Vanguard® Value Index Fund
Schedule of Investments (unaudited)
As of September 30, 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 (2.1%) | |||
Air Products and Chemicals Inc. | 1,907,837 | 540,681 | |
Freeport-McMoRan Inc. | 12,311,773 | 459,106 | |
Nucor Corp. | 2,135,901 | 333,948 | |
Dow Inc. | 6,037,930 | 311,316 | |
Newmont Corp. | 6,824,780 | 252,176 | |
LyondellBasell Industries NV Class A | 2,227,410 | 210,936 | |
International Flavors & Fragrances Inc. | 2,192,564 | 149,467 | |
CF Industries Holdings Inc. | 1,657,228 | 142,091 | |
Avery Dennison Corp. | 692,363 | 126,474 | |
Celanese Corp. | 888,092 | 111,473 | |
International Paper Co. | 2,972,248 | 105,426 | |
Mosaic Co. | 2,854,016 | 101,603 | |
Eastman Chemical Co. | 1,018,629 | 78,149 | |
Steel Dynamics Inc. | 675,644 | 72,442 | |
FMC Corp. | 1,071,335 | 71,747 | |
Westlake Corp. | 137,237 | 17,109 | |
3,084,144 | |||
Consumer Discretionary (5.9%) | |||
Walmart Inc. | 12,719,116 | 2,034,168 | |
Lowe's Cos. Inc. | 4,998,308 | 1,038,848 | |
Target Corp. | 3,964,695 | 438,376 | |
Ford Motor Co. | 33,762,850 | 419,335 | |
General Motors Co. | 11,814,891 | 389,537 | |
Activision Blizzard Inc. | 3,208,692 | 300,430 | |
DR Horton Inc. | 2,615,361 | 281,073 | |
Lennar Corp. Class A | 2,231,541 | 250,446 | |
* | Warner Bros Discovery Inc. | 18,841,600 | 204,620 |
Delta Air Lines Inc. | 5,525,407 | 204,440 | |
eBay Inc. | 4,570,794 | 201,526 | |
* | Dollar Tree Inc. | 1,795,329 | 191,113 |
Genuine Parts Co. | 1,206,166 | 174,146 | |
* | NVR Inc. | 26,582 | 158,516 |
Darden Restaurants Inc. | 1,038,052 | 148,670 | |
Electronic Arts Inc. | 1,162,920 | 140,016 | |
PulteGroup Inc. | 1,885,316 | 139,608 | |
Southwest Airlines Co. | 5,116,629 | 138,507 | |
Garmin Ltd. | 1,316,095 | 138,453 | |
Omnicom Group Inc. | 1,697,010 | 126,393 | |
* | Rivian Automotive Inc. Class A | 5,197,491 | 126,195 |
* | United Airlines Holdings Inc. | 2,805,960 | 118,692 |
* | Carnival Corp. | 8,626,857 | 118,360 |
Best Buy Co. Inc. | 1,687,038 | 117,199 |
Shares | Market Value ($000) | ||
LKQ Corp. | 2,297,712 | 113,760 | |
Dollar General Corp. | 942,079 | 99,672 | |
* | CarMax Inc. | 1,358,981 | 96,121 |
* | Royal Caribbean Cruises Ltd. | 935,012 | 86,152 |
News Corp. Class A | 4,248,207 | 85,219 | |
* | MGM Resorts International | 2,260,062 | 83,080 |
Fox Corp. Class A | 2,279,936 | 71,134 | |
Paramount Global Class B | 4,140,166 | 53,408 | |
Interpublic Group of Cos. Inc. | 1,653,452 | 47,388 | |
BorgWarner Inc. (XNYS) | 1,008,858 | 40,728 | |
*,1 | Lucid Group Inc. | 6,864,479 | 38,372 |
Fox Corp. Class B | 1,000,906 | 28,906 | |
Endeavor Group Holdings Inc. Class A | 1,305,252 | 25,975 | |
1 | Sirius XM Holdings Inc. | 4,953,400 | 22,389 |
1 | Paramount Global Class A | 114,903 | 1,814 |
Lennar Corp. Class B | 15,602 | 1,595 | |
News Corp. Class B | 27,910 | 583 | |
8,494,963 | |||
Consumer Staples (10.7%) | |||
Procter & Gamble Co. | 20,244,313 | 2,952,835 | |
PepsiCo Inc. | 11,821,354 | 2,003,010 | |
Coca-Cola Co. | 33,421,074 | 1,870,912 | |
Philip Morris International Inc. | 13,331,860 | 1,234,264 | |
Mondelez International Inc. Class A | 11,682,835 | 810,789 | |
CVS Health Corp. | 11,031,004 | 770,185 | |
Altria Group Inc. | 15,241,435 | 640,902 | |
McKesson Corp. | 1,158,649 | 503,838 | |
Constellation Brands Inc. Class A | 1,416,940 | 356,120 | |
Kimberly-Clark Corp. | 2,904,481 | 351,006 | |
Archer-Daniels-Midland Co. | 4,604,562 | 347,276 | |
General Mills Inc. | 4,991,375 | 319,398 | |
Corteva Inc. | 6,093,603 | 311,749 | |
Kenvue Inc. | 14,798,888 | 297,162 | |
Sysco Corp. | 4,352,596 | 287,489 | |
Keurig Dr Pepper Inc. | 8,400,221 | 265,195 | |
Cencora Inc. | 1,466,081 | 263,851 | |
Colgate-Palmolive Co. | 3,549,210 | 252,384 | |
Kraft Heinz Co. | 6,856,296 | 230,646 | |
Kroger Co. | 4,548,402 | 203,541 | |
McCormick & Co. Inc. | 2,157,169 | 163,168 | |
Walgreens Boots Alliance Inc. | 6,303,997 | 140,201 | |
Clorox Co. | 1,063,685 | 139,407 | |
Kellogg Co. | 2,206,680 | 131,319 | |
Tyson Foods Inc. Class A | 2,453,151 | 123,860 | |
Conagra Brands Inc. | 3,830,905 | 105,043 | |
J M Smucker Co. | 832,869 | 102,368 | |
Hormel Foods Corp. | 2,348,514 | 89,314 | |
Campbell Soup Co. | 1,665,018 | 68,399 | |
Albertsons Cos. Inc. Class A | 2,719,368 | 61,866 | |
Molson Coors Beverage Co. Class B | 776,954 | 49,406 | |
15,446,903 | |||
Energy (8.4%) | |||
Exxon Mobil Corp. | 34,379,971 | 4,042,397 | |
Chevron Corp. | 15,233,978 | 2,568,753 | |
ConocoPhillips | 10,284,387 | 1,232,069 | |
EOG Resources Inc. | 5,000,732 | 633,893 | |
Marathon Petroleum Corp. | 3,433,809 | 519,673 |
Shares | Market Value ($000) | ||
Phillips 66 | 3,824,095 | 459,465 | |
Valero Energy Corp. | 3,032,831 | 429,782 | |
Occidental Petroleum Corp. | 5,698,162 | 369,697 | |
Schlumberger NV | 6,101,873 | 355,739 | |
Williams Cos. Inc. | 10,447,696 | 351,983 | |
Kinder Morgan Inc. | 16,266,192 | 269,693 | |
Devon Energy Corp. | 5,503,473 | 262,516 | |
ONEOK Inc. | 3,845,466 | 243,918 | |
Baker Hughes Co. | 4,335,051 | 153,114 | |
Halliburton Co. | 3,472,326 | 140,629 | |
Marathon Oil Corp. | 5,201,818 | 139,149 | |
12,172,470 | |||
Financials (18.9%) | |||
* | Berkshire Hathaway Inc. Class B | 15,673,740 | 5,490,511 |
JPMorgan Chase & Co. | 24,957,882 | 3,619,392 | |
Bank of America Corp. | 58,005,807 | 1,588,199 | |
Wells Fargo & Co. | 31,498,349 | 1,287,023 | |
Morgan Stanley | 10,671,552 | 871,546 | |
Goldman Sachs Group Inc. | 2,579,868 | 834,768 | |
Marsh & McLennan Cos. Inc. | 4,241,231 | 807,106 | |
BlackRock Inc. | 1,153,906 | 745,989 | |
Chubb Ltd. | 3,526,850 | 734,220 | |
Charles Schwab Corp. | 12,922,662 | 709,454 | |
Progressive Corp. | 5,024,857 | 699,963 | |
Citigroup Inc. | 15,509,735 | 637,915 | |
CME Group Inc. | 3,089,193 | 618,518 | |
Intercontinental Exchange Inc. | 4,899,593 | 539,053 | |
US Bancorp | 13,372,117 | 442,082 | |
Arthur J Gallagher & Co. | 1,850,432 | 421,769 | |
PNC Financial Services Group Inc. | 3,420,488 | 419,933 | |
Aflac Inc. | 5,100,546 | 391,467 | |
American International Group Inc. | 6,112,978 | 370,447 | |
KKR & Co. Inc. | 5,524,303 | 340,297 | |
Truist Financial Corp. | 11,440,370 | 327,309 | |
Travelers Cos. Inc. | 1,965,532 | 320,991 | |
MetLife Inc. | 4,843,619 | 304,712 | |
Prudential Financial Inc. | 3,117,536 | 295,823 | |
Ameriprise Financial Inc. | 881,255 | 290,532 | |
Bank of New York Mellon Corp. | 6,032,007 | 257,265 | |
Allstate Corp. | 2,246,621 | 250,296 | |
* | Arch Capital Group Ltd. | 3,042,292 | 242,501 |
T Rowe Price Group Inc. | 1,926,266 | 202,008 | |
Willis Towers Watson plc | 900,136 | 188,092 | |
Hartford Financial Services Group Inc. | 2,625,924 | 186,204 | |
Discover Financial Services | 2,146,330 | 185,937 | |
M&T Bank Corp. | 1,425,558 | 180,262 | |
State Street Corp. | 2,599,520 | 174,064 | |
Nasdaq Inc. | 3,374,877 | 163,985 | |
Raymond James Financial Inc. | 1,614,281 | 162,122 | |
* | Markel Group Inc. | 108,239 | 159,381 |
Principal Financial Group Inc. | 2,076,360 | 149,643 | |
Fifth Third Bancorp | 5,849,827 | 148,176 | |
Cboe Global Markets Inc. | 905,941 | 141,517 | |
Regions Financial Corp. | 8,062,623 | 138,677 | |
Everest Group Ltd. | 372,684 | 138,516 | |
Cincinnati Financial Corp. | 1,347,093 | 137,794 | |
Huntington Bancshares Inc. | 12,439,467 | 129,370 | |
Northern Trust Corp. | 1,688,877 | 117,343 |
Shares | Market Value ($000) | ||
W R Berkley Corp. | 1,658,117 | 105,274 | |
Citizens Financial Group Inc. | 3,854,794 | 103,309 | |
Loews Corp. | 1,548,244 | 98,019 | |
Fidelity National Financial Inc. | 2,220,534 | 91,708 | |
KeyCorp. | 8,042,095 | 86,533 | |
Franklin Resources Inc. | 2,570,686 | 63,187 | |
Equitable Holdings Inc. | 1,483,519 | 42,117 | |
Globe Life Inc. | 386,361 | 42,009 | |
Annaly Capital Management Inc. | 2,120,872 | 39,894 | |
Interactive Brokers Group Inc. Class A | 436,201 | 37,758 | |
* | Berkshire Hathaway Inc. Class A | 52 | 27,637 |
Corebridge Financial Inc. | 1,358,656 | 26,833 | |
*,1 | Rocket Cos. Inc. Class A | 987,453 | 8,077 |
27,334,527 | |||
Health Care (17.9%) | |||
UnitedHealth Group Inc. | 7,955,334 | 4,011,000 | |
Johnson & Johnson | 20,680,276 | 3,220,953 | |
AbbVie Inc. | 15,158,898 | 2,259,585 | |
Merck & Co. Inc. | 21,793,078 | 2,243,597 | |
Pfizer Inc. | 48,489,279 | 1,608,389 | |
Abbott Laboratories | 14,903,602 | 1,443,414 | |
Amgen Inc. | 4,593,863 | 1,234,647 | |
Bristol-Myers Squibb Co. | 17,941,882 | 1,041,347 | |
Medtronic plc | 11,426,589 | 895,388 | |
Elevance Health Inc. | 2,023,819 | 881,211 | |
Gilead Sciences Inc. | 10,701,344 | 801,959 | |
Cigna Group | 2,542,062 | 727,208 | |
Danaher Corp. | 2,853,130 | 707,862 | |
Becton Dickinson and Co. | 2,491,494 | 644,126 | |
Humana Inc. | 1,064,103 | 517,707 | |
HCA Healthcare Inc. | 1,751,919 | 430,937 | |
* | Regeneron Pharmaceuticals Inc. | 435,400 | 358,317 |
* | Centene Corp. | 4,650,701 | 320,340 |
* | Biogen Inc. | 1,243,843 | 319,680 |
GE Healthcare Inc. | 3,320,375 | 225,918 | |
Zimmer Biomet Holdings Inc. | 1,794,639 | 201,394 | |
Cardinal Health Inc. | 2,153,382 | 186,957 | |
* | Molina Healthcare Inc. | 500,860 | 164,227 |
Baxter International Inc. | 4,349,846 | 164,163 | |
Laboratory Corp. of America Holdings | 761,002 | 153,000 | |
* | Hologic Inc. | 2,103,722 | 145,998 |
* | Avantor Inc. | 5,805,174 | 122,373 |
Revvity Inc. | 1,066,141 | 118,022 | |
Quest Diagnostics Inc. | 964,094 | 117,485 | |
Viatris Inc. | 10,304,100 | 101,598 | |
STERIS plc | 424,306 | 93,101 | |
Royalty Pharma plc Class A | 3,279,297 | 89,000 | |
* | Henry Schein Inc. | 1,121,972 | 83,306 |
Teleflex Inc. | 403,730 | 79,297 | |
* | Charles River Laboratories International Inc. | 220,147 | 43,144 |
* | Bio-Rad Laboratories Inc. Class A | 87,596 | 31,399 |
25,788,049 | |||
Industrials (15.0%) | |||
Caterpillar Inc. | 4,381,165 | 1,196,058 | |
Union Pacific Corp. | 5,234,113 | 1,065,822 | |
Honeywell International Inc. | 5,702,093 | 1,053,405 | |
General Electric Co. | 9,347,124 | 1,033,325 |
Shares | Market Value ($000) | ||
United Parcel Service Inc. Class B (XNYS) | 6,211,653 | 968,210 | |
RTX Corp. | 12,500,020 | 899,626 | |
Lockheed Martin Corp. | 2,162,689 | 884,453 | |
Deere & Co. | 2,266,170 | 855,207 | |
Eaton Corp. plc | 3,426,604 | 730,826 | |
American Express Co. | 4,743,150 | 707,631 | |
Illinois Tool Works Inc. | 2,467,154 | 568,210 | |
CSX Corp. | 17,231,483 | 529,868 | |
FedEx Corp. | 1,943,940 | 514,989 | |
Northrop Grumman Corp. | 1,169,439 | 514,775 | |
Emerson Electric Co. | 4,907,782 | 473,945 | |
General Dynamics Corp. | 2,110,417 | 466,339 | |
3M Co. | 4,741,283 | 443,879 | |
Parker-Hannifin Corp. | 1,103,011 | 429,645 | |
Trane Technologies plc | 1,961,520 | 398,012 | |
Carrier Global Corp. | 7,193,957 | 397,106 | |
Norfolk Southern Corp. | 1,949,948 | 384,003 | |
PACCAR Inc. | 4,490,034 | 381,743 | |
Johnson Controls International plc | 5,678,828 | 302,170 | |
Capital One Financial Corp. | 3,111,447 | 301,966 | |
AMETEK Inc. | 1,981,230 | 292,747 | |
Otis Worldwide Corp. | 3,536,395 | 284,008 | |
L3Harris Technologies Inc. | 1,624,564 | 282,869 | |
Cummins Inc. | 1,216,584 | 277,941 | |
Ferguson plc | 1,685,077 | 277,145 | |
* | PayPal Holdings Inc. | 4,713,106 | 275,528 |
DuPont de Nemours Inc. | 3,547,966 | 264,643 | |
Fidelity National Information Services Inc. | 4,786,635 | 264,557 | |
PPG Industries Inc. | 2,022,478 | 262,518 | |
United Rentals Inc. | 586,488 | 260,735 | |
Global Payments Inc. | 2,231,482 | 257,491 | |
Fortive Corp. | 3,023,631 | 224,232 | |
Ingersoll Rand Inc. (XYNS) | 3,473,398 | 221,325 | |
Xylem Inc. | 2,068,482 | 188,294 | |
Dover Corp. | 1,201,717 | 167,652 | |
Westinghouse Air Brake Technologies Corp. | 1,538,849 | 163,534 | |
* | FleetCor Technologies Inc. | 602,513 | 153,846 |
Jacobs Solutions Inc. | 1,081,637 | 147,643 | |
Expeditors International of Washington Inc. | 1,270,626 | 145,652 | |
Ball Corp. | 2,706,862 | 134,748 | |
Textron Inc. | 1,701,513 | 132,956 | |
TransUnion | 1,660,501 | 119,207 | |
Packaging Corp. of America | 772,416 | 118,604 | |
Snap-on Inc. | 454,639 | 115,960 | |
* | Trimble Inc. | 2,133,428 | 114,906 |
Stanley Black & Decker Inc. | 1,316,407 | 110,025 | |
Synchrony Financial | 3,589,968 | 109,745 | |
Martin Marietta Materials Inc. | 265,051 | 108,798 | |
* | Zebra Technologies Corp. Class A | 441,034 | 104,318 |
Masco Corp. | 1,932,430 | 103,288 | |
* | Keysight Technologies Inc. | 763,499 | 101,019 |
Crown Holdings Inc. | 1,036,457 | 91,706 | |
CH Robinson Worldwide Inc. | 950,700 | 81,884 | |
Howmet Aerospace Inc. | 1,681,724 | 77,780 | |
Hubbell Inc. | 230,318 | 72,184 | |
21,610,701 | |||
Real Estate (3.0%) | |||
Prologis Inc. | 7,934,242 | 890,301 |
Shares | Market Value ($000) | ||
Crown Castle Inc. | 3,724,527 | 342,768 | |
Digital Realty Trust Inc. | 2,599,809 | 314,629 | |
Simon Property Group Inc. | 2,669,520 | 288,388 | |
VICI Properties Inc. | 8,703,163 | 253,262 | |
Extra Space Storage Inc. | 1,814,491 | 220,606 | |
AvalonBay Communities Inc. | 1,219,665 | 209,465 | |
Weyerhaeuser Co. | 6,276,218 | 192,429 | |
* | CBRE Group Inc. Class A | 2,527,459 | 186,678 |
Equity Residential | 3,092,895 | 181,584 | |
Realty Income Corp. | 3,041,633 | 151,899 | |
Iron Mountain Inc. | 2,506,810 | 149,030 | |
Alexandria Real Estate Equities Inc. | 1,486,369 | 148,786 | |
Ventas Inc. | 3,455,932 | 145,599 | |
Mid-America Apartment Communities Inc. | 1,002,271 | 128,942 | |
Essex Property Trust Inc. | 551,270 | 116,919 | |
UDR Inc. | 2,830,256 | 100,955 | |
WP Carey Inc. | 1,837,711 | 99,383 | |
Healthpeak Properties Inc. | 4,700,187 | 86,296 | |
Host Hotels & Resorts Inc. | 3,055,860 | 49,108 | |
Regency Centers Corp. | 793,340 | 47,156 | |
Camden Property Trust | 458,776 | 43,391 | |
Boston Properties Inc. | 606,879 | 36,097 | |
4,383,671 | |||
Technology (8.5%) | |||
Broadcom Inc. | 3,544,269 | 2,943,799 | |
Oracle Corp. | 13,986,258 | 1,481,424 | |
Intel Corp. | 35,967,947 | 1,278,661 | |
International Business Machines Corp. | 7,823,202 | 1,097,595 | |
QUALCOMM Inc. | 9,584,588 | 1,064,464 | |
Analog Devices Inc. | 4,279,589 | 749,313 | |
Micron Technology Inc. | 9,406,769 | 639,942 | |
* | VMware Inc. Class A | 2,032,636 | 338,393 |
TE Connectivity Ltd. | 2,696,127 | 333,053 | |
Cognizant Technology Solutions Corp. Class A | 4,336,939 | 293,784 | |
CDW Corp. | 1,151,344 | 232,295 | |
Corning Inc. | 6,594,069 | 200,921 | |
HP Inc. | 7,620,492 | 195,847 | |
Hewlett Packard Enterprise Co. | 11,091,157 | 192,653 | |
* | ON Semiconductor Corp. | 1,853,229 | 172,258 |
Dell Technologies Inc. Class C | 2,067,318 | 142,438 | |
* | Akamai Technologies Inc. | 1,302,671 | 138,787 |
NetApp Inc. | 1,810,039 | 137,346 | |
* | Western Digital Corp. | 2,764,779 | 126,157 |
SS&C Technologies Holdings Inc. | 1,811,857 | 95,195 | |
Gen Digital Inc. (XNGS) | 4,668,843 | 82,545 | |
* | Qorvo Inc. | 841,116 | 80,301 |
Skyworks Solutions Inc. | 684,883 | 67,523 | |
Seagate Technology Holdings plc | 846,198 | 55,807 | |
Leidos Holdings Inc. | 590,002 | 54,375 | |
12,194,876 | |||
Telecommunications (3.8%) | |||
Cisco Systems Inc. | 31,497,447 | 1,693,303 | |
Comcast Corp. Class A | 35,345,249 | 1,567,208 | |
Verizon Communications Inc. | 32,495,008 | 1,053,163 | |
AT&T Inc. | 61,400,831 | 922,241 | |
Motorola Solutions Inc. | 717,213 | 195,254 | |
5,431,169 |
Shares | Market Value ($000) | ||
Utilities (5.6%) | |||
NextEra Energy Inc. | 17,613,751 | 1,009,092 | |
Southern Co. | 9,373,481 | 606,652 | |
Duke Energy Corp. | 6,620,769 | 584,349 | |
Waste Management Inc. | 3,478,303 | 530,233 | |
Sempra | 5,404,339 | 367,657 | |
* | PG&E Corp. | 20,957,793 | 338,049 |
American Electric Power Co. Inc. | 4,423,818 | 332,760 | |
Exelon Corp. | 8,537,729 | 322,641 | |
Dominion Energy Inc. | 7,186,995 | 321,043 | |
Constellation Energy Corp. | 2,762,026 | 301,282 | |
Xcel Energy Inc. | 4,735,853 | 270,985 | |
Consolidated Edison Inc. | 2,961,553 | 253,302 | |
Republic Services Inc. | 1,765,554 | 251,609 | |
Public Service Enterprise Group Inc. | 4,285,640 | 243,896 | |
WEC Energy Group Inc. | 2,709,800 | 218,274 | |
Edison International | 3,293,110 | 208,421 | |
American Water Works Co. Inc. | 1,672,860 | 207,150 | |
Eversource Energy | 2,999,178 | 174,402 | |
Ameren Corp. | 2,255,047 | 168,745 | |
Entergy Corp. | 1,816,336 | 168,011 | |
FirstEnergy Corp. | 4,679,555 | 159,947 | |
DTE Energy Co. | 1,504,700 | 149,387 | |
PPL Corp. | 6,330,041 | 149,136 | |
CenterPoint Energy Inc. | 5,406,708 | 145,170 | |
CMS Energy Corp. | 2,506,465 | 133,118 | |
Alliant Energy Corp. | 2,171,737 | 105,221 | |
Evergy Inc. | 1,972,544 | 100,008 | |
NiSource Inc. | 3,549,224 | 87,595 | |
AES Corp. | 5,754,742 | 87,472 | |
Vistra Corp. | 1,569,876 | 52,088 | |
Avangrid Inc. | 659,390 | 19,894 | |
8,067,589 | |||
Total Common Stocks (Cost $121,777,788) | 144,009,062 | ||
Temporary Cash Investments (0.1%) | |||
Money Market Fund (0.1%) | |||
2,3 | Vanguard Market Liquidity Fund, 5.391% (Cost $201,106) | 2,011,487 | 201,128 |
Total Investments (99.9%) (Cost $121,978,894) | 144,210,190 | ||
Other Assets and Liabilities—Net (0.1%) | 140,535 | ||
Net Assets (100%) | 144,350,725 | ||
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 $59,263,000. |
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 $64,298,000 was received for securities on loan, of which $64,291,000 is held in Vanguard Market Liquidity Fund and $7,000 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 2023 | 546 | 118,086 | (2,002) |
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) |
Bank of New York Mellon Corp. | 8/30/24 | BANA | 12,369 | (5.876) | — | (38) |
Bank of New York Mellon Corp. | 8/30/24 | BANA | 8,530 | (5.875) | — | (22) |
Bank of New York Mellon Corp. | 8/30/24 | BANA | 7,037 | (5.880) | — | (35) |
Citigroup Inc. | 8/29/25 | BANA | 8,226 | (5.930) | — | (39) |
Conagra Brands Inc. | 8/30/24 | BANA | 7,541 | (5.328) | — | (30) |
Ferguson plc | 8/30/24 | BANA | 11,184 | (5.328) | — | (41) |
Fidelity National Information Services Inc. | 8/30/24 | BANA | 16,581 | (5.873) | — | (26) |
Goldman Sachs Group Inc. | 8/29/25 | BANA | 80,893 | (6.030) | 289 | — |
Johnson Controls International plc | 8/30/24 | BANA | 8,673 | (5.328) | 25 | — |
Kroger Co. | 1/31/24 | GSI | 46,320 | (5.324) | — | (1,652) |
Rivian Automotive Inc. | 8/30/24 | BANA | 10,440 | (5.326) | — | (28) |
Rivian Automotive Inc. | 8/30/24 | BANA | 10,440 | (5.326) | — | (27) |
314 | (1,938) |
1 | Based on Overnight Bank Funding Rate as of the most recent reset date. Floating interest payment received/paid monthly. |
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 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 or indexes 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, 2023, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 144,009,062 | — | — | 144,009,062 |
Temporary Cash Investments | 201,128 | — | — | 201,128 |
Total | 144,210,190 | — | — | 144,210,190 |
Derivative Financial Instruments | ||||
Assets | ||||
Swap Contracts | — | 314 | — | 314 |
Liabilities | ||||
Futures Contracts1 | 2,002 | — | — | 2,002 |
Swap Contracts | — | 1,938 | — | 1,938 |
Total | 2,002 | 1,938 | — | 3,940 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |