Vanguard® Value Index Fund
Schedule of Investments (unaudited)
As of March 31, 2023
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 (99.8%) | |||
Basic Materials (2.3%) | |||
Air Products and Chemicals Inc. | 1,986,777 | 570,622 | |
Freeport-McMoRan Inc. | 12,799,760 | 523,638 | |
Nucor Corp. | 2,295,062 | 354,518 | |
Newmont Corp. | 7,101,951 | 348,138 | |
Dow Inc. | 6,295,934 | 345,143 | |
LyondellBasell Industries NV Class A | 2,332,875 | 219,034 | |
International Flavors & Fragrances Inc. | 2,281,136 | 209,773 | |
Mosaic Co. | 3,009,942 | 138,096 | |
FMC Corp. | 1,126,863 | 137,624 | |
Avery Dennison Corp. | 722,817 | 129,334 | |
CF Industries Holdings Inc. | 1,751,059 | 126,934 | |
International Paper Co. | 3,130,855 | 112,899 | |
Celanese Corp. Class A | 872,654 | 95,023 | |
Eastman Chemical Co. | 1,062,622 | 89,622 | |
Steel Dynamics Inc. | 746,748 | 84,427 | |
Westlake Corp. | 142,080 | 16,478 | |
3,501,303 | |||
Consumer Discretionary (5.2%) | |||
Walmart Inc. | 12,062,394 | 1,778,600 | |
Target Corp. | 4,117,848 | 682,039 | |
Ford Motor Co. | 35,026,820 | 441,338 | |
General Motors Co. | 11,852,441 | 434,748 | |
* | Warner Bros Discovery Inc. | 19,565,463 | 295,438 |
Activision Blizzard Inc. | 3,158,192 | 270,310 | |
DR Horton Inc. | 2,764,811 | 270,094 | |
* | Dollar Tree Inc. | 1,879,701 | 269,831 |
Lennar Corp. Class A | 2,361,988 | 248,269 | |
eBay Inc. | 4,803,353 | 213,125 | |
Genuine Parts Co. | 1,259,874 | 210,790 | |
* | Delta Air Lines Inc. | 5,736,403 | 200,315 |
Southwest Airlines Co. | 5,316,300 | 172,992 | |
Omnicom Group Inc. | 1,813,338 | 171,070 | |
Darden Restaurants Inc. | 1,088,905 | 168,955 | |
* | NVR Inc. | 27,690 | 154,294 |
Best Buy Co. Inc. | 1,781,305 | 139,423 | |
Garmin Ltd. | 1,369,500 | 138,210 | |
LKQ Corp. | 2,389,627 | 135,635 | |
* | United Airlines Holdings Inc. | 2,922,304 | 129,312 |
PulteGroup Inc. | 2,017,755 | 117,595 | |
BorgWarner Inc. (XNYS) | 2,093,841 | 102,829 | |
1 | Paramount Global Class B | 4,316,301 | 96,297 |
*,1 | Carnival Corp. | 8,959,287 | 90,937 |
Shares | Market Value ($000) | ||
* | CarMax Inc. | 1,413,174 | 90,839 |
Fox Corp. Class A | 2,658,386 | 90,518 | |
News Corp. Class A | 4,435,893 | 76,608 | |
VF Corp. | 3,127,297 | 71,646 | |
Advance Auto Parts Inc. | 529,687 | 64,415 | |
Interpublic Group of Cos. Inc. | 1,722,191 | 64,134 | |
* | Rivian Automotive Inc. Class A | 3,067,331 | 47,482 |
*,1 | Lucid Group Inc. | 5,705,862 | 45,875 |
* | American Airlines Group Inc. | 2,919,939 | 43,069 |
* | Liberty Media Corp.- Liberty SiriusXM Class C | 1,336,268 | 37,402 |
Lear Corp. | 264,167 | 36,849 | |
Fox Corp. Class B | 1,166,854 | 36,534 | |
Bath & Body Works Inc. | 972,900 | 35,589 | |
Hasbro Inc. | 586,852 | 31,508 | |
* | Liberty Media Corp.- Liberty SiriusXM Class A | 691,543 | 19,425 |
*,1 | Sirius XM Holdings Inc. | 2,610,310 | 10,363 |
1 | Paramount Global Class A | 114,903 | 2,969 |
Lennar Corp. Class B | 15,603 | 1,394 | |
News Corp. Class B | 27,910 | 486 | |
7,739,551 | |||
Consumer Staples (11.3%) | |||
Procter & Gamble Co. | 21,105,070 | 3,138,113 | |
PepsiCo Inc. | 12,321,003 | 2,246,119 | |
Coca-Cola Co. | 34,836,749 | 2,160,923 | |
Philip Morris International Inc. | 13,867,256 | 1,348,591 | |
CVS Health Corp. | 11,487,176 | 853,612 | |
Mondelez International Inc. Class A | 12,196,708 | 850,354 | |
Altria Group Inc. | 15,971,189 | 712,634 | |
General Mills Inc. | 5,274,089 | 450,724 | |
McKesson Corp. | 1,224,851 | 436,108 | |
Kimberly-Clark Corp. | 3,018,827 | 405,187 | |
Archer-Daniels-Midland Co. | 4,902,244 | 390,513 | |
Corteva Inc. | 6,382,192 | 384,910 | |
Sysco Corp. | 4,539,504 | 350,586 | |
Constellation Brands Inc. Class A | 1,402,935 | 316,909 | |
Colgate-Palmolive Co. | 3,714,357 | 279,134 | |
Kraft Heinz Co. | 7,122,908 | 275,443 | |
Keurig Dr Pepper Inc. | 7,548,267 | 266,303 | |
AmerisourceBergen Corp. Class A | 1,537,767 | 246,212 | |
* | Kroger Co. | 4,762,239 | 235,112 |
Walgreens Boots Alliance Inc. | 6,558,381 | 226,789 | |
McCormick & Co. Inc. | 2,241,937 | 186,551 | |
Clorox Co. | 1,104,738 | 174,814 | |
Conagra Brands Inc. | 4,262,482 | 160,099 | |
Kellogg Co. | 2,292,691 | 153,519 | |
Tyson Foods Inc. Class A | 2,554,855 | 151,554 | |
J M Smucker Co. | 906,716 | 142,690 | |
Hormel Foods Corp. | 2,441,934 | 97,384 | |
Campbell Soup Co. | 1,740,213 | 95,677 | |
Molson Coors Beverage Co. Class B | 805,136 | 41,609 | |
Albertsons Cos. Inc. Class A | 1,194,959 | 24,831 | |
16,803,004 | |||
Energy (7.8%) | |||
Exxon Mobil Corp. | 36,417,877 | 3,993,584 | |
Chevron Corp. | 15,351,007 | 2,504,670 | |
ConocoPhillips | 10,902,565 | 1,081,644 | |
EOG Resources Inc. | 5,257,576 | 602,676 |
Shares | Market Value ($000) | ||
Marathon Petroleum Corp. | 3,985,336 | 537,343 | |
Valero Energy Corp. | 3,319,956 | 463,466 | |
Phillips 66 | 4,149,727 | 420,699 | |
Occidental Petroleum Corp. | 5,690,792 | 355,276 | |
Williams Cos. Inc. | 10,898,535 | 325,430 | |
Schlumberger NV | 6,385,777 | 313,542 | |
Kinder Morgan Inc. | 17,093,850 | 299,313 | |
Devon Energy Corp. | 5,849,930 | 296,065 | |
ONEOK Inc. | 3,997,968 | 254,031 | |
Baker Hughes Co. Class A | 4,523,452 | 130,547 | |
Halliburton Co. | 3,639,729 | 115,161 | |
11,693,447 | |||
Financials (18.5%) | |||
* | Berkshire Hathaway Inc. Class B | 16,087,133 | 4,967,224 |
JPMorgan Chase & Co. | 26,330,966 | 3,431,188 | |
Bank of America Corp. | 60,862,922 | 1,740,680 | |
Wells Fargo & Co. | 33,940,625 | 1,268,701 | |
Morgan Stanley | 11,340,949 | 995,735 | |
Goldman Sachs Group Inc. | 2,746,537 | 898,420 | |
BlackRock Inc. | 1,209,388 | 809,226 | |
Citigroup Inc. | 16,463,210 | 771,960 | |
Progressive Corp. | 5,236,376 | 749,116 | |
Marsh & McLennan Cos. Inc. | 4,425,015 | 736,986 | |
Charles Schwab Corp. | 13,807,864 | 723,256 | |
Chubb Ltd. | 3,713,824 | 721,150 | |
CME Group Inc. | 3,218,414 | 616,391 | |
Intercontinental Exchange Inc. | 5,000,519 | 521,504 | |
US Bancorp | 13,697,138 | 493,782 | |
PNC Financial Services Group Inc. | 3,575,518 | 454,448 | |
Truist Financial Corp. | 11,869,541 | 404,751 | |
Arthur J Gallagher & Co. | 1,897,649 | 363,039 | |
Travelers Cos. Inc. | 2,076,683 | 355,964 | |
American International Group Inc. | 6,595,935 | 332,171 | |
Aflac Inc. | 4,954,631 | 319,673 | |
Bank of New York Mellon Corp. | 6,873,134 | 312,315 | |
KKR & Co. Inc. | 5,778,412 | 303,482 | |
MetLife Inc. | 5,197,089 | 301,119 | |
Ameriprise Financial Inc. | 941,965 | 288,712 | |
Prudential Financial Inc. | 3,274,971 | 270,971 | |
Allstate Corp. | 2,355,942 | 261,062 | |
Discover Financial Services | 2,343,425 | 231,624 | |
T Rowe Price Group Inc. | 2,007,719 | 226,671 | |
Willis Towers Watson plc | 968,465 | 225,052 | |
State Street Corp. | 2,927,919 | 221,614 | |
* | Arch Capital Group Ltd. | 3,147,516 | 213,622 |
Hartford Financial Services Group Inc. | 2,819,178 | 196,469 | |
Nasdaq Inc. | 3,500,654 | 191,381 | |
M&T Bank Corp. | 1,500,899 | 179,463 | |
Fifth Third Bancorp | 6,112,643 | 162,841 | |
Raymond James Financial Inc. | 1,734,164 | 161,746 | |
Principal Financial Group Inc. | 2,174,498 | 161,609 | |
Cincinnati Financial Corp. | 1,406,718 | 157,665 | |
Northern Trust Corp. | 1,775,672 | 156,490 | |
Regions Financial Corp. | 8,356,933 | 155,105 | |
* | Markel Corp. | 113,930 | 145,535 |
Huntington Bancshares Inc. | 12,905,998 | 144,547 | |
Citizens Financial Group Inc. | 4,329,988 | 131,502 | |
Cboe Global Markets Inc. | 946,083 | 127,002 |
Shares | Market Value ($000) | ||
Everest Re Group Ltd. | 350,228 | 125,389 | |
W R Berkley Corp. | 1,774,902 | 110,505 | |
KeyCorp. | 8,330,448 | 104,297 | |
Loews Corp. | 1,787,775 | 103,727 | |
1 | Annaly Capital Management Inc. | 4,418,703 | 84,441 |
Equitable Holdings Inc. | 3,248,077 | 82,469 | |
Fidelity National Financial Inc. | 2,311,131 | 80,728 | |
Franklin Resources Inc. | 2,688,642 | 72,432 | |
Globe Life Inc. | 388,490 | 42,742 | |
Interactive Brokers Group Inc. Class A | 438,275 | 36,184 | |
Ally Financial Inc. | 1,204,802 | 30,710 | |
First Republic Bank | 1,662,929 | 23,264 | |
Corebridge Financial Inc. | 588,491 | 9,428 | |
1 | Rocket Cos. Inc. Class A | 1,033,747 | 9,366 |
27,518,646 | |||
Health Care (18.6%) | |||
UnitedHealth Group Inc. | 8,358,456 | 3,950,123 | |
Johnson & Johnson | 23,297,369 | 3,611,092 | |
AbbVie Inc. | 15,828,129 | 2,522,529 | |
Merck & Co. Inc. | 22,680,795 | 2,413,010 | |
Pfizer Inc. | 50,266,799 | 2,050,885 | |
Abbott Laboratories | 15,547,443 | 1,574,334 | |
Bristol-Myers Squibb Co. | 18,774,684 | 1,301,273 | |
Amgen Inc. | 4,776,882 | 1,154,811 | |
Elevance Health Inc. | 2,124,213 | 976,734 | |
Medtronic plc | 11,901,367 | 959,488 | |
Gilead Sciences Inc. | 11,156,077 | 925,620 | |
Danaher Corp. | 2,933,314 | 739,312 | |
Cigna Group | 2,657,304 | 679,021 | |
Becton Dickinson and Co. | 2,540,025 | 628,758 | |
Humana Inc. | 1,117,970 | 542,730 | |
HCA Healthcare Inc. | 1,858,210 | 489,973 | |
* | Regeneron Pharmaceuticals Inc. | 456,813 | 375,350 |
* | Biogen Inc. | 1,292,510 | 359,357 |
* | Centene Corp. | 4,931,298 | 311,707 |
* | GE Healthcare Inc. | 3,248,527 | 266,477 |
Zimmer Biomet Holdings Inc. | 1,879,250 | 242,799 | |
Baxter International Inc. | 4,516,308 | 183,181 | |
Laboratory Corp. of America Holdings | 792,560 | 181,829 | |
* | Hologic Inc. | 2,205,399 | 177,976 |
Cardinal Health Inc. | 2,304,213 | 173,968 | |
PerkinElmer Inc. | 1,130,590 | 150,662 | |
Quest Diagnostics Inc. | 995,667 | 140,867 | |
* | Molina Healthcare Inc. | 517,872 | 138,526 |
Royalty Pharma plc Class A | 3,369,055 | 121,387 | |
Teleflex Inc. | 420,092 | 106,414 | |
Viatris Inc. | 10,844,428 | 104,323 | |
* | Henry Schein Inc. | 1,174,076 | 95,734 |
STERIS plc | 444,082 | 84,944 | |
Universal Health Services Inc. Class B | 272,076 | 34,581 | |
27,769,775 | |||
Industrials (14.0%) | |||
Raytheon Technologies Corp. | 13,105,785 | 1,283,450 | |
Honeywell International Inc. | 5,977,106 | 1,142,345 | |
Lockheed Martin Corp. | 2,283,854 | 1,079,646 | |
Caterpillar Inc. | 4,619,130 | 1,057,042 | |
Deere & Co. | 2,385,715 | 985,014 |
Shares | Market Value ($000) | ||
General Electric Co. | 9,744,617 | 931,585 | |
American Express Co. | 4,993,459 | 823,671 | |
United Parcel Service Inc. Class B (XNYS) | 3,242,072 | 628,930 | |
Eaton Corp. plc | 3,560,546 | 610,064 | |
Illinois Tool Works Inc. | 2,456,202 | 597,962 | |
Northrop Grumman Corp. | 1,232,219 | 568,940 | |
CSX Corp. | 18,450,953 | 552,422 | |
Union Pacific Corp. | 2,736,865 | 550,822 | |
3M Co. | 4,924,259 | 517,589 | |
General Dynamics Corp. | 2,209,585 | 504,249 | |
FedEx Corp. | 2,032,111 | 464,317 | |
Emerson Electric Co. | 5,111,942 | 445,455 | |
Norfolk Southern Corp. | 2,037,548 | 431,960 | |
Parker-Hannifin Corp. | 1,147,451 | 385,670 | |
Trane Technologies plc | 2,049,186 | 377,009 | |
Johnson Controls International plc | 6,147,595 | 370,208 | |
PACCAR Inc. | 4,674,350 | 342,162 | |
Carrier Global Corp. | 7,462,106 | 341,391 | |
L3Harris Technologies Inc. | 1,703,294 | 334,254 | |
Capital One Financial Corp. | 3,411,558 | 328,055 | |
Otis Worldwide Corp. | 3,711,074 | 313,215 | |
Cummins Inc. | 1,264,515 | 302,067 | |
AMETEK Inc. | 2,059,139 | 299,255 | |
Fidelity National Information Services Inc. | 5,309,485 | 288,464 | |
PPG Industries Inc. | 2,104,035 | 281,057 | |
DuPont de Nemours Inc. | 3,690,489 | 264,866 | |
Ferguson plc | 1,857,334 | 248,418 | |
United Rentals Inc. | 620,403 | 245,531 | |
Fortive Corp. | 3,156,814 | 215,200 | |
Ingersoll Rand Inc. (XYNS) | 3,622,563 | 210,761 | |
Dover Corp. | 1,249,690 | 189,878 | |
Xylem Inc. | 1,612,601 | 168,839 | |
Expeditors International of Washington Inc. | 1,423,317 | 156,736 | |
Ball Corp. | 2,812,533 | 154,999 | |
Westinghouse Air Brake Technologies Corp. | 1,532,524 | 154,877 | |
Jacobs Solutions Inc. | 1,133,581 | 133,207 | |
* | FleetCor Technologies Inc. | 626,860 | 132,173 |
Textron Inc. | 1,835,820 | 129,664 | |
Global Payments Inc. | 1,178,326 | 124,007 | |
Snap-on Inc. | 474,643 | 117,185 | |
Synchrony Financial | 3,909,760 | 113,696 | |
Packaging Corp. of America | 801,995 | 111,341 | |
TransUnion | 1,726,552 | 107,288 | |
Stanley Black & Decker Inc. | 1,323,477 | 106,646 | |
CH Robinson Worldwide Inc. | 1,042,033 | 103,547 | |
Masco Corp. | 2,016,050 | 100,238 | |
Martin Marietta Materials Inc. | 277,770 | 98,625 | |
Crown Holdings Inc. | 1,073,308 | 88,773 | |
* | Howmet Aerospace Inc. | 1,661,225 | 70,386 |
Westrock Co. | 2,275,026 | 69,320 | |
Hubbell Inc. Class B | 239,638 | 58,306 | |
20,812,777 | |||
Real Estate (3.0%) | |||
Prologis Inc. | 8,257,993 | 1,030,350 | |
Simon Property Group Inc. | 2,924,537 | 327,460 | |
VICI Properties Inc. Class A | 8,978,379 | 292,875 | |
Digital Realty Trust Inc. | 2,605,764 | 256,173 | |
AvalonBay Communities Inc. | 1,251,492 | 210,326 |
Shares | Market Value ($000) | ||
Weyerhaeuser Co. | 6,550,933 | 197,380 | |
* | CBRE Group Inc. Class A | 2,686,037 | 195,570 |
Extra Space Storage Inc. | 1,197,948 | 195,182 | |
Alexandria Real Estate Equities Inc. | 1,548,541 | 194,481 | |
Equity Residential | 3,217,597 | 193,056 | |
Realty Income Corp. | 2,955,005 | 187,111 | |
Mid-America Apartment Communities Inc. | 1,042,939 | 157,526 | |
Welltower Inc. | 2,193,136 | 157,226 | |
Ventas Inc. | 3,578,501 | 155,128 | |
WP Carey Inc. | 1,883,483 | 145,876 | |
Iron Mountain Inc. | 2,600,437 | 137,589 | |
Essex Property Trust Inc. | 577,193 | 120,714 | |
Healthpeak Properties Inc. | 4,891,006 | 107,455 | |
Boston Properties Inc. | 1,261,597 | 68,278 | |
UDR Inc. | 1,472,223 | 60,449 | |
Host Hotels & Resorts Inc. | 3,185,283 | 52,525 | |
Camden Property Trust | 477,914 | 50,104 | |
Regency Centers Corp. | 765,714 | 46,846 | |
4,539,680 | |||
Technology (8.7%) | |||
Broadcom Inc. | 3,729,808 | 2,392,821 | |
* | Meta Platforms Inc. Class A | 9,955,593 | 2,109,988 |
Oracle Corp. | 13,266,553 | 1,232,728 | |
Intel Corp. | 37,009,215 | 1,209,091 | |
International Business Machines Corp. | 8,088,538 | 1,060,326 | |
Analog Devices Inc. | 4,525,192 | 892,458 | |
QUALCOMM Inc. | 4,987,190 | 636,266 | |
Micron Technology Inc. | 9,761,694 | 589,021 | |
TE Connectivity Ltd. | 2,830,856 | 371,267 | |
Cognizant Technology Solutions Corp. Class A | 4,556,710 | 277,640 | |
* | VMware Inc. Class A | 2,093,528 | 261,377 |
Corning Inc. | 6,814,943 | 240,431 | |
CDW Corp. | 1,210,904 | 235,993 | |
HP Inc. | 7,907,615 | 232,089 | |
Hewlett Packard Enterprise Co. | 11,604,615 | 184,862 | |
* | ON Semiconductor Corp. | 1,930,344 | 158,906 |
NetApp Inc. | 1,928,653 | 123,144 | |
Seagate Technology Holdings plc | 1,753,635 | 115,950 | |
* | Akamai Technologies Inc. | 1,406,080 | 110,096 |
SS&C Technologies Holdings Inc. | 1,915,216 | 108,152 | |
* | Western Digital Corp. | 2,857,395 | 107,638 |
* | Qorvo Inc. | 893,419 | 90,745 |
Gen Digital Inc. (XNGS) | 4,860,304 | 83,403 | |
Dell Technologies Inc. Class C | 2,058,484 | 82,772 | |
Leidos Holdings Inc. | 613,436 | 56,473 | |
* | F5 Inc. | 269,525 | 39,267 |
13,002,904 | |||
Telecommunications (4.0%) | |||
Cisco Systems Inc. | 32,976,518 | 1,723,848 | |
Comcast Corp. Class A | 37,632,095 | 1,426,633 | |
Verizon Communications Inc. | 33,813,249 | 1,314,997 | |
AT&T Inc. | 61,783,854 | 1,189,339 | |
Motorola Solutions Inc. | 748,184 | 214,078 | |
Juniper Networks Inc. | 1,445,407 | 49,751 | |
* | DISH Network Corp. Class A | 1,111,911 | 10,374 |
5,929,020 |
Shares | Market Value ($000) | ||
Utilities (6.4%) | |||
NextEra Energy Inc. | 18,079,361 | 1,393,557 | |
Southern Co. | 9,740,040 | 677,712 | |
Duke Energy Corp. | 6,889,567 | 664,637 | |
Waste Management Inc. | 3,651,378 | 595,795 | |
Sempra Energy (XNYS) | 2,812,192 | 425,091 | |
American Electric Power Co. Inc. | 4,597,535 | 418,330 | |
Dominion Energy Inc. | 7,472,048 | 417,762 | |
Exelon Corp. | 8,892,386 | 372,502 | |
Xcel Energy Inc. | 4,919,199 | 331,751 | |
* | PG&E Corp. | 19,856,850 | 321,085 |
Consolidated Edison Inc. | 3,176,479 | 303,894 | |
Public Service Enterprise Group Inc. | 4,462,518 | 278,684 | |
WEC Energy Group Inc. | 2,821,425 | 267,443 | |
American Water Works Co. Inc. | 1,724,473 | 252,618 | |
Republic Services Inc. Class A | 1,837,752 | 248,501 | |
Eversource Energy | 3,116,972 | 243,934 | |
Edison International | 3,421,880 | 241,550 | |
Constellation Energy Corp. | 2,922,218 | 229,394 | |
Entergy Corp. | 1,889,112 | 203,533 | |
Ameren Corp. | 2,311,272 | 199,671 | |
FirstEnergy Corp. | 4,863,642 | 194,837 | |
PPL Corp. | 6,591,498 | 183,178 | |
CenterPoint Energy Inc. | 5,630,238 | 165,867 | |
DTE Energy Co. | 1,473,298 | 161,385 | |
CMS Energy Corp. | 2,604,367 | 159,856 | |
AES Corp. | 5,977,488 | 143,938 | |
Evergy Inc. | 2,051,914 | 125,413 | |
Alliant Energy Corp. | 2,245,312 | 119,900 | |
NiSource Inc. | 3,688,868 | 103,141 | |
Vistra Corp. | 3,559,987 | 85,440 | |
Avangrid Inc. | 691,334 | 27,570 | |
9,557,969 | |||
Total Common Stocks (Cost $123,096,742) | 148,868,076 | ||
Temporary Cash Investments (0.2%) | |||
Money Market Fund (0.2%) | |||
2,3 | Vanguard Market Liquidity Fund, 4.839% (Cost $224,462) | 2,245,107 | 224,488 |
Total Investments (100.0%) (Cost $123,321,204) | 149,092,564 | ||
Other Assets and Liabilities—Net (0.0%) | 71,683 | ||
Net Assets (100%) | 149,164,247 | ||
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 $146,413,000. |
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 $151,703,000 was received for securities on loan, of which $151,698,000 is held in Vanguard Market Liquidity Fund and $5,000 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 2023 | 595 | 123,098 | 2,212 |
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 | 38,500 | (4.650) | — | (151) |
Goldman Sachs Group Inc. | 8/30/24 | BANA | 60,516 | (5.250) | 169 | — |
Goldman Sachs Group Inc. | 8/30/24 | BANA | 21,262 | (5.250) | 59 | — |
Kroger Co. | 1/31/24 | GSI | 48,290 | (4.715) | 979 | — |
1,207 | (151) |
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. |
The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit protection if the reference entity was subject to a credit event.
At March 31, 2023, the counterparties had deposited in segregated accounts securities with a value of $300,000 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 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 March 31, 2023, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 148,868,076 | — | — | 148,868,076 |
Temporary Cash Investments | 224,488 | — | — | 224,488 |
Total | 149,092,564 | — | — | 149,092,564 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 2,212 | — | — | 2,212 |
Swap Contracts | — | 1,207 | — | 1,207 |
Total | 2,212 | 1,207 | — | 3,419 |
Liabilities | ||||
Swap Contracts | — | 151 | — | 151 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |