Vanguard® Consumer Discretionary 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%) | |||
Automobile Components (2.6%) | |||
* | Aptiv plc | 341,403 | 28,425 |
Autoliv Inc. | 103,981 | 13,265 | |
BorgWarner Inc. (XNYS) | 315,847 | 11,263 | |
Gentex Corp. | 317,396 | 11,109 | |
Lear Corp. | 79,269 | 9,936 | |
* | Modine Manufacturing Co. | 77,164 | 7,787 |
* | Goodyear Tire & Rubber Co. | 473,452 | 5,828 |
* | Visteon Corp. | 47,850 | 5,329 |
LCI Industries | 45,743 | 5,026 | |
* | Adient plc | 169,911 | 4,798 |
Patrick Industries Inc. | 40,858 | 4,682 | |
* | Dorman Products Inc. | 50,290 | 4,625 |
Phinia Inc. | 98,833 | 4,424 | |
*,1 | QuantumScape Corp. | 729,801 | 4,313 |
* | Mobileye Global Inc. Class A | 164,956 | 4,233 |
* | Fox Factory Holding Corp. | 88,147 | 4,110 |
Dana Inc. | 283,114 | 3,981 | |
* | Gentherm Inc. | 73,650 | 3,973 |
* | XPEL Inc. | 79,864 | 3,035 |
* | American Axle & Manufacturing Holdings Inc. | 380,278 | 2,905 |
* | Garrett Motion Inc. | 301,905 | 2,741 |
Standard Motor Products Inc. | 84,919 | 2,608 | |
*,1 | Luminar Technologies Inc. | 1,255,251 | 2,059 |
* | Stoneridge Inc. | 125,282 | 1,988 |
*,1 | Solid Power Inc. | 619,893 | 1,097 |
* | Holley Inc. | 242,318 | 931 |
154,471 | |||
Automobiles (12.5%) | |||
* | Tesla Inc. | 3,274,804 | 583,177 |
General Motors Co. | 1,612,271 | 72,536 | |
Ford Motor Co. | 4,608,618 | 55,902 | |
*,1 | Rivian Automotive Inc. Class A | 1,011,741 | 11,048 |
Thor Industries Inc. | 76,521 | 7,594 | |
Harley-Davidson Inc. | 200,879 | 7,208 | |
*,1 | Lucid Group Inc. | 1,707,018 | 4,848 |
Winnebago Industries Inc. | 64,042 | 3,974 | |
*,1 | Canoo Inc. | 278,177 | 626 |
746,913 | |||
Broadline Retail (24.6%) | |||
* | Amazon.com Inc. | 7,404,626 | 1,306,472 |
* | MercadoLibre Inc. | 46,007 | 79,389 |
eBay Inc. | 631,414 | 34,235 | |
* | Etsy Inc. | 163,862 | 10,400 |
Macy's Inc. | 404,583 | 7,881 | |
* | Ollie's Bargain Outlet Holdings Inc. | 95,349 | 7,860 |
Kohl's Corp. | 198,479 | 4,444 | |
Nordstrom Inc. | 200,152 | 4,424 | |
Dillard's Inc. Class A | 8,408 | 3,761 | |
*,1 | Groupon Inc. | 106,776 | 1,690 |
* | Qurate Retail Inc. Series A | 1,648,536 | 1,173 |
* | ContextLogic Inc. Class A | 100,287 | 548 |
* | Big Lots Inc. | 126,160 | 439 |
1,462,716 | |||
Distributors (1.0%) | |||
Genuine Parts Co. | 170,521 | 24,579 | |
Pool Corp. | 48,581 | 17,662 | |
LKQ Corp. | 344,788 | 14,836 |
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Vanguard® Consumer Discretionary Index Fund
Shares | Market Value ($000) | ||
* | GigaCloud Technology Inc. Class A | 86,027 | 2,679 |
59,756 | |||
Diversified Consumer Services (1.7%) | |||
Service Corp. International | 192,480 | 13,793 | |
H&R Block Inc. | 195,339 | 9,697 | |
* | Duolingo Inc. | 45,753 | 8,757 |
* | Bright Horizons Family Solutions Inc. | 79,199 | 8,325 |
* | Grand Canyon Education Inc. | 46,895 | 6,681 |
* | Stride Inc. | 73,644 | 5,056 |
* | frontdoor Inc. | 141,548 | 5,007 |
* | Adtalem Global Education Inc. | 76,148 | 4,903 |
Graham Holdings Co. Class B | 6,262 | 4,712 | |
Strategic Education Inc. | 41,180 | 4,671 | |
ADT Inc. | 594,994 | 4,230 | |
Laureate Education Inc. | 268,059 | 4,198 | |
Perdoceo Education Corp. | 158,046 | 3,556 | |
* | OneSpaWorld Holdings Ltd. | 226,428 | 3,521 |
* | Coursera Inc. | 380,858 | 2,894 |
* | Universal Technical Institute Inc. | 179,431 | 2,837 |
* | Mister Car Wash Inc. | 378,451 | 2,660 |
* | Udemy Inc. | 288,239 | 2,548 |
* | Chegg Inc. | 468,024 | 1,793 |
Carriage Services Inc. | 61,946 | 1,666 | |
* | European Wax Center Inc. Class A | 143,452 | 1,624 |
* | WW International Inc. | 352,033 | 584 |
* | 2U Inc. | 370,686 | 103 |
103,816 | |||
Hotels, Restaurants & Leisure (22.4%) | |||
McDonald's Corp. | 838,970 | 217,201 | |
Booking Holdings Inc. | 42,194 | 159,339 | |
Starbucks Corp. | 1,320,938 | 105,966 | |
* | Chipotle Mexican Grill Inc. | 31,960 | 100,019 |
* | Airbnb Inc. Class A | 514,304 | 74,538 |
Marriott International Inc. Class A | 303,267 | 70,106 | |
Hilton Worldwide Holdings Inc. | 307,610 | 61,707 | |
Yum! Brands Inc. | 332,611 | 45,711 | |
* | Royal Caribbean Cruises Ltd. | 290,490 | 42,900 |
* | DoorDash Inc. Class A | 337,122 | 37,121 |
Darden Restaurants Inc. | 147,932 | 22,248 | |
Domino's Pizza Inc. | 43,279 | 22,011 | |
Las Vegas Sands Corp. | 463,154 | 20,856 | |
* | Expedia Group Inc. | 173,855 | 19,621 |
* | Carnival Corp. | 1,261,539 | 19,024 |
* | DraftKings Inc. Class A | 528,829 | 18,578 |
Texas Roadhouse Inc. | 87,050 | 15,031 | |
* | MGM Resorts International | 351,969 | 14,139 |
Wingstop Inc. | 38,305 | 14,121 | |
Wynn Resorts Ltd. | 133,844 | 12,699 | |
* | Light & Wonder Inc. | 121,233 | 11,575 |
Churchill Downs Inc. | 89,075 | 11,535 | |
Aramark | 340,012 | 10,931 | |
* | Caesars Entertainment Inc. | 298,024 | 10,598 |
Vail Resorts Inc. | 52,427 | 9,894 | |
* | Norwegian Cruise Line Holdings Ltd. | 593,755 | 9,856 |
Hyatt Hotels Corp. Class A | 63,730 | 9,398 | |
Wyndham Hotels & Resorts Inc. | 118,401 | 8,378 | |
* | Planet Fitness Inc. Class A | 127,490 | 8,114 |
* | Cava Group Inc. | 75,747 | 7,010 |
* | Sweetgreen Inc. Class A | 219,699 | 6,756 |
Boyd Gaming Corp. | 115,500 | 6,159 | |
1 | Choice Hotels International Inc. | 52,552 | 5,948 |
* | Brinker International Inc. | 82,711 | 5,842 |
* | Shake Shack Inc. Class A | 61,423 | 5,828 |
* | Dutch Bros Inc. Class A | 154,674 | 5,474 |
Travel & Leisure Co. | 122,174 | 5,368 | |
Wendy's Co. | 303,146 | 5,290 | |
* | Hilton Grand Vacations Inc. | 127,825 | 5,283 |
Marriott Vacations Worldwide Corp. | 57,666 | 5,206 | |
Red Rock Resorts Inc. Class A | 93,731 | 4,804 |
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Vanguard® Consumer Discretionary Index Fund
Shares | Market Value ($000) | ||
* | Penn Entertainment Inc. | 270,750 | 4,738 |
* | United Parks & Resorts Inc. | 79,215 | 4,142 |
Cheesecake Factory Inc. | 104,915 | 4,037 | |
* | Dave & Buster's Entertainment Inc. | 75,980 | 3,882 |
* | Six Flags Entertainment Corp. | 151,521 | 3,856 |
Bloomin' Brands Inc. | 171,940 | 3,748 | |
Papa John's International Inc. | 75,314 | 3,499 | |
* | Sabre Corp. | 1,033,802 | 3,236 |
Jack in the Box Inc. | 58,141 | 3,219 | |
* | Life Time Group Holdings Inc. | 184,768 | 3,100 |
1 | Cracker Barrel Old Country Store Inc. | 62,902 | 3,068 |
Monarch Casino & Resort Inc. | 44,174 | 2,958 | |
* | Playa Hotels & Resorts NV | 328,360 | 2,798 |
* | BJ's Restaurants Inc. | 76,772 | 2,690 |
Krispy Kreme Inc. | 257,111 | 2,689 | |
* | First Watch Restaurant Group Inc. | 136,074 | 2,678 |
Golden Entertainment Inc. | 87,650 | 2,653 | |
* | Kura Sushi USA Inc. Class A | 25,293 | 2,527 |
* | Everi Holdings Inc. | 349,015 | 2,523 |
* | Portillo's Inc. Class A | 248,551 | 2,491 |
Dine Brands Global Inc. | 62,696 | 2,473 | |
* | Accel Entertainment Inc. | 247,469 | 2,452 |
* | Chuy's Holdings Inc. | 78,824 | 2,105 |
* | Target Hospitality Corp. | 159,903 | 1,817 |
RCI Hospitality Holdings Inc. | 38,301 | 1,714 | |
* | Denny's Corp. | 225,731 | 1,648 |
1 | Bowlero Corp. Class A | 124,361 | 1,548 |
* | Bally's Corp. | 110,258 | 1,340 |
* | Lindblad Expeditions Holdings Inc. | 170,067 | 1,316 |
* | Xponential Fitness Inc. Class A | 105,527 | 956 |
*,1 | Soho House & Co. Inc. | 158,101 | 810 |
* | Biglari Holdings Inc. Class B | 3,298 | 656 |
* | Sonder Holdings Inc. | 44,096 | 155 |
* | Vacasa Inc. Class A | 29,393 | 135 |
1,335,840 | |||
Household Durables (6.2%) | |||
DR Horton Inc. | 364,252 | 53,836 | |
Lennar Corp. Class A | 295,355 | 47,360 | |
PulteGroup Inc. | 264,016 | 30,974 | |
Garmin Ltd. | 186,700 | 30,591 | |
* | NVR Inc. | 3,877 | 29,778 |
* | TopBuild Corp. | 40,696 | 17,009 |
Toll Brothers Inc. | 133,831 | 16,279 | |
Tempur Sealy International Inc. | 232,709 | 11,952 | |
* | Mohawk Industries Inc. | 77,129 | 9,404 |
Meritage Homes Corp. | 51,562 | 9,093 | |
* | Taylor Morrison Home Corp. | 152,545 | 8,822 |
KB Home | 114,222 | 8,064 | |
Whirlpool Corp. | 82,746 | 7,698 | |
Installed Building Products Inc. | 36,252 | 7,680 | |
* | Tri Pointe Homes Inc. | 156,987 | 6,080 |
* | Skyline Champion Corp. | 86,396 | 6,014 |
* | M/I Homes Inc. | 46,180 | 5,769 |
Newell Brands Inc. | 698,935 | 5,396 | |
* | Cavco Industries Inc. | 13,696 | 4,892 |
* | Helen of Troy Ltd. | 44,550 | 4,762 |
Century Communities Inc. | 53,997 | 4,558 | |
* | LGI Homes Inc. | 42,781 | 4,107 |
* | Sonos Inc. | 254,848 | 4,027 |
Worthington Enterprises Inc. | 68,933 | 3,931 | |
La-Z-Boy Inc. | 101,105 | 3,794 | |
* | Green Brick Partners Inc. | 69,145 | 3,775 |
Leggett & Platt Inc. | 312,610 | 3,626 | |
* | Vizio Holding Corp. Class A | 267,556 | 2,874 |
* | Beazer Homes USA Inc. | 99,725 | 2,864 |
* | Dream Finders Homes Inc. Class A | 95,176 | 2,704 |
Ethan Allen Interiors Inc. | 90,783 | 2,643 | |
* | Hovnanian Enterprises Inc. Class A | 16,670 | 2,397 |
* | Lovesac Co. | 66,874 | 1,880 |
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Vanguard® Consumer Discretionary Index Fund
Shares | Market Value ($000) | ||
* | iRobot Corp. | 129,994 | 1,249 |
Cricut Inc. Class A | 198,087 | 1,234 | |
* | Legacy Housing Corp. | 49,954 | 1,160 |
* | GoPro Inc. Class A | 562,411 | 855 |
* | Traeger Inc. | 261,828 | 678 |
369,809 | |||
Leisure Products (1.2%) | |||
Hasbro Inc. | 180,065 | 10,764 | |
* | Mattel Inc. | 503,569 | 8,959 |
Brunswick Corp. | 100,241 | 8,273 | |
Polaris Inc. | 83,686 | 6,996 | |
* | YETI Holdings Inc. | 145,406 | 5,924 |
* | Topgolf Callaway Brands Corp. | 292,294 | 4,574 |
Acushnet Holdings Corp. | 65,900 | 4,343 | |
* | Vista Outdoor Inc. | 116,563 | 4,066 |
* | Peloton Interactive Inc. Class A | 953,149 | 3,470 |
* | Malibu Boats Inc. Class A | 77,821 | 2,993 |
Sturm Ruger & Co. Inc. | 63,981 | 2,843 | |
Smith & Wesson Brands Inc. | 169,184 | 2,837 | |
* | AMMO Inc. | 431,577 | 1,165 |
* | Funko Inc. Class A | 115,430 | 1,044 |
Johnson Outdoors Inc. Class A | 26,778 | 974 | |
Clarus Corp. | 130,382 | 913 | |
* | Latham Group Inc. | 180,329 | 696 |
* | Solo Brands Inc. Class A | 129,382 | 252 |
71,086 | |||
Specialty Retail (21.9%) | |||
Home Depot Inc. | 1,154,108 | 386,476 | |
Lowe's Cos. Inc. | 681,567 | 150,824 | |
TJX Cos. Inc. | 1,326,058 | 136,717 | |
* | O'Reilly Automotive Inc. | 70,996 | 68,388 |
* | AutoZone Inc. | 21,243 | 58,842 |
Ross Stores Inc. | 396,052 | 55,352 | |
Tractor Supply Co. | 129,597 | 36,973 | |
* | Ulta Beauty Inc. | 59,661 | 23,571 |
Williams-Sonoma Inc. | 79,016 | 23,169 | |
Best Buy Co. Inc. | 245,714 | 20,841 | |
* | Burlington Stores Inc. | 83,072 | 19,941 |
Dick's Sporting Goods Inc. | 78,038 | 17,765 | |
* | Floor & Decor Holdings Inc. Class A | 131,358 | 15,351 |
Bath & Body Works Inc. | 279,871 | 14,537 | |
* | CarMax Inc. | 204,572 | 14,373 |
* | Carvana Co. | 143,712 | 14,368 |
* | Abercrombie & Fitch Co. Class A | 75,384 | 13,032 |
Murphy USA Inc. | 26,732 | 11,729 | |
* | Five Below Inc. | 76,872 | 10,618 |
Gap Inc. | 341,621 | 9,893 | |
Lithia Motors Inc. | 38,308 | 9,697 | |
*,1 | GameStop Corp. Class A | 416,654 | 9,641 |
* | Wayfair Inc. Class A | 131,424 | 7,818 |
Signet Jewelers Ltd. | 69,285 | 7,586 | |
* | Valvoline Inc. | 185,262 | 7,522 |
* | AutoNation Inc. | 41,823 | 7,120 |
Academy Sports & Outdoors Inc. | 119,520 | 6,895 | |
* | Asbury Automotive Group Inc. | 28,641 | 6,733 |
Group 1 Automotive Inc. | 21,536 | 6,697 | |
Advance Auto Parts Inc. | 94,144 | 6,650 | |
American Eagle Outfitters Inc. | 292,336 | 6,423 | |
* | RH | 23,465 | 6,381 |
* | Boot Barn Holdings Inc. | 50,887 | 6,052 |
* | Chewy Inc. Class A | 266,750 | 5,658 |
Penske Automotive Group Inc. | 34,894 | 5,307 | |
Foot Locker Inc. | 178,322 | 4,945 | |
* | Urban Outfitters Inc. | 114,150 | 4,761 |
* | Victoria's Secret & Co. | 170,969 | 3,896 |
* | Warby Parker Inc. Class A | 206,537 | 3,658 |
Upbound Group Inc. | 111,162 | 3,648 | |
* | Sally Beauty Holdings Inc. | 293,079 | 3,570 |
* | ODP Corp. | 88,201 | 3,454 |
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Vanguard® Consumer Discretionary Index Fund
Shares | Market Value ($000) | ||
* | Leslie's Inc. | 577,761 | 3,305 |
Buckle Inc. | 84,496 | 3,257 | |
Caleres Inc. | 91,645 | 3,178 | |
* | National Vision Holdings Inc. | 208,307 | 3,143 |
Arhaus Inc. | 163,378 | 3,073 | |
Hibbett Inc. | 35,226 | 3,050 | |
Winmark Corp. | 8,548 | 3,042 | |
Camping World Holdings Inc. Class A | 143,134 | 2,877 | |
Sonic Automotive Inc. Class A | 50,422 | 2,857 | |
Shoe Carnival Inc. | 74,813 | 2,824 | |
* | MarineMax Inc. | 91,221 | 2,598 |
* | Revolve Group Inc. | 133,156 | 2,541 |
Monro Inc. | 105,289 | 2,490 | |
* | Beyond Inc. | 164,264 | 2,485 |
Guess? Inc. | 104,477 | 2,431 | |
Designer Brands Inc. Class A | 191,245 | 1,922 | |
Arko Corp. | 300,040 | 1,800 | |
Haverty Furniture Cos. Inc. | 60,802 | 1,727 | |
* | America's Car-Mart Inc. | 27,606 | 1,664 |
* | Petco Health & Wellness Co. Inc. | 421,391 | 1,627 |
* | Sleep Number Corp. | 90,969 | 1,375 |
* | Zumiez Inc. | 72,132 | 1,355 |
* | Genesco Inc. | 46,951 | 1,338 |
* | 1-800-Flowers.com Inc. Class A | 136,121 | 1,318 |
* | OneWater Marine Inc. Class A | 49,363 | 1,276 |
Aaron's Co. Inc. | 142,157 | 1,206 | |
*,1 | EVgo Inc. | 482,798 | 980 |
* | Stitch Fix Inc. Class A | 343,204 | 848 |
* | Lands' End Inc. | 56,590 | 809 |
* | ThredUP Inc. Class A | 339,258 | 682 |
PetMed Express Inc. | 93,971 | 400 | |
*,1 | Children's Place Inc. | 22,664 | 278 |
1,300,628 | |||
Textiles, Apparel & Luxury Goods (5.7%) | |||
NIKE Inc. Class B | 1,418,132 | 134,793 | |
* | Lululemon Athletica Inc. | 136,126 | 42,470 |
* | Deckers Outdoor Corp. | 31,334 | 34,277 |
Tapestry Inc. | 304,484 | 13,242 | |
* | Skechers USA Inc. Class A | 181,680 | 12,976 |
* | Crocs Inc. | 81,622 | 12,704 |
Ralph Lauren Corp. | 55,473 | 10,367 | |
PVH Corp. | 81,886 | 9,827 | |
VF Corp. | 525,538 | 6,979 | |
* | Capri Holdings Ltd. | 185,599 | 6,412 |
Kontoor Brands Inc. | 82,556 | 6,055 | |
Steven Madden Ltd. | 124,271 | 5,524 | |
Columbia Sportswear Co. | 62,535 | 5,354 | |
Carter's Inc. | 69,274 | 4,738 | |
Levi Strauss & Co. Class A | 191,523 | 4,598 | |
* | Hanesbrands Inc. | 777,086 | 3,979 |
Oxford Industries Inc. | 35,278 | 3,905 | |
* | Under Armour Inc. Class A | 490,088 | 3,524 |
* | G-III Apparel Group Ltd. | 114,463 | 3,441 |
Wolverine World Wide Inc. | 247,992 | 3,378 | |
* | Under Armour Inc. Class C | 450,422 | 3,135 |
* | Figs Inc. Class A | 482,347 | 2,556 |
Movado Group Inc. | 71,064 | 1,883 |
5
Vanguard® Consumer Discretionary Index Fund
Shares | Market Value ($000) | ||
*,1 | Allbirds Inc. Class A | 461,865 | 272 |
336,389 | |||
Total Common Stocks (Cost $5,416,592) | 5,941,424 | ||
Temporary Cash Investments (0.4%) | |||
Money Market Fund (0.4%) | |||
2,3 | Vanguard Market Liquidity Fund, 5.397% (Cost $25,077) | 250,849 | 25,082 |
Total Investments (100.2%) (Cost $5,441,669) | 5,966,506 | ||
Other Assets and Liabilities—Net (-0.2%) | (14,570) | ||
Net Assets (100.0%) | 5,951,936 | ||
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 $17,592,000. |
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 $19,410,000 was received for securities on loan. |
Derivative Financial Instruments Outstanding as of Period End
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) |
MercadoLibre Inc. | 8/30/24 | BANA | 11,734 | (5.326) | — | (26) |
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. |
At May 31, 2024, the counterparties had deposited in segregated accounts securities with a value of $1,821,000 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. | 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.
6
Vanguard® Consumer Discretionary Index Fund
C. | 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 | 5,941,424 | — | — | 5,941,424 |
Temporary Cash Investments | 25,082 | — | — | 25,082 |
Total | 5,966,506 | — | — | 5,966,506 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Swap Contracts | — | 26 | — | 26 |
7