Vanguard® Value Index Fund
Schedule of Investments
(unaudited)
As of March 31, 2022
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 (99.9%) | |||
Basic Materials (2.5%) | |||
Freeport-McMoRan Inc. | 12,077,705 | 600,745 | |
Newmont Corp. | 6,579,435 | 522,736 | |
Air Products and Chemicals Inc. | 1,840,643 | 459,995 | |
Dow Inc. | 6,107,591 | 389,176 | |
Nucor Corp. | 2,372,759 | 352,711 | |
International Flavors & Fragrances Inc. | 2,113,081 | 277,511 | |
LyondellBasell Industries NV Class A | 2,191,425 | 225,322 | |
International Paper Co. | 3,123,764 | 144,162 | |
FMC Corp. | 1,052,632 | 138,495 | |
Celanese Corp. Class A | 896,766 | 128,121 | |
Eastman Chemical Co. | 1,115,799 | 125,036 | |
Avery Dennison Corp. | 684,289 | 119,046 | |
Albemarle Corp. | 485,652 | 107,402 | |
Mosaic Co. | 1,528,070 | 101,617 | |
CF Industries Holdings Inc. | 860,403 | 88,673 | |
Westlake Corp. | 132,717 | 16,377 | |
3,797,125 | |||
Consumer Discretionary (5.4%) | |||
Walmart Inc. | 11,506,661 | 1,713,572 | |
Target Corp. | 3,971,843 | 842,905 | |
Ford Motor Co. | 32,653,735 | 552,175 | |
* | General Motors Co. | 10,856,459 | 474,862 |
* | Dollar Tree Inc. | 1,867,440 | 299,071 |
eBay Inc. | 4,632,991 | 265,285 | |
Activision Blizzard Inc. | 3,072,178 | 246,112 | |
* | Southwest Airlines Co. | 4,918,518 | 225,268 |
* | Delta Air Lines Inc. | 5,315,388 | 210,330 |
DR Horton Inc. | 2,794,267 | 208,201 | |
Lennar Corp. Class A | 2,259,845 | 183,432 | |
Paramount Global Class B | 4,794,528 | 181,281 | |
VF Corp. | 2,904,315 | 165,139 | |
Best Buy Co. Inc. | 1,796,879 | 163,336 | |
Garmin Ltd. | 1,280,261 | 151,852 | |
Genuine Parts Co. | 1,178,918 | 148,567 | |
Omnicom Group Inc. | 1,735,396 | 147,300 | |
Darden Restaurants Inc. | 1,060,344 | 140,973 | |
* | Carnival Corp. | 6,957,982 | 140,690 |
MGM Resorts International | 3,202,539 | 134,314 | |
* | CarMax Inc. | 1,342,150 | 129,491 |
* | United Airlines Holdings Inc. | 2,685,867 | 124,517 |
Advance Auto Parts Inc. | 506,982 | 104,925 | |
Fox Corp. Class A | 2,581,876 | 101,855 |
Shares | Market Value ($000) | ||
News Corp. Class A | 4,211,489 | 93,284 | |
LKQ Corp. | 2,026,235 | 92,011 | |
Hasbro Inc. | 1,095,925 | 89,778 | |
Whirlpool Corp. | 486,534 | 84,063 | |
PulteGroup Inc. | 1,961,016 | 82,167 | |
BorgWarner Inc. (XNYS) | 1,991,814 | 77,482 | |
* | Discovery Inc. Class C | 2,595,441 | 64,808 |
*,1 | Lucid Group Inc. | 2,390,892 | 60,729 |
Interpublic Group of Cos. Inc. | 1,635,831 | 57,990 | |
* | Liberty Media Corp.- Liberty SiriusXM Class C | 1,262,126 | 57,717 |
*,1 | American Airlines Group Inc. | 2,689,606 | 49,085 |
Bath & Body Works Inc. | 1,015,412 | 48,537 | |
Fox Corp. Class B | 1,276,390 | 46,307 | |
*,1 | GameStop Corp. Class A | 269,698 | 44,926 |
Lear Corp. | 248,168 | 35,386 | |
*,1 | Discovery Inc. Class A | 1,348,187 | 33,597 |
* | Liberty Media Corp.- Liberty SiriusXM Class A | 643,835 | 29,430 |
Paramount Global Class A | 84,955 | 3,433 | |
Lennar Corp. Class B | 15,603 | 1,066 | |
News Corp. Class B | 27,910 | 629 | |
8,107,878 | |||
Consumer Staples (10.5%) | |||
Procter & Gamble Co. | 19,890,077 | 3,039,204 | |
Coca-Cola Co. | 32,380,499 | 2,007,591 | |
PepsiCo Inc. | 11,481,051 | 1,921,698 | |
Philip Morris International Inc. | 12,854,887 | 1,207,588 | |
CVS Health Corp. | 10,888,507 | 1,102,026 | |
Altria Group Inc. | 15,232,203 | 795,883 | |
Mondelez International Inc. Class A | 11,515,308 | 722,931 | |
Archer-Daniels-Midland Co. | 4,667,103 | 421,253 | |
McKesson Corp. | 1,243,520 | 380,679 | |
Corteva Inc. | 6,031,386 | 346,684 | |
Kimberly-Clark Corp. | 2,796,510 | 344,418 | |
Sysco Corp. | 4,212,000 | 343,910 | |
General Mills Inc. | 5,008,285 | 339,161 | |
Constellation Brands Inc. Class A | 1,296,057 | 298,508 | |
Keurig Dr Pepper Inc. | 7,064,215 | 267,734 | |
Colgate-Palmolive Co. | 3,488,754 | 264,552 | |
Kroger Co. | 4,492,697 | 257,746 | |
Walgreens Boots Alliance Inc. | 5,732,409 | 256,640 | |
Kraft Heinz Co. | 5,587,199 | 220,080 | |
Tyson Foods Inc. Class A | 2,428,154 | 217,635 | |
McCormick & Co. Inc. | 2,073,243 | 206,910 | |
AmerisourceBergen Corp. Class A | 1,301,949 | 201,424 | |
Clorox Co. | 1,020,698 | 141,908 | |
Kellogg Co. | 2,126,738 | 137,153 | |
Conagra Brands Inc. | 3,981,875 | 133,672 | |
Hormel Foods Corp. | 2,249,697 | 115,949 | |
J M Smucker Co. | 854,590 | 115,720 | |
Campbell Soup Co. | 1,627,149 | 72,522 | |
Molson Coors Beverage Co. Class B | 747,293 | 39,890 | |
Albertsons Cos. Inc. Class A | 600,709 | 19,974 | |
Lamb Weston Holdings Inc. | 298,972 | 17,911 | |
15,958,954 | |||
Energy (7.4%) | |||
Exxon Mobil Corp. | 35,125,328 | 2,901,001 | |
Chevron Corp. | 16,158,910 | 2,631,155 |
Shares | Market Value ($000) | ||
ConocoPhillips | 10,774,911 | 1,077,491 | |
EOG Resources Inc. | 4,859,950 | 579,452 | |
Schlumberger NV | 11,629,755 | 480,425 | |
Occidental Petroleum Corp. | 7,353,364 | 417,230 | |
Marathon Petroleum Corp. | 4,692,432 | 401,203 | |
Valero Energy Corp. | 3,397,546 | 344,987 | |
Williams Cos. Inc. | 10,085,650 | 336,961 | |
Devon Energy Corp. | 5,513,573 | 326,018 | |
Kinder Morgan Inc. | 16,940,419 | 320,343 | |
Phillips 66 | 3,639,424 | 314,410 | |
Baker Hughes Co. Class A | 7,517,758 | 273,722 | |
ONEOK Inc. | 3,700,912 | 261,395 | |
Halliburton Co. | 6,713,241 | 254,230 | |
Hess Corp. | 2,313,908 | 247,681 | |
Continental Resources Inc. | 150,969 | 9,259 | |
11,176,963 | |||
Financials (20.1%) | |||
* | Berkshire Hathaway Inc. Class B | 14,512,955 | 5,121,767 |
JPMorgan Chase & Co. | 24,502,982 | 3,340,247 | |
Bank of America Corp. | 56,918,629 | 2,346,186 | |
Wells Fargo & Co. | 31,645,798 | 1,533,555 | |
Charles Schwab Corp. | 12,796,628 | 1,078,884 | |
Morgan Stanley | 11,821,725 | 1,033,219 | |
Goldman Sachs Group Inc. | 2,836,290 | 936,259 | |
Citigroup Inc. | 16,460,557 | 878,994 | |
BlackRock Inc. | 1,134,212 | 866,731 | |
Marsh & McLennan Cos. Inc. | 4,169,912 | 710,636 | |
CME Group Inc. | 2,984,198 | 709,821 | |
Chubb Ltd. | 3,036,401 | 649,486 | |
PNC Financial Services Group Inc. | 3,482,868 | 642,415 | |
Truist Financial Corp. | 11,007,349 | 624,117 | |
Intercontinental Exchange Inc. | 4,665,417 | 616,395 | |
US Bancorp | 11,073,395 | 588,551 | |
Progressive Corp. | 4,845,149 | 552,299 | |
American International Group Inc. | 6,764,937 | 424,635 | |
Blackstone Inc. | 2,924,809 | 371,275 | |
Prudential Financial Inc. | 3,124,515 | 369,224 | |
Travelers Cos. Inc. | 2,005,265 | 366,422 | |
MetLife Inc. | 5,139,247 | 361,186 | |
Allstate Corp. | 2,311,011 | 320,098 | |
Aflac Inc. | 4,857,211 | 312,756 | |
Arthur J Gallagher & Co. | 1,731,215 | 302,270 | |
Bank of New York Mellon Corp. | 6,009,940 | 298,273 | |
T Rowe Price Group Inc. | 1,893,693 | 286,307 | |
Ameriprise Financial Inc. | 929,207 | 279,097 | |
KKR & Co. Inc. | 4,614,241 | 269,795 | |
Discover Financial Services | 2,390,821 | 263,445 | |
State Street Corp. | 2,887,391 | 251,550 | |
Fifth Third Bancorp | 5,674,591 | 244,234 | |
Willis Towers Watson plc | 977,552 | 230,917 | |
Hartford Financial Services Group Inc. | 2,753,393 | 197,721 | |
Northern Trust Corp. | 1,637,956 | 190,740 | |
M&T Bank Corp. | 1,070,880 | 181,514 | |
Huntington Bancshares Inc. | 11,932,596 | 174,455 | |
Regions Financial Corp. | 7,776,788 | 173,111 | |
KeyCorp. | 7,699,691 | 172,319 | |
Cincinnati Financial Corp. | 1,260,017 | 171,312 | |
Raymond James Financial Inc. | 1,551,655 | 170,542 |
Shares | Market Value ($000) | ||
Nasdaq Inc. | 956,132 | 170,383 | |
Principal Financial Group Inc. | 2,167,762 | 159,135 | |
Citizens Financial Group Inc. | 3,503,185 | 158,799 | |
* | Arch Capital Group Ltd. | 3,047,148 | 147,543 |
Ally Financial Inc. | 2,805,730 | 121,993 | |
Loews Corp. | 1,753,132 | 113,638 | |
W R Berkley Corp. | 1,651,169 | 109,951 | |
Fidelity National Financial Inc. | 2,238,156 | 109,312 | |
Cboe Global Markets Inc. | 885,355 | 101,302 | |
Equitable Holdings Inc. | 3,246,204 | 100,340 | |
Everest Re Group Ltd. | 326,028 | 98,258 | |
Annaly Capital Management Inc. | 12,160,772 | 85,612 | |
* | Markel Corp. | 53,665 | 79,169 |
Franklin Resources Inc. | 2,501,747 | 69,849 | |
* | Alleghany Corp. | 53,486 | 45,303 |
Lincoln National Corp. | 643,893 | 42,085 | |
Globe Life Inc. | 371,874 | 37,411 | |
Interactive Brokers Group Inc. Class A | 387,215 | 25,521 | |
1 | Rocket Cos. Inc. Class A | 1,123,943 | 12,498 |
1 | UWM Holdings Corp. | 362,206 | 1,641 |
30,402,503 | |||
Health Care (19.3%) | |||
UnitedHealth Group Inc. | 7,806,813 | 3,981,240 | |
Johnson & Johnson | 21,820,107 | 3,867,178 | |
Pfizer Inc. | 46,651,790 | 2,415,163 | |
AbbVie Inc. | 14,676,786 | 2,379,254 | |
Eli Lilly & Co. | 7,111,293 | 2,036,461 | |
Abbott Laboratories | 14,631,666 | 1,731,804 | |
Merck & Co. Inc. | 20,956,965 | 1,719,519 | |
Bristol-Myers Squibb Co. | 18,084,899 | 1,320,740 | |
Medtronic plc | 11,137,634 | 1,235,721 | |
Amgen Inc. | 4,620,917 | 1,117,430 | |
Anthem Inc. | 2,000,905 | 982,885 | |
Danaher Corp. | 2,672,570 | 783,945 | |
Cigna Corp. | 2,660,686 | 637,527 | |
Becton Dickinson and Co. | 2,361,453 | 628,147 | |
Gilead Sciences Inc. | 10,395,836 | 618,033 | |
HCA Healthcare Inc. | 1,890,335 | 473,756 | |
Humana Inc. | 1,051,267 | 457,480 | |
* | Centene Corp. | 4,838,680 | 407,369 |
Baxter International Inc. | 4,170,248 | 323,361 | |
* | Biogen Inc. | 1,219,887 | 256,908 |
Cerner Corp. | 2,435,197 | 227,837 | |
Zimmer Biomet Holdings Inc. | 1,736,258 | 222,067 | |
* | Laboratory Corp. of America Holdings | 794,462 | 209,468 |
* | Hologic Inc. | 2,073,954 | 159,321 |
Quest Diagnostics Inc. | 987,808 | 135,191 | |
Cardinal Health Inc. | 2,298,755 | 130,339 | |
Royalty Pharma plc Class A | 2,874,059 | 111,973 | |
Viatris Inc. | 10,037,812 | 109,211 | |
STERIS plc | 415,885 | 100,549 | |
* | Henry Schein Inc. | 1,138,534 | 99,269 |
* | Elanco Animal Health Inc. (XNYS) | 3,730,636 | 97,332 |
DENTSPLY SIRONA Inc. | 1,814,576 | 89,313 | |
Universal Health Services Inc. Class B | 576,539 | 83,569 | |
Teleflex Inc. | 194,192 | 68,905 | |
* | DaVita Inc. | 479,560 | 54,243 |
Shares | Market Value ($000) | ||
* | Zimvie Inc. | 1 | — |
29,272,508 | |||
Industrials (13.6%) | |||
Raytheon Technologies Corp. | 12,379,751 | 1,226,462 | |
Honeywell International Inc. | 5,684,763 | 1,106,141 | |
Lockheed Martin Corp. | 2,258,727 | 997,002 | |
Caterpillar Inc. | 4,444,700 | 990,368 | |
Deere & Co. | 2,290,030 | 951,416 | |
American Express Co. | 4,723,924 | 883,374 | |
General Electric Co. | 9,111,951 | 833,744 | |
Union Pacific Corp. | 2,640,248 | 721,342 | |
3M Co. | 4,730,046 | 704,209 | |
CSX Corp. | 18,209,241 | 681,936 | |
United Parcel Service Inc. Class B | 3,041,104 | 652,195 | |
Norfolk Southern Corp. | 1,990,593 | 567,757 | |
Northrop Grumman Corp. | 1,166,326 | 521,604 | |
Fidelity National Information Services Inc. | 5,060,754 | 508,201 | |
Eaton Corp. plc | 3,310,687 | 502,430 | |
Illinois Tool Works Inc. | 2,338,312 | 489,643 | |
Emerson Electric Co. | 4,931,190 | 483,503 | |
General Dynamics Corp. | 1,959,721 | 472,645 | |
FedEx Corp. | 1,980,028 | 458,159 | |
Capital One Financial Corp. | 3,430,553 | 450,397 | |
L3Harris Technologies Inc. | 1,628,976 | 404,752 | |
Johnson Controls International plc | 5,832,883 | 382,462 | |
Carrier Global Corp. | 7,102,337 | 325,784 | |
Parker-Hannifin Corp. | 1,066,517 | 302,635 | |
Trane Technologies plc | 1,930,304 | 294,757 | |
DuPont de Nemours Inc. | 3,832,093 | 281,965 | |
Otis Worldwide Corp. | 3,527,872 | 271,470 | |
PPG Industries Inc. | 1,959,049 | 256,773 | |
AMETEK Inc. | 1,923,784 | 256,210 | |
Cummins Inc. | 1,182,377 | 242,517 | |
PACCAR Inc. | 2,597,009 | 228,719 | |
* | United Rentals Inc. | 601,067 | 213,505 |
Stanley Black & Decker Inc. | 1,355,919 | 189,544 | |
Dover Corp. | 1,195,971 | 187,648 | |
WW Grainger Inc. | 360,550 | 185,968 | |
Fortive Corp. | 2,832,304 | 172,572 | |
Ingersoll Rand Inc. | 3,385,544 | 170,462 | |
Synchrony Financial | 4,327,178 | 150,629 | |
Jacobs Engineering Group Inc. | 1,072,847 | 147,849 | |
* | TransDigm Group Inc. | 218,741 | 142,518 |
Westinghouse Air Brake Technologies Corp. | 1,461,453 | 140,548 | |
Textron Inc. | 1,798,314 | 133,759 | |
Crown Holdings Inc. | 1,061,430 | 132,774 | |
Xylem Inc. | 1,496,502 | 127,592 | |
Packaging Corp. of America | 776,326 | 121,192 | |
Ball Corp. | 1,334,577 | 120,112 | |
CH Robinson Worldwide Inc. | 1,069,181 | 115,161 | |
Westrock Co. | 2,186,107 | 102,813 | |
Masco Corp. | 1,991,588 | 101,571 | |
Martin Marietta Materials Inc. | 258,934 | 99,661 | |
Snap-on Inc. | 443,271 | 91,083 | |
Fortune Brands Home & Security Inc. | 1,126,449 | 83,673 | |
* | FleetCor Technologies Inc. | 320,310 | 79,776 |
Hubbell Inc. Class B | 225,993 | 41,531 | |
* | Mohawk Industries Inc. | 216,103 | 26,840 |
Shares | Market Value ($000) | ||
* | Marqeta Inc. Class A | 672,824 | 7,428 |
* | Aurora Innovation Inc. | 194,925 | 1,090 |
20,537,871 | |||
Real Estate (3.4%) | |||
Prologis Inc. | 6,136,964 | 990,997 | |
Simon Property Group Inc. | 2,838,469 | 373,429 | |
Welltower Inc. | 3,712,868 | 356,955 | |
AvalonBay Communities Inc. | 1,160,116 | 288,138 | |
Alexandria Real Estate Equities Inc. | 1,328,047 | 267,269 | |
Equity Residential | 2,953,299 | 265,561 | |
* | CBRE Group Inc. Class A | 2,639,436 | 241,561 |
Weyerhaeuser Co. | 6,195,560 | 234,812 | |
Extra Space Storage Inc. | 1,111,659 | 228,557 | |
Ventas Inc. | 3,301,673 | 203,911 | |
Mid-America Apartment Communities Inc. | 957,497 | 200,548 | |
Essex Property Trust Inc. | 540,108 | 186,597 | |
Duke Realty Corp. | 3,177,898 | 184,509 | |
Realty Income Corp. | 2,455,234 | 170,148 | |
Healthpeak Properties Inc. | 4,475,294 | 153,637 | |
Boston Properties Inc. | 1,169,358 | 150,613 | |
Camden Property Trust | 858,694 | 142,715 | |
Iron Mountain Inc. | 2,403,285 | 133,166 | |
WP Carey Inc. | 1,581,719 | 127,866 | |
VICI Properties Inc. | 3,104,694 | 88,360 | |
UDR Inc. | 1,320,313 | 75,746 | |
Host Hotels & Resorts Inc. | 2,967,646 | 57,661 | |
Regency Centers Corp. | 710,522 | 50,689 | |
5,173,445 | |||
Technology (6.8%) | |||
Broadcom Inc. | 3,228,062 | 2,032,646 | |
Intel Corp. | 33,782,628 | 1,674,267 | |
Oracle Corp. | 12,184,230 | 1,008,001 | |
International Business Machines Corp. | 7,180,056 | 933,551 | |
Analog Devices Inc. | 4,337,457 | 716,461 | |
QUALCOMM Inc. | 4,678,025 | 714,896 | |
Cognizant Technology Solutions Corp. Class A | 4,355,474 | 390,555 | |
TE Connectivity Ltd. | 2,693,401 | 352,782 | |
HP Inc. | 8,744,330 | 317,419 | |
Corning Inc. | 6,319,000 | 233,234 | |
* | ON Semiconductor Corp. | 3,589,881 | 224,763 |
CDW Corp. | 1,126,424 | 201,506 | |
VMware Inc. Class A | 1,744,789 | 198,679 | |
Hewlett Packard Enterprise Co. | 10,795,586 | 180,394 | |
Seagate Technology Holdings plc | 1,726,054 | 155,172 | |
NetApp Inc. | 1,844,908 | 153,127 | |
* | Western Digital Corp. | 2,467,905 | 122,532 |
NortonLifeLock Inc. | 4,591,117 | 121,756 | |
* | Dell Technologies Inc. Class C | 2,286,842 | 114,777 |
* | Qorvo Inc. | 900,138 | 111,707 |
Citrix Systems Inc. | 1,042,018 | 105,140 | |
* | Akamai Technologies Inc. | 674,896 | 80,576 |
Leidos Holdings Inc. | 583,261 | 63,004 | |
* | F5 Inc. | 251,698 | 52,592 |
* | UiPath Inc. Class A | 2,387,962 | 51,556 |
* | IAC/InterActiveCorp. | 330,310 | 33,124 |
10,344,217 |
Shares | Market Value ($000) | ||
Telecommunications (4.8%) | |||
Comcast Corp. Class A | 37,533,838 | 1,757,334 | |
Cisco Systems Inc. | 31,012,536 | 1,729,259 | |
Verizon Communications Inc. | 31,351,843 | 1,597,063 | |
AT&T Inc. | 59,243,401 | 1,399,922 | |
* | T-Mobile US Inc. | 2,593,964 | 332,935 |
Motorola Solutions Inc. | 698,102 | 169,080 | |
Lumen Technologies Inc. | 8,495,354 | 95,743 | |
* | DISH Network Corp. Class A | 2,050,995 | 64,914 |
Juniper Networks Inc. | 1,337,375 | 49,697 | |
7,195,947 | |||
Utilities (6.1%) | |||
NextEra Energy Inc. | 15,855,286 | 1,343,101 | |
Duke Energy Corp. | 6,385,291 | 712,982 | |
Southern Co. | 8,799,190 | 638,029 | |
Dominion Energy Inc. | 6,724,186 | 571,354 | |
Waste Management Inc. | 3,436,409 | 544,671 | |
Sempra Energy (XNYS) | 2,610,933 | 438,950 | |
American Electric Power Co. Inc. | 4,186,734 | 417,710 | |
Exelon Corp. | 8,122,296 | 386,865 | |
Xcel Energy Inc. | 4,517,929 | 326,059 | |
Public Service Enterprise Group Inc. | 4,197,107 | 293,797 | |
Consolidated Edison Inc. | 2,939,786 | 278,339 | |
WEC Energy Group Inc. | 2,618,191 | 261,322 | |
Eversource Energy | 2,859,196 | 252,152 | |
American Water Works Co. Inc. | 1,507,515 | 249,539 | |
Republic Services Inc. Class A | 1,708,020 | 226,313 | |
Edison International | 3,153,148 | 221,036 | |
FirstEnergy Corp. | 4,734,610 | 217,129 | |
Ameren Corp. | 2,120,717 | 198,838 | |
Entergy Corp. | 1,681,941 | 196,367 | |
* | PG&E Corp. | 16,362,042 | 195,363 |
DTE Energy Co. | 1,447,557 | 191,382 | |
PPL Corp. | 6,102,137 | 174,277 | |
CMS Energy Corp. | 2,405,750 | 168,258 | |
CenterPoint Energy Inc. | 5,220,583 | 159,959 | |
AES Corp. | 5,259,951 | 135,339 | |
Alliant Energy Corp. | 2,078,165 | 129,844 | |
Evergy Inc. | 1,884,389 | 128,779 | |
NiSource Inc. | 3,366,517 | 107,055 | |
Vistra Corp. | 4,007,184 | 93,167 | |
Avangrid Inc. | 640,661 | 29,944 | |
9,287,920 | |||
Total Common Stocks (Cost $108,960,538) | 151,255,331 |
Shares | Market Value ($000) | ||
Temporary Cash Investments (0.1%) | |||
Money Market Fund (0.1%) | |||
2,3 | Vanguard Market Liquidity Fund, 0.312% (Cost $180,585) | 1,806,123 | 180,594 |
Total Investments (100.0%) (Cost $109,141,123) | 151,435,925 | ||
Other Assets and Liabilities—Net (0.0%) | 73,142 | ||
Net Assets (100%) | 151,509,067 | ||
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 $80,911,000. |
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 $86,153,000 was received for securities on loan. |
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 2022 | 569 | 128,900 | (497) |
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) |
International Business Machines Corp. | 8/31/22 | BANA | 36,405 | (0.070) | 457 | — |
Kroger Co. | 1/31/23 | GSI | 56,190 | (0.070) | 1,178 | — |
NextEra Energy Inc. | 8/31/22 | BANA | 36,002 | (0.070) | 179 | — |
1,814 | — |
1 | Based on 1M USD Overnight Bank Funding Rate as of the most recent payment date. Floating interest payment received/paid monthly. |
1M—1-month. | |
BANA—Bank of America, N.A. | |
GSI—Goldman Sachs International. |
At March 31, 2022, the
counterparties had deposited in segregated accounts securities with a value of $7,261,000 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.
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, 2022, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 151,255,331 | — | — | 151,255,331 |
Temporary Cash Investments | 180,594 | — | — | 180,594 |
Total | 151,435,925 | — | — | 151,435,925 |
Derivative Financial Instruments | ||||
Assets | ||||
Swap Contracts | — | 1,814 | — | 1,814 |
Liabilities | ||||
Futures Contracts1 | 497 | — | — | 497 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |