Vanguard® Information Technology 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%) | |||
Communications Equipment (3.1%) | |||
Cisco Systems Inc. | 23,144,636 | 1,076,226 | |
* | Arista Networks Inc. | 1,577,724 | 469,610 |
Motorola Solutions Inc. | 1,005,687 | 366,985 | |
Juniper Networks Inc. | 2,730,126 | 97,384 | |
* | F5 Inc. | 512,109 | 86,531 |
* | Ciena Corp. | 1,501,825 | 72,343 |
* | Lumentum Holdings Inc. | 1,091,574 | 47,483 |
* | Calix Inc. | 1,291,079 | 46,091 |
* | Viavi Solutions Inc. | 4,875,582 | 36,664 |
* | NetScout Systems Inc. | 1,554,344 | 31,926 |
* | Extreme Networks Inc. | 2,822,547 | 31,471 |
* | Harmonic Inc. | 2,329,095 | 28,485 |
* | Infinera Corp. | 4,600,866 | 26,317 |
* | ViaSat Inc. | 1,380,737 | 23,321 |
* | Digi International Inc. | 802,692 | 19,554 |
* | Clearfield Inc. | 288,150 | 11,025 |
Adtran Holdings Inc. | 1,657,935 | 9,202 | |
* | NETGEAR Inc. | 623,887 | 8,616 |
* | CommScope Holding Co. Inc. | 4,700,283 | 6,768 |
* | Ribbon Communications Inc. | 2,095,906 | 6,581 |
2,502,583 | |||
Electronic Equipment, Instruments & Components (4.7%) | |||
Amphenol Corp. Class A | 3,577,042 | 473,493 | |
TE Connectivity Ltd. | 1,925,465 | 288,242 | |
Corning Inc. | 5,465,042 | 203,627 | |
CDW Corp. | 878,895 | 196,539 | |
* | Keysight Technologies Inc. | 1,181,292 | 163,585 |
* | Teledyne Technologies Inc. | 340,480 | 135,154 |
* | Zebra Technologies Corp. Class A | 396,020 | 123,693 |
* | Flex Ltd. | 3,504,390 | 116,100 |
Jabil Inc. | 941,481 | 111,942 | |
* | Trimble Inc. | 1,914,357 | 106,591 |
TD SYNNEX Corp. | 716,286 | 93,719 | |
* | Fabrinet | 386,758 | 92,640 |
* | Coherent Corp. | 1,446,577 | 82,542 |
Cognex Corp. | 1,745,661 | 79,463 | |
* | Arrow Electronics Inc. | 550,796 | 72,325 |
Littelfuse Inc. | 273,390 | 70,152 | |
Vontier Corp. | 1,661,013 | 66,407 | |
* | Novanta Inc. | 402,338 | 65,243 |
Badger Meter Inc. | 334,034 | 64,455 | |
* | Itron Inc. | 590,581 | 63,517 |
Avnet Inc. | 1,159,277 | 63,297 | |
* | Insight Enterprises Inc. | 322,488 | 63,046 |
Advanced Energy Industries Inc. | 543,718 | 58,412 | |
Belden Inc. | 605,533 | 57,943 | |
* | Sanmina Corp. | 840,809 | 57,629 |
* | Plexus Corp. | 481,054 | 52,983 |
Crane NXT Co. | 804,541 | 50,863 | |
Vishay Intertechnology Inc. | 2,151,145 | 50,832 | |
* | IPG Photonics Corp. | 540,852 | 46,908 |
* | OSI Systems Inc. | 317,752 | 45,674 |
* | Rogers Corp. | 368,064 | 43,432 |
* | ePlus Inc. | 560,601 | 41,955 |
* | Mirion Technologies Inc. | 3,832,950 | 41,626 |
* | TTM Technologies Inc. | 2,222,613 | 41,341 |
Napco Security Technologies Inc. | 806,812 | 40,058 | |
* | Knowles Corp. | 1,970,085 | 34,516 |
CTS Corp. | 645,025 | 34,154 |
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Vanguard® Information Technology Index Fund
Shares | Market Value ($000) | ||
Benchmark Electronics Inc. | 781,840 | 33,674 | |
* | PAR Technology Corp. | 744,632 | 33,226 |
* | Arlo Technologies Inc. | 1,993,765 | 28,331 |
* | ScanSource Inc. | 548,669 | 26,023 |
PC Connection Inc. | 261,525 | 17,690 | |
Bel Fuse Inc. Class B | 192,576 | 13,134 | |
* | nLight Inc. | 983,566 | 12,934 |
* | Kimball Electronics Inc. | 550,964 | 12,628 |
* | Vishay Precision Group Inc. | 271,205 | 9,159 |
* | SmartRent Inc. | 3,829,660 | 9,038 |
Methode Electronics Inc. | 749,997 | 8,835 | |
*,1 | Ouster Inc. | 722,058 | 8,448 |
*,1 | Lightwave Logic Inc. | 2,613,657 | 8,050 |
* | FARO Technologies Inc. | 420,423 | 7,875 |
* | Evolv Technologies Holdings Inc. | 2,354,343 | 6,733 |
Bel Fuse Inc. Class A | 63,036 | 5,415 | |
*,1 | MicroVision Inc. | 4,210,569 | 4,968 |
* | 908 Devices Inc. | 567,828 | 3,577 |
* | Aeva Technologies Inc. | 463,558 | 1,497 |
* | Focus Universal Inc. | 131,366 | 31 |
3,745,364 | |||
IT Services (4.8%) | |||
Accenture plc Class A | 3,566,935 | 1,006,910 | |
International Business Machines Corp. | 5,223,444 | 871,532 | |
* | Snowflake Inc. Class A | 1,851,408 | 252,125 |
Cognizant Technology Solutions Corp. Class A | 3,223,279 | 213,220 | |
* | Gartner Inc. | 500,062 | 209,861 |
* | GoDaddy Inc. Class A | 1,015,432 | 141,785 |
* | Cloudflare Inc. Class A | 2,078,582 | 140,699 |
* | VeriSign Inc. | 686,808 | 119,724 |
* | MongoDB Inc. | 489,782 | 115,618 |
* | Akamai Technologies Inc. | 1,179,051 | 108,756 |
* | Okta Inc. | 1,202,406 | 106,629 |
* | EPAM Systems Inc. | 489,710 | 87,134 |
* | Twilio Inc. Class A | 1,492,966 | 85,696 |
* | Kyndryl Holdings Inc. | 2,832,934 | 75,385 |
* | Perficient Inc. | 765,603 | 56,770 |
* | Squarespace Inc. Class A | 1,163,120 | 51,177 |
* | DXC Technology Co. | 3,071,337 | 47,759 |
* | DigitalOcean Holdings Inc. | 1,195,113 | 44,279 |
* | Fastly Inc. Class A | 2,796,726 | 21,926 |
* | Couchbase Inc. | 864,348 | 19,595 |
Hackett Group Inc. | 543,650 | 12,129 | |
* | Grid Dynamics Holdings Inc. | 1,257,255 | 11,944 |
* | BigCommerce Holdings Inc. Series 1 | 1,434,240 | 11,818 |
*,1 | Applied Digital Corp. | 2,030,079 | 8,587 |
* | Thoughtworks Holding Inc. | 2,476,109 | 6,834 |
* | Unisys Corp. | 1,425,166 | 6,114 |
*,1 | Tucows Inc. Class A | 205,419 | 4,663 |
* | Rackspace Technology Inc. | 1,197,120 | 2,346 |
3,841,015 | |||
Professional Services (0.1%) | |||
* | ASGN Inc. | 590,114 | 55,418 |
Semiconductors & Semiconductor Equipment (34.0%) | |||
NVIDIA Corp. | 10,244,279 | 11,231,110 | |
Broadcom Inc. | 2,515,852 | 3,342,435 | |
* | Advanced Micro Devices Inc. | 9,192,467 | 1,534,223 |
QUALCOMM Inc. | 6,394,433 | 1,304,784 | |
Applied Materials Inc. | 4,809,991 | 1,034,533 | |
Texas Instruments Inc. | 5,212,579 | 1,016,505 | |
Micron Technology Inc. | 6,456,648 | 807,081 | |
Intel Corp. | 24,376,606 | 752,018 | |
Lam Research Corp. | 768,087 | 716,195 | |
Analog Devices Inc. | 2,900,450 | 680,127 | |
KLA Corp. | 799,795 | 607,468 | |
NXP Semiconductors NV | 1,561,710 | 424,941 | |
Marvell Technology Inc. | 5,238,682 | 360,474 | |
Microchip Technology Inc. | 3,349,242 | 325,647 |
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Vanguard® Information Technology Index Fund
Shares | Market Value ($000) | ||
Monolithic Power Systems Inc. | 313,865 | 230,889 | |
* | ON Semiconductor Corp. | 2,864,273 | 209,206 |
* | First Solar Inc. | 736,325 | 200,104 |
Teradyne Inc. | 1,150,466 | 162,147 | |
Entegris Inc. | 1,079,324 | 136,373 | |
* | Enphase Energy Inc. | 1,040,695 | 133,105 |
Skyworks Solutions Inc. | 1,236,076 | 114,535 | |
* | Onto Innovation Inc. | 444,011 | 96,217 |
* | Lattice Semiconductor Corp. | 1,209,562 | 89,798 |
* | Qorvo Inc. | 865,424 | 85,149 |
MKS Instruments Inc. | 625,207 | 79,145 | |
Universal Display Corp. | 449,456 | 78,969 | |
* | Cirrus Logic Inc. | 667,188 | 76,526 |
* | MACOM Technology Solutions Holdings Inc. | 641,091 | 64,840 |
* | Credo Technology Group Holding Ltd. | 2,470,808 | 64,414 |
* | Impinj Inc. | 393,085 | 64,336 |
* | Rambus Inc. | 1,155,164 | 63,834 |
* | FormFactor Inc. | 1,159,942 | 63,472 |
Power Integrations Inc. | 793,865 | 60,342 | |
* | Axcelis Technologies Inc. | 493,071 | 55,466 |
* | Synaptics Inc. | 591,859 | 55,463 |
* | Silicon Laboratories Inc. | 436,341 | 55,053 |
* | Semtech Corp. | 1,415,592 | 55,052 |
Amkor Technology Inc. | 1,669,348 | 54,404 | |
* | Diodes Inc. | 706,056 | 52,340 |
* | Wolfspeed Inc. | 1,984,195 | 50,994 |
* | Ambarella Inc. | 856,284 | 49,887 |
* | Veeco Instruments Inc. | 1,222,602 | 49,699 |
* | Allegro MicroSystems Inc. | 1,620,814 | 48,851 |
* | SolarEdge Technologies Inc. | 992,003 | 48,598 |
Kulicke & Soffa Industries Inc. | 1,002,431 | 45,781 | |
* | Ultra Clean Holdings Inc. | 979,950 | 45,450 |
* | Sitime Corp. | 370,264 | 45,106 |
* | Photronics Inc. | 1,388,419 | 37,973 |
* | Cohu Inc. | 1,033,006 | 33,304 |
* | MaxLinear Inc. | 1,696,872 | 30,153 |
* | Ichor Holdings Ltd. | 725,571 | 27,564 |
* | PDF Solutions Inc. | 678,722 | 23,769 |
* | SMART Global Holdings Inc. | 1,149,445 | 23,656 |
* | indie Semiconductor Inc. Class A | 3,428,869 | 22,871 |
* | ACM Research Inc. Class A | 986,808 | 21,315 |
* | Alpha & Omega Semiconductor Ltd. | 523,744 | 15,351 |
* | Navitas Semiconductor Corp. | 2,770,857 | 10,834 |
* | CEVA Inc. | 522,509 | 10,408 |
*,1 | Aehr Test Systems | 608,049 | 6,999 |
* | Magnachip Semiconductor Corp. | 859,624 | 4,324 |
27,191,607 | |||
Software (35.2%) | |||
Microsoft Corp. | 32,251,199 | 13,388,440 | |
Salesforce Inc. | 5,524,745 | 1,295,221 | |
* | Adobe Inc. | 2,575,384 | 1,145,428 |
Oracle Corp. | 9,409,809 | 1,102,735 | |
Intuit Inc. | 1,602,188 | 923,565 | |
* | ServiceNow Inc. | 1,174,207 | 771,372 |
* | Palo Alto Networks Inc. | 1,727,126 | 509,347 |
* | Synopsys Inc. | 897,286 | 503,198 |
* | Cadence Design Systems Inc. | 1,608,264 | 460,462 |
* | Crowdstrike Holdings Inc. Class A | 1,366,743 | 428,706 |
Roper Technologies Inc. | 647,625 | 345,029 | |
* | Workday Inc. Class A | 1,284,102 | 271,523 |
* | Autodesk Inc. | 1,325,902 | 267,302 |
* | Palantir Technologies Inc. Class A | 11,974,924 | 259,616 |
* | Fortinet Inc. | 4,146,633 | 245,978 |
* | Fair Isaac Corp. | 163,441 | 210,827 |
* | Datadog Inc. Class A | 1,778,775 | 195,985 |
* | HubSpot Inc. | 317,838 | 194,215 |
* | ANSYS Inc. | 579,456 | 183,948 |
*,1 | MicroStrategy Inc. Class A | 117,158 | 178,606 |
* | Atlassian Corp. Class A | 1,047,673 | 164,338 |
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Vanguard® Information Technology Index Fund
Shares | Market Value ($000) | ||
* | Tyler Technologies Inc. | 308,751 | 148,312 |
* | PTC Inc. | 835,938 | 147,326 |
* | AppLovin Corp. Class A | 1,534,535 | 125,034 |
Gen Digital Inc. (XNGS) | 4,690,758 | 116,471 | |
* | Zscaler Inc. | 679,057 | 115,412 |
* | Zoom Video Communications Inc. Class A | 1,875,569 | 115,047 |
* | Manhattan Associates Inc. | 483,538 | 106,156 |
* | Nutanix Inc. Class A | 1,910,562 | 105,683 |
* | Dynatrace Inc. | 2,176,811 | 99,546 |
* | DocuSign Inc. | 1,673,462 | 91,605 |
Bentley Systems Inc. Class B | 1,767,811 | 88,815 | |
* | Elastic NV | 790,032 | 82,203 |
* | Guidewire Software Inc. | 714,793 | 81,429 |
* | SPS Commerce Inc. | 391,123 | 73,566 |
* | Aspen Technology Inc. | 314,495 | 66,248 |
* | Procore Technologies Inc. | 985,213 | 66,137 |
* | Samsara Inc. Class A | 1,941,567 | 65,877 |
* | HashiCorp Inc. Class A | 1,920,521 | 64,491 |
*,1 | Marathon Digital Holdings Inc. | 3,274,029 | 63,909 |
* | Dropbox Inc. Class A | 2,763,027 | 62,251 |
* | CommVault Systems Inc. | 567,964 | 61,104 |
* | Qualys Inc. | 430,546 | 60,543 |
*,1 | C3.ai Inc. Class A | 2,014,842 | 59,579 |
* | Altair Engineering Inc. Class A | 681,634 | 59,527 |
* | Tenable Holdings Inc. | 1,405,434 | 59,295 |
Dolby Laboratories Inc. Class A | 729,543 | 59,100 | |
* | Bill Holdings Inc. | 1,129,048 | 58,767 |
* | Varonis Systems Inc. | 1,351,014 | 58,040 |
* | Appfolio Inc. Class A | 251,941 | 57,523 |
* | Q2 Holdings Inc. | 940,089 | 57,176 |
* | Smartsheet Inc. Class A | 1,534,652 | 56,782 |
* | ACI Worldwide Inc. | 1,573,598 | 56,665 |
* | Zeta Global Holdings Corp. Class A | 3,452,292 | 56,376 |
* | Unity Software Inc. | 3,082,688 | 56,321 |
* | Confluent Inc. Class A | 2,159,422 | 56,080 |
* | Gitlab Inc. Class A | 1,183,562 | 55,852 |
* | Box Inc. Class A | 2,029,789 | 55,312 |
InterDigital Inc. | 462,515 | 52,667 | |
* | Clearwater Analytics Holdings Inc. Class A | 2,686,414 | 50,988 |
* | Workiva Inc. | 661,147 | 50,888 |
* | CCC Intelligent Solutions Holdings Inc. | 4,549,961 | 50,869 |
* | Blackbaud Inc. | 647,740 | 50,485 |
* | RingCentral Inc. Class A | 1,464,925 | 50,100 |
* | Teradata Corp. | 1,535,466 | 50,072 |
* | UiPath Inc. Class A | 4,056,599 | 49,734 |
* | SentinelOne Inc. Class A | 2,938,342 | 49,452 |
* | JFrog Ltd. | 1,519,697 | 48,889 |
* | Cleanspark Inc. | 3,022,509 | 48,572 |
* | Alarm.com Holdings Inc. | 738,634 | 48,314 |
* | Five9 Inc. | 1,032,510 | 48,280 |
* | Agilysys Inc. | 502,257 | 47,950 |
* | Envestnet Inc. | 718,850 | 47,092 |
* | DoubleVerify Holdings Inc. | 2,548,805 | 46,388 |
Progress Software Corp. | 878,749 | 44,509 | |
*,1 | Riot Platforms Inc. | 4,539,093 | 44,211 |
Pegasystems Inc. | 761,783 | 43,772 | |
* | Rapid7 Inc. | 1,204,283 | 43,523 |
* | Blackline Inc. | 911,969 | 43,519 |
* | Freshworks Inc. Class A | 3,351,619 | 43,169 |
* | LiveRamp Holdings Inc. | 1,369,378 | 42,848 |
* | nCino Inc. | 1,377,352 | 42,051 |
* | Vertex Inc. Class A | 1,232,522 | 40,735 |
* | Verint Systems Inc. | 1,368,764 | 40,598 |
* | Braze Inc. Class A | 1,076,561 | 40,532 |
* | Informatica Inc. Class A | 1,401,302 | 40,428 |
* | NCR Voyix Corp. | 3,006,523 | 39,626 |
* | Aurora Innovation Inc. | 15,556,329 | 37,180 |
* | PagerDuty Inc. | 1,935,889 | 36,724 |
* | Sprout Social Inc. Class A | 1,091,762 | 35,646 |
* | Intapp Inc. | 971,572 | 34,879 |
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Vanguard® Information Technology Index Fund
Shares | Market Value ($000) | ||
Clear Secure Inc. Class A | 1,944,449 | 32,842 | |
* | Everbridge Inc. | 864,405 | 30,047 |
* | Sprinklr Inc. Class A | 2,652,975 | 29,740 |
* | Zuora Inc. Class A | 2,886,247 | 29,295 |
* | Alkami Technology Inc. | 1,061,141 | 29,107 |
* | Klaviyo Inc. Class A | 1,270,049 | 28,754 |
*,1 | SoundHound AI Inc. Class A | 5,692,185 | 28,746 |
Adeia Inc. | 2,376,766 | 28,117 | |
* | PowerSchool Holdings Inc. Class A | 1,275,185 | 27,340 |
* | Matterport Inc. | 6,138,766 | 27,011 |
* | PROS Holdings Inc. | 872,171 | 25,712 |
* | Model N Inc. | 821,848 | 24,565 |
* | Asana Inc. Class A | 1,823,741 | 23,800 |
A10 Networks Inc. | 1,561,949 | 23,663 | |
* | Appian Corp. Class A | 786,628 | 22,332 |
* | AvePoint Inc. | 2,432,225 | 21,939 |
* | N-Able Inc. | 1,620,985 | 21,640 |
* | Jamf Holding Corp. | 1,115,757 | 17,763 |
* | E2open Parent Holdings Inc. | 3,732,654 | 17,394 |
* | Hut 8 Corp. | 1,759,830 | 15,293 |
* | Amplitude Inc. Class A | 1,648,047 | 14,701 |
*,1 | Cipher Mining Inc. | 3,899,634 | 14,468 |
SolarWinds Corp. | 1,103,329 | 12,777 | |
* | Mitek Systems Inc. | 1,011,021 | 12,688 |
* | Yext Inc. | 2,338,753 | 11,811 |
*,1 | Terawulf Inc. | 4,972,278 | 10,840 |
* | SEMrush Holdings Inc. Class A | 668,816 | 10,206 |
* | Olo Inc. Class A | 2,212,656 | 10,134 |
* | Blend Labs Inc. Class A | 3,402,961 | 9,358 |
* | MeridianLink Inc. | 502,336 | 9,328 |
* | OneSpan Inc. | 707,712 | 9,321 |
*,1 | Digimarc Corp. | 331,400 | 8,895 |
* | Xperi Inc. | 874,343 | 7,703 |
* | Consensus Cloud Solutions Inc. | 403,622 | 7,616 |
* | Enfusion Inc. Class A | 783,345 | 7,371 |
American Software Inc. Class A | 678,131 | 6,958 | |
* | Weave Communications Inc. | 770,750 | 6,667 |
* | 8x8 Inc. | 2,304,272 | 6,291 |
*,1 | NextNav Inc. | 746,176 | 5,891 |
* | Telos Corp. | 1,248,919 | 5,658 |
* | Domo Inc. Class B | 702,450 | 4,678 |
* | Digital Turbine Inc. | 1,913,766 | 3,617 |
* | ON24 Inc. | 598,541 | 3,555 |
* | Cerence Inc. | 914,309 | 3,145 |
* | CS Disco Inc. | 535,846 | 3,135 |
* | Rimini Street Inc. | 1,091,470 | 2,805 |
* | Expensify Inc. Class A | 995,173 | 1,503 |
* | SecureWorks Corp. Class A | 254,327 | 1,483 |
*,1 | LivePerson Inc. | 1,558,588 | 1,070 |
*,1 | Veritone Inc. | 615 | 2 |
28,118,866 | |||
Technology Hardware, Storage & Peripherals (17.9%) | |||
Apple Inc. | 66,040,415 | 12,696,270 | |
* | Super Micro Computer Inc. | 337,751 | 264,969 |
Dell Technologies Inc. Class C | 1,727,720 | 241,121 | |
HP Inc. | 6,371,237 | 232,550 | |
NetApp Inc. | 1,446,687 | 174,225 | |
* | Western Digital Corp. | 2,272,245 | 171,077 |
Hewlett Packard Enterprise Co. | 8,978,985 | 158,479 | |
Seagate Technology Holdings plc | 1,464,679 | 136,567 | |
* | Pure Storage Inc. Class A | 2,249,551 | 135,625 |
Xerox Holdings Corp. | 2,591,136 | 36,431 | |
*,1 | IonQ Inc. | 3,858,839 | 31,450 |
* | Diebold Nixdorf Inc. | 288,329 | 12,614 |
* | Corsair Gaming Inc. | 1,027,359 | 11,907 |
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Vanguard® Information Technology Index Fund
Shares | Market Value ($000) | ||
* | CPI Card Group Inc. | 101,810 | 2,666 |
14,305,951 | |||
Total Common Stocks (Cost $57,216,828) | 79,760,804 | ||
Temporary Cash Investments (0.4%) | |||
Money Market Fund (0.4%) | |||
2,3 | Vanguard Market Liquidity Fund, 5.397% (Cost $295,593) | 2,956,563 | 295,627 |
Total Investments (100.2%) (Cost $57,512,421) | 80,056,431 | ||
Other Assets and Liabilities—Net (-0.2%) | (183,822) | ||
Net Assets (100.0%) | 79,872,609 | ||
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 $228,020,000. |
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 $243,728,000 was received for securities on loan, of which $243,668,000 is held in Vanguard Market Liquidity Fund and $60,000 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 NASDAQ 100 Index | June 2024 | 149 | 55,401 | (85) |
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) |
Palo Alto Networks Inc. | 8/30/24 | BANA | 44,237 | (5.328) | — | (142) |
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 $230,000 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 |
6
Vanguard® Information Technology Index Fund
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 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 | 79,760,804 | — | — | 79,760,804 |
Temporary Cash Investments | 295,627 | — | — | 295,627 |
Total | 80,056,431 | — | — | 80,056,431 |
Derivative Financial Instruments | ||||
Liabilities | ||||
Futures Contracts1 | 85 | — | — | 85 |
Swap Contracts | — | 142 | — | 142 |
Total | 85 | 142 | — | 227 |
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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