Vanguard® Mid-Cap Index Fund
Schedule of Investments (unaudited)
As of March 31, 2024
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 (99.6%) | ||||||
Basic Materials (4.0%) | ||||||
Nucor Corp. | 5,339,882 | 1,056,763 | ||||
Fastenal Co. | 12,431,735 | 958,984 | ||||
Newmont Corp. | 25,033,277 | 897,193 | ||||
LyondellBasell Industries NV Class A | 5,638,280 | 576,683 | ||||
International Flavors & Fragrances Inc. | 5,546,074 | 476,907 | ||||
Dow Inc. | 7,625,447 | 441,742 | ||||
Celanese Corp. Class A | 2,364,133 | 406,300 | ||||
Avery Dennison Corp. | 1,748,346 | 390,318 | ||||
CF Industries Holdings Inc. | 4,092,118 | 340,505 | ||||
1 | Albemarle Corp. | 2,549,997 | 335,937 | |||
International Paper Co. | 7,526,155 | 293,671 | ||||
Steel Dynamics Inc. | 1,670,016 | 247,546 | ||||
Mosaic Co. | 3,491,748 | 113,342 | ||||
Westlake Corp. | 348,133 | 53,195 | ||||
6,589,086 | ||||||
Consumer Discretionary (12.9%) | ||||||
* | Copart Inc. | 18,772,410 | 1,087,298 | |||
DR Horton Inc. | 6,486,700 | 1,067,386 | ||||
Lennar Corp. Class A | 5,374,213 | 924,257 | ||||
* | Chipotle Mexican Grill Inc. Class A | 297,798 | 865,630 | |||
* | Trade Desk Inc. Class A | 9,316,539 | 814,452 | |||
Electronic Arts Inc. | 5,806,819 | 770,391 | ||||
Dollar General Corp. | 4,767,406 | 744,001 | ||||
Delta Air Lines Inc. | 13,970,819 | 668,783 | ||||
* | Royal Caribbean Cruises Ltd. | 4,738,029 | 658,633 | |||
Tractor Supply Co. | 2,347,985 | 614,515 | ||||
* | Dollar Tree Inc. | 4,495,028 | 598,513 | |||
eBay Inc. | 11,271,401 | 594,905 | ||||
* | AutoZone Inc. | 187,768 | 591,779 | |||
Hilton Worldwide Holdings Inc. | 2,738,383 | 584,124 | ||||
PulteGroup Inc. | 4,606,986 | 555,695 | ||||
* | Ulta Beauty Inc. | 1,054,611 | 551,435 | |||
* | Take-Two Interactive Software Inc. | 3,704,686 | 550,109 | |||
* | NVR Inc. | 65,756 | 532,621 | |||
Garmin Ltd. | 3,333,325 | 496,232 | ||||
* | Aptiv plc | 6,059,996 | 482,679 | |||
Genuine Parts Co. | 3,028,780 | 469,249 | ||||
* | ROBLOX Corp. Class A | 11,997,351 | 458,059 | |||
Darden Restaurants Inc. | 2,593,520 | 433,507 | ||||
Yum! Brands Inc. | 3,055,835 | 423,691 | ||||
Omnicom Group Inc. | 4,302,224 | 416,283 |
Shares | Market Value ($000) | |||||
* | Warner Bros Discovery Inc. | 47,673,944 | 416,193 | |||
* | Expedia Group Inc. | 2,841,143 | 391,367 | |||
Southwest Airlines Co. | 12,963,706 | 378,411 | ||||
Domino's Pizza Inc. | 757,834 | 376,553 | ||||
* | Live Nation Entertainment Inc. | 3,509,917 | 371,244 | |||
* | Carnival Corp. | 21,881,058 | 357,536 | |||
Best Buy Co. Inc. | 4,211,969 | 345,508 | ||||
* | United Airlines Holdings Inc. | 7,127,357 | 341,258 | |||
* | Burlington Stores Inc. | 1,401,727 | 325,467 | |||
LKQ Corp. | 5,791,697 | 309,334 | ||||
Rollins Inc. | 6,308,220 | 291,881 | ||||
News Corp. Class A | 10,428,811 | 273,026 | ||||
* | MGM Resorts International | 5,321,063 | 251,207 | |||
Las Vegas Sands Corp. | 4,094,847 | 211,704 | ||||
Fox Corp. Class A | 5,494,447 | 171,811 | ||||
Pool Corp. | 398,915 | 160,962 | ||||
* | CarMax Inc. | 1,715,552 | 149,442 | |||
Interpublic Group of Cos. Inc. | 4,115,435 | 134,287 | ||||
1 | Warner Music Group Corp. Class A | 2,753,270 | 90,913 | |||
*,1 | Rivian Automotive Inc. Class A | 8,252,656 | 90,367 | |||
Fox Corp. Class B | 2,234,550 | 63,953 | ||||
Endeavor Group Holdings Inc. Class A | 1,466,073 | 37,722 | ||||
Lennar Corp. Class B | 212,879 | 32,822 | ||||
1 | Sirius XM Holdings Inc. | 5,377,602 | 20,865 | |||
* | Liberty Media Corp.-Liberty SiriusXM Class A | 479,289 | 14,235 | |||
News Corp. Class B | 355,310 | 9,615 | ||||
* | Liberty Media Corp.-Liberty SiriusXM | 217,600 | 6,465 | |||
1 | Paramount Global Class A | 112,870 | 2,464 | |||
21,580,839 | ||||||
Consumer Staples (5.2%) | ||||||
Cencora Inc. | 3,682,892 | 894,906 | ||||
Corteva Inc. | 15,310,903 | 882,980 | ||||
Kroger Co. | 14,062,762 | 803,406 | ||||
Archer-Daniels-Midland Co. | 11,584,576 | 727,627 | ||||
Church & Dwight Co. Inc. | 5,295,176 | 552,340 | ||||
General Mills Inc. | 6,168,235 | 431,591 | ||||
McCormick & Co. Inc. (Non-Voting) | 5,462,570 | 419,580 | ||||
Clorox Co. | 2,695,212 | 412,664 | ||||
Kenvue Inc. | 18,722,535 | 401,786 | ||||
Tyson Foods Inc. Class A | 6,220,721 | 365,343 | ||||
1 | Brown-Forman Corp. Class B | 6,679,206 | 344,781 | |||
Kellanova | 5,918,480 | 339,070 | ||||
Walgreens Boots Alliance Inc. | 14,980,479 | 324,927 | ||||
Hershey Co. | 1,621,965 | 315,472 | ||||
Conagra Brands Inc. | 10,386,040 | 307,842 | ||||
J M Smucker Co. | 2,189,587 | 275,603 | ||||
Hormel Foods Corp. | 5,936,671 | 207,130 | ||||
Campbell Soup Co. | 4,207,958 | 187,044 | ||||
Lamb Weston Holdings Inc. | 1,568,067 | 167,046 | ||||
Molson Coors Beverage Co. Class B | 1,935,201 | 130,142 | ||||
Albertsons Cos. Inc. Class A | 3,444,457 | 73,849 | ||||
Brown-Forman Corp. Class A | 1,083,391 | 57,365 | ||||
8,622,494 | ||||||
Energy (5.0%) | ||||||
ONEOK Inc. | 12,653,024 | 1,014,393 | ||||
Hess Corp. | 6,004,418 | 916,514 | ||||
Cheniere Energy Inc. | 4,842,471 | 780,994 |
Shares | Market Value ($000) | |||||
Diamondback Energy Inc. | 3,875,629 | 768,033 | ||||
Baker Hughes Co. Class A | 21,738,912 | 728,254 | ||||
Devon Energy Corp. | 13,915,638 | 698,287 | ||||
Halliburton Co. | 17,398,854 | 685,863 | ||||
Williams Cos. Inc. | 13,217,714 | 515,094 | ||||
Coterra Energy Inc. | 15,525,595 | 432,854 | ||||
Kinder Morgan Inc. | 20,495,011 | 375,878 | ||||
* | First Solar Inc. | 2,205,202 | 372,238 | |||
Marathon Oil Corp. | 12,541,213 | 355,418 | ||||
* | Enphase Energy Inc. | 2,801,868 | 338,970 | |||
EQT Corp. | 4,781,002 | 177,232 | ||||
Texas Pacific Land Corp. | 199,978 | 115,689 | ||||
8,275,711 | ||||||
Financials (12.9%) | ||||||
Arthur J Gallagher & Co. | 4,709,164 | 1,177,480 | ||||
Allstate Corp. | 5,714,030 | 988,584 | ||||
Apollo Global Management Inc. | 8,632,967 | 970,777 | ||||
* | Coinbase Global Inc. Class A | 3,634,815 | 963,662 | |||
Ameriprise Financial Inc. | 2,178,394 | 955,095 | ||||
Prudential Financial Inc. | 7,797,565 | 915,434 | ||||
MSCI Inc. Class A | 1,632,073 | 914,695 | ||||
* | Arch Capital Group Ltd. | 7,702,544 | 712,023 | |||
Discover Financial Services | 5,431,248 | 711,982 | ||||
Hartford Financial Services Group Inc. | 6,482,822 | 668,055 | ||||
Willis Towers Watson plc | 2,225,716 | 612,072 | ||||
T. Rowe Price Group Inc. | 4,857,597 | 592,238 | ||||
Nasdaq Inc. | 9,369,328 | 591,205 | ||||
American International Group Inc. | 7,394,354 | 578,017 | ||||
Fifth Third Bancorp | 14,790,599 | 550,358 | ||||
M&T Bank Corp. | 3,618,572 | 526,285 | ||||
Raymond James Financial Inc. | 4,085,366 | 524,643 | ||||
Broadridge Financial Solutions Inc. | 2,557,630 | 523,956 | ||||
Ares Management Corp. Class A | 3,627,186 | 482,343 | ||||
State Street Corp. | 6,229,211 | 481,643 | ||||
Principal Financial Group Inc. | 5,124,702 | 442,313 | ||||
Huntington Bancshares Inc. | 31,450,115 | 438,729 | ||||
LPL Financial Holdings Inc. | 1,617,648 | 427,383 | ||||
Regions Financial Corp. | 20,208,230 | 425,181 | ||||
Cincinnati Financial Corp. | 3,409,159 | 423,315 | ||||
Cboe Global Markets Inc. | 2,293,950 | 421,468 | ||||
* | Markel Group Inc. | 271,052 | 412,400 | |||
Northern Trust Corp. | 4,231,596 | 376,274 | ||||
FactSet Research Systems Inc. | 827,006 | 375,783 | ||||
Everest Group Ltd. | 942,981 | 374,835 | ||||
W R Berkley Corp. | 4,180,408 | 369,715 | ||||
Citizens Financial Group Inc. | 9,469,551 | 343,650 | ||||
Loews Corp. | 4,099,644 | 320,961 | ||||
KeyCorp | 20,292,076 | 320,818 | ||||
Fidelity National Financial Inc. | 5,617,671 | 298,298 | ||||
Tradeweb Markets Inc. Class A | 2,514,650 | 261,951 | ||||
Interactive Brokers Group Inc. Class A | 2,208,877 | 246,754 | ||||
Brown & Brown Inc. | 2,483,640 | 217,418 | ||||
Franklin Resources Inc. | 6,864,863 | 192,971 | ||||
1 | Corebridge Financial Inc. | 4,710,592 | 135,335 | |||
Globe Life Inc. | 1,022,669 | 119,008 | ||||
*,1 | Rocket Cos. Inc. Class A | 2,753,783 | 40,068 | |||
21,425,175 |
Shares | Market Value ($000) | |||||
Health Care (9.5%) | ||||||
* | Dexcom Inc. | 8,373,851 | 1,161,453 | |||
* | IQVIA Holdings Inc. | 3,942,640 | 997,054 | |||
* | Centene Corp. | 11,617,909 | 911,773 | |||
GE HealthCare Technologies Inc. | 9,396,336 | 854,221 | ||||
* | Moderna Inc. | 7,453,665 | 794,263 | |||
* | Veeva Systems Inc. Class A | 3,147,509 | 729,246 | |||
* | Biogen Inc. | 3,157,102 | 680,766 | |||
ResMed Inc. | 3,194,508 | 632,608 | ||||
West Pharmaceutical Services Inc. | 1,592,200 | 630,049 | ||||
Zimmer Biomet Holdings Inc. | 4,538,434 | 598,983 | ||||
Cardinal Health Inc. | 5,282,462 | 591,107 | ||||
* | Align Technology Inc. | 1,580,098 | 518,146 | |||
* | Molina Healthcare Inc. | 1,203,526 | 494,445 | |||
* | IDEXX Laboratories Inc. | 902,620 | 487,352 | |||
STERIS plc | 2,146,817 | 482,647 | ||||
* | Illumina Inc. | 3,452,174 | 474,053 | |||
Baxter International Inc. | 11,033,175 | 471,558 | ||||
Agilent Technologies Inc. | 3,182,038 | 463,018 | ||||
Cooper Cos. Inc. | 4,317,897 | 438,094 | ||||
Laboratory Corp. of America Holdings | 1,822,780 | 398,204 | ||||
* | Hologic Inc. | 5,099,574 | 397,563 | |||
* | Alnylam Pharmaceuticals Inc. | 2,606,403 | 389,527 | |||
* | Avantor Inc. | 14,727,853 | 376,591 | |||
* | BioMarin Pharmaceutical Inc. | 4,090,309 | 357,248 | |||
Quest Diagnostics Inc. | 2,405,182 | 320,154 | ||||
Viatris Inc. | 26,068,405 | 311,257 | ||||
Revvity Inc. | 2,679,250 | 281,321 | ||||
Royalty Pharma plc Class A | 8,243,527 | 250,356 | ||||
* | Incyte Corp. | 4,146,424 | 236,222 | |||
* | Insulet Corp. | 758,325 | 129,977 | |||
15,859,256 | ||||||
Industrials (20.3%) | ||||||
TransDigm Group Inc. | 1,147,430 | 1,413,175 | ||||
PACCAR Inc. | 11,379,578 | 1,409,816 | ||||
Cintas Corp. | 1,871,695 | 1,285,911 | ||||
Carrier Global Corp. | 18,538,038 | 1,077,616 | ||||
United Rentals Inc. | 1,459,516 | 1,052,472 | ||||
WW Grainger Inc. | 961,305 | 977,936 | ||||
Ferguson plc | 4,406,817 | 962,581 | ||||
Fidelity National Information Services Inc. | 12,869,837 | 954,685 | ||||
Old Dominion Freight Line Inc. | 4,266,097 | 935,598 | ||||
AMETEK Inc. | 5,017,703 | 917,738 | ||||
L3Harris Technologies Inc. | 4,129,342 | 879,963 | ||||
Otis Worldwide Corp. | 8,806,893 | 874,260 | ||||
Cummins Inc. | 2,960,313 | 872,256 | ||||
Ingersoll Rand Inc. | 8,761,245 | 831,880 | ||||
Martin Marietta Materials Inc. | 1,342,497 | 824,213 | ||||
Quanta Services Inc. | 3,165,777 | 822,469 | ||||
Vulcan Materials Co. | 2,872,023 | 783,833 | ||||
PPG Industries Inc. | 5,109,703 | 740,396 | ||||
Verisk Analytics Inc. Class A | 3,114,285 | 734,130 | ||||
Rockwell Automation Inc. | 2,488,982 | 725,115 | ||||
Equifax Inc. | 2,692,224 | 720,224 | ||||
Xylem Inc. | 5,236,154 | 676,721 | ||||
Fortive Corp. | 7,616,950 | 655,210 | ||||
* | Fair Isaac Corp. | 512,773 | 640,766 | |||
DuPont de Nemours Inc. | 8,162,479 | 625,817 |
Shares | Market Value ($000) | |||||
* | Mettler-Toledo International Inc. | 466,514 | 621,065 | |||
Howmet Aerospace Inc. | 8,911,079 | 609,785 | ||||
* | Keysight Technologies Inc. | 3,798,531 | 594,014 | |||
Global Payments Inc. | 4,303,508 | 575,207 | ||||
Westinghouse Air Brake Technologies Corp. | 3,844,724 | 560,099 | ||||
Dover Corp. | 3,038,252 | 538,348 | ||||
Johnson Controls International plc | 7,399,555 | 483,339 | ||||
Ball Corp. | 6,857,892 | 461,948 | ||||
* | Corpay Inc. | 1,490,000 | 459,725 | |||
Veralto Corp. | 5,083,172 | 450,674 | ||||
* | Waters Corp. | 1,284,761 | 442,253 | |||
* | Teledyne Technologies Inc. | 1,024,767 | 439,953 | |||
Jacobs Solutions Inc. | 2,730,023 | 419,686 | ||||
Textron Inc. | 4,190,133 | 401,959 | ||||
Expeditors International of Washington Inc. | 3,159,117 | 384,054 | ||||
Synchrony Financial | 8,840,085 | 381,184 | ||||
Masco Corp. | 4,774,674 | 376,626 | ||||
Packaging Corp. of America | 1,947,038 | 369,509 | ||||
JB Hunt Transport Services Inc. | 1,792,905 | 357,236 | ||||
* | Trimble Inc. | 5,405,185 | 347,878 | |||
Snap-on Inc. | 1,145,368 | 339,281 | ||||
* | Zebra Technologies Corp. Class A | 1,116,383 | 336,523 | |||
TransUnion | 4,210,750 | 336,018 | ||||
Stanley Black & Decker Inc. | 3,327,593 | 325,871 | ||||
HEICO Corp. Class A | 1,635,166 | 251,717 | ||||
Hubbell Inc. Class B | 582,602 | 241,809 | ||||
HEICO Corp. | 890,379 | 170,062 | ||||
Jack Henry & Associates Inc. | 791,538 | 137,514 | ||||
*,1 | Symbotic Inc. Class A | 538,676 | 24,240 | |||
33,832,358 | ||||||
Real Estate (7.3%) | ||||||
Welltower Inc. | 12,356,913 | 1,154,630 | ||||
Realty Income Corp. | 18,705,622 | 1,011,974 | ||||
Digital Realty Trust Inc. | 6,768,608 | 974,950 | ||||
* | CoStar Group Inc. | 8,871,098 | 856,948 | |||
Extra Space Storage Inc. | 4,588,863 | 674,563 | ||||
* | CBRE Group Inc. Class A | 6,307,286 | 613,321 | |||
VICI Properties Inc. Class A | 20,419,269 | 608,290 | ||||
AvalonBay Communities Inc. | 3,084,220 | 572,308 | ||||
Weyerhaeuser Co. | 15,843,396 | 568,936 | ||||
Simon Property Group Inc. | 3,361,892 | 526,102 | ||||
Iron Mountain Inc. | 6,347,172 | 509,107 | ||||
SBA Communications Corp. Class A | 2,342,965 | 507,721 | ||||
Equity Residential | 7,824,925 | 493,831 | ||||
Alexandria Real Estate Equities Inc. | 3,801,142 | 490,005 | ||||
Invitation Homes Inc. | 12,631,048 | 449,792 | ||||
Ventas Inc. | 8,744,316 | 380,728 | ||||
Sun Communities Inc. | 2,703,882 | 347,665 | ||||
Essex Property Trust Inc. | 1,394,056 | 341,279 | ||||
Mid-America Apartment Communities Inc. | 2,535,600 | 333,634 | ||||
WP Carey Inc. | 4,750,033 | 268,092 | ||||
Host Hotels & Resorts Inc. | 7,643,606 | 158,070 | ||||
Healthpeak Properties Inc. | 7,694,531 | 144,272 | ||||
UDR Inc. | 3,576,672 | 133,803 | ||||
* | Zillow Group Inc. Class C | 1,758,761 | 85,792 | |||
* | Zillow Group Inc. Class A | 342,058 | 16,371 | |||
12,222,184 |
Shares | Market Value ($000) | |||||
Technology (13.9%) | ||||||
Amphenol Corp. Class A | 13,030,068 | 1,503,018 | ||||
* | Super Micro Computer Inc. | 1,069,624 | 1,080,352 | |||
Microchip Technology Inc. | 11,737,779 | 1,052,996 | ||||
* | Palantir Technologies Inc. Class A | 43,291,232 | 996,131 | |||
* | DoorDash Inc. Class A | 6,137,746 | 845,290 | |||
Cognizant Technology Solutions Corp. Class A | 10,813,352 | 792,511 | ||||
* | Gartner Inc. | 1,608,817 | 766,875 | |||
CDW Corp. | 2,909,620 | 744,223 | ||||
* | Datadog Inc. Class A | 5,906,712 | 730,070 | |||
* | ON Semiconductor Corp. | 9,281,493 | 682,654 | |||
Monolithic Power Systems Inc. | 990,975 | 671,306 | ||||
* | Atlassian Corp. Class A | 3,417,863 | 666,859 | |||
Marvell Technology Inc. | 9,388,248 | 665,439 | ||||
* | ANSYS Inc. | 1,889,961 | 656,119 | |||
* | HubSpot Inc. | 1,045,578 | 655,117 | |||
HP Inc. | 20,444,990 | 617,848 | ||||
* | Cloudflare Inc. Class A | 6,156,291 | 596,114 | |||
Corning Inc. | 16,682,423 | 549,853 | ||||
* | MongoDB Inc. Class A | 1,489,606 | 534,232 | |||
Hewlett Packard Enterprise Co. | 28,228,288 | 500,488 | ||||
* | Fortinet Inc. | 7,087,323 | 484,135 | |||
* | Western Digital Corp. | 7,076,509 | 482,901 | |||
NetApp Inc. | 4,476,479 | 469,896 | ||||
* | Pinterest Inc. Class A | 12,932,546 | 448,371 | |||
Seagate Technology Holdings plc | 4,552,167 | 423,579 | ||||
* | Tyler Technologies Inc. | 918,514 | 390,378 | |||
Skyworks Solutions Inc. | 3,481,225 | 377,086 | ||||
1 | Teradyne Inc. | 3,324,707 | 375,127 | |||
* | Zscaler Inc. | 1,933,751 | 372,498 | |||
* | GoDaddy Inc. Class A | 3,086,481 | 366,304 | |||
* | Okta Inc. Class A | 3,433,638 | 359,227 | |||
* | Akamai Technologies Inc. | 3,277,200 | 356,428 | |||
* | VeriSign Inc. | 1,863,565 | 353,164 | |||
* | EPAM Systems Inc. | 1,256,475 | 346,988 | |||
* | Zoom Video Communications Inc. Class A | 5,040,981 | 329,529 | |||
Vertiv Holdings Co. Class A | 3,940,336 | 321,807 | ||||
SS&C Technologies Holdings Inc. | 4,568,706 | 294,088 | ||||
Gen Digital Inc. | 11,762,522 | 263,480 | ||||
* | Snap Inc. Class A | 22,739,717 | 261,052 | |||
Bentley Systems Inc. Class B | 4,942,925 | 258,120 | ||||
Leidos Holdings Inc. | 1,474,484 | 193,290 | ||||
* | Twilio Inc. Class A | 1,867,295 | 114,185 | |||
Paycom Software Inc. | 531,138 | 105,702 | ||||
* | Unity Software Inc. | 2,887,678 | 77,101 | |||
23,131,931 | ||||||
Telecommunications (1.3%) | ||||||
Motorola Solutions Inc. | 3,608,691 | 1,281,013 | ||||
* | Arista Networks Inc. | 2,716,216 | 787,648 | |||
* | Liberty Broadband Corp. Class C | 1,285,481 | 73,568 | |||
* | Liberty Broadband Corp. Class A | 159,135 | 9,090 | |||
2,151,319 | ||||||
Utilities (7.3%) | ||||||
Constellation Energy Corp. | 6,937,411 | 1,282,380 | ||||
Waste Connections Inc. | 5,597,119 | 962,761 | ||||
PG&E Corp. | 56,722,985 | 950,677 | ||||
Public Service Enterprise Group Inc. | 10,840,318 | 723,917 |
Shares | Market Value ($000) | |||||
Consolidated Edison Inc. | 7,490,789 | 680,239 | ||||
Xcel Energy Inc. | 12,060,101 | 648,230 | ||||
Edison International | 8,330,118 | 589,189 | ||||
WEC Energy Group Inc. | 6,852,990 | 562,768 | ||||
American Water Works Co. Inc. | 4,229,476 | 516,884 | ||||
Entergy Corp. | 4,623,465 | 488,608 | ||||
FirstEnergy Corp. | 11,850,190 | 457,654 | ||||
Eversource Energy | 7,583,957 | 453,293 | ||||
Dominion Energy Inc. | 9,085,445 | 446,913 | ||||
PPL Corp. | 16,014,692 | 440,885 | ||||
DTE Energy Co. | 3,806,428 | 426,853 | ||||
Ameren Corp. | 5,712,982 | 422,532 | ||||
Exelon Corp. | 10,801,652 | 405,818 | ||||
CenterPoint Energy Inc. | 13,669,337 | 389,439 | ||||
CMS Energy Corp. | 6,338,860 | 382,487 | ||||
Alliant Energy Corp. | 5,488,815 | 276,636 | ||||
Vistra Corp. | 3,884,274 | 270,540 | ||||
AES Corp. | 7,715,238 | 138,334 | ||||
NiSource Inc. | 4,861,466 | 134,468 | ||||
Evergy Inc. | 2,491,688 | 133,006 | ||||
Avangrid Inc. | 1,682,766 | 61,320 | ||||
12,245,831 | ||||||
Total Common Stocks (Cost $103,340,677) | 165,936,184 | |||||
Coupon | ||||||
Temporary Cash Investments (0.4%) | ||||||
Money Market Fund (0.4%) | ||||||
2,3 | Vanguard Market Liquidity Fund (Cost $691,883) | 5.407% | 6,921,167 | 691,978 | ||
Total Investments (100.0%) (Cost $104,032,560) | 166,628,162 | |||||
Other Assets and Liabilities—Net (0.0%) | 80,521 | |||||
Net Assets (100%) | 166,708,683 |
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 $98,077,000. |
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 $103,665,000 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 2024 | 229 | 24,571 | 710 |
E-mini S&P 500 Index | June 2024 | 568 | 150,761 | 3,404 |
E-mini S&P Mid-Cap 400 Index | June 2024 | 246 | 75,704 | 2,714 |
6,828 |
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. | 8/30/24 | BANA | 19,491 | (5.328) | — | (289) |
Coinbase Global Inc. Class A | 1/31/25 | GSI | 96,944 | (5.332) | 8,961 | — |
Corebridge Financial Inc. | 1/31/25 | CITNA | 17,150 | (0.136) | 3,121 | — |
CRSP US Mid Cap TR Index | 8/30/24 | BANA | 114,875 | (5.878) | 4,196 | — |
Global Payments Inc. | 8/30/24 | BANA | 168,610 | (5.928) | 4,723 | — |
Molina Healthcare Inc. | 8/30/24 | BANA | 25,604 | (5.328) | 997 | — |
Palantir Technologies Inc. Class A | 8/30/24 | BANA | 6,721 | (5.328) | — | (582) |
Sirius XM Holdings Inc. | 1/31/25 | GSI | 5,164 | (5.332) | — | (224) |
Trade Desk Inc. Class A | 8/30/24 | BANA | 29,901 | (5.328) | 577 | — |
VICI Properties Inc. Class A | 8/30/24 | BANA | 61,357 | (5.978) | 289 | — |
22,864 | (1,095) |
1 | Based on USD Overnight Bank Funding Rate as of the most recent reset date. Floating interest payment received/paid monthly. |
BANA—Bank of America, N.A. | |
CITNA—Citibank, N.A. | |
GSI—Goldman Sachs International. |
At March 31, 2024, the counterparties had deposited in segregated accounts securities with a value of $16,844,000 and cash of $620,000 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 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 March 31, 2024, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 165,936,184 | — | — | 165,936,184 |
Temporary Cash Investments | 691,978 | — | — | 691,978 |
Total | 166,628,162 | — | — | 166,628,162 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 6,828 | — | — | 6,828 |
Swap Contracts | — | 22,864 | — | 22,864 |
Total | 6,828 | 22,864 | — | 29,692 |
Liabilities | ||||
Swap Contracts | — | 1,095 | — | 1,095 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |