Vanguard® Value Index Fund
Schedule of Investments (unaudited)
As of September 30, 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 (2.1%) | |||
Air Products and Chemicals Inc. | 1,946,275 | 452,957 | |
Freeport-McMoRan Inc. | 12,532,338 | 342,509 | |
Newmont Corp. | 6,972,723 | 293,063 | |
Dow Inc. | 6,309,147 | 277,161 | |
Nucor Corp. | 2,299,997 | 246,077 | |
International Flavors & Fragrances Inc. | 2,239,663 | 203,429 | |
LyondellBasell Industries NV Class A | 2,292,384 | 172,571 | |
CF Industries Holdings Inc. | 1,750,722 | 168,507 | |
Mosaic Co. | 3,033,579 | 146,613 | |
FMC Corp. | 1,106,540 | 116,961 | |
Avery Dennison Corp. | 713,872 | 116,147 | |
International Paper Co. | 3,180,245 | 100,814 | |
Celanese Corp. Class A | 856,569 | 77,382 | |
Eastman Chemical Co. | 1,078,894 | 76,655 | |
Westlake Corp. | 141,270 | 12,273 | |
2,803,119 | |||
Consumer Discretionary (5.0%) | |||
Walmart Inc. | 12,035,576 | 1,561,014 | |
Target Corp. | 4,037,591 | 599,138 | |
General Motors Co. | 12,153,971 | 390,021 | |
Ford Motor Co. | 34,641,960 | 387,990 | |
* | Dollar Tree Inc. | 1,868,951 | 254,364 |
Activision Blizzard Inc. | 3,092,850 | 229,922 | |
* | Warner Bros Discovery Inc. | 19,195,216 | 220,745 |
Genuine Parts Co. | 1,242,680 | 185,557 | |
DR Horton Inc. | 2,747,417 | 185,039 | |
eBay Inc. | 4,826,724 | 177,672 | |
Lennar Corp. Class A | 2,320,059 | 172,960 | |
* | Southwest Airlines Co. | 5,213,161 | 160,774 |
* | Delta Air Lines Inc. | 5,634,106 | 158,093 |
Darden Restaurants Inc. | 1,076,978 | 136,044 | |
Omnicom Group Inc. | 1,800,006 | 113,562 | |
Best Buy Co. Inc. | 1,780,206 | 112,758 | |
Garmin Ltd. | 1,355,407 | 108,853 | |
LKQ Corp. | 2,289,916 | 107,970 | |
* | United Airlines Holdings Inc. | 2,870,800 | 93,387 |
* | CarMax Inc. | 1,398,344 | 92,319 |
VF Corp. | 3,071,186 | 91,859 | |
Advance Auto Parts Inc. | 528,052 | 82,556 | |
MGM Resorts International | 2,763,560 | 82,133 | |
Fox Corp. Class A | 2,652,135 | 81,368 | |
1 | Paramount Global Inc. Class B | 4,249,572 | 80,912 |
Shares | Market Value ($000) | ||
Hasbro Inc. | 1,152,428 | 77,697 | |
PulteGroup Inc. | 2,033,583 | 76,259 | |
*,1 | Lucid Group Inc. | 5,146,826 | 71,901 |
News Corp. Class A | 4,398,211 | 66,457 | |
BorgWarner Inc. (XNYS) | 2,080,331 | 65,322 | |
Whirlpool Corp. | 478,865 | 64,556 | |
* | Carnival Corp. | 8,672,784 | 60,970 |
* | Liberty Media Corp.- Liberty SiriusXM Class C | 1,307,318 | 49,299 |
Interpublic Group of Cos. Inc. | 1,718,790 | 44,001 | |
Fox Corp. Class B | 1,217,967 | 34,712 | |
* | American Airlines Group Inc. | 2,849,614 | 34,309 |
Lear Corp. | 260,719 | 31,205 | |
Bath & Body Works Inc. | 952,651 | 31,056 | |
*,1 | GameStop Corp. Class A | 1,137,005 | 28,573 |
* | Liberty Media Corp.- Liberty SiriusXM Class A | 686,301 | 26,128 |
1 | Paramount Global Class A | 114,325 | 2,463 |
Lennar Corp. Class B | 15,603 | 929 | |
News Corp. Class B | 27,910 | 430 | |
6,633,277 | |||
Consumer Staples (11.4%) | |||
Procter & Gamble Co. | 20,981,132 | 2,648,868 | |
PepsiCo Inc. | 12,120,793 | 1,978,841 | |
Coca-Cola Co. | 34,182,737 | 1,914,917 | |
Philip Morris International Inc. | 13,612,638 | 1,129,985 | |
CVS Health Corp. | 11,523,338 | 1,098,981 | |
Mondelez International Inc. Class A | 12,028,313 | 659,512 | |
Altria Group Inc. | 15,800,252 | 638,014 | |
McKesson Corp. | 1,262,653 | 429,138 | |
General Mills Inc. | 5,233,533 | 400,941 | |
Archer-Daniels-Midland Co. | 4,916,606 | 395,541 | |
Corteva Inc. | 6,360,347 | 363,494 | |
Kimberly-Clark Corp. | 2,965,853 | 333,777 | |
Sysco Corp. | 4,466,721 | 315,842 | |
Constellation Brands Inc. Class A | 1,256,927 | 288,691 | |
Keurig Dr Pepper Inc. | 7,445,750 | 266,707 | |
Colgate-Palmolive Co. | 3,662,982 | 257,324 | |
Kraft Heinz Co. | 6,995,256 | 233,292 | |
Kroger Co. | 4,657,368 | 203,760 | |
Walgreens Boots Alliance Inc. | 6,452,949 | 202,623 | |
AmerisourceBergen Corp. Class A | 1,365,542 | 184,799 | |
Tyson Foods Inc. Class A | 2,544,297 | 167,745 | |
McCormick & Co. Inc. | 2,200,445 | 156,826 | |
Kellogg Co. | 2,240,773 | 156,092 | |
Clorox Co. | 1,081,853 | 138,899 | |
Conagra Brands Inc. | 4,222,196 | 137,770 | |
J M Smucker Co. | 889,325 | 122,202 | |
Hormel Foods Corp. | 2,398,440 | 108,985 | |
Campbell Soup Co. | 1,716,192 | 80,867 | |
Molson Coors Beverage Co. Class B | 792,012 | 38,009 | |
Albertsons Cos. Inc. Class A | 1,399,736 | 34,797 | |
15,087,239 | |||
Energy (7.9%) | |||
Exxon Mobil Corp. | 36,588,164 | 3,194,513 | |
Chevron Corp. | 15,465,664 | 2,221,952 | |
ConocoPhillips | 11,177,967 | 1,143,953 | |
EOG Resources Inc. | 5,142,716 | 574,596 | |
Schlumberger NV | 12,406,980 | 445,411 |
Shares | Market Value ($000) | ||
Marathon Petroleum Corp. | 4,380,865 | 435,151 | |
Occidental Petroleum Corp. | 6,138,541 | 377,213 | |
Valero Energy Corp. | 3,461,052 | 369,813 | |
Devon Energy Corp. | 5,753,087 | 345,933 | |
Phillips 66 | 4,226,109 | 341,132 | |
Williams Cos. Inc. | 10,706,126 | 306,516 | |
Kinder Morgan Inc. | 16,827,638 | 280,012 | |
ONEOK Inc. | 3,925,668 | 201,151 | |
Baker Hughes Co. Class A | 4,443,821 | 93,142 | |
Halliburton Co. | 3,585,200 | 88,268 | |
Continental Resources Inc. | 476,897 | 31,862 | |
10,450,618 | |||
Financials (19.0%) | |||
* | Berkshire Hathaway Inc. Class B | 15,229,181 | 4,066,496 |
JPMorgan Chase & Co. | 25,750,828 | 2,690,962 | |
Bank of America Corp. | 59,976,220 | 1,811,282 | |
Wells Fargo & Co. | 33,308,912 | 1,339,684 | |
Charles Schwab Corp. | 13,570,658 | 975,323 | |
Morgan Stanley | 11,301,240 | 892,911 | |
Goldman Sachs Group Inc. | 2,810,894 | 823,732 | |
BlackRock Inc. | 1,256,845 | 691,617 | |
Citigroup Inc. | 16,145,953 | 672,802 | |
Marsh & McLennan Cos. Inc. | 4,379,923 | 653,879 | |
Chubb Ltd. | 3,483,385 | 633,558 | |
Progressive Corp. | 5,131,890 | 596,377 | |
CME Group Inc. | 3,154,024 | 558,672 | |
PNC Financial Services Group Inc. | 3,599,505 | 537,838 | |
Truist Financial Corp. | 11,637,646 | 506,703 | |
US Bancorp | 11,748,312 | 473,692 | |
Intercontinental Exchange Inc. | 4,906,309 | 443,285 | |
Travelers Cos. Inc. | 2,084,970 | 319,417 | |
MetLife Inc. | 5,245,279 | 318,808 | |
American International Group Inc. | 6,667,771 | 316,586 | |
Arthur J Gallagher & Co. | 1,847,867 | 316,392 | |
Allstate Corp. | 2,373,242 | 295,540 | |
Aflac Inc. | 4,998,333 | 280,906 | |
Prudential Financial Inc. | 3,273,619 | 280,811 | |
M&T Bank Corp. | 1,542,932 | 272,050 | |
Bank of New York Mellon Corp. | 6,390,304 | 246,154 | |
KKR & Co. Inc. | 5,663,851 | 243,546 | |
Ameriprise Financial Inc. | 950,443 | 239,464 | |
Discover Financial Services | 2,400,129 | 218,220 | |
T Rowe Price Group Inc. | 1,982,953 | 208,230 | |
Willis Towers Watson plc | 966,157 | 194,140 | |
Fifth Third Bancorp | 6,027,763 | 192,647 | |
Hartford Financial Services Group Inc. | 2,838,993 | 175,847 | |
Nasdaq Inc. | 3,021,505 | 171,259 | |
Raymond James Financial Inc. | 1,706,717 | 168,658 | |
Huntington Bancshares Inc. | 12,668,259 | 166,968 | |
Regions Financial Corp. | 8,208,114 | 164,737 | |
Principal Financial Group Inc. | 2,189,473 | 157,970 | |
Citizens Financial Group Inc. | 4,354,047 | 149,605 | |
Northern Trust Corp. | 1,739,390 | 148,822 | |
State Street Corp. | 2,313,348 | 140,675 | |
* | Arch Capital Group Ltd. | 3,081,231 | 140,319 |
KeyCorp. | 8,192,109 | 131,238 | |
* | Markel Corp. | 112,758 | 122,254 |
Cincinnati Financial Corp. | 1,328,653 | 119,007 |
Shares | Market Value ($000) | ||
W R Berkley Corp. | 1,747,973 | 112,884 | |
Cboe Global Markets Inc. | 931,967 | 109,385 | |
Everest Re Group Ltd. | 346,205 | 90,858 | |
Loews Corp. | 1,799,984 | 89,711 | |
Equitable Holdings Inc. | 3,299,806 | 86,950 | |
Fidelity National Financial Inc. | 2,305,701 | 83,466 | |
Ally Financial Inc. | 2,440,084 | 67,908 | |
Annaly Capital Management, Inc. | 3,821,499 | 65,577 | |
Franklin Resources Inc. | 2,409,039 | 51,843 | |
* | Alleghany Corp. | 56,111 | 47,098 |
Globe Life Inc. | 385,206 | 38,405 | |
Lincoln National Corp. | 672,884 | 29,546 | |
Interactive Brokers Group Inc. Class A | 429,325 | 27,438 | |
*,1 | Corebridge Financial Inc. | 566,775 | 11,160 |
1 | Rocket Cos. Inc. Class A | 963,158 | 6,087 |
25,187,399 | |||
Health Care (21.6%) | |||
UnitedHealth Group Inc. | 8,213,096 | 4,147,942 | |
Johnson & Johnson | 23,084,042 | 3,771,009 | |
Eli Lilly & Co. | 7,507,954 | 2,427,697 | |
Pfizer Inc. | 49,275,781 | 2,156,308 | |
AbbVie Inc. | 15,522,797 | 2,083,315 | |
Merck & Co. Inc. | 22,242,072 | 1,915,487 | |
Abbott Laboratories | 15,375,463 | 1,487,730 | |
Bristol-Myers Squibb Co. | 18,749,220 | 1,332,882 | |
Amgen Inc. | 4,697,528 | 1,058,823 | |
Elevance Health Inc. | 2,106,550 | 956,879 | |
Medtronic plc | 11,675,999 | 942,837 | |
Cigna Corp. | 2,678,046 | 743,078 | |
Danaher Corp. | 2,873,171 | 742,111 | |
Gilead Sciences Inc. | 11,000,626 | 678,629 | |
Becton Dickinson and Co. | 2,502,591 | 557,652 | |
Humana Inc. | 1,110,370 | 538,740 | |
* | Centene Corp. | 5,021,784 | 390,745 |
HCA Healthcare Inc. | 1,891,376 | 347,616 | |
* | Biogen Inc. | 1,274,836 | 340,381 |
* | Regeneron Pharmaceuticals Inc. | 447,289 | 308,124 |
Baxter International Inc. | 4,420,304 | 238,078 | |
Zimmer Biomet Holdings Inc. | 1,843,271 | 192,714 | |
Laboratory Corp. of America Holdings | 794,206 | 162,661 | |
Cardinal Health Inc. | 2,393,973 | 159,630 | |
* | Hologic Inc. | 2,193,138 | 141,501 |
Royalty Pharma plc Class A | 3,263,560 | 131,130 | |
Quest Diagnostics Inc. | 1,024,334 | 125,676 | |
Viatris Inc. | 10,651,898 | 90,754 | |
* | Molina Healthcare Inc. | 254,585 | 83,972 |
Teleflex Inc. | 411,610 | 82,923 | |
* | Henry Schein Inc. | 1,195,660 | 78,639 |
STERIS plc | 439,257 | 73,040 | |
* | DaVita Inc. | 441,218 | 36,520 |
DENTSPLY SIRONA Inc. | 948,542 | 26,891 | |
* | Elanco Animal Health Inc. (XNYS) | 1,983,085 | 24,610 |
Universal Health Services Inc. Class B | 274,824 | 24,234 | |
28,600,958 | |||
Industrials (12.9%) | |||
Raytheon Technologies Corp. | 12,960,973 | 1,060,985 | |
Honeywell International Inc. | 5,912,712 | 987,245 |
Shares | Market Value ($000) | ||
Lockheed Martin Corp. | 2,327,642 | 899,145 | |
Deere & Co. | 2,414,352 | 806,128 | |
Caterpillar Inc. | 4,633,485 | 760,262 | |
American Express Co. | 4,934,399 | 665,700 | |
General Electric Co. | 9,621,126 | 595,644 | |
Northrop Grumman Corp. | 1,221,892 | 574,680 | |
3M Co. | 4,856,079 | 536,597 | |
Union Pacific Corp. | 2,739,888 | 533,785 | |
United Parcel Service Inc. Class B | 3,210,818 | 518,675 | |
CSX Corp. | 18,788,104 | 500,515 | |
Eaton Corp. plc | 3,494,126 | 465,977 | |
General Dynamics Corp. | 2,166,877 | 459,746 | |
Illinois Tool Works Inc. | 2,446,809 | 442,016 | |
Norfolk Southern Corp. | 2,060,425 | 431,968 | |
Fidelity National Information Services Inc. | 5,341,556 | 403,661 | |
Emerson Electric Co. | 5,196,011 | 380,452 | |
L3Harris Technologies Inc. | 1,678,091 | 348,758 | |
Capital One Financial Corp. | 3,363,900 | 310,051 | |
FedEx Corp. | 2,054,984 | 305,103 | |
Johnson Controls International plc | 6,046,848 | 297,626 | |
Trane Technologies plc | 2,031,096 | 294,123 | |
Parker-Hannifin Corp. | 1,127,972 | 273,319 | |
Carrier Global Corp. | 7,398,624 | 263,095 | |
Cummins Inc. | 1,240,324 | 252,418 | |
Otis Worldwide Corp. | 3,694,475 | 235,707 | |
PACCAR Inc. | 2,749,214 | 230,082 | |
AMETEK Inc. | 2,016,973 | 228,745 | |
PPG Industries Inc. | 2,064,498 | 228,519 | |
DuPont de Nemours Inc. | 3,947,562 | 198,957 | |
WW Grainger Inc. | 402,119 | 196,713 | |
Fortive Corp. | 3,124,951 | 182,185 | |
* | United Rentals Inc. | 614,864 | 166,087 |
Ingersoll Rand Inc. | 3,542,114 | 153,232 | |
Dover Corp. | 1,261,073 | 147,016 | |
Xylem Inc. | 1,582,865 | 138,279 | |
Expeditors International of Washington Inc. | 1,434,719 | 126,700 | |
Westinghouse Air Brake Technologies Corp. | 1,517,954 | 123,486 | |
Jacobs Solutions Inc. | 1,121,039 | 121,621 | |
Synchrony Financial | 4,232,837 | 119,324 | |
Textron Inc. | 1,858,355 | 108,268 | |
CH Robinson Worldwide Inc. | 1,088,322 | 104,816 | |
Stanley Black & Decker Inc. | 1,298,604 | 97,668 | |
Snap-on Inc. | 467,906 | 94,213 | |
Masco Corp. | 1,981,212 | 92,503 | |
Packaging Corp. of America | 823,383 | 92,458 | |
Martin Marietta Materials Inc. | 274,047 | 88,268 | |
Crown Holdings Inc. | 1,064,468 | 86,254 | |
Westrock Co. | 2,233,877 | 69,004 | |
Ball Corp. | 1,380,632 | 66,712 | |
Fortune Brands Home & Security Inc. | 1,135,835 | 60,983 | |
* | FleetCor Technologies Inc. | 313,107 | 55,160 |
Hubbell Inc. Class B | 235,806 | 52,585 | |
17,033,219 | |||
Real Estate (3.1%) | |||
Prologis Inc. | 6,502,757 | 660,680 | |
Welltower Inc. | 4,065,365 | 261,484 | |
Simon Property Group Inc. | 2,869,455 | 257,534 | |
VICI Properties Inc. | 8,461,444 | 252,574 |
Shares | Market Value ($000) | ||
AvalonBay Communities Inc. | 1,224,804 | 225,597 | |
Equity Residential | 3,139,028 | 211,006 | |
Extra Space Storage Inc. | 1,176,454 | 203,185 | |
Alexandria Real Estate Equities Inc. | 1,433,461 | 200,957 | |
Weyerhaeuser Co. | 6,503,783 | 185,748 | |
* | CBRE Group Inc. Class A | 2,680,958 | 180,992 |
Duke Realty Corp. | 3,382,208 | 163,022 | |
Realty Income Corp. | 2,712,854 | 157,888 | |
Mid-America Apartment Communities Inc. | 1,014,163 | 157,266 | |
Ventas Inc. | 3,511,446 | 141,055 | |
Essex Property Trust Inc. | 572,028 | 138,562 | |
WP Carey Inc. | 1,694,650 | 118,287 | |
Iron Mountain Inc. | 2,553,651 | 112,284 | |
Healthpeak Properties Inc. | 4,739,958 | 108,640 | |
Boston Properties Inc. | 1,239,141 | 92,898 | |
UDR Inc. | 1,427,086 | 59,524 | |
Camden Property Trust | 467,922 | 55,893 | |
Host Hotels & Resorts Inc. | 3,140,368 | 49,869 | |
Regency Centers Corp. | 751,482 | 40,467 | |
4,035,412 | |||
Technology (6.3%) | |||
Broadcom Inc. | 3,368,936 | 1,495,841 | |
International Business Machines Corp. | 7,926,846 | 941,789 | |
Intel Corp. | 36,038,632 | 928,716 | |
Oracle Corp. | 12,873,258 | 786,170 | |
Analog Devices Inc. | 4,517,847 | 629,517 | |
QUALCOMM Inc. | 4,927,238 | 556,679 | |
TE Connectivity Ltd. | 2,803,962 | 309,445 | |
Cognizant Technology Solutions Corp. Class A | 4,548,966 | 261,293 | |
Micron Technology Inc. | 4,847,113 | 242,840 | |
* | ON Semiconductor Corp. | 3,806,041 | 237,230 |
VMware Inc. Class A | 2,035,921 | 216,744 | |
HP Inc. | 8,149,805 | 203,093 | |
Corning Inc. | 6,683,378 | 193,952 | |
CDW Corp. | 1,188,126 | 185,443 | |
Hewlett Packard Enterprise Co. | 11,415,499 | 136,758 | |
NetApp Inc. | 1,930,554 | 119,405 | |
2 | Citrix Systems Inc. | 1,114,111 | 115,868 |
* | Akamai Technologies Inc. | 1,395,007 | 112,047 |
NortonLifeLock Inc. | 4,771,567 | 96,099 | |
Seagate Technology Holdings plc | 1,742,411 | 92,749 | |
SS&C Technologies Holdings Inc. | 1,902,223 | 90,831 | |
* | Western Digital Corp. | 2,763,054 | 89,937 |
Dell Technologies Inc. Class C | 2,217,471 | 75,771 | |
* | Qorvo Inc. | 906,703 | 72,001 |
Leidos Holdings Inc. | 599,808 | 52,465 | |
* | F5 Inc. | 261,505 | 37,848 |
* | IAC/InterActiveCorp. | 348,203 | 19,283 |
* | UiPath Inc. Class A | 1,323,098 | 16,684 |
8,316,498 | |||
Telecommunications (3.8%) | |||
Verizon Communications Inc. | 35,030,556 | 1,330,110 | |
Cisco Systems Inc. | 32,726,144 | 1,309,046 | |
Comcast Corp. Class A | 38,642,008 | 1,133,370 | |
AT&T Inc. | 60,578,581 | 929,275 | |
Motorola Solutions Inc. | 732,956 | 164,160 | |
Lumen Technologies Inc. | 9,092,444 | 66,193 |
Shares | Market Value ($000) | ||
Juniper Networks Inc. | 1,416,273 | 36,993 | |
* | DISH Network Corp. Class A | 2,176,825 | 30,106 |
4,999,253 | |||
Utilities (6.8%) | |||
NextEra Energy Inc. | 17,442,541 | 1,367,670 | |
Southern Co. | 9,329,802 | 634,426 | |
Duke Energy Corp. | 6,760,434 | 628,856 | |
Waste Management Inc. | 3,627,290 | 581,128 | |
Dominion Energy Inc. | 7,307,772 | 505,040 | |
Sempra Energy (XNYS) | 2,757,168 | 413,410 | |
American Electric Power Co. Inc. | 4,506,561 | 389,592 | |
Exelon Corp. | 8,713,408 | 326,404 | |
Xcel Energy Inc. | 4,805,947 | 307,581 | |
Consolidated Edison Inc. | 3,115,429 | 267,179 | |
WEC Energy Group Inc. | 2,771,145 | 247,823 | |
Public Service Enterprise Group Inc. | 4,383,296 | 246,473 | |
Republic Services Inc. Class A | 1,804,166 | 245,439 | |
Constellation Energy Corp. | 2,866,358 | 238,452 | |
Eversource Energy | 3,043,886 | 237,301 | |
* | PG&E Corp. | 18,409,096 | 230,114 |
American Water Works Co. Inc. | 1,596,683 | 207,824 | |
Edison International | 3,350,853 | 189,591 | |
Ameren Corp. | 2,267,375 | 182,637 | |
Entergy Corp. | 1,787,057 | 179,832 | |
FirstEnergy Corp. | 4,768,694 | 176,442 | |
DTE Energy Co. | 1,531,649 | 176,216 | |
PPL Corp. | 6,467,540 | 163,952 | |
CenterPoint Energy Inc. | 5,529,651 | 155,826 | |
CMS Energy Corp. | 2,549,255 | 148,469 | |
AES Corp. | 5,868,409 | 132,626 | |
Evergy Inc. | 2,004,712 | 119,080 | |
Alliant Energy Corp. | 2,201,533 | 116,659 | |
NiSource Inc. | 3,566,116 | 89,830 | |
Vistra Corp. | 3,658,234 | 76,823 | |
Avangrid Inc. | 677,937 | 28,270 | |
9,010,965 | |||
Total Common Stocks (Cost $116,908,925) | 132,157,957 | ||
Temporary Cash Investments (0.1%) | |||
Money Market Fund (0.1%) | |||
3,4 | Vanguard Market Liquidity Fund, 2.828% (Cost $182,665) | 1,827,279 | 182,673 |
Total Investments (100.0%) (Cost $117,091,590) | 132,340,630 | ||
Other Assets and Liabilities—Net (0.0%) | 16,522 | ||
Net Assets (100%) | 132,357,152 | ||
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 $110,209,000. |
2 | Security value determined using significant unobservable inputs. |
3 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
4 | Collateral of $117,081,000 was received for securities on loan, of which $115,181,000 is held in Vanguard Market Liquidity Fund and $1,900,000 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 2022 | 821 | 147,842 | (2,099) |
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) |
AT&T Inc. | 8/31/23 | BANA | 30,680 | (2.548) | — | (69) |
Goldman Sachs Group Inc. | 8/30/24 | BANA | 54,214 | (3.155) | — | (147) |
Kroger Co. | 1/31/23 | GSI | 47,880 | (2.884) | — | (4,172) |
State Street Corp. | 8/30/24 | BANA | 41,047 | (3.155) | 315 | — |
State Street Corp. | 8/30/24 | BANA | 4,865 | (3.319) | 42 | — |
357 | (4,388) |
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. |
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 valuation designee to represent fair value and subject to oversight by the board of trustees.
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 September 30, 2022, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 132,042,089 | — | 115,868 | 132,157,957 |
Temporary Cash Investments | 182,673 | — | — | 182,673 |
Total | 132,224,762 | — | 115,868 | 132,340,630 |
Derivative Financial Instruments | ||||
Assets | ||||
Swap Contracts | — | 357 | — | 357 |
Liabilities | ||||
Futures Contracts1 | 2,099 | — | — | 2,099 |
Swap Contracts | — | 4,388 | — | 4,388 |
Total | 2,099 | 4,388 | — | 6,487 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |