Vanguard® Mega Cap Value Index Fund
Schedule of Investments (unaudited)
As of May 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 (99.8%) | |||
Basic Materials (1.0%) | |||
Freeport-McMoRan Inc. | 675,422 | 35,615 | |
Air Products and Chemicals Inc. | 104,731 | 27,932 | |
Dow Inc. | 165,112 | 9,515 | |
73,062 | |||
Consumer Discretionary (5.8%) | |||
Home Depot Inc. | 468,512 | 156,891 | |
Walmart Inc. | 2,091,526 | 137,539 | |
Lowe's Cos. Inc. | 270,935 | 59,955 | |
Target Corp. | 217,386 | 33,947 | |
General Motors Co. | 542,814 | 24,421 | |
Ford Motor Co. | 1,839,574 | 22,314 | |
435,067 | |||
Consumer Staples (10.4%) | |||
Procter & Gamble Co. | 1,107,688 | 182,259 | |
Coca-Cola Co. | 1,827,438 | 115,001 | |
PepsiCo Inc. | 647,091 | 111,882 | |
Philip Morris International Inc. | 730,603 | 74,069 | |
Mondelez International Inc. Class A | 633,751 | 43,431 | |
Altria Group Inc. | 830,181 | 38,396 | |
Colgate-Palmolive Co. | 387,589 | 36,030 | |
CVS Health Corp. | 593,049 | 35,346 | |
McKesson Corp. | 61,873 | 35,242 | |
Kimberly-Clark Corp. | 158,854 | 21,175 | |
Constellation Brands Inc. Class A | 77,602 | 19,418 | |
Sysco Corp. | 233,950 | 17,036 | |
Keurig Dr Pepper Inc. | 476,639 | 16,325 | |
Kraft Heinz Co. | 370,482 | 13,104 | |
General Mills Inc. | 133,570 | 9,183 | |
Kenvue Inc. | 450,244 | 8,690 | |
Hershey Co. | 17,562 | 3,474 | |
780,061 | |||
Energy (8.3%) | |||
Exxon Mobil Corp. | 2,112,134 | 247,669 | |
Chevron Corp. | 844,391 | 137,045 | |
ConocoPhillips | 553,727 | 64,498 | |
EOG Resources Inc. | 273,156 | 34,022 | |
Marathon Petroleum Corp. | 178,831 | 31,583 | |
Phillips 66 | 201,542 | 28,641 | |
Valero Energy Corp. | 156,693 | 24,623 | |
Occidental Petroleum Corp. | 289,248 | 18,078 | |
Schlumberger NV | 336,615 | 15,447 | |
Williams Cos. Inc. | 285,916 | 11,868 | |
Kinder Morgan Inc. | 443,566 | 8,645 | |
622,119 | |||
Financials (21.2%) | |||
JPMorgan Chase & Co. | 1,356,094 | 274,785 | |
* | Berkshire Hathaway Inc. Class B | 597,711 | 247,691 |
Bank of America Corp. | 3,149,873 | 125,963 | |
* | Berkshire Hathaway Inc. Class A | 173 | 108,540 |
Wells Fargo & Co. | 1,684,106 | 100,912 | |
Goldman Sachs Group Inc. | 153,563 | 70,105 | |
Progressive Corp. | 275,556 | 58,192 | |
Morgan Stanley | 577,033 | 56,457 | |
Citigroup Inc. | 850,690 | 53,006 | |
Chubb Ltd. | 190,801 | 51,673 | |
BlackRock Inc. | 66,492 | 51,334 | |
Charles Schwab Corp. | 667,002 | 48,878 | |
Marsh & McLennan Cos. Inc. | 231,365 | 48,027 |
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Vanguard® Mega Cap Value Index Fund
Shares | Market Value ($000) | ||
Intercontinental Exchange Inc. | 269,595 | 36,099 | |
CME Group Inc. | 169,505 | 34,406 | |
KKR & Co. Inc. | 312,624 | 32,150 | |
US Bancorp | 734,034 | 29,765 | |
Aflac Inc. | 271,943 | 24,439 | |
Truist Financial Corp. | 628,676 | 23,733 | |
PNC Financial Services Group Inc. | 150,429 | 23,676 | |
Travelers Cos. Inc. | 107,978 | 23,291 | |
Bank of New York Mellon Corp. | 358,040 | 21,343 | |
MetLife Inc. | 289,771 | 20,971 | |
Blackstone Inc. | 169,022 | 20,367 | |
American International Group Inc. | 160,050 | 12,615 | |
1,598,418 | |||
Health Care (19.3%) | |||
UnitedHealth Group Inc. | 435,453 | 215,710 | |
Johnson & Johnson | 1,133,991 | 166,322 | |
Merck & Co. Inc. | 1,192,998 | 149,769 | |
AbbVie Inc. | 831,621 | 134,091 | |
Thermo Fisher Scientific Inc. | 179,494 | 101,949 | |
Abbott Laboratories | 816,929 | 83,482 | |
Danaher Corp. | 313,427 | 80,488 | |
Amgen Inc. | 252,322 | 77,173 | |
Pfizer Inc. | 2,658,957 | 76,206 | |
Elevance Health Inc. | 109,602 | 59,018 | |
Medtronic plc | 625,678 | 50,911 | |
Cigna Group | 137,650 | 47,437 | |
Bristol-Myers Squibb Co. | 951,889 | 39,113 | |
Gilead Sciences Inc. | 586,675 | 37,706 | |
HCA Healthcare Inc. | 93,450 | 31,750 | |
Becton Dickinson & Co. | 136,090 | 31,569 | |
Stryker Corp. | 80,646 | 27,507 | |
* | Regeneron Pharmaceuticals Inc. | 24,166 | 23,687 |
Humana Inc. | 56,714 | 20,310 | |
1,454,198 | |||
Industrials (14.2%) | |||
General Electric Co. | 489,017 | 80,756 | |
Caterpillar Inc. | 235,134 | 79,598 | |
RTX Corp. | 624,816 | 67,361 | |
Union Pacific Corp. | 286,941 | 66,806 | |
Eaton Corp. plc | 188,087 | 62,605 | |
Honeywell International Inc. | 306,982 | 62,069 | |
American Express Co. | 238,400 | 57,216 | |
Lockheed Martin Corp. | 113,722 | 53,488 | |
United Parcel Service Inc. Class B (XNYS) | 342,195 | 47,541 | |
Deere & Co. | 125,158 | 46,904 | |
* | Fiserv Inc. | 277,754 | 41,596 |
Trane Technologies plc | 106,926 | 35,014 | |
General Dynamics Corp. | 116,153 | 34,819 | |
Illinois Tool Works Inc. | 133,686 | 32,452 | |
Parker-Hannifin Corp. | 60,480 | 32,146 | |
* | PayPal Holdings Inc. | 504,689 | 31,790 |
CSX Corp. | 922,851 | 31,146 | |
Emerson Electric Co. | 269,282 | 30,203 | |
Northrop Grumman Corp. | 63,619 | 28,677 | |
FedEx Corp. | 105,984 | 26,916 | |
3M Co. | 260,433 | 26,080 | |
Norfolk Southern Corp. | 106,481 | 23,937 | |
Automatic Data Processing Inc. | 96,817 | 23,712 | |
Capital One Financial Corp. | 170,295 | 23,438 | |
Johnson Controls International plc | 160,089 | 11,512 | |
* | GE Vernova Inc. | 61,112 | 10,750 |
L3Harris Technologies Inc. | 7 | 2 | |
1,068,534 | |||
Real Estate (1.2%) | |||
Prologis Inc. | 435,308 | 48,097 | |
Crown Castle Inc. | 204,642 | 20,976 | |
Simon Property Group Inc. | 72,812 | 11,017 |
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Vanguard® Mega Cap Value Index Fund
Shares | Market Value ($000) | ||
Public Storage | 37,227 | 10,194 | |
90,284 | |||
Technology (10.7%) | |||
Broadcom Inc. | 220,392 | 292,802 | |
QUALCOMM Inc. | 525,353 | 107,198 | |
Oracle Corp. | 776,460 | 90,993 | |
International Business Machines Corp. | 429,958 | 71,738 | |
Micron Technology Inc. | 519,968 | 64,996 | |
Intel Corp. | 1,991,591 | 61,441 | |
Analog Devices Inc. | 233,406 | 54,731 | |
Roper Technologies Inc. | 50,429 | 26,867 | |
TE Connectivity Ltd. | 145,606 | 21,797 | |
Dell Technologies Inc. Class C | 113,117 | 15,787 | |
808,350 | |||
Telecommunications (4.0%) | |||
Cisco Systems Inc. | 1,715,638 | 79,777 | |
Comcast Corp. Class A | 1,865,749 | 74,686 | |
Verizon Communications Inc. | 1,781,797 | 73,321 | |
AT&T Inc. | 3,363,984 | 61,292 | |
* | Charter Communications Inc. Class A | 44,343 | 12,732 |
301,808 | |||
Utilities (3.7%) | |||
NextEra Energy Inc. | 952,967 | 76,257 | |
Southern Co. | 513,802 | 41,176 | |
Waste Management Inc. | 189,043 | 39,837 | |
Duke Energy Corp. | 362,975 | 37,593 | |
Sempra | 296,675 | 22,853 | |
American Electric Power Co. Inc. | 242,841 | 21,916 | |
Republic Services Inc. | 96,171 | 17,810 | |
Dominion Energy Inc. | 196,762 | 10,610 | |
Exelon Corp. | 233,746 | 8,777 | |
276,829 | |||
Total Common Stocks (Cost $5,890,692) | 7,508,730 | ||
Temporary Cash Investments (0.0%) | |||
Money Market Fund (0.0%) | |||
1 | Vanguard Market Liquidity Fund, 5.397% (Cost $655) | 6,549 | 655 |
Total Investments (99.8%) (Cost $5,891,347) | 7,509,385 | ||
Other Assets and Liabilities—Net (0.2%) | 15,945 | ||
Net Assets (100%) | 7,525,330 | ||
Cost is in $000. |
* | Non-income-producing security. |
1 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
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Vanguard® Mega Cap Value Index Fund
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 | 41 | 10,856 | 14 |
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) |
PNC Financial Services Group Inc. | 1/31/25 | CITNA | 5,823 | (5.328) | — | (18) |
1 | Based on Overnight Bank Funding Rate as of the most recent reset date. Floating interest payment received/paid monthly. |
CITNA—Citibank, N.A. |
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.
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Vanguard® Mega Cap Value Index Fund
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 May 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 | 7,508,730 | — | — | 7,508,730 |
Temporary Cash Investments | 655 | — | — | 655 |
Total | 7,509,385 | — | — | 7,509,385 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 14 | — | — | 14 |
Liabilities | ||||
Swap Contracts | — | 18 | — | 18 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |
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