Vanguard® Value 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 (99.7%) | |||
Basic Materials (1.9%) | |||
Freeport-McMoRan Inc. | 11,915,146 | 560,250 | |
Air Products and Chemicals Inc. | 1,846,763 | 447,415 | |
Nucor Corp. | 2,040,879 | 403,890 | |
Newmont Corp. (XNYS) | 9,563,289 | 342,748 | |
Dow Inc. | 5,832,270 | 337,863 | |
LyondellBasell Industries NV Class A | 2,159,873 | 220,912 | |
International Flavors & Fragrances Inc. | 2,123,953 | 182,639 | |
Celanese Corp. | 905,690 | 155,652 | |
Avery Dennison Corp. | 670,009 | 149,579 | |
CF Industries Holdings Inc. | 1,566,790 | 130,373 | |
International Paper Co. | 2,881,598 | 112,440 | |
Steel Dynamics Inc. | 639,493 | 94,792 | |
Mosaic Co. | 1,338,222 | 43,439 | |
Westlake Corp. | 133,750 | 20,437 | |
3,202,429 | |||
Consumer Discretionary (8.1%) | |||
Home Depot Inc. | 8,268,420 | 3,171,766 | |
Walmart Inc. | 36,910,105 | 2,220,881 | |
Lowe's Cos. Inc. | 4,777,342 | 1,216,932 | |
Walt Disney Co. | 7,618,285 | 932,173 | |
Target Corp. | 3,835,140 | 679,625 | |
General Motors Co. | 9,584,291 | 434,648 | |
Ford Motor Co. | 32,403,556 | 430,319 | |
DR Horton Inc. | 2,480,238 | 408,123 | |
Lennar Corp. Class A | 2,109,957 | 362,871 | |
Electronic Arts Inc. | 2,217,496 | 294,195 | |
Dollar General Corp. | 1,820,823 | 284,158 | |
Delta Air Lines Inc. | 5,351,622 | 256,182 | |
* | Dollar Tree Inc. | 1,722,142 | 229,303 |
eBay Inc. | 4,317,740 | 227,890 | |
PulteGroup Inc. | 1,765,270 | 212,927 | |
* | NVR Inc. | 25,182 | 203,973 |
Garmin Ltd. | 1,276,734 | 190,067 | |
Genuine Parts Co. | 1,160,356 | 179,774 | |
Darden Restaurants Inc. | 993,406 | 166,048 | |
* | Warner Bros Discovery Inc. | 18,260,715 | 159,416 |
Omnicom Group Inc. | 1,647,439 | 159,406 | |
Southwest Airlines Co. | 4,964,282 | 144,907 | |
* | Carnival Corp. | 8,381,813 | 136,959 |
Best Buy Co. Inc. | 1,612,896 | 132,306 | |
* | United Airlines Holdings Inc. | 2,728,379 | 130,635 |
* | Royal Caribbean Cruises Ltd. | 907,469 | 126,147 |
Shares | Market Value ($000) | ||
LKQ Corp. | 2,218,846 | 118,509 | |
News Corp. Class A | 4,119,535 | 107,850 | |
* | MGM Resorts International | 2,037,583 | 96,194 |
Pool Corp. | 152,913 | 61,701 | |
Fox Corp. Class A | 1,967,553 | 61,525 | |
* | CarMax Inc. | 657,142 | 57,244 |
Interpublic Group of Cos. Inc. | 1,576,222 | 51,432 | |
*,1 | Rivian Automotive Inc. Class A | 3,162,310 | 34,627 |
Fox Corp. Class B | 1,006,093 | 28,794 | |
Endeavor Group Holdings Inc. Class A | 563,245 | 14,492 | |
1 | Sirius XM Holdings Inc. | 1,941,351 | 7,533 |
* | Liberty Media Corp. - Liberty SiriusXM Class A | 235,891 | 7,006 |
* | Liberty Media Corp. - Liberty SiriusXM Class C | 107,096 | 3,182 |
Lennar Corp. Class B | 15,602 | 2,406 | |
News Corp. Class B | 14,085 | 381 | |
13,744,507 | |||
Consumer Staples (9.4%) | |||
Procter & Gamble Co. | 19,551,963 | 3,172,306 | |
PepsiCo Inc. | 11,420,134 | 1,998,638 | |
Coca-Cola Co. | 32,251,785 | 1,973,164 | |
Philip Morris International Inc. | 12,897,637 | 1,181,681 | |
CVS Health Corp. | 10,454,648 | 833,863 | |
Mondelez International Inc. Class A | 11,188,320 | 783,182 | |
Altria Group Inc. | 14,644,377 | 638,788 | |
McKesson Corp. | 1,091,887 | 586,179 | |
Constellation Brands Inc. Class A | 1,365,746 | 371,155 | |
Kimberly-Clark Corp. | 2,796,105 | 361,676 | |
Cencora Inc. | 1,407,263 | 341,951 | |
Corteva Inc. | 5,849,330 | 337,331 | |
Sysco Corp. | 4,134,832 | 335,666 | |
General Mills Inc. | 4,712,865 | 329,759 | |
Colgate-Palmolive Co. | 3,413,957 | 307,427 | |
Kenvue Inc. | 14,294,840 | 306,767 | |
Archer-Daniels-Midland Co. | 4,423,768 | 277,857 | |
Keurig Dr Pepper Inc. | 8,411,964 | 257,995 | |
Kroger Co. | 4,372,236 | 249,786 | |
Kraft Heinz Co. | 6,560,070 | 242,067 | |
McCormick & Co. Inc. | 2,092,468 | 160,722 | |
Clorox Co. | 1,032,704 | 158,117 | |
Tyson Foods Inc. Class A | 2,382,821 | 139,943 | |
Kellanova | 2,268,751 | 129,977 | |
Walgreens Boots Alliance Inc. | 5,739,965 | 124,500 | |
Conagra Brands Inc. | 3,702,913 | 109,754 | |
J M Smucker Co. | 839,069 | 105,614 | |
Hormel Foods Corp. | 2,276,403 | 79,424 | |
Campbell Soup Co. | 1,612,807 | 71,689 | |
Molson Coors Beverage Co. Class B | 741,716 | 49,880 | |
Albertsons Cos. Inc. Class A | 1,319,257 | 28,285 | |
16,045,143 | |||
Energy (7.2%) | |||
Exxon Mobil Corp. | 32,994,822 | 3,835,318 | |
Chevron Corp. | 14,900,868 | 2,350,463 | |
ConocoPhillips | 9,775,614 | 1,244,240 | |
Marathon Petroleum Corp. | 3,154,715 | 635,675 | |
EOG Resources Inc. | 4,819,697 | 616,150 | |
Phillips 66 | 3,554,497 | 580,592 | |
Valero Energy Corp. | 2,761,133 | 471,298 |
Shares | Market Value ($000) | ||
Williams Cos. Inc. | 10,109,074 | 393,951 | |
ONEOK Inc. | 4,836,373 | 387,732 | |
Occidental Petroleum Corp. | 5,108,284 | 331,987 | |
Schlumberger NV | 5,943,846 | 325,782 | |
Kinder Morgan Inc. | 15,694,938 | 287,845 | |
Devon Energy Corp. | 5,313,391 | 266,626 | |
Baker Hughes Co. | 4,163,249 | 139,469 | |
Marathon Oil Corp. | 4,801,479 | 136,074 | |
Halliburton Co. | 3,332,644 | 131,373 | |
Coterra Energy Inc. | 2,974,073 | 82,917 | |
12,217,492 | |||
Financials (19.8%) | |||
* | Berkshire Hathaway Inc. Class B | 15,105,210 | 6,352,043 |
JPMorgan Chase & Co. | 23,931,197 | 4,793,419 | |
Bank of America Corp. | 55,593,293 | 2,108,098 | |
Wells Fargo & Co. | 29,720,832 | 1,722,619 | |
Goldman Sachs Group Inc. | 2,459,043 | 1,027,118 | |
Progressive Corp. | 4,866,294 | 1,006,447 | |
BlackRock Inc. | 1,174,201 | 978,931 | |
Morgan Stanley | 10,188,952 | 959,392 | |
Citigroup Inc. | 15,018,046 | 949,741 | |
Chubb Ltd. | 3,366,734 | 872,422 | |
Charles Schwab Corp. | 11,775,893 | 851,868 | |
Marsh & McLennan Cos. Inc. | 4,084,926 | 841,413 | |
Intercontinental Exchange Inc. | 4,757,795 | 653,864 | |
CME Group Inc. | 2,991,196 | 643,975 | |
KKR & Co. Inc. | 5,513,569 | 554,555 | |
US Bancorp | 12,190,018 | 544,894 | |
PNC Financial Services Group Inc. | 3,303,961 | 533,920 | |
Arthur J Gallagher & Co. | 1,801,085 | 450,343 | |
American International Group Inc. | 5,653,289 | 441,918 | |
Travelers Cos. Inc. | 1,902,632 | 437,872 | |
Truist Financial Corp. | 11,074,093 | 431,668 | |
Aflac Inc. | 4,791,911 | 411,433 | |
MetLife Inc. | 5,101,031 | 378,037 | |
Allstate Corp. | 2,183,239 | 377,722 | |
Ameriprise Financial Inc. | 832,390 | 364,953 | |
Bank of New York Mellon Corp. | 6,306,921 | 363,405 | |
Prudential Financial Inc. | 2,980,215 | 349,877 | |
* | Arch Capital Group Ltd. | 2,941,185 | 271,883 |
Discover Financial Services | 2,073,629 | 271,832 | |
Hartford Financial Services Group Inc. | 2,474,677 | 255,015 | |
Willis Towers Watson plc | 852,561 | 234,454 | |
T Rowe Price Group Inc. | 1,860,641 | 226,849 | |
Nasdaq Inc. | 3,577,268 | 225,726 | |
Fifth Third Bancorp | 5,667,531 | 210,889 | |
Raymond James Financial Inc. | 1,565,316 | 201,018 | |
M&T Bank Corp. | 1,380,775 | 200,820 | |
State Street Corp. | 2,386,103 | 184,493 | |
Principal Financial Group Inc. | 1,962,858 | 169,414 | |
Huntington Bancshares Inc. | 12,053,830 | 168,151 | |
Regions Financial Corp. | 7,739,623 | 162,842 | |
Cincinnati Financial Corp. | 1,305,340 | 162,084 | |
Cboe Global Markets Inc. | 878,246 | 161,360 | |
* | Markel Group Inc. | 103,784 | 157,905 |
Northern Trust Corp. | 1,621,191 | 144,156 | |
Everest Group Ltd. | 360,974 | 143,487 | |
W R Berkley Corp. | 1,601,020 | 141,594 |
Shares | Market Value ($000) | ||
Citizens Financial Group Inc. | 3,626,576 | 131,608 | |
Loews Corp. | 1,571,433 | 123,028 | |
KeyCorp. | 7,770,197 | 122,847 | |
Fidelity National Financial Inc. | 2,151,163 | 114,227 | |
Franklin Resources Inc. | 2,628,378 | 73,884 | |
Corebridge Financial Inc. | 2,068,514 | 59,428 | |
Interactive Brokers Group Inc. Class A | 422,894 | 47,242 | |
Globe Life Inc. | 391,537 | 45,563 | |
* | Berkshire Hathaway Inc. Class A | 52 | 32,991 |
* | Rocket Cos. Inc. Class A | 1,052,550 | 15,315 |
33,862,052 | |||
Health Care (16.8%) | |||
UnitedHealth Group Inc. | 7,684,728 | 3,801,635 | |
Johnson & Johnson | 20,013,117 | 3,165,875 | |
Merck & Co. Inc. | 21,053,726 | 2,778,039 | |
AbbVie Inc. | 14,676,837 | 2,672,652 | |
Abbott Laboratories | 14,414,958 | 1,638,404 | |
Danaher Corp. | 5,530,657 | 1,381,116 | |
Pfizer Inc. | 46,912,753 | 1,301,829 | |
Amgen Inc. | 4,452,440 | 1,265,918 | |
Elevance Health Inc. | 1,933,136 | 1,002,408 | |
Medtronic plc | 11,043,011 | 962,398 | |
Thermo Fisher Scientific Inc. | 1,583,819 | 920,531 | |
Bristol-Myers Squibb Co. | 16,798,955 | 911,007 | |
Cigna Group | 2,430,135 | 882,601 | |
* | Regeneron Pharmaceuticals Inc. | 852,015 | 820,056 |
Gilead Sciences Inc. | 10,352,194 | 758,298 | |
Becton Dickinson & Co. | 2,399,399 | 593,731 | |
HCA Healthcare Inc. | 1,647,922 | 549,631 | |
* | Centene Corp. | 4,439,307 | 348,397 |
Humana Inc. | 1,001,331 | 347,181 | |
GE Healthcare Inc. | 3,592,650 | 326,608 | |
* | Biogen Inc. | 1,205,541 | 259,951 |
Zimmer Biomet Holdings Inc. | 1,738,599 | 229,460 | |
Cardinal Health Inc. | 2,023,812 | 226,465 | |
* | Molina Healthcare Inc. | 485,959 | 199,647 |
* | IQVIA Holdings Inc. | 755,050 | 190,945 |
Baxter International Inc. | 4,225,306 | 180,590 | |
Laboratory Corp. of America Holdings | 698,151 | 152,518 | |
* | Hologic Inc. | 1,952,859 | 152,245 |
* | Avantor Inc. | 5,642,936 | 144,290 |
Quest Diagnostics Inc. | 921,128 | 122,611 | |
Viatris Inc. | 9,982,403 | 119,190 | |
Revvity Inc. | 1,026,780 | 107,812 | |
Royalty Pharma plc Class A | 3,159,952 | 95,968 | |
STERIS plc | 411,229 | 92,452 | |
28,702,459 | |||
Industrials (15.2%) | |||
Caterpillar Inc. | 4,149,056 | 1,520,339 | |
Union Pacific Corp. | 5,065,914 | 1,245,860 | |
Honeywell International Inc. | 5,417,879 | 1,112,020 | |
RTX Corp. | 11,023,396 | 1,075,112 | |
Eaton Corp. plc | 3,317,994 | 1,037,470 | |
American Express Co. | 4,210,226 | 958,626 | |
Lockheed Martin Corp. | 2,007,604 | 913,199 | |
Deere & Co. | 2,210,015 | 907,742 | |
United Parcel Service Inc. Class B (XNYS) | 6,037,232 | 897,314 |
Shares | Market Value ($000) | ||
General Electric Co. | 4,294,377 | 753,792 | |
Illinois Tool Works Inc. | 2,358,868 | 632,955 | |
CSX Corp. | 16,272,891 | 603,236 | |
* | PayPal Holdings Inc. | 8,902,272 | 596,363 |
Parker-Hannifin Corp. | 1,066,889 | 592,966 | |
General Dynamics Corp. | 2,048,543 | 578,693 | |
Trane Technologies plc | 1,886,886 | 566,443 | |
FedEx Corp. | 1,867,684 | 541,143 | |
PACCAR Inc. | 4,352,624 | 539,247 | |
Emerson Electric Co. | 4,748,513 | 538,576 | |
Northrop Grumman Corp. | 1,121,760 | 536,942 | |
3M Co. | 4,590,719 | 486,938 | |
Norfolk Southern Corp. | 1,876,082 | 478,157 | |
Capital One Financial Corp. | 3,001,277 | 446,860 | |
Carrier Global Corp. | 7,086,408 | 411,933 | |
United Rentals Inc. | 557,853 | 402,273 | |
* | Fiserv Inc. | 2,450,463 | 391,633 |
Fidelity National Information Services Inc. | 4,915,233 | 364,612 | |
Johnson Controls International plc | 5,493,561 | 358,839 | |
Ferguson plc | 1,616,166 | 353,019 | |
AMETEK Inc. | 1,917,341 | 350,682 | |
L3Harris Technologies Inc. | 1,577,800 | 336,229 | |
Otis Worldwide Corp. | 3,364,883 | 334,032 | |
Cummins Inc. | 1,131,652 | 333,441 | |
Ingersoll Rand Inc. (XYNS) | 3,347,133 | 317,810 | |
Global Payments Inc. | 2,138,780 | 285,869 | |
PPG Industries Inc. | 1,951,136 | 282,720 | |
Xylem Inc. | 1,999,398 | 258,402 | |
Fortive Corp. | 2,917,989 | 251,005 | |
DuPont de Nemours Inc. | 3,115,189 | 238,841 | |
Howmet Aerospace Inc. | 3,413,650 | 233,596 | |
* | Keysight Technologies Inc. | 1,449,648 | 226,696 |
Westinghouse Air Brake Technologies Corp. | 1,472,936 | 214,577 | |
Dover Corp. | 1,164,104 | 206,268 | |
Ball Corp. | 2,626,368 | 176,912 | |
* | Corpay Inc. | 570,267 | 175,950 |
Jacobs Solutions Inc. | 1,045,504 | 160,725 | |
Martin Marietta Materials Inc. | 256,909 | 157,727 | |
Textron Inc. | 1,604,745 | 153,943 | |
Expeditors International of Washington Inc. | 1,209,884 | 147,086 | |
Synchrony Financial | 3,383,723 | 145,906 | |
Masco Corp. | 1,828,686 | 144,247 | |
Packaging Corp. of America | 745,720 | 141,523 | |
* | Trimble Inc. | 2,070,025 | 133,227 |
Snap-on Inc. | 438,633 | 129,932 | |
* | Zebra Technologies Corp. Class A | 427,527 | 128,874 |
TransUnion | 1,612,514 | 128,679 | |
Stanley Black & Decker Inc. | 1,275,634 | 124,923 | |
Hubbell Inc. | 223,086 | 92,592 | |
Veralto Corp. | 973,904 | 86,346 | |
* | Teledyne Technologies Inc. | 196,359 | 84,301 |
26,025,363 | |||
Real Estate (3.0%) | |||
Prologis Inc. | 7,684,520 | 1,000,678 | |
Simon Property Group Inc. | 2,571,319 | 402,386 | |
Crown Castle Inc. | 3,602,547 | 381,258 | |
Digital Realty Trust Inc. | 2,586,453 | 372,553 | |
Extra Space Storage Inc. | 1,751,850 | 257,522 |
Shares | Market Value ($000) | ||
VICI Properties Inc. | 8,589,591 | 255,884 | |
* | CBRE Group Inc. Class A | 2,407,584 | 234,113 |
AvalonBay Communities Inc. | 1,176,981 | 218,401 | |
Weyerhaeuser Co. | 6,046,204 | 217,119 | |
Iron Mountain Inc. | 2,431,959 | 195,067 | |
Realty Income Corp. | 3,580,738 | 193,718 | |
Public Storage | 658,149 | 190,903 | |
Equity Residential | 2,998,033 | 189,206 | |
Alexandria Real Estate Equities Inc. | 1,455,850 | 187,674 | |
Invitation Homes Inc. | 4,838,068 | 172,284 | |
Ventas Inc. | 3,348,387 | 145,789 | |
Essex Property Trust Inc. | 534,034 | 130,737 | |
Mid-America Apartment Communities Inc. | 970,825 | 127,741 | |
WP Carey Inc. | 1,819,569 | 102,696 | |
Host Hotels & Resorts Inc. | 2,926,944 | 60,529 | |
Healthpeak Properties Inc. | 2,946,621 | 55,249 | |
UDR Inc. | 1,370,258 | 51,261 | |
* | Zillow Group Inc. Class C | 325,647 | 15,885 |
* | Zillow Group Inc. Class A | 76,434 | 3,658 |
5,162,311 | |||
Technology (9.8%) | |||
Broadcom Inc. | 3,889,346 | 5,154,978 | |
Oracle Corp. | 13,703,297 | 1,721,271 | |
QUALCOMM Inc. | 9,271,024 | 1,569,584 | |
Intel Corp. | 35,125,510 | 1,551,494 | |
International Business Machines Corp. | 7,585,814 | 1,448,587 | |
Micron Technology Inc. | 9,170,077 | 1,081,060 | |
Analog Devices Inc. | 4,119,039 | 814,705 | |
TE Connectivity Ltd. | 2,564,138 | 372,415 | |
Cognizant Technology Solutions Corp. Class A | 4,130,319 | 302,711 | |
CDW Corp. | 1,111,196 | 284,222 | |
HP Inc. | 7,830,457 | 236,637 | |
Dell Technologies Inc. Class C | 2,002,641 | 228,521 | |
Corning Inc. | 6,391,327 | 210,658 | |
Microchip Technology Inc. | 2,247,825 | 201,652 | |
Hewlett Packard Enterprise Co. | 10,813,493 | 191,723 | |
* | Western Digital Corp. | 2,710,886 | 184,991 |
NetApp Inc. | 1,714,005 | 179,919 | |
Skyworks Solutions Inc. | 1,333,268 | 144,420 | |
* | Akamai Technologies Inc. | 1,254,740 | 136,466 |
* | ON Semiconductor Corp. | 1,777,757 | 130,754 |
SS&C Technologies Holdings Inc. | 1,751,432 | 112,740 | |
Gen Digital Inc. (XNGS) | 4,503,853 | 100,886 | |
Seagate Technology Holdings plc | 871,448 | 81,088 | |
Leidos Holdings Inc. | 564,996 | 74,065 | |
* | GoDaddy Inc. Class A | 590,822 | 70,119 |
* | Zoom Video Communications Inc. Class A | 964,778 | 63,068 |
16,648,734 | |||
Telecommunications (3.4%) | |||
Cisco Systems Inc. | 30,273,086 | 1,510,930 | |
Comcast Corp. Class A | 32,912,728 | 1,426,767 | |
Verizon Communications Inc. | 31,434,009 | 1,318,971 | |
AT&T Inc. | 59,397,283 | 1,045,392 | |
Motorola Solutions Inc. | 691,144 | 245,342 | |
* | Charter Communications Inc. Class A | 785,260 | 228,220 |
5,775,622 |
Shares | Market Value ($000) | ||
Utilities (5.1%) | |||
NextEra Energy Inc. | 16,814,821 | 1,074,635 | |
Waste Management Inc. | 3,336,957 | 711,272 | |
Southern Co. | 9,072,844 | 650,886 | |
Duke Energy Corp. | 6,408,924 | 619,807 | |
Constellation Energy Corp. | 2,652,376 | 490,292 | |
Sempra | 5,223,361 | 375,194 | |
American Electric Power Co. Inc. | 4,275,258 | 368,100 | |
PG&E Corp. | 21,671,827 | 363,220 | |
Dominion Energy Inc. | 6,944,374 | 341,594 | |
Republic Services Inc. | 1,696,836 | 324,842 | |
Exelon Corp. | 8,247,959 | 309,876 | |
Public Service Enterprise Group Inc. | 4,139,264 | 276,420 | |
Consolidated Edison Inc. | 2,865,657 | 260,230 | |
Xcel Energy Inc. | 4,617,774 | 248,205 | |
Edison International | 3,179,464 | 224,884 | |
WEC Energy Group Inc. | 2,625,076 | 215,571 | |
American Water Works Co. Inc. | 1,621,354 | 198,146 | |
Entergy Corp. | 1,770,592 | 187,116 | |
FirstEnergy Corp. | 4,540,584 | 175,357 | |
Eversource Energy | 2,904,532 | 173,604 | |
PPL Corp. | 6,132,604 | 168,831 | |
DTE Energy Co. | 1,457,905 | 163,489 | |
Ameren Corp. | 2,187,536 | 161,790 | |
CenterPoint Energy Inc. | 5,237,983 | 149,230 | |
CMS Energy Corp. | 2,426,801 | 146,433 | |
Alliant Energy Corp. | 2,102,946 | 105,989 | |
Vistra Corp. | 1,487,120 | 103,578 | |
AES Corp. | 2,955,698 | 52,996 | |
NiSource Inc. | 1,862,304 | 51,511 | |
Evergy Inc. | 954,493 | 50,951 | |
Avangrid Inc. | 646,345 | 23,553 | |
8,767,602 | |||
Total Common Stocks (Cost $124,131,845) | 170,153,714 | ||
Temporary Cash Investments (0.1%) | |||
Money Market Fund (0.1%) | |||
2,3 | Vanguard Market Liquidity Fund, 5.407% (Cost $121,522) | 1,215,550 | 121,531 |
Total Investments (99.8%) (Cost $124,253,367) | 170,275,245 | ||
Other Assets and Liabilities—Net (0.2%) | 320,713 | ||
Net Assets (100%) | 170,595,958 | ||
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 $16,425,000. |
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 $17,735,000 was received for securities on loan, of which $17,713,000 is held in Vanguard Market Liquidity Fund and $22,000 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 2024 | 809 | 214,729 | 2,254 |
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) |
Conagra Brands Inc. | 8/30/24 | BANA | 8,151 | (5.327) | — | (32) |
Ferguson plc | 8/30/24 | BANA | 14,853 | (5.327) | — | (6) |
Goldman Sachs Group Inc. | 8/29/25 | BANA | 104,423 | (6.027) | 232 | — |
Johnson Controls International plc | 8/30/24 | BANA | 10,647 | (5.327) | 20 | — |
Kroger Co. | 1/31/25 | GSI | 56,060 | (5.324) | 979 | — |
US Bancorp | 8/30/24 | BANA | 33,525 | (5.327) | 237 | — |
1,468 | (38) |
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. |
At March 31, 2024, the counterparties had deposited in segregated accounts securities with a value of $9,310,000 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 | 170,153,714 | — | — | 170,153,714 |
Temporary Cash Investments | 121,531 | — | — | 121,531 |
Total | 170,275,245 | — | — | 170,275,245 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 2,254 | — | — | 2,254 |
Swap Contracts | — | 1,468 | — | 1,468 |
Total | 2,254 | 1,468 | — | 3,722 |
Liabilities | ||||
Swap Contracts | — | 38 | — | 38 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |