Vanguard® Institutional Index Fund
Schedule of Investments (unaudited)
As of September 30, 2020
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 (99.5%) | |||
| Communication Services (10.8%) | |||
| * | Facebook Inc. Class A | 20,582,140 | 5,390,463 |
| * | Alphabet Inc. Class A | 2,572,256 | 3,769,898 |
| * | Alphabet Inc. Class C | 2,513,276 | 3,693,510 |
| Verizon Communications Inc. | 35,424,286 | 2,107,391 | |
| Walt Disney Co. | 15,469,682 | 1,919,478 | |
| * | Netflix Inc. | 3,775,398 | 1,887,812 |
| Comcast Corp. Class A | 39,025,241 | 1,805,308 | |
| AT&T Inc. | 60,995,425 | 1,738,980 | |
| * | Charter Communications Inc. Class A | 1,280,549 | 799,498 |
| * | T-Mobile US Inc. | 4,980,582 | 569,579 |
| Activision Blizzard Inc. | 6,607,799 | 534,901 | |
| * | Electronic Arts Inc. | 2,472,407 | 322,427 |
| * | Twitter Inc. | 6,771,462 | 301,330 |
| * | Take-Two Interactive Software Inc. | 978,269 | 161,630 |
| ViacomCBS Inc. Class B | 4,822,534 | 135,079 | |
| Omnicom Group Inc. | 1,839,221 | 91,041 | |
| CenturyLink Inc. | 8,442,266 | 85,183 | |
| Fox Corp. Class A | 2,903,426 | 80,802 | |
| * | Live Nation Entertainment Inc. | 1,218,149 | 65,634 |
| * | DISH Network Corp. Class A | 2,110,666 | 61,273 |
| News Corp. Class A | 4,352,014 | 61,015 | |
| Interpublic Group of Cos. Inc. | 3,335,699 | 55,606 | |
| * | Discovery Inc. Class C | 2,660,899 | 52,154 |
| * | Fox Corp. Class B | 1,385,070 | 38,740 |
| *,1 | Discovery Inc. Class A | 1,361,466 | 29,639 |
| News Corp. Class B | 504 | 7 | |
| 25,758,378 | |||
| Consumer Discretionary (11.5%) | |||
| * | Amazon.com Inc. | 3,644,771 | 11,476,400 |
| Home Depot Inc. | 9,214,963 | 2,559,087 | |
| McDonald's Corp. | 6,370,069 | 1,398,166 | |
| NIKE Inc. Class B | 10,656,205 | 1,337,780 | |
| Lowe's Cos. Inc. | 6,469,411 | 1,073,016 | |
| Starbucks Corp. | 10,007,783 | 859,869 | |
| Target Corp. | 4,285,563 | 674,633 | |
| * | Booking Holdings Inc. | 350,601 | 599,766 |
| TJX Cos. Inc. | 10,264,458 | 571,217 | |
| Dollar General Corp. | 2,131,816 | 446,871 | |
| General Motors Co. | 10,780,936 | 319,008 | |
| * | Chipotle Mexican Grill Inc. Class A | 239,407 | 297,753 |
| eBay Inc. | 5,692,414 | 296,575 | |
| * | O'Reilly Automotive Inc. | 634,028 | 292,338 |
| Shares | Market Value ($000) | ||
| Ross Stores Inc. | 3,046,863 | 284,333 | |
| Yum! Brands Inc. | 2,580,493 | 235,599 | |
| * | AutoZone Inc. | 199,962 | 235,483 |
| Ford Motor Co. | 33,453,133 | 222,798 | |
| Best Buy Co. Inc. | 1,972,002 | 219,464 | |
| DR Horton Inc. | 2,833,282 | 214,281 | |
| Aptiv plc | 2,311,458 | 211,914 | |
| Marriott International Inc. Class A | 2,276,984 | 210,803 | |
| Hilton Worldwide Holdings Inc. | 2,373,989 | 202,549 | |
| VF Corp. | 2,734,552 | 192,102 | |
| Lennar Corp. Class A | 2,314,130 | 189,018 | |
| * | Dollar Tree Inc. | 2,031,421 | 185,550 |
| Domino's Pizza Inc. | 336,642 | 143,167 | |
| Tractor Supply Co. | 994,952 | 142,616 | |
| Las Vegas Sands Corp. | 2,809,490 | 131,091 | |
| * | CarMax Inc. | 1,394,995 | 128,214 |
| * | Etsy Inc. | 1,020,471 | 124,120 |
| * | NVR Inc. | 29,797 | 121,665 |
| Garmin Ltd. | 1,275,734 | 121,016 | |
| Genuine Parts Co. | 1,234,933 | 117,529 | |
| Darden Restaurants Inc. | 1,113,899 | 112,214 | |
| * | Ulta Beauty Inc. | 481,658 | 107,882 |
| Tiffany & Co. | 925,514 | 107,221 | |
| Expedia Group Inc. | 1,160,719 | 106,426 | |
| PulteGroup Inc. | 2,298,321 | 106,389 | |
| Royal Caribbean Cruises Ltd. | 1,525,639 | 98,755 | |
| Whirlpool Corp. | 533,970 | 98,192 | |
| Advance Auto Parts Inc. | 592,601 | 90,964 | |
| Hasbro Inc. | 1,090,385 | 90,197 | |
| MGM Resorts International | 3,508,971 | 76,320 | |
| BorgWarner Inc. | 1,777,135 | 68,846 | |
| 1 | Carnival Corp. | 4,426,364 | 67,192 |
| * | LKQ Corp. | 2,395,525 | 66,428 |
| L Brands Inc. | 1,999,893 | 63,617 | |
| Wynn Resorts Ltd. | 831,275 | 59,694 | |
| Newell Brands Inc. | 3,228,002 | 55,393 | |
| * | Mohawk Industries Inc. | 511,904 | 49,957 |
| Hanesbrands Inc. | 2,986,124 | 47,031 | |
| Leggett & Platt Inc. | 1,130,516 | 46,543 | |
| *,1 | Norwegian Cruise Line Holdings Ltd. | 2,352,586 | 40,253 |
| Tapestry Inc. | 2,371,135 | 37,061 | |
| PVH Corp. | 608,630 | 36,299 | |
| Gap Inc. | 1,765,293 | 30,063 | |
| Ralph Lauren Corp. Class A | 412,186 | 28,016 | |
| * | Under Armour Inc. Class A | 1,591,522 | 17,873 |
| * | Under Armour Inc. Class C | 1,686,133 | 16,592 |
| Lennar Corp. Class B | 46,972 | 3,084 | |
| 27,564,293 | |||
| Consumer Staples (7.0%) | |||
| Procter & Gamble Co. | 21,312,356 | 2,962,204 | |
| Walmart Inc. | 11,886,612 | 1,663,056 | |
| PepsiCo Inc. | 11,853,188 | 1,642,852 | |
| Coca-Cola Co. | 33,094,326 | 1,633,867 | |
| Costco Wholesale Corp. | 3,779,788 | 1,341,825 | |
| Philip Morris International Inc. | 13,331,618 | 999,738 | |
| Mondelez International Inc. Class A | 12,228,171 | 702,508 | |
| Altria Group Inc. | 15,909,745 | 614,753 | |
| Colgate-Palmolive Co. | 7,340,075 | 566,287 | |
| Shares | Market Value ($000) | ||
| Kimberly-Clark Corp. | 2,919,698 | 431,123 | |
| Estee Lauder Cos. Inc. Class A | 1,930,986 | 421,438 | |
| General Mills Inc. | 5,230,280 | 322,604 | |
| Constellation Brands Inc. Class A | 1,438,522 | 272,614 | |
| Sysco Corp. | 4,353,650 | 270,884 | |
| * | Monster Beverage Corp. | 3,160,727 | 253,490 |
| Kroger Co. | 6,659,844 | 225,835 | |
| Archer-Daniels-Midland Co. | 4,757,758 | 221,188 | |
| Walgreens Boots Alliance Inc. | 6,157,360 | 221,172 | |
| McCormick & Co. Inc. | 1,061,228 | 205,984 | |
| Church & Dwight Co. Inc. | 2,117,367 | 198,419 | |
| Hershey Co. | 1,261,650 | 180,845 | |
| Clorox Co. | 830,546 | 174,556 | |
| Kraft Heinz Co. | 5,547,431 | 166,146 | |
| Tyson Foods Inc. Class A | 2,519,416 | 149,855 | |
| Conagra Brands Inc. | 4,182,360 | 149,352 | |
| Kellogg Co. | 2,171,859 | 140,280 | |
| Brown-Forman Corp. Class B | 1,560,742 | 117,555 | |
| Hormel Foods Corp. | 2,400,946 | 117,382 | |
| J M Smucker Co. | 975,806 | 112,725 | |
| Campbell Soup Co. | 1,732,184 | 83,786 | |
| Lamb Weston Holdings Inc. | 1,244,416 | 82,468 | |
| Molson Coors Beverage Co. Class B | 1,609,786 | 54,024 | |
| 16,700,815 | |||
| Energy (2.0%) | |||
| Exxon Mobil Corp. | 36,198,393 | 1,242,691 | |
| Chevron Corp. | 15,986,324 | 1,151,015 | |
| ConocoPhillips | 9,184,038 | 301,604 | |
| Kinder Morgan Inc. | 16,660,972 | 205,430 | |
| Phillips 66 | 3,737,480 | 193,751 | |
| Schlumberger NV | 11,890,788 | 185,021 | |
| EOG Resources Inc. | 4,981,649 | 179,040 | |
| Williams Cos. Inc. | 8,890,293 | 174,694 | |
| Marathon Petroleum Corp. | 5,571,413 | 163,465 | |
| Valero Energy Corp. | 3,488,889 | 151,139 | |
| Pioneer Natural Resources Co. | 1,406,923 | 120,981 | |
| ONEOK Inc. | 3,803,415 | 98,813 | |
| Hess Corp. | 2,339,071 | 95,738 | |
| Halliburton Co. | 7,514,888 | 90,554 | |
| Baker Hughes Co. Class A | 5,618,142 | 74,665 | |
| Concho Resources Inc. | 1,685,735 | 74,375 | |
| Cabot Oil & Gas Corp. | 3,418,834 | 59,351 | |
| Occidental Petroleum Corp. | 5,160,638 | 51,658 | |
| Diamondback Energy Inc. | 1,353,755 | 40,775 | |
| Noble Energy Inc. | 4,138,275 | 35,382 | |
| Devon Energy Corp. | 3,287,556 | 31,100 | |
| Apache Corp. | 3,220,120 | 30,495 | |
| National Oilwell Varco Inc. | 3,310,815 | 29,996 | |
| Marathon Oil Corp. | 6,749,489 | 27,605 | |
| HollyFrontier Corp. | 1,270,907 | 25,050 | |
| Technip FMC plc | 3,612,161 | 22,793 | |
| 4,857,181 | |||
| Financials (9.6%) | |||
| * | Berkshire Hathaway Inc. Class B | 16,968,829 | 3,613,342 |
| JPMorgan Chase & Co. | 25,589,081 | 2,463,461 | |
| Bank of America Corp. | 65,269,333 | 1,572,338 | |
| Wells Fargo & Co. | 35,270,554 | 829,211 | |
| Shares | Market Value ($000) | ||
| Citigroup Inc. | 17,822,340 | 768,321 | |
| S&P Global Inc. | 2,063,186 | 743,985 | |
| BlackRock Inc. | 1,214,002 | 684,151 | |
| Goldman Sachs Group Inc. | 2,945,561 | 591,969 | |
| American Express Co. | 5,582,878 | 559,684 | |
| CME Group Inc. | 3,070,088 | 513,656 | |
| Marsh & McLennan Cos. Inc. | 4,336,198 | 497,362 | |
| Morgan Stanley | 10,258,792 | 496,013 | |
| Intercontinental Exchange Inc. | 4,804,670 | 480,707 | |
| Progressive Corp. | 5,011,417 | 474,431 | |
| Chubb Ltd. | 3,864,192 | 448,710 | |
| Truist Financial Corp. | 11,536,816 | 438,976 | |
| US Bancorp | 11,735,019 | 420,700 | |
| Aon plc Class A | 1,983,118 | 409,117 | |
| Moody's Corp. | 1,382,006 | 400,574 | |
| PNC Financial Services Group Inc. | 3,634,094 | 399,423 | |
| Charles Schwab Corp. | 9,928,641 | 359,715 | |
| Capital One Financial Corp. | 3,909,736 | 280,954 | |
| MSCI Inc. Class A | 716,022 | 255,462 | |
| Allstate Corp. | 2,673,877 | 251,719 | |
| T Rowe Price Group Inc. | 1,943,230 | 249,161 | |
| MetLife Inc. | 6,606,058 | 245,547 | |
| Bank of New York Mellon Corp. | 6,977,338 | 239,602 | |
| Travelers Cos Inc. | 2,167,744 | 234,528 | |
| Willis Towers Watson plc | 1,103,139 | 230,358 | |
| Prudential Financial Inc. | 3,382,587 | 214,862 | |
| Aflac Inc. | 5,677,005 | 206,359 | |
| American International Group Inc. | 7,373,890 | 203,003 | |
| State Street Corp. | 3,016,869 | 178,991 | |
| Arthur J Gallagher & Co. | 1,639,542 | 173,103 | |
| First Republic Bank | 1,473,436 | 160,693 | |
| Ameriprise Financial Inc. | 1,029,449 | 158,648 | |
| MarketAxess Holdings Inc. | 324,928 | 156,482 | |
| Discover Financial Services | 2,620,390 | 151,406 | |
| Northern Trust Corp. | 1,781,468 | 138,901 | |
| Fifth Third Bancorp | 6,098,336 | 130,017 | |
| Synchrony Financial | 4,653,214 | 121,775 | |
| Nasdaq Inc. | 985,008 | 120,870 | |
| Hartford Financial Services Group Inc. | 3,064,096 | 112,943 | |
| * | SVB Financial Group | 442,653 | 106,511 |
| M&T Bank Corp. | 1,097,832 | 101,099 | |
| Cincinnati Financial Corp. | 1,281,887 | 99,949 | |
| Key Corp. | 8,367,044 | 99,819 | |
| Regions Financial Corp. | 8,216,103 | 94,732 | |
| E*TRADE Financial Corp. | 1,891,068 | 94,648 | |
| Citizens Financial Group Inc. | 3,656,741 | 92,442 | |
| Principal Financial Group Inc. | 2,183,268 | 87,920 | |
| Cboe Global Markets Inc. | 931,007 | 81,687 | |
| Huntington Bancshares Inc. | 8,704,993 | 79,825 | |
| Raymond James Financial Inc. | 1,044,741 | 76,015 | |
| W R Berkley Corp. | 1,201,825 | 73,492 | |
| Loews Corp. | 2,039,867 | 70,885 | |
| Everest Re Group Ltd. | 342,166 | 67,591 | |
| Globe Life Inc. | 838,960 | 67,033 | |
| Assurant Inc. | 511,031 | 61,993 | |
| Lincoln National Corp. | 1,551,837 | 48,619 | |
| Franklin Resources Inc. | 2,283,233 | 46,464 | |
| Comerica Inc. | 1,189,659 | 45,504 |
| Shares | Market Value ($000) | ||
| Zions Bancorp NA | 1,401,733 | 40,959 | |
| People's United Financial Inc. | 3,647,120 | 37,602 | |
| Invesco Ltd. | 3,218,694 | 36,725 | |
| Unum Group | 1,737,836 | 29,248 | |
| 23,021,992 | |||
| Health Care (14.2%) | |||
| Johnson & Johnson | 22,538,411 | 3,355,519 | |
| UnitedHealth Group Inc. | 8,135,395 | 2,536,372 | |
| Merck & Co. Inc. | 21,651,817 | 1,796,018 | |
| Pfizer Inc. | 47,570,175 | 1,745,825 | |
| Abbott Laboratories | 15,156,749 | 1,649,509 | |
| Thermo Fisher Scientific Inc. | 3,386,445 | 1,495,183 | |
| AbbVie Inc. | 15,107,958 | 1,323,306 | |
| Amgen Inc. | 5,013,872 | 1,274,326 | |
| Medtronic plc | 11,507,286 | 1,195,837 | |
| Danaher Corp. | 5,404,911 | 1,163,839 | |
| Bristol-Myers Squibb Co. | 19,295,212 | 1,163,308 | |
| Eli Lilly and Co. | 6,796,061 | 1,005,953 | |
| * | Intuitive Surgical Inc. | 1,001,836 | 710,843 |
| Gilead Sciences Inc. | 10,732,641 | 678,196 | |
| Zoetis Inc. | 4,067,675 | 672,671 | |
| CVS Health Corp. | 11,203,401 | 654,279 | |
| * | Vertex Pharmaceuticals Inc. | 2,229,861 | 606,790 |
| Stryker Corp. | 2,797,433 | 582,901 | |
| Anthem Inc. | 2,153,087 | 578,298 | |
| Becton Dickinson and Co. | 2,481,514 | 577,399 | |
| Cigna Corp. | 3,143,626 | 532,562 | |
| * | Regeneron Pharmaceuticals Inc. | 894,990 | 500,998 |
| Humana Inc. | 1,132,520 | 468,739 | |
| * | Boston Scientific Corp. | 12,247,844 | 467,990 |
| * | Edwards Lifesciences Corp. | 5,322,642 | 424,853 |
| * | Illumina Inc. | 1,249,893 | 386,317 |
| * | Biogen Inc. | 1,355,317 | 384,476 |
| Baxter International Inc. | 4,333,679 | 348,514 | |
| * | DexCom Inc. | 819,583 | 337,857 |
| * | Centene Corp. | 4,960,892 | 289,369 |
| * | IDEXX Laboratories Inc. | 728,205 | 286,265 |
| HCA Healthcare Inc. | 2,257,292 | 281,439 | |
| Agilent Technologies Inc. | 2,639,380 | 266,419 | |
| * | IQVIA Holdings Inc. | 1,637,497 | 258,119 |
| Zimmer Biomet Holdings Inc. | 1,772,626 | 241,325 | |
| * | Alexion Pharmaceuticals Inc. | 1,876,424 | 214,719 |
| ResMed Inc. | 1,240,496 | 212,658 | |
| McKesson Corp. | 1,388,579 | 206,801 | |
| * | Align Technology Inc. | 613,702 | 200,901 |
| * | Mettler-Toledo International Inc. | 205,240 | 198,211 |
| Cerner Corp. | 2,613,903 | 188,959 | |
| West Pharmaceutical Services Inc. | 631,920 | 173,715 | |
| * | Laboratory Corp. of America Holdings | 833,089 | 156,846 |
| * | Hologic Inc. | 2,217,257 | 147,381 |
| * | Incyte Corp. | 1,590,452 | 142,727 |
| Cooper Cos. Inc. | 421,022 | 141,935 | |
| Teleflex Inc. | 398,270 | 135,579 | |
| * | Varian Medical Systems Inc. | 780,154 | 134,187 |
| Quest Diagnostics Inc. | 1,149,767 | 131,637 | |
| STERIS plc | 727,524 | 128,182 | |
| AmerisourceBergen Corp. Class A | 1,257,060 | 121,834 | |
| * | Catalent Inc. | 1,406,838 | 120,510 |
| Shares | Market Value ($000) | ||
| PerkinElmer Inc. | 957,311 | 120,152 | |
| Cardinal Health Inc. | 2,503,863 | 117,556 | |
| * | ABIOMED Inc. | 385,682 | 106,857 |
| * | Waters Corp. | 529,698 | 103,651 |
| * | Bio-Rad Laboratories Inc. Class A | 183,118 | 94,390 |
| DENTSPLY SIRONA Inc. | 1,868,486 | 81,709 | |
| * | Henry Schein Inc. | 1,223,956 | 71,944 |
| Universal Health Services Inc. Class B | 665,483 | 71,220 | |
| * | Mylan NV | 4,420,770 | 65,560 |
| * | DaVita Inc. | 643,595 | 55,124 |
| Perrigo Co. plc | 1,167,217 | 53,587 | |
| 33,940,146 | |||
| Industrials (8.3%) | |||
| Union Pacific Corp. | 5,811,374 | 1,144,085 | |
| United Parcel Service Inc. Class B | 6,053,171 | 1,008,640 | |
| Honeywell International Inc. | 6,007,740 | 988,934 | |
| Lockheed Martin Corp. | 2,105,974 | 807,178 | |
| 3M Co. | 4,931,099 | 789,863 | |
| Raytheon Technologies Corp. | 13,078,523 | 752,538 | |
| Boeing Co. | 4,542,146 | 750,635 | |
| Caterpillar Inc. | 4,635,536 | 691,390 | |
| Deere & Co. | 2,682,618 | 594,549 | |
| FedEx Corp. | 2,063,559 | 519,026 | |
| CSX Corp. | 6,549,813 | 508,724 | |
| Illinois Tool Works Inc. | 2,462,757 | 475,829 | |
| Norfolk Southern Corp. | 2,184,072 | 467,370 | |
| General Electric Co. | 74,935,897 | 466,851 | |
| Northrop Grumman Corp. | 1,327,350 | 418,766 | |
| Waste Management Inc. | 3,327,368 | 376,558 | |
| Roper Technologies Inc. | 896,367 | 354,164 | |
| Eaton Corp. plc | 3,425,245 | 349,478 | |
| Emerson Electric Co. | 5,115,943 | 335,452 | |
| L3Harris Technologies Inc. | 1,851,023 | 314,378 | |
| General Dynamics Corp. | 1,989,955 | 275,469 | |
| Cummins Inc. | 1,264,097 | 266,927 | |
| Johnson Controls International plc | 6,370,222 | 260,224 | |
| Verisk Analytics Inc. Class A | 1,390,161 | 257,611 | |
| PACCAR Inc. | 2,962,974 | 252,682 | |
| IHS Markit Ltd. | 3,193,279 | 250,704 | |
| Trane Technologies plc | 2,049,118 | 248,456 | |
| Cintas Corp. | 744,309 | 247,728 | |
| Parker-Hannifin Corp. | 1,100,608 | 222,697 | |
| Stanley Black & Decker Inc. | 1,366,960 | 221,721 | |
| Fastenal Co. | 4,910,603 | 221,419 | |
| TransDigm Group Inc. | 464,076 | 220,492 | |
| Fortive Corp. | 2,885,451 | 219,900 | |
| Rockwell Automation Inc. | 992,701 | 219,069 | |
| Otis Worldwide Corp. | 3,484,860 | 217,525 | |
| Carrier Global Corp. | 6,970,331 | 212,874 | |
| AMETEK Inc. | 1,965,485 | 195,369 | |
| Southwest Airlines Co. | 5,049,019 | 189,338 | |
| * | Copart Inc. | 1,768,266 | 185,951 |
| Republic Services Inc. Class A | 1,798,349 | 167,876 | |
| Delta Air Lines Inc. | 5,456,044 | 166,846 | |
| Equifax Inc. | 1,039,744 | 163,136 | |
| Old Dominion Freight Line Inc. | 823,397 | 148,969 | |
| Kansas City Southern | 807,453 | 146,012 | |
| WW Grainger Inc. | 385,661 | 137,592 | |
| Shares | Market Value ($000) | ||
| Dover Corp. | 1,233,633 | 133,652 | |
| Expeditors International of Washington Inc. | 1,433,731 | 129,781 | |
| Xylem Inc. | 1,540,446 | 129,582 | |
| Masco Corp. | 2,237,448 | 123,351 | |
| CH Robinson Worldwide Inc. | 1,153,902 | 117,917 | |
| IDEX Corp. | 646,305 | 117,893 | |
| * | Ingersoll Rand Inc. | 3,177,814 | 113,130 |
| * | United Rentals Inc. | 616,985 | 107,664 |
| Jacobs Engineering Group Inc. | 1,116,116 | 103,542 | |
| Fortune Brands Home & Security Inc. | 1,183,915 | 102,432 | |
| * | Teledyne Technologies Inc. | 315,310 | 97,812 |
| Westinghouse Air Brake Technologies Corp. | 1,531,474 | 94,768 | |
| JB Hunt Transport Services Inc. | 713,795 | 90,209 | |
| * | United Airlines Holdings Inc. | 2,488,373 | 86,471 |
| Allegion plc | 788,119 | 77,953 | |
| Textron Inc. | 1,949,072 | 70,342 | |
| Snap-on Inc. | 466,751 | 68,673 | |
| Rollins Inc. | 1,261,726 | 68,373 | |
| Pentair plc | 1,420,846 | 65,032 | |
| Quanta Services Inc. | 1,182,630 | 62,514 | |
| A O Smith Corp. | 1,156,621 | 61,070 | |
| Howmet Aerospace Inc. | 3,354,033 | 56,079 | |
| 1 | American Airlines Group Inc. | 4,367,055 | 53,671 |
| Robert Half International Inc. | 980,373 | 51,901 | |
| Huntington Ingalls Industries Inc. | 346,093 | 48,713 | |
| Nielsen Holdings plc | 3,054,147 | 43,308 | |
| Alaska Air Group Inc. | 1,059,435 | 38,807 | |
| Flowserve Corp. | 1,115,974 | 30,455 | |
| 19,776,090 | |||
| Information Technology (28.0%) | |||
| Apple Inc. | 137,623,164 | 15,938,139 | |
| Microsoft Corp. | 64,783,494 | 13,625,912 | |
| Visa Inc. Class A | 14,433,071 | 2,886,181 | |
| NVIDIA Corp. | 5,281,853 | 2,858,645 | |
| Mastercard Inc. Class A | 7,562,013 | 2,557,246 | |
| * | Adobe Inc. | 4,106,250 | 2,013,828 |
| * | PayPal Holdings Inc. | 10,044,082 | 1,978,986 |
| * | salesforce.com Inc. | 7,790,169 | 1,957,825 |
| Intel Corp. | 36,408,074 | 1,885,210 | |
| Cisco Systems Inc. | 36,240,177 | 1,427,501 | |
| Broadcom Inc. | 3,442,963 | 1,254,340 | |
| Accenture plc Class A | 5,446,115 | 1,230,768 | |
| QUALCOMM Inc. | 9,658,669 | 1,136,632 | |
| Texas Instruments Inc. | 7,840,979 | 1,119,613 | |
| Oracle Corp. | 16,549,837 | 988,025 | |
| International Business Machines Corp. | 7,623,677 | 927,573 | |
| * | Advanced Micro Devices Inc. | 10,050,725 | 824,059 |
| * | ServiceNow Inc. | 1,641,953 | 796,347 |
| Fidelity National Information Services Inc. | 5,304,192 | 780,830 | |
| Intuit Inc. | 2,241,295 | 731,133 | |
| Automatic Data Processing Inc. | 3,680,669 | 513,417 | |
| * | Fiserv Inc. | 4,758,147 | 490,327 |
| Applied Materials Inc. | 7,818,474 | 464,808 | |
| Global Payments Inc. | 2,561,838 | 454,931 | |
| * | Micron Technology Inc. | 9,511,206 | 446,646 |
| * | Autodesk Inc. | 1,877,316 | 433,679 |
| Lam Research Corp. | 1,246,694 | 413,591 | |
| Analog Devices Inc. | 3,163,764 | 369,338 | |
| Shares | Market Value ($000) | ||
| Cognizant Technology Solutions Corp. Class A | 4,641,976 | 322,246 | |
| * | Synopsys Inc. | 1,299,317 | 278,028 |
| Amphenol Corp. Class A | 2,554,039 | 276,526 | |
| TE Connectivity Ltd. | 2,825,172 | 276,132 | |
| KLA Corp. | 1,330,924 | 257,853 | |
| * | Cadence Design Systems Inc. | 2,386,989 | 254,525 |
| * | ANSYS Inc. | 734,445 | 240,332 |
| Motorola Solutions Inc. | 1,453,486 | 227,921 | |
| HP Inc. | 11,757,896 | 223,283 | |
| Microchip Technology Inc. | 2,161,340 | 222,099 | |
| Paychex Inc. | 2,742,649 | 218,781 | |
| Xilinx Inc. | 2,091,613 | 218,030 | |
| Corning Inc. | 6,513,898 | 211,115 | |
| Skyworks Solutions Inc. | 1,429,682 | 208,019 | |
| * | VeriSign Inc. | 865,302 | 177,257 |
| * | FleetCor Technologies Inc. | 719,605 | 171,338 |
| * | Keysight Technologies Inc. | 1,601,931 | 158,239 |
| Maxim Integrated Products Inc. | 2,283,449 | 154,384 | |
| * | Akamai Technologies Inc. | 1,392,885 | 153,970 |
| CDW Corp. | 1,221,378 | 145,991 | |
| Citrix Systems Inc. | 1,056,465 | 145,486 | |
| * | Fortinet Inc. | 1,150,871 | 135,584 |
| * | Paycom Software Inc. | 418,767 | 130,362 |
| Broadridge Financial Solutions Inc. | 985,413 | 130,075 | |
| * | Qorvo Inc. | 976,821 | 126,020 |
| * | Tyler Technologies Inc. | 344,521 | 120,086 |
| * | Zebra Technologies Corp. Class A | 456,623 | 115,279 |
| Teradyne Inc. | 1,422,543 | 113,035 | |
| Jack Henry & Associates Inc. | 655,347 | 106,553 | |
| NortonLifeLock Inc. | 5,059,503 | 105,440 | |
| Hewlett Packard Enterprise Co. | 11,009,427 | 103,158 | |
| Leidos Holdings Inc. | 1,143,750 | 101,965 | |
| * | Arista Networks Inc. | 468,725 | 96,993 |
| * | Gartner Inc. | 764,973 | 95,583 |
| Western Digital Corp. | 2,590,765 | 94,693 | |
| Seagate Technology plc | 1,910,447 | 94,128 | |
| NetApp Inc. | 1,899,257 | 83,263 | |
| Western Union Co. | 3,524,325 | 75,526 | |
| * | F5 Networks Inc. | 522,505 | 64,148 |
| Juniper Networks Inc. | 2,845,131 | 61,170 | |
| * | IPG Photonics Corp. | 306,257 | 52,055 |
| FLIR Systems Inc. | 1,126,538 | 40,386 | |
| DXC Technology Co. | 2,184,653 | 38,996 | |
| Xerox Holdings Corp. | 1,535,739 | 28,826 | |
| 67,160,409 | |||
| Materials (2.6%) | |||
| Linde plc | 4,497,354 | 1,070,955 | |
| Air Products and Chemicals Inc. | 1,891,011 | 563,257 | |
| Sherwin-Williams Co. | 701,458 | 488,734 | |
| Newmont Corp. | 6,875,403 | 436,244 | |
| Ecolab Inc. | 2,125,538 | 424,768 | |
| DuPont de Nemours Inc. | 6,282,166 | 348,535 | |
| Dow Inc. | 6,344,603 | 298,514 | |
| PPG Industries Inc. | 2,020,166 | 246,622 | |
| Ball Corp. | 2,795,746 | 232,382 | |
| Freeport-McMoRan Inc. | 12,430,229 | 194,409 | |
| Corteva Inc. | 6,408,488 | 184,629 | |
| LyondellBasell Industries NV Class A | 2,200,665 | 155,125 | |
| Shares | Market Value ($000) | ||
| Vulcan Materials Co. | 1,133,999 | 153,702 | |
| Amcor plc | 13,426,469 | 148,362 | |
| International Paper Co. | 3,363,992 | 136,376 | |
| Martin Marietta Materials Inc. | 532,671 | 125,369 | |
| FMC Corp. | 1,108,665 | 117,419 | |
| Nucor Corp. | 2,581,931 | 115,825 | |
| 1 | International Flavors & Fragrances Inc. | 914,535 | 111,985 |
| Celanese Corp. Class A | 1,013,772 | 108,930 | |
| Avery Dennison Corp. | 714,775 | 91,377 | |
| Eastman Chemical Co. | 1,158,860 | 90,530 | |
| Packaging Corp. of America | 810,905 | 88,429 | |
| Albemarle Corp. | 911,800 | 81,405 | |
| Westrock Co. | 2,226,754 | 77,357 | |
| CF Industries Holdings Inc. | 1,828,822 | 56,163 | |
| Mosaic Co. | 2,947,247 | 53,846 | |
| Sealed Air Corp. | 1,331,684 | 51,683 | |
| 6,252,932 | |||
| Real Estate (2.6%) | |||
| American Tower Corp. | 3,797,073 | 917,866 | |
| Prologis Inc. | 6,324,013 | 636,322 | |
| Crown Castle International Corp. | 3,592,481 | 598,148 | |
| Equinix Inc. | 758,027 | 576,199 | |
| Digital Realty Trust Inc. | 2,302,645 | 337,936 | |
| SBA Communications Corp. Class A | 958,233 | 305,178 | |
| Public Storage | 1,301,743 | 289,924 | |
| Welltower Inc. | 3,572,364 | 196,802 | |
| Weyerhaeuser Co. | 6,388,455 | 182,199 | |
| AvalonBay Communities Inc. | 1,204,691 | 179,909 | |
| Realty Income Corp. | 2,953,618 | 179,432 | |
| Simon Property Group Inc. | 2,617,229 | 169,282 | |
| Alexandria Real Estate Equities Inc. | 1,003,872 | 160,620 | |
| Equity Residential | 2,930,992 | 150,448 | |
| * | CBRE Group Inc. Class A | 2,870,096 | 134,808 |
| Ventas Inc. | 3,193,905 | 134,016 | |
| Healthpeak Properties Inc. | 4,611,569 | 125,204 | |
| Extra Space Storage Inc. | 1,104,763 | 118,199 | |
| Duke Realty Corp. | 3,171,080 | 117,013 | |
| Mid-America Apartment Communities Inc. | 978,835 | 113,496 | |
| Essex Property Trust Inc. | 558,822 | 112,206 | |
| Boston Properties Inc. | 1,213,228 | 97,422 | |
| UDR Inc. | 2,526,462 | 82,388 | |
| Iron Mountain Inc. | 2,470,966 | 66,197 | |
| Host Hotels & Resorts Inc. | 6,043,827 | 65,213 | |
| Regency Centers Corp. | 1,347,694 | 51,239 | |
| Vornado Realty Trust | 1,346,041 | 45,375 | |
| Federal Realty Investment Trust | 591,077 | 43,409 | |
| Apartment Investment and Management Co. Class A | 1,270,641 | 42,846 | |
| Kimco Realty Corp. | 3,699,621 | 41,658 | |
| SL Green Realty Corp. | 628,790 | 29,157 | |
| 6,300,111 | |||
| Utilities (2.9%) | |||
| NextEra Energy Inc. | 4,191,586 | 1,163,417 | |
| Dominion Energy Inc. | 7,191,631 | 567,635 | |
| Duke Energy Corp. | 6,295,420 | 557,522 | |
| Southern Co. | 9,040,618 | 490,182 | |
| American Electric Power Co. Inc. | 4,247,252 | 347,128 | |
| Xcel Energy Inc. | 4,497,019 | 310,339 | |
| Shares | Market Value ($000) | ||
| Exelon Corp. | 8,342,540 | 298,329 | |
| Sempra Energy | 2,476,227 | 293,086 | |
| WEC Energy Group Inc. | 2,700,070 | 261,637 | |
| Eversource Energy | 2,933,410 | 245,086 | |
| Public Service Enterprise Group Inc. | 4,329,481 | 237,732 | |
| American Water Works Co. Inc. | 1,551,126 | 224,727 | |
| DTE Energy Co. | 1,649,148 | 189,718 | |
| Consolidated Edison Inc. | 2,363,281 | 183,863 | |
| PPL Corp. | 6,581,313 | 179,078 | |
| Entergy Corp. | 1,713,610 | 168,842 | |
| Ameren Corp. | 2,114,895 | 167,246 | |
| Edison International | 3,237,956 | 164,618 | |
| CMS Energy Corp. | 2,450,426 | 150,481 | |
| FirstEnergy Corp. | 4,645,710 | 133,378 | |
| Alliant Energy Corp. | 2,139,925 | 110,527 | |
| AES Corp. | 5,687,332 | 102,998 | |
| Atmos Energy Corp. | 1,056,816 | 101,021 | |
| Evergy Inc. | 1,939,862 | 98,584 | |
| CenterPoint Energy Inc. | 4,669,280 | 90,351 | |
| NiSource Inc. | 3,279,916 | 72,158 | |
| Pinnacle West Capital Corp. | 963,370 | 71,819 | |
| NRG Energy Inc. | 2,090,003 | 64,247 | |
| 7,045,749 | |||
| Total Common Stocks (Cost $106,334,452) | 238,378,096 | ||
| Temporary Cash Investments (0.4%) | |||
| Money Market Funds (0.3%) | |||
| 2,3 | Vanguard Market Liquidity Fund, 0.117% | 7,324,159 | 732,416 |
| Face Amount ($000) | |||
| U.S. Government and Agency Obligations (0.1%) | |||
| 4 | U.S. Cash Management Bill, 0.122%, 12/15/20 | 52,000 | 51,989 |
| U.S. Treasury Bill, 0.061%, 10/13/20 | 5,000 | 5,000 | |
| 4 | U.S. Treasury Bill, 0.095%, 11/3/20 | 27,540 | 27,538 |
| 84,527 | |||
| Total Temporary Cash Investments (Cost $816,720) | 816,943 | ||
| Total Investments (99.9%) (Cost $107,151,172) | 239,195,039 | ||
| Other Assets and Liabilities—Net (0.1%) | 318,250 | ||
| Net Assets (100%) | 239,513,289 | ||
| 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 $167,171,000. |
| 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 $171,824,000 was received for securities on loan, of which $168,932,000 is held in Vanguard Market Liquidity Fund and $2,892,000 is held in cash. |
| 4 | Securities with a value of $65,866,000 have been segregated as initial margin for open futures contracts. |
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 | December 2020 | 5,411 | 906,884 | 5,544 |
| 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) |
| Clorox Co. | 1/29/21 | GSI | 52,398 | 0.151 | 142 | — |
| Occidental Petroleum Corp. | 1/29/21 | GSI | 21,420 | 0.151 | — | (1,401) |
| Consolidated Edison Inc. | 8/31/21 | BOANA | 38,900 | 0.552 | — | (5) |
| Williams Cos. Inc. | 8/31/21 | BOANA | 17,685 | 0.552 | — | (2) |
| Williams Cos. Inc. | 8/31/21 | BOANA | 11,790 | 0.551 | — | (1) |
| JPMorgan Chase & Co. | 8/31/21 | BOANA | 48,135 | 0.607 | — | (25) |
| 142 | (1,434) | |||||
| 1 | Based on 1-month USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
| BOANA—Bank of America, N.A. | |
| GSI—Goldman Sachs International. |
At September 30, 2020, a counterparties had deposited in segregated accounts cash of $2,020,000 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 materially 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 board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
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 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.
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.
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 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.
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 September 30, 2020, based on the inputs used to value them:
| Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
| Investments | ||||
| Assets | ||||
| Common Stocks | 238,378,096 | — | — | 238,378,096 |
| Temporary Cash Investments | 732,416 | 84,527 | — | 816,943 |
| Total | 239,110,512 | 84,527 | — | 239,195,039 |
| Derivative Financial Instruments | ||||
| Assets | ||||
| Futures Contracts1 | 4,951 | — | — | 4,951 |
| Swap Contracts | — | 142 | — | 142 |
| Total | 4,951 | 142 | — | 5,093 |
| Liabilities | ||||
| Swap Contracts | — | 1,434 | — | 1,434 |
| 1 | Represents variation margin on the last day of the reporting period. |