 |
| * | California Resources Corp. | 2,041 | 29 |
| * | Bonanza Creek Energy Inc. | 1,003 | 28 |
| * | Ultra Petroleum Corp. | 7,567 | 28 |
| * | Fairmount Santrol Holdings Inc. | 6,184 | 28 |
| * | Exterran Corp. | 1,046 | 27 |
| * | Jagged Peak Energy Inc. | 2,180 | 27 |
| * | Sunrun Inc. | 3,993 | 27 |
| | Green Plains Inc. | 1,454 | 27 |
| * | Penn Virginia Corp. | 712 | 27 |
| * | Par Pacific Holdings Inc. | 1,435 | 24 |
| * | Tellurian Inc. | 2,755 | 24 |
| * | Select Energy Services Inc. Class A | 1,632 | 23 |
| * | REX American Resources Corp. | 280 | 23 |
| * | TETRA Technologies Inc. | 6,171 | 22 |
| * | SandRidge Energy Inc. | 1,585 | 22 |
| | CVR Energy Inc. | 742 | 22 |
| *,^ | SunPower Corp. Class A | 2,976 | 21 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * Renewable Energy Group Inc. | 1,800 | 20 |
| * W&T Offshore Inc. | 4,671 | 18 |
| * Flotek Industries Inc. | 2,909 | 17 |
| * Abraxas Petroleum Corp. | 7,765 | 17 |
| * Matrix Service Co. | 1,151 | 16 |
| * Bill Barrett Corp. | 3,629 | 16 |
| * Natural Gas Services Group Inc. | 575 | 14 |
| Panhandle Oil and Gas Inc. Class A | 769 | 14 |
| * Basic Energy Services Inc. | 834 | 13 |
| * Sanchez Energy Corp. | 4,418 | 13 |
| * SEACOR Marine Holdings Inc. | 760 | 13 |
| * Cloud Peak Energy Inc. | 3,576 | 12 |
| * RigNet Inc. | 859 | 12 |
| * Clean Energy Fuels Corp. | 8,091 | 11 |
| Evolution Petroleum Corp. | 1,359 | 11 |
| * TPI Composites Inc. | 551 | 11 |
| * Mammoth Energy Services Inc. | 410 | 11 |
| Frank's International NV | 2,047 | 11 |
| * Pioneer Energy Services Corp. | 3,526 | 10 |
| * Trecora Resources | 867 | 10 |
| * SilverBow Resources Inc. | 323 | 9 |
| * CARBO Ceramics Inc. | 1,298 | 9 |
| * Geospace Technologies Corp. | 808 | 8 |
| * Lilis Energy Inc. | 2,212 | 8 |
| * Pacific Ethanol Inc. | 1,971 | 8 |
| * Smart Sand Inc. | 1,083 | 8 |
| * Energy XXI Gulf Coast Inc. | 1,505 | 8 |
| * Midstates Petroleum Co. Inc. | 561 | 8 |
| * Key Energy Services Inc. | 555 | 7 |
| * NCS Multistage Holdings Inc. | 493 | 7 |
| * Eclipse Resources Corp. | 4,453 | 7 |
| * Solaris Oilfield Infrastructure Inc. Class A | 421 | 7 |
| * Ameresco Inc. Class A | 746 | 6 |
| * Gastar Exploration Inc. | 8,766 | 6 |
| * Approach Resources Inc. | 2,034 | 6 |
| Hallador Energy Co. | 840 | 6 |
| * Parker Drilling Co. | 6,082 | 5 |
| Gulf Island Fabrication Inc. | 654 | 5 |
| Adams Resources & Energy Inc. | 102 | 4 |
| * Isramco Inc. | 38 | 4 |
| * Vivint Solar Inc. | 1,189 | 4 |
| * Contango Oil & Gas Co. | 1,111 | 3 |
| * Nine Energy Service Inc. | 70 | 2 |
| | | 61,380 |
| Financial Services (21.4%) | | |
| JPMorgan Chase & Co. | 146,725 | 16,947 |
| * Berkshire Hathaway Inc. Class B | 81,547 | 16,897 |
| Bank of America Corp. | 409,319 | 13,139 |
| Wells Fargo & Co. | 186,756 | 10,908 |
| Visa Inc. Class A | 76,766 | 9,438 |
| Citigroup Inc. | 111,719 | 8,434 |
| Mastercard Inc. Class A | 39,735 | 6,984 |
| Goldman Sachs Group Inc. | 14,630 | 3,847 |
| * PayPal Holdings Inc. | 47,510 | 3,773 |
| US Bancorp | 66,019 | 3,589 |
| PNC Financial Services Group Inc. | 20,490 | 3,230 |
| Morgan Stanley | 53,428 | 2,993 |
| American Express Co. | 30,015 | 2,927 |
| BlackRock Inc. | 5,232 | 2,875 |
| Chubb Ltd. | 19,590 | 2,780 |
| Charles Schwab Corp. | 50,340 | 2,669 |
| American Tower Corp. | 17,952 | 2,501 |
| Bank of New York Mellon Corp. | 41,568 | 2,371 |
| CME Group Inc. | 14,247 | 2,367 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| American International Group Inc. | 37,821 | 2,169 |
| S&P Global Inc. | 10,827 | 2,077 |
| Simon Property Group Inc. | 13,201 | 2,026 |
| Capital One Financial Corp. | 20,376 | 1,995 |
| Prudential Financial Inc. | 17,845 | 1,897 |
| Crown Castle International Corp. | 17,089 | 1,881 |
| BB&T Corp. | 33,603 | 1,826 |
| Intercontinental Exchange Inc. | 24,871 | 1,818 |
| Marsh & McLennan Cos. Inc. | 21,579 | 1,791 |
| MetLife Inc. | 38,412 | 1,774 |
| State Street Corp. | 15,895 | 1,687 |
| Travelers Cos. Inc. | 11,518 | 1,601 |
| Aon plc | 10,371 | 1,455 |
| Aflac Inc. | 16,273 | 1,446 |
| Progressive Corp. | 24,667 | 1,420 |
| SunTrust Banks Inc. | 20,243 | 1,414 |
| Allstate Corp. | 15,205 | 1,403 |
| Fidelity National Information Services Inc. | 13,986 | 1,359 |
| Prologis Inc. | 22,398 | 1,359 |
| Equinix Inc. | 3,301 | 1,294 |
| * Fiserv Inc. | 8,821 | 1,265 |
| Public Storage | 6,296 | 1,224 |
| Synchrony Financial | 33,165 | 1,207 |
| Discover Financial Services | 15,287 | 1,205 |
| Moody's Corp. | 7,064 | 1,179 |
| M&T Bank Corp. | 6,015 | 1,142 |
| T. Rowe Price Group Inc. | 10,005 | 1,120 |
| Weyerhaeuser Co. | 31,739 | 1,112 |
| Fifth Third Bancorp | 30,001 | 992 |
| * Worldpay Inc. Class A | 12,147 | 987 |
| Ameriprise Financial Inc. | 6,271 | 981 |
| KeyCorp | 45,431 | 960 |
| Regions Financial Corp. | 49,123 | 953 |
| Northern Trust Corp. | 8,872 | 939 |
| Citizens Financial Group Inc. | 20,795 | 904 |
| AvalonBay Communities Inc. | 5,717 | 892 |
| Digital Realty Trust Inc. | 8,640 | 870 |
| Equity Residential | 15,259 | 858 |
| Willis Towers Watson plc | 5,392 | 851 |
| Welltower Inc. | 15,543 | 816 |
| * SBA Communications Corp. Class A | 5,093 | 801 |
| Hartford Financial Services Group Inc. | 15,066 | 796 |
| Boston Properties Inc. | 6,548 | 778 |
| * FleetCor Technologies Inc. | 3,772 | 754 |
| Ventas Inc. | 15,046 | 727 |
| Global Payments Inc. | 6,396 | 725 |
| Huntington Bancshares Inc. | 45,598 | 716 |
| Comerica Inc. | 7,306 | 710 |
| Principal Financial Group Inc. | 11,265 | 702 |
| Lincoln National Corp. | 9,213 | 702 |
| Total System Services Inc. | 7,652 | 673 |
| * Markel Corp. | 579 | 644 |
| Essex Property Trust Inc. | 2,783 | 623 |
| TD Ameritrade Holding Corp. | 10,758 | 619 |
| First Republic Bank | 6,571 | 610 |
| * E*TRADE Financial Corp. | 11,431 | 597 |
| Loews Corp. | 11,939 | 589 |
| Realty Income Corp. | 11,914 | 586 |
| * CBRE Group Inc. Class A | 12,421 | 581 |
| Host Hotels & Resorts Inc. | 30,844 | 572 |
| Equifax Inc. | 5,024 | 568 |
| GGP Inc. | 26,035 | 551 |
| Invesco Ltd. | 16,884 | 549 |
| * SVB Financial Group | 2,197 | 547 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Franklin Resources Inc. | 14,036 | 543 |
| MSCI Inc. Class A | 3,763 | 533 |
| Ally Financial Inc. | 18,947 | 529 |
| Cboe Global Markets Inc. | 4,700 | 526 |
| Arthur J Gallagher & Co. | 7,525 | 520 |
| Raymond James Financial Inc. | 5,398 | 500 |
| Broadridge Financial Solutions Inc. | 4,949 | 497 |
| Alliance Data Systems Corp. | 2,047 | 493 |
| Alexandria Real Estate Equities Inc. | 4,048 | 491 |
| Unum Group | 9,541 | 486 |
| Vornado Realty Trust | 7,287 | 484 |
| Annaly Capital Management Inc. | 48,175 | 483 |
| Cincinnati Financial Corp. | 6,477 | 483 |
| * Square Inc. | 10,143 | 467 |
| * Arch Capital Group Ltd. | 5,197 | 459 |
| Zions Bancorporation | 8,293 | 456 |
| FNF Group | 11,280 | 450 |
| XL Group Ltd. | 10,625 | 450 |
| Affiliated Managers Group Inc. | 2,336 | 442 |
| Extra Space Storage Inc. | 5,146 | 438 |
| HCP Inc. | 19,804 | 429 |
| Reinsurance Group of America Inc. Class A | 2,719 | 418 |
| SEI Investments Co. | 5,740 | 418 |
| Torchmark Corp. | 4,888 | 417 |
| Everest Re Group Ltd. | 1,713 | 412 |
| Mid-America Apartment Communities Inc. | 4,791 | 411 |
| East West Bancorp Inc. | 6,222 | 408 |
| SL Green Realty Corp. | 4,064 | 394 |
| Nasdaq Inc. | 4,855 | 392 |
| * TransUnion | 6,738 | 385 |
| Voya Financial Inc. | 7,507 | 383 |
| Jack Henry & Associates Inc. | 3,262 | 383 |
| Western Union Co. | 19,271 | 382 |
| UDR Inc. | 11,335 | 381 |
| * Alleghany Corp. | 625 | 379 |
| Duke Realty Corp. | 15,001 | 372 |
| Iron Mountain Inc. | 11,641 | 366 |
| Regency Centers Corp. | 6,281 | 365 |
| Federal Realty Investment Trust | 3,129 | 357 |
| American Financial Group Inc. | 3,013 | 340 |
| Macerich Co. | 5,751 | 339 |
| * Signature Bank | 2,271 | 332 |
| FactSet Research Systems Inc. | 1,633 | 332 |
| Leucadia National Corp. | 13,566 | 325 |
| Jones Lang LaSalle Inc. | 1,958 | 314 |
| MarketAxess Holdings Inc. | 1,550 | 314 |
| * First Data Corp. Class A | 19,887 | 311 |
| Camden Property Trust | 3,826 | 305 |
| CIT Group Inc. | 5,632 | 299 |
| AGNC Investment Corp. | 16,401 | 294 |
| Equity LifeStyle Properties Inc. | 3,457 | 292 |
| People's United Financial Inc. | 15,245 | 292 |
| VEREIT Inc. | 41,837 | 287 |
| Kilroy Realty Corp. | 4,139 | 282 |
| WR Berkley Corp. | 4,119 | 282 |
| Gaming and Leisure Properties Inc. | 8,457 | 281 |
| Sun Communities Inc. | 3,144 | 275 |
| WP Carey Inc. | 4,593 | 275 |
| New York Community Bancorp Inc. | 20,206 | 275 |
| PacWest Bancorp | 5,243 | 273 |
| Invitation Homes Inc. | 12,379 | 269 |
| Lazard Ltd. Class A | 4,885 | 264 |
| First American Financial Corp. | 4,530 | 263 |
| Apartment Investment & Management Co. | 6,777 | 262 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Kimco Realty Corp. | 17,509 | 262 |
| Brown & Brown Inc. | 4,953 | 261 |
| Synovus Financial Corp. | 5,218 | 257 |
| Eaton Vance Corp. | 4,808 | 254 |
| * WEX Inc. | 1,644 | 246 |
| Bank of the Ozarks | 4,918 | 245 |
| Cullen/Frost Bankers Inc. | 2,324 | 242 |
| Liberty Property Trust | 6,154 | 242 |
| Douglas Emmett Inc. | 6,737 | 241 |
| LPL Financial Holdings Inc. | 3,719 | 239 |
| * Western Alliance Bancorp | 4,033 | 236 |
| National Retail Properties Inc. | 6,279 | 234 |
| Lamar Advertising Co. Class A | 3,479 | 231 |
| Forest City Realty Trust Inc. Class A | 10,604 | 226 |
| Commerce Bancshares Inc. | 3,902 | 225 |
| Starwood Property Trust Inc. | 10,981 | 222 |
| New Residential Investment Corp. | 13,770 | 222 |
| DCT Industrial Trust Inc. | 3,971 | 220 |
| Prosperity Bancshares Inc. | 2,922 | 219 |
| Validus Holdings Ltd. | 3,238 | 219 |
| Healthcare Trust of America Inc. Class A | 8,708 | 216 |
| RenaissanceRe Holdings Ltd. | 1,676 | 215 |
| * Athene Holding Ltd. Class A | 4,529 | 214 |
| Omega Healthcare Investors Inc. | 8,299 | 211 |
| Sterling Bancorp | 9,050 | 210 |
| * Zillow Group Inc. | 4,413 | 210 |
| * MGIC Investment Corp. | 15,209 | 210 |
| Fair Isaac Corp. | 1,232 | 209 |
| American Campus Communities Inc. | 5,713 | 208 |
| Hudson Pacific Properties Inc. | 6,528 | 206 |
| CubeSmart | 7,678 | 206 |
| * SLM Corp. | 18,781 | 205 |
| Webster Financial Corp. | 3,735 | 204 |
| Pinnacle Financial Partners Inc. | 3,151 | 203 |
| Old Republic International Corp. | 10,092 | 202 |
| Umpqua Holdings Corp. | 9,395 | 200 |
| Brixmor Property Group Inc. | 12,820 | 199 |
| Interactive Brokers Group Inc. | 2,861 | 199 |
| * Howard Hughes Corp. | 1,543 | 198 |
| FNB Corp. | 13,995 | 196 |
| * Brighthouse Financial Inc. | 3,605 | 196 |
| Hanover Insurance Group Inc. | 1,810 | 195 |
| American Homes 4 Rent Class A | 10,019 | 192 |
| Primerica Inc. | 1,959 | 191 |
| Wintrust Financial Corp. | 2,258 | 191 |
| Dun & Bradstreet Corp. | 1,526 | 191 |
| Highwoods Properties Inc. | 4,396 | 189 |
| Assurant Inc. | 2,204 | 188 |
| CyrusOne Inc. | 3,765 | 188 |
| Hancock Holding Co. | 3,594 | 186 |
| Radian Group Inc. | 8,959 | 184 |
| Medical Properties Trust Inc. | 14,891 | 183 |
| Rayonier Inc. | 5,365 | 182 |
| Popular Inc. | 4,276 | 180 |
| Stifel Financial Corp. | 2,810 | 179 |
| BankUnited Inc. | 4,449 | 179 |
| * Euronet Worldwide Inc. | 2,091 | 177 |
| STORE Capital Corp. | 7,319 | 174 |
| Assured Guaranty Ltd. | 4,982 | 172 |
| Hospitality Properties Trust | 6,754 | 172 |
| Colony NorthStar Inc. Class A | 22,057 | 172 |
| Axis Capital Holdings Ltd. | 3,394 | 167 |
| IBERIABANK Corp. | 2,067 | 167 |
| Associated Banc-Corp | 6,716 | 166 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| CNO Financial Group Inc. | 7,351 | 166 |
| * CoreLogic Inc. | 3,598 | 164 |
| Chemical Financial Corp. | 2,895 | 160 |
| Senior Housing Properties Trust | 10,329 | 156 |
| Evercore Inc. Class A | 1,675 | 156 |
| Home BancShares Inc. | 6,748 | 155 |
| Park Hotels & Resorts Inc. | 5,969 | 155 |
| Apple Hospitality REIT Inc. | 8,943 | 152 |
| EPR Properties | 2,635 | 152 |
| TCF Financial Corp. | 6,789 | 151 |
| * Essent Group Ltd. | 3,356 | 151 |
| Bank of Hawaii Corp. | 1,840 | 151 |
| * Equity Commonwealth | 5,091 | 150 |
| * Credit Acceptance Corp. | 474 | 149 |
| United Bankshares Inc. | 4,184 | 149 |
| Life Storage Inc. | 1,884 | 148 |
| RLJ Lodging Trust | 7,397 | 147 |
| Cousins Properties Inc. | 17,447 | 146 |
| Spirit Realty Capital Inc. | 18,473 | 144 |
| Taubman Centers Inc. | 2,452 | 143 |
| Selective Insurance Group Inc. | 2,503 | 142 |
| Gramercy Property Trust | 6,457 | 140 |
| FirstCash Inc. | 1,894 | 140 |
| Investors Bancorp Inc. | 10,242 | 138 |
| Navient Corp. | 10,629 | 138 |
| Realogy Holdings Corp. | 5,385 | 138 |
| Valley National Bancorp | 10,948 | 137 |
| UMB Financial Corp. | 1,859 | 136 |
| Federated Investors Inc. Class B | 4,159 | 135 |
| CoreSite Realty Corp. | 1,436 | 135 |
| Sunstone Hotel Investors Inc. | 9,338 | 135 |
| Weingarten Realty Investors | 4,955 | 134 |
| Chimera Investment Corp. | 8,019 | 134 |
| First Industrial Realty Trust Inc. | 4,721 | 132 |
| Legg Mason Inc. | 3,311 | 132 |
| First Citizens BancShares Inc. Class A | 321 | 131 |
| PotlatchDeltic Corp. | 2,545 | 130 |
| BGC Partners Inc. Class A | 9,774 | 129 |
| South State Corp. | 1,480 | 128 |
| Erie Indemnity Co. Class A | 1,108 | 128 |
| MB Financial Inc. | 3,123 | 128 |
| Paramount Group Inc. | 9,173 | 128 |
| Fulton Financial Corp. | 7,021 | 127 |
| First Financial Bankshares Inc. | 2,755 | 127 |
| Columbia Banking System Inc. | 3,020 | 126 |
| Ryman Hospitality Properties Inc. | 1,827 | 126 |
| EastGroup Properties Inc. | 1,548 | 125 |
| * Green Dot Corp. Class A | 1,922 | 125 |
| JBG SMITH Properties | 3,736 | 122 |
| Outfront Media Inc. | 5,896 | 121 |
| Sabra Health Care REIT Inc. | 7,105 | 120 |
| Glacier Bancorp Inc. | 3,083 | 120 |
| White Mountains Insurance Group Ltd. | 148 | 119 |
| Brandywine Realty Trust | 7,533 | 118 |
| Cathay General Bancorp | 2,816 | 116 |
| American Equity Investment Life Holding Co. | 3,741 | 115 |
| Piedmont Office Realty Trust Inc. Class A | 6,356 | 114 |
| * Zillow Group Inc. Class A | 2,386 | 113 |
| LaSalle Hotel Properties | 4,624 | 113 |
| Washington Federal Inc. | 3,236 | 112 |
| GEO Group Inc. | 5,266 | 112 |
| Community Bank System Inc. | 2,103 | 112 |
| MFA Financial Inc. | 15,668 | 112 |
| Uniti Group Inc. | 7,260 | 111 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| First Midwest Bancorp Inc. | 4,534 | 110 |
| Columbia Property Trust Inc. | 5,237 | 109 |
| Retail Properties of America Inc. | 9,061 | 108 |
| National Health Investors Inc. | 1,663 | 108 |
| First Horizon National Corp. | 5,642 | 107 |
| Physicians Realty Trust | 7,341 | 105 |
| CoreCivic Inc. | 5,066 | 105 |
| Bank of NT Butterfield & Son Ltd. | 2,302 | 105 |
| Two Harbors Investment Corp. | 7,104 | 104 |
| ProAssurance Corp. | 2,179 | 104 |
| DDR Corp. | 13,334 | 104 |
| CVB Financial Corp. | 4,475 | 103 |
| BancorpSouth Bank | 3,193 | 101 |
| Great Western Bancorp Inc. | 2,453 | 100 |
| BOK Financial Corp. | 1,053 | 99 |
| * Blackhawk Network Holdings Inc. | 2,211 | 99 |
| Corporate Office Properties Trust | 3,950 | 99 |
| Santander Consumer USA Holdings Inc. | 6,019 | 98 |
| RLI Corp. | 1,600 | 97 |
| Aspen Insurance Holdings Ltd. | 2,668 | 97 |
| Hope Bancorp Inc. | 5,369 | 97 |
| Education Realty Trust Inc. | 3,104 | 97 |
| * BofI Holding Inc. | 2,578 | 96 |
| * Enstar Group Ltd. | 476 | 94 |
| Healthcare Realty Trust Inc. | 3,548 | 94 |
| PS Business Parks Inc. | 848 | 94 |
| Pebblebrook Hotel Trust | 2,737 | 93 |
| Old National Bancorp | 5,468 | 93 |
| Tanger Factory Outlet Centers Inc. | 4,112 | 92 |
| Simmons First National Corp. Class A | 3,202 | 91 |
| Kemper Corp. | 1,615 | 91 |
| United Community Banks Inc. | 2,931 | 91 |
| International Bancshares Corp. | 2,326 | 90 |
| * Texas Capital Bancshares Inc. | 993 | 90 |
| DiamondRock Hospitality Co. | 8,612 | 89 |
| Xenia Hotels & Resorts Inc. | 4,472 | 88 |
| * LendingTree Inc. | 252 | 88 |
| Acadia Realty Trust | 3,591 | 86 |
| Urban Edge Properties | 3,977 | 86 |
| STAG Industrial Inc. | 3,607 | 82 |
| Kennedy-Wilson Holdings Inc. | 5,003 | 82 |
| Renasant Corp. | 1,957 | 82 |
| Retail Opportunity Investments Corp. | 4,762 | 82 |
| Union Bankshares Corp. | 2,176 | 81 |
| * Eagle Bancorp Inc. | 1,332 | 81 |
| Lexington Realty Trust | 10,127 | 81 |
| Apollo Commercial Real Estate Finance Inc. | 4,388 | 80 |
| Financial Engines Inc. | 2,388 | 80 |
| Hilltop Holdings Inc. | 3,277 | 80 |
| Rexford Industrial Realty Inc. | 2,930 | 79 |
| * PRA Group Inc. | 2,055 | 79 |
| WesBanco Inc. | 1,899 | 78 |
| LegacyTexas Financial Group Inc. | 1,866 | 78 |
| * HRG Group Inc. | 4,909 | 78 |
| * OneMain Holdings Inc. | 2,472 | 76 |
| Towne Bank | 2,635 | 75 |
| Ameris Bancorp | 1,412 | 75 |
| First Merchants Corp. | 1,807 | 75 |
| ServisFirst Bancshares Inc. | 1,835 | 74 |
| First Financial Bancorp | 2,634 | 72 |
| Independent Bank Corp. | 1,023 | 71 |
| Terreno Realty Corp. | 2,127 | 71 |
| Washington REIT | 2,795 | 71 |
| Trustmark Corp. | 2,250 | 70 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Banner Corp. | 1,271 | 70 |
| Provident Financial Services Inc. | 2,793 | 69 |
| Argo Group International Holdings Ltd. | 1,186 | 69 |
| Invesco Mortgage Capital Inc. | 4,457 | 69 |
| * FCB Financial Holdings Inc. Class A | 1,246 | 67 |
| * Pacific Premier Bancorp Inc. | 1,564 | 66 |
| NBT Bancorp Inc. | 1,885 | 66 |
| First Commonwealth Financial Corp. | 4,694 | 66 |
| CNA Financial Corp. | 1,278 | 65 |
| Mack-Cali Realty Corp. | 3,858 | 65 |
| Morningstar Inc. | 696 | 65 |
| Sandy Spring Bancorp Inc. | 1,672 | 65 |
| Waddell & Reed Financial Inc. Class A | 3,204 | 64 |
| Horace Mann Educators Corp. | 1,552 | 64 |
| Northwest Bancshares Inc. | 3,891 | 64 |
| QTS Realty Trust Inc. Class A | 1,974 | 64 |
| Capitol Federal Financial Inc. | 5,095 | 64 |
| * Genworth Financial Inc. Class A | 23,238 | 63 |
| Moelis & Co. Class A | 1,229 | 62 |
| HFF Inc. Class A | 1,354 | 62 |
| First Hawaiian Inc. | 2,213 | 61 |
| Alexander & Baldwin Inc. | 2,775 | 61 |
| Chesapeake Lodging Trust | 2,348 | 61 |
| Houlihan Lokey Inc. Class A | 1,302 | 60 |
| Four Corners Property Trust Inc. | 2,722 | 60 |
| CenterState Bank Corp. | 2,179 | 59 |
| Artisan Partners Asset Management Inc. Class A | 1,751 | 59 |
| * Third Point Reinsurance Ltd. | 4,245 | 59 |
| Washington Prime Group Inc. | 8,652 | 57 |
| Brookline Bancorp Inc. | 3,568 | 57 |
| Westamerica Bancorporation | 985 | 56 |
| * NMI Holdings Inc. Class A | 2,817 | 56 |
| Kite Realty Group Trust | 3,641 | 55 |
| Employers Holdings Inc. | 1,407 | 55 |
| Park National Corp. | 542 | 55 |
| Boston Private Financial Holdings Inc. | 3,743 | 55 |
| S&T Bancorp Inc. | 1,381 | 54 |
| Piper Jaffray Cos. | 651 | 54 |
| Independent Bank Group Inc. | 773 | 54 |
| * Cannae Holdings Inc. | 2,933 | 54 |
| City Holding Co. | 798 | 54 |
| First Interstate BancSystem Inc. Class A | 1,337 | 53 |
| Agree Realty Corp. | 1,120 | 53 |
| Summit Hotel Properties Inc. | 4,001 | 53 |
| WSFS Financial Corp. | 1,102 | 53 |
| Walker & Dunlop Inc. | 1,085 | 52 |
| American Assets Trust Inc. | 1,614 | 51 |
| Nelnet Inc. Class A | 925 | 51 |
| Mercury General Corp. | 1,119 | 51 |
| Select Income REIT | 2,782 | 51 |
| Heartland Financial USA Inc. | 940 | 50 |
| State Bank Financial Corp. | 1,728 | 50 |
| PennyMac Mortgage Investment Trust | 2,993 | 50 |
| Hanmi Financial Corp. | 1,629 | 50 |
| Kearny Financial Corp. | 3,817 | 50 |
| Redwood Trust Inc. | 3,330 | 49 |
| Ladder Capital Corp. Class A | 3,249 | 48 |
| WisdomTree Investments Inc. | 4,976 | 48 |
| AMERISAFE Inc. | 853 | 48 |
| Berkshire Hills Bancorp Inc. | 1,299 | 48 |
| Meridian Bancorp Inc. | 2,375 | 48 |
| Global Net Lease Inc. | 3,040 | 48 |
| CareTrust REIT Inc. | 3,563 | 47 |
| Beneficial Bancorp Inc. | 3,140 | 47 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| National General Holdings Corp. | 2,036 | 47 |
| OceanFirst Financial Corp. | 1,796 | 46 |
| Meta Financial Group Inc. | 430 | 46 |
| First Busey Corp. | 1,552 | 46 |
| Infinity Property & Casualty Corp. | 389 | 46 |
| ConnectOne Bancorp Inc. | 1,586 | 46 |
| * Seacoast Banking Corp. of Florida | 1,739 | 46 |
| Southside Bancshares Inc. | 1,365 | 46 |
| * LendingClub Corp. | 14,258 | 45 |
| First Bancorp | 1,288 | 45 |
| Seritage Growth Properties Class A | 1,164 | 44 |
| Safety Insurance Group Inc. | 608 | 43 |
| OM Asset Management plc | 2,797 | 43 |
| Tier REIT Inc. | 2,301 | 43 |
| AmTrust Financial Services Inc. | 3,569 | 43 |
| * Flagstar Bancorp Inc. | 1,210 | 43 |
| * Cardtronics plc Class A | 1,901 | 43 |
| United Financial Bancorp Inc. | 2,725 | 43 |
| * Encore Capital Group Inc. | 983 | 42 |
| EVERTEC Inc. | 2,596 | 42 |
| Washington Trust Bancorp Inc. | 811 | 42 |
| Monmouth Real Estate Investment Corp. | 2,972 | 42 |
| Preferred Bank | 673 | 42 |
| Central Pacific Financial Corp. | 1,499 | 42 |
| Alexander's Inc. | 114 | 42 |
| Tompkins Financial Corp. | 540 | 41 |
| * Quality Care Properties Inc. | 3,341 | 41 |
| * First BanCorp | 6,810 | 41 |
| Banc of California Inc. | 2,051 | 41 |
| National Storage Affiliates Trust | 1,662 | 41 |
| Navigators Group Inc. | 756 | 41 |
| Banco Latinoamericano de Comercio Exterior SA | 1,448 | 40 |
| CoBiz Financial Inc. | 2,119 | 40 |
| PJT Partners Inc. | 840 | 40 |
| Empire State Realty Trust Inc. | 2,370 | 40 |
| * St. Joe Co. | 2,238 | 39 |
| InfraREIT Inc. | 2,111 | 39 |
| TFS Financial Corp. | 2,676 | 39 |
| RE/MAX Holdings Inc. Class A | 708 | 39 |
| Cohen & Steers Inc. | 970 | 39 |
| Lakeland Bancorp Inc. | 2,022 | 39 |
| Hannon Armstrong Sustainable Infrastructure Capital Inc. | 2,190 | 39 |
| * HomeStreet Inc. | 1,332 | 38 |
| * MBIA Inc. | 4,783 | 38 |
| Ramco-Gershenson Properties Trust | 3,242 | 38 |
| Franklin Street Properties Corp. | 4,706 | 38 |
| CYS Investments Inc. | 6,018 | 38 |
| ARMOUR Residential REIT Inc. | 1,747 | 37 |
| CBL & Associates Properties Inc. | 7,931 | 37 |
| National Bank Holdings Corp. Class A | 1,105 | 36 |
| Virtus Investment Partners Inc. | 292 | 36 |
| MTGE Investment Corp. | 2,097 | 36 |
| Lakeland Financial Corp. | 786 | 36 |
| Univest Corp. of Pennsylvania | 1,295 | 35 |
| MainSource Financial Group Inc. | 938 | 35 |
| Universal Health Realty Income Trust | 638 | 35 |
| Capstead Mortgage Corp. | 4,223 | 35 |
| Enterprise Financial Services Corp. | 749 | 35 |
| Investment Technology Group Inc. | 1,767 | 35 |
| Federal Agricultural Mortgage Corp. | 458 | 35 |
| * Ambac Financial Group Inc. | 2,271 | 34 |
| 1st Source Corp. | 696 | 34 |
| * Customers Bancorp Inc. | 1,167 | 34 |
| Universal Insurance Holdings Inc. | 1,168 | 34 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * iStar Inc. | 3,388 | 34 |
| TrustCo Bank Corp. NY | 3,927 | 33 |
| Bryn Mawr Bank Corp. | 766 | 33 |
| CatchMark Timber Trust Inc. Class A | 2,538 | 33 |
| Heritage Financial Corp. | 1,109 | 33 |
| TriCo Bancshares | 882 | 33 |
| New York Mortgage Trust Inc. | 5,860 | 32 |
| * INTL. FCStone Inc. | 811 | 32 |
| Stock Yards Bancorp Inc. | 916 | 32 |
| * Enova International Inc. | 1,455 | 32 |
| Pennsylvania REIT | 3,024 | 32 |
| United Fire Group Inc. | 709 | 32 |
| First of Long Island Corp. | 1,156 | 31 |
| Hersha Hospitality Trust Class A | 1,867 | 31 |
| German American Bancorp Inc. | 940 | 31 |
| Chatham Lodging Trust | 1,709 | 31 |
| Kinsale Capital Group Inc. | 634 | 31 |
| * Trupanion Inc. | 1,040 | 31 |
| Cass Information Systems Inc. | 523 | 31 |
| Easterly Government Properties Inc. | 1,592 | 30 |
| Independence Realty Trust Inc. | 3,551 | 30 |
| Horizon Bancorp | 1,066 | 30 |
| New Senior Investment Group Inc. | 3,706 | 30 |
| * World Acceptance Corp. | 277 | 30 |
| Dime Community Bancshares Inc. | 1,648 | 30 |
| James River Group Holdings Ltd. | 901 | 29 |
| Flushing Financial Corp. | 1,091 | 29 |
| Armada Hoffler Properties Inc. | 2,216 | 29 |
| Stewart Information Services Corp. | 721 | 29 |
| American National Insurance Co. | 247 | 29 |
| Oritani Financial Corp. | 1,849 | 29 |
| Peapack Gladstone Financial Corp. | 872 | 29 |
| * Bancorp Inc. | 2,715 | 29 |
| * EZCORP Inc. Class A | 2,205 | 29 |
| Northfield Bancorp Inc. | 1,841 | 29 |
| Live Oak Bancshares Inc. | 1,092 | 29 |
| Guaranty Bancorp | 1,037 | 28 |
| Bridge Bancorp Inc. | 854 | 28 |
| FBL Financial Group Inc. Class A | 431 | 28 |
| Urstadt Biddle Properties Inc. Class A | 1,593 | 28 |
| Granite Point Mortgage Trust Inc. | 1,631 | 27 |
| Getty Realty Corp. | 1,158 | 27 |
| * Front Yard Residential Corp. | 2,592 | 27 |
| BancFirst Corp. | 510 | 27 |
| NorthStar Realty Europe Corp. | 2,600 | 27 |
| * Nationstar Mortgage Holdings Inc. | 1,560 | 27 |
| * Triumph Bancorp Inc. | 641 | 26 |
| Saul Centers Inc. | 532 | 26 |
| Diamond Hill Investment Group Inc. | 126 | 26 |
| * Marcus & Millichap Inc. | 806 | 25 |
| Virtu Financial Inc. Class A | 849 | 25 |
| Fidelity Southern Corp. | 1,112 | 25 |
| * Tejon Ranch Co. | 1,116 | 25 |
| * Republic First Bancorp Inc. | 2,912 | 25 |
| * Greenlight Capital Re Ltd. Class A | 1,485 | 24 |
| Peoples Bancorp Inc. | 700 | 24 |
| Mercantile Bank Corp. | 728 | 24 |
| Bar Harbor Bankshares | 888 | 24 |
| Carolina Financial Corp. | 618 | 24 |
| AG Mortgage Investment Trust Inc. | 1,464 | 24 |
| Community Trust Bancorp Inc. | 548 | 24 |
| * Green Bancorp Inc. | 1,093 | 24 |
| Great Southern Bancorp Inc. | 490 | 24 |
| Blue Hills Bancorp Inc. | 1,167 | 24 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| NexPoint Residential Trust Inc. | 970 | 23 |
| Investors Real Estate Trust | 5,008 | 23 |
| * Everi Holdings Inc. | 3,124 | 23 |
| Independent Bank Corp. | 1,000 | 23 |
| Waterstone Financial Inc. | 1,317 | 23 |
| * First Foundation Inc. | 1,240 | 23 |
| People's Utah Bancorp | 744 | 23 |
| * TriState Capital Holdings Inc. | 1,005 | 22 |
| CorEnergy Infrastructure Trust Inc. | 626 | 22 |
| National Western Life Group Inc. Class A | 73 | 22 |
| Whitestone REIT | 1,791 | 22 |
| * HomeTrust Bancshares Inc. | 848 | 22 |
| * Allegiance Bancshares Inc. | 573 | 22 |
| United Community Financial Corp. | 2,314 | 21 |
| Gladstone Commercial Corp. | 1,264 | 21 |
| * National Commerce Corp. | 490 | 21 |
| Maiden Holdings Ltd. | 3,499 | 21 |
| Midland States Bancorp Inc. | 666 | 21 |
| Preferred Apartment Communities Inc. Class A | 1,498 | 21 |
| First Defiance Financial Corp. | 392 | 21 |
| * Donnelley Financial Solutions Inc. | 1,200 | 21 |
| Ashford Hospitality Trust Inc. | 3,763 | 21 |
| Camden National Corp. | 490 | 21 |
| Anworth Mortgage Asset Corp. | 4,522 | 21 |
| QCR Holdings Inc. | 472 | 21 |
| * Ocwen Financial Corp. | 5,607 | 20 |
| Heritage Commerce Corp. | 1,289 | 20 |
| First Community Bancshares Inc. | 718 | 19 |
| First Connecticut Bancorp Inc. | 778 | 19 |
| First Financial Corp. | 450 | 19 |
| * Nicolet Bankshares Inc. | 357 | 19 |
| Community Healthcare Trust Inc. | 794 | 19 |
| Opus Bank | 656 | 18 |
| * Veritex Holdings Inc. | 653 | 18 |
| Farmers Capital Bank Corp. | 493 | 18 |
| RMR Group Inc. Class A | 284 | 18 |
| Sierra Bancorp | 684 | 18 |
| * MoneyGram International Inc. | 1,621 | 17 |
| Financial Institutions Inc. | 566 | 17 |
| Republic Bancorp Inc. Class A | 465 | 17 |
| * Health Insurance Innovations Inc. Class A | 555 | 17 |
| * FB Financial Corp. | 435 | 17 |
| * FRP Holdings Inc. | 329 | 17 |
| Western Asset Mortgage Capital Corp. | 1,947 | 17 |
| * Cowen Inc. Class A | 1,190 | 17 |
| CNB Financial Corp. | 633 | 17 |
| City Office REIT Inc. | 1,694 | 17 |
| * Franklin Financial Network Inc. | 547 | 17 |
| Arrow Financial Corp. | 523 | 17 |
| Cadence BanCorp Class A | 615 | 17 |
| UMH Properties Inc. | 1,445 | 17 |
| * HarborOne Bancorp Inc. | 864 | 17 |
| OFG Bancorp | 1,544 | 17 |
| Access National Corp. | 593 | 17 |
| Bank of Marin Bancorp | 250 | 17 |
| Heritage Insurance Holdings Inc. | 985 | 16 |
| Ladenburg Thalmann Financial Services Inc. | 4,872 | 16 |
| Greenhill & Co. Inc. | 798 | 16 |
| Enterprise Bancorp Inc. | 515 | 16 |
| GAIN Capital Holdings Inc. | 2,264 | 16 |
| Clifton Bancorp Inc. | 1,038 | 16 |
| Farmers National Banc Corp. | 1,180 | 16 |
| * Equity Bancshares Inc. Class A | 430 | 16 |
| * Altisource Portfolio Solutions SA | 595 | 16 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| American National Bankshares Inc. | 434 | 16 |
| Cedar Realty Trust Inc. | 3,901 | 15 |
| Hamilton Lane Inc. Class A | 437 | 15 |
| * Global Indemnity Ltd. | 407 | 15 |
| * PCSB Financial Corp. | 778 | 15 |
| West Bancorporation Inc. | 611 | 15 |
| Hingham Institution for Savings | 74 | 15 |
| United Insurance Holdings Corp. | 747 | 15 |
| First Bancorp Inc. | 536 | 14 |
| Government Properties Income Trust | 1,052 | 14 |
| * Citizens Inc. Class A | 2,096 | 14 |
| * On Deck Capital Inc. | 2,730 | 14 |
| * Regional Management Corp. | 473 | 14 |
| First Mid-Illinois Bancshares Inc. | 410 | 14 |
| * eHealth Inc. | 857 | 14 |
| National Bankshares Inc. | 348 | 14 |
| MidWestOne Financial Group Inc. | 428 | 14 |
| Citizens & Northern Corp. | 600 | 13 |
| Investors Title Co. | 68 | 13 |
| First Bancshares Inc. | 411 | 13 |
| Peoples Financial Services Corp. | 314 | 13 |
| Farmland Partners Inc. | 1,706 | 13 |
| HCI Group Inc. | 368 | 13 |
| PICO Holdings Inc. | 1,037 | 13 |
| Orchid Island Capital Inc. | 1,748 | 13 |
| Old Line Bancshares Inc. | 397 | 13 |
| State Auto Financial Corp. | 454 | 13 |
| Macatawa Bank Corp. | 1,254 | 12 |
| * WMIH Corp. | 9,610 | 12 |
| Oppenheimer Holdings Inc. Class A | 466 | 12 |
| Farmers & Merchants Bancorp Inc. | 334 | 12 |
| Ames National Corp. | 461 | 12 |
| Resource Capital Corp. | 1,389 | 12 |
| Dynex Capital Inc. | 1,963 | 12 |
| B. Riley Financial Inc. | 634 | 12 |
| * PennyMac Financial Services Inc. Class A | 494 | 12 |
| Home Bancorp Inc. | 277 | 11 |
| Western New England Bancorp Inc. | 1,132 | 11 |
| Ashford Hospitality Prime Inc. | 1,291 | 11 |
| Consolidated-Tomoka Land Co. | 175 | 11 |
| Charter Financial Corp. | 543 | 11 |
| * AV Homes Inc. | 640 | 11 |
| Northrim BanCorp Inc. | 322 | 11 |
| Baldwin & Lyons Inc. | 471 | 11 |
| Civista Bancshares Inc. | 469 | 11 |
| First Business Financial Services Inc. | 437 | 11 |
| Arlington Asset Investment Corp. Class A | 966 | 10 |
| Bluerock Residential Growth REIT Inc. Class A | 1,349 | 10 |
| Shore Bancshares Inc. | 590 | 10 |
| Cherry Hill Mortgage Investment Corp. | 622 | 10 |
| Sutherland Asset Management Corp. | 724 | 10 |
| ACNB Corp. | 352 | 10 |
| Timberland Bancorp Inc. | 344 | 10 |
| EMC Insurance Group Inc. | 376 | 10 |
| Jernigan Capital Inc. | 573 | 10 |
| Evans Bancorp Inc. | 221 | 10 |
| Southern Missouri Bancorp Inc. | 281 | 10 |
| First Internet Bancorp | 251 | 9 |
| MutualFirst Financial Inc. | 266 | 9 |
| Union Bankshares Inc. | 183 | 9 |
| Penns Woods Bancorp Inc. | 228 | 9 |
| FNB Bancorp | 253 | 9 |
| Bankwell Financial Group Inc. | 288 | 9 |
| Stratus Properties Inc. | 299 | 9 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Central Valley Community Bancorp | 454 | 9 |
| * Safeguard Scientifics Inc. | 724 | 9 |
| KKR Real Estate Finance Trust Inc. | 450 | 9 |
| Great Ajax Corp. | 679 | 9 |
| Orrstown Financial Services Inc. | 353 | 9 |
| MBT Financial Corp. | 843 | 9 |
| * First Northwest Bancorp | 523 | 8 |
| Southern National Bancorp of Virginia Inc. | 528 | 8 |
| * Howard Bancorp Inc. | 451 | 8 |
| Norwood Financial Corp. | 274 | 8 |
| Ohio Valley Banc Corp. | 205 | 8 |
| Investar Holding Corp. | 329 | 8 |
| * SmartFinancial Inc. | 366 | 8 |
| Bank of Commerce Holdings | 731 | 8 |
| Premier Financial Bancorp Inc. | 444 | 8 |
| Bear State Financial Inc. | 748 | 8 |
| * Redfin Corp. | 371 | 8 |
| * Community Bankers Trust Corp. | 914 | 8 |
| SI Financial Group Inc. | 525 | 8 |
| Northeast Bancorp | 343 | 8 |
| Century Bancorp Inc. Class A | 98 | 8 |
| Reliant Bancorp Inc. | 314 | 7 |
| Community Financial Corp. | 200 | 7 |
| Global Medical REIT Inc. | 1,126 | 7 |
| Federated National Holding Co. | 472 | 7 |
| * BSB Bancorp Inc. | 248 | 7 |
| * Southern First Bancshares Inc. | 169 | 7 |
| United Security Bancshares | 683 | 7 |
| C&F Financial Corp. | 149 | 7 |
| First Financial Northwest Inc. | 431 | 7 |
| * Malvern Bancorp Inc. | 285 | 7 |
| Unity Bancorp Inc. | 326 | 7 |
| * Atlantic Capital Bancshares Inc. | 384 | 7 |
| Associated Capital Group Inc. Class A | 192 | 7 |
| * Trinity Place Holdings Inc. | 1,080 | 6 |
| Middlefield Banc Corp. | 132 | 6 |
| County Bancorp Inc. | 233 | 6 |
| Tiptree Inc. | 1,080 | 6 |
| Chemung Financial Corp. | 145 | 6 |
| Peoples Bancorp of North Carolina Inc. | 222 | 6 |
| * Capstar Financial Holdings Inc. | 305 | 6 |
| Two River Bancorp | 331 | 6 |
| * Forestar Group Inc. | 221 | 5 |
| Independence Holding Co. | 184 | 5 |
| Silvercrest Asset Management Group Inc. Class A | 336 | 5 |
| * Atlas Financial Holdings Inc. | 286 | 5 |
| First Guaranty Bancshares Inc. | 199 | 5 |
| * Provident Bancorp Inc. | 211 | 5 |
| DNB Financial Corp. | 145 | 5 |
| TPG RE Finance Trust Inc. | 263 | 5 |
| MidSouth Bancorp Inc. | 378 | 5 |
| Prudential Bancorp Inc. | 270 | 5 |
| * VICI Properties Inc. | 240 | 5 |
| Kingstone Cos. Inc. | 218 | 4 |
| Summit Financial Group Inc. | 168 | 4 |
| Parke Bancorp Inc. | 189 | 4 |
| * Maui Land & Pineapple Co. Inc. | 338 | 4 |
| BCB Bancorp Inc. | 241 | 4 |
| * Americold Realty Trust | 193 | 3 |
| LTC Properties Inc. | 86 | 3 |
| Fairfax Financial Holdings Ltd. | 2 | 1 |
| | | 251,083 |
| Health Care (13.3%) | | |
| Johnson & Johnson | 113,792 | 14,779 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| UnitedHealth Group Inc. | 40,354 | 9,126 |
| Pfizer Inc. | 249,566 | 9,062 |
| AbbVie Inc. | 67,246 | 7,789 |
| Merck & Co. Inc. | 115,301 | 6,252 |
| Amgen Inc. | 30,921 | 5,682 |
| Bristol-Myers Squibb Co. | 69,073 | 4,573 |
| Medtronic plc | 56,890 | 4,545 |
| Gilead Sciences Inc. | 54,547 | 4,295 |
| Abbott Laboratories | 70,658 | 4,263 |
| Thermo Fisher Scientific Inc. | 16,658 | 3,475 |
| Eli Lilly & Co. | 41,422 | 3,190 |
| * Celgene Corp. | 32,921 | 2,868 |
| * Biogen Inc. | 9,009 | 2,604 |
| Anthem Inc. | 10,900 | 2,566 |
| Danaher Corp. | 25,638 | 2,507 |
| Becton Dickinson and Co. | 11,028 | 2,448 |
| Stryker Corp. | 14,394 | 2,334 |
| Aetna Inc. | 13,091 | 2,318 |
| Allergan plc | 14,224 | 2,194 |
| * Intuitive Surgical Inc. | 4,705 | 2,006 |
| Cigna Corp. | 10,121 | 1,983 |
| * Express Scripts Holding Co. | 24,005 | 1,811 |
| * Vertex Pharmaceuticals Inc. | 10,687 | 1,774 |
| Zoetis Inc. | 20,835 | 1,685 |
| Humana Inc. | 6,049 | 1,644 |
| * Boston Scientific Corp. | 57,924 | 1,579 |
| Baxter International Inc. | 21,102 | 1,431 |
| * Illumina Inc. | 6,178 | 1,409 |
| McKesson Corp. | 8,976 | 1,340 |
| HCA Healthcare Inc. | 12,072 | 1,198 |
| * Edwards Lifesciences Corp. | 8,843 | 1,182 |
| * Alexion Pharmaceuticals Inc. | 9,235 | 1,085 |
| * Regeneron Pharmaceuticals Inc. | 3,363 | 1,078 |
| Zimmer Biomet Holdings Inc. | 8,538 | 993 |
| Agilent Technologies Inc. | 13,690 | 939 |
| Cardinal Health Inc. | 13,352 | 924 |
| * Mylan NV | 22,538 | 909 |
| * Align Technology Inc. | 3,355 | 881 |
| * Cerner Corp. | 12,119 | 778 |
| * Laboratory Corp. of America Holdings | 4,310 | 744 |
| * Centene Corp. | 7,169 | 727 |
| * IDEXX Laboratories Inc. | 3,668 | 687 |
| * IQVIA Holdings Inc. | 6,760 | 665 |
| AmerisourceBergen Corp. Class A | 6,691 | 637 |
| * Incyte Corp. | 7,355 | 626 |
| * BioMarin Pharmaceutical Inc. | 7,397 | 600 |
| Quest Diagnostics Inc. | 5,744 | 592 |
| ResMed Inc. | 5,968 | 569 |
| * Nektar Therapeutics Class A | 6,223 | 539 |
| Dentsply Sirona Inc. | 9,480 | 531 |
| * Bioverativ Inc. | 4,583 | 480 |
| Teleflex Inc. | 1,886 | 471 |
| Cooper Cos. Inc. | 2,027 | 467 |
| * DaVita Inc. | 6,418 | 462 |
| * ABIOMED Inc. | 1,720 | 461 |
| * Varian Medical Systems Inc. | 3,853 | 460 |
| * Hologic Inc. | 11,691 | 454 |
| Perrigo Co. plc | 5,537 | 451 |
| * Henry Schein Inc. | 6,635 | 439 |
| * Alnylam Pharmaceuticals Inc. | 3,630 | 436 |
| * Bluebird Bio Inc. | 2,102 | 423 |
| Universal Health Services Inc. Class B | 3,686 | 421 |
| * Alkermes plc | 6,516 | 372 |
| * WellCare Health Plans Inc. | 1,894 | 367 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| PerkinElmer Inc. | 4,739 | 362 |
| * Veeva Systems Inc. Class A | 4,688 | 327 |
| * QIAGEN NV | 9,518 | 321 |
| STERIS plc | 3,491 | 319 |
| * Neurocrine Biosciences Inc. | 3,731 | 315 |
| * Exelixis Inc. | 12,203 | 315 |
| * Ionis Pharmaceuticals Inc. | 5,239 | 277 |
| West Pharmaceutical Services Inc. | 3,056 | 267 |
| * Sage Therapeutics Inc. | 1,586 | 256 |
| * Juno Therapeutics Inc. | 2,914 | 253 |
| * Bio-Rad Laboratories Inc. Class A | 891 | 241 |
| * athenahealth Inc. | 1,711 | 239 |
| * Seattle Genetics Inc. | 4,353 | 235 |
| * Catalent Inc. | 5,498 | 230 |
| Hill-Rom Holdings Inc. | 2,713 | 227 |
| Bio-Techne Corp. | 1,585 | 224 |
| * Exact Sciences Corp. | 4,944 | 221 |
| * United Therapeutics Corp. | 1,890 | 219 |
| * Encompass Health Corp. | 4,040 | 215 |
| * MEDNAX Inc. | 3,873 | 213 |
| * Charles River Laboratories International Inc. | 1,954 | 208 |
| * DexCom Inc. | 3,653 | 205 |
| * Envision Healthcare Corp. | 5,119 | 197 |
| * Insulet Corp. | 2,546 | 191 |
| Cantel Medical Corp. | 1,550 | 180 |
| * LivaNova plc | 1,997 | 179 |
| Chemed Corp. | 687 | 178 |
| * PRA Health Sciences Inc. | 2,069 | 174 |
| * Masimo Corp. | 1,957 | 171 |
| * Haemonetics Corp. | 2,355 | 167 |
| * Agios Pharmaceuticals Inc. | 1,996 | 160 |
| * Sarepta Therapeutics Inc. | 2,548 | 160 |
| * FibroGen Inc. | 2,892 | 159 |
| * Medidata Solutions Inc. | 2,347 | 154 |
| * ICU Medical Inc. | 658 | 152 |
| * Blueprint Medicines Corp. | 1,737 | 150 |
| * Globus Medical Inc. | 3,144 | 150 |
| * Array BioPharma Inc. | 8,316 | 144 |
| * Avexis Inc. | 1,151 | 142 |
| * Integra LifeSciences Holdings Corp. | 2,680 | 141 |
| * Penumbra Inc. | 1,297 | 140 |
| * Molina Healthcare Inc. | 1,921 | 139 |
| * Ligand Pharmaceuticals Inc. | 860 | 131 |
| Bruker Corp. | 4,132 | 127 |
| * Acadia Healthcare Co. Inc. | 3,313 | 126 |
| * HealthEquity Inc. | 2,117 | 122 |
| * Neogen Corp. | 1,987 | 116 |
| Patterson Cos. Inc. | 3,638 | 115 |
| * AMN Healthcare Services Inc. | 2,024 | 113 |
| * Loxo Oncology Inc. | 956 | 106 |
| * Clovis Oncology Inc. | 1,824 | 106 |
| * NuVasive Inc. | 2,139 | 103 |
| * Horizon Pharma plc | 6,852 | 100 |
| * Syneos Health Inc. | 2,382 | 100 |
| * ACADIA Pharmaceuticals Inc. | 3,973 | 99 |
| * Global Blood Therapeutics Inc. | 1,685 | 99 |
| * Portola Pharmaceuticals Inc. | 2,318 | 98 |
| * Halyard Health Inc. | 1,977 | 98 |
| * Magellan Health Inc. | 955 | 96 |
| * Allscripts Healthcare Solutions Inc. | 6,818 | 95 |
| * Amicus Therapeutics Inc. | 6,705 | 92 |
| * Medicines Co. | 3,007 | 92 |
| * Halozyme Therapeutics Inc. | 4,650 | 91 |
| * TESARO Inc. | 1,647 | 91 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * Nevro Corp. | 1,120 | 91 |
| * Inogen Inc. | 751 | 91 |
| * Teladoc Inc. | 2,217 | 89 |
| * Merit Medical Systems Inc. | 1,937 | 88 |
| * Wright Medical Group NV | 4,307 | 88 |
| * Myriad Genetics Inc. | 2,658 | 86 |
| * AnaptysBio Inc. | 696 | 85 |
| * Sangamo Therapeutics Inc. | 3,516 | 84 |
| * Select Medical Holdings Corp. | 4,652 | 84 |
| * Ironwood Pharmaceuticals Inc. Class A | 5,757 | 82 |
| * Supernus Pharmaceuticals Inc. | 2,101 | 82 |
| * Puma Biotechnology Inc. | 1,241 | 81 |
| * Ultragenyx Pharmaceutical Inc. | 1,671 | 80 |
| * Prestige Brands Holdings Inc. | 2,344 | 79 |
| * Immunomedics Inc. | 4,627 | 78 |
| * Insmed Inc. | 3,195 | 77 |
| CONMED Corp. | 1,233 | 75 |
| * Spectrum Pharmaceuticals Inc. | 3,390 | 73 |
| * Emergent BioSolutions Inc. | 1,438 | 71 |
| * Tenet Healthcare Corp. | 3,431 | 71 |
| * LifePoint Health Inc. | 1,522 | 70 |
| * Mallinckrodt plc | 4,202 | 70 |
| * Premier Inc. Class A | 2,107 | 70 |
| * Aerie Pharmaceuticals Inc. | 1,332 | 68 |
| * Cambrex Corp. | 1,306 | 68 |
| * Amedisys Inc. | 1,133 | 67 |
| * Omnicell Inc. | 1,535 | 67 |
| * Tivity Health Inc. | 1,738 | 67 |
| * NxStage Medical Inc. | 2,870 | 67 |
| * Akorn Inc. | 3,835 | 65 |
| * Impax Laboratories Inc. | 3,135 | 64 |
| * HMS Holdings Corp. | 3,832 | 61 |
| * Radius Health Inc. | 1,606 | 61 |
| * Editas Medicine Inc. | 1,650 | 60 |
| * Endo International plc | 9,504 | 60 |
| * Arena Pharmaceuticals Inc. | 1,545 | 60 |
| * Zogenix Inc. | 1,407 | 60 |
| * Esperion Therapeutics Inc. | 739 | 59 |
| Ensign Group Inc. | 2,219 | 59 |
| * Foundation Medicine Inc. | 706 | 58 |
| * Integer Holdings Corp. | 1,135 | 58 |
| * Corcept Therapeutics Inc. | 3,764 | 57 |
| * Novocure Ltd. | 2,775 | 57 |
| * Enanta Pharmaceuticals Inc. | 720 | 57 |
| * Spark Therapeutics Inc. | 983 | 56 |
| * Acceleron Pharma Inc. | 1,335 | 56 |
| Abaxis Inc. | 831 | 55 |
| * Quidel Corp. | 1,266 | 55 |
| * Aimmune Therapeutics Inc. | 1,671 | 54 |
| * Prothena Corp. plc | 1,609 | 54 |
| * Pacira Pharmaceuticals Inc. | 1,721 | 54 |
| * Xencor Inc. | 1,757 | 54 |
| * Cotiviti Holdings Inc. | 1,601 | 54 |
| * MyoKardia Inc. | 921 | 54 |
| * Brookdale Senior Living Inc. | 8,117 | 53 |
| * Repligen Corp. | 1,505 | 52 |
| * Iovance Biotherapeutics Inc. | 2,964 | 51 |
| * LHC Group Inc. | 783 | 50 |
| * Momenta Pharmaceuticals Inc. | 2,955 | 50 |
| * Innoviva Inc. | 3,232 | 50 |
| * Varex Imaging Corp. | 1,395 | 49 |
| * OPKO Health Inc. | 14,231 | 48 |
| * Heron Therapeutics Inc. | 2,336 | 48 |
| * Dermira Inc. | 1,830 | 47 |
| | | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Theravance Biopharma Inc. | 1,776 | 47 |
| * | Intersect ENT Inc. | 1,265 | 47 |
| | Analogic Corp. | 554 | 46 |
| * | ImmunoGen Inc. | 4,154 | 46 |
| * | Retrophin Inc. | 1,823 | 46 |
| * | Orthofix International NV | 805 | 45 |
| * | Intercept Pharmaceuticals Inc. | 741 | 44 |
| * | Natus Medical Inc. | 1,418 | 44 |
| * | BioTelemetry Inc. | 1,367 | 44 |
| * | CytomX Therapeutics Inc. | 1,451 | 43 |
| * | Glaukos Corp. | 1,371 | 43 |
| | Owens & Minor Inc. | 2,602 | 43 |
| * | PTC Therapeutics Inc. | 1,646 | 42 |
| | US Physical Therapy Inc. | 540 | 42 |
| * | Acorda Therapeutics Inc. | 1,736 | 41 |
| * | Madrigal Pharmaceuticals Inc. | 326 | 41 |
| * | iRhythm Technologies Inc. | 658 | 41 |
| * | AxoGen Inc. | 1,396 | 41 |
| | Phibro Animal Health Corp. Class A | 1,046 | 40 |
| * | Assembly Biosciences Inc. | 703 | 40 |
| * | Vanda Pharmaceuticals Inc. | 2,104 | 40 |
| * | K2M Group Holdings Inc. | 1,900 | 39 |
| * | AMAG Pharmaceuticals Inc. | 1,831 | 39 |
| * | Dynavax Technologies Corp. | 2,372 | 38 |
| * | MacroGenics Inc. | 1,524 | 38 |
| * | REGENXBIO Inc. | 1,342 | 38 |
| | Luminex Corp. | 1,946 | 38 |
| | Atrion Corp. | 64 | 38 |
| * | OraSure Technologies Inc. | 2,162 | 37 |
| * | Atara Biotherapeutics Inc. | 966 | 37 |
| | Kindred Healthcare Inc. | 3,958 | 36 |
| * | Providence Service Corp. | 572 | 36 |
| * | Cardiovascular Systems Inc. | 1,520 | 36 |
| * | Almost Family Inc. | 610 | 36 |
| * | Alder Biopharmaceuticals Inc. | 2,578 | 36 |
| * | Epizyme Inc. | 2,014 | 36 |
| * | Amphastar Pharmaceuticals Inc. | 1,940 | 36 |
| * | Anika Therapeutics Inc. | 684 | 36 |
| * | Flexion Therapeutics Inc. | 1,399 | 35 |
| * | TG Therapeutics Inc. | 2,499 | 35 |
| * | Quality Systems Inc. | 2,756 | 35 |
| * | Revance Therapeutics Inc. | 1,101 | 34 |
| * | Novavax Inc. | 15,469 | 34 |
| * | Intra-Cellular Therapies Inc. | 1,731 | 34 |
| * | Accelerate Diagnostics Inc. | 1,274 | 34 |
| * | Genomic Health Inc. | 1,040 | 33 |
| * | TherapeuticsMD Inc. | 6,548 | 33 |
| | National HealthCare Corp. | 554 | 33 |
| * | CryoLife Inc. | 1,707 | 32 |
| * | R1 RCM Inc. | 4,901 | 32 |
| *,^ | Intrexon Corp. | 2,437 | 32 |
| * | MiMedx Group Inc. | 4,459 | 32 |
| *,^ | Flex Pharma Inc. | 7,510 | 31 |
| * | AtriCure Inc. | 1,730 | 31 |
| * | STAAR Surgical Co. | 1,922 | 30 |
| * | Cutera Inc. | 661 | 30 |
| * | Akebia Therapeutics Inc. | 2,058 | 29 |
| * | WaVe Life Sciences Ltd. | 565 | 29 |
| | LeMaitre Vascular Inc. | 819 | 28 |
| | Meridian Bioscience Inc. | 2,011 | 28 |
| * | Rigel Pharmaceuticals Inc. | 7,335 | 28 |
| * | La Jolla Pharmaceutical Co. | 866 | 27 |
| * | Collegium Pharmaceutical Inc. | 1,099 | 26 |
| * | AngioDynamics Inc. | 1,562 | 25 |
| | | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Invacare Corp. | 1,478 | 25 |
| * | Progenics Pharmaceuticals Inc. | 3,730 | 25 |
| * | CorVel Corp. | 502 | 25 |
| * | Cerus Corp. | 5,734 | 25 |
| * | Eagle Pharmaceuticals Inc. | 436 | 24 |
| * | Audentes Therapeutics Inc. | 726 | 24 |
| * | Community Health Systems Inc. | 4,701 | 24 |
| *,^ | ZIOPHARM Oncology Inc. | 6,283 | 23 |
| * | ANI Pharmaceuticals Inc. | 364 | 23 |
| * | Lannett Co. Inc. | 1,456 | 23 |
| * | Concert Pharmaceuticals Inc. | 1,051 | 23 |
| * | Five Prime Therapeutics Inc. | 1,071 | 23 |
| * | Heska Corp. | 321 | 22 |
| * | Accuray Inc. | 3,840 | 21 |
| * | Cross Country Healthcare Inc. | 1,644 | 21 |
| * | NeoGenomics Inc. | 2,517 | 21 |
| * | BioCryst Pharmaceuticals Inc. | 4,179 | 21 |
| * | Omeros Corp. | 2,005 | 20 |
| * | Paratek Pharmaceuticals Inc. | 1,534 | 20 |
| * | Keryx Biopharmaceuticals Inc. | 4,369 | 20 |
| * | Achillion Pharmaceuticals Inc. | 6,155 | 20 |
| * | Lantheus Holdings Inc. | 1,296 | 20 |
| * | Stemline Therapeutics Inc. | 1,136 | 19 |
| * | Codexis Inc. | 2,014 | 19 |
| * | Aclaris Therapeutics Inc. | 956 | 19 |
| * | Triple-S Management Corp. Class B | 765 | 19 |
| * | Coherus Biosciences Inc. | 1,877 | 19 |
| * | Cara Therapeutics Inc. | 1,309 | 18 |
| * | Cascadian Therapeutics Inc. | 1,791 | 18 |
| * | Surmodics Inc. | 593 | 18 |
| * | Depomed Inc. | 2,554 | 18 |
| * | Intellia Therapeutics Inc. | 656 | 17 |
| *,^ | Synergy Pharmaceuticals Inc. | 9,420 | 17 |
| * | RadNet Inc. | 1,705 | 17 |
| * | PDL BioPharma Inc. | 7,082 | 17 |
| * | Voyager Therapeutics Inc. | 588 | 17 |
| * | Kura Oncology Inc. | 744 | 17 |
| * | Abeona Therapeutics Inc. | 1,206 | 17 |
| * | Tabula Rasa HealthCare Inc. | 511 | 17 |
| | Computer Programs & Systems Inc. | 548 | 16 |
| *,^ | Geron Corp. | 7,024 | 16 |
| * | Biohaven Pharmaceutical Holding Co. Ltd. | 471 | 16 |
| * | Karyopharm Therapeutics Inc. | 1,080 | 16 |
| * | Antares Pharma Inc. | 7,242 | 16 |
| * | Cytokinetics Inc. | 2,021 | 16 |
| *,^ | Achaogen Inc. | 1,434 | 15 |
| * | Pieris Pharmaceuticals Inc. | 1,739 | 15 |
| * | Tactile Systems Technology Inc. | 455 | 15 |
| * | RTI Surgical Inc. | 3,451 | 15 |
| * | Surgery Partners Inc. | 923 | 15 |
| * | Natera Inc. | 1,591 | 14 |
| * | BioScrip Inc. | 4,504 | 14 |
| * | Capital Senior Living Corp. | 1,181 | 14 |
| * | Entellus Medical Inc. | 574 | 14 |
| *,^ | Rockwell Medical Inc. | 2,346 | 14 |
| * | ChemoCentryx Inc. | 1,391 | 14 |
| * | Inovio Pharmaceuticals Inc. | 3,192 | 13 |
| * | Corium International Inc. | 985 | 13 |
| | National Research Corp. Class A | 443 | 13 |
| * | Celldex Therapeutics Inc. | 5,502 | 12 |
| * | Enzo Biochem Inc. | 1,946 | 12 |
| * | ViewRay Inc. | 1,474 | 12 |
| * | Addus HomeCare Corp. | 356 | 12 |
| * | Oxford Immunotec Global plc | 1,091 | 12 |
| | | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Calithera Biosciences Inc. | 1,525 | 12 |
| * | Aduro Biotech Inc. | 1,866 | 12 |
| * | Castlight Health Inc. Class B | 3,285 | 12 |
| * | Fate Therapeutics Inc. | 1,020 | 11 |
| * | Medpace Holdings Inc. | 357 | 11 |
| * | Idera Pharmaceuticals Inc. | 6,370 | 11 |
| * | Reata Pharmaceuticals Inc. Class A | 458 | 11 |
| * | Endologix Inc. | 2,608 | 10 |
| * | Ardelyx Inc. | 1,842 | 10 |
| * | Kindred Biosciences Inc. | 1,054 | 9 |
| * | Civitas Solutions Inc. | 720 | 9 |
| * | Pacific Biosciences of California Inc. | 3,926 | 9 |
| * | BioTime Inc. | 3,497 | 9 |
| * | Seres Therapeutics Inc. | 957 | 9 |
| * | Fluidigm Corp. | 1,334 | 9 |
| * | Protagonist Therapeutics Inc. | 532 | 9 |
| * | GenMark Diagnostics Inc. | 2,174 | 9 |
| * | NewLink Genetics Corp. | 1,223 | 9 |
| * | Pulse Biosciences Inc. | 456 | 8 |
| * | Akcea Therapeutics Inc. | 491 | 8 |
| * | Insys Therapeutics Inc. | 1,142 | 8 |
| * | Durect Corp. | 6,522 | 8 |
| * | Bellicum Pharmaceuticals Inc. | 1,143 | 8 |
| * | Neos Therapeutics Inc. | 936 | 8 |
| * | Aratana Therapeutics Inc. | 1,951 | 7 |
| * | Fortress Biotech Inc. | 1,698 | 7 |
| * | Merrimack Pharmaceuticals Inc. | 646 | 7 |
| * | Conatus Pharmaceuticals Inc. | 1,342 | 7 |
| * | Agenus Inc. | 1,289 | 7 |
| * | Syros Pharmaceuticals Inc. | 616 | 7 |
| * | NantKwest Inc. | 1,461 | 7 |
| * | Clearside Biomedical Inc. | 998 | 6 |
| * | Sientra Inc. | 650 | 6 |
| * | Minerva Neurosciences Inc. | 1,177 | 6 |
| * | NanoString Technologies Inc. | 932 | 6 |
| *,^ | Quotient Ltd. | 1,294 | 6 |
| * | Melinta Therapeutics Inc. | 476 | 6 |
| * | Invitae Corp. | 892 | 6 |
| * | Organovo Holdings Inc. | 5,739 | 6 |
| * | Ocular Therapeutix Inc. | 1,103 | 6 |
| *,^ | Zynerba Pharmaceuticals Inc. | 551 | 5 |
| * | Teligent Inc. | 1,909 | 5 |
| * | Selecta Biosciences Inc. | 565 | 5 |
| * | Tetraphase Pharmaceuticals Inc. | 1,827 | 5 |
| * | Dova Pharmaceuticals Inc. | 169 | 5 |
| * | Catalyst Pharmaceuticals Inc. | 1,584 | 5 |
| * | PetIQ Inc. | 222 | 5 |
| * | Corindus Vascular Robotics Inc. | 4,762 | 5 |
| *,^ | Nymox Pharmaceutical Corp. | 1,458 | 5 |
| * | Ra Pharmaceuticals Inc. | 670 | 4 |
| * | Advaxis Inc. | 1,775 | 3 |
| * | Versartis Inc. | 1,704 | 3 |
| * | Axovant Sciences Ltd. | 1,458 | 2 |
| | | | 155,887 |
| Materials & Processing (3.9%) | | |
| | DowDuPont Inc. | 98,226 | 6,905 |
| | Monsanto Co. | 18,333 | 2,262 |
| | Praxair Inc. | 12,117 | 1,815 |
| | LyondellBasell Industries NV Class A | 13,749 | 1,488 |
| | Air Products & Chemicals Inc. | 9,101 | 1,463 |
| | Ecolab Inc. | 10,736 | 1,401 |
| | Sherwin-Williams Co. | 3,483 | 1,399 |
| | PPG Industries Inc. | 10,893 | 1,225 |
| * | Freeport-McMoRan Inc. | 57,301 | 1,066 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| International Paper Co. | 17,482 | 1,042 |
| Ingersoll-Rand plc | 10,577 | 939 |
| Nucor Corp. | 13,442 | 879 |
| Newmont Mining Corp. | 22,643 | 865 |
| WestRock Co. | 10,630 | 699 |
| Fastenal Co. | 12,245 | 670 |
| Vulcan Materials Co. | 5,578 | 657 |
| Eastman Chemical Co. | 6,147 | 621 |
| Ball Corp. | 14,721 | 588 |
| Celanese Corp. Class A | 5,706 | 576 |
| Masco Corp. | 13,312 | 547 |
| Martin Marietta Materials Inc. | 2,644 | 539 |
| Packaging Corp. of America | 3,950 | 471 |
| International Flavors & Fragrances Inc. | 3,332 | 471 |
| Albemarle Corp. | 4,657 | 468 |
| Steel Dynamics Inc. | 9,830 | 455 |
| FMC Corp. | 5,636 | 442 |
| CF Industries Holdings Inc. | 9,803 | 404 |
| Mosaic Co. | 15,137 | 398 |
| Owens Corning | 4,687 | 381 |
| Chemours Co. | 7,757 | 369 |
| * Alcoa Corp. | 7,768 | 349 |
| Lennox International Inc. | 1,625 | 333 |
| United States Steel Corp. | 7,576 | 330 |
| Sealed Air Corp. | 7,460 | 316 |
| * Berry Global Group Inc. | 5,554 | 302 |
| RPM International Inc. | 5,627 | 280 |
| * Axalta Coating Systems Ltd. | 9,082 | 280 |
| * Crown Holdings Inc. | 5,571 | 278 |
| Huntsman Corp. | 8,455 | 273 |
| Reliance Steel & Aluminum Co. | 2,889 | 261 |
| Hexcel Corp. | 3,678 | 247 |
| Acuity Brands Inc. | 1,727 | 246 |
| AptarGroup Inc. | 2,599 | 232 |
| Olin Corp. | 7,126 | 232 |
| Royal Gold Inc. | 2,813 | 227 |
| Watsco Inc. | 1,284 | 212 |
| Graphic Packaging Holding Co. | 13,546 | 207 |
| Eagle Materials Inc. | 1,949 | 195 |
| Sonoco Products Co. | 4,031 | 193 |
| Ashland Global Holdings Inc. | 2,696 | 191 |
| Southern Copper Corp. | 3,513 | 185 |
| WR Grace & Co. | 2,785 | 184 |
| Bemis Co. Inc. | 3,976 | 175 |
| Louisiana-Pacific Corp. | 6,021 | 172 |
| Westlake Chemical Corp. | 1,556 | 168 |
| Scotts Miracle-Gro Co. | 1,773 | 159 |
| * Owens-Illinois Inc. | 7,115 | 153 |
| Trinseo SA | 1,904 | 152 |
| Cabot Corp. | 2,482 | 149 |
| PolyOne Corp. | 3,547 | 147 |
| * Beacon Roofing Supply Inc. | 2,761 | 146 |
| * Summit Materials Inc. Class A | 4,591 | 145 |
| Valmont Industries Inc. | 969 | 143 |
| * Univar Inc. | 4,801 | 138 |
| * Ingevity Corp. | 1,841 | 138 |
| KapStone Paper and Packaging Corp. | 3,844 | 134 |
| Belden Inc. | 1,840 | 134 |
| * Allegheny Technologies Inc. | 5,122 | 133 |
| Versum Materials Inc. | 3,580 | 133 |
| Sensient Technologies Corp. | 1,841 | 132 |
| Timken Co. | 2,983 | 131 |
| * USG Corp. | 3,842 | 128 |
| NewMarket Corp. | 306 | 128 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * Trex Co. Inc. | 1,191 | 123 |
| * Rexnord Corp. | 4,156 | 120 |
| Domtar Corp. | 2,594 | 116 |
| Commercial Metals Co. | 4,623 | 112 |
| HB Fuller Co. | 2,206 | 111 |
| * RBC Bearings Inc. | 921 | 111 |
| * Armstrong World Industries Inc. | 1,773 | 107 |
| Carpenter Technology Corp. | 2,093 | 107 |
| Minerals Technologies Inc. | 1,479 | 102 |
| Cabot Microelectronics Corp. | 993 | 101 |
| * Platform Specialty Products Corp. | 9,429 | 98 |
| * GCP Applied Technologies Inc. | 3,183 | 98 |
| Balchem Corp. | 1,298 | 98 |
| * JELD-WEN Holding Inc. | 3,056 | 95 |
| US Silica Holdings Inc. | 3,519 | 91 |
| * Builders FirstSource Inc. | 4,695 | 90 |
| Worthington Industries Inc. | 1,992 | 88 |
| * Cleveland-Cliffs Inc. | 12,318 | 87 |
| Compass Minerals International Inc. | 1,411 | 85 |
| * Ferro Corp. | 3,787 | 81 |
| Silgan Holdings Inc. | 2,802 | 80 |
| Kaiser Aluminum Corp. | 751 | 75 |
| Greif Inc. Class A | 1,216 | 70 |
| Stepan Co. | 870 | 70 |
| Quaker Chemical Corp. | 485 | 69 |
| * Masonite International Corp. | 1,119 | 68 |
| * AK Steel Holding Corp. | 13,024 | 67 |
| Comfort Systems USA Inc. | 1,601 | 66 |
| * MRC Global Inc. | 3,911 | 65 |
| Tahoe Resources Inc. | 13,207 | 64 |
| Mueller Water Products Inc. Class A | 5,760 | 63 |
| Tronox Ltd. Class A | 3,414 | 62 |
| Mueller Industries Inc. | 2,349 | 62 |
| Hecla Mining Co. | 16,804 | 62 |
| * AdvanSix Inc. | 1,476 | 61 |
| Boise Cascade Co. | 1,494 | 60 |
| * Coeur Mining Inc. | 7,786 | 60 |
| * Installed Building Products Inc. | 992 | 59 |
| Innospec Inc. | 911 | 59 |
| Simpson Manufacturing Co. Inc. | 1,047 | 58 |
| * Patrick Industries Inc. | 935 | 57 |
| * Kraton Corp. | 1,334 | 57 |
| Interface Inc. Class A | 2,207 | 53 |
| Schweitzer-Mauduit International Inc. | 1,360 | 53 |
| Neenah Inc. | 664 | 51 |
| * US Concrete Inc. | 695 | 51 |
| * BMC Stock Holdings Inc. | 2,689 | 50 |
| A Schulman Inc. | 1,117 | 49 |
| * Gibraltar Industries Inc. | 1,386 | 48 |
| * Continental Building Products Inc. | 1,701 | 46 |
| * Century Aluminum Co. | 2,351 | 45 |
| Rayonier Advanced Materials Inc. | 2,192 | 45 |
| Apogee Enterprises Inc. | 1,032 | 45 |
| Materion Corp. | 872 | 44 |
| * Koppers Holdings Inc. | 1,019 | 41 |
| Calgon Carbon Corp. | 1,909 | 41 |
| PH Glatfelter Co. | 1,961 | 40 |
| Advanced Drainage Systems Inc. | 1,522 | 39 |
| Innophos Holdings Inc. | 880 | 37 |
| Universal Forest Products Inc. | 1,107 | 37 |
| * TimkenSteel Corp. | 2,083 | 34 |
| Global Brass & Copper Holdings Inc. | 1,175 | 33 |
| Schnitzer Steel Industries Inc. | 952 | 32 |
| * GMS Inc. | 1,006 | 31 |
| | | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Unifi Inc. | 867 | 30 |
| * | PGT Innovations Inc. | 1,713 | 30 |
| * | Clearwater Paper Corp. | 748 | 28 |
| | Quanex Building Products Corp. | 1,669 | 28 |
| | Insteel Industries Inc. | 986 | 28 |
| * | NCI Building Systems Inc. | 1,671 | 27 |
| | KMG Chemicals Inc. | 444 | 27 |
| | Chase Corp. | 246 | 26 |
| * | Verso Corp. | 1,451 | 25 |
| | American Vanguard Corp. | 1,302 | 25 |
| | Griffon Corp. | 1,346 | 25 |
| | Kronos Worldwide Inc. | 1,086 | 23 |
| * | Ply Gem Holdings Inc. | 1,058 | 23 |
| | Haynes International Inc. | 543 | 23 |
| | Caesarstone Ltd. | 1,004 | 22 |
| | NN Inc. | 874 | 21 |
| * | OMNOVA Solutions Inc. | 1,879 | 19 |
| * | Armstrong Flooring Inc. | 1,340 | 19 |
| | Myers Industries Inc. | 990 | 19 |
| * | Intrepid Potash Inc. | 4,576 | 15 |
| * | Landec Corp. | 1,164 | 15 |
| | DMC Global Inc. | 669 | 14 |
| | Ardagh Group SA | 712 | 13 |
| * | Veritiv Corp. | 533 | 13 |
| * | Klondex Mines Ltd. | 8,625 | 11 |
| * | PQ Group Holdings Inc. | 825 | 11 |
| | AAON Inc. | 286 | 11 |
| * | LB Foster Co. Class A | 401 | 11 |
| | Gold Resource Corp. | 2,491 | 10 |
| | LSI Industries Inc. | 1,184 | 9 |
| * | Uranium Energy Corp. | 6,859 | 9 |
| * | UFP Technologies Inc. | 307 | 9 |
| | Aceto Corp. | 1,216 | 9 |
| * | AgroFresh Solutions Inc. | 1,083 | 8 |
| | Culp Inc. | 293 | 8 |
| | Omega Flex Inc. | 136 | 8 |
| * | LSB Industries Inc. | 1,010 | 8 |
| * | Forterra Inc. | 999 | 7 |
| | Oil-Dri Corp. of America | 192 | 7 |
| * | Lawson Products Inc. | 277 | 7 |
| * | Northwest Pipe Co. | 365 | 6 |
| | Core Molding Technologies Inc. | 331 | 6 |
| * | Huttig Building Products Inc. | 1,047 | 5 |
| * | Shiloh Industries Inc. | 641 | 5 |
| | Ampco-Pittsburgh Corp. | 406 | 4 |
| * | NL Industries Inc. | 346 | 3 |
| *,2 | Ferroglobe R&W Trust | 4,465 | — |
| | | | 45,186 |
| Other (0.0%)3 | | |
| *,2 | Dyax Corp. CVR Exp. 12/31/2019 | 6,727 | 14 |
| * | ADT Inc. | 793 | 9 |
| *,2 | Herbalife Ltd. CVR | 450 | 4 |
| * | Victory Capital Holdings Inc. Class A | 250 | 3 |
| * | Cactus Inc. | 125 | 3 |
| *,2 | Tobira Therapeutics CVR Exp. 12/31/2028 | 277 | 1 |
| * | Quintana Energy Services Inc. | 125 | 1 |
| * | Evolus Inc. | 89 | 1 |
| *,2 | NewStar Financial Inc. CVR Line | 943 | 1 |
| *,2 | Media General Inc. CVR | 5,133 | — |
| *,2 | Omthera Pharmaceuticals Inc. CVR | 152 | — |
| *,2 | Gerber Scientific Inc. CVR | 223 | — |
| *,2 | Clinical Data CVR | 32 | — |
| | | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| *,2 | Chelsea Therapeutics International Ltd. CVR | 2,322 | — |
| | | | 37 |
| Producer Durables (11.0%) | | |
| | Boeing Co. | 23,488 | 8,508 |
| | 3M Co. | 24,422 | 5,752 |
| | General Electric Co. | 366,024 | 5,165 |
| | Honeywell International Inc. | 32,221 | 4,869 |
| | Union Pacific Corp. | 33,208 | 4,325 |
| | United Technologies Corp. | 31,448 | 4,237 |
| | Accenture plc Class A | 26,230 | 4,223 |
| | Lockheed Martin Corp. | 10,587 | 3,731 |
| | Caterpillar Inc. | 23,785 | 3,678 |
| | United Parcel Service Inc. Class B | 28,951 | 3,023 |
| | Raytheon Co. | 12,242 | 2,663 |
| | FedEx Corp. | 10,400 | 2,563 |
| | General Dynamics Corp. | 11,023 | 2,452 |
| | Northrop Grumman Corp. | 6,735 | 2,358 |
| | Deere & Co. | 13,516 | 2,174 |
| | Automatic Data Processing Inc. | 18,758 | 2,163 |
| | Illinois Tool Works Inc. | 12,548 | 2,026 |
| | CSX Corp. | 36,214 | 1,945 |
| | Emerson Electric Co. | 27,293 | 1,939 |
| | Norfolk Southern Corp. | 12,328 | 1,715 |
| | Waste Management Inc. | 18,477 | 1,595 |
| | Eaton Corp. plc | 18,945 | 1,529 |
| | Delta Air Lines Inc. | 27,800 | 1,498 |
| | Johnson Controls International plc | 39,736 | 1,465 |
| | Southwest Airlines Co. | 22,608 | 1,308 |
| | Roper Technologies Inc. | 4,277 | 1,177 |
| | Cummins Inc. | 6,744 | 1,134 |
| | PACCAR Inc. | 14,499 | 1,038 |
| | Stanley Black & Decker Inc. | 6,498 | 1,034 |
| | Fortive Corp. | 13,111 | 1,007 |
| | Parker-Hannifin Corp. | 5,606 | 1,001 |
| | American Airlines Group Inc. | 18,338 | 995 |
| | Rockwell Automation Inc. | 5,427 | 981 |
| | Rockwell Collins Inc. | 6,930 | 954 |
| | Paychex Inc. | 13,608 | 886 |
| * | United Continental Holdings Inc. | 11,406 | 773 |
| | AMETEK Inc. | 9,665 | 732 |
| | L3 Technologies Inc. | 3,266 | 678 |
| | Textron Inc. | 11,142 | 667 |
| * | Mettler-Toledo International Inc. | 1,074 | 662 |
| * | Waters Corp. | 3,224 | 660 |
| | Dover Corp. | 6,543 | 655 |
| * | Verisk Analytics Inc. Class A | 6,376 | 652 |
| | Republic Services Inc. Class A | 9,681 | 650 |
| * | United Rentals Inc. | 3,569 | 625 |
| | Cintas Corp. | 3,619 | 618 |
| | TransDigm Group Inc. | 2,022 | 583 |
| | WW Grainger Inc. | 2,172 | 568 |
| | Xylem Inc. | 7,556 | 564 |
| | CH Robinson Worldwide Inc. | 5,933 | 554 |
| * | CoStar Group Inc. | 1,488 | 509 |
| * | XPO Logistics Inc. | 4,991 | 491 |
| | Huntington Ingalls Industries Inc. | 1,870 | 490 |
| | Expeditors International of Washington Inc. | 7,539 | 490 |
| | Kansas City Southern | 4,379 | 451 |
| | Avery Dennison Corp. | 3,749 | 443 |
| | Spirit AeroSystems Holdings Inc. Class A | 4,848 | 443 |
| | JB Hunt Transport Services Inc. | 3,693 | 438 |
| | Arconic Inc. | 17,933 | 437 |
| | Pentair plc | 6,268 | 431 |
| * | Copart Inc. | 8,597 | 402 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * Trimble Inc. | 10,502 | 398 |
| AO Smith Corp. | 6,111 | 392 |
| Snap-on Inc. | 2,439 | 388 |
| IDEX Corp. | 2,799 | 383 |
| * Sensata Technologies Holding NV | 7,037 | 372 |
| * Keysight Technologies Inc. | 7,719 | 363 |
| Old Dominion Freight Line Inc. | 2,597 | 361 |
| ManpowerGroup Inc. | 2,890 | 342 |
| Allegion plc | 4,050 | 341 |
| Fluor Corp. | 5,886 | 335 |
| Alaska Air Group Inc. | 5,083 | 328 |
| Orbital ATK Inc. | 2,447 | 323 |
| Nordson Corp. | 2,409 | 323 |
| Hubbell Inc. Class B | 2,329 | 305 |
| Graco Inc. | 6,881 | 305 |
| * Zebra Technologies Corp. | 2,187 | 302 |
| Wabtec Corp. | 3,707 | 302 |
| Jacobs Engineering Group Inc. | 4,915 | 300 |
| Xerox Corp. | 9,786 | 297 |
| Robert Half International Inc. | 5,149 | 294 |
| Toro Co. | 4,553 | 289 |
| FLIR Systems Inc. | 5,856 | 288 |
| * HD Supply Holdings Inc. | 7,880 | 286 |
| * JetBlue Airways Corp. | 13,230 | 278 |
| * Middleby Corp. | 2,309 | 278 |
| * Teledyne Technologies Inc. | 1,439 | 268 |
| Carlisle Cos. Inc. | 2,513 | 259 |
| Curtiss-Wright Corp. | 1,867 | 252 |
| Knight-Swift Transportation Holdings Inc. | 5,149 | 248 |
| BWX Technologies Inc. | 3,914 | 246 |
| Oshkosh Corp. | 3,101 | 245 |
| Flowserve Corp. | 5,582 | 236 |
| * AECOM | 6,649 | 236 |
| Booz Allen Hamilton Holding Corp. Class A | 6,131 | 233 |
| National Instruments Corp. | 4,398 | 222 |
| * Quanta Services Inc. | 6,278 | 216 |
| * Stericycle Inc. | 3,438 | 215 |
| Lincoln Electric Holdings Inc. | 2,421 | 212 |
| Trinity Industries Inc. | 6,426 | 210 |
| Littelfuse Inc. | 995 | 206 |
| Allison Transmission Holdings Inc. | 5,108 | 202 |
| Crane Co. | 2,170 | 200 |
| Landstar System Inc. | 1,835 | 200 |
| Genpact Ltd. | 6,363 | 200 |
| Rollins Inc. | 3,917 | 197 |
| Donaldson Co. Inc. | 4,094 | 194 |
| EMCOR Group Inc. | 2,545 | 194 |
| Air Lease Corp. Class A | 4,237 | 185 |
| Copa Holdings SA Class A | 1,360 | 185 |
| * Genesee & Wyoming Inc. Class A | 2,639 | 183 |
| ITT Inc. | 3,631 | 182 |
| AGCO Corp. | 2,709 | 180 |
| MAXIMUS Inc. | 2,655 | 178 |
| * On Assignment Inc. | 2,186 | 168 |
| HEICO Corp. Class A | 2,306 | 167 |
| Ryder System Inc. | 2,299 | 166 |
| * Kirby Corp. | 2,212 | 166 |
| * Conduent Inc. | 8,578 | 162 |
| MSC Industrial Direct Co. Inc. Class A | 1,780 | 156 |
| Woodward Inc. | 2,188 | 155 |
| * KLX Inc. | 2,261 | 153 |
| Deluxe Corp. | 2,115 | 150 |
| John Bean Technologies Corp. | 1,294 | 143 |
| Kennametal Inc. | 3,446 | 142 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * MasTec Inc. | 2,786 | 142 |
| Brink's Co. | 1,915 | 141 |
| * Dycom Industries Inc. | 1,286 | 140 |
| Macquarie Infrastructure Corp. | 3,333 | 135 |
| Regal Beloit Corp. | 1,852 | 134 |
| Healthcare Services Group Inc. | 2,933 | 133 |
| EnerSys | 1,897 | 132 |
| Terex Corp. | 3,161 | 131 |
| * WESCO International Inc. | 2,101 | 131 |
| Barnes Group Inc. | 2,167 | 131 |
| * Darling Ingredients Inc. | 7,092 | 129 |
| HEICO Corp. | 1,488 | 127 |
| * Spirit Airlines Inc. | 3,020 | 120 |
| * Generac Holdings Inc. | 2,673 | 119 |
| Tetra Tech Inc. | 2,405 | 118 |
| * Proto Labs Inc. | 1,077 | 117 |
| SkyWest Inc. | 2,095 | 115 |
| * Moog Inc. Class A | 1,363 | 114 |
| Hillenbrand Inc. | 2,544 | 112 |
| * Colfax Corp. | 3,503 | 111 |
| * Clean Harbors Inc. | 2,218 | 111 |
| * TopBuild Corp. | 1,588 | 111 |
| MSA Safety Inc. | 1,362 | 110 |
| Applied Industrial Technologies Inc. | 1,504 | 106 |
| * Welbilt Inc. | 5,258 | 104 |
| * Advanced Energy Industries Inc. | 1,565 | 104 |
| GATX Corp. | 1,496 | 103 |
| Pitney Bowes Inc. | 8,246 | 102 |
| * Itron Inc. | 1,456 | 102 |
| Granite Construction Inc. | 1,704 | 99 |
| Korn/Ferry International | 2,282 | 96 |
| Herman Miller Inc. | 2,661 | 96 |
| * WageWorks Inc. | 1,802 | 95 |
| UniFirst Corp. | 601 | 93 |
| Exponent Inc. | 1,149 | 89 |
| Insperity Inc. | 1,366 | 89 |
| Watts Water Technologies Inc. Class A | 1,179 | 89 |
| * Esterline Technologies Corp. | 1,169 | 86 |
| Convergys Corp. | 3,662 | 85 |
| * Gardner Denver Holdings Inc. | 2,651 | 85 |
| KBR Inc. | 5,436 | 82 |
| * Navistar International Corp. | 2,165 | 81 |
| Allegiant Travel Co. Class A | 482 | 80 |
| * TriNet Group Inc. | 1,698 | 80 |
| Franklin Electric Co. Inc. | 2,045 | 80 |
| Hawaiian Holdings Inc. | 2,222 | 80 |
| * ExlService Holdings Inc. | 1,401 | 80 |
| ABM Industries Inc. | 2,269 | 80 |
| * SPX FLOW Inc. | 1,633 | 80 |
| * Axon Enterprise Inc. | 2,271 | 79 |
| Mobile Mini Inc. | 1,856 | 78 |
| * Harsco Corp. | 3,767 | 76 |
| Chicago Bridge & Iron Co. NV | 4,347 | 76 |
| Albany International Corp. | 1,182 | 75 |
| Covanta Holding Corp. | 4,939 | 74 |
| * Chart Industries Inc. | 1,336 | 74 |
| * Aerojet Rocketdyne Holdings Inc. | 2,722 | 73 |
| HNI Corp. | 1,975 | 73 |
| Brady Corp. Class A | 1,938 | 72 |
| Forward Air Corp. | 1,326 | 72 |
| * Saia Inc. | 979 | 71 |
| Cubic Corp. | 1,129 | 69 |
| * Herc Holdings Inc. | 1,044 | 68 |
| * FTI Consulting Inc. | 1,427 | 68 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| EnPro Industries Inc. | 930 | 67 |
| Werner Enterprises Inc. | 1,786 | 67 |
| AAR Corp. | 1,517 | 65 |
| Kaman Corp. | 1,049 | 64 |
| * Hub Group Inc. Class A | 1,432 | 63 |
| * SPX Corp. | 1,971 | 62 |
| Actuant Corp. Class A | 2,685 | 61 |
| Federal Signal Corp. | 2,842 | 61 |
| * Atlas Air Worldwide Holdings Inc. | 995 | 61 |
| * Air Transport Services Group Inc. | 2,263 | 60 |
| Triumph Group Inc. | 2,122 | 59 |
| Triton International Ltd. | 2,054 | 59 |
| Badger Meter Inc. | 1,220 | 58 |
| ESCO Technologies Inc. | 978 | 58 |
| Sun Hydraulics Corp. | 1,102 | 57 |
| Wabash National Corp. | 2,597 | 57 |
| * Rush Enterprises Inc. Class A | 1,329 | 56 |
| ACCO Brands Corp. | 4,464 | 56 |
| Raven Industries Inc. | 1,656 | 56 |
| * Electronics For Imaging Inc. | 2,007 | 55 |
| Altra Industrial Motion Corp. | 1,264 | 55 |
| Matson Inc. | 1,922 | 55 |
| General Cable Corp. | 1,850 | 55 |
| Greenbrier Cos. Inc. | 1,036 | 54 |
| H&E Equipment Services Inc. | 1,415 | 53 |
| Standex International Corp. | 552 | 53 |
| * Sykes Enterprises Inc. | 1,795 | 52 |
| Astec Industries Inc. | 873 | 51 |
| Tennant Co. | 785 | 51 |
| Encore Wire Corp. | 949 | 50 |
| * Casella Waste Systems Inc. Class A | 1,951 | 50 |
| * OSI Systems Inc. | 784 | 50 |
| US Ecology Inc. | 928 | 49 |
| * Advanced Disposal Services Inc. | 2,170 | 49 |
| * TrueBlue Inc. | 1,723 | 47 |
| * Paylocity Holding Corp. | 997 | 47 |
| Knoll Inc. | 2,190 | 47 |
| * ICF International Inc. | 816 | 47 |
| AZZ Inc. | 1,138 | 46 |
| * Navigant Consulting Inc. | 2,253 | 45 |
| * Modine Manufacturing Co. | 1,925 | 44 |
| Briggs & Stratton Corp. | 1,960 | 44 |
| McGrath RentCorp | 870 | 44 |
| * TriMas Corp. | 1,678 | 43 |
| Steelcase Inc. Class A | 3,182 | 43 |
| Lindsay Corp. | 490 | 43 |
| * Milacron Holdings Corp. | 1,991 | 43 |
| Douglas Dynamics Inc. | 958 | 43 |
| * Aerovironment Inc. | 849 | 42 |
| ArcBest Corp. | 1,273 | 42 |
| Schneider National Inc. Class B | 1,627 | 42 |
| Quad/Graphics Inc. | 1,581 | 42 |
| * Tutor Perini Corp. | 1,703 | 41 |
| Heartland Express Inc. | 2,104 | 41 |
| * Kratos Defense & Security Solutions Inc. | 3,400 | 41 |
| Kelly Services Inc. Class A | 1,378 | 41 |
| Kadant Inc. | 424 | 40 |
| Primoris Services Corp. | 1,618 | 40 |
| Aircastle Ltd. | 2,042 | 40 |
| * Lydall Inc. | 819 | 39 |
| Ship Finance International Ltd. | 2,683 | 39 |
| MTS Systems Corp. | 780 | 38 |
| * CBIZ Inc. | 2,102 | 38 |
| Alamo Group Inc. | 339 | 38 |
| | | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | Columbus McKinnon Corp. | 1,056 | 37 |
| | Hyster-Yale Materials Handling Inc. | 525 | 37 |
| | Manitowoc Co. Inc. | 1,224 | 36 |
| * | Aegion Corp. Class A | 1,561 | 36 |
| * | FARO Technologies Inc. | 599 | 36 |
| * | Echo Global Logistics Inc. | 1,313 | 35 |
| * | Thermon Group Holdings Inc. | 1,542 | 34 |
| * | Astronics Corp. | 870 | 34 |
| * | Evoqua Water Technologies Corp. | 1,428 | 33 |
| * | Atkore International Group Inc. | 1,493 | 32 |
| * | CSW Industrials Inc. | 688 | 32 |
| | Marten Transport Ltd. | 1,452 | 31 |
| * | Huron Consulting Group Inc. | 880 | 31 |
| | Multi-Color Corp. | 479 | 30 |
| | CIRCOR International Inc. | 645 | 30 |
| | Titan International Inc. | 2,357 | 30 |
| | Heidrick & Struggles International Inc. | 1,085 | 29 |
| * | Control4 Corp. | 1,155 | 28 |
| * | Vicor Corp. | 1,065 | 27 |
| * | SEACOR Holdings Inc. | 660 | 27 |
| | Kimball International Inc. Class B | 1,634 | 27 |
| * | MYR Group Inc. | 818 | 26 |
| | Argan Inc. | 655 | 26 |
| * | InnerWorkings Inc. | 2,742 | 25 |
| * | TTEC Holdings Inc. | 697 | 25 |
| | Resources Connection Inc. | 1,556 | 24 |
| | Spartan Motors Inc. | 1,625 | 24 |
| * | DXP Enterprises Inc. | 803 | 24 |
| | GasLog Ltd. | 1,390 | 23 |
| * | Wesco Aircraft Holdings Inc. | 2,561 | 23 |
| | LSC Communications Inc. | 1,573 | 23 |
| | Barrett Business Services Inc. | 308 | 23 |
| * | International Seaways Inc. | 1,395 | 23 |
| | VSE Corp. | 464 | 23 |
| | Bristow Group Inc. | 1,522 | 22 |
| | RPX Corp. | 2,175 | 22 |
| * | Engility Holdings Inc. | 778 | 21 |
| | Gorman-Rupp Co. | 793 | 21 |
| * | Team Inc. | 1,280 | 21 |
| * | Energous Corp. | 946 | 21 |
| | RR Donnelley & Sons Co. | 2,754 | 21 |
| * | Textainer Group Holdings Ltd. | 1,260 | 21 |
| | Kforce Inc. | 736 | 20 |
| * | SP Plus Corp. | 552 | 20 |
| | CRA International Inc. | 380 | 19 |
| | Hackett Group Inc. | 1,044 | 19 |
| | Mesa Laboratories Inc. | 143 | 19 |
| | Scorpio Tankers Inc. | 7,990 | 18 |
| | DHT Holdings Inc. | 4,570 | 17 |
| | Scorpio Bulkers Inc. | 2,207 | 17 |
| | REV Group Inc. | 632 | 17 |
| * | CAI International Inc. | 840 | 17 |
| * | NV5 Global Inc. | 387 | 17 |
| * | Covenant Transportation Group Inc. Class A | 640 | 17 |
| * | Titan Machinery Inc. | 818 | 16 |
| | Essendant Inc. | 2,014 | 16 |
| | American Railcar Industries Inc. | 425 | 16 |
| *,^ | Plug Power Inc. | 8,445 | 16 |
| * | Babcock & Wilcox Enterprises Inc. | 2,437 | 15 |
| | Park-Ohio Holdings Corp. | 382 | 15 |
| | Systemax Inc. | 528 | 15 |
| * | Sterling Construction Co. Inc. | 1,217 | 15 |
| ^ | Frontline Ltd. | 3,761 | 15 |
| * | Vectrus Inc. | 527 | 14 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * Gener8 Maritime Inc. | 2,571 | 14 |
| Miller Industries Inc. | 584 | 14 |
| * Ducommun Inc. | 499 | 14 |
| * Ardmore Shipping Corp. | 1,859 | 14 |
| * ServiceSource International Inc. | 3,785 | 14 |
| * Layne Christensen Co. | 858 | 13 |
| * Mistras Group Inc. | 664 | 13 |
| * YRC Worldwide Inc. | 1,491 | 13 |
| Hurco Cos. Inc. | 306 | 13 |
| * Heritage-Crystal Clean Inc. | 628 | 13 |
| * GP Strategies Corp. | 548 | 12 |
| * Commercial Vehicle Group Inc. | 1,175 | 12 |
| * Liquidity Services Inc. | 1,689 | 12 |
| * Energy Recovery Inc. | 1,662 | 11 |
| * Great Lakes Dredge & Dock Corp. | 2,437 | 11 |
| Graham Corp. | 537 | 11 |
| * Hudson Technologies Inc. | 1,771 | 11 |
| Powell Industries Inc. | 401 | 11 |
| * HC2 Holdings Inc. | 2,122 | 11 |
| Hardinge Inc. | 551 | 10 |
| Nordic American Tankers Ltd. | 4,539 | 9 |
| * Dorian LPG Ltd. | 1,258 | 9 |
| * Hill International Inc. | 1,657 | 9 |
| Allied Motion Technologies Inc. | 292 | 9 |
| * Twin Disc Inc. | 381 | 9 |
| Costamare Inc. | 1,568 | 9 |
| NACCO Industries Inc. Class A | 220 | 9 |
| Advanced Emissions Solutions Inc. | 933 | 9 |
| * Orion Group Holdings Inc. | 1,426 | 9 |
| * Eagle Bulk Shipping Inc. | 1,821 | 9 |
| Teekay Tankers Ltd. Class A | 7,689 | 9 |
| FreightCar America Inc. | 583 | 9 |
| Preformed Line Products Co. | 136 | 8 |
| * Maxwell Technologies Inc. | 1,419 | 8 |
| * Willdan Group Inc. | 374 | 8 |
| * Vishay Precision Group Inc. | 258 | 8 |
| * Blue Bird Corp. | 321 | 7 |
| * Daseke Inc. | 725 | 7 |
| * Radiant Logistics Inc. | 1,707 | 6 |
| EnviroStar Inc. | 183 | 6 |
| * Information Services Group Inc. | 1,467 | 6 |
| * IES Holdings Inc. | 373 | 6 |
| Marlin Business Services Corp. | 219 | 6 |
| * StarTek Inc. | 506 | 5 |
| CECO Environmental Corp. | 1,327 | 5 |
| * Safe Bulkers Inc. | 1,425 | 5 |
| * Navios Maritime Holdings Inc. | 3,989 | 5 |
| * Genco Shipping & Trading Ltd. | 354 | 5 |
| * Roadrunner Transportation Systems Inc. | 1,172 | 4 |
| * ExOne Co. | 518 | 4 |
| BG Staffing Inc. | 245 | 4 |
| * Overseas Shipholding Group Inc. Class A | 2,128 | 4 |
| | | 129,165 |
| Technology (20.5%) | | |
| Apple Inc. | 216,776 | 38,612 |
| Microsoft Corp. | 316,764 | 29,703 |
| * Facebook Inc. Class A | 98,399 | 17,546 |
| * Alphabet Inc. Class C | 12,673 | 14,000 |
| * Alphabet Inc. Class A | 12,636 | 13,949 |
| Intel Corp. | 198,346 | 9,776 |
| Cisco Systems Inc. | 208,947 | 9,357 |
| Oracle Corp. | 123,013 | 6,233 |
| NVIDIA Corp. | 24,010 | 5,810 |
| International Business Machines Corp. | 35,715 | 5,565 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| Texas Instruments Inc. | 42,170 | 4,569 |
| * Adobe Systems Inc. | 20,552 | 4,298 |
| Broadcom Ltd. | 17,038 | 4,199 |
| QUALCOMM Inc. | 62,330 | 4,051 |
| * salesforce.com Inc. | 27,893 | 3,243 |
| Applied Materials Inc. | 45,218 | 2,604 |
| Activision Blizzard Inc. | 31,372 | 2,294 |
| * Micron Technology Inc. | 46,298 | 2,260 |
| Cognizant Technology Solutions Corp. Class A | 24,523 | 2,011 |
| * NXP Semiconductors NV | 14,399 | 1,795 |
| Intuit Inc. | 10,064 | 1,679 |
| HP Inc. | 70,718 | 1,654 |
| * Electronic Arts Inc. | 12,726 | 1,574 |
| Analog Devices Inc. | 15,537 | 1,401 |
| Lam Research Corp. | 6,824 | 1,309 |
| Hewlett Packard Enterprise Co. | 68,452 | 1,273 |
| DXC Technology Co. | 12,004 | 1,231 |
| Amphenol Corp. Class A | 12,736 | 1,164 |
| * ServiceNow Inc. | 7,064 | 1,137 |
| * Red Hat Inc. | 7,521 | 1,109 |
| Western Digital Corp. | 12,530 | 1,091 |
| Corning Inc. | 36,246 | 1,054 |
| * Autodesk Inc. | 8,779 | 1,031 |
| * Twitter Inc. | 28,325 | 902 |
| Microchip Technology Inc. | 9,634 | 857 |
| Skyworks Solutions Inc. | 7,808 | 853 |
| Harris Corp. | 5,038 | 787 |
| * IHS Markit Ltd. | 16,320 | 768 |
| KLA-Tencor Corp. | 6,626 | 751 |
| Xilinx Inc. | 10,536 | 751 |
| Motorola Solutions Inc. | 6,903 | 733 |
| Maxim Integrated Products Inc. | 11,883 | 724 |
| * Workday Inc. Class A | 5,620 | 712 |
| NetApp Inc. | 11,429 | 692 |
| Symantec Corp. | 25,859 | 680 |
| * Palo Alto Networks Inc. | 3,749 | 650 |
| * Dell Technologies Inc. Class V | 8,665 | 644 |
| * Arista Networks Inc. | 2,233 | 602 |
| * Citrix Systems Inc. | 6,407 | 589 |
| * ANSYS Inc. | 3,602 | 576 |
| * Splunk Inc. | 5,865 | 547 |
| * Synopsys Inc. | 6,347 | 537 |
| * Take-Two Interactive Software Inc. | 4,713 | 527 |
| CA Inc. | 13,345 | 468 |
| * Akamai Technologies Inc. | 6,933 | 468 |
| CDW Corp. | 6,221 | 454 |
| * Cadence Design Systems Inc. | 11,677 | 453 |
| * IAC/InterActiveCorp | 2,920 | 435 |
| * Qorvo Inc. | 5,342 | 431 |
| * Advanced Micro Devices Inc. | 35,573 | 431 |
| * VeriSign Inc. | 3,668 | 426 |
| * ON Semiconductor Corp. | 17,740 | 424 |
| * Gartner Inc. | 3,678 | 417 |
| Juniper Networks Inc. | 15,685 | 402 |
| Amdocs Ltd. | 6,083 | 400 |
| * F5 Networks Inc. | 2,679 | 398 |
| * VMware Inc. Class A | 3,002 | 396 |
| Marvell Technology Group Ltd. | 16,822 | 395 |
| Cognex Corp. | 7,102 | 381 |
| Teradyne Inc. | 8,336 | 378 |
| * IPG Photonics Corp. | 1,536 | 377 |
| Leidos Holdings Inc. | 5,943 | 376 |
| CDK Global Inc. | 5,381 | 370 |
| * GrubHub Inc. | 3,704 | 368 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| SS&C Technologies Holdings Inc. | 7,267 | 360 |
| * PTC Inc. | 4,854 | 358 |
| * GoDaddy Inc. Class A | 5,827 | 349 |
| * Microsemi Corp. | 4,986 | 324 |
| * Fortinet Inc. | 6,199 | 313 |
| * Arrow Electronics Inc. | 3,799 | 310 |
| * CommScope Holding Co. Inc. | 7,924 | 307 |
| * Tyler Technologies Inc. | 1,451 | 295 |
| * Ultimate Software Group Inc. | 1,196 | 285 |
| CSRA Inc. | 6,713 | 272 |
| MKS Instruments Inc. | 2,326 | 259 |
| LogMeIn Inc. | 2,207 | 255 |
| * Guidewire Software Inc. | 3,166 | 254 |
| * Cavium Inc. | 2,826 | 252 |
| Cypress Semiconductor Corp. | 13,850 | 242 |
| * EPAM Systems Inc. | 2,097 | 237 |
| * Aspen Technology Inc. | 3,027 | 234 |
| Universal Display Corp. | 1,792 | 233 |
| * Black Knight Inc. | 4,747 | 226 |
| * Tableau Software Inc. Class A | 2,694 | 220 |
| * Coherent Inc. | 1,042 | 218 |
| Avnet Inc. | 4,932 | 211 |
| Sabre Corp. | 9,104 | 209 |
| * Atlassian Corp. plc Class A | 3,815 | 207 |
| Blackbaud Inc. | 2,017 | 207 |
| Entegris Inc. | 6,208 | 206 |
| * Paycom Software Inc. | 2,082 | 206 |
| DST Systems Inc. | 2,441 | 203 |
| * Nuance Communications Inc. | 12,283 | 197 |
| Jabil Inc. | 7,150 | 194 |
| * Proofpoint Inc. | 1,788 | 192 |
| Monolithic Power Systems Inc. | 1,629 | 191 |
| * ARRIS International plc | 7,361 | 188 |
| * Teradata Corp. | 5,025 | 185 |
| * Zendesk Inc. | 4,129 | 178 |
| * NCR Corp. | 5,217 | 172 |
| * Integrated Device Technology Inc. | 5,627 | 171 |
| * Silicon Laboratories Inc. | 1,798 | 168 |
| * RingCentral Inc. Class A | 2,629 | 165 |
| * Nutanix Inc. | 4,391 | 160 |
| * Lumentum Holdings Inc. | 2,611 | 159 |
| * Cree Inc. | 4,172 | 158 |
| * Tech Data Corp. | 1,519 | 157 |
| * HubSpot Inc. | 1,389 | 154 |
| * ViaSat Inc. | 2,180 | 152 |
| * CACI International Inc. Class A | 989 | 147 |
| SYNNEX Corp. | 1,179 | 146 |
| Dolby Laboratories Inc. Class A | 2,256 | 146 |
| * Yelp Inc. Class A | 3,268 | 142 |
| * Ciena Corp. | 5,824 | 135 |
| * Ellie Mae Inc. | 1,461 | 130 |
| Science Applications International Corp. | 1,787 | 129 |
| * Manhattan Associates Inc. | 3,031 | 128 |
| * RealPage Inc. | 2,428 | 127 |
| * FireEye Inc. | 7,525 | 125 |
| * ACI Worldwide Inc. | 5,215 | 123 |
| * Cirrus Logic Inc. | 2,683 | 119 |
| * EchoStar Corp. Class A | 1,887 | 109 |
| * Rogers Corp. | 788 | 108 |
| * Zynga Inc. Class A | 31,167 | 108 |
| * Verint Systems Inc. | 2,741 | 107 |
| InterDigital Inc. | 1,465 | 105 |
| Vishay Intertechnology Inc. | 5,607 | 103 |
| * Callidus Software Inc. | 2,786 | 100 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * New Relic Inc. | 1,381 | 99 |
| * Mercury Systems Inc. | 2,145 | 99 |
| * II-VI Inc. | 2,555 | 98 |
| * Envestnet Inc. | 1,773 | 98 |
| * Anixter International Inc. | 1,262 | 95 |
| * Acxiom Corp. | 3,419 | 94 |
| Pegasystems Inc. | 1,585 | 92 |
| * Qualys Inc. | 1,232 | 91 |
| * NetScout Systems Inc. | 3,414 | 91 |
| * Viavi Solutions Inc. | 9,403 | 90 |
| * Box Inc. | 3,757 | 90 |
| * CommVault Systems Inc. | 1,736 | 90 |
| Ebix Inc. | 1,075 | 90 |
| * Semtech Corp. | 2,649 | 89 |
| Progress Software Corp. | 1,889 | 89 |
| * Sanmina Corp. | 3,207 | 88 |
| * Pure Storage Inc. Class A | 4,050 | 88 |
| * Cornerstone OnDemand Inc. | 2,138 | 88 |
| * Finisar Corp. | 4,743 | 85 |
| * iRobot Corp. | 1,238 | 84 |
| Plantronics Inc. | 1,523 | 82 |
| * Plexus Corp. | 1,349 | 81 |
| * Twilio Inc. Class A | 2,350 | 80 |
| * NETGEAR Inc. | 1,424 | 79 |
| Power Integrations Inc. | 1,163 | 78 |
| TiVo Corp. | 5,137 | 77 |
| * Five9 Inc. | 2,532 | 77 |
| * GTT Communications Inc. | 1,467 | 76 |
| * VeriFone Systems Inc. | 4,463 | 74 |
| * Cloudera Inc. | 3,777 | 72 |
| * TTM Technologies Inc. | 4,333 | 70 |
| ManTech International Corp. Class A | 1,241 | 70 |
| Brooks Automation Inc. | 2,618 | 70 |
| * Synaptics Inc. | 1,494 | 69 |
| * Novanta Inc. | 1,235 | 69 |
| * Ambarella Inc. | 1,434 | 69 |
| * Match Group Inc. | 1,671 | 67 |
| * Ubiquiti Networks Inc. | 1,047 | 67 |
| * Imperva Inc. | 1,392 | 65 |
| * Coupa Software Inc. | 1,428 | 64 |
| * MINDBODY Inc. Class A | 1,772 | 63 |
| * Benchmark Electronics Inc. | 2,102 | 63 |
| * Rambus Inc. | 4,960 | 63 |
| Methode Electronics Inc. | 1,580 | 62 |
| * Bottomline Technologies de Inc. | 1,623 | 62 |
| * Virtusa Corp. | 1,290 | 62 |
| * Infinera Corp. | 5,952 | 59 |
| * Extreme Networks Inc. | 5,184 | 59 |
| CSG Systems International Inc. | 1,248 | 58 |
| * Knowles Corp. | 3,975 | 57 |
| * MaxLinear Inc. | 2,513 | 57 |
| * Groupon Inc. Class A | 13,235 | 57 |
| * Insight Enterprises Inc. | 1,543 | 54 |
| * Diodes Inc. | 1,781 | 54 |
| * Oclaro Inc. | 7,348 | 53 |
| * Q2 Holdings Inc. | 1,155 | 53 |
| * Varonis Systems Inc. | 890 | 50 |
| Diebold Nixdorf Inc. | 3,076 | 48 |
| * MicroStrategy Inc. Class A | 374 | 48 |
| * Inphi Corp. | 1,704 | 47 |
| Xperi Corp. | 2,132 | 47 |
| * Blucora Inc. | 2,005 | 47 |
| * Fabrinet | 1,533 | 46 |
| * Amkor Technology Inc. | 4,566 | 46 |
| | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | Market |
| | | Value |
| | Shares | ($000) |
| * SPS Commerce Inc. | 752 | 45 |
| * ePlus Inc. | 586 | 45 |
| * FormFactor Inc. | 3,411 | 45 |
| * 3D Systems Corp. | 4,511 | 43 |
| * Hortonworks Inc. | 2,356 | 42 |
| Monotype Imaging Holdings Inc. | 1,746 | 42 |
| * Alteryx Inc. Class A | 1,214 | 41 |
| * MACOM Technology Solutions Holdings Inc. | 1,918 | 41 |
| * PROS Holdings Inc. | 1,298 | 41 |
| * Vocera Communications Inc. | 1,458 | 40 |
| * KEMET Corp. | 2,213 | 40 |
| * Okta Inc. | 1,030 | 40 |
| * Cray Inc. | 1,815 | 40 |
| * ScanSource Inc. | 1,200 | 39 |
| AVX Corp. | 2,259 | 39 |
| * Syntel Inc. | 1,447 | 39 |
| * LivePerson Inc. | 2,648 | 38 |
| NIC Inc. | 2,789 | 38 |
| * Stratasys Ltd. | 2,049 | 37 |
| * Rudolph Technologies Inc. | 1,394 | 37 |
| * CEVA Inc. | 980 | 36 |
| * Veeco Instruments Inc. | 1,972 | 36 |
| * Lattice Semiconductor Corp. | 5,942 | 36 |
| * Evolent Health Inc. Class A | 2,429 | 36 |
| * Alarm.com Holdings Inc. | 978 | 35 |
| * Carbonite Inc. | 1,247 | 35 |
| * CalAmp Corp. | 1,466 | 34 |
| ADTRAN Inc. | 2,182 | 34 |
| * Nanometrics Inc. | 1,261 | 33 |
| * TrueCar Inc. | 2,983 | 33 |
| * Inovalon Holdings Inc. Class A | 2,717 | 33 |
| * Super Micro Computer Inc. | 1,799 | 33 |
| * Web.com Group Inc. | 1,740 | 31 |
| * Acacia Communications Inc. | 806 | 31 |
| * Ultra Clean Holdings Inc. | 1,613 | 31 |
| * Unisys Corp. | 2,621 | 29 |
| * Perficient Inc. | 1,491 | 29 |
| Switch Inc. | 2,009 | 28 |
| Comtech Telecommunications Corp. | 1,250 | 28 |
| * CommerceHub Inc. | 1,431 | 27 |
| CTS Corp. | 1,037 | 27 |
| * Tucows Inc. Class A | 458 | 26 |
| * Rapid7 Inc. | 994 | 26 |
| * Everbridge Inc. | 804 | 26 |
| * Apptio Inc. Class A | 863 | 25 |
| * Electro Scientific Industries Inc. | 1,385 | 25 |
| * Axcelis Technologies Inc. | 981 | 24 |
| Cohu Inc. | 1,178 | 24 |
| * USA Technologies Inc. | 2,871 | 23 |
| * MuleSoft Inc. Class A | 745 | 23 |
| * Blackline Inc. | 510 | 22 |
| * Photronics Inc. | 2,835 | 22 |
| * Applied Optoelectronics Inc. | 779 | 22 |
| * Kimball Electronics Inc. | 1,243 | 22 |
| * VASCO Data Security International Inc. | 1,772 | 21 |
| * Endurance International Group Holdings Inc. | 2,810 | 21 |
| QAD Inc. Class A | 430 | 19 |
| * Synchronoss Technologies Inc. | 1,981 | 18 |
| * Model N Inc. | 1,067 | 18 |
| * pdvWireless Inc. | 566 | 18 |
| * Workiva Inc. | 797 | 18 |
| * Benefitfocus Inc. | 746 | 18 |
| * Glu Mobile Inc. | 4,834 | 18 |
| * Xcerra Corp. | 1,781 | 18 |
| | | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| * | Loral Space & Communications Inc. | 399 | 18 |
| | NVE Corp. | 254 | 18 |
| * | Ribbon Communications Inc. | 2,678 | 17 |
| * | Appfolio Inc. | 427 | 17 |
| * | A10 Networks Inc. | 2,702 | 17 |
| * | Alpha & Omega Semiconductor Ltd. | 1,064 | 16 |
| * | KeyW Holding Corp. | 2,149 | 16 |
| * | TechTarget Inc. | 911 | 16 |
| * | Limelight Networks Inc. | 3,871 | 16 |
| * | Ichor Holdings Ltd. | 576 | 15 |
| * | Immersion Corp. | 1,279 | 15 |
| * | Quantenna Communications Inc. | 1,022 | 14 |
| | Park Electrochemical Corp. | 777 | 13 |
| * | MobileIron Inc. | 2,704 | 13 |
| * | Digi International Inc. | 1,191 | 12 |
| * | Digimarc Corp. | 471 | 12 |
| * | PDF Solutions Inc. | 1,086 | 12 |
| | PC Connection Inc. | 468 | 12 |
| * | Mitek Systems Inc. | 1,508 | 12 |
| * | Harmonic Inc. | 3,722 | 11 |
| * | Brightcove Inc. | 1,624 | 11 |
| * | Impinj Inc. | 868 | 11 |
| * | Zix Corp. | 2,658 | 11 |
| * | Telenav Inc. | 1,968 | 11 |
| * | Sparton Corp. | 473 | 11 |
| * | ChannelAdvisor Corp. | 1,206 | 11 |
| * | Kopin Corp. | 3,357 | 10 |
| * | NeoPhotonics Corp. | 1,689 | 10 |
| * | Presidio Inc. | 683 | 10 |
| * | VirnetX Holding Corp. | 2,500 | 10 |
| * | Sigma Designs Inc. | 1,602 | 10 |
| * | Ooma Inc. | 868 | 9 |
| | Simulations Plus Inc. | 591 | 9 |
| * | Internap Corp. | 700 | 9 |
| * | AXT Inc. | 1,218 | 9 |
| * | Amber Road Inc. | 968 | 9 |
| * | EMCORE Corp. | 1,638 | 9 |
| | Bel Fuse Inc. Class B | 501 | 9 |
| * | Meet Group Inc. | 3,237 | 8 |
| | Reis Inc. | 424 | 8 |
| * | KVH Industries Inc. | 798 | 8 |
| * | Acacia Research Corp. | 2,241 | 8 |
| * | Avid Technology Inc. | 1,471 | 7 |
| * | SMART Global Holdings Inc. | 190 | 7 |
| * | Iteris Inc. | 1,125 | 6 |
| * | Intevac Inc. | 963 | 6 |
| * | Aerohive Networks Inc. | 1,333 | 6 |
| * | Clearfield Inc. | 391 | 5 |
| * | Quantum Corp. | 1,332 | 5 |
| * | Leaf Group Ltd. | 607 | 5 |
| * | GSI Technology Inc. | 605 | 5 |
| * | ForeScout Technologies Inc. | 153 | 5 |
| * | ARC Document Solutions Inc. | 1,946 | 4 |
| * | Rubicon Project Inc. | 2,362 | 4 |
| * | MicroVision Inc. | 3,449 | 4 |
| * | PCM Inc. | 460 | 3 |
| * | Global Eagle Entertainment Inc. | 2,328 | 3 |
| *,^ | Veritone Inc. | 151 | 2 |
| * | Revolution Lighting Technologies Inc. | 605 | 2 |
| * | PlayAGS Inc. | 81 | 2 |
| | | | 240,809 |
| Utilities (4.5%) | | |
| | AT&T Inc. | 259,926 | 9,435 |
| | Verizon Communications Inc. | 173,543 | 8,285 |
| | | |
| Vanguard® Russell 3000 Index Fund | | |
| Schedule of Investments | | |
| February 28, 2018 | | |
| |
| | | | Market |
| | | | Value |
| | | Shares | ($000) |
| | NextEra Energy Inc. | 19,719 | 3,000 |
| | Duke Energy Corp. | 29,340 | 2,211 |
| | Dominion Energy Inc. | 27,025 | 2,002 |
| | Southern Co. | 41,659 | 1,794 |
| | Exelon Corp. | 39,952 | 1,480 |
| | American Electric Power Co. Inc. | 20,557 | 1,348 |
| | Sempra Energy | 10,681 | 1,164 |
| | Public Service Enterprise Group Inc. | 21,462 | 1,039 |
| | Consolidated Edison Inc. | 12,872 | 964 |
| | Xcel Energy Inc. | 21,600 | 935 |
| | PG&E Corp. | 21,561 | 886 |
| | PPL Corp. | 28,876 | 827 |
| | Edison International | 13,360 | 810 |
| | WEC Energy Group Inc. | 13,427 | 805 |
| | DTE Energy Co. | 7,606 | 767 |
| | Eversource Energy | 13,366 | 762 |
| * | T-Mobile US Inc. | 12,407 | 752 |
| | CenturyLink Inc. | 40,455 | 715 |
| | FirstEnergy Corp. | 19,052 | 616 |
| | American Water Works Co. Inc. | 7,599 | 603 |
| | Entergy Corp. | 7,425 | 563 |
| | Ameren Corp. | 10,110 | 549 |
| | CMS Energy Corp. | 11,827 | 502 |
| | CenterPoint Energy Inc. | 18,463 | 499 |
| | Pinnacle West Capital Corp. | 4,718 | 363 |
| | Alliant Energy Corp. | 9,369 | 362 |
| | Atmos Energy Corp. | 4,403 | 354 |
| | NiSource Inc. | 14,127 | 327 |
| | NRG Energy Inc. | 12,540 | 324 |
| | UGI Corp. | 7,272 | 313 |
| | AES Corp. | 27,998 | 304 |
| | Westar Energy Inc. Class A | 6,189 | 302 |
| * | Zayo Group Holdings Inc. | 8,017 | 287 |
| | OGE Energy Corp. | 8,690 | 272 |
| | Great Plains Energy Inc. | 9,143 | 267 |
| | Aqua America Inc. | 7,375 | 252 |
| * | Calpine Corp. | 15,407 | 235 |
| | SCANA Corp. | 5,734 | 228 |
| | MDU Resources Group Inc. | 8,384 | 220 |
| | Vectren Corp. | 3,622 | 218 |
| * | Vistra Energy Corp. | 10,353 | 196 |
| | WGL Holdings Inc. | 2,166 | 180 |
| | IDACORP Inc. | 2,222 | 180 |
| | Portland General Electric Co. | 3,943 | 157 |
| | National Fuel Gas Co. | 3,111 | 154 |
| | ALLETE Inc. | 2,217 | 151 |
| | j2 Global Inc. | 2,035 | 151 |
| | New Jersey Resources Corp. | 3,762 | 143 |
| | Hawaiian Electric Industries Inc. | 4,272 | 141 |
| *,^ | Sprint Corp. | 26,924 | 140 |
| | ONE Gas Inc. | 2,173 | 138 |
| | Spire Inc. | 1,996 | 135 |
| | Southwest Gas Holdings Inc. | 1,979 | 130 |
| | Avista Corp. | 2,671 | 128 |
| | PNM Resources Inc. | 3,361 | 118 |
| | Telephone & Data Systems Inc. | 4,092 | 115 |
| | Black Hills Corp. | 2,215 | 113 |
| | NorthWestern Corp. | 2,137 | 109 |
| | Avangrid Inc. | 2,172 | 105 |
| | Ormat Technologies Inc. | 1,665 | 104 |
| | South Jersey Industries Inc. | 3,369 | 88 |
| * | Vonage Holdings Corp. | 8,600 | 87 |
| | MGE Energy Inc. | 1,563 | 82 |
| | El Paso Electric Co. | 1,646 | 80 |
| | | | | |
| Vanguard® Russell 3000 Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | | | Market |
| | | | | | Value |
| | | | | Shares | ($000) |
| | American States Water Co. | | | 1,487 | 79 |
| | California Water Service Group | | | 1,973 | 75 |
| * | 8x8 Inc. | | | 3,987 | 73 |
| | Cogent Communications Holdings Inc. | | | 1,616 | 69 |
| | Otter Tail Corp. | | | 1,660 | 66 |
| | Shenandoah Telecommunications Co. | | | 1,902 | 62 |
| | Northwest Natural Gas Co. | | | 1,147 | 60 |
| * | Dynegy Inc. | | | 4,659 | 57 |
| | Pattern Energy Group Inc. Class A | | | 2,969 | 55 |
| * | Boingo Wireless Inc. | | | 1,763 | 47 |
| | Chesapeake Utilities Corp. | | | 693 | 46 |
| | NRG Yield Inc. | | | 2,852 | 45 |
| * | Iridium Communications Inc. | | | 3,272 | 38 |
| | SJW Group | | | 721 | 38 |
| * | GCI Liberty Inc. | | | 946 | 36 |
| | ATN International Inc. | | | 589 | 35 |
| * | ORBCOMM Inc. | | | 2,930 | 31 |
| * | Cincinnati Bell Inc. | | | 1,874 | 30 |
| | Consolidated Communications Holdings Inc. | | | 2,615 | 30 |
| | Connecticut Water Service Inc. | | | 577 | 30 |
| * | United States Cellular Corp. | | | 755 | 29 |
| | Frontier Communications Corp. | | | 4,052 | 29 |
| * | Gogo Inc. | | | 2,800 | 25 |
| | Unitil Corp. | | | 596 | 25 |
| | NRG Yield Inc. Class A | | | 1,386 | 21 |
| * | Globalstar Inc. | | | 21,421 | 20 |
| | York Water Co. | | | 668 | 19 |
| | Middlesex Water Co. | | | 433 | 15 |
| | Windstream Holdings Inc. | | | 9,679 | 15 |
| | Artesian Resources Corp. Class A | | | 437 | 15 |
| | Spok Holdings Inc. | | | 888 | 14 |
| * | Atlantic Power Corp. | | | 5,883 | 12 |
| | IDT Corp. Class B | | | 811 | 10 |
| | Consolidated Water Co. Ltd. | | | 768 | 10 |
| * | Intelsat SA | | | 1,795 | 9 |
| | RGC Resources Inc. | | | 334 | 8 |
| * | AquaVenture Holdings Ltd. | | | 611 | 8 |
| | Spark Energy Inc. Class A | | | 617 | 6 |
| | Global Water Resources Inc. | | | 559 | 5 |
| * | Pure Cycle Corp. | | | 582 | 5 |
| | Genie Energy Ltd. Class B | | | 851 | 4 |
| | | | | | 52,372 |
| Total Common Stocks (Cost $924,988) | | | | 1,170,378 |
| | | Coupon | | | |
| Temporary Cash Investments (0.3%)1 | | | | |
| Money Market Fund (0.3%) | | | | |
| 4,5 | Vanguard Market Liquidity Fund | 1.601% | | 32,470 | 3,246 |
| |
| | | | | Face | |
| | | | Maturity | Amount | |
| | | | Date | ($000) | |
| U.S. Government and Agency Obligations (0.0%) | | | | |
| 6 | United States Treasury Bill | 1.602% | 5/24/18 | 300 | 299 |
| Total Temporary Cash Investments (Cost $3,546) | | | | 3,545 |
| |
| Vanguard® Russell 3000 Index Fund | |
| Schedule of Investments | |
| February 28, 2018 | |
| | |
| | |
| | |
| Total Investments (100.0%) (Cost $928,534) | 1,173,923 |
| Other Assets and Liabilities—Net (0.0%)5 | (494) |
| Net Assets (100%) | 1,173,429 |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,295,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 0.0%, respectively, of net
assets.
2 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 $1,406,000 of collateral received for securities on loan.
6 Securities with a value of $209,000 have been segregated as initial margin for open futures contracts.
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
| | | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | | 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 | 2.000% | 1/31/20 | 8,455 | 8,415 |
| | United States Treasury Note/Bond | 2.250% | 2/29/20 | 1,700 | 1,700 |
| | United States Treasury Note/Bond | 1.875% | 12/15/20 | 5,630 | 5,552 |
| | United States Treasury Note/Bond | 2.375% | 1/31/23 | 2,000 | 1,975 |
| | United States Treasury Note/Bond | 2.625% | 2/28/23 | 21,520 | 21,496 |
| Total U.S. Government and Agency Obligations (Cost $39,199) | | | | 39,138 |
| Corporate Bonds (99.1%) | | | | |
| Finance (41.5%) | | | | |
| | Banking (33.9%) | | | | |
| | American Express Co. | 8.125% | 5/20/19 | 2,154 | 2,297 |
| | American Express Co. | 2.200% | 10/30/20 | 14,100 | 13,875 |
| | American Express Co. | 2.500% | 8/1/22 | 34,725 | 33,539 |
| | American Express Co. | 2.650% | 12/2/22 | 20,232 | 19,607 |
| | American Express Co. | 3.400% | 2/27/23 | 20,000 | 19,957 |
| | American Express Credit Corp. | 2.125% | 3/18/19 | 23,378 | 23,262 |
| | American Express Credit Corp. | 1.875% | 5/3/19 | 22,423 | 22,260 |
| | American Express Credit Corp. | 2.250% | 8/15/19 | 21,395 | 21,296 |
| | American Express Credit Corp. | 1.700% | 10/30/19 | 3,152 | 3,105 |
| | American Express Credit Corp. | 2.200% | 3/3/20 | 17,347 | 17,187 |
| | American Express Credit Corp. | 2.375% | 5/26/20 | 28,375 | 28,064 |
| | American Express Credit Corp. | 2.600% | 9/14/20 | 20,030 | 19,838 |
| | American Express Credit Corp. | 2.250% | 5/5/21 | 26,716 | 26,022 |
| | American Express Credit Corp. | 2.700% | 3/3/22 | 19,250 | 18,871 |
| | Australia & New Zealand Banking Group Ltd. | 2.250% | 6/13/19 | 11,630 | 11,573 |
| | Australia & New Zealand Banking Group Ltd. | 1.600% | 7/15/19 | 16,589 | 16,341 |
| | Australia & New Zealand Banking Group Ltd. | 2.050% | 9/23/19 | 10,600 | 10,481 |
| | Australia & New Zealand Banking Group Ltd. | 2.125% | 8/19/20 | 13,000 | 12,741 |
| | Australia & New Zealand Banking Group Ltd. | 2.250% | 11/9/20 | 8,700 | 8,540 |
| | Australia & New Zealand Banking Group Ltd. | 2.700% | 11/16/20 | 9,824 | 9,741 |
| | Australia & New Zealand Banking Group Ltd. | 2.300% | 6/1/21 | 12,470 | 12,162 |
| | Australia & New Zealand Banking Group Ltd. | 2.550% | 11/23/21 | 14,500 | 14,179 |
| | Australia & New Zealand Banking Group Ltd. | 2.625% | 5/19/22 | 14,000 | 13,637 |
| | Australia & New Zealand Banking Group Ltd. | 2.625% | 11/9/22 | 10,000 | 9,722 |
| | Banco Bilbao Vizcaya Argentaria SA | 3.000% | 10/20/20 | 6,450 | 6,411 |
| | Banco Santander SA | 3.500% | 4/11/22 | 11,050 | 11,025 |
| | Banco Santander SA | 3.125% | 2/23/23 | 12,840 | 12,508 |
| | Bancolombia SA | 5.950% | 6/3/21 | 8,350 | 8,959 |
| | Bank of America Corp. | 5.490% | 3/15/19 | 3,700 | 3,805 |
| | Bank of America Corp. | 2.650% | 4/1/19 | 33,808 | 33,825 |
| | Bank of America Corp. | 2.250% | 4/21/20 | 38,123 | 37,667 |
| | Bank of America Corp. | 2.625% | 10/19/20 | 39,346 | 38,935 |
| | Bank of America Corp. | 2.151% | 11/9/20 | 21,125 | 20,681 |
| | Bank of America Corp. | 5.875% | 1/5/21 | 1 | 1 |
| | Bank of America Corp. | 2.625% | 4/19/21 | 27,803 | 27,399 |
| | Bank of America Corp. | 5.000% | 5/13/21 | 1 | 1 |
| 1 | Bank of America Corp. | 2.369% | 7/21/21 | 42,400 | 41,773 |
| 1 | Bank of America Corp. | 2.328% | 10/1/21 | 31,100 | 30,558 |
| 1 | Bank of America Corp. | 2.738% | 1/23/22 | 31,045 | 30,715 |
| | Bank of America Corp. | 5.700% | 1/24/22 | 1,050 | 1,145 |
| | Bank of America Corp. | 2.503% | 10/21/22 | 39,500 | 37,652 |
| | Bank of America Corp. | 3.300% | 1/11/23 | 44,546 | 44,391 |
| 1 | Bank of America Corp. | 3.124% | 1/20/23 | 25,115 | 24,966 |
| 1 | Bank of America Corp. | 2.881% | 4/24/23 | 23,475 | 23,001 |
| 1 | Bank of America Corp. | 2.816% | 7/21/23 | 25,400 | 24,772 |
| 1,2 | Bank of America Corp. | 3.004% | 12/20/23 | 99,593 | 97,493 |
| 1 | Bank of America Corp. | 3.550% | 3/5/24 | 40,000 | 39,898 |
| | Bank of Montreal | 1.500% | 7/18/19 | 21,347 | 21,020 |
| | Bank of Montreal | 1.750% | 9/11/19 | 1,000 | 986 |
| | Bank of Montreal | 2.100% | 12/12/19 | 15,605 | 15,446 |
| | Bank of Montreal | 2.100% | 6/15/20 | 13,518 | 13,304 |
1
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Bank of Montreal | 1.900% | 8/27/21 | 30,599 | 29,468 |
| Bank of Montreal | 2.350% | 9/11/22 | 1,850 | 1,787 |
| Bank of Montreal | 2.550% | 11/6/22 | 19,509 | 18,971 |
| Bank of New York Mellon Corp. | 2.200% | 3/4/19 | 8,670 | 8,636 |
| Bank of New York Mellon Corp. | 2.200% | 5/15/19 | 12,287 | 12,248 |
| Bank of New York Mellon Corp. | 5.450% | 5/15/19 | 4,250 | 4,388 |
| Bank of New York Mellon Corp. | 2.300% | 9/11/19 | 11,728 | 11,655 |
| Bank of New York Mellon Corp. | 4.600% | 1/15/20 | 1,766 | 1,823 |
| Bank of New York Mellon Corp. | 2.150% | 2/24/20 | 18,466 | 18,240 |
| Bank of New York Mellon Corp. | 2.600% | 8/17/20 | 17,450 | 17,295 |
| Bank of New York Mellon Corp. | 2.450% | 11/27/20 | 18,077 | 17,839 |
| Bank of New York Mellon Corp. | 4.150% | 2/1/21 | 2,000 | 2,062 |
| Bank of New York Mellon Corp. | 2.500% | 4/15/21 | 13,986 | 13,755 |
| Bank of New York Mellon Corp. | 2.050% | 5/3/21 | 21,380 | 20,754 |
| Bank of New York Mellon Corp. | 3.550% | 9/23/21 | 13,015 | 13,235 |
| Bank of New York Mellon Corp. | 2.600% | 2/7/22 | 14,300 | 13,976 |
| Bank of New York Mellon Corp. | 2.950% | 1/29/23 | 14,720 | 14,503 |
| 1 Bank of New York Mellon Corp. | 2.661% | 5/16/23 | 17,375 | 16,944 |
| Bank of Nova Scotia | 2.050% | 6/5/19 | 29,183 | 28,982 |
| Bank of Nova Scotia | 1.650% | 6/14/19 | 27,435 | 27,105 |
| Bank of Nova Scotia | 2.150% | 7/14/20 | 15,301 | 15,228 |
| Bank of Nova Scotia | 2.350% | 10/21/20 | 19,885 | 19,625 |
| Bank of Nova Scotia | 2.500% | 1/8/21 | 300 | 297 |
| Bank of Nova Scotia | 4.375% | 1/13/21 | 5,900 | 6,146 |
| Bank of Nova Scotia | 2.450% | 3/22/21 | 13,168 | 12,960 |
| Bank of Nova Scotia | 2.800% | 7/21/21 | 11,864 | 11,779 |
| Bank of Nova Scotia | 2.700% | 3/7/22 | 33,192 | 32,549 |
| Bank of Nova Scotia | 2.450% | 9/19/22 | 4,995 | 4,840 |
| Barclays Bank plc | 5.125% | 1/8/20 | 7,070 | 7,337 |
| Barclays Bank plc | 5.140% | 10/14/20 | 11,435 | 11,877 |
| Barclays Bank plc | 2.650% | 1/11/21 | 27,500 | 27,135 |
| Barclays plc | 2.750% | 11/8/19 | 28,985 | 28,806 |
| Barclays plc | 2.875% | 6/8/20 | 21,996 | 21,808 |
| Barclays plc | 3.250% | 1/12/21 | 26,140 | 25,952 |
| Barclays plc | 3.200% | 8/10/21 | 19,855 | 19,641 |
| Barclays plc | 3.684% | 1/10/23 | 14,170 | 14,067 |
| BB&T Corp. | 2.050% | 6/19/18 | 13,333 | 13,324 |
| BB&T Corp. | 6.850% | 4/30/19 | 3,325 | 3,483 |
| BB&T Corp. | 5.250% | 11/1/19 | 4,682 | 4,855 |
| BB&T Corp. | 2.450% | 1/15/20 | 21,813 | 21,680 |
| BB&T Corp. | 2.625% | 6/29/20 | 7,448 | 7,397 |
| BB&T Corp. | 2.150% | 2/1/21 | 11,700 | 11,458 |
| BB&T Corp. | 2.050% | 5/10/21 | 17,200 | 16,688 |
| BB&T Corp. | 3.950% | 3/22/22 | 2,809 | 2,880 |
| BB&T Corp. | 2.750% | 4/1/22 | 19,035 | 18,732 |
| BNP Paribas SA | 2.450% | 3/17/19 | 16,485 | 16,458 |
| BNP Paribas SA | 2.375% | 5/21/20 | 20,658 | 20,405 |
| BNP Paribas SA | 5.000% | 1/15/21 | 30,070 | 31,580 |
| BPCE SA | 2.500% | 7/15/19 | 9,315 | 9,269 |
| BPCE SA | 2.250% | 1/27/20 | 18,105 | 17,853 |
| BPCE SA | 2.650% | 2/3/21 | 7,120 | 7,007 |
| BPCE SA | 2.750% | 12/2/21 | 21,945 | 21,488 |
| 2 BPCE SA | 3.000% | 5/22/22 | 4,300 | 4,215 |
| Branch Banking & Trust Co. | 1.450% | 5/10/19 | 11,869 | 11,710 |
| Branch Banking & Trust Co. | 2.100% | 1/15/20 | 8,525 | 8,420 |
| Branch Banking & Trust Co. | 2.250% | 6/1/20 | 19,055 | 18,795 |
| Branch Banking & Trust Co. | 2.850% | 4/1/21 | 7,346 | 7,324 |
| Branch Banking & Trust Co. | 2.625% | 1/15/22 | 9,190 | 9,023 |
| Canadian Imperial Bank of Commerce | 1.600% | 9/6/19 | 18,967 | 18,680 |
| Canadian Imperial Bank of Commerce | 2.100% | 10/5/20 | 15,400 | 15,103 |
| Canadian Imperial Bank of Commerce | 2.700% | 2/2/21 | 8,500 | 8,451 |
| Canadian Imperial Bank of Commerce | 2.550% | 6/16/22 | 16,595 | 16,167 |
| Capital One Bank USA NA | 2.300% | 6/5/19 | 7,175 | 7,127 |
| Capital One Bank USA NA | 8.800% | 7/15/19 | 5,327 | 5,733 |
2
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Capital One Bank USA NA | 3.375% | 2/15/23 | 36,084 | 35,562 |
| Capital One Financial Corp. | 2.450% | 4/24/19 | 17,815 | 17,761 |
| Capital One Financial Corp. | 2.500% | 5/12/20 | 16,750 | 16,546 |
| Capital One Financial Corp. | 2.400% | 10/30/20 | 4,925 | 4,836 |
| Capital One Financial Corp. | 4.750% | 7/15/21 | 16,850 | 17,642 |
| Capital One Financial Corp. | 3.050% | 3/9/22 | 4,050 | 3,974 |
| Capital One Financial Corp. | 3.200% | 1/30/23 | 12,450 | 12,196 |
| Capital One NA | 2.400% | 9/5/19 | 10,096 | 10,018 |
| Capital One NA | 1.850% | 9/13/19 | 13,360 | 13,145 |
| Capital One NA | 2.350% | 1/31/20 | 18,455 | 18,227 |
| Capital One NA | 2.950% | 7/23/21 | 10,890 | 10,773 |
| Capital One NA | 2.250% | 9/13/21 | 20,978 | 20,199 |
| Capital One NA | 2.650% | 8/8/22 | 15,270 | 14,694 |
| Citibank NA | 2.000% | 3/20/19 | 25,975 | 25,803 |
| Citibank NA | 1.850% | 9/18/19 | 27,250 | 26,877 |
| Citibank NA | 2.100% | 6/12/20 | 22,725 | 22,297 |
| Citibank NA | 2.125% | 10/20/20 | 26,800 | 26,196 |
| Citibank NA | 2.850% | 2/12/21 | 13,925 | 13,849 |
| Citigroup Inc. | 2.550% | 4/8/19 | 28,144 | 28,089 |
| Citigroup Inc. | 8.500% | 5/22/19 | 2,350 | 2,511 |
| Citigroup Inc. | 2.050% | 6/7/19 | 14,850 | 14,725 |
| Citigroup Inc. | 2.500% | 7/29/19 | 21,724 | 21,628 |
| Citigroup Inc. | 2.450% | 1/10/20 | 20,565 | 20,395 |
| Citigroup Inc. | 2.400% | 2/18/20 | 33,805 | 33,440 |
| Citigroup Inc. | 5.375% | 8/9/20 | 9,504 | 10,021 |
| Citigroup Inc. | 2.650% | 10/26/20 | 37,387 | 37,008 |
| Citigroup Inc. | 2.700% | 3/30/21 | 34,282 | 33,857 |
| Citigroup Inc. | 2.350% | 8/2/21 | 23,697 | 23,084 |
| Citigroup Inc. | 2.900% | 12/8/21 | 43,271 | 42,683 |
| Citigroup Inc. | 4.500% | 1/14/22 | 36,387 | 37,949 |
| Citigroup Inc. | 2.750% | 4/25/22 | 31,150 | 30,482 |
| Citigroup Inc. | 4.050% | 7/30/22 | 9,337 | 9,546 |
| Citigroup Inc. | 2.700% | 10/27/22 | 15,500 | 15,044 |
| 1 Citigroup Inc. | 3.142% | 1/24/23 | 28,000 | 27,771 |
| 1 Citigroup Inc. | 2.876% | 7/24/23 | 34,275 | 33,427 |
| Citizens Bank NA | 2.500% | 3/14/19 | 3,887 | 3,879 |
| Citizens Bank NA | 2.450% | 12/4/19 | 4,939 | 4,905 |
| Citizens Bank NA | 2.250% | 3/2/20 | 10,385 | 10,239 |
| Citizens Bank NA | 2.200% | 5/26/20 | 12,450 | 12,261 |
| Citizens Bank NA | 2.250% | 10/30/20 | 13,570 | 13,308 |
| Citizens Bank NA | 2.550% | 5/13/21 | 19,730 | 19,381 |
| Citizens Bank NA | 2.650% | 5/26/22 | 9,300 | 9,027 |
| Citizens Financial Group Inc. | 2.375% | 7/28/21 | 2,000 | 1,947 |
| Comerica Inc. | 2.125% | 5/23/19 | 7,575 | 7,506 |
| Commonwealth Bank of Australia | 2.250% | 3/13/19 | 17,900 | 17,811 |
| Commonwealth Bank of Australia | 2.050% | 3/15/19 | 7,865 | 7,816 |
| Commonwealth Bank of Australia | 2.300% | 9/6/19 | 15,250 | 15,125 |
| Commonwealth Bank of Australia | 2.300% | 3/12/20 | 2,800 | 2,766 |
| Commonwealth Bank of Australia | 2.400% | 11/2/20 | 13,133 | 12,940 |
| Commonwealth Bank of Australia | 2.550% | 3/15/21 | 13,557 | 13,325 |
| 2 Commonwealth Bank of Australia | 2.750% | 3/10/22 | 12,000 | 11,794 |
| Compass Bank | 2.750% | 9/29/19 | 3,443 | 3,422 |
| Compass Bank | 2.875% | 6/29/22 | 15,500 | 15,067 |
| Cooperatieve Rabobank UA | 1.375% | 8/9/19 | 12,070 | 11,830 |
| Cooperatieve Rabobank UA | 2.250% | 1/14/20 | 25,800 | 25,521 |
| Cooperatieve Rabobank UA | 4.500% | 1/11/21 | 17,628 | 18,295 |
| Cooperatieve Rabobank UA | 2.500% | 1/19/21 | 33,905 | 33,380 |
| Cooperatieve Rabobank UA | 2.750% | 1/10/22 | 28,000 | 27,587 |
| Cooperatieve Rabobank UA | 3.875% | 2/8/22 | 29,185 | 29,833 |
| Cooperatieve Rabobank UA | 3.950% | 11/9/22 | 18,425 | 18,709 |
| Cooperatieve Rabobank UA | 2.750% | 1/10/23 | 7,500 | 7,310 |
| Credit Suisse AG | 2.300% | 5/28/19 | 43,371 | 43,129 |
| Credit Suisse AG | 5.300% | 8/13/19 | 12,498 | 12,925 |
| Credit Suisse AG | 5.400% | 1/14/20 | 19,942 | 20,730 |
3
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Credit Suisse AG | 4.375% | 8/5/20 | 3,555 | 3,668 |
| Credit Suisse AG | 3.000% | 10/29/21 | 27,587 | 27,393 |
| 2 Credit Suisse Group AG | 3.574% | 1/9/23 | 12,250 | 12,236 |
| Credit Suisse Group Funding Guernsey Ltd. | 2.750% | 3/26/20 | 21,560 | 21,402 |
| Credit Suisse Group Funding Guernsey Ltd. | 3.125% | 12/10/20 | 34,008 | 33,888 |
| Credit Suisse Group Funding Guernsey Ltd. | 3.450% | 4/16/21 | 26,967 | 27,089 |
| Credit Suisse Group Funding Guernsey Ltd. | 3.800% | 9/15/22 | 15,130 | 15,250 |
| Deutsche Bank AG | 2.850% | 5/10/19 | 29,787 | 29,714 |
| Deutsche Bank AG | 2.700% | 7/13/20 | 28,000 | 27,584 |
| Deutsche Bank AG | 2.950% | 8/20/20 | 13,890 | 13,754 |
| Deutsche Bank AG | 3.125% | 1/13/21 | 4,398 | 4,355 |
| Deutsche Bank AG | 3.150% | 1/22/21 | 18,240 | 18,073 |
| Deutsche Bank AG | 3.375% | 5/12/21 | 19,730 | 19,611 |
| Deutsche Bank AG | 4.250% | 10/14/21 | 45,370 | 46,245 |
| Deutsche Bank AG | 3.300% | 11/16/22 | 9,200 | 8,984 |
| Deutsche Bank AG | 3.950% | 2/27/23 | 16,590 | 16,576 |
| Discover Bank | 7.000% | 4/15/20 | 3,900 | 4,198 |
| Discover Bank | 3.100% | 6/4/20 | 18,867 | 18,823 |
| Discover Bank | 3.200% | 8/9/21 | 8,830 | 8,784 |
| Discover Bank | 3.350% | 2/6/23 | 10,300 | 10,227 |
| Discover Financial Services | 5.200% | 4/27/22 | 2,806 | 2,955 |
| Discover Financial Services | 3.850% | 11/21/22 | 8,168 | 8,200 |
| Fifth Third Bancorp | 2.300% | 3/1/19 | 7,475 | 7,454 |
| Fifth Third Bancorp | 2.875% | 7/27/20 | 17,379 | 17,338 |
| Fifth Third Bancorp | 3.500% | 3/15/22 | 5,204 | 5,254 |
| Fifth Third Bancorp | 2.600% | 6/15/22 | 8,096 | 7,873 |
| Fifth Third Bank | 2.300% | 3/15/19 | 14,210 | 14,172 |
| Fifth Third Bank | 2.375% | 4/25/19 | 8,465 | 8,426 |
| Fifth Third Bank | 1.625% | 9/27/19 | 7,975 | 7,837 |
| Fifth Third Bank | 2.200% | 10/30/20 | 7,705 | 7,533 |
| Fifth Third Bank | 2.250% | 6/14/21 | 14,023 | 13,673 |
| Fifth Third Bank | 2.875% | 10/1/21 | 19,070 | 18,901 |
| First Horizon National Corp. | 3.500% | 12/15/20 | 7,079 | 7,124 |
| First Niagara Financial Group Inc. | 6.750% | 3/19/20 | 3,200 | 3,432 |
| First Republic Bank | 2.375% | 6/17/19 | 4,720 | 4,699 |
| First Republic Bank | 2.500% | 6/6/22 | 12,000 | 11,590 |
| Goldman Sachs Group Inc. | 2.000% | 4/25/19 | 4,390 | 4,365 |
| Goldman Sachs Group Inc. | 1.950% | 7/23/19 | 8,452 | 8,374 |
| Goldman Sachs Group Inc. | 2.550% | 10/23/19 | 30,806 | 30,673 |
| Goldman Sachs Group Inc. | 2.300% | 12/13/19 | 41,810 | 41,458 |
| Goldman Sachs Group Inc. | 5.375% | 3/15/20 | 29,036 | 30,399 |
| Goldman Sachs Group Inc. | 2.600% | 4/23/20 | 23,073 | 22,881 |
| Goldman Sachs Group Inc. | 6.000% | 6/15/20 | 23,094 | 24,607 |
| Goldman Sachs Group Inc. | 2.750% | 9/15/20 | 32,167 | 31,948 |
| Goldman Sachs Group Inc. | 2.600% | 12/27/20 | 6,700 | 6,617 |
| Goldman Sachs Group Inc. | 2.875% | 2/25/21 | 33,344 | 33,070 |
| Goldman Sachs Group Inc. | 2.625% | 4/25/21 | 33,109 | 32,534 |
| Goldman Sachs Group Inc. | 5.250% | 7/27/21 | 44,671 | 47,578 |
| Goldman Sachs Group Inc. | 2.350% | 11/15/21 | 19,585 | 18,918 |
| Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 64,791 | 70,255 |
| Goldman Sachs Group Inc. | 3.000% | 4/26/22 | 58,450 | 57,588 |
| 1 Goldman Sachs Group Inc. | 2.876% | 10/31/22 | 30,900 | 30,281 |
| Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 38,424 | 38,607 |
| Goldman Sachs Group Inc. | 3.200% | 2/23/23 | 26,000 | 25,585 |
| 1 Goldman Sachs Group Inc. | 2.908% | 6/5/23 | 26,700 | 26,019 |
| 1 Goldman Sachs Group Inc. | 2.905% | 7/24/23 | 32,000 | 31,170 |
| HSBC Bank USA NA | 4.875% | 8/24/20 | 12,601 | 13,109 |
| HSBC Holdings plc | 3.400% | 3/8/21 | 39,330 | 39,877 |
| HSBC Holdings plc | 5.100% | 4/5/21 | 30,040 | 31,666 |
| HSBC Holdings plc | 2.950% | 5/25/21 | 33,079 | 32,811 |
| HSBC Holdings plc | 2.650% | 1/5/22 | 50,435 | 48,996 |
| HSBC Holdings plc | 4.875% | 1/14/22 | 7,615 | 8,016 |
| HSBC Holdings plc | 4.000% | 3/30/22 | 22,560 | 23,098 |
| 1 HSBC Holdings plc | 3.262% | 3/13/23 | 43,662 | 43,342 |
4
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| 1 HSBC Holdings plc | 3.033% | 11/22/23 | 4,000 | 3,923 |
| HSBC USA Inc. | 2.250% | 6/23/19 | 9,600 | 9,548 |
| HSBC USA Inc. | 2.375% | 11/13/19 | 24,795 | 24,609 |
| HSBC USA Inc. | 2.350% | 3/5/20 | 26,130 | 25,811 |
| HSBC USA Inc. | 2.750% | 8/7/20 | 20,989 | 20,866 |
| HSBC USA Inc. | 5.000% | 9/27/20 | 8,954 | 9,357 |
| Huntington Bancshares Inc. | 7.000% | 12/15/20 | 4,075 | 4,506 |
| Huntington Bancshares Inc. | 3.150% | 3/14/21 | 10,778 | 10,798 |
| Huntington Bancshares Inc. | 2.300% | 1/14/22 | 14,633 | 14,102 |
| Huntington National Bank | 2.200% | 4/1/19 | 6,990 | 6,951 |
| Huntington National Bank | 2.375% | 3/10/20 | 8,550 | 8,469 |
| Huntington National Bank | 2.400% | 4/1/20 | 11,575 | 11,450 |
| Huntington National Bank | 2.875% | 8/20/20 | 4,410 | 4,400 |
| Huntington National Bank | 2.500% | 8/7/22 | 6,100 | 5,864 |
| ING Groep NV | 3.150% | 3/29/22 | 25,351 | 25,113 |
| 2 Intesa Sanpaolo SPA | 3.375% | 1/12/23 | 2,800 | 2,742 |
| 2 Itau Corpbanca | 3.875% | 9/22/19 | 1,650 | 1,665 |
| JPMorgan Chase & Co. | 1.850% | 3/22/19 | 23,704 | 23,539 |
| JPMorgan Chase & Co. | 6.300% | 4/23/19 | 36,322 | 37,793 |
| JPMorgan Chase & Co. | 2.200% | 10/22/19 | 15,285 | 15,151 |
| JPMorgan Chase & Co. | 2.250% | 1/23/20 | 54,270 | 53,722 |
| JPMorgan Chase & Co. | 4.950% | 3/25/20 | 18,119 | 18,876 |
| JPMorgan Chase & Co. | 2.750% | 6/23/20 | 43,798 | 43,675 |
| JPMorgan Chase & Co. | 4.400% | 7/22/20 | 27,126 | 28,058 |
| JPMorgan Chase & Co. | 4.250% | 10/15/20 | 40,348 | 41,721 |
| JPMorgan Chase & Co. | 2.550% | 10/29/20 | 34,728 | 34,402 |
| JPMorgan Chase & Co. | 2.550% | 3/1/21 | 44,521 | 43,912 |
| JPMorgan Chase & Co. | 4.625% | 5/10/21 | 23,505 | 24,588 |
| JPMorgan Chase & Co. | 2.400% | 6/7/21 | 21,861 | 21,214 |
| JPMorgan Chase & Co. | 2.295% | 8/15/21 | 49,711 | 48,370 |
| JPMorgan Chase & Co. | 4.350% | 8/15/21 | 30,510 | 31,755 |
| JPMorgan Chase & Co. | 4.500% | 1/24/22 | 46,435 | 48,597 |
| JPMorgan Chase & Co. | 3.250% | 9/23/22 | 34,390 | 34,307 |
| JPMorgan Chase & Co. | 2.972% | 1/15/23 | 18,000 | 17,692 |
| JPMorgan Chase & Co. | 3.200% | 1/25/23 | 32,992 | 32,847 |
| 1 JPMorgan Chase & Co. | 2.776% | 4/25/23 | 17,700 | 17,331 |
| JPMorgan Chase Bank NA | 1.650% | 9/23/19 | 13,173 | 12,975 |
| 1 JPMorgan Chase Bank NA | 2.604% | 2/1/21 | 16,000 | 15,951 |
| KeyBank NA | 2.350% | 3/8/19 | 14,920 | 14,880 |
| KeyBank NA | 1.600% | 8/22/19 | 9,665 | 9,513 |
| KeyBank NA | 2.500% | 12/15/19 | 9,815 | 9,760 |
| KeyBank NA | 2.250% | 3/16/20 | 13,748 | 13,586 |
| KeyBank NA | 2.500% | 11/22/21 | 13,750 | 13,450 |
| KeyBank NA | 2.400% | 6/9/22 | 1,000 | 967 |
| KeyBank NA | 2.300% | 9/14/22 | 10,250 | 9,835 |
| 3 KeyBank NA | 3.375% | 3/7/23 | 5,900 | 5,899 |
| 1 KeyBank NA | 3.180% | 10/15/27 | 250 | 247 |
| KeyCorp | 2.900% | 9/15/20 | 12,123 | 12,093 |
| KeyCorp | 5.100% | 3/24/21 | 10,546 | 11,153 |
| Lloyds Bank plc | 2.700% | 8/17/20 | 16,950 | 16,783 |
| Lloyds Bank plc | 6.375% | 1/21/21 | 15,765 | 17,150 |
| Lloyds Banking Group plc | 3.100% | 7/6/21 | 14,270 | 14,187 |
| Lloyds Banking Group plc | 3.000% | 1/11/22 | 34,055 | 33,507 |
| 1 Lloyds Banking Group plc | 2.907% | 11/7/23 | 21,000 | 20,326 |
| Manufacturers & Traders Trust Co. | 2.250% | 7/25/19 | 13,000 | 12,920 |
| Manufacturers & Traders Trust Co. | 2.100% | 2/6/20 | 6,325 | 6,246 |
| Manufacturers & Traders Trust Co. | 2.050% | 8/17/20 | 7,450 | 7,301 |
| Manufacturers & Traders Trust Co. | 2.625% | 1/25/21 | 12,500 | 12,369 |
| Manufacturers & Traders Trust Co. | 2.500% | 5/18/22 | 990 | 964 |
| Mitsubishi UFJ Financial Group Inc. | 2.950% | 3/1/21 | 31,932 | 31,701 |
| Mitsubishi UFJ Financial Group Inc. | 2.190% | 9/13/21 | 21,800 | 21,074 |
| Mitsubishi UFJ Financial Group Inc. | 2.998% | 2/22/22 | 16,226 | 15,980 |
| Mitsubishi UFJ Financial Group Inc. | 2.665% | 7/25/22 | 28,900 | 28,041 |
| Mitsubishi UFJ Financial Group Inc. | 3.455% | 3/2/23 | 18,650 | 18,621 |
5
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Mizuho Financial Group Inc. | 2.273% | 9/13/21 | 16,580 | 16,025 |
| Mizuho Financial Group Inc. | 2.953% | 2/28/22 | 20,583 | 20,224 |
| Mizuho Financial Group Inc. | 2.601% | 9/11/22 | 15,000 | 14,478 |
| 3 Mizuho Financial Group Inc. | 3.549% | 3/5/23 | 15,000 | 15,000 |
| Morgan Stanley | 7.300% | 5/13/19 | 29,632 | 31,179 |
| Morgan Stanley | 2.375% | 7/23/19 | 35,155 | 34,990 |
| Morgan Stanley | 5.625% | 9/23/19 | 44,658 | 46,519 |
| Morgan Stanley | 5.500% | 1/26/20 | 21,664 | 22,668 |
| Morgan Stanley | 2.650% | 1/27/20 | 48,261 | 48,047 |
| Morgan Stanley | 2.800% | 6/16/20 | 29,325 | 29,234 |
| Morgan Stanley | 5.500% | 7/24/20 | 25,906 | 27,390 |
| Morgan Stanley | 5.750% | 1/25/21 | 15,810 | 16,932 |
| Morgan Stanley | 2.500% | 4/21/21 | 42,725 | 41,995 |
| Morgan Stanley | 5.500% | 7/28/21 | 25,804 | 27,691 |
| Morgan Stanley | 2.625% | 11/17/21 | 44,756 | 43,839 |
| Morgan Stanley | 2.750% | 5/19/22 | 61,400 | 60,015 |
| Morgan Stanley | 4.875% | 11/1/22 | 27,400 | 28,914 |
| Morgan Stanley | 3.125% | 1/23/23 | 30,415 | 29,909 |
| Morgan Stanley | 3.750% | 2/25/23 | 28,932 | 29,356 |
| MUFG Americas Holdings Corp. | 2.250% | 2/10/20 | 16,425 | 16,200 |
| MUFG Americas Holdings Corp. | 3.500% | 6/18/22 | 3,275 | 3,293 |
| MUFG Union Bank NA | 2.250% | 5/6/19 | 5,366 | 5,333 |
| National Australia Bank Ltd. | 1.375% | 7/12/19 | 11,670 | 11,460 |
| National Australia Bank Ltd. | 2.250% | 1/10/20 | 2,450 | 2,426 |
| National Australia Bank Ltd. | 2.125% | 5/22/20 | 24,500 | 24,074 |
| National Australia Bank Ltd. | 2.625% | 7/23/20 | 17,375 | 17,226 |
| National Australia Bank Ltd. | 2.625% | 1/14/21 | 18,730 | 18,525 |
| National Australia Bank Ltd. | 1.875% | 7/12/21 | 16,925 | 16,255 |
| National Australia Bank Ltd. | 2.800% | 1/10/22 | 21,500 | 21,183 |
| National Australia Bank Ltd. | 2.500% | 5/22/22 | 11,717 | 11,355 |
| National Australia Bank Ltd. | 3.000% | 1/20/23 | 8,850 | 8,696 |
| National Bank of Canada | 2.150% | 6/12/20 | 12,469 | 12,286 |
| National Bank of Canada | 2.200% | 11/2/20 | 15,250 | 14,978 |
| National City Corp. | 6.875% | 5/15/19 | 10,935 | 11,451 |
| Northern Trust Corp. | 3.450% | 11/4/20 | 6,175 | 6,281 |
| Northern Trust Corp. | 3.375% | 8/23/21 | 5,855 | 5,945 |
| Northern Trust Corp. | 2.375% | 8/2/22 | 8,476 | 8,249 |
| People's United Financial Inc. | 3.650% | 12/6/22 | 6,900 | 6,969 |
| PNC Bank NA | 1.950% | 3/4/19 | 24,150 | 24,002 |
| PNC Bank NA | 2.250% | 7/2/19 | 13,276 | 13,196 |
| PNC Bank NA | 1.450% | 7/29/19 | 18,425 | 18,074 |
| PNC Bank NA | 2.400% | 10/18/19 | 11,257 | 11,186 |
| PNC Bank NA | 2.000% | 5/19/20 | 11,925 | 11,704 |
| PNC Bank NA | 2.300% | 6/1/20 | 8,665 | 8,551 |
| PNC Bank NA | 2.600% | 7/21/20 | 3,650 | 3,625 |
| PNC Bank NA | 2.450% | 11/5/20 | 29,213 | 28,814 |
| PNC Bank NA | 2.500% | 1/22/21 | 16,500 | 16,271 |
| PNC Bank NA | 2.150% | 4/29/21 | 16,560 | 16,122 |
| PNC Bank NA | 2.550% | 12/9/21 | 7,450 | 7,304 |
| PNC Bank NA | 2.625% | 2/17/22 | 17,125 | 16,776 |
| PNC Bank NA | 2.700% | 11/1/22 | 7,725 | 7,488 |
| PNC Bank NA | 2.950% | 1/30/23 | 9,330 | 9,133 |
| PNC Financial Services Group Inc. | 2.854% | 11/9/22 | 6,935 | 6,794 |
| PNC Funding Corp. | 6.700% | 6/10/19 | 5,855 | 6,143 |
| PNC Funding Corp. | 5.125% | 2/8/20 | 15,568 | 16,217 |
| PNC Funding Corp. | 4.375% | 8/11/20 | 5,470 | 5,659 |
| PNC Funding Corp. | 3.300% | 3/8/22 | 19,525 | 19,671 |
| RBC USA Holdco Corp. | 5.250% | 9/15/20 | 2,050 | 2,165 |
| Regions Bank | 2.750% | 4/1/21 | 7,575 | 7,525 |
| Regions Financial Corp. | 3.200% | 2/8/21 | 13,598 | 13,626 |
| Regions Financial Corp. | 2.750% | 8/14/22 | 14,140 | 13,788 |
| Royal Bank of Canada | 2.150% | 3/15/19 | 15,192 | 15,121 |
| Royal Bank of Canada | 1.625% | 4/15/19 | 24,302 | 24,050 |
| Royal Bank of Canada | 1.500% | 7/29/19 | 26,400 | 25,973 |
6
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Royal Bank of Canada | 2.125% | 3/2/20 | 24,200 | 23,913 |
| Royal Bank of Canada | 2.150% | 3/6/20 | 10,507 | 10,379 |
| Royal Bank of Canada | 2.150% | 10/26/20 | 15,737 | 15,478 |
| Royal Bank of Canada | 2.350% | 10/30/20 | 21,390 | 21,124 |
| Royal Bank of Canada | 2.500% | 1/19/21 | 19,925 | 19,709 |
| Royal Bank of Canada | 2.750% | 2/1/22 | 8,575 | 8,475 |
| Royal Bank of Scotland Group plc | 6.400% | 10/21/19 | 9,161 | 9,632 |
| 1 Royal Bank of Scotland Group plc | 3.498% | 5/15/23 | 32,800 | 32,311 |
| Royal Bank of Scotland plc | 5.625% | 8/24/20 | 100 | 105 |
| Santander Holdings USA Inc. | 2.700% | 5/24/19 | 9,983 | 9,966 |
| Santander Holdings USA Inc. | 2.650% | 4/17/20 | 9,554 | 9,478 |
| 2 Santander Holdings USA Inc. | 3.700% | 3/28/22 | 24,250 | 24,106 |
| 2 Santander Holdings USA Inc. | 3.400% | 1/18/23 | 6,998 | 6,844 |
| Santander UK Group Holdings plc | 2.875% | 10/16/20 | 7,216 | 7,154 |
| Santander UK Group Holdings plc | 3.125% | 1/8/21 | 23,930 | 23,820 |
| Santander UK Group Holdings plc | 2.875% | 8/5/21 | 18,049 | 17,605 |
| Santander UK Group Holdings plc | 3.571% | 1/10/23 | 18,899 | 18,742 |
| 1 Santander UK Group Holdings plc | 3.373% | 1/5/24 | 12,000 | 11,789 |
| Santander UK plc | 2.500% | 3/14/19 | 32,995 | 32,954 |
| Santander UK plc | 2.350% | 9/10/19 | 13,875 | 13,754 |
| Santander UK plc | 2.375% | 3/16/20 | 2,906 | 2,873 |
| Santander UK plc | 2.125% | 11/3/20 | 14,650 | 14,320 |
| Santander UK plc | 2.500% | 1/5/21 | 975 | 963 |
| Skandinaviska Enskilda Banken AB | 1.500% | 9/13/19 | 1,000 | 981 |
| Skandinaviska Enskilda Banken AB | 2.300% | 3/11/20 | 13,820 | 13,667 |
| Skandinaviska Enskilda Banken AB | 2.625% | 3/15/21 | 15,664 | 15,417 |
| Skandinaviska Enskilda Banken AB | 1.875% | 9/13/21 | 23,790 | 22,726 |
| Skandinaviska Enskilda Banken AB | 2.800% | 3/11/22 | 9,850 | 9,692 |
| State Street Corp. | 2.550% | 8/18/20 | 22,766 | 22,610 |
| State Street Corp. | 4.375% | 3/7/21 | 7,069 | 7,356 |
| State Street Corp. | 1.950% | 5/19/21 | 9,527 | 9,235 |
| 1 State Street Corp. | 2.653% | 5/15/23 | 11,700 | 11,474 |
| Sumitomo Mitsui Banking Corp. | 2.250% | 7/11/19 | 16,061 | 15,942 |
| Sumitomo Mitsui Banking Corp. | 2.092% | 10/18/19 | 18,050 | 17,826 |
| Sumitomo Mitsui Banking Corp. | 2.450% | 1/16/20 | 30,291 | 30,026 |
| Sumitomo Mitsui Banking Corp. | 2.514% | 1/17/20 | 16,325 | 16,238 |
| Sumitomo Mitsui Banking Corp. | 2.650% | 7/23/20 | 8,540 | 8,478 |
| Sumitomo Mitsui Banking Corp. | 2.450% | 10/20/20 | 3,775 | 3,724 |
| Sumitomo Mitsui Banking Corp. | 3.200% | 7/18/22 | 8,417 | 8,366 |
| Sumitomo Mitsui Banking Corp. | 3.000% | 1/18/23 | 2,750 | 2,696 |
| Sumitomo Mitsui Financial Group Inc. | 2.934% | 3/9/21 | 21,107 | 21,022 |
| Sumitomo Mitsui Financial Group Inc. | 2.058% | 7/14/21 | 12,840 | 12,389 |
| Sumitomo Mitsui Financial Group Inc. | 2.442% | 10/19/21 | 27,350 | 26,655 |
| Sumitomo Mitsui Financial Group Inc. | 2.846% | 1/11/22 | 14,000 | 13,757 |
| Sumitomo Mitsui Financial Group Inc. | 2.784% | 7/12/22 | 30,400 | 29,684 |
| Sumitomo Mitsui Financial Group Inc. | 2.778% | 10/18/22 | 10,500 | 10,175 |
| Sumitomo Mitsui Financial Group Inc. | 3.102% | 1/17/23 | 15,000 | 14,801 |
| SunTrust Bank | 2.250% | 1/31/20 | 5,732 | 5,659 |
| 1 SunTrust Bank | 2.590% | 1/29/21 | 10,650 | 10,597 |
| SunTrust Bank | 2.450% | 8/1/22 | 13,800 | 13,340 |
| SunTrust Bank | 3.000% | 2/2/23 | 7,725 | 7,604 |
| SunTrust Banks Inc. | 2.500% | 5/1/19 | 8,423 | 8,402 |
| SunTrust Banks Inc. | 2.900% | 3/3/21 | 10,664 | 10,614 |
| SunTrust Banks Inc. | 2.700% | 1/27/22 | 14,013 | 13,719 |
| Svenska Handelsbanken AB | 2.250% | 6/17/19 | 11,172 | 11,117 |
| Svenska Handelsbanken AB | 1.500% | 9/6/19 | 15,670 | 15,398 |
| Svenska Handelsbanken AB | 1.950% | 9/8/20 | 13,500 | 13,166 |
| Svenska Handelsbanken AB | 2.400% | 10/1/20 | 16,066 | 15,829 |
| Svenska Handelsbanken AB | 2.450% | 3/30/21 | 15,069 | 14,755 |
| Svenska Handelsbanken AB | 1.875% | 9/7/21 | 13,600 | 13,008 |
| Synchrony Bank | 3.000% | 6/15/22 | 14,700 | 14,348 |
| Synchrony Financial | 3.000% | 8/15/19 | 13,500 | 13,505 |
| Synchrony Financial | 2.700% | 2/3/20 | 11,830 | 11,750 |
| Synchrony Financial | 3.750% | 8/15/21 | 13,568 | 13,738 |
7
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Synovus Financial Corp. | 3.125% | 11/1/22 | 3,775 | 3,688 |
| Toronto-Dominion Bank | 2.125% | 7/2/19 | 33,000 | 32,792 |
| Toronto-Dominion Bank | 1.450% | 8/13/19 | 25,300 | 24,886 |
| Toronto-Dominion Bank | 2.250% | 11/5/19 | 23,331 | 23,176 |
| Toronto-Dominion Bank | 1.850% | 9/11/20 | 1,800 | 1,761 |
| Toronto-Dominion Bank | 2.500% | 12/14/20 | 33,919 | 33,595 |
| Toronto-Dominion Bank | 2.550% | 1/25/21 | 7,355 | 7,287 |
| Toronto-Dominion Bank | 2.125% | 4/7/21 | 26,815 | 26,161 |
| Toronto-Dominion Bank | 1.800% | 7/13/21 | 24,881 | 23,936 |
| UBS AG | 2.375% | 8/14/19 | 46,012 | 45,761 |
| UBS AG | 2.350% | 3/26/20 | 20,635 | 20,392 |
| UBS AG | 4.875% | 8/4/20 | 8,377 | 8,745 |
| US Bancorp | 2.200% | 4/25/19 | 6,357 | 6,330 |
| US Bancorp | 2.350% | 1/29/21 | 9,430 | 9,290 |
| US Bancorp | 4.125% | 5/24/21 | 13,243 | 13,709 |
| US Bancorp | 2.625% | 1/24/22 | 18,804 | 18,500 |
| US Bancorp | 3.000% | 3/15/22 | 14,147 | 14,127 |
| US Bancorp | 2.950% | 7/15/22 | 23,866 | 23,578 |
| US Bank NA | 1.400% | 4/26/19 | 19,025 | 18,791 |
| US Bank NA | 2.125% | 10/28/19 | 19,825 | 19,638 |
| US Bank NA | 2.350% | 1/23/20 | 11,500 | 11,425 |
| US Bank NA | 2.000% | 1/24/20 | 17,100 | 16,865 |
| US Bank NA | 2.050% | 10/23/20 | 16,875 | 16,542 |
| US Bank NA | 2.850% | 1/23/23 | 10,000 | 9,853 |
| Wells Fargo & Co. | 2.125% | 4/22/19 | 32,017 | 31,826 |
| Wells Fargo & Co. | 2.150% | 1/30/20 | 24,127 | 23,788 |
| Wells Fargo & Co. | 2.600% | 7/22/20 | 36,481 | 36,196 |
| Wells Fargo & Co. | 2.550% | 12/7/20 | 37,034 | 36,584 |
| Wells Fargo & Co. | 3.000% | 1/22/21 | 15,416 | 15,380 |
| Wells Fargo & Co. | 2.500% | 3/4/21 | 33,810 | 33,170 |
| Wells Fargo & Co. | 4.600% | 4/1/21 | 29,347 | 30,617 |
| Wells Fargo & Co. | 2.100% | 7/26/21 | 43,541 | 42,057 |
| Wells Fargo & Co. | 3.500% | 3/8/22 | 33,034 | 33,222 |
| Wells Fargo & Co. | 2.625% | 7/22/22 | 46,800 | 45,467 |
| Wells Fargo & Co. | 3.069% | 1/24/23 | 53,627 | 52,758 |
| Wells Fargo & Co. | 3.450% | 2/13/23 | 25,575 | 25,382 |
| Wells Fargo Bank NA | 1.750% | 5/24/19 | 37,920 | 37,568 |
| Wells Fargo Bank NA | 2.150% | 12/6/19 | 30,656 | 30,336 |
| Wells Fargo Bank NA | 2.400% | 1/15/20 | 22,450 | 22,255 |
| Wells Fargo Bank NA | 2.600% | 1/15/21 | 37,204 | 36,732 |
| Westpac Banking Corp. | 1.650% | 5/13/19 | 10,485 | 10,365 |
| Westpac Banking Corp. | 1.600% | 8/19/19 | 27,250 | 26,812 |
| Westpac Banking Corp. | 4.875% | 11/19/19 | 26,985 | 27,902 |
| Westpac Banking Corp. | 2.150% | 3/6/20 | 21,321 | 21,032 |
| Westpac Banking Corp. | 2.300% | 5/26/20 | 15,320 | 15,113 |
| Westpac Banking Corp. | 2.600% | 11/23/20 | 15,167 | 15,018 |
| Westpac Banking Corp. | 2.650% | 1/25/21 | 195 | 193 |
| Westpac Banking Corp. | 2.100% | 5/13/21 | 13,230 | 12,836 |
| Westpac Banking Corp. | 2.000% | 8/19/21 | 22,125 | 21,392 |
| Westpac Banking Corp. | 2.800% | 1/11/22 | 16,000 | 15,787 |
| Westpac Banking Corp. | 2.500% | 6/28/22 | 19,400 | 18,826 |
| Westpac Banking Corp. | 2.750% | 1/11/23 | 8,500 | 8,258 |
| Brokerage (0.9%) | | | | |
| Ameriprise Financial Inc. | 7.300% | 6/28/19 | 4,765 | 5,055 |
| Ameriprise Financial Inc. | 5.300% | 3/15/20 | 10,395 | 10,907 |
| BGC Partners Inc. | 5.375% | 12/9/19 | 2,050 | 2,114 |
| BGC Partners Inc. | 5.125% | 5/27/21 | 2,250 | 2,322 |
| BlackRock Inc. | 5.000% | 12/10/19 | 21,481 | 22,364 |
| BlackRock Inc. | 4.250% | 5/24/21 | 9,172 | 9,498 |
| BlackRock Inc. | 3.375% | 6/1/22 | 5,775 | 5,822 |
| Cboe Global Markets Inc. | 1.950% | 6/28/19 | 3,450 | 3,415 |
| Charles Schwab Corp. | 4.450% | 7/22/20 | 6,008 | 6,252 |
| Charles Schwab Corp. | 2.650% | 1/25/23 | 15,650 | 15,250 |
8
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| CME Group Inc. | 3.000% | 9/15/22 | 3,900 | 3,884 |
| E*TRADE Financial Corp. | 2.950% | 8/24/22 | 10,050 | 9,791 |
| Franklin Resources Inc. | 4.625% | 5/20/20 | 3,225 | 3,348 |
| Franklin Resources Inc. | 2.800% | 9/15/22 | 3,200 | 3,133 |
| Intercontinental Exchange Inc. | 2.750% | 12/1/20 | 15,995 | 15,938 |
| Intercontinental Exchange Inc. | 2.350% | 9/15/22 | 1,380 | 1,334 |
| Invesco Finance plc | 3.125% | 11/30/22 | 8,167 | 8,112 |
| Jefferies Group LLC | 8.500% | 7/15/19 | 7,102 | 7,614 |
| Jefferies Group LLC | 6.875% | 4/15/21 | 10,485 | 11,533 |
| Jefferies Group LLC | 5.125% | 1/20/23 | 7,940 | 8,435 |
| Lazard Group LLC | 4.250% | 11/14/20 | 7,680 | 7,909 |
| Nasdaq Inc. | 5.550% | 1/15/20 | 9,612 | 10,057 |
| Nomura Holdings Inc. | 2.750% | 3/19/19 | 14,450 | 14,469 |
| Nomura Holdings Inc. | 6.700% | 3/4/20 | 16,250 | 17,289 |
| Stifel Financial Corp. | 3.500% | 12/1/20 | 6,575 | 6,580 |
| TD Ameritrade Holding Corp. | 5.600% | 12/1/19 | 6,000 | 6,298 |
| TD Ameritrade Holding Corp. | 2.950% | 4/1/22 | 13,985 | 13,889 |
| Finance Companies (1.4%) | | | | |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.750% | 5/15/19 | 13,886 | 14,007 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.250% | 7/1/20 | 7,970 | 8,139 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.625% | 10/30/20 | 15,972 | 16,511 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.500% | 5/15/21 | 14,236 | 14,663 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 5.000% | 10/1/21 | 13,787 | 14,442 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.950% | 2/1/22 | 14,233 | 14,358 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.500% | 5/26/22 | 6,365 | 6,333 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.625% | 7/1/22 | 10,714 | 11,129 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.300% | 1/23/23 | 3,545 | 3,465 |
| Air Lease Corp. | 2.125% | 1/15/20 | 6,224 | 6,126 |
| Air Lease Corp. | 4.750% | 3/1/20 | 4,769 | 4,931 |
| Air Lease Corp. | 2.500% | 3/1/21 | 4,100 | 4,028 |
| Air Lease Corp. | 3.875% | 4/1/21 | 6,229 | 6,347 |
| Air Lease Corp. | 3.375% | 6/1/21 | 14,050 | 14,108 |
| Air Lease Corp. | 3.750% | 2/1/22 | 3,345 | 3,388 |
| Air Lease Corp. | 2.625% | 7/1/22 | 9,030 | 8,719 |
| Air Lease Corp. | 2.750% | 1/15/23 | 4,000 | 3,862 |
| Ares Capital Corp. | 3.875% | 1/15/20 | 7,325 | 7,394 |
| Ares Capital Corp. | 3.625% | 1/19/22 | 10,425 | 10,271 |
| Ares Capital Corp. | 3.500% | 2/10/23 | 9,025 | 8,723 |
| FS Investment Corp. | 4.000% | 7/15/19 | 4,000 | 4,015 |
| FS Investment Corp. | 4.250% | 1/15/20 | 3,475 | 3,506 |
| GATX Corp. | 2.500% | 3/15/19 | 1,190 | 1,186 |
| GATX Corp. | 2.500% | 7/30/19 | 3,875 | 3,851 |
| GATX Corp. | 2.600% | 3/30/20 | 5,050 | 5,006 |
| GATX Corp. | 4.850% | 6/1/21 | 3,925 | 4,108 |
| GE Capital International Funding Co. Unlimited Co. | 2.342% | 11/15/20 | 80,080 | 78,398 |
| International Lease Finance Corp. | 5.875% | 4/1/19 | 9,905 | 10,227 |
| International Lease Finance Corp. | 6.250% | 5/15/19 | 13,589 | 14,082 |
| International Lease Finance Corp. | 8.250% | 12/15/20 | 21,049 | 23,680 |
| International Lease Finance Corp. | 4.625% | 4/15/21 | 5,850 | 6,040 |
| International Lease Finance Corp. | 8.625% | 1/15/22 | 7,390 | 8,692 |
| International Lease Finance Corp. | 5.875% | 8/15/22 | 10,544 | 11,453 |
| Prospect Capital Corp. | 5.000% | 7/15/19 | 2,573 | 2,622 |
| Insurance (3.3%) | | | | |
| AEGON Funding Co. LLC | 5.750% | 12/15/20 | 5,901 | 6,298 |
| Aetna Inc. | 2.200% | 3/15/19 | 9,730 | 9,681 |
| Aetna Inc. | 4.125% | 6/1/21 | 5,374 | 5,503 |
| Aetna Inc. | 2.750% | 11/15/22 | 8,561 | 8,267 |
| Aflac Inc. | 2.400% | 3/16/20 | 5,946 | 5,915 |
| Aflac Inc. | 4.000% | 2/15/22 | 5,425 | 5,583 |
| Alleghany Corp. | 5.625% | 9/15/20 | 1,400 | 1,483 |
| Alleghany Corp. | 4.950% | 6/27/22 | 7,000 | 7,398 |
| Allied World Assurance Co. Holdings Ltd. | 5.500% | 11/15/20 | 2,625 | 2,764 |
| Allstate Corp. | 7.450% | 5/16/19 | 328 | 346 |
9
Vanguard® Short-Term Corporate Bond Index Fund
Schedule of Investments
February 28, 2018
| | | | |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Alterra Finance LLC | 6.250% | 9/30/20 | 5,870 | 6,301 |
| American International Group Inc. | 2.300% | 7/16/19 | 10,265 | 10,191 |
| American International Group Inc. | 3.375% | 8/15/20 | 8,780 | 8,869 |
| American International Group Inc. | 6.400% | 12/15/20 | 8,850 | 9,609 |
| American International Group Inc. | 3.300% | 3/1/21 | 22,272 | 22,325 |
| American International Group Inc. | 4.875% | 6/1/22 | 22,278 | 23,540 |
| Anthem Inc. | 2.250% | 8/15/19 | 15,645 | 15,499 |
| Anthem Inc. | 4.350% | 8/15/20 | 7,655 | 7,926 |
| Anthem Inc. | 2.500% | 11/21/20 | 12,500 | 12,352 |
| Anthem Inc. | 3.700% | 8/15/21 | 8,285 | 8,401 |
| Anthem Inc. | 3.125% | 5/15/22 | 13,159 | 13,034 |
| Anthem Inc. | 2.950% | 12/1/22 | 13,975 | 13,714 |
| Anthem Inc. | 3.300% | 1/15/23 | 8,525 | 8,446 |
| Aon Corp. | 5.000% | 9/30/20 | 8,956 | 9,389 |
| Aon plc | 2.800% | 3/15/21 | 4,687 | 4,667 |
| AXIS Specialty Finance LLC | 5.875% | 6/1/20 | 6,842 | 7,233 |
| Berkshire Hathaway Finance Corp. | 1.700% | 3/15/19 | 24,554 | 24,387 |
| Berkshire Hathaway Finance Corp. | 1.300% | 8/15/19 | 12,690 | 12,492 |
| Berkshire Hathaway Finance Corp. | 2.900% | 10/15/20 | 6,666 | 6,702 |
| Berkshire Hathaway Finance Corp. | 4.250% | 1/15/21 | 9,427 | 9,796 |
| Berkshire Hathaway Finance Corp. | 3.000% | 5/15/22 | 8,470 | 8,480 |
| Berkshire Hathaway Inc. | 2.100% | 8/14/19 | 13,027 | 12,965 |
| Berkshire Hathaway Inc. | 2.200% | 3/15/21 | 12,137 | 11,897 |
| Berkshire Hathaway Inc. | 3.750% | 8/15/21 | 6,332 | 6,509 |
| Berkshire Hathaway Inc. | 3.400% | 1/31/22 | 5,334 | 5,410 |
| Berkshire Hathaway Inc. | 3.000% | 2/11/23 | 8,281 | 8,266 |
| Chubb INA Holdings Inc. | 5.900% | 6/15/19 | 4,785 | 4,991 |
| Chubb INA Holdings Inc. | 2.300% | 11/3/20 | 24,187 | 23,881 |
| Chubb INA Holdings Inc. | 2.875% | 11/3/22 | 8,900 | 8,825 |
| Cigna Corp. | 5.125% | 6/15/20 | 3,780 | 3,960 |
| Cigna Corp. | 4.375% | 12/15/20 | 1,750 | 1,809 |
| Cigna Corp. | 4.500% | 3/15/21 | 3,074 | 3,183 |
| Cigna Corp. | 4.000% | 2/15/22 | 10,290 | 10,551 |
| CNA Financial Corp. | 5.875% | 8/15/20 | 6,758 | 7,175 |
| CNA Financial Corp. | 5.750% | 8/15/21 | 4,850 | 5,245 |
| Coventry Health Care Inc. | 5.450% | 6/15/21 | 9,729 | 10,342 |
| Enstar Group Ltd. | 4.500% | 3/10/22 | 4,100 | 4,120 |
| Hartford Financial Services Group Inc. | 5.500% | 3/30/20 | 8,604 | 9,047 |
| Hartford Financial Services Group Inc. | 5.125% | 4/15/22 | 13,394 | 14,302 |
| Humana Inc. | 2.625% | 10/1/19 | 8,705 | 8,674 |
| Humana Inc. | 3.150% | 12/1/22 | 9,641 | 9,549 |
| Humana Inc. | 2.900% | 12/15/22 | 6,500 | 6,360 |
| Lincoln National Corp. | 8.750% | 7/1/19 | 1,827 | 1,973 |
| Lincoln National Corp. | 6.250% | 2/15/20 | 3,675 | 3,899 |
| Lincoln National Corp. | 4.850% | 6/24/21 | 3,625 | 3,821 |
| Lincoln National Corp. | 4.200% | 3/15/22 | 3,612 | 3,727 |
| Manulife Financial Corp. | 4.900% | 9/17/20 | 7,124 | 7,444 |
| Markel Corp. | 4.900% | 7/1/22 | 4,955 | 5,223 |
| Marsh & McLennan Cos. Inc. | 2.350% | 9/10/19 | 7,810 | 7,789 |
| Marsh & McLennan Cos. Inc. | 2.350% | 3/6/20 | 6,126 | 6,077 |
| Marsh & McLennan Cos. Inc. | 4.800% | 7/15/21 | 7,781 | 8,173 |
| Marsh & McLennan Cos. Inc. | 2.750% | 1/30/22 | 15,985 | 15,694 |
| MetLife Inc. | 4.750% | 2/8/21 | 16,925 | 17,734 |
| MetLife Inc. | 3.048% | 12/15/22 | 2,850 | 2,823 |
| PartnerRe Finance B LLC | 5.500% | 6/1/20 | 6,710 | 7,038 |
| Primerica Inc. | 4.750% | 7/15/22 | 4,944 | 5,180 |
| Principal Financial Group Inc. | 3.300% | 9/15/22 | 5,835 | 5,809 |
| 1 Principal Financial Group Inc. | 4.700% | 5/15/55 | 3,800 | 3,819 |
| Progressive Corp. | 3.750% | 8/23/21 | 7,749 | 7,901 |
| Protective Life Corp. | 7.375% | 10/15/19 | 5,425 | 5,802 |
| Prudential Financial Inc. | 7.375% | 6/15/19 | 9,549 | 10,124 |
| Prudential Financial Inc. | 2.350% | 8/15/19 | 6,200 | 6,173 |
| Prudential Financial Inc. | 5.375% | 6/21/20 | 14,519 | 15,332 |
| Prudential Financial Inc. | 4.500% | 11/15/20 | 6,400 | 6,660 |
10
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Prudential Financial Inc. | 4.500% | 11/16/21 | 6,200 | 6,488 |
| 1 Prudential Financial Inc. | 5.875% | 9/15/42 | 11,500 | 12,323 |
| Reinsurance Group of America Inc. | 6.450% | 11/15/19 | 4,845 | 5,126 |
| Reinsurance Group of America Inc. | 5.000% | 6/1/21 | 7,125 | 7,475 |
| Torchmark Corp. | 9.250% | 6/15/19 | 3,000 | 3,241 |
| Torchmark Corp. | 3.800% | 9/15/22 | 3,080 | 3,120 |
| Travelers Cos. Inc. | 5.900% | 6/2/19 | 2,524 | 2,625 |
| Travelers Cos. Inc. | 3.900% | 11/1/20 | 4,265 | 4,374 |
| Trinity Acquisition plc | 3.500% | 9/15/21 | 5,454 | 5,449 |
| UnitedHealth Group Inc. | 1.625% | 3/15/19 | 9,715 | 9,635 |
| UnitedHealth Group Inc. | 2.300% | 12/15/19 | 8,725 | 8,684 |
| UnitedHealth Group Inc. | 2.700% | 7/15/20 | 24,421 | 24,390 |
| UnitedHealth Group Inc. | 1.950% | 10/15/20 | 13,640 | 13,358 |
| UnitedHealth Group Inc. | 3.875% | 10/15/20 | 4,804 | 4,930 |
| UnitedHealth Group Inc. | 4.700% | 2/15/21 | 5,692 | 5,947 |
| UnitedHealth Group Inc. | 2.125% | 3/15/21 | 11,282 | 11,018 |
| UnitedHealth Group Inc. | 3.375% | 11/15/21 | 7,100 | 7,165 |
| UnitedHealth Group Inc. | 2.875% | 12/15/21 | 15,600 | 15,537 |
| UnitedHealth Group Inc. | 2.875% | 3/15/22 | 9,572 | 9,481 |
| UnitedHealth Group Inc. | 3.350% | 7/15/22 | 11,078 | 11,182 |
| UnitedHealth Group Inc. | 2.375% | 10/15/22 | 11,100 | 10,724 |
| UnitedHealth Group Inc. | 2.750% | 2/15/23 | 5,850 | 5,736 |
| Unum Group | 5.625% | 9/15/20 | 2,143 | 2,275 |
| Unum Group | 3.000% | 5/15/21 | 4,520 | 4,482 |
| Willis Towers Watson plc | 5.750% | 3/15/21 | 4,165 | 4,453 |
| WR Berkley Corp. | 7.375% | 9/15/19 | 1,282 | 1,364 |
| WR Berkley Corp. | 5.375% | 9/15/20 | 3,175 | 3,344 |
| WR Berkley Corp. | 4.625% | 3/15/22 | 6,191 | 6,463 |
| XLIT Ltd. | 5.750% | 10/1/21 | 4,635 | 5,008 |
| Other Finance (0.0%) | | | | |
| ORIX Corp. | 2.900% | 7/18/22 | 10,100 | 9,865 |
| |
| Real Estate Investment Trusts (2.0%) | | | | |
| Alexandria Real Estate Equities Inc. | 2.750% | 1/15/20 | 4,752 | 4,735 |
| Alexandria Real Estate Equities Inc. | 4.600% | 4/1/22 | 8,636 | 9,018 |
| American Campus Communities Operating Partnership LP | 3.350% | 10/1/20 | 5,520 | 5,571 |
| AvalonBay Communities Inc. | 6.100% | 3/15/20 | 750 | 797 |
| AvalonBay Communities Inc. | 3.625% | 10/1/20 | 6,305 | 6,409 |
| AvalonBay Communities Inc. | 3.950% | 1/15/21 | 1,125 | 1,152 |
| AvalonBay Communities Inc. | 2.950% | 9/15/22 | 5,200 | 5,146 |
| Boston Properties LP | 5.875% | 10/15/19 | 10,762 | 11,234 |
| Boston Properties LP | 5.625% | 11/15/20 | 6,475 | 6,899 |
| Boston Properties LP | 4.125% | 5/15/21 | 9,095 | 9,384 |
| Boston Properties LP | 3.850% | 2/1/23 | 15,677 | 16,059 |
| Brixmor Operating Partnership LP | 3.875% | 8/15/22 | 5,552 | 5,590 |
| Camden Property Trust | 4.625% | 6/15/21 | 1,100 | 1,149 |
| Camden Property Trust | 2.950% | 12/15/22 | 8,925 | 8,730 |
| Corporate Office Properties LP | 3.700% | 6/15/21 | 4,020 | 4,037 |
| DDR Corp. | 4.625% | 7/15/22 | 8,525 | 8,851 |
| Digital Realty Trust LP | 5.875% | 2/1/20 | 6,100 | 6,398 |
| Digital Realty Trust LP | 3.400% | 10/1/20 | 4,800 | 4,856 |
| Digital Realty Trust LP | 5.250% | 3/15/21 | 11,479 | 12,129 |
| Digital Realty Trust LP | 3.950% | 7/1/22 | 6,960 | 7,138 |
| Digital Realty Trust LP | 3.625% | 10/1/22 | 6,716 | 6,788 |
| Digital Realty Trust LP | 2.750% | 2/1/23 | 3,762 | 3,647 |
| Duke Realty LP | 3.875% | 2/15/21 | 3,050 | 3,112 |
| Duke Realty LP | 4.375% | 6/15/22 | 650 | 677 |
| Duke Realty LP | 3.875% | 10/15/22 | 5,293 | 5,409 |
| EPR Properties | 5.750% | 8/15/22 | 4,845 | 5,182 |
| ERP Operating LP | 2.375% | 7/1/19 | 6,390 | 6,374 |
| ERP Operating LP | 4.750% | 7/15/20 | 4,675 | 4,870 |
| ERP Operating LP | 4.625% | 12/15/21 | 13,406 | 14,133 |
| Essex Portfolio LP | 5.200% | 3/15/21 | 2,700 | 2,843 |
11
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Essex Portfolio LP | 3.625% | 8/15/22 | 1,300 | 1,310 |
| Government Properties Income Trust | 3.750% | 8/15/19 | 2,745 | 2,748 |
| Government Properties Income Trust | 4.000% | 7/15/22 | 6,500 | 6,500 |
| HCP Inc. | 2.625% | 2/1/20 | 23,308 | 23,169 |
| HCP Inc. | 5.375% | 2/1/21 | 2,715 | 2,871 |
| HCP Inc. | 3.150% | 8/1/22 | 3,871 | 3,840 |
| HCP Inc. | 4.000% | 12/1/22 | 3,575 | 3,672 |
| Healthcare Trust of America Holdings LP | 3.375% | 7/15/21 | 4,040 | 4,047 |
| Healthcare Trust of America Holdings LP | 2.950% | 7/1/22 | 8,603 | 8,425 |
| Highwoods Realty LP | 3.200% | 6/15/21 | 2,700 | 2,688 |
| Hospitality Properties Trust | 4.250% | 2/15/21 | 4,600 | 4,699 |
| Hospitality Properties Trust | 5.000% | 8/15/22 | 7,726 | 8,077 |
| Host Hotels & Resorts LP | 6.000% | 10/1/21 | 4,297 | 4,642 |
| Host Hotels & Resorts LP | 5.250% | 3/15/22 | 3,415 | 3,608 |
| Kimco Realty Corp. | 6.875% | 10/1/19 | 5,075 | 5,387 |
| Kimco Realty Corp. | 3.200% | 5/1/21 | 6,085 | 6,095 |
| Kimco Realty Corp. | 3.400% | 11/1/22 | 4,175 | 4,182 |
| Liberty Property LP | 4.750% | 10/1/20 | 5,535 | 5,766 |
| Liberty Property LP | 4.125% | 6/15/22 | 4,300 | 4,437 |
| National Retail Properties Inc. | 5.500% | 7/15/21 | 300 | 320 |
| National Retail Properties Inc. | 3.800% | 10/15/22 | 4,133 | 4,193 |
| Public Storage | 2.370% | 9/15/22 | 6,348 | 6,138 |
| Realty Income Corp. | 3.250% | 10/15/22 | 15,445 | 15,341 |
| Regency Centers Corp. | 3.750% | 11/15/22 | 4,105 | 4,117 |
| Regency Centers LP | 4.800% | 4/15/21 | 5,275 | 5,507 |
| Select Income REIT | 3.600% | 2/1/20 | 500 | 502 |
| Select Income REIT | 4.150% | 2/1/22 | 4,335 | 4,358 |
| Senior Housing Properties Trust | 3.250% | 5/1/19 | 6,300 | 6,301 |
| Simon Property Group LP | 2.500% | 9/1/20 | 6,098 | 6,054 |
| Simon Property Group LP | 4.375% | 3/1/21 | 8,314 | 8,641 |
| Simon Property Group LP | 2.500% | 7/15/21 | 5,575 | 5,494 |
| Simon Property Group LP | 4.125% | 12/1/21 | 7,650 | 7,913 |
| Simon Property Group LP | 2.350% | 1/30/22 | 6,150 | 5,977 |
| Simon Property Group LP | 3.375% | 3/15/22 | 6,384 | 6,443 |
| Simon Property Group LP | 2.625% | 6/15/22 | 6,450 | 6,318 |
| Simon Property Group LP | 2.750% | 2/1/23 | 9,244 | 9,044 |
| SL Green Operating Partnership LP | 3.250% | 10/15/22 | 4,200 | 4,117 |
| SL Green Realty Corp. | 7.750% | 3/15/20 | 2,500 | 2,725 |
| SL Green Realty Corp. | 4.500% | 12/1/22 | 5,775 | 5,936 |
| UDR Inc. | 3.700% | 10/1/20 | 8,875 | 9,033 |
| UDR Inc. | 4.625% | 1/10/22 | 900 | 940 |
| Ventas Realty LP | 3.100% | 1/15/23 | 5,425 | 5,326 |
| Ventas Realty LP / Ventas Capital Corp. | 2.700% | 4/1/20 | 8,018 | 7,981 |
| Ventas Realty LP / Ventas Capital Corp. | 4.750% | 6/1/21 | 7,781 | 8,134 |
| Ventas Realty LP / Ventas Capital Corp. | 4.250% | 3/1/22 | 7,804 | 8,039 |
| Ventas Realty LP / Ventas Capital Corp. | 3.250% | 8/15/22 | 8,450 | 8,391 |
| VEREIT Operating Partnership LP | 4.125% | 6/1/21 | 10,010 | 10,251 |
| Vornado Realty LP | 5.000% | 1/15/22 | 4,050 | 4,265 |
| Washington Prime Group LP | 3.850% | 4/1/20 | 2,200 | 2,172 |
| Washington REIT | 4.950% | 10/1/20 | 2,150 | 2,215 |
| Washington REIT | 3.950% | 10/15/22 | 2,300 | 2,324 |
| Welltower Inc. | 4.125% | 4/1/19 | 12,085 | 12,226 |
| Welltower Inc. | 6.125% | 4/15/20 | 5,525 | 5,885 |
| Welltower Inc. | 4.950% | 1/15/21 | 6,986 | 7,304 |
| Welltower Inc. | 5.250% | 1/15/22 | 5,151 | 5,496 |
| Welltower Inc. | 3.750% | 3/15/23 | 2,000 | 2,029 |
| | | | | 10,832,764 |
| Industrial (53.4%) | | | | |
| Basic Industry (2.6%) | | | | |
| Agrium Inc. | 3.150% | 10/1/22 | 12,378 | 12,326 |
| Air Products & Chemicals Inc. | 4.375% | 8/21/19 | 4,040 | 4,143 |
| Air Products & Chemicals Inc. | 3.000% | 11/3/21 | 8,000 | 8,015 |
| Air Products & Chemicals Inc. | 2.750% | 2/3/23 | 4,750 | 4,675 |
12
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Airgas Inc. | 2.375% | 2/15/20 | 2,200 | 2,184 |
| Barrick Gold Corp. | 3.850% | 4/1/22 | 1,635 | 1,670 |
| Barrick North America Finance LLC | 4.400% | 5/30/21 | 15,852 | 16,515 |
| BHP Billiton Finance USA Ltd. | 3.250% | 11/21/21 | 550 | 556 |
| BHP Billiton Finance USA Ltd. | 2.875% | 2/24/22 | 17,370 | 17,271 |
| Cabot Corp. | 3.700% | 7/15/22 | 5,000 | 5,010 |
| Celanese US Holdings LLC | 5.875% | 6/15/21 | 5,325 | 5,727 |
| Celanese US Holdings LLC | 4.625% | 11/15/22 | 6,373 | 6,640 |
| Celulosa Arauco y Constitucion SA | 7.250% | 7/29/19 | 3,580 | 3,782 |
| Celulosa Arauco y Constitucion SA | 5.000% | 1/21/21 | 2,625 | 2,737 |
| Celulosa Arauco y Constitucion SA | 4.750% | 1/11/22 | 4,225 | 4,354 |
| Domtar Corp. | 4.400% | 4/1/22 | 1,884 | 1,949 |
| Dow Chemical Co. | 8.550% | 5/15/19 | 30,680 | 32,785 |
| Dow Chemical Co. | 4.250% | 11/15/20 | 21,005 | 21,644 |
| Dow Chemical Co. | 4.125% | 11/15/21 | 17,410 | 17,983 |
| Dow Chemical Co. | 3.000% | 11/15/22 | 14,685 | 14,476 |
| Eastman Chemical Co. | 2.700% | 1/15/20 | 14,690 | 14,674 |
| Eastman Chemical Co. | 4.500% | 1/15/21 | 51 | 53 |
| Eastman Chemical Co. | 3.600% | 8/15/22 | 7,800 | 7,893 |
| Ecolab Inc. | 2.250% | 1/12/20 | 4,495 | 4,457 |
| Ecolab Inc. | 4.350% | 12/8/21 | 14,406 | 15,059 |
| Ecolab Inc. | 2.375% | 8/10/22 | 7,000 | 6,769 |
| Ecolab Inc. | 3.250% | 1/14/23 | 2,555 | 2,554 |
| EI du Pont de Nemours & Co. | 5.750% | 3/15/19 | 200 | 206 |
| EI du Pont de Nemours & Co. | 4.625% | 1/15/20 | 12,162 | 12,591 |
| EI du Pont de Nemours & Co. | 2.200% | 5/1/20 | 31,115 | 30,759 |
| EI du Pont de Nemours & Co. | 3.625% | 1/15/21 | 11,025 | 11,263 |
| EI du Pont de Nemours & Co. | 4.250% | 4/1/21 | 6,295 | 6,533 |
| EI du Pont de Nemours & Co. | 2.800% | 2/15/23 | 9,400 | 9,221 |
| FMC Corp. | 5.200% | 12/15/19 | 3,150 | 3,262 |
| FMC Corp. | 3.950% | 2/1/22 | 1,775 | 1,807 |
| Goldcorp Inc. | 3.625% | 6/9/21 | 10,550 | 10,660 |
| International Paper Co. | 7.500% | 8/15/21 | 4,231 | 4,824 |
| International Paper Co. | 4.750% | 2/15/22 | 15,975 | 16,803 |
| LyondellBasell Industries NV | 5.000% | 4/15/19 | 14,136 | 14,404 |
| LyondellBasell Industries NV | 6.000% | 11/15/21 | 13,968 | 15,178 |
| Methanex Corp. | 3.250% | 12/15/19 | 3,450 | 3,439 |
| Monsanto Co. | 2.125% | 7/15/19 | 10,500 | 10,413 |
| Monsanto Co. | 2.750% | 7/15/21 | 4,905 | 4,847 |
| Mosaic Co. | 3.750% | 11/15/21 | 4,520 | 4,556 |
| Mosaic Co. | 3.250% | 11/15/22 | 9,055 | 8,881 |
| Newmont Mining Corp. | 5.125% | 10/1/19 | 7,336 | 7,575 |
| Newmont Mining Corp. | 3.500% | 3/15/22 | 15,551 | 15,575 |
| Packaging Corp. of America | 2.450% | 12/15/20 | 9,000 | 8,871 |
| Packaging Corp. of America | 3.900% | 6/15/22 | 5,366 | 5,489 |
| Potash Corp. of Saskatchewan Inc. | 6.500% | 5/15/19 | 5,170 | 5,384 |
| Potash Corp. of Saskatchewan Inc. | 4.875% | 3/30/20 | 5,325 | 5,513 |
| PPG Industries Inc. | 2.300% | 11/15/19 | 6,700 | 6,663 |
| PPG Industries Inc. | 3.600% | 11/15/20 | 3,975 | 4,060 |
| Praxair Inc. | 4.500% | 8/15/19 | 7,275 | 7,480 |
| Praxair Inc. | 2.250% | 9/24/20 | 3,900 | 3,843 |
| Praxair Inc. | 4.050% | 3/15/21 | 5,075 | 5,249 |
| Praxair Inc. | 3.000% | 9/1/21 | 6,307 | 6,327 |
| Praxair Inc. | 2.450% | 2/15/22 | 5,775 | 5,670 |
| Praxair Inc. | 2.200% | 8/15/22 | 8,825 | 8,544 |
| Praxair Inc. | 2.700% | 2/21/23 | 4,425 | 4,346 |
| Rayonier Inc. | 3.750% | 4/1/22 | 3,400 | 3,384 |
| Rio Tinto Finance USA Ltd. | 4.125% | 5/20/21 | 2,529 | 2,615 |
| Rio Tinto Finance USA Ltd. | 3.750% | 9/20/21 | 4,581 | 4,703 |
| Rio Tinto Finance USA plc | 3.500% | 3/22/22 | 7,516 | 7,604 |
| Rio Tinto Finance USA plc | 2.875% | 8/21/22 | 5,120 | 5,062 |
| RPM International Inc. | 6.125% | 10/15/19 | 4,550 | 4,783 |
| RPM International Inc. | 3.450% | 11/15/22 | 5,883 | 5,886 |
| Sherwin-Williams Co. | 7.250% | 6/15/19 | 1,525 | 1,613 |
13
Vanguard® Short-Term Corporate Bond Index Fund
Schedule of Investments
February 28, 2018
| | | | |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Sherwin-Williams Co. | 2.250% | 5/15/20 | 24,535 | 24,203 |
| Sherwin-Williams Co. | 4.200% | 1/15/22 | 3,990 | 4,102 |
| Sherwin-Williams Co. | 2.750% | 6/1/22 | 10,580 | 10,323 |
| Southern Copper Corp. | 5.375% | 4/16/20 | 5,100 | 5,338 |
| Southern Copper Corp. | 3.500% | 11/8/22 | 4,505 | 4,511 |
| Syngenta Finance NV | 3.125% | 3/28/22 | 7,865 | 7,555 |
| Vale Overseas Ltd. | 4.625% | 9/15/20 | 4,653 | 4,827 |
| Vale Overseas Ltd. | 5.875% | 6/10/21 | 18,128 | 19,374 |
| Vale Overseas Ltd. | 4.375% | 1/11/22 | 33,524 | 34,362 |
| WestRock MWV LLC | 7.375% | 9/1/19 | 950 | 1,012 |
| WestRock RKT Co. | 4.450% | 3/1/19 | 5,550 | 5,641 |
| WestRock RKT Co. | 3.500% | 3/1/20 | 2,770 | 2,802 |
| WestRock RKT Co. | 4.900% | 3/1/22 | 2,206 | 2,334 |
| Weyerhaeuser Co. | 7.375% | 10/1/19 | 6,415 | 6,868 |
| Weyerhaeuser Co. | 4.700% | 3/15/21 | 5,475 | 5,695 |
| Capital Goods (5.2%) | | | | |
| 3M Co. | 1.625% | 6/15/19 | 7,225 | 7,154 |
| 3M Co. | 2.000% | 8/7/20 | 7,675 | 7,571 |
| 3M Co. | 1.625% | 9/19/21 | 7,750 | 7,452 |
| 3M Co. | 2.000% | 6/26/22 | 6,100 | 5,881 |
| 4 ABB Finance USA Inc. | 2.875% | 5/8/22 | 14,552 | 14,498 |
| Acuity Brands Lighting Inc. | 6.000% | 12/15/19 | 4,175 | 4,402 |
| Bemis Co. Inc. | 6.800% | 8/1/19 | 3,550 | 3,742 |
| Bemis Co. Inc. | 4.500% | 10/15/21 | 5,520 | 5,743 |
| Boeing Capital Corp. | 4.700% | 10/27/19 | 6,384 | 6,613 |
| Boeing Co. | 6.000% | 3/15/19 | 6,105 | 6,322 |
| Boeing Co. | 4.875% | 2/15/20 | 12,115 | 12,663 |
| Boeing Co. | 1.650% | 10/30/20 | 6,030 | 5,888 |
| Boeing Co. | 8.750% | 8/15/21 | 1,800 | 2,132 |
| Boeing Co. | 2.350% | 10/30/21 | 6,925 | 6,825 |
| Boeing Co. | 2.125% | 3/1/22 | 3,450 | 3,349 |
| Boeing Co. | 2.800% | 3/1/23 | 3,800 | 3,758 |
| Carlisle Cos. Inc. | 3.750% | 11/15/22 | 3,775 | 3,822 |
| Caterpillar Financial Services Corp. | 1.900% | 3/22/19 | 7,485 | 7,444 |
| Caterpillar Financial Services Corp. | 1.350% | 5/18/19 | 8,103 | 8,000 |
| Caterpillar Financial Services Corp. | 2.100% | 6/9/19 | 17,250 | 17,177 |
| Caterpillar Financial Services Corp. | 2.000% | 11/29/19 | 8,650 | 8,573 |
| Caterpillar Financial Services Corp. | 2.250% | 12/1/19 | 5,267 | 5,238 |
| Caterpillar Financial Services Corp. | 2.100% | 1/10/20 | 11,264 | 11,162 |
| Caterpillar Financial Services Corp. | 2.000% | 3/5/20 | 8,045 | 7,947 |
| Caterpillar Financial Services Corp. | 1.850% | 9/4/20 | 6,075 | 5,937 |
| Caterpillar Financial Services Corp. | 2.500% | 11/13/20 | 4,950 | 4,924 |
| Caterpillar Financial Services Corp. | 1.700% | 8/9/21 | 14,759 | 14,156 |
| Caterpillar Financial Services Corp. | 2.750% | 8/20/21 | 2,000 | 1,984 |
| Caterpillar Financial Services Corp. | 1.931% | 10/1/21 | 9,904 | 9,549 |
| Caterpillar Financial Services Corp. | 2.850% | 6/1/22 | 7,502 | 7,449 |
| Caterpillar Financial Services Corp. | 2.400% | 6/6/22 | 4,475 | 4,355 |
| Caterpillar Financial Services Corp. | 2.550% | 11/29/22 | 9,840 | 9,599 |
| Caterpillar Inc. | 3.900% | 5/27/21 | 18,167 | 18,721 |
| Caterpillar Inc. | 2.600% | 6/26/22 | 4,300 | 4,222 |
| CNH Industrial Capital LLC | 3.375% | 7/15/19 | 2,514 | 2,517 |
| CNH Industrial Capital LLC | 4.375% | 11/6/20 | 7,980 | 8,120 |
| CNH Industrial Capital LLC | 4.875% | 4/1/21 | 5,345 | 5,532 |
| CNH Industrial Capital LLC | 3.875% | 10/15/21 | 8,139 | 8,170 |
| CNH Industrial Capital LLC | 4.375% | 4/5/22 | 7,560 | 7,730 |
| CRH America Inc. | 5.750% | 1/15/21 | 5,359 | 5,738 |
| Deere & Co. | 4.375% | 10/16/19 | 8,872 | 9,126 |
| Deere & Co. | 2.600% | 6/8/22 | 23,315 | 22,890 |
| Dover Corp. | 4.300% | 3/1/21 | 5,150 | 5,313 |
| Eaton Corp. | 6.950% | 3/20/19 | 75 | 78 |
| Eaton Corp. | 2.750% | 11/2/22 | 24,108 | 23,540 |
| Embraer SA | 5.150% | 6/15/22 | 7,743 | 8,137 |
| Emerson Electric Co. | 4.875% | 10/15/19 | 4,441 | 4,600 |
14
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Emerson Electric Co. | 4.250% | 11/15/20 | 5,150 | 5,345 |
| Emerson Electric Co. | 2.625% | 12/1/21 | 8,610 | 8,495 |
| Emerson Electric Co. | 2.625% | 2/15/23 | 3,875 | 3,781 |
| Exelis Inc. | 5.550% | 10/1/21 | 9,010 | 9,669 |
| FLIR Systems Inc. | 3.125% | 6/15/21 | 5,418 | 5,386 |
| Flowserve Corp. | 3.500% | 9/15/22 | 7,130 | 7,010 |
| Fortive Corp. | 1.800% | 6/15/19 | 4,750 | 4,691 |
| Fortive Corp. | 2.350% | 6/15/21 | 10,100 | 9,862 |
| Fortune Brands Home & Security Inc. | 3.000% | 6/15/20 | 4,990 | 4,991 |
| General Dynamics Corp. | 3.875% | 7/15/21 | 3,553 | 3,657 |
| General Dynamics Corp. | 2.250% | 11/15/22 | 17,207 | 16,594 |
| General Electric Co. | 6.000% | 8/7/19 | 19,054 | 19,931 |
| General Electric Co. | 2.100% | 12/11/19 | 3,116 | 3,092 |
| General Electric Co. | 5.500% | 1/8/20 | 17,908 | 18,758 |
| General Electric Co. | 2.200% | 1/9/20 | 18,426 | 18,180 |
| General Electric Co. | 5.550% | 5/4/20 | 11,436 | 12,063 |
| General Electric Co. | 4.375% | 9/16/20 | 16,677 | 17,285 |
| General Electric Co. | 4.625% | 1/7/21 | 15,360 | 15,943 |
| General Electric Co. | 5.300% | 2/11/21 | 17,374 | 18,343 |
| General Electric Co. | 4.650% | 10/17/21 | 13,555 | 14,185 |
| General Electric Co. | 3.150% | 9/7/22 | 14,407 | 14,234 |
| General Electric Co. | 2.700% | 10/9/22 | 42,288 | 40,689 |
| General Electric Co. | 3.100% | 1/9/23 | 21,076 | 20,694 |
| Harris Corp. | 2.700% | 4/27/20 | 7,750 | 7,692 |
| Harris Corp. | 4.400% | 12/15/20 | 5,125 | 5,293 |
| Honeywell International Inc. | 1.400% | 10/30/19 | 8,950 | 8,780 |
| Honeywell International Inc. | 1.800% | 10/30/19 | 11,100 | 10,950 |
| Honeywell International Inc. | 4.250% | 3/1/21 | 9,250 | 9,623 |
| Honeywell International Inc. | 1.850% | 11/1/21 | 21,937 | 21,123 |
| IDEX Corp. | 4.200% | 12/15/21 | 3,175 | 3,186 |
| Illinois Tool Works Inc. | 1.950% | 3/1/19 | 10,073 | 10,020 |
| Illinois Tool Works Inc. | 6.250% | 4/1/19 | 15,476 | 16,096 |
| Illinois Tool Works Inc. | 3.375% | 9/15/21 | 4,902 | 4,976 |
| Ingersoll-Rand Luxembourg Finance SA | 2.625% | 5/1/20 | 3,550 | 3,523 |
| John Deere Capital Corp. | 1.950% | 3/4/19 | 7,320 | 7,283 |
| John Deere Capital Corp. | 2.250% | 4/17/19 | 8,942 | 8,924 |
| John Deere Capital Corp. | 2.300% | 9/16/19 | 3,299 | 3,287 |
| John Deere Capital Corp. | 1.250% | 10/9/19 | 7,150 | 7,007 |
| John Deere Capital Corp. | 1.700% | 1/15/20 | 7,401 | 7,279 |
| John Deere Capital Corp. | 2.050% | 3/10/20 | 7,065 | 6,995 |
| John Deere Capital Corp. | 2.200% | 3/13/20 | 2,500 | 2,475 |
| John Deere Capital Corp. | 1.950% | 6/22/20 | 10,150 | 9,995 |
| John Deere Capital Corp. | 2.375% | 7/14/20 | 5,715 | 5,680 |
| John Deere Capital Corp. | 2.450% | 9/11/20 | 3,500 | 3,475 |
| John Deere Capital Corp. | 2.350% | 1/8/21 | 10,900 | 10,768 |
| John Deere Capital Corp. | 2.550% | 1/8/21 | 5,400 | 5,355 |
| John Deere Capital Corp. | 2.800% | 3/4/21 | 3,723 | 3,704 |
| John Deere Capital Corp. | 3.900% | 7/12/21 | 7,398 | 7,624 |
| John Deere Capital Corp. | 3.150% | 10/15/21 | 5,364 | 5,399 |
| John Deere Capital Corp. | 2.650% | 1/6/22 | 7,300 | 7,192 |
| John Deere Capital Corp. | 2.750% | 3/15/22 | 5,685 | 5,617 |
| John Deere Capital Corp. | 2.150% | 9/8/22 | 4,577 | 4,379 |
| John Deere Capital Corp. | 2.700% | 1/6/23 | 11,750 | 11,489 |
| John Deere Capital Corp. | 2.800% | 1/27/23 | 5,170 | 5,070 |
| Johnson Controls International plc | 5.000% | 3/30/20 | 6,700 | 6,994 |
| Johnson Controls International plc | 4.250% | 3/1/21 | 5,014 | 5,184 |
| Johnson Controls International plc | 3.750% | 12/1/21 | 6,151 | 6,290 |
| Kennametal Inc. | 2.650% | 11/1/19 | 5,074 | 5,037 |
| Kennametal Inc. | 3.875% | 2/15/22 | 3,450 | 3,461 |
| L3 Technologies Inc. | 5.200% | 10/15/19 | 11,517 | 11,922 |
| L3 Technologies Inc. | 4.750% | 7/15/20 | 11,719 | 12,133 |
| L3 Technologies Inc. | 4.950% | 2/15/21 | 12,650 | 13,193 |
| Lockheed Martin Corp. | 4.250% | 11/15/19 | 8,601 | 8,846 |
| Lockheed Martin Corp. | 2.500% | 11/23/20 | 23,412 | 23,193 |
15
Vanguard® Short-Term Corporate Bond Index Fund
Schedule of Investments
February 28, 2018
| | | | |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Lockheed Martin Corp. | 3.350% | 9/15/21 | 10,655 | 10,767 |
| Lockheed Martin Corp. | 3.100% | 1/15/23 | 7,625 | 7,601 |
| Masco Corp. | 7.125% | 3/15/20 | 1,445 | 1,559 |
| Masco Corp. | 3.500% | 4/1/21 | 5,804 | 5,843 |
| Masco Corp. | 5.950% | 3/15/22 | 2,578 | 2,805 |
| Mohawk Industries Inc. | 3.850% | 2/1/23 | 7,169 | 7,289 |
| Northrop Grumman Corp. | 5.050% | 8/1/19 | 2,930 | 3,026 |
| Northrop Grumman Corp. | 2.080% | 10/15/20 | 8,150 | 7,982 |
| Northrop Grumman Corp. | 3.500% | 3/15/21 | 8,025 | 8,127 |
| Northrop Grumman Corp. | 2.550% | 10/15/22 | 21,830 | 21,117 |
| Owens Corning | 4.200% | 12/15/22 | 2,331 | 2,396 |
| Parker-Hannifin Corp. | 3.500% | 9/15/22 | 3,650 | 3,698 |
| Pentair Finance SA | 2.650% | 12/1/19 | 750 | 738 |
| Precision Castparts Corp. | 2.250% | 6/15/20 | 8,235 | 8,168 |
| Precision Castparts Corp. | 2.500% | 1/15/23 | 18,547 | 18,065 |
| Raytheon Co. | 4.400% | 2/15/20 | 8,050 | 8,323 |
| Raytheon Co. | 3.125% | 10/15/20 | 13,370 | 13,507 |
| Raytheon Co. | 2.500% | 12/15/22 | 12,500 | 12,148 |
| Republic Services Inc. | 5.500% | 9/15/19 | 6,995 | 7,289 |
| Republic Services Inc. | 5.000% | 3/1/20 | 10,447 | 10,880 |
| Republic Services Inc. | 5.250% | 11/15/21 | 7,288 | 7,802 |
| Republic Services Inc. | 3.550% | 6/1/22 | 14,512 | 14,667 |
| Rockwell Automation Inc. | 2.050% | 3/1/20 | 5,725 | 5,640 |
| Rockwell Collins Inc. | 1.950% | 7/15/19 | 4,375 | 4,332 |
| Rockwell Collins Inc. | 5.250% | 7/15/19 | 2,750 | 2,836 |
| Rockwell Collins Inc. | 3.100% | 11/15/21 | 1,884 | 1,883 |
| Rockwell Collins Inc. | 2.800% | 3/15/22 | 9,155 | 8,950 |
| Roper Technologies Inc. | 6.250% | 9/1/19 | 5,898 | 6,194 |
| Roper Technologies Inc. | 3.000% | 12/15/20 | 16,281 | 16,307 |
| Roper Technologies Inc. | 2.800% | 12/15/21 | 9,845 | 9,686 |
| Roper Technologies Inc. | 3.125% | 11/15/22 | 2,500 | 2,474 |
| Snap-on Inc. | 6.125% | 9/1/21 | 3,000 | 3,322 |
| Stanley Black & Decker Inc. | 3.400% | 12/1/21 | 4,480 | 4,544 |
| Stanley Black & Decker Inc. | 2.900% | 11/1/22 | 9,874 | 9,768 |
| 1 Stanley Black & Decker Inc. | 5.750% | 12/15/53 | 2,800 | 2,877 |
| United Technologies Corp. | 1.500% | 11/1/19 | 9,200 | 9,041 |
| United Technologies Corp. | 4.500% | 4/15/20 | 19,789 | 20,510 |
| United Technologies Corp. | 1.900% | 5/4/20 | 13,377 | 13,147 |
| United Technologies Corp. | 1.950% | 11/1/21 | 12,950 | 12,453 |
| United Technologies Corp. | 2.300% | 5/4/22 | 250 | 242 |
| United Technologies Corp. | 3.100% | 6/1/22 | 30,312 | 30,217 |
| Waste Management Inc. | 4.750% | 6/30/20 | 11,625 | 12,119 |
| Waste Management Inc. | 4.600% | 3/1/21 | 4,577 | 4,779 |
| Waste Management Inc. | 2.900% | 9/15/22 | 5,800 | 5,747 |
| Xylem Inc. | 4.875% | 10/1/21 | 5,970 | 6,346 |
| Communication (6.3%) | | | | |
| 21st Century Fox America Inc. | 6.900% | 3/1/19 | 7,325 | 7,624 |
| 21st Century Fox America Inc. | 5.650% | 8/15/20 | 7,250 | 7,714 |
| 21st Century Fox America Inc. | 4.500% | 2/15/21 | 14,151 | 14,761 |
| 21st Century Fox America Inc. | 3.000% | 9/15/22 | 15,476 | 15,328 |
| Activision Blizzard Inc. | 2.300% | 9/15/21 | 13,968 | 13,539 |
| Activision Blizzard Inc. | 2.600% | 6/15/22 | 7,150 | 6,913 |
| America Movil SAB de CV | 5.000% | 10/16/19 | 13,610 | 14,073 |
| America Movil SAB de CV | 5.000% | 3/30/20 | 26,535 | 27,559 |
| America Movil SAB de CV | 3.125% | 7/16/22 | 22,272 | 22,062 |
| American Tower Corp. | 2.800% | 6/1/20 | 12,755 | 12,665 |
| American Tower Corp. | 5.050% | 9/1/20 | 9,726 | 10,165 |
| American Tower Corp. | 3.300% | 2/15/21 | 17,527 | 17,559 |
| American Tower Corp. | 3.450% | 9/15/21 | 6,644 | 6,687 |
| American Tower Corp. | 5.900% | 11/1/21 | 6,328 | 6,892 |
| American Tower Corp. | 2.250% | 1/15/22 | 6,205 | 5,935 |
| American Tower Corp. | 4.700% | 3/15/22 | 7,260 | 7,580 |
| American Tower Corp. | 3.500% | 1/31/23 | 13,911 | 13,885 |
16
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| AT&T Inc. | 2.300% | 3/11/19 | 23,091 | 23,073 |
| AT&T Inc. | 5.875% | 10/1/19 | 10,543 | 11,053 |
| AT&T Inc. | 5.200% | 3/15/20 | 15,165 | 15,850 |
| AT&T Inc. | 2.450% | 6/30/20 | 33,380 | 33,023 |
| AT&T Inc. | 4.600% | 2/15/21 | 9,120 | 9,481 |
| AT&T Inc. | 2.800% | 2/17/21 | 23,372 | 23,172 |
| AT&T Inc. | 5.000% | 3/1/21 | 15,445 | 16,245 |
| AT&T Inc. | 4.450% | 5/15/21 | 12,715 | 13,197 |
| AT&T Inc. | 3.875% | 8/15/21 | 18,386 | 18,761 |
| AT&T Inc. | 3.000% | 2/15/22 | 20,545 | 20,274 |
| AT&T Inc. | 3.200% | 3/1/22 | 17,785 | 17,674 |
| AT&T Inc. | 3.800% | 3/15/22 | 13,970 | 14,190 |
| AT&T Inc. | 3.000% | 6/30/22 | 35,730 | 35,132 |
| AT&T Inc. | 2.625% | 12/1/22 | 2,500 | 2,412 |
| AT&T Inc. | 2.850% | 2/14/23 | 24,000 | 23,881 |
| AT&T Inc. | 3.600% | 2/17/23 | 27,110 | 27,197 |
| CBS Corp. | 2.300% | 8/15/19 | 8,471 | 8,418 |
| CBS Corp. | 4.300% | 2/15/21 | 5,475 | 5,633 |
| CBS Corp. | 3.375% | 3/1/22 | 9,456 | 9,427 |
| Charter Communications Operating LLC / Charter | | | | |
| Communications Operating Capital | 3.579% | 7/23/20 | 29,940 | 30,111 |
| Charter Communications Operating LLC / Charter | | | | |
| Communications Operating Capital | 4.464% | 7/23/22 | 42,542 | 43,537 |
| Comcast Cable Communications Holdings Inc. | 9.455% | 11/15/22 | 12,292 | 15,593 |
| Comcast Corp. | 5.700% | 7/1/19 | 11,757 | 12,224 |
| Comcast Corp. | 5.150% | 3/1/20 | 19,964 | 20,890 |
| Comcast Corp. | 1.625% | 1/15/22 | 9,690 | 9,190 |
| Comcast Corp. | 3.125% | 7/15/22 | 9,879 | 9,825 |
| Comcast Corp. | 2.850% | 1/15/23 | 8,547 | 8,428 |
| Crown Castle International Corp. | 3.400% | 2/15/21 | 11,938 | 12,016 |
| Crown Castle International Corp. | 2.250% | 9/1/21 | 11,910 | 11,529 |
| Crown Castle International Corp. | 4.875% | 4/15/22 | 11,551 | 12,151 |
| Crown Castle International Corp. | 5.250% | 1/15/23 | 24,088 | 25,816 |
| Deutsche Telekom International Finance BV | 6.000% | 7/8/19 | 5,675 | 5,917 |
| Discovery Communications LLC | 5.625% | 8/15/19 | 4,430 | 4,608 |
| Discovery Communications LLC | 2.200% | 9/20/19 | 8,400 | 8,297 |
| Discovery Communications LLC | 4.375% | 6/15/21 | 8,600 | 8,859 |
| Discovery Communications LLC | 3.300% | 5/15/22 | 12,859 | 12,769 |
| Electronic Arts Inc. | 3.700% | 3/1/21 | 12,525 | 12,766 |
| Interpublic Group of Cos. Inc. | 3.750% | 2/15/23 | 4,914 | 4,943 |
| Moody's Corp. | 2.750% | 7/15/19 | 8,361 | 8,369 |
| Moody's Corp. | 5.500% | 9/1/20 | 6,100 | 6,460 |
| Moody's Corp. | 2.750% | 12/15/21 | 6,950 | 6,840 |
| Moody's Corp. | 4.500% | 9/1/22 | 5,721 | 5,989 |
| 2 Moody's Corp. | 2.625% | 1/15/23 | 6,808 | 6,582 |
| NBCUniversal Media LLC | 5.150% | 4/30/20 | 34,864 | 36,573 |
| NBCUniversal Media LLC | 4.375% | 4/1/21 | 25,024 | 26,033 |
| NBCUniversal Media LLC | 2.875% | 1/15/23 | 16,114 | 15,880 |
| Omnicom Group Inc. | 6.250% | 7/15/19 | 7,940 | 8,310 |
| Omnicom Group Inc. | 4.450% | 8/15/20 | 13,402 | 13,859 |
| Omnicom Group Inc. | 3.625% | 5/1/22 | 11,657 | 11,795 |
| Orange SA | 2.750% | 2/6/19 | 14,920 | 14,930 |
| Orange SA | 5.375% | 7/8/19 | 13,055 | 13,466 |
| Orange SA | 1.625% | 11/3/19 | 12,000 | 11,763 |
| Orange SA | 4.125% | 9/14/21 | 13,400 | 13,925 |
| RELX Capital Inc. | 3.125% | 10/15/22 | 13,469 | 13,239 |
| S&P Global Inc. | 3.300% | 8/14/20 | 7,922 | 7,993 |
| Scripps Networks Interactive Inc. | 2.750% | 11/15/19 | 6,798 | 6,764 |
| Scripps Networks Interactive Inc. | 2.800% | 6/15/20 | 6,854 | 6,794 |
| Scripps Networks Interactive Inc. | 3.500% | 6/15/22 | 6,095 | 6,052 |
| Telefonica Emisiones SAU | 5.877% | 7/15/19 | 9,311 | 9,684 |
| Telefonica Emisiones SAU | 5.134% | 4/27/20 | 21,872 | 22,805 |
| Telefonica Emisiones SAU | 5.462% | 2/16/21 | 20,807 | 22,157 |
| Telefonos de Mexico SAB de CV | 5.500% | 11/15/19 | 1,750 | 1,826 |
17
Vanguard® Short-Term Corporate Bond Index Fund
Schedule of Investments
February 28, 2018
| | | | |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Thomson Reuters Corp. | 4.700% | 10/15/19 | 4,825 | 4,966 |
| Thomson Reuters Corp. | 3.950% | 9/30/21 | 3,807 | 3,861 |
| Time Warner Cable LLC | 8.750% | 2/14/19 | 17,405 | 18,342 |
| Time Warner Cable LLC | 8.250% | 4/1/19 | 19,812 | 20,877 |
| Time Warner Cable LLC | 5.000% | 2/1/20 | 20,386 | 21,070 |
| Time Warner Cable LLC | 4.125% | 2/15/21 | 11,502 | 11,697 |
| Time Warner Cable LLC | 4.000% | 9/1/21 | 17,324 | 17,543 |
| Time Warner Inc. | 2.100% | 6/1/19 | 6,660 | 6,608 |
| Time Warner Inc. | 4.875% | 3/15/20 | 24,627 | 25,535 |
| Time Warner Inc. | 4.700% | 1/15/21 | 3,175 | 3,310 |
| Time Warner Inc. | 4.750% | 3/29/21 | 15,927 | 16,669 |
| Time Warner Inc. | 4.000% | 1/15/22 | 5,325 | 5,460 |
| Time Warner Inc. | 3.400% | 6/15/22 | 6,526 | 6,521 |
| Verizon Communications Inc. | 2.625% | 2/21/20 | 14,927 | 14,872 |
| Verizon Communications Inc. | 3.450% | 3/15/21 | 12,967 | 13,133 |
| Verizon Communications Inc. | 4.600% | 4/1/21 | 8,404 | 8,806 |
| Verizon Communications Inc. | 1.750% | 8/15/21 | 10,745 | 10,279 |
| Verizon Communications Inc. | 3.000% | 11/1/21 | 22,725 | 22,596 |
| Verizon Communications Inc. | 3.500% | 11/1/21 | 23,273 | 23,548 |
| Verizon Communications Inc. | 2.946% | 3/15/22 | 43,979 | 43,463 |
| Verizon Communications Inc. | 3.125% | 3/16/22 | 27,344 | 27,166 |
| Verizon Communications Inc. | 2.450% | 11/1/22 | 19,252 | 18,518 |
| Viacom Inc. | 5.625% | 9/15/19 | 10,150 | 10,557 |
| Viacom Inc. | 2.750% | 12/15/19 | 1,323 | 1,315 |
| Viacom Inc. | 3.875% | 12/15/21 | 7,264 | 7,394 |
| Vodafone Group plc | 5.450% | 6/10/19 | 11,842 | 12,258 |
| Vodafone Group plc | 4.375% | 3/16/21 | 7,449 | 7,732 |
| Vodafone Group plc | 2.500% | 9/26/22 | 14,892 | 14,379 |
| Vodafone Group plc | 2.950% | 2/19/23 | 21,664 | 21,243 |
| Walt Disney Co. | 5.500% | 3/15/19 | 2,180 | 2,248 |
| Walt Disney Co. | 1.850% | 5/30/19 | 12,345 | 12,268 |
| Walt Disney Co. | 0.875% | 7/12/19 | 8,425 | 8,227 |
| Walt Disney Co. | 1.950% | 3/4/20 | 14,550 | 14,389 |
| Walt Disney Co. | 1.800% | 6/5/20 | 6,150 | 6,040 |
| Walt Disney Co. | 2.150% | 9/17/20 | 12,175 | 12,024 |
| Walt Disney Co. | 2.300% | 2/12/21 | 10,323 | 10,185 |
| Walt Disney Co. | 3.750% | 6/1/21 | 4,050 | 4,167 |
| Walt Disney Co. | 2.750% | 8/16/21 | 10,141 | 10,108 |
| Walt Disney Co. | 2.550% | 2/15/22 | 1,725 | 1,700 |
| Walt Disney Co. | 2.450% | 3/4/22 | 6,515 | 6,408 |
| Walt Disney Co. | 2.350% | 12/1/22 | 16,537 | 16,008 |
| WPP Finance 2010 | 4.750% | 11/21/21 | 11,823 | 12,427 |
| WPP Finance 2010 | 3.625% | 9/7/22 | 6,370 | 6,416 |
| Consumer Cyclical (7.7%) | | | | |
| Advance Auto Parts Inc. | 5.750% | 5/1/20 | 2,175 | 2,287 |
| Advance Auto Parts Inc. | 4.500% | 1/15/22 | 5,050 | 5,222 |
| Alibaba Group Holding Ltd. | 2.500% | 11/28/19 | 27,550 | 27,424 |
| Alibaba Group Holding Ltd. | 3.125% | 11/28/21 | 19,800 | 19,807 |
| Amazon.com Inc. | 2.600% | 12/5/19 | 17,729 | 17,735 |
| 2 Amazon.com Inc. | 1.900% | 8/21/20 | 10,800 | 10,570 |
| Amazon.com Inc. | 3.300% | 12/5/21 | 7,243 | 7,336 |
| Amazon.com Inc. | 2.500% | 11/29/22 | 16,591 | 16,199 |
| 2 Amazon.com Inc. | 2.400% | 2/22/23 | 18,575 | 17,915 |
| American Honda Finance Corp. | 1.200% | 7/12/19 | 12,189 | 11,970 |
| American Honda Finance Corp. | 2.250% | 8/15/19 | 13,663 | 13,585 |
| American Honda Finance Corp. | 2.000% | 11/13/19 | 9,000 | 8,921 |
| American Honda Finance Corp. | 2.000% | 2/14/20 | 10,334 | 10,197 |
| American Honda Finance Corp. | 2.150% | 3/13/20 | 4,845 | 4,784 |
| American Honda Finance Corp. | 1.950% | 7/20/20 | 13,350 | 13,096 |
| American Honda Finance Corp. | 2.450% | 9/24/20 | 16,140 | 15,977 |
| American Honda Finance Corp. | 2.650% | 2/12/21 | 6,750 | 6,719 |
| American Honda Finance Corp. | 1.650% | 7/12/21 | 7,250 | 6,947 |
| American Honda Finance Corp. | 1.700% | 9/9/21 | 15,056 | 14,414 |
18
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| American Honda Finance Corp. | 2.600% | 11/16/22 | 9,000 | 8,794 |
| Aptiv plc | 3.150% | 11/19/20 | 4,050 | 4,056 |
| Automatic Data Processing Inc. | 2.250% | 9/15/20 | 16,726 | 16,564 |
| AutoNation Inc. | 5.500% | 2/1/20 | 3,768 | 3,924 |
| AutoNation Inc. | 3.350% | 1/15/21 | 5,725 | 5,733 |
| AutoZone Inc. | 4.000% | 11/15/20 | 2,484 | 2,547 |
| AutoZone Inc. | 3.700% | 4/15/22 | 9,927 | 10,056 |
| AutoZone Inc. | 2.875% | 1/15/23 | 5,079 | 4,936 |
| Best Buy Co. Inc. | 5.500% | 3/15/21 | 9,060 | 9,615 |
| Block Financial LLC | 4.125% | 10/1/20 | 14,848 | 15,091 |
| Block Financial LLC | 5.500% | 11/1/22 | 1,175 | 1,242 |
| BorgWarner Inc. | 4.625% | 9/15/20 | 575 | 597 |
| Carnival Corp. | 3.950% | 10/15/20 | 7,620 | 7,822 |
| Costco Wholesale Corp. | 1.700% | 12/15/19 | 16,754 | 16,548 |
| Costco Wholesale Corp. | 1.750% | 2/15/20 | 5,835 | 5,749 |
| Costco Wholesale Corp. | 2.150% | 5/18/21 | 14,706 | 14,443 |
| Costco Wholesale Corp. | 2.250% | 2/15/22 | 8,335 | 8,153 |
| Costco Wholesale Corp. | 2.300% | 5/18/22 | 14,775 | 14,398 |
| DR Horton Inc. | 3.750% | 3/1/19 | 9,045 | 9,125 |
| DR Horton Inc. | 4.000% | 2/15/20 | 3,928 | 4,013 |
| DR Horton Inc. | 2.550% | 12/1/20 | 6,500 | 6,421 |
| DR Horton Inc. | 4.375% | 9/15/22 | 5,955 | 6,175 |
| DR Horton Inc. | 4.750% | 2/15/23 | 2,750 | 2,892 |
| eBay Inc. | 2.200% | 8/1/19 | 6,554 | 6,522 |
| eBay Inc. | 2.150% | 6/5/20 | 11,915 | 11,739 |
| eBay Inc. | 3.250% | 10/15/20 | 7,665 | 7,725 |
| eBay Inc. | 2.875% | 8/1/21 | 9,542 | 9,450 |
| eBay Inc. | 3.800% | 3/9/22 | 10,383 | 10,558 |
| eBay Inc. | 2.600% | 7/15/22 | 12,016 | 11,634 |
| eBay Inc. | 2.750% | 1/30/23 | 10,000 | 9,678 |
| Expedia Inc. | 5.950% | 8/15/20 | 8,168 | 8,686 |
| Ford Motor Credit Co. LLC | 2.375% | 3/12/19 | 16,992 | 16,912 |
| Ford Motor Credit Co. LLC | 2.262% | 3/28/19 | 6,000 | 5,962 |
| Ford Motor Credit Co. LLC | 2.021% | 5/3/19 | 12,688 | 12,562 |
| Ford Motor Credit Co. LLC | 1.897% | 8/12/19 | 11,130 | 10,965 |
| Ford Motor Credit Co. LLC | 2.597% | 11/4/19 | 19,627 | 19,498 |
| Ford Motor Credit Co. LLC | 2.681% | 1/9/20 | 17,650 | 17,524 |
| Ford Motor Credit Co. LLC | 8.125% | 1/15/20 | 13,475 | 14,656 |
| Ford Motor Credit Co. LLC | 2.459% | 3/27/20 | 12,618 | 12,419 |
| Ford Motor Credit Co. LLC | 2.425% | 6/12/20 | 225 | 221 |
| Ford Motor Credit Co. LLC | 3.157% | 8/4/20 | 22,457 | 22,372 |
| Ford Motor Credit Co. LLC | 2.343% | 11/2/20 | 14,100 | 13,747 |
| Ford Motor Credit Co. LLC | 3.200% | 1/15/21 | 22,008 | 21,861 |
| Ford Motor Credit Co. LLC | 5.750% | 2/1/21 | 13,460 | 14,294 |
| Ford Motor Credit Co. LLC | 3.336% | 3/18/21 | 26,546 | 26,387 |
| Ford Motor Credit Co. LLC | 5.875% | 8/2/21 | 21,767 | 23,312 |
| Ford Motor Credit Co. LLC | 3.219% | 1/9/22 | 21,690 | 21,374 |
| Ford Motor Credit Co. LLC | 3.339% | 3/28/22 | 13,640 | 13,436 |
| Ford Motor Credit Co. LLC | 2.979% | 8/3/22 | 11,600 | 11,198 |
| Ford Motor Credit Co. LLC | 4.250% | 9/20/22 | 7,950 | 8,099 |
| General Motors Financial Co. Inc. | 2.400% | 5/9/19 | 20,445 | 20,350 |
| General Motors Financial Co. Inc. | 3.500% | 7/10/19 | 11,282 | 11,365 |
| General Motors Financial Co. Inc. | 2.350% | 10/4/19 | 10,718 | 10,619 |
| General Motors Financial Co. Inc. | 3.150% | 1/15/20 | 13,384 | 13,408 |
| General Motors Financial Co. Inc. | 2.650% | 4/13/20 | 17,280 | 17,129 |
| General Motors Financial Co. Inc. | 3.200% | 7/13/20 | 29,756 | 29,755 |
| General Motors Financial Co. Inc. | 2.450% | 11/6/20 | 12,500 | 12,248 |
| General Motors Financial Co. Inc. | 3.700% | 11/24/20 | 15,579 | 15,756 |
| General Motors Financial Co. Inc. | 4.200% | 3/1/21 | 23,096 | 23,635 |
| General Motors Financial Co. Inc. | 3.200% | 7/6/21 | 17,755 | 17,624 |
| General Motors Financial Co. Inc. | 4.375% | 9/25/21 | 14,950 | 15,377 |
| General Motors Financial Co. Inc. | 3.450% | 1/14/22 | 17,047 | 16,969 |
| General Motors Financial Co. Inc. | 3.450% | 4/10/22 | 19,939 | 19,782 |
| General Motors Financial Co. Inc. | 3.150% | 6/30/22 | 12,950 | 12,653 |
19
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| General Motors Financial Co. Inc. | 3.250% | 1/5/23 | 8,000 | 7,835 |
| Home Depot Inc. | 2.000% | 6/15/19 | 16,882 | 16,799 |
| Home Depot Inc. | 1.800% | 6/5/20 | 13,250 | 13,020 |
| Home Depot Inc. | 3.950% | 9/15/20 | 4,251 | 4,374 |
| Home Depot Inc. | 2.000% | 4/1/21 | 17,621 | 17,205 |
| Home Depot Inc. | 4.400% | 4/1/21 | 12,605 | 13,162 |
| Home Depot Inc. | 2.625% | 6/1/22 | 8,108 | 7,991 |
| Hyatt Hotels Corp. | 5.375% | 8/15/21 | 2,125 | 2,261 |
| JD.com Inc. | 3.125% | 4/29/21 | 6,700 | 6,603 |
| Kohl's Corp. | 4.000% | 11/1/21 | 7,395 | 7,535 |
| Kohl's Corp. | 3.250% | 2/1/23 | 6,425 | 6,316 |
| Lowe's Cos. Inc. | 1.150% | 4/15/19 | 4,500 | 4,432 |
| Lowe's Cos. Inc. | 4.625% | 4/15/20 | 8,295 | 8,555 |
| Lowe's Cos. Inc. | 3.750% | 4/15/21 | 4,293 | 4,391 |
| Lowe's Cos. Inc. | 3.800% | 11/15/21 | 9,598 | 9,877 |
| Lowe's Cos. Inc. | 3.120% | 4/15/22 | 9,092 | 9,131 |
| Macy's Retail Holdings Inc. | 3.450% | 1/15/21 | 5,200 | 5,169 |
| Macy's Retail Holdings Inc. | 3.875% | 1/15/22 | 7,950 | 7,918 |
| Macy's Retail Holdings Inc. | 2.875% | 2/15/23 | 11,668 | 10,870 |
| Marriott International Inc. | 3.000% | 3/1/19 | 11,821 | 11,847 |
| Marriott International Inc. | 3.375% | 10/15/20 | 5,825 | 5,819 |
| Marriott International Inc. | 2.875% | 3/1/21 | 4,140 | 4,115 |
| Marriott International Inc. | 3.125% | 10/15/21 | 2,750 | 2,743 |
| Marriott International Inc. | 2.300% | 1/15/22 | 13,915 | 13,414 |
| Marriott International Inc. | 3.250% | 9/15/22 | 3,050 | 3,044 |
| Mastercard Inc. | 2.000% | 4/1/19 | 5,232 | 5,207 |
| Mastercard Inc. | 2.000% | 11/21/21 | 9,488 | 9,194 |
| McDonald's Corp. | 1.875% | 5/29/19 | 7,134 | 7,076 |
| McDonald's Corp. | 2.200% | 5/26/20 | 9,670 | 9,576 |
| McDonald's Corp. | 3.500% | 7/15/20 | 5,825 | 5,914 |
| McDonald's Corp. | 2.750% | 12/9/20 | 19,399 | 19,374 |
| McDonald's Corp. | 3.625% | 5/20/21 | 5,246 | 5,334 |
| McDonald's Corp. | 2.625% | 1/15/22 | 15,491 | 15,225 |
| Nordstrom Inc. | 4.750% | 5/1/20 | 5,695 | 5,846 |
| Nordstrom Inc. | 4.000% | 10/15/21 | 5,900 | 5,979 |
| NVR Inc. | 3.950% | 9/15/22 | 5,102 | 5,232 |
| O'Reilly Automotive Inc. | 4.875% | 1/14/21 | 5,715 | 5,980 |
| O'Reilly Automotive Inc. | 4.625% | 9/15/21 | 5,036 | 5,265 |
| O'Reilly Automotive Inc. | 3.800% | 9/1/22 | 5,750 | 5,872 |
| PACCAR Financial Corp. | 1.300% | 5/10/19 | 8,850 | 8,740 |
| PACCAR Financial Corp. | 2.200% | 9/15/19 | 1,850 | 1,842 |
| PACCAR Financial Corp. | 2.500% | 8/14/20 | 3,000 | 2,985 |
| PACCAR Financial Corp. | 2.050% | 11/13/20 | 7,650 | 7,511 |
| PACCAR Financial Corp. | 2.250% | 2/25/21 | 2,680 | 2,629 |
| PACCAR Financial Corp. | 2.800% | 3/1/21 | 5,000 | 5,002 |
| QVC Inc. | 3.125% | 4/1/19 | 2,250 | 2,247 |
| QVC Inc. | 5.125% | 7/2/22 | 7,447 | 7,711 |
| Ralph Lauren Corp. | 2.625% | 8/18/20 | 3,750 | 3,732 |
| Royal Caribbean Cruises Ltd. | 2.650% | 11/28/20 | 4,435 | 4,374 |
| Royal Caribbean Cruises Ltd. | 5.250% | 11/15/22 | 8,225 | 8,821 |
| Starbucks Corp. | 2.200% | 11/22/20 | 6,550 | 6,482 |
| Starbucks Corp. | 2.100% | 2/4/21 | 12,739 | 12,520 |
| Starbucks Corp. | 2.700% | 6/15/22 | 2,075 | 2,050 |
| Tapestry Inc. | 3.000% | 7/15/22 | 5,525 | 5,397 |
| Target Corp. | 2.300% | 6/26/19 | 8,827 | 8,805 |
| Target Corp. | 3.875% | 7/15/20 | 15,960 | 16,418 |
| Target Corp. | 2.900% | 1/15/22 | 14,510 | 14,532 |
| TJX Cos. Inc. | 2.750% | 6/15/21 | 11,610 | 11,599 |
| Toyota Motor Credit Corp. | 1.400% | 5/20/19 | 14,011 | 13,826 |
| Toyota Motor Credit Corp. | 2.125% | 7/18/19 | 12,405 | 12,334 |
| Toyota Motor Credit Corp. | 1.550% | 10/18/19 | 14,175 | 13,950 |
| Toyota Motor Credit Corp. | 2.200% | 1/10/20 | 18,725 | 18,605 |
| Toyota Motor Credit Corp. | 2.150% | 3/12/20 | 18,748 | 18,564 |
| Toyota Motor Credit Corp. | 1.950% | 4/17/20 | 16,000 | 15,760 |
20
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Toyota Motor Credit Corp. | 4.500% | 6/17/20 | 4,250 | 4,419 |
| Toyota Motor Credit Corp. | 4.250% | 1/11/21 | 4,875 | 5,063 |
| Toyota Motor Credit Corp. | 1.900% | 4/8/21 | 16,572 | 16,077 |
| Toyota Motor Credit Corp. | 2.750% | 5/17/21 | 5,859 | 5,838 |
| Toyota Motor Credit Corp. | 3.400% | 9/15/21 | 12,677 | 12,882 |
| Toyota Motor Credit Corp. | 2.600% | 1/11/22 | 15,133 | 14,899 |
| Toyota Motor Credit Corp. | 3.300% | 1/12/22 | 18,502 | 18,671 |
| Toyota Motor Credit Corp. | 2.800% | 7/13/22 | 9,972 | 9,876 |
| Toyota Motor Credit Corp. | 2.150% | 9/8/22 | 13,212 | 12,688 |
| Toyota Motor Credit Corp. | 2.625% | 1/10/23 | 9,119 | 8,930 |
| Toyota Motor Credit Corp. | 2.700% | 1/11/23 | 10,000 | 9,853 |
| VF Corp. | 3.500% | 9/1/21 | 4,150 | 4,218 |
| Visa Inc. | 2.200% | 12/14/20 | 42,086 | 41,508 |
| Visa Inc. | 2.150% | 9/15/22 | 12,200 | 11,719 |
| Visa Inc. | 2.800% | 12/14/22 | 32,715 | 32,298 |
| Walgreen Co. | 3.100% | 9/15/22 | 16,638 | 16,334 |
| Walgreens Boots Alliance Inc. | 2.700% | 11/18/19 | 19,607 | 19,584 |
| Walgreens Boots Alliance Inc. | 3.300% | 11/18/21 | 14,100 | 14,126 |
| Walmart Inc. | 1.750% | 10/9/19 | 18,212 | 18,047 |
| Walmart Inc. | 3.250% | 10/25/20 | 26,597 | 27,071 |
| Walmart Inc. | 1.900% | 12/15/20 | 29,070 | 28,504 |
| Walmart Inc. | 2.350% | 12/15/22 | 16,400 | 15,950 |
| Western Union Co. | 5.253% | 4/1/20 | 2,825 | 2,949 |
| Western Union Co. | 3.600% | 3/15/22 | 12,370 | 12,394 |
| Wyndham Worldwide Corp. | 5.625% | 3/1/21 | 500 | 527 |
| Wyndham Worldwide Corp. | 4.250% | 3/1/22 | 5,350 | 5,352 |
| Consumer Noncyclical (14.2%) | | | | |
| Abbott Laboratories | 5.125% | 4/1/19 | 5,242 | 5,386 |
| Abbott Laboratories | 2.350% | 11/22/19 | 46,580 | 46,355 |
| Abbott Laboratories | 2.000% | 3/15/20 | 10,650 | 10,479 |
| Abbott Laboratories | 4.125% | 5/27/20 | 7,190 | 7,381 |
| Abbott Laboratories | 2.800% | 9/15/20 | 6,295 | 6,281 |
| Abbott Laboratories | 2.900% | 11/30/21 | 50,203 | 49,858 |
| Abbott Laboratories | 2.550% | 3/15/22 | 9,108 | 8,872 |
| AbbVie Inc. | 2.500% | 5/14/20 | 60,080 | 59,623 |
| AbbVie Inc. | 2.300% | 5/14/21 | 26,111 | 25,491 |
| AbbVie Inc. | 2.900% | 11/6/22 | 42,427 | 41,500 |
| AbbVie Inc. | 3.200% | 11/6/22 | 14,748 | 14,635 |
| Actavis Inc. | 3.250% | 10/1/22 | 18,085 | 17,828 |
| Agilent Technologies Inc. | 5.000% | 7/15/20 | 5,975 | 6,252 |
| Agilent Technologies Inc. | 3.200% | 10/1/22 | 6,450 | 6,380 |
| Allergan Funding SCS | 2.450% | 6/15/19 | 6,979 | 6,944 |
| Allergan Funding SCS | 3.000% | 3/12/20 | 49,180 | 49,127 |
| Allergan Funding SCS | 3.450% | 3/15/22 | 40,065 | 39,843 |
| Allergan Inc. | 3.375% | 9/15/20 | 9,143 | 9,204 |
| Altria Group Inc. | 9.250% | 8/6/19 | 11,322 | 12,365 |
| Altria Group Inc. | 2.625% | 1/14/20 | 12,293 | 12,250 |
| Altria Group Inc. | 4.750% | 5/5/21 | 22,321 | 23,471 |
| Altria Group Inc. | 2.850% | 8/9/22 | 30,953 | 30,434 |
| AmerisourceBergen Corp. | 3.500% | 11/15/21 | 9,555 | 9,633 |
| Amgen Inc. | 1.900% | 5/10/19 | 13,559 | 13,463 |
| Amgen Inc. | 2.200% | 5/22/19 | 15,272 | 15,212 |
| Amgen Inc. | 4.500% | 3/15/20 | 1,936 | 1,999 |
| Amgen Inc. | 2.125% | 5/1/20 | 12,238 | 12,046 |
| Amgen Inc. | 2.200% | 5/11/20 | 12,179 | 12,012 |
| Amgen Inc. | 3.450% | 10/1/20 | 11,997 | 12,142 |
| Amgen Inc. | 4.100% | 6/15/21 | 10,070 | 10,406 |
| Amgen Inc. | 1.850% | 8/19/21 | 9,628 | 9,237 |
| Amgen Inc. | 3.875% | 11/15/21 | 21,493 | 22,006 |
| Amgen Inc. | 2.700% | 5/1/22 | 5,172 | 5,060 |
| Amgen Inc. | 2.650% | 5/11/22 | 18,800 | 18,362 |
| Amgen Inc. | 3.625% | 5/15/22 | 16,775 | 17,014 |
| Anheuser-Busch Cos. LLC | 5.000% | 3/1/19 | 6,406 | 6,555 |
21
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Anheuser-Busch InBev Finance Inc. | 2.650% | 2/1/21 | 94,965 | 94,108 |
| Anheuser-Busch InBev Finance Inc. | 2.625% | 1/17/23 | 1,525 | 1,480 |
| Anheuser-Busch InBev Finance Inc. | 3.300% | 2/1/23 | 95,399 | 95,275 |
| Anheuser-Busch InBev Worldwide Inc. | 6.875% | 11/15/19 | 14,184 | 15,168 |
| Anheuser-Busch InBev Worldwide Inc. | 5.375% | 1/15/20 | 38,166 | 39,951 |
| Anheuser-Busch InBev Worldwide Inc. | 5.000% | 4/15/20 | 10,700 | 11,184 |
| Anheuser-Busch InBev Worldwide Inc. | 4.375% | 2/15/21 | 4,400 | 4,563 |
| Anheuser-Busch InBev Worldwide Inc. | 3.750% | 1/15/22 | 33,700 | 34,370 |
| Anheuser-Busch InBev Worldwide Inc. | 2.500% | 7/15/22 | 45,735 | 44,386 |
| 2 Anheuser-Busch North American Holding Corp. | 3.750% | 1/15/22 | 750 | 765 |
| Archer-Daniels-Midland Co. | 4.479% | 3/1/21 | 6,633 | 6,909 |
| AstraZeneca plc | 1.950% | 9/18/19 | 8,388 | 8,294 |
| AstraZeneca plc | 2.375% | 11/16/20 | 18,740 | 18,496 |
| AstraZeneca plc | 2.375% | 6/12/22 | 15,750 | 15,229 |
| 2 BAT Capital Corp. | 2.297% | 8/14/20 | 35,107 | 34,475 |
| 2 BAT Capital Corp. | 2.764% | 8/15/22 | 27,375 | 26,596 |
| Baxalta Inc. | 2.875% | 6/23/20 | 14,949 | 14,878 |
| Baxalta Inc. | 3.600% | 6/23/22 | 7,195 | 7,209 |
| Baxter International Inc. | 1.700% | 8/15/21 | 4,650 | 4,451 |
| Beam Suntory Inc. | 3.250% | 5/15/22 | 2,450 | 2,433 |
| Becton Dickinson & Co. | 2.133% | 6/6/19 | 16,200 | 16,079 |
| Becton Dickinson & Co. | 2.675% | 12/15/19 | 15,693 | 15,665 |
| Becton Dickinson & Co. | 2.404% | 6/5/20 | 14,150 | 13,919 |
| Becton Dickinson & Co. | 3.250% | 11/12/20 | 9,812 | 9,815 |
| 2 Becton Dickinson & Co. | 4.400% | 1/15/21 | 4,393 | 4,496 |
| Becton Dickinson & Co. | 3.125% | 11/8/21 | 5,945 | 5,882 |
| Becton Dickinson & Co. | 2.894% | 6/6/22 | 23,725 | 23,115 |
| Bio-Rad Laboratories Inc. | 4.875% | 12/15/20 | 5,800 | 6,041 |
| Biogen Inc. | 2.900% | 9/15/20 | 24,031 | 24,009 |
| Biogen Inc. | 3.625% | 9/15/22 | 11,735 | 11,875 |
| Boston Scientific Corp. | 6.000% | 1/15/20 | 9,954 | 10,504 |
| Boston Scientific Corp. | 2.850% | 5/15/20 | 4,586 | 4,570 |
| Boston Scientific Corp. | 3.375% | 5/15/22 | 6,775 | 6,753 |
| Bristol-Myers Squibb Co. | 1.750% | 3/1/19 | 6,270 | 6,234 |
| Bristol-Myers Squibb Co. | 2.000% | 8/1/22 | 10,823 | 10,371 |
| Bunge Ltd. Finance Corp. | 8.500% | 6/15/19 | 10,590 | 11,315 |
| Bunge Ltd. Finance Corp. | 3.500% | 11/24/20 | 4,315 | 4,338 |
| Bunge Ltd. Finance Corp. | 3.000% | 9/25/22 | 12,025 | 11,700 |
| Campbell Soup Co. | 4.250% | 4/15/21 | 2,412 | 2,491 |
| Campbell Soup Co. | 2.500% | 8/2/22 | 7,400 | 7,147 |
| Cardinal Health Inc. | 1.948% | 6/14/19 | 13,150 | 13,020 |
| Cardinal Health Inc. | 2.400% | 11/15/19 | 1,390 | 1,381 |
| Cardinal Health Inc. | 4.625% | 12/15/20 | 8,300 | 8,635 |
| Cardinal Health Inc. | 2.616% | 6/15/22 | 18,418 | 17,762 |
| Cardinal Health Inc. | 3.200% | 6/15/22 | 1,942 | 1,919 |
| Catholic Health Initiatives Colorado GO | 2.950% | 11/1/22 | 6,290 | 6,114 |
| Celgene Corp. | 2.250% | 5/15/19 | 8,641 | 8,597 |
| Celgene Corp. | 2.875% | 8/15/20 | 20,684 | 20,634 |
| Celgene Corp. | 3.950% | 10/15/20 | 7,300 | 7,466 |
| Celgene Corp. | 2.875% | 2/19/21 | 7,000 | 6,970 |
| Celgene Corp. | 3.250% | 8/15/22 | 18,394 | 18,289 |
| Celgene Corp. | 3.550% | 8/15/22 | 13,421 | 13,493 |
| Celgene Corp. | 2.750% | 2/15/23 | 14,035 | 13,573 |
| Celgene Corp. | 3.250% | 2/20/23 | 10,000 | 9,910 |
| Church & Dwight Co. Inc. | 2.450% | 12/15/19 | 3,325 | 3,318 |
| Church & Dwight Co. Inc. | 2.450% | 8/1/22 | 4,760 | 4,609 |
| Church & Dwight Co. Inc. | 2.875% | 10/1/22 | 875 | 859 |
| Clorox Co. | 3.800% | 11/15/21 | 2,900 | 2,967 |
| Clorox Co. | 3.050% | 9/15/22 | 9,315 | 9,284 |
| Coca-Cola Co. | 1.375% | 5/30/19 | 9,537 | 9,425 |
| Coca-Cola Co. | 1.875% | 10/27/20 | 19,587 | 19,192 |
| Coca-Cola Co. | 2.450% | 11/1/20 | 17,494 | 17,414 |
| Coca-Cola Co. | 3.150% | 11/15/20 | 14,200 | 14,370 |
| Coca-Cola Co. | 1.550% | 9/1/21 | 14,275 | 13,691 |
22
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Coca-Cola Co. | 3.300% | 9/1/21 | 15,864 | 16,108 |
| Coca-Cola Co. | 2.200% | 5/25/22 | 10,879 | 10,574 |
| Coca-Cola Enterprises Inc. | 3.500% | 9/15/20 | 5,635 | 5,721 |
| Coca-Cola Enterprises Inc. | 3.250% | 8/19/21 | 674 | 675 |
| Coca-Cola Enterprises Inc. | 4.500% | 9/1/21 | 4,925 | 5,111 |
| Coca-Cola Femsa SAB de CV | 4.625% | 2/15/20 | 2,175 | 2,249 |
| Colgate-Palmolive Co. | 1.750% | 3/15/19 | 7,119 | 7,070 |
| Colgate-Palmolive Co. | 2.450% | 11/15/21 | 5,395 | 5,330 |
| Colgate-Palmolive Co. | 2.300% | 5/3/22 | 6,989 | 6,828 |
| Colgate-Palmolive Co. | 2.250% | 11/15/22 | 5,625 | 5,454 |
| Colgate-Palmolive Co. | 1.950% | 2/1/23 | 5,000 | 4,753 |
| Conagra Brands Inc. | 3.250% | 9/15/22 | 2,675 | 2,640 |
| Conagra Brands Inc. | 3.200% | 1/25/23 | 12,313 | 12,198 |
| Constellation Brands Inc. | 2.000% | 11/7/19 | 7,094 | 7,011 |
| Constellation Brands Inc. | 3.875% | 11/15/19 | 6,975 | 7,101 |
| Constellation Brands Inc. | 2.250% | 11/6/20 | 7,000 | 6,863 |
| Constellation Brands Inc. | 3.750% | 5/1/21 | 5,933 | 6,047 |
| Constellation Brands Inc. | 2.700% | 5/9/22 | 12,250 | 11,932 |
| Constellation Brands Inc. | 2.650% | 11/7/22 | 12,700 | 12,275 |
| Constellation Brands Inc. | 3.200% | 2/15/23 | 8,200 | 8,111 |
| Covidien International Finance SA | 4.200% | 6/15/20 | 10,135 | 10,459 |
| Covidien International Finance SA | 3.200% | 6/15/22 | 7,075 | 7,092 |
| CR Bard Inc. | 4.400% | 1/15/21 | 60 | 61 |
| CVS Health Corp. | 2.250% | 8/12/19 | 12,685 | 12,577 |
| CVS Health Corp. | 2.800% | 7/20/20 | 41,384 | 41,049 |
| CVS Health Corp. | 2.125% | 6/1/21 | 23,698 | 22,863 |
| CVS Health Corp. | 3.500% | 7/20/22 | 18,742 | 18,667 |
| CVS Health Corp. | 2.750% | 12/1/22 | 22,837 | 22,017 |
| CVS Health Corp. | 4.750% | 12/1/22 | 3,424 | 3,588 |
| Danaher Corp. | 2.400% | 9/15/20 | 6,013 | 5,977 |
| Diageo Capital plc | 4.828% | 7/15/20 | 5,660 | 5,946 |
| Diageo Investment Corp. | 2.875% | 5/11/22 | 16,250 | 16,140 |
| Dignity Health California GO | 2.637% | 11/1/19 | 2,450 | 2,438 |
| Dignity Health California GO | 3.125% | 11/1/22 | 2,633 | 2,592 |
| Dr Pepper Snapple Group Inc. | 2.530% | 11/15/21 | 1,000 | 974 |
| Eli Lilly & Co. | 1.950% | 3/15/19 | 8,166 | 8,131 |
| Eli Lilly & Co. | 2.350% | 5/15/22 | 6,946 | 6,767 |
| Estee Lauder Cos. Inc. | 1.800% | 2/7/20 | 7,350 | 7,237 |
| Estee Lauder Cos. Inc. | 1.700% | 5/10/21 | 7,959 | 7,674 |
| Express Scripts Holding Co. | 2.250% | 6/15/19 | 16,194 | 16,098 |
| Express Scripts Holding Co. | 2.600% | 11/30/20 | 8,600 | 8,488 |
| Express Scripts Holding Co. | 3.300% | 2/25/21 | 14,000 | 14,041 |
| Express Scripts Holding Co. | 4.750% | 11/15/21 | 26,721 | 28,008 |
| Express Scripts Holding Co. | 3.900% | 2/15/22 | 11,228 | 11,447 |
| Express Scripts Holding Co. | 3.050% | 11/30/22 | 6,536 | 6,414 |
| Express Scripts Inc. | 7.250% | 6/15/19 | 750 | 791 |
| Flowers Foods Inc. | 4.375% | 4/1/22 | 4,895 | 5,057 |
| General Mills Inc. | 2.200% | 10/21/19 | 11,768 | 11,690 |
| General Mills Inc. | 3.150% | 12/15/21 | 12,025 | 12,027 |
| General Mills Inc. | 2.600% | 10/12/22 | 9,000 | 8,718 |
| Genzyme Corp. | 5.000% | 6/15/20 | 1,169 | 1,226 |
| Gilead Sciences Inc. | 2.050% | 4/1/19 | 5,438 | 5,414 |
| Gilead Sciences Inc. | 1.850% | 9/20/19 | 11,630 | 11,542 |
| Gilead Sciences Inc. | 2.350% | 2/1/20 | 9,094 | 9,040 |
| Gilead Sciences Inc. | 2.550% | 9/1/20 | 29,447 | 29,244 |
| Gilead Sciences Inc. | 4.500% | 4/1/21 | 17,346 | 18,114 |
| Gilead Sciences Inc. | 4.400% | 12/1/21 | 20,035 | 20,945 |
| Gilead Sciences Inc. | 1.950% | 3/1/22 | 6,600 | 6,320 |
| Gilead Sciences Inc. | 3.250% | 9/1/22 | 14,190 | 14,232 |
| GlaxoSmithKline Capital plc | 2.850% | 5/8/22 | 24,693 | 24,549 |
| Hasbro Inc. | 3.150% | 5/15/21 | 4,350 | 4,330 |
| Hershey Co. | 4.125% | 12/1/20 | 4,625 | 4,789 |
| Hillshire Brands Co. | 4.100% | 9/15/20 | 1,857 | 1,903 |
| Ingredion Inc. | 4.625% | 11/1/20 | 2,525 | 2,623 |
23
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| JM Smucker Co. | 2.200% | 12/6/19 | 3,500 | 3,473 |
| JM Smucker Co. | 2.500% | 3/15/20 | 9,899 | 9,837 |
| JM Smucker Co. | 3.500% | 10/15/21 | 5,850 | 5,926 |
| JM Smucker Co. | 3.000% | 3/15/22 | 8,727 | 8,646 |
| Johnson & Johnson | 1.125% | 3/1/19 | 11,612 | 11,485 |
| Johnson & Johnson | 1.875% | 12/5/19 | 4,930 | 4,885 |
| Johnson & Johnson | 2.950% | 9/1/20 | 7,258 | 7,333 |
| Johnson & Johnson | 1.950% | 11/10/20 | 7,825 | 7,706 |
| Johnson & Johnson | 1.650% | 3/1/21 | 14,182 | 13,798 |
| Johnson & Johnson | 3.550% | 5/15/21 | 3,400 | 3,491 |
| Johnson & Johnson | 2.450% | 12/5/21 | 4,995 | 4,948 |
| Johnson & Johnson | 2.250% | 3/3/22 | 16,496 | 16,156 |
| Kaiser Foundation Hospitals | 3.500% | 4/1/22 | 4,000 | 4,058 |
| Kellogg Co. | 4.150% | 11/15/19 | 8,725 | 8,922 |
| Kellogg Co. | 4.000% | 12/15/20 | 9,260 | 9,481 |
| Kellogg Co. | 3.125% | 5/17/22 | 2,775 | 2,763 |
| Kimberly-Clark Corp. | 1.900% | 5/22/19 | 3,269 | 3,245 |
| Kimberly-Clark Corp. | 3.625% | 8/1/20 | 2,279 | 2,325 |
| Kimberly-Clark Corp. | 3.875% | 3/1/21 | 2,195 | 2,251 |
| Kimberly-Clark Corp. | 2.400% | 3/1/22 | 4,775 | 4,658 |
| Koninklijke Philips NV | 3.750% | 3/15/22 | 14,405 | 14,665 |
| Kraft Foods Group Inc. | 5.375% | 2/10/20 | 12,845 | 13,393 |
| Kraft Foods Group Inc. | 3.500% | 6/6/22 | 19,621 | 19,621 |
| Kraft Heinz Foods Co. | 2.800% | 7/2/20 | 23,930 | 23,786 |
| Kraft Heinz Foods Co. | 3.500% | 7/15/22 | 12,125 | 12,130 |
| Kroger Co. | 2.950% | 11/1/21 | 3,700 | 3,676 |
| Laboratory Corp. of America Holdings | 2.625% | 2/1/20 | 7,067 | 7,025 |
| Laboratory Corp. of America Holdings | 4.625% | 11/15/20 | 3,450 | 3,581 |
| Laboratory Corp. of America Holdings | 3.200% | 2/1/22 | 6,542 | 6,530 |
| Laboratory Corp. of America Holdings | 3.750% | 8/23/22 | 4,577 | 4,643 |
| Life Technologies Corp. | 6.000% | 3/1/20 | 5,313 | 5,621 |
| Life Technologies Corp. | 5.000% | 1/15/21 | 5,418 | 5,664 |
| McCormick & Co. Inc. | 3.900% | 7/15/21 | 2,755 | 2,816 |
| McCormick & Co. Inc. | 2.700% | 8/15/22 | 8,050 | 7,875 |
| McKesson Corp. | 2.284% | 3/15/19 | 15,775 | 15,726 |
| McKesson Corp. | 2.700% | 12/15/22 | 2,525 | 2,450 |
| Mead Johnson Nutrition Co. | 4.900% | 11/1/19 | 6,475 | 6,710 |
| Mead Johnson Nutrition Co. | 3.000% | 11/15/20 | 13,509 | 13,506 |
| Medco Health Solutions Inc. | 4.125% | 9/15/20 | 6,000 | 6,152 |
| Medtronic Global Holdings SCA | 1.700% | 3/28/19 | 18,729 | 18,613 |
| Medtronic Inc. | 5.600% | 3/15/19 | 4,632 | 4,776 |
| Medtronic Inc. | 2.500% | 3/15/20 | 47,566 | 47,315 |
| Medtronic Inc. | 4.450% | 3/15/20 | 208 | 215 |
| Medtronic Inc. | 4.125% | 3/15/21 | 5,603 | 5,787 |
| Medtronic Inc. | 3.125% | 3/15/22 | 6,617 | 6,629 |
| Medtronic Inc. | 3.150% | 3/15/22 | 40,913 | 40,930 |
| Merck & Co. Inc. | 1.850% | 2/10/20 | 19,197 | 18,941 |
| Merck & Co. Inc. | 3.875% | 1/15/21 | 11,833 | 12,193 |
| Merck & Co. Inc. | 2.350% | 2/10/22 | 19,803 | 19,445 |
| Merck & Co. Inc. | 2.400% | 9/15/22 | 13,750 | 13,432 |
| Merck Sharp & Dohme Corp. | 5.000% | 6/30/19 | 15,186 | 15,693 |
| Molson Coors Brewing Co. | 1.900% | 3/15/19 | 8,370 | 8,308 |
| Molson Coors Brewing Co. | 1.450% | 7/15/19 | 8,575 | 8,435 |
| Molson Coors Brewing Co. | 2.250% | 3/15/20 | 6,980 | 6,893 |
| Molson Coors Brewing Co. | 2.100% | 7/15/21 | 11,410 | 10,993 |
| Molson Coors Brewing Co. | 3.500% | 5/1/22 | 6,300 | 6,271 |
| 2 Mondelez International Holdings Netherlands BV | 1.625% | 10/28/19 | 6,100 | 5,994 |
| Mylan Inc. | 2.550% | 3/28/19 | 7,650 | 7,626 |
| Mylan NV | 2.500% | 6/7/19 | 7,266 | 7,212 |
| Mylan NV | 3.750% | 12/15/20 | 10,500 | 10,620 |
| Mylan NV | 3.150% | 6/15/21 | 23,971 | 23,713 |
| Newell Brands Inc. | 2.875% | 12/1/19 | 5,400 | 5,408 |
| Newell Brands Inc. | 3.150% | 4/1/21 | 23,423 | 23,175 |
| Novartis Capital Corp. | 1.800% | 2/14/20 | 15,180 | 14,963 |
24
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Novartis Capital Corp. | 4.400% | 4/24/20 | 14,565 | 15,107 |
| Novartis Capital Corp. | 2.400% | 5/17/22 | 13,705 | 13,409 |
| Novartis Capital Corp. | 2.400% | 9/21/22 | 15,925 | 15,502 |
| Pall Corp. | 5.000% | 6/15/20 | 1,900 | 1,995 |
| PepsiCo Inc. | 1.550% | 5/2/19 | 16,970 | 16,821 |
| PepsiCo Inc. | 1.350% | 10/4/19 | 10,578 | 10,398 |
| PepsiCo Inc. | 4.500% | 1/15/20 | 10,475 | 10,826 |
| PepsiCo Inc. | 1.850% | 4/30/20 | 14,026 | 13,798 |
| PepsiCo Inc. | 2.150% | 10/14/20 | 17,385 | 17,128 |
| PepsiCo Inc. | 3.125% | 11/1/20 | 13,738 | 13,866 |
| PepsiCo Inc. | 2.000% | 4/15/21 | 10,462 | 10,218 |
| PepsiCo Inc. | 3.000% | 8/25/21 | 8,280 | 8,336 |
| PepsiCo Inc. | 1.700% | 10/6/21 | 10,110 | 9,697 |
| PepsiCo Inc. | 2.750% | 3/5/22 | 15,992 | 15,861 |
| PepsiCo Inc. | 2.250% | 5/2/22 | 7,625 | 7,400 |
| PepsiCo Inc. | 3.100% | 7/17/22 | 11,930 | 11,984 |
| PerkinElmer Inc. | 5.000% | 11/15/21 | 5,175 | 5,423 |
| Perrigo Finance Unlimited Co. | 3.500% | 3/15/21 | 1,896 | 1,902 |
| Perrigo Finance Unlimited Co. | 3.500% | 12/15/21 | 7,144 | 7,084 |
| Pfizer Inc. | 2.100% | 5/15/19 | 12,676 | 12,634 |
| Pfizer Inc. | 1.450% | 6/3/19 | 13,474 | 13,322 |
| Pfizer Inc. | 1.700% | 12/15/19 | 14,969 | 14,774 |
| Pfizer Inc. | 5.200% | 8/12/20 | 3,425 | 3,631 |
| Pfizer Inc. | 1.950% | 6/3/21 | 16,446 | 16,062 |
| Pfizer Inc. | 2.200% | 12/15/21 | 13,950 | 13,644 |
| Philip Morris International Inc. | 2.000% | 2/21/20 | 14,659 | 14,442 |
| Philip Morris International Inc. | 4.500% | 3/26/20 | 12,825 | 13,274 |
| Philip Morris International Inc. | 1.875% | 2/25/21 | 18,423 | 17,832 |
| Philip Morris International Inc. | 4.125% | 5/17/21 | 6,650 | 6,868 |
| Philip Morris International Inc. | 2.900% | 11/15/21 | 4,525 | 4,486 |
| Philip Morris International Inc. | 2.625% | 2/18/22 | 8,370 | 8,193 |
| Philip Morris International Inc. | 2.375% | 8/17/22 | 8,616 | 8,278 |
| Philip Morris International Inc. | 2.500% | 8/22/22 | 8,495 | 8,222 |
| Philip Morris International Inc. | 2.500% | 11/2/22 | 10,084 | 9,742 |
| 1 Procter & Gamble - Esop | 9.360% | 1/1/21 | 850 | 936 |
| Procter & Gamble Co. | 1.750% | 10/25/19 | 12,375 | 12,268 |
| Procter & Gamble Co. | 1.900% | 11/1/19 | 13,810 | 13,700 |
| Procter & Gamble Co. | 1.900% | 10/23/20 | 11,300 | 11,134 |
| Procter & Gamble Co. | 1.850% | 2/2/21 | 16,655 | 16,263 |
| Procter & Gamble Co. | 1.700% | 11/3/21 | 9,500 | 9,136 |
| Procter & Gamble Co. | 2.300% | 2/6/22 | 16,938 | 16,564 |
| Procter & Gamble Co. | 2.150% | 8/11/22 | 1,476 | 1,429 |
| Quest Diagnostics Inc. | 2.700% | 4/1/19 | 5,075 | 5,077 |
| Quest Diagnostics Inc. | 4.750% | 1/30/20 | 3,375 | 3,494 |
| Quest Diagnostics Inc. | 2.500% | 3/30/20 | 5,130 | 5,093 |
| Quest Diagnostics Inc. | 4.700% | 4/1/21 | 3,925 | 4,113 |
| Reynolds American Inc. | 8.125% | 6/23/19 | 7,142 | 7,625 |
| Reynolds American Inc. | 6.875% | 5/1/20 | 6,452 | 6,954 |
| Reynolds American Inc. | 3.250% | 6/12/20 | 14,048 | 14,089 |
| Reynolds American Inc. | 4.000% | 6/12/22 | 14,200 | 14,497 |
| Sanofi | 4.000% | 3/29/21 | 27,962 | 28,848 |
| Shire Acquisitions Investments Ireland DAC | 1.900% | 9/23/19 | 47,027 | 46,275 |
| Shire Acquisitions Investments Ireland DAC | 2.400% | 9/23/21 | 37,137 | 35,841 |
| Stryker Corp. | 2.000% | 3/8/19 | 8,083 | 8,043 |
| Stryker Corp. | 4.375% | 1/15/20 | 4,200 | 4,332 |
| Stryker Corp. | 2.625% | 3/15/21 | 21,740 | 21,502 |
| Sysco Corp. | 5.375% | 3/17/19 | 150 | 154 |
| Sysco Corp. | 1.900% | 4/1/19 | 8,713 | 8,659 |
| Sysco Corp. | 2.600% | 10/1/20 | 5,611 | 5,570 |
| Sysco Corp. | 2.500% | 7/15/21 | 6,624 | 6,528 |
| Sysco Corp. | 2.600% | 6/12/22 | 7,375 | 7,194 |
| The Kroger Co. | 1.500% | 9/30/19 | 7,369 | 7,213 |
| The Kroger Co. | 6.150% | 1/15/20 | 6,877 | 7,282 |
| The Kroger Co. | 3.300% | 1/15/21 | 15,256 | 15,312 |
25
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| The Kroger Co. | 2.600% | 2/1/21 | 7,605 | 7,504 |
| The Kroger Co. | 3.400% | 4/15/22 | 5,950 | 5,968 |
| The Kroger Co. | 2.800% | 8/1/22 | 900 | 878 |
| Thermo Fisher Scientific Inc. | 4.700% | 5/1/20 | 1,275 | 1,323 |
| Thermo Fisher Scientific Inc. | 4.500% | 3/1/21 | 13,632 | 14,200 |
| Thermo Fisher Scientific Inc. | 3.600% | 8/15/21 | 7,995 | 8,126 |
| Thermo Fisher Scientific Inc. | 3.300% | 2/15/22 | 13,595 | 13,606 |
| Thermo Fisher Scientific Inc. | 3.150% | 1/15/23 | 10,096 | 10,002 |
| Tupperware Brands Corp. | 4.750% | 6/1/21 | 6,300 | 6,499 |
| Tyson Foods Inc. | 2.650% | 8/15/19 | 6,892 | 6,890 |
| Tyson Foods Inc. | 2.250% | 8/23/21 | 7,190 | 6,987 |
| Tyson Foods Inc. | 4.500% | 6/15/22 | 15,120 | 15,828 |
| Unilever Capital Corp. | 2.200% | 3/6/19 | 9,990 | 9,954 |
| Unilever Capital Corp. | 1.800% | 5/5/20 | 4,750 | 4,668 |
| Unilever Capital Corp. | 2.100% | 7/30/20 | 8,380 | 8,270 |
| Unilever Capital Corp. | 4.250% | 2/10/21 | 12,963 | 13,456 |
| Unilever Capital Corp. | 1.375% | 7/28/21 | 5,190 | 4,926 |
| Unilever Capital Corp. | 2.200% | 5/5/22 | 11,300 | 10,940 |
| Whirlpool Corp. | 2.400% | 3/1/19 | 2,645 | 2,645 |
| Whirlpool Corp. | 4.850% | 6/15/21 | 4,223 | 4,424 |
| Whirlpool Corp. | 4.700% | 6/1/22 | 3,625 | 3,804 |
| Zimmer Biomet Holdings Inc. | 4.625% | 11/30/19 | 4,025 | 4,142 |
| Zimmer Biomet Holdings Inc. | 2.700% | 4/1/20 | 28,707 | 28,501 |
| Zimmer Biomet Holdings Inc. | 3.375% | 11/30/21 | 2,400 | 2,392 |
| Zimmer Biomet Holdings Inc. | 3.150% | 4/1/22 | 12,593 | 12,394 |
| Zoetis Inc. | 3.450% | 11/13/20 | 7,116 | 7,199 |
| Zoetis Inc. | 3.250% | 2/1/23 | 18,275 | 18,104 |
| Energy (7.3%) | | | | |
| Anadarko Petroleum Corp. | 8.700% | 3/15/19 | 4,095 | 4,331 |
| Anadarko Petroleum Corp. | 6.950% | 6/15/19 | 1,175 | 1,233 |
| Anadarko Petroleum Corp. | 4.850% | 3/15/21 | 20,855 | 21,721 |
| Andeavor Logistics LP / Tesoro Logistics Finance Corp. | 5.500% | 10/15/19 | 2,485 | 2,560 |
| Andeavor Logistics LP / Tesoro Logistics Finance Corp. | 3.500% | 12/1/22 | 4,475 | 4,402 |
| Apache Corp. | 3.625% | 2/1/21 | 10,150 | 10,255 |
| Apache Corp. | 3.250% | 4/15/22 | 9,105 | 9,019 |
| Apache Corp. | 2.625% | 1/15/23 | 3,175 | 3,042 |
| Baker Hughes a GE Co. LLC | 3.200% | 8/15/21 | 7,983 | 8,005 |
| Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor | | | | |
| Inc. | 2.773% | 12/15/22 | 16,600 | 16,208 |
| Boardwalk Pipelines LP | 5.750% | 9/15/19 | 3,620 | 3,757 |
| Boardwalk Pipelines LP | 3.375% | 2/1/23 | 5,425 | 5,273 |
| BP Capital Markets plc | 4.750% | 3/10/19 | 10,565 | 10,796 |
| BP Capital Markets plc | 1.676% | 5/3/19 | 14,450 | 14,309 |
| BP Capital Markets plc | 2.237% | 5/10/19 | 18,816 | 18,772 |
| BP Capital Markets plc | 1.768% | 9/19/19 | 8,815 | 8,685 |
| BP Capital Markets plc | 2.521% | 1/15/20 | 18,541 | 18,469 |
| BP Capital Markets plc | 2.315% | 2/13/20 | 26,587 | 26,451 |
| BP Capital Markets plc | 4.500% | 10/1/20 | 16,849 | 17,602 |
| BP Capital Markets plc | 4.742% | 3/11/21 | 14,843 | 15,630 |
| BP Capital Markets plc | 2.112% | 9/16/21 | 10,514 | 10,203 |
| BP Capital Markets plc | 3.561% | 11/1/21 | 16,556 | 16,853 |
| BP Capital Markets plc | 3.062% | 3/17/22 | 7,914 | 7,909 |
| BP Capital Markets plc | 3.245% | 5/6/22 | 26,886 | 27,028 |
| BP Capital Markets plc | 2.520% | 9/19/22 | 9,100 | 8,856 |
| BP Capital Markets plc | 2.500% | 11/6/22 | 13,025 | 12,638 |
| Buckeye Partners LP | 4.875% | 2/1/21 | 9,433 | 9,730 |
| Canadian Natural Resources Ltd. | 3.450% | 11/15/21 | 5,575 | 5,620 |
| Canadian Natural Resources Ltd. | 2.950% | 1/15/23 | 15,375 | 15,020 |
| Cenovus Energy Inc. | 5.700% | 10/15/19 | 22,275 | 23,110 |
| Cenovus Energy Inc. | 3.000% | 8/15/22 | 6,200 | 6,014 |
| Chevron Corp. | 4.950% | 3/3/19 | 20,143 | 20,623 |
| Chevron Corp. | 1.561% | 5/16/19 | 15,899 | 15,721 |
| Chevron Corp. | 2.193% | 11/15/19 | 8,020 | 7,971 |
26
Vanguard® Short-Term Corporate Bond Index Fund
Schedule of Investments
February 28, 2018
| | | | |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Chevron Corp. | 1.961% | 3/3/20 | 23,381 | 23,070 |
| Chevron Corp. | 1.991% | 3/3/20 | 6,761 | 6,678 |
| Chevron Corp. | 2.427% | 6/24/20 | 12,025 | 11,952 |
| Chevron Corp. | 2.419% | 11/17/20 | 15,739 | 15,598 |
| Chevron Corp. | 2.100% | 5/16/21 | 25,863 | 25,289 |
| Chevron Corp. | 2.411% | 3/3/22 | 16,025 | 15,596 |
| Chevron Corp. | 2.498% | 3/3/22 | 6,105 | 5,993 |
| Chevron Corp. | 2.355% | 12/5/22 | 26,049 | 25,254 |
| Columbia Pipeline Group Inc. | 3.300% | 6/1/20 | 8,620 | 8,652 |
| ConocoPhillips Co. | 2.400% | 12/15/22 | 10,200 | 9,872 |
| Devon Energy Corp. | 4.000% | 7/15/21 | 6,738 | 6,860 |
| Devon Energy Corp. | 3.250% | 5/15/22 | 12,645 | 12,503 |
| Dominion Energy Gas Holdings LLC | 2.500% | 12/15/19 | 10,300 | 10,263 |
| Dominion Energy Gas Holdings LLC | 2.800% | 11/15/20 | 7,925 | 7,858 |
| Enable Midstream Partners LP | 2.400% | 5/15/19 | 5,331 | 5,280 |
| Enbridge Energy Partners LP | 9.875% | 3/1/19 | 4,325 | 4,608 |
| Enbridge Energy Partners LP | 5.200% | 3/15/20 | 7,942 | 8,255 |
| Enbridge Energy Partners LP | 4.375% | 10/15/20 | 7,970 | 8,186 |
| Enbridge Energy Partners LP | 4.200% | 9/15/21 | 7,875 | 8,061 |
| Enbridge Inc. | 2.900% | 7/15/22 | 9,450 | 9,204 |
| Encana Corp. | 6.500% | 5/15/19 | 5,480 | 5,699 |
| Encana Corp. | 3.900% | 11/15/21 | 7,264 | 7,393 |
| Energy Transfer LP | 9.700% | 3/15/19 | 2,900 | 3,103 |
| Energy Transfer LP | 9.000% | 4/15/19 | 2,646 | 2,815 |
| Energy Transfer LP | 4.150% | 10/1/20 | 14,355 | 14,644 |
| Energy Transfer LP | 4.650% | 6/1/21 | 17,249 | 17,858 |
| Energy Transfer LP | 5.200% | 2/1/22 | 10,602 | 11,137 |
| Energy Transfer LP | 3.600% | 2/1/23 | 14,720 | 14,486 |
| EnLink Midstream Partners LP | 2.700% | 4/1/19 | 5,370 | 5,328 |
| Enterprise Products Operating LLC | 2.550% | 10/15/19 | 15,435 | 15,360 |
| Enterprise Products Operating LLC | 5.250% | 1/31/20 | 7,482 | 7,810 |
| Enterprise Products Operating LLC | 5.200% | 9/1/20 | 9,155 | 9,637 |
| Enterprise Products Operating LLC | 2.800% | 2/15/21 | 7,200 | 7,150 |
| Enterprise Products Operating LLC | 2.850% | 4/15/21 | 9,142 | 9,077 |
| Enterprise Products Operating LLC | 4.050% | 2/15/22 | 7,068 | 7,266 |
| 1 Enterprise Products Operating LLC | 4.875% | 8/16/77 | 4,250 | 4,186 |
| EOG Resources Inc. | 5.625% | 6/1/19 | 17,783 | 18,407 |
| EOG Resources Inc. | 2.450% | 4/1/20 | 6,505 | 6,449 |
| EOG Resources Inc. | 4.400% | 6/1/20 | 7,750 | 7,994 |
| EOG Resources Inc. | 4.100% | 2/1/21 | 4,425 | 4,549 |
| EQT Corp. | 8.125% | 6/1/19 | 5,975 | 6,353 |
| EQT Corp. | 2.500% | 10/1/20 | 7,500 | 7,371 |
| EQT Corp. | 4.875% | 11/15/21 | 11,072 | 11,563 |
| EQT Corp. | 3.000% | 10/1/22 | 11,850 | 11,523 |
| Exxon Mobil Corp. | 1.708% | 3/1/19 | 13,720 | 13,637 |
| Exxon Mobil Corp. | 1.819% | 3/15/19 | 24,215 | 24,059 |
| Exxon Mobil Corp. | 1.912% | 3/6/20 | 26,725 | 26,393 |
| Exxon Mobil Corp. | 2.222% | 3/1/21 | 29,456 | 28,987 |
| Exxon Mobil Corp. | 2.397% | 3/6/22 | 15,278 | 14,882 |
| Halliburton Co. | 3.250% | 11/15/21 | 4,447 | 4,460 |
| Husky Energy Inc. | 6.150% | 6/15/19 | 1,535 | 1,597 |
| Husky Energy Inc. | 7.250% | 12/15/19 | 9,120 | 9,782 |
| Husky Energy Inc. | 3.950% | 4/15/22 | 7,884 | 8,015 |
| Kinder Morgan Energy Partners LP | 6.850% | 2/15/20 | 6,550 | 7,004 |
| Kinder Morgan Energy Partners LP | 6.500% | 4/1/20 | 8,270 | 8,810 |
| Kinder Morgan Energy Partners LP | 5.300% | 9/15/20 | 5,855 | 6,135 |
| Kinder Morgan Energy Partners LP | 3.500% | 3/1/21 | 13,151 | 13,172 |
| Kinder Morgan Energy Partners LP | 5.800% | 3/1/21 | 5,000 | 5,350 |
| Kinder Morgan Energy Partners LP | 5.000% | 10/1/21 | 13,075 | 13,736 |
| Kinder Morgan Energy Partners LP | 4.150% | 3/1/22 | 3,400 | 3,469 |
| Kinder Morgan Energy Partners LP | 3.950% | 9/1/22 | 11,800 | 11,971 |
| Kinder Morgan Energy Partners LP | 3.450% | 2/15/23 | 4,650 | 4,592 |
| Kinder Morgan Inc. | 3.050% | 12/1/19 | 25,570 | 25,566 |
| Kinder Morgan Inc. | 6.500% | 9/15/20 | 3,878 | 4,155 |
27
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Kinder Morgan Inc. | 3.150% | 1/15/23 | 10,550 | 10,317 |
| Magellan Midstream Partners LP | 6.550% | 7/15/19 | 6,476 | 6,785 |
| Magellan Midstream Partners LP | 4.250% | 2/1/21 | 4,056 | 4,178 |
| Marathon Oil Corp. | 2.700% | 6/1/20 | 9,660 | 9,560 |
| Marathon Oil Corp. | 2.800% | 11/1/22 | 16,319 | 15,702 |
| Marathon Petroleum Corp. | 3.400% | 12/15/20 | 12,600 | 12,728 |
| Marathon Petroleum Corp. | 5.125% | 3/1/21 | 11,004 | 11,639 |
| MPLX LP | 5.500% | 2/15/23 | 638 | 655 |
| MPLX LP | 3.375% | 3/15/23 | 2,000 | 1,980 |
| Nabors Industries Inc. | 9.250% | 1/15/19 | 1,550 | 1,620 |
| National Fuel Gas Co. | 4.900% | 12/1/21 | 5,464 | 5,657 |
| National Oilwell Varco Inc. | 2.600% | 12/1/22 | 15,273 | 14,612 |
| Noble Energy Inc. | 5.625% | 5/1/21 | 1,752 | 1,779 |
| Noble Energy Inc. | 4.150% | 12/15/21 | 13,811 | 14,112 |
| Occidental Petroleum Corp. | 4.100% | 2/1/21 | 15,898 | 16,420 |
| Occidental Petroleum Corp. | 3.125% | 2/15/22 | 10,447 | 10,476 |
| Occidental Petroleum Corp. | 2.600% | 4/15/22 | 10,220 | 10,009 |
| Occidental Petroleum Corp. | 2.700% | 2/15/23 | 13,650 | 13,365 |
| ONEOK Inc. | 4.250% | 2/1/22 | 10,083 | 10,276 |
| ONEOK Partners LP | 8.625% | 3/1/19 | 6,175 | 6,512 |
| ONEOK Partners LP | 3.375% | 10/1/22 | 14,915 | 14,775 |
| Petro-Canada | 9.250% | 10/15/21 | 2,795 | 3,363 |
| Phillips 66 | 4.300% | 4/1/22 | 27,915 | 28,909 |
| Phillips 66 Partners LP | 2.646% | 2/15/20 | 4,075 | 4,053 |
| Pioneer Natural Resources Co. | 7.500% | 1/15/20 | 5,200 | 5,623 |
| Pioneer Natural Resources Co. | 3.450% | 1/15/21 | 7,375 | 7,423 |
| Pioneer Natural Resources Co. | 3.950% | 7/15/22 | 8,811 | 8,992 |
| Plains All American Pipeline LP / PAA Finance Corp. | 2.600% | 12/15/19 | 2,500 | 2,472 |
| Plains All American Pipeline LP / PAA Finance Corp. | 5.750% | 1/15/20 | 9,652 | 10,095 |
| Plains All American Pipeline LP / PAA Finance Corp. | 5.000% | 2/1/21 | 7,609 | 7,876 |
| Plains All American Pipeline LP / PAA Finance Corp. | 3.650% | 6/1/22 | 7,005 | 6,918 |
| Plains All American Pipeline LP / PAA Finance Corp. | 2.850% | 1/31/23 | 4,600 | 4,342 |
| Regency Energy Partners LP / Regency Energy Finance | | | | |
| Corp. | 5.750% | 9/1/20 | 8,018 | 8,429 |
| Regency Energy Partners LP / Regency Energy Finance | | | | |
| Corp. | 5.875% | 3/1/22 | 15,676 | 16,773 |
| Regency Energy Partners LP / Regency Energy Finance | | | | |
| Corp. | 5.000% | 10/1/22 | 7,150 | 7,472 |
| Sabine Pass Liquefaction LLC | 5.625% | 2/1/21 | 34,260 | 36,144 |
| Sabine Pass Liquefaction LLC | 6.250% | 3/15/22 | 14,290 | 15,576 |
| Shell International Finance BV | 1.375% | 5/10/19 | 12,148 | 11,981 |
| Shell International Finance BV | 1.375% | 9/12/19 | 18,590 | 18,268 |
| Shell International Finance BV | 4.300% | 9/22/19 | 23,443 | 24,033 |
| Shell International Finance BV | 4.375% | 3/25/20 | 13,810 | 14,260 |
| Shell International Finance BV | 2.125% | 5/11/20 | 31,829 | 31,436 |
| Shell International Finance BV | 2.250% | 11/10/20 | 17,668 | 17,396 |
| Shell International Finance BV | 1.875% | 5/10/21 | 30,933 | 29,896 |
| Shell International Finance BV | 1.750% | 9/12/21 | 10,868 | 10,411 |
| Shell International Finance BV | 2.375% | 8/21/22 | 15,962 | 15,529 |
| Shell International Finance BV | 2.250% | 1/6/23 | 12,801 | 12,265 |
| Southern Natural Gas Co. LLC / Southern Natural Issuing | | | | |
| Corp. | 4.400% | 6/15/21 | 3,120 | 3,214 |
| Sunoco Logistics Partners Operations LP | 4.400% | 4/1/21 | 12,766 | 13,103 |
| Sunoco Logistics Partners Operations LP | 4.650% | 2/15/22 | 2,950 | 3,057 |
| TC Pipelines LP | 4.650% | 6/15/21 | 2,608 | 2,694 |
| Total Capital International SA | 2.100% | 6/19/19 | 18,481 | 18,369 |
| Total Capital International SA | 2.750% | 6/19/21 | 11,131 | 11,086 |
| Total Capital International SA | 2.875% | 2/17/22 | 11,530 | 11,438 |
| Total Capital International SA | 2.700% | 1/25/23 | 15,409 | 15,070 |
| Total Capital SA | 4.450% | 6/24/20 | 16,630 | 17,236 |
| Total Capital SA | 4.125% | 1/28/21 | 9,330 | 9,660 |
| Total Capital SA | 4.250% | 12/15/21 | 1,950 | 2,041 |
| TransCanada PipeLines Ltd. | 2.125% | 11/15/19 | 4,000 | 3,964 |
| TransCanada PipeLines Ltd. | 3.800% | 10/1/20 | 16,655 | 17,038 |
28
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| TransCanada PipeLines Ltd. | 2.500% | 8/1/22 | 24,970 | 24,287 |
| Valero Energy Corp. | 9.375% | 3/15/19 | 8,849 | 9,436 |
| Valero Energy Corp. | 6.125% | 2/1/20 | 10,096 | 10,669 |
| Western Gas Partners LP | 5.375% | 6/1/21 | 5,002 | 5,229 |
| Western Gas Partners LP | 4.000% | 7/1/22 | 14,806 | 14,888 |
| Williams Partners LP | 5.250% | 3/15/20 | 22,659 | 23,646 |
| Williams Partners LP | 4.125% | 11/15/20 | 7,212 | 7,376 |
| Williams Partners LP | 4.000% | 11/15/21 | 7,607 | 7,752 |
| Williams Partners LP | 3.600% | 3/15/22 | 13,751 | 13,793 |
| Williams Partners LP | 3.350% | 8/15/22 | 16,885 | 16,707 |
| Other Industrial (0.1%) | | | | |
| Cintas Corp. No 2 | 4.300% | 6/1/21 | 2,015 | 2,094 |
| Cintas Corp. No 2 | 2.900% | 4/1/22 | 7,250 | 7,181 |
| Cintas Corp. No 2 | 3.250% | 6/1/22 | 3,225 | 3,234 |
| Fluor Corp. | 3.375% | 9/15/21 | 5,000 | 5,052 |
| Yale University Connecticut GO | 2.086% | 4/15/19 | 1,400 | 1,395 |
| Technology (8.7%) | | | | |
| Adobe Systems Inc. | 4.750% | 2/1/20 | 15,330 | 15,933 |
| Alphabet Inc. | 3.625% | 5/19/21 | 8,230 | 8,469 |
| Amphenol Corp. | 2.200% | 4/1/20 | 10,178 | 10,042 |
| Amphenol Corp. | 3.125% | 9/15/21 | 470 | 470 |
| Amphenol Corp. | 4.000% | 2/1/22 | 4,560 | 4,670 |
| Analog Devices Inc. | 2.500% | 12/5/21 | 5,875 | 5,737 |
| Apple Inc. | 2.100% | 5/6/19 | 27,671 | 27,595 |
| Apple Inc. | 1.100% | 8/2/19 | 16,555 | 16,262 |
| Apple Inc. | 1.500% | 9/12/19 | 6,800 | 6,713 |
| Apple Inc. | 1.800% | 11/13/19 | 10,000 | 9,901 |
| Apple Inc. | 1.550% | 2/7/20 | 21,497 | 21,127 |
| Apple Inc. | 1.900% | 2/7/20 | 14,676 | 14,514 |
| Apple Inc. | 2.000% | 5/6/20 | 23,121 | 22,844 |
| Apple Inc. | 1.800% | 5/11/20 | 17,300 | 17,022 |
| Apple Inc. | 2.000% | 11/13/20 | 7,000 | 6,888 |
| Apple Inc. | 2.250% | 2/23/21 | 32,399 | 31,926 |
| Apple Inc. | 2.850% | 5/6/21 | 37,525 | 37,542 |
| Apple Inc. | 1.550% | 8/4/21 | 19,012 | 18,221 |
| Apple Inc. | 2.150% | 2/9/22 | 23,754 | 23,054 |
| Apple Inc. | 2.500% | 2/9/22 | 21,821 | 21,468 |
| Apple Inc. | 2.300% | 5/11/22 | 20,690 | 20,132 |
| Apple Inc. | 2.700% | 5/13/22 | 19,462 | 19,356 |
| Apple Inc. | 2.100% | 9/12/22 | 6,200 | 5,956 |
| Apple Inc. | 2.400% | 1/13/23 | 11,675 | 11,319 |
| Apple Inc. | 2.850% | 2/23/23 | 22,942 | 22,702 |
| Applied Materials Inc. | 2.625% | 10/1/20 | 5,025 | 5,014 |
| Applied Materials Inc. | 4.300% | 6/15/21 | 10,230 | 10,654 |
| Arrow Electronics Inc. | 3.500% | 4/1/22 | 4,706 | 4,673 |
| Autodesk Inc. | 3.125% | 6/15/20 | 5,000 | 5,014 |
| Autodesk Inc. | 3.600% | 12/15/22 | 3,043 | 3,052 |
| Avnet Inc. | 5.875% | 6/15/20 | 4,139 | 4,362 |
| Avnet Inc. | 3.750% | 12/1/21 | 5,175 | 5,209 |
| Avnet Inc. | 4.875% | 12/1/22 | 3,850 | 4,003 |
| Baidu Inc. | 2.750% | 6/9/19 | 10,191 | 10,168 |
| Baidu Inc. | 3.000% | 6/30/20 | 6,550 | 6,528 |
| Baidu Inc. | 2.875% | 7/6/22 | 16,375 | 15,979 |
| Baidu Inc. | 3.500% | 11/28/22 | 10,199 | 10,168 |
| Broadcom Corp. / Broadcom Cayman Finance Ltd. | 2.375% | 1/15/20 | 40,290 | 39,779 |
| Broadcom Corp. / Broadcom Cayman Finance Ltd. | 2.200% | 1/15/21 | 11,250 | 10,894 |
| Broadcom Corp. / Broadcom Cayman Finance Ltd. | 3.000% | 1/15/22 | 50,867 | 49,775 |
| Broadcom Corp. / Broadcom Cayman Finance Ltd. | 2.650% | 1/15/23 | 10,575 | 10,016 |
| Broadridge Financial Solutions Inc. | 3.950% | 9/1/20 | 2,800 | 2,863 |
| CA Inc. | 5.375% | 12/1/19 | 9,525 | 9,886 |
| CA Inc. | 3.600% | 8/1/20 | 5,669 | 5,735 |
| CA Inc. | 3.600% | 8/15/22 | 7,150 | 7,191 |
| Cisco Systems Inc. | 2.125% | 3/1/19 | 28,697 | 28,640 |
29
Vanguard® Short-Term Corporate Bond Index Fund
Schedule of Investments
February 28, 2018
| | | | |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Cisco Systems Inc. | 1.400% | 9/20/19 | 11,758 | 11,573 |
| Cisco Systems Inc. | 4.450% | 1/15/20 | 36,108 | 37,366 |
| Cisco Systems Inc. | 2.450% | 6/15/20 | 13,090 | 13,018 |
| Cisco Systems Inc. | 2.200% | 2/28/21 | 31,387 | 30,824 |
| Cisco Systems Inc. | 2.900% | 3/4/21 | 8,850 | 8,864 |
| Cisco Systems Inc. | 1.850% | 9/20/21 | 32,395 | 31,271 |
| Cisco Systems Inc. | 3.000% | 6/15/22 | 2,510 | 2,511 |
| Cisco Systems Inc. | 2.600% | 2/28/23 | 5,200 | 5,075 |
| Corning Inc. | 6.625% | 5/15/19 | 3,155 | 3,297 |
| Corning Inc. | 4.250% | 8/15/20 | 2,000 | 2,058 |
| Corning Inc. | 2.900% | 5/15/22 | 4,150 | 4,090 |
| 2 Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 3.480% | 6/1/19 | 54,127 | 54,482 |
| 2 Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 4.420% | 6/15/21 | 65,326 | 66,655 |
| DXC Technology Co. | 2.875% | 3/27/20 | 8,450 | 8,431 |
| Equifax Inc. | 2.300% | 6/1/21 | 5,475 | 5,307 |
| Equifax Inc. | 3.300% | 12/15/22 | 4,395 | 4,355 |
| Fidelity National Information Services Inc. | 3.625% | 10/15/20 | 15,392 | 15,629 |
| Fidelity National Information Services Inc. | 2.250% | 8/15/21 | 15,113 | 14,630 |
| Fidelity National Information Services Inc. | 4.500% | 10/15/22 | 3,476 | 3,617 |
| Fiserv Inc. | 2.700% | 6/1/20 | 15,470 | 15,437 |
| Fiserv Inc. | 4.625% | 10/1/20 | 5,454 | 5,688 |
| Fiserv Inc. | 4.750% | 6/15/21 | 615 | 647 |
| Fiserv Inc. | 3.500% | 10/1/22 | 12,154 | 12,267 |
| Flex Ltd. | 4.625% | 2/15/20 | 5,200 | 5,337 |
| Flex Ltd. | 5.000% | 2/15/23 | 7,285 | 7,673 |
| Hewlett Packard Enterprise Co. | 3.600% | 10/15/20 | 46,481 | 47,016 |
| Hewlett Packard Enterprise Co. | 4.400% | 10/15/22 | 18,537 | 19,219 |
| HP Inc. | 3.750% | 12/1/20 | 1,655 | 1,684 |
| HP Inc. | 4.300% | 6/1/21 | 15,356 | 15,860 |
| HP Inc. | 4.375% | 9/15/21 | 18,649 | 19,310 |
| HP Inc. | 4.650% | 12/9/21 | 28,346 | 29,727 |
| HP Inc. | 4.050% | 9/15/22 | 3,375 | 3,470 |
| IBM Credit LLC | 1.625% | 9/6/19 | 11,100 | 10,965 |
| IBM Credit LLC | 1.800% | 1/20/21 | 8,500 | 8,258 |
| IBM Credit LLC | 2.650% | 2/5/21 | 14,000 | 13,908 |
| IBM Credit LLC | 2.200% | 9/8/22 | 7,250 | 6,974 |
| IBM Credit LLC | 3.000% | 2/6/23 | 10,500 | 10,415 |
| Intel Corp. | 1.850% | 5/11/20 | 14,165 | 13,952 |
| Intel Corp. | 2.450% | 7/29/20 | 24,601 | 24,482 |
| Intel Corp. | 1.700% | 5/19/21 | 10,498 | 10,161 |
| Intel Corp. | 3.300% | 10/1/21 | 18,305 | 18,605 |
| Intel Corp. | 2.350% | 5/11/22 | 10,850 | 10,612 |
| Intel Corp. | 3.100% | 7/29/22 | 12,118 | 12,183 |
| Intel Corp. | 2.700% | 12/15/22 | 21,215 | 20,934 |
| International Business Machines Corp. | 1.875% | 5/15/19 | 6,710 | 6,672 |
| International Business Machines Corp. | 1.800% | 5/17/19 | 17,440 | 17,283 |
| International Business Machines Corp. | 8.375% | 11/1/19 | 4,206 | 4,610 |
| International Business Machines Corp. | 1.900% | 1/27/20 | 11,950 | 11,787 |
| International Business Machines Corp. | 1.625% | 5/15/20 | 22,058 | 21,569 |
| International Business Machines Corp. | 2.250% | 2/19/21 | 11,907 | 11,704 |
| International Business Machines Corp. | 2.900% | 11/1/21 | 7,905 | 7,890 |
| International Business Machines Corp. | 2.500% | 1/27/22 | 14,015 | 13,759 |
| International Business Machines Corp. | 1.875% | 8/1/22 | 3,591 | 3,414 |
| International Business Machines Corp. | 2.875% | 11/9/22 | 9,125 | 9,005 |
| Jabil Inc. | 5.625% | 12/15/20 | 3,500 | 3,707 |
| Jabil Inc. | 4.700% | 9/15/22 | 5,050 | 5,223 |
| Juniper Networks Inc. | 3.125% | 2/26/19 | 2,845 | 2,854 |
| Juniper Networks Inc. | 3.300% | 6/15/20 | 2,450 | 2,460 |
| Juniper Networks Inc. | 4.600% | 3/15/21 | 2,155 | 2,231 |
| Keysight Technologies Inc. | 3.300% | 10/30/19 | 3,800 | 3,815 |
| KLA-Tencor Corp. | 3.375% | 11/1/19 | 1,200 | 1,209 |
| KLA-Tencor Corp. | 4.125% | 11/1/21 | 6,655 | 6,857 |
| Lam Research Corp. | 2.750% | 3/15/20 | 6,130 | 6,086 |
| Lam Research Corp. | 2.800% | 6/15/21 | 11,850 | 11,723 |
30
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Microsoft Corp. | 4.200% | 6/1/19 | 13,565 | 13,877 |
| Microsoft Corp. | 1.100% | 8/8/19 | 35,410 | 34,781 |
| Microsoft Corp. | 1.850% | 2/6/20 | 21,020 | 20,796 |
| Microsoft Corp. | 1.850% | 2/12/20 | 21,185 | 20,950 |
| Microsoft Corp. | 3.000% | 10/1/20 | 18,431 | 18,679 |
| Microsoft Corp. | 2.000% | 11/3/20 | 30,811 | 30,323 |
| Microsoft Corp. | 4.000% | 2/8/21 | 753 | 781 |
| Microsoft Corp. | 1.550% | 8/8/21 | 40,724 | 39,140 |
| Microsoft Corp. | 2.400% | 2/6/22 | 23,150 | 22,733 |
| Microsoft Corp. | 2.375% | 2/12/22 | 21,454 | 21,014 |
| Microsoft Corp. | 2.650% | 11/3/22 | 12,901 | 12,717 |
| Microsoft Corp. | 2.125% | 11/15/22 | 8,259 | 7,966 |
| Motorola Solutions Inc. | 3.500% | 9/1/21 | 4,600 | 4,599 |
| Motorola Solutions Inc. | 3.750% | 5/15/22 | 11,113 | 11,087 |
| NetApp Inc. | 2.000% | 9/27/19 | 6,950 | 6,864 |
| NetApp Inc. | 3.375% | 6/15/21 | 5,925 | 5,943 |
| NVIDIA Corp. | 2.200% | 9/16/21 | 14,610 | 14,232 |
| Oracle Corp. | 5.000% | 7/8/19 | 19,054 | 19,711 |
| Oracle Corp. | 2.250% | 10/8/19 | 29,459 | 29,400 |
| Oracle Corp. | 3.875% | 7/15/20 | 13,828 | 14,231 |
| Oracle Corp. | 2.800% | 7/8/21 | 21,653 | 21,594 |
| Oracle Corp. | 1.900% | 9/15/21 | 57,224 | 55,249 |
| Oracle Corp. | 2.500% | 5/15/22 | 33,362 | 32,670 |
| Oracle Corp. | 2.500% | 10/15/22 | 33,784 | 32,919 |
| Oracle Corp. | 2.625% | 2/15/23 | 14,825 | 14,443 |
| Pitney Bowes Inc. | 6.250% | 3/15/19 | 780 | 801 |
| Pitney Bowes Inc. | 3.625% | 10/1/21 | 9,640 | 9,163 |
| Pitney Bowes Inc. | 4.125% | 5/15/22 | 6,351 | 5,979 |
| QUALCOMM Inc. | 1.850% | 5/20/19 | 16,750 | 16,607 |
| QUALCOMM Inc. | 2.100% | 5/20/20 | 20,880 | 20,467 |
| QUALCOMM Inc. | 2.250% | 5/20/20 | 25,735 | 25,292 |
| QUALCOMM Inc. | 3.000% | 5/20/22 | 21,596 | 21,152 |
| QUALCOMM Inc. | 2.600% | 1/30/23 | 20,877 | 19,855 |
| 2 Seagate HDD Cayman | 4.250% | 3/1/22 | 11,750 | 11,633 |
| Tech Data Corp. | 3.700% | 2/15/22 | 6,855 | 6,788 |
| Texas Instruments Inc. | 1.650% | 8/3/19 | 7,601 | 7,514 |
| Texas Instruments Inc. | 1.750% | 5/1/20 | 3,158 | 3,103 |
| Texas Instruments Inc. | 2.750% | 3/12/21 | 12,050 | 12,024 |
| Texas Instruments Inc. | 1.850% | 5/15/22 | 5,197 | 4,959 |
| Total System Services Inc. | 3.800% | 4/1/21 | 12,694 | 12,830 |
| Tyco Electronics Group SA | 2.350% | 8/1/19 | 4,117 | 4,105 |
| Tyco Electronics Group SA | 4.875% | 1/15/21 | 180 | 189 |
| Tyco Electronics Group SA | 3.500% | 2/3/22 | 8,847 | 8,951 |
| Verisk Analytics Inc. | 5.800% | 5/1/21 | 5,089 | 5,467 |
| Verisk Analytics Inc. | 4.125% | 9/12/22 | 5,822 | 5,993 |
| VMware Inc. | 2.300% | 8/21/20 | 17,120 | 16,718 |
| VMware Inc. | 2.950% | 8/21/22 | 21,010 | 20,292 |
| Xerox Corp. | 2.750% | 3/15/19 | 5,636 | 5,629 |
| Xerox Corp. | 5.625% | 12/15/19 | 6,725 | 7,012 |
| Xerox Corp. | 2.800% | 5/15/20 | 3,100 | 3,073 |
| Xerox Corp. | 3.500% | 8/20/20 | 300 | 300 |
| Xerox Corp. | 2.750% | 9/1/20 | 4,865 | 4,782 |
| Xerox Corp. | 4.500% | 5/15/21 | 15,724 | 16,112 |
| Xerox Corp. | 4.070% | 3/17/22 | 3,205 | 3,222 |
| Xilinx Inc. | 2.125% | 3/15/19 | 6,104 | 6,073 |
| Xilinx Inc. | 3.000% | 3/15/21 | 7,416 | 7,391 |
| Transportation (1.3%) | | | | |
| 1 American Airlines 2013-2 Class A Pass Through Trust | 4.950% | 7/15/24 | 10,311 | 10,753 |
| Burlington Northern Santa Fe LLC | 4.700% | 10/1/19 | 11,639 | 12,004 |
| Burlington Northern Santa Fe LLC | 3.450% | 9/15/21 | 7,034 | 7,152 |
| Burlington Northern Santa Fe LLC | 3.050% | 3/15/22 | 9,750 | 9,780 |
| Burlington Northern Santa Fe LLC | 3.050% | 9/1/22 | 10,936 | 10,941 |
| Canadian National Railway Co. | 5.550% | 3/1/19 | 6,823 | 7,021 |
31
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Canadian National Railway Co. | 2.400% | 2/3/20 | 4,000 | 3,992 |
| Canadian National Railway Co. | 2.850% | 12/15/21 | 3,925 | 3,917 |
| Canadian Pacific Railway Co. | 7.250% | 5/15/19 | 5,054 | 5,323 |
| Canadian Pacific Railway Co. | 9.450% | 8/1/21 | 2,250 | 2,693 |
| 1 Continental Airlines 2007-1 Class A Pass Through Trust | 5.983% | 10/19/23 | 5,122 | 5,524 |
| 1 Continental Airlines 2009-2 Class A Pass Through Trust | 7.250% | 5/10/21 | 2,385 | 2,538 |
| 1 Continental Airlines 2010-1 Class A Pass Through Trust | 4.750% | 7/12/22 | 1,716 | 1,768 |
| CSX Corp. | 3.700% | 10/30/20 | 4,212 | 4,302 |
| CSX Corp. | 4.250% | 6/1/21 | 5,865 | 6,073 |
| 1 Delta Air Lines 2007-1 Class A Pass Through Trust | 6.821% | 2/10/24 | 4,290 | 4,780 |
| 1 Delta Air Lines 2009-1 Class A Pass Through Trust | 7.750% | 6/17/21 | 1,491 | 1,588 |
| 1 Delta Air Lines 2010-2 Class A Pass Through Trust | 4.950% | 11/23/20 | 1,253 | 1,274 |
| 1 Delta Air Lines 2012-1 Class A Pass Through Trust | 4.750% | 11/7/21 | 1,322 | 1,355 |
| Delta Air Lines Inc. | 2.875% | 3/13/20 | 5,150 | 5,137 |
| Delta Air Lines Inc. | 2.600% | 12/4/20 | 14,900 | 14,697 |
| Delta Air Lines Inc. | 3.625% | 3/15/22 | 13,900 | 13,908 |
| FedEx Corp. | 2.300% | 2/1/20 | 4,215 | 4,175 |
| FedEx Corp. | 2.625% | 8/1/22 | 6,550 | 6,415 |
| JB Hunt Transport Services Inc. | 2.400% | 3/15/19 | 2,150 | 2,145 |
| JB Hunt Transport Services Inc. | 3.300% | 8/15/22 | 4,900 | 4,888 |
| Norfolk Southern Corp. | 5.900% | 6/15/19 | 6,915 | 7,193 |
| Norfolk Southern Corp. | 3.250% | 12/1/21 | 10,314 | 10,394 |
| Norfolk Southern Corp. | 3.000% | 4/1/22 | 5,925 | 5,903 |
| Norfolk Southern Corp. | 2.903% | 2/15/23 | 9,706 | 9,565 |
| Norfolk Southern Railway Co. | 9.750% | 6/15/20 | 1,980 | 2,277 |
| 1 Northwest Airlines 2007-1 Class A Pass Through Trust | 7.027% | 5/1/21 | 1,460 | 1,547 |
| Ryder System Inc. | 2.550% | 6/1/19 | 6,230 | 6,216 |
| Ryder System Inc. | 2.450% | 9/3/19 | 6,670 | 6,643 |
| Ryder System Inc. | 2.650% | 3/2/20 | 6,100 | 6,067 |
| Ryder System Inc. | 2.500% | 5/11/20 | 5,100 | 5,051 |
| Ryder System Inc. | 2.875% | 9/1/20 | 4,896 | 4,879 |
| Ryder System Inc. | 2.250% | 9/1/21 | 4,490 | 4,346 |
| Ryder System Inc. | 3.450% | 11/15/21 | 250 | 252 |
| Ryder System Inc. | 2.800% | 3/1/22 | 8,075 | 7,949 |
| Ryder System Inc. | 2.500% | 9/1/22 | 1,150 | 1,113 |
| Ryder System Inc. | 3.400% | 3/1/23 | 550 | 550 |
| Southwest Airlines Co. | 2.750% | 11/6/19 | 4,040 | 4,039 |
| Southwest Airlines Co. | 2.650% | 11/5/20 | 5,609 | 5,562 |
| Southwest Airlines Co. | 2.750% | 11/16/22 | 5,700 | 5,606 |
| Union Pacific Corp. | 2.250% | 6/19/20 | 5,850 | 5,800 |
| Union Pacific Corp. | 4.000% | 2/1/21 | 6,854 | 7,091 |
| Union Pacific Corp. | 4.163% | 7/15/22 | 8,225 | 8,590 |
| Union Pacific Corp. | 2.950% | 1/15/23 | 3,982 | 3,964 |
| United Parcel Service Inc. | 5.125% | 4/1/19 | 19,276 | 19,783 |
| United Parcel Service Inc. | 3.125% | 1/15/21 | 16,441 | 16,588 |
| United Parcel Service Inc. | 2.050% | 4/1/21 | 9,975 | 9,777 |
| United Parcel Service Inc. | 2.350% | 5/16/22 | 11,962 | 11,648 |
| United Parcel Service Inc. | 2.450% | 10/1/22 | 12,744 | 12,415 |
| United Parcel Service of America Inc. | 8.375% | 4/1/20 | 2,400 | 2,670 |
| | | | | 13,969,049 |
| Utilities (4.2%) | | | | |
| Electric (3.9%) | | | | |
| AEP Texas Inc. | 2.400% | 10/1/22 | 7,675 | 7,400 |
| Alabama Power Co. | 3.375% | 10/1/20 | 745 | 754 |
| Alabama Power Co. | 2.450% | 3/30/22 | 7,925 | 7,721 |
| Ameren Corp. | 2.700% | 11/15/20 | 7,352 | 7,309 |
| Ameren Illinois Co. | 2.700% | 9/1/22 | 6,835 | 6,719 |
| American Electric Power Co. Inc. | 2.150% | 11/13/20 | 5,950 | 5,838 |
| American Electric Power Co. Inc. | 2.950% | 12/15/22 | 5,751 | 5,683 |
| Appalachian Power Co. | 4.600% | 3/30/21 | 4,500 | 4,700 |
| Arizona Public Service Co. | 8.750% | 3/1/19 | 6,402 | 6,773 |
| Baltimore Gas & Electric Co. | 3.500% | 11/15/21 | 5,347 | 5,430 |
| Berkshire Hathaway Energy Co. | 2.400% | 2/1/20 | 5,000 | 4,970 |
32
| | | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| 2 Berkshire Hathaway Energy Co. | 2.375% | 1/15/21 | 6,330 | 6,242 |
| 2 Berkshire Hathaway Energy Co. | 2.800% | 1/15/23 | 5,400 | 5,284 |
| CenterPoint Energy Houston Electric LLC | 1.850% | 6/1/21 | 8,000 | 7,723 |
| CenterPoint Energy Houston Electric LLC | 2.250% | 8/1/22 | 2,887 | 2,784 |
| CenterPoint Energy Inc. | 2.500% | 9/1/22 | 7,675 | 7,424 |
| CMS Energy Corp. | 8.750% | 6/15/19 | 3,445 | 3,697 |
| CMS Energy Corp. | 6.250% | 2/1/20 | 2,775 | 2,946 |
| CMS Energy Corp. | 5.050% | 3/15/22 | 4,200 | 4,454 |
| Commonwealth Edison Co. | 4.000% | 8/1/20 | 2,625 | 2,691 |
| Commonwealth Edison Co. | 3.400% | 9/1/21 | 7,100 | 7,192 |
| Consolidated Edison Co. of New York Inc. | 6.650% | 4/1/19 | 7,450 | 7,763 |
| Consolidated Edison Co. of New York Inc. | 4.450% | 6/15/20 | 2,750 | 2,854 |
| Consolidated Edison Inc. | 2.000% | 3/15/20 | 7,584 | 7,472 |
| Consolidated Edison Inc. | 2.000% | 5/15/21 | 10,250 | 9,941 |
| Constellation Energy Group Inc. | 5.150% | 12/1/20 | 6,782 | 7,098 |
| Consumers Energy Co. | 6.125% | 3/15/19 | 6,590 | 6,824 |
| Consumers Energy Co. | 6.700% | 9/15/19 | 5,313 | 5,628 |
| Consumers Energy Co. | 5.650% | 4/15/20 | 2,875 | 3,048 |
| Consumers Energy Co. | 2.850% | 5/15/22 | 5,444 | 5,399 |
| Dominion Energy Inc. | 2.962% | 7/1/19 | 9,875 | 9,903 |
| Dominion Energy Inc. | 1.600% | 8/15/19 | 4,403 | 4,337 |
| Dominion Energy Inc. | 5.200% | 8/15/19 | 6,285 | 6,495 |
| Dominion Energy Inc. | 2.500% | 12/1/19 | 14,351 | 14,252 |
| Dominion Energy Inc. | 2.579% | 7/1/20 | 15,001 | 14,817 |
| Dominion Energy Inc. | 4.450% | 3/15/21 | 8,809 | 9,132 |
| Dominion Energy Inc. | 4.104% | 4/1/21 | 5,350 | 5,460 |
| Dominion Energy Inc. | 2.000% | 8/15/21 | 6,545 | 6,287 |
| Dominion Energy Inc. | 2.750% | 1/15/22 | 4,250 | 4,157 |
| Dominion Energy Inc. | 2.750% | 9/15/22 | 550 | 534 |
| DTE Electric Co. | 3.450% | 10/1/20 | 5,050 | 5,121 |
| DTE Energy Co. | 1.500% | 10/1/19 | 4,930 | 4,832 |
| DTE Energy Co. | 2.400% | 12/1/19 | 7,850 | 7,796 |
| DTE Energy Co. | 3.300% | 6/15/22 | 2,000 | 1,994 |
| Duke Energy Carolinas LLC | 4.300% | 6/15/20 | 3,325 | 3,440 |
| Duke Energy Carolinas LLC | 3.900% | 6/15/21 | 5,625 | 5,790 |
| Duke Energy Corp. | 5.050% | 9/15/19 | 7,920 | 8,192 |
| Duke Energy Corp. | 1.800% | 9/1/21 | 15,350 | 14,686 |
| Duke Energy Corp. | 3.550% | 9/15/21 | 7,805 | 7,907 |
| Duke Energy Corp. | 2.400% | 8/15/22 | 7,700 | 7,434 |
| Duke Energy Corp. | 3.050% | 8/15/22 | 8,918 | 8,834 |
| 1 Duke Energy Florida LLC | 2.100% | 12/15/19 | 3,750 | 3,731 |
| Duke Energy Florida LLC | 3.100% | 8/15/21 | 2,925 | 2,945 |
| Duke Energy Indiana LLC | 3.750% | 7/15/20 | 4,350 | 4,450 |
| Duke Energy Ohio Inc. | 5.450% | 4/1/19 | 11,179 | 11,515 |
| Duke Energy Progress Llc | 3.000% | 9/15/21 | 2,500 | 2,507 |
| Duke Energy Progress Llc | 2.800% | 5/15/22 | 7,350 | 7,293 |
| Edison International | 2.125% | 4/15/20 | 7,550 | 7,411 |
| Edison International | 2.400% | 9/15/22 | 4,900 | 4,700 |
| Emera US Finance LP | 2.150% | 6/15/19 | 6,584 | 6,530 |
| Emera US Finance LP | 2.700% | 6/15/21 | 15,820 | 15,508 |
| Entergy Arkansas Inc. | 3.750% | 2/15/21 | 4,592 | 4,685 |
| Entergy Corp. | 5.125% | 9/15/20 | 3,575 | 3,741 |
| Entergy Corp. | 4.000% | 7/15/22 | 10,024 | 10,267 |
| Entergy Gulf States Louisiana LLC | 3.950% | 10/1/20 | 3,810 | 3,901 |
| Eversource Energy | 4.500% | 11/15/19 | 3,432 | 3,526 |
| Eversource Energy | 2.500% | 3/15/21 | 7,000 | 6,898 |
| Eversource Energy | 2.750% | 3/15/22 | 8,550 | 8,384 |
| Exelon Corp. | 2.850% | 6/15/20 | 13,625 | 13,545 |
| Exelon Corp. | 2.450% | 4/15/21 | 4,100 | 4,015 |
| Exelon Corp. | 3.497% | 6/1/22 | 11,495 | 11,458 |
| Exelon Generation Co. LLC | 5.200% | 10/1/19 | 9,610 | 9,940 |
| Exelon Generation Co. LLC | 2.950% | 1/15/20 | 20,346 | 20,346 |
| Exelon Generation Co. LLC | 4.000% | 10/1/20 | 9,851 | 10,050 |
| Exelon Generation Co. LLC | 3.400% | 3/15/22 | 6,000 | 5,989 |
33
Vanguard® Short-Term Corporate Bond Index Fund
Schedule of Investments
February 28, 2018
| | | | |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Exelon Generation Co. LLC | 4.250% | 6/15/22 | 7,334 | 7,587 |
| FirstEnergy Corp. | 2.850% | 7/15/22 | 9,125 | 8,854 |
| Fortis Inc. | 2.100% | 10/4/21 | 13,898 | 13,367 |
| Georgia Power Co. | 4.250% | 12/1/19 | 6,745 | 6,935 |
| Georgia Power Co. | 2.000% | 3/30/20 | 8,430 | 8,312 |
| Georgia Power Co. | 2.000% | 9/8/20 | 3,190 | 3,130 |
| Georgia Power Co. | 2.400% | 4/1/21 | 5,058 | 4,971 |
| Georgia Power Co. | 2.850% | 5/15/22 | 3,800 | 3,754 |
| Great Plains Energy Inc. | 4.850% | 6/1/21 | 4,630 | 4,818 |
| Indiana Michigan Power Co. | 7.000% | 3/15/19 | 5,367 | 5,598 |
| 2 ITC Holdings Corp. | 2.700% | 11/15/22 | 7,025 | 6,849 |
| Kansas City Power & Light Co. | 7.150% | 4/1/19 | 5,488 | 5,743 |
| Kentucky Utilities Co. | 3.250% | 11/1/20 | 3,925 | 3,960 |
| LG&E & KU Energy LLC | 3.750% | 11/15/20 | 6,200 | 6,310 |
| LG&E & KU Energy LLC | 4.375% | 10/1/21 | 1,575 | 1,633 |
| MidAmerican Energy Co. | 2.400% | 3/15/19 | 6,333 | 6,329 |
| National Rural Utilities Cooperative Finance Corp. | 1.500% | 11/1/19 | 2,240 | 2,205 |
| National Rural Utilities Cooperative Finance Corp. | 2.300% | 11/15/19 | 2,415 | 2,405 |
| National Rural Utilities Cooperative Finance Corp. | 2.000% | 1/27/20 | 9,650 | 9,528 |
| National Rural Utilities Cooperative Finance Corp. | 2.350% | 6/15/20 | 3,585 | 3,556 |
| National Rural Utilities Cooperative Finance Corp. | 2.300% | 11/1/20 | 2,115 | 2,089 |
| National Rural Utilities Cooperative Finance Corp. | 2.900% | 3/15/21 | 4,150 | 4,147 |
| National Rural Utilities Cooperative Finance Corp. | 3.050% | 2/15/22 | 6,987 | 6,980 |
| National Rural Utilities Cooperative Finance Corp. | 2.400% | 4/25/22 | 6,930 | 6,739 |
| National Rural Utilities Cooperative Finance Corp. | 2.300% | 9/15/22 | 1,000 | 966 |
| National Rural Utilities Cooperative Finance Corp. | 2.700% | 2/15/23 | 7,770 | 7,590 |
| Nevada Power Co. | 7.125% | 3/15/19 | 11,392 | 11,907 |
| NextEra Energy Capital Holdings Inc. | 2.300% | 4/1/19 | 8,790 | 8,748 |
| NextEra Energy Capital Holdings Inc. | 2.400% | 9/15/19 | 7,070 | 7,034 |
| NextEra Energy Capital Holdings Inc. | 2.700% | 9/15/19 | 5,289 | 5,296 |
| NextEra Energy Capital Holdings Inc. | 4.500% | 6/1/21 | 3,315 | 3,445 |
| NextEra Energy Capital Holdings Inc. | 2.800% | 1/15/23 | 7,000 | 6,856 |
| Northern States Power Co. | 2.200% | 8/15/20 | 3,200 | 3,161 |
| Northern States Power Co. | 2.150% | 8/15/22 | 2,875 | 2,758 |
| NV Energy Inc. | 6.250% | 11/15/20 | 2,750 | 2,974 |
| Oglethorpe Power Corp. | 6.100% | 3/15/19 | 1,915 | 1,976 |
| Ohio Power Co. | 5.375% | 10/1/21 | 5,512 | 5,960 |
| Oncor Electric Delivery Co. LLC | 2.150% | 6/1/19 | 2,599 | 2,580 |
| Oncor Electric Delivery Co. LLC | 4.100% | 6/1/22 | 4,828 | 4,988 |
| Oncor Electric Delivery Co. LLC | 7.000% | 9/1/22 | 9,161 | 10,563 |
| Pacific Gas & Electric Co. | 3.500% | 10/1/20 | 9,159 | 9,279 |
| Pacific Gas & Electric Co. | 4.250% | 5/15/21 | 4,362 | 4,490 |
| Pacific Gas & Electric Co. | 2.450% | 8/15/22 | 6,235 | 5,972 |
| PacifiCorp | 3.850% | 6/15/21 | 4,502 | 4,623 |
| PacifiCorp | 2.950% | 2/1/22 | 6,387 | 6,366 |
| PECO Energy Co. | 1.700% | 9/15/21 | 4,225 | 4,044 |
| PECO Energy Co. | 2.375% | 9/15/22 | 1,875 | 1,818 |
| Pennsylvania Electric Co. | 5.200% | 4/1/20 | 3,725 | 3,880 |
| PG&E Corp. | 2.400% | 3/1/19 | 5,383 | 5,367 |
| Pinnacle West Capital Corp. | 2.250% | 11/30/20 | 4,825 | 4,735 |
| Portland General Electric Co. | 6.100% | 4/15/19 | 2,510 | 2,598 |
| PPL Capital Funding Inc. | 4.200% | 6/15/22 | 7,855 | 8,104 |
| PPL Capital Funding Inc. | 3.500% | 12/1/22 | 3,520 | 3,537 |
| PPL Electric Utilities Corp. | 3.000% | 9/15/21 | 4,300 | 4,309 |
| Progress Energy Inc. | 7.050% | 3/15/19 | 1,485 | 1,551 |
| Progress Energy Inc. | 4.875% | 12/1/19 | 4,856 | 5,032 |
| Progress Energy Inc. | 4.400% | 1/15/21 | 4,475 | 4,617 |
| Progress Energy Inc. | 3.150% | 4/1/22 | 5,762 | 5,729 |
| PSEG Power LLC | 5.125% | 4/15/20 | 4,280 | 4,468 |
| PSEG Power LLC | 3.000% | 6/15/21 | 6,977 | 6,961 |
| Public Service Co. of Colorado | 5.125% | 6/1/19 | 5,000 | 5,138 |
| Public Service Co. of Colorado | 3.200% | 11/15/20 | 3,175 | 3,209 |
| Public Service Co. of Colorado | 2.250% | 9/15/22 | 5,835 | 5,615 |
| Public Service Co. of Oklahoma | 5.150% | 12/1/19 | 1,372 | 1,424 |
34
Vanguard® Short-Term Corporate Bond Index Fund
Schedule of Investments
February 28, 2018
| | | | | |
| | | | | Face | Market |
| | | | Maturity | Amount | Value |
| | | Coupon | Date | ($000) | ($000) |
| | Public Service Electric & Gas Co. | 1.900% | 3/15/21 | 8,350 | 8,113 |
| | Public Service Enterprise Group Inc. | 1.600% | 11/15/19 | 7,450 | 7,298 |
| | Public Service Enterprise Group Inc. | 2.000% | 11/15/21 | 3,450 | 3,286 |
| | Public Service Enterprise Group Inc. | 2.650% | 11/15/22 | 2,550 | 2,475 |
| | Puget Energy Inc. | 6.500% | 12/15/20 | 6,175 | 6,733 |
| | Puget Energy Inc. | 6.000% | 9/1/21 | 6,426 | 6,991 |
| | Puget Energy Inc. | 5.625% | 7/15/22 | 7,725 | 8,358 |
| | San Diego Gas & Electric Co. | 3.000% | 8/15/21 | 3,431 | 3,437 |
| | SCANA Corp. | 4.750% | 5/15/21 | 4,700 | 4,805 |
| 3 | Southern California Edison Co. | 2.900% | 3/1/21 | 8,000 | 7,997 |
| | Southern California Edison Co. | 3.875% | 6/1/21 | 6,600 | 6,776 |
| 1 | Southern California Edison Co. | 1.845% | 2/1/22 | 1,586 | 1,552 |
| | Southern California Edison Co. | 2.400% | 2/1/22 | 4,350 | 4,232 |
| | Southern Co. | 1.850% | 7/1/19 | 12,320 | 12,197 |
| | Southern Co. | 2.150% | 9/1/19 | 5,875 | 5,813 |
| | Southern Co. | 2.750% | 6/15/20 | 9,796 | 9,713 |
| | Southern Co. | 2.350% | 7/1/21 | 15,599 | 15,157 |
| 1 | Southern Co. | 5.500% | 3/15/57 | 5,925 | 6,110 |
| | Southern Power Co. | 1.950% | 12/15/19 | 8,400 | 8,284 |
| | Southern Power Co. | 2.375% | 6/1/20 | 2,460 | 2,427 |
| | Southern Power Co. | 2.500% | 12/15/21 | 5,450 | 5,297 |
| | Tampa Electric Co. | 5.400% | 5/15/21 | 2,225 | 2,370 |
| | TECO Finance Inc. | 5.150% | 3/15/20 | 3,855 | 4,001 |
| | TransAlta Corp. | 4.500% | 11/15/22 | 6,594 | 6,695 |
| | UIL Holdings Corp. | 4.625% | 10/1/20 | 1,220 | 1,262 |
| | Virginia Electric & Power Co. | 5.000% | 6/30/19 | 1,419 | 1,461 |
| | Virginia Electric & Power Co. | 2.950% | 1/15/22 | 4,450 | 4,429 |
| | Virginia Electric & Power Co. | 3.450% | 9/1/22 | 4,765 | 4,822 |
| | WEC Energy Group Inc. | 2.450% | 6/15/20 | 3,813 | 3,780 |
| | Wisconsin Electric Power Co. | 2.950% | 9/15/21 | 2,870 | 2,864 |
| | Xcel Energy Inc. | 4.700% | 5/15/20 | 4,640 | 4,774 |
| | Xcel Energy Inc. | 2.400% | 3/15/21 | 12,995 | 12,754 |
| | Xcel Energy Inc. | 2.600% | 3/15/22 | 3,700 | 3,613 |
| | Natural Gas (0.3%) | | | | |
| | Atmos Energy Corp. | 8.500% | 3/15/19 | 2,787 | 2,952 |
| | CenterPoint Energy Resources Corp. | 4.500% | 1/15/21 | 5,251 | 5,424 |
| | NiSource Finance Corp. | 5.450% | 9/15/20 | 4,425 | 4,675 |
| | NiSource Finance Corp. | 2.650% | 11/17/22 | 5,000 | 4,860 |
| | Sempra Energy | 1.625% | 10/7/19 | 14,368 | 14,126 |
| | Sempra Energy | 2.400% | 2/1/20 | 9,450 | 9,370 |
| | Sempra Energy | 2.400% | 3/15/20 | 9,289 | 9,195 |
| | Sempra Energy | 2.850% | 11/15/20 | 5,572 | 5,546 |
| | Sempra Energy | 2.875% | 10/1/22 | 4,743 | 4,668 |
| | Sempra Energy | 4.050% | 12/1/23 | 300 | 309 |
| | Southern Co. Gas Capital Corp. | 5.250% | 8/15/19 | 2,825 | 2,917 |
| | Southern Co. Gas Capital Corp. | 3.500% | 9/15/21 | 5,100 | 5,131 |
| | | | | | 1,099,012 |
| Total Corporate Bonds (Cost $26,305,269) | | | | 25,900,825 |
| Taxable Municipal Bonds (0.0%) | | | | |
| | Emory University Georgia GO | 5.625% | 9/1/19 | 1,980 | 2,065 |
| | Princeton University New Jersey GO | 4.950% | 3/1/19 | 4,482 | 4,594 |
| | Stanford University California GO | 4.750% | 5/1/19 | 2,800 | 2,870 |
| Total Taxable Municipal Bonds (Cost $9,644) | | | | 9,529 |
35
| | | |
| Vanguard® Short-Term Corporate Bond Index Fund | | | |
| Schedule of Investments | | | |
| February 28, 2018 | | | |
| |
| | | | Market |
| | | | Value |
| | Coupon | Shares | ($000) |
| Temporary Cash Investment (0.3%) | | | |
| Money Market Fund (0.3%) | | | |
| 5 Vanguard Market Liquidity Fund (Cost $89,584) | 1.601% | 895,917 | 89,583 |
| Total Investments (99.6%) (Cost $26,443,696) | | | 26,039,075 |
| Other Assets and Liabilities—Net (0.4%) | | | 105,144 |
| Net Assets (100%) | | | 26,144,219 |
1 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the
possibility of the issue being called.
2 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration,
normally to qualified institutional buyers. At February 28, 2018, the aggregate value of these securities was $419,633,000, representing 1.6% of net assets.
3 Security value determined using significant unobservable inputs.
4 Securities with a value of $4,045,000 have been segregated as initial margin for recently closed futures contracts.
5 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.
36
| | | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | | Face | Market |
| | | | Maturity | Amount | Value |
| | | Coupon | Date | ($000) | ($000) |
| U.S. Government and Agency Obligations (0.9%) | | | | |
| U.S. Government Securities (0.9%) | | | | |
| | United States Treasury Note/Bond | 2.625% | 2/28/23 | 8,340 | 8,331 |
| | United States Treasury Note/Bond | 2.500% | 1/31/25 | 187,600 | 184,112 |
| Total U.S. Government and Agency Obligations (Cost $192,375) | | | | 192,443 |
| Corporate Bonds (98.0%) | | | | |
| Finance (35.3%) | | | | |
| | Banking (24.0%) | | | | |
| | American Express Co. | 3.000% | 10/30/24 | 25,650 | 24,746 |
| | American Express Co. | 3.625% | 12/5/24 | 8,432 | 8,428 |
| | American Express Credit Corp. | 3.300% | 5/3/27 | 26,636 | 25,808 |
| | Associated Banc-Corp | 4.250% | 1/15/25 | 500 | 501 |
| | Australia & New Zealand Banking Group Ltd. | 3.700% | 11/16/25 | 6,350 | 6,402 |
| | Banco Santander SA | 4.250% | 4/11/27 | 18,002 | 17,977 |
| | Banco Santander SA | 3.800% | 2/23/28 | 1,765 | 1,701 |
| | Bank of America Corp. | 4.100% | 7/24/23 | 27,674 | 28,610 |
| | Bank of America Corp. | 4.125% | 1/22/24 | 29,207 | 30,159 |
| | Bank of America Corp. | 4.000% | 4/1/24 | 28,222 | 28,946 |
| | Bank of America Corp. | 4.200% | 8/26/24 | 40,292 | 41,170 |
| | Bank of America Corp. | 4.000% | 1/22/25 | 31,633 | 31,845 |
| | Bank of America Corp. | 3.950% | 4/21/25 | 36,837 | 36,863 |
| | Bank of America Corp. | 3.875% | 8/1/25 | 6,113 | 6,179 |
| 1 | Bank of America Corp. | 3.093% | 10/1/25 | 26,225 | 25,336 |
| 1 | Bank of America Corp. | 3.366% | 1/23/26 | 23,850 | 23,287 |
| | Bank of America Corp. | 4.450% | 3/3/26 | 35,756 | 36,681 |
| | Bank of America Corp. | 3.500% | 4/19/26 | 39,529 | 38,983 |
| | Bank of America Corp. | 6.220% | 9/15/26 | 400 | 455 |
| | Bank of America Corp. | 4.250% | 10/22/26 | 32,269 | 32,575 |
| | Bank of America Corp. | 3.248% | 10/21/27 | 37,832 | 35,930 |
| | Bank of America Corp. | 4.183% | 11/25/27 | 23,884 | 23,909 |
| 1 | Bank of America Corp. | 3.824% | 1/20/28 | 30,175 | 29,941 |
| 1 | Bank of America Corp. | 3.705% | 4/24/28 | 28,350 | 27,825 |
| 1 | Bank of America Corp. | 3.593% | 7/21/28 | 31,900 | 30,994 |
| 1,2 | Bank of America Corp. | 3.419% | 12/20/28 | 108,744 | 104,103 |
| 1 | Bank of America Corp. | 3.970% | 3/5/29 | 28,325 | 28,205 |
| 1 | Bank of Montreal | 3.803% | 12/15/32 | 9,150 | 8,753 |
| | Bank of New York Mellon Corp. | 2.200% | 8/16/23 | 13,222 | 12,484 |
| | Bank of New York Mellon Corp. | 3.650% | 2/4/24 | 11,546 | 11,755 |
| | Bank of New York Mellon Corp. | 3.400% | 5/15/24 | 5,766 | 5,764 |
| | Bank of New York Mellon Corp. | 3.250% | 9/11/24 | 9,028 | 8,921 |
| | Bank of New York Mellon Corp. | 3.000% | 2/24/25 | 10,244 | 9,931 |
| | Bank of New York Mellon Corp. | 3.950% | 11/18/25 | 4,350 | 4,466 |
| | Bank of New York Mellon Corp. | 2.800% | 5/4/26 | 6,590 | 6,211 |
| | Bank of New York Mellon Corp. | 2.450% | 8/17/26 | 10,710 | 9,798 |
| | Bank of New York Mellon Corp. | 3.250% | 5/16/27 | 13,275 | 12,884 |
| | Bank of New York Mellon Corp. | 3.400% | 1/29/28 | 10,730 | 10,449 |
| 1 | Bank of New York Mellon Corp. | 3.442% | 2/7/28 | 11,670 | 11,479 |
| | Bank of Nova Scotia | 4.500% | 12/16/25 | 16,930 | 17,311 |
| | Bank One Corp. | 7.625% | 10/15/26 | 7,020 | 8,745 |
| | Bank One Corp. | 8.000% | 4/29/27 | 8,410 | 10,842 |
| | Barclays Bank plc | 3.750% | 5/15/24 | 1,600 | 1,603 |
| | Barclays plc | 4.375% | 9/11/24 | 16,478 | 16,154 |
| | Barclays plc | 3.650% | 3/16/25 | 27,932 | 26,875 |
| | Barclays plc | 4.375% | 1/12/26 | 28,298 | 28,310 |
| | Barclays plc | 5.200% | 5/12/26 | 25,556 | 25,942 |
| | Barclays plc | 4.337% | 1/10/28 | 21,850 | 21,709 |
| | BB&T Corp. | 2.850% | 10/26/24 | 16,295 | 15,739 |
| | BNP Paribas SA | 3.250% | 3/3/23 | 16,120 | 16,003 |
| | BNP Paribas SA | 4.250% | 10/15/24 | 11,568 | 11,816 |
| | BPCE SA | 4.000% | 4/15/24 | 19,246 | 19,635 |
| | BPCE SA | 3.375% | 12/2/26 | 4,475 | 4,335 |
| 2 | BPCE SA | 3.250% | 1/11/28 | 3,975 | 3,778 |
37
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Branch Banking & Trust Co. | 3.625% | 9/16/25 | 20,145 | 20,141 |
| Branch Banking & Trust Co. | 3.800% | 10/30/26 | 9,122 | 9,203 |
| Capital One Financial Corp. | 3.500% | 6/15/23 | 11,907 | 11,862 |
| Capital One Financial Corp. | 3.750% | 4/24/24 | 13,381 | 13,419 |
| Capital One Financial Corp. | 3.300% | 10/30/24 | 18,120 | 17,583 |
| Capital One Financial Corp. | 3.200% | 2/5/25 | 12,170 | 11,644 |
| Capital One Financial Corp. | 4.200% | 10/29/25 | 25,575 | 25,365 |
| Capital One Financial Corp. | 3.750% | 7/28/26 | 13,410 | 12,796 |
| Capital One Financial Corp. | 3.750% | 3/9/27 | 18,747 | 18,222 |
| Capital One Financial Corp. | 3.800% | 1/31/28 | 19,350 | 18,744 |
| Citigroup Inc. | 3.375% | 3/1/23 | 2,750 | 2,736 |
| Citigroup Inc. | 3.500% | 5/15/23 | 18,751 | 18,673 |
| Citigroup Inc. | 3.875% | 10/25/23 | 14,134 | 14,405 |
| Citigroup Inc. | 3.750% | 6/16/24 | 12,752 | 12,889 |
| Citigroup Inc. | 4.000% | 8/5/24 | 10,450 | 10,569 |
| Citigroup Inc. | 3.875% | 3/26/25 | 15,858 | 15,768 |
| Citigroup Inc. | 3.300% | 4/27/25 | 16,122 | 15,741 |
| Citigroup Inc. | 4.400% | 6/10/25 | 32,000 | 32,844 |
| Citigroup Inc. | 5.500% | 9/13/25 | 20,939 | 22,910 |
| Citigroup Inc. | 3.700% | 1/12/26 | 31,941 | 31,729 |
| Citigroup Inc. | 4.600% | 3/9/26 | 23,294 | 24,054 |
| Citigroup Inc. | 3.400% | 5/1/26 | 21,053 | 20,440 |
| Citigroup Inc. | 3.200% | 10/21/26 | 46,127 | 43,882 |
| Citigroup Inc. | 4.300% | 11/20/26 | 13,376 | 13,572 |
| Citigroup Inc. | 4.450% | 9/29/27 | 48,255 | 49,128 |
| 1 Citigroup Inc. | 3.887% | 1/10/28 | 44,350 | 44,148 |
| Citigroup Inc. | 6.625% | 1/15/28 | 825 | 984 |
| 1 Citigroup Inc. | 3.668% | 7/24/28 | 33,400 | 32,646 |
| 1 Citigroup Inc. | 3.520% | 10/27/28 | 28,700 | 27,648 |
| Citizens Financial Group Inc. | 4.300% | 12/3/25 | 8,073 | 8,211 |
| Comerica Bank | 4.000% | 7/27/25 | 3,800 | 3,817 |
| Comerica Inc. | 3.800% | 7/22/26 | 159 | 156 |
| Compass Bank | 3.875% | 4/10/25 | 9,173 | 8,954 |
| Cooperatieve Rabobank UA | 4.625% | 12/1/23 | 32,281 | 33,662 |
| Cooperatieve Rabobank UA | 3.375% | 5/21/25 | 10,270 | 10,138 |
| Cooperatieve Rabobank UA | 4.375% | 8/4/25 | 17,883 | 18,117 |
| Cooperatieve Rabobank UA | 3.750% | 7/21/26 | 22,556 | 21,910 |
| Credit Suisse AG | 3.625% | 9/9/24 | 41,938 | 41,763 |
| 2 Credit Suisse Group AG | 3.574% | 1/9/23 | 3,250 | 3,246 |
| 2 Credit Suisse Group AG | 4.282% | 1/9/28 | 5,300 | 5,323 |
| Credit Suisse Group Funding Guernsey Ltd. | 3.800% | 6/9/23 | 22,680 | 22,767 |
| Credit Suisse Group Funding Guernsey Ltd. | 3.750% | 3/26/25 | 24,042 | 23,663 |
| Credit Suisse Group Funding Guernsey Ltd. | 4.550% | 4/17/26 | 29,385 | 30,459 |
| Deutsche Bank AG | 3.700% | 5/30/24 | 25,869 | 25,194 |
| Deutsche Bank AG | 4.100% | 1/13/26 | 8,785 | 8,578 |
| Discover Bank | 4.200% | 8/8/23 | 18,388 | 18,884 |
| Discover Bank | 4.250% | 3/13/26 | 3,518 | 3,535 |
| Discover Bank | 3.450% | 7/27/26 | 16,708 | 15,831 |
| Discover Financial Services | 3.950% | 11/6/24 | 4,708 | 4,709 |
| Discover Financial Services | 3.750% | 3/4/25 | 9,389 | 9,209 |
| Discover Financial Services | 4.100% | 2/9/27 | 8,311 | 8,193 |
| Fifth Third Bancorp | 4.300% | 1/16/24 | 11,388 | 11,767 |
| Fifth Third Bank | 3.850% | 3/15/26 | 11,652 | 11,551 |
| FirstMerit Bank NA | 4.270% | 11/25/26 | 450 | 450 |
| FirstMerit Corp. | 4.350% | 2/4/23 | 1,600 | 1,636 |
| Goldman Sachs Group Inc. | 4.000% | 3/3/24 | 42,333 | 43,017 |
| Goldman Sachs Group Inc. | 3.850% | 7/8/24 | 30,397 | 30,615 |
| Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 40,135 | 39,416 |
| Goldman Sachs Group Inc. | 3.750% | 5/22/25 | 27,120 | 26,893 |
| 1 Goldman Sachs Group Inc. | 3.272% | 9/29/25 | 33,525 | 32,149 |
| Goldman Sachs Group Inc. | 4.250% | 10/21/25 | 27,420 | 27,636 |
| Goldman Sachs Group Inc. | 3.750% | 2/25/26 | 22,606 | 22,311 |
| Goldman Sachs Group Inc. | 3.500% | 11/16/26 | 40,572 | 38,982 |
| Goldman Sachs Group Inc. | 5.950% | 1/15/27 | 11,387 | 12,753 |
38
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Goldman Sachs Group Inc. | 3.850% | 1/26/27 | 33,333 | 32,890 |
| 1 Goldman Sachs Group Inc. | 3.691% | 6/5/28 | 31,000 | 30,035 |
| 1 Goldman Sachs Group Inc. | 3.814% | 4/23/29 | 10,025 | 9,789 |
| HSBC Holdings plc | 5.100% | 4/5/21 | — | — |
| HSBC Holdings plc | 3.600% | 5/25/23 | 28,656 | 28,738 |
| HSBC Holdings plc | 4.250% | 3/14/24 | 26,971 | 27,245 |
| HSBC Holdings plc | 4.250% | 8/18/25 | 25,499 | 25,405 |
| HSBC Holdings plc | 4.300% | 3/8/26 | 39,570 | 40,684 |
| HSBC Holdings plc | 3.900% | 5/25/26 | 33,379 | 33,359 |
| HSBC Holdings plc | 4.375% | 11/23/26 | 26,428 | 26,516 |
| 1 HSBC Holdings plc | 4.041% | 3/13/28 | 31,220 | 31,335 |
| HSBC USA Inc. | 3.500% | 6/23/24 | 8,935 | 8,886 |
| ING Groep NV | 3.950% | 3/29/27 | 20,000 | 19,988 |
| Intesa Sanpaolo SPA | 5.250% | 1/12/24 | 10,052 | 10,708 |
| 2 Intesa Sanpaolo SPA | 3.875% | 1/12/28 | 2,700 | 2,573 |
| JPMorgan Chase & Co. | 3.375% | 5/1/23 | 30,732 | 30,540 |
| JPMorgan Chase & Co. | 2.700% | 5/18/23 | 30,023 | 29,100 |
| JPMorgan Chase & Co. | 3.875% | 2/1/24 | 21,949 | 22,388 |
| JPMorgan Chase & Co. | 3.625% | 5/13/24 | 35,855 | 36,047 |
| JPMorgan Chase & Co. | 3.875% | 9/10/24 | 46,916 | 47,232 |
| JPMorgan Chase & Co. | 3.125% | 1/23/25 | 38,270 | 37,173 |
| 1 JPMorgan Chase & Co. | 3.220% | 3/1/25 | 19,439 | 19,119 |
| JPMorgan Chase & Co. | 3.900% | 7/15/25 | 41,604 | 42,221 |
| JPMorgan Chase & Co. | 3.300% | 4/1/26 | 43,805 | 42,417 |
| JPMorgan Chase & Co. | 3.200% | 6/15/26 | 29,040 | 27,875 |
| JPMorgan Chase & Co. | 2.950% | 10/1/26 | 29,185 | 27,472 |
| JPMorgan Chase & Co. | 4.125% | 12/15/26 | 33,282 | 33,640 |
| JPMorgan Chase & Co. | 4.250% | 10/1/27 | 18,275 | 18,580 |
| JPMorgan Chase & Co. | 3.625% | 12/1/27 | 4,105 | 3,963 |
| 1 JPMorgan Chase & Co. | 3.782% | 2/1/28 | 31,732 | 31,598 |
| 1 JPMorgan Chase & Co. | 3.540% | 5/1/28 | 28,475 | 27,695 |
| 1 JPMorgan Chase & Co. | 3.509% | 1/23/29 | 23,100 | 22,406 |
| KeyBank NA | 3.300% | 6/1/25 | 5,595 | 5,525 |
| KeyBank NA | 3.400% | 5/20/26 | 10,586 | 10,211 |
| KeyBank NA | 6.950% | 2/1/28 | 1,474 | 1,815 |
| Lloyds Banking Group plc | 4.500% | 11/4/24 | 14,099 | 14,319 |
| Lloyds Banking Group plc | 4.582% | 12/10/25 | 18,251 | 18,445 |
| Lloyds Banking Group plc | 4.650% | 3/24/26 | 17,301 | 17,559 |
| Lloyds Banking Group plc | 3.750% | 1/11/27 | 25,406 | 24,699 |
| 1 Lloyds Banking Group plc | 3.574% | 11/7/28 | 15,000 | 14,204 |
| Manufacturers & Traders Trust Co. | 2.900% | 2/6/25 | 11,150 | 10,763 |
| Manufacturers & Traders Trust Co. | 3.400% | 8/17/27 | 4,457 | 4,348 |
| Mitsubishi UFJ Financial Group Inc. | 2.527% | 9/13/23 | 8,300 | 7,898 |
| Mitsubishi UFJ Financial Group Inc. | 3.777% | 3/2/25 | 16,000 | 16,017 |
| Mitsubishi UFJ Financial Group Inc. | 3.850% | 3/1/26 | 31,689 | 31,715 |
| Mitsubishi UFJ Financial Group Inc. | 2.757% | 9/13/26 | 6,550 | 6,057 |
| Mitsubishi UFJ Financial Group Inc. | 3.677% | 2/22/27 | 16,895 | 16,678 |
| Mitsubishi UFJ Financial Group Inc. | 3.287% | 7/25/27 | 22,325 | 21,396 |
| Mitsubishi UFJ Financial Group Inc. | 3.961% | 3/2/28 | 6,600 | 6,623 |
| Mizuho Financial Group Inc. | 2.839% | 9/13/26 | 11,225 | 10,424 |
| Mizuho Financial Group Inc. | 3.663% | 2/28/27 | 3,400 | 3,343 |
| Mizuho Financial Group Inc. | 3.170% | 9/11/27 | 20,060 | 18,907 |
| 3 Mizuho Financial Group Inc. | 4.018% | 3/5/28 | 15,000 | 15,000 |
| Morgan Stanley | 4.100% | 5/22/23 | 28,478 | 28,935 |
| Morgan Stanley | 3.875% | 4/29/24 | 43,762 | 44,209 |
| Morgan Stanley | 3.700% | 10/23/24 | 37,662 | 37,622 |
| Morgan Stanley | 4.000% | 7/23/25 | 35,516 | 35,974 |
| Morgan Stanley | 5.000% | 11/24/25 | 32,568 | 34,673 |
| Morgan Stanley | 3.875% | 1/27/26 | 43,223 | 43,330 |
| Morgan Stanley | 3.125% | 7/27/26 | 38,222 | 36,254 |
| Morgan Stanley | 6.250% | 8/9/26 | 9,490 | 10,956 |
| Morgan Stanley | 4.350% | 9/8/26 | 31,064 | 31,533 |
| Morgan Stanley | 3.625% | 1/20/27 | 37,601 | 36,781 |
| Morgan Stanley | 3.950% | 4/23/27 | 31,295 | 30,733 |
39
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| 1 Morgan Stanley | 3.591% | 7/22/28 | 41,530 | 39,996 |
| 1 Morgan Stanley | 3.772% | 1/24/29 | 40,600 | 39,596 |
| MUFG Americas Holdings Corp. | 3.000% | 2/10/25 | 3,874 | 3,756 |
| National Australia Bank Ltd. | 2.875% | 4/12/23 | 5,000 | 4,883 |
| National Australia Bank Ltd. | 3.375% | 1/14/26 | 8,275 | 8,088 |
| National Australia Bank Ltd. | 2.500% | 7/12/26 | 15,820 | 14,446 |
| Northern Trust Corp. | 3.950% | 10/30/25 | 10,621 | 10,919 |
| 1 Northern Trust Corp. | 3.375% | 5/8/32 | 3,175 | 3,048 |
| People's United Bank NA | 4.000% | 7/15/24 | 1,500 | 1,508 |
| PNC Bank NA | 3.800% | 7/25/23 | 9,152 | 9,299 |
| PNC Bank NA | 3.300% | 10/30/24 | 6,650 | 6,597 |
| PNC Bank NA | 2.950% | 2/23/25 | 8,446 | 8,162 |
| PNC Bank NA | 3.250% | 6/1/25 | 11,834 | 11,634 |
| PNC Bank NA | 4.200% | 11/1/25 | 6,375 | 6,598 |
| PNC Bank NA | 3.100% | 10/25/27 | 11,250 | 10,743 |
| PNC Bank NA | 3.250% | 1/22/28 | 13,475 | 13,033 |
| PNC Financial Services Group Inc. | 3.900% | 4/29/24 | 11,025 | 11,205 |
| PNC Financial Services Group Inc. | 3.150% | 5/19/27 | 13,470 | 12,959 |
| Royal Bank of Canada | 4.650% | 1/27/26 | 19,939 | 20,689 |
| Royal Bank of Scotland Group plc | 3.875% | 9/12/23 | 44,568 | 44,297 |
| Royal Bank of Scotland Group plc | 4.800% | 4/5/26 | 14,150 | 14,602 |
| Santander Holdings USA Inc. | 4.500% | 7/17/25 | 21,208 | 21,489 |
| 2 Santander Holdings USA Inc. | 4.400% | 7/13/27 | 13,004 | 12,819 |
| Santander Issuances SAU | 5.179% | 11/19/25 | 16,260 | 17,017 |
| 1 Santander UK Group Holdings plc | 3.823% | 11/3/28 | 13,100 | 12,511 |
| Santander UK plc | 4.000% | 3/13/24 | 15,691 | 15,987 |
| State Street Corp. | 3.100% | 5/15/23 | 13,715 | 13,509 |
| State Street Corp. | 3.700% | 11/20/23 | 14,500 | 14,855 |
| State Street Corp. | 3.300% | 12/16/24 | 11,306 | 11,226 |
| State Street Corp. | 3.550% | 8/18/25 | 16,013 | 16,057 |
| State Street Corp. | 2.650% | 5/19/26 | 11,881 | 11,062 |
| Sumitomo Mitsui Banking Corp. | 3.950% | 7/19/23 | 4,600 | 4,687 |
| Sumitomo Mitsui Banking Corp. | 3.950% | 1/10/24 | 3,180 | 3,252 |
| Sumitomo Mitsui Banking Corp. | 3.400% | 7/11/24 | 11,450 | 11,341 |
| Sumitomo Mitsui Banking Corp. | 3.650% | 7/23/25 | 2,500 | 2,499 |
| Sumitomo Mitsui Financial Group Inc. | 3.784% | 3/9/26 | 20,194 | 20,133 |
| Sumitomo Mitsui Financial Group Inc. | 2.632% | 7/14/26 | 36,522 | 33,395 |
| Sumitomo Mitsui Financial Group Inc. | 3.010% | 10/19/26 | 27,465 | 25,846 |
| Sumitomo Mitsui Financial Group Inc. | 3.446% | 1/11/27 | 14,980 | 14,564 |
| Sumitomo Mitsui Financial Group Inc. | 3.364% | 7/12/27 | 12,900 | 12,433 |
| Sumitomo Mitsui Financial Group Inc. | 3.352% | 10/18/27 | 10,975 | 10,566 |
| Sumitomo Mitsui Financial Group Inc. | 3.544% | 1/17/28 | 14,500 | 14,152 |
| SunTrust Bank | 3.000% | 2/2/23 | 2,950 | 2,904 |
| SunTrust Bank | 2.750% | 5/1/23 | 4,750 | 4,619 |
| SunTrust Bank | 3.300% | 5/15/26 | 9,937 | 9,516 |
| SVB Financial Group | 3.500% | 1/29/25 | 3,490 | 3,404 |
| Synchrony Financial | 4.250% | 8/15/24 | 24,118 | 24,305 |
| Synchrony Financial | 4.500% | 7/23/25 | 15,183 | 15,407 |
| Synchrony Financial | 3.700% | 8/4/26 | 10,654 | 10,193 |
| Synchrony Financial | 3.950% | 12/1/27 | 11,300 | 10,850 |
| 1 Toronto-Dominion Bank | 3.625% | 9/15/31 | 20,025 | 19,308 |
| US Bancorp | 3.700% | 1/30/24 | 14,938 | 15,258 |
| US Bancorp | 3.600% | 9/11/24 | 11,890 | 12,030 |
| US Bancorp | 3.100% | 4/27/26 | 13,491 | 12,891 |
| US Bancorp | 2.375% | 7/22/26 | 12,825 | 11,654 |
| US Bancorp | 3.150% | 4/27/27 | 15,653 | 15,039 |
| US Bank NA | 2.800% | 1/27/25 | 14,658 | 14,061 |
| Wachovia Corp. | 6.605% | 10/1/25 | 475 | 551 |
| Wachovia Corp. | 7.574% | 8/1/26 | 1,902 | 2,343 |
| Wells Fargo & Co. | 4.125% | 8/15/23 | 21,538 | 22,042 |
| Wells Fargo & Co. | 4.480% | 1/16/24 | 8,935 | 9,320 |
| Wells Fargo & Co. | 3.300% | 9/9/24 | 33,933 | 33,428 |
| Wells Fargo & Co. | 3.000% | 2/19/25 | 31,817 | 30,427 |
| Wells Fargo & Co. | 3.550% | 9/29/25 | 36,507 | 36,176 |
40
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Wells Fargo & Co. | 3.000% | 4/22/26 | 48,433 | 45,846 |
| Wells Fargo & Co. | 4.100% | 6/3/26 | 42,039 | 42,014 |
| Wells Fargo & Co. | 3.000% | 10/23/26 | 44,335 | 41,905 |
| Wells Fargo & Co. | 4.300% | 7/22/27 | 34,295 | 34,749 |
| 1 Wells Fargo & Co. | 3.584% | 5/22/28 | 38,971 | 37,940 |
| Westpac Banking Corp. | 2.850% | 5/13/26 | 23,740 | 22,311 |
| Westpac Banking Corp. | 2.700% | 8/19/26 | 10,594 | 9,795 |
| Westpac Banking Corp. | 3.350% | 3/8/27 | 19,441 | 18,825 |
| Westpac Banking Corp. | 3.400% | 1/25/28 | 15,000 | 14,547 |
| 1 Westpac Banking Corp. | 4.322% | 11/23/31 | 16,600 | 16,509 |
| Brokerage (1.4%) | | | | |
| Affiliated Managers Group Inc. | 4.250% | 2/15/24 | 5,727 | 5,907 |
| Affiliated Managers Group Inc. | 3.500% | 8/1/25 | 2,191 | 2,146 |
| Ameriprise Financial Inc. | 4.000% | 10/15/23 | 13,834 | 14,292 |
| Ameriprise Financial Inc. | 3.700% | 10/15/24 | 7,950 | 8,049 |
| Ameriprise Financial Inc. | 2.875% | 9/15/26 | 6,280 | 5,927 |
| Apollo Investment Corp. | 5.250% | 3/3/25 | 4,385 | 4,444 |
| BlackRock Inc. | 3.500% | 3/18/24 | 16,905 | 17,146 |
| BlackRock Inc. | 3.200% | 3/15/27 | 9,200 | 8,947 |
| Brookfield Asset Management Inc. | 4.000% | 1/15/25 | 4,443 | 4,451 |
| Brookfield Finance Inc. | 4.250% | 6/2/26 | 4,910 | 4,931 |
| Brookfield Finance Inc. | 3.900% | 1/25/28 | 9,000 | 8,763 |
| Brookfield Finance LLC | 4.000% | 4/1/24 | 6,764 | 6,841 |
| Cboe Global Markets Inc. | 3.650% | 1/12/27 | 9,083 | 8,972 |
| Charles Schwab Corp. | 3.225% | 9/1/22 | 1,500 | 1,491 |
| Charles Schwab Corp. | 3.000% | 3/10/25 | 2,009 | 1,946 |
| Charles Schwab Corp. | 3.450% | 2/13/26 | 3,845 | 3,815 |
| Charles Schwab Corp. | 3.200% | 3/2/27 | 12,108 | 11,732 |
| Charles Schwab Corp. | 3.200% | 1/25/28 | 9,745 | 9,424 |
| CME Group Inc. | 3.000% | 3/15/25 | 10,250 | 10,017 |
| E*TRADE Financial Corp. | 3.800% | 8/24/27 | 5,300 | 5,149 |
| Eaton Vance Corp. | 3.625% | 6/15/23 | 2,100 | 2,118 |
| Eaton Vance Corp. | 3.500% | 4/6/27 | 5,205 | 5,116 |
| Franklin Resources Inc. | 2.850% | 3/30/25 | 5,102 | 4,927 |
| Intercontinental Exchange Inc. | 4.000% | 10/15/23 | 9,593 | 9,921 |
| Intercontinental Exchange Inc. | 3.750% | 12/1/25 | 17,310 | 17,516 |
| Intercontinental Exchange Inc. | 3.100% | 9/15/27 | 4,265 | 4,088 |
| Invesco Finance plc | 4.000% | 1/30/24 | 6,514 | 6,715 |
| Invesco Finance plc | 3.750% | 1/15/26 | 7,340 | 7,311 |
| Janus Capital Group Inc. | 4.875% | 8/1/25 | 3,710 | 3,871 |
| Jefferies Group LLC | 4.850% | 1/15/27 | 13,121 | 13,552 |
| Jefferies Group LLC | 6.450% | 6/8/27 | 4,459 | 5,015 |
| Lazard Group LLC | 3.750% | 2/13/25 | 3,035 | 3,004 |
| Lazard Group LLC | 3.625% | 3/1/27 | 5,225 | 5,071 |
| Legg Mason Inc. | 3.950% | 7/15/24 | 1,265 | 1,261 |
| Legg Mason Inc. | 4.750% | 3/15/26 | 4,600 | 4,816 |
| Leucadia National Corp. | 5.500% | 10/18/23 | 9,226 | 9,685 |
| Nasdaq Inc. | 4.250% | 6/1/24 | 5,638 | 5,789 |
| Nasdaq Inc. | 3.850% | 6/30/26 | 8,927 | 8,824 |
| Raymond James Financial Inc. | 3.625% | 9/15/26 | 5,792 | 5,649 |
| Stifel Financial Corp. | 4.250% | 7/18/24 | 5,955 | 5,959 |
| TD Ameritrade Holding Corp. | 3.625% | 4/1/25 | 6,686 | 6,750 |
| TD Ameritrade Holding Corp. | 3.300% | 4/1/27 | 12,715 | 12,395 |
| Finance Companies (0.6%) | | | | |
| AerCap Ireland Capital DAC / AerCap Global Aviation | | | | |
| Trust | 3.500% | 1/15/25 | 8,285 | 7,954 |
| AerCap Ireland Capital DAC / AerCap Global Aviation | | | | |
| Trust | 3.650% | 7/21/27 | 17,374 | 16,310 |
| AerCap Ireland Capital DAC / AerCap Global Aviation | | | | |
| Trust | 3.875% | 1/23/28 | 5,400 | 5,157 |
| Air Lease Corp. | 3.000% | 9/15/23 | 11,877 | 11,511 |
| Air Lease Corp. | 4.250% | 9/15/24 | 6,568 | 6,738 |
| Air Lease Corp. | 3.250% | 3/1/25 | 11,200 | 10,739 |
41
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Air Lease Corp. | 3.625% | 4/1/27 | 9,295 | 8,883 |
| Air Lease Corp. | 3.625% | 12/1/27 | 5,950 | 5,675 |
| Ares Capital Corp. | 4.250% | 3/1/25 | 8,200 | 8,035 |
| GATX Corp. | 3.900% | 3/30/23 | 1,775 | 1,789 |
| GATX Corp. | 3.250% | 3/30/25 | 2,650 | 2,543 |
| GATX Corp. | 3.250% | 9/15/26 | 4,160 | 3,925 |
| GATX Corp. | 3.850% | 3/30/27 | 1,590 | 1,560 |
| GE Capital International Funding Co. Unlimited Co. | 3.373% | 11/15/25 | 29,162 | 28,019 |
| Insurance (4.2%) | | | | |
| Aetna Inc. | 2.800% | 6/15/23 | 18,654 | 17,890 |
| Aetna Inc. | 3.500% | 11/15/24 | 10,375 | 10,181 |
| Aflac Inc. | 3.625% | 6/15/23 | 10,205 | 10,350 |
| Aflac Inc. | 3.625% | 11/15/24 | 10,251 | 10,352 |
| Aflac Inc. | 3.250% | 3/17/25 | 3,775 | 3,717 |
| Aflac Inc. | 2.875% | 10/15/26 | 5,905 | 5,604 |
| Allied World Assurance Co. Holdings Ltd. | 4.350% | 10/29/25 | 5,223 | 5,142 |
| Allstate Corp. | 3.150% | 6/15/23 | 8,217 | 8,182 |
| Allstate Corp. | 3.280% | 12/15/26 | 7,744 | 7,548 |
| 1 Allstate Corp. | 5.750% | 8/15/53 | 10,705 | 11,468 |
| American Financial Group Inc. | 3.500% | 8/15/26 | 5,745 | 5,549 |
| American International Group Inc. | 4.125% | 2/15/24 | 13,215 | 13,521 |
| American International Group Inc. | 3.750% | 7/10/25 | 17,707 | 17,617 |
| American International Group Inc. | 3.900% | 4/1/26 | 20,809 | 20,715 |
| Anthem Inc. | 3.500% | 8/15/24 | 10,059 | 9,928 |
| Anthem Inc. | 3.350% | 12/1/24 | 12,978 | 12,672 |
| Anthem Inc. | 3.650% | 12/1/27 | 20,005 | 19,399 |
| Aon Corp. | 8.205% | 1/1/27 | 3,696 | 4,712 |
| Aon plc | 4.000% | 11/27/23 | 9,355 | 9,626 |
| Aon plc | 3.500% | 6/14/24 | 8,202 | 8,181 |
| Aon plc | 3.875% | 12/15/25 | 12,385 | 12,507 |
| Arch Capital Finance LLC | 4.011% | 12/15/26 | 8,987 | 9,075 |
| Aspen Insurance Holdings Ltd. | 4.650% | 11/15/23 | 4,240 | 4,419 |
| Assurant Inc. | 4.000% | 3/15/23 | 4,970 | 5,011 |
| Assured Guaranty US Holdings Inc. | 5.000% | 7/1/24 | 7,096 | 7,559 |
| Athene Holding Ltd. | 4.125% | 1/12/28 | 13,650 | 13,132 |
| AXIS Specialty Finance plc | 4.000% | 12/6/27 | 6,170 | 6,020 |
| Berkshire Hathaway Inc. | 2.750% | 3/15/23 | 31,151 | 30,620 |
| Berkshire Hathaway Inc. | 3.125% | 3/15/26 | 30,544 | 29,689 |
| 2 Brighthouse Financial Inc. | 3.700% | 6/22/27 | 19,599 | 18,300 |
| Brown & Brown Inc. | 4.200% | 9/15/24 | 5,985 | 6,109 |
| Chubb INA Holdings Inc. | 2.700% | 3/13/23 | 5,795 | 5,662 |
| Chubb INA Holdings Inc. | 3.350% | 5/15/24 | 3,218 | 3,212 |
| Chubb INA Holdings Inc. | 3.150% | 3/15/25 | 11,055 | 10,817 |
| Chubb INA Holdings Inc. | 3.350% | 5/3/26 | 24,791 | 24,359 |
| Cigna Corp. | 3.250% | 4/15/25 | 12,035 | 11,547 |
| Cigna Corp. | 7.875% | 5/15/27 | 836 | 1,071 |
| Cigna Corp. | 3.050% | 10/15/27 | 4,330 | 4,021 |
| CNA Financial Corp. | 3.950% | 5/15/24 | 7,595 | 7,698 |
| CNA Financial Corp. | 4.500% | 3/1/26 | 5,915 | 6,098 |
| CNA Financial Corp. | 3.450% | 8/15/27 | 6,650 | 6,327 |
| First American Financial Corp. | 4.600% | 11/15/24 | 2,850 | 2,857 |
| Hanover Insurance Group Inc. | 4.500% | 4/15/26 | 4,850 | 4,887 |
| Humana Inc. | 3.850% | 10/1/24 | 9,528 | 9,587 |
| Humana Inc. | 3.950% | 3/15/27 | 9,305 | 9,223 |
| Kemper Corp. | 4.350% | 2/15/25 | 5,187 | 5,148 |
| Lincoln National Corp. | 4.000% | 9/1/23 | 4,402 | 4,536 |
| Lincoln National Corp. | 3.350% | 3/9/25 | 5,585 | 5,473 |
| Lincoln National Corp. | 3.625% | 12/12/26 | 6,430 | 6,347 |
| Loews Corp. | 2.625% | 5/15/23 | 8,283 | 8,018 |
| Loews Corp. | 3.750% | 4/1/26 | 5,427 | 5,431 |
| Magellan Health Inc. | 4.400% | 9/22/24 | 1,000 | 991 |
| Manulife Financial Corp. | 4.150% | 3/4/26 | 14,990 | 15,320 |
| 1 Manulife Financial Corp. | 4.061% | 2/24/32 | 10,150 | 9,995 |
42
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Markel Corp. | 3.500% | 11/1/27 | 2,300 | 2,211 |
| Marsh & McLennan Cos. Inc. | 3.300% | 3/14/23 | 6,747 | 6,726 |
| Marsh & McLennan Cos. Inc. | 4.050% | 10/15/23 | 925 | 952 |
| Marsh & McLennan Cos. Inc. | 3.500% | 6/3/24 | 6,642 | 6,637 |
| Marsh & McLennan Cos. Inc. | 3.500% | 3/10/25 | 11,846 | 11,782 |
| Marsh & McLennan Cos. Inc. | 3.750% | 3/14/26 | 9,872 | 9,907 |
| Mercury General Corp. | 4.400% | 3/15/27 | 5,100 | 5,089 |
| MetLife Inc. | 4.368% | 9/15/23 | 14,813 | 15,543 |
| MetLife Inc. | 3.600% | 4/10/24 | 15,057 | 15,083 |
| MetLife Inc. | 3.000% | 3/1/25 | 6,114 | 5,915 |
| MetLife Inc. | 3.600% | 11/13/25 | 6,335 | 6,336 |
| Munich Re America Corp. | 7.450% | 12/15/26 | 1,400 | 1,743 |
| Old Republic International Corp. | 4.875% | 10/1/24 | 3,725 | 3,910 |
| Old Republic International Corp. | 3.875% | 8/26/26 | 8,520 | 8,275 |
| Principal Financial Group Inc. | 3.125% | 5/15/23 | 3,942 | 3,865 |
| Principal Financial Group Inc. | 3.400% | 5/15/25 | 4,958 | 4,859 |
| Principal Financial Group Inc. | 3.100% | 11/15/26 | 4,989 | 4,744 |
| Progressive Corp. | 2.450% | 1/15/27 | 5,647 | 5,211 |
| Prudential Financial Inc. | 3.500% | 5/15/24 | 17,488 | 17,527 |
| 1 Prudential Financial Inc. | 5.625% | 6/15/43 | 19,556 | 20,754 |
| 1 Prudential Financial Inc. | 5.200% | 3/15/44 | 6,215 | 6,487 |
| 1 Prudential Financial Inc. | 5.375% | 5/15/45 | 12,248 | 12,749 |
| 1 Prudential Financial Inc. | 4.500% | 9/15/47 | 8,325 | 8,169 |
| Reinsurance Group of America Inc. | 4.700% | 9/15/23 | 3,520 | 3,686 |
| Reinsurance Group of America Inc. | 3.950% | 9/15/26 | 3,850 | 3,788 |
| RenaissanceRe Finance Inc. | 3.700% | 4/1/25 | 3,000 | 2,968 |
| RenaissanceRe Finance Inc. | 3.450% | 7/1/27 | 5,280 | 5,011 |
| Swiss Re Solutions Holding Corp. | 7.000% | 2/15/26 | 2,548 | 3,026 |
| Trinity Acquisition plc | 4.400% | 3/15/26 | 5,864 | 5,826 |
| UnitedHealth Group Inc. | 2.875% | 3/15/23 | 11,805 | 11,591 |
| UnitedHealth Group Inc. | 3.750% | 7/15/25 | 30,141 | 30,563 |
| UnitedHealth Group Inc. | 3.100% | 3/15/26 | 11,429 | 11,012 |
| UnitedHealth Group Inc. | 3.450% | 1/15/27 | 16,867 | 16,673 |
| UnitedHealth Group Inc. | 3.375% | 4/15/27 | 6,225 | 6,132 |
| UnitedHealth Group Inc. | 2.950% | 10/15/27 | 10,835 | 10,251 |
| Unum Group | 4.000% | 3/15/24 | 5,177 | 5,260 |
| Voya Financial Inc. | 3.125% | 7/15/24 | 6,700 | 6,517 |
| Voya Financial Inc. | 3.650% | 6/15/26 | 6,000 | 5,858 |
| Willis North America Inc. | 3.600% | 5/15/24 | 11,980 | 11,889 |
| XLIT Ltd. | 6.375% | 11/15/24 | 4,154 | 4,753 |
| XLIT Ltd. | 4.450% | 3/31/25 | 7,266 | 7,336 |
| XLIT Ltd. | 6.250% | 5/15/27 | 2,968 | 3,436 |
| Other Finance (0.1%) | | | | |
| Jones Lang LaSalle Inc. | 4.400% | 11/15/22 | 925 | 947 |
| ORIX Corp. | 3.250% | 12/4/24 | 8,950 | 8,704 |
| ORIX Corp. | 3.700% | 7/18/27 | 5,784 | 5,615 |
| Real Estate Investment Trusts (5.0%) | | | | |
| Alexandria Real Estate Equities Inc. | 3.900% | 6/15/23 | 3,525 | 3,581 |
| Alexandria Real Estate Equities Inc. | 3.450% | 4/30/25 | 8,625 | 8,338 |
| Alexandria Real Estate Equities Inc. | 4.300% | 1/15/26 | 4,306 | 4,370 |
| Alexandria Real Estate Equities Inc. | 3.950% | 1/15/27 | 4,675 | 4,610 |
| Alexandria Real Estate Equities Inc. | 3.950% | 1/15/28 | 8,900 | 8,730 |
| American Campus Communities Operating Partnership | | | | |
| LP | 3.750% | 4/15/23 | 5,984 | 5,998 |
| American Campus Communities Operating Partnership | | | | |
| LP | 4.125% | 7/1/24 | 3,299 | 3,348 |
| American Campus Communities Operating Partnership | | | | |
| LP | 3.625% | 11/15/27 | 7,063 | 6,786 |
| AvalonBay Communities Inc. | 2.850% | 3/15/23 | 1,650 | 1,616 |
| AvalonBay Communities Inc. | 4.200% | 12/15/23 | 5,900 | 6,156 |
| AvalonBay Communities Inc. | 3.500% | 11/15/24 | 3,733 | 3,742 |
| AvalonBay Communities Inc. | 3.450% | 6/1/25 | 11,851 | 11,792 |
| AvalonBay Communities Inc. | 3.500% | 11/15/25 | 3,460 | 3,437 |
43
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| AvalonBay Communities Inc. | 2.950% | 5/11/26 | 7,507 | 7,139 |
| AvalonBay Communities Inc. | 2.900% | 10/15/26 | 3,871 | 3,653 |
| AvalonBay Communities Inc. | 3.350% | 5/15/27 | 5,075 | 4,954 |
| AvalonBay Communities Inc. | 3.200% | 1/15/28 | 2,450 | 2,352 |
| Boston Properties LP | 3.125% | 9/1/23 | 6,649 | 6,555 |
| Boston Properties LP | 3.800% | 2/1/24 | 11,011 | 11,157 |
| Boston Properties LP | 3.200% | 1/15/25 | 11,600 | 11,231 |
| Boston Properties LP | 3.650% | 2/1/26 | 15,161 | 15,029 |
| Boston Properties LP | 2.750% | 10/1/26 | 13,485 | 12,421 |
| Brandywine Operating Partnership LP | 3.950% | 11/15/27 | 12,550 | 12,090 |
| Brixmor Operating Partnership LP | 3.250% | 9/15/23 | 6,594 | 6,361 |
| Brixmor Operating Partnership LP | 3.650% | 6/15/24 | 2,080 | 2,037 |
| Brixmor Operating Partnership LP | 3.850% | 2/1/25 | 8,917 | 8,737 |
| Brixmor Operating Partnership LP | 4.125% | 6/15/26 | 9,730 | 9,573 |
| Brixmor Operating Partnership LP | 3.900% | 3/15/27 | 6,925 | 6,630 |
| CBL & Associates LP | 4.600% | 10/15/24 | 2,120 | 1,743 |
| Columbia Property Trust Operating Partnership LP | 4.150% | 4/1/25 | 4,918 | 4,868 |
| Columbia Property Trust Operating Partnership LP | 3.650% | 8/15/26 | 5,128 | 4,860 |
| Corporate Office Properties LP | 3.600% | 5/15/23 | 3,829 | 3,765 |
| Corporate Office Properties LP | 5.250% | 2/15/24 | 3,075 | 3,227 |
| Corporate Office Properties LP | 5.000% | 7/1/25 | 1,000 | 1,036 |
| CubeSmart LP | 4.375% | 12/15/23 | 3,397 | 3,510 |
| CubeSmart LP | 4.000% | 11/15/25 | 3,525 | 3,511 |
| CubeSmart LP | 3.125% | 9/1/26 | 6,295 | 5,812 |
| DCT Industrial Operating Partnership LP | 4.500% | 10/15/23 | 2,300 | 2,360 |
| DDR Corp. | 3.900% | 8/15/24 | 6,830 | 6,803 |
| DDR Corp. | 3.625% | 2/1/25 | 10,125 | 9,780 |
| DDR Corp. | 4.250% | 2/1/26 | 4,204 | 4,165 |
| DDR Corp. | 4.700% | 6/1/27 | 6,125 | 6,241 |
| Digital Realty Trust LP | 4.750% | 10/1/25 | 5,323 | 5,614 |
| Digital Realty Trust LP | 3.700% | 8/15/27 | 16,175 | 15,749 |
| Duke Realty LP | 3.625% | 4/15/23 | 2,500 | 2,520 |
| Duke Realty LP | 3.750% | 12/1/24 | 3,672 | 3,703 |
| Duke Realty LP | 3.250% | 6/30/26 | 2,050 | 1,980 |
| Duke Realty LP | 3.375% | 12/15/27 | 3,800 | 3,679 |
| EPR Properties | 4.500% | 4/1/25 | 3,950 | 3,934 |
| EPR Properties | 4.750% | 12/15/26 | 5,120 | 5,146 |
| EPR Properties | 4.500% | 6/1/27 | 6,375 | 6,253 |
| ERP Operating LP | 3.000% | 4/15/23 | 4,340 | 4,310 |
| ERP Operating LP | 3.375% | 6/1/25 | 2,950 | 2,923 |
| ERP Operating LP | 2.850% | 11/1/26 | 7,690 | 7,227 |
| ERP Operating LP | 3.250% | 8/1/27 | 4,100 | 3,961 |
| ERP Operating LP | 3.500% | 3/1/28 | 3,225 | 3,169 |
| Essex Portfolio LP | 3.250% | 5/1/23 | 3,715 | 3,666 |
| Essex Portfolio LP | 3.875% | 5/1/24 | 5,296 | 5,341 |
| Essex Portfolio LP | 3.500% | 4/1/25 | 5,894 | 5,797 |
| Essex Portfolio LP | 3.375% | 4/15/26 | 6,131 | 5,914 |
| Essex Portfolio LP | 3.625% | 5/1/27 | 4,350 | 4,236 |
| Federal Realty Investment Trust | 2.750% | 6/1/23 | 4,052 | 3,923 |
| Federal Realty Investment Trust | 3.250% | 7/15/27 | 10,114 | 9,657 |
| HCP Inc. | 4.250% | 11/15/23 | 16,724 | 17,263 |
| HCP Inc. | 4.200% | 3/1/24 | 5,300 | 5,410 |
| HCP Inc. | 3.875% | 8/15/24 | 7,529 | 7,544 |
| HCP Inc. | 3.400% | 2/1/25 | 10,333 | 10,036 |
| HCP Inc. | 4.000% | 6/1/25 | 8,169 | 8,195 |
| Healthcare Realty Trust Inc. | 3.625% | 1/15/28 | 3,700 | 3,559 |
| Healthcare Trust of America Holdings LP | 3.700% | 4/15/23 | 1,875 | 1,874 |
| Healthcare Trust of America Holdings LP | 3.500% | 8/1/26 | 3,050 | 2,910 |
| Healthcare Trust of America Holdings LP | 3.750% | 7/1/27 | 11,532 | 11,145 |
| Highwoods Realty LP | 3.625% | 1/15/23 | 800 | 792 |
| Highwoods Realty LP | 3.875% | 3/1/27 | 4,600 | 4,503 |
| Highwoods Realty LP | 4.125% | 3/15/28 | 3,500 | 3,493 |
| Hospitality Properties Trust | 4.500% | 6/15/23 | 3,995 | 4,097 |
| Hospitality Properties Trust | 4.650% | 3/15/24 | 3,140 | 3,213 |
44
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Hospitality Properties Trust | 4.500% | 3/15/25 | 3,220 | 3,259 |
| Hospitality Properties Trust | 5.250% | 2/15/26 | 7,192 | 7,506 |
| Hospitality Properties Trust | 4.950% | 2/15/27 | 6,350 | 6,484 |
| Hospitality Properties Trust | 3.950% | 1/15/28 | 4,075 | 3,845 |
| Hospitality Properties Trust | 4.375% | 2/15/30 | 2,500 | 2,405 |
| Host Hotels & Resorts LP | 4.750% | 3/1/23 | 5,552 | 5,790 |
| Host Hotels & Resorts LP | 3.750% | 10/15/23 | 11,405 | 11,343 |
| Host Hotels & Resorts LP | 3.875% | 4/1/24 | 8,658 | 8,578 |
| Host Hotels & Resorts LP | 4.000% | 6/15/25 | 7,110 | 7,053 |
| Host Hotels & Resorts LP | 4.500% | 2/1/26 | 100 | 101 |
| Hudson Pacific Properties LP | 3.950% | 11/1/27 | 2,800 | 2,681 |
| Kilroy Realty LP | 3.450% | 12/15/24 | 4,020 | 3,916 |
| Kilroy Realty LP | 4.375% | 10/1/25 | 9,132 | 9,313 |
| Kimco Realty Corp. | 3.125% | 6/1/23 | 3,673 | 3,584 |
| Kimco Realty Corp. | 2.700% | 3/1/24 | 5,140 | 4,856 |
| Kimco Realty Corp. | 3.300% | 2/1/25 | 5,290 | 5,094 |
| Kimco Realty Corp. | 2.800% | 10/1/26 | 11,918 | 10,857 |
| Kimco Realty Corp. | 3.800% | 4/1/27 | 8,077 | 7,884 |
| Kite Realty Group LP | 4.000% | 10/1/26 | 2,875 | 2,660 |
| Liberty Property LP | 3.375% | 6/15/23 | 4,273 | 4,270 |
| Liberty Property LP | 4.400% | 2/15/24 | 3,824 | 3,981 |
| Liberty Property LP | 3.750% | 4/1/25 | 4,580 | 4,578 |
| Liberty Property LP | 3.250% | 10/1/26 | 4,974 | 4,744 |
| LifeStorage LP | 3.875% | 12/15/27 | 6,200 | 6,006 |
| LifeStorage LP | 3.500% | 7/1/26 | 7,306 | 6,940 |
| Mid-America Apartments LP | 4.300% | 10/15/23 | 2,475 | 2,560 |
| Mid-America Apartments LP | 3.750% | 6/15/24 | 5,140 | 5,169 |
| Mid-America Apartments LP | 4.000% | 11/15/25 | 6,320 | 6,341 |
| Mid-America Apartments LP | 3.600% | 6/1/27 | 9,325 | 9,047 |
| National Retail Properties Inc. | 3.300% | 4/15/23 | 2,775 | 2,742 |
| National Retail Properties Inc. | 3.900% | 6/15/24 | 4,391 | 4,411 |
| National Retail Properties Inc. | 4.000% | 11/15/25 | 3,618 | 3,614 |
| National Retail Properties Inc. | 3.600% | 12/15/26 | 7,249 | 6,969 |
| National Retail Properties Inc. | 3.500% | 10/15/27 | 4,450 | 4,226 |
| Omega Healthcare Investors Inc. | 4.375% | 8/1/23 | 12,390 | 12,359 |
| Omega Healthcare Investors Inc. | 4.950% | 4/1/24 | 7,030 | 7,171 |
| Omega Healthcare Investors Inc. | 4.500% | 1/15/25 | 5,150 | 4,995 |
| Omega Healthcare Investors Inc. | 5.250% | 1/15/26 | 9,050 | 9,118 |
| Omega Healthcare Investors Inc. | 4.500% | 4/1/27 | 9,504 | 9,076 |
| Omega Healthcare Investors Inc. | 4.750% | 1/15/28 | 4,300 | 4,149 |
| Physicians Realty LP | 4.300% | 3/15/27 | 4,400 | 4,368 |
| Physicians Realty LP | 3.950% | 1/15/28 | 4,200 | 4,027 |
| Piedmont Operating Partnership LP | 3.400% | 6/1/23 | 1,780 | 1,735 |
| Piedmont Operating Partnership LP | 4.450% | 3/15/24 | 4,525 | 4,602 |
| Prologis LP | 4.250% | 8/15/23 | 14,152 | 14,797 |
| Prologis LP | 3.750% | 11/1/25 | 11,465 | 11,634 |
| Public Storage | 3.094% | 9/15/27 | 4,270 | 4,094 |
| Realty Income Corp. | 4.650% | 8/1/23 | 6,605 | 6,964 |
| Realty Income Corp. | 3.875% | 7/15/24 | 2,679 | 2,701 |
| Realty Income Corp. | 4.125% | 10/15/26 | 11,668 | 11,826 |
| Realty Income Corp. | 3.000% | 1/15/27 | 4,915 | 4,590 |
| Realty Income Corp. | 3.650% | 1/15/28 | 11,635 | 11,381 |
| Regency Centers LP | 3.600% | 2/1/27 | 4,593 | 4,427 |
| 3 Regency Centers LP | 4.125% | 3/15/28 | 4,000 | 3,993 |
| Sabra Health Care LP | 5.125% | 8/15/26 | 4,625 | 4,571 |
| Select Income REIT | 4.250% | 5/15/24 | 5,077 | 4,955 |
| Select Income REIT | 4.500% | 2/1/25 | 4,775 | 4,689 |
| Senior Housing Properties Trust | 4.750% | 2/15/28 | 500 | 490 |
| Simon Property Group LP | 2.750% | 6/1/23 | 12,655 | 12,335 |
| Simon Property Group LP | 3.750% | 2/1/24 | 4,204 | 4,271 |
| Simon Property Group LP | 3.375% | 10/1/24 | 9,649 | 9,585 |
| Simon Property Group LP | 3.500% | 9/1/25 | 7,433 | 7,386 |
| Simon Property Group LP | 3.300% | 1/15/26 | 13,390 | 13,020 |
| Simon Property Group LP | 3.250% | 11/30/26 | 6,625 | 6,390 |
45
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Simon Property Group LP | 3.375% | 6/15/27 | 12,850 | 12,477 |
| Simon Property Group LP | 3.375% | 12/1/27 | 11,067 | 10,653 |
| Tanger Properties LP | 3.750% | 12/1/24 | 1,100 | 1,079 |
| Tanger Properties LP | 3.125% | 9/1/26 | 3,905 | 3,577 |
| Tanger Properties LP | 3.875% | 7/15/27 | 4,475 | 4,297 |
| UDR Inc. | 3.750% | 7/1/24 | 4,886 | 4,903 |
| UDR Inc. | 4.000% | 10/1/25 | 3,690 | 3,731 |
| UDR Inc. | 2.950% | 9/1/26 | 4,431 | 4,133 |
| UDR Inc. | 3.500% | 7/1/27 | 3,869 | 3,729 |
| UDR Inc. | 3.500% | 1/15/28 | 3,350 | 3,231 |
| Ventas Realty LP | 3.125% | 6/15/23 | 4,083 | 3,994 |
| Ventas Realty LP | 3.750% | 5/1/24 | 3,850 | 3,852 |
| Ventas Realty LP | 3.500% | 2/1/25 | 5,907 | 5,780 |
| Ventas Realty LP | 4.125% | 1/15/26 | 3,376 | 3,414 |
| Ventas Realty LP | 3.250% | 10/15/26 | 7,867 | 7,425 |
| Ventas Realty LP | 3.850% | 4/1/27 | 5,639 | 5,534 |
| Ventas Realty LP | 4.000% | 3/1/28 | 11,000 | 10,912 |
| VEREIT Operating Partnership LP | 4.600% | 2/6/24 | 9,221 | 9,457 |
| VEREIT Operating Partnership LP | 4.875% | 6/1/26 | 11,170 | 11,379 |
| VEREIT Operating Partnership LP | 3.950% | 8/15/27 | 12,251 | 11,612 |
| Vornado Realty LP | 3.500% | 1/15/25 | 5,844 | 5,681 |
| Washington Prime Group LP | 5.950% | 8/15/24 | 9,375 | 9,336 |
| Weingarten Realty Investors | 3.500% | 4/15/23 | 3,245 | 3,223 |
| Weingarten Realty Investors | 4.450% | 1/15/24 | 725 | 748 |
| Weingarten Realty Investors | 3.850% | 6/1/25 | 600 | 594 |
| Welltower Inc. | 3.750% | 3/15/23 | 8,010 | 8,124 |
| Welltower Inc. | 4.500% | 1/15/24 | 3,794 | 3,947 |
| Welltower Inc. | 4.000% | 6/1/25 | 15,096 | 15,182 |
| Welltower Inc. | 4.250% | 4/1/26 | 14,072 | 14,354 |
| WP Carey Inc. | 4.600% | 4/1/24 | 6,198 | 6,380 |
| WP Carey Inc. | 4.000% | 2/1/25 | 3,669 | 3,617 |
| WP Carey Inc. | 4.250% | 10/1/26 | 2,575 | 2,546 |
| | | | | 7,284,243 |
| Industrial (57.6%) | | | | |
| Basic Industry (2.6%) | | | | |
| Agrium Inc. | 3.500% | 6/1/23 | 7,214 | 7,218 |
| Agrium Inc. | 3.375% | 3/15/25 | 8,163 | 7,937 |
| Air Products & Chemicals Inc. | 3.350% | 7/31/24 | 8,545 | 8,604 |
| Airgas Inc. | 3.650% | 7/15/24 | 3,444 | 3,507 |
| Albemarle Corp. | 4.150% | 12/1/24 | 6,000 | 6,200 |
| BHP Billiton Finance USA Ltd. | 3.850% | 9/30/23 | 10,565 | 11,013 |
| Braskem Finance Ltd. | 6.450% | 2/3/24 | 9,600 | 10,512 |
| Celulosa Arauco y Constitucion SA | 4.500% | 8/1/24 | 6,050 | 6,241 |
| 2 Celulosa Arauco y Constitucion SA | 3.875% | 11/2/27 | 14,600 | 14,104 |
| Dow Chemical Co. | 3.500% | 10/1/24 | 13,254 | 13,193 |
| Eastman Chemical Co. | 3.800% | 3/15/25 | 12,089 | 12,255 |
| Ecolab Inc. | 2.700% | 11/1/26 | 11,835 | 11,033 |
| 2 Ecolab Inc. | 3.250% | 12/1/27 | 8,275 | 7,934 |
| EI du Pont de Nemours & Co. | 2.800% | 2/15/23 | 5,605 | 5,498 |
| EI du Pont de Nemours & Co. | 6.500% | 1/15/28 | 1,200 | 1,450 |
| Fibria Overseas Finance Ltd. | 5.250% | 5/12/24 | 8,588 | 8,996 |
| Fibria Overseas Finance Ltd. | 4.000% | 1/14/25 | 5,750 | 5,631 |
| Fibria Overseas Finance Ltd. | 5.500% | 1/17/27 | 10,763 | 11,329 |
| FMC Corp. | 4.100% | 2/1/24 | 4,150 | 4,200 |
| Georgia-Pacific LLC | 8.000% | 1/15/24 | 2,781 | 3,446 |
| Georgia-Pacific LLC | 7.375% | 12/1/25 | 2,427 | 3,012 |
| Goldcorp Inc. | 3.700% | 3/15/23 | 15,857 | 15,945 |
| International Flavors & Fragrances Inc. | 3.200% | 5/1/23 | 1,475 | 1,448 |
| International Paper Co. | 3.650% | 6/15/24 | 7,869 | 7,887 |
| International Paper Co. | 3.800% | 1/15/26 | 12,025 | 12,059 |
| International Paper Co. | 3.000% | 2/15/27 | 14,238 | 13,290 |
| LYB International Finance BV | 4.000% | 7/15/23 | 8,655 | 8,849 |
| LYB International Finance II BV | 3.500% | 3/2/27 | 13,800 | 13,420 |
46
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| LyondellBasell Industries NV | 5.750% | 4/15/24 | 14,065 | 15,524 |
| Methanex Corp. | 4.250% | 12/1/24 | 4,040 | 4,024 |
| Monsanto Co. | 2.200% | 7/15/22 | 1,350 | 1,283 |
| Monsanto Co. | 3.375% | 7/15/24 | 9,405 | 9,318 |
| Monsanto Co. | 2.850% | 4/15/25 | 4,975 | 4,713 |
| Monsanto Co. | 5.500% | 8/15/25 | 975 | 1,070 |
| Mosaic Co. | 4.250% | 11/15/23 | 14,972 | 15,416 |
| Mosaic Co. | 4.050% | 11/15/27 | 6,600 | 6,399 |
| NewMarket Corp. | 4.100% | 12/15/22 | 1,360 | 1,402 |
| Nucor Corp. | 4.000% | 8/1/23 | 5,864 | 6,046 |
| Packaging Corp. of America | 4.500% | 11/1/23 | 8,755 | 9,211 |
| Packaging Corp. of America | 3.650% | 9/15/24 | 5,480 | 5,518 |
| Packaging Corp. of America | 3.400% | 12/15/27 | 7,895 | 7,640 |
| Potash Corp. of Saskatchewan Inc. | 3.625% | 3/15/24 | 5,395 | 5,391 |
| Potash Corp. of Saskatchewan Inc. | 3.000% | 4/1/25 | 5,550 | 5,257 |
| Potash Corp. of Saskatchewan Inc. | 4.000% | 12/15/26 | 17,025 | 17,122 |
| Praxair Inc. | 2.650% | 2/5/25 | 5,269 | 5,062 |
| Praxair Inc. | 3.200% | 1/30/26 | 14,210 | 14,153 |
| Reliance Steel & Aluminum Co. | 4.500% | 4/15/23 | 4,830 | 5,009 |
| Rio Tinto Finance USA Ltd. | 3.750% | 6/15/25 | 16,780 | 17,060 |
| RPM International Inc. | 3.750% | 3/15/27 | 8,894 | 8,682 |
| Sherwin-Williams Co. | 3.125% | 6/1/24 | 13,749 | 13,402 |
| Sherwin-Williams Co. | 3.450% | 8/1/25 | 5,100 | 4,991 |
| Sherwin-Williams Co. | 3.950% | 1/15/26 | 3,200 | 3,230 |
| Sherwin-Williams Co. | 3.450% | 6/1/27 | 20,010 | 19,289 |
| Southern Copper Corp. | 3.875% | 4/23/25 | 7,286 | 7,330 |
| Vale Overseas Ltd. | 6.250% | 8/10/26 | 29,540 | 33,306 |
| Westlake Chemical Corp. | 4.875% | 5/15/23 | 1,175 | 1,207 |
| Westlake Chemical Corp. | 3.600% | 8/15/26 | 16,761 | 16,322 |
| 2 WestRock Co. | 3.000% | 9/15/24 | 7,185 | 6,896 |
| 2 WestRock Co. | 3.375% | 9/15/27 | 5,196 | 4,965 |
| WestRock RKT Co. | 4.000% | 3/1/23 | 5,870 | 6,012 |
| Weyerhaeuser Co. | 3.250% | 3/15/23 | 750 | 743 |
| Weyerhaeuser Co. | 4.625% | 9/15/23 | 5,580 | 5,891 |
| Weyerhaeuser Co. | 8.500% | 1/15/25 | 1,375 | 1,727 |
| Weyerhaeuser Co. | 6.950% | 10/1/27 | 375 | 455 |
| Yamana Gold Inc. | 4.950% | 7/15/24 | 3,085 | 3,177 |
| 2 Yamana Gold Inc. | 4.625% | 12/15/27 | 4,008 | 3,918 |
| Capital Goods (4.3%) | | | | |
| 3M Co. | 2.250% | 3/15/23 | 8,210 | 7,929 |
| 3M Co. | 3.000% | 8/7/25 | 4,639 | 4,546 |
| 3M Co. | 2.250% | 9/19/26 | 8,980 | 8,215 |
| 3M Co. | 2.875% | 10/15/27 | 9,915 | 9,456 |
| Allegion US Holding Co. Inc. | 3.200% | 10/1/24 | 4,611 | 4,463 |
| Allegion US Holding Co. Inc. | 3.550% | 10/1/27 | 5,650 | 5,441 |
| Bemis Co. Inc. | 3.100% | 9/15/26 | 2,400 | 2,232 |
| Boeing Co. | 2.800% | 3/1/23 | 1,000 | 989 |
| Boeing Co. | 1.875% | 6/15/23 | 5,850 | 5,512 |
| Boeing Co. | 7.950% | 8/15/24 | 2,880 | 3,636 |
| Boeing Co. | 2.850% | 10/30/24 | 6,108 | 5,960 |
| Boeing Co. | 2.500% | 3/1/25 | 220 | 208 |
| Boeing Co. | 2.600% | 10/30/25 | 3,150 | 2,986 |
| Boeing Co. | 2.250% | 6/15/26 | 5,641 | 5,188 |
| Boeing Co. | 2.800% | 3/1/27 | 2,575 | 2,457 |
| Boeing Co. | 3.250% | 3/1/28 | 3,500 | 3,459 |
| Carlisle Cos. Inc. | 3.500% | 12/1/24 | 7,400 | 7,277 |
| Carlisle Cos. Inc. | 3.750% | 12/1/27 | 6,300 | 6,190 |
| Caterpillar Financial Services Corp. | 2.625% | 3/1/23 | 2,735 | 2,664 |
| Caterpillar Financial Services Corp. | 3.750% | 11/24/23 | 7,390 | 7,570 |
| Caterpillar Financial Services Corp. | 3.300% | 6/9/24 | 9,493 | 9,478 |
| Caterpillar Financial Services Corp. | 3.250% | 12/1/24 | 5,240 | 5,212 |
| Caterpillar Financial Services Corp. | 2.400% | 8/9/26 | 5,650 | 5,224 |
| Caterpillar Inc. | 3.400% | 5/15/24 | 18,421 | 18,638 |
47
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| CNH Industrial NV | 4.500% | 8/15/23 | 2,350 | 2,397 |
| CNH Industrial NV | 3.850% | 11/15/27 | 12,990 | 12,552 |
| Crane Co. | 4.450% | 12/15/23 | 2,550 | 2,673 |
| Dover Corp. | 3.150% | 11/15/25 | 6,450 | 6,287 |
| Eagle Materials Inc. | 4.500% | 8/1/26 | 2,297 | 2,346 |
| Eaton Corp. | 3.103% | 9/15/27 | 9,725 | 9,223 |
| Embraer Netherlands Finance BV | 5.050% | 6/15/25 | 16,191 | 16,811 |
| Embraer Netherlands Finance BV | 5.400% | 2/1/27 | 7,975 | 8,535 |
| 2 Embraer Overseas Ltd. | 5.696% | 9/16/23 | 2,725 | 2,915 |
| Emerson Electric Co. | 2.625% | 2/15/23 | 925 | 903 |
| Emerson Electric Co. | 3.150% | 6/1/25 | 4,550 | 4,481 |
| Flowserve Corp. | 4.000% | 11/15/23 | 4,400 | 4,387 |
| Fortive Corp. | 3.150% | 6/15/26 | 11,777 | 11,393 |
| Fortune Brands Home & Security Inc. | 4.000% | 6/15/25 | 3,600 | 3,671 |
| General Dynamics Corp. | 1.875% | 8/15/23 | 8,904 | 8,319 |
| General Dynamics Corp. | 2.375% | 11/15/24 | 8,500 | 8,041 |
| General Dynamics Corp. | 2.125% | 8/15/26 | 8,099 | 7,286 |
| General Dynamics Corp. | 2.625% | 11/15/27 | 5,800 | 5,373 |
| General Electric Co. | 3.375% | 3/11/24 | 17,300 | 16,992 |
| General Electric Co. | 3.450% | 5/15/24 | 8,095 | 7,949 |
| Harris Corp. | 3.832% | 4/27/25 | 5,550 | 5,596 |
| Hexcel Corp. | 4.700% | 8/15/25 | 500 | 519 |
| Hexcel Corp. | 3.950% | 2/15/27 | 7,355 | 7,296 |
| Honeywell International Inc. | 3.350% | 12/1/23 | 2,775 | 2,791 |
| Honeywell International Inc. | 2.500% | 11/1/26 | 16,985 | 15,679 |
| Hubbell Inc. | 3.350% | 3/1/26 | 3,979 | 3,876 |
| Hubbell Inc. | 3.150% | 8/15/27 | 4,300 | 4,090 |
| Hubbell Inc. | 3.500% | 2/15/28 | 5,400 | 5,268 |
| 2 Huntington Ingalls Industries Inc. | 3.483% | 12/1/27 | 12,300 | 11,869 |
| Illinois Tool Works Inc. | 3.500% | 3/1/24 | 11,164 | 11,371 |
| Illinois Tool Works Inc. | 2.650% | 11/15/26 | 19,560 | 18,366 |
| Ingersoll-Rand Global Holding Co. Ltd. | 4.250% | 6/15/23 | 11,751 | 12,202 |
| Ingersoll-Rand Luxembourg Finance SA | 3.550% | 11/1/24 | 5,438 | 5,469 |
| John Deere Capital Corp. | 2.800% | 3/6/23 | 15,514 | 15,209 |
| John Deere Capital Corp. | 3.350% | 6/12/24 | 6,745 | 6,742 |
| John Deere Capital Corp. | 2.650% | 6/24/24 | 13,633 | 13,065 |
| John Deere Capital Corp. | 3.400% | 9/11/25 | 2,175 | 2,170 |
| John Deere Capital Corp. | 2.650% | 6/10/26 | 5,575 | 5,253 |
| John Deere Capital Corp. | 2.800% | 9/8/27 | 1,382 | 1,308 |
| John Deere Capital Corp. | 3.050% | 1/6/28 | 9,250 | 8,907 |
| Johnson Controls International plc | 3.625% | 7/2/24 | 4,189 | 4,233 |
| Johnson Controls International plc | 3.900% | 2/14/26 | 7,639 | 7,723 |
| L3 Technologies Inc. | 3.950% | 5/28/24 | 5,128 | 5,189 |
| L3 Technologies Inc. | 3.850% | 12/15/26 | 9,722 | 9,623 |
| Leggett & Platt Inc. | 3.800% | 11/15/24 | 2,700 | 2,689 |
| Leggett & Platt Inc. | 3.500% | 11/15/27 | 7,725 | 7,442 |
| Legrand France SA | 8.500% | 2/15/25 | 3,485 | 4,398 |
| Lennox International Inc. | 3.000% | 11/15/23 | 3,575 | 3,471 |
| Lockheed Martin Corp. | 2.900% | 3/1/25 | 12,006 | 11,542 |
| Lockheed Martin Corp. | 3.550% | 1/15/26 | 28,408 | 28,372 |
| Martin Marietta Materials Inc. | 4.250% | 7/2/24 | 2,250 | 2,307 |
| Martin Marietta Materials Inc. | 3.450% | 6/1/27 | 3,875 | 3,703 |
| Martin Marietta Materials Inc. | 3.500% | 12/15/27 | 10,975 | 10,512 |
| Masco Corp. | 4.450% | 4/1/25 | 7,042 | 7,269 |
| Masco Corp. | 4.375% | 4/1/26 | 9,601 | 9,835 |
| Northrop Grumman Corp. | 3.250% | 8/1/23 | 13,133 | 13,011 |
| Northrop Grumman Corp. | 2.930% | 1/15/25 | 19,564 | 18,750 |
| Northrop Grumman Corp. | 3.200% | 2/1/27 | 8,680 | 8,335 |
| Northrop Grumman Corp. | 3.250% | 1/15/28 | 27,185 | 26,030 |
| Northrop Grumman Systems Corp. | 7.875% | 3/1/26 | 1,300 | 1,654 |
| Owens Corning | 4.200% | 12/1/24 | 3,600 | 3,683 |
| Owens Corning | 3.400% | 8/15/26 | 11,470 | 10,934 |
| Parker-Hannifin Corp. | 3.300% | 11/21/24 | 4,613 | 4,588 |
| Parker-Hannifin Corp. | 3.250% | 3/1/27 | 16,278 | 15,858 |
48
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Precision Castparts Corp. | 3.250% | 6/15/25 | 15,713 | 15,607 |
| Raytheon Co. | 3.150% | 12/15/24 | 2,375 | 2,356 |
| Raytheon Co. | 7.200% | 8/15/27 | 1,705 | 2,187 |
| Republic Services Inc. | 4.750% | 5/15/23 | 8,893 | 9,435 |
| Republic Services Inc. | 3.200% | 3/15/25 | 6,729 | 6,568 |
| Republic Services Inc. | 2.900% | 7/1/26 | 5,825 | 5,482 |
| Republic Services Inc. | 3.375% | 11/15/27 | 9,030 | 8,736 |
| Rockwell Automation Inc. | 2.875% | 3/1/25 | 1,504 | 1,437 |
| Rockwell Collins Inc. | 3.700% | 12/15/23 | 4,465 | 4,502 |
| Rockwell Collins Inc. | 3.200% | 3/15/24 | 14,887 | 14,600 |
| Rockwell Collins Inc. | 3.500% | 3/15/27 | 15,980 | 15,559 |
| Roper Technologies Inc. | 3.850% | 12/15/25 | 6,500 | 6,544 |
| Roper Technologies Inc. | 3.800% | 12/15/26 | 15,390 | 15,426 |
| Snap-on Inc. | 3.250% | 3/1/27 | 2,910 | 2,839 |
| Spirit AeroSystems Inc. | 3.850% | 6/15/26 | 3,767 | 3,681 |
| Textron Inc. | 4.300% | 3/1/24 | 2,740 | 2,835 |
| Textron Inc. | 3.875% | 3/1/25 | 3,250 | 3,273 |
| Textron Inc. | 4.000% | 3/15/26 | 5,600 | 5,639 |
| Textron Inc. | 3.650% | 3/15/27 | 7,045 | 6,897 |
| The Timken Co. | 3.875% | 9/1/24 | 2,685 | 2,641 |
| United Technologies Corp. | 2.800% | 5/4/24 | 10,903 | 10,436 |
| United Technologies Corp. | 2.650% | 11/1/26 | 12,425 | 11,519 |
| United Technologies Corp. | 3.125% | 5/4/27 | 11,445 | 10,870 |
| Vulcan Materials Co. | 4.500% | 4/1/25 | 5,032 | 5,208 |
| Vulcan Materials Co. | 3.900% | 4/1/27 | 7,233 | 7,179 |
| Wabtec Corp. | 3.450% | 11/15/26 | 9,907 | 9,441 |
| Waste Management Inc. | 2.400% | 5/15/23 | 11,551 | 11,037 |
| Waste Management Inc. | 3.500% | 5/15/24 | 7,514 | 7,577 |
| Waste Management Inc. | 3.125% | 3/1/25 | 6,861 | 6,712 |
| Waste Management Inc. | 7.100% | 8/1/26 | 2,600 | 3,224 |
| Waste Management Inc. | 3.150% | 11/15/27 | 9,650 | 9,207 |
| Xylem Inc. | 3.250% | 11/1/26 | 5,281 | 5,099 |
| Communication (7.5%) | | | | |
| 21st Century Fox America Inc. | 4.000% | 10/1/23 | 2,750 | 2,822 |
| 21st Century Fox America Inc. | 3.700% | 9/15/24 | 6,734 | 6,805 |
| 21st Century Fox America Inc. | 3.700% | 10/15/25 | 8,082 | 8,147 |
| 21st Century Fox America Inc. | 3.375% | 11/15/26 | 7,391 | 7,279 |
| Activision Blizzard Inc. | 3.400% | 9/15/26 | 18,198 | 17,622 |
| Activision Blizzard Inc. | 3.400% | 6/15/27 | 5,250 | 5,052 |
| American Tower Corp. | 3.500% | 1/31/23 | 6,004 | 5,993 |
| American Tower Corp. | 3.000% | 6/15/23 | 2,500 | 2,436 |
| American Tower Corp. | 5.000% | 2/15/24 | 12,469 | 13,301 |
| American Tower Corp. | 4.000% | 6/1/25 | 10,796 | 10,791 |
| American Tower Corp. | 4.400% | 2/15/26 | 7,358 | 7,514 |
| American Tower Corp. | 3.375% | 10/15/26 | 13,737 | 13,012 |
| American Tower Corp. | 3.125% | 1/15/27 | 2,450 | 2,266 |
| American Tower Corp. | 3.550% | 7/15/27 | 11,105 | 10,535 |
| American Tower Corp. | 3.600% | 1/15/28 | 11,875 | 11,254 |
| AT&T Inc. | 3.800% | 3/1/24 | 12,283 | 12,310 |
| AT&T Inc. | 3.900% | 3/11/24 | 10,913 | 10,978 |
| AT&T Inc. | 4.450% | 4/1/24 | 18,052 | 18,606 |
| AT&T Inc. | 3.400% | 8/14/24 | 37,736 | 37,479 |
| AT&T Inc. | 3.950% | 1/15/25 | 22,520 | 22,509 |
| AT&T Inc. | 3.400% | 5/15/25 | 63,003 | 60,396 |
| AT&T Inc. | 4.125% | 2/17/26 | 36,987 | 36,905 |
| AT&T Inc. | 4.250% | 3/1/27 | 30,116 | 30,188 |
| AT&T Inc. | 3.900% | 8/14/27 | 64,900 | 64,403 |
| 2 AT&T Inc. | 4.100% | 2/15/28 | 34,500 | 33,815 |
| CBS Corp. | 2.500% | 2/15/23 | 8,050 | 7,673 |
| 2 CBS Corp. | 2.900% | 6/1/23 | 3,961 | 3,831 |
| CBS Corp. | 3.700% | 8/15/24 | 8,552 | 8,528 |
| CBS Corp. | 3.500% | 1/15/25 | 6,925 | 6,776 |
| CBS Corp. | 4.000% | 1/15/26 | 12,964 | 12,913 |
49
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| CBS Corp. | 2.900% | 1/15/27 | 6,115 | 5,570 |
| CBS Corp. | 3.375% | 2/15/28 | 6,170 | 5,775 |
| CC Holdings GS V LLC / Crown Castle GS III Corp. | 3.849% | 4/15/23 | 16,841 | 16,958 |
| Charter Communications Operating LLC / Charter | | | | |
| Communications Operating Capital | 4.908% | 7/23/25 | 61,844 | 63,578 |
| Charter Communications Operating LLC / Charter | | | | |
| Communications Operating Capital | 3.750% | 2/15/28 | 13,850 | 12,806 |
| Comcast Corp. | 2.750% | 3/1/23 | 20,070 | 19,585 |
| Comcast Corp. | 3.000% | 2/1/24 | 21,154 | 20,694 |
| Comcast Corp. | 3.600% | 3/1/24 | 17,246 | 17,405 |
| Comcast Corp. | 3.375% | 2/15/25 | 11,478 | 11,343 |
| Comcast Corp. | 3.375% | 8/15/25 | 20,026 | 19,711 |
| Comcast Corp. | 3.150% | 3/1/26 | 27,570 | 26,588 |
| Comcast Corp. | 2.350% | 1/15/27 | 18,680 | 16,698 |
| Comcast Corp. | 3.300% | 2/1/27 | 18,704 | 18,060 |
| Comcast Corp. | 3.150% | 2/15/28 | 19,065 | 18,071 |
| Comcast Corp. | 3.550% | 5/1/28 | 7,500 | 7,358 |
| Crown Castle International Corp. | 3.150% | 7/15/23 | 1,225 | 1,196 |
| Crown Castle International Corp. | 3.200% | 9/1/24 | 14,465 | 13,938 |
| Crown Castle International Corp. | 4.450% | 2/15/26 | 12,273 | 12,530 |
| Crown Castle International Corp. | 3.700% | 6/15/26 | 13,516 | 13,039 |
| Crown Castle International Corp. | 4.000% | 3/1/27 | 7,359 | 7,256 |
| Crown Castle International Corp. | 3.650% | 9/1/27 | 11,735 | 11,218 |
| Crown Castle International Corp. | 3.800% | 2/15/28 | 13,000 | 12,551 |
| Discovery Communications LLC | 2.950% | 3/20/23 | 16,600 | 16,047 |
| Discovery Communications LLC | 3.250% | 4/1/23 | 2,520 | 2,465 |
| Discovery Communications LLC | 3.800% | 3/13/24 | 6,425 | 6,381 |
| Discovery Communications LLC | 3.450% | 3/15/25 | 3,951 | 3,798 |
| Discovery Communications LLC | 4.900% | 3/11/26 | 11,595 | 12,033 |
| Electronic Arts Inc. | 4.800% | 3/1/26 | 5,396 | 5,747 |
| Grupo Televisa SAB | 6.625% | 3/18/25 | 9,000 | 10,279 |
| Grupo Televisa SAB | 4.625% | 1/30/26 | 3,090 | 3,149 |
| Interpublic Group of Cos. Inc. | 4.200% | 4/15/24 | 12,397 | 12,639 |
| Moody's Corp. | 4.875% | 2/15/24 | 8,339 | 8,868 |
| 2 Moody's Corp. | 3.250% | 1/15/28 | 2,518 | 2,399 |
| Omnicom Group Inc. | 3.650% | 11/1/24 | 12,262 | 12,205 |
| Omnicom Group Inc. | 3.600% | 4/15/26 | 17,259 | 16,786 |
| Rogers Communications Inc. | 3.000% | 3/15/23 | 6,591 | 6,464 |
| Rogers Communications Inc. | 4.100% | 10/1/23 | 10,560 | 10,885 |
| Rogers Communications Inc. | 3.625% | 12/15/25 | 8,727 | 8,672 |
| Rogers Communications Inc. | 2.900% | 11/15/26 | 7,571 | 7,092 |
| S&P Global Inc. | 4.000% | 6/15/25 | 11,341 | 11,609 |
| S&P Global Inc. | 4.400% | 2/15/26 | 10,977 | 11,589 |
| S&P Global Inc. | 2.950% | 1/22/27 | 6,350 | 6,016 |
| Scripps Networks Interactive Inc. | 3.900% | 11/15/24 | 7,732 | 7,670 |
| Scripps Networks Interactive Inc. | 3.950% | 6/15/25 | 8,200 | 8,119 |
| TCI Communications Inc. | 7.875% | 2/15/26 | 1,457 | 1,857 |
| TCI Communications Inc. | 7.125% | 2/15/28 | 1,616 | 2,020 |
| Telefonica Emisiones SAU | 5.462% | 2/16/21 | 3,500 | 3,727 |
| Telefonica Emisiones SAU | 4.570% | 4/27/23 | 6,950 | 7,386 |
| Telefonica Emisiones SAU | 4.103% | 3/8/27 | 20,270 | 20,082 |
| TELUS Corp. | 2.800% | 2/16/27 | 7,575 | 6,951 |
| TELUS Corp. | 3.700% | 9/15/27 | 3,625 | 3,565 |
| Thomson Reuters Corp. | 4.300% | 11/23/23 | 4,280 | 4,396 |
| Thomson Reuters Corp. | 3.850% | 9/29/24 | 6,405 | 6,402 |
| Thomson Reuters Corp. | 3.350% | 5/15/26 | 10,500 | 10,028 |
| Time Warner Entertainment Co. LP | 8.375% | 3/15/23 | 13,123 | 15,693 |
| Time Warner Inc. | 4.050% | 12/15/23 | 5,753 | 5,899 |
| Time Warner Inc. | 3.550% | 6/1/24 | 12,545 | 12,412 |
| Time Warner Inc. | 3.600% | 7/15/25 | 21,017 | 20,422 |
| Time Warner Inc. | 3.875% | 1/15/26 | 8,740 | 8,575 |
| Time Warner Inc. | 2.950% | 7/15/26 | 7,543 | 6,930 |
| Time Warner Inc. | 3.800% | 2/15/27 | 21,945 | 21,251 |
| Verizon Communications Inc. | 5.150% | 9/15/23 | 79,331 | 86,122 |
50
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Verizon Communications Inc. | 4.150% | 3/15/24 | 17,334 | 17,848 |
| Verizon Communications Inc. | 3.500% | 11/1/24 | 36,482 | 36,205 |
| Verizon Communications Inc. | 3.376% | 2/15/25 | 55,392 | 54,076 |
| Verizon Communications Inc. | 2.625% | 8/15/26 | 32,032 | 29,184 |
| Verizon Communications Inc. | 4.125% | 3/16/27 | 44,360 | 45,053 |
| Viacom Inc. | 4.250% | 9/1/23 | 9,785 | 10,013 |
| Viacom Inc. | 3.875% | 4/1/24 | 6,584 | 6,562 |
| Viacom Inc. | 3.450% | 10/4/26 | 10,060 | 9,578 |
| Walt Disney Co. | 3.150% | 9/17/25 | 15,818 | 15,652 |
| Walt Disney Co. | 3.000% | 2/13/26 | 9,419 | 9,205 |
| Walt Disney Co. | 1.850% | 7/30/26 | 22,066 | 19,525 |
| Walt Disney Co. | 2.950% | 6/15/27 | 7,222 | 6,955 |
| WPP Finance 2010 | 3.750% | 9/19/24 | 8,766 | 8,772 |
| Consumer Cyclical (7.1%) | | | | |
| Advance Auto Parts Inc. | 4.500% | 12/1/23 | 5,449 | 5,630 |
| Alibaba Group Holding Ltd. | 2.800% | 6/6/23 | 13,500 | 13,126 |
| Alibaba Group Holding Ltd. | 3.600% | 11/28/24 | 27,895 | 28,013 |
| Alibaba Group Holding Ltd. | 3.400% | 12/6/27 | 32,975 | 31,367 |
| 2 Amazon.com Inc. | 2.400% | 2/22/23 | 3,650 | 3,520 |
| 2 Amazon.com Inc. | 2.800% | 8/22/24 | 28,050 | 27,161 |
| Amazon.com Inc. | 3.800% | 12/5/24 | 13,374 | 13,720 |
| Amazon.com Inc. | 5.200% | 12/3/25 | 15,112 | 16,831 |
| 2 Amazon.com Inc. | 3.150% | 8/22/27 | 45,670 | 43,934 |
| American Honda Finance Corp. | 2.900% | 2/16/24 | 8,620 | 8,468 |
| American Honda Finance Corp. | 2.300% | 9/9/26 | 2,938 | 2,687 |
| American Honda Finance Corp. | 3.500% | 2/15/28 | 8,100 | 8,068 |
| Aptiv plc | 4.250% | 1/15/26 | 7,600 | 7,759 |
| Automatic Data Processing Inc. | 3.375% | 9/15/25 | 9,676 | 9,700 |
| AutoNation Inc. | 3.500% | 11/15/24 | 5,725 | 5,527 |
| AutoNation Inc. | 4.500% | 10/1/25 | 6,180 | 6,272 |
| AutoNation Inc. | 3.800% | 11/15/27 | 3,975 | 3,784 |
| AutoZone Inc. | 3.125% | 7/15/23 | 1,542 | 1,518 |
| AutoZone Inc. | 3.250% | 4/15/25 | 11,426 | 11,038 |
| AutoZone Inc. | 3.125% | 4/21/26 | 6,576 | 6,211 |
| AutoZone Inc. | 3.750% | 6/1/27 | 7,863 | 7,695 |
| Bed Bath & Beyond Inc. | 3.749% | 8/1/24 | 2,656 | 2,585 |
| Block Financial LLC | 5.250% | 10/1/25 | 5,050 | 5,265 |
| Booking Holdings Inc. | 2.750% | 3/15/23 | 7,790 | 7,533 |
| Booking Holdings Inc. | 3.650% | 3/15/25 | 7,850 | 7,788 |
| Booking Holdings Inc. | 3.600% | 6/1/26 | 18,038 | 17,624 |
| BorgWarner Inc. | 3.375% | 3/15/25 | 4,575 | 4,465 |
| Costco Wholesale Corp. | 2.750% | 5/18/24 | 16,042 | 15,595 |
| Costco Wholesale Corp. | 3.000% | 5/18/27 | 13,985 | 13,483 |
| Cummins Inc. | 3.650% | 10/1/23 | 6,827 | 7,018 |
| Darden Restaurants Inc. | 3.850% | 5/1/27 | 6,175 | 6,082 |
| Delphi Corp. | 4.150% | 3/15/24 | 10,424 | 10,677 |
| Dollar General Corp. | 3.250% | 4/15/23 | 10,728 | 10,604 |
| Dollar General Corp. | 4.150% | 11/1/25 | 6,748 | 6,922 |
| Dollar General Corp. | 3.875% | 4/15/27 | 8,075 | 8,091 |
| DR Horton Inc. | 5.750% | 8/15/23 | 3,300 | 3,642 |
| eBay Inc. | 3.450% | 8/1/24 | 7,587 | 7,489 |
| eBay Inc. | 3.600% | 6/5/27 | 11,714 | 11,303 |
| Expedia Inc. | 4.500% | 8/15/24 | 6,447 | 6,508 |
| Expedia Inc. | 5.000% | 2/15/26 | 10,341 | 10,608 |
| Expedia Inc. | 3.800% | 2/15/28 | 10,750 | 10,014 |
| Ford Motor Co. | 4.346% | 12/8/26 | 15,678 | 15,450 |
| Ford Motor Credit Co. LLC | 3.096% | 5/4/23 | 12,318 | 11,854 |
| Ford Motor Credit Co. LLC | 4.375% | 8/6/23 | 12,893 | 13,172 |
| Ford Motor Credit Co. LLC | 3.810% | 1/9/24 | 19,319 | 19,052 |
| Ford Motor Credit Co. LLC | 3.664% | 9/8/24 | 10,110 | 9,777 |
| Ford Motor Credit Co. LLC | 4.134% | 8/4/25 | 24,722 | 24,266 |
| Ford Motor Credit Co. LLC | 4.389% | 1/8/26 | 14,114 | 14,040 |
| Ford Motor Credit Co. LLC | 3.815% | 11/2/27 | 9,800 | 9,155 |
51
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| General Motors Co. | 4.875% | 10/2/23 | 22,729 | 23,834 |
| General Motors Co. | 4.000% | 4/1/25 | 4,570 | 4,520 |
| General Motors Co. | 4.200% | 10/1/27 | 8,720 | 8,539 |
| General Motors Financial Co. Inc. | 3.700% | 5/9/23 | 16,029 | 15,948 |
| General Motors Financial Co. Inc. | 4.250% | 5/15/23 | 8,563 | 8,732 |
| General Motors Financial Co. Inc. | 3.950% | 4/13/24 | 15,495 | 15,455 |
| General Motors Financial Co. Inc. | 3.500% | 11/7/24 | 7,100 | 6,850 |
| General Motors Financial Co. Inc. | 4.000% | 1/15/25 | 16,903 | 16,754 |
| General Motors Financial Co. Inc. | 4.300% | 7/13/25 | 10,917 | 10,966 |
| General Motors Financial Co. Inc. | 5.250% | 3/1/26 | 18,405 | 19,453 |
| General Motors Financial Co. Inc. | 4.000% | 10/6/26 | 11,577 | 11,315 |
| General Motors Financial Co. Inc. | 4.350% | 1/17/27 | 26,748 | 26,518 |
| General Motors Financial Co. Inc. | 3.850% | 1/5/28 | 1,500 | 1,421 |
| Harley-Davidson Inc. | 3.500% | 7/28/25 | 6,900 | 6,825 |
| Harman International Industries Inc. | 4.150% | 5/15/25 | 3,971 | 4,023 |
| Home Depot Inc. | 2.700% | 4/1/23 | 15,605 | 15,300 |
| Home Depot Inc. | 3.750% | 2/15/24 | 14,371 | 14,798 |
| Home Depot Inc. | 3.350% | 9/15/25 | 12,908 | 12,791 |
| Home Depot Inc. | 3.000% | 4/1/26 | 16,768 | 16,254 |
| Home Depot Inc. | 2.125% | 9/15/26 | 13,899 | 12,540 |
| Home Depot Inc. | 2.800% | 9/14/27 | 12,935 | 12,169 |
| Hyatt Hotels Corp. | 3.375% | 7/15/23 | 3,925 | 3,888 |
| Hyatt Hotels Corp. | 4.850% | 3/15/26 | 4,912 | 5,170 |
| JD.com Inc. | 3.875% | 4/29/26 | 6,075 | 5,899 |
| Kohl's Corp. | 4.750% | 12/15/23 | 3,063 | 3,215 |
| Kohl's Corp. | 4.250% | 7/17/25 | 8,724 | 8,830 |
| Lear Corp. | 5.375% | 3/15/24 | 5,000 | 5,244 |
| Lear Corp. | 5.250% | 1/15/25 | 6,887 | 7,223 |
| Lear Corp. | 3.800% | 9/15/27 | 9,000 | 8,680 |
| Lowe's Cos. Inc. | 3.875% | 9/15/23 | 6,366 | 6,596 |
| Lowe's Cos. Inc. | 3.125% | 9/15/24 | 4,279 | 4,211 |
| Lowe's Cos. Inc. | 3.375% | 9/15/25 | 9,502 | 9,345 |
| Lowe's Cos. Inc. | 2.500% | 4/15/26 | 23,058 | 21,289 |
| Lowe's Cos. Inc. | 3.100% | 5/3/27 | 22,683 | 21,653 |
| Macy's Retail Holdings Inc. | 4.375% | 9/1/23 | 4,935 | 4,910 |
| Macy's Retail Holdings Inc. | 3.625% | 6/1/24 | 3,868 | 3,686 |
| Macy's Retail Holdings Inc. | 6.650% | 7/15/24 | 991 | 1,083 |
| Magna International Inc. | 3.625% | 6/15/24 | 10,283 | 10,402 |
| Magna International Inc. | 4.150% | 10/1/25 | 6,962 | 7,173 |
| Marriott International Inc. | 3.750% | 3/15/25 | 7,265 | 7,226 |
| Marriott International Inc. | 3.750% | 10/1/25 | 2,110 | 2,085 |
| Marriott International Inc. | 3.125% | 6/15/26 | 11,139 | 10,579 |
| Mastercard Inc. | 3.375% | 4/1/24 | 15,110 | 15,149 |
| Mastercard Inc. | 2.950% | 11/21/26 | 8,475 | 8,122 |
| Mastercard Inc. | 3.500% | 2/26/28 | 6,500 | 6,517 |
| McDonald's Corp. | 2.625% | 1/15/22 | — | — |
| McDonald's Corp. | 3.250% | 6/10/24 | 1,973 | 1,972 |
| McDonald's Corp. | 3.375% | 5/26/25 | 12,399 | 12,255 |
| McDonald's Corp. | 3.700% | 1/30/26 | 22,686 | 22,704 |
| McDonald's Corp. | 3.500% | 3/1/27 | 16,510 | 16,225 |
| NIKE Inc. | 2.250% | 5/1/23 | 2,630 | 2,538 |
| NIKE Inc. | 2.375% | 11/1/26 | 17,564 | 16,200 |
| Nordstrom Inc. | 4.000% | 3/15/27 | 5,600 | 5,464 |
| O'Reilly Automotive Inc. | 3.850% | 6/15/23 | 6,633 | 6,776 |
| O'Reilly Automotive Inc. | 3.550% | 3/15/26 | 4,196 | 4,099 |
| O'Reilly Automotive Inc. | 3.600% | 9/1/27 | 9,500 | 9,204 |
| QVC Inc. | 4.375% | 3/15/23 | 9,623 | 9,604 |
| QVC Inc. | 4.850% | 4/1/24 | 9,078 | 9,174 |
| QVC Inc. | 4.450% | 2/15/25 | 7,025 | 6,914 |
| Royal Caribbean Cruises Ltd. | 7.500% | 10/15/27 | 2,177 | 2,683 |
| Royal Caribbean Cruises Ltd. | 3.700% | 3/15/28 | 5,250 | 5,001 |
| Starbucks Corp. | 3.100% | 3/1/23 | 13,100 | 13,077 |
| Starbucks Corp. | 3.850% | 10/1/23 | 10,273 | 10,666 |
| Starbucks Corp. | 2.450% | 6/15/26 | 6,355 | 5,910 |
52
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Starbucks Corp. | 3.500% | 3/1/28 | 4,000 | 3,974 |
| Tapestry Inc. | 4.250% | 4/1/25 | 8,200 | 8,156 |
| Tapestry Inc. | 4.125% | 7/15/27 | 8,190 | 7,983 |
| Target Corp. | 3.500% | 7/1/24 | 12,425 | 12,595 |
| Target Corp. | 2.500% | 4/15/26 | 14,450 | 13,409 |
| TJX Cos. Inc. | 2.500% | 5/15/23 | 7,609 | 7,384 |
| TJX Cos. Inc. | 2.250% | 9/15/26 | 13,421 | 12,111 |
| Toyota Motor Credit Corp. | 2.250% | 10/18/23 | 7,082 | 6,753 |
| Toyota Motor Credit Corp. | 2.900% | 4/17/24 | 11,055 | 10,861 |
| Toyota Motor Credit Corp. | 3.200% | 1/11/27 | 7,333 | 7,223 |
| Toyota Motor Credit Corp. | 3.050% | 1/11/28 | 7,200 | 6,933 |
| Visa Inc. | 3.150% | 12/14/25 | 64,315 | 63,039 |
| Visa Inc. | 2.750% | 9/15/27 | 7,365 | 6,933 |
| Walgreens Boots Alliance Inc. | 3.800% | 11/18/24 | 27,073 | 26,884 |
| Walgreens Boots Alliance Inc. | 3.450% | 6/1/26 | 24,132 | 22,851 |
| Walmart Inc. | 2.550% | 4/11/23 | 30,300 | 29,520 |
| Walmart Inc. | 3.300% | 4/22/24 | 19,213 | 19,427 |
| Walmart Inc. | 2.650% | 12/15/24 | 13,250 | 12,880 |
| Walmart Inc. | 5.875% | 4/5/27 | 4,751 | 5,636 |
| Wyndham Worldwide Corp. | 3.900% | 3/1/23 | 4,020 | 3,897 |
| Wyndham Worldwide Corp. | 4.150% | 4/1/24 | 3,225 | 3,227 |
| Wyndham Worldwide Corp. | 5.100% | 10/1/25 | 4,647 | 4,810 |
| Wyndham Worldwide Corp. | 4.500% | 4/1/27 | 4,450 | 4,405 |
| Consumer Noncyclical (14.6%) | | | | |
| Abbott Laboratories | 3.250% | 4/15/23 | 11,035 | 10,974 |
| Abbott Laboratories | 3.400% | 11/30/23 | 25,144 | 25,028 |
| Abbott Laboratories | 2.950% | 3/15/25 | 12,891 | 12,306 |
| Abbott Laboratories | 3.875% | 9/15/25 | 2,708 | 2,734 |
| Abbott Laboratories | 3.750% | 11/30/26 | 44,383 | 43,964 |
| AbbVie Inc. | 2.850% | 5/14/23 | 15,748 | 15,273 |
| AbbVie Inc. | 3.600% | 5/14/25 | 51,701 | 51,092 |
| AbbVie Inc. | 3.200% | 5/14/26 | 30,163 | 28,799 |
| Agilent Technologies Inc. | 3.875% | 7/15/23 | 5,175 | 5,242 |
| Agilent Technologies Inc. | 3.050% | 9/22/26 | 5,354 | 4,997 |
| Allergan Funding SCS | 3.850% | 6/15/24 | 14,267 | 14,251 |
| Allergan Funding SCS | 3.800% | 3/15/25 | 58,144 | 57,326 |
| Allergan Inc. | 2.800% | 3/15/23 | 4,000 | 3,843 |
| Altria Group Inc. | 2.950% | 5/2/23 | 3,372 | 3,307 |
| Altria Group Inc. | 4.000% | 1/31/24 | 24,947 | 25,687 |
| Altria Group Inc. | 2.625% | 9/16/26 | 3,785 | 3,495 |
| AmerisourceBergen Corp. | 3.400% | 5/15/24 | 2,985 | 2,942 |
| AmerisourceBergen Corp. | 3.250% | 3/1/25 | 5,675 | 5,438 |
| AmerisourceBergen Corp. | 3.450% | 12/15/27 | 12,775 | 12,162 |
| Amgen Inc. | 2.250% | 8/19/23 | 9,224 | 8,700 |
| Amgen Inc. | 3.625% | 5/22/24 | 23,637 | 23,802 |
| Amgen Inc. | 3.125% | 5/1/25 | 10,646 | 10,284 |
| Amgen Inc. | 2.600% | 8/19/26 | 18,312 | 16,749 |
| Amgen Inc. | 3.200% | 11/2/27 | 13,849 | 13,119 |
| Anheuser-Busch InBev Finance Inc. | 3.700% | 2/1/24 | 21,185 | 21,490 |
| Anheuser-Busch InBev Finance Inc. | 3.650% | 2/1/26 | 160,789 | 159,281 |
| Archer-Daniels-Midland Co. | 2.500% | 8/11/26 | 10,875 | 10,005 |
| AstraZeneca plc | 3.375% | 11/16/25 | 26,002 | 25,528 |
| AstraZeneca plc | 3.125% | 6/12/27 | 8,335 | 7,994 |
| 2 BAT Capital Corp. | 3.222% | 8/15/24 | 29,255 | 28,231 |
| 2 BAT Capital Corp. | 3.557% | 8/15/27 | 48,635 | 46,455 |
| Baxalta Inc. | 4.000% | 6/23/25 | 32,869 | 32,728 |
| Baxter International Inc. | 2.600% | 8/15/26 | 9,890 | 9,047 |
| Becton Dickinson & Co. | 3.875% | 5/15/24 | 3,500 | 3,495 |
| Becton Dickinson & Co. | 3.363% | 6/6/24 | 22,437 | 21,714 |
| Becton Dickinson & Co. | 3.734% | 12/15/24 | 18,990 | 18,682 |
| 2 Becton Dickinson & Co. | 3.000% | 5/15/26 | 4,350 | 4,285 |
| Becton Dickinson & Co. | 3.700% | 6/6/27 | 32,401 | 31,028 |
| Bestfoods | 7.250% | 12/15/26 | 519 | 650 |
53
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Biogen Inc. | 4.050% | 9/15/25 | 25,199 | 25,728 |
| Boston Scientific Corp. | 4.125% | 10/1/23 | 2,710 | 2,773 |
| Boston Scientific Corp. | 3.850% | 5/15/25 | 12,516 | 12,556 |
| Boston Scientific Corp. | 4.000% | 3/1/28 | 6,400 | 6,380 |
| Bristol-Myers Squibb Co. | 7.150% | 6/15/23 | 900 | 1,070 |
| Bristol-Myers Squibb Co. | 3.250% | 11/1/23 | 12,421 | 12,511 |
| Bristol-Myers Squibb Co. | 3.250% | 2/27/27 | 11,400 | 11,244 |
| Bunge Ltd. Finance Corp. | 3.250% | 8/15/26 | 11,835 | 11,140 |
| Bunge Ltd. Finance Corp. | 3.750% | 9/25/27 | 9,345 | 9,004 |
| Campbell Soup Co. | 3.300% | 3/19/25 | 2,981 | 2,879 |
| Cardinal Health Inc. | 3.200% | 3/15/23 | 7,519 | 7,419 |
| Cardinal Health Inc. | 3.079% | 6/15/24 | 20,590 | 19,745 |
| Cardinal Health Inc. | 3.500% | 11/15/24 | 2,308 | 2,269 |
| Cardinal Health Inc. | 3.750% | 9/15/25 | 2,430 | 2,383 |
| Cardinal Health Inc. | 3.410% | 6/15/27 | 15,605 | 14,667 |
| Celgene Corp. | 4.000% | 8/15/23 | 7,493 | 7,667 |
| Celgene Corp. | 3.625% | 5/15/24 | 14,997 | 14,919 |
| Celgene Corp. | 3.875% | 8/15/25 | 40,849 | 40,815 |
| Celgene Corp. | 3.450% | 11/15/27 | 10,117 | 9,620 |
| Celgene Corp. | 3.900% | 2/20/28 | 20,775 | 20,408 |
| Church & Dwight Co. Inc. | 3.150% | 8/1/27 | 5,785 | 5,447 |
| Clorox Co. | 3.500% | 12/15/24 | 6,928 | 6,962 |
| Clorox Co. | 3.100% | 10/1/27 | 5,531 | 5,318 |
| Coca-Cola Bottling Co. Consolidated | 3.800% | 11/25/25 | 4,950 | 4,875 |
| Coca-Cola Co. | 2.500% | 4/1/23 | 12,779 | 12,487 |
| Coca-Cola Co. | 3.200% | 11/1/23 | 16,369 | 16,548 |
| Coca-Cola Co. | 2.875% | 10/27/25 | 22,719 | 22,058 |
| Coca-Cola Co. | 2.550% | 6/1/26 | 7,170 | 6,785 |
| Coca-Cola Co. | 2.250% | 9/1/26 | 12,913 | 11,881 |
| Coca-Cola Co. | 2.900% | 5/25/27 | 5,829 | 5,614 |
| Coca-Cola Femsa SAB de CV | 3.875% | 11/26/23 | 10,930 | 11,187 |
| Colgate-Palmolive Co. | 2.100% | 5/1/23 | 4,576 | 4,368 |
| Colgate-Palmolive Co. | 3.250% | 3/15/24 | 7,209 | 7,261 |
| Constellation Brands Inc. | 4.250% | 5/1/23 | 15,766 | 16,328 |
| Constellation Brands Inc. | 4.750% | 11/15/24 | 10,659 | 11,338 |
| Constellation Brands Inc. | 3.700% | 12/6/26 | 8,702 | 8,594 |
| Constellation Brands Inc. | 3.500% | 5/9/27 | 6,980 | 6,767 |
| Constellation Brands Inc. | 3.600% | 2/15/28 | 10,600 | 10,248 |
| Covidien International Finance SA | 2.950% | 6/15/23 | 5,780 | 5,664 |
| CVS Health Corp. | 4.000% | 12/5/23 | 18,146 | 18,398 |
| CVS Health Corp. | 3.375% | 8/12/24 | 8,400 | 8,170 |
| CVS Health Corp. | 3.875% | 7/20/25 | 39,031 | 38,554 |
| CVS Health Corp. | 2.875% | 6/1/26 | 25,169 | 22,884 |
| Danaher Corp. | 3.350% | 9/15/25 | 6,110 | 6,139 |
| Diageo Capital plc | 2.625% | 4/29/23 | 17,834 | 17,384 |
| Dr Pepper Snapple Group Inc. | 3.130% | 12/15/23 | 10,180 | 9,922 |
| Dr Pepper Snapple Group Inc. | 3.400% | 11/15/25 | 2,504 | 2,415 |
| Dr Pepper Snapple Group Inc. | 2.550% | 9/15/26 | 7,470 | 6,674 |
| Dr Pepper Snapple Group Inc. | 3.430% | 6/15/27 | 4,173 | 3,959 |
| 2 Dr Pepper Snapple Group Inc. | 3.430% | 6/15/27 | 1,000 | 949 |
| Eli Lilly & Co. | 2.750% | 6/1/25 | 14,163 | 13,666 |
| Eli Lilly & Co. | 5.500% | 3/15/27 | 559 | 643 |
| Eli Lilly & Co. | 3.100% | 5/15/27 | 12,675 | 12,339 |
| Estee Lauder Cos. Inc. | 3.150% | 3/15/27 | 7,237 | 7,038 |
| Express Scripts Holding Co. | 3.000% | 7/15/23 | 22,832 | 22,018 |
| Express Scripts Holding Co. | 3.500% | 6/15/24 | 11,471 | 11,249 |
| Express Scripts Holding Co. | 4.500% | 2/25/26 | 21,305 | 21,839 |
| Express Scripts Holding Co. | 3.400% | 3/1/27 | 22,607 | 21,397 |
| Flowers Foods Inc. | 3.500% | 10/1/26 | 4,575 | 4,356 |
| Fomento Economico Mexicano SAB de CV | 2.875% | 5/10/23 | 3,000 | 2,927 |
| General Mills Inc. | 3.650% | 2/15/24 | 5,551 | 5,611 |
| General Mills Inc. | 3.200% | 2/10/27 | 10,675 | 10,164 |
| Gilead Sciences Inc. | 2.500% | 9/1/23 | 15,361 | 14,741 |
| Gilead Sciences Inc. | 3.700% | 4/1/24 | 23,703 | 24,079 |
54
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Gilead Sciences Inc. | 3.500% | 2/1/25 | 21,089 | 21,001 |
| Gilead Sciences Inc. | 3.650% | 3/1/26 | 36,552 | 36,557 |
| Gilead Sciences Inc. | 2.950% | 3/1/27 | 18,417 | 17,303 |
| GlaxoSmithKline Capital Inc. | 2.800% | 3/18/23 | 16,178 | 15,880 |
| Hasbro Inc. | 3.500% | 9/15/27 | 6,158 | 5,828 |
| Hershey Co. | 2.625% | 5/1/23 | 750 | 729 |
| Hershey Co. | 3.200% | 8/21/25 | 1,500 | 1,474 |
| Hershey Co. | 2.300% | 8/15/26 | 4,297 | 3,899 |
| Hershey Co. | 7.200% | 8/15/27 | 146 | 185 |
| Ingredion Inc. | 3.200% | 10/1/26 | 6,615 | 6,244 |
| JM Smucker Co. | 3.500% | 3/15/25 | 7,908 | 7,797 |
| JM Smucker Co. | 3.375% | 12/15/27 | 12,100 | 11,608 |
| Johnson & Johnson | 2.050% | 3/1/23 | 7,145 | 6,836 |
| Johnson & Johnson | 6.730% | 11/15/23 | 50 | 59 |
| Johnson & Johnson | 3.375% | 12/5/23 | 8,760 | 8,956 |
| Johnson & Johnson | 2.625% | 1/15/25 | 10,175 | 9,775 |
| Johnson & Johnson | 2.450% | 3/1/26 | 29,065 | 27,384 |
| Johnson & Johnson | 2.950% | 3/3/27 | 15,424 | 14,962 |
| Johnson & Johnson | 2.900% | 1/15/28 | 17,630 | 16,912 |
| Kaiser Foundation Hospitals | 3.150% | 5/1/27 | 7,525 | 7,286 |
| Kellogg Co. | 2.650% | 12/1/23 | 9,570 | 9,301 |
| Kellogg Co. | 3.250% | 4/1/26 | 7,306 | 6,966 |
| Kellogg Co. | 3.400% | 11/15/27 | 8,487 | 8,102 |
| Kimberly-Clark Corp. | 2.400% | 6/1/23 | 4,382 | 4,210 |
| Kimberly-Clark Corp. | 3.050% | 8/15/25 | 3,140 | 3,073 |
| Kimberly-Clark Corp. | 2.750% | 2/15/26 | 6,250 | 5,945 |
| Kraft Heinz Foods Co. | 3.950% | 7/15/25 | 22,816 | 22,617 |
| Kraft Heinz Foods Co. | 3.000% | 6/1/26 | 30,674 | 28,154 |
| Laboratory Corp. of America Holdings | 4.000% | 11/1/23 | 2,050 | 2,085 |
| Laboratory Corp. of America Holdings | 3.250% | 9/1/24 | 10,940 | 10,610 |
| Laboratory Corp. of America Holdings | 3.600% | 2/1/25 | 13,650 | 13,462 |
| Laboratory Corp. of America Holdings | 3.600% | 9/1/27 | 11,600 | 11,220 |
| McCormick & Co. Inc. | 3.150% | 8/15/24 | 13,490 | 13,144 |
| McCormick & Co. Inc. | 3.400% | 8/15/27 | 13,700 | 13,302 |
| McKesson Corp. | 2.850% | 3/15/23 | 4,980 | 4,834 |
| McKesson Corp. | 3.796% | 3/15/24 | 14,955 | 15,098 |
| McKesson Corp. | 3.950% | 2/16/28 | 6,700 | 6,663 |
| Mead Johnson Nutrition Co. | 4.125% | 11/15/25 | 9,865 | 10,045 |
| Medtronic Global Holdings SCA | 3.350% | 4/1/27 | 16,398 | 16,148 |
| Medtronic Inc. | 2.750% | 4/1/23 | 2,072 | 2,028 |
| Medtronic Inc. | 3.625% | 3/15/24 | 13,451 | 13,631 |
| Medtronic Inc. | 3.500% | 3/15/25 | 55,291 | 55,229 |
| Merck & Co. Inc. | 2.800% | 5/18/23 | 23,488 | 23,208 |
| Merck & Co. Inc. | 2.750% | 2/10/25 | 31,427 | 30,310 |
| Molson Coors Brewing Co. | 3.000% | 7/15/26 | 27,607 | 25,794 |
| Mylan Inc. | 4.200% | 11/29/23 | 6,595 | 6,699 |
| Mylan NV | 3.950% | 6/15/26 | 31,115 | 30,133 |
| Newell Brands Inc. | 3.850% | 4/1/23 | 28,480 | 28,338 |
| Newell Brands Inc. | 4.000% | 12/1/24 | 6,077 | 6,006 |
| Newell Brands Inc. | 3.900% | 11/1/25 | 5,360 | 5,198 |
| Newell Brands Inc. | 4.200% | 4/1/26 | 26,926 | 26,620 |
| Novartis Capital Corp. | 3.400% | 5/6/24 | 26,427 | 26,709 |
| Novartis Capital Corp. | 3.000% | 11/20/25 | 24,569 | 24,040 |
| Novartis Capital Corp. | 3.100% | 5/17/27 | 12,729 | 12,441 |
| PepsiCo Inc. | 2.750% | 3/1/23 | 18,997 | 18,779 |
| PepsiCo Inc. | 3.600% | 3/1/24 | 13,470 | 13,733 |
| PepsiCo Inc. | 2.750% | 4/30/25 | 16,067 | 15,479 |
| PepsiCo Inc. | 3.500% | 7/17/25 | 6,860 | 6,910 |
| PepsiCo Inc. | 2.850% | 2/24/26 | 8,393 | 8,046 |
| PepsiCo Inc. | 2.375% | 10/6/26 | 17,875 | 16,459 |
| PepsiCo Inc. | 3.000% | 10/15/27 | 21,100 | 20,298 |
| Perrigo Finance Unlimited Co. | 3.900% | 12/15/24 | 11,187 | 11,142 |
| Perrigo Finance Unlimited Co. | 4.375% | 3/15/26 | 10,482 | 10,584 |
| Pfizer Inc. | 3.000% | 6/15/23 | 12,318 | 12,295 |
55
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Pfizer Inc. | 3.400% | 5/15/24 | 13,976 | 14,101 |
| Pfizer Inc. | 2.750% | 6/3/26 | 23,385 | 22,270 |
| Pfizer Inc. | 3.000% | 12/15/26 | 17,132 | 16,529 |
| Philip Morris International Inc. | 2.625% | 3/6/23 | 7,700 | 7,455 |
| Philip Morris International Inc. | 2.125% | 5/10/23 | 6,094 | 5,747 |
| Philip Morris International Inc. | 3.600% | 11/15/23 | 7,409 | 7,505 |
| Philip Morris International Inc. | 3.250% | 11/10/24 | 12,698 | 12,511 |
| Philip Morris International Inc. | 3.375% | 8/11/25 | 10,022 | 9,839 |
| Philip Morris International Inc. | 2.750% | 2/25/26 | 12,000 | 11,292 |
| Philip Morris International Inc. | 3.125% | 8/17/27 | 6,000 | 5,757 |
| Philip Morris International Inc. | 3.125% | 3/2/28 | 725 | 691 |
| Procter & Gamble Co. | 3.100% | 8/15/23 | 15,711 | 15,743 |
| Procter & Gamble Co. | 2.700% | 2/2/26 | 6,212 | 5,930 |
| Procter & Gamble Co. | 2.450% | 11/3/26 | 12,115 | 11,233 |
| Procter & Gamble Co. | 2.850% | 8/11/27 | 11,485 | 10,918 |
| Providence St. Joseph Health Obligated Group | 2.746% | 10/1/26 | 2,225 | 2,067 |
| Quest Diagnostics Inc. | 4.250% | 4/1/24 | 2,150 | 2,225 |
| Quest Diagnostics Inc. | 3.500% | 3/30/25 | 2,840 | 2,793 |
| Quest Diagnostics Inc. | 3.450% | 6/1/26 | 12,383 | 11,885 |
| Reynolds American Inc. | 4.850% | 9/15/23 | 8,218 | 8,726 |
| Reynolds American Inc. | 4.450% | 6/12/25 | 37,101 | 38,102 |
| Shire Acquisitions Investments Ireland DAC | 2.875% | 9/23/23 | 36,775 | 35,133 |
| Shire Acquisitions Investments Ireland DAC | 3.200% | 9/23/26 | 32,697 | 30,320 |
| SSM Health Care Corp. | 3.823% | 6/1/27 | 4,500 | 4,517 |
| Stryker Corp. | 3.375% | 5/15/24 | 6,287 | 6,272 |
| Stryker Corp. | 3.375% | 11/1/25 | 7,165 | 7,073 |
| Stryker Corp. | 3.500% | 3/15/26 | 13,617 | 13,543 |
| Stryker Corp. | 3.650% | 3/7/28 | 5,000 | 4,997 |
| Sysco Corp. | 3.750% | 10/1/25 | 7,968 | 8,048 |
| Sysco Corp. | 3.300% | 7/15/26 | 8,150 | 7,912 |
| Sysco Corp. | 3.250% | 7/15/27 | 13,960 | 13,458 |
| The Kroger Co. | 3.850% | 8/1/23 | 9,132 | 9,298 |
| The Kroger Co. | 4.000% | 2/1/24 | 6,210 | 6,325 |
| The Kroger Co. | 3.500% | 2/1/26 | 4,174 | 4,031 |
| The Kroger Co. | 2.650% | 10/15/26 | 10,484 | 9,455 |
| The Kroger Co. | 3.700% | 8/1/27 | 9,525 | 9,224 |
| Thermo Fisher Scientific Inc. | 3.000% | 4/15/23 | 16,787 | 16,467 |
| Thermo Fisher Scientific Inc. | 4.150% | 2/1/24 | 10,982 | 11,296 |
| Thermo Fisher Scientific Inc. | 3.650% | 12/15/25 | 3,755 | 3,740 |
| Thermo Fisher Scientific Inc. | 2.950% | 9/19/26 | 14,456 | 13,518 |
| Thermo Fisher Scientific Inc. | 3.200% | 8/15/27 | 9,750 | 9,238 |
| Tyson Foods Inc. | 3.950% | 8/15/24 | 20,744 | 21,124 |
| Tyson Foods Inc. | 3.550% | 6/2/27 | 18,047 | 17,522 |
| Unilever Capital Corp. | 2.600% | 5/5/24 | 16,625 | 16,043 |
| Unilever Capital Corp. | 3.100% | 7/30/25 | 4,725 | 4,649 |
| Unilever Capital Corp. | 2.000% | 7/28/26 | 13,400 | 11,940 |
| Unilever Capital Corp. | 2.900% | 5/5/27 | 5,500 | 5,239 |
| Whirlpool Corp. | 4.000% | 3/1/24 | 3,550 | 3,650 |
| Whirlpool Corp. | 3.700% | 5/1/25 | 4,650 | 4,648 |
| Whole Foods Market Inc. | 5.200% | 12/3/25 | 180 | 200 |
| Wyeth LLC | 6.450% | 2/1/24 | 8,859 | 10,384 |
| Zimmer Biomet Holdings Inc. | 3.550% | 4/1/25 | 27,621 | 26,715 |
| Zoetis Inc. | 4.500% | 11/13/25 | 8,653 | 9,096 |
| Zoetis Inc. | 3.000% | 9/12/27 | 11,800 | 11,062 |
| Energy (9.3%) | | | | |
| Anadarko Petroleum Corp. | 3.450% | 7/15/24 | 9,383 | 9,189 |
| Anadarko Petroleum Corp. | 5.550% | 3/15/26 | 15,906 | 17,349 |
| Andeavor | 4.750% | 12/15/23 | 17,959 | 18,700 |
| Andeavor | 5.125% | 4/1/24 | 2,000 | 2,077 |
| Andeavor | 5.125% | 12/15/26 | 10,950 | 11,525 |
| Andeavor Logistics LP / Tesoro Logistics Finance Corp. | 6.375% | 5/1/24 | 550 | 591 |
| Andeavor Logistics LP / Tesoro Logistics Finance Corp. | 5.250% | 1/15/25 | 15,470 | 15,877 |
| Andeavor Logistics LP / Tesoro Logistics Finance Corp. | 4.250% | 12/1/27 | 9,505 | 9,291 |
56
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor | | | | |
| Inc. | 3.337% | 12/15/27 | 14,000 | 13,377 |
| Boardwalk Pipelines LP | 4.950% | 12/15/24 | 8,775 | 9,061 |
| Boardwalk Pipelines LP | 5.950% | 6/1/26 | 6,740 | 7,282 |
| Boardwalk Pipelines LP | 4.450% | 7/15/27 | 8,512 | 8,328 |
| BP Capital Markets plc | 2.500% | 11/6/22 | — | — |
| BP Capital Markets plc | 2.750% | 5/10/23 | 25,484 | 24,893 |
| BP Capital Markets plc | 3.994% | 9/26/23 | 6,375 | 6,599 |
| BP Capital Markets plc | 3.216% | 11/28/23 | 21,882 | 21,708 |
| BP Capital Markets plc | 3.814% | 2/10/24 | 10,574 | 10,820 |
| BP Capital Markets plc | 3.224% | 4/14/24 | 12,806 | 12,662 |
| BP Capital Markets plc | 3.535% | 11/4/24 | 15,784 | 15,855 |
| BP Capital Markets plc | 3.506% | 3/17/25 | 9,660 | 9,635 |
| BP Capital Markets plc | 3.119% | 5/4/26 | 17,355 | 16,730 |
| BP Capital Markets plc | 3.017% | 1/16/27 | 11,030 | 10,490 |
| BP Capital Markets plc | 3.588% | 4/14/27 | 16,875 | 16,726 |
| BP Capital Markets plc | 3.279% | 9/19/27 | 22,550 | 21,796 |
| Buckeye Partners LP | 4.150% | 7/1/23 | 6,506 | 6,512 |
| Buckeye Partners LP | 4.350% | 10/15/24 | 682 | 683 |
| Buckeye Partners LP | 3.950% | 12/1/26 | 14,990 | 14,296 |
| Buckeye Partners LP | 4.125% | 12/1/27 | 1,500 | 1,438 |
| Canadian Natural Resources Ltd. | 3.800% | 4/15/24 | 9,004 | 8,975 |
| Canadian Natural Resources Ltd. | 3.900% | 2/1/25 | 3,667 | 3,650 |
| Canadian Natural Resources Ltd. | 3.850% | 6/1/27 | 18,296 | 17,921 |
| Cenovus Energy Inc. | 3.800% | 9/15/23 | 7,650 | 7,593 |
| Cenovus Energy Inc. | 4.250% | 4/15/27 | 16,285 | 15,898 |
| Chevron Corp. | 2.566% | 5/16/23 | 11,263 | 10,929 |
| Chevron Corp. | 3.191% | 6/24/23 | 31,259 | 31,186 |
| Chevron Corp. | 2.895% | 3/3/24 | 12,381 | 12,118 |
| Chevron Corp. | 3.326% | 11/17/25 | 10,920 | 10,838 |
| Chevron Corp. | 2.954% | 5/16/26 | 30,865 | 29,612 |
| Cimarex Energy Co. | 4.375% | 6/1/24 | 12,503 | 12,970 |
| Cimarex Energy Co. | 3.900% | 5/15/27 | 11,050 | 10,814 |
| Columbia Pipeline Group Inc. | 4.500% | 6/1/25 | 14,683 | 15,086 |
| Concho Resources Inc. | 4.375% | 1/15/25 | 3,150 | 3,221 |
| Concho Resources Inc. | 3.750% | 10/1/27 | 17,265 | 16,747 |
| ConocoPhillips Co. | 3.350% | 11/15/24 | 18,215 | 18,098 |
| ConocoPhillips Co. | 3.350% | 5/15/25 | 1,528 | 1,518 |
| ConocoPhillips Co. | 4.950% | 3/15/26 | 21,966 | 23,815 |
| Devon Energy Corp. | 5.850% | 12/15/25 | 6,875 | 7,806 |
| Dominion Energy Gas Holdings LLC | 3.550% | 11/1/23 | 3,075 | 3,040 |
| Dominion Energy Gas Holdings LLC | 3.600% | 12/15/24 | 5,775 | 5,758 |
| Enable Midstream Partners LP | 3.900% | 5/15/24 | 4,200 | 4,109 |
| Enable Midstream Partners LP | 4.400% | 3/15/27 | 10,920 | 10,746 |
| Enbridge Energy Partners LP | 5.875% | 10/15/25 | 5,750 | 6,381 |
| Enbridge Inc. | 4.000% | 10/1/23 | 4,505 | 4,575 |
| Enbridge Inc. | 3.500% | 6/10/24 | 7,334 | 7,192 |
| Enbridge Inc. | 4.250% | 12/1/26 | 14,625 | 14,744 |
| Enbridge Inc. | 3.700% | 7/15/27 | 11,032 | 10,701 |
| Energy Transfer LP | 4.900% | 2/1/24 | 3,840 | 3,972 |
| Energy Transfer LP | 4.050% | 3/15/25 | 15,310 | 15,027 |
| Energy Transfer LP | 4.750% | 1/15/26 | 18,980 | 19,281 |
| Energy Transfer LP | 4.200% | 4/15/27 | 6,454 | 6,274 |
| EnLink Midstream Partners LP | 4.400% | 4/1/24 | 11,212 | 11,259 |
| EnLink Midstream Partners LP | 4.150% | 6/1/25 | 8,595 | 8,407 |
| EnLink Midstream Partners LP | 4.850% | 7/15/26 | 5,440 | 5,539 |
| Enterprise Products Operating LLC | 3.350% | 3/15/23 | 24,417 | 24,228 |
| Enterprise Products Operating LLC | 3.900% | 2/15/24 | 6,554 | 6,655 |
| Enterprise Products Operating LLC | 3.750% | 2/15/25 | 15,378 | 15,398 |
| Enterprise Products Operating LLC | 3.700% | 2/15/26 | 13,573 | 13,519 |
| Enterprise Products Operating LLC | 3.950% | 2/15/27 | 4,934 | 4,979 |
| 1 Enterprise Products Operating LLC | 5.250% | 8/16/77 | 9,000 | 8,669 |
| 1 Enterprise Products Operating LLC | 5.375% | 2/15/78 | 7,500 | 7,241 |
| EOG Resources Inc. | 2.625% | 3/15/23 | 12,878 | 12,432 |
57
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| EOG Resources Inc. | 3.150% | 4/1/25 | 4,301 | 4,116 |
| EOG Resources Inc. | 4.150% | 1/15/26 | 12,934 | 13,321 |
| EQT Corp. | 3.900% | 10/1/27 | 18,885 | 18,028 |
| EQT Midstream Partners LP | 4.000% | 8/1/24 | 4,230 | 4,139 |
| EQT Midstream Partners LP | 4.125% | 12/1/26 | 7,500 | 7,199 |
| Exxon Mobil Corp. | 2.726% | 3/1/23 | 22,612 | 22,297 |
| Exxon Mobil Corp. | 3.176% | 3/15/24 | 6,563 | 6,576 |
| Exxon Mobil Corp. | 2.709% | 3/6/25 | 24,445 | 23,393 |
| Exxon Mobil Corp. | 3.043% | 3/1/26 | 33,614 | 32,741 |
| Halliburton Co. | 3.500% | 8/1/23 | 10,629 | 10,677 |
| Halliburton Co. | 3.800% | 11/15/25 | 31,443 | 31,467 |
| Helmerich & Payne International Drilling Co. | 4.650% | 3/15/25 | 6,050 | 6,243 |
| Hess Corp. | 3.500% | 7/15/24 | 3,200 | 3,102 |
| Hess Corp. | 4.300% | 4/1/27 | 17,067 | 16,705 |
| HollyFrontier Corp. | 5.875% | 4/1/26 | 12,009 | 12,941 |
| Husky Energy Inc. | 4.000% | 4/15/24 | 10,289 | 10,424 |
| Kerr-McGee Corp. | 6.950% | 7/1/24 | 6,416 | 7,415 |
| Kinder Morgan Energy Partners LP | 3.500% | 9/1/23 | 10,800 | 10,605 |
| Kinder Morgan Energy Partners LP | 4.150% | 2/1/24 | 7,687 | 7,740 |
| Kinder Morgan Energy Partners LP | 4.300% | 5/1/24 | 10,623 | 10,790 |
| Kinder Morgan Energy Partners LP | 4.250% | 9/1/24 | 9,652 | 9,757 |
| Kinder Morgan Inc. | 4.300% | 6/1/25 | 21,380 | 21,554 |
| Magellan Midstream Partners LP | 5.000% | 3/1/26 | 7,402 | 8,000 |
| Marathon Oil Corp. | 3.850% | 6/1/25 | 16,639 | 16,485 |
| Marathon Oil Corp. | 4.400% | 7/15/27 | 11,410 | 11,596 |
| Marathon Petroleum Corp. | 3.625% | 9/15/24 | 9,304 | 9,286 |
| MPLX LP | 4.500% | 7/15/23 | 21,566 | 22,204 |
| MPLX LP | 4.875% | 12/1/24 | 22,323 | 23,618 |
| MPLX LP | 4.000% | 2/15/25 | 6,820 | 6,809 |
| MPLX LP | 4.875% | 6/1/25 | 19,070 | 19,976 |
| MPLX LP | 4.125% | 3/1/27 | 9,856 | 9,766 |
| MPLX LP | 4.000% | 3/15/28 | 5,000 | 4,915 |
| National Fuel Gas Co. | 3.750% | 3/1/23 | 6,225 | 6,183 |
| National Fuel Gas Co. | 5.200% | 7/15/25 | 5,500 | 5,803 |
| National Fuel Gas Co. | 3.950% | 9/15/27 | 5,250 | 5,029 |
| Noble Energy Inc. | 3.900% | 11/15/24 | 8,041 | 8,074 |
| Noble Energy Inc. | 3.850% | 1/15/28 | 2,675 | 2,626 |
| Occidental Petroleum Corp. | 3.500% | 6/15/25 | 9,270 | 9,218 |
| Occidental Petroleum Corp. | 3.400% | 4/15/26 | 17,276 | 17,037 |
| Occidental Petroleum Corp. | 3.000% | 2/15/27 | 6,977 | 6,650 |
| ONEOK Inc. | 7.500% | 9/1/23 | 10,615 | 12,462 |
| ONEOK Inc. | 4.000% | 7/13/27 | 3,250 | 3,203 |
| ONEOK Partners LP | 5.000% | 9/15/23 | 4,955 | 5,237 |
| ONEOK Partners LP | 4.900% | 3/15/25 | 6,034 | 6,340 |
| 2 Patterson-UTI Energy Inc. | 3.950% | 2/1/28 | 2,525 | 2,437 |
| Phillips 66 | 3.900% | 3/15/28 | 4,100 | 4,091 |
| Phillips 66 Partners LP | 3.605% | 2/15/25 | 6,495 | 6,380 |
| Phillips 66 Partners LP | 3.550% | 10/1/26 | 5,225 | 5,005 |
| Pioneer Natural Resources Co. | 4.450% | 1/15/26 | 5,730 | 5,935 |
| Plains All American Pipeline LP / PAA Finance Corp. | 3.850% | 10/15/23 | 8,003 | 7,878 |
| Plains All American Pipeline LP / PAA Finance Corp. | 3.600% | 11/1/24 | 7,574 | 7,224 |
| Plains All American Pipeline LP / PAA Finance Corp. | 4.650% | 10/15/25 | 15,736 | 15,868 |
| Plains All American Pipeline LP / PAA Finance Corp. | 4.500% | 12/15/26 | 10,810 | 10,726 |
| Regency Energy Partners LP / Regency Energy Finance | | | | |
| Corp. | 4.500% | 11/1/23 | 9,525 | 9,680 |
| Sabine Pass Liquefaction LLC | 5.625% | 4/15/23 | 21,965 | 23,503 |
| Sabine Pass Liquefaction LLC | 5.750% | 5/15/24 | 34,094 | 36,907 |
| Sabine Pass Liquefaction LLC | 5.625% | 3/1/25 | 28,426 | 30,522 |
| Sabine Pass Liquefaction LLC | 5.875% | 6/30/26 | 16,703 | 18,248 |
| Sabine Pass Liquefaction LLC | 5.000% | 3/15/27 | 16,390 | 16,984 |
| Schlumberger Investment SA | 3.650% | 12/1/23 | 22,060 | 22,492 |
| Shell International Finance BV | 3.400% | 8/12/23 | 15,884 | 16,035 |
| Shell International Finance BV | 3.250% | 5/11/25 | 35,198 | 34,757 |
| Shell International Finance BV | 2.875% | 5/10/26 | 24,544 | 23,506 |
58
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Shell International Finance BV | 2.500% | 9/12/26 | 17,132 | 15,929 |
| Spectra Energy Capital LLC | 3.300% | 3/15/23 | 3,425 | 3,492 |
| Spectra Energy Partners LP | 4.750% | 3/15/24 | 15,347 | 16,128 |
| Spectra Energy Partners LP | 3.500% | 3/15/25 | 6,800 | 6,598 |
| Spectra Energy Partners LP | 3.375% | 10/15/26 | 7,018 | 6,682 |
| Suncor Energy Inc. | 3.600% | 12/1/24 | 9,005 | 8,964 |
| Sunoco Logistics Partners Operations LP | 4.250% | 4/1/24 | 11,498 | 11,534 |
| Sunoco Logistics Partners Operations LP | 5.950% | 12/1/25 | 7,485 | 8,136 |
| Sunoco Logistics Partners Operations LP | 3.900% | 7/15/26 | 2,690 | 2,572 |
| Sunoco Logistics Partners Operations LP | 4.000% | 10/1/27 | 4,700 | 4,485 |
| TC PipeLines LP | 4.375% | 3/13/25 | 575 | 582 |
| TC PipeLines LP | 3.900% | 5/25/27 | 8,015 | 7,756 |
| Tennessee Gas Pipeline Co. LLC | 7.000% | 3/15/27 | 950 | 1,112 |
| Tosco Corp. | 7.800% | 1/1/27 | 1,148 | 1,479 |
| Total Capital Canada Ltd. | 2.750% | 7/15/23 | 22,728 | 22,295 |
| Total Capital International SA | 3.700% | 1/15/24 | 15,227 | 15,543 |
| Total Capital International SA | 3.750% | 4/10/24 | 11,454 | 11,719 |
| TransCanada PipeLines Ltd. | 3.750% | 10/16/23 | 12,884 | 13,173 |
| TransCanada PipeLines Ltd. | 4.875% | 1/15/26 | 7,934 | 8,589 |
| Transcontinental Gas Pipe Line Co. LLC | 7.850% | 2/1/26 | 8,130 | 10,105 |
| Valero Energy Corp. | 3.650% | 3/15/25 | 7,619 | 7,568 |
| Valero Energy Corp. | 3.400% | 9/15/26 | 17,036 | 16,258 |
| Valero Energy Partners LP | 4.375% | 12/15/26 | 7,240 | 7,338 |
| Western Gas Partners LP | 3.950% | 6/1/25 | 8,706 | 8,508 |
| Western Gas Partners LP | 4.650% | 7/1/26 | 4,917 | 5,002 |
| Western Gas Partners LP | 4.500% | 3/1/28 | 1,800 | 1,810 |
| Williams Partners LP | 4.500% | 11/15/23 | 6,381 | 6,585 |
| Williams Partners LP | 4.300% | 3/4/24 | 11,237 | 11,483 |
| Williams Partners LP | 3.900% | 1/15/25 | 13,360 | 13,242 |
| Williams Partners LP | 4.000% | 9/15/25 | 16,242 | 16,160 |
| Williams Partners LP | 3.750% | 6/15/27 | 20,245 | 19,613 |
| Williams Partners LP / ACMP Finance Corp. | 4.875% | 3/15/24 | 10,093 | 10,553 |
| Other Industrial (0.3%) | | | | |
| American Homes 4 Rent LP | 4.250% | 2/15/28 | 6,680 | 6,580 |
| CBRE Services Inc. | 5.000% | 3/15/23 | 4,601 | 4,716 |
| CBRE Services Inc. | 5.250% | 3/15/25 | 5,170 | 5,524 |
| CBRE Services Inc. | 4.875% | 3/1/26 | 9,095 | 9,560 |
| Cintas Corp. No 2 | 3.700% | 4/1/27 | 10,700 | 10,685 |
| Fluor Corp. | 3.500% | 12/15/24 | 7,225 | 7,243 |
| Howard Hughes Medical Institute Revenue | 3.500% | 9/1/23 | 11,427 | 11,652 |
| Technology (9.9%) | | | | |
| Adobe Systems Inc. | 3.250% | 2/1/25 | 14,094 | 13,966 |
| Alphabet Inc. | 3.375% | 2/25/24 | 18,250 | 18,593 |
| Alphabet Inc. | 1.998% | 8/15/26 | 17,189 | 15,576 |
| Altera Corp. | 4.100% | 11/15/23 | 5,400 | 5,660 |
| Amphenol Corp. | 3.200% | 4/1/24 | 3,760 | 3,679 |
| Analog Devices Inc. | 2.875% | 6/1/23 | 6,450 | 6,286 |
| Analog Devices Inc. | 3.125% | 12/5/23 | 6,757 | 6,626 |
| Analog Devices Inc. | 3.900% | 12/15/25 | 9,858 | 9,958 |
| Analog Devices Inc. | 3.500% | 12/5/26 | 11,496 | 11,209 |
| 4 Apple Inc. | 2.400% | 5/3/23 | 73,203 | 70,844 |
| Apple Inc. | 3.000% | 2/9/24 | 24,363 | 23,999 |
| Apple Inc. | 3.450% | 5/6/24 | 33,803 | 33,992 |
| Apple Inc. | 2.850% | 5/11/24 | 26,477 | 25,787 |
| Apple Inc. | 2.750% | 1/13/25 | 22,498 | 21,584 |
| Apple Inc. | 2.500% | 2/9/25 | 19,888 | 18,793 |
| Apple Inc. | 3.200% | 5/13/25 | 28,147 | 27,793 |
| Apple Inc. | 3.250% | 2/23/26 | 43,587 | 42,811 |
| Apple Inc. | 2.450% | 8/4/26 | 30,764 | 28,408 |
| Apple Inc. | 3.350% | 2/9/27 | 31,251 | 30,804 |
| Apple Inc. | 3.200% | 5/11/27 | 26,530 | 25,790 |
| Apple Inc. | 3.000% | 6/20/27 | 12,200 | 11,683 |
| Apple Inc. | 2.900% | 9/12/27 | 26,557 | 25,135 |
59
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Apple Inc. | 3.000% | 11/13/27 | 24,558 | 23,481 |
| Applied Materials Inc. | 3.900% | 10/1/25 | 9,612 | 9,880 |
| Applied Materials Inc. | 3.300% | 4/1/27 | 17,515 | 17,087 |
| Arrow Electronics Inc. | 4.500% | 3/1/23 | 2,425 | 2,493 |
| Arrow Electronics Inc. | 3.250% | 9/8/24 | 7,369 | 7,053 |
| Arrow Electronics Inc. | 4.000% | 4/1/25 | 8,420 | 8,357 |
| Arrow Electronics Inc. | 3.875% | 1/12/28 | 4,515 | 4,384 |
| Autodesk Inc. | 4.375% | 6/15/25 | 5,285 | 5,403 |
| Autodesk Inc. | 3.500% | 6/15/27 | 5,800 | 5,525 |
| Avnet Inc. | 4.625% | 4/15/26 | 7,950 | 7,969 |
| Baidu Inc. | 4.125% | 6/30/25 | 4,585 | 4,622 |
| Baidu Inc. | 3.625% | 7/6/27 | 9,775 | 9,345 |
| Broadcom Corp. | 2.500% | 8/15/22 | 500 | 471 |
| Broadcom Corp. / Broadcom Cayman Finance Ltd. | 3.625% | 1/15/24 | 33,423 | 32,586 |
| Broadcom Corp. / Broadcom Cayman Finance Ltd. | 3.125% | 1/15/25 | 20,120 | 18,990 |
| Broadcom Corp. / Broadcom Cayman Finance Ltd. | 3.875% | 1/15/27 | 72,123 | 69,273 |
| Broadcom Corp. / Broadcom Cayman Finance Ltd. | 3.500% | 1/15/28 | 6,850 | 6,324 |
| Broadridge Financial Solutions Inc. | 3.400% | 6/27/26 | 4,998 | 4,798 |
| CA Inc. | 4.700% | 3/15/27 | 4,550 | 4,635 |
| Cadence Design Systems Inc. | 4.375% | 10/15/24 | 1,575 | 1,626 |
| Cisco Systems Inc. | 2.600% | 2/28/23 | 7,890 | 7,700 |
| Cisco Systems Inc. | 2.200% | 9/20/23 | 12,166 | 11,594 |
| Cisco Systems Inc. | 3.625% | 3/4/24 | 18,875 | 19,291 |
| Cisco Systems Inc. | 2.950% | 2/28/26 | 10,478 | 10,125 |
| Cisco Systems Inc. | 2.500% | 9/20/26 | 19,016 | 17,731 |
| Citrix Systems Inc. | 4.500% | 12/1/27 | 10,435 | 10,344 |
| 2 Dell International LLC / EMC Corp. | 5.450% | 6/15/23 | 51,745 | 54,605 |
| 2 Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 6.020% | 6/15/26 | 62,946 | 67,350 |
| DXC Technology Co. | 4.250% | 4/15/24 | 9,191 | 9,395 |
| DXC Technology Co. | 4.750% | 4/15/27 | 8,150 | 8,413 |
| Fidelity National Information Services Inc. | 3.500% | 4/15/23 | 12,376 | 12,400 |
| Fidelity National Information Services Inc. | 3.875% | 6/5/24 | 2,864 | 2,913 |
| Fidelity National Information Services Inc. | 5.000% | 10/15/25 | 9,619 | 10,312 |
| Fidelity National Information Services Inc. | 3.000% | 8/15/26 | 24,181 | 22,547 |
| Fiserv Inc. | 3.850% | 6/1/25 | 11,350 | 11,444 |
| Flex Ltd. | 4.750% | 6/15/25 | 7,295 | 7,601 |
| Google Inc. | 3.375% | 2/25/24 | — | — |
| Hewlett Packard Enterprise Co. | 4.900% | 10/15/25 | 35,062 | 36,351 |
| IBM Credit LLC | 3.000% | 2/6/23 | 5,000 | 4,960 |
| Intel Corp. | 2.875% | 5/11/24 | 23,400 | 22,809 |
| Intel Corp. | 3.700% | 7/29/25 | 31,743 | 32,387 |
| Intel Corp. | 2.600% | 5/19/26 | 12,737 | 11,987 |
| Intel Corp. | 3.150% | 5/11/27 | 14,732 | 14,388 |
| International Business Machines Corp. | 3.375% | 8/1/23 | 20,147 | 20,292 |
| International Business Machines Corp. | 3.625% | 2/12/24 | 29,144 | 29,685 |
| International Business Machines Corp. | 7.000% | 10/30/25 | 6,598 | 8,184 |
| International Business Machines Corp. | 3.450% | 2/19/26 | 17,194 | 17,232 |
| International Business Machines Corp. | 3.300% | 1/27/27 | 6,240 | 6,160 |
| International Business Machines Corp. | 6.220% | 8/1/27 | 2,101 | 2,526 |
| International Business Machines Corp. | 6.500% | 1/15/28 | 2,075 | 2,587 |
| Jabil Inc. | 3.950% | 1/12/28 | 7,050 | 6,772 |
| Juniper Networks Inc. | 4.500% | 3/15/24 | 5,962 | 6,114 |
| Juniper Networks Inc. | 4.350% | 6/15/25 | 2,270 | 2,283 |
| Keysight Technologies Inc. | 4.550% | 10/30/24 | 6,650 | 6,870 |
| Keysight Technologies Inc. | 4.600% | 4/6/27 | 8,350 | 8,589 |
| KLA-Tencor Corp. | 4.650% | 11/1/24 | 17,934 | 18,846 |
| Lam Research Corp. | 3.800% | 3/15/25 | 6,918 | 7,026 |
| Maxim Integrated Products Inc. | 3.375% | 3/15/23 | 4,512 | 4,470 |
| Maxim Integrated Products Inc. | 3.450% | 6/15/27 | 8,625 | 8,313 |
| Microsoft Corp. | 2.375% | 5/1/23 | 17,682 | 17,133 |
| Microsoft Corp. | 2.000% | 8/8/23 | 26,735 | 25,289 |
| Microsoft Corp. | 3.625% | 12/15/23 | 17,412 | 17,884 |
| Microsoft Corp. | 2.875% | 2/6/24 | 32,032 | 31,527 |
| Microsoft Corp. | 2.700% | 2/12/25 | 32,998 | 31,842 |
60
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Microsoft Corp. | 3.125% | 11/3/25 | 31,507 | 31,077 |
| Microsoft Corp. | 2.400% | 8/8/26 | 56,752 | 52,550 |
| Microsoft Corp. | 3.300% | 2/6/27 | 56,602 | 56,091 |
| Motorola Solutions Inc. | 3.500% | 3/1/23 | 8,699 | 8,535 |
| Motorola Solutions Inc. | 4.000% | 9/1/24 | 10,096 | 10,063 |
| Motorola Solutions Inc. | 4.600% | 2/23/28 | 10,000 | 9,994 |
| NetApp Inc. | 3.300% | 9/29/24 | 5,570 | 5,429 |
| NVIDIA Corp. | 3.200% | 9/16/26 | 13,601 | 13,177 |
| Oracle Corp. | 3.625% | 7/15/23 | 13,356 | 13,635 |
| Oracle Corp. | 2.400% | 9/15/23 | 39,503 | 37,759 |
| Oracle Corp. | 3.400% | 7/8/24 | 27,530 | 27,594 |
| Oracle Corp. | 2.950% | 11/15/24 | 34,067 | 33,038 |
| Oracle Corp. | 2.950% | 5/15/25 | 29,832 | 28,854 |
| Oracle Corp. | 2.650% | 7/15/26 | 40,568 | 37,865 |
| Oracle Corp. | 3.250% | 11/15/27 | 38,075 | 36,875 |
| Pitney Bowes Inc. | 4.700% | 4/1/23 | 5,055 | 4,748 |
| Pitney Bowes Inc. | 4.625% | 3/15/24 | 3,572 | 3,339 |
| QUALCOMM Inc. | 2.900% | 5/20/24 | 20,292 | 19,193 |
| QUALCOMM Inc. | 3.450% | 5/20/25 | 28,066 | 27,195 |
| QUALCOMM Inc. | 3.250% | 5/20/27 | 26,925 | 25,206 |
| Seagate HDD Cayman | 4.750% | 6/1/23 | 10,407 | 10,459 |
| 2 Seagate HDD Cayman | 4.875% | 3/1/24 | 7,665 | 7,665 |
| Seagate HDD Cayman | 4.750% | 1/1/25 | 14,181 | 13,756 |
| Seagate HDD Cayman | 4.875% | 6/1/27 | 9,800 | 9,384 |
| Tech Data Corp. | 4.950% | 2/15/27 | 7,161 | 7,349 |
| Texas Instruments Inc. | 2.250% | 5/1/23 | 2,685 | 2,566 |
| Texas Instruments Inc. | 2.625% | 5/15/24 | 6,671 | 6,421 |
| Texas Instruments Inc. | 2.900% | 11/3/27 | 4,385 | 4,196 |
| Total System Services Inc. | 3.750% | 6/1/23 | 8,333 | 8,290 |
| Total System Services Inc. | 4.800% | 4/1/26 | 11,929 | 12,508 |
| Trimble Navigation Ltd. | 4.750% | 12/1/24 | 5,475 | 5,739 |
| Tyco Electronics Group SA | 3.450% | 8/1/24 | 5,461 | 5,493 |
| Tyco Electronics Group SA | 3.700% | 2/15/26 | 4,265 | 4,295 |
| Tyco Electronics Group SA | 3.125% | 8/15/27 | 6,350 | 6,126 |
| Verisk Analytics Inc. | 4.000% | 6/15/25 | 13,079 | 13,154 |
| VMware Inc. | 3.900% | 8/21/27 | 19,567 | 18,557 |
| Xerox Corp. | 3.625% | 3/15/23 | 18,085 | 17,594 |
| Xilinx Inc. | 2.950% | 6/1/24 | 10,412 | 10,043 |
| Transportation (2.0%) | | | | |
| 1 American Airlines 2013-1 Class A Pass Through Trust | 4.000% | 1/15/27 | 3,372 | 3,421 |
| 1 American Airlines 2014-1 Class A Pass Through Trust | 3.700% | 4/1/28 | 5,586 | 5,536 |
| 1 American Airlines 2015-1 Class A Pass Through Trust | 3.375% | 11/1/28 | 12,060 | 11,719 |
| 1 American Airlines 2015-1 Class B Pass Through Trust | 3.700% | 11/1/24 | 1,833 | 1,809 |
| 1 American Airlines 2015-2 Class AA Pass Through Trust | 3.600% | 9/22/27 | 3,182 | 3,153 |
| 1 American Airlines 2016-1 Class AA Pass Through Trust | 3.575% | 1/15/28 | 2,483 | 2,451 |
| 1 American Airlines 2017-1B Class B Pass Through Trust | 4.950% | 2/15/25 | 1,938 | 1,997 |
| 1 BNSF Funding Trust I | 6.613% | 12/15/55 | 1,890 | 2,158 |
| Burlington Northern Santa Fe LLC | 3.000% | 3/15/23 | 14,444 | 14,345 |
| Burlington Northern Santa Fe LLC | 3.850% | 9/1/23 | 14,376 | 14,830 |
| Burlington Northern Santa Fe LLC | 3.750% | 4/1/24 | 12,100 | 12,412 |
| Burlington Northern Santa Fe LLC | 3.400% | 9/1/24 | 7,492 | 7,545 |
| Burlington Northern Santa Fe LLC | 3.000% | 4/1/25 | 10,294 | 10,032 |
| Burlington Northern Santa Fe LLC | 3.650% | 9/1/25 | 8,350 | 8,461 |
| Burlington Northern Santa Fe LLC | 7.000% | 12/15/25 | 2,901 | 3,559 |
| Burlington Northern Santa Fe LLC | 3.250% | 6/15/27 | 6,260 | 6,147 |
| Canadian National Railway Co. | 2.950% | 11/21/24 | 5,983 | 5,883 |
| Canadian National Railway Co. | 2.750% | 3/1/26 | 2,643 | 2,522 |
| Canadian Pacific Railway Co. | 4.450% | 3/15/23 | 3,390 | 3,551 |
| Canadian Pacific Railway Co. | 2.900% | 2/1/25 | 15,038 | 14,438 |
| 1 Continental Airlines 2012-1 Class A Pass Through Trust | 4.150% | 10/11/25 | 8,050 | 8,223 |
| 1 Continental Airlines 2012-2 Class A Pass Through Trust | 4.000% | 4/29/26 | 5,602 | 5,689 |
| CSX Corp. | 3.700% | 11/1/23 | 1,975 | 2,003 |
| CSX Corp. | 3.400% | 8/1/24 | 9,417 | 9,375 |
61
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| CSX Corp. | 3.350% | 11/1/25 | 7,960 | 7,766 |
| CSX Corp. | 2.600% | 11/1/26 | 10,563 | 9,651 |
| CSX Corp. | 3.250% | 6/1/27 | 12,361 | 11,753 |
| CSX Corp. | 3.800% | 3/1/28 | 7,000 | 6,967 |
| 1 CSX Transportation Inc. | 6.251% | 1/15/23 | 28 | 31 |
| 1 Delta Air Lines 2015-1 Class AA Pass Through Trust | 3.625% | 7/30/27 | 335 | 333 |
| FedEx Corp. | 2.700% | 4/15/23 | 1,700 | 1,645 |
| FedEx Corp. | 4.000% | 1/15/24 | 6,067 | 6,260 |
| FedEx Corp. | 3.200% | 2/1/25 | 9,313 | 9,116 |
| FedEx Corp. | 3.250% | 4/1/26 | 12,774 | 12,438 |
| FedEx Corp. | 3.300% | 3/15/27 | 4,220 | 4,098 |
| FedEx Corp. | 3.400% | 2/15/28 | 5,900 | 5,731 |
| Kansas City Southern | 3.000% | 5/15/23 | 6,294 | 6,093 |
| Kirby Corp. | 4.200% | 3/1/28 | 5,450 | 5,420 |
| 1 Latam Airlines 2015-1 Pass Through Trust A | 4.200% | 8/15/29 | 3,757 | 3,719 |
| Norfolk Southern Corp. | 3.850% | 1/15/24 | 2,930 | 3,005 |
| Norfolk Southern Corp. | 5.590% | 5/17/25 | 3,270 | 3,676 |
| Norfolk Southern Corp. | 2.900% | 6/15/26 | 8,775 | 8,285 |
| Norfolk Southern Corp. | 7.800% | 5/15/27 | 3,692 | 4,824 |
| Norfolk Southern Corp. | 3.150% | 6/1/27 | 8,722 | 8,350 |
| Ryder System Inc. | 3.400% | 3/1/23 | 5,000 | 4,996 |
| Southwest Airlines Co. | 3.000% | 11/15/26 | 3,500 | 3,297 |
| Southwest Airlines Co. | 3.450% | 11/16/27 | 3,900 | 3,797 |
| 1 Southwest Airlines Co. 2007-1 Pass Through Trust | 6.150% | 2/1/24 | 1,018 | 1,093 |
| Trinity Industries Inc. | 4.550% | 10/1/24 | 3,265 | 3,251 |
| Union Pacific Corp. | 2.750% | 4/15/23 | 2,740 | 2,684 |
| Union Pacific Corp. | 3.646% | 2/15/24 | 7,635 | 7,814 |
| Union Pacific Corp. | 3.750% | 3/15/24 | 6,305 | 6,473 |
| Union Pacific Corp. | 3.250% | 1/15/25 | 4,357 | 4,331 |
| Union Pacific Corp. | 3.250% | 8/15/25 | 6,829 | 6,776 |
| Union Pacific Corp. | 2.750% | 3/1/26 | 9,838 | 9,368 |
| Union Pacific Corp. | 3.000% | 4/15/27 | 8,647 | 8,346 |
| 1 United Airlines 2013-1 Class A Pass Through Trust | 4.300% | 2/15/27 | 6,516 | 6,687 |
| 1 United Airlines 2014-1 Class A Pass Through Trust | 4.000% | 10/11/27 | 8,001 | 8,101 |
| 1 United Airlines 2014-2 Class A Pass Through Trust | 3.750% | 3/3/28 | 7,937 | 7,950 |
| 1 United Airlines 2015-1 Class AA Pass Through Trust | 3.450% | 12/1/27 | 3,710 | 3,639 |
| United Parcel Service Inc. | 2.500% | 4/1/23 | 12,725 | 12,295 |
| United Parcel Service Inc. | 2.800% | 11/15/24 | 10,833 | 10,487 |
| United Parcel Service Inc. | 2.400% | 11/15/26 | 8,617 | 7,912 |
| United Parcel Service Inc. | 3.050% | 11/15/27 | 12,730 | 12,165 |
| 1 US Airways 2012-1 Class A Pass Through Trust | 5.900% | 4/1/26 | 854 | 929 |
| 1 US Airways 2013-1 Class A Pass Through Trust | 3.950% | 5/15/27 | 2,743 | 2,767 |
| 1 US Airways Inc. 2012-2 Class A Pass Through Trust | 4.625% | 12/3/26 | 1,839 | 1,913 |
| | | | | 11,889,668 |
| Utilities (5.1%) | | | | |
| Electric (4.6%) | | | | |
| AEP Transmission Co. LLC | 3.100% | 12/1/26 | 6,125 | 5,911 |
| Alabama Power Co. | 3.550% | 12/1/23 | 6,075 | 6,151 |
| Ameren Corp. | 3.650% | 2/15/26 | 4,150 | 4,103 |
| Ameren Illinois Co. | 3.250% | 3/1/25 | 4,247 | 4,200 |
| American Electric Power Co. Inc. | 3.200% | 11/13/27 | 6,750 | 6,441 |
| Appalachian Power Co. | 3.400% | 6/1/25 | 1,275 | 1,266 |
| Appalachian Power Co. | 3.300% | 6/1/27 | 3,500 | 3,405 |
| Arizona Public Service Co. | 3.150% | 5/15/25 | 4,070 | 3,985 |
| Arizona Public Service Co. | 2.950% | 9/15/27 | 4,125 | 3,898 |
| Avangrid Inc. | 3.150% | 12/1/24 | 8,125 | 7,889 |
| Baltimore Gas & Electric Co. | 3.350% | 7/1/23 | 3,725 | 3,736 |
| Baltimore Gas & Electric Co. | 2.400% | 8/15/26 | 2,900 | 2,665 |
| Berkshire Hathaway Energy Co. | 3.750% | 11/15/23 | 10,555 | 10,762 |
| Berkshire Hathaway Energy Co. | 3.500% | 2/1/25 | 5,225 | 5,232 |
| Black Hills Corp. | 4.250% | 11/30/23 | 1,050 | 1,085 |
| Black Hills Corp. | 3.950% | 1/15/26 | 8,720 | 8,827 |
| Black Hills Corp. | 3.150% | 1/15/27 | 3,750 | 3,544 |
62
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| CenterPoint Energy Houston Electric LLC | 2.400% | 9/1/26 | 940 | 863 |
| CenterPoint Energy Houston Electric LLC | 3.000% | 2/1/27 | 3,351 | 3,204 |
| Cleco Corporate Holdings LLC | 3.743% | 5/1/26 | 8,416 | 8,035 |
| Cleveland Electric Illuminating Co. | 5.500% | 8/15/24 | 2,900 | 3,215 |
| CMS Energy Corp. | 3.000% | 5/15/26 | 3,380 | 3,219 |
| CMS Energy Corp. | 3.450% | 8/15/27 | 775 | 756 |
| Commonwealth Edison Co. | 2.550% | 6/15/26 | 6,370 | 5,939 |
| Commonwealth Edison Co. | 2.950% | 8/15/27 | 2,880 | 2,745 |
| Connecticut Light & Power Co. | 3.200% | 3/15/27 | 5,750 | 5,614 |
| Consolidated Edison Co. of New York Inc. | 3.125% | 11/15/27 | 4,500 | 4,356 |
| Consumers Energy Co. | 3.375% | 8/15/23 | 3,620 | 3,654 |
| Delmarva Power & Light Co. | 3.500% | 11/15/23 | 4,674 | 4,725 |
| Dominion Energy Inc. | 3.625% | 12/1/24 | 4,807 | 4,786 |
| Dominion Energy Inc. | 3.900% | 10/1/25 | 9,927 | 10,000 |
| Dominion Energy Inc. | 2.850% | 8/15/26 | 7,050 | 6,566 |
| 1 Dominion Energy Inc. | 5.750% | 10/1/54 | 4,975 | 5,291 |
| DTE Electric Co. | 3.650% | 3/15/24 | 9,725 | 10,002 |
| DTE Electric Co. | 3.375% | 3/1/25 | 3,661 | 3,656 |
| DTE Energy Co. | 3.850% | 12/1/23 | 3,425 | 3,492 |
| DTE Energy Co. | 3.500% | 6/1/24 | 5,550 | 5,526 |
| DTE Energy Co. | 2.850% | 10/1/26 | 8,555 | 7,960 |
| DTE Energy Co. | 3.800% | 3/15/27 | 5,400 | 5,397 |
| Duke Energy Carolinas LLC | 2.500% | 3/15/23 | 5,829 | 5,628 |
| Duke Energy Carolinas LLC | 3.050% | 3/15/23 | 7,000 | 6,968 |
| Duke Energy Carolinas LLC | 2.950% | 12/1/26 | 7,690 | 7,358 |
| Duke Energy Corp. | 3.950% | 10/15/23 | 4,700 | 4,822 |
| Duke Energy Corp. | 3.750% | 4/15/24 | 15,542 | 15,704 |
| Duke Energy Corp. | 2.650% | 9/1/26 | 19,251 | 17,633 |
| Duke Energy Corp. | 3.150% | 8/15/27 | 9,275 | 8,780 |
| Duke Energy Florida LLC | 3.200% | 1/15/27 | 7,870 | 7,663 |
| Duke Energy Ohio Inc. | 3.800% | 9/1/23 | 6,611 | 6,756 |
| Duke Energy Progress LLC | 3.250% | 8/15/25 | 7,173 | 7,085 |
| Edison International | 2.950% | 3/15/23 | 2,711 | 2,642 |
| Emera US Finance LP | 3.550% | 6/15/26 | 14,491 | 13,908 |
| Enel Americas SA | 4.000% | 10/25/26 | 2,405 | 2,376 |
| Enel Generacion Chile SA | 4.250% | 4/15/24 | 2,400 | 2,436 |
| Entergy Arkansas Inc. | 3.700% | 6/1/24 | 3,375 | 3,437 |
| Entergy Arkansas Inc. | 3.500% | 4/1/26 | 9,584 | 9,572 |
| Entergy Corp. | 2.950% | 9/1/26 | 9,525 | 8,963 |
| Entergy Gulf States Louisiana LLC | 5.590% | 10/1/24 | 2,799 | 3,156 |
| Entergy Louisiana LLC | 4.050% | 9/1/23 | 5,150 | 5,309 |
| Entergy Louisiana LLC | 5.400% | 11/1/24 | 3,815 | 4,195 |
| Entergy Louisiana LLC | 2.400% | 10/1/26 | 10,505 | 9,620 |
| Entergy Louisiana LLC | 3.120% | 9/1/27 | 8,320 | 8,022 |
| Eversource Energy | 2.800% | 5/1/23 | 5,200 | 5,042 |
| Eversource Energy | 2.900% | 10/1/24 | 8,550 | 8,207 |
| Eversource Energy | 3.150% | 1/15/25 | 3,429 | 3,338 |
| Eversource Energy | 3.300% | 1/15/28 | 6,200 | 5,977 |
| Exelon Corp. | 3.950% | 6/15/25 | 21,170 | 21,332 |
| Exelon Corp. | 3.400% | 4/15/26 | 12,377 | 12,035 |
| FirstEnergy Corp. | 4.250% | 3/15/23 | 16,619 | 17,083 |
| FirstEnergy Corp. | 3.900% | 7/15/27 | 22,222 | 21,984 |
| Florida Power & Light Co. | 2.750% | 6/1/23 | 2,550 | 2,494 |
| Florida Power & Light Co. | 3.250% | 6/1/24 | 6,570 | 6,600 |
| Florida Power & Light Co. | 3.125% | 12/1/25 | 9,856 | 9,720 |
| Fortis Inc. | 3.055% | 10/4/26 | 29,005 | 26,973 |
| Georgia Power Co. | 3.250% | 4/1/26 | 4,650 | 4,493 |
| Georgia Power Co. | 3.250% | 3/30/27 | 4,558 | 4,426 |
| Gulf Power Co. | 3.300% | 5/30/27 | 4,225 | 4,094 |
| Interstate Power & Light Co. | 3.250% | 12/1/24 | 7,800 | 7,684 |
| ITC Holdings Corp. | 3.650% | 6/15/24 | 4,045 | 4,072 |
| ITC Holdings Corp. | 3.250% | 6/30/26 | 6,612 | 6,360 |
| 2 ITC Holdings Corp. | 3.350% | 11/15/27 | 9,175 | 8,815 |
| Kansas City Power & Light Co. | 3.150% | 3/15/23 | 6,220 | 6,169 |
63
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Kansas City Power & Light Co. | 3.650% | 8/15/25 | 400 | 398 |
| Louisville Gas & Electric Co. | 3.300% | 10/1/25 | 4,075 | 4,014 |
| MidAmerican Energy Co. | 3.500% | 10/15/24 | 6,415 | 6,514 |
| MidAmerican Energy Co. | 3.100% | 5/1/27 | 4,400 | 4,250 |
| National Rural Utilities Cooperative Finance Corp. | 3.400% | 11/15/23 | 4,975 | 5,009 |
| National Rural Utilities Cooperative Finance Corp. | 2.950% | 2/7/24 | 10,705 | 10,488 |
| National Rural Utilities Cooperative Finance Corp. | 2.850% | 1/27/25 | 6,310 | 6,065 |
| National Rural Utilities Cooperative Finance Corp. | 3.250% | 11/1/25 | 6,178 | 6,092 |
| National Rural Utilities Cooperative Finance Corp. | 3.050% | 4/25/27 | 4,000 | 3,847 |
| National Rural Utilities Cooperative Finance Corp. | 3.400% | 2/7/28 | 5,000 | 4,912 |
| 1 National Rural Utilities Cooperative Finance Corp. | 4.750% | 4/30/43 | 1,850 | 1,895 |
| 1 National Rural Utilities Cooperative Finance Corp. | 5.250% | 4/20/46 | 3,125 | 3,281 |
| NextEra Energy Capital Holdings Inc. | 3.550% | 5/1/27 | 18,150 | 17,749 |
| 1 NextEra Energy Capital Holdings Inc. | 4.800% | 12/1/77 | 7,350 | 7,249 |
| Northern States Power Co. | 2.600% | 5/15/23 | 5,185 | 5,054 |
| NSTAR Electric Co. | 3.200% | 5/15/27 | 9,050 | 8,818 |
| Oncor Electric Delivery Co. LLC | 2.950% | 4/1/25 | 4,680 | 4,535 |
| Pacific Gas & Electric Co. | 3.250% | 6/15/23 | 4,675 | 4,595 |
| Pacific Gas & Electric Co. | 3.850% | 11/15/23 | 2,613 | 2,646 |
| Pacific Gas & Electric Co. | 3.750% | 2/15/24 | 7,133 | 7,179 |
| Pacific Gas & Electric Co. | 3.400% | 8/15/24 | 4,711 | 4,631 |
| Pacific Gas & Electric Co. | 3.500% | 6/15/25 | 8,279 | 8,056 |
| Pacific Gas & Electric Co. | 2.950% | 3/1/26 | 10,782 | 9,966 |
| Pacific Gas & Electric Co. | 3.300% | 3/15/27 | 4,400 | 4,159 |
| 2 Pacific Gas & Electric Co. | 3.300% | 12/1/27 | 16,450 | 15,556 |
| PacifiCorp | 2.950% | 6/1/23 | 4,807 | 4,761 |
| PacifiCorp | 3.600% | 4/1/24 | 5,450 | 5,549 |
| PECO Energy Co. | 3.150% | 10/15/25 | 1,455 | 1,420 |
| Potomac Electric Power Co. | 3.600% | 3/15/24 | 3,900 | 3,966 |
| PPL Capital Funding Inc. | 3.400% | 6/1/23 | 9,199 | 9,169 |
| PPL Capital Funding Inc. | 3.950% | 3/15/24 | 2,363 | 2,412 |
| PPL Capital Funding Inc. | 3.100% | 5/15/26 | 10,533 | 10,004 |
| Public Service Co. of New Hampshire | 3.500% | 11/1/23 | 3,550 | 3,583 |
| Public Service Electric & Gas Co. | 2.375% | 5/15/23 | 5,238 | 5,045 |
| Public Service Electric & Gas Co. | 3.000% | 5/15/25 | 4,274 | 4,155 |
| Public Service Electric & Gas Co. | 2.250% | 9/15/26 | 6,941 | 6,326 |
| Public Service Electric & Gas Co. | 3.000% | 5/15/27 | 6,350 | 6,083 |
| Puget Energy Inc. | 3.650% | 5/15/25 | 7,670 | 7,604 |
| San Diego Gas & Electric Co. | 3.600% | 9/1/23 | 3,200 | 3,271 |
| San Diego Gas & Electric Co. | 2.500% | 5/15/26 | 9,954 | 9,271 |
| Scottish Power Ltd. | 5.810% | 3/15/25 | 1,760 | 1,962 |
| Sierra Pacific Power Co. | 2.600% | 5/1/26 | 5,680 | 5,297 |
| Southern California Edison Co. | 3.500% | 10/1/23 | 5,659 | 5,691 |
| 3 Southern California Edison Co. | 3.650% | 3/1/28 | 5,500 | 5,490 |
| Southern Co. | 2.950% | 7/1/23 | 15,571 | 15,114 |
| Southern Co. | 3.250% | 7/1/26 | 23,783 | 22,597 |
| Southern Power Co. | 4.150% | 12/1/25 | 6,425 | 6,580 |
| Southwestern Electric Power Co. | 2.750% | 10/1/26 | 7,800 | 7,266 |
| Southwestern Public Service Co. | 3.300% | 6/15/24 | 4,050 | 4,032 |
| Tucson Electric Power Co. | 3.050% | 3/15/25 | 2,750 | 2,647 |
| Union Electric Co. | 3.500% | 4/15/24 | 4,400 | 4,436 |
| Union Electric Co. | 2.950% | 6/15/27 | 5,700 | 5,467 |
| Virginia Electric & Power Co. | 2.750% | 3/15/23 | 6,367 | 6,226 |
| Virginia Electric & Power Co. | 3.450% | 2/15/24 | 2,430 | 2,444 |
| Virginia Electric & Power Co. | 3.100% | 5/15/25 | 3,008 | 2,936 |
| Virginia Electric & Power Co. | 3.150% | 1/15/26 | 13,333 | 12,980 |
| Virginia Electric & Power Co. | 2.950% | 11/15/26 | 9,480 | 9,045 |
| Virginia Electric & Power Co. | 3.500% | 3/15/27 | 14,464 | 14,345 |
| WEC Energy Group Inc. | 3.550% | 6/15/25 | 5,156 | 5,143 |
| Westar Energy Inc. | 2.550% | 7/1/26 | 5,674 | 5,292 |
| Westar Energy Inc. | 3.100% | 4/1/27 | 3,357 | 3,231 |
| Wisconsin Power & Light Co. | 3.050% | 10/15/27 | 3,600 | 3,458 |
| Xcel Energy Inc. | 3.300% | 6/1/25 | 8,695 | 8,514 |
| Xcel Energy Inc. | 3.350% | 12/1/26 | 6,305 | 6,151 |
64
| | | | |
| Vanguard® Intermediate-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Natural Gas (0.4%) | | | | |
| Atmos Energy Corp. | 3.000% | 6/15/27 | 7,358 | 7,075 |
| NiSource Finance Corp. | 3.490% | 5/15/27 | 12,542 | 12,235 |
| ONE Gas Inc. | 3.610% | 2/1/24 | 2,004 | 2,025 |
| Sempra Energy | 2.900% | 2/1/23 | 6,975 | 6,840 |
| Sempra Energy | 4.050% | 12/1/23 | 7,741 | 7,969 |
| Sempra Energy | 3.550% | 6/15/24 | 5,244 | 5,236 |
| Sempra Energy | 3.750% | 11/15/25 | 6,538 | 6,521 |
| Sempra Energy | 3.250% | 6/15/27 | 11,160 | 10,677 |
| Sempra Energy | 3.400% | 2/1/28 | 5,500 | 5,237 |
| Southern California Gas Co. | 3.150% | 9/15/24 | 4,350 | 4,330 |
| Southern California Gas Co. | 3.200% | 6/15/25 | 1,975 | 1,944 |
| Southern California Gas Co. | 2.600% | 6/15/26 | 9,060 | 8,454 |
| Southern Co. Gas Capital Corp. | 2.450% | 10/1/23 | 5,816 | 5,529 |
| Southern Co. Gas Capital Corp. | 3.250% | 6/15/26 | 3,075 | 2,933 |
| Other Utility (0.1%) | | | | |
| American Water Capital Corp. | 3.850% | 3/1/24 | 3,366 | 3,454 |
| American Water Capital Corp. | 3.400% | 3/1/25 | 9,480 | 9,453 |
| American Water Capital Corp. | 2.950% | 9/1/27 | 7,540 | 7,170 |
| |
| | | | | 1,054,035 |
| Total Corporate Bonds (Cost $20,674,267) | | | | 20,227,946 |
| | | | Shares | |
| Temporary Cash Investment (0.8%) | | | | |
| Money Market Fund (0.8%) | | | | |
| 5 Vanguard Market Liquidity Fund (Cost $162,240) | 1.601% | | 1,622,557 | 162,240 |
| Total Investments (99.7%) (Cost $21,028,882) | | | | 20,582,629 |
| Other Assets and Liabilities—Net (0.3%) | | | | 63,062 |
| Net Assets (100%) | | | | 20,645,691 |
| 1 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
| 2 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At February 28, 2018, the aggregate value of these securities was $553,751,000, representing 2.7% of net assets. |
| 3 | Security value determined using significant unobservable inputs. |
| 4 | Securities with a value of $1,529,000 have been segregated as initial margin for open futures contracts. |
| 5 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
| | REIT—Real Estate Investment Trust. |
65
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Corporate Bonds (98.6%) | | | | |
| Finance (17.0%) | | | | |
| Banking (9.5%) | | | | |
| American Express Co. | 4.050% | 12/3/42 | 1,582 | 1,573 |
| Bank of America Corp. | 6.110% | 1/29/37 | 3,930 | 4,727 |
| 1 Bank of America Corp. | 4.244% | 4/24/38 | 4,251 | 4,312 |
| Bank of America Corp. | 7.750% | 5/14/38 | 2,753 | 3,920 |
| Bank of America Corp. | 5.875% | 2/7/42 | 3,429 | 4,288 |
| Bank of America Corp. | 5.000% | 1/21/44 | 4,360 | 4,926 |
| Bank of America Corp. | 4.875% | 4/1/44 | 2,497 | 2,778 |
| Bank of America Corp. | 4.750% | 4/21/45 | 1,211 | 1,281 |
| 1 Bank of America Corp. | 4.443% | 1/20/48 | 2,870 | 2,984 |
| 1 Bank of America Corp. | 3.946% | 1/23/49 | 1,500 | 1,429 |
| Bank of America NA | 6.000% | 10/15/36 | 2,567 | 3,185 |
| Bank of New York Mellon Corp. | 3.000% | 10/30/28 | 378 | 352 |
| Bank of New York Mellon Corp. | 3.300% | 8/23/29 | 1,375 | 1,302 |
| Bank One Capital III | 8.750% | 9/1/30 | 468 | 656 |
| Barclays plc | 4.836% | 5/9/28 | 3,450 | 3,398 |
| Barclays plc | 5.250% | 8/17/45 | 2,565 | 2,758 |
| Barclays plc | 4.950% | 1/10/47 | 2,650 | 2,721 |
| Citigroup Inc. | 4.125% | 7/25/28 | 3,152 | 3,130 |
| Citigroup Inc. | 6.625% | 6/15/32 | 1,928 | 2,373 |
| Citigroup Inc. | 6.000% | 10/31/33 | 1,869 | 2,201 |
| Citigroup Inc. | 6.125% | 8/25/36 | 1,433 | 1,696 |
| 1 Citigroup Inc. | 3.878% | 1/24/39 | 2,500 | 2,400 |
| Citigroup Inc. | 8.125% | 7/15/39 | 3,612 | 5,500 |
| Citigroup Inc. | 5.875% | 1/30/42 | 1,898 | 2,357 |
| Citigroup Inc. | 6.675% | 9/13/43 | 2,290 | 2,993 |
| Citigroup Inc. | 5.300% | 5/6/44 | 1,424 | 1,574 |
| Citigroup Inc. | 4.650% | 7/30/45 | 2,100 | 2,255 |
| Citigroup Inc. | 4.750% | 5/18/46 | 3,050 | 3,120 |
| 1 Citigroup Inc. | 4.281% | 4/24/48 | 1,600 | 1,604 |
| Cooperatieve Rabobank UA | 5.250% | 5/24/41 | 2,545 | 2,986 |
| Cooperatieve Rabobank UA | 5.750% | 12/1/43 | 3,225 | 3,829 |
| Cooperatieve Rabobank UA | 5.250% | 8/4/45 | 1,669 | 1,852 |
| 2 Credit Suisse Group AG | 4.282% | 1/9/28 | 235 | 236 |
| Credit Suisse Group Funding Guernsey Ltd. | 4.875% | 5/15/45 | 3,302 | 3,507 |
| Credit Suisse USA Inc. | 7.125% | 7/15/32 | 1,098 | 1,449 |
| Fifth Third Bancorp | 8.250% | 3/1/38 | 1,717 | 2,483 |
| First Republic Bank | 4.375% | 8/1/46 | 463 | 455 |
| First Republic Bank | 4.625% | 2/13/47 | 1,000 | 1,022 |
| Goldman Sachs Capital I | 6.345% | 2/15/34 | 2,422 | 2,900 |
| 1 Goldman Sachs Group Inc. | 3.814% | 4/23/29 | 4,475 | 4,370 |
| Goldman Sachs Group Inc. | 6.125% | 2/15/33 | 4,324 | 5,205 |
| Goldman Sachs Group Inc. | 6.450% | 5/1/36 | 1,231 | 1,514 |
| Goldman Sachs Group Inc. | 6.750% | 10/1/37 | 10,410 | 13,130 |
| 1 Goldman Sachs Group Inc. | 4.017% | 10/31/38 | 4,735 | 4,575 |
| Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 5,422 | 6,866 |
| Goldman Sachs Group Inc. | 4.800% | 7/8/44 | 4,051 | 4,329 |
| Goldman Sachs Group Inc. | 5.150% | 5/22/45 | 3,590 | 3,874 |
| Goldman Sachs Group Inc. | 4.750% | 10/21/45 | 2,173 | 2,298 |
| HSBC Bank USA NA | 5.875% | 11/1/34 | 2,185 | 2,657 |
| HSBC Bank USA NA | 5.625% | 8/15/35 | 1,661 | 1,976 |
| HSBC Bank USA NA | 7.000% | 1/15/39 | 1,175 | 1,622 |
| HSBC Holdings plc | 7.625% | 5/17/32 | 958 | 1,239 |
| HSBC Holdings plc | 6.500% | 5/2/36 | 4,175 | 5,146 |
| HSBC Holdings plc | 6.500% | 9/15/37 | 4,860 | 6,030 |
| HSBC Holdings plc | 6.800% | 6/1/38 | 2,353 | 3,028 |
| HSBC Holdings plc | 6.100% | 1/14/42 | 978 | 1,261 |
| HSBC Holdings plc | 5.250% | 3/14/44 | 3,277 | 3,589 |
| JPMorgan Chase & Co. | 6.400% | 5/15/38 | 4,176 | 5,429 |
| 1 JPMorgan Chase & Co. | 3.882% | 7/24/38 | 5,850 | 5,669 |
| JPMorgan Chase & Co. | 5.500% | 10/15/40 | 2,906 | 3,471 |
66
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| JPMorgan Chase & Co. | 5.600% | 7/15/41 | 3,966 | 4,804 |
| JPMorgan Chase & Co. | 5.400% | 1/6/42 | 2,210 | 2,605 |
| JPMorgan Chase & Co. | 5.625% | 8/16/43 | 2,623 | 3,066 |
| JPMorgan Chase & Co. | 4.850% | 2/1/44 | 1,870 | 2,066 |
| JPMorgan Chase & Co. | 4.950% | 6/1/45 | 2,491 | 2,676 |
| 1 JPMorgan Chase & Co. | 4.260% | 2/22/48 | 3,920 | 3,924 |
| 1 JPMorgan Chase & Co. | 4.032% | 7/24/48 | 2,205 | 2,134 |
| 1 JPMorgan Chase & Co. | 3.964% | 11/15/48 | 3,075 | 2,950 |
| 1 JPMorgan Chase & Co. | 3.897% | 1/23/49 | 4,000 | 3,755 |
| Lloyds Banking Group plc | 5.300% | 12/1/45 | 1,388 | 1,526 |
| Lloyds Banking Group plc | 4.344% | 1/9/48 | 3,225 | 3,078 |
| Morgan Stanley | 7.250% | 4/1/32 | 1,905 | 2,528 |
| 1 Morgan Stanley | 3.971% | 7/22/38 | 4,392 | 4,314 |
| Morgan Stanley | 6.375% | 7/24/42 | 4,731 | 6,142 |
| Morgan Stanley | 4.300% | 1/27/45 | 4,601 | 4,598 |
| Morgan Stanley | 4.375% | 1/22/47 | 3,225 | 3,252 |
| Regions Bank | 6.450% | 6/26/37 | 315 | 381 |
| Regions Financial Corp. | 7.375% | 12/10/37 | 596 | 788 |
| Wachovia Corp. | 7.500% | 4/15/35 | 870 | 1,143 |
| Wachovia Corp. | 5.500% | 8/1/35 | 2,338 | 2,647 |
| Wachovia Corp. | 6.550% | 10/15/35 | 25 | 30 |
| Wells Fargo & Co. | 5.375% | 2/7/35 | 1,280 | 1,489 |
| Wells Fargo & Co. | 5.375% | 11/2/43 | 4,158 | 4,664 |
| Wells Fargo & Co. | 5.606% | 1/15/44 | 4,667 | 5,362 |
| Wells Fargo & Co. | 4.650% | 11/4/44 | 3,502 | 3,559 |
| Wells Fargo & Co. | 3.900% | 5/1/45 | 3,195 | 3,073 |
| Wells Fargo & Co. | 4.900% | 11/17/45 | 3,746 | 3,942 |
| Wells Fargo & Co. | 4.400% | 6/14/46 | 3,956 | 3,909 |
| Wells Fargo & Co. | 4.750% | 12/7/46 | 3,483 | 3,586 |
| Wells Fargo Bank NA | 5.950% | 8/26/36 | 1,545 | 1,896 |
| Wells Fargo Bank NA | 5.850% | 2/1/37 | 1,288 | 1,570 |
| Wells Fargo Bank NA | 6.600% | 1/15/38 | 2,263 | 3,003 |
| 1 Wells Fargo Capital X | 5.950% | 12/1/86 | 1,350 | 1,480 |
| Brokerage (0.4%) | | | | |
| Brookfield Finance Inc. | 4.700% | 9/20/47 | 1,863 | 1,826 |
| CME Group Inc. | 5.300% | 9/15/43 | 1,470 | 1,788 |
| Invesco Finance plc | 5.375% | 11/30/43 | 268 | 312 |
| Jefferies Group LLC | 6.250% | 1/15/36 | 893 | 981 |
| Jefferies Group LLC | 6.500% | 1/20/43 | 708 | 799 |
| Jefferies Group LLC / Jefferies Group Capital Finance | | | | |
| Inc. | 4.150% | 1/23/30 | 2,100 | 1,992 |
| Legg Mason Inc. | 5.625% | 1/15/44 | 1,150 | 1,232 |
| Raymond James Financial Inc. | 4.950% | 7/15/46 | 1,466 | 1,575 |
| Finance Companies (0.7%) | | | | |
| GATX Corp. | 3.500% | 3/15/28 | 250 | 237 |
| GATX Corp. | 5.200% | 3/15/44 | 170 | 185 |
| GATX Corp. | 4.500% | 3/30/45 | 225 | 219 |
| GE Capital International Funding Co. Unlimited Co. | 4.418% | 11/15/35 | 21,322 | 20,877 |
| Insurance (5.7%) | | | | |
| ACE Capital Trust II | 9.700% | 4/1/30 | 507 | 743 |
| Aetna Inc. | 6.625% | 6/15/36 | 1,258 | 1,607 |
| Aetna Inc. | 6.750% | 12/15/37 | 981 | 1,277 |
| Aetna Inc. | 4.500% | 5/15/42 | 802 | 804 |
| Aetna Inc. | 4.125% | 11/15/42 | 763 | 717 |
| Aetna Inc. | 4.750% | 3/15/44 | 550 | 569 |
| Aetna Inc. | 3.875% | 8/15/47 | 1,785 | 1,584 |
| Aflac Inc. | 4.000% | 10/15/46 | 738 | 710 |
| Alleghany Corp. | 4.900% | 9/15/44 | 742 | 769 |
| Allstate Corp. | 5.350% | 6/1/33 | 882 | 997 |
| Allstate Corp. | 5.550% | 5/9/35 | 611 | 718 |
| Allstate Corp. | 5.950% | 4/1/36 | 985 | 1,209 |
| Allstate Corp. | 4.500% | 6/15/43 | 803 | 856 |
| Allstate Corp. | 4.200% | 12/15/46 | 1,334 | 1,355 |
67
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| 1 Allstate Corp. | 6.500% | 5/15/67 | 800 | 953 |
| American Financial Group Inc. | 4.500% | 6/15/47 | 683 | 676 |
| American International Group Inc. | 3.875% | 1/15/35 | 3,328 | 3,132 |
| American International Group Inc. | 4.700% | 7/10/35 | 1,173 | 1,210 |
| American International Group Inc. | 6.250% | 5/1/36 | 570 | 692 |
| American International Group Inc. | 4.500% | 7/16/44 | 3,154 | 3,134 |
| American International Group Inc. | 4.800% | 7/10/45 | 2,175 | 2,255 |
| American International Group Inc. | 4.375% | 1/15/55 | 1,359 | 1,269 |
| 1 American International Group Inc. | 8.175% | 5/15/68 | 675 | 909 |
| Anthem Inc. | 4.101% | 3/1/28 | 2,500 | 2,501 |
| Anthem Inc. | 5.950% | 12/15/34 | 1 | 1 |
| Anthem Inc. | 4.625% | 5/15/42 | 2,656 | 2,700 |
| Anthem Inc. | 4.650% | 1/15/43 | 1,490 | 1,534 |
| Anthem Inc. | 5.100% | 1/15/44 | 1,270 | 1,369 |
| Anthem Inc. | 4.650% | 8/15/44 | 1,200 | 1,224 |
| Anthem Inc. | 4.375% | 12/1/47 | 3,700 | 3,614 |
| Anthem Inc. | 4.550% | 3/1/48 | 1,300 | 1,299 |
| Anthem Inc. | 4.850% | 8/15/54 | 675 | 683 |
| Aon Corp. | 6.250% | 9/30/40 | 620 | 781 |
| Aon plc | 4.600% | 6/14/44 | 1,040 | 1,071 |
| Aon plc | 4.750% | 5/15/45 | 489 | 511 |
| Arch Capital Finance LLC | 5.031% | 12/15/46 | 1,038 | 1,140 |
| Arch Capital Group Ltd. | 7.350% | 5/1/34 | 375 | 493 |
| Arch Capital Group US Inc. | 5.144% | 11/1/43 | 773 | 858 |
| Assurant Inc. | 6.750% | 2/15/34 | 684 | 822 |
| AXA Financial Inc. | 7.000% | 4/1/28 | 1,000 | 1,222 |
| AXA SA | 8.600% | 12/15/30 | 1,978 | 2,744 |
| Berkshire Hathaway Finance Corp. | 5.750% | 1/15/40 | 994 | 1,251 |
| Berkshire Hathaway Finance Corp. | 4.400% | 5/15/42 | 1,738 | 1,850 |
| Berkshire Hathaway Finance Corp. | 4.300% | 5/15/43 | 983 | 1,033 |
| Berkshire Hathaway Inc. | 4.500% | 2/11/43 | 1,906 | 2,063 |
| 2 Brighthouse Financial Inc. | 4.700% | 6/22/47 | 2,770 | 2,570 |
| Chubb Corp. | 6.000% | 5/11/37 | 1,766 | 2,250 |
| Chubb Corp. | 6.500% | 5/15/38 | 1,018 | 1,360 |
| Chubb INA Holdings Inc. | 6.700% | 5/15/36 | 990 | 1,338 |
| Chubb INA Holdings Inc. | 4.150% | 3/13/43 | 756 | 774 |
| Chubb INA Holdings Inc. | 4.350% | 11/3/45 | 2,568 | 2,707 |
| Cigna Corp. | 5.375% | 2/15/42 | 600 | 673 |
| Cigna Corp. | 3.875% | 10/15/47 | 1,750 | 1,554 |
| Cincinnati Financial Corp. | 6.920% | 5/15/28 | 788 | 979 |
| Cincinnati Financial Corp. | 6.125% | 11/1/34 | 569 | 695 |
| Endurance Specialty Holdings Ltd. | 7.000% | 7/15/34 | 595 | 724 |
| Everest Reinsurance Holdings Inc. | 4.868% | 6/1/44 | 703 | 689 |
| Hartford Financial Services Group Inc. | 5.950% | 10/15/36 | 379 | 451 |
| Hartford Financial Services Group Inc. | 6.100% | 10/1/41 | 1,325 | 1,655 |
| Hartford Financial Services Group Inc. | 4.300% | 4/15/43 | 688 | 685 |
| Humana Inc. | 4.625% | 12/1/42 | 799 | 809 |
| Humana Inc. | 4.950% | 10/1/44 | 1,463 | 1,548 |
| Humana Inc. | 4.800% | 3/15/47 | 850 | 888 |
| Lincoln National Corp. | 3.800% | 3/1/28 | 500 | 496 |
| Lincoln National Corp. | 6.150% | 4/7/36 | 714 | 866 |
| Lincoln National Corp. | 6.300% | 10/9/37 | 738 | 909 |
| Lincoln National Corp. | 7.000% | 6/15/40 | 713 | 953 |
| Lincoln National Corp. | 4.350% | 3/1/48 | 200 | 199 |
| Loews Corp. | 6.000% | 2/1/35 | 678 | 829 |
| Loews Corp. | 4.125% | 5/15/43 | 698 | 686 |
| Manulife Financial Corp. | 5.375% | 3/4/46 | 1,490 | 1,737 |
| Markel Corp. | 5.000% | 4/5/46 | 850 | 907 |
| Markel Corp. | 4.300% | 11/1/47 | 700 | 673 |
| Marsh & McLennan Cos. Inc. | 5.875% | 8/1/33 | 243 | 299 |
| Marsh & McLennan Cos. Inc. | 4.350% | 1/30/47 | 1,908 | 1,985 |
| Marsh & McLennan Cos. Inc. | 4.200% | 3/1/48 | 900 | 898 |
| MetLife Inc. | 6.500% | 12/15/32 | 311 | 392 |
| MetLife Inc. | 6.375% | 6/15/34 | 1,946 | 2,473 |
68
Vanguard® Long-Term Corporate Bond Index Fund
Schedule of Investments
February 28, 2018
| | | | |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| MetLife Inc. | 5.700% | 6/15/35 | 2,338 | 2,847 |
| MetLife Inc. | 5.875% | 2/6/41 | 839 | 1,023 |
| MetLife Inc. | 4.125% | 8/13/42 | 1,493 | 1,480 |
| MetLife Inc. | 4.875% | 11/13/43 | 1,840 | 2,000 |
| MetLife Inc. | 4.721% | 12/15/44 | 1,097 | 1,185 |
| MetLife Inc. | 4.050% | 3/1/45 | 1,920 | 1,858 |
| MetLife Inc. | 4.600% | 5/13/46 | 1,724 | 1,810 |
| 1 MetLife Inc. | 6.400% | 12/15/66 | 2,962 | 3,340 |
| 1 MetLife Inc. | 10.750% | 8/1/69 | 523 | 851 |
| 1 Nationwide Financial Services Inc. | 6.750% | 5/15/87 | 803 | 886 |
| Principal Financial Group Inc. | 4.625% | 9/15/42 | 640 | 663 |
| Principal Financial Group Inc. | 4.350% | 5/15/43 | 715 | 718 |
| Principal Financial Group Inc. | 4.300% | 11/15/46 | 1,200 | 1,196 |
| Progressive Corp. | 6.625% | 3/1/29 | 128 | 158 |
| Progressive Corp. | 6.250% | 12/1/32 | 462 | 581 |
| Progressive Corp. | 4.350% | 4/25/44 | 1,075 | 1,121 |
| Progressive Corp. | 3.700% | 1/26/45 | 150 | 142 |
| Progressive Corp. | 4.125% | 4/15/47 | 2,350 | 2,367 |
| Prudential Financial Inc. | 5.750% | 7/15/33 | 826 | 975 |
| Prudential Financial Inc. | 5.700% | 12/14/36 | 1,459 | 1,758 |
| Prudential Financial Inc. | 6.625% | 12/1/37 | 388 | 514 |
| Prudential Financial Inc. | 6.625% | 6/21/40 | 685 | 908 |
| Prudential Financial Inc. | 6.200% | 11/15/40 | 620 | 781 |
| Prudential Financial Inc. | 5.100% | 8/15/43 | 516 | 575 |
| Prudential Financial Inc. | 4.600% | 5/15/44 | 1,521 | 1,604 |
| 2 Prudential Financial Inc. | 3.905% | 12/7/47 | 1,445 | 1,372 |
| 2 Prudential Financial Inc. | 3.935% | 12/7/49 | 2,181 | 2,071 |
| Transatlantic Holdings Inc. | 8.000% | 11/30/39 | 536 | 715 |
| Travelers Cos. Inc. | 6.750% | 6/20/36 | 955 | 1,293 |
| Travelers Cos. Inc. | 6.250% | 6/15/37 | 430 | 555 |
| Travelers Cos. Inc. | 5.350% | 11/1/40 | 1,463 | 1,760 |
| Travelers Cos. Inc. | 4.600% | 8/1/43 | 1,116 | 1,209 |
| Travelers Cos. Inc. | 4.300% | 8/25/45 | 1,238 | 1,295 |
| Travelers Cos. Inc. | 3.750% | 5/15/46 | 638 | 607 |
| Travelers Cos. Inc. | 4.000% | 5/30/47 | 2,221 | 2,199 |
| Travelers Property Casualty Corp. | 6.375% | 3/15/33 | 600 | 757 |
| UnitedHealth Group Inc. | 4.625% | 7/15/35 | 3,066 | 3,348 |
| UnitedHealth Group Inc. | 5.800% | 3/15/36 | 1,547 | 1,895 |
| UnitedHealth Group Inc. | 6.500% | 6/15/37 | 1,440 | 1,897 |
| UnitedHealth Group Inc. | 6.625% | 11/15/37 | 975 | 1,299 |
| UnitedHealth Group Inc. | 6.875% | 2/15/38 | 2,436 | 3,318 |
| UnitedHealth Group Inc. | 5.700% | 10/15/40 | 209 | 254 |
| UnitedHealth Group Inc. | 5.950% | 2/15/41 | 148 | 187 |
| UnitedHealth Group Inc. | 4.625% | 11/15/41 | 198 | 213 |
| UnitedHealth Group Inc. | 4.375% | 3/15/42 | 398 | 417 |
| UnitedHealth Group Inc. | 3.950% | 10/15/42 | 933 | 909 |
| UnitedHealth Group Inc. | 4.250% | 3/15/43 | 1,003 | 1,032 |
| UnitedHealth Group Inc. | 4.750% | 7/15/45 | 4,017 | 4,436 |
| UnitedHealth Group Inc. | 4.200% | 1/15/47 | 2,250 | 2,279 |
| UnitedHealth Group Inc. | 4.250% | 4/15/47 | 1,490 | 1,532 |
| UnitedHealth Group Inc. | 3.750% | 10/15/47 | 1,600 | 1,497 |
| Unum Group | 5.750% | 8/15/42 | 925 | 1,090 |
| Voya Financial Inc. | 5.700% | 7/15/43 | 766 | 896 |
| Voya Financial Inc. | 4.800% | 6/15/46 | 557 | 578 |
| WR Berkley Corp. | 4.750% | 8/1/44 | 659 | 681 |
| XLIT Ltd. | 5.250% | 12/15/43 | 622 | 684 |
| XLIT Ltd. | 5.500% | 3/31/45 | 940 | 992 |
| Real Estate Investment Trusts (0.7%) | | | | |
| Alexandria Real Estate Equities Inc. | 4.500% | 7/30/29 | 114 | 116 |
| AvalonBay Communities Inc. | 3.900% | 10/15/46 | 1,050 | 998 |
| AvalonBay Communities Inc. | 4.150% | 7/1/47 | 213 | 210 |
| ERP Operating LP | 3.500% | 3/1/28 | 1,400 | 1,376 |
| ERP Operating LP | 4.500% | 7/1/44 | 1,395 | 1,454 |
69
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| ERP Operating LP | 4.500% | 6/1/45 | 383 | 400 |
| ERP Operating LP | 4.000% | 8/1/47 | 513 | 493 |
| Essex Portfolio LP | 4.500% | 3/15/48 | 550 | 553 |
| Federal Realty Investment Trust | 4.500% | 12/1/44 | 1,128 | 1,163 |
| HCP Inc. | 6.750% | 2/1/41 | 559 | 708 |
| Highwoods Realty LP | 4.125% | 3/15/28 | 700 | 699 |
| Hospitality Properties Trust | 4.375% | 2/15/30 | 875 | 842 |
| Kilroy Realty LP | 4.250% | 8/15/29 | 675 | 669 |
| Kimco Realty Corp. | 4.250% | 4/1/45 | 838 | 789 |
| Kimco Realty Corp. | 4.125% | 12/1/46 | 538 | 493 |
| Kimco Realty Corp. | 4.450% | 9/1/47 | 600 | 576 |
| Realty Income Corp. | 4.650% | 3/15/47 | 1,265 | 1,318 |
| Regency Centers LP | 4.400% | 2/1/47 | 1,100 | 1,068 |
| Simon Property Group LP | 6.750% | 2/1/40 | 846 | 1,121 |
| Simon Property Group LP | 4.750% | 3/15/42 | 1,200 | 1,276 |
| Simon Property Group LP | 4.250% | 10/1/44 | 988 | 983 |
| Simon Property Group LP | 4.250% | 11/30/46 | 1,386 | 1,377 |
| Ventas Realty LP | 4.000% | 3/1/28 | 800 | 794 |
| Ventas Realty LP | 5.700% | 9/30/43 | 439 | 510 |
| Ventas Realty LP | 4.375% | 2/1/45 | 388 | 377 |
| Welltower Inc. | 6.500% | 3/15/41 | 479 | 600 |
| | | | | 504,884 |
| Industrial (69.7%) | | | | |
| Basic Industry (4.4%) | | | | |
| Agrium Inc. | 4.125% | 3/15/35 | 1,083 | 1,053 |
| Agrium Inc. | 7.125% | 5/23/36 | 380 | 501 |
| Agrium Inc. | 6.125% | 1/15/41 | 1,096 | 1,309 |
| Agrium Inc. | 4.900% | 6/1/43 | 1,053 | 1,095 |
| Agrium Inc. | 5.250% | 1/15/45 | 866 | 941 |
| Albemarle Corp. | 5.450% | 12/1/44 | 678 | 743 |
| Barrick Gold Corp. | 5.250% | 4/1/42 | 1,406 | 1,554 |
| Barrick North America Finance LLC | 5.700% | 5/30/41 | 1,763 | 2,058 |
| Barrick North America Finance LLC | 5.750% | 5/1/43 | 1,906 | 2,267 |
| Barrick PD Australia Finance Pty Ltd. | 5.950% | 10/15/39 | 1,536 | 1,796 |
| BHP Billiton Finance USA Ltd. | 4.125% | 2/24/42 | 2,050 | 2,100 |
| BHP Billiton Finance USA Ltd. | 5.000% | 9/30/43 | 4,160 | 4,832 |
| 2 Celulosa Arauco y Constitucion SA | 5.500% | 11/2/47 | 950 | 970 |
| Domtar Corp. | 6.750% | 2/15/44 | 275 | 308 |
| Dow Chemical Co. | 7.375% | 11/1/29 | 1,075 | 1,395 |
| Dow Chemical Co. | 4.250% | 10/1/34 | 1,621 | 1,626 |
| Dow Chemical Co. | 9.400% | 5/15/39 | 1,070 | 1,732 |
| Dow Chemical Co. | 5.250% | 11/15/41 | 2,155 | 2,372 |
| Dow Chemical Co. | 4.375% | 11/15/42 | 3,100 | 3,111 |
| Dow Chemical Co. | 4.625% | 10/1/44 | 495 | 509 |
| Eastman Chemical Co. | 4.800% | 9/1/42 | 650 | 689 |
| Eastman Chemical Co. | 4.650% | 10/15/44 | 2,268 | 2,349 |
| Ecolab Inc. | 5.500% | 12/8/41 | 213 | 250 |
| 2 Ecolab Inc. | 3.950% | 12/1/47 | 1,735 | 1,673 |
| EI du Pont de Nemours & Co. | 4.900% | 1/15/41 | 821 | 885 |
| EI du Pont de Nemours & Co. | 4.150% | 2/15/43 | 1,845 | 1,811 |
| Georgia-Pacific LLC | 7.250% | 6/1/28 | 366 | 469 |
| Georgia-Pacific LLC | 7.750% | 11/15/29 | 591 | 805 |
| Georgia-Pacific LLC | 8.875% | 5/15/31 | 678 | 1,014 |
| Goldcorp Inc. | 5.450% | 6/9/44 | 783 | 878 |
| International Flavors & Fragrances Inc. | 4.375% | 6/1/47 | 1,065 | 1,055 |
| International Paper Co. | 5.000% | 9/15/35 | 788 | 856 |
| International Paper Co. | 7.300% | 11/15/39 | 1,334 | 1,783 |
| International Paper Co. | 6.000% | 11/15/41 | 405 | 484 |
| International Paper Co. | 4.800% | 6/15/44 | 530 | 550 |
| International Paper Co. | 5.150% | 5/15/46 | 1,410 | 1,540 |
| International Paper Co. | 4.400% | 8/15/47 | 3,090 | 3,041 |
| International Paper Co. | 4.350% | 8/15/48 | 2,675 | 2,606 |
| Lubrizol Corp. | 6.500% | 10/1/34 | 403 | 518 |
70
Vanguard® Long-Term Corporate Bond Index Fund
Schedule of Investments
February 28, 2018
| | | | |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| LYB International Finance BV | 5.250% | 7/15/43 | 975 | 1,068 |
| LYB International Finance BV | 4.875% | 3/15/44 | 1,740 | 1,829 |
| LyondellBasell Industries NV | 4.625% | 2/26/55 | 2,087 | 2,050 |
| Meadwestvaco Corp. | 7.950% | 2/15/31 | 798 | 1,071 |
| Methanex Corp. | 5.650% | 12/1/44 | 539 | 545 |
| Monsanto Co. | 4.200% | 7/15/34 | 1,096 | 1,089 |
| Monsanto Co. | 5.875% | 4/15/38 | 555 | 640 |
| Monsanto Co. | 3.600% | 7/15/42 | 665 | 576 |
| Monsanto Co. | 4.650% | 11/15/43 | 126 | 129 |
| Monsanto Co. | 4.400% | 7/15/44 | 300 | 296 |
| Monsanto Co. | 3.950% | 4/15/45 | 1,475 | 1,377 |
| Monsanto Co. | 4.700% | 7/15/64 | 1,045 | 1,035 |
| Mosaic Co. | 5.450% | 11/15/33 | 988 | 1,045 |
| Mosaic Co. | 4.875% | 11/15/41 | 205 | 197 |
| Mosaic Co. | 5.625% | 11/15/43 | 1,491 | 1,560 |
| Newmont Mining Corp. | 5.875% | 4/1/35 | 687 | 805 |
| Newmont Mining Corp. | 6.250% | 10/1/39 | 1,317 | 1,605 |
| Newmont Mining Corp. | 4.875% | 3/15/42 | 2,695 | 2,848 |
| Nucor Corp. | 6.400% | 12/1/37 | 1,243 | 1,578 |
| Nucor Corp. | 5.200% | 8/1/43 | 1,170 | 1,347 |
| Placer Dome Inc. | 6.450% | 10/15/35 | 234 | 288 |
| Potash Corp. of Saskatchewan Inc. | 5.875% | 12/1/36 | 1,261 | 1,471 |
| Potash Corp. of Saskatchewan Inc. | 5.625% | 12/1/40 | 410 | 469 |
| Praxair Inc. | 3.550% | 11/7/42 | 1,133 | 1,081 |
| Rio Tinto Alcan Inc. | 7.250% | 3/15/31 | 843 | 1,083 |
| Rio Tinto Alcan Inc. | 6.125% | 12/15/33 | 569 | 701 |
| Rio Tinto Alcan Inc. | 5.750% | 6/1/35 | 810 | 977 |
| Rio Tinto Finance USA Ltd. | 7.125% | 7/15/28 | 764 | 980 |
| Rio Tinto Finance USA Ltd. | 5.200% | 11/2/40 | 2,137 | 2,497 |
| Rio Tinto Finance USA plc | 4.750% | 3/22/42 | 840 | 927 |
| Rio Tinto Finance USA plc | 4.125% | 8/21/42 | 2,483 | 2,524 |
| Rohm & Haas Co. | 7.850% | 7/15/29 | 1,190 | 1,587 |
| RPM International Inc. | 5.250% | 6/1/45 | 513 | 553 |
| RPM International Inc. | 4.250% | 1/15/48 | 750 | 700 |
| Sherwin-Williams Co. | 4.000% | 12/15/42 | 354 | 331 |
| Sherwin-Williams Co. | 4.550% | 8/1/45 | 713 | 723 |
| Sherwin-Williams Co. | 4.500% | 6/1/47 | 2,065 | 2,071 |
| Southern Copper Corp. | 7.500% | 7/27/35 | 2,696 | 3,527 |
| Southern Copper Corp. | 6.750% | 4/16/40 | 2,465 | 3,086 |
| Southern Copper Corp. | 5.250% | 11/8/42 | 1,365 | 1,454 |
| Southern Copper Corp. | 5.875% | 4/23/45 | 2,495 | 2,853 |
| Syngenta Finance NV | 4.375% | 3/28/42 | 225 | 184 |
| Vale Canada Ltd. | 7.200% | 9/15/32 | 510 | 580 |
| Vale Overseas Ltd. | 8.250% | 1/17/34 | 708 | 918 |
| Vale Overseas Ltd. | 6.875% | 11/21/36 | 5,283 | 6,353 |
| Vale Overseas Ltd. | 6.875% | 11/10/39 | 3,452 | 4,173 |
| Vale SA | 5.625% | 9/11/42 | 3,575 | 3,848 |
| Westlake Chemical Corp. | 5.000% | 8/15/46 | 1,263 | 1,320 |
| Westlake Chemical Corp. | 4.375% | 11/15/47 | 1,250 | 1,204 |
| Westrock MWV LLC | 8.200% | 1/15/30 | 676 | 911 |
| Weyerhaeuser Co. | 7.375% | 3/15/32 | 1,729 | 2,270 |
| Weyerhaeuser Co. | 6.875% | 12/15/33 | 625 | 800 |
| Capital Goods (5.1%) | | | | |
| 3M Co. | 3.875% | 6/15/44 | 390 | 388 |
| 3M Co. | 3.125% | 9/19/46 | 1,025 | 896 |
| 3M Co. | 3.625% | 10/15/47 | 1,900 | 1,833 |
| 3 ABB Finance USA Inc. | 4.375% | 5/8/42 | 1,159 | 1,206 |
| Boeing Co. | 3.250% | 3/1/28 | 1,000 | 988 |
| Boeing Co. | 6.125% | 2/15/33 | 451 | 573 |
| Boeing Co. | 3.300% | 3/1/35 | 70 | 65 |
| Boeing Co. | 6.625% | 2/15/38 | 298 | 406 |
| Boeing Co. | 3.550% | 3/1/38 | 750 | 723 |
| Boeing Co. | 6.875% | 3/15/39 | 958 | 1,362 |
71
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Boeing Co. | 5.875% | 2/15/40 | 721 | 912 |
| Boeing Co. | 3.375% | 6/15/46 | 1,053 | 955 |
| Boeing Co. | 3.650% | 3/1/47 | 635 | 600 |
| Boeing Co. | 3.625% | 3/1/48 | 650 | 617 |
| Caterpillar Inc. | 5.300% | 9/15/35 | 648 | 762 |
| Caterpillar Inc. | 6.050% | 8/15/36 | 573 | 729 |
| Caterpillar Inc. | 5.200% | 5/27/41 | 889 | 1,063 |
| Caterpillar Inc. | 3.803% | 8/15/42 | 4,340 | 4,320 |
| Caterpillar Inc. | 4.300% | 5/15/44 | 570 | 616 |
| Caterpillar Inc. | 4.750% | 5/15/64 | 894 | 994 |
| Crane Co. | 4.200% | 3/15/48 | 750 | 735 |
| Deere & Co. | 5.375% | 10/16/29 | 327 | 381 |
| Deere & Co. | 8.100% | 5/15/30 | 204 | 284 |
| Deere & Co. | 7.125% | 3/3/31 | 313 | 417 |
| Deere & Co. | 3.900% | 6/9/42 | 2,893 | 2,956 |
| Dover Corp. | 5.375% | 10/15/35 | 500 | 572 |
| Dover Corp. | 6.600% | 3/15/38 | 125 | 160 |
| Dover Corp. | 5.375% | 3/1/41 | 436 | 504 |
| Eaton Corp. | 4.000% | 11/2/32 | 955 | 947 |
| Eaton Corp. | 4.150% | 11/2/42 | 1,775 | 1,749 |
| Eaton Corp. | 3.915% | 9/15/47 | 623 | 587 |
| Emerson Electric Co. | 5.250% | 11/15/39 | 115 | 132 |
| Fortive Corp. | 4.300% | 6/15/46 | 825 | 827 |
| General Dynamics Corp. | 3.600% | 11/15/42 | 582 | 552 |
| General Electric Co. | 6.750% | 3/15/32 | 5,675 | 7,032 |
| General Electric Co. | 6.150% | 8/7/37 | 2,319 | 2,760 |
| General Electric Co. | 5.875% | 1/14/38 | 5,753 | 6,731 |
| General Electric Co. | 6.875% | 1/10/39 | 3,400 | 4,408 |
| General Electric Co. | 4.125% | 10/9/42 | 3,705 | 3,449 |
| General Electric Co. | 4.500% | 3/11/44 | 4,195 | 4,153 |
| Harris Corp. | 4.854% | 4/27/35 | 1,319 | 1,406 |
| Harris Corp. | 6.150% | 12/15/40 | 548 | 668 |
| Harris Corp. | 5.054% | 4/27/45 | 473 | 516 |
| Honeywell International Inc. | 5.700% | 3/15/36 | 863 | 1,058 |
| Honeywell International Inc. | 5.700% | 3/15/37 | 1,251 | 1,545 |
| Honeywell International Inc. | 5.375% | 3/1/41 | 516 | 624 |
| Honeywell International Inc. | 3.812% | 11/21/47 | 700 | 684 |
| Illinois Tool Works Inc. | 4.875% | 9/15/41 | 1,096 | 1,256 |
| Illinois Tool Works Inc. | 3.900% | 9/1/42 | 2,451 | 2,466 |
| Ingersoll-Rand Global Holding Co. Ltd. | 5.750% | 6/15/43 | 1,261 | 1,514 |
| Ingersoll-Rand Luxembourg Finance SA | 4.650% | 11/1/44 | 878 | 921 |
| Johnson Controls International plc | 6.000% | 1/15/36 | 510 | 614 |
| Johnson Controls International plc | 5.700% | 3/1/41 | 400 | 455 |
| Johnson Controls International plc | 4.625% | 7/2/44 | 1,005 | 1,052 |
| Johnson Controls International plc | 5.125% | 9/14/45 | 876 | 986 |
| Johnson Controls International plc | 4.500% | 2/15/47 | 1,122 | 1,148 |
| Johnson Controls International plc | 4.950% | 7/2/64 | 755 | 784 |
| Lafarge SA | 7.125% | 7/15/36 | 1,000 | 1,263 |
| Lockheed Martin Corp. | 3.600% | 3/1/35 | 956 | 903 |
| Lockheed Martin Corp. | 4.500% | 5/15/36 | 420 | 445 |
| Lockheed Martin Corp. | 6.150% | 9/1/36 | 815 | 1,020 |
| Lockheed Martin Corp. | 5.720% | 6/1/40 | 779 | 941 |
| Lockheed Martin Corp. | 4.850% | 9/15/41 | 1,330 | 1,437 |
| Lockheed Martin Corp. | 4.070% | 12/15/42 | 2,825 | 2,785 |
| Lockheed Martin Corp. | 3.800% | 3/1/45 | 1,842 | 1,726 |
| Lockheed Martin Corp. | 4.700% | 5/15/46 | 3,645 | 3,950 |
| Lockheed Martin Corp. | 4.090% | 9/15/52 | 1,367 | 1,325 |
| Martin Marietta Materials Inc. | 4.250% | 12/15/47 | 1,200 | 1,112 |
| Masco Corp. | 7.750% | 8/1/29 | 140 | 176 |
| Masco Corp. | 6.500% | 8/15/32 | 140 | 163 |
| Masco Corp. | 4.500% | 5/15/47 | 753 | 728 |
| Northrop Grumman Corp. | 5.050% | 11/15/40 | 871 | 962 |
| Northrop Grumman Corp. | 4.750% | 6/1/43 | 1,863 | 1,995 |
| Northrop Grumman Corp. | 3.850% | 4/15/45 | 1,684 | 1,577 |
72
Vanguard® Long-Term Corporate Bond Index Fund
Schedule of Investments
February 28, 2018
| | | | |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Northrop Grumman Corp. | 4.030% | 10/15/47 | 3,095 | 2,972 |
| Northrop Grumman Systems Corp. | 7.750% | 2/15/31 | 1,056 | 1,438 |
| Owens Corning | 7.000% | 12/1/36 | 563 | 706 |
| Owens Corning | 4.300% | 7/15/47 | 1,358 | 1,245 |
| Owens Corning | 4.400% | 1/30/48 | 900 | 849 |
| Parker-Hannifin Corp. | 4.200% | 11/21/34 | 853 | 884 |
| Parker-Hannifin Corp. | 6.250% | 5/15/38 | 835 | 1,072 |
| Parker-Hannifin Corp. | 4.450% | 11/21/44 | 213 | 227 |
| Parker-Hannifin Corp. | 4.100% | 3/1/47 | 2,130 | 2,162 |
| Precision Castparts Corp. | 4.200% | 6/15/35 | 225 | 230 |
| Precision Castparts Corp. | 3.900% | 1/15/43 | 442 | 433 |
| Precision Castparts Corp. | 4.375% | 6/15/45 | 913 | 964 |
| Raytheon Co. | 4.875% | 10/15/40 | 733 | 831 |
| Raytheon Co. | 4.700% | 12/15/41 | 773 | 860 |
| Raytheon Co. | 4.200% | 12/15/44 | 753 | 792 |
| Republic Services Inc. | 6.200% | 3/1/40 | 700 | 873 |
| Republic Services Inc. | 5.700% | 5/15/41 | 620 | 730 |
| Rockwell Collins Inc. | 4.800% | 12/15/43 | 648 | 695 |
| Rockwell Collins Inc. | 4.350% | 4/15/47 | 1,850 | 1,832 |
| Snap-on Inc. | 4.100% | 3/1/48 | 800 | 802 |
| Sonoco Products Co. | 5.750% | 11/1/40 | 1,018 | 1,153 |
| Stanley Black & Decker Inc. | 5.200% | 9/1/40 | 590 | 660 |
| Textron Inc. | 3.375% | 3/1/28 | 1,158 | 1,105 |
| United Technologies Corp. | 6.700% | 8/1/28 | 600 | 745 |
| United Technologies Corp. | 7.500% | 9/15/29 | 975 | 1,287 |
| United Technologies Corp. | 5.400% | 5/1/35 | 1,028 | 1,172 |
| United Technologies Corp. | 6.050% | 6/1/36 | 1,178 | 1,438 |
| United Technologies Corp. | 6.125% | 7/15/38 | 1,074 | 1,330 |
| United Technologies Corp. | 5.700% | 4/15/40 | 2,039 | 2,424 |
| United Technologies Corp. | 4.500% | 6/1/42 | 6,515 | 6,678 |
| United Technologies Corp. | 4.150% | 5/15/45 | 1,649 | 1,599 |
| United Technologies Corp. | 3.750% | 11/1/46 | 2,425 | 2,221 |
| United Technologies Corp. | 4.050% | 5/4/47 | 1,000 | 970 |
| Vulcan Materials Co. | 4.500% | 6/15/47 | 808 | 778 |
| Waste Management Inc. | 7.000% | 7/15/28 | 230 | 289 |
| Waste Management Inc. | 3.900% | 3/1/35 | 330 | 329 |
| Waste Management Inc. | 6.125% | 11/30/39 | 350 | 438 |
| Waste Management Inc. | 4.100% | 3/1/45 | 1,068 | 1,061 |
| WW Grainger Inc. | 4.600% | 6/15/45 | 2,016 | 2,130 |
| WW Grainger Inc. | 3.750% | 5/15/46 | 1,038 | 965 |
| WW Grainger Inc. | 4.200% | 5/15/47 | 575 | 581 |
| Xylem Inc. | 4.375% | 11/1/46 | 709 | 716 |
| Communication (14.5%) | | | | |
| 21st Century Fox America Inc. | 6.550% | 3/15/33 | 471 | 594 |
| 21st Century Fox America Inc. | 6.200% | 12/15/34 | 2,075 | 2,598 |
| 21st Century Fox America Inc. | 6.400% | 12/15/35 | 2,290 | 2,886 |
| 21st Century Fox America Inc. | 8.150% | 10/17/36 | 631 | 923 |
| 21st Century Fox America Inc. | 6.150% | 3/1/37 | 2,205 | 2,722 |
| 21st Century Fox America Inc. | 6.650% | 11/15/37 | 2,232 | 2,924 |
| 21st Century Fox America Inc. | 7.850% | 3/1/39 | 275 | 400 |
| 21st Century Fox America Inc. | 6.900% | 8/15/39 | 980 | 1,322 |
| 21st Century Fox America Inc. | 6.150% | 2/15/41 | 3,100 | 3,908 |
| 21st Century Fox America Inc. | 5.400% | 10/1/43 | 1,395 | 1,620 |
| 21st Century Fox America Inc. | 4.750% | 9/15/44 | 2,585 | 2,759 |
| 21st Century Fox America Inc. | 4.950% | 10/15/45 | 800 | 886 |
| 21st Century Fox America Inc. | 7.750% | 12/1/45 | 405 | 612 |
| Activision Blizzard Inc. | 4.500% | 6/15/47 | 863 | 844 |
| America Movil SAB de CV | 6.375% | 3/1/35 | 2,205 | 2,667 |
| America Movil SAB de CV | 6.125% | 11/15/37 | 800 | 961 |
| America Movil SAB de CV | 6.125% | 3/30/40 | 3,351 | 4,062 |
| America Movil SAB de CV | 4.375% | 7/16/42 | 2,300 | 2,317 |
| AT&T Corp. | 8.250% | 11/15/31 | 972 | 1,285 |
| 2 AT&T Inc. | 4.300% | 2/15/30 | 6,300 | 6,157 |
73
Vanguard® Long-Term Corporate Bond Index Fund
Schedule of Investments
February 28, 2018
| | | | |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| AT&T Inc. | 4.500% | 5/15/35 | 5,635 | 5,437 |
| AT&T Inc. | 5.250% | 3/1/37 | 7,159 | 7,420 |
| AT&T Inc. | 4.900% | 8/14/37 | 10,130 | 10,141 |
| AT&T Inc. | 6.350% | 3/15/40 | 1,113 | 1,283 |
| AT&T Inc. | 6.000% | 8/15/40 | 1,301 | 1,445 |
| AT&T Inc. | 5.350% | 9/1/40 | 3,589 | 3,703 |
| AT&T Inc. | 6.375% | 3/1/41 | 1,640 | 1,906 |
| AT&T Inc. | 5.550% | 8/15/41 | 1,699 | 1,795 |
| AT&T Inc. | 5.150% | 3/15/42 | 2,194 | 2,218 |
| AT&T Inc. | 4.300% | 12/15/42 | 3,659 | 3,330 |
| AT&T Inc. | 4.800% | 6/15/44 | 4,228 | 4,038 |
| AT&T Inc. | 4.350% | 6/15/45 | 6,181 | 5,509 |
| AT&T Inc. | 4.750% | 5/15/46 | 6,893 | 6,523 |
| 2 AT&T Inc. | 5.150% | 11/15/46 | 4,873 | 4,850 |
| AT&T Inc. | 5.450% | 3/1/47 | 5,449 | 5,667 |
| AT&T Inc. | 4.500% | 3/9/48 | 8,408 | 7,671 |
| AT&T Inc. | 4.550% | 3/9/49 | 4,132 | 3,749 |
| AT&T Inc. | 5.150% | 2/14/50 | 9,590 | 9,588 |
| AT&T Inc. | 5.700% | 3/1/57 | 1,300 | 1,367 |
| AT&T Inc. | 5.300% | 8/14/58 | 5,210 | 5,209 |
| British Telecommunications plc | 9.125% | 12/15/30 | 5,092 | 7,414 |
| 2 CBS Corp. | 3.700% | 6/1/28 | 1,150 | 1,101 |
| CBS Corp. | 7.875% | 7/30/30 | 931 | 1,222 |
| CBS Corp. | 5.500% | 5/15/33 | 741 | 802 |
| CBS Corp. | 5.900% | 10/15/40 | 546 | 624 |
| CBS Corp. | 4.850% | 7/1/42 | 1,038 | 1,036 |
| CBS Corp. | 4.900% | 8/15/44 | 1,172 | 1,183 |
| CBS Corp. | 4.600% | 1/15/45 | 1,130 | 1,098 |
| Charter Communications Operating LLC / Charter | | | | |
| Communications Operating Capital | 4.200% | 3/15/28 | 2,450 | 2,348 |
| Charter Communications Operating LLC / Charter | | | | |
| Communications Operating Capital | 6.384% | 10/23/35 | 3,920 | 4,422 |
| Charter Communications Operating LLC / Charter | | | | |
| Communications Operating Capital | 6.484% | 10/23/45 | 6,880 | 7,747 |
| Charter Communications Operating LLC / Charter | | | | |
| Communications Operating Capital | 5.375% | 5/1/47 | 4,860 | 4,809 |
| Charter Communications Operating LLC / Charter | | | | |
| Communications Operating Capital | 6.834% | 10/23/55 | 785 | 904 |
| Comcast Corp. | 3.550% | 5/1/28 | 500 | 491 |
| Comcast Corp. | 4.250% | 1/15/33 | 3,318 | 3,392 |
| Comcast Corp. | 7.050% | 3/15/33 | 1,280 | 1,665 |
| Comcast Corp. | 4.200% | 8/15/34 | 2,409 | 2,416 |
| Comcast Corp. | 5.650% | 6/15/35 | 1,290 | 1,515 |
| Comcast Corp. | 4.400% | 8/15/35 | 1,141 | 1,159 |
| Comcast Corp. | 6.500% | 11/15/35 | 1,963 | 2,508 |
| Comcast Corp. | 3.200% | 7/15/36 | 1,451 | 1,275 |
| Comcast Corp. | 6.450% | 3/15/37 | 1,815 | 2,320 |
| Comcast Corp. | 6.950% | 8/15/37 | 1,777 | 2,369 |
| Comcast Corp. | 3.900% | 3/1/38 | 2,500 | 2,387 |
| Comcast Corp. | 6.400% | 5/15/38 | 1,368 | 1,736 |
| Comcast Corp. | 6.400% | 3/1/40 | 911 | 1,164 |
| Comcast Corp. | 4.650% | 7/15/42 | 2,444 | 2,523 |
| Comcast Corp. | 4.500% | 1/15/43 | 560 | 566 |
| Comcast Corp. | 4.750% | 3/1/44 | 1,946 | 2,052 |
| Comcast Corp. | 4.600% | 8/15/45 | 3,095 | 3,205 |
| Comcast Corp. | 3.400% | 7/15/46 | 2,786 | 2,391 |
| Comcast Corp. | 4.000% | 8/15/47 | 1,292 | 1,215 |
| Comcast Corp. | 3.969% | 11/1/47 | 4,876 | 4,540 |
| Comcast Corp. | 4.000% | 3/1/48 | 500 | 466 |
| Comcast Corp. | 3.999% | 11/1/49 | 3,867 | 3,605 |
| Comcast Corp. | 4.049% | 11/1/52 | 2,980 | 2,776 |
| Crown Castle International Corp. | 4.750% | 5/15/47 | 875 | 878 |
| Deutsche Telekom International Finance BV | 8.750% | 6/15/30 | 7,770 | 11,073 |
| Discovery Communications LLC | 3.950% | 3/20/28 | 3,810 | 3,640 |
74
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Discovery Communications LLC | 5.000% | 9/20/37 | 2,408 | 2,400 |
| Discovery Communications LLC | 6.350% | 6/1/40 | 1,665 | 1,867 |
| Discovery Communications LLC | 4.950% | 5/15/42 | 1,055 | 1,003 |
| Discovery Communications LLC | 4.875% | 4/1/43 | 1,454 | 1,375 |
| Discovery Communications LLC | 5.200% | 9/20/47 | 2,195 | 2,180 |
| Grupo Televisa SAB | 8.500% | 3/11/32 | 515 | 673 |
| Grupo Televisa SAB | 6.625% | 1/15/40 | 1,169 | 1,369 |
| Grupo Televisa SAB | 5.000% | 5/13/45 | 2,168 | 2,067 |
| Grupo Televisa SAB | 6.125% | 1/31/46 | 1,600 | 1,794 |
| Koninklijke KPN NV | 8.375% | 10/1/30 | 1,326 | 1,748 |
| Moody's Corp. | 5.250% | 7/15/44 | 1,120 | 1,275 |
| NBCUniversal Media LLC | 6.400% | 4/30/40 | 1,175 | 1,510 |
| NBCUniversal Media LLC | 5.950% | 4/1/41 | 2,300 | 2,805 |
| NBCUniversal Media LLC | 4.450% | 1/15/43 | 1,365 | 1,379 |
| Orange SA | 9.000% | 3/1/31 | 4,610 | 6,798 |
| Orange SA | 5.375% | 1/13/42 | 1,781 | 2,031 |
| Orange SA | 5.500% | 2/6/44 | 1,449 | 1,685 |
| Rogers Communications Inc. | 7.500% | 8/15/38 | 675 | 918 |
| Rogers Communications Inc. | 4.500% | 3/15/43 | 609 | 618 |
| Rogers Communications Inc. | 5.450% | 10/1/43 | 1,288 | 1,486 |
| Rogers Communications Inc. | 5.000% | 3/15/44 | 2,101 | 2,293 |
| Rogers Communications Inc. | 4.300% | 2/15/48 | 250 | 247 |
| S&P Global Inc. | 6.550% | 11/15/37 | 889 | 1,133 |
| Telefonica Emisiones SAU | 7.045% | 6/20/36 | 4,238 | 5,384 |
| Telefonica Emisiones SAU | 4.665% | 3/6/38 | 1,500 | 1,506 |
| Telefonica Emisiones SAU | 5.213% | 3/8/47 | 4,751 | 4,998 |
| Telefonica Europe BV | 8.250% | 9/15/30 | 1,562 | 2,139 |
| Thomson Reuters Corp. | 5.500% | 8/15/35 | 900 | 979 |
| Thomson Reuters Corp. | 5.850% | 4/15/40 | 727 | 832 |
| Thomson Reuters Corp. | 4.500% | 5/23/43 | 275 | 263 |
| Thomson Reuters Corp. | 5.650% | 11/23/43 | 1,092 | 1,223 |
| Time Warner Cable LLC | 6.550% | 5/1/37 | 2,339 | 2,640 |
| Time Warner Cable LLC | 7.300% | 7/1/38 | 2,650 | 3,223 |
| Time Warner Cable LLC | 6.750% | 6/15/39 | 2,816 | 3,227 |
| Time Warner Cable LLC | 5.875% | 11/15/40 | 2,458 | 2,592 |
| Time Warner Cable LLC | 5.500% | 9/1/41 | 2,550 | 2,536 |
| Time Warner Cable LLC | 4.500% | 9/15/42 | 2,280 | 2,060 |
| Time Warner Entertainment Co. LP | 8.375% | 7/15/33 | 1,448 | 1,922 |
| Time Warner Inc. | 3.800% | 2/15/27 | 3,250 | 3,147 |
| Time Warner Inc. | 5.375% | 10/15/41 | 1,170 | 1,244 |
| Time Warner Inc. | 4.900% | 6/15/42 | 2,948 | 3,000 |
| Time Warner Inc. | 5.350% | 12/15/43 | 1,463 | 1,564 |
| Time Warner Inc. | 4.650% | 6/1/44 | 3,191 | 3,112 |
| Verizon Communications Inc. | 4.500% | 8/10/33 | 6,475 | 6,505 |
| Verizon Communications Inc. | 4.400% | 11/1/34 | 5,757 | 5,636 |
| Verizon Communications Inc. | 4.272% | 1/15/36 | 6,125 | 5,859 |
| Verizon Communications Inc. | 5.250% | 3/16/37 | 6,105 | 6,468 |
| Verizon Communications Inc. | 4.812% | 3/15/39 | 4,008 | 4,051 |
| Verizon Communications Inc. | 4.750% | 11/1/41 | 1,165 | 1,153 |
| Verizon Communications Inc. | 3.850% | 11/1/42 | 2,771 | 2,407 |
| Verizon Communications Inc. | 4.125% | 8/15/46 | 2,750 | 2,447 |
| Verizon Communications Inc. | 4.862% | 8/21/46 | 9,103 | 9,062 |
| Verizon Communications Inc. | 5.500% | 3/16/47 | 3,235 | 3,528 |
| Verizon Communications Inc. | 4.522% | 9/15/48 | 9,724 | 9,187 |
| Verizon Communications Inc. | 5.012% | 4/15/49 | 7,904 | 8,042 |
| Verizon Communications Inc. | 5.012% | 8/21/54 | 10,824 | 10,717 |
| Verizon Communications Inc. | 4.672% | 3/15/55 | 9,969 | 9,275 |
| Viacom Inc. | 6.875% | 4/30/36 | 1,593 | 1,896 |
| Viacom Inc. | 4.375% | 3/15/43 | 3,900 | 3,502 |
| Viacom Inc. | 5.850% | 9/1/43 | 2,360 | 2,566 |
| Vodafone Group plc | 7.875% | 2/15/30 | 1,053 | 1,374 |
| Vodafone Group plc | 6.250% | 11/30/32 | 1,404 | 1,649 |
| Vodafone Group plc | 6.150% | 2/27/37 | 2,910 | 3,472 |
| Vodafone Group plc | 4.375% | 2/19/43 | 2,833 | 2,714 |
75
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Walt Disney Co. | 7.000% | 3/1/32 | 840 | 1,135 |
| Walt Disney Co. | 4.375% | 8/16/41 | 766 | 815 |
| Walt Disney Co. | 4.125% | 12/1/41 | 1,458 | 1,512 |
| Walt Disney Co. | 3.700% | 12/1/42 | 1,140 | 1,104 |
| Walt Disney Co. | 4.125% | 6/1/44 | 1,870 | 1,938 |
| Walt Disney Co. | 3.000% | 7/30/46 | 180 | 152 |
| WPP Finance 2010 | 5.125% | 9/7/42 | 600 | 624 |
| WPP Finance 2010 | 5.625% | 11/15/43 | 908 | 1,001 |
| Consumer Cyclical (6.0%) | | | | |
| Alibaba Group Holding Ltd. | 4.500% | 11/28/34 | 1,353 | 1,400 |
| Alibaba Group Holding Ltd. | 4.000% | 12/6/37 | 2,300 | 2,200 |
| Alibaba Group Holding Ltd. | 4.200% | 12/6/47 | 3,300 | 3,140 |
| Alibaba Group Holding Ltd. | 4.400% | 12/6/57 | 1,700 | 1,616 |
| Amazon.com Inc. | 4.800% | 12/5/34 | 1,267 | 1,399 |
| 2 Amazon.com Inc. | 3.875% | 8/22/37 | 6,235 | 6,179 |
| Amazon.com Inc. | 4.950% | 12/5/44 | 2,684 | 3,033 |
| 2 Amazon.com Inc. | 4.050% | 8/22/47 | 5,900 | 5,858 |
| 2 Amazon.com Inc. | 4.250% | 8/22/57 | 4,400 | 4,374 |
| Aptiv plc | 4.400% | 10/1/46 | 605 | 585 |
| Bed Bath & Beyond Inc. | 4.915% | 8/1/34 | 750 | 654 |
| Bed Bath & Beyond Inc. | 5.165% | 8/1/44 | 1,595 | 1,342 |
| Booking Holdings Inc. | 3.550% | 3/15/28 | 862 | 826 |
| BorgWarner Inc. | 4.375% | 3/15/45 | 915 | 890 |
| Cummins Inc. | 7.125% | 3/1/28 | 325 | 409 |
| Cummins Inc. | 4.875% | 10/1/43 | 588 | 658 |
| Daimler Finance North America LLC | 8.500% | 1/18/31 | 2,517 | 3,665 |
| Darden Restaurants Inc. | 4.550% | 2/15/48 | 600 | 592 |
| eBay Inc. | 4.000% | 7/15/42 | 1,472 | 1,306 |
| Ford Motor Co. | 6.625% | 10/1/28 | 1,208 | 1,393 |
| Ford Motor Co. | 7.450% | 7/16/31 | 3,607 | 4,402 |
| Ford Motor Co. | 4.750% | 1/15/43 | 3,086 | 2,847 |
| Ford Motor Co. | 7.400% | 11/1/46 | 778 | 975 |
| Ford Motor Co. | 5.291% | 12/8/46 | 2,715 | 2,670 |
| General Motors Co. | 5.000% | 4/1/35 | 1,031 | 1,033 |
| General Motors Co. | 6.600% | 4/1/36 | 2,190 | 2,548 |
| General Motors Co. | 5.150% | 4/1/38 | 2,248 | 2,241 |
| General Motors Co. | 6.250% | 10/2/43 | 2,814 | 3,163 |
| General Motors Co. | 5.200% | 4/1/45 | 2,753 | 2,724 |
| General Motors Co. | 6.750% | 4/1/46 | 1,630 | 1,916 |
| General Motors Co. | 5.400% | 4/1/48 | 858 | 870 |
| Harley-Davidson Inc. | 4.625% | 7/28/45 | 363 | 372 |
| Home Depot Inc. | 5.875% | 12/16/36 | 5,952 | 7,584 |
| Home Depot Inc. | 5.400% | 9/15/40 | 1,230 | 1,475 |
| Home Depot Inc. | 5.950% | 4/1/41 | 1,675 | 2,144 |
| Home Depot Inc. | 4.200% | 4/1/43 | 2,834 | 2,905 |
| Home Depot Inc. | 4.875% | 2/15/44 | 878 | 987 |
| Home Depot Inc. | 4.400% | 3/15/45 | 2,280 | 2,408 |
| Home Depot Inc. | 4.250% | 4/1/46 | 2,495 | 2,582 |
| Home Depot Inc. | 3.900% | 6/15/47 | 1,500 | 1,476 |
| Home Depot Inc. | 3.500% | 9/15/56 | 1,563 | 1,372 |
| Kohl's Corp. | 5.550% | 7/17/45 | 985 | 966 |
| Lowe's Cos. Inc. | 6.500% | 3/15/29 | 331 | 407 |
| Lowe's Cos. Inc. | 4.650% | 4/15/42 | 1,460 | 1,571 |
| Lowe's Cos. Inc. | 4.250% | 9/15/44 | 818 | 826 |
| Lowe's Cos. Inc. | 4.375% | 9/15/45 | 1,291 | 1,341 |
| Lowe's Cos. Inc. | 3.700% | 4/15/46 | 3,280 | 3,036 |
| Lowe's Cos. Inc. | 4.050% | 5/3/47 | 2,634 | 2,580 |
| Macy's Retail Holdings Inc. | 7.000% | 2/15/28 | 450 | 482 |
| Macy's Retail Holdings Inc. | 6.900% | 4/1/29 | 690 | 731 |
| Macy's Retail Holdings Inc. | 4.500% | 12/15/34 | 905 | 786 |
| Mastercard Inc. | 3.800% | 11/21/46 | 1,160 | 1,136 |
| Mastercard Inc. | 3.950% | 2/26/48 | 850 | 855 |
| McDonald's Corp. | 4.700% | 12/9/35 | 1,795 | 1,915 |
76
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| McDonald's Corp. | 6.300% | 10/15/37 | 1,600 | 2,033 |
| McDonald's Corp. | 6.300% | 3/1/38 | 1,371 | 1,749 |
| McDonald's Corp. | 5.700% | 2/1/39 | 420 | 504 |
| McDonald's Corp. | 3.700% | 2/15/42 | 1,002 | 918 |
| McDonald's Corp. | 3.625% | 5/1/43 | 1,003 | 904 |
| McDonald's Corp. | 4.600% | 5/26/45 | 849 | 884 |
| McDonald's Corp. | 4.875% | 12/9/45 | 3,677 | 3,979 |
| McDonald's Corp. | 4.450% | 3/1/47 | 1,081 | 1,097 |
| NIKE Inc. | 3.625% | 5/1/43 | 408 | 386 |
| NIKE Inc. | 3.875% | 11/1/45 | 2,096 | 2,052 |
| NIKE Inc. | 3.375% | 11/1/46 | 1,065 | 956 |
| Nordstrom Inc. | 6.950% | 3/15/28 | 555 | 582 |
| Nordstrom Inc. | 5.000% | 1/15/44 | 1,799 | 1,729 |
| QVC Inc. | 5.450% | 8/15/34 | 685 | 654 |
| QVC Inc. | 5.950% | 3/15/43 | 105 | 101 |
| Royal Caribbean Cruises Ltd. | 3.700% | 3/15/28 | 1,000 | 953 |
| Starbucks Corp. | 3.500% | 3/1/28 | 950 | 944 |
| Starbucks Corp. | 4.300% | 6/15/45 | 440 | 456 |
| Starbucks Corp. | 3.750% | 12/1/47 | 1,300 | 1,224 |
| Target Corp. | 6.350% | 11/1/32 | 744 | 930 |
| Target Corp. | 6.500% | 10/15/37 | 1,027 | 1,341 |
| Target Corp. | 7.000% | 1/15/38 | 1,175 | 1,616 |
| Target Corp. | 4.000% | 7/1/42 | 2,557 | 2,502 |
| Target Corp. | 3.625% | 4/15/46 | 1,985 | 1,811 |
| Target Corp. | 3.900% | 11/15/47 | 1,150 | 1,119 |
| VF Corp. | 6.450% | 11/1/37 | 720 | 909 |
| Visa Inc. | 4.150% | 12/14/35 | 3,280 | 3,444 |
| Visa Inc. | 4.300% | 12/14/45 | 6,797 | 7,195 |
| Visa Inc. | 3.650% | 9/15/47 | 980 | 939 |
| Walgreen Co. | 4.400% | 9/15/42 | 610 | 572 |
| Walgreens Boots Alliance Inc. | 4.500% | 11/18/34 | 491 | 486 |
| Walgreens Boots Alliance Inc. | 4.800% | 11/18/44 | 2,619 | 2,614 |
| Walgreens Boots Alliance Inc. | 4.650% | 6/1/46 | 1,115 | 1,081 |
| Walmart Inc. | 7.550% | 2/15/30 | 1,043 | 1,449 |
| Walmart Inc. | 5.250% | 9/1/35 | 4,695 | 5,619 |
| Walmart Inc. | 6.200% | 4/15/38 | 3,214 | 4,291 |
| Walmart Inc. | 5.625% | 4/1/40 | 2,037 | 2,574 |
| Walmart Inc. | 4.875% | 7/8/40 | 875 | 1,011 |
| Walmart Inc. | 5.000% | 10/25/40 | 1,133 | 1,332 |
| Walmart Inc. | 5.625% | 4/15/41 | 2,041 | 2,599 |
| Walmart Inc. | 4.000% | 4/11/43 | 1,411 | 1,449 |
| Walmart Inc. | 4.300% | 4/22/44 | 990 | 1,068 |
| Walmart Inc. | 3.625% | 12/15/47 | 713 | 692 |
| Western Union Co. | 6.200% | 11/17/36 | 823 | 864 |
| Western Union Co. | 6.200% | 6/21/40 | 180 | 186 |
| Consumer Noncyclical (17.0%) | | | | |
| Abbott Laboratories | 4.750% | 11/30/36 | 4,085 | 4,346 |
| Abbott Laboratories | 6.150% | 11/30/37 | 320 | 387 |
| Abbott Laboratories | 6.000% | 4/1/39 | 814 | 984 |
| Abbott Laboratories | 5.300% | 5/27/40 | 1,318 | 1,483 |
| Abbott Laboratories | 4.750% | 4/15/43 | 738 | 775 |
| Abbott Laboratories | 4.900% | 11/30/46 | 7,050 | 7,571 |
| AbbVie Inc. | 4.500% | 5/14/35 | 4,835 | 4,974 |
| AbbVie Inc. | 4.300% | 5/14/36 | 1,463 | 1,468 |
| AbbVie Inc. | 4.400% | 11/6/42 | 5,109 | 5,062 |
| AbbVie Inc. | 4.700% | 5/14/45 | 5,155 | 5,314 |
| AbbVie Inc. | 4.450% | 5/14/46 | 4,001 | 3,993 |
| Actavis Inc. | 4.625% | 10/1/42 | 650 | 637 |
| AHS Hospital Corp. | 5.024% | 7/1/45 | 763 | 873 |
| Allergan Funding SCS | 4.550% | 3/15/35 | 5,810 | 5,792 |
| Allergan Funding SCS | 4.850% | 6/15/44 | 2,411 | 2,433 |
| Allergan Funding SCS | 4.750% | 3/15/45 | 1,985 | 1,965 |
| Altria Group Inc. | 4.250% | 8/9/42 | 2,771 | 2,721 |
77
Vanguard® Long-Term Corporate Bond Index Fund
Schedule of Investments
February 28, 2018
| | | | |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Altria Group Inc. | 4.500% | 5/2/43 | 1,180 | 1,199 |
| Altria Group Inc. | 5.375% | 1/31/44 | 3,201 | 3,652 |
| Altria Group Inc. | 3.875% | 9/16/46 | 1,960 | 1,802 |
| AmerisourceBergen Corp. | 4.250% | 3/1/45 | 418 | 388 |
| AmerisourceBergen Corp. | 4.300% | 12/15/47 | 1,350 | 1,268 |
| Amgen Inc. | 6.400% | 2/1/39 | 2,445 | 3,039 |
| Amgen Inc. | 4.950% | 10/1/41 | 1,188 | 1,274 |
| Amgen Inc. | 5.150% | 11/15/41 | 3,125 | 3,434 |
| Amgen Inc. | 4.400% | 5/1/45 | 4,151 | 4,098 |
| Amgen Inc. | 4.563% | 6/15/48 | 2,550 | 2,559 |
| Amgen Inc. | 4.663% | 6/15/51 | 6,457 | 6,513 |
| Anheuser-Busch InBev Finance Inc. | 4.700% | 2/1/36 | 11,527 | 12,111 |
| Anheuser-Busch InBev Finance Inc. | 4.000% | 1/17/43 | 1,490 | 1,411 |
| Anheuser-Busch InBev Finance Inc. | 4.625% | 2/1/44 | 1,150 | 1,184 |
| Anheuser-Busch InBev Finance Inc. | 4.900% | 2/1/46 | 20,587 | 21,985 |
| Anheuser-Busch InBev Worldwide Inc. | 5.875% | 6/15/35 | 850 | 1,007 |
| Anheuser-Busch InBev Worldwide Inc. | 8.200% | 1/15/39 | 1,985 | 2,972 |
| Anheuser-Busch InBev Worldwide Inc. | 8.000% | 11/15/39 | 728 | 1,076 |
| Anheuser-Busch InBev Worldwide Inc. | 4.950% | 1/15/42 | 3,199 | 3,457 |
| Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 2,724 | 2,475 |
| Anheuser-Busch InBev Worldwide Inc. | 4.439% | 10/6/48 | 3,610 | 3,602 |
| Archer-Daniels-Midland Co. | 5.935% | 10/1/32 | 605 | 714 |
| Archer-Daniels-Midland Co. | 5.375% | 9/15/35 | 335 | 384 |
| Archer-Daniels-Midland Co. | 4.535% | 3/26/42 | 1,396 | 1,449 |
| Archer-Daniels-Midland Co. | 4.016% | 4/16/43 | 1,657 | 1,597 |
| Archer-Daniels-Midland Co. | 3.750% | 9/15/47 | 1,400 | 1,274 |
| Ascension Health | 3.945% | 11/15/46 | 1,980 | 1,964 |
| 1 Ascension Health | 4.847% | 11/15/53 | 738 | 810 |
| AstraZeneca plc | 6.450% | 9/15/37 | 4,653 | 5,961 |
| AstraZeneca plc | 4.000% | 9/18/42 | 2,547 | 2,418 |
| AstraZeneca plc | 4.375% | 11/16/45 | 1,319 | 1,333 |
| 2 BAT Capital Corp. | 4.390% | 8/15/37 | 5,350 | 5,256 |
| 2 BAT Capital Corp. | 4.540% | 8/15/47 | 5,080 | 4,939 |
| Baxalta Inc. | 5.250% | 6/23/45 | 1,975 | 2,134 |
| Baxter International Inc. | 3.500% | 8/15/46 | 758 | 657 |
| Baylor Scott & White Holdings | 3.967% | 11/15/46 | 200 | 196 |
| Baylor Scott & White Holdings Texas Revenue | 4.185% | 11/15/45 | 1,456 | 1,493 |
| Becton Dickinson & Co. | 5.000% | 11/12/40 | 297 | 307 |
| Becton Dickinson & Co. | 4.875% | 5/15/44 | 875 | 868 |
| Becton Dickinson & Co. | 4.685% | 12/15/44 | 2,221 | 2,215 |
| Becton Dickinson & Co. | 4.669% | 6/6/47 | 2,200 | 2,192 |
| Biogen Inc. | 5.200% | 9/15/45 | 3,458 | 3,768 |
| Boston Children's Hospital Corp. Revenue | 4.115% | 1/1/47 | 585 | 593 |
| Boston Scientific Corp. | 4.000% | 3/1/28 | 2,425 | 2,417 |
| Boston Scientific Corp. | 7.000% | 11/15/35 | 290 | 364 |
| Boston Scientific Corp. | 7.375% | 1/15/40 | 528 | 704 |
| Bristol-Myers Squibb Co. | 3.250% | 8/1/42 | 1,647 | 1,474 |
| Bristol-Myers Squibb Co. | 4.500% | 3/1/44 | 988 | 1,066 |
| Brown-Forman Corp. | 4.500% | 7/15/45 | 1,041 | 1,105 |
| Campbell Soup Co. | 3.800% | 8/2/42 | 775 | 691 |
| Cardinal Health Inc. | 4.600% | 3/15/43 | 752 | 734 |
| Cardinal Health Inc. | 4.500% | 11/15/44 | 587 | 562 |
| Cardinal Health Inc. | 4.900% | 9/15/45 | 575 | 585 |
| Cardinal Health Inc. | 4.368% | 6/15/47 | 1,125 | 1,055 |
| 1 Catholic Health Initiatives Colorado GO | 4.350% | 11/1/42 | 1,504 | 1,383 |
| Celgene Corp. | 5.250% | 8/15/43 | 785 | 844 |
| Celgene Corp. | 4.625% | 5/15/44 | 960 | 949 |
| Celgene Corp. | 5.000% | 8/15/45 | 3,775 | 3,912 |
| Celgene Corp. | 4.350% | 11/15/47 | 3,025 | 2,874 |
| Celgene Corp. | 4.550% | 2/20/48 | 3,000 | 2,923 |
| Children's Hospital Medical Center Ohio GO | 4.268% | 5/15/44 | 425 | 443 |
| Church & Dwight Co. Inc. | 3.950% | 8/1/47 | 713 | 657 |
| City of Hope | 5.623% | 11/15/43 | 575 | 689 |
| Cleveland Clinic Foundation Ohio Revenue | 4.858% | 1/1/14 | 788 | 821 |
78
Vanguard® Long-Term Corporate Bond Index Fund
Schedule of Investments
February 28, 2018
| | | | |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Coca-Cola Femsa SAB de CV | 5.250% | 11/26/43 | 1,200 | 1,363 |
| Colgate-Palmolive Co. | 4.000% | 8/15/45 | 761 | 756 |
| Colgate-Palmolive Co. | 3.700% | 8/1/47 | 1,160 | 1,098 |
| Conagra Brands Inc. | 7.000% | 10/1/28 | 1,001 | 1,202 |
| Conagra Brands Inc. | 8.250% | 9/15/30 | 548 | 733 |
| Constellation Brands Inc. | 4.500% | 5/9/47 | 668 | 665 |
| Constellation Brands Inc. | 4.100% | 2/15/48 | 1,400 | 1,297 |
| CVS Health Corp. | 4.875% | 7/20/35 | 1,200 | 1,234 |
| CVS Health Corp. | 5.300% | 12/5/43 | 2,193 | 2,342 |
| CVS Health Corp. | 5.125% | 7/20/45 | 6,653 | 6,935 |
| Danaher Corp. | 4.375% | 9/15/45 | 747 | 780 |
| Dartmouth-Hitchcock Health | 4.178% | 8/1/48 | 575 | 575 |
| Delhaize America LLC | 9.000% | 4/15/31 | 320 | 439 |
| Diageo Capital plc | 5.875% | 9/30/36 | 1,056 | 1,334 |
| Diageo Capital plc | 3.875% | 4/29/43 | 783 | 777 |
| Diageo Investment Corp. | 7.450% | 4/15/35 | 787 | 1,127 |
| Diageo Investment Corp. | 4.250% | 5/11/42 | 1,212 | 1,259 |
| Dignity Health California GO | 4.500% | 11/1/42 | 825 | 780 |
| Dignity Health California GO | 5.267% | 11/1/64 | 413 | 414 |
| 2 Dr Pepper Snapple Group Inc. | 4.500% | 11/15/45 | 523 | 512 |
| Dr Pepper Snapple Group Inc. | 4.420% | 12/15/46 | 663 | 641 |
| Duke University Health System Inc. | 3.920% | 6/1/47 | 1,068 | 1,064 |
| Eli Lilly & Co. | 5.550% | 3/15/37 | 1,071 | 1,310 |
| Eli Lilly & Co. | 3.700% | 3/1/45 | 1,361 | 1,313 |
| Eli Lilly & Co. | 3.950% | 5/15/47 | 1,325 | 1,329 |
| Estee Lauder Cos. Inc. | 6.000% | 5/15/37 | 500 | 628 |
| Estee Lauder Cos. Inc. | 4.375% | 6/15/45 | 928 | 977 |
| Estee Lauder Cos. Inc. | 4.150% | 3/15/47 | 933 | 955 |
| Express Scripts Holding Co. | 6.125% | 11/15/41 | 928 | 1,076 |
| Express Scripts Holding Co. | 4.800% | 7/15/46 | 3,015 | 3,000 |
| Fomento Economico Mexicano SAB de CV | 4.375% | 5/10/43 | 898 | 902 |
| Genentech Inc. | 5.250% | 7/15/35 | 488 | 571 |
| General Mills Inc. | 5.400% | 6/15/40 | 923 | 1,021 |
| General Mills Inc. | 4.150% | 2/15/43 | 925 | 874 |
| Gilead Sciences Inc. | 4.600% | 9/1/35 | 2,099 | 2,221 |
| Gilead Sciences Inc. | 4.000% | 9/1/36 | 2,825 | 2,781 |
| Gilead Sciences Inc. | 5.650% | 12/1/41 | 973 | 1,149 |
| Gilead Sciences Inc. | 4.800% | 4/1/44 | 2,879 | 3,047 |
| Gilead Sciences Inc. | 4.500% | 2/1/45 | 3,694 | 3,757 |
| Gilead Sciences Inc. | 4.750% | 3/1/46 | 4,335 | 4,570 |
| Gilead Sciences Inc. | 4.150% | 3/1/47 | 2,952 | 2,840 |
| GlaxoSmithKline Capital Inc. | 5.375% | 4/15/34 | 1,055 | 1,229 |
| GlaxoSmithKline Capital Inc. | 6.375% | 5/15/38 | 5,005 | 6,636 |
| GlaxoSmithKline Capital Inc. | 4.200% | 3/18/43 | 842 | 876 |
| Hackensack Meridian Health | 4.500% | 7/1/57 | 413 | 433 |
| Hasbro Inc. | 6.350% | 3/15/40 | 588 | 662 |
| Hasbro Inc. | 5.100% | 5/15/44 | 868 | 846 |
| JM Smucker Co. | 4.250% | 3/15/35 | 1,200 | 1,204 |
| JM Smucker Co. | 4.375% | 3/15/45 | 1,238 | 1,229 |
| Johns Hopkins Health System Corp. | 3.837% | 5/15/46 | 713 | 692 |
| Johnson & Johnson | 6.950% | 9/1/29 | 1,160 | 1,534 |
| Johnson & Johnson | 4.950% | 5/15/33 | 968 | 1,115 |
| Johnson & Johnson | 4.375% | 12/5/33 | 1,440 | 1,557 |
| Johnson & Johnson | 3.550% | 3/1/36 | 2,559 | 2,512 |
| Johnson & Johnson | 3.625% | 3/3/37 | 3,073 | 3,033 |
| Johnson & Johnson | 5.950% | 8/15/37 | 1,293 | 1,664 |
| Johnson & Johnson | 3.400% | 1/15/38 | 1,920 | 1,849 |
| Johnson & Johnson | 5.850% | 7/15/38 | 613 | 787 |
| Johnson & Johnson | 4.500% | 9/1/40 | 747 | 818 |
| Johnson & Johnson | 4.850% | 5/15/41 | 420 | 482 |
| Johnson & Johnson | 4.500% | 12/5/43 | 800 | 880 |
| Johnson & Johnson | 3.700% | 3/1/46 | 2,820 | 2,757 |
| Johnson & Johnson | 3.750% | 3/3/47 | 2,010 | 1,975 |
| Johnson & Johnson | 3.500% | 1/15/48 | 2,825 | 2,659 |
79
Vanguard® Long-Term Corporate Bond Index Fund
Schedule of Investments
February 28, 2018
| | | | |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 1,650 | 1,869 |
| Kaiser Foundation Hospitals | 4.150% | 5/1/47 | 2,175 | 2,215 |
| Kellogg Co. | 7.450% | 4/1/31 | 997 | 1,274 |
| Kellogg Co. | 4.500% | 4/1/46 | 1,300 | 1,285 |
| Kimberly-Clark Corp. | 6.625% | 8/1/37 | 808 | 1,088 |
| Kimberly-Clark Corp. | 5.300% | 3/1/41 | 950 | 1,120 |
| Kimberly-Clark Corp. | 3.700% | 6/1/43 | 644 | 605 |
| Kimberly-Clark Corp. | 3.200% | 7/30/46 | 1,390 | 1,206 |
| Koninklijke Ahold Delhaize NV | 5.700% | 10/1/40 | 1,864 | 2,100 |
| Koninklijke Philips NV | 6.875% | 3/11/38 | 1,175 | 1,534 |
| Koninklijke Philips NV | 5.000% | 3/15/42 | 1,383 | 1,526 |
| Kraft Foods Group Inc. | 6.875% | 1/26/39 | 1,195 | 1,471 |
| Kraft Foods Group Inc. | 6.500% | 2/9/40 | 1,878 | 2,225 |
| Kraft Foods Group Inc. | 5.000% | 6/4/42 | 3,866 | 3,849 |
| Kraft Heinz Foods Co. | 5.000% | 7/15/35 | 1,998 | 2,078 |
| Kraft Heinz Foods Co. | 5.200% | 7/15/45 | 3,661 | 3,735 |
| Kraft Heinz Foods Co. | 4.375% | 6/1/46 | 5,890 | 5,376 |
| Kroger Co. | 4.450% | 2/1/47 | 1,900 | 1,784 |
| Kroger Co. | 4.650% | 1/15/48 | 1,375 | 1,321 |
| Laboratory Corp. of America Holdings | 4.700% | 2/1/45 | 1,896 | 1,898 |
| 1 Mayo Clinic | 3.774% | 11/15/43 | 750 | 708 |
| 1 Mayo Clinic | 4.000% | 11/15/47 | 648 | 624 |
| 1 Mayo Clinic | 4.128% | 11/15/52 | 400 | 398 |
| McCormick & Co. Inc. | 4.200% | 8/15/47 | 825 | 814 |
| Mead Johnson Nutrition Co. | 5.900% | 11/1/39 | 770 | 913 |
| Mead Johnson Nutrition Co. | 4.600% | 6/1/44 | 814 | 817 |
| Medtronic Inc. | 4.375% | 3/15/35 | 6,252 | 6,594 |
| Medtronic Inc. | 6.500% | 3/15/39 | 155 | 204 |
| Medtronic Inc. | 5.550% | 3/15/40 | 868 | 1,031 |
| Medtronic Inc. | 4.500% | 3/15/42 | 1,057 | 1,103 |
| Medtronic Inc. | 4.625% | 3/15/44 | 1,017 | 1,097 |
| Medtronic Inc. | 4.625% | 3/15/45 | 8,588 | 9,289 |
| Memorial Sloan-Kettering Cancer Center New York GO | 5.000% | 7/1/42 | 635 | 706 |
| Memorial Sloan-Kettering Cancer Center New York GO | 4.125% | 7/1/52 | 1,195 | 1,191 |
| Memorial Sloan-Kettering Cancer Center New York GO | 4.200% | 7/1/55 | 753 | 761 |
| Merck & Co. Inc. | 3.600% | 9/15/42 | 1,040 | 991 |
| Merck & Co. Inc. | 4.150% | 5/18/43 | 3,225 | 3,337 |
| Merck & Co. Inc. | 3.700% | 2/10/45 | 4,145 | 4,000 |
| Molson Coors Brewing Co. | 5.000% | 5/1/42 | 2,342 | 2,481 |
| Molson Coors Brewing Co. | 4.200% | 7/15/46 | 3,482 | 3,277 |
| Mondelez International Inc. | 6.500% | 2/9/40 | 909 | 1,131 |
| 1 Mount Sinai Hospitals Group Inc. | 3.981% | 7/1/48 | 575 | 556 |
| Mylan Inc. | 5.400% | 11/29/43 | 1,007 | 1,035 |
| Mylan NV | 5.250% | 6/15/46 | 1,725 | 1,741 |
| New York & Presbyterian Hospital | 4.024% | 8/1/45 | 1,438 | 1,420 |
| New York & Presbyterian Hospital | 4.063% | 8/1/56 | 713 | 694 |
| Newell Brands Inc. | 5.375% | 4/1/36 | 1,625 | 1,721 |
| Newell Brands Inc. | 5.500% | 4/1/46 | 2,946 | 3,134 |
| Northwell Healthcare Inc. | 3.979% | 11/1/46 | 850 | 785 |
| Northwell Healthcare Inc. | 4.260% | 11/1/47 | 1,600 | 1,556 |
| Novartis Capital Corp. | 3.700% | 9/21/42 | 871 | 842 |
| Novartis Capital Corp. | 4.400% | 5/6/44 | 3,625 | 3,926 |
| Novartis Capital Corp. | 4.000% | 11/20/45 | 2,275 | 2,321 |
| NYU Hospitals Center | 4.784% | 7/1/44 | 438 | 480 |
| 1 NYU Hospitals Center | 4.368% | 7/1/47 | 1,188 | 1,223 |
| Orlando Health Obligated Group | 4.089% | 10/1/48 | 600 | 594 |
| Partners Healthcare System Inc. | 4.117% | 7/1/55 | 475 | 467 |
| PepsiCo Inc. | 5.500% | 1/15/40 | 1,448 | 1,772 |
| PepsiCo Inc. | 4.875% | 11/1/40 | 1,404 | 1,597 |
| PepsiCo Inc. | 4.000% | 3/5/42 | 1,195 | 1,200 |
| PepsiCo Inc. | 3.600% | 8/13/42 | 350 | 329 |
| PepsiCo Inc. | 4.250% | 10/22/44 | 1,697 | 1,760 |
| PepsiCo Inc. | 4.600% | 7/17/45 | 662 | 721 |
| PepsiCo Inc. | 4.450% | 4/14/46 | 3,215 | 3,451 |
80
Vanguard® Long-Term Corporate Bond Index Fund
Schedule of Investments
February 28, 2018
| | | | |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| PepsiCo Inc. | 3.450% | 10/6/46 | 1,803 | 1,640 |
| PepsiCo Inc. | 4.000% | 5/2/47 | 1,980 | 1,990 |
| Perrigo Finance Unlimited Co. | 4.900% | 12/15/44 | 709 | 687 |
| Pfizer Inc. | 4.000% | 12/15/36 | 1,598 | 1,642 |
| Pfizer Inc. | 7.200% | 3/15/39 | 4,662 | 6,752 |
| Pfizer Inc. | 5.600% | 9/15/40 | 36 | 44 |
| Pfizer Inc. | 4.300% | 6/15/43 | 1,420 | 1,485 |
| Pfizer Inc. | 4.400% | 5/15/44 | 2,360 | 2,512 |
| Pfizer Inc. | 4.125% | 12/15/46 | 2,718 | 2,784 |
| Pharmacia LLC | 6.600% | 12/1/28 | 1,350 | 1,693 |
| Philip Morris International Inc. | 3.125% | 3/2/28 | 1,000 | 952 |
| Philip Morris International Inc. | 6.375% | 5/16/38 | 2,424 | 3,148 |
| Philip Morris International Inc. | 4.375% | 11/15/41 | 1,280 | 1,289 |
| Philip Morris International Inc. | 4.500% | 3/20/42 | 1,219 | 1,249 |
| Philip Morris International Inc. | 3.875% | 8/21/42 | 1,395 | 1,314 |
| Philip Morris International Inc. | 4.125% | 3/4/43 | 2,235 | 2,160 |
| Philip Morris International Inc. | 4.875% | 11/15/43 | 1,015 | 1,096 |
| Philip Morris International Inc. | 4.250% | 11/10/44 | 2,817 | 2,796 |
| Procter & Gamble Co. | 5.500% | 2/1/34 | 1,630 | 1,980 |
| Procter & Gamble Co. | 5.550% | 3/5/37 | 1,800 | 2,254 |
| Procter & Gamble Co. | 3.500% | 10/25/47 | 1,250 | 1,175 |
| 1 Providence St. Joseph Health Obligated Group | 3.744% | 10/1/47 | 800 | 737 |
| 1 Providence St. Joseph Health Obligated Group | 3.930% | 10/1/48 | 675 | 660 |
| Quest Diagnostics Inc. | 4.700% | 3/30/45 | 588 | 594 |
| Reynolds American Inc. | 5.700% | 8/15/35 | 1,945 | 2,213 |
| Reynolds American Inc. | 7.250% | 6/15/37 | 1,026 | 1,359 |
| Reynolds American Inc. | 6.150% | 9/15/43 | 238 | 286 |
| Reynolds American Inc. | 5.850% | 8/15/45 | 3,809 | 4,411 |
| RWJ Barnabas Health Inc. | 3.949% | 7/1/46 | 838 | 799 |
| Stanford Health Care | 3.795% | 11/15/48 | 1,000 | 976 |
| Stryker Corp. | 3.650% | 3/7/28 | 1,500 | 1,499 |
| Stryker Corp. | 4.100% | 4/1/43 | 258 | 251 |
| Stryker Corp. | 4.375% | 5/15/44 | 530 | 532 |
| Stryker Corp. | 4.625% | 3/15/46 | 1,920 | 2,024 |
| Sysco Corp. | 5.375% | 9/21/35 | 1,389 | 1,575 |
| Sysco Corp. | 4.850% | 10/1/45 | 525 | 563 |
| Sysco Corp. | 4.500% | 4/1/46 | 935 | 953 |
| 1 Texas Health Resources | 4.330% | 11/15/55 | 552 | 553 |
| The Kroger Co. | 7.700% | 6/1/29 | 680 | 848 |
| The Kroger Co. | 8.000% | 9/15/29 | 200 | 255 |
| The Kroger Co. | 7.500% | 4/1/31 | 581 | 740 |
| The Kroger Co. | 6.900% | 4/15/38 | 233 | 288 |
| The Kroger Co. | 5.400% | 7/15/40 | 703 | 743 |
| The Kroger Co. | 5.150% | 8/1/43 | 940 | 967 |
| The Kroger Co. | 3.875% | 10/15/46 | 725 | 627 |
| The Pepsi Bottling Group Inc. | 7.000% | 3/1/29 | 2,540 | 3,316 |
| Thermo Fisher Scientific Inc. | 5.300% | 2/1/44 | 708 | 800 |
| Thermo Fisher Scientific Inc. | 4.100% | 8/15/47 | 1,400 | 1,340 |
| Trinity Health Corp. | 4.125% | 12/1/45 | 975 | 971 |
| Tyson Foods Inc. | 4.875% | 8/15/34 | 951 | 1,019 |
| Tyson Foods Inc. | 5.150% | 8/15/44 | 1,455 | 1,600 |
| Tyson Foods Inc. | 4.550% | 6/2/47 | 755 | 765 |
| Unilever Capital Corp. | 5.900% | 11/15/32 | 1,449 | 1,816 |
| Whirlpool Corp. | 4.500% | 6/1/46 | 1,000 | 989 |
| Wyeth LLC | 6.500% | 2/1/34 | 1,568 | 2,030 |
| Wyeth LLC | 6.000% | 2/15/36 | 897 | 1,128 |
| Wyeth LLC | 5.950% | 4/1/37 | 3,794 | 4,815 |
| Zimmer Biomet Holdings Inc. | 5.750% | 11/30/39 | 170 | 186 |
| Zimmer Biomet Holdings Inc. | 4.450% | 8/15/45 | 877 | 824 |
| Zoetis Inc. | 4.700% | 2/1/43 | 1,785 | 1,896 |
| Zoetis Inc. | 3.950% | 9/12/47 | 1,313 | 1,245 |
| Energy (11.7%) | | | | |
| Alberta Energy Co. Ltd. | 7.375% | 11/1/31 | 820 | 1,031 |
81
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Anadarko Finance Co. | 7.500% | 5/1/31 | 1,777 | 2,235 |
| Anadarko Petroleum Corp. | 6.450% | 9/15/36 | 3,276 | 3,903 |
| Anadarko Petroleum Corp. | 7.950% | 6/15/39 | 295 | 395 |
| Anadarko Petroleum Corp. | 6.200% | 3/15/40 | 1,628 | 1,902 |
| Anadarko Petroleum Corp. | 4.500% | 7/15/44 | 823 | 783 |
| Anadarko Petroleum Corp. | 6.600% | 3/15/46 | 2,655 | 3,310 |
| Andeavor | 3.800% | 4/1/28 | 800 | 759 |
| Andeavor | 4.500% | 4/1/48 | 900 | 828 |
| Andeavor Logistics LP / Tesoro Logistics Finance Corp. | 5.200% | 12/1/47 | 1,300 | 1,261 |
| Apache Corp. | 6.000% | 1/15/37 | 2,261 | 2,560 |
| Apache Corp. | 5.100% | 9/1/40 | 3,071 | 3,146 |
| Apache Corp. | 5.250% | 2/1/42 | 581 | 610 |
| Apache Corp. | 4.750% | 4/15/43 | 2,528 | 2,485 |
| Apache Corp. | 4.250% | 1/15/44 | 1,675 | 1,532 |
| Apache Finance Canada Corp. | 7.750% | 12/15/29 | 155 | 196 |
| Baker Hughes a GE Co. LLC | 5.125% | 9/15/40 | 1,870 | 2,057 |
| Baker Hughes a GE Co. LLC / Baker Hughes Co- | | | | |
| Obligor Inc. | 4.080% | 12/15/47 | 2,650 | 2,492 |
| BP Capital Markets plc | 3.723% | 11/28/28 | 1,365 | 1,372 |
| Buckeye Partners LP | 5.850% | 11/15/43 | 908 | 950 |
| Buckeye Partners LP | 5.600% | 10/15/44 | 279 | 284 |
| Burlington Resources Finance Co. | 7.200% | 8/15/31 | 1,682 | 2,213 |
| Burlington Resources Finance Co. | 7.400% | 12/1/31 | 1,419 | 1,900 |
| Canadian Natural Resources Ltd. | 7.200% | 1/15/32 | 843 | 1,054 |
| Canadian Natural Resources Ltd. | 6.450% | 6/30/33 | 886 | 1,060 |
| Canadian Natural Resources Ltd. | 5.850% | 2/1/35 | 400 | 454 |
| Canadian Natural Resources Ltd. | 6.500% | 2/15/37 | 981 | 1,201 |
| Canadian Natural Resources Ltd. | 6.250% | 3/15/38 | 2,329 | 2,802 |
| Canadian Natural Resources Ltd. | 6.750% | 2/1/39 | 840 | 1,058 |
| Canadian Natural Resources Ltd. | 4.950% | 6/1/47 | 1,125 | 1,175 |
| Cenovus Energy Inc. | 5.250% | 6/15/37 | 1,987 | 1,999 |
| Cenovus Energy Inc. | 6.750% | 11/15/39 | 2,850 | 3,277 |
| Cenovus Energy Inc. | 4.450% | 9/15/42 | 775 | 682 |
| Cenovus Energy Inc. | 5.200% | 9/15/43 | 750 | 722 |
| Cenovus Energy Inc. | 5.400% | 6/15/47 | 1,622 | 1,618 |
| Columbia Pipeline Group Inc. | 5.800% | 6/1/45 | 905 | 1,049 |
| Concho Resources Inc. | 4.875% | 10/1/47 | 1,563 | 1,618 |
| Conoco Funding Co. | 7.250% | 10/15/31 | 788 | 1,039 |
| ConocoPhillips | 5.900% | 10/15/32 | 828 | 984 |
| ConocoPhillips | 5.900% | 5/15/38 | 946 | 1,155 |
| ConocoPhillips | 6.500% | 2/1/39 | 5,460 | 7,109 |
| ConocoPhillips Canada Funding Co. I | 5.950% | 10/15/36 | 922 | 1,125 |
| ConocoPhillips Co. | 4.150% | 11/15/34 | 488 | 492 |
| ConocoPhillips Co. | 4.300% | 11/15/44 | 1,403 | 1,434 |
| ConocoPhillips Co. | 5.950% | 3/15/46 | 671 | 847 |
| ConocoPhillips Holding Co. | 6.950% | 4/15/29 | 3,132 | 3,971 |
| Devon Energy Corp. | 7.950% | 4/15/32 | 1,880 | 2,515 |
| Devon Energy Corp. | 5.600% | 7/15/41 | 2,217 | 2,477 |
| Devon Energy Corp. | 4.750% | 5/15/42 | 1,586 | 1,600 |
| Devon Energy Corp. | 5.000% | 6/15/45 | 1,827 | 1,912 |
| Devon Financing Co. LLC | 7.875% | 9/30/31 | 1,695 | 2,241 |
| Dominion Energy Gas Holdings LLC | 4.800% | 11/1/43 | 966 | 1,020 |
| Dominion Energy Gas Holdings LLC | 4.600% | 12/15/44 | 802 | 823 |
| Enable Midstream Partners LP | 5.000% | 5/15/44 | 596 | 567 |
| Enbridge Energy Partners LP | 7.500% | 4/15/38 | 1,248 | 1,589 |
| Enbridge Energy Partners LP | 5.500% | 9/15/40 | 1,233 | 1,309 |
| Enbridge Energy Partners LP | 7.375% | 10/15/45 | 625 | 816 |
| Enbridge Inc. | 4.500% | 6/10/44 | 700 | 686 |
| Enbridge Inc. | 5.500% | 12/1/46 | 1,595 | 1,801 |
| Encana Corp. | 8.125% | 9/15/30 | 650 | 854 |
| Encana Corp. | 6.500% | 8/15/34 | 1,198 | 1,430 |
| Encana Corp. | 6.625% | 8/15/37 | 940 | 1,154 |
| Encana Corp. | 6.500% | 2/1/38 | 1,251 | 1,509 |
| Encana Corp. | 5.150% | 11/15/41 | 50 | 51 |
82
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Energy Transfer LP | 8.250% | 11/15/29 | 264 | 332 |
| Energy Transfer LP | 4.900% | 3/15/35 | 1,518 | 1,449 |
| Energy Transfer LP | 6.625% | 10/15/36 | 895 | 1,007 |
| Energy Transfer LP | 7.500% | 7/1/38 | 943 | 1,142 |
| Energy Transfer LP | 6.050% | 6/1/41 | 1,600 | 1,678 |
| Energy Transfer LP | 6.500% | 2/1/42 | 1,620 | 1,788 |
| Energy Transfer LP | 5.150% | 2/1/43 | 445 | 419 |
| Energy Transfer LP | 5.950% | 10/1/43 | 715 | 740 |
| Energy Transfer LP | 5.150% | 3/15/45 | 2,166 | 2,038 |
| Energy Transfer LP | 6.125% | 12/15/45 | 1,799 | 1,911 |
| Energy Transfer LP | 5.300% | 4/15/47 | 1,805 | 1,768 |
| EnLink Midstream Partners LP | 5.600% | 4/1/44 | 653 | 662 |
| EnLink Midstream Partners LP | 5.050% | 4/1/45 | 713 | 676 |
| EnLink Midstream Partners LP | 5.450% | 6/1/47 | 926 | 929 |
| Enterprise Products Operating LLC | 6.875% | 3/1/33 | 942 | 1,184 |
| Enterprise Products Operating LLC | 6.650% | 10/15/34 | 873 | 1,082 |
| Enterprise Products Operating LLC | 7.550% | 4/15/38 | 268 | 362 |
| Enterprise Products Operating LLC | 6.125% | 10/15/39 | 1,306 | 1,570 |
| Enterprise Products Operating LLC | 6.450% | 9/1/40 | 710 | 883 |
| Enterprise Products Operating LLC | 5.950% | 2/1/41 | 926 | 1,093 |
| Enterprise Products Operating LLC | 5.700% | 2/15/42 | 1,262 | 1,461 |
| Enterprise Products Operating LLC | 4.850% | 8/15/42 | 2,785 | 2,896 |
| Enterprise Products Operating LLC | 4.450% | 2/15/43 | 1,588 | 1,568 |
| Enterprise Products Operating LLC | 4.850% | 3/15/44 | 3,213 | 3,349 |
| Enterprise Products Operating LLC | 5.100% | 2/15/45 | 1,706 | 1,846 |
| Enterprise Products Operating LLC | 4.900% | 5/15/46 | 1,970 | 2,073 |
| Enterprise Products Operating LLC | 4.250% | 2/15/48 | 2,000 | 1,913 |
| Enterprise Products Operating LLC | 4.950% | 10/15/54 | 650 | 670 |
| EOG Resources Inc. | 3.900% | 4/1/35 | 900 | 881 |
| Exxon Mobil Corp. | 3.567% | 3/6/45 | 1,468 | 1,388 |
| Exxon Mobil Corp. | 4.114% | 3/1/46 | 5,020 | 5,238 |
| Halliburton Co. | 4.850% | 11/15/35 | 2,820 | 3,010 |
| Halliburton Co. | 6.700% | 9/15/38 | 1,486 | 1,892 |
| Halliburton Co. | 7.450% | 9/15/39 | 1,359 | 1,864 |
| Halliburton Co. | 4.500% | 11/15/41 | 1,093 | 1,100 |
| Halliburton Co. | 4.750% | 8/1/43 | 1,143 | 1,181 |
| Halliburton Co. | 5.000% | 11/15/45 | 4,149 | 4,468 |
| Hess Corp. | 7.875% | 10/1/29 | 1,045 | 1,273 |
| Hess Corp. | 7.300% | 8/15/31 | 820 | 1,001 |
| Hess Corp. | 7.125% | 3/15/33 | 1,050 | 1,268 |
| Hess Corp. | 6.000% | 1/15/40 | 1,242 | 1,316 |
| Hess Corp. | 5.600% | 2/15/41 | 2,861 | 2,933 |
| Hess Corp. | 5.800% | 4/1/47 | 1,100 | 1,161 |
| Husky Energy Inc. | 6.800% | 9/15/37 | 690 | 863 |
| Kerr-McGee Corp. | 7.875% | 9/15/31 | 178 | 231 |
| Kinder Morgan Energy Partners LP | 7.400% | 3/15/31 | 251 | 307 |
| Kinder Morgan Energy Partners LP | 7.750% | 3/15/32 | 1,492 | 1,890 |
| Kinder Morgan Energy Partners LP | 7.300% | 8/15/33 | 625 | 773 |
| Kinder Morgan Energy Partners LP | 5.800% | 3/15/35 | 988 | 1,071 |
| Kinder Morgan Energy Partners LP | 6.500% | 2/1/37 | 1,248 | 1,419 |
| Kinder Morgan Energy Partners LP | 6.950% | 1/15/38 | 2,005 | 2,427 |
| Kinder Morgan Energy Partners LP | 6.500% | 9/1/39 | 1,291 | 1,486 |
| Kinder Morgan Energy Partners LP | 6.550% | 9/15/40 | 325 | 373 |
| Kinder Morgan Energy Partners LP | 7.500% | 11/15/40 | 613 | 771 |
| Kinder Morgan Energy Partners LP | 6.375% | 3/1/41 | 938 | 1,063 |
| Kinder Morgan Energy Partners LP | 5.625% | 9/1/41 | 803 | 837 |
| Kinder Morgan Energy Partners LP | 5.000% | 8/15/42 | 732 | 716 |
| Kinder Morgan Energy Partners LP | 4.700% | 11/1/42 | 1,142 | 1,061 |
| Kinder Morgan Energy Partners LP | 5.000% | 3/1/43 | 309 | 302 |
| Kinder Morgan Energy Partners LP | 5.500% | 3/1/44 | 2,333 | 2,408 |
| Kinder Morgan Energy Partners LP | 5.400% | 9/1/44 | 1,350 | 1,374 |
| Kinder Morgan Inc. | 7.800% | 8/1/31 | 625 | 789 |
| Kinder Morgan Inc. | 7.750% | 1/15/32 | 1,130 | 1,436 |
| Kinder Morgan Inc. | 5.300% | 12/1/34 | 2,203 | 2,279 |
83
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Kinder Morgan Inc. | 5.550% | 6/1/45 | 3,375 | 3,535 |
| Kinder Morgan Inc. | 5.050% | 2/15/46 | 1,200 | 1,179 |
| Kinder Morgan Inc. /DE | 4.300% | 3/1/28 | 2,000 | 1,981 |
| Magellan Midstream Partners LP | 5.150% | 10/15/43 | 915 | 998 |
| Magellan Midstream Partners LP | 4.250% | 9/15/46 | 898 | 869 |
| Magellan Midstream Partners LP | 4.200% | 10/3/47 | 1,185 | 1,139 |
| Marathon Oil Corp. | 6.800% | 3/15/32 | 1,237 | 1,471 |
| Marathon Oil Corp. | 6.600% | 10/1/37 | 1,396 | 1,677 |
| Marathon Oil Corp. | 5.200% | 6/1/45 | 678 | 712 |
| Marathon Petroleum Corp. | 6.500% | 3/1/41 | 1,533 | 1,858 |
| Marathon Petroleum Corp. | 4.750% | 9/15/44 | 1,744 | 1,704 |
| Marathon Petroleum Corp. | 5.850% | 12/15/45 | 240 | 266 |
| Marathon Petroleum Corp. | 5.000% | 9/15/54 | 1,088 | 1,055 |
| MPLX LP | 4.000% | 3/15/28 | 2,400 | 2,359 |
| MPLX LP | 4.500% | 4/15/38 | 2,500 | 2,439 |
| MPLX LP | 5.200% | 3/1/47 | 2,165 | 2,243 |
| MPLX LP | 4.700% | 4/15/48 | 3,000 | 2,898 |
| MPLX LP | 4.900% | 4/15/58 | 500 | 482 |
| National Oilwell Varco Inc. | 3.950% | 12/1/42 | 1,567 | 1,352 |
| Noble Energy Inc. | 6.000% | 3/1/41 | 1,696 | 1,950 |
| Noble Energy Inc. | 5.250% | 11/15/43 | 1,142 | 1,215 |
| Noble Energy Inc. | 5.050% | 11/15/44 | 1,203 | 1,250 |
| Noble Energy Inc. | 4.950% | 8/15/47 | 1,543 | 1,587 |
| Occidental Petroleum Corp. | 4.625% | 6/15/45 | 1,344 | 1,418 |
| Occidental Petroleum Corp. | 4.400% | 4/15/46 | 2,230 | 2,311 |
| Occidental Petroleum Corp. | 4.100% | 2/15/47 | 1,053 | 1,045 |
| ONEOK Inc. | 6.000% | 6/15/35 | 515 | 575 |
| ONEOK Inc. | 4.950% | 7/13/47 | 1,313 | 1,331 |
| ONEOK Partners LP | 6.650% | 10/1/36 | 909 | 1,091 |
| ONEOK Partners LP | 6.850% | 10/15/37 | 1,400 | 1,707 |
| ONEOK Partners LP | 6.125% | 2/1/41 | 921 | 1,064 |
| ONEOK Partners LP | 6.200% | 9/15/43 | 902 | 1,051 |
| Petro-Canada | 5.350% | 7/15/33 | 573 | 646 |
| Petro-Canada | 5.950% | 5/15/35 | 900 | 1,092 |
| Petro-Canada | 6.800% | 5/15/38 | 1,474 | 1,950 |
| Phillips 66 | 3.900% | 3/15/28 | 760 | 758 |
| Phillips 66 | 4.650% | 11/15/34 | 2,384 | 2,504 |
| Phillips 66 | 5.875% | 5/1/42 | 2,966 | 3,520 |
| Phillips 66 | 4.875% | 11/15/44 | 2,459 | 2,587 |
| Phillips 66 Partners LP | 3.750% | 3/1/28 | 1,175 | 1,138 |
| Phillips 66 Partners LP | 4.680% | 2/15/45 | 775 | 756 |
| Phillips 66 Partners LP | 4.900% | 10/1/46 | 1,200 | 1,202 |
| Plains All American Pipeline LP / PAA Finance Corp. | 6.650% | 1/15/37 | 685 | 775 |
| Plains All American Pipeline LP / PAA Finance Corp. | 5.150% | 6/1/42 | 745 | 710 |
| Plains All American Pipeline LP / PAA Finance Corp. | 4.300% | 1/31/43 | 990 | 846 |
| Plains All American Pipeline LP / PAA Finance Corp. | 4.700% | 6/15/44 | 1,905 | 1,737 |
| Plains All American Pipeline LP / PAA Finance Corp. | 4.900% | 2/15/45 | 1,275 | 1,195 |
| Sabine Pass Liquefaction LLC | 4.200% | 3/15/28 | 3,123 | 3,064 |
| Shell International Finance BV | 4.125% | 5/11/35 | 2,474 | 2,535 |
| Shell International Finance BV | 6.375% | 12/15/38 | 5,661 | 7,463 |
| Shell International Finance BV | 5.500% | 3/25/40 | 1,529 | 1,834 |
| Shell International Finance BV | 3.625% | 8/21/42 | 977 | 910 |
| Shell International Finance BV | 4.550% | 8/12/43 | 2,767 | 2,969 |
| Shell International Finance BV | 4.375% | 5/11/45 | 5,528 | 5,816 |
| Shell International Finance BV | 4.000% | 5/10/46 | 4,285 | 4,237 |
| Shell International Finance BV | 3.750% | 9/12/46 | 2,275 | 2,158 |
| Spectra Energy Partners LP | 5.950% | 9/25/43 | 741 | 863 |
| Spectra Energy Partners LP | 4.500% | 3/15/45 | 1,225 | 1,197 |
| Suncor Energy Inc. | 7.150% | 2/1/32 | 735 | 944 |
| Suncor Energy Inc. | 5.950% | 12/1/34 | 825 | 1,000 |
| Suncor Energy Inc. | 6.500% | 6/15/38 | 2,211 | 2,848 |
| Suncor Energy Inc. | 6.850% | 6/1/39 | 1,400 | 1,878 |
| Suncor Energy Inc. | 4.000% | 11/15/47 | 2,000 | 1,931 |
| Sunoco Logistics Partners Operations LP | 6.100% | 2/15/42 | 738 | 767 |
84
Vanguard® Long-Term Corporate Bond Index Fund
Schedule of Investments
February 28, 2018
| | | | |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Sunoco Logistics Partners Operations LP | 4.950% | 1/15/43 | 1,063 | 982 |
| Sunoco Logistics Partners Operations LP | 5.300% | 4/1/44 | 1,488 | 1,452 |
| Sunoco Logistics Partners Operations LP | 5.350% | 5/15/45 | 1,505 | 1,461 |
| Sunoco Logistics Partners Operations LP | 5.400% | 10/1/47 | 1,503 | 1,469 |
| Tennessee Gas Pipeline Co. LLC | 7.000% | 10/15/28 | 375 | 449 |
| Tennessee Gas Pipeline Co. LLC | 7.625% | 4/1/37 | 634 | 794 |
| Texas Eastern Transmission LP | 7.000% | 7/15/32 | 779 | 985 |
| Tosco Corp. | 8.125% | 2/15/30 | 573 | 785 |
| TransCanada PipeLines Ltd. | 4.625% | 3/1/34 | 1,888 | 2,000 |
| TransCanada PipeLines Ltd. | 5.600% | 3/31/34 | 448 | 517 |
| TransCanada PipeLines Ltd. | 5.850% | 3/15/36 | 275 | 329 |
| TransCanada PipeLines Ltd. | 6.200% | 10/15/37 | 905 | 1,128 |
| TransCanada PipeLines Ltd. | 7.250% | 8/15/38 | 1,792 | 2,452 |
| TransCanada PipeLines Ltd. | 7.625% | 1/15/39 | 2,475 | 3,524 |
| TransCanada PipeLines Ltd. | 6.100% | 6/1/40 | 2,408 | 2,994 |
| TransCanada PipeLines Ltd. | 5.000% | 10/16/43 | 1,225 | 1,358 |
| Transcontinental Gas Pipe Line Co. LLC | 5.400% | 8/15/41 | 635 | 706 |
| Transcontinental Gas Pipe Line Co. LLC | 4.450% | 8/1/42 | 335 | 333 |
| Valero Energy Corp. | 7.500% | 4/15/32 | 1,189 | 1,549 |
| Valero Energy Corp. | 6.625% | 6/15/37 | 2,971 | 3,714 |
| Valero Energy Corp. | 4.900% | 3/15/45 | 1,369 | 1,444 |
| Western Gas Partners LP | 4.500% | 3/1/28 | 200 | 201 |
| Western Gas Partners LP | 5.450% | 4/1/44 | 1,063 | 1,090 |
| Western Gas Partners LP | 5.300% | 3/1/48 | 1,400 | 1,407 |
| Williams Partners LP | 6.300% | 4/15/40 | 2,570 | 3,034 |
| Williams Partners LP | 5.800% | 11/15/43 | 1,041 | 1,169 |
| Williams Partners LP | 5.400% | 3/4/44 | 511 | 547 |
| Williams Partners LP | 4.900% | 1/15/45 | 1,076 | 1,084 |
| Williams Partners LP | 5.100% | 9/15/45 | 1,633 | 1,692 |
| Williams Partners LP | 4.850% | 3/1/48 | 1,000 | 997 |
| Other Industrial (0.5%) | | | | |
| California Institute of Technology GO | 4.321% | 8/1/45 | 605 | 650 |
| California Institute of Technology GO | 4.700% | 11/1/11 | 668 | 701 |
| 1 Johns Hopkins University Maryland GO | 4.083% | 7/1/53 | 610 | 605 |
| 1 Massachusetts Institute of Technology GO | 3.959% | 7/1/38 | 725 | 753 |
| Massachusetts Institute of Technology GO | 5.600% | 7/1/11 | 1,280 | 1,591 |
| Massachusetts Institute of Technology GO | 4.678% | 7/1/14 | 1,025 | 1,093 |
| Massachusetts Institute of Technology GO | 3.885% | 7/1/16 | 950 | 859 |
| 1 Northwestern University Illinois GO | 4.643% | 12/1/44 | 975 | 1,099 |
| 1 Northwestern University Illinois GO | 3.662% | 12/1/57 | 423 | 400 |
| President & Fellows of Harvard College Massachusetts | | | | |
| GO | 3.619% | 10/1/37 | 436 | 426 |
| President & Fellows of Harvard College Massachusetts | | | | |
| Revenue | 3.300% | 7/15/56 | 1,000 | 903 |
| 1 Rice University Texas GO | 3.574% | 5/15/45 | 920 | 892 |
| Stanford University California GO | 3.647% | 5/1/48 | 1,430 | 1,393 |
| University of Notre Dame du Lac Indiana GO | 3.394% | 2/15/48 | 800 | 746 |
| 1 University of Notre Dame du Lac Indiana GO | 3.438% | 2/15/45 | 875 | 814 |
| University of Pennsylvania GO | 4.674% | 9/1/12 | 450 | 470 |
| 1 University of Southern California GO | 3.028% | 10/1/39 | 1,547 | 1,387 |
| 1 University of Southern California GO | 3.841% | 10/1/47 | 200 | 198 |
| Technology (6.9%) | | | | |
| Analog Devices Inc. | 5.300% | 12/15/45 | 713 | 810 |
| Apple Inc. | 4.500% | 2/23/36 | 2,780 | 3,024 |
| Apple Inc. | 3.850% | 5/4/43 | 6,227 | 6,059 |
| Apple Inc. | 4.450% | 5/6/44 | 1,913 | 2,026 |
| Apple Inc. | 3.450% | 2/9/45 | 4,072 | 3,704 |
| Apple Inc. | 4.375% | 5/13/45 | 3,905 | 4,079 |
| Apple Inc. | 4.650% | 2/23/46 | 7,373 | 8,042 |
| Apple Inc. | 3.850% | 8/4/46 | 4,148 | 4,008 |
| Apple Inc. | 4.250% | 2/9/47 | 2,130 | 2,191 |
| Apple Inc. | 3.750% | 9/12/47 | 2,225 | 2,117 |
| Apple Inc. | 3.750% | 11/13/47 | 150 | 143 |
85
Vanguard® Long-Term Corporate Bond Index Fund
Schedule of Investments
February 28, 2018
| | | | |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Applied Materials Inc. | 5.100% | 10/1/35 | 773 | 892 |
| Applied Materials Inc. | 5.850% | 6/15/41 | 1,033 | 1,292 |
| Applied Materials Inc. | 4.350% | 4/1/47 | 1,940 | 2,006 |
| Cisco Systems Inc. | 5.900% | 2/15/39 | 3,422 | 4,459 |
| Cisco Systems Inc. | 5.500% | 1/15/40 | 4,039 | 5,031 |
| Corning Inc. | 5.750% | 8/15/40 | 791 | 913 |
| Corning Inc. | 4.750% | 3/15/42 | 281 | 297 |
| Corning Inc. | 4.375% | 11/15/57 | 2,000 | 1,872 |
| 2 Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 8.100% | 7/15/36 | 3,045 | 3,724 |
| 2 Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 8.350% | 7/15/46 | 3,741 | 4,736 |
| DXC Technology Co. | 7.450% | 10/15/29 | 475 | 574 |
| Fidelity National Information Services Inc. | 4.500% | 8/15/46 | 1,005 | 987 |
| Hewlett Packard Enterprise Co. | 6.200% | 10/15/35 | 1,237 | 1,322 |
| Hewlett Packard Enterprise Co. | 6.350% | 10/15/45 | 3,094 | 3,269 |
| HP Inc. | 6.000% | 9/15/41 | 2,247 | 2,388 |
| Intel Corp. | 4.000% | 12/15/32 | 896 | 930 |
| Intel Corp. | 4.800% | 10/1/41 | 779 | 879 |
| Intel Corp. | 4.100% | 5/19/46 | 2,607 | 2,661 |
| Intel Corp. | 4.100% | 5/11/47 | 1,795 | 1,834 |
| 2 Intel Corp. | 3.734% | 12/8/47 | 7,013 | 6,708 |
| International Business Machines Corp. | 5.875% | 11/29/32 | 1,545 | 1,935 |
| International Business Machines Corp. | 5.600% | 11/30/39 | 912 | 1,125 |
| International Business Machines Corp. | 4.000% | 6/20/42 | 2,206 | 2,212 |
| International Business Machines Corp. | 4.700% | 2/19/46 | 1,713 | 1,923 |
| Juniper Networks Inc. | 5.950% | 3/15/41 | 793 | 823 |
| Microsoft Corp. | 3.500% | 2/12/35 | 3,357 | 3,297 |
| Microsoft Corp. | 4.200% | 11/3/35 | 1,718 | 1,828 |
| Microsoft Corp. | 3.450% | 8/8/36 | 3,980 | 3,852 |
| Microsoft Corp. | 4.100% | 2/6/37 | 5,529 | 5,811 |
| Microsoft Corp. | 5.200% | 6/1/39 | 815 | 975 |
| Microsoft Corp. | 4.500% | 10/1/40 | 1,996 | 2,193 |
| Microsoft Corp. | 5.300% | 2/8/41 | 1,354 | 1,642 |
| Microsoft Corp. | 3.500% | 11/15/42 | 1,818 | 1,722 |
| Microsoft Corp. | 3.750% | 5/1/43 | 1,427 | 1,401 |
| Microsoft Corp. | 4.875% | 12/15/43 | 988 | 1,138 |
| Microsoft Corp. | 3.750% | 2/12/45 | 3,365 | 3,308 |
| Microsoft Corp. | 4.450% | 11/3/45 | 5,100 | 5,580 |
| Microsoft Corp. | 3.700% | 8/8/46 | 8,671 | 8,431 |
| Microsoft Corp. | 4.250% | 2/6/47 | 5,525 | 5,897 |
| Microsoft Corp. | 4.000% | 2/12/55 | 4,429 | 4,419 |
| Microsoft Corp. | 4.750% | 11/3/55 | 1,918 | 2,180 |
| Microsoft Corp. | 3.950% | 8/8/56 | 4,107 | 4,066 |
| Microsoft Corp. | 4.500% | 2/6/57 | 3,750 | 4,094 |
| Motorola Solutions Inc. | 5.500% | 9/1/44 | 750 | 749 |
| Oracle Corp. | 3.250% | 5/15/30 | 779 | 746 |
| Oracle Corp. | 4.300% | 7/8/34 | 3,417 | 3,597 |
| Oracle Corp. | 3.900% | 5/15/35 | 2,931 | 2,930 |
| Oracle Corp. | 3.850% | 7/15/36 | 1,690 | 1,685 |
| Oracle Corp. | 3.800% | 11/15/37 | 4,200 | 4,159 |
| Oracle Corp. | 6.500% | 4/15/38 | 2,039 | 2,752 |
| Oracle Corp. | 6.125% | 7/8/39 | 1,840 | 2,400 |
| Oracle Corp. | 5.375% | 7/15/40 | 4,403 | 5,291 |
| Oracle Corp. | 4.500% | 7/8/44 | 2,065 | 2,218 |
| Oracle Corp. | 4.125% | 5/15/45 | 4,169 | 4,185 |
| Oracle Corp. | 4.000% | 7/15/46 | 5,315 | 5,234 |
| Oracle Corp. | 4.000% | 11/15/47 | 4,365 | 4,326 |
| Oracle Corp. | 4.375% | 5/15/55 | 1,695 | 1,763 |
| QUALCOMM Inc. | 4.650% | 5/20/35 | 1,918 | 1,954 |
| QUALCOMM Inc. | 4.800% | 5/20/45 | 2,619 | 2,610 |
| QUALCOMM Inc. | 4.300% | 5/20/47 | 2,790 | 2,600 |
| Seagate HDD Cayman | 5.750% | 12/1/34 | 975 | 924 |
| Tyco Electronics Group SA | 7.125% | 10/1/37 | 933 | 1,283 |
| Verisk Analytics Inc. | 5.500% | 6/15/45 | 713 | 779 |
| Xerox Corp. | 6.750% | 12/15/39 | 702 | 747 |
86
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Transportation (3.6%) | | | | |
| 1 American Airlines 2016-2 Class A Pass Through Trust | 3.650% | 6/15/28 | 284 | 280 |
| 1 American Airlines 2016-2 Class AA Pass Through Trust | 3.200% | 12/15/29 | 1,090 | 1,048 |
| 1 American Airlines 2016-3 Class A Pass Through Trust | 3.250% | 4/15/30 | 267 | 255 |
| 1 American Airlines 2016-3 Class AA Pass Through Trust | 3.000% | 10/15/28 | 924 | 876 |
| 1 American Airlines 2017-1 Class AA Pass Through Trust | 3.650% | 8/15/30 | 577 | 570 |
| 1 American Airlines 2017-2 Class AA Pass Through Trust | 3.350% | 10/15/29 | 1,100 | 1,066 |
| Burlington Northern Santa Fe LLC | 6.200% | 8/15/36 | 348 | 439 |
| Burlington Northern Santa Fe LLC | 5.750% | 5/1/40 | 1,332 | 1,635 |
| Burlington Northern Santa Fe LLC | 5.050% | 3/1/41 | 979 | 1,109 |
| Burlington Northern Santa Fe LLC | 5.400% | 6/1/41 | 1,023 | 1,211 |
| Burlington Northern Santa Fe LLC | 4.950% | 9/15/41 | 313 | 351 |
| Burlington Northern Santa Fe LLC | 4.400% | 3/15/42 | 1,578 | 1,650 |
| Burlington Northern Santa Fe LLC | 4.375% | 9/1/42 | 1,309 | 1,369 |
| Burlington Northern Santa Fe LLC | 4.450% | 3/15/43 | 2,976 | 3,138 |
| Burlington Northern Santa Fe LLC | 5.150% | 9/1/43 | 1,149 | 1,321 |
| Burlington Northern Santa Fe LLC | 4.900% | 4/1/44 | 2,169 | 2,432 |
| Burlington Northern Santa Fe LLC | 4.550% | 9/1/44 | 2,475 | 2,645 |
| Burlington Northern Santa Fe LLC | 4.150% | 4/1/45 | 987 | 997 |
| Burlington Northern Santa Fe LLC | 4.700% | 9/1/45 | 1,223 | 1,337 |
| Burlington Northern Santa Fe LLC | 3.900% | 8/1/46 | 950 | 930 |
| Burlington Northern Santa Fe LLC | 4.125% | 6/15/47 | 1,480 | 1,497 |
| Burlington Northern Santa Fe LLC | 4.050% | 6/15/48 | 1,300 | 1,305 |
| Canadian National Railway Co. | 6.900% | 7/15/28 | 847 | 1,078 |
| Canadian National Railway Co. | 6.250% | 8/1/34 | 963 | 1,257 |
| Canadian National Railway Co. | 6.200% | 6/1/36 | 680 | 878 |
| Canadian National Railway Co. | 6.375% | 11/15/37 | 610 | 809 |
| Canadian National Railway Co. | 4.500% | 11/7/43 | 200 | 216 |
| Canadian National Railway Co. | 3.200% | 8/2/46 | 560 | 499 |
| Canadian National Railway Co. | 3.650% | 2/3/48 | 1,300 | 1,246 |
| Canadian Pacific Railway Co. | 7.125% | 10/15/31 | 1,279 | 1,688 |
| Canadian Pacific Railway Co. | 5.750% | 3/15/33 | 170 | 194 |
| Canadian Pacific Railway Co. | 4.800% | 9/15/35 | 418 | 459 |
| Canadian Pacific Railway Co. | 5.950% | 5/15/37 | 410 | 508 |
| Canadian Pacific Railway Co. | 5.750% | 1/15/42 | 315 | 383 |
| Canadian Pacific Railway Co. | 4.800% | 8/1/45 | 175 | 195 |
| Canadian Pacific Railway Co. | 6.125% | 9/15/15 | 1,755 | 2,157 |
| CSX Corp. | 3.800% | 3/1/28 | 750 | 747 |
| CSX Corp. | 6.000% | 10/1/36 | 608 | 735 |
| CSX Corp. | 6.150% | 5/1/37 | 988 | 1,215 |
| CSX Corp. | 6.220% | 4/30/40 | 1,285 | 1,595 |
| CSX Corp. | 5.500% | 4/15/41 | 791 | 911 |
| CSX Corp. | 4.750% | 5/30/42 | 1,015 | 1,064 |
| CSX Corp. | 4.400% | 3/1/43 | 500 | 502 |
| CSX Corp. | 4.100% | 3/15/44 | 2,112 | 2,027 |
| CSX Corp. | 3.800% | 11/1/46 | 1,676 | 1,531 |
| CSX Corp. | 4.300% | 3/1/48 | 1,500 | 1,483 |
| CSX Corp. | 3.950% | 5/1/50 | 1,350 | 1,240 |
| CSX Corp. | 4.500% | 8/1/54 | 876 | 857 |
| CSX Corp. | 4.250% | 11/1/66 | 1,355 | 1,237 |
| CSX Corp. | 4.650% | 3/1/68 | 700 | 686 |
| FedEx Corp. | 4.900% | 1/15/34 | 1,468 | 1,572 |
| FedEx Corp. | 3.900% | 2/1/35 | 857 | 822 |
| FedEx Corp. | 3.875% | 8/1/42 | 349 | 324 |
| FedEx Corp. | 4.100% | 4/15/43 | 663 | 632 |
| FedEx Corp. | 5.100% | 1/15/44 | 2,061 | 2,243 |
| FedEx Corp. | 4.100% | 2/1/45 | 993 | 936 |
| FedEx Corp. | 4.750% | 11/15/45 | 1,490 | 1,547 |
| FedEx Corp. | 4.550% | 4/1/46 | 1,660 | 1,677 |
| FedEx Corp. | 4.400% | 1/15/47 | 2,120 | 2,096 |
| FedEx Corp. | 4.050% | 2/15/48 | 2,000 | 1,882 |
| FedEx Corp. | 4.500% | 2/1/65 | 384 | 363 |
| Kansas City Southern | 4.300% | 5/15/43 | 920 | 898 |
87
Vanguard® Long-Term Corporate Bond Index Fund
Schedule of Investments
February 28, 2018
| | | | |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Kansas City Southern | 4.950% | 8/15/45 | 1,123 | 1,198 |
| Kirby Corp. | 4.200% | 3/1/28 | 950 | 945 |
| Norfolk Southern Corp. | 7.050% | 5/1/37 | 255 | 362 |
| Norfolk Southern Corp. | 4.837% | 10/1/41 | 1,241 | 1,357 |
| Norfolk Southern Corp. | 3.950% | 10/1/42 | 980 | 944 |
| Norfolk Southern Corp. | 4.450% | 6/15/45 | 1,292 | 1,334 |
| Norfolk Southern Corp. | 4.650% | 1/15/46 | 1,135 | 1,212 |
| Norfolk Southern Corp. | 4.150% | 2/28/48 | 1,200 | 1,187 |
| 2 Norfolk Southern Corp. | 4.050% | 8/15/52 | 1,470 | 1,408 |
| 1 Spirit Airlines Class A Pass Through Certificates Series | | | | |
| 2015-1 | 4.100% | 10/1/29 | 569 | 578 |
| Union Pacific Corp. | 3.375% | 2/1/35 | 396 | 375 |
| Union Pacific Corp. | 3.600% | 9/15/37 | 2,480 | 2,396 |
| Union Pacific Corp. | 4.750% | 9/15/41 | 100 | 109 |
| Union Pacific Corp. | 4.300% | 6/15/42 | 556 | 578 |
| Union Pacific Corp. | 4.250% | 4/15/43 | 1,072 | 1,108 |
| Union Pacific Corp. | 4.821% | 2/1/44 | 625 | 697 |
| Union Pacific Corp. | 4.150% | 1/15/45 | 325 | 332 |
| Union Pacific Corp. | 4.050% | 11/15/45 | 926 | 933 |
| Union Pacific Corp. | 3.350% | 8/15/46 | 382 | 343 |
| Union Pacific Corp. | 4.000% | 4/15/47 | 1,676 | 1,683 |
| Union Pacific Corp. | 3.799% | 10/1/51 | 1,968 | 1,891 |
| Union Pacific Corp. | 3.875% | 2/1/55 | 903 | 851 |
| Union Pacific Corp. | 4.375% | 11/15/65 | 1,180 | 1,193 |
| Union Pacific Corp. | 4.100% | 9/15/67 | 980 | 939 |
| 1 United Airlines 2016-1 Class A Pass Through Trust | 3.450% | 1/7/30 | 438 | 427 |
| 1 United Airlines 2016-1 Class AA Pass Through Trust | 3.100% | 7/7/28 | 1,217 | 1,174 |
| 1 United Airlines 2016-2 Class A Pass Through Trust | 3.100% | 10/7/28 | 475 | 454 |
| 1 United Airlines 2016-2 Class AA Pass Through Trust | 2.875% | 10/7/28 | 850 | 802 |
| 1 United Airlines 2018-1 Class AA Pass Through Trust | 3.500% | 3/1/30 | 1,800 | 1,773 |
| United Parcel Service Inc. | 6.200% | 1/15/38 | 2,587 | 3,345 |
| United Parcel Service Inc. | 4.875% | 11/15/40 | 728 | 815 |
| United Parcel Service Inc. | 3.625% | 10/1/42 | 653 | 616 |
| United Parcel Service Inc. | 3.400% | 11/15/46 | 309 | 277 |
| United Parcel Service Inc. | 3.750% | 11/15/47 | 3,200 | 3,065 |
| United Parcel Service of America Inc. | 8.375% | 4/1/30 | 325 | 447 |
| | | | | 2,068,059 |
| Utilities (11.9%) | | | | |
| Electric (10.7%) | | | | |
| AEP Texas Inc. | 3.800% | 10/1/47 | 600 | 576 |
| AEP Transmission Co. LLC | 4.000% | 12/1/46 | 800 | 800 |
| 2 AEP Transmission Co. LLC | 3.750% | 12/1/47 | 758 | 726 |
| Alabama Power Co. | 6.125% | 5/15/38 | 790 | 998 |
| Alabama Power Co. | 6.000% | 3/1/39 | 600 | 751 |
| Alabama Power Co. | 3.850% | 12/1/42 | 395 | 388 |
| Alabama Power Co. | 4.150% | 8/15/44 | 1,033 | 1,056 |
| Alabama Power Co. | 3.750% | 3/1/45 | 750 | 725 |
| Alabama Power Co. | 4.300% | 1/2/46 | 1,435 | 1,514 |
| Alabama Power Co. | 3.700% | 12/1/47 | 940 | 894 |
| Ameren Illinois Co. | 4.150% | 3/15/46 | 996 | 1,036 |
| Ameren Illinois Co. | 3.700% | 12/1/47 | 1,325 | 1,277 |
| Appalachian Power Co. | 7.000% | 4/1/38 | 883 | 1,206 |
| Appalachian Power Co. | 4.400% | 5/15/44 | 497 | 520 |
| Appalachian Power Co. | 4.450% | 6/1/45 | 700 | 736 |
| Arizona Public Service Co. | 5.050% | 9/1/41 | 530 | 603 |
| Arizona Public Service Co. | 4.500% | 4/1/42 | 956 | 1,020 |
| Arizona Public Service Co. | 4.350% | 11/15/45 | 758 | 800 |
| Arizona Public Service Co. | 3.750% | 5/15/46 | 650 | 625 |
| Baltimore Gas & Electric Co. | 6.350% | 10/1/36 | 698 | 894 |
| Baltimore Gas & Electric Co. | 3.500% | 8/15/46 | 975 | 897 |
| Baltimore Gas & Electric Co. | 3.750% | 8/15/47 | 625 | 600 |
| 2 Berkshire Hathaway Energy Co. | 3.250% | 4/15/28 | 2,000 | 1,925 |
| Berkshire Hathaway Energy Co. | 6.125% | 4/1/36 | 3,726 | 4,745 |
88
Vanguard® Long-Term Corporate Bond Index Fund
Schedule of Investments
February 28, 2018
| | | | |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Berkshire Hathaway Energy Co. | 5.950% | 5/15/37 | 1,721 | 2,141 |
| Berkshire Hathaway Energy Co. | 5.150% | 11/15/43 | 1,938 | 2,227 |
| Berkshire Hathaway Energy Co. | 4.500% | 2/1/45 | 760 | 803 |
| 2 Berkshire Hathaway Energy Co. | 3.800% | 7/15/48 | 850 | 804 |
| Black Hills Corp. | 4.200% | 9/15/46 | 589 | 582 |
| CenterPoint Energy Houston Electric LLC | 6.950% | 3/15/33 | 450 | 597 |
| CenterPoint Energy Houston Electric LLC | 3.550% | 8/1/42 | 880 | 822 |
| CenterPoint Energy Houston Electric LLC | 4.500% | 4/1/44 | 1,359 | 1,484 |
| CenterPoint Energy Houston Electric LLC | 3.950% | 3/1/48 | 700 | 702 |
| Cleco Corporate Holdings LLC | 4.973% | 5/1/46 | 625 | 632 |
| Cleveland Electric Illuminating Co. | 5.950% | 12/15/36 | 605 | 726 |
| CMS Energy Corp. | 4.875% | 3/1/44 | 439 | 481 |
| Commonwealth Edison Co. | 5.900% | 3/15/36 | 1,167 | 1,450 |
| Commonwealth Edison Co. | 6.450% | 1/15/38 | 883 | 1,172 |
| Commonwealth Edison Co. | 3.800% | 10/1/42 | 213 | 205 |
| Commonwealth Edison Co. | 4.600% | 8/15/43 | 338 | 368 |
| Commonwealth Edison Co. | 4.700% | 1/15/44 | 695 | 768 |
| Commonwealth Edison Co. | 3.700% | 3/1/45 | 1,145 | 1,094 |
| Commonwealth Edison Co. | 4.350% | 11/15/45 | 909 | 957 |
| Commonwealth Edison Co. | 3.650% | 6/15/46 | 1,380 | 1,305 |
| Commonwealth Edison Co. | 3.750% | 8/15/47 | 1,325 | 1,272 |
| Commonwealth Edison Co. | 4.000% | 3/1/48 | 750 | 753 |
| Connecticut Light & Power Co. | 4.300% | 4/15/44 | 848 | 892 |
| Connecticut Light & Power Co. | 4.150% | 6/1/45 | 527 | 543 |
| Consolidated Edison Co. of New York Inc. | 5.300% | 3/1/35 | 784 | 903 |
| Consolidated Edison Co. of New York Inc. | 5.850% | 3/15/36 | 823 | 1,010 |
| Consolidated Edison Co. of New York Inc. | 6.200% | 6/15/36 | 389 | 496 |
| Consolidated Edison Co. of New York Inc. | 6.300% | 8/15/37 | 1,390 | 1,802 |
| Consolidated Edison Co. of New York Inc. | 6.750% | 4/1/38 | 618 | 850 |
| Consolidated Edison Co. of New York Inc. | 5.500% | 12/1/39 | 690 | 831 |
| Consolidated Edison Co. of New York Inc. | 5.700% | 6/15/40 | 840 | 1,041 |
| Consolidated Edison Co. of New York Inc. | 4.200% | 3/15/42 | 649 | 665 |
| Consolidated Edison Co. of New York Inc. | 3.950% | 3/1/43 | 417 | 411 |
| Consolidated Edison Co. of New York Inc. | 4.450% | 3/15/44 | 2,050 | 2,184 |
| Consolidated Edison Co. of New York Inc. | 4.500% | 12/1/45 | 1,343 | 1,446 |
| Consolidated Edison Co. of New York Inc. | 3.850% | 6/15/46 | 1,968 | 1,914 |
| Consolidated Edison Co. of New York Inc. | 3.875% | 6/15/47 | 1,796 | 1,751 |
| Consolidated Edison Co. of New York Inc. | 4.625% | 12/1/54 | 710 | 763 |
| Consolidated Edison Co. of New York Inc. | 4.300% | 12/1/56 | 768 | 784 |
| Consolidated Edison Co. of New York Inc. | 4.000% | 11/15/57 | 675 | 654 |
| Consumers Energy Co. | 3.950% | 5/15/43 | 745 | 752 |
| Consumers Energy Co. | 3.250% | 8/15/46 | 894 | 797 |
| Consumers Energy Co. | 3.950% | 7/15/47 | 713 | 718 |
| Delmarva Power & Light Co. | 4.150% | 5/15/45 | 738 | 755 |
| Dominion Energy Inc. | 6.300% | 3/15/33 | 270 | 329 |
| Dominion Energy Inc. | 5.250% | 8/1/33 | 512 | 566 |
| Dominion Energy Inc. | 5.950% | 6/15/35 | 1,955 | 2,334 |
| Dominion Energy Inc. | 7.000% | 6/15/38 | 486 | 638 |
| Dominion Energy Inc. | 4.900% | 8/1/41 | 1,310 | 1,410 |
| Dominion Energy Inc. | 4.050% | 9/15/42 | 805 | 770 |
| Dominion Energy Inc. | 4.700% | 12/1/44 | 1,004 | 1,057 |
| DTE Electric Co. | 4.000% | 4/1/43 | 725 | 725 |
| DTE Electric Co. | 4.300% | 7/1/44 | 861 | 901 |
| DTE Electric Co. | 3.700% | 3/15/45 | 1,053 | 1,011 |
| DTE Electric Co. | 3.700% | 6/1/46 | 223 | 212 |
| DTE Electric Co. | 3.750% | 8/15/47 | 863 | 837 |
| DTE Energy Co. | 6.375% | 4/15/33 | 820 | 1,017 |
| Duke Energy Carolinas LLC | 6.000% | 12/1/28 | 435 | 517 |
| Duke Energy Carolinas LLC | 6.450% | 10/15/32 | 508 | 643 |
| Duke Energy Carolinas LLC | 6.100% | 6/1/37 | 1,195 | 1,485 |
| Duke Energy Carolinas LLC | 6.000% | 1/15/38 | 730 | 922 |
| Duke Energy Carolinas LLC | 6.050% | 4/15/38 | 1,041 | 1,322 |
| Duke Energy Carolinas LLC | 5.300% | 2/15/40 | 1,080 | 1,278 |
| Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 803 | 828 |
89
Vanguard® Long-Term Corporate Bond Index Fund
Schedule of Investments
February 28, 2018
| | | | |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Duke Energy Carolinas LLC | 4.000% | 9/30/42 | 885 | 883 |
| Duke Energy Carolinas LLC | 3.750% | 6/1/45 | 980 | 924 |
| Duke Energy Carolinas LLC | 3.875% | 3/15/46 | 570 | 558 |
| Duke Energy Carolinas LLC | 3.700% | 12/1/47 | 1,000 | 950 |
| Duke Energy Carolinas LLC | 3.950% | 3/15/48 | 1,000 | 992 |
| Duke Energy Corp. | 4.800% | 12/15/45 | 1,050 | 1,138 |
| Duke Energy Corp. | 3.750% | 9/1/46 | 4,485 | 4,074 |
| Duke Energy Corp. | 3.950% | 8/15/47 | 395 | 371 |
| Duke Energy Florida LLC | 6.350% | 9/15/37 | 975 | 1,278 |
| Duke Energy Florida LLC | 6.400% | 6/15/38 | 1,251 | 1,686 |
| Duke Energy Florida LLC | 5.650% | 4/1/40 | 275 | 341 |
| Duke Energy Florida LLC | 3.850% | 11/15/42 | 75 | 73 |
| Duke Energy Florida LLC | 3.400% | 10/1/46 | 1,198 | 1,078 |
| 1 Duke Energy Florida Project Finance LLC | 2.538% | 9/1/29 | 1,200 | 1,122 |
| 1 Duke Energy Florida Project Finance LLC | 2.858% | 3/1/33 | 300 | 268 |
| 1 Duke Energy Florida Project Finance LLC | 3.112% | 9/1/36 | 225 | 205 |
| Duke Energy Indiana LLC | 6.120% | 10/15/35 | 683 | 849 |
| Duke Energy Indiana LLC | 6.350% | 8/15/38 | 1,011 | 1,334 |
| Duke Energy Indiana LLC | 6.450% | 4/1/39 | 618 | 824 |
| Duke Energy Indiana LLC | 4.900% | 7/15/43 | 615 | 692 |
| Duke Energy Indiana LLC | 3.750% | 5/15/46 | 1,300 | 1,237 |
| Duke Energy Ohio Inc. | 3.700% | 6/15/46 | 645 | 618 |
| Duke Energy Progress LLC | 6.300% | 4/1/38 | 313 | 411 |
| Duke Energy Progress LLC | 4.100% | 5/15/42 | 993 | 1,006 |
| Duke Energy Progress LLC | 4.100% | 3/15/43 | 1,235 | 1,258 |
| Duke Energy Progress LLC | 4.375% | 3/30/44 | 795 | 843 |
| Duke Energy Progress LLC | 4.150% | 12/1/44 | 1,005 | 1,028 |
| Duke Energy Progress LLC | 4.200% | 8/15/45 | 700 | 722 |
| Duke Energy Progress LLC | 3.700% | 10/15/46 | 1,915 | 1,823 |
| Duke Energy Progress LLC | 3.600% | 9/15/47 | 1,000 | 932 |
| El Paso Electric Co. | 6.000% | 5/15/35 | 584 | 673 |
| El Paso Electric Co. | 5.000% | 12/1/44 | 663 | 678 |
| Emera US Finance LP | 4.750% | 6/15/46 | 2,241 | 2,249 |
| Entergy Louisiana LLC | 3.250% | 4/1/28 | 248 | 240 |
| Entergy Louisiana LLC | 3.050% | 6/1/31 | 1,103 | 1,020 |
| Entergy Louisiana LLC | 4.950% | 1/15/45 | 573 | 582 |
| Entergy Mississippi Inc. | 2.850% | 6/1/28 | 1,193 | 1,111 |
| Exelon Corp. | 4.950% | 6/15/35 | 650 | 710 |
| Exelon Corp. | 5.625% | 6/15/35 | 996 | 1,170 |
| Exelon Corp. | 5.100% | 6/15/45 | 1,460 | 1,617 |
| Exelon Corp. | 4.450% | 4/15/46 | 1,241 | 1,263 |
| Exelon Generation Co. LLC | 6.250% | 10/1/39 | 1,422 | 1,594 |
| Exelon Generation Co. LLC | 5.750% | 10/1/41 | 535 | 568 |
| Exelon Generation Co. LLC | 5.600% | 6/15/42 | 1,697 | 1,770 |
| FirstEnergy Corp. | 7.375% | 11/15/31 | 2,889 | 3,792 |
| FirstEnergy Corp. | 4.850% | 7/15/47 | 1,775 | 1,866 |
| Florida Power & Light Co. | 5.625% | 4/1/34 | 550 | 658 |
| Florida Power & Light Co. | 4.950% | 6/1/35 | 135 | 151 |
| Florida Power & Light Co. | 5.650% | 2/1/37 | 537 | 653 |
| Florida Power & Light Co. | 5.950% | 2/1/38 | 1,055 | 1,342 |
| Florida Power & Light Co. | 5.960% | 4/1/39 | 1,555 | 1,988 |
| Florida Power & Light Co. | 5.690% | 3/1/40 | 946 | 1,181 |
| Florida Power & Light Co. | 5.250% | 2/1/41 | 668 | 792 |
| Florida Power & Light Co. | 4.125% | 2/1/42 | 1,435 | 1,478 |
| Florida Power & Light Co. | 4.050% | 6/1/42 | 1,205 | 1,221 |
| Florida Power & Light Co. | 3.800% | 12/15/42 | 990 | 973 |
| Florida Power & Light Co. | 4.050% | 10/1/44 | 377 | 384 |
| Florida Power & Light Co. | 3.700% | 12/1/47 | 1,600 | 1,537 |
| Florida Power & Light Co. | 3.950% | 3/1/48 | 1,400 | 1,403 |
| Georgia Power Co. | 5.650% | 3/1/37 | 375 | 434 |
| Georgia Power Co. | 5.950% | 2/1/39 | 935 | 1,143 |
| Georgia Power Co. | 5.400% | 6/1/40 | 406 | 471 |
| Georgia Power Co. | 4.750% | 9/1/40 | 981 | 1,056 |
| Georgia Power Co. | 4.300% | 3/15/42 | 3,148 | 3,209 |
90
Vanguard® Long-Term Corporate Bond Index Fund
Schedule of Investments
February 28, 2018
| | | | |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Georgia Power Co. | 4.300% | 3/15/43 | 430 | 437 |
| Iberdrola International BV | 6.750% | 7/15/36 | 479 | 601 |
| Indiana Michigan Power Co. | 6.050% | 3/15/37 | 928 | 1,154 |
| Indiana Michigan Power Co. | 4.550% | 3/15/46 | 313 | 330 |
| Indiana Michigan Power Co. | 3.750% | 7/1/47 | 1,013 | 961 |
| Interstate Power & Light Co. | 6.250% | 7/15/39 | 540 | 688 |
| Interstate Power & Light Co. | 3.700% | 9/15/46 | 493 | 461 |
| ITC Holdings Corp. | 5.300% | 7/1/43 | 710 | 804 |
| 1 John Sevier Combined Cycle Generation LLC | 4.626% | 1/15/42 | 868 | 937 |
| Kansas City Power & Light Co. | 6.050% | 11/15/35 | 250 | 306 |
| Kansas City Power & Light Co. | 5.300% | 10/1/41 | 805 | 926 |
| Kansas City Power & Light Co. | 4.200% | 6/15/47 | 340 | 340 |
| Kansas City Power & Light Co. | 4.200% | 3/15/48 | 500 | 505 |
| Kentucky Utilities Co. | 5.125% | 11/1/40 | 1,472 | 1,704 |
| MidAmerican Energy Co. | 6.750% | 12/30/31 | 805 | 1,051 |
| MidAmerican Energy Co. | 5.750% | 11/1/35 | 623 | 758 |
| MidAmerican Energy Co. | 5.800% | 10/15/36 | 685 | 845 |
| MidAmerican Energy Co. | 4.800% | 9/15/43 | 661 | 745 |
| MidAmerican Energy Co. | 4.400% | 10/15/44 | 450 | 481 |
| MidAmerican Energy Co. | 4.250% | 5/1/46 | 1,626 | 1,699 |
| MidAmerican Energy Co. | 3.950% | 8/1/47 | 375 | 376 |
| MidAmerican Energy Co. | 3.650% | 8/1/48 | 1,000 | 946 |
| Mississippi Power Co. | 4.250% | 3/15/42 | 906 | 838 |
| National Rural Utilities Cooperative Finance Corp. | 8.000% | 3/1/32 | 948 | 1,333 |
| National Rural Utilities Cooperative Finance Corp. | 4.023% | 11/1/32 | 1,167 | 1,186 |
| Nevada Power Co. | 6.650% | 4/1/36 | 913 | 1,207 |
| Nevada Power Co. | 6.750% | 7/1/37 | 636 | 857 |
| Northern States Power Co. | 6.250% | 6/1/36 | 260 | 336 |
| Northern States Power Co. | 6.200% | 7/1/37 | 361 | 466 |
| Northern States Power Co. | 5.350% | 11/1/39 | 455 | 543 |
| Northern States Power Co. | 3.400% | 8/15/42 | 880 | 808 |
| Northern States Power Co. | 4.125% | 5/15/44 | 963 | 987 |
| Northern States Power Co. | 4.000% | 8/15/45 | 450 | 452 |
| Northern States Power Co. | 3.600% | 5/15/46 | 770 | 727 |
| Northern States Power Co. | 3.600% | 9/15/47 | 813 | 770 |
| NorthWestern Corp. | 4.176% | 11/15/44 | 689 | 699 |
| NSTAR Electric Co. | 5.500% | 3/15/40 | 773 | 931 |
| NSTAR Electric Co. | 4.400% | 3/1/44 | 265 | 283 |
| Oglethorpe Power Corp. | 5.950% | 11/1/39 | 180 | 217 |
| Oglethorpe Power Corp. | 5.375% | 11/1/40 | 951 | 1,069 |
| Oglethorpe Power Corp. | 5.250% | 9/1/50 | 548 | 591 |
| Ohio Edison Co. | 6.875% | 7/15/36 | 983 | 1,289 |
| Oklahoma Gas & Electric Co. | 4.150% | 4/1/47 | 525 | 542 |
| Oklahoma Gas & Electric Co. | 3.850% | 8/15/47 | 675 | 668 |
| Oncor Electric Delivery Co. LLC | 7.000% | 5/1/32 | 839 | 1,110 |
| Oncor Electric Delivery Co. LLC | 7.250% | 1/15/33 | 638 | 869 |
| Oncor Electric Delivery Co. LLC | 7.500% | 9/1/38 | 600 | 860 |
| Oncor Electric Delivery Co. LLC | 5.250% | 9/30/40 | 930 | 1,098 |
| Oncor Electric Delivery Co. LLC | 4.550% | 12/1/41 | 790 | 857 |
| Oncor Electric Delivery Co. LLC | 5.300% | 6/1/42 | 686 | 818 |
| Oncor Electric Delivery Co. LLC | 3.750% | 4/1/45 | 1,085 | 1,040 |
| 2 Oncor Electric Delivery Co. LLC | 3.800% | 9/30/47 | 820 | 791 |
| Pacific Gas & Electric Co. | 6.050% | 3/1/34 | 6,584 | 7,688 |
| Pacific Gas & Electric Co. | 5.800% | 3/1/37 | 1,675 | 1,940 |
| Pacific Gas & Electric Co. | 6.350% | 2/15/38 | 758 | 940 |
| Pacific Gas & Electric Co. | 6.250% | 3/1/39 | 1,079 | 1,305 |
| Pacific Gas & Electric Co. | 5.400% | 1/15/40 | 1,710 | 1,897 |
| Pacific Gas & Electric Co. | 4.450% | 4/15/42 | 788 | 781 |
| Pacific Gas & Electric Co. | 3.750% | 8/15/42 | 405 | 358 |
| Pacific Gas & Electric Co. | 4.600% | 6/15/43 | 974 | 977 |
| Pacific Gas & Electric Co. | 5.125% | 11/15/43 | 226 | 243 |
| Pacific Gas & Electric Co. | 4.750% | 2/15/44 | 1,253 | 1,271 |
| Pacific Gas & Electric Co. | 4.300% | 3/15/45 | 984 | 939 |
| Pacific Gas & Electric Co. | 4.250% | 3/15/46 | 858 | 816 |
91
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Pacific Gas & Electric Co. | 4.000% | 12/1/46 | 1,128 | 1,040 |
| 2 Pacific Gas & Electric Co. | 3.950% | 12/1/47 | 1,700 | 1,530 |
| PacifiCorp | 7.700% | 11/15/31 | 600 | 837 |
| PacifiCorp | 5.250% | 6/15/35 | 585 | 675 |
| PacifiCorp | 6.100% | 8/1/36 | 690 | 876 |
| PacifiCorp | 5.750% | 4/1/37 | 1,179 | 1,454 |
| PacifiCorp | 6.250% | 10/15/37 | 1,190 | 1,544 |
| PacifiCorp | 6.350% | 7/15/38 | 255 | 336 |
| PacifiCorp | 6.000% | 1/15/39 | 903 | 1,155 |
| PacifiCorp | 4.100% | 2/1/42 | 680 | 693 |
| PECO Energy Co. | 5.950% | 10/1/36 | 533 | 668 |
| PECO Energy Co. | 4.150% | 10/1/44 | 445 | 456 |
| PECO Energy Co. | 3.700% | 9/15/47 | 450 | 430 |
| Potomac Electric Power Co. | 6.500% | 11/15/37 | 1,005 | 1,334 |
| Potomac Electric Power Co. | 4.150% | 3/15/43 | 1,190 | 1,223 |
| PPL Capital Funding Inc. | 4.700% | 6/1/43 | 598 | 632 |
| PPL Capital Funding Inc. | 5.000% | 3/15/44 | 800 | 868 |
| PPL Capital Funding Inc. | 4.000% | 9/15/47 | 775 | 741 |
| PPL Electric Utilities Corp. | 6.250% | 5/15/39 | 1,025 | 1,354 |
| PPL Electric Utilities Corp. | 4.750% | 7/15/43 | 290 | 321 |
| PPL Electric Utilities Corp. | 4.125% | 6/15/44 | 840 | 860 |
| PPL Electric Utilities Corp. | 4.150% | 10/1/45 | 350 | 360 |
| PPL Electric Utilities Corp. | 3.950% | 6/1/47 | 1,041 | 1,042 |
| Progress Energy Inc. | 7.750% | 3/1/31 | 1,280 | 1,738 |
| Progress Energy Inc. | 7.000% | 10/30/31 | 933 | 1,206 |
| Progress Energy Inc. | 6.000% | 12/1/39 | 1,190 | 1,476 |
| PSEG Power LLC | 8.625% | 4/15/31 | 1,065 | 1,374 |
| Public Service Co. of Colorado | 6.250% | 9/1/37 | 585 | 758 |
| Public Service Co. of Colorado | 6.500% | 8/1/38 | 230 | 307 |
| Public Service Co. of Colorado | 3.600% | 9/15/42 | 1,120 | 1,053 |
| Public Service Co. of Colorado | 4.300% | 3/15/44 | 963 | 1,012 |
| Public Service Co. of Colorado | 3.800% | 6/15/47 | 588 | 573 |
| Public Service Electric & Gas Co. | 5.800% | 5/1/37 | 453 | 561 |
| Public Service Electric & Gas Co. | 5.500% | 3/1/40 | 118 | 143 |
| Public Service Electric & Gas Co. | 3.950% | 5/1/42 | 945 | 951 |
| Public Service Electric & Gas Co. | 3.650% | 9/1/42 | 1,405 | 1,350 |
| Public Service Electric & Gas Co. | 3.800% | 1/1/43 | 685 | 673 |
| Public Service Electric & Gas Co. | 3.800% | 3/1/46 | 1,101 | 1,080 |
| Public Service Electric & Gas Co. | 3.600% | 12/1/47 | 220 | 207 |
| Puget Sound Energy Inc. | 6.274% | 3/15/37 | 601 | 777 |
| Puget Sound Energy Inc. | 5.757% | 10/1/39 | 610 | 752 |
| Puget Sound Energy Inc. | 5.795% | 3/15/40 | 477 | 597 |
| Puget Sound Energy Inc. | 5.638% | 4/15/41 | 428 | 526 |
| Puget Sound Energy Inc. | 4.300% | 5/20/45 | 1,371 | 1,436 |
| San Diego Gas & Electric Co. | 6.000% | 6/1/39 | 704 | 903 |
| San Diego Gas & Electric Co. | 4.500% | 8/15/40 | 791 | 855 |
| San Diego Gas & Electric Co. | 3.750% | 6/1/47 | 690 | 669 |
| South Carolina Electric & Gas Co. | 6.625% | 2/1/32 | 1,050 | 1,294 |
| South Carolina Electric & Gas Co. | 5.300% | 5/15/33 | 605 | 662 |
| South Carolina Electric & Gas Co. | 6.050% | 1/15/38 | 740 | 880 |
| South Carolina Electric & Gas Co. | 5.450% | 2/1/41 | 461 | 517 |
| South Carolina Electric & Gas Co. | 4.350% | 2/1/42 | 1,011 | 1,002 |
| South Carolina Electric & Gas Co. | 4.600% | 6/15/43 | 356 | 364 |
| South Carolina Electric & Gas Co. | 4.100% | 6/15/46 | 848 | 808 |
| South Carolina Electric & Gas Co. | 4.500% | 6/1/64 | 874 | 825 |
| South Carolina Electric & Gas Co. | 5.100% | 6/1/65 | 1,000 | 1,052 |
| Southern California Edison Co. | 6.650% | 4/1/29 | 213 | 258 |
| Southern California Edison Co. | 6.000% | 1/15/34 | 598 | 737 |
| Southern California Edison Co. | 5.750% | 4/1/35 | 277 | 336 |
| Southern California Edison Co. | 5.350% | 7/15/35 | 681 | 795 |
| Southern California Edison Co. | 5.550% | 1/15/36 | 220 | 259 |
| Southern California Edison Co. | 5.625% | 2/1/36 | 1,540 | 1,840 |
| Southern California Edison Co. | 5.550% | 1/15/37 | 800 | 954 |
| Southern California Edison Co. | 5.950% | 2/1/38 | 1,032 | 1,295 |
92
Vanguard® Long-Term Corporate Bond Index Fund
Schedule of Investments
February 28, 2018
| | | | |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| Southern California Edison Co. | 6.050% | 3/15/39 | 1,035 | 1,316 |
| Southern California Edison Co. | 5.500% | 3/15/40 | 570 | 689 |
| Southern California Edison Co. | 4.500% | 9/1/40 | 621 | 663 |
| Southern California Edison Co. | 4.050% | 3/15/42 | 2,095 | 2,107 |
| Southern California Edison Co. | 3.900% | 3/15/43 | 320 | 315 |
| Southern California Edison Co. | 4.650% | 10/1/43 | 1,316 | 1,443 |
| Southern California Edison Co. | 3.600% | 2/1/45 | 564 | 528 |
| Southern California Edison Co. | 4.000% | 4/1/47 | 1,965 | 1,958 |
| 4 Southern California Edison Co. | 4.125% | 3/1/48 | 1,000 | 998 |
| Southern Co. | 4.250% | 7/1/36 | 711 | 714 |
| Southern Co. | 4.400% | 7/1/46 | 3,700 | 3,708 |
| Southern Power Co. | 5.150% | 9/15/41 | 1,138 | 1,215 |
| Southern Power Co. | 5.250% | 7/15/43 | 520 | 566 |
| Southern Power Co. | 4.950% | 12/15/46 | 850 | 896 |
| Southwestern Electric Power Co. | 6.200% | 3/15/40 | 248 | 314 |
| Southwestern Electric Power Co. | 3.900% | 4/1/45 | 1,048 | 1,009 |
| Southwestern Electric Power Co. | 3.850% | 2/1/48 | 1,000 | 956 |
| Southwestern Public Service Co. | 4.500% | 8/15/41 | 795 | 852 |
| Southwestern Public Service Co. | 3.400% | 8/15/46 | 1,000 | 900 |
| Southwestern Public Service Co. | 3.700% | 8/15/47 | 1,038 | 988 |
| Tampa Electric Co. | 6.550% | 5/15/36 | 50 | 63 |
| Tampa Electric Co. | 6.150% | 5/15/37 | 265 | 330 |
| Tampa Electric Co. | 4.100% | 6/15/42 | 590 | 574 |
| Tampa Electric Co. | 4.350% | 5/15/44 | 540 | 546 |
| Toledo Edison Co. | 6.150% | 5/15/37 | 723 | 893 |
| TransAlta Corp. | 6.500% | 3/15/40 | 768 | 766 |
| Union Electric Co. | 5.300% | 8/1/37 | 253 | 293 |
| Union Electric Co. | 8.450% | 3/15/39 | 560 | 875 |
| Union Electric Co. | 3.900% | 9/15/42 | 777 | 768 |
| Union Electric Co. | 3.650% | 4/15/45 | 840 | 798 |
| Virginia Electric & Power Co. | 6.000% | 1/15/36 | 1,010 | 1,251 |
| Virginia Electric & Power Co. | 6.000% | 5/15/37 | 663 | 829 |
| Virginia Electric & Power Co. | 6.350% | 11/30/37 | 392 | 511 |
| Virginia Electric & Power Co. | 8.875% | 11/15/38 | 708 | 1,165 |
| Virginia Electric & Power Co. | 4.000% | 1/15/43 | 713 | 707 |
| Virginia Electric & Power Co. | 4.650% | 8/15/43 | 1,158 | 1,267 |
| Virginia Electric & Power Co. | 4.450% | 2/15/44 | 1,658 | 1,755 |
| Virginia Electric & Power Co. | 4.200% | 5/15/45 | 1,303 | 1,330 |
| Virginia Electric & Power Co. | 4.000% | 11/15/46 | 562 | 557 |
| Virginia Electric & Power Co. | 3.800% | 9/15/47 | 1,100 | 1,054 |
| Westar Energy Inc. | 4.125% | 3/1/42 | 1,363 | 1,372 |
| Westar Energy Inc. | 4.100% | 4/1/43 | 1,011 | 1,027 |
| Westar Energy Inc. | 4.250% | 12/1/45 | 317 | 335 |
| Wisconsin Electric Power Co. | 5.625% | 5/15/33 | 335 | 390 |
| Wisconsin Electric Power Co. | 5.700% | 12/1/36 | 250 | 304 |
| Wisconsin Electric Power Co. | 4.250% | 6/1/44 | 220 | 225 |
| Wisconsin Electric Power Co. | 4.300% | 12/15/45 | 420 | 432 |
| Wisconsin Power & Light Co. | 6.375% | 8/15/37 | 599 | 776 |
| Wisconsin Public Service Corp. | 3.671% | 12/1/42 | 370 | 347 |
| Wisconsin Public Service Corp. | 4.752% | 11/1/44 | 238 | 267 |
| Xcel Energy Inc. | 6.500% | 7/1/36 | 689 | 889 |
| Natural Gas (0.9%) | | | | |
| Atmos Energy Corp. | 5.500% | 6/15/41 | 750 | 901 |
| Atmos Energy Corp. | 4.150% | 1/15/43 | 582 | 593 |
| Atmos Energy Corp. | 4.125% | 10/15/44 | 1,783 | 1,816 |
| CenterPoint Energy Resources Corp. | 5.850% | 1/15/41 | 639 | 777 |
| CenterPoint Energy Resources Corp. | 4.100% | 9/1/47 | 525 | 511 |
| KeySpan Corp. | 5.803% | 4/1/35 | 580 | 687 |
| NiSource Finance Corp. | 5.950% | 6/15/41 | 843 | 1,026 |
| Nisource Finance Corp. | 5.250% | 2/15/43 | 1,254 | 1,416 |
| NiSource Finance Corp. | 4.800% | 2/15/44 | 1,306 | 1,409 |
| NiSource Finance Corp. | 5.650% | 2/1/45 | 425 | 507 |
| NiSource Finance Corp. | 4.375% | 5/15/47 | 2,085 | 2,114 |
93
| | | | |
| Vanguard® Long-Term Corporate Bond Index Fund | | | | |
| Schedule of Investments | | | | |
| February 28, 2018 | | | | |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value |
| | Coupon | Date | ($000) | ($000) |
| NiSource Finance Corp. | 3.950% | 3/30/48 | 1,235 | 1,168 |
| ONE Gas Inc. | 4.658% | 2/1/44 | 1,071 | 1,167 |
| Piedmont Natural Gas Co. Inc. | 4.650% | 8/1/43 | 325 | 348 |
| Piedmont Natural Gas Co. Inc. | 3.640% | 11/1/46 | 775 | 715 |
| Sempra Energy | 3.800% | 2/1/38 | 2,375 | 2,252 |
| Sempra Energy | 6.000% | 10/15/39 | 1,489 | 1,840 |
| Sempra Energy | 4.000% | 2/1/48 | 1,575 | 1,471 |
| Southern California Gas Co. | 5.125% | 11/15/40 | 155 | 180 |
| Southern California Gas Co. | 3.750% | 9/15/42 | 725 | 707 |
| Southern Co. Gas Capital Corp. | 6.000% | 10/1/34 | 215 | 248 |
| Southern Co. Gas Capital Corp. | 5.875% | 3/15/41 | 1,085 | 1,289 |
| Southern Co. Gas Capital Corp. | 4.400% | 6/1/43 | 785 | 785 |
| Southern Co. Gas Capital Corp. | 3.950% | 10/1/46 | 1,100 | 1,020 |
| Southern Co. Gas Capital Corp. | 4.400% | 5/30/47 | 920 | 923 |
| Southwest Gas Corp. | 3.800% | 9/29/46 | 550 | 520 |
| Washington Gas Light Co. | 3.796% | 9/15/46 | 863 | 829 |
| Other Utility (0.3%) | | | | |
| American Water Capital Corp. | 6.593% | 10/15/37 | 1,298 | 1,746 |
| American Water Capital Corp. | 4.300% | 12/1/42 | 590 | 614 |
| American Water Capital Corp. | 4.300% | 9/1/45 | 1,115 | 1,168 |
| American Water Capital Corp. | 4.000% | 12/1/46 | 425 | 428 |
| American Water Capital Corp. | 3.750% | 9/1/47 | 1,488 | 1,433 |
| United Utilities plc | 6.875% | 8/15/28 | 745 | 893 |
| Veolia Environnement SA | 6.750% | 6/1/38 | 767 | 969 |
| | | | | 352,953 |
| Total Corporate Bonds (Cost $2,953,471) | | | | 2,925,896 |
| Taxable Municipal Bonds (0.3%) | | | | |
| George Washington University District of Columbia GO | 4.300% | 9/15/44 | 975 | 1,013 |
| George Washington University District of Columbia GO | 4.868% | 9/15/45 | 40 | 45 |
| Missouri Health & Educational Facilities Authority | | | | |
| Revenue (Washington University) | 3.652% | 8/15/57 | 95 | 90 |
| New York University Hospitals Center Revenue | 5.750% | 7/1/43 | 745 | 912 |
| President & Fellows of Harvard College Massachusetts | | | | |
| GO | 4.875% | 10/15/40 | 443 | 518 |
| President & Fellows of Harvard College Massachusetts | | | | |
| GO | 3.150% | 7/15/46 | 1,065 | 959 |
| Princeton University New Jersey GO | 5.700% | 3/1/39 | 1,115 | 1,417 |
| Sales Tax Securitization Corp. Illinois Revenue | 3.587% | 1/1/43 | 700 | 668 |
| San Jose California Redevelopment Agency Successor | | | | |
| Agency Tax Allocation | 3.375% | 8/1/34 | 1,000 | 952 |
| University of Southern California GO | 5.250% | 10/1/11 | 770 | 890 |
| Total Taxable Municipal Bonds (Cost $7,640) | | | | 7,464 |
| | | | Shares | |
Temporary Cash Investment (0.9%)
Money Market Fund (0.9%)
| | | |
| 5 Vanguard Market Liquidity Fund | | | |
| (Cost $26,876) | 1.601% | | 268,784 | 26,875 |
| |
| Total Investments (99.8%) (Cost $2,987,987) | 2,960,235 |
| Other Assets and Liabilities—Net (0.2%) | 5,848 |
| Net Assets (100%) | 2,966,083 |
| 1 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
| 2 | Certain of the fund's securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At February 28, 2018, the aggregate value of these securities was $70,470,000, representing 2.4% of net assets. |
94
Vanguard® Long-Term Corporate Bond Index Fund
Schedule of Investments
February 28, 2018
3 Securities with a value of $686,000 have been segregated as initial margin for open futures contracts.
4 Security value determined using significant unobservable inputs.
5 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day
yield.
GO—General Obligation Bond.
95
| |
| © 2018 The Vanguard Group, Inc. |
| All rights reserved. |
| Vanguard Marketing Corporation, Distributor. |
| |
| SNA16422 042018 |
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) 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/ MORTIMER J. BUCKLEY* |
| | MORTIMER J. BUCKLEY |
| | CHIEF EXECUTIVE OFFICER |
| |
| Date: | April 17, 2018 |
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/ MORTIMER J. BUCKLEY* |
| | MORTIMER J. BUCKLEY |
| | CHIEF EXECUTIVE OFFICER |
| |
| Date: | April 17, 2018 |
| |
| | VANGUARD SCOTTSDALE FUNDS |
| |
| BY: | /s/ THOMAS J. HIGGINS* |
| THOMAS J. HIGGINS |
| | CHIEF FINANCIAL OFFICER |
| |
| Date: April 17, 2018 |
* By: /s/ Anne E. Robinson
Anne E. Robinson, pursuant to a Power of Attorney filed on January 18, 2018 see file Number 33-32216,
Incorporated by Reference.
