Vanguard® Value Index Fund
Schedule of Investments (unaudited)
As of September 30, 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 (99.7%) | |||
Basic Materials (2.2%) | |||
Air Products and Chemicals Inc. | 1,663,469 | 426,031 | |
Freeport-McMoRan Inc. | 11,015,572 | 358,337 | |
Newmont Corp. | 5,996,423 | 325,606 | |
Dow Inc. | 5,603,863 | 322,558 | |
International Flavors & Fragrances Inc. | 1,868,880 | 249,907 | |
Nucor Corp. | 2,203,645 | 217,037 | |
LyondellBasell Industries NV Class A | 2,007,799 | 188,432 | |
International Paper Co. | 2,932,335 | 163,976 | |
Avery Dennison Corp. | 621,946 | 128,873 | |
Celanese Corp. Class A | 833,639 | 125,579 | |
Eastman Chemical Co. | 1,018,573 | 102,611 | |
Albemarle Corp. | 438,759 | 96,075 | |
CF Industries Holdings Inc. | 806,818 | 45,037 | |
FMC Corp. | 482,349 | 44,164 | |
Westlake Chemical Corp. | 120,103 | 10,946 | |
2,805,169 | |||
Consumer Discretionary (5.9%) | |||
Walmart Inc. | 10,517,716 | 1,465,959 | |
Target Corp. | 3,676,956 | 841,177 | |
* | General Motors Co. | 9,816,970 | 517,453 |
* | Ford Motor Co. | 29,443,339 | 416,918 |
eBay Inc. | 4,633,889 | 322,843 | |
* | Southwest Airlines Co. | 4,440,236 | 228,361 |
* | Delta Air Lines Inc. | 4,802,234 | 204,623 |
DR Horton Inc. | 2,419,093 | 203,131 | |
Lennar Corp. Class A | 2,147,658 | 201,193 | |
Garmin Ltd. | 1,154,466 | 179,473 | |
Best Buy Co. Inc. | 1,691,483 | 178,807 | |
VF Corp. | 2,651,340 | 177,613 | |
ViacomCBS Inc. Class B | 4,316,962 | 170,563 | |
* | Dollar Tree Inc. | 1,687,733 | 161,550 |
* | CarMax Inc. | 1,222,574 | 156,441 |
* | Carnival Corp. | 6,210,837 | 155,333 |
Darden Restaurants Inc. | 977,852 | 148,115 | |
Genuine Parts Co. | 1,074,609 | 130,275 | |
Omnicom Group Inc. | 1,609,160 | 116,600 | |
* | United Airlines Holdings Inc. | 2,428,376 | 115,518 |
* | Las Vegas Sands Corp. | 3,152,967 | 115,399 |
Advance Auto Parts Inc. | 472,751 | 98,753 | |
Fox Corp. Class A | 2,393,027 | 95,984 | |
Whirlpool Corp. | 470,550 | 95,926 | |
* | LKQ Corp. | 1,874,852 | 94,343 |
Shares | Market Value ($000) | ||
News Corp. Class A | 3,796,115 | 89,323 | |
Hasbro Inc. | 981,299 | 87,552 | |
PulteGroup Inc. | 1,850,245 | 84,963 | |
BorgWarner Inc. (XNYS) | 1,799,562 | 77,759 | |
MGM Resorts International | 1,536,707 | 66,309 | |
Bath & Body Works Inc. | 943,450 | 59,466 | |
* | Discovery Inc. Class C | 2,354,066 | 57,133 |
* | Liberty Media Corp.- Liberty SiriusXM Class C | 1,188,148 | 56,401 |
Interpublic Group of Cos. Inc. | 1,477,295 | 54,172 | |
* | American Airlines Group Inc. | 2,428,476 | 49,832 |
Fox Corp. Class B | 1,170,340 | 43,443 | |
*,1 | GameStop Corp. Class A | 244,981 | 42,987 |
Lear Corp. | 224,172 | 35,078 | |
Aramark | 957,707 | 31,470 | |
*,1 | Discovery Inc. Class A | 1,205,130 | 30,586 |
* | Liberty Media Corp.- Liberty SiriusXM Class A | 597,296 | 28,175 |
ViacomCBS Inc. Class A | 77,901 | 3,277 | |
Lennar Corp. Class B | 15,603 | 1,211 | |
News Corp. Class B | 27,910 | 648 | |
* | Marriott International Inc. Class A | 930 | 138 |
*,1 | Endeavor Group Holdings Inc. Class A | 4,293 | 123 |
* | Royal Caribbean Cruises Ltd. | 758 | 67 |
* | QuantumScape Corp. Class A | 446 | 11 |
7,492,475 | |||
Consumer Staples (9.9%) | |||
Procter & Gamble Co. | 18,219,434 | 2,547,077 | |
PepsiCo Inc. | 10,375,268 | 1,560,544 | |
Coca-Cola Co. | 29,163,682 | 1,530,218 | |
Philip Morris International Inc. | 11,701,982 | 1,109,231 | |
CVS Health Corp. | 9,908,925 | 840,871 | |
Altria Group Inc. | 13,850,069 | 630,455 | |
Mondelez International Inc. Class A | 10,500,184 | 610,901 | |
Kimberly-Clark Corp. | 2,526,802 | 334,650 | |
Sysco Corp. | 3,646,382 | 286,241 | |
General Mills Inc. | 4,548,814 | 272,110 | |
Walgreens Boots Alliance Inc. | 5,516,518 | 259,552 | |
Constellation Brands Inc. Class A | 1,199,354 | 252,692 | |
Archer-Daniels-Midland Co. | 4,197,225 | 251,876 | |
Corteva Inc. | 5,510,956 | 231,901 | |
McKesson Corp. | 1,160,488 | 231,378 | |
Kraft Heinz Co. | 5,048,868 | 185,899 | |
Keurig Dr Pepper Inc. | 5,318,692 | 181,687 | |
Tyson Foods Inc. Class A | 2,212,223 | 174,633 | |
Kroger Co. | 4,045,744 | 163,570 | |
Clorox Co. | 925,519 | 153,275 | |
AmerisourceBergen Corp. Class A | 1,091,179 | 130,341 | |
Kellogg Co. | 1,917,823 | 122,587 | |
Conagra Brands Inc. | 3,603,876 | 122,063 | |
J M Smucker Co. | 772,342 | 92,704 | |
Hormel Foods Corp. | 2,033,484 | 83,373 | |
McCormick & Co. Inc. | 933,986 | 75,681 | |
Campbell Soup Co. | 1,477,657 | 61,781 | |
Molson Coors Beverage Co. Class B | 677,213 | 31,409 | |
* | Olaplex Holdings Inc. | 33,514 | 821 |
12,529,521 | |||
Energy (5.4%) | |||
Exxon Mobil Corp. | 31,787,327 | 1,869,731 |
Shares | Market Value ($000) | ||
Chevron Corp. | 14,520,590 | 1,473,114 | |
ConocoPhillips | 10,061,754 | 681,885 | |
EOG Resources Inc. | 4,381,018 | 351,664 | |
Schlumberger NV | 10,492,716 | 311,004 | |
Marathon Petroleum Corp. | 4,788,797 | 295,995 | |
Kinder Morgan Inc. | 14,455,932 | 241,848 | |
Williams Cos. Inc. | 9,116,104 | 236,472 | |
Phillips 66 | 3,286,327 | 230,141 | |
Valero Energy Corp. | 3,067,452 | 216,470 | |
Occidental Petroleum Corp. | 6,655,819 | 196,879 | |
ONEOK Inc. | 3,343,664 | 193,899 | |
Hess Corp. | 2,090,218 | 163,267 | |
Baker Hughes Co. Class A | 5,905,077 | 146,033 | |
Halliburton Co. | 6,347,225 | 137,227 | |
Devon Energy Corp. | 2,539,870 | 90,191 | |
DTE Midstream LLC | 345 | 16 | |
6,835,836 | |||
Financials (22.0%) | |||
JPMorgan Chase & Co. | 22,430,318 | 3,671,619 | |
* | Berkshire Hathaway Inc. Class B | 13,297,762 | 3,629,491 |
Bank of America Corp. | 56,855,249 | 2,413,505 | |
Wells Fargo & Co. | 30,829,492 | 1,430,797 | |
Citigroup Inc. | 15,217,571 | 1,067,969 | |
Morgan Stanley | 10,961,195 | 1,066,634 | |
Goldman Sachs Group Inc. | 2,531,700 | 957,059 | |
BlackRock Inc. | 1,028,687 | 862,719 | |
Charles Schwab Corp. | 11,544,909 | 840,931 | |
PNC Financial Services Group Inc. | 3,192,201 | 624,522 | |
Blackstone Inc. | 5,147,146 | 598,819 | |
U.S. Bancorp | 10,023,132 | 595,775 | |
Truist Financial Corp. | 10,027,186 | 588,094 | |
Marsh & McLennan Cos. Inc. | 3,805,878 | 576,324 | |
CME Group Inc. | 2,694,963 | 521,152 | |
Intercontinental Exchange Inc. | 4,229,760 | 485,661 | |
Chubb Ltd. | 2,798,505 | 485,485 | |
Progressive Corp. | 4,391,861 | 396,980 | |
American International Group Inc. | 6,431,712 | 353,037 | |
T Rowe Price Group Inc. | 1,702,969 | 334,974 | |
Prudential Financial Inc. | 2,896,666 | 304,729 | |
Bank of New York Mellon Corp. | 5,829,914 | 302,223 | |
MetLife Inc. | 4,822,836 | 297,714 | |
Travelers Cos. Inc. | 1,872,215 | 284,595 | |
Allstate Corp. | 2,218,799 | 282,475 | |
Discover Financial Services | 2,247,288 | 276,079 | |
KKR & Co. Inc. | 4,156,591 | 253,053 | |
Aflac Inc. | 4,530,360 | 236,168 | |
Arthur J Gallagher & Co. | 1,551,361 | 230,610 | |
Ameriprise Financial Inc. | 853,595 | 225,452 | |
Willis Towers Watson plc | 968,242 | 225,078 | |
State Street Corp. | 2,603,616 | 220,578 | |
Fifth Third Bancorp | 5,182,631 | 219,951 | |
Hartford Financial Services Group Inc. | 2,605,111 | 183,009 | |
Huntington Bancshares Inc. | 11,078,731 | 171,277 | |
Nasdaq Inc. | 878,485 | 169,565 | |
Northern Trust Corp. | 1,485,651 | 160,168 | |
KeyCorp. | 7,175,614 | 155,137 | |
Regions Financial Corp. | 7,161,965 | 152,621 | |
Citizens Financial Group Inc. | 3,196,899 | 150,190 |
Shares | Market Value ($000) | ||
M&T Bank Corp. | 965,459 | 144,182 | |
Ally Financial Inc. | 2,705,855 | 138,134 | |
Cincinnati Financial Corp. | 1,148,963 | 131,235 | |
Principal Financial Group Inc. | 2,013,736 | 129,685 | |
Raymond James Financial Inc. | 1,390,044 | 128,273 | |
* | Arch Capital Group Ltd. | 2,823,833 | 107,814 |
Cboe Global Markets Inc. | 800,152 | 99,107 | |
Fidelity National Financial Inc. | 2,033,901 | 92,217 | |
Equitable Holdings Inc. | 3,096,277 | 91,774 | |
Annaly Capital Management Inc. | 10,848,350 | 91,343 | |
Loews Corp. | 1,641,578 | 88,530 | |
Everest Re Group Ltd. | 299,184 | 75,029 | |
W R Berkley Corp. | 999,205 | 73,122 | |
Franklin Resources Inc. | 2,264,131 | 67,290 | |
* | Markel Corp. | 51,980 | 62,123 |
Globe Life Inc. | 687,167 | 61,178 | |
Lincoln National Corp. | 669,864 | 46,053 | |
*,1 | Lucid Group Inc. | 1,516,630 | 38,492 |
* | Alleghany Corp. | 49,416 | 30,856 |
Interactive Brokers Group Inc. Class A | 331,583 | 20,671 | |
Rocket Cos. Inc. Class A | 1,035,892 | 16,616 | |
* | Berkshire Hathaway Inc. Class A | 14 | 5,759 |
1 | UWM Holdings Corp. | 604,430 | 4,201 |
AGNC Investment Corp. | 1,845 | 29 | |
27,745,932 | |||
Health Care (18.3%) | |||
Johnson & Johnson | 19,759,588 | 3,191,174 | |
UnitedHealth Group Inc. | 7,078,887 | 2,766,004 | |
Pfizer Inc. | 42,092,512 | 1,810,399 | |
Abbott Laboratories | 13,309,720 | 1,572,277 | |
Eli Lilly & Co. | 6,463,297 | 1,493,345 | |
AbbVie Inc. | 13,265,914 | 1,430,994 | |
Merck & Co. Inc. | 19,002,981 | 1,427,314 | |
Medtronic plc | 10,095,324 | 1,265,449 | |
Bristol-Myers Squibb Co. | 16,684,550 | 987,225 | |
Amgen Inc. | 4,263,890 | 906,716 | |
Danaher Corp. | 2,410,590 | 733,880 | |
Anthem Inc. | 1,831,110 | 682,638 | |
Gilead Sciences Inc. | 9,416,809 | 657,764 | |
Becton Dickinson and Co. | 2,156,813 | 530,188 | |
Cigna Corp. | 2,552,090 | 510,826 | |
HCA Healthcare Inc. | 1,921,854 | 466,472 | |
Humana Inc. | 964,239 | 375,234 | |
* | Biogen Inc. | 1,118,242 | 316,451 |
* | Centene Corp. | 4,372,845 | 272,472 |
Zimmer Biomet Holdings Inc. | 1,567,017 | 229,349 | |
* | Laboratory Corp. of America Holdings | 723,429 | 203,602 |
Baxter International Inc. | 1,875,609 | 150,855 | |
* | Hologic Inc. | 1,902,052 | 140,391 |
Quest Diagnostics Inc. | 916,853 | 133,228 | |
Viatris Inc. | 9,074,541 | 122,960 | |
Cardinal Health Inc. | 2,179,013 | 107,774 | |
* | Elanco Animal Health Inc. (XNYS) | 3,372,005 | 107,533 |
DENTSPLY SIRONA Inc. | 1,639,883 | 95,195 | |
Royalty Pharma plc Class A | 2,562,939 | 92,625 | |
* | Henry Schein Inc. | 1,048,087 | 79,822 |
Cerner Corp. | 1,107,917 | 78,130 | |
STERIS plc | 374,259 | 76,454 |
Shares | Market Value ($000) | ||
Universal Health Services Inc. Class B | 540,913 | 74,846 | |
* | DaVita Inc. | 471,850 | 54,857 |
* | agilon health Inc. | 293,145 | 7,683 |
23,152,126 | |||
Industrials (14.1%) | |||
Honeywell International Inc. | 5,184,946 | 1,100,660 | |
Raytheon Technologies Corp. | 11,321,898 | 973,230 | |
General Electric Co. | 8,244,021 | 849,381 | |
Caterpillar Inc. | 4,111,907 | 789,363 | |
3M Co. | 4,345,266 | 762,247 | |
American Express Co. | 4,471,090 | 749,042 | |
Deere & Co. | 2,096,090 | 702,337 | |
Lockheed Martin Corp. | 1,767,202 | 609,861 | |
Capital One Financial Corp. | 3,352,549 | 543,012 | |
CSX Corp. | 16,916,960 | 503,110 | |
United Parcel Service Inc. Class B | 2,732,414 | 497,573 | |
Union Pacific Corp. | 2,448,693 | 479,968 | |
Eaton Corp. plc | 2,990,971 | 446,582 | |
Norfolk Southern Corp. | 1,853,191 | 443,376 | |
Illinois Tool Works Inc. | 2,130,084 | 440,139 | |
Emerson Electric Co. | 4,485,610 | 422,544 | |
FedEx Corp. | 1,800,660 | 394,867 | |
Northrop Grumman Corp. | 1,081,229 | 389,405 | |
Johnson Controls International plc | 5,344,394 | 363,846 | |
General Dynamics Corp. | 1,782,870 | 349,496 | |
Carrier Global Corp. | 6,510,925 | 337,005 | |
L3Harris Technologies Inc. | 1,510,061 | 332,576 | |
Trane Technologies plc | 1,782,934 | 307,824 | |
Fidelity National Information Services Inc. | 2,320,710 | 282,384 | |
Parker-Hannifin Corp. | 968,706 | 270,870 | |
DuPont de Nemours Inc. | 3,924,779 | 266,846 | |
Otis Worldwide Corp. | 3,202,273 | 263,483 | |
PPG Industries Inc. | 1,780,969 | 254,696 | |
* | TransDigm Group Inc. | 392,921 | 245,407 |
Cummins Inc. | 1,077,535 | 241,971 | |
AMETEK Inc. | 1,734,179 | 215,056 | |
Stanley Black & Decker Inc. | 1,222,781 | 214,366 | |
Synchrony Financial | 4,274,980 | 208,961 | |
PACCAR Inc. | 2,605,006 | 205,587 | |
* | United Rentals Inc. | 543,218 | 190,631 |
Fortive Corp. | 2,554,682 | 180,284 | |
Dover Corp. | 1,080,167 | 167,966 | |
Xylem Inc. | 1,351,760 | 167,186 | |
* | Ingersoll Rand Inc. | 2,995,038 | 150,980 |
WW Grainger Inc. | 332,110 | 130,539 | |
Jacobs Engineering Group Inc. | 977,876 | 129,598 | |
Textron Inc. | 1,681,633 | 117,395 | |
Westinghouse Air Brake Technologies Corp. | 1,347,567 | 116,174 | |
Ball Corp. | 1,225,414 | 110,251 | |
Masco Corp. | 1,853,868 | 102,982 | |
Westrock Co. | 2,003,470 | 99,833 | |
Crown Holdings Inc. | 985,854 | 99,354 | |
Packaging Corp. of America | 712,679 | 97,951 | |
Fortune Brands Home & Security Inc. | 1,034,656 | 92,519 | |
CH Robinson Worldwide Inc. | 988,174 | 85,971 | |
Snap-on Inc. | 404,925 | 84,609 | |
Martin Marietta Materials Inc. | 233,932 | 79,930 | |
Western Union Co. | 3,048,922 | 61,649 |
Shares | Market Value ($000) | ||
Hubbell Inc. Class B | 204,058 | 36,867 | |
* | Mohawk Industries Inc. | 207,280 | 36,771 |
* | XPO Logistics Inc. | 365,481 | 29,085 |
*,1 | Marqeta Inc. Class A | 475,048 | 10,508 |
17,836,104 | |||
Real Estate (3.1%) | |||
Prologis Inc. | 5,555,983 | 696,887 | |
Simon Property Group Inc. | 2,465,694 | 320,466 | |
Welltower Inc. | 3,170,669 | 261,263 | |
* | CBRE Group Inc. Class A | 2,393,428 | 233,024 |
AvalonBay Communities Inc. | 1,047,558 | 232,181 | |
Equity Residential | 2,669,101 | 215,984 | |
Weyerhaeuser Co. | 5,626,144 | 200,122 | |
Extra Space Storage Inc. | 1,003,964 | 168,656 | |
Ventas Inc. | 2,968,655 | 163,899 | |
Mid-America Apartment Communities Inc. | 870,449 | 162,556 | |
Essex Property Trust Inc. | 487,908 | 156,004 | |
Duke Realty Corp. | 2,838,970 | 135,902 | |
Healthpeak Properties Inc. | 4,043,626 | 135,381 | |
Boston Properties Inc. | 1,054,474 | 114,252 | |
Camden Property Trust | 754,468 | 111,261 | |
Alexandria Real Estate Equities Inc. | 574,493 | 109,768 | |
WP Carey Inc. | 1,421,154 | 103,801 | |
Realty Income Corp. | 1,460,659 | 94,738 | |
Iron Mountain Inc. | 2,171,750 | 94,363 | |
UDR Inc. | 1,113,390 | 58,987 | |
* | Host Hotels & Resorts Inc. | 2,678,243 | 43,736 |
Regency Centers Corp. | 636,857 | 42,880 | |
VEREIT Inc. | 859,363 | 38,869 | |
3,894,980 | |||
Technology (7.1%) | |||
Intel Corp. | 30,455,313 | 1,622,659 | |
Broadcom Inc. | 2,925,845 | 1,418,830 | |
Oracle Corp. | 12,577,382 | 1,095,867 | |
International Business Machines Corp. | 6,450,121 | 896,115 | |
Analog Devices Inc. | 4,038,075 | 676,297 | |
QUALCOMM Inc. | 4,231,991 | 545,842 | |
TE Connectivity Ltd. | 2,466,485 | 338,451 | |
Cognizant Technology Solutions Corp. Class A | 3,943,979 | 292,683 | |
HP Inc. | 9,014,038 | 246,624 | |
Corning Inc. | 5,767,314 | 210,449 | |
* | Dell Technologies Class C | 1,978,878 | 205,882 |
CDW Corp. | 1,031,721 | 187,794 | |
NetApp Inc. | 1,680,790 | 150,868 | |
Hewlett Packard Enterprise Co. | 9,799,574 | 139,644 | |
* | Qorvo Inc. | 834,054 | 139,445 |
Seagate Technology Holdings plc | 1,536,872 | 126,823 | |
* | Western Digital Corp. | 2,184,533 | 123,295 |
NortonLifeLock Inc. | 4,146,238 | 104,900 | |
Citrix Systems Inc. | 931,715 | 100,038 | |
*,1 | UiPath Inc. Class A | 1,757,827 | 92,479 |
* | ON Semiconductor Corp. | 1,615,161 | 73,926 |
Leidos Holdings Inc. | 531,172 | 51,062 | |
* | F5 Networks Inc. | 226,138 | 44,952 |
*,1 | VMware Inc. Class A | 292,978 | 43,566 |
* | Toast Inc. Class A | 832 | 42 |
8,928,533 |
Shares | Market Value ($000) | ||
Telecommunications (5.9%) | |||
Comcast Corp. Class A | 34,386,049 | 1,923,212 | |
Verizon Communications Inc. | 29,525,245 | 1,594,659 | |
Cisco Systems Inc. | 28,473,753 | 1,549,826 | |
AT&T Inc. | 53,598,911 | 1,447,707 | |
* | T-Mobile U.S. Inc. | 4,214,175 | 538,403 |
Motorola Solutions Inc. | 635,123 | 147,552 | |
Lumen Technologies Inc. | 8,292,248 | 102,741 | |
* | DISH Network Corp. Class A | 1,846,552 | 80,251 |
Juniper Networks Inc. | 1,218,579 | 33,535 | |
* | Liberty Broadband Corp. Class C | 539 | 93 |
* | Liberty Broadband Corp. Class A | 55 | 9 |
7,417,988 | |||
Utilities (5.8%) | |||
NextEra Energy Inc. | 14,304,028 | 1,123,152 | |
Duke Energy Corp. | 5,777,045 | 563,782 | |
Southern Co. | 7,961,817 | 493,394 | |
Waste Management Inc. | 3,164,254 | 472,613 | |
Dominion Energy Inc. | 6,075,435 | 443,628 | |
Exelon Corp. | 7,329,396 | 354,303 | |
American Electric Power Co. Inc. | 3,753,763 | 304,730 | |
Sempra Energy | 2,364,178 | 299,068 | |
Xcel Energy Inc. | 4,040,347 | 252,522 | |
Public Service Enterprise Group Inc. | 3,793,399 | 231,018 | |
American Water Works Co. Inc. | 1,361,870 | 230,210 | |
Eversource Energy | 2,578,579 | 210,825 | |
WEC Energy Group Inc. | 2,366,682 | 208,741 | |
Consolidated Edison Inc. | 2,652,211 | 192,524 | |
Republic Services Inc. Class A | 1,553,053 | 186,460 | |
PPL Corp. | 5,773,405 | 160,962 | |
Edison International | 2,848,865 | 158,027 | |
Ameren Corp. | 1,916,376 | 155,226 | |
Entergy Corp. | 1,507,884 | 149,748 | |
DTE Energy Co. | 1,308,356 | 146,156 | |
FirstEnergy Corp. | 4,083,116 | 145,441 | |
* | PG&E Corp. | 14,782,098 | 141,908 |
CMS Energy Corp. | 2,173,252 | 129,808 | |
CenterPoint Energy Inc. | 4,625,059 | 113,776 | |
AES Corp. | 4,750,487 | 108,454 | |
Evergy Inc. | 1,703,211 | 105,940 | |
Alliant Energy Corp. | 1,877,665 | 105,112 | |
NiSource Inc. | 2,943,530 | 71,322 | |
Vistra Corp. | 3,620,337 | 61,908 | |
NRG Energy Inc. | 918,265 | 37,493 | |
Avangrid Inc. | 581,328 | 28,253 | |
Pinnacle West Capital Corp. | 414 | 30 | |
7,386,534 | |||
Total Common Stocks (Cost $93,533,880) | 126,025,198 |
Shares | Market Value ($000) | ||
Temporary Cash Investments (0.2%) | |||
Money Market Fund (0.2%) | |||
2,3 | Vanguard Market Liquidity Fund, 0.068% (Cost $206,061) | 2,060,714 | 206,071 |
Total Investments (99.9%) (Cost $93,739,941) | 126,231,269 | ||
Other Assets and Liabilities—Net (0.1%) | 110,833 | ||
Net Assets (100%) | 126,342,102 | ||
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 $77,659,000. |
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 $80,174,000 was received for securities on loan, of which $79,263,000 is held in Vanguard Market Liquidity Fund and $911,000 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 | December 2021 | 743 | 159,661 | (3,306) |
Over-the-Counter Total Return Swaps | ||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Floating Interest Rate Received (Paid) (%) | Value and Unrealized Appreciation ($000) | Value and Unrealized (Depreciation) ($000) |
International Business Machines Corp. | 8/31/22 | BOANA | 38,900 | (0.050)1 | — | (2) |
Kroger Co. | 1/31/22 | GSI | 41,100 | (0.084)2 | — | (671) |
NextEra Energy Inc. | 8/31/22 | BOANA | 33,371 | (0.050)1 | 162 | — |
162 | (673) |
1 | Based on USD Overnight Bank Funding Rate as of the most recent payment date. Floating interest payment received/paid monthly. |
2 | 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. |
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 September 30, 2021, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 126,025,198 | — | — | 126,025,198 |
Temporary Cash Investments | 206,071 | — | — | 206,071 |
Total | 126,231,269 | — | — | 126,231,269 |
Derivative Financial Instruments | ||||
Assets | ||||
Swap Contracts | — | 162 | — | 162 |
Liabilities | ||||
Futures Contracts1 | 3,306 | — | — | 3,306 |
Swap Contracts | — | 673 | — | 673 |
Total | 3,306 | 673 | — | 3,979 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |