Vanguard® Mid-Cap 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 (99.1%) | ||||||
Basic Materials (4.1%) | ||||||
Nucor Corp. | 5,992,199 | 925,615 | ||||
Fastenal Co. | 13,333,245 | 719,195 | ||||
Albemarle Corp. | 2,737,434 | 605,082 | ||||
LyondellBasell Industries NV Class A | 6,091,499 | 571,931 | ||||
International Flavors & Fragrances Inc. | 5,955,289 | 547,648 | ||||
Mosaic Co. | 7,859,485 | 360,593 | ||||
FMC Corp. | 2,942,251 | 359,337 | ||||
Avery Dennison Corp. | 1,887,857 | 337,794 | ||||
CF Industries Holdings Inc. | 4,572,627 | 331,470 | ||||
International Paper Co. | 8,177,082 | 294,866 | ||||
Celanese Corp. Class A | 2,279,367 | 248,200 | ||||
Eastman Chemical Co. | 2,774,803 | 234,027 | ||||
Steel Dynamics Inc. | 1,947,564 | 220,192 | ||||
Westlake Corp. | 371,865 | 43,129 | ||||
5,799,079 | ||||||
Consumer Discretionary (13.8%) | ||||||
* | Copart Inc. | 10,012,658 | 753,052 | |||
* | Aptiv plc | 6,328,704 | 710,017 | |||
DR Horton Inc. | 7,218,993 | 705,223 | ||||
* | Dollar Tree Inc. | 4,908,000 | 704,543 | |||
* | Ulta Beauty Inc. | 1,188,441 | 648,497 | |||
* | Trade Desk Inc. Class A | 10,429,323 | 635,250 | |||
Lennar Corp. Class A | 6,025,274 | 633,317 | ||||
Tractor Supply Co. | 2,571,040 | 604,297 | ||||
eBay Inc. | 12,540,229 | 556,410 | ||||
* | Chipotle Mexican Grill Inc. Class A | 322,591 | 551,079 | |||
Genuine Parts Co. | 3,288,938 | 550,272 | ||||
* | AutoZone Inc. | 219,164 | 538,738 | |||
* | Delta Air Lines Inc. | 14,977,750 | 523,023 | |||
* | Take-Two Interactive Software Inc. | 3,939,802 | 470,018 | |||
Southwest Airlines Co. | 13,881,052 | 451,690 | ||||
Omnicom Group Inc. | 4,735,087 | 446,708 | ||||
Darden Restaurants Inc. | 2,842,737 | 441,079 | ||||
Hilton Worldwide Holdings Inc. | 3,111,824 | 438,363 | ||||
* | NVR Inc. | 72,101 | 401,761 | |||
* | ROBLOX Corp. Class A | 8,400,822 | 377,869 | |||
* | Warner Bros Discovery Inc. | 24,271,701 | 366,503 | |||
Best Buy Co. Inc. | 4,651,401 | 364,065 | ||||
Garmin Ltd. | 3,575,906 | 360,881 | ||||
LKQ Corp. | 6,237,993 | 354,069 | ||||
* | United Airlines Holdings Inc. | 7,631,576 | 337,697 |
Shares | Market Value ($000) | |||||
* | Expedia Group Inc. | 3,452,819 | 335,027 | |||
* | Royal Caribbean Cruises Ltd. | 5,069,701 | 331,052 | |||
* | Etsy Inc. | 2,911,501 | 324,137 | |||
MGM Resorts International | 7,083,656 | 314,656 | ||||
* | Burlington Stores Inc. | 1,522,706 | 307,739 | |||
PulteGroup Inc. | 5,269,797 | 307,124 | ||||
Domino's Pizza Inc. | 827,314 | 272,906 | ||||
BorgWarner Inc. | 5,468,749 | 268,570 | ||||
* | Live Nation Entertainment Inc. | 3,786,726 | 265,071 | |||
1 | Paramount Global Class B | 11,389,833 | 254,107 | |||
* | Rivian Automotive Inc. Class A | 15,993,308 | 247,576 | |||
* | Carnival Corp. | 23,407,283 | 237,584 | |||
* | CarMax Inc. | 3,691,052 | 237,261 | |||
Fox Corp. Class A | 6,897,941 | 234,875 | ||||
* | Caesars Entertainment Inc. | 4,774,793 | 233,058 | |||
* | Las Vegas Sands Corp. | 4,016,568 | 230,752 | |||
Rollins Inc. | 5,749,326 | 215,772 | ||||
News Corp. Class A | 11,292,401 | 195,020 | ||||
VF Corp. | 8,170,244 | 187,180 | ||||
Advance Auto Parts Inc. | 1,384,020 | 168,311 | ||||
Interpublic Group of Cos. Inc. | 4,498,136 | 167,511 | ||||
Pool Corp. | 433,269 | 148,369 | ||||
*,1 | Lucid Group Inc. | 14,895,326 | 119,758 | |||
* | American Airlines Group Inc. | 7,607,818 | 112,215 | |||
Vail Resorts Inc. | 470,931 | 110,047 | ||||
* | Liberty Media Corp.-Liberty SiriusXM Class C | 3,554,876 | 99,501 | |||
Fox Corp. Class B | 3,094,295 | 96,882 | ||||
Lear Corp. | 690,564 | 96,327 | ||||
Bath & Body Works Inc. | 2,534,212 | 92,702 | ||||
Warner Music Group Corp. Class A | 2,747,384 | 91,680 | ||||
Hasbro Inc. | 1,533,845 | 82,352 | ||||
*,1 | Chewy Inc. Class A | 2,095,824 | 78,342 | |||
* | Endeavor Group Holdings Inc. Class A | 3,042,544 | 72,808 | |||
* | Liberty Media Corp.-Liberty SiriusXM Class A | 1,737,751 | 48,813 | |||
1 | Sirius XM Holdings Inc. | 11,158,541 | 44,299 | |||
Lennar Corp. Class B | 212,879 | 19,012 | ||||
News Corp. Class B | 355,310 | 6,193 | ||||
1 | Paramount Global Class A | 195,090 | 5,041 | |||
19,584,051 | ||||||
Consumer Staples (4.8%) | ||||||
Corteva Inc. | 16,663,694 | 1,004,988 | ||||
Kroger Co. | 15,047,769 | 742,908 | ||||
AmerisourceBergen Corp. | 4,015,565 | 642,932 | ||||
Archer-Daniels-Midland Co. | 6,400,062 | 509,829 | ||||
Church & Dwight Co. Inc. | 5,700,170 | 503,952 | ||||
McCormick & Co. Inc. (Non-Voting) | 5,856,195 | 487,294 | ||||
Clorox Co. | 2,885,234 | 456,560 | ||||
Conagra Brands Inc. | 11,132,730 | 418,145 | ||||
Kellogg Co. | 5,988,192 | 400,969 | ||||
Tyson Foods Inc. Class A | 6,671,329 | 395,743 | ||||
J M Smucker Co. | 2,366,278 | 372,381 | ||||
Campbell Soup Co. | 4,546,594 | 249,972 | ||||
Hormel Foods Corp. | 5,931,567 | 236,551 | ||||
Lamb Weston Holdings Inc. | 1,680,232 | 175,618 | ||||
Molson Coors Beverage Co. Class B | 2,102,482 | 108,656 | ||||
Albertsons Cos. Inc. Class A | 3,128,435 | 65,009 | ||||
6,771,507 |
Shares | Market Value ($000) | |||||
Energy (5.3%) | ||||||
Cheniere Energy Inc. | 5,692,303 | 897,107 | ||||
Hess Corp. | 6,481,173 | 857,718 | ||||
Devon Energy Corp. | 15,275,775 | 773,107 | ||||
Baker Hughes Co. Class A | 23,619,371 | 681,655 | ||||
* | Enphase Energy Inc. | 3,188,220 | 670,419 | |||
ONEOK Inc. | 9,983,707 | 634,365 | ||||
Halliburton Co. | 19,005,237 | 601,326 | ||||
Diamondback Energy Inc. | 4,288,178 | 579,633 | ||||
Coterra Energy Inc. | 17,495,805 | 429,347 | ||||
Williams Cos. Inc. | 14,228,672 | 424,868 | ||||
Marathon Oil Corp. | 14,707,179 | 352,384 | ||||
* | First Solar Inc. | 1,182,559 | 257,207 | |||
*,1 | Plug Power Inc. | 13,615,142 | 159,569 | |||
Texas Pacific Land Corp. | 71,892 | 122,290 | ||||
EQT Corp. | 3,787,723 | 120,866 | ||||
7,561,861 | ||||||
Financials (12.0%) | ||||||
MSCI Inc. Class A | 1,774,262 | 993,037 | ||||
Arthur J Gallagher & Co. | 4,953,962 | 947,742 | ||||
Ameriprise Financial Inc. | 2,459,068 | 753,704 | ||||
Discover Financial Services | 6,118,203 | 604,723 | ||||
T. Rowe Price Group Inc. | 5,241,361 | 591,750 | ||||
Apollo Global Management Inc. | 9,356,701 | 590,969 | ||||
Willis Towers Watson plc | 2,528,152 | 587,492 | ||||
State Street Corp. | 7,643,925 | 578,569 | ||||
* | Arch Capital Group Ltd. | 8,217,830 | 557,744 | |||
Hartford Financial Services Group Inc. | 7,359,951 | 512,915 | ||||
Nasdaq Inc. | 9,137,470 | 499,546 | ||||
M&T Bank Corp. | 3,919,236 | 468,623 | ||||
American International Group Inc. | 8,610,159 | 433,608 | ||||
Fifth Third Bancorp | 15,962,131 | 425,231 | ||||
Raymond James Financial Inc. | 4,527,051 | 422,238 | ||||
Principal Financial Group Inc. | 5,678,303 | 422,011 | ||||
Cincinnati Financial Corp. | 3,672,722 | 411,639 | ||||
Northern Trust Corp. | 4,635,258 | 408,505 | ||||
Regions Financial Corp. | 21,826,242 | 405,095 | ||||
Broadridge Financial Solutions Inc. | 2,749,014 | 402,923 | ||||
* | Markel Corp. | 297,535 | 380,074 | |||
Huntington Bancshares Inc. | 33,705,241 | 377,499 | ||||
LPL Financial Holdings Inc. | 1,837,437 | 371,897 | ||||
FactSet Research Systems Inc. | 893,449 | 370,862 | ||||
MarketAxess Holdings Inc. | 878,428 | 343,720 | ||||
Citizens Financial Group Inc. | 11,307,592 | 343,412 | ||||
Cboe Global Markets Inc. | 2,469,863 | 331,554 | ||||
Everest Re Group Ltd. | 914,802 | 327,517 | ||||
Ares Management Corp. Class A | 3,645,575 | 304,187 | ||||
W R Berkley Corp. | 4,634,330 | 288,533 | ||||
KeyCorp | 21,765,017 | 272,498 | ||||
Loews Corp. | 4,665,701 | 270,704 | ||||
*,1 | Coinbase Global Inc. Class A | 3,430,381 | 231,791 | |||
Annaly Capital Management Inc. | 11,529,499 | 220,329 | ||||
Equitable Holdings Inc. | 8,450,934 | 214,569 | ||||
Fidelity National Financial Inc. | 6,038,480 | 210,924 | ||||
Tradeweb Markets Inc. Class A | 2,594,495 | 205,017 | ||||
Franklin Resources Inc. | 7,012,272 | 188,911 | ||||
Interactive Brokers Group Inc. Class A | 2,282,678 | 188,458 | ||||
Brown & Brown Inc. | 2,645,930 | 151,929 |
Shares | Market Value ($000) | |||||
Globe Life Inc. | 1,014,276 | 111,591 | ||||
Ally Financial Inc. | 3,146,187 | 80,196 | ||||
1 | First Republic Bank | 4,339,797 | 60,714 | |||
*,1 | Rocket Cos. Inc. Class A | 2,702,209 | 24,482 | |||
Corebridge Financial Inc. | 1,506,532 | 24,135 | ||||
16,913,567 | ||||||
Health Care (11.2%) | ||||||
* | Dexcom Inc. | 9,025,628 | 1,048,598 | |||
* | IQVIA Holdings Inc. | 4,337,993 | 862,783 | |||
* | Centene Corp. | 12,876,225 | 813,906 | |||
ResMed Inc. | 3,431,421 | 751,447 | ||||
* | Seagen Inc. | 3,272,183 | 662,519 | |||
Zimmer Biomet Holdings Inc. | 4,906,584 | 633,931 | ||||
* | Veeva Systems Inc. Class A | 3,291,617 | 604,966 | |||
West Pharmaceutical Services Inc. | 1,731,614 | 599,952 | ||||
* | Horizon Therapeutics plc | 5,334,644 | 582,223 | |||
* | Align Technology Inc. | 1,733,281 | 579,159 | |||
* | Alnylam Pharmaceuticals Inc. | 2,770,373 | 554,961 | |||
* | Insulet Corp. | 1,622,143 | 517,399 | |||
* | IDEXX Laboratories Inc. | 968,214 | 484,184 | |||
Baxter International Inc. | 11,786,744 | 478,070 | ||||
Laboratory Corp. of America Holdings | 2,069,462 | 474,776 | ||||
* | Hologic Inc. | 5,758,886 | 464,742 | |||
Cardinal Health Inc. | 6,017,813 | 454,345 | ||||
STERIS plc | 2,319,035 | 443,585 | ||||
Cooper Cos. Inc. | 1,154,459 | 431,029 | ||||
* | BioMarin Pharmaceutical Inc. | 4,340,963 | 422,115 | |||
PerkinElmer Inc. | 2,950,402 | 393,171 | ||||
Quest Diagnostics Inc. | 2,600,228 | 367,880 | ||||
* | Molina Healthcare Inc. | 1,352,393 | 361,752 | |||
* | GE HealthCare Technologies Inc. | 4,241,030 | 347,892 | |||
* | Incyte Corp. | 4,426,741 | 319,921 | |||
Royalty Pharma plc Class A | 8,798,568 | 317,012 | ||||
* | Avantor Inc. | 14,965,609 | 316,373 | |||
Teleflex Inc. | 1,096,500 | 277,754 | ||||
Viatris Inc. | 28,325,520 | 272,492 | ||||
* | Catalent Inc. | 3,996,127 | 262,586 | |||
* | Henry Schein Inc. | 3,066,476 | 250,040 | |||
* | Bio-Rad Laboratories Inc. Class A | 486,852 | 233,212 | |||
* | Charles River Laboratories International Inc. | 595,451 | 120,174 | |||
Universal Health Services Inc. Class B | 711,813 | 90,471 | ||||
15,795,420 | ||||||
Industrials (16.1%) | ||||||
Cintas Corp. | 2,017,548 | 933,479 | ||||
PACCAR Inc. | 12,204,352 | 893,359 | ||||
TransDigm Group Inc. | 1,211,522 | 892,952 | ||||
Carrier Global Corp. | 19,484,678 | 891,424 | ||||
* | Mettler-Toledo International Inc. | 516,351 | 790,125 | |||
Old Dominion Freight Line Inc. | 2,312,942 | 788,343 | ||||
Rockwell Automation Inc. | 2,681,004 | 786,741 | ||||
AMETEK Inc. | 5,374,377 | 781,058 | ||||
WW Grainger Inc. | 1,055,267 | 726,878 | ||||
Verisk Analytics Inc. Class A | 3,652,821 | 700,830 | ||||
* | Keysight Technologies Inc. | 4,152,953 | 670,619 | |||
Ferguson plc | 4,850,300 | 648,728 | ||||
United Rentals Inc. | 1,620,062 | 641,156 | ||||
Equifax Inc. | 2,861,018 | 580,329 |
Shares | Market Value ($000) | |||||
Fortive Corp. | 8,242,859 | 561,916 | ||||
Quanta Services Inc. | 3,363,484 | 560,491 | ||||
Ingersoll Rand Inc. | 9,458,793 | 550,313 | ||||
Vulcan Materials Co. | 3,104,363 | 532,585 | ||||
Martin Marietta Materials Inc. | 1,450,299 | 514,943 | ||||
Dover Corp. | 3,263,360 | 495,835 | ||||
* | Teledyne Technologies Inc. | 1,094,793 | 489,767 | |||
Xylem Inc. | 4,210,306 | 440,819 | ||||
* | Waters Corp. | 1,387,608 | 429,645 | |||
Expeditors International of Washington Inc. | 3,717,033 | 409,320 | ||||
Otis Worldwide Corp. | 4,845,115 | 408,928 | ||||
Ball Corp. | 7,344,167 | 404,737 | ||||
Westinghouse Air Brake Technologies Corp. | 4,001,981 | 404,440 | ||||
* | Zebra Technologies Corp. Class A | 1,200,683 | 381,817 | |||
Jacobs Solutions Inc. | 2,959,717 | 347,796 | ||||
* | FleetCor Technologies Inc. | 1,636,546 | 345,066 | |||
JB Hunt Transport Services Inc. | 1,934,690 | 339,461 | ||||
Textron Inc. | 4,793,367 | 338,555 | ||||
Snap-on Inc. | 1,240,604 | 306,293 | ||||
Global Payments Inc. | 2,873,342 | 302,390 | ||||
* | Trimble Inc. | 5,768,169 | 302,367 | |||
Synchrony Financial | 10,208,104 | 296,852 | ||||
Packaging Corp. of America | 2,095,006 | 290,850 | ||||
TransUnion | 4,505,645 | 279,981 | ||||
Stanley Black & Decker Inc. | 3,455,545 | 278,448 | ||||
CH Robinson Worldwide Inc. | 2,721,389 | 270,424 | ||||
Masco Corp. | 5,260,283 | 261,541 | ||||
HEICO Corp. Class A | 1,728,154 | 234,856 | ||||
Crown Holdings Inc. | 2,801,634 | 231,723 | ||||
* | BILL Holdings Inc. | 2,360,642 | 191,542 | |||
Howmet Aerospace Inc. | 4,332,614 | 183,573 | ||||
Westrock Co. | 5,948,089 | 181,238 | ||||
HEICO Corp. | 954,845 | 163,317 | ||||
Hubbell Inc. Class B | 625,995 | 152,311 | ||||
Jack Henry & Associates Inc. | 852,435 | 128,479 | ||||
22,738,640 | ||||||
Real Estate (8.6%) | ||||||
Realty Income Corp. | 15,427,994 | 976,901 | ||||
Welltower Inc. | 11,460,104 | 821,575 | ||||
VICI Properties Inc. Class A | 20,793,401 | 678,281 | ||||
Digital Realty Trust Inc. | 6,800,465 | 668,554 | ||||
SBA Communications Corp. Class A | 2,522,516 | 658,553 | ||||
* | CoStar Group Inc. | 9,501,183 | 654,156 | |||
AvalonBay Communities Inc. | 3,267,624 | 549,157 | ||||
Weyerhaeuser Co. | 17,105,780 | 515,397 | ||||
* | CBRE Group Inc. Class A | 7,010,905 | 510,464 | |||
Extra Space Storage Inc. | 3,128,063 | 509,655 | ||||
Alexandria Real Estate Equities Inc. | 4,042,830 | 507,739 | ||||
Equity Residential | 8,401,015 | 504,061 | ||||
Invitation Homes Inc. | 14,281,030 | 445,997 | ||||
Simon Property Group Inc. | 3,818,047 | 427,507 | ||||
Mid-America Apartment Communities Inc. | 2,723,448 | 411,350 | ||||
Sun Communities Inc. | 2,898,634 | 408,360 | ||||
Ventas Inc. | 9,342,833 | 405,012 | ||||
WP Carey Inc. | 4,919,576 | 381,021 | ||||
Iron Mountain Inc. | 6,794,579 | 359,501 | ||||
UDR Inc. | 7,688,437 | 315,687 | ||||
Essex Property Trust Inc. | 1,506,967 | 315,167 |
Shares | Market Value ($000) | |||||
Healthpeak Properties Inc. | 12,771,358 | 280,587 | ||||
Camden Property Trust | 2,492,267 | 261,289 | ||||
Boston Properties Inc. | 3,295,296 | 178,341 | ||||
* | Zillow Group Inc. Class C | 3,595,438 | 159,889 | |||
Host Hotels & Resorts Inc. | 8,332,517 | 137,403 | ||||
Regency Centers Corp. | 2,000,678 | 122,401 | ||||
* | Zillow Group Inc. Class A | 931,420 | 40,703 | |||
12,204,708 | ||||||
Technology (13.9%) | ||||||
Amphenol Corp. Class A | 13,888,451 | 1,134,964 | ||||
Microchip Technology Inc. | 12,795,144 | 1,071,977 | ||||
* | ON Semiconductor Corp. | 10,089,698 | 830,584 | |||
* | ANSYS Inc. | 2,034,118 | 676,955 | |||
* | Cadence Design Systems Inc. | 3,188,187 | 669,806 | |||
Corning Inc. | 17,796,196 | 627,850 | ||||
CDW Corp. | 3,162,377 | 616,316 | ||||
* | Atlassian Corp. Class A | 3,506,115 | 600,142 | |||
* | Gartner Inc. | 1,754,320 | 571,505 | |||
Monolithic Power Systems Inc. | 1,045,291 | 523,210 | ||||
* | Fortinet Inc. | 7,755,267 | 515,415 | |||
Hewlett Packard Enterprise Co. | 30,290,510 | 482,528 | ||||
* | HubSpot Inc. | 1,095,990 | 469,906 | |||
* | Datadog Inc. Class A | 6,139,402 | 446,089 | |||
* | VeriSign Inc. | 2,082,265 | 440,045 | |||
Skyworks Solutions Inc. | 3,713,249 | 438,089 | ||||
Marvell Technology Inc. | 9,964,291 | 431,454 | ||||
* | DoorDash Inc. Class A | 6,728,425 | 427,659 | |||
* | Cloudflare Inc. Class A | 6,358,645 | 392,074 | |||
Teradyne Inc. | 3,644,874 | 391,860 | ||||
* | EPAM Systems Inc. | 1,279,341 | 382,523 | |||
* | Pinterest Inc. Class A | 13,886,476 | 378,684 | |||
* | Splunk Inc. | 3,823,627 | 366,609 | |||
* | Paycom Software Inc. | 1,197,606 | 364,084 | |||
* | Zoom Video Communications Inc. Class A | 4,877,142 | 360,128 | |||
* | MongoDB Inc. Class A | 1,537,517 | 358,426 | |||
* | Tyler Technologies Inc. | 976,780 | 346,405 | |||
* | Palantir Technologies Inc. Class A | 39,394,484 | 332,883 | |||
NetApp Inc. | 5,035,256 | 321,501 | ||||
* | Okta Inc. Class A | 3,567,962 | 307,701 | |||
Seagate Technology Holdings plc | 4,581,774 | 302,947 | ||||
* | Akamai Technologies Inc. | 3,672,773 | 287,578 | |||
SS&C Technologies Holdings Inc. | 5,001,398 | 282,429 | ||||
* | Western Digital Corp. | 7,458,569 | 280,964 | |||
* | GoDaddy Inc. Class A | 3,585,973 | 278,702 | |||
* | Twilio Inc. Class A | 4,076,411 | 271,611 | |||
* | DocuSign Inc. Class A | 4,642,587 | 270,663 | |||
* | Snap Inc. Class A | 23,249,880 | 260,631 | |||
* | Match Group Inc. | 6,523,901 | 250,453 | |||
* | Qorvo Inc. | 2,333,160 | 236,979 | |||
* | Zscaler Inc. | 2,021,055 | 236,120 | |||
Bentley Systems Inc. Class B | 5,172,128 | 222,350 | ||||
Gen Digital Inc. | 12,689,234 | 217,747 | ||||
*,1 | Unity Software Inc. | 6,119,151 | 198,505 | |||
* | ZoomInfo Technologies Inc. Class A | 8,026,793 | 198,342 | |||
* | Black Knight Inc. | 3,279,994 | 188,797 | |||
Leidos Holdings Inc. | 1,599,252 | 147,227 | ||||
* | F5 Inc. | 702,140 | 102,295 | |||
* | Toast Inc. Class A | 3,711,292 | 65,875 |
Shares | Market Value ($000) | |||||
* | UiPath Inc. Class A | 3,570,721 | 62,702 | |||
* | Palo Alto Networks Inc. | 471 | 94 | |||
19,640,383 | ||||||
Telecommunications (1.8%) | ||||||
Motorola Solutions Inc. | 3,906,518 | 1,117,772 | ||||
* | Arista Networks Inc. | 5,367,467 | 900,983 | |||
* | Liberty Broadband Corp. Class C | 2,802,021 | 228,925 | |||
* | Roku Inc. Class A | 2,865,661 | 188,618 | |||
Juniper Networks Inc. | 3,783,453 | 130,226 | ||||
* | Liberty Broadband Corp. Class A | 377,488 | 30,999 | |||
* | DISH Network Corp. Class A | 2,906,809 | 27,121 | |||
2,624,644 | ||||||
Utilities (7.5%) | ||||||
* | PG&E Corp. | 51,843,436 | 838,308 | |||
Waste Connections Inc. | 6,008,033 | 835,537 | ||||
Consolidated Edison Inc. | 8,292,970 | 793,388 | ||||
WEC Energy Group Inc. | 7,367,741 | 698,388 | ||||
American Water Works Co. Inc. | 4,504,673 | 659,890 | ||||
Eversource Energy | 8,139,697 | 637,013 | ||||
Edison International | 8,935,793 | 630,778 | ||||
Constellation Energy Corp. | 7,630,043 | 598,958 | ||||
Entergy Corp. | 4,932,517 | 531,429 | ||||
Ameren Corp. | 6,019,894 | 520,059 | ||||
FirstEnergy Corp. | 12,697,869 | 508,677 | ||||
PPL Corp. | 17,206,835 | 478,178 | ||||
CenterPoint Energy Inc. | 14,702,006 | 433,121 | ||||
DTE Energy Co. | 3,846,521 | 421,348 | ||||
CMS Energy Corp. | 6,803,168 | 417,578 | ||||
AES Corp. | 15,601,505 | 375,684 | ||||
Evergy Inc. | 5,360,037 | 327,606 | ||||
Alliant Energy Corp. | 5,863,201 | 313,095 | ||||
NiSource Inc. | 9,635,164 | 269,399 | ||||
Vistra Corp. | 9,295,128 | 223,083 | ||||
Avangrid Inc. | 1,806,272 | 72,034 | ||||
10,583,551 | ||||||
Total Common Stocks (Cost $102,488,966) | 140,217,411 | |||||
Coupon | ||||||
Temporary Cash Investments (1.3%) | ||||||
Money Market Fund (1.3%) | ||||||
2,3 | Vanguard Market Liquidity Fund (Cost $1,807,168) | 4.839% | 18,077,130 | 1,807,532 | ||
Total Investments (100.4%) (Cost $104,296,134) | 142,024,943 | |||||
Other Assets and Liabilities—Net (-0.4%) | (620,420) | |||||
Net Assets (100%) | 141,404,523 |
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 $817,345,000. |
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 $827,555,000 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 Russell 2000 Index | June 2023 | 2,830 | 256,610 | 4,434 |
E-mini S&P 500 Index | June 2023 | 1,962 | 405,913 | 19,927 |
E-mini S&P Mid-Cap 400 Index | June 2023 | 853 | 215,784 | 5,998 |
30,359 |
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) |
Alnylam Pharmaceuticals Inc. | 8/31/23 | BANA | 8,232 | (4.661) | 349 | — |
Alnylam Pharmaceuticals Inc. | 8/31/23 | BANA | 8,232 | (4.661) | 350 | — |
Alnylam Pharmaceuticals Inc. | 8/31/23 | BANA | 8,232 | (4.661) | 350 | — |
Ameren Corp. | 1/31/24 | GSI | 1,279 | (4.778) | 24 | — |
CRSP US Mid Cap TR Index | 8/31/23 | BANA | 95,387 | (5.061) | — | (1,479) |
DocuSign Inc. Class A | 8/31/23 | BANA | 3,313 | (4.661) | — | (177) |
Global Payments Inc. | 8/31/23 | BANA | 11,220 | (5.111) | — | (719) |
Global Payments Inc. | 8/31/23 | BANA | 11,220 | (5.111) | — | (719) |
Hormel Foods Corp. | 1/31/24 | GSI | 17,748 | (4.778) | 163 | — |
ONEOK Inc. | 8/31/23 | BANA | 14,923 | (4.661) | — | (493) |
ONEOK Inc. | 8/31/23 | BANA | 14,923 | (4.661) | — | (493) |
Palantir Technologies Inc. Class A | 8/31/23 | BANA | 2,101 | (4.661) | 155 | — |
Sirius XM Holdings Inc. | 1/31/24 | GSI | 9,009 | (4.778) | 799 | — |
VICI Properties Inc. Class A | 8/31/23 | BANA | 88,855 | (5.211) | — | (1,763) |
Warner Bros Discovery Inc. | 8/31/23 | BANA | 19,837 | (4.661) | — | (737) |
2,190 | (6,580) |
1 | Based on USD Overnight Bank Funding Rate as of the most recent payment date. Floating interest payment received/paid monthly. |
BANA—Bank of America, N.A. | |
GSI—Goldman Sachs International. |
At March 31, 2023, the counterparties had deposited in segregated accounts securities with a value of $593,000 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 | 140,217,411 | — | — | 140,217,411 |
Temporary Cash Investments | 1,807,532 | — | — | 1,807,532 |
Total | 142,024,943 | — | — | 142,024,943 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 30,359 | — | — | 30,359 |
Swap Contracts | — | 2,190 | — | 2,190 |
Total | 30,359 | 2,190 | — | 32,549 |
Liabilities | ||||
Swap Contracts | — | 6,580 | — | 6,580 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |