Vanguard® Mid-Cap 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.
Shares | Market Value ($000) | |||||
Common Stocks (99.2%) | ||||||
Basic Materials (4.0%) | ||||||
International Flavors & Fragrances Inc. | 5,305,189 | 740,657 | ||||
Fastenal Co. | 12,888,734 | 648,046 | ||||
Nucor Corp. | 6,778,434 | 544,105 | ||||
Newmont Corp. | 8,981,272 | 541,301 | ||||
* | Freeport-McMoRan Inc. | 16,354,244 | 538,545 | |||
International Paper Co. | 8,825,242 | 477,181 | ||||
Celanese Corp. Class A | 2,561,264 | 383,703 | ||||
Albemarle Corp. | 2,619,077 | 382,673 | ||||
Avery Dennison Corp. | 1,861,563 | 341,876 | ||||
Eastman Chemical Co. | 3,051,916 | 336,077 | ||||
FMC Corp. | 2,915,188 | 322,449 | ||||
LyondellBasell Industries NV Class A | 2,993,930 | 311,518 | ||||
CF Industries Holdings Inc. | 2,400,222 | 108,922 | ||||
Westlake Chemical Corp. | 358,210 | 31,806 | ||||
5,708,859 | ||||||
Consumer Discretionary (15.9%) | ||||||
* | Chipotle Mexican Grill Inc. Class A | 631,541 | 897,306 | |||
* | Aptiv plc | 6,057,697 | 835,356 | |||
DR Horton Inc. | 7,755,147 | 691,139 | ||||
* | Delta Air Lines Inc. | 14,313,020 | 691,033 | |||
Lennar Corp. Class A | 6,269,630 | 634,675 | ||||
* | Peloton Interactive Inc. Class A | 5,619,202 | 631,823 | |||
* | Trade Desk Inc. Class A | 955,754 | 622,827 | |||
* | Dollar Tree Inc. | 5,278,696 | 604,199 | |||
Best Buy Co. Inc. | 5,229,545 | 600,404 | ||||
1 | ViacomCBS Inc. Class B | 12,176,558 | 549,163 | |||
* | Etsy Inc. | 2,689,422 | 542,376 | |||
* | Expedia Group Inc. | 3,104,904 | 534,416 | |||
* | Copart Inc. | 4,774,229 | 518,529 | |||
* | Wayfair Inc. Class A | 1,642,166 | 516,872 | |||
* | Carnival Corp. | 18,508,328 | 491,211 | |||
* | CarMax Inc. | 3,649,029 | 484,080 | |||
Tractor Supply Co. | 2,611,164 | 462,385 | ||||
* | Take-Two Interactive Software Inc. | 2,585,986 | 456,944 | |||
Garmin Ltd. | 3,441,431 | 453,753 | ||||
* | Burlington Stores Inc. | 1,486,853 | 444,272 | |||
Darden Restaurants Inc. | 2,926,650 | 415,584 | ||||
* | Royal Caribbean Cruises Ltd. | 4,854,118 | 415,561 | |||
* | Lululemon Athletica Inc. | 1,334,548 | 409,319 | |||
* | Southwest Airlines Co. | 6,631,747 | 404,934 | |||
* | United Airlines Holdings Inc. | 7,006,093 | 403,131 |
Shares | Market Value ($000) | |||||
* | DraftKings Inc. Class A | 6,156,310 | 377,566 | |||
* | Hilton Worldwide Holdings Inc. | 3,113,470 | 376,481 | |||
Genuine Parts Co. | 3,238,720 | 374,364 | ||||
* | Ulta Beauty Inc. | 1,201,952 | 371,607 | |||
* | NVR Inc. | 78,459 | 369,615 | |||
* | Lyft Inc. Class A | 5,751,351 | 363,370 | |||
* | AutoZone Inc. | 255,084 | 358,214 | |||
Omnicom Group Inc. | 4,828,833 | 358,058 | ||||
MGM Resorts International | 8,872,070 | 337,050 | ||||
Domino's Pizza Inc. | 869,814 | 319,909 | ||||
Whirlpool Corp. | 1,411,936 | 311,120 | ||||
PulteGroup Inc. | 5,676,998 | 297,702 | ||||
* | Wynn Resorts Ltd. | 2,332,554 | 292,432 | |||
Hasbro Inc. | 2,924,886 | 281,140 | ||||
News Corp. Class A | 10,910,149 | 277,445 | ||||
Advance Auto Parts Inc. | 1,468,865 | 269,522 | ||||
* | Live Nation Entertainment Inc. | 3,163,573 | 267,796 | |||
* | Discovery Inc. Class C | 6,830,332 | 251,971 | |||
BorgWarner Inc. | 5,372,747 | 249,081 | ||||
* | LKQ Corp. | 5,784,154 | 244,843 | |||
Fox Corp. Class A | 6,730,131 | 243,025 | ||||
* | Carvana Co. Class A | 878,257 | 230,455 | |||
* | Caesars Entertainment Inc. | 2,217,189 | 193,893 | |||
* | Penn National Gaming Inc. | 1,740,440 | 182,468 | |||
* | American Airlines Group Inc. | 7,168,843 | 171,335 | |||
Rollins Inc. | 4,959,008 | 170,689 | ||||
* | Liberty Media Corp.-Liberty SiriusXM Class C | 3,647,221 | 160,879 | |||
*,1 | Discovery Inc. Class A | 3,427,691 | 148,967 | |||
Fox Corp. Class B | 4,243,815 | 148,236 | ||||
*,1 | Chewy Inc. Class A | 1,602,280 | 135,729 | |||
*,1 | QuantumScape Corp. Class A | 2,972,125 | 133,003 | |||
* | Vail Resorts Inc. | 451,144 | 131,581 | |||
Interpublic Group of Cos. Inc. | 4,378,271 | 127,845 | ||||
Lear Corp. | 673,742 | 122,116 | ||||
Aramark | 2,846,571 | 107,543 | ||||
* | Liberty Media Corp.-Liberty SiriusXM Class A | 1,780,868 | 78,501 | |||
Warner Music Group Corp. Class A | 1,993,261 | 68,429 | ||||
1 | Sirius XM Holdings Inc. | 9,279,407 | 56,512 | |||
Lennar Corp. Class B | 212,879 | 17,528 | ||||
News Corp. Class B | 355,310 | 8,336 | ||||
ViacomCBS Inc. Class A | 166,953 | 7,875 | ||||
22,705,523 | ||||||
Consumer Staples (4.2%) | ||||||
Corteva Inc. | 16,678,956 | 777,573 | ||||
Clorox Co. | 2,823,473 | 544,592 | ||||
McCormick & Co. Inc. (Non-Voting) | 5,588,537 | 498,274 | ||||
Tyson Foods Inc. Class A | 6,615,853 | 491,558 | ||||
Church & Dwight Co. Inc. | 5,502,229 | 480,620 | ||||
Conagra Brands Inc. | 10,423,176 | 391,911 | ||||
AmerisourceBergen Corp. Class A | 3,218,114 | 379,963 | ||||
Kellogg Co. | 5,786,373 | 366,277 | ||||
Archer-Daniels-Midland Co. | 6,258,896 | 356,757 | ||||
McKesson Corp. | 1,787,550 | 348,644 | ||||
J M Smucker Co. | 2,429,711 | 307,431 | ||||
Kroger Co. | 8,109,630 | 291,866 | ||||
Hormel Foods Corp. | 5,605,838 | 267,847 | ||||
Lamb Weston Holdings Inc. | 3,280,666 | 254,186 |
Shares | Market Value ($000) | |||||
Campbell Soup Co. | 3,413,986 | 171,621 | ||||
* | Molson Coors Beverage Co. Class B | 2,021,297 | 103,389 | |||
6,032,509 | ||||||
Energy (4.0%) | ||||||
Pioneer Natural Resources Co. | 4,848,340 | 770,013 | ||||
Valero Energy Corp. | 9,166,005 | 656,286 | ||||
Occidental Petroleum Corp. | 20,891,755 | 556,139 | ||||
ONEOK Inc. | 9,989,037 | 506,045 | ||||
Hess Corp. | 6,205,706 | 439,116 | ||||
Halliburton Co. | 18,956,755 | 406,812 | ||||
* | Plug Power Inc. | 11,281,317 | 404,322 | |||
Phillips 66 | 4,897,618 | 399,352 | ||||
Marathon Petroleum Corp. | 7,305,712 | 390,783 | ||||
* | Cheniere Energy Inc. | 5,124,488 | 369,014 | |||
Baker Hughes Co. Class A | 15,520,517 | 335,398 | ||||
Williams Cos. Inc. | 11,603,594 | 274,889 | ||||
* | Enphase Energy Inc. | 1,301,176 | 210,999 | |||
ConocoPhillips | 3 | — | ||||
5,719,168 | ||||||
Financials (11.4%) | ||||||
MSCI Inc. Class A | 1,760,145 | 737,994 | ||||
Willis Towers Watson plc | 2,894,254 | 662,437 | ||||
First Republic Bank | 3,942,128 | 657,350 | ||||
Discover Financial Services | 6,883,725 | 653,885 | ||||
Ameriprise Financial Inc. | 2,618,244 | 608,611 | ||||
KKR & Co. Inc. | 12,293,809 | 600,553 | ||||
Fifth Third Bancorp | 15,997,908 | 599,122 | ||||
* | SVB Financial Group | 1,164,621 | 574,927 | |||
Arthur J Gallagher & Co. | 4,344,606 | 542,076 | ||||
Hartford Financial Services Group Inc. | 8,026,508 | 536,090 | ||||
State Street Corp. | 5,586,457 | 469,318 | ||||
Northern Trust Corp. | 4,442,878 | 466,991 | ||||
American International Group Inc. | 9,695,660 | 448,036 | ||||
Regions Financial Corp. | 21,539,887 | 445,014 | ||||
M&T Bank Corp. | 2,888,014 | 437,852 | ||||
KeyCorp | 21,754,946 | 434,664 | ||||
Citizens Financial Group Inc. | 9,531,256 | 420,805 | ||||
MarketAxess Holdings Inc. | 810,520 | 403,574 | ||||
Broadridge Financial Solutions Inc. | 2,600,221 | 398,094 | ||||
Nasdaq Inc. | 2,586,041 | 381,338 | ||||
Ally Financial Inc. | 8,399,801 | 379,755 | ||||
Principal Financial Group Inc. | 6,122,750 | 367,120 | ||||
Huntington Bancshares Inc. | 22,803,144 | 358,465 | ||||
Cincinnati Financial Corp. | 3,439,438 | 354,572 | ||||
* | Markel Corp. | 309,136 | 352,298 | |||
Raymond James Financial Inc. | 2,784,067 | 341,215 | ||||
* | Arch Capital Group Ltd. | 8,680,256 | 333,061 | |||
Equitable Holdings Inc. | 9,785,122 | 319,191 | ||||
Annaly Capital Management Inc. | 31,350,691 | 269,616 | ||||
FactSet Research Systems Inc. | 851,225 | 262,679 | ||||
Loews Corp. | 5,088,382 | 260,932 | ||||
Fidelity National Financial Inc. | 6,271,034 | 254,980 | ||||
Cboe Global Markets Inc. | 2,403,041 | 237,156 | ||||
W R Berkley Corp. | 2,981,829 | 224,681 | ||||
Everest Re Group Ltd. | 896,271 | 222,105 | ||||
Globe Life Inc. | 2,111,506 | 204,035 | ||||
Franklin Resources Inc. | 6,797,346 | 201,201 |
Shares | Market Value ($000) | |||||
*,1 | Opendoor Technologies Inc. | 7,785,797 | 164,981 | |||
Lincoln National Corp. | 2,043,914 | 127,274 | ||||
Interactive Brokers Group Inc. Class A | 1,729,668 | 126,335 | ||||
AGNC Investment Corp. | 6,047,110 | 101,350 | ||||
* | Alleghany Corp. | 148,993 | 93,313 | |||
SEI Investments Co. | 1,447,660 | 88,206 | ||||
Tradeweb Markets Inc. Class A | 968,209 | 71,647 | ||||
16,194,899 | ||||||
Health Care (11.0%) | ||||||
* | IDEXX Laboratories Inc. | 1,916,594 | 937,809 | |||
* | Centene Corp. | 13,048,507 | 833,930 | |||
* | IQVIA Holdings Inc. | 4,302,061 | 830,900 | |||
* | Veeva Systems Inc. Class A | 3,059,258 | 799,201 | |||
* | Dexcom Inc. | 2,157,942 | 775,543 | |||
ResMed Inc. | 3,265,452 | 633,563 | ||||
* | Laboratory Corp. of America Holdings | 2,186,354 | 557,586 | |||
* | Teladoc Health Inc. | 3,035,465 | 551,696 | |||
* | Exact Sciences Corp. | 3,795,598 | 500,184 | |||
Cerner Corp. | 6,875,789 | 494,232 | ||||
West Pharmaceutical Services Inc. | 1,663,615 | 468,773 | ||||
Teleflex Inc. | 1,048,480 | 435,601 | ||||
* | Align Technology Inc. | 795,723 | 430,908 | |||
* | Hologic Inc. | 5,785,576 | 430,331 | |||
Cooper Cos. Inc. | 1,103,466 | 423,830 | ||||
* | Seagen Inc. | 3,050,555 | 423,600 | |||
Cardinal Health Inc. | 6,595,135 | 400,654 | ||||
* | Insulet Corp. | 1,483,706 | 387,129 | |||
Quest Diagnostics Inc. | 2,992,204 | 384,019 | ||||
* | Viatris Inc. | 27,298,034 | 381,353 | |||
* | Alnylam Pharmaceuticals Inc. | 2,627,968 | 371,043 | |||
* | Varian Medical Systems Inc. | 2,058,866 | 363,452 | |||
* | Alexion Pharmaceuticals Inc. | 2,343,969 | 358,416 | |||
* | Incyte Corp. | 4,188,626 | 340,410 | |||
* | ABIOMED Inc. | 1,013,932 | 323,170 | |||
DENTSPLY SIRONA Inc. | 4,899,305 | 312,625 | ||||
* | Elanco Animal Health Inc. | 10,578,357 | 311,533 | |||
* | BioMarin Pharmaceutical Inc. | 4,069,097 | 307,257 | |||
Royalty Pharma plc Class A | 6,537,161 | 285,151 | ||||
* | Horizon Therapeutics plc | 2,517,970 | 231,754 | |||
* | Henry Schein Inc. | 3,193,310 | 221,105 | |||
Universal Health Services Inc. Class B | 1,657,561 | 221,102 | ||||
* | Catalent Inc. | 1,907,171 | 200,844 | |||
* | DaVita Inc. | 1,594,005 | 171,786 | |||
* | 10X Genomics Inc. Class A | 819,641 | 148,355 | |||
* | Bio-Rad Laboratories Inc. Class A | 235,835 | 134,702 | |||
* | PPD Inc. | 2,747,067 | 103,949 | |||
* | Oak Street Health Inc. | 1,888,052 | 102,465 | |||
*,1 | GoodRx Holdings Inc. Class A | 857,358 | 33,454 | |||
15,623,415 | ||||||
Industrials (14.1%) | ||||||
Carrier Global Corp. | 19,502,701 | 823,404 | ||||
IHS Markit Ltd. | 8,008,323 | 775,045 | ||||
* | TransDigm Group Inc. | 1,165,789 | 685,391 | |||
Cintas Corp. | 2,002,854 | 683,594 | ||||
AMETEK Inc. | 5,172,498 | 660,683 | ||||
Verisk Analytics Inc. Class A | 3,652,930 | 645,436 | ||||
Ball Corp. | 7,358,562 | 623,565 |
Shares | Market Value ($000) | |||||
* | Mettler-Toledo International Inc. | 525,366 | 607,160 | |||
* | Keysight Technologies Inc. | 4,176,484 | 598,908 | |||
* | Zebra Technologies Corp. Class A | 1,199,792 | 582,115 | |||
Old Dominion Freight Line Inc. | 2,362,200 | 567,896 | ||||
Kansas City Southern | 2,039,690 | 538,315 | ||||
* | United Rentals Inc. | 1,620,959 | 533,798 | |||
Fortive Corp. | 7,206,197 | 509,046 | ||||
Synchrony Financial | 12,438,729 | 505,759 | ||||
* | FleetCor Technologies Inc. | 1,877,961 | 504,477 | |||
Vulcan Materials Co. | 2,975,712 | 502,151 | ||||
Equifax Inc. | 2,730,788 | 494,628 | ||||
Martin Marietta Materials Inc. | 1,396,604 | 469,008 | ||||
Dover Corp. | 3,225,330 | 442,290 | ||||
* | Trimble Inc. | 5,618,778 | 437,085 | |||
Xylem Inc. | 4,043,318 | 425,276 | ||||
* | Ingersoll Rand Inc. | 8,440,238 | 415,344 | |||
Expeditors International of Washington Inc. | 3,797,030 | 408,902 | ||||
WW Grainger Inc. | 999,737 | 400,825 | ||||
* | Waters Corp. | 1,396,754 | 396,916 | |||
TransUnion | 4,282,833 | 385,455 | ||||
Jacobs Engineering Group Inc. | 2,921,784 | 377,699 | ||||
Rockwell Automation Inc. | 1,304,455 | 346,255 | ||||
Masco Corp. | 5,773,047 | 345,806 | ||||
Otis Worldwide Corp. | 4,860,510 | 332,702 | ||||
Westinghouse Air Brake Technologies Corp. | 4,031,587 | 319,140 | ||||
JB Hunt Transport Services Inc. | 1,895,637 | 318,600 | ||||
Westrock Co. | 5,920,576 | 308,166 | ||||
Fortune Brands Home & Security Inc. | 3,115,992 | 298,574 | ||||
Crown Holdings Inc. | 3,020,774 | 293,136 | ||||
CH Robinson Worldwide Inc. | 2,999,594 | 286,251 | ||||
Packaging Corp. of America | 2,125,660 | 285,859 | ||||
Textron Inc. | 5,072,694 | 284,477 | ||||
Snap-on Inc. | 1,215,041 | 280,359 | ||||
* | Generac Holdings Inc. | 704,335 | 230,634 | |||
Western Union Co. | 9,211,061 | 227,145 | ||||
HEICO Corp. Class A | 1,641,763 | 186,504 | ||||
Cognex Corp. | 1,874,265 | 155,545 | ||||
Jack Henry & Associates Inc. | 852,652 | 129,364 | ||||
HEICO Corp. | 966,132 | 121,539 | ||||
* | Mohawk Industries Inc. | 629,770 | 121,111 | |||
Hubbell Inc. Class B | 608,551 | 113,732 | ||||
* | XPO Logistics Inc. | 916,443 | 112,997 | |||
*,1 | Affirm Holdings Inc. Class A | 581,865 | 41,149 | |||
*,1 | Nikola Corp. | 802 | 11 | |||
20,139,227 | ||||||
Real Estate (8.6%) | ||||||
Digital Realty Trust Inc. | 6,289,093 | 885,756 | ||||
* | CoStar Group Inc. | 884,242 | 726,750 | |||
SBA Communications Corp. Class A | 2,464,398 | 683,994 | ||||
Welltower Inc. | 9,365,020 | 670,816 | ||||
Equity Residential | 8,363,582 | 599,083 | ||||
Weyerhaeuser Co. | 16,785,346 | 597,558 | ||||
AvalonBay Communities Inc. | 3,133,225 | 578,111 | ||||
* | CBRE Group Inc. Class A | 7,155,697 | 566,087 | |||
Realty Income Corp. | 8,380,980 | 532,192 | ||||
Alexandria Real Estate Equities Inc. | 3,068,418 | 504,141 | ||||
* | Zillow Group Inc. Class C | 3,476,521 | 450,696 | |||
Ventas Inc. | 8,411,937 | 448,693 |
Shares | Market Value ($000) | |||||
Simon Property Group Inc. | 3,687,790 | 419,560 | ||||
Invitation Homes Inc. | 12,719,613 | 406,901 | ||||
Essex Property Trust Inc. | 1,459,576 | 396,771 | ||||
Extra Space Storage Inc. | 2,949,800 | 390,996 | ||||
Healthpeak Properties Inc. | 12,097,591 | 383,978 | ||||
Sun Communities Inc. | 2,506,680 | 376,102 | ||||
Mid-America Apartment Communities Inc. | 2,565,942 | 370,419 | ||||
Duke Realty Corp. | 8,385,699 | 351,612 | ||||
Boston Properties Inc. | 3,141,508 | 318,109 | ||||
UDR Inc. | 6,653,358 | 291,816 | ||||
WP Carey Inc. | 3,931,947 | 278,225 | ||||
Camden Property Trust | 2,187,003 | 240,374 | ||||
Iron Mountain Inc. | 6,465,455 | 239,287 | ||||
* | Host Hotels & Resorts Inc. | 7,905,886 | 133,214 | |||
* | Zillow Group Inc. Class A | 984,067 | 129,287 | |||
Regency Centers Corp. | 1,903,395 | 107,942 | ||||
VEREIT Inc. | 2,566,966 | 99,136 | ||||
12,177,606 | ||||||
Technology (18.0%) | ||||||
Microchip Technology Inc. | 6,040,332 | 937,580 | ||||
Amphenol Corp. Class A | 13,441,553 | 886,739 | ||||
* | Cadence Design Systems Inc. | 6,258,616 | 857,368 | |||
* | Synopsys Inc. | 3,418,515 | 847,040 | |||
* | DocuSign Inc. Class A | 3,976,253 | 804,992 | |||
* | Match Group Inc. | 5,518,787 | 758,171 | |||
Corning Inc. | 17,241,065 | 750,159 | ||||
Marvell Technology Group Ltd. | 15,074,148 | 738,332 | ||||
Xilinx Inc. | 5,503,520 | 681,886 | ||||
Skyworks Solutions Inc. | 3,700,279 | 678,927 | ||||
* | Palo Alto Networks Inc. | 2,072,853 | 667,583 | |||
* | ANSYS Inc. | 1,947,035 | 661,135 | |||
* | Okta Inc. Class A | 2,720,491 | 599,678 | |||
* | Fortinet Inc. | 3,113,415 | 574,176 | |||
KLA Corp. | 1,727,613 | 570,803 | ||||
Maxim Integrated Products Inc. | 6,010,163 | 549,149 | ||||
* | Twitter Inc. | 8,502,313 | 541,002 | |||
CDW Corp. | 3,209,680 | 532,004 | ||||
* | RingCentral Inc. Class A | 1,716,591 | 511,338 | |||
* | Splunk Inc. | 3,630,339 | 491,838 | |||
* | EPAM Systems Inc. | 1,196,703 | 474,720 | |||
* | Qorvo Inc. | 2,542,819 | 464,573 | |||
Hewlett Packard Enterprise Co. | 29,039,305 | 457,079 | ||||
Teradyne Inc. | 3,741,932 | 455,318 | ||||
* | HubSpot Inc. | 988,504 | 448,988 | |||
* | Pinterest Inc. Class A | 5,969,755 | 441,941 | |||
Western Digital Corp. | 6,528,370 | 435,769 | ||||
* | Slack Technologies Inc. Class A | 10,696,540 | 434,600 | |||
* | VeriSign Inc. | 2,158,522 | 429,028 | |||
* | Paycom Software Inc. | 1,148,720 | 425,095 | |||
* | Coupa Software Inc. | 1,620,729 | 412,443 | |||
* | Datadog Inc. Class A | 4,726,777 | 393,930 | |||
Citrix Systems Inc. | 2,756,508 | 386,904 | ||||
* | Tyler Technologies Inc. | 911,241 | 386,849 | |||
* | IAC/InterActiveCorp | 1,769,951 | 382,858 | |||
* | Akamai Technologies Inc. | 3,649,291 | 371,863 | |||
Seagate Technology plc | 4,784,394 | 367,202 | ||||
* | Crowdstrike Holdings Inc. Class A | 2,005,574 | 366,037 | |||
NetApp Inc. | 5,017,451 | 364,618 |
Shares | Market Value ($000) | |||||
* | Gartner Inc. | 1,893,264 | 345,615 | |||
SS&C Technologies Holdings Inc. | 4,877,088 | 340,762 | ||||
* | Cloudflare Inc. Class A | 4,778,014 | 335,703 | |||
* | Unity Software Inc. | 3,071,952 | 308,148 | |||
* | GoDaddy Inc. Class A | 3,801,045 | 295,037 | |||
* | Zscaler Inc. | 1,654,424 | 284,015 | |||
NortonLifeLock Inc. | 12,390,583 | 263,424 | ||||
* | Black Knight Inc. | 3,343,972 | 247,421 | |||
* | ON Semiconductor Corp. | 4,614,823 | 192,023 | |||
* | Dropbox Inc. Class A | 7,054,419 | 188,071 | |||
* | Zendesk Inc. | 1,319,292 | 174,965 | |||
Monolithic Power Systems Inc. | 481,793 | 170,174 | ||||
* | IPG Photonics Corp. | 780,012 | 164,536 | |||
* | MongoDB Inc. Class A | 607,676 | 162,511 | |||
Leidos Holdings Inc. | 1,590,341 | 153,118 | ||||
* | F5 Networks Inc. | 690,982 | 144,153 | |||
* | ZoomInfo Technologies Inc. Class A | 1,989,369 | 97,280 | |||
* | Palantir Technologies Inc. Class A | 3,927,668 | 91,475 | |||
* | Bumble Inc. Class A | 1,292,609 | 80,633 | |||
* | Qualtrics International Inc. Class A | 591,829 | 19,477 | |||
25,598,256 | ||||||
Telecommunications (2.0%) | ||||||
Motorola Solutions Inc. | 3,792,378 | 713,157 | ||||
* | Liberty Broadband Corp. Class C | 3,563,443 | 535,051 | |||
* | Arista Networks Inc. | 1,285,723 | 388,147 | |||
* | Roku Inc. Class A | 1,065,586 | 347,136 | |||
Lumen Technologies Inc. | 24,643,615 | 328,992 | ||||
* | DISH Network Corp. Class A | 5,482,316 | 198,460 | |||
* | Altice USA Inc. Class A | 5,154,223 | 167,667 | |||
Juniper Networks Inc. | 3,677,953 | 93,163 | ||||
* | Liberty Broadband Corp. Class A | 515,372 | 74,806 | |||
Ubiquiti Inc. | 70,363 | 20,989 | ||||
2,867,568 | ||||||
Utilities (6.0%) | ||||||
Eversource Energy | 7,696,397 | 666,431 | ||||
WEC Energy Group Inc. | 7,076,936 | 662,330 | ||||
Waste Connections Inc. | 5,885,380 | 635,503 | ||||
American Water Works Co. Inc. | 4,069,549 | 610,107 | ||||
DTE Energy Co. | 4,309,944 | 573,826 | ||||
Edison International | 8,496,816 | 497,913 | ||||
PPL Corp. | 17,263,211 | 497,871 | ||||
Ameren Corp. | 5,535,207 | 450,344 | ||||
Entergy Corp. | 4,495,868 | 447,204 | ||||
FirstEnergy Corp. | 12,196,978 | 423,113 | ||||
Consolidated Edison Inc. | 5,382,079 | 402,580 | ||||
AES Corp. | 14,918,301 | 399,960 | ||||
CMS Energy Corp. | 6,489,146 | 397,266 | ||||
* | PG&E Corp. | 33,429,402 | 391,458 | |||
Alliant Energy Corp. | 5,614,333 | 304,072 | ||||
Evergy Inc. | 5,080,635 | 302,450 | ||||
CenterPoint Energy Inc. | 12,212,808 | 276,620 | ||||
NiSource Inc. | 8,783,721 | 211,776 | ||||
Vistra Corp. | 10,026,409 | 177,267 | ||||
NRG Energy Inc. | 2,737,201 | 103,275 | ||||
Pinnacle West Capital Corp. | 1,263,024 | 102,747 |
Shares | Market Value ($000) | |||||
Avangrid Inc. | 1,387,572 | 69,115 | ||||
8,603,228 | ||||||
Total Common Stocks (Cost $84,510,897) | 141,370,258 | |||||
Coupon | ||||||
Temporary Cash Investments (1.2%) | ||||||
Money Market Fund (1.2%) | ||||||
2,3 | Vanguard Market Liquidity Fund (Cost $1,712,263) | 0.081% | 17,124,758 | 1,712,476 | ||
Total Investments (100.4%) (Cost $86,223,160) | 143,082,734 | |||||
Other Assets and Liabilities—Net (-0.4%) | (605,729) | |||||
Net Assets (100%) | 142,477,005 |
Cost is in $000. | |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $684,075,000. |
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 | Collateral of $703,410,000 was received for securities on loan, of which $665,293,000 is held in Vanguard Market Liquidity Fund and $38,117,000 is held in cash. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | June 2021 | 1,532 | 303,903 | 2,803 |
E-mini S&P Mid-Cap 400 Index | June 2021 | 862 | 224,577 | (2,296) |
507 |
Over-the-Counter Total Return Swaps | ||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Floating Interest Rate Received (Paid)1 (%) | Value and Unrealized Appreciation ($000) | Value and Unrealized (Depreciation) ($000) |
Ameren Corp. | 2/2/22 | GSI | 1,182 | (0.108) | 38 | — |
Campbell Soup Co. | 2/2/22 | GSI | 47,600 | (0.108) | 2,668 | — |
Consolidated Edison Inc. | 9/2/21 | BOANA | 39,390 | (0.119) | 5,939 | — |
Consolidated Edison Inc. | 9/2/21 | BOANA | 21,537 | (0.110) | 898 | — |
Consolidated Edison Inc. | 9/2/21 | BOANA | 100,730 | (0.108) | 3,965 | — |
Hormel Foods Corp. | 2/2/22 | GSI | 21,794 | (0.108) | — | (293) |
Over-the-Counter Total Return Swaps (continued) | ||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Floating Interest Rate Received (Paid)1 (%) | Value and Unrealized Appreciation ($000) | Value and Unrealized (Depreciation) ($000) |
International Flavors & Fragrances Inc. | 2/2/22 | GSI | 37,617 | (0.108) | 781 | — |
Match Group Inc. | 9/2/21 | BOANA | 22,928 | (0.119) | — | (2,323) |
RingCentral Inc. Class A | 9/2/21 | BOANA | 32,144 | (0.119) | — | (6,840) |
Roku Inc. Class A | 9/2/21 | BOANA | 71,186 | (0.119) | — | (12,555) |
State Street Corp. | 9/2/22 | BOANA | 109,155 | (0.119) | 16,813 | — |
State Street Corp. | 9/2/22 | BOANA | 33,466 | (0.108) | 133 | — |
Vistra Corp. | 9/2/21 | BOANA | 16,733 | (0.119) | 557 | — |
Williams Cos. Inc. | 9/2/21 | BOANA | 45,680 | (0.119) | 2,501 | — |
34,293 | (22,011) |
1 | Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
1M—1-month. | |
BOANA—Bank of America, N.A. | |
GSI—Goldman Sachs International. |
At March 31, 2021, the counterparties had deposited in segregated accounts securities with a value of $12,491,000 in connection with open over-the-counter swap contracts.
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 beginning 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 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 141,370,258 | — | — | 141,370,258 |
Temporary Cash Investments | 1,712,476 | — | — | 1,712,476 |
Total | 143,082,734 | — | — | 143,082,734 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 2,803 | — | — | 2,803 |
Swap Contracts | — | 34,293 | — | 34,293 |
Total | 2,803 | 34,293 | — | 37,096 |
Liabilities | ||||
Futures Contracts1 | 2,296 | — | — | 2,296 |
Swap Contracts | — | 22,011 | — | 22,011 |
Total | 2,296 | 22,011 | — | 24,307 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |