Vanguard Value Index Fund
Schedule of Investments (unaudited)
As of March 31, 2021
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission
(SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The
fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
Market | ||
Value | ||
Shares | ($000) | |
Common Stocks (99.8%) | ||
Basic Materials (2.6%) | ||
Air Products & Chemicals Inc. | 1,595,822 | 448,969 |
Newmont Corp. | 5,774,718 | 348,042 |
* Freeport-McMoRan Inc. | 10,505,340 | 345,941 |
Dow Inc. | 5,338,718 | 341,358 |
DuPont de Nemours Inc. | 3,877,215 | 299,631 |
International Flavors & Fragrances Inc. | 1,792,900 | 250,307 |
LyondellBasell Industries NV Class A | 1,926,711 | 200,474 |
Nucor Corp. | 2,178,687 | 174,883 |
International Paper Co. | 2,837,991 | 153,450 |
Celanese Corp. Class A | 825,323 | 123,642 |
Avery Dennison Corp. | 600,223 | 110,231 |
Eastman Chemical Co. | 982,678 | 108,212 |
Albemarle Corp. | 419,300 | 61,264 |
CF Industries Holdings Inc. | 770,603 | 34,970 |
Westlake Chemical Corp. | 115,461 | 10,252 |
3,011,626 | ||
Consumer Discretionary (8.0%) | ||
Walmart Inc. | 10,200,528 | 1,385,538 |
* Walt Disney Co. | 6,546,009 | 1,207,870 |
Target Corp. | 3,611,971 | 715,423 |
* General Motors Co. | 9,349,675 | 537,232 |
* Ford Motor Co. | 28,195,318 | 345,393 |
eBay Inc. | 4,658,548 | 285,289 |
* Marriott International Inc. Class A | 1,870,071 | 276,976 |
* Southwest Airlines Co. | 4,258,786 | 260,041 |
DR Horton Inc. | 2,506,343 | 223,365 |
* Delta Air Lines Inc. | 4,615,589 | 222,841 |
Lennar Corp. Class A | 2,061,120 | 208,647 |
* Dollar Tree Inc. | 1,696,618 | 194,195 |
Best Buy Co. Inc. | 1,681,491 | 193,052 |
VF Corp. | 2,261,157 | 180,712 |
^ ViacomCBS Inc. Class B | 3,885,605 | 175,241 |
* Las Vegas Sands Corp. | 2,756,185 | 167,466 |
* Carnival Corp. | 5,951,526 | 157,953 |
* CarMax Inc. | 1,173,302 | 155,650 |
Garmin Ltd. | 1,102,488 | 145,363 |
* Aptiv plc | 973,323 | 134,221 |
* Royal Caribbean Cruises Ltd. | 1,561,463 | 133,677 |
Darden Restaurants Inc. | 937,316 | 133,099 |
* United Airlines Holdings Inc. | 2,242,447 | 129,030 |
Genuine Parts Co. | 1,038,606 | 120,052 |
Omnicom Group Inc. | 1,546,594 | 114,680 |
MGM Resorts International | 2,846,573 | 108,141 |
Whirlpool Corp. | 452,989 | 99,816 |
PulteGroup Inc. | 1,828,330 | 95,878 | |
News Corp. Class A | 3,638,662 | 92,531 | |
Hasbro Inc. | 938,248 | 90,184 | |
Fox Corp. Class A | 2,454,638 | 88,637 | |
Advance Auto Parts Inc. | 471,384 | 86,494 | |
* | Discovery Inc. Class C | 2,176,025 | 80,274 |
BorgWarner Inc. | 1,719,123 | 79,699 | |
* | DraftKings Inc. Class A | 985,912 | 60,466 |
* | American Airlines Group Inc. | 2,299,077 | 54,948 |
* | Liberty Media Corp -Liberty SiriusXM Class C | 1,160,673 | 51,197 |
*,^ | Discovery Inc. Class A | 1,122,016 | 48,763 |
Interpublic Group of Cos. Inc. | 1,403,994 | 40,997 | |
* | LKQ Corp. | 926,024 | 39,199 |
Lear Corp. | 216,034 | 39,156 | |
Fox Corp. Class B | 1,067,640 | 37,293 | |
Aramark | 912,394 | 34,470 | |
* | Liberty Media Corp -Liberty SiriusXM Class A | 575,958 | 25,388 |
*,^ | QuantumScape Corp. Class A | 476,841 | 21,339 |
ViacomCBS Inc. Class A | 72,607 | 3,425 | |
Lennar Corp. Class B | 15,603 | 1,285 | |
News Corp. Class B | 27,910 | 655 | |
9,083,241 | |||
Consumer Staples (10.3%) | |||
Procter & Gamble Co. | 17,757,418 | 2,404,887 | |
Coca-Cola Co. | 27,887,966 | 1,469,975 | |
PepsiCo Inc. | 9,947,409 | 1,407,061 | |
Philip Morris International Inc. | 11,230,577 | 996,601 | |
CVS Health Corp. | 9,455,966 | 711,372 | |
Altria Group Inc. | 13,403,127 | 685,704 | |
Mondelez International Inc. Class A | 10,177,071 | 595,664 | |
Kimberly-Clark Corp. | 2,437,926 | 338,994 | |
Walgreens Boots Alliance Inc. | 5,291,516 | 290,504 | |
Sysco Corp. | 3,493,856 | 275,106 | |
General Mills Inc. | 4,411,206 | 270,495 | |
Constellation Brands Inc. Class A | 1,164,196 | 265,437 | |
Corteva Inc. | 5,358,792 | 249,827 | |
Archer-Daniels-Midland Co. | 4,029,298 | 229,670 | |
McKesson Corp. | 1,147,653 | 223,838 | |
Kraft Heinz Co. | 4,412,394 | 176,496 | |
Tyson Foods Inc. Class A | 2,126,913 | 158,030 | |
Keurig Dr Pepper Inc. | 4,575,378 | 157,256 | |
Kroger Co. | 4,222,199 | 151,957 | |
Conagra Brands Inc. | 3,351,715 | 126,024 | |
AmerisourceBergen Corp. Class A | 1,030,459 | 121,666 | |
Kellogg Co. | 1,854,873 | 117,413 | |
J M Smucker Co. | 783,859 | 99,182 | |
Hormel Foods Corp. | 1,941,210 | 92,751 | |
Clorox Co. | 452,079 | 87,197 | |
Campbell Soup Co. | 1,415,998 | 71,182 | |
* | Molson Coors Beverage Co. Class B | 648,535 | 33,173 |
11,807,462 | |||
Energy (5.2%) | |||
Exxon Mobil Corp. | 30,485,838 | 1,702,024 | |
Chevron Corp. | 13,184,704 | 1,381,625 | |
ConocoPhillips | 9,770,888 | 517,564 | |
EOG Resources Inc. | 4,210,382 | 305,379 |
Schlumberger Ltd. | 10,032,950 | 272,796 |
Phillips 66 | 3,151,310 | 256,958 |
Marathon Petroleum Corp. | 4,689,295 | 250,830 |
Kinder Morgan Inc. | 13,876,992 | 231,052 |
Valero Energy Corp. | 2,945,336 | 210,886 |
Williams Cos. Inc. | 8,753,026 | 207,359 |
Occidental Petroleum Corp. | 6,717,866 | 178,830 |
ONEOK Inc. | 3,211,303 | 162,685 |
Halliburton Co. | 6,097,538 | 130,853 |
Baker Hughes Co. Class A | 5,005,893 | 108,177 |
Hess Corp. | 994,019 | 70,337 |
5,987,355 | ||
Financials (22.4%) | ||
* Berkshire Hathaway Inc. Class B | 13,259,193 | 3,387,326 |
JPMorgan Chase & Co. | 22,003,737 | 3,349,629 |
Bank of America Corp. | 56,027,422 | 2,167,701 |
AT&T Inc. | 51,380,282 | 1,555,281 |
Wells Fargo & Co. | 29,809,954 | 1,164,675 |
Citigroup Inc. | 15,013,160 | 1,092,207 |
Morgan Stanley | 10,832,236 | 841,231 |
Goldman Sachs Group Inc. | 2,493,913 | 815,510 |
BlackRock Inc. | 990,081 | 746,481 |
Charles Schwab Corp. | 10,351,733 | 674,726 |
Truist Financial Corp. | 9,715,552 | 566,611 |
US Bancorp | 9,743,707 | 538,924 |
PNC Financial Services Group Inc. | 3,053,850 | 535,676 |
CME Group Inc. | 2,587,421 | 528,429 |
Marsh & McLennan Cos. Inc. | 3,668,465 | 446,819 |
Chubb Ltd. | 2,766,872 | 437,083 |
Progressive Corp. | 4,224,710 | 403,925 |
Blackstone Group LP Class A | 4,933,652 | 367,705 |
MetLife Inc. | 4,786,101 | 290,947 |
American International Group Inc. | 6,233,098 | 288,031 |
T. Rowe Price Group Inc. | 1,645,253 | 282,325 |
Travelers Cos. Inc. | 1,817,645 | 273,374 |
Bank of New York Mellon Corp. | 5,716,559 | 270,336 |
Prudential Financial Inc. | 2,861,561 | 260,688 |
Allstate Corp. | 2,074,544 | 238,365 |
Aflac Inc. | 4,471,094 | 228,831 |
Willis Towers Watson plc | 930,056 | 212,871 |
Discover Financial Services | 2,215,862 | 210,485 |
State Street Corp. | 2,410,061 | 202,469 |
Ameriprise Financial Inc. | 842,538 | 195,848 |
KKR & Co. Inc. | 3,951,973 | 193,054 |
Fifth Third Bancorp | 5,140,354 | 192,506 |
Hartford Financial Services Group Inc. | 2,580,977 | 172,383 |
Northern Trust Corp. | 1,428,756 | 150,177 |
Regions Financial Corp. | 6,939,054 | 143,361 |
M&T Bank Corp. | 930,032 | 141,002 |
KeyCorp | 6,965,763 | 139,176 |
Citizens Financial Group Inc. | 3,070,691 | 135,571 |
Nasdaq Inc. | 830,605 | 122,481 |
Ally Financial Inc. | 2,691,938 | 121,703 |
Principal Financial Group Inc. | 1,960,442 | 117,548 |
Huntington Bancshares Inc. | 7,349,150 | 115,529 |
Cincinnati Financial Corp. | 1,101,347 | 113,538 |
Raymond James Financial Inc. | 891,700 | 109,287 |
* | Arch Capital Group Ltd. | 2,779,133 | 106,635 |
Equitable Holdings Inc. | 3,133,793 | 102,224 | |
Arthur J Gallagher & Co. | 700,116 | 87,353 | |
Annaly Capital Management Inc. | 10,073,089 | 86,629 | |
Loews Corp. | 1,632,981 | 83,739 | |
Fidelity National Financial Inc. | 2,038,426 | 82,882 | |
W R Berkley Corp. | 956,849 | 72,099 | |
Everest Re Group Ltd. | 287,456 | 71,234 | |
Globe Life Inc. | 682,611 | 65,961 | |
Franklin Resources Inc. | 2,181,998 | 64,587 | |
* | Markel Corp. | 49,527 | 56,442 |
Lincoln National Corp. | 655,688 | 40,830 | |
Cboe Global Markets Inc. | 384,715 | 37,968 | |
AGNC Investment Corp. | 1,937,651 | 32,475 | |
* | Alleghany Corp. | 47,697 | 29,872 |
*,^ | Opendoor Technologies Inc. | 1,242,025 | 26,319 |
Interactive Brokers Group Inc. | 277,596 | 20,276 | |
^ | Rocket Cos. Inc. Class A | 829,702 | 19,158 |
* | Berkshire Hathaway Inc. Class A | 14 | 5,400 |
25,633,908 | |||
Health Care (17.9%) | |||
Johnson & Johnson | 18,954,661 | 3,115,198 | |
UnitedHealth Group Inc . | 6,841,605 | 2,545,556 | |
Abbott Laboratories | 12,774,859 | 1,530,939 | |
Pfizer Inc. | 40,080,751 | 1,452,126 | |
Merck & Co. Inc. | 18,244,090 | 1,406,437 | |
AbbVie Inc. | 12,733,849 | 1,378,057 | |
Eli Lilly and Co. | 6,219,978 | 1,162,016 | |
Medtronic plc | 9,717,404 | 1,147,917 | |
Amgen Inc. | 4,164,797 | 1,036,243 | |
Anthem Inc. | 1,766,560 | 634,107 | |
Cigna Corp. | 2,535,963 | 613,044 | |
Gilead Sciences Inc. | 9,041,291 | 584,339 | |
Danaher Corp. | 2,310,633 | 520,077 | |
Bristol-Myers Squibb Co. | 8,079,363 | 510,050 | |
Humana Inc. | 929,592 | 389,731 | |
HCA Healthcare Inc. | 1,961,737 | 369,474 | |
* | Biogen Inc. | 1,097,791 | 307,107 |
Zimmer Biomet Holdings Inc. | 1,499,015 | 239,962 | |
* | Laboratory Corp. of America Holdings | 702,745 | 179,221 |
Baxter International Inc. | 1,823,139 | 153,764 | |
* | Hologic Inc. | 1,860,740 | 138,402 |
Cardinal Health Inc. | 2,121,333 | 128,871 | |
Quest Diagnostics Inc. | 964,341 | 123,763 | |
* | Viatris Inc. | 8,750,022 | 122,238 |
* | Alexion Pharmaceuticals Inc. | 750,630 | 114,779 |
Dentsply Sirona Inc. | 1,571,575 | 100,282 | |
* | Elanco Animal Health Inc. | 3,393,819 | 99,948 |
Royalty Pharma plc Class A | 2,100,573 | 91,627 | |
* | Henry Schein Inc. | 1,031,811 | 71,443 |
Universal Health Services Inc. Class B | 531,654 | 70,917 | |
* | DaVita Inc. | 511,498 | 55,124 |
20,392,759 | |||
Industrials (13.5%) | |||
Honeywell International Inc. | 5,015,405 | 1,088,694 | |
Caterpillar Inc. | 3,932,740 | 911,884 |
Raytheon Technologies Corp. | 10,956,580 | 846,615 |
General Electric Co. | 63,226,582 | 830,165 |
3M Co. | 4,175,748 | 804,583 |
Deere & Co. | 2,041,005 | 763,622 |
American Express Co. | 4,358,778 | 616,506 |
CSX Corp. | 5,497,748 | 530,093 |
FedEx Corp. | 1,720,424 | 488,669 |
Norfolk Southern Corp. | 1,816,351 | 487,727 |
Illinois Tool Works Inc. | 2,055,763 | 455,393 |
United Parcel Service Inc. Class B | 2,594,838 | 441,096 |
Capital One Financial Corp. | 3,307,354 | 420,795 |
Eaton Corp. plc | 2,867,418 | 396,507 |
Emerson Electric Co. | 4,321,710 | 389,905 |
Northrop Grumman Corp. | 1,082,701 | 350,405 |
General Dynamics Corp. | 1,753,724 | 318,406 |
Lockheed Martin Corp. | 857,941 | 317,009 |
Johnson Controls International plc | 5,189,775 | 309,674 |
Parker-Hannifin Corp. | 930,189 | 293,410 |
Trane Technologies plc | 1,718,199 | 284,465 |
Cummins Inc. | 1,064,051 | 275,706 |
Carrier Global Corp. | 6,265,810 | 264,542 |
PPG Industries Inc. | 1,708,379 | 256,701 |
PACCAR Inc. | 2,501,025 | 232,395 |
Stanley Black & Decker Inc. | 1,159,966 | 231,610 |
* TransDigm Group Inc. | 374,692 | 220,289 |
Otis Worldwide Corp. | 3,127,239 | 214,059 |
* United Rentals Inc. | 520,967 | 171,560 |
Fortive Corp. | 2,316,771 | 163,657 |
Synchrony Financial | 3,989,537 | 162,215 |
Dover Corp. | 1,033,481 | 141,721 |
Xylem Inc. | 1,301,539 | 136,896 |
* Ingersoll Rand Inc. | 2,703,412 | 133,035 |
WW Grainger Inc. | 321,521 | 128,907 |
Jacobs Engineering Group Inc. | 940,105 | 121,527 |
AMETEK Inc. | 838,363 | 107,084 |
Ball Corp. | 1,179,505 | 99,951 |
Westrock Co. | 1,895,005 | 98,635 |
Fortune Brands Home & Security Inc. | 997,340 | 95,565 |
Crown Holdings Inc. | 969,358 | 94,066 |
CH Robinson Worldwide Inc. | 968,447 | 92,419 |
Packaging Corp. of America | 681,962 | 91,710 |
Textron Inc. | 1,627,118 | 91,249 |
Snap-on Inc. | 391,955 | 90,440 |
Martin Marietta Materials Inc. | 223,930 | 75,200 |
Western Union Co. | 2,955,181 | 72,875 |
Masco Corp. | 925,253 | 55,423 |
Wabtec Corp. | 643,792 | 50,963 |
* Mohawk Industries Inc. | 202,120 | 38,870 |
Hubbell Inc. Class B | 195,296 | 36,499 |
* XPO Logistics Inc. | 293,968 | 36,246 |
15,427,638 | ||
Real Estate (2.7%) | ||
Prologis Inc. | 5,323,657 | 564,308 |
Simon Property Group Inc. | 2,367,807 | 269,385 |
Welltower Inc. | 3,009,344 | 215,559 |
Equity Residential | 2,688,676 | 192,590 |
Weyerhaeuser Co. | 5,395,995 | 192,097 |
AvalonBay Communities Inc. | 1,007,632 | 185,918 |
* CBRE Group Inc. Class A | 2,301,864 | 182,101 |
Ventas Inc. | 2,704,831 | 144,276 |
Essex Property Trust Inc. | 469,557 | 127,644 |
Extra Space Storage Inc. | 947,769 | 125,627 |
Healthpeak Properties Inc. | 3,875,677 | 123,014 |
Mid-America Apartment Communities Inc. | 822,715 | 118,767 |
Duke Realty Corp. | 2,688,026 | 112,709 |
Boston Properties Inc. | 1,008,308 | 102,101 |
WP Carey Inc. | 1,271,537 | 89,974 |
Realty Income Corp. | 1,354,011 | 85,980 |
Camden Property Trust | 701,392 | 77,090 |
Iron Mountain Inc. | 2,073,827 | 76,752 |
UDR Inc. | 1,066,654 | 46,784 |
* Host Hotels & Resorts Inc. | 2,540,396 | 42,806 |
VEREIT Inc. | 822,950 | 31,782 |
3,107,264 | ||
Technology (5.9%) | ||
Intel Corp. | 29,297,945 | 1,875,068 |
Oracle Corp. | 12,738,674 | 893,873 |
International Business Machines Corp. | 6,443,776 | 858,698 |
QUALCOMM Inc. | 4,096,408 | 543,143 |
TE Connectivity Ltd. | 2,393,291 | 308,998 |
Cognizant Technology Solutions Corp. Class A | 3,826,960 | 298,962 |
HP Inc. | 8,986,077 | 285,308 |
Corning Inc. | 5,539,242 | 241,012 |
Analog Devices Inc. | 1,327,516 | 205,871 |
CDW Corp. | 1,031,897 | 171,037 |
* Dell Technologies Inc. | 1,808,013 | 159,376 |
* Qorvo Inc. | 817,986 | 149,446 |
Hewlett Packard Enterprise Co. | 9,337,548 | 146,973 |
Western Digital Corp. | 2,099,900 | 140,168 |
Seagate Technology plc | 1,531,761 | 117,563 |
NetApp Inc. | 1,606,221 | 116,724 |
NortonLifeLock Inc. | 3,975,500 | 84,519 |
* ON Semiconductor Corp. | 1,477,655 | 61,485 |
Leidos Holdings Inc. | 510,316 | 49,133 |
* F5 Networks Inc. | 221,511 | 46,212 |
6,753,569 | ||
Telecommunications (5.1%) | ||
Comcast Corp. Class A | 32,959,274 | 1,783,426 |
Verizon Communications Inc. | 28,345,040 | 1,648,264 |
Cisco Systems Inc. | 27,400,429 | 1,416,876 |
* T-Mobile US Inc. | 4,032,260 | 505,202 |
Motorola Solutions Inc. | 607,846 | 114,306 |
Lumen Technologies Inc. | 7,931,939 | 105,891 |
* Liberty Broadband Corp. | 558,238 | 83,820 |
* DISH Network Corp. Class A | 1,761,412 | 63,763 |
Juniper Networks Inc. | 1,178,639 | 29,855 |
* Liberty Broadband Corp. Class A | 96,117 | 13,951 |
5,765,354 | ||
Utilities (6.2%) | ||
NextEra Energy Inc. | 14,134,193 | 1,068,686 |
Duke Energy Corp. | 5,547,494 | 535,500 |
Southern Co. | 7,617,069 | 473,477 |
Dominion Energy Inc. | 5,809,402 | 441,282 |
Waste Management Inc. | 3,052,776 | 393,869 | |
Exelon Corp. | 7,017,659 | 306,952 | |
American Electric Power Co. Inc. | 3,580,739 | 303,289 | |
Sempra Energy | 2,078,888 | 275,619 | |
Xcel Energy Inc. | 3,881,383 | 258,151 | |
Public Service Enterprise Group Inc. | 3,647,604 | 219,622 | |
Eversource Energy | 2,475,441 | 214,348 | |
WEC Energy Group Inc. | 2,275,959 | 213,007 | |
American Water Works Co. Inc. | 1,309,117 | 196,263 | |
Consolidated Edison Inc. | 2,472,216 | 184,922 | |
DTE Energy Co. | 1,386,906 | 184,653 | |
PPL Corp. | 5,557,357 | 160,274 | |
Edison International | 2,732,709 | 160,137 | |
Republic Services Inc. Class A | 1,496,882 | 148,715 | |
Ameren Corp. | 1,777,687 | 144,633 | |
Entergy Corp. | 1,440,116 | 143,248 | |
FirstEnergy Corp. | 3,922,954 | 136,087 | |
AES Corp. | 4,785,961 | 128,312 | |
CMS Energy Corp. | 2,077,793 | 127,202 | |
* PG&E Corp. | 10,753,079 | 125,918 | |
Alliant Energy Corp. | 1,796,905 | 97,320 | |
Evergy Inc. | 1,630,029 | 97,036 | |
CenterPoint Energy Inc. | 3,917,429 | 88,730 | |
NiSource Inc. | 2,816,523 | 67,906 | |
Vistra Corp. | 3,517,296 | 62,186 | |
NRG Energy Inc. | 892,943 | 33,691 | |
Pinnacle West Capital Corp. | 404,907 | 32,939 | |
Avangrid Inc. | 445,125 | 22,172 | |
7,046,146 | |||
Total Common Stocks (Cost $83,738,600) | 114,016,322 | ||
Coupon | |||
Temporary Cash Investment (0.2%) | |||
Money Market Fund (0.2%) | |||
1,2 Vanguard Market Liquidity Fund (Cost | |||
$261,794) | 0.081% | 2,618,157 | 261,816 |
Total Investments (100.0%) (Cost $84,000,394) | 114,278,138 | ||
Other Assets and Liabilities -Net (0.0%)2 | (37,473) | ||
Net Assets (100%) | 114,240,665 | ||
Cost is in $000. |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $121,925,000.
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.
2 Collateral of $126,681,000 was received for securities on loan, of which $123,891,000 is held in Vanguard Market
Liquidity 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 S&P 500 Index | June 2021 | 658 | 130,527 | 1,273 | ||
Over-the-Counter Total Return Swaps | ||||||
Floating | ||||||
Interest | ||||||
Rate | Value and | Value and | ||||
Notional | Received | Unrealized | Unrealized | |||
Reference | Termination | Amount | (Paid)1 | Appreciation | (Depreciation) | |
Entity | Date | Counterparty | ($000) | (%) | ($000) | ($000) |
Charles | ||||||
Schwab Corp. | 9/2/21 | BOANA | 43,204 | (0.119) | 2,418 | — |
Keurig Dr | ||||||
Pepper Inc. | 9/2/21 | BOANA | 15,260 | (0.119) | 1,999 | — |
Kroger Co. | 2/2/21 | GSI | 35,870 | (0.107) | 118 | — |
4,535 | — |
1 Based on 1-month USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating
interest payment received/paid monthly.
BOANA —Bank of America NA.
GSI—Goldman Sachs International.
At March 31, 2021, the counterparties had deposited in segregated accounts securities with a value of $6,408,000.
A. 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.
B. 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. Any securities pledged as initial margin for
open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. Fluctuations in the value of the
contracts are recorded as an asset (liability).
C. Swap Contracts: The fund has entered into equity swap contracts to earn the total return on
selected reference stocks in the fund's target index. Under the terms of the swaps, the fund receives
the total return on the referenced stock (i.e., receiving the increase or paying the decrease in value of
the selected reference stock and receiving the equivalent of any dividends in respect of the selected
referenced stock) over a specified period of time, applied to a notional amount that represents the
value of a designated number of shares of the selected reference stock at the begi nning of the equity
swap contract. The fund also pays a floating rate that is based on short-term interest rates, applied to
the notional amount. At the same time, the fund generally invests an amount approximating the
notional amount of the swap in high-quality temporary cash investments.
A risk associated with all types of swaps is the possibility that a counterparty may default on its
obligation to pay net amounts due to the fund. The fund's maximum amount subject to counterparty
risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by
entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial
strength, entering into master netting arrangements with its counterparties, and requiring its
counterparties to transfer collateral as security for their performance. In the absence of a default, the
collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the
event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts
with that counterparty, determine the net amount owed by either party in accordance with its master
netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund
under the master netting arrangements. The swap contracts contain provisions whereby a
counterparty may terminate open contracts if the fund's net assets decline below a certain level,
triggering a payment by the fund if the fund is in a net liability position at the time of the termination.
The payment amount would be reduced by any collateral the fund has pledged. Any securities
pledged as collateral for open contracts are noted in the Schedule of Investments. The value of
collateral received or pledged is compared daily to the value of the swap contracts exposure with
each counterparty, and any difference, if in excess of a specified minimum transfer amount, is
adjusted and settled within two business days.
Swaps are valued daily based on market quotations received from independent pricing services or
recognized dealers and the change in value is recorded as an asset (liability) and as unrealized
appreciation (depreciation) until periodic payments are made or the termination of the swap, at which
time realized gain (loss) is recorded.
D. Various inputs may be used to determine the value of the fund's investments and derivatives.
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 and derivatives valued with significant unobservable
inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund's investments and derivatives as of
March 31, 2021, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | Total | |
($000) | ($000) | ($000) | ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 114,016,322 | — | — | 114,016,322 |
Temporary Cash Investments | 261,816 | — | — | 261,816 |
Total | 114,278,138 | — | — | 114,278,138 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 1,273 | — | — | 1,273 |
Swap Contracts1 | — | 4,535 | — | 4,535 |
Total | 1,273 | 4,535 | — | 5,808 |
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps,
if any, as reported in the Schedule of Investments.