UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT
OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-07043
| Name of Registrant: | Vanguard Admiral Funds |
| Address of Registrant: | P.O. Box 2600 |
| | Valley Forge, PA 19482 |
| Name and address of agent for service: | Anne E. Robinson, Esquire |
| | P.O. Box 876 |
| | Valley Forge, PA 19482 |
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: August 31
Date of reporting period: September 1, 2019—February 29, 2020
Item 1: Reports to Shareholders
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| Semiannual Report | February 29, 2020 | |
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| Vanguard Money Market Funds |
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Vanguard Prime Money Market Fund Vanguard Federal Money Market Fund Vanguard Treasury Money Market Fund | |
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| See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports. |
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Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
Contents
| About Your Fund’s Expenses | 1 |
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| Prime Money Market Fund | 3 |
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| Federal Money Market Fund | 25 |
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| Treasury Money Market Fund | 41 |
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
● Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
● Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
Six Months Ended February 29, 2020
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| | 8/31/2019 | 2/29/2020 | Period |
| Based on Actual Fund Return | | | |
| Prime Money Market Fund | | | |
| Investor Shares | $1,000.00 | $1,008.98 | $0.80 |
| Admiral™ Shares | 1,000.00 | 1,009.28 | 0.50 |
| Federal Money Market Fund | $1,000.00 | $1,008.46 | $0.55 |
| Treasury Money Market Fund | $1,000.00 | $1,008.49 | $0.45 |
| Based on Hypothetical 5% Yearly Return | | | |
| Prime Money Market Fund | | | |
| Investor Shares | $1,000.00 | $1,024.07 | $0.81 |
| Admiral Shares | 1,000.00 | 1,024.37 | 0.50 |
| Federal Money Market Fund | $1,000.00 | $1,024.32 | $0.55 |
| Treasury Money Market Fund | $1,000.00 | $1,024.42 | $0.45 |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for the period are: for the Prime Money Market Fund, 0.16% for Investor Shares and 0.10% for Admiral Shares; for the Federal Money Market Fund, 0.11%; and for the Treasury Money Market Fund, 0.09%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (182/366).
Prime Money Market Fund
Fund Allocation1
As of February 29, 2020
| Yankee/Foreign | 61.8% |
| U.S. Treasury Bills | 28.1 |
| Other | 1.8 |
| U.S. Government Obligations | 2.5 |
| U.S. Commercial Paper | 2.3 |
| Certificates of Deposit | 3.5 |
| 1 | Percentage of investments. |
Prime Money Market Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2020
The fund publishes its holdings on a monthly basis on Vanguard’s website and files them with the Securities and Exchange Commission (SEC) on Form N-MFP. The fund’s Form N-MFP filings may be viewed via a link on the “Portfolio Holdings” page at www.vanguard.com or on the SEC’s website at www.sec.gov.
| | | | | Face | Market |
| | | | Maturity | Amount | Value• |
| | | Yield1 | Date | ($000) | ($000) |
| U.S. Government and Agency Obligations (30.6%) | | | |
| | Federal Home Loan Bank Discount Notes | 1.601% | 3/3/20 | 5,968 | 5,968 |
| | Federal Home Loan Bank Discount Notes | 1.538% | 3/12/20 | 555,698 | 555,436 |
| | Federal Home Loan Bank Discount Notes | 1.594% | 3/16/20 | 176,000 | 175,887 |
| | Federal Home Loan Bank Discount Notes | 1.557% | 3/27/20 | 244,000 | 243,726 |
| | Federal Home Loan Bank Discount Notes | 1.557% | 3/31/20 | 186,000 | 185,759 |
| | Federal Home Loan Bank Discount Notes | 1.589% | 4/1/20 | 377,000 | 376,490 |
| | Federal Home Loan Bank Discount Notes | 1.624% | 4/3/20 | 385,000 | 384,442 |
| | Federal Home Loan Bank Discount Notes | 1.604% | 4/8/20 | 188,386 | 188,074 |
| | Federal Home Loan Bank Discount Notes | 1.624% | 4/13/20 | 194,550 | 194,183 |
| | Federal Home Loan Bank Discount Notes | 1.553% | 4/15/20 | 231,000 | 230,553 |
| | Federal Home Loan Bank Discount Notes | 1.624% | 4/17/20 | 50,000 | 49,898 |
| | Federal Home Loan Bank Discount Notes | 1.564% | 4/22/20 | 625,000 | 623,592 |
| | United States Treasury Bill | 1.842% | 3/12/20 | 3,000,000 | 2,998,547 |
| | United States Treasury Bill | 1.534% | 3/17/20 | 1,704,400 | 1,703,241 |
| | United States Treasury Bill | 1.888% | 3/19/20 | 4,000,000 | 3,996,260 |
| | United States Treasury Bill | 1.531% | 3/24/20 | 2,000,000 | 1,998,032 |
| | United States Treasury Bill | 1.811% | 4/2/20 | 2,000,000 | 1,996,809 |
| | United States Treasury Bill | 1.679% | 4/9/20 | 3,000,000 | 2,994,946 |
| | United States Treasury Bill | 1.595% | 4/14/20 | 5,000,000 | 4,990,436 |
| | United States Treasury Bill | 1.633% | 4/16/20 | 2,000,800 | 1,996,889 |
| | United States Treasury Bill | 1.574% | 4/21/20 | 4,000,000 | 3,991,103 |
| | United States Treasury Bill | 1.639% | 4/23/20 | 1,427,200 | 1,423,985 |
| | United States Treasury Bill | 1.623% | 4/30/20 | 2,172,630 | 2,166,812 |
| | United States Treasury Bill | 1.547% | 5/7/20 | 2,500,000 | 2,492,851 |
| | United States Treasury Bill | 1.562% | 5/14/20 | 256,200 | 255,384 |
| | United States Treasury Bill | 1.593% | 5/28/20 | 1,222,000 | 1,217,283 |
| | United States Treasury Bill | 1.570% | 6/25/20 | 745,000 | 741,231 |
| | United States Treasury Bill | 1.572% | 7/2/20 | 1,052,000 | 1,046,393 |
| Total U.S. Government and Agency Obligations (Cost $39,224,210) | | 39,224,210 |
| Commercial Paper (34.4%) | | | | |
| Bank Holding Company (1.6%) | | | | |
| 2 | ABN Amro Funding USA LLC | 1.923% | 3/2/20 | 97,000 | 96,995 |
| 2 | ABN Amro Funding USA LLC | 1.912% | 3/3/20 | 57,000 | 56,994 |
| 2 | ABN Amro Funding USA LLC | 1.690% | 6/8/20 | 150,000 | 149,307 |
| | Cooperatieve Rabobank UA | 2.070% | 3/18/20 | 133,000 | 133,000 |
| | Cooperatieve Rabobank UA | 1.740% | 7/27/20 | 50,000 | 50,000 |
| 3 | Cooperatieve Rabobank UA, 1M USD LIBOR + 0.230% | 1.888% | 3/16/20 | 133,000 | 133,000 |
Prime Money Market Fund | | | | | |
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| | | | | Face | | Market |
| | | | Maturity | Amount | | Value• |
| | | Yield1 | Date | ($000) | | ($000) |
| | | | | | |
| 3 | Cooperatieve Rabobank UA, 1M USD LIBOR + 0.230% | 1.888% | 3/17/20 | 133,000 | | 133,000 |
| 3 | Cooperatieve Rabobank UA, 1M USD LIBOR + 0.250% | 1.908% | 4/17/20 | 500,000 | | 500,000 |
| | JP Morgan Securities LLC | 1.875% | 3/2/20 | 323,000 | | 323,000 |
| 2 | JP Morgan Securities LLC | 1.766% | 7/21/20 | 81,000 | | 80,441 |
| 3 | JP Morgan Securities LLC, 1M USD LIBOR + 0.220% | 1.891% | 3/9/20 | 323,000 | | 323,000 |
| 3 | JP Morgan Securities LLC, 1M USD LIBOR + 0.220% | 1.878% | 5/12/20 | 65,000 | | 65,000 |
| | | | | | | 2,043,737 |
| Finance—Auto (0.5%) | | | | | |
| | American Honda Finance Corp. | 1.657% | 5/11/20 | 76,000 | | 75,753 |
| | American Honda Finance Corp. | 1.657% | 5/18/20 | 33,000 | | 32,882 |
| 3 | Toyota Motor Credit Corp., 1M USD LIBOR + 0.080% | 1.738% | 9/9/20 | 131,000 | | 131,000 |
| 3 | Toyota Motor Credit Corp., 1M USD LIBOR + 0.080% | 1.727% | 9/10/20 | 131,000 | | 131,000 |
| 3 | Toyota Motor Credit Corp., 1M USD LIBOR + 0.080% | 1.709% | 9/24/20 | 167,000 | | 167,000 |
| 3 | Toyota Motor Credit Corp., 1M USD LIBOR + 0.110% | 1.772% | 9/4/20 | 99,000 | | 99,000 |
| | | | | | | 636,635 |
| Foreign Banks (25.2%) | | | | | |
| 2 | Australia & New Zealand Banking Group Ltd. | 1.882% | 3/4/20 | 130,000 | | 129,980 |
| 2 | Australia & New Zealand Banking Group Ltd. | 1.939% | 4/20/20 | 55,050 | | 54,903 |
| 2,3 | Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.180% | 1.845% | 3/11/20 | 235,000 | | 235,000 |
| 2,3 | Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.180% | 1.838% | 3/12/20 | 331,000 | | 331,000 |
| 2,3 | Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.180% | 1.827% | 5/20/20 | 250,000 | | 249,997 |
| 2,3 | Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.180% | 1.848% | 6/5/20 | 269,000 | | 269,000 |
| 2,3 | Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.190% | 1.855% | 6/11/20 | 335,000 | | 335,000 |
| 2,3 | Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.210% | 1.857% | 8/20/20 | 169,000 | | 169,000 |
| 2,3 | Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.240% | 1.869% | 8/21/20 | 470,000 | | 470,000 |
| 2,3 | Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.270% | 1.923% | 7/13/20 | 401,000 | | 401,000 |
| 2,3 | Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.270% | 1.928% | 7/15/20 | 215,500 | | 215,502 |
| 2 | Bank of Nova Scotia | 1.921% | 5/21/20 | 341,000 | | 339,542 |
| 2 | Bank of Nova Scotia | 1.758% | 8/17/20 | 39,000 | | 38,681 |
| 2,3 | Bank of Nova Scotia, 1M USD LIBOR + 0.160% | 1.831% | 3/9/20 | 255,000 | | 255,000 |
| 2,3 | Bank of Nova Scotia, 1M USD LIBOR + 0.170% | 1.783% | 3/27/20 | 155,000 | | 155,000 |
| 2,3 | Bank of Nova Scotia, 1M USD LIBOR + 0.220% | 1.878% | 6/15/20 | 452,500 | | 452,500 |
| 2,3 | Bank of Nova Scotia, 1M USD LIBOR + 0.220% | 1.849% | 6/22/20 | 400,000 | | 400,000 |
| Prime Money Market Fund | | | | |
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| | | | | Face | Market |
| | | | Maturity | Amount | Value• |
| | | Yield1 | Date | ($000) | ($000) |
| 2,3 | Bank of Nova Scotia, 1M USD LIBOR + 0.220% | 1.867% | 7/20/20 | 458,000 | 458,000 |
| | Barclays Bank UK plc | 1.611% | 3/4/20 | 380,000 | 379,949 |
| | Barclays Bank UK plc | 1.581% | 3/5/20 | 300,000 | 299,947 |
| | Barclays Bank UK plc | 1.601% | 3/12/20 | 145,000 | 144,929 |
| | BNP Paribas SA (New York Branch) | 1.581% | 3/5/20 | 1,000,000 | 999,824 |
| 4 | Caisse d’Amortissement de la Dette Sociale | 1.612% | 5/26/20 | 151,000 | 150,421 |
| 2,4 | Caisse d’Amortissement de la Dette Sociale | 1.634% | 6/17/20 | 167,000 | 166,186 |
| 2,4 | Caisse d’Amortissement de la Dette Sociale | 1.634% | 6/18/20 | 259,000 | 257,722 |
| 2,4 | Caisse d’Amortissement de la Dette Sociale | 1.634% | 6/19/20 | 167,000 | 166,171 |
| 2,3 | Canadian Imperial Bank of Commerce, 1M USD LIBOR + 0.080% | 1.751% | 8/11/20 | 580,000 | 580,000 |
| 2,3 | Canadian Imperial Bank of Commerce, 1M USD LIBOR + 0.170% | 1.838% | 3/5/20 | 340,000 | 340,000 |
| 2,3 | Canadian Imperial Bank of Commerce, 1M USD LIBOR + 0.190% | 1.856% | 7/6/20 | 355,000 | 355,000 |
| 2,3 | Canadian Imperial Bank of Commerce, 1M USD LIBOR + 0.210% | 1.868% | 3/12/20 | 370,000 | 370,000 |
| 2,3 | Canadian Imperial Bank of Commerce, 1M USD LIBOR + 0.210% | 1.837% | 6/25/20 | 370,000 | 370,000 |
| 2,3 | Canadian Imperial Bank of Commerce, 1M USD LIBOR + 0.220% | 1.878% | 6/18/20 | 156,000 | 156,000 |
| 2,3 | Canadian Imperial Bank of Commerce, 1M USD LIBOR + 0.250% | 1.908% | 5/18/20 | 404,000 | 404,000 |
| 2 | Commonwealth Bank of Australia | 2.071% | 3/20/20 | 130,000 | 129,859 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.160% | 1.822% | 6/4/20 | 127,000 | 126,997 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.160% | 1.828% | 6/5/20 | 148,000 | 147,999 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.160% | 1.813% | 7/13/20 | 115,000 | 115,000 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.180% | 1.845% | 3/11/20 | 186,000 | 186,000 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.180% | 1.833% | 3/13/20 | 157,000 | 157,000 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.180% | 1.838% | 3/16/20 | 105,000 | 105,000 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.180% | 1.809% | 4/24/20 | 91,000 | 90,999 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.190% | 1.860% | 7/7/20 | 99,000 | 99,000 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.210% | 1.880% | 1/7/21 | 107,000 | 107,000 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.220% | 1.823% | 8/28/20 | 304,000 | 304,000 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.220% | 1.875% | 9/3/20 | 119,000 | 119,000 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.230% | 1.892% | 9/4/20 | 304,000 | 304,000 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.230% | 1.901% | 9/8/20 | 166,000 | 165,991 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.230% | 1.901% | 9/9/20 | 56,500 | 56,501 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.240% | 1.890% | 9/14/20 | 200,000 | 200,000 |
| Prime Money Market Fund | | | | |
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| | | | | Face | Market |
| | | | Maturity | Amount | Value• |
| | | Yield1 | Date | ($000) | ($000) |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.240% | 1.895% | 12/2/20 | 200,000 | 200,000 |
| 2,3 | Commonwealth Bank of Australia, 1M USD LIBOR + 0.250% | 1.908% | 11/12/20 | 78,000 | 78,000 |
| 2 | DBS Bank Ltd. | 2.016% | 3/13/20 | 264,000 | 263,825 |
| 2 | DBS Bank Ltd. | 2.031% | 3/16/20 | 134,000 | 133,888 |
| 2 | DBS Bank Ltd. | 2.082% | 3/18/20 | 297,000 | 296,711 |
| 2 | DBS Bank Ltd. | 1.982% | 4/9/20 | 100,000 | 99,787 |
| 2 | DBS Bank Ltd. | 1.867% | 4/24/20 | 99,000 | 98,725 |
| 2 | DBS Bank Ltd. | 1.878% | 5/1/20 | 64,000 | 63,798 |
| 2 | DBS Bank Ltd. | 1.858% | 5/4/20 | 99,000 | 98,676 |
| 2 | DBS Bank Ltd. | 1.878% | 5/5/20 | 187,000 | 186,372 |
| 2 | DBS Bank Ltd. | 1.867% | 5/8/20 | 164,060 | 163,485 |
| 2 | DBS Bank Ltd. | 1.878% | 5/11/20 | 65,000 | 64,762 |
| 2 | DBS Bank Ltd. | 1.878% | 5/15/20 | 100,000 | 99,612 |
| 2 | DBS Bank Ltd. | 1.857% | 5/20/20 | 99,000 | 98,595 |
| 2 | DBS Bank Ltd. | 1.857% | 5/22/20 | 78,000 | 77,673 |
| 2 | DBS Bank Ltd. | 1.867% | 6/4/20 | 72,000 | 71,649 |
| 2 | DBS Bank Ltd. | 1.669% | 6/8/20 | 65,700 | 65,400 |
| 2 | DBS Bank Ltd. | 1.766% | 7/17/20 | 66,000 | 65,557 |
| 2 | DBS Bank Ltd. | 1.745% | 7/24/20 | 33,000 | 32,770 |
| 2 | DBS Bank Ltd. | 1.684% | 8/5/20 | 67,000 | 66,512 |
| 2 | DBS Bank Ltd. | 1.664% | 8/10/20 | 67,000 | 66,503 |
| 2 | DNB Bank ASA | 2.082% | 3/20/20 | 275,000 | 274,701 |
| | European Investment Bank | 1.581% | 3/5/20 | 292,000 | 291,949 |
| | European Investment Bank | 1.581% | 3/6/20 | 167,000 | 166,963 |
| | ING US Funding LLC | 1.852% | 3/3/20 | 186,725 | 186,706 |
| | ING US Funding LLC | 1.852% | 3/4/20 | 500,000 | 499,923 |
| 2 | KFW | 1.684% | 8/5/20 | 97,500 | 96,790 |
| 2 | KFW | 1.638% | 8/12/20 | 131,000 | 130,030 |
| 2 | KFW | 1.639% | 8/19/20 | 192,000 | 190,518 |
| 2,3 | National Australia Bank Ltd., 1M USD LIBOR + 0.100% | 1.766% | 11/6/20 | 335,000 | 335,000 |
| 2,3 | National Australia Bank Ltd., 1M USD LIBOR + 0.110% | 1.757% | 3/20/20 | 250,000 | 250,000 |
| 2,3 | National Australia Bank Ltd., 1M USD LIBOR + 0.150% | 1.797% | 4/16/20 | 327,000 | 327,000 |
| 2,3 | National Australia Bank Ltd., 1M USD LIBOR + 0.180% | 1.833% | 3/13/20 | 550,000 | 550,000 |
| 2,3 | National Australia Bank Ltd., 1M USD LIBOR + 0.200% | 1.855% | 5/1/20 | 500,000 | 500,000 |
| 2,3 | National Australia Bank Ltd., 1M USD LIBOR + 0.240% | 1.898% | 8/12/20 | 350,000 | 350,000 |
| 2,3 | National Australia Bank Ltd., 1M USD LIBOR + 0.260% | 1.907% | 6/19/20 | 199,000 | 199,000 |
| 2,3 | National Australia Bank Ltd., 1M USD LIBOR + 0.270% | 1.925% | 7/2/20 | 418,000 | 418,000 |
| 2 | Nederlandse Waterschapsbank NV | 1.831% | 3/11/20 | 326,000 | 325,835 |
| 2 | Nederlandse Waterschapsbank NV | 1.637% | 5/26/20 | 274,000 | 272,934 |
| 2 | Nederlandse Waterschapsbank NV | 1.647% | 5/27/20 | 167,000 | 166,338 |
| 2,4 | Nederlandse Waterschapsbank NV | 1.648% | 6/1/20 | 469,000 | 467,034 |
| 2 | Nordea Bank ABP | 1.852% | 5/1/20 | 245,000 | 244,238 |
| 2 | Nordea Bank ABP | 1.763% | 7/8/20 | 208,000 | 206,698 |
| 2 | Nordea Bank ABP | 1.766% | 7/9/20 | 430,000 | 427,283 |
| 2 | NRW Bank | 1.836% | 3/16/20 | 45,400 | 45,365 |
| Prime Money Market Fund | | | | |
| | | | | | |
| | | | | Face | Market |
| | | | Maturity | Amount | Value• |
| | | Yield1 | Date | ($000) | ($000) |
| 2 | NRW Bank | 1.836% | 3/17/20 | 132,000 | 131,893 |
| 2 | NRW Bank | 1.836% | 3/18/20 | 134,000 | 133,885 |
| 2 | NRW Bank | 1.836% | 3/19/20 | 134,000 | 133,878 |
| 2 | NRW Bank | 1.836% | 3/20/20 | 347,000 | 346,666 |
| 2 | NRW Bank | 1.836% | 3/23/20 | 248,000 | 247,723 |
| 2 | NRW Bank | 1.837% | 3/24/20 | 248,000 | 247,711 |
| 2 | NRW Bank | 1.654% | 6/12/20 | 469,000 | 466,793 |
| 2 | NRW Bank | 1.634% | 6/17/20 | 330,000 | 328,391 |
| | Oesterreichische Kontrollbank AG | 1.625% | 5/18/20 | 127,000 | 126,553 |
| 2,3 | Royal Bank of Canada, 1M USD LIBOR + 0.180% | 1.838% | 3/12/20 | 165,000 | 165,000 |
| 2,3 | Royal Bank of Canada, 1M USD LIBOR + 0.180% | 1.830% | 4/14/20 | 290,000 | 290,000 |
| 2,3 | Royal Bank of Canada, 1M USD LIBOR + 0.180% | 1.838% | 6/17/20 | 560,000 | 560,000 |
| 2,3 | Royal Bank of Canada, 1M USD LIBOR + 0.190% | 1.848% | 3/16/20 | 250,000 | 250,000 |
| 2,3 | Royal Bank of Canada, 1M USD LIBOR + 0.210% | 1.876% | 5/6/20 | 594,000 | 594,000 |
| 2,3 | Royal Bank of Canada, 1M USD LIBOR + 0.240% | 1.843% | 7/31/20 | 450,000 | 450,000 |
| 2,3 | Royal Bank of Canada, 1M USD LIBOR + 0.240% | 1.856% | 8/26/20 | 183,000 | 183,000 |
| 2,3 | Royal Bank of Canada, 1M USD LIBOR + 0.250% | 1.908% | 11/18/20 | 252,000 | 252,000 |
| 2,3 | Royal Bank of Canada, 1M USD LIBOR + 0.250% | 1.897% | 11/19/20 | 133,000 | 133,000 |
| 2,3 | Royal Bank of Canada, 1M USD LIBOR + 0.310% | 1.965% | 10/1/20 | 300,000 | 300,000 |
| 2 | Skandinaviska Enskilda Banken AB | 1.931% | 3/23/20 | 400,000 | 399,532 |
| 2 | Skandinaviska Enskilda Banken AB | 1.929% | 4/21/20 | 550,000 | 548,512 |
| 2 | Skandinaviska Enskilda Banken AB | 1.913% | 4/23/20 | 200,000 | 199,442 |
| 2 | Svenska Handelsbanken AB | 1.851% | 3/5/20 | 122,762 | 122,737 |
| 2 | Svenska Handelsbanken AB | 1.844% | 4/8/20 | 580,000 | 578,880 |
| 2 | Svenska Handelsbanken AB | 1.735% | 7/20/20 | 120,000 | 119,192 |
| | Swedbank AB | 1.571% | 3/5/20 | 500,000 | 499,913 |
| 2 | Toronto-Dominion Bank | 1.879% | 3/3/20 | 200,000 | 199,979 |
| 2,3 | Toronto-Dominion Bank, 1M USD LIBOR + 0.180% | 1.838% | 6/16/20 | 35,000 | 35,000 |
| 2,3 | Toronto-Dominion Bank, 1M USD LIBOR + 0.180% | 1.809% | 6/23/20 | 200,000 | 200,000 |
| 2,3 | Toronto-Dominion Bank, 1M USD LIBOR + 0.250% | 1.915% | 12/11/20 | 300,000 | 300,000 |
| 2,3 | Toronto-Dominion Bank, 1M USD LIBOR + 0.250% | 1.915% | 12/11/20 | 150,000 | 150,000 |
| 2,3 | Toronto-Dominion Bank, 1M USD LIBOR + 0.260% | 1.915% | 9/3/20 | 45,000 | 45,000 |
| 2,3 | Toronto-Dominion Bank, 1M USD LIBOR + 0.270% | 1.923% | 11/13/20 | 250,000 | 250,000 |
| 2,3 | Toronto-Dominion Bank, 1M USD LIBOR + 0.300% | 1.929% | 9/23/20 | 100,000 | 100,000 |
| 2,3 | Toronto-Dominion Bank, 1M USD LIBOR + 0.320% | 1.991% | 10/9/20 | 500,000 | 500,000 |
| 2,3 | Toronto-Dominion Bank, 1M USD LIBOR + 0.330% | 1.985% | 10/2/20 | 50,000 | 50,000 |
| Prime Money Market Fund | | | | | |
| | | | | | | |
| | | | | Face | | Market |
| | | | Maturity | Amount | | Value• |
| | | Yield1 | Date | ($000) | | ($000) |
| 2,3 | Westpac Banking Corp., 1M USD LIBOR + 0.150% | 1.753% | 5/29/20 | 150,000 | | 149,995 |
| 2,3 | Westpac Banking Corp., 1M USD LIBOR + 0.160% | 1.828% | 6/5/20 | 100,000 | | 99,999 |
| 2,3 | Westpac Banking Corp., 1M USD LIBOR + 0.160% | 1.828% | 6/5/20 | 111,000 | | 110,997 |
| 2,3 | Westpac Banking Corp., 1M USD LIBOR + 0.230% | 1.892% | 9/4/20 | 168,000 | | 168,000 |
| 2,3 | Westpac Banking Corp., 1M USD LIBOR + 0.230% | 1.892% | 9/4/20 | 268,000 | | 268,000 |
| | | | | | | 32,263,876 |
| Foreign Governments (4.6%) | | | | | |
| 2 | Alberta (Province Of) | 1.948% | 3/31/20 | 148,500 | | 148,261 |
| 2 | Alberta (Province Of) | 1.906% | 5/26/20 | 50,000 | | 49,774 |
| 2 | Alberta (Province Of) | 1.817% | 6/9/20 | 225,000 | | 223,875 |
| 2 | Alberta (Province Of) | 1.867% | 6/11/20 | 108,000 | | 107,434 |
| 2 | Alberta (Province Of) | 1.868% | 6/17/20 | 99,000 | | 98,450 |
| 2 | Alberta (Province Of) | 1.735% | 7/6/20 | 95,000 | | 94,424 |
| 2 | Alberta (Province Of) | 1.735% | 7/17/20 | 67,500 | | 67,055 |
| 2 | Alberta (Province Of) | 1.725% | 7/21/20 | 65,000 | | 64,562 |
| 2 | Alberta (Province Of) | 1.715% | 7/23/20 | 111,000 | | 110,256 |
| 2 | Alberta (Province Of) | 1.684% | 8/6/20 | 67,000 | | 66,509 |
| 2 | BNG Bank NV | 1.581% | 3/5/20 | 610,000 | | 609,893 |
| 4 | CDP Financial Inc. | 1.884% | 3/25/20 | 65,000 | | 64,919 |
| 2,4 | CDP Financial Inc. | 0.421% | 4/1/20 | 172,500 | | 172,215 |
| 4 | CDP Financial Inc. | 1.929% | 4/6/20 | 99,000 | | 98,811 |
| 4 | CDP Financial Inc. | 1.938% | 4/8/20 | 100,000 | | 99,797 |
| 4 | CDP Financial Inc. | 1.919% | 4/16/20 | 175,000 | | 174,575 |
| 4 | CDP Financial Inc. | 1.878% | 4/27/20 | 32,500 | | 32,404 |
| 2 | CDP Financial Inc. | 0.591% | 4/28/20 | 32,500 | | 32,403 |
| 4 | CDP Financial Inc. | 1.837% | 5/4/20 | 45,000 | | 44,854 |
| 4 | CDP Financial Inc. | 1.846% | 5/13/20 | 40,000 | | 39,852 |
| 4 | CDP Financial Inc. | 1.837% | 6/3/20 | 50,000 | | 49,762 |
| 2,4 | CDP Financial Inc. | 0.601% | 6/10/20 | 50,000 | | 49,745 |
| 4 | CDP Financial Inc. | 1.775% | 6/30/20 | 50,000 | | 49,704 |
| 4 | CDP Financial Inc. | 1.805% | 7/8/20 | 50,000 | | 49,685 |
| 4 | CDP Financial Inc. | 1.736% | 7/21/20 | 84,000 | | 83,430 |
| 4 | CDP Financial Inc. | 1.653% | 8/4/20 | 134,000 | | 133,048 |
| 4 | CPPIB Capital Inc. | 1.654% | 8/12/20 | 134,000 | | 132,999 |
| 2,4 | CPPIB Capital Inc. | 1.644% | 8/17/20 | 167,000 | | 165,724 |
| | Export Development Canada | 1.907% | 4/9/20 | 60,300 | | 60,176 |
| | Export Development Canada | 1.924% | 4/17/20 | 128,000 | | 127,682 |
| | Export Development Canada | 1.898% | 4/22/20 | 45,250 | | 45,127 |
| | Export Development Canada | 1.816% | 5/18/20 | 198,000 | | 197,228 |
| | Export Development Canada | 1.654% | 6/3/20 | 67,000 | | 66,712 |
| | Export Development Canada | 1.639% | 6/18/20 | 96,000 | | 95,526 |
| 2 | Hydro-Quebec | 1.674% | 8/4/20 | 335,000 | | 332,590 |
| 2 | Kingdom of Netherlands | 1.640% | 3/2/20 | 140,000 | | 139,994 |
| 4 | Omers Finance Trust | 1.808% | 4/2/20 | 40,000 | | 39,936 |
| | Omers Finance Trust | 1.717% | 4/20/20 | 32,500 | | 32,423 |
| 4 | Ontario Teachers’ Finance Trust | 1.875% | 4/3/20 | 30,000 | | 29,949 |
| 4 | Ontario Teachers’ Finance Trust | 1.876% | 4/13/20 | 19,000 | | 18,958 |
| 4 | Ontario Teachers’ Finance Trust | 1.878% | 5/5/20 | 22,750 | | 22,674 |
| 4 | Ontario Teachers’ Finance Trust | 1.870% | 5/29/20 | 32,000 | | 31,854 |
| Prime Money Market Fund | | | | | |
| | | | | | | |
| | | | | Face | | Market |
| | | | Maturity | Amount | | Value• |
| | | Yield1 | Date | ($000) | | ($000) |
| 4 | Ontario Teachers’ Finance Trust | 1.860% | 6/1/20 | 32,500 | | 32,347 |
| 4 | Ontario Teachers’ Finance Trust | 1.858% | 6/15/20 | 50,000 | | 49,729 |
| 4 | Ontario Teachers’ Finance Trust | 1.808% | 7/20/20 | 60,000 | | 59,579 |
| 4 | Ontario Teachers’ Finance Trust | 1.746% | 7/23/20 | 33,500 | | 33,268 |
| 4 | Ontario Teachers’ Finance Trust | 1.644% | 8/27/20 | 67,000 | | 66,457 |
| 4 | Ontario Teachers’ Finance Trust | 1.644% | 8/28/20 | 25,000 | | 24,796 |
| 3,4 | Ontario Teachers’ Finance Trust, 1M USD LIBOR + 0.120% | 1.786% | 3/6/20 | 82,000 | | 82,000 |
| 3,4 | Ontario Teachers’ Finance Trust, 1M USD LIBOR + 0.200% | 1.813% | 8/24/20 | 95,000 | | 95,000 |
| 2,3,4 | Ontario Teachers’ Finance Trust, 1M USD LIBOR + 0.270% | 1.928% | 8/17/20 | 99,000 | | 99,000 |
| | Province of British Columbia | 0.601% | 3/16/20 | 45,800 | | 45,765 |
| | Province of British Columbia | 1.830% | 3/25/20 | 54,400 | | 54,334 |
| | Province of British Columbia | 1.830% | 3/26/20 | 56,475 | | 56,404 |
| | Province of British Columbia | 1.830% | 3/27/20 | 55,000 | | 54,928 |
| | Province of British Columbia | 1.831% | 4/8/20 | 45,465 | | 45,378 |
| | Province of British Columbia | 1.842% | 4/14/20 | 26,700 | | 26,640 |
| | Province of British Columbia | 1.835% | 5/26/20 | 45,300 | | 45,103 |
| | Province of British Columbia | 1.735% | 7/9/20 | 39,000 | | 38,758 |
| | Province of British Columbia | 1.735% | 7/10/20 | 50,000 | | 49,687 |
| 4 | PSP Capital Inc. | 0.551% | 3/11/20 | 99,000 | | 98,945 |
| 4 | PSP Capital Inc. | 2.071% | 3/12/20 | 124,000 | | 123,922 |
| 4 | PSP Capital Inc. | 2.020% | 3/13/20 | 53,000 | | 52,965 |
| 4 | PSP Capital Inc. | 2.061% | 3/17/20 | 36,000 | | 35,967 |
| 4 | PSP Capital Inc. | 2.051% | 3/19/20 | 99,000 | | 98,899 |
| 4 | PSP Capital Inc. | 1.867% | 4/27/20 | 49,500 | | 49,355 |
| 4 | PSP Capital Inc. | 1.649% | 6/10/20 | 67,000 | | 66,692 |
| 4 | PSP Capital Inc. | 1.649% | 6/11/20 | 50,000 | | 49,768 |
| 4 | PSP Capital Inc. | 1.735% | 7/15/20 | 27,000 | | 26,825 |
| | | | | | | 5,917,760 |
| Foreign Industrial (1.3%) | | | | | |
| 2 | BASF SE | 1.717% | 4/14/20 | 67,000 | | 66,860 |
| 2 | Nestle Capital Corp. | 2.052% | 3/24/20 | 99,127 | | 98,998 |
| 2 | Total Capital Canada Ltd. | 1.949% | 4/8/20 | 209,060 | | 208,634 |
| 2 | Total Capital Canada Ltd. | 0.581% | 4/14/20 | 311,000 | | 310,266 |
| 2 | Total Capital Canada Ltd. | 1.636% | 5/4/20 | 42,500 | | 42,377 |
| 2 | Total Capital Canada Ltd. | 1.684% | 8/3/20 | 95,120 | | 94,438 |
| 2 | Total Capital Canada Ltd. | 1.633% | 8/18/20 | 148,000 | | 146,868 |
| 2 | Total Capital SA | 1.581% | 3/4/20 | 328,000 | | 327,957 |
| 2 | Total Capital SA | 1.581% | 3/12/20 | 290,000 | | 289,860 |
| 3 | Toyota Credit Canada Inc., 1M USD LIBOR + 0.230% | 1.892% | 6/4/20 | 49,500 | | 49,500 |
| 3 | Toyota Credit Canada Inc., 1M USD LIBOR + 0.250% | 1.921% | 7/9/20 | 65,000 | | 65,000 |
| | | | | | | 1,700,758 |
| Industrial (1.2%) | | | | | |
| | Exxon Mobil Corp. | 0.380% | 6/22/20 | 500,000 | | 497,457 |
| | Exxon Mobil Corp. | 1.635% | 6/25/20 | 297,000 | | 295,445 |
| | Exxon Mobil Corp. | 0.360% | 6/30/20 | 100,000 | | 99,455 |
| 2 | LVMH Moet Hennessy Louis Vuitton Inc. | 1.639% | 6/16/20 | 84,400 | | 83,991 |
| 2 | LVMH Moet Hennessy Louis Vuitton Inc. | 1.639% | 6/22/20 | 60,000 | | 59,693 |
| 2 | Novartis Finance Corp. | 1.639% | 6/22/20 | 50,500 | | 50,242 |
| 2 | Novartis Finance Corp. | 1.640% | 6/29/20 | 33,500 | | 33,318 |
| Prime Money Market Fund | | | | | |
| | | | | | | |
| | | | | Face | | Market |
| | | | Maturity | Amount | | Value• |
| | | Yield1 | Date | ($000) | ($000) |
| 2 | Pfizer Inc. | 1.636% | 5/5/20 | 202,000 | 201,405 |
| 2 | Pfizer Inc. | 0.491% | 5/11/20 | 210,000 | 209,326 |
| | | | | | | 1,530,332 |
| Total Commercial Paper (Cost $44,093,098) | | | | 44,093,098 |
| Certificates of Deposit (33.7%) | | | | | |
| Domestic Banks (4.1%) | | | | | |
| | Citibank NA | 1.830% | 5/4/20 | 385,000 | 385,000 |
| | Citibank NA | 1.810% | 6/1/20 | 300,000 | 300,000 |
| | Citibank NA | 1.840% | 6/5/20 | 114,500 | 114,500 |
| | Citibank NA | 1.820% | 7/2/20 | 495,000 | 495,000 |
| | State Street Bank & Trust Co. | 1.900% | 4/15/20 | 767,000 | 767,000 |
| 3 | State Street Bank & Trust Co., 1M USD LIBOR + 0.220% | 1.891% | 8/10/20 | 697,000 | 697,000 |
| 3 | US Bank NA, 1M USD LIBOR + 0.130% | 1.780% | 7/14/20 | 903,000 | 903,000 |
| 3 | Wells Fargo Bank NA, 1M USD LIBOR + 0.150% | 1.803% | 8/13/20 | 267,000 | 267,000 |
| 3 | Wells Fargo Bank NA, 1M USD LIBOR + 0.190% | 1.837% | 3/19/20 | 650,000 | 650,000 |
| 3 | Wells Fargo Bank NA, 1M USD LIBOR + 0.210% | 1.860% | 4/14/20 | 315,000 | 315,000 |
| 3 | Wells Fargo Bank NA, 1M USD LIBOR + 0.230% | 1.885% | 5/1/20 | 154,000 | 154,000 |
| 3 | Wells Fargo Bank NA, 1M USD LIBOR + 0.240% | 1.898% | 5/18/20 | 201,000 | 201,000 |
| | | | | | | 5,248,500 |
| Eurodollar Certificates of Deposit (3.6%) | | | | | |
| | ABN AMRO Bank NV | 1.890% | 3/16/20 | 600,000 | 600,000 |
| | ABN AMRO Bank NV | 1.870% | 5/7/20 | 500,000 | 500,000 |
| | ABN AMRO Bank NV | 1.880% | 5/7/20 | 230,000 | 230,000 |
| | ABN AMRO Bank NV | 1.700% | 6/5/20 | 208,000 | 208,000 |
| | ABN AMRO Bank NV | 1.695% | 6/8/20 | 347,000 | 347,000 |
| | ABN AMRO Bank NV | 1.695% | 6/10/20 | 150,000 | 150,000 |
| | ABN AMRO Bank NV | 1.680% | 6/15/20 | 215,000 | 215,000 |
| | ING Bank NV | 1.760% | 5/26/20 | 350,000 | 350,000 |
| | ING Bank NV | 1.690% | 6/8/20 | 1,250,000 | 1,250,000 |
| | ING Bank NV | 1.665% | 6/15/20 | 272,000 | 272,000 |
| | MUFG Bank Ltd. (London Branch) | 1.810% | 4/15/20 | 134,000 | 134,000 |
| | MUFG Bank Ltd. (London Branch) | 1.860% | 5/7/20 | 280,000 | 280,000 |
| | MUFG Bank Ltd. (London Branch) | 1.690% | 6/10/20 | 67,000 | 67,000 |
| | | | | | | 4,603,000 |
| Yankee Certificates of Deposit (26.0%) | | | | | |
| 3 | Australia & New Zealand Banking Group, Ltd. | | | | | |
| | (New York Branch), | | | | | |
| | 1M USD LIBOR + 0.180% | 1.835% | 6/1/20 | 67,000 | 67,000 |
| | Bank of Montreal (Chicago Branch) | 1.670% | 5/18/20 | 168,000 | 168,000 |
| | Bank of Montreal (Chicago Branch) | 1.750% | 7/24/20 | 100,000 | 100,000 |
| | Bank of Montreal (Chicago Branch) | 1.825% | 3/2/20 | 250,000 | 250,000 |
| | Bank of Montreal (Chicago Branch) | 1.880% | 3/2/20 | 150,000 | 150,000 |
| 3 | Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.190% | 1.845% | 4/3/20 | 507,000 | 507,000 |
| 3 | Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.210% | 1.837% | 6/25/20 | 145,000 | 145,000 |
| Prime Money Market Fund | | | | |
| | | | | | |
| | | | | Face | Market |
| | | | Maturity | Amount | Value• |
| | | Yield1 | Date | ($000) | ($000) |
| 3 | Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.210% | 1.857% | 7/20/20 | 365,000 | 365,000 |
| 3 | Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.220% | 1.875% | 4/2/20 | 383,000 | 383,000 |
| 3 | Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.230% | 1.859% | 4/22/20 | 69,000 | 69,000 |
| 3 | Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.240% | 1.895% | 5/1/20 | 391,000 | 391,000 |
| 3 | Bank of Nova Scotia (Houston Branch), 1M USD LIBOR + 0.170% | 1.828% | 3/16/20 | 103,000 | 103,000 |
| 3 | Bank of Nova Scotia (Houston Branch), 1M USD LIBOR + 0.220% | 1.891% | 6/8/20 | 35,000 | 35,000 |
| 3 | Bank of Nova Scotia (Houston Branch), 1M USD LIBOR + 0.220% | 1.886% | 7/6/20 | 397,000 | 397,000 |
| | Bank of Nova Scotia (Houston Branch), 1M USD LIBOR + 0.230% | 1.877% | 4/20/20 | 213,000 | 213,000 |
| | Bayerische Landesbank (New York Branch) | 1.600% | 3/2/20 | 235,000 | 235,000 |
| | Bayerische Landesbank (New York Branch) | 1.600% | 3/3/20 | 508,000 | 508,000 |
| | Bayerische Landesbank (New York Branch) | 1.600% | 3/4/20 | 584,000 | 584,000 |
| | Bayerische Landesbank (New York Branch) | 1.600% | 3/4/20 | 249,000 | 249,000 |
| | Bayerische Landesbank (New York Branch) | 1.600% | 3/6/20 | 323,000 | 323,000 |
| | Bayerische Landesbank (New York Branch) | 1.600% | 3/9/20 | 243,000 | 243,000 |
| | Canadian Imperial Bank of Commerce (New York Branch) | 1.870% | 5/7/20 | 77,000 | 77,000 |
| 3 | Canadian Imperial Bank of Commerce (New York Branch), 1M USD LIBOR + 0.200% | 1.866% | 5/6/20 | 273,000 | 273,000 |
| 3 | Canadian Imperial Bank of Commerce (New York Branch), 1M USD LIBOR + 0.230% | 1.843% | 4/27/20 | 255,000 | 255,000 |
| 3 | Commonwealth Bank of Australia (New York Branch), 1M USD LIBOR + 0.160% | 1.815% | 7/2/20 | 174,000 | 174,000 |
| 3 | Commonwealth Bank of Australia (New York Branch), 1M USD LIBOR + 0.170% | 1.799% | 4/23/20 | 162,000 | 162,000 |
| 3 | Commonwealth Bank of Australia (New York Branch), 1M USD LIBOR + 0.180% | 1.848% | 6/5/20 | 170,000 | 170,000 |
| 3 | Commonwealth Bank of Australia (New York Branch), 1M USD LIBOR + 0.190% | 1.848% | 1/12/21 | 250,000 | 250,000 |
| 3 | Commonwealth Bank of Australia (New York Branch), 1M USD LIBOR + 0.200% | 1.858% | 3/18/20 | 100,000 | 100,000 |
| 3 | Cooperatieve Rabobank UA (New York Branch) | 2.050% | 3/17/20 | 33,000 | 33,000 |
| 3 | Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.170% | 1.836% | 3/6/20 | 198,000 | 198,000 |
| 3 | Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.170% | 1.841% | 3/9/20 | 165,000 | 165,000 |
| 3 | Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.170% | 1.783% | 3/27/20 | 198,000 | 198,000 |
| Prime Money Market Fund | | | | |
| | | | | | |
| | | | | Face | Market |
| | | | Maturity | Amount | Value• |
| | | Yield1 | Date | ($000) | ($000) |
| 3 | Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.170% | 1.825% | 4/1/20 | 169,000 | 169,000 |
| 3 | Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.200% | 1.865% | 5/11/20 | 99,000 | 99,000 |
| 3 | Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.200% | 1.803% | 6/30/20 | 144,000 | 144,000 |
| 3 | Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.250% | 1.912% | 5/4/20 | 300,000 | 300,000 |
| | Credit Agricole Corporate & Investment Bank | 1.590% | 3/3/20 | 999,000 | 999,000 |
| | Credit Agricole Corporate & Investment Bank | 1.590% | 3/6/20 | 1,414,000 | 1,414,000 |
| | Credit Suisse AG (New York Branch) | 2.000% | 3/24/20 | 400,000 | 400,000 |
| | Credit Suisse AG (New York Branch) | 2.000% | 3/27/20 | 900,000 | 900,000 |
| | DNB Bank ASA (New York Branch) | 1.585% | 3/2/20 | 1,330,000 | 1,330,000 |
| | DNB Bank ASA (New York Branch) | 1.585% | 3/4/20 | 1,384,000 | 1,384,000 |
| | DNB Bank ASA (New York Branch) | 1.850% | 5/1/20 | 400,000 | 400,000 |
| | DNB Bank ASA (New York Branch) | 1.740% | 7/16/20 | 445,000 | 445,000 |
| | KBC Bank NV (New York Branch) | 1.590% | 3/4/20 | 365,000 | 365,000 |
| | KBC Bank NV (New York Branch) | 1.590% | 3/5/20 | 29,000 | 29,000 |
| | KBC Bank NV (New York Branch) | 1.600% | 3/6/20 | 365,000 | 365,000 |
| | Landesbank Hessen-Thueringen Girozentrale | 1.590% | 3/2/20 | 235,000 | 235,000 |
| | Landesbank Hessen-Thueringen Girozentrale | 1.590% | 3/3/20 | 343,000 | 343,000 |
| | Landesbank Hessen-Thueringen Girozentrale | 1.600% | 3/3/20 | 75,000 | 75,000 |
| | Landesbank Hessen-Thueringen Girozentrale | 1.600% | 3/4/20 | 300,000 | 300,000 |
| | Landesbank Hessen-Thueringen Girozentrale | 1.600% | 3/5/20 | 1,000,000 | 1,000,000 |
| | Landesbank Hessen-Thueringen Girozentrale | 1.610% | 3/9/20 | 1,184,000 | 1,184,000 |
| | MUFG Bank Ltd. (New York Branch) | 1.900% | 3/6/20 | 40,000 | 40,000 |
| | MUFG Bank Ltd. (New York Branch) | 1.760% | 4/30/20 | 66,000 | 66,000 |
| | MUFG Bank Ltd. (New York Branch) | 1.770% | 4/30/20 | 66,000 | 66,000 |
| | MUFG Bank Ltd. (New York Branch) | 1.780% | 4/30/20 | 67,000 | 67,000 |
| | MUFG Bank Ltd. (New York Branch) | 1.780% | 4/30/20 | 66,000 | 66,000 |
| | MUFG Bank Ltd. (New York Branch) | 1.790% | 4/30/20 | 100,000 | 100,000 |
| | MUFG Bank Ltd. (New York Branch) | 1.800% | 4/30/20 | 101,000 | 101,000 |
| | MUFG Bank Ltd. (New York Branch) | 1.830% | 5/11/20 | 133,000 | 133,000 |
| | MUFG Bank Ltd. (New York Branch) | 1.840% | 5/11/20 | 166,000 | 166,000 |
| | Natixis (New York Branch) | 1.570% | 3/5/20 | 375,000 | 375,000 |
| | Natixis (New York Branch) | 1.570% | 3/6/20 | 1,000,000 | 1,000,000 |
| | Nordea Bank ABP (New York Branch) | 1.740% | 6/16/20 | 87,000 | 86,999 |
| 3 | Nordea Bank ABP (New York Branch), 1M USD LIBOR + 0.170% | 1.836% | 7/6/20 | 500,000 | 500,000 |
| 3 | Nordea Bank ABP (New York Branch), 1M USD LIBOR + 0.200% | 1.862% | 6/4/20 | 500,000 | 499,993 |
| 3 | Royal Bank of Canada (New York Branch), 1M USD LIBOR + 0.250% | 1.905% | 9/3/20 | 601,000 | 601,000 |
| 3 | Skandinaviska Enskilda Banken AB (New York Branch), 1M USD LIBOR + 0.200% | 1.855% | 7/2/20 | 300,000 | 300,000 |
| 3 | Skandinaviska Enskilda Banken AB (New York Branch), 1M USD LIBOR + 0.230% | 1.833% | 5/29/20 | 694,000 | 694,000 |
| 3 | Skandinaviska Enskilda Banken AB (New York Branch), 1M USD LIBOR + 0.230% | 1.885% | 6/1/20 | 650,000 | 650,000 |
| 3 | Sumitomo Mitsui Banking Corp. (New York Branch) | 1.912% | 3/4/20 | 53,000 | 53,000 |
| 3 | Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.080% | 1.748% | 6/5/20 | 313,000 | 312,997 |
| Prime Money Market Fund | | | | |
| | | | | | |
| | | | | Face | Market |
| | | | Maturity | Amount | Value• |
| | | Yield1 | Date | ($000) | ($000) |
| 3 | Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.150% | 1.808% | 5/12/20 | 310,000 | 309,994 |
| 3 | Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.200% | 1.855% | 4/3/20 | 245,000 | 244,999 |
| 3 | Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.200% | 1.829% | 4/24/20 | 420,000 | 419,997 |
| 3 | Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.200% | 1.862% | 5/4/20 | 540,000 | 539,995 |
| 3 | Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.210% | 1.823% | 3/27/20 | 270,000 | 270,000 |
| 3 | Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.220% | 1.870% | 4/14/20 | 400,000 | 399,997 |
| 3 | Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.160% | 1.818% | 6/15/20 | 159,000 | 159,000 |
| 3 | Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.160% | 1.807% | 6/19/20 | 495,000 | 495,000 |
| 3 | Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.160% | 1.763% | 6/30/20 | 395,000 | 395,000 |
| 3 | Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.180% | 1.838% | 7/15/20 | 250,000 | 250,000 |
| 3 | Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.190% | 1.858% | 5/5/20 | 350,000 | 350,000 |
| 3 | Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.200% | 1.847% | 5/19/20 | 250,000 | 250,000 |
| 3 | Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.220% | 1.867% | 8/20/20 | 205,000 | 205,000 |
| 3 | Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.240% | 1.869% | 11/24/20 | 297,000 | 297,000 |
| 3 | Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.240% | 1.895% | 12/2/20 | 254,000 | 253,990 |
| 3 | Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.290% | 1.919% | 9/24/20 | 335,000 | 335,000 |
| | Toronto-Dominion Bank (New York Branch) | 2.000% | 3/17/20 | 50,000 | 50,000 |
| | Toronto-Dominion Bank (New York Branch) | 1.760% | 7/16/20 | 65,000 | 65,000 |
| 3 | Toronto-Dominion Bank (New York Branch), 1M USD LIBOR + 0.200% | 1.871% | 7/7/20 | 540,000 | 540,000 |
| 3 | Toronto-Dominion Bank (New York Branch), 1M USD LIBOR + 0.210% | 1.865% | 5/4/20 | 135,000 | 135,000 |
| 3 | Toronto-Dominion Bank (New York Branch), 1M USD LIBOR + 0.220% | 1.870% | 5/14/20 | 368,000 | 368,000 |
| 3 | Toronto-Dominion Bank (New York Branch), 1M USD LIBOR + 0.250% | 1.853% | 7/30/20 | 200,000 | 200,000 |
| 3 | Toronto-Dominion Bank (New York Branch), 1M USD LIBOR + 0.250% | 1.853% | 7/31/20 | 325,000 | 325,000 |
| 3 | Toronto-Dominion Bank (New York Branch), 1M USD LIBOR + 0.250% | 1.900% | 8/13/20 | 300,000 | 300,000 |
| 3 | Westpac Banking Corp. (New York Branch), 1M USD LIBOR + 0.150% | 1.818% | 6/5/20 | 50,000 | 49,997 |
| 3 | Westpac Banking Corp. (New York Branch), 1M USD LIBOR + 0.160% | 1.818% | 6/12/20 | 75,000 | 74,999 |
| 3 | Westpac Banking Corp. (New York Branch), 1M USD LIBOR + 0.160% | 1.815% | 7/2/20 | 500,000 | 499,992 |
| Prime Money Market Fund | | | | |
| | | | | | |
| | | | | Face | Market |
| | | | Maturity | Amount | Value• |
| | | Yield1 | Date | ($000) | ($000) |
| 3 | Westpac Banking Corp. (New York Branch), 1M USD LIBOR + 0.230% | 1.895% | 9/11/20 | 67,000 | 67,000 |
| 3 | Westpac Banking Corp. (New York Branch), 1M USD LIBOR + 0.230% | 1.888% | 9/16/20 | 172,000 | 172,000 |
| 3 | Westpac Banking Corp. (New York Branch), 1M USD LIBOR + 0.230% | 1.888% | 9/18/20 | 100,000 | 100,000 |
| | | | | | | 33,419,949 |
| Total Certificates of Deposit (Cost $43,271,449) | | | | 43,271,449 |
| Other Notes (1.2%) | | | | |
| | Bank of America NA | 1.870% | 6/4/20 | 162,000 | 162,000 |
| | Bank of America NA | 1.870% | 6/8/20 | 162,000 | 162,000 |
| 3 | Bank of America NA, 1M USD LIBOR + 0.090% | 1.758% | 9/4/20 | 201,000 | 201,000 |
| 3 | Bank of America NA, 1M USD LIBOR + 0.150% | 1.821% | 7/10/20 | 100,000 | 100,000 |
| 3 | Bank of America NA, 1M USD LIBOR + 0.200% | 1.855% | 4/1/20 | 169,000 | 169,000 |
| 3 | Bank of America NA, 1M USD LIBOR + 0.220% | 1.833% | 4/27/20 | 164,000 | 164,000 |
| 3 | Bank of America NA, 1M USD LIBOR + 0.220% | 1.875% | 5/1/20 | 325,000 | 325,000 |
| 3 | Bank of America NA, 1M USD LIBOR + 0.240% | 1.905% | 5/11/20 | 247,500 | 247,500 |
| Total Other Notes (Cost $1,530,500) | | | | 1,530,500 |
| Taxable Municipal Bonds (0.0%) | | | | |
| 5 | Greene County GA Development Authority Revenue VRDO (Cost $6,250) | 1.600% | 3/6/20 | 6,250 | 6,250 |
| Total Investments (99.9%) (Cost $128,125,507) | | | | 128,125,507 |
| Other Assets and Liabilities-Net (0.1%) | | | | 88,972 |
| Net Assets (100%) | | | | 128,214,479 |
Cost rounded to $000.
| • | See Note A in Notes to Financial Statements. |
| 1 | Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities. |
| 2 | Security exempt from registration under Section 4(2) of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration only to dealers in that program or other “accredited investors.” At February 29, 2020, the aggregate value of these securities was $33,756,933,000, representing 26.3% of net assets. |
| 3 | Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
| 4 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At February 29, 2020, the aggregate value of these securities was $3,937,943,000, representing 3.1% of net assets. |
| 5 | Scheduled principal and interest payments are guaranteed by bank letter of credit. |
LIBOR—London Interbank Offered Rate.
VRDO—Variable Rate Demand Obligation.
See accompanying Notes, which are an integral part of the Financial Statements.
Prime Money Market Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | Amount | |
| Assets | | |
| Investments in Securities, at Value (Cost $128,125,507) | 128,125,507 | |
| Investment in Vanguard | 5,571 | |
| Cash | 879 | |
| Receivables for Accrued Income | 75,392 | |
| Receivables for Capital Shares Issued | 1,084,068 | |
| Other Assets | 51,663 | |
| Total Assets | 129,343,080 | |
| Liabilities | | |
| Payables for Capital Shares Redeemed | 1,108,463 | |
| Payables for Distributions | 11,721 | |
| Payables to Vanguard | 8,417 | |
| Total Liabilities | 1,128,601 | |
| Net Assets | 128,214,479 | |
| | | |
| At February 29, 2020, net assets consisted of: | | |
| | | |
| Paid-in Capital | 128,209,965 | |
| Total Distributable Earnings (Loss) | 4,514 | |
| Net Assets | 128,214,479 | |
| | | |
| Investor Shares—Net Assets | | |
| Applicable to 107,647,851,674 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 107,660,517 | |
| Net Asset Value Per Share—Investor Shares | $1.00 | |
| | | |
| Admiral Shares—Net Assets | | |
| Applicable to 20,551,550,172 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 20,553,962 | |
| Net Asset Value Per Share—Admiral Shares | $1.00 | |
See accompanying Notes, which are an integral part of the Financial Statements.
Prime Money Market Fund
Statement of Operations
| | Six Months Ended | |
| | February 29, 2020 | |
| | ($000) | |
| Investment Income | | |
| Income | | |
| Interest | 1,226,794 | |
| Total Income | 1,226,794 | |
| Expenses | | |
| The Vanguard Group—Note B | | |
| Investment Advisory Services | 2,081 | |
| Management and Administrative—Investor Shares | 73,629 | |
| Management and Administrative—Admiral Shares | 8,605 | |
| Marketing and Distribution—Investor Shares | 8,690 | |
| Marketing and Distribution—Admiral Shares | 731 | |
| Custodian Fees | 275 | |
| Shareholders’ Reports—Investor Shares | 469 | |
| Shareholders’ Reports—Admiral Shares | 41 | |
| Trustees’ Fees and Expenses | 45 | |
| Total Expenses | 94,566 | |
| Net Investment Income | 1,132,228 | |
| Realized Net Gain (Loss) on Investment Securities Sold | 707 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 1,132,935 | |
See accompanying Notes, which are an integral part of the Financial Statements.
Prime Money Market Fund
Statement of Changes in Net Assets
| | Six Months Ended | | Year Ended | |
| | February 29, | | August 31, | |
| | 2020 | | 2019 | |
| | ($000) | | ($000) | |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net Investment Income | 1,132,228 | | 2,775,871 | |
| Realized Net Gain (Loss) | 707 | | (80) | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 1,132,935 | | 2,775,791 | |
| Distributions1 | | | | |
| Investor Shares | (951,317) | | (2,351,823) | |
| Admiral Shares | (180,692) | | (424,095) | |
| Total Distributions | (1,132,009) | | (2,775,918) | |
| Capital Share Transactions (at $1.00 per share) | | | | |
| Investor Shares | 2,951,197 | | 11,810,567 | |
| Admiral Shares | 1,631,082 | | 2,805,143 | |
| Net Increase (Decrease) from Capital Share Transactions | 4,582,279 | | 14,615,710 | |
| Total Increase (Decrease) | 4,583,205 | | 14,615,583 | |
| Net Assets | | | | |
| Beginning of Period | 123,631,274 | | 109,015,691 | |
| End of Period | 128,214,479 | | 123,631,274 | |
| 1 | Certain prior period numbers have been reclassified to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
Prime Money Market Fund
Financial Highlights
Investor Shares
| | Six Months | | | | | | | |
| | | Ended | | | | | | | |
| For a Share Outstanding | February 29, | | Year Ended August 31, |
| Throughout Each Period | | 2020 | | 2019 | 2018 | 2017 | | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $1.00 | | $1.00 | $1.00 | $1.00 | | $1.00 | $1.00 |
| Investment Operations | | | | | | | | | |
| Net Investment Income | | .0091 | | .0231 | .0161 | .0081 | | .0032 | .0002 |
| Net Realized and Unrealized Gain (Loss) on Investments | | — | | — | — | — | | — | — |
| Total from Investment Operations | | .009 | | .023 | .016 | .008 | | .0032 | .0002 |
| Distributions | | | | | | | | | |
| Dividends from Net Investment Income | (.009) | | (.023) | (.016) | (.008) | | (.0032) | (.0002) |
| Distributions from Realized Capital Gains | — | | — | — | — | | — | — |
| Total Distributions | | (.009) | | (.023) | (.016) | (.008) | | (.0032) | (.0002) |
| Net Asset Value, End of Period | | $1.00 | | $1.00 | $1.00 | $1.00 | | $1.00 | $1.00 |
| Total Return2 | | 0.90% | | 2.36% | 1.59% | 0.83% | | 0.32% | 0.02% |
| Ratios/Supplemental Data | | | | | | | | | |
| Net Assets, End of Period (Millions) | | $107,661 | | $104,709 | $92,898 | $84,886 | | $100,210 | $105,820 |
| Ratio of Total Expenses to Average Net Assets3 | | 0.16% | | 0.16% | 0.16% | 0.16% | | 0.16% | 0.15% |
| Ratio of Net Investment Income to Average Net Assets | | 1.80% | | 2.33% | 1.59% | 0.82% | | 0.32% | 0.02% |
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. The fund is not obligated to repay this amount to Vanguard. The ratio of total expenses to average net assets before an expense reduction was 0.16% for 2016 and 0.16% for 2015. For the six months ended February 29, 2020, and the years ended August 31, 2019, 2018, and 2017, there were no expense reductions. |
See accompanying Notes, which are an integral part of the Financial Statements.
Prime Money Market Fund
Financial Highlights
Admiral Shares
| | Six Months | | | | | |
| | Ended | | | | |
| For a Share Outstanding | February 29, | Year Ended August 31, |
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period Investment Operations | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Net Investment Income | .0091 | .0241 | .0161 | .0091 | .004 | .001 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | — | — | — | — | — | — |
| Total from Investment Operations | .009 | .024 | .016 | .009 | .004 | .001 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.009) | (.024) | (.016) | (.009) | (.004) | (.001) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.009) | (.024) | (.016) | (.009) | (.004) | (.001) |
| Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| | | | | | | |
| Total Return2 | 0.93% | 2.42% | 1.66% | 0.89% | 0.38% | 0.07% |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $20,554 | $18,923 | $16,118 | $11,997 | $16,429 | $28,988 |
| Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
| Ratio of Net Investment Income to Average Net Assets | 1.86% | 2.39% | 1.65% | 0.88% | 0.38% | 0.07% |
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
See accompanying Notes, which are an integral part of the Financial Statements.
Prime Money Market Fund
Notes to Financial Statements
Vanguard Prime Money Market Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in short-term debt instruments of companies primarily operating in specific industries, particularly financial services; the issuers’ abilities to meet their obligations may be affected by economic developments in such industries. The fund offers two classes of shares: Investor Shares and Admiral Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. 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. Securities are valued at amortized cost, which approximates market value.
2. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature, and in the absence of a default, such collateral cannot be repledged, resold, or rehypothecated. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management
Prime Money Market Fund
and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
6. Other: Interest income is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $5,571,000, representing less than 0.01% of the fund’s net assets and 2.23% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. 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.
Prime Money Market Fund
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 valued with significant unobservable inputs are noted on the Schedule of Investments.
At February 29, 2020, 100% of the market value of the fund’s investments was determined using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.
D. As of February 29, 2020, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
| | Amount |
| | ($000) |
| Tax cost | 128,125,507 |
| Gross unrealized appreciation | — |
| Gross unrealized depreciation | — |
| Net unrealized appreciation/(depreciation) | — |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $4,284,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E. Capital share transactions for each class of shares were:
| | | Six Months Ended | | | | | Year Ended | |
| | | February 29, 2020 | | | August 31, 2019 | |
| | | Amount | | Shares | | | Amount | | Shares | |
| | ($000) | | (000) | | | ($000) | | (000) | |
| Investor Shares | | | | | | | | | | |
| Issued | 30,733,138 | | 30,733,372 | | | 67,073,536 | | 67,073,695 | |
| Issued in Lieu of Cash Distributions | 878,886 | | 878,886 | | | 2,176,642 | | 2,176,642 | |
| Redeemed | (28,660,827) | | (28,660,827) | | | (57,439,611) | | (57,439,611) | |
| Net Increase (Decrease)—Investor Shares | 2,951,197 | | 2,951,431 | | | 11,810,567 | | 11,810,726 | |
| Admiral Shares | | | | | | | | | | |
| Issued | 7,642,361 | | 7,642,127 | | | 12,655,596 | | 12,655,436 | |
| Issued in Lieu of Cash Distributions | 165,386 | | 165,386 | | | 392,879 | | 392,879 | |
| Redeemed | (6,176,665) | | (6,176,665) | | | (10,243,332) | | (10,243,332) | |
| Net Increase (Decrease)—Admiral Shares | 1,631,082 | | 1,630,848 | | | 2,805,143 | | 2,804,983 | |
Prime Money Market Fund
F. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
Federal Money Market Fund
Fund Allocation1
As of February 29, 2020
| U.S. Treasury Bills | 32.3 | % |
| Repurchase Agreements | 18.7 | |
| U.S. Government Obligations | 49.0 | |
| 1 | Percentage of investments. |
Federal Money Market Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2020
The fund publishes its holdings on a monthly basis on Vanguard’s website and files them with the Securities and Exchange Commission (SEC) on Form N-MFP. The fund’s Form N-MFP filings may be viewed via a link on the “Portfolio Holdings” page at www.vanguard.com or on the SEC’s website at www.sec.gov.
| | | | | Face | | Market | |
| | | | Maturity | Amount | | Value• | |
| | | Yield1 | Date | ($000) | | ($000) | |
| U.S. Government and Agency Obligations (81.5%) | | | | | |
| 2 | Fannie Mae Discount Notes | 1.566% | 3/4/20 | 321,840 | | 321,798 | |
| 2 | Fannie Mae Discount Notes | 1.554% | 3/13/20 | 33,333 | | 33,316 | |
| 2 | Fannie Mae Discount Notes | 1.606% | 3/19/20 | 98,817 | | 98,738 | |
| 2 | Fannie Mae Discount Notes | 1.556% | 4/1/20 | 220,600 | | 220,306 | |
| 2 | Fannie Mae Discount Notes | 1.556% | 4/8/20 | 99,250 | | 99,088 | |
| 2 | Fannie Mae Discount Notes | 1.556% | 4/22/20 | 833,099 | | 831,232 | |
| 2 | Fannie Mae Discount Notes | 1.576% | 5/14/20 | 63,100 | | 62,897 | |
| 2 | Fannie Mae Discount Notes | 1.567% | 5/21/20 | 1,200,000 | | 1,195,788 | |
| 2 | Fannie Mae Discount Notes | 1.541% | 5/29/20 | 900,000 | | 896,678 | |
| 2 | Fannie Mae Discount Notes | 1.530% | 6/12/20 | 600,000 | | 597,450 | |
| | Federal Home Loan Bank Discount Notes | 1.584% | 3/2/20 | 176,400 | | 176,392 | |
| | Federal Home Loan Bank Discount Notes | 1.592% | 3/4/20 | 205,455 | | 205,428 | |
| | Federal Home Loan Bank Discount Notes | 1.585% | 3/5/20 | 198,000 | | 197,965 | |
| | Federal Home Loan Bank Discount Notes | 1.556% | 3/6/20 | 37,000 | | 36,992 | |
| | Federal Home Loan Bank Discount Notes | 1.585% | 3/10/20 | 200,000 | | 199,921 | |
| | Federal Home Loan Bank Discount Notes | 1.616% | 3/11/20 | 1,523,187 | | 1,522,531 | |
| | Federal Home Loan Bank Discount Notes | 1.581% | 3/13/20 | 942,050 | | 941,560 | |
| | Federal Home Loan Bank Discount Notes | 1.588% | 3/17/20 | 500,000 | | 499,649 | |
| | Federal Home Loan Bank Discount Notes | 1.906% | 3/18/20 | 1,240,000 | | 1,239,002 | |
| | Federal Home Loan Bank Discount Notes | 1.578% | 3/19/20 | 500,000 | | 499,607 | |
| | Federal Home Loan Bank Discount Notes | 1.578% | 3/20/20 | 3,304,000 | | 3,301,256 | |
| | Federal Home Loan Bank Discount Notes | 1.578% | 3/23/20 | 500,000 | | 499,520 | |
| | Federal Home Loan Bank Discount Notes | 1.549% | 3/24/20 | 455,000 | | 454,551 | |
| | Federal Home Loan Bank Discount Notes | 1.588% | 3/25/20 | 2,000,000 | | 1,997,893 | |
| | Federal Home Loan Bank Discount Notes | 1.593% | 3/30/20 | 55,000 | | 54,930 | |
| | Federal Home Loan Bank Discount Notes | 1.589% | 4/1/20 | 594,509 | | 593,702 | |
| | Federal Home Loan Bank Discount Notes | 1.582% | 4/2/20 | 149,100 | | 148,891 | |
| | Federal Home Loan Bank Discount Notes | 1.624% | 4/3/20 | 496,075 | | 495,357 | |
| | Federal Home Loan Bank Discount Notes | 1.604% | 4/8/20 | 1,270,553 | | 1,268,461 | |
| | Federal Home Loan Bank Discount Notes | 1.583% | 4/9/20 | 623,000 | | 621,937 | |
| | Federal Home Loan Bank Discount Notes | 1.624% | 4/13/20 | 90,000 | | 89,830 | |
| | Federal Home Loan Bank Discount Notes | 1.563% | 4/15/20 | 80,150 | | 79,994 | |
| | Federal Home Loan Bank Discount Notes | 1.624% | 4/17/20 | 711,600 | | 710,152 | |
| | Federal Home Loan Bank Discount Notes | 1.576% | 4/24/20 | 450,000 | | 448,940 | |
| | Federal Home Loan Bank Discount Notes | 1.623% | 4/29/20 | 350,000 | | 349,076 | |
| | Federal Home Loan Bank Discount Notes | 1.584% | 5/4/20 | 348,660 | | 347,684 | |
| | Federal Home Loan Bank Discount Notes | 1.596% | 5/5/20 | 24,400 | | 24,330 | |
| | Federal Home Loan Bank Discount Notes | 1.581% | 5/6/20 | 869,308 | | 866,796 | |
| | Federal Home Loan Bank Discount Notes | 1.576% | 5/15/20 | 72,000 | | 71,764 | |
| | Federal Home Loan Bank Discount Notes | 1.586% | 5/20/20 | 177,833 | | 177,214 | |
Federal Money Market Fund
| | | | | Face | | Market | |
| | | | Maturity | Amount | | Value• | |
| | | Yield1 | Date | ($000) | | ($000) | |
| | Federal Home Loan Bank Discount Notes | 1.575% | 5/22/20 | 589,000 | | 586,895 | |
| | Federal Home Loan Bank Discount Notes | 1.584% | 5/26/20 | 500,000 | | 498,119 | |
| | Federal Home Loan Bank Discount Notes | 1.539% | 5/27/20 | 1,400,000 | | 1,394,813 | |
| | Federal Home Loan Bank Discount Notes | 1.591% | 5/28/20 | 160,000 | | 159,382 | |
| | Federal Home Loan Bank Discount Notes | 1.578% | 6/1/20 | 855,050 | | 851,619 | |
| | Federal Home Loan Bank Discount Notes | 1.571% | 6/5/20 | 100,000 | | 99,584 | |
| | Federal Home Loan Bank Discount Notes | 1.572% | 7/15/20 | 170,000 | | 168,998 | |
| | Federal Home Loan Bank Discount Notes | 1.612% | 7/22/20 | 27,950 | | 27,772 | |
| | Federal Home Loan Banks | 1.570% | 3/2/20 | 300,000 | | 300,000 | |
| | Federal Home Loan Banks | 1.570% | 3/2/20 | 500,000 | | 499,999 | |
| | Federal Home Loan Banks | 1.620% | 3/2/20 | 500,000 | | 500,000 | |
| | Federal Home Loan Banks | 1.570% | 3/5/20 | 750,000 | | 749,998 | |
| | Federal Home Loan Banks | 1.620% | 3/6/20 | 525,000 | | 525,000 | |
| | Federal Home Loan Banks | 1.626% | 3/13/20 | 572,140 | | 572,609 | |
| | Federal Home Loan Banks | 1.600% | 4/1/20 | 171,000 | | 170,998 | |
| | Federal Home Loan Banks | 1.610% | 4/24/20 | 500,000 | | 499,984 | |
| | Federal Home Loan Banks | 1.610% | 4/24/20 | 850,000 | | 849,973 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR + 0.000% | 1.659% | 7/15/20 | 500,000 | | 500,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR + 0.045% | 1.700% | 4/1/20 | 300,000 | | 300,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR + 0.045% | 1.711% | 4/6/20 | 500,000 | | 500,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR + 0.045% | 1.711% | 4/6/20 | 1,500,000 | | 1,500,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR + 0.050% | 1.663% | 4/27/20 | 500,000 | | 500,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR + 0.050% | 1.721% | 5/8/20 | 500,000 | | 500,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.010% | 1.617% | 3/25/20 | 1,000,000 | | 1,000,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.010% | 1.617% | 3/25/20 | 1,000,000 | | 999,994 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.020% | 1.627% | 3/20/20 | 500,000 | | 500,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.020% | 1.635% | 4/3/20 | 850,000 | | 850,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.020% | 1.635% | 4/3/20 | 500,000 | | 500,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.020% | 1.583% | 11/27/20 | 2,000,000 | | 2,000,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.025% | 1.622% | 4/20/20 | 750,000 | | 750,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.035% | 1.568% | 12/11/20 | 1,650,000 | | 1,650,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.040% | 1.622% | 11/4/20 | 1,000,000 | | 1,000,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.040% | 1.622% | 11/4/20 | 1,000,000 | | 1,000,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.040% | 1.618% | 11/12/20 | 1,000,000 | | 1,000,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.040% | 1.613% | 11/13/20 | 500,000 | | 500,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.040% | 1.618% | 11/13/20 | 1,000,000 | | 1,000,000 | |
| Federal Money Market Fund | | | | | | |
| | | | | | | | |
| | | | | Face | | Market | |
| | | | Maturity | Amount | | Value• | |
| | | Yield1 | Date | ($000) | | ($000) | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.040% | 1.619% | 11/18/20 | 1,000,000 | | 1,000,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.040% | 1.619% | 11/18/20 | 500,000 | | 500,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.040% | 1.618% | 12/18/20 | 500,000 | | 500,000 | |
| 3 | Federal Home Loan Banks, | | | | | | |
| | 1M USD LIBOR - 0.055% | 1.603% | 3/12/20 | 180,000 | | 179,998 | |
| 2 | Federal Home Loan Mortgage Corp. | 2.500% | 4/23/20 | 185,830 | | 186,072 | |
| 2 | Freddie Mac Discount Notes | 1.586% | 3/6/20 | 545,834 | | 545,714 | |
| 2 | Freddie Mac Discount Notes | 1.541% | 3/9/20 | 590,000 | | 589,799 | |
| 2 | Freddie Mac Discount Notes | 1.606% | 3/10/20 | 27,000 | | 26,989 | |
| 2 | Freddie Mac Discount Notes | 1.662% | 3/18/20 | 1,251,599 | | 1,250,631 | |
| 2 | Freddie Mac Discount Notes | 1.571% | 3/20/20 | 972,901 | | 972,097 | |
| 2 | Freddie Mac Discount Notes | 1.575% | 3/23/20 | 344,500 | | 344,170 | |
| 2 | Freddie Mac Discount Notes | 1.557% | 3/25/20 | 400,000 | | 399,587 | |
| 2 | Freddie Mac Discount Notes | 1.557% | 3/26/20 | 1,150,000 | | 1,148,762 | |
| 2 | Freddie Mac Discount Notes | 1.631% | 3/27/20 | 41,864 | | 41,815 | |
| 2 | Freddie Mac Discount Notes | 1.564% | 4/2/20 | 641,215 | | 640,317 | |
| 2 | Freddie Mac Discount Notes | 1.589% | 4/6/20 | 500,000 | | 499,210 | |
| 2 | Freddie Mac Discount Notes | 1.536% | 4/7/20 | 198,554 | | 198,242 | |
| 2 | Freddie Mac Discount Notes | 1.570% | 4/9/20 | 233,685 | | 233,290 | |
| 2 | Freddie Mac Discount Notes | 1.580% | 4/17/20 | 805,024 | | 803,386 | |
| 2 | Freddie Mac Discount Notes | 1.535% | 4/27/20 | 261,754 | | 261,116 | |
| 2 | Freddie Mac Discount Notes | 1.564% | 5/4/20 | 750,000 | | 747,927 | |
| 2 | Freddie Mac Discount Notes | 1.564% | 5/5/20 | 1,250,000 | | 1,246,490 | |
| 2 | Freddie Mac Discount Notes | 1.579% | 5/7/20 | 250,000 | | 249,270 | |
| 2 | Freddie Mac Discount Notes | 1.533% | 5/12/20 | 750,000 | | 747,712 | |
| 2 | Freddie Mac Discount Notes | 1.582% | 5/19/20 | 1,442,582 | | 1,437,738 | |
| 2 | Freddie Mac Discount Notes | 1.602% | 6/1/20 | 400,000 | | 398,376 | |
| 2 | Freddie Mac Discount Notes | 1.560% | 6/8/20 | 153,993 | | 153,333 | |
| 2 | Freddie Mac Discount Notes | 1.557% | 6/10/20 | 350,000 | | 348,479 | |
| 2 | Freddie Mac Discount Notes | 1.560% | 6/17/20 | 650,000 | | 646,977 | |
| | United States Treasury Bill | 1.842% | 3/5/20 | 2,650,000 | | 2,649,482 | |
| | United States Treasury Bill | 1.842% | 3/12/20 | 3,500,000 | | 3,498,235 | |
| | United States Treasury Bill | 1.534% | 3/17/20 | 1,250,000 | | 1,249,150 | |
| | United States Treasury Bill | 1.888% | 3/19/20 | 4,500,000 | | 4,496,287 | |
| | United States Treasury Bill | 1.531% | 3/24/20 | 1,504,000 | | 1,502,512 | |
| | United States Treasury Bill | 1.561% | 3/26/20 | 1,500,000 | | 1,498,380 | |
| | United States Treasury Bill | 1.811% | 4/2/20 | 3,400,000 | | 3,395,064 | |
| | United States Treasury Bill | 1.679% | 4/9/20 | 2,552,365 | | 2,548,162 | |
| | United States Treasury Bill | 1.633% | 4/16/20 | 2,000,000 | | 1,996,090 | |
| | United States Treasury Bill | 1.574% | 4/21/20 | 1,500,000 | | 1,496,664 | |
| | United States Treasury Bill | 1.639% | 4/23/20 | 3,050,000 | | 3,042,988 | |
| | United States Treasury Bill | 1.623% | 4/30/20 | 3,586,040 | | 3,576,496 | |
| | United States Treasury Bill | 1.547% | 5/7/20 | 2,500,000 | | 2,492,796 | |
| | United States Treasury Bill | 1.562% | 5/14/20 | 5,500,000 | | 5,482,476 | |
| | United States Treasury Bill | 1.552% | 5/21/20 | 3,300,000 | | 3,288,554 | |
| | United States Treasury Bill | 1.593% | 5/28/20 | 500,000 | | 498,069 | |
| | United States Treasury Bill | 1.577% | 6/4/20 | 3,000,000 | | 2,987,610 | |
| | United States Treasury Bill | 1.520% | 6/18/20 | 1,000,000 | | 995,307 | |
| | United States Treasury Bill | 1.570% | 6/25/20 | 1,000,000 | | 994,941 | |
| | United States Treasury Bill | 1.572% | 7/2/20 | 2,000,000 | | 1,989,340 | |
| | United States Treasury Bill | 1.522% | 8/20/20 | 1,000,250 | | 993,034 | |
| Federal Money Market Fund | | | | | | |
| | | | | | | | |
| | | | | Face | | Market | |
| | | | Maturity | Amount | | Value• | |
| | | Yield1 | Date | ($000) | | ($000) | |
| 3 | United States Treasury Floating Rate | | | | | | |
| | Note, US Treasury 3M US T-Bill + 0.045% | 1.556% | 10/31/20 | 324,000 | | 323,670 | |
| 3 | United States Treasury Floating Rate | | | | | | |
| | Note, US Treasury 3M US T-Bill + 0.139% | 1.650% | 4/30/21 | 2,417,950 | | 2,416,165 | |
| 3 | United States Treasury Floating Rate | | | | | | |
| | Note, US Treasury 3M US T-Bill + 0.220% | 1.731% | 7/31/21 | 4,500,000 | | 4,497,208 | |
| 3 | United States Treasury Floating Rate | | | | | | |
| | Note, US Treasury 3M US T-Bill + 0.300% | 1.811% | 10/31/21 | 3,329,600 | | 3,330,477 | |
| | United States Treasury Note/Bond | 1.125% | 3/31/20 | 250,000 | | 249,905 | |
| | United States Treasury Note/Bond | 2.250% | 3/31/20 | 500,000 | | 500,268 | |
| | United States Treasury Note/Bond | 1.375% | 4/30/20 | 643,497 | | 643,281 | |
| | United States Treasury Note/Bond | 2.375% | 4/30/20 | 175,000 | | 175,231 | |
| | United States Treasury Note/Bond | 1.500% | 5/15/20 | 240,000 | | 239,966 | |
| | United States Treasury Note/Bond | 3.500% | 5/15/20 | 500,000 | | 501,943 | |
| | United States Treasury Note/Bond | 1.500% | 5/31/20 | 34,100 | | 34,091 | |
| | United States Treasury Note/Bond | 2.500% | 5/31/20 | 165,000 | | 165,365 | |
| Total U.S. Government and Agency Obligations (Cost $127,531,057) | | | 127,531,057 | |
| Repurchase Agreements (18.7%) | | | | | | |
| | Bank of Nova Scotia | | | | | | |
| | (Dated 2/28/20, Repurchase Value | | | | | | |
| | $200,026,000, collateralized by | | | | | | |
| | Treasury Inflation Indexed Note/Bond | | | | | | |
| | 0.875%–3.625%, 1/15/27–2/15/49, and | | | | | | |
| | U.S. Treasury Note/Bond 2.375%–8.000%, | | | | | | |
| | 11/15/21–11/15/49, with a value of | | | | | | |
| | $204,000,000) | 1.580% | 3/2/20 | 200,000 | | 200,000 | |
| | Canadian Imperial Bank of Commerce | | | | | | |
| | (Dated 2/28/20, Repurchase Value | | | | | | |
| | $1,250,166,000, collateralized by | | | | | | |
| | Treasury Inflation Indexed Note/Bond | | | | | | |
| | 0.125%–0.875%, 4/15/21–1/15/29, and | | | | | | |
| | U.S. Treasury Note/Bond 1.375%–3.125, | | | | | | |
| | 12/31/20–8/15/45, with a value of | | | | | | |
| | $1,275,000,000) | 1.590% | 3/2/20 | 1,250,000 | | 1,250,000 | |
| | Credit Agricole Corporate & Investment | | | | | | |
| | Bank NY Branch | | | | | | |
| | (Dated 2/28/20, Repurchase Value | | | | | | |
| | $1,999,263,000, collateralized by | | | | | | |
| | U.S. Treasury Note/Bond 1.500%–3.000%, | | | | | | |
| | 2/28/21–2/15/48, with a value of | | | | | | |
| | $2,038,980,000) | 1.580% | 3/2/20 | 1,999,000 | | 1,999,000 | |
| | Credit Agricole Corporate & Investment | | | | | | |
| | Bank NY Branch | | | | | | |
| | (Dated 2/27/20, Repurchase Value | | | | | | |
| | $1,000,296,000, collateralized by | | | | | | |
| | U.S. Treasury Note/Bond 1.250%–2.875%, | | | | | | |
| | 3/31/21–5/15/26, with a value of | | | | | | |
| | $1,020,000,000) | 1.520% | 3/5/20 | 1,000,000 | | 1,000,000 | |
| Federal Money Market Fund | | | | | | |
| | | | | | | |
| | | | Face | | Market | |
| | | Maturity | Amount | | Value• | |
| | Yield1 | Date | ($000) | | ($000) | |
| Credit Agricole Corporate & Investment | | | | | | |
| Bank NY Branch | | | | | | |
| (Dated 2/28/20, Repurchase Value | | | | | | |
| $1,000,309,000, collateralized by | | | | | | |
| Treasury Inflation Indexed Note/Bond | | | | | | |
| 1.000%, 2/15/48, and U.S. Treasury | | | | | | |
| Note/Bond 1.250%–3.125%, | | | | | | |
| 3/31/21–5/15/48, with a value of | | | | | | |
| $1,020,000,000) | 1.590% | 3/6/20 | 1,000,000 | | 1,000,000 | |
| DNB Bank ASA | | | | | | |
| (Dated 2/28/20, Repurchase Value | | | | | | |
| $1,200,159,000, collateralized by | | | | | | |
| Treasury Inflation Indexed Note/Bond | | | | | | |
| 0.625%, 7/15/21, and U.S. Treasury | | | | | | |
| Note/Bond 1.500%–2.875%, | | | | | | |
| 3/15/21–8/15/28, with a value of | | | | | | |
| $1,224,000,000) | 1.590% | 3/2/20 | 1,200,000 | | 1,200,000 | |
| Federal Reserve Bank of New York | | | | | | |
| (Dated 2/28/20, Repurchase Value | | | | | | |
| $87,011,000, collateralized by | | | | | | |
| U.S. Treasury Note/Bond 5.250%, | | | | | | |
| 11/15/28, with a value of $87,011,000) | 1.500% | 3/2/20 | 87,000 | | 87,000 | |
| Goldman Sachs & Co. | | | | | | |
| (Dated 2/27/20, Repurchase Value | | | | | | |
| $3,000,922,000, collateralized by | | | | | | |
| Treasury Inflation Indexed Note/Bond | | | | | | |
| 0.375%–3.375%, 7/15/21–2/15/47, and | | | | | | |
| U.S. Treasury Note/Bond 1.125%–2.875%, | | | | | | |
| 2/28/21–8/15/45, with a value of | | | | | | |
| $3,060,000,000) | 1.580% | 3/5/20 | 3,000,000 | | 3,000,000 | |
| JP Morgan Securities LLC | | | | | | |
| (Dated 2/28/20, Repurchase Value | | | | | | |
| $525,068,000, collateralized by | | | | | | |
| U.S. Treasury Bill 0.000%, 3/5/20–7/2/20, | | | | | | |
| and U.S. Treasury Note/Bond | | | | | | |
| 1.201%–5.250%, 3/31/20–2/15/49, | | | | | | |
| with a value of $535,500,000) | 1.550% | 3/2/20 | 525,000 | | 525,000 | |
| JP Morgan Securities LLC | | | | | | |
| (Dated 2/28/20, Repurchase Value | | | | | | |
| $1,000,133,000, collateralized by | | | | | | |
| U.S. Treasury Note/Bond 3.125%–4.750%, | | | | | | |
| 2/15/41–8/15/44, with a value of | | | | | | |
| $1,020,001,000) | 1.590% | 3/2/20 | 1,000,000 | | 1,000,000 | |
| JP Morgan Securities LLC | | | | | | |
| (Dated 2/25/20, Repurchase Value | | | | | | |
| $1,000,307,000, collateralized by | | | | | | |
| U.S. Treasury Note/Bond 1.875%–2.875%, | | | | | | |
| 6/30/26–11/15/46, with a value of | | | | | | |
| $1,020,001,000) | 1.580% | 3/3/20 | 1,000,000 | | 1,000,000 | |
| Federal Money Market Fund | | | | | | |
| | | | | | | |
| | | | Face | | Market | |
| | | Maturity | Amount | | Value• | |
| | Yield1 | Date | ($000) | | ($000) | |
| JP Morgan Securities LLC | | | | | | |
| (Dated 2/26/20, Repurchase Value | | | | | | |
| $500,155,000, collateralized by | | | | | | |
| U.S. Treasury Note/Bond 2.750%–3.500%, | | | | | | |
| 2/15/39–8/15/47, with a value of | | | | | | |
| $510,000,000) | 1.590% | 3/4/20 | 500,000 | | 500,000 | |
| JP Morgan Securities LLC | | | | | | |
| (Dated 2/27/20, Repurchase Value | | | | | | |
| $500,155,000, collateralized by | | | | | | |
| U.S. Treasury Note/Bond 3.375%, | | | | | | |
| 5/15/44, with a value of $510,002,000) | 1.590% | 3/5/20 | 500,000 | | 500,000 | |
| Mizuho Securities (USA) Inc. | | | | | | |
| (Dated 2/28/20, Repurchase Value | | | | | | |
| $500,066,000, collateralized by | | | | | | |
| Treasury Inflation Indexed Note/Bond | | | | | | |
| 0.125%, 4/15/22, U.S. Treasury Bill 0.000%, | | | | | | |
| 3/3/20, and U.S. Treasury Note/Bond | | | | | | |
| 1.191%–2.250%, 4/30/20–8/15/49, | | | | | | |
| with a value of $510,000,000) | 1.590% | 3/2/20 | 500,000 | | 500,000 | |
| MUFG Securities | | | | | | |
| (Dated 2/28/20, Repurchase Value | | | | | | |
| $2,096,278,000, collateralized by | | | | | | |
| Treasury Inflation Indexed Note/Bond | | | | | | |
| 0.125%–0.375%, 7/15/26–1/15/27, and | | | | | | |
| U.S. Treasury Note/Bond 1.125%–4.750%, | | | | | | |
| 4/15/21–8/15/49, with a value of | | | | | | |
| $2,137,920,000) | 1.590% | 3/2/20 | 2,096,000 | | 2,096,000 | |
| Nomura International plc | | | | | | |
| (Dated 2/25/20, Repurchase Value | | | | | | |
| $1,500,461,000, collateralized by | | | | | | |
| Treasury Inflation Indexed Note/Bond | | | | | | |
| 0.125%–3.875%, 1/15/22–2/15/50, and | | | | | | |
| U.S. Treasury Note/Bond 2.125%–2.750%, | | | | | | |
| 12/31/23–4/30/24, with a value of | | | | | | |
| $1,530,000,000) | 1.580% | 3/3/20 | 1,500,000 | | 1,500,000 | |
| RBC Capital Markets LLC NY Branch | | | | | | |
| (Dated 2/25/20, Repurchase Value | | | | | | |
| $2,400,737,000, collateralized by | | | | | | |
| Treasury Inflation Indexed Note/Bond | | | | | | |
| 0.125%–3.875%, 4/15/20–2/15/48, and | | | | | | |
| U.S. Treasury Note/Bond 1.375%–5.375%, | | | | | | |
| 3/31/21–8/15/48, with a value of | | | | | | |
| $2,448,000,000) | 1.580% | 3/3/20 | 2,400,000 | | 2,400,000 | |
| RBC Dominion Securities Inc. | | | | | | |
| (Dated 2/25/20, Repurchase Value | | | | | | |
| $1,095,336,000, collateralized by | | | | | | |
| Treasury Inflation Indexed Note/Bond | | | | | | |
| 0.125%–0.750%, 4/15/22–2/15/45, and | | | | | | |
| U.S. Treasury Note/Bond 1.125%–6.500%, | | | | | | |
| 10/31/20–2/15/49, with a value of | | | | | | |
| $1,116,900,000) | 1.580% | 3/3/20 | 1,095,000 | | 1,095,000 | |
| Federal Money Market Fund | | | | | | |
| | | | | | | |
| | | | Face | | Market | |
| | | Maturity | Amount | | Value• | |
| | Yield1 | Date | ($000) | | ($000) | |
| RBC Dominion Securities Inc. | | | | | | |
| (Dated 2/28/20, Repurchase Value | | | | | | |
| $1,500,464,000, collateralized by | | | | | | |
| Treasury Inflation Indexed Note/Bond | | | | | | |
| 0.125%–1.250%, 7/15/20–2/15/47, | | | | | | |
| U.S. Treasury Bill 0.000%, 3/26/20–1/28/21, | | | | | | |
| and U.S. Treasury Note/Bond | | | | | | |
| 1.125%–6.500%, 10/31/20–8/15/49, | | | | | | |
| with a value of $1,530,000,000) | 1.590% | 3/6/20 | 1,500,000 | | 1,500,000 | |
| Societe Generale | | | | | | |
| (Dated 2/25/20, Repurchase Value | | | | | | |
| $1,000,309,000, collateralized by | | | | | | |
| Treasury Inflation Indexed Note/Bond | | | | | | |
| 0.125%–3.875%, 7/15/20–2/15/49, | | | | | | |
| U.S. Treasury Bill 0.000%, 3/24/20–2/25/21, | | | | | | |
| and U.S. Treasury Note/Bond | | | | | | |
| 1.125%–7.875%, 4/15/20–2/15/50, | | | | | | |
| with a value of $1,020,500,000) | 1.590% | 3/3/20 | 1,000,000 | | 1,000,000 | |
| Societe Generale | | | | | | |
| (Dated 2/26/20, Repurchase Value | | | | | | |
| $500,155,000, collateralized by | | | | | | |
| Treasury Inflation Indexed Note/Bond | | | | | | |
| 0.125%–2.125%, 4/15/20–2/15/42, | | | | | | |
| U.S. Treasury Bill 0.000%, 4/21/20–2/25/21, | | | | | | |
| and U.S. Treasury Note/Bond | | | | | | |
| 1.250%–8.750%, 4/30/20–2/15/50, | | | | | | |
| with a value of $510,000,000) | 1.590% | 3/4/20 | 500,000 | | 500,000 | |
| Societe Generale | | | | | | |
| (Dated 2/27/20, Repurchase Value | | | | | | |
| $1,000,309,000, collateralized by | | | | | | |
| Treasury Inflation Indexed Note/Bond | | | | | | |
| 0.125%–2.375%, 4/15/20–2/15/48, | | | | | | |
| U.S. Treasury Bill 0.000%, 4/21/20–2/25/21, | | | | | | |
| and U.S. Treasury Note/Bond | | | | | | |
| 1.125%–8.000%, 3/31/20–11/15/49, | | | | | | |
| with a value of $1,020,000,000) | 1.590% | 3/5/20 | 1,000,000 | | 1,000,000 | |
| Sumitomo Mitsui Banking Corp. | | | | | | |
| (Dated 2/28/20, Repurchase Value | | | | | | |
| $4,000,507,000, collateralized by | | | | | | |
| U.S. Treasury Note/Bond 1.125%–2.875%, | | | | | | |
| 7/31/20–2/15/26, with a value of | | | | | | |
| $4,080,000,000) | 1.520% | 3/2/20 | 4,000,000 | | 4,000,000 | |
| TD Securities (USA) LLC | | | | | | |
| (Dated 2/25/20, Repurchase Value | | | | | | |
| $200,062,000, collateralized by | | | | | | |
| U.S. Treasury Note/Bond 1.625%–2.750%, | | | | | | |
| 12/31/20–2/15/27, with a value of | | | | | | |
| $204,000,000) | 1.600% | 3/3/20 | 200,000 | | 200,000 | |
| Federal Money Market Fund | | | | |
| | | | | | | |
| | | | Face | | Market | |
| | | Maturity | Amount | | Value• | |
| | Yield1 | Date | ($000) | | ($000) | |
| TD Securities (USA) LLC | | | | |
| (Dated 2/28/20, Repurchase Value | | | | |
| $200,063,000, collateralized by | | | | |
| U.S. Treasury Note/Bond 1.500%–3.125%, | | | | |
| 7/31/21–2/15/30, with a value of | | | | |
| $204,000,000) | 1.610% | 3/6/20 | 200,000 | | 200,000 | |
| | | | |
| Total Repurchase Agreements (Cost $29,252,000) | | | 29,252,000 | |
| Total Investments (100.2%) (Cost $156,783,057) | | | | 156,783,057 | |
| Other Assets and Liabilities-Net (-0.2%) | | | | (326,056 | ) |
| Net Assets (100%) | | | | 156,457,001 | |
Cost rounded to $000.
| • | See Note A in Notes to Financial Statements. |
| 1 | Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities. |
| 2 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
| 3 | Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
LIBOR—London Interbank Offered Rate.
See accompanying Notes, which are an integral part of the Financial Statements.
Federal Money Market Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | | Amount | |
| Assets | | | |
| Investments in Securities, at Value | | | |
| Unaffiliated Issuers (Cost $127,531,057) | | | 127,531,057 | |
| Repurchase Agreements (Cost $29,252,000) | | | 29,252,000 | |
| Total Investments in Securities | | | 156,783,057 | |
| Investment in Vanguard | | | 6,523 | |
| Receivables for Accrued Income | | | 80,649 | |
| Receivables for Capital Shares Issued | | | 1,425,063 | |
| Other Assets | | | 8,891 | |
| Total Assets | | | 158,304,183 | |
| Liabilities | | | | |
| Due to Custodian | | | 735 | |
| Payables for Investment Securities Purchased | | | 1,494,128 | |
| Payables for Capital Shares Redeemed | | | 342,546 | |
| Payables for Distributions | | | 2,454 | |
| Payables to Vanguard | | | 7,319 | |
| Total Liabilities | | | 1,847,182 | |
| Net Assets | | | 156,457,001 | |
| | | | | |
| At February 29, 2020, net assets consisted of: | | | | |
| | | | | |
| Paid-in Capital | | | 156,459,387 | |
| Total Distributable Earnings (Loss) | | | (2,386 | ) |
| Net Assets | | | 156,457,001 | |
| | | | | |
| Net Assets | | | | |
| Applicable to 156,458,876,795 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 156,457,001 | |
| Net Asset Value Per Share | | $ | 1.00 | |
See accompanying Notes, which are an integral part of the Financial Statements.
Federal Money Market Fund
Statement of Operations
| | | Six Months Ended | |
| | | February 29, 2020 | |
| | | | ($000 | ) |
| Investment Income | | | | |
| Income | | | | |
| Interest | | | 1,289,123 | |
| Total Income | | | 1,289,123 | |
| Expenses | | | | |
| The Vanguard Group—Note B | | | | |
| Investment Advisory Services | | | 2,387 | |
| Management and Administrative | | | 62,788 | |
| Marketing and Distribution | | | 11,833 | |
| Custodian Fees | | | 299 | |
| Shareholders’ Reports | | | 1,585 | |
| Trustees’ Fees and Expenses | | | 90 | |
| Total Expenses | | | 78,982 | |
| Net Investment Income | | | 1,210,141 | |
| Realized Net Gain (Loss) on Investment Securities Sold | | | 275 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | 1,210,416 | |
See accompanying Notes, which are an integral part of the Financial Statements.
Federal Money Market Fund
Statement of Changes in Net Assets
| | | Six Months Ended | | | Year Ended | |
| | | February 29, | | | August 31, | |
| | | 2020 | | | 2019 | |
| | | | ($000 | ) | | | ($000 | ) |
| Increase (Decrease) in Net Assets | | | | | | | | |
| Operations | | | | | | | | |
| Net Investment Income | | | 1,210,141 | | | | 2,616,779 | |
| Realized Net Gain (Loss) | | | 275 | | | | 596 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | 1,210,416 | | | | 2,617,375 | |
| Distributions1 | | | | | | | | |
| Total Distributions | | | (1,210,711 | ) | | | (2,616,749 | ) |
| Capital Share Transactions (at $1.00 per share) | | | | | | | | |
| Issued | | | 54,672,917 | | | | 92,160,373 | |
| Issued in Lieu of Cash Distributions | | | 1,190,766 | | | | 2,571,034 | |
| Redeemed | | | (32,372,299 | ) | | | (62,052,929 | ) |
| Net Increase (Decrease) from Capital Share Transactions | | | 23,491,384 | | | | 32,678,478 | |
| Total Increase (Decrease) | | | 23,491,089 | | | | 32,679,104 | |
| Net Assets | | | | | | | | |
| Beginning of Period | | | 132,965,912 | | | | 100,286,808 | |
| End of Period | | | 156,457,001 | | | | 132,965,912 | |
| 1 | Certain prior period numbers have been reclassified to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
Federal Money Market Fund
Financial Highlights
| | | Six Months
Ended
February 29,
2020 | | | | |
| For a Share Outstanding | | | Year Ended August 31, | |
| Throughout Each Period | | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| Net Asset Value, Beginning of Period | | | $1.00 | | | | $1.00 | | | | $1.00 | | | | $1.00 | | | | $1.00 | | | | $1.00 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | .0081 | | | | .0221 | | | | .0141 | | | | .0061 | | | | .0022 | | | | .0001 | |
| Net Realized and Unrealized Gain (Loss) | | | | | | | | | | | | | | | | | | | | | | | | |
| on Investments | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total from Investment Operations | | | .008 | | | | .022 | | | | .014 | | | | .006 | | | | .0022 | | | | .0001 | |
| Distributions | | | | | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (.008 | ) | | | (.022 | ) | | | (.014 | ) | | | (.006 | ) | | | (.0022 | ) | | | (.0001 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (.008 | ) | | | (.022 | ) | | | (.014 | ) | | | (.006 | ) | | | (.0022 | ) | | | (.0001 | ) |
| Net Asset Value, End of Period | | | $1.00 | | | | $1.00 | | | | $1.00 | | | | $1.00 | | | | $1.00 | | | | $1.00 | |
Total Return2 | | | 0.85 | % | | | 2.26 | % | | | 1.42 | % | | | 0.57 | % | | | 0.23 | % | | | 0.01 | % |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $156,457 | | | | $132,966 | | | | $100,287 | | | | $79,452 | | | | $38,804 | | | | $3,325 | |
| Ratio of Total Expenses to Average Net Assets3 | | | 0.11 | % | | | 0.11 | % | | | 0.11 | % | | | 0.11 | % | | | 0.11 | % | | | 0.10 | % |
| Ratio of Net Investment Income to Average Net Assets | | | 1.69 | % | | | 2.24 | % | | | 1.43 | % | | | 0.60 | % | | | 0.27 | % | | | 0.01 | % |
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. The fund is not obligated to repay this amount to Vanguard. The ratio of total expenses to average net assets before an expense reduction was 0.11% for 2016 and 0.11% for 2015. For the six months ended February 29, 2020, and the years ended August 31, 2019, 2018, and 2017, there were no expense reductions. |
See accompanying Notes, which are an integral part of the Financial Statements.
Federal Money Market Fund
Notes to Financial Statements
Vanguard Federal Money Market Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in short-term debt instruments issued by the U.S. government or its agencies and instrumentalities, and repurchase agreements collateralized by such instruments.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. 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. Securities are valued at amortized cost, which approximates market value.
2. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature, and in the absence of a default, such collateral cannot be repledged, resold, or rehypothecated. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
Federal Money Market Fund
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
6. Other: Interest income is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $6,523,000, representing less than 0.01% of the fund’s net assets and 2.61% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. 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 valued with significant unobservable inputs are noted on the Schedule of Investments.
At February 29, 2020, 100% of the market value of the fund’s investments was determined using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.
Federal Money Market Fund
D. As of February 29, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| | | Amount | |
| | | ($000 | ) |
| Tax cost | | $156,783,057 | |
| Gross unrealized appreciation | | — | |
| Gross unrealized depreciation | | — | |
| Net unrealized appreciation/(depreciation) | | — | |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $2,178,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
Treasury Money Market Fund
Fund Allocation1
As of February 29, 2020
| U.S. Treasury Bills | | 87.1 | % |
| U.S. Government Obligations | | 12.9 | |
| 1 | Percentage of investments. |
Treasury Money Market Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2020
The fund publishes its holdings on a monthly basis on Vanguard’s website and files them with the Securities and Exchange Commission (SEC) on Form N-MFP. The fund’s Form N-MFP filings may be viewed via a link on the “Portfolio Holdings” page at www.vanguard.com or on the SEC’s website at www.sec.gov.
| | | | | Face | Market |
| | | | Maturity | Amount | Value• |
| | | Yield1 | Date | ($000) | ($000) |
| U.S. Government and Agency Obligations (104.2%) | | | |
| | United States Treasury Bill | 1.420%–1.519% | 3/3/20 | 1,493,227 | 1,493,128 |
| | United States Treasury Bill | 1.566%–1.842% | 3/5/20 | 1,217,145 | 1,216,927 |
| | United States Treasury Bill | 1.519%–1.552% | 3/10/20 | 653,261 | 653,010 |
| | United States Treasury Bill | 1.526%–1.845% | 3/12/20 | 1,552,254 | 1,551,509 |
| | United States Treasury Bill | 1.534% | 3/17/20 | 553,000 | 552,624 |
| | United States Treasury Bill | 1.546%–1.888% | 3/19/20 | 1,988,921 | 1,987,305 |
| | United States Treasury Bill | 1.528%–1.577% | 3/24/20 | 1,793,438 | 1,791,670 |
| | United States Treasury Bill | 1.548%–1.561% | 3/26/20 | 498,852 | 498,314 |
| | United States Treasury Bill | 1.454%–1.554% | 3/31/20 | 2,081,000 | 2,078,489 |
| | United States Treasury Bill | 1.526%–1.811% | 4/2/20 | 684,000 | 683,055 |
| | United States Treasury Bill | 1.551%–1.554% | 4/7/20 | 349,315 | 348,759 |
| | United States Treasury Bill | 1.516%–1.679% | 4/9/20 | 1,610,792 | 1,608,130 |
| | United States Treasury Bill | 1.566%–1.569% | 4/14/20 | 645,000 | 643,766 |
| | United States Treasury Bill | 1.536%–1.633% | 4/16/20 | 689,137 | 687,777 |
| | United States Treasury Bill | 1.555%–1.574% | 4/21/20 | 820,983 | 819,157 |
| | United States Treasury Bill | 1.536% | 4/23/20 | 1,779,000 | 1,774,993 |
| | United States Treasury Bill | 1.536%–1.644% | 4/30/20 | 2,050,425 | 2,045,078 |
| | United States Treasury Bill | 1.536%–1.556% | 5/7/20 | 1,645,250 | 1,640,505 |
| | United States Treasury Bill | 1.548%–1.562% | 5/14/20 | 1,850,807 | 1,844,915 |
| | United States Treasury Bill | 1.548%–1.552% | 5/21/20 | 2,378,454 | 2,370,192 |
| | United States Treasury Bill | 1.498%–1.593% | 5/28/20 | 1,902,000 | 1,894,942 |
| | United States Treasury Bill | 1.577% | 6/4/20 | 349,000 | 347,559 |
| | United States Treasury Bill | 1.572% | 7/2/20 | 353,166 | 351,284 |
| | United States Treasury Bill | 1.522% | 8/20/20 | 250,000 | 248,196 |
| 2 | United States Treasury Floating | | | | |
| | Rate Note, 3M US T-Bill + 0.139% | 1.650% | 4/30/21 | 750,000 | 749,588 |
| 2 | United States Treasury Floating | | | | |
| | Rate Note, 3M US T-Bill + 0.220% | 1.731% | 7/31/21 | 1,075,000 | 1,074,528 |
| 2 | United States Treasury Floating | | | | |
| | Rate Note, 3M US T-Bill + 0.300% | 1.811% | 10/31/21 | 1,152,280 | 1,152,768 |
| | United States Treasury Note/Bond | 1.125% | 3/31/20 | 300,000 | 299,886 |
| | United States Treasury Note/Bond | 2.250% | 3/31/20 | 275,875 | 276,017 |
| | United States Treasury Note/Bond | 1.125% | 4/30/20 | 50,000 | 49,963 |
| | United States Treasury Note/Bond | 1.375% | 4/30/20 | 375,000 | 374,883 |
| | United States Treasury Note/Bond | 2.375% | 4/30/20 | 111,000 | 111,145 |
| | United States Treasury Note/Bond | 3.500% | 5/15/20 | 232,000 | 232,909 |
| Total U.S. Government and Agency Obligations (Cost $33,452,971) | | 33,452,971 |
| Total Investments (104.2%) (Cost $33,452,971) | | | 33,452,971 |
| Treasury Money Market Fund | | | |
| | | | |
| | | Face | Market |
| | Maturity | Amount | Value• |
| | Yield1 | Date | ($000) | ($000) |
| Other Assets and Liabilities-Net (-4.2%) | | | (1,344,772) |
| Net Assets (100%) | | | 32,108,199 |
Cost rounded to $000.
| • | See Note A in Notes to Financial Statements. |
| 1 | Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities. |
| 2 | Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
See accompanying Notes, which are an integral part of the Financial Statements.
Treasury Money Market Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value (Cost $33,452,971) | 33,452,971 |
| Investment in Vanguard | 1,375 |
| Receivables for Investment Securities Sold | 584,833 |
| Receivables for Accrued Income | 18,224 |
| Receivables for Capital Shares Issued | 313,637 |
| Cash | 6 |
| Other Assets | 4,614 |
| Total Assets | 34,375,660 |
| Liabilities | |
| Payables for Investment Securities Purchased | 2,082,693 |
| Payables for Capital Shares Redeemed | 180,454 |
| Payables for Distributions | 3,066 |
| Payables to Vanguard | 1,248 |
| Total Liabilities | 2,267,461 |
| Net Assets | 32,108,199 |
| | |
| At February 29, 2020, net assets consisted of: | |
| | |
| Paid-in Capital | 32,108,539 |
| Total Distributable Earnings (Loss) | (340) |
| Net Assets | 32,108,199 |
| | |
| Net Assets | |
| Applicable to 32,105,499,831 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 32,108,199 |
| Net Asset Value Per Share | $1.00 |
See accompanying Notes, which are an integral part of the Financial Statements.
Treasury Money Market Fund
Statement of Operations
| | Six Months Ended |
| | February 29, 2020 |
| | ($000) |
| Investment Income | |
| Income | |
| Interest | 270,082 |
| Total Income | 270,082 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 505 |
| Management and Administrative | 10,533 |
| Marketing and Distribution | 2,501 |
| Custodian Fees | 56 |
| Shareholders’ Reports | 41 |
| Trustees’ Fees and Expenses | 8 |
| Total Expenses | 13,644 |
| Net Investment Income | 256,438 |
| Realized Net Gain (Loss) on Investment Securities Sold | 300 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 256,738 |
See accompanying Notes, which are an integral part of the Financial Statements.
Treasury Money Market Fund
Statement of Changes in Net Assets
| | Six Months Ended | Year Ended |
| | February 29, | August 31, |
| | 2020 | 2019 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 256,438 | 540,071 |
| Realized Net Gain (Loss) | 300 | 306 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 256,738 | 540,377 |
| Distributions1 | | |
| Total Distributions | (256,474) | (540,070) |
| Capital Share Transactions (at $1.00 per share) | | |
| Issued | 13,979,096 | 24,578,573 |
| Issued in Lieu of Cash Distributions | 234,933 | 502,686 |
| Redeemed | (10,534,238) | (15,564,718) |
| Net Increase (Decrease) from Capital Share Transactions | 3,679,791 | 9,516,541 |
| Total Increase (Decrease) | 3,680,055 | 9,516,848 |
| Net Assets | | |
| Beginning of Period | 28,428,144 | 18,911,296 |
| End of Period | 32,108,199 | 28,428,144 |
| 1 | Certain prior period numbers have been reclassified to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
Treasury Money Market Fund
Financial Highlights
| | Six Months | | | | | |
| | Ended | | | Year Ended August 31, |
| For a Share Outstanding | February 29, | | |
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations
| Net Investment Income | .0081 | .0221 | .0141 | .0051 | .0017 | .0001 |
| Net Realized and Unrealized Gain (Loss) on Investments | — | — | — | — | — | — |
| Total from Investment Operations | .008 | .022 | .014 | .005 | .0017 | .0001 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.008) | (.022) | (.014) | (.005) | (.0017) | (.0001) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.008) | (.022) | (.014) | (.005) | (.0017) | (.0001) |
| Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| | | | | | | |
Total Return2 | 0.85% | 2.25% | 1.43% | 0.54% | 0.17% | 0.01% |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $32,108 | $28,428 | $18,911 | $15,639 | $12,803 | $9,388 |
| Ratio of Total Expenses to Average Net Assets3 | 0.09% | 0.09% | 0.09% | 0.09% | 0.09% | 0.04% |
| Ratio of Net Investment Income to Average Net Assets | 1.69% | 2.23% | 1.43% | 0.55% | 0.18% | 0.01% |
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. The fund is not obligated to repay this amount to Vanguard. The ratio of total expenses to average net assets before an expense reduction was 0.09% for 2016 and 0.09% for 2015. For the six months ended February 29, 2020, and years ended August 31, 2019, 2018 and 2017, there were no expense reductions. |
See accompanying Notes, which are an integral part of the Financial Statements.
Treasury Money Market Fund
Notes to Financial Statements
Vanguard Treasury Money Market Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in short-term debt instruments backed by the full faith and credit of the U.S. government.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. 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. Securities are valued at amortized cost, which approximates market value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
4. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
5. Other: Interest income is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date.
Treasury Money Market Fund
Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $1,375,000, representing less than 0.01% of the fund’s net assets and 0.55% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. 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 valued with significant unobservable inputs are noted on the Schedule of Investments.
At February 29, 2020, 100% of the market value of the fund’s investments was determined using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.
D. As of February 29, 2020, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
| | | Amount | |
| | | ($000 | ) |
| Tax Cost | | 33,452,971 | |
| Gross Unrealized Appreciation | | — | |
| Gross Unrealized Depreciation | | — | |
| Net Unrealized Appreciation (Depreciation) | | — | |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $616,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
Treasury Money Market Fund
E. Effective April 16, 2020, the fund is closed to all new investors, with the exception of participants who invest in the fund only through defined contribution plans that offer the fund as an existing option. The fund will remain closed until further notice. During the fund’s closed period, all current shareholders may continue to purchase, exchange, or redeem shares of the fund.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
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Connect with Vanguard® > vanguard.com
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Who Are Deaf or Hard of Hearing > 800-749-7273
This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.
© 2020 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Q302 042020
Semiannual Report | February 29, 2020 Vanguard S&P Mid-Cap 400 Index Funds |
Vanguard S&P Mid-Cap 400 Index Fund Vanguard S&P Mid-Cap 400 Value Index Fund Vanguard S&P Mid-Cap 400 Growth Index Fund See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports. |
Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
Contents
| About Your Fund’s Expenses | 1 |
| | |
| S&P Mid-Cap 400 Index Fund | 3 |
| | |
| S&P Mid-Cap 400 Value Index Fund | 20 |
| | |
| S&P Mid-Cap 400 Growth Index Fund | 37 |
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
Six Months Ended February 29, 2020
| | | Beginning | | | Ending | | | Expenses | |
| | | Account Value | | | Account Value | | | Paid During | |
| | | 8/31/2019 | | | 2/29/2020 | | | Period | |
| Based on Actual Fund Return | | | | | | | | | | | | |
| S&P Mid-Cap 400 Index Fund | | | | | | | | | | | | |
| ETF Shares | | | $1,000.00 | | | | $972.22 | | | | $0.49 | |
| Institutional Shares | | | 1,000.00 | | | | 972.33 | | | | 0.39 | |
| S&P Mid-Cap 400 Value Index Fund | | | | | | | | | | | | |
| ETF Shares | | | $1,000.00 | | | | $965.20 | | | | $0.73 | |
| Institutional Shares | | | 1,000.00 | | | | 965.68 | | | | 0.39 | |
| S&P Mid-Cap 400 Growth Index Fund | | | | | | | | | | | | |
| ETF Shares | | | $1,000.00 | | | | $976.83 | | | | $0.74 | |
| Institutional Shares | | | 1,000.00 | | | | 977.29 | | | | 0.39 | |
| Based on Hypothetical 5% Yearly Return | | | | | | | | | | | | |
| S&P Mid-Cap 400 Index Fund | | | | | | | | | | | | |
| ETF Shares | | | $1,000.00 | | | | $1,024.37 | | | | $0.50 | |
| Institutional Shares | | | 1,000.00 | | | | 1,024.47 | | | | 0.40 | |
| S&P Mid-Cap 400 Value Index Fund | | | | | | | | | | | | |
| ETF Shares | | | $1,000.00 | | | | $1,024.12 | | | | $0.75 | |
| Institutional Shares | | | 1,000.00 | | | | 1,024.47 | | | | 0.40 | |
| S&P Mid-Cap 400 Growth Index Fund | | | | | | | | | | | | |
| ETF Shares | | | $1,000.00 | | | | $1,024.12 | | | | $0.75 | |
| Institutional Shares | | | 1,000.00 | | | | 1,024.47 | | | | 0.40 | |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the S&P Mid-Cap 400 Index Fund, 0.10% for ETF Shares and 0.08% for Institutional Shares; for the S&P Mid-Cap 400 Value Index Fund, 0.15% for ETF Shares and 0.08% for Institutional Shares; and for the S&P Mid-Cap 400 Growth Index Fund, 0.15% for ETF Shares and 0.08% for Institutional Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (182/366).
S&P Mid-Cap 400 Index Fund
Sector Diversification
As of February 29, 2020
| Communication Services | | | 2.0 | % | |
| Consumer Discretionary | | | 13.9 | | |
| Consumer Staples | | | 3.2 | | |
| Energy | | | 1.4 | | |
| Financials | | | 16.5 | | |
| Health Care | | | 10.3 | | |
| Industrials | | | 15.9 | | |
| Information Technology | | | 15.8 | | |
| Materials | | | 5.7 | | |
| Real Estate | | | 10.8 | | |
| Utilities | | | 4.5 | | |
The table reflects the fund’s investments, except for short -term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking their target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
S&P Mid-Cap 400 Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 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.
| | | | | | | Market | |
| | | | | | | Value• | |
| | | | Shares | | | ($000) | |
| Common Stocks (99.5%) | |
| Communication Services (2.0%) | |
| | Cable One Inc. | | | 6,143 | | | | 9,663 | |
| | New York Times Co. | | | 175,826 | | | | 6,586 | |
| | TEGNA Inc. | | | 265,075 | | | | 3,796 | |
| | Cinemark Holdings Inc. | | | 130,246 | | | | 3,381 | |
| | TripAdvisor Inc. | | | 128,305 | | | | 3,009 | |
| | World Wrestling Entertainment Inc. | | | 58,255 | | | | 2,725 | |
| * | Yelp Inc. | | | 78,140 | | | | 2,443 | |
| | Telephone & Data Systems Inc. | | | 119,559 | | | | 2,408 | |
| | John Wiley & Sons Inc. | | | 53,529 | | | | 1,991 | |
| * | AMC Networks Inc. | | | 53,989 | | | | 1,674 | |
| | Meredith Corp. | | | 48,951 | | | | 1,290 | |
| | | | | | | | | 38,966 | |
| Consumer Discretionary (13.8%) | |
| | Domino’s Pizza Inc. | | | 47,308 | | | | 16,059 | |
| | Service Corp. | | | 223,555 | | | | 10,684 | |
| | International Pool Corp. | | | 48,977 | | | | 10,332 | |
| * | Caesars Entertainment Corp. | | | 682,478 | | | | 8,674 | |
| * | Etsy Inc. | | | 144,926 | | | | 8,378 | |
| | Gentex Corp. | | | 309,464 | | | | 8,263 | |
| | Lear Corp. | | | 67,331 | | | | 7,487 | |
| | Dunkin’ Brands Group Inc. | | | 101,319 | | | | 6,740 | |
| * | Five Below Inc. | | | 68,106 | | | | 6,603 | |
| * | Deckers Outdoor Corp. | | | 34,227 | | | | 5,949 | |
| | Wyndham Hotels & Resorts Inc. | | | 116,416 | | | | 5,931 | |
| | Williams-Sonoma Inc. | | | 94,965 | | | | 5,925 | |
| | Polaris Inc. | | | 70,342 | | | | 5,805 | |
| | Toll Brothers Inc. | | | 147,660 | | | | 5,468 | |
| | Churchill Downs Inc. | | | 43,357 | | | | 5,447 | |
| * | Skechers U.S.A. Inc. | | | 163,821 | | | | 5,419 | |
| * | Grubhub Inc. | | | 111,852 | | | | 5,381 | |
| | Brunswick Corp. | | | 99,779 | | | | 5,308 | |
| | Thor Industries Inc. | | | 67,496 | | | | 5,090 | |
| * | Helen of Troy Ltd. | | | 30,768 | | | | 5,064 | |
| ^,* | Mattel Inc. | | | 424,061 | | | | 5,000 | |
| | Carter’s Inc. | | | 54,002 | | | | 4,940 | |
| * | Grand Canyon Education Inc. | | | 58,946 | | | | 4,756 | |
| | Foot Locker Inc. | | | 130,909 | | | | 4,745 | |
| | Texas Roadhouse Inc. | | | 79,769 | | | | 4,485 | |
| | Marriott Vacations Worldwide Corp. | | | 45,749 | | | | 4,428 | |
| | Wyndham Destinations Inc. | | | 110,903 | | | | 4,425 | |
| | Wendy’s Co. | | | 225,103 | | | | 4,250 | |
| | Cracker Barrel Old Country Store Inc. | | | 29,407 | | | | 4,215 | |
| * | Tempur Sealy International Inc. | | | 55,554 | | | | 4,153 | |
| * | Eldorado Resorts Inc. | | | 79,852 | | | | 4,007 | |
| * | Penn National Gaming Inc. | | | 133,226 | | | | 3,939 | |
| * | Taylor Morrison Home Corp. | | | 161,775 | | | | 3,643 | |
| * | Rh | | | 19,963 | | | | 3,621 | |
| | Choice Hotels International Inc. | | | 38,799 | | | | 3,542 | |
| * | Murphy USA Inc. | | | 35,313 | | | | 3,443 | |
| | KB Home | | | 104,660 | | | | 3,411 | |
| ^,* | Ollie’s Bargain Outlet Holdings Inc. | | | 66,756 | | | | 3,396 | |
| | Aaron’s Inc. | | | 82,076 | | | | 3,228 | |
| * | AutoNation Inc. | | | 71,908 | | | | 3,073 | |
| | Columbia Sportswear Co. | | | 35,450 | | | | 2,882 | |
| | Dick’s Sporting Goods Inc. | | | 77,650 | | | | 2,827 | |
| | Goodyear Tire & Rubber Co. | | | 283,933 | | | | 2,750 | |
| | Graham Holdings Co. | | | 5,312 | | | | 2,671 | |
| | Boyd Gaming Corp. | | | 97,942 | | | | 2,616 | |
| * | TRI Pointe Group Inc. | | | 170,323 | | | | 2,611 | |
| * | Adient plc | | | 106,613 | | | | 2,551 | |
| | Dana Inc. | | | 175,922 | | | | 2,530 | |
| | American Eagle Outfitters Inc. | | | 194,241 | | | | 2,502 | |
| | Six Flags Entertainment Corp. | | | 95,976 | | | | 2,426 | |
| * | Visteon Corp. | | | 34,178 | | | | 2,223 | |
S&P Mid-Cap 400 Index Fund
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| * | Adtalem Global Education Inc. | | | 66,111 | | | | 2,041 | |
| * | Urban Outfitters Inc. | | | 86,330 | | | | 2,030 | |
| | Jack in the Box Inc. | | | 28,966 | | | | 1,995 | |
| | Cheesecake Factory Inc. | | | 50,353 | | | | 1,794 | |
| * | Sally Beauty Holdings Inc. | | | 142,386 | | | | 1,771 | |
| * | WW International Inc. | | | 56,880 | | | | 1,706 | |
| ^ | Bed Bath & Beyond Inc. | | | 154,846 | | | | 1,674 | |
| | Brinker International Inc. | | | 45,834 | | | | 1,574 | |
| | Papa John’s International Inc. | | | 27,018 | | | | 1,557 | |
| * | Delphi Technologies plc | | | 104,990 | | | | 1,482 | |
| * | Scientific Games Corp. | | | 66,381 | | | | 1,211 | |
| ^ | Dillard’s Inc. Class A | | | 11,975 | | | | 674 | |
| | | | | | | | | 272,805 | |
| Consumer Staples (3.2%) | |
| * | Post Holdings Inc. | | | 81,310 | | | | 8,233 | |
| | Casey’s General Stores Inc. | | | 45,004 | | | | 7,337 | |
| | Ingredion Inc. | | | 81,706 | | | | 6,806 | |
| * | Darling Ingredients Inc. | | | 200,846 | | | | 5,162 | |
| | Flowers Foods Inc. | | | 235,404 | | | | 5,068 | |
| * | Boston Beer Co. Inc. Class A | | | 11,256 | | | | 4,174 | |
| | Lancaster Colony Corp. | | | 24,170 | | | | 3,491 | |
| | Energizer Holdings Inc. | | | 78,599 | | | | 3,379 | |
| | Sanderson Farms Inc. | | | 24,059 | | | | 2,973 | |
| * | BJ’s Wholesale Club Holdings Inc. | | | 149,166 | | | | 2,873 | |
| * | TreeHouse Foods Inc. | | | 68,668 | | | | 2,617 | |
| * | Hain Celestial Group Inc. | | | 98,321 | | | | 2,333 | |
| * | Sprouts Farmers Market Inc. | | | 144,523 | | | | 2,309 | |
| * | Edgewell Personal Care Co. | | | 66,487 | | | | 2,018 | |
| | Nu Skin Enterprises Inc. | | | 67,941 | | | | 1,666 | |
| * | Pilgrim’s Pride Corp. | | | 64,256 | | | | 1,360 | |
| | Tootsie Roll Industries Inc. | | | 20,387 | | | | 654 | |
| | | | | | | | | 62,453 | |
| Energy (1.4%) | |
| * | WPX Energy Inc. | | | 509,714 | | | | 4,756 | |
| | Murphy Oil Corp. | | | 182,414 | | | | 3,438 | |
| | PBF Energy Inc. | | | 124,963 | | | | 2,798 | |
| * | Transocean Ltd. | | | 701,789 | | | | 2,351 | |
| | World Fuel Services Corp. | | | 79,846 | | | | 2,258 | |
| | EQT Corp. | | | 314,475 | | | | 1,846 | |
| * | Apergy Corp. | | | 94,557 | | | | 1,759 | |
| | Equitrans Midstream Corp. | | | 248,441 | | | | 1,754 | |
| ^ | Antero Midstream Corp. | | | 363,336 | | | | 1,584 | |
| | Core Laboratories NV | | | 54,352 | | | | 1,459 | |
| | Patterson-UTI Energy Inc. | | | 238,063 | | | | 1,364 | |
| * | Matador Resources Co. | | | 134,131 | | | | 1,293 | |
| * | CNX Resources Corp. | | | 228,873 | | | | 1,215 | |
| ^,* | Chesapeake Energy Corp. | | | 1,418,419 | | | | 390 | |
| | | | | | | | | 28,265 | |
| Financials (16.4%) | |
| | FactSet Research Systems Inc. | | | 46,409 | | | | 12,344 | |
| | Brown & Brown Inc. | | | 285,922 | | | | 12,297 | |
| * | Alleghany Corp. | | | 17,604 | | | | 11,834 | |
| | Reinsurance Group of America Inc. | | | 76,590 | | | | 9,346 | |
| | RenaissanceRe Holdings Ltd. | | | 54,003 | | | | 9,202 | |
| | American Financial Group Inc. | | | 91,542 | | | | 8,460 | |
| | SEI Investments Co. | | | 154,388 | | | | 8,447 | |
| | Signature Bank | | | 66,059 | | | | 8,264 | |
| | First American Financial Corp. | | | 137,389 | | | | 7,845 | |
| | Commerce Bancshares Inc. | | | 126,962 | | | | 7,750 | |
| | Prosperity Bancshares Inc. | | | 115,565 | | | | 7,465 | |
| | East West Bancorp Inc. | | | 178,264 | | | | 6,906 | |
| | Old Republic International Corp. | | | 349,089 | | | | 6,884 | |
| | TCF Financial Corp. | | | 187,748 | | | | 6,842 | |
| | New York Community Bancorp Inc. | | | 571,778 | | | | 6,181 | |
| | Jefferies Financial Group Inc. | | | 292,605 | | | | 5,767 | |
| | Eaton Vance Corp. | | | 138,405 | | | | 5,711 | |
| | Hanover Insurance Group Inc. | | | 48,171 | | | | 5,710 | |
| | Primerica Inc. | | | 50,585 | | | | 5,632 | |
| | Cullen/Frost Bankers Inc. | | | 69,650 | | | | 5,460 | |
| | SLM Corp. | | | 516,641 | | | | 5,358 | |
| | Kemper Corp. | | | 76,625 | | | | 5,275 | |
| | Synovus Financial Corp. | | | 179,264 | | | | 5,202 | |
| | First Horizon National Corp. | | | 380,646 | | | | 5,074 | |
| | Legg Mason Inc. | | | 99,684 | | | | 4,966 | |
| | Interactive Brokers Group Inc. | | | 93,799 | | | | 4,793 | |
| * | Brighthouse Financial Inc. | | | 133,725 | | | | 4,793 | |
| | First Financial Bankshares Inc. | | | 166,133 | | | | 4,775 | |
| | PacWest Bancorp | | | 146,746 | | | | 4,643 | |
| | Pinnacle Financial Partners Inc. | | | 88,017 | | | | 4,633 | |
| | CIT Group Inc. | | | 115,941 | | | | 4,604 | |
| | Stifel Financial Corp. | | | 83,682 | | | | 4,556 | |
| | Affiliated Managers Group Inc. | | | 60,216 | | | | 4,529 | |
| | Valley National Bancorp | | | 478,830 | | | | 4,453 | |
| | Webster Financial Corp. | | | 112,528 | | | | 4,273 | |
| | Umpqua Holdings Corp. | | | 269,153 | | | | 4,142 | |
| | Sterling Bancorp | | | 246,873 | | | | 4,093 | |
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| | Selective Insurance Group Inc. | | | 72,614 | | | | 4,050 | |
| | Janus Henderson Group plc | | | 190,234 | | | | 4,033 | |
| | FirstCash Inc. | | | 52,130 | | | | 4,010 | |
| | FNB Corp. | | | 397,144 | | | | 4,007 | |
| | RLI Corp. | | | 48,773 | | | | 3,920 | |
| | Bank OZK | | | 147,635 | | | | 3,748 | |
| | Wintrust Financial Corp. | | | 69,719 | | | | 3,724 | |
| | Bank of Hawaii Corp. | | | 49,214 | | | | 3,662 | |
| | United Bankshares Inc. | | | 124,034 | | | | 3,582 | |
| | Hancock Whitney Corp. | | | 106,526 | | | | 3,569 | |
| | Federated Hermes Inc. | | | 117,455 | | | | 3,389 | |
| | Associated Banc-Corp | | | 194,567 | | | | 3,294 | |
| | Evercore Inc. | | | 47,759 | | | | 3,182 | |
| | Home BancShares Inc. | | | 189,477 | | | | 3,176 | |
| | UMB Financial Corp. | | | 52,772 | | | | 3,069 | |
| | CNO Financial Group Inc. | | | 184,699 | | | | 2,959 | |
| | Fulton Financial Corp. | | | 200,454 | | | | 2,897 | |
| * | Texas Capital Bancshares Inc. | | | 61,474 | | | | 2,894 | |
| | Washington Federal Inc. | | | 95,687 | | | | 2,870 | |
| | BancorpSouth Bank | | | 117,148 | | | | 2,867 | |
| | Cathay General Bancorp | | | 92,492 | | | | 2,847 | �� |
| | Navient Corp. | | | 237,714 | | | | 2,669 | |
| * | LendingTree Inc. | | | 9,376 | | | | 2,586 | |
| * | Genworth Financial Inc. | | | 615,624 | | | | 2,401 | |
| | International Bancshares Corp. | | | 70,118 | | | | 2,391 | |
| | Trustmark Corp. | | | 78,614 | | | | 2,115 | |
| | Mercury General Corp. | | | 33,334 | | | | 1,444 | |
| | | | | | | | | 323,864 | |
| Health Care (10.2%) | |
| | West Pharmaceutical Services Inc. | | | 90,478 | | | | 13,622 | |
| * | Masimo Corp. | | | 60,001 | | | | 9,800 | |
| * | Catalent Inc. | | | 189,256 | | | | 9,752 | |
| * | Molina Healthcare Inc. | | | 76,686 | | | | 9,398 | |
| * | Bio-Rad Laboratories Inc. | | | 26,424 | | | | 9,302 | |
| * | Charles River Laboratories International Inc. | | | 59,731 | | | | 9,292 | |
| | Encompass Health Corp. | | | 120,598 | | | | 9,026 | |
| | Bio-Techne Corp. | | | 46,611 | | | | 8,804 | |
| | Chemed Corp. | | | 19,581 | | | | 8,177 | |
| | Hill-Rom Holdings Inc. | | | 81,651 | | | | 7,843 | |
| * | PRA Health Sciences Inc. | | | 77,356 | | | | 7,287 | |
| * | Exelixis Inc. | | | 371,619 | | | | 6,908 | |
| * | Amedisys Inc. | | | 39,452 | | | | 6,865 | |
| * | Haemonetics Corp. | | | 61,982 | | | | 6,715 | |
| * | Penumbra Inc. | | | 39,282 | | | | 6,515 | |
| * | HealthEquity Inc. | | | 86,695 | | | | 6,154 | |
| * | United Therapeutics Corp. | | | 53,663 | | | | 5,525 | |
| * | Repligen Corp. | | | 57,296 | | | | 4,905 | |
| * | Syneos Health Inc. | | | 76,105 | | | | 4,821 | |
| * | ICU Medical Inc. | | | 23,495 | | | | 4,601 | |
| * | Integra LifeSciences Holdings Corp. | | | 87,171 | | | | 4,542 | |
| * | Nektar Therapeutics Class A | | | 215,050 | | | | 4,475 | |
| * | Arrowhead Pharmaceuticals Inc. | | | 122,377 | | | | 4,327 | |
| * | Globus Medical Inc. | | | 94,130 | | | | 4,258 | |
| * | NuVasive Inc. | | | 63,678 | | | | 4,191 | |
| * | LivaNova plc | | | 59,123 | | | | 4,122 | |
| * | Tenet Healthcare Corp. | | | 126,915 | | | | 3,335 | |
| * | Acadia Healthcare Co. Inc. | | | 108,163 | | | | 3,202 | |
| | Cantel Medical Corp. | | | 45,797 | | | | 2,890 | |
| | Patterson Cos. Inc. | | | 105,498 | | | | 2,510 | |
| * | Prestige Consumer Healthcare Inc. | | | 61,486 | | | | 2,297 | |
| * | Ligand Pharmaceuticals Inc. | | | 21,525 | | | | 2,015 | |
| * | Avanos Medical Inc. | | | 58,762 | | | | 1,904 | |
| * | MEDNAX Inc. | | | 103,052 | | | | 1,761 | |
| * | Allscripts Healthcare Solutions Inc. | | | 199,163 | | | | 1,502 | |
| | | | | | | | | 202,643 | |
| Industrials (15.8%) |
| * | Teledyne Technologies Inc. | | | 44,596 | | | | 15,043 | |
| | Carlisle Cos. Inc. | | | 69,315 | | | | 10,071 | |
| | Graco Inc. | | | 204,002 | | | | 10,061 | |
| | Lennox International Inc. | | | 42,883 | | | | 9,783 | |
| | Toro Co. | | | 130,371 | | | | 9,312 | |
| | Nordson Corp. | | | 62,588 | | | | 9,094 | |
| | Hubbell Inc. | | | 66,536 | | | | 8,865 | |
| * | Aecom | | | 192,173 | | | | 8,636 | |
| * | XPO Logistics Inc. | | | 112,890 | | | | 8,350 | |
| * | Generac Holdings Inc. | | | 76,194 | | | | 7,847 | |
| | Owens Corning | | | 133,065 | | | | 7,517 | |
| | Woodward Inc. | | | 68,969 | | | | 7,118 | |
| | Donaldson Co. Inc. | | | 154,845 | | | | 6,980 | |
| * | Trex Co. Inc. | | | 71,343 | | | | 6,824 | |
| | ITT Inc. | | | 107,298 | | | | 6,454 | |
| * | Stericycle Inc. | | | 111,452 | | | | 6,401 | |
| | Watsco Inc. | | | 39,946 | | | | 6,271 | |
| | Curtiss-Wright Corp. | | | 52,208 | | | | 6,262 | |
| | Lincoln Electric Holdings Inc. | | | 74,823 | | | | 6,127 | |
| | Oshkosh Corp. | | | 83,273 | | | | 6,008 | |
| * | Axon Enterprise Inc. | | | 72,568 | | | | 5,615 | |
| * | JetBlue Airways Corp. | | | 353,148 | | | | 5,573 | |
| | ManpowerGroup Inc. | | | 72,138 | | | | 5,478 | |
| | Tetra Tech Inc. | | | 66,765 | | | | 5,399 | |
| | MSA Safety Inc. | | | 43,590 | | | | 5,304 | |
| | EMCOR Group Inc. | | | 68,700 | | | | 5,284 | |
| * | FTI Consulting Inc. | | | 46,015 | | | | 5,181 | |
| * | Mercury Systems Inc. | | | 67,909 | | | | 4,989 | |
| | Acuity Brands Inc. | | | 48,461 | | | | 4,985 | |
| | Landstar System Inc. | | | 48,265 | | | | 4,873 | |
S&P Mid-Cap 400 Index Fund
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| | Knight-Swift Transportation Holdings Inc. | | | 150,272 | | | | 4,800 | |
| | Brink’s Co. | | | 61,141 | | | | 4,787 | |
| * | Kirby Corp. | | | 73,291 | | | | 4,672 | |
| | AGCO Corp. | | | 76,632 | | | | 4,631 | |
| | nVent Electric plc | | | 190,429 | | | | 4,572 | |
| * | Clean Harbors Inc. | | | 62,795 | | | | 4,365 | |
| | Crane Co. | | | 62,337 | | | | 4,236 | |
| | Regal Beloit Corp. | | | 50,011 | | | | 3,883 | |
| | Timken Co. | | | 82,827 | | | | 3,714 | |
| * | MasTec Inc. | | | 73,654 | | | | 3,615 | |
| * | Colfax Corp. | | | 102,111 | | | | 3,418 | |
| | MSC Industrial Direct Co. Inc. Class A | | | 54,997 | | | | 3,400 | |
| * | ASGN Inc. | | | 64,493 | | | | 3,270 | |
| | EnerSys | | | 51,625 | | | | 3,179 | |
| | Insperity Inc. | | | 45,922 | | | | 3,089 | |
| | GATX Corp. | | | 42,865 | | | | 3,066 | |
| | Valmont Industries Inc. | | | 26,278 | | | | 3,054 | |
| | KAR Auction Services Inc. | | | 157,294 | | | | 3,028 | |
| | Kennametal Inc. | | | 101,188 | | | | 2,813 | |
| | Healthcare Services Group Inc. | | | 90,769 | | | | 2,500 | |
| | Ryder System Inc. | | | 65,105 | | | | 2,477 | |
| | Herman Miller Inc. | | | 72,204 | | | | 2,472 | |
| | Trinity Industries Inc. | | | 120,085 | | | | 2,444 | |
| * | Avis Budget Group Inc. | | | 69,613 | | | | 2,254 | |
| | Werner Enterprises Inc. | | | 54,316 | | | | 1,825 | |
| | Terex Corp. | | | 80,322 | | | | 1,768 | |
| | HNI Corp. | | | 52,521 | | | | 1,724 | |
| | Deluxe Corp. | | | 51,529 | | | | 1,716 | |
| * | Resideo Technologies Inc. | | | 150,697 | | | | 1,620 | |
| | Fluor Corp. | | | 171,191 | | | | 1,595 | |
| * | NOW Inc. | | | 133,783 | | | | 1,181 | |
| * | Dycom Industries Inc. | | | 38,692 | | | | 1,144 | |
| | | | | | | | | 312,017 | |
| Information Technology (15.7%) | | | | |
| * | Tyler Technologies Inc. | | | 47,670 | | | | 14,937 | |
| * | Fair Isaac Corp. | | | 35,418 | | | | 13,318 | |
| | Teradyne Inc. | | | 204,943 | | | | 12,042 | |
| * | Trimble Inc. | | | 304,700 | | | | 12,030 | |
| | Cypress Semiconductor Corp. | | | 451,569 | | | | 10,427 | |
| * | WEX Inc. | | | 52,950 | | | | 9,914 | |
| * | PTC Inc. | | | 127,126 | | | | 9,604 | |
| | Cognex Corp. | | | 209,026 | | | | 9,310 | |
| * | Ceridian HCM Holding Inc. | | | 123,055 | | | | 8,704 | |
| | Universal Display Corp. | | | 51,853 | | | | 8,234 | |
| | Monolithic Power Systems Inc. | | | 49,410 | | | | 7,838 | |
| * | CACI International Inc. Class A | | | 30,626 | | | | 7,504 | |
| * | SolarEdge Technologies Inc. | | | 59,449 | | | | 7,414 | |
| * | Lumentum Holdings Inc. | | | 94,410 | | | | 7,347 | |
| * | Ciena Corp. | | | 189,193 | | | | 7,274 | |
| | CDK Global Inc. | | | 148,494 | | | | 6,834 | |
| * | Arrow Electronics Inc. | | | 99,651 | | | | 6,683 | |
| | MKS Instruments Inc. | | | 66,680 | | | | 6,681 | |
| | SYNNEX Corp. | | | 49,978 | | | | 6,249 | |
| * | Tech Data Corp. | | | 43,331 | | | | 6,170 | |
| * | Cree Inc. | | | 131,743 | | | | 5,893 | |
| | National Instruments Corp. | | | 144,293 | | | | 5,812 | |
| | Jabil Inc. | | | 169,924 | | | | 5,446 | |
| * | Manhattan Associates Inc. | | | 78,148 | | | | 5,264 | |
| | LogMeIn Inc. | | | 59,705 | | | | 5,089 | |
| | Cabot Microelectronics Corp. | | | 35,604 | | | | 4,959 | |
| | j2 Global Inc. | | | 56,623 | | | | 4,945 | |
| | MAXIMUS Inc. | | | 78,242 | | | | 4,931 | |
| * | Cirrus Logic Inc. | | | 70,683 | | | | 4,852 | |
| | Science Applications International Corp. | | | 60,020 | | | | 4,809 | |
| | Littelfuse Inc. | | | 29,789 | | | | 4,757 | |
| * | Silicon Laboratories Inc. | | | 53,038 | | | | 4,703 | |
| | Sabre Corp. | | | 335,001 | | | | 4,561 | |
| | KBR Inc. | | | 173,342 | | | | 4,500 | |
| | CoreLogic Inc. | | | 97,177 | | | | 4,409 | |
| * | First Solar Inc. | | | 92,815 | | | | 4,248 | |
| | Perspecta Inc. | | | 167,931 | | | | 4,193 | |
| | Blackbaud Inc. | | | 60,111 | | | | 4,076 | |
| * | ViaSat Inc. | | | 70,518 | | | | 4,055 | |
| * | ACI Worldwide Inc. | | | 141,376 | | | | 3,940 | |
| * | NCR Corp. | | | 156,066 | | | | 3,933 | |
| * | Coherent Inc. | | | 29,512 | | | | 3,798 | |
| | Avnet Inc. | | | 123,452 | | | | 3,788 | |
| * | Semtech Corp. | | | 80,921 | | | | 3,196 | |
| * | II-VI Inc. | | | 106,486 | | | | 3,162 | |
| | Vishay Intertechnology Inc. | | | 161,575 | | | | 3,021 | |
| * | LiveRamp Holdings Inc. | | | 82,646 | | | | 2,929 | |
| * | Teradata Corp. | | | 137,330 | | | | 2,738 | |
| * | Synaptics Inc. | | | 40,922 | | | | 2,703 | |
| * | CommVault Systems Inc. | | | 51,450 | | | | 2,145 | |
| * | NetScout Systems Inc. | | | 80,799 | | | | 2,077 | |
| | InterDigital Inc. | | | 38,156 | | | | 2,018 | |
| | Belden Inc. | | | 47,282 | | | | 1,888 | |
| | | | | | | | | 311,352 | |
| Materials (5.7%) | |
| | RPM International Inc. | | | 158,652 | | | | 10,171 | |
| | Reliance Steel & Aluminum Co. | | | 81,524 | | | | 8,339 | |
| | AptarGroup Inc. | | | 78,178 | | | | 7,901 | |
| | Royal Gold Inc. | | | 80,209 | | | | 7,738 | |
| | Steel Dynamics Inc. | | | 263,606 | | | | 7,020 | |
| | Sonoco Products Co. | | | 122,473 | | | | 5,904 | |
| | Ashland Global Holdings Inc. | | | 73,667 | | | | 5,270 | |
| | Scotts Miracle-Gro Co. | | | 48,464 | | | | 5,137 | |
S&P Mid-Cap 400 Index Fund
| | | | | | | Market | |
| | | | | | | Value• | |
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| | Valvoline Inc. | | | 230,472 | | | | 4,494 | |
| | Louisiana-Pacific Corp. | | | 143,533 | | | | 4,084 | |
| | Eagle Materials Inc. | | | 50,857 | | | | 4,014 | |
| | NewMarket Corp. | | | 9,015 | | | | 3,503 | |
| | Olin Corp. | | | 195,039 | | | | 3,158 | |
| | Chemours Co. | | | 199,478 | | | | 2,964 | |
| | PolyOne Corp. | | | 110,139 | | | | 2,727 | |
| | Silgan Holdings Inc. | | | 94,823 | | | | 2,715 | |
| | Commercial Metals Co. | | | 144,949 | | | | 2,647 | |
| * | Allegheny Technologies Inc. | | | 154,116 | | | | 2,634 | |
| | Cabot Corp. | | | 69,591 | | | | 2,601 | |
| | Sensient Technologies Corp. | | | 51,694 | | | | 2,542 | |
| * | Ingevity Corp. | | | 51,291 | | | | 2,310 | |
| | Compass Minerals International Inc. | | | 41,470 | | | | 2,262 | |
| | Carpenter Technology Corp. | | | 58,307 | | | | 2,143 | |
| | O-I Glass Inc. | | | 190,441 | | | | 2,057 | |
| | Domtar Corp. | | | 70,079 | | | | 2,016 | |
| | Minerals Technologies Inc. | | | 42,675 | | | | 1,915 | |
| ^ | United States Steel Corp. | | | 208,212 | | | | 1,670 | |
| | Worthington Industries Inc. | | | 45,295 | | | | 1,440 | |
| | Greif Inc. Class A | | | 31,881 | | | | 1,127 | |
| | | | | | | | | 112,503 | |
| Real Estate (10.8%) | | | | | | | | |
| | Medical Properties Trust Inc. | | | 632,792 | | | | 13,371 | |
| | Camden Property Trust | | | 118,398 | | | | 12,548 | |
| | National Retail Properties Inc. | | | 209,878 | | | | 10,672 | |
| | Omega Healthcare Investors Inc. | | | 267,229 | | | | 10,582 | |
| | Jones Lang LaSalle Inc. | | | 63,041 | | | | 9,316 | |
| | Lamar Advertising Co. | | | 105,192 | | | | 8,809 | |
| | Kilroy Realty Corp. | | | 119,269 | | | | 8,670 | |
| | CyrusOne Inc. | | | 138,430 | | | | 8,386 | |
| | Douglas Emmett Inc. | | | 201,557 | | | | 7,695 | |
| | American Campus Communities Inc. | | | 168,054 | | | | 7,300 | |
| | Brixmor Property Group Inc. | | | 364,339 | | | | 6,635 | |
| | Cousins Properties Inc. | | | 179,507 | | | | 6,407 | |
| | Life Storage Inc. | | | 57,047 | | | | 6,156 | |
| | First Industrial Realty Trust Inc. | | | 155,213 | | | | 5,976 | |
| | EastGroup Properties Inc. | | | 46,953 | | | | 5,903 | |
| | Highwoods Properties Inc. | | | 126,905 | | | | 5,696 | |
| | EPR Properties | | | 95,989 | | | | 5,686 | |
| | Healthcare Realty Trust Inc. | | | 163,554 | | | | 5,610 | |
| | Spirit Realty Capital Inc. | | | 121,964 | | | | 5,549 | |
| | Park Hotels & Resorts Inc. | | | 292,946 | | | | 5,349 | |
| | JBG SMITH Properties | | | 144,380 | | | | 5,296 | |
| | CoreSite Realty Corp. | | | 46,087 | | | | 4,781 | |
| | Sabra Health Care REIT Inc. | | | 236,966 | | | | 4,633 | |
| | Rayonier Inc. | | | 158,166 | | | | 4,196 | |
| | Weingarten Realty Investors | | | 147,839 | | | | 3,981 | |
| | Taubman Centers Inc. | | | 74,959 | | | | 3,902 | |
| | Service Properties Trust | | | 201,170 | | | | 3,637 | |
| | PS Business Parks Inc. | | | 24,477 | | | | 3,636 | |
| | Corporate Office Properties Trust | | | 136,714 | | | | 3,464 | |
| | Pebblebrook Hotel Trust | | | 159,716 | | | | 3,228 | |
| | PotlatchDeltic Corp. | | | 82,062 | | | | 3,015 | |
| ^ | Macerich Co. | | | 134,555 | | | | 2,748 | |
| | Urban Edge Properties | | | 140,884 | | | | 2,282 | |
| | GEO Group Inc. | | | 148,497 | | | | 2,174 | |
| | CoreCivic Inc. | | | 145,826 | | | | 2,160 | |
| | Mack-Cali Realty Corp. | | | 110,818 | | | | 2,103 | |
| | Diversified Healthcare Trust | | | 291,282 | | | | 1,832 | |
| | | | | | | | | 213,384 | |
| Utilities (4.5%) | | | | | | | | |
| | Essential Utilities Inc. | | | 263,903 | | | | 11,351 | |
| | OGE Energy Corp. | | | 244,775 | | | | 9,326 | |
| | UGI Corp. | | | 255,697 | | | | 9,215 | |
| | MDU Resources Group Inc. | | | 245,075 | | | | 6,796 | |
| | IDACORP Inc. | | | 61,617 | | | | 5,955 | |
| | Hawaiian Electric Industries Inc. | | | 133,223 | | | | 5,707 | |
| | Black Hills Corp. | | | 75,151 | | | | 5,426 | |
| | ONE Gas Inc. | | | 64,493 | | | | 5,298 | |
| | Spire Inc. | | | 62,374 | | | | 4,681 | |
| | PNM Resources Inc. | | | 97,406 | | | | 4,586 | |
| | ALLETE Inc. | | | 63,202 | | | | 4,360 | |
| | NorthWestern Corp. | | | 61,658 | | | | 4,337 | |
| | Southwest Gas Holdings Inc. | | | 66,775 | | | | 4,319 | |
| | New Jersey Resources Corp. | | | 116,715 | | | | 4,121 | |
| | National Fuel Gas Co. | | | 105,605 | | | | 3,866 | |
| | | | | | | | | 89,344 | |
| | Total Common Stocks | | | | | | | | |
| | (Cost $1,993,225) | | | | | | | 1,967,596 | |
S&P Mid-Cap 400 Index Fund
| | | | | | Market | |
| | | | | | Value• | |
| | | Shares | | | ($000) | |
| Temporary Cash Investments (0.9%) | | | | | | | | |
| Money Market Fund (0.9%) | | | | | | | | |
| 1,2 | Vanguard Market Liquidity | | | | | | | | |
| | Fund, 1.706% | | | 168,695 | | | | 16,875 | |
| | | | | | | | | |
| | | | Face | | | | | |
| | | | Amount | | | | | |
| | | | ($000 | ) | | | | |
| U.S. Government and Agency Obligations (0.0%) |
| 3 | United States Treasury | | | | | | | | |
| | Bill, 1.527%, 4/30/20 | | | 450 | | | | 449 | |
| Total Temporary Cash Investments | | | | | | | | |
| (Cost $17,320) | | | | | | | 17,324 | |
| Total Investments (100.4%) | | | | | | | | |
| (Cost $2,010,545) | | | | | | | 1,984,920 | |
| Other Assets and Liabilities—Net (-0.4%)2 | | | | | | | (8,728 | ) |
| Net Assets (100%) | | | | | | | 1,976,192 | |
| Cost rounded to $000. |
| • | See Note A in Notes to Financial Statements. * Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $9,631,000. |
| 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. |
| 2 | Collateral of $10,847,000 was received for securities on loan. |
| 3 | Securities with a value of $433,000 have been segregated as initial margin for open futures contracts. |
| | REIT—Real Estate Investment Trust. |
| Derivative Financial Instruments Outstanding as of Period End |
| |
Futures Contracts |
| | | | | | | | | | | ($000 | ) |
| | | | | | | | | | | | | | | | Value and | |
| | | | | | | | Number of | | | | | | | | Unrealized | |
| | | | | | | | Long (Short | ) | | | Notional | | | | Appreciation | |
| | | | Expiration | | | | Contracts | | | | Amount | | | | (Depreciation | ) |
| Long Futures Contracts | | | | | | | | | | | | | | | | |
| E-mini S&P Mid-Cap 400 Index | | | March 2020 | | | | 53 | | | | 9,605 | | | | (1,393 | ) |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Index Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | | Amount | |
| Assets | | | |
| Investments in Securities, at Value | | | |
| Unaffiliated Issuers (Cost $1,993,674) | | | 1,968,045 | |
| Affiliated Issuers (Cost $16,871) | | | 16,875 | |
| Total Investments in Securities | | | 1,984,920 | |
| Investment in Vanguard | | | 97 | |
| Receivables for Investment Securities Sold | | | 920 | |
| Receivables for Accrued Income | | | 2,324 | |
| Receivables for Capital Shares Issued | | | 341 | |
| Total Assets | | | 1,988,602 | |
| Liabilities | | | | |
| Due to Custodian | | | 14 | |
| Payables for Investment Securities Purchased | | | 9 | |
| Collateral for Securities on Loan | | | 10,847 | |
| Payables for Capital Shares Redeemed | | | 1,084 | |
| Payables to Vanguard | | | 249 | |
| Variation Margin Payable—Futures Contracts | | | 207 | |
| Total Liabilities | | | 12,410 | |
| Net Assets | | | 1,976,192 | |
| At February 29, 2020, net assets consisted of: | | | | |
| | | | | |
| Paid-in Capital | | | 2,053,529 | |
| Total Distributable Earnings (Loss) | | | (77,337 | ) |
| Net Assets | | | 1,976,192 | |
| | | | | |
| ETF Shares—Net Assets | | | | |
| Applicable to 7,176,158 outstanding $.001 par value shares of | | | | |
| beneficial interest (unlimited authorization) | | | 878,869 | |
| Net Asset Value Per Share—ETF Shares | | | $122.47 | |
| | | | | |
| Institutional Shares—Net Assets | | | | |
| Applicable to 4,492,643 outstanding $.001 par value shares of | | | | |
| beneficial interest (unlimited authorization) | | | 1,097,323 | |
| Net Asset Value Per Share—Institutional Shares | | | $244.25 | |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Index Fund
Statement of Operations
| | | Six Months Ended | |
| | | February 29, 2020 | |
| | | | ($000 | ) |
| Investment Income | | | | |
| Income | | | | |
| Dividends | | | 16,657 | |
| Interest1 | | | 37 | |
| Securities Lending—Net | | | 246 | |
| Total Income | | | 16,940 | |
| Expenses | | | | |
| The Vanguard Group—Note B | | | | |
| Investment Advisory Services | | | 166 | |
| Management and Administrative—ETF Shares | | | 351 | |
| Management and Administrative—Institutional Shares | | | 361 | |
| Marketing and Distribution—ETF Shares | | | 32 | |
| Marketing and Distribution—Institutional Shares | | | 24 | |
| Custodian Fees | | | 22 | |
| Shareholders’ Reports—ETF Shares | | | 19 | |
| Shareholders’ Reports—Institutional Shares | | | 3 | |
| Trustees’ Fees and Expenses | | | 1 | |
| Total Expenses | | | 979 | |
| Net Investment Income | | | 15,961 | |
| Realized Net Gain (Loss) | | | | |
| Investment Securities Sold1 | | | 4,453 | |
| Futures Contracts | | | 87 | |
| Realized Net Gain (Loss) | | | 4,540 | |
| Change in Unrealized Appreciation (Depreciation) | | | | |
| Investment Securities1,2 | | | (70,746 | ) |
| Futures Contracts | | | (1,264 | ) |
| Change in Unrealized Appreciation (Depreciation) | | | (72,010 | ) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | (51,509 | ) |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $31,000, $4,000, and $3,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $79,708,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Index Fund
Statement of Changes in Net Assets
| | Six Months Ended | | Year Ended |
| | February 29, | | August 31, |
| | 2020 | | 2019 |
| | ($000) | | ($000) |
| Increase (Decrease) in Net Assets | | | |
| Operations | | | |
| Net Investment Income | 15,961 | | 32,100 |
| Realized Net Gain (Loss) | 4,540 | | 163,094 |
| Change in Unrealized Appreciation (Depreciation) | (72,010) | | (339,217) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (51,509) | | (144,023) |
| Distributions1 | | | |
| ETF Shares | (9,277) | | (13,297) |
| Institutional Shares | (11,685) | | (18,459) |
| Total Distributions | (20,962) | | (31,756) |
| Capital Share Transactions | | | |
| ETF Shares | (6,909) | | 22,987 |
| Institutional Shares | (65,714) | | (118,752) |
| Net Increase (Decrease) from Capital Share Transactions | (72,623) | | (95,765) |
| Total Increase (Decrease) | (145,094) | | (271,544) |
| Net Assets | | | |
| Beginning of Period | 2,121,286 | | 2,392,830 |
| End of Period | 1,976,192 | | 2,121,286 |
1 Certain prior period numbers have been reclassified to conform with current period presentation.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Index Fund
Financial Highlights
ETF Shares
| | Six Months | | | | | | | |
| | | Ended | | | | Year Ended August 31, | |
| For a Share Outstanding | February 29, | | | | |
| Throughout Each Period | | 2020 | | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $127.18 | $138.01 | $116.74 | $105.51 | $95.87 | $97.19 | |
| Investment Operations | | | | | | | | | |
| Net Investment Income | | .9641 | 1.8801 | 1.7781 | 1.5101 | 1.393 | 1.330 | |
| Net Realized and Unrealized Gain (Loss) | | | | | | | | |
| on Investments | | (4.388) | (10.864) | 21.199 | 11.294 | 10.091 | (1.425) | |
| Total from Investment Operations | | (3.424) | (8.984) | 22.977 | 12.804 | 11.484 | (.095) | |
| Distributions | | | | | | | | | |
| Dividends from Net Investment Income | (1.286) | (1.846) | (1.707) | (1.574) | (1.844) | (1.225) | |
| Distributions from Realized Capital Gains | — | | — | — | — | — | — | |
| Total Distributions | | (1.286) | (1.846) | (1.707) | (1.574) | (1.844) | (1.225) | |
| Net Asset Value, End of Period | | $122.47 | $127.18 | $138.01 | $116.74 | $105.51 | $95.87 | |
| | | | | | | | | |
| Total Return | | -2.78% | -6.50% | 19.82% | 12.22% | 12.19% | -0.12% | |
| | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | |
| Net Assets, End of Period (Millions) | | $879 | $919 | $973 | $727 | $485 | $379 | |
| Ratio of Total Expenses to Average Net Assets | | 0.10% | 0.10% | 0.15% | 0.15% | 0.15% | 0.15% | |
| Ratio of Net Investment Income to | | | | | | | | | |
| Average Net Assets | | 1.59% | 1.47% | 1.38% | 1.34% | 1.56% | 1.45% | |
| Portfolio Turnover Rate2 | | 10% | 10% | 12% | 13% | 11% | 12% | |
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
| 2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Index Fund
Financial Highlights
Institutional Shares
| | Six Months | | | | | | | |
| | | Ended | | | | Year Ended August 31, | |
| For a Share Outstanding | February 29, | | | | |
| Throughout Each Period | | 2020 | | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $253.60 | $275.26 | $232.82 | $210.40 | $191.51 | $194.13 | |
| Investment Operations | | | | | | | | | |
| Net Investment Income | | 1.9541 | 3.7861 | 3.7111 | 3.1761 | 3.171 | 2.794 | |
| Net Realized and Unrealized Gain (Loss) | | | | | | | | |
| on Investments | | (8.756) | (21.653) | 42.301 | 22.516 | 19.869 | (2.844) | |
| Total from Investment Operations | | (6.802) | (17.867) | 46.012 | 25.692 | 23.040 | (.050) | |
| Distributions | | | | | | | | | |
| Dividends from Net Investment Income | (2.548) | (3.793) | (3.572) | (3.272) | (4.150) | (2.570) | |
| Distributions from Realized Capital Gains | — | | — | — | — | — | — | |
| Total Distributions | | (2.548) | (3.793) | (3.572) | (3.272) | (4.150) | (2.570) | |
| Net Asset Value, End of Period | | $244.25 | $253.60 | $275.26 | $232.82 | $210.40 | $191.51 | |
| | | | | | | | | |
| Total Return | | -2.77% | -6.49% | 19.92% | 12.31% | 12.26% | -0.04% | |
| | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | |
| Net Assets, End of Period (Millions) | | $1,097 | $1,202 | $1,420 | $1,119 | $848 | $665 | |
| Ratio of Total Expenses to | | | | | | | | | |
| Average Net Assets | | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | |
| Ratio of Net Investment Income to | | | | | | | | | |
| Average Net Assets | | 1.61% | 1.49% | 1.45% | 1.41% | 1.63% | 1.52% | |
| Portfolio Turnover Rate2 | | 10% | 10% | 12% | 13% | 11% | 12% | |
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
| 2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Index Fund
Notes to Financial Statements
Vanguard S&P Mid-Cap 400 Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares, and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. 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.
2. 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 counter-party 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 assets pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended February 29, 2020, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
S&P Mid-Cap 400 Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counter-party’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans
S&P Mid-Cap 400 Index Fund
may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $97,000, representing less than 0.01% of the fund’s net assets and 0.04% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. 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 valued with significant unobservable inputs are noted on the Schedule of Investments.
S&P Mid-Cap 400 Index Fund
The following table summarizes the market value of the fund’s investments and derivatives as of February 29, 2020, based on the inputs used to value them:
| | Level 1 | Level 2 | Level 3 | Total |
| | ($000) | ($000) | ($000) | ($000) |
| Investments | | | | |
| Assets | | | | |
| Common Stocks | 1,967,596 | — | — | 1,967,596 |
| Temporary Cash Investments | 16,875 | 449 | — | 17,324 |
| Total | 1,984,471 | 449 | — | 1,984,920 |
| Derivative Financial Instruments | | | | |
| Liabilities | | | | |
| Futures Contracts1 | 207 | — | — | 207 |
1 Represents variation margin on the last day of the reporting period.
D. As of February 29, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| | Amount |
| | ($000) |
| Tax Cost | 2,011,374 |
| Gross Unrealized Appreciation | 268,758 |
| Gross Unrealized Depreciation | (296,605) |
| Net Unrealized Appreciation (Depreciation) | (27,847) |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $56,724,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
E. During the six months ended February 29, 2020, the fund purchased $358,147,000 of investment securities and sold $437,417,000 of investment securities, other than temporary cash investments. Purchases and sales include $131,603,000 and $226,256,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the period ended February 29, 2020, such purchases and sales were $69,973,000 and $47,917,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
S&P Mid-Cap 400 Index Fund
F. Capital share transactions for each class of shares were:
| | Six Months Ended | | Year Ended |
| | February 29, 2020 | | August 31, 2019 |
| | Amount | Shares | | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 233,224 | 1,725 | 629,748 | 4,876 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (240,133) | (1,775) | (606,761) | (4,700) |
| Net Increase (Decrease)—ETF Shares | (6,909) | (50) | 22,987 | 176 |
| Institutional Shares | | | | |
| Issued | 59,159 | 217 | 219,611 | 887 |
| Issued in Lieu of Cash Distributions | 11,299 | 42 | 17,884 | 70 |
| Redeemed | (136,172) | (507) | (356,247) | (1,375) |
| Net Increase (Decrease)—Institutional Shares | (65,714) | (248) | (118,752) | (418) |
G. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
S&P Mid-Cap 400 Value Index Fund
Sector Diversification
As of February 29, 2020
| Communication Services | 2.3 | % |
| Consumer Discretionary | 11.9 | |
| Consumer Staples | 4.1 | |
| Energy | 2.2 | |
| Financials | 25.4 | |
| Health Care | 5.2 | |
| Industrials | 13.3 | |
| Information Technology | 9.5 | |
| Materials | 6.1 | |
| Real Estate | 12.6 | |
| Utilities | 7.4 | |
The table reflects the fund’s investments, except for short -term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking their target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
S&P Mid-Cap 400 Value Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 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.
| | | | | Market | |
| | | | | Value• | |
| | | Shares | | ($000 | ) |
| Common Stocks (99.3%) | | | | |
| Communication Services (2.3%) | | | |
| | TEGNA Inc. | 236,566 | | 3,387 | |
| | Cinemark Holdings Inc. | 115,959 | | 3,010 | |
| | TripAdvisor Inc. | 114,359 | | 2,682 | |
| | Telephone & Data Systems Inc. | 106,489 | | 2,145 | |
| | New York Times Co. | 53,334 | | 1,998 | |
| | John Wiley & Sons Inc. | 47,678 | | 1,773 | |
| * | AMC Networks Inc. | 47,859 | | 1,484 | |
| | Meredith Corp. | 44,248 | | 1,166 | |
| | World Wrestling Entertainment Inc. | 22,194 | | 1,038 | |
| | | | | 18,683 | |
| Consumer Discretionary (11.8%) | | | |
| | Lear Corp. | 59,947 | | 6,666 | |
| | Service Corp. International | 97,629 | | 4,666 | |
| | Thor Industries Inc. | 60,163 | | 4,537 | |
| * | Mattel Inc. | 378,019 | | 4,457 | |
| * | Grand Canyon Education Inc. | 52,581 | | 4,242 | |
| | Foot Locker Inc. | 116,741 | | 4,232 | |
| | Cracker Barrel Old Country Store Inc. | 26,239 | | 3,761 | |
| * | Penn National Gaming Inc. | 118,845 | | 3,514 | |
| * | Taylor Morrison Home Corp. | 143,919 | | 3,241 | |
| * | AutoNation Inc. | 64,129 | | 2,740 | |
| | Dick’s Sporting Goods Inc. | 69,255 | | 2,522 | |
| | Goodyear Tire & Rubber Co. | 253,265 | | 2,453 | |
| | Toll Brothers Inc. | 65,761 | | 2,435 | |
| | Brunswick Corp. | 45,303 | | 2,410 | |
| | Graham Holdings Co. | 4,741 | | 2,384 | |
| * | TRI Pointe Group Inc. | 151,668 | | 2,325 | |
| * | Adient plc | 94,845 | | 2,270 | |
| | Dana Inc. | 156,823 | | 2,255 | |
| | Wyndham Destinations Inc. | 56,323 | | 2,247 | |
| | American Eagle Outfitters Inc. | 173,032 | | 2,229 | |
| * | Grubhub Inc. | 43,857 | | 2,110 | |
| | Texas Roadhouse Inc. | 34,852 | | 1,959 | |
| * | Helen of Troy Ltd. | 11,250 | | 1,852 | |
| * | Adtalem Global Education Inc. | 58,880 | | 1,818 | |
| * | Urban Outfitters Inc. | 76,910 | | 1,808 | |
| | KB Home | 50,503 | | 1,646 | |
| | Williams-Sonoma Inc. | 26,258 | | 1,638 | |
| | Carter’s Inc. | 17,826 | | 1,631 | |
| | Wendy’s Co. | 84,332 | | 1,592 | |
| | Cheesecake Factory Inc. | 44,611 | | 1,589 | |
| * | Sally Beauty Holdings Inc. | 126,982 | | 1,580 | |
| ^ | Bed Bath & Beyond Inc. | 138,216 | | 1,494 | |
| | Brinker International Inc. | 40,598 | | 1,394 | |
| * | Ollie’s Bargain Outlet Holdings Inc. | 26,142 | | 1,330 | |
| * | Delphi Technologies plc | 93,746 | | 1,324 | |
| | Aaron’s Inc. | 31,363 | | 1,233 | |
| | Six Flags Entertainment Corp. | 42,669 | | 1,079 | |
| | Columbia Sportswear Co. | 12,016 | | 977 | |
| | Jack in the Box Inc. | 13,138 | | 905 | |
| * | WW International Inc. | 24,336 | | 730 | |
| ^ | Dillard’s Inc. Class A | 10,786 | | 607 | |
| * | Visteon Corp. | 8,873 | | 577 | |
| | Papa John’s International Inc. | 8,709 | | 502 | |
| | | | | 96,961 | |
| Consumer Staples (4.1%) | | | | |
| | Ingredion Inc. | 72,736 | | 6,059 | |
| * | Darling Ingredients Inc. | 178,350 | | 4,584 | |
| | Flowers Foods Inc. | 209,835 | | 4,518 | |
| * | Post Holdings Inc. | 39,138 | | 3,963 | |
| * | BJ’s Wholesale Club | | | | |
| | Holdings Inc. | 133,056 | | 2,563 | |
| * | TreeHouse Foods Inc. | 61,225 | | 2,333 | |
| * | Hain Celestial Group Inc. | 87,573 | | 2,078 | |
| * | Sprouts Farmers Market Inc. | 128,823 | | 2,058 | |
| * | Edgewell Personal Care Co. | 59,156 | | 1,796 | |
| | Lancaster Colony Corp. | 11,024 | | 1,592 | |
| | Nu Skin Enterprises Inc. | 60,633 | | 1,487 | |
| * | Pilgrim’s Pride Corp. | 20,373 | | 431 | |
| | Tootsie Roll Industries Inc. | 9,795 | | 314 | |
| | | | | 33,776 | |
| S&P Mid-Cap 400 Value Index Fund | | | |
| | | | |
| | | | |
| | | | | Market | |
| | | | | Value• | |
| | | Shares | | ($000 | ) |
| Energy (2.2%) | | | | |
| | PBF Energy Inc. | 110,912 | | 2,483 | |
| * | Transocean Ltd. | 626,405 | | 2,098 | |
| | World Fuel Services Corp. | 71,233 | | 2,015 | |
| | Murphy Oil Corp. | 89,587 | | 1,689 | |
| | EQT Corp. | 279,207 | | 1,639 | |
| * | Apergy Corp. | 84,411 | | 1,570 | |
| | Equitrans Midstream Corp. | 222,231 | | 1,569 | |
| ^ | Antero Midstream Corp. | 324,363 | | 1,414 | |
| | Patterson-UTI Energy Inc. | 212,552 | | 1,218 | |
| * | CNX Resources Corp. | 202,682 | | 1,076 | |
| | Core Laboratories NV | 29,448 | | 790 | |
| *,^ | Chesapeake Energy Corp. | 1,278,225 | | 352 | |
| | | | | 17,913 | |
| Financials (25.2%) | | | | |
| | Reinsurance Group of America Inc. | 68,212 | | 8,324 | |
| | American Financial Group Inc. | 81,555 | | 7,537 | |
| | Signature Bank | 58,827 | | 7,359 | |
| | First American Financial Corp. | 122,405 | | 6,989 | |
| | Prosperity Bancshares Inc. | 102,848 | | 6,644 | |
| | East West Bancorp Inc. | 158,657 | | 6,146 | |
| | Old Republic International Corp. | 310,930 | | 6,132 | |
| | TCF Financial Corp. | 167,115 | | 6,090 | |
| * | Alleghany Corp. | 7,842 | | 5,272 | |
| | Jefferies Financial Group Inc. | 260,801 | | 5,140 | |
| | Hanover Insurance Group Inc. | 42,934 | | 5,089 | |
| | Cullen/Frost Bankers Inc. | 62,051 | | 4,864 | |
| | Kemper Corp. | 68,283 | | 4,701 | |
| | Synovus Financial Corp. | 159,697 | | 4,634 | |
| | First Horizon National Corp. | 339,113 | | 4,520 | |
| | Legg Mason Inc. | 88,822 | | 4,425 | |
| | Interactive Brokers Group Inc. | 83,670 | | 4,276 | |
| * | Brighthouse Financial Inc. | 119,089 | | 4,268 | |
| | PacWest Bancorp | 130,615 | | 4,133 | |
| | Pinnacle Financial Partners Inc. | 78,439 | | 4,129 | |
| | Affiliated Managers Group Inc. | 53,712 | | 4,040 | |
| | Valley National Bancorp | 426,934 | | 3,971 | |
| | Webster Financial Corp. | 100,342 | | 3,810 | |
| | Umpqua Holdings Corp. | 240,108 | | 3,695 | |
| | Sterling Bancorp | 220,269 | | 3,652 | |
| | Selective Insurance Group Inc. | 64,780 | | 3,614 | |
| | Janus Henderson Group plc | 169,674 | | 3,597 | |
| | FNB Corp. | 354,312 | | 3,575 | |
| | Bank OZK | 131,556 | | 3,340 | |
| | Wintrust Financial Corp. | 62,239 | | 3,324 | |
| | United Bankshares Inc. | 110,494 | | 3,191 | |
| | Hancock Whitney Corp. | 94,903 | | 3,179 | |
| | Commerce Bancshares Inc. | 50,815 | | 3,102 | |
| | Associated Banc-Corp | 173,431 | | 2,936 | |
| | Home BancShares Inc. | 168,893 | | 2,831 | |
| | New York Community Bancorp Inc. | 254,499 | | 2,751 | |
| | UMB Financial Corp. | 47,033 | | 2,735 | |
| | CNO Financial Group Inc. | 164,538 | | 2,636 | |
| | Fulton Financial Corp. | 178,709 | | 2,582 | |
| * | Texas Capital Bancshares Inc. | 54,783 | | 2,579 | |
| | BancorpSouth Bank | 104,494 | | 2,557 | |
| | Cathay General Bancorp | 82,445 | | 2,538 | |
| | SLM Corp. | 229,903 | | 2,384 | |
| | Navient Corp. | 211,762 | | 2,378 | |
| | CIT Group Inc. | 54,606 | | 2,168 | |
| * | Genworth Financial Inc. | 548,779 | | 2,140 | |
| | International Bancshares Corp. | 62,525 | | 2,132 | |
| | Stifel Financial Corp. | 38,006 | | 2,069 | |
| | Trustmark Corp. | 70,069 | | 1,885 | |
| | First Financial Bankshares Inc. | 53,378 | | 1,534 | |
| | Eaton Vance Corp. | 35,649 | | 1,471 | |
| | Bank of Hawaii Corp. | 18,483 | | 1,376 | |
| | RLI Corp. | 16,056 | | 1,291 | |
| | Mercury General Corp. | 29,497 | | 1,278 | |
| | FirstCash Inc. | 16,259 | | 1,251 | |
| | Washington Federal Inc. | 31,575 | | 947 | |
| | Federated Hermes Inc. | 30,359 | | 876 | |
| | Evercore Inc. | 12,786 | | 852 | |
| | | | | 206,939 | |
| Health Care (5.2%) | | | | |
| * | United Therapeutics Corp. | 47,827 | | 4,924 | |
| * | Molina Healthcare Inc. | 38,317 | | 4,696 | |
| | Encompass Health Corp. | 56,972 | | 4,264 | |
| | Hill-Rom Holdings Inc. | 32,696 | | 3,140 | |
| * | Tenet Healthcare Corp. | 113,064 | | 2,971 | |
| * | Acadia Healthcare Co. Inc. | 96,415 | | 2,854 | |
| * | Nektar Therapeutics Class A | 130,271 | | 2,711 | |
| * | Bio-Rad Laboratories Inc. | 6,597 | | 2,322 | |
| | Patterson Cos. Inc. | 93,922 | | 2,234 | |
| * | Haemonetics Corp. | 19,880 | | 2,154 | |
| * | Prestige Consumer Healthcare Inc. | 54,737 | | 2,045 | |
| * | LivaNova plc | 25,887 | | 1,805 | |
| * | Avanos Medical Inc. | 52,327 | | 1,696 | |
| * | Allscripts Healthcare Solutions Inc. | 177,442 | | 1,338 | |
| S&P Mid-Cap 400 Value Index Fund | |
| | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | NuVasive Inc. | 19,812 | 1,304 |
| | Cantel Medical Corp. | 17,948 | 1,133 |
| * | MEDNAX Inc. | 55,903 | 955 |
| | | | 42,546 |
| Industrials (13.2%) | | |
| * | Aecom | 171,143 | 7,691 |
| * | XPO Logistics Inc. | 100,570 | 7,439 |
| * | JetBlue Airways Corp. | 314,595 | 4,964 |
| | ManpowerGroup Inc. | 64,263 | 4,880 |
| | Acuity Brands Inc. | 43,193 | 4,443 |
| | nVent Electric plc | 169,660 | 4,074 |
| | Crane Co. | 55,593 | 3,778 |
| | Regal Beloit Corp. | 44,653 | 3,467 |
| * | Stericycle Inc. | 55,554 | 3,190 |
| | Owens Corning | 55,647 | 3,143 |
| | MSC Industrial Direct Co. Inc. Class A | 49,153 | 3,039 |
| | Lennox International Inc. | 12,980 | 2,961 |
| | EnerSys | 46,019 | 2,834 |
| | Watsco Inc. | 17,424 | 2,735 |
| | GATX Corp. | 38,217 | 2,734 |
| | KAR Auction Services Inc. | 140,191 | 2,699 |
| | EMCOR Group Inc. | 33,030 | 2,541 |
| | Kennametal Inc. | 90,233 | 2,508 |
| | Donaldson Co. Inc. | 49,640 | 2,238 |
| | Healthcare Services Group Inc. | 80,759 | 2,224 |
| | Ryder System Inc. | 58,036 | 2,208 |
| | Oshkosh Corp. | 30,405 | 2,194 |
| | Trinity Industries Inc. | 106,931 | 2,176 |
| * | Avis Budget Group Inc. | 61,953 | 2,006 |
| * | Kirby Corp. | 31,365 | 2,000 |
| | AGCO Corp. | 32,119 | 1,941 |
| | ITT Inc. | 31,558 | 1,898 |
| | MSA Safety Inc. | 14,004 | 1,704 |
| * | Colfax Corp. | 50,190 | 1,680 |
| | Terex Corp. | 71,573 | 1,575 |
| | HNI Corp. | 46,766 | 1,535 |
| | Curtiss-Wright Corp. | 12,585 | 1,509 |
| | Valmont Industries Inc. | 12,694 | 1,475 |
| * | Resideo Technologies Inc. | 133,496 | 1,435 |
| | Fluor Corp. | 152,633 | 1,423 |
| | Landstar System Inc. | 13,726 | 1,386 |
| | Insperity Inc. | 17,985 | 1,210 |
| * | ASGN Inc. | 22,382 | 1,135 |
| * | NOW Inc. | 118,380 | 1,045 |
| * | Dycom Industries Inc. | 34,257 | 1,013 |
| | Werner Enterprises Inc. | 26,082 | 876 |
| | Deluxe Corp. | 25,207 | 839 |
| | | | 107,845 |
| Information Technology (9.4%) | |
| * | Arrow Electronics Inc. | 88,764 | 5,953 |
| | SYNNEX Corp. | 44,522 | 5,567 |
| * | Tech Data Corp. | 38,602 | 5,497 |
| * | Cree Inc. | 117,398 | 5,251 |
| * | PTC Inc. | 54,388 | 4,109 |
| * | First Solar Inc. | 82,770 | 3,788 |
| | Avnet Inc. | 109,893 | 3,372 |
| * | Ceridian HCM Holding Inc. | 43,906 | 3,105 |
| * | II-VI Inc. | 94,927 | 2,818 |
| | National Instruments Corp. | 68,078 | 2,742 |
| | Vishay Intertechnology Inc. | 144,124 | 2,695 |
| * | Ciena Corp. | 64,023 | 2,462 |
| | CDK Global Inc. | 51,573 | 2,373 |
| | Science Applications International Corp. | 29,399 | 2,356 |
| | CoreLogic Inc. | 47,672 | 2,163 |
| | Sabre Corp. | 155,037 | 2,111 |
| * | NCR Corp. | 79,237 | 1,997 |
| | MAXIMUS Inc. | 31,386 | 1,978 |
| * | NetScout Systems Inc. | 71,860 | 1,847 |
| | InterDigital Inc. | 33,962 | 1,796 |
| * | ViaSat Inc. | 30,823 | 1,772 |
| | Belden Inc. | 42,155 | 1,683 |
| | LogMeIn Inc. | 19,097 | 1,628 |
| * | LiveRamp Holdings Inc. | 44,341 | 1,571 |
| | Littelfuse Inc. | 9,841 | 1,571 |
| * | Teradata Corp. | 74,923 | 1,494 |
| * | Semtech Corp. | 35,252 | 1,392 |
| * | CommVault Systems Inc. | 23,353 | 974 |
| * | Synaptics Inc. | 14,216 | 939 |
| | | | 77,004 |
| Materials (6.1%) | | |
| | Sonoco Products Co. | 109,075 | 5,259 |
| | Ashland Global Holdings Inc. | 65,647 | 4,696 |
| | RPM International Inc. | 56,565 | 3,626 |
| | Steel Dynamics Inc. | 119,586 | 3,185 |
| | Olin Corp. | 173,834 | 2,814 |
| | AptarGroup Inc. | 27,832 | 2,813 |
| | Chemours Co. | 178,104 | 2,647 |
| | PolyOne Corp. | 98,218 | 2,432 |
| | Commercial Metals Co. | 129,211 | 2,359 |
| | Sensient Technologies Corp. | 46,084 | 2,266 |
| | Valvoline Inc. | 94,502 | 1,843 |
| | O-I Glass Inc. | 169,644 | 1,832 |
| | Domtar Corp. | 62,396 | 1,795 |
| | Minerals Technologies Inc. | 37,994 | 1,705 |
| ^ | United States Steel Corp. | 185,594 | 1,489 |
| | Worthington Industries Inc. | 40,352 | 1,283 |
| | Cabot Corp. | 34,060 | 1,273 |
| * | Allegheny Technologies Inc. | 69,940 | 1,195 |
| | NewMarket Corp. | 2,810 | 1,092 |
| | Louisiana-Pacific Corp. | 35,853 | 1,020 |
| | Greif Inc. Class A | 28,585 | 1,010 |
| | Silgan Holdings Inc. | 33,816 | 968 |
| S&P Mid-Cap 400 Value Index Fund | |
| | | Market |
| | | Value• |
| | Shares | ($000) |
| Carpenter Technology Corp. | 23,390 | 860 |
| Compass Minerals International Inc. | 10,393 | 567 |
| | | 50,029 |
| Real Estate (12.5%) | | |
| Medical Properties Trust Inc. | 563,808 | 11,913 |
| Omega Healthcare Investors Inc. | 130,954 | 5,186 |
| Camden Property Trust | 47,505 | 5,035 |
| Park Hotels & Resorts Inc. | 260,872 | 4,763 |
| JBG SMITH Properties | 128,622 | 4,718 |
| Jones Lang LaSalle Inc. | 29,211 | 4,316 |
| National Retail Properties Inc. | 84,174 | 4,280 |
| Sabra Health Care REIT Inc. | 211,113 | 4,127 |
| American Campus Communities Inc. | 77,772 | 3,378 |
| Service Properties Trust | 179,502 | 3,245 |
| Kilroy Realty Corp. | 42,470 | 3,087 |
| Lamar Advertising Co. | 36,521 | 3,058 |
| Pebblebrook Hotel Trust | 142,167 | 2,873 |
| Spirit Realty Capital Inc. | 62,988 | 2,866 |
| EPR Properties | 47,822 | 2,833 |
| Healthcare Realty Trust Inc. | 78,658 | 2,698 |
| CyrusOne Inc. | 43,160 | 2,615 |
| Brixmor Property Group Inc. | 142,762 | 2,600 |
| Douglas Emmett Inc. | 66,440 | 2,537 |
| Highwoods Properties Inc. | 56,496 | 2,536 |
| ^ Macerich Co. | 119,972 | 2,450 |
| Rayonier Inc. | 81,748 | 2,169 |
| Life Storage Inc. | 19,829 | 2,140 |
| Weingarten Realty Investors | 73,840 | 1,988 |
| Taubman Centers Inc. | 37,966 | 1,976 |
| GEO Group Inc. | 132,161 | 1,935 |
| CoreCivic Inc. | 129,815 | 1,923 |
| Mack-Cali Realty Corp. | 98,719 | 1,874 |
| First Industrial Realty Trust Inc. | 47,096 | 1,813 |
| Corporate Office Properties Trust | 66,005 | 1,673 |
| Diversified Healthcare Trust | 259,415 | 1,632 |
| PotlatchDeltic Corp. | 39,658 | 1,457 |
| Urban Edge Properties | 67,684 | 1,096 |
| | | 102,790 |
| Utilities (7.3%) | | |
| OGE Energy Corp. | 218,144 | 8,311 |
| UGI Corp. | 227,647 | 8,204 |
| Essential Utilities Inc. | 105,858 | 4,553 |
| Spire Inc. | 55,555 | 4,169 |
| | ALLETE Inc. | 56,322 | 3,886 |
| | NorthWestern Corp. | 55,005 | 3,869 |
| | Southwest Gas Holdings Inc. | 59,542 | 3,851 |
| | New Jersey Resources Corp. | 104,112 | 3,676 |
| | MDU Resources Group Inc. | 126,494 | 3,508 |
| | National Fuel Gas Co. | 94,143 | 3,447 |
| | IDACORP Inc. | 30,174 | 2,916 |
| | Hawaiian Electric Industries Inc. | 61,728 | 2,645 |
| | Black Hills Corp. | 35,468 | 2,561 |
| | ONE Gas Inc. | 28,730 | 2,360 |
| | PNM Resources Inc. | 43,402 | 2,043 |
| | | | 59,999 |
| Total Common Stocks (Cost $908,635) | | 814,485 |
| Temporary Cash Investments (1.5%) | |
| Money Market Fund (1.5%) | | |
| 1,2 | Vanguard Market Liquidity Fund, 1.706% | 120,600 | 12,064 |
| | | | |
| | | Face | |
| | | Amount | |
| | | ($000) | |
| U.S. Government and Agency Obligations (0.0%) |
| 3 | United States Treasury Bill, 1.543%, 4/16/20 | 63 | 63 |
| Total Temporary Cash Investments (Cost $12,125) | | 12,127 |
| Total Investments (100.8%) (Cost $920,760) | | 826,612 |
| Other Assets and Liabilities—Net (-0.8%)2,3 | | (6,365) |
| Net Assets (100%) | | 820,247 |
Cost rounded to $000.
• See Note A in Notes to Financial Statements. * Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $5,406,000.
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.
2 Collateral of $6,169,000 was received for securities on loan.
3 Securities with a value of $63,000 and cash of $33,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
S&P Mid-Cap 400 Value Index Fund
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
| | | | | | | | ($000) |
| | | | | | | | Value and |
| | | | | Number of | | Unrealized |
| | | | | Long (Short) | Notional | Appreciation |
| | | | Expiration | Contracts | Amount | (Depreciation) |
| Long Futures Contracts | | | | |
| E-mini S&P Mid-Cap 400 Index | March 2020 | 11 | 1,993 | (290) |
| | | | | | |
| Over-the-Counter Total Return Swaps | | | | | |
| | | | | | Floating | | |
| | | | | | Interest | | |
| | | | | | Rate | Value and | Value and |
| | | | | Notional | Received | Unrealized | Unrealized |
| | | Termination | | Amount | (Paid)1 | Appreciation | (Depreciation) |
| Reference Entity | | Date | Counterparty | ($000) | (%) | ($000) | ($000) |
| Molina Healthcare Inc. | | 9/2/20 | BOANA | 3,881 | 1.658 | — | (207) |
1 Payment received/paid monthly.
BOANA—Bank of America, N.A.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Value Index Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | Amount | |
| Assets | | |
| Investments in Securities, at Value | | |
| Unaffiliated Issuers (Cost $908,698) | 814,548 | |
| Affiliated Issuers (Cost $12,062) | 12,064 | |
| Total Investments in Securities | 826,612 | |
| Investment in Vanguard | 40 | |
| Cash Collateral Pledged—Futures Contracts | 33 | |
| Receivables for Accrued Income | 1,305 | |
| Receivables for Capital Shares Issued | 29 | |
| Total Assets | 828,019 | |
| Liabilities | | |
| Due to Custodian | 18 | |
| Payables for Investment Securities Purchased | 1,163 | |
| Collateral for Securities on Loan | 6,169 | |
| Payables for Capital Shares Redeemed | 57 | |
| Payables to Vanguard | 115 | |
| Unrealized Depreciation—Over-the-Counter Swap Contracts | 207 | |
| Variation Margin Payable—Futures Contracts | 43 | |
| Total Liabilities | 7,772 | |
| Net Assets | 820,247 | |
| | | |
| At February 29, 2020, net assets consisted of: | | |
| | | |
| Paid-in Capital | 933,516 | |
| Total Distributable Earnings (Loss) | (113,269 | ) |
| Net Assets | 820,247 | |
| | | |
| ETF Shares—Net Assets | | |
| Applicable to 5,850,000 outstanding $.001 par value shares of | | |
| beneficial interest (unlimited authorization) | 652,077 | |
| Net Asset Value Per Share—ETF Shares | $111.47 | |
| | | |
| Institutional Shares—Net Assets | | |
| Applicable to 752,653 outstanding $.001 par value shares of | | |
| beneficial interest (unlimited authorization) | 168,170 | |
| Net Asset Value Per Share—Institutional Shares | $223.44 | |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Value Index Fund
Statement of Operations
| | Six Months Ended | |
| | February 29, 2020 | |
| | ($000) | |
| Investment Income | | |
| Income | | |
| Dividends | 9,513 | |
| Interest1 | 16 | |
| Securities Lending—Net | 193 | |
| Total Income | 9,722 | |
| Expenses | | |
| The Vanguard Group—Note B | | |
| Investment Advisory Services | 71 | |
| Management and Administrative—ETF Shares | 464 | |
| Management and Administrative—Institutional Shares | 58 | |
| Marketing and Distribution—ETF Shares | 18 | |
| Marketing and Distribution—Institutional Shares | 4 | |
| Custodian Fees | 29 | |
| Shareholders’ Reports—ETF Shares | 11 | |
| Shareholders’ Reports—Institutional Shares | — | |
| Total Expenses | 655 | |
| Expenses Paid Indirectly | (19 | ) |
| Net Expenses | 636 | |
| Net Investment Income | 9,086 | |
| Realized Net Gain (Loss) | | |
| Investment Securities Sold1,2 | 72,262 | |
| Futures Contracts | 29 | |
| Realized Net Gain (Loss) | 72,291 | |
| Change in Unrealized Appreciation (Depreciation) | | |
| Investment Securities1 | (106,663 | ) |
| Futures Contracts | (216 | ) |
| Swap Contracts | (207 | ) |
| Change in Unrealized Appreciation (Depreciation) | (107,086 | ) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (25,709 | ) |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $15,000, ($1,000), and $2,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $101,311,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Value Index Fund
Statement of Changes in Net Assets
| | Six Months Ended | | | Year Ended | |
| | February 29, | | | August 31, | |
| | 2020 | | | 2019 | |
| | ($000 | ) | | ($000) | |
| Increase (Decrease) in Net Assets | | | | | |
| Operations | | | | | |
| Net Investment Income | 9,086 | | | 15,759 | |
| Realized Net Gain (Loss) | 72,291 | | | (2,049 | ) |
| Change in Unrealized Appreciation (Depreciation) | (107,086 | ) | | (91,065 | ) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (25,709 | ) | | (77,355 | ) |
| Distributions1 | | | | | |
| ETF Shares | (13,478 | ) | | (11,232 | ) |
| Institutional Shares | (3,799) | | | (3,982 | ) |
| Total Distributions | (17,277 | ) | | (15,214 | ) |
| Capital Share Transactions | | | | | |
| ETF Shares | 1,786 | | | 23,432 | |
| Institutional Shares | (9,476 | ) | | (30,211 | ) |
| Net Increase (Decrease) from Capital Share Transactions | (7,690 | ) | | (6,779 | ) |
| Total Increase (Decrease) | (50,676 | ) | | (99,348 | ) |
| Net Assets | | | | | |
| Beginning of Period | 870,923 | | | 970,271 | |
| End of Period | 820,247 | | | 870,923 | |
1 Certain prior period numbers have been reclassified to conform with current period presentation.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Value Index Fund
Financial Highlights
ETF Shares
| | Six Months | | | | | | | |
| | | Ended | | | | Year Ended August 31, | |
| For a Share Outstanding | February 29, | | | | |
| Throughout Each Period | | 2020 | | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $117.53 | $130.06 | $112.31 | $101.70 | $91.40 | $96.78 | |
| Investment Operations | | | | | | | | | |
| Net Investment Income | | 1.2021 | 2.0611 | 2.0901 | 1.7671 | 1.8911 | 1.600 | |
| Net Realized and Unrealized Gain (Loss) | | | | | | | | |
| on Investments | | (4.987) | (12.629) | 17.548 | 10.344 | 9.880 | (5.563) | |
| Total from Investment Operations | | (3.785) | (10.568) | 19.638 | 12.111 | 11.771 | (3.963) | |
| Distributions | | | | | | | | | |
| Dividends from Net Investment Income | (2.275) | (1.962) | (1.888) | (1.501) | (1.471) | (1.417) | |
| Distributions from Realized Capital Gains | — | | — | — | — | — | — | |
| Total Distributions | | (2.275) | (1.962) | (1.888) | (1.501) | (1.471) | (1.417) | |
| Net Asset Value, End of Period | | $111.47 | $117.53 | $130.06 | $112.31 | $101.70 | $91.40 | |
Total Return | | -3.48% | -8.04% | 17.60% | 11.91% | 13.13% | -4.17% | |
Ratios/Supplemental Data | | | | | | | | | |
| Net Assets, End of Period (Millions) | | $652 | $685 | $735 | $632 | $460 | $103 | |
| Ratio of Total Expenses to | | | | | | | | | |
| Average Net Assets | | 0.15% | 0.15% | 0.20% | 0.20% | 0.20% | 0.20% | |
| Ratio of Net Investment Income to | | | | | | | | | |
| Average Net Assets | | 2.02% | 1.72% | 1.72% | 1.61% | 1.97% | 1.75% | |
| Portfolio Turnover Rate2 | | 38% | 38% | 36% | 39% | 26% | 47% | |
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Value Index Fund
Financial Highlights
Institutional Shares
| | Six Months | | | | | | | |
| | | Ended | | | | Year Ended August 31, | |
| For a Share Outstanding | February 29, | | | | |
| Throughout Each Period | | 2020 | | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $235.62 | $260.90 | $225.05 | $203.65 | $182.92 | $193.66 | |
| Investment Operations | | | | | | | | | |
| Net Investment Income | | 2.5261 | 4.3321 | 4.4541 | 3.8661 | 3.7741 | 3.420 | |
| Net Realized and Unrealized Gain (Loss) | | | | | | | | |
| on Investments | | (10.012) | (25.380) | 35.198 | 20.656 | 20.020 | (11.127) | |
| Total from Investment Operations | | (7.486) | (21.048) | 39.652 | 24.522 | 23.794 | (7.707) | |
| Distributions | | | | | | | | | |
| Dividends from Net Investment Income | (4.694) | (4.232) | (3.802) | (3.122) | (3.064) | (3.033) | |
| Distributions from Realized Capital Gains | — | | — | — | — | — | — | |
| Total Distributions | | (4.694) | (4.232) | (3.802) | (3.122) | (3.064) | (3.033) | |
| Net Asset Value, End of Period | | $223.44 | $235.62 | $260.90 | $225.05 | $203.65 | $182.92 | |
Total Return | | -3.43% | -7.99% | 17.75% | 12.05% | 13.25% | -4.05% | |
Ratios/Supplemental Data | | | | | | | | | |
| Net Assets, End of Period (Millions) | | $168 | $186 | $235 | $159 | $147 | $143 | |
| Ratio of Total Expenses to | | | | | | | | | |
| Average Net Assets | | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | |
| Ratio of Net Investment Income to | | | | | | | | | |
| Average Net Assets | | 2.11% | 1.79% | 1.84% | 1.73% | 2.09% | 1.87% | |
| Portfolio Turnover Rate2 | | 38% | 38% | 36% | 39% | 26% | 47% | |
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Value Index Fund
Notes to Financial Statements
Vanguard S&P Mid-Cap 400 Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. 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.
2. 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 counter-party 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 assets pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended February 29, 2020, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
S&P Mid-Cap 400 Value Index Fund
3. 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.
The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until 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.
During the six months ended February 29, 2020, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
S&P Mid-Cap 400 Value Index Fund
5. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
6. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterpar-ties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
7. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
S&P Mid-Cap 400 Value Index Fund
8. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $40,000, representing less than 0.01% of the fund’s net assets and 0.02% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 29, 2020, custodian fee offset arrangements reduced the fund’s expenses by $19,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. 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 valued with significant unobservable inputs are noted on the Schedule of Investments.
S&P Mid-Cap 400 Value Index Fund
The following table summarizes the market value of the fund’s investments and derivatives as of February 29, 2020, based on the inputs used to value them:
| | Level 1 | | Level 2 | | Level 3 | | Total | |
| | ($000 | ) | ($000 | ) | ($000 | ) | ($000 | ) |
| Investments | | | | | | | | |
| Assets | | | | | | | |
| Common Stocks | 814,485 | | — | | — | | 814,485 | |
| Temporary Cash Investments | 12,064 | | 63 | | — | | 12,127 | |
| Total | 826,549 | | 63 | | — | | 826,612 | |
| Derivative Financial Instruments | | | | | | | | |
| Liabilities | | | | | | | | |
| Futures Contracts1 | 43 | | — | | — | | 43 | |
| Swap Contracts | — | | 207 | | — | | 207 | |
| Total | 43 | | 207 | | — | | 250 | |
1 Represents variation margin on the last day of the reporting period.
E. As of February 29, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| | Amount | |
| | ($000 | ) |
| Tax Cost | 920,760 | |
| Gross Unrealized Appreciation | 39,277 | |
| Gross Unrealized Depreciation | (133,921 | ) |
| Net Unrealized Appreciation (Depreciation) | (94,644 | ) |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $92,425,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F. During the six months ended February 29, 2020, the fund purchased $666,261,000 of investment securities and sold $683,786,000 of investment securities, other than temporary cash investments. Purchases and sales include $296,307,000 and $334,170,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 29, 2020, such purchases and sales were $268,733,000 and $165,693,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
S&P Mid-Cap 400 Value Index Fund
G. Capital share transactions for each class of shares were:
| | | Six Months Ended | | | Year Ended | |
| | | February 29, 2020 | | | August 31, 2019 | |
| | | Amount | | | Shares | | | Amount | | | Shares | |
| | | ($000 | ) | | | (000 | ) | | ($000 | ) | | | (000 | ) |
| ETF Shares | | | | | | | | | | | | | | | | |
| Issued | | | 344,187 | | | | 2,675 | | | | 236,869 | | | | 2,075 | |
| Issued in Lieu of Cash Distributions | | | — | | | | — | | | | — | | | | — | |
| Redeemed | | | (342,401 | ) | | | (2,650 | ) | | | (213,437 | ) | | | (1,900 | ) |
| Net Increase (Decrease)—ETF Shares | | | 1,786 | | | | 25 | | | | 23,432 | | | | 175 | |
| Institutional Shares | | | | | | | | | | | | | | | | |
| Issued | | | 15,295 | | | | 60 | | | | 54,644 | | | | 241 | |
| Issued in Lieu of Cash Distributions | | | 2,932 | | | | 11 | | | | 2,478 | | | | 11 | |
| Redeemed | | | (27,703 | ) | | | (109 | ) | | | (87,333 | ) | | | (364 | ) |
| Net Increase (Decrease)—Institutional Shares | | | (9,476 | ) | | | (38 | ) | | | (30,211 | ) | | | (112 | ) |
H. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
S&P Mid-Cap 400 Growth Index Fund
Sector Diversification
As of February 29, 2020
| Communication Services | 1.7% |
| Consumer Discretionary | 15.6 |
| Consumer Staples | 2.3 |
| Energy | 0.8 |
| Financials | 8.8 |
| Health Care | 14.3 |
| Industrials | 18.2 |
| Information Technology | 21.4 |
| Materials | 5.4 |
| Real Estate | 9.4 |
| Utilities | 2.1 |
The table reflects the fund’s investments, except for short -term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking their target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
S&P Mid-Cap 400 Growth Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 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.
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| Common Stocks (99.7%) | | |
| Communication Services (1.7%) | |
| | Cable One Inc. | 5,119 | 8,052 |
| | New York Times Co. | 96,593 | 3,618 |
| * | Yelp Inc. | 65,040 | 2,034 |
| | World Wrestling Entertainment Inc. | 27,538 | 1,288 |
| | | | 14,992 |
| Consumer Discretionary (15.6%) | |
| | Domino’s Pizza Inc. | 39,372 | 13,365 |
| | Pool Corp. | 40,761 | 8,599 |
| * | Caesars Entertainment Corp. | 568,227 | 7,222 |
| * | Etsy Inc. | 120,633 | 6,974 |
| | Gentex Corp. | 257,543 | 6,876 |
| | Dunkin’ Brands Group Inc. | 84,339 | 5,610 |
| * | Five Below Inc. | 56,681 | 5,495 |
| * | Deckers Outdoor Corp. | 28,483 | 4,950 |
| | Wyndham Hotels & Resorts Inc. | 96,888 | 4,936 |
| | Polaris Inc. | 58,541 | 4,831 |
| | Service Corp. International | 94,904 | 4,536 |
| | Churchill Downs Inc. | 36,092 | 4,535 |
| * | Skechers U.S.A. Inc. | 136,335 | 4,510 |
| | Marriott Vacations Worldwide Corp. | 38,092 | 3,687 |
| * | Tempur Sealy International Inc. | 46,256 | 3,458 |
| | Williams-Sonoma Inc. | 54,521 | 3,402 |
| * | Eldorado Resorts Inc. | 66,506 | 3,337 |
| * | Rh | 16,634 | 3,017 |
| | Choice Hotels International Inc. | 32,340 | 2,952 |
| * | Murphy USA Inc. | 29,436 | 2,870 |
| | Carter’s Inc. | 28,313 | 2,590 |
| * | Grubhub Inc. | 52,138 | 2,508 |
| * | Helen of Troy Ltd. | 15,117 | 2,488 |
| | Toll Brothers Inc. | 61,420 | 2,274 |
| | Boyd Gaming Corp. | 81,485 | 2,177 |
| | Brunswick Corp. | 40,692 | 2,165 |
| | Wendy’s Co. | 108,671 | 2,052 |
| | Texas Roadhouse Inc. | 33,875 | 1,904 |
| ^,* | Ollie’s Bargain Outlet Holdings Inc. | 31,177 | 1,586 |
| | Wyndham Destinations Inc. | 39,706 | 1,584 |
| | Aaron’s Inc. | 38,969 | 1,533 |
| | Columbia Sportswear Co. | 18,326 | 1,490 |
| * | Visteon Corp. | 20,213 | 1,315 |
| | KB Home | 40,124 | 1,308 |
| | Six Flags Entertainment Corp. | 40,014 | 1,012 |
| * | Scientific Games Corp. | 55,065 | 1,004 |
| | Papa John’s International Inc. | 14,367 | 828 |
| | Jack in the Box Inc. | 11,798 | 812 |
| * | WW International Inc. | 24,594 | 738 |
| | | | 136,530 |
| Consumer Staples (2.3%) | | |
| | Casey’s General Stores Inc. | 37,449 | 6,105 |
| * | Boston Beer Co. Inc. Class A | 9,381 | 3,478 |
| * | Post Holdings Inc. | 31,125 | 3,152 |
| | Energizer Holdings Inc. | 65,497 | 2,816 |
| | Sanderson Farms Inc. | 20,073 | 2,480 |
| | Lancaster Colony Corp. | 9,870 | 1,426 |
| * | Pilgrim’s Pride Corp. | 34,142 | 722 |
| | Tootsie Roll Industries Inc. | 7,924 | 254 |
| | | | 20,433 |
| Energy (0.8%) | | |
| * | WPX Energy Inc. | 424,268 | 3,959 |
| | Murphy Oil Corp. | 68,429 | 1,290 |
| * | Matador Resources Co. | 111,622 | 1,076 |
| | Core Laboratories NV | 17,633 | 473 |
| | | | 6,798 |
| Financials (8.7%) | | |
| | FactSet Research Systems Inc. | 38,630 | 10,275 |
| | Brown & Brown Inc. | 238,076 | 10,240 |
| | RenaissanceRe Holdings Ltd. | 44,959 | 7,661 |
| | SEI Investments Co. | 128,497 | 7,030 |
| * | Alleghany Corp. | 7,326 | 4,925 |
| | Primerica Inc. | 42,107 | 4,688 |
| | Commerce Bancshares Inc. | 58,069 | 3,544 |
| | Eaton Vance Corp. | 81,783 | 3,374 |
S&P Mid-Cap 400 Growth Index Fund
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | New York Community Bancorp Inc. | 237,902 | 2,572 |
| | First Financial Bankshares Inc. | 88,513 | 2,544 |
| | SLM Corp. | 214,903 | 2,229 |
| | FirstCash Inc. | 28,245 | 2,173 |
| * | LendingTree Inc. | 7,806 | 2,153 |
| | RLI Corp. | 25,595 | 2,057 |
| | Federated Hermes Inc. | 69,444 | 2,003 |
| | Stifel Financial Corp. | 34,107 | 1,857 |
| | Evercore Inc. | 27,854 | 1,856 |
| | CIT Group Inc. | 45,326 | 1,800 |
| | Bank of Hawaii Corp. | 23,782 | 1,770 |
| | Washington Federal Inc. | 50,249 | 1,507 |
| | | | 76,258 |
| Health Care (14.3%) | | |
| | West Pharmaceutical Services Inc. | 75,330 | 11,342 |
| * | Masimo Corp. | 49,946 | 8,158 |
| * | Catalent Inc. | 157,457 | 8,114 |
| * | Charles River Laboratories International Inc. | 49,722 | 7,735 |
| | Bio-Techne Corp. | 38,803 | 7,329 |
| | Chemed Corp. | 16,299 | 6,807 |
| * | PRA Health Sciences Inc. | 64,390 | 6,065 |
| * | Exelixis Inc. | 309,338 | 5,751 |
| * | Amedisys Inc. | 32,838 | 5,714 |
| * | Bio-Rad Laboratories Inc. | 15,839 | 5,576 |
| * | Penumbra Inc. | 32,703 | 5,424 |
| * | HealthEquity Inc. | 72,163 | 5,123 |
| * | Repligen Corp. | 47,702 | 4,083 |
| * | Syneos Health Inc. | 63,403 | 4,016 |
| * | ICU Medical Inc. | 19,575 | 3,833 |
| * | Integra LifeSciences Holdings Corp. | 72,556 | 3,780 |
| * | Arrowhead Pharmaceuticals Inc. | 101,917 | 3,604 |
| | Hill-Rom Holdings Inc. | 37,383 | 3,591 |
| * | Haemonetics Corp. | 33,026 | 3,578 |
| * | Globus Medical Inc. | 78,363 | 3,544 |
| | Encompass Health Corp. | 47,183 | 3,531 |
| * | NuVasive Inc. | 34,460 | 2,268 |
| * | LivaNova plc | 25,130 | 1,752 |
| * | Ligand Pharmaceuticals Inc. | 17,880 | 1,673 |
| | Cantel Medical Corp. | 21,362 | 1,348 |
| * | Nektar Therapeutics Class A | 57,312 | 1,193 |
| * | MEDNAX Inc. | 33,415 | 571 |
| | | | 125,503 |
| Industrials (18.1%) | | |
| * | Teledyne Technologies Inc. | 37,130 | 12,525 |
| | Carlisle Cos. Inc. | 57,699 | 8,383 |
| | Graco Inc. | 169,795 | 8,374 |
| | Toro Co. | 108,528 | 7,752 |
| | Nordson Corp. | 52,091 | 7,569 |
| | Hubbell Inc. | 55,371 | 7,378 |
| * | Generac Holdings Inc. | 63,209 | 6,510 |
| | Woodward Inc. | 57,408 | 5,925 |
| * | Trex Co. Inc. | 59,390 | 5,681 |
| | Lennox International Inc. | 23,560 | 5,375 |
| | Lincoln Electric Holdings Inc. | 62,254 | 5,098 |
| * | Axon Enterprise Inc. | 60,414 | 4,674 |
| | Tetra Tech Inc. | 55,575 | 4,494 |
| * | FTI Consulting Inc. | 38,309 | 4,313 |
| * | Mercury Systems Inc. | 56,540 | 4,153 |
| | Knight-Swift Transportation Holdings Inc. | 125,092 | 3,995 |
| | Brink’s Co. | 50,929 | 3,987 |
| | Curtiss-Wright Corp. | 31,726 | 3,805 |
| | Donaldson Co. Inc. | 82,465 | 3,718 |
| * | Clean Harbors Inc. | 52,270 | 3,634 |
| | ITT Inc. | 59,823 | 3,598 |
| | Owens Corning | 58,700 | 3,316 |
| | Timken Co. | 69,019 | 3,095 |
| * | MasTec Inc. | 61,394 | 3,013 |
| | Oshkosh Corp. | 40,881 | 2,950 |
| | MSA Safety Inc. | 23,222 | 2,825 |
| | Landstar System Inc. | 27,322 | 2,759 |
| | Watsco Inc. | 16,954 | 2,662 |
| * | Stericycle Inc. | 40,822 | 2,344 |
| | Herman Miller Inc. | 60,124 | 2,059 |
| | AGCO Corp. | 33,822 | 2,044 |
| * | Kirby Corp. | 31,734 | 2,023 |
| | EMCOR Group Inc. | 26,297 | 2,023 |
| * | ASGN Inc. | 32,788 | 1,663 |
| | Insperity Inc. | 21,438 | 1,442 |
| * | Colfax Corp. | 38,304 | 1,282 |
| | Valmont Industries Inc. | 10,083 | 1,172 |
| | Werner Enterprises Inc. | 20,695 | 695 |
| | Deluxe Corp. | 19,290 | 642 |
| | | | 158,950 |
| Information Technology (21.4%) | |
| * | Tyler Technologies Inc. | 39,690 | 12,437 |
| * | Fair Isaac Corp. | 29,486 | 11,088 |
| | Teradyne Inc. | 170,608 | 10,025 |
| * | Trimble Inc. | 253,638 | 10,014 |
| | Cypress Semiconductor Corp. | 375,990 | 8,682 |
| * | WEX Inc. | 44,072 | 8,252 |
| | Cognex Corp. | 173,987 | 7,749 |
| | Universal Display Corp. | 43,166 | 6,854 |
| | Monolithic Power Systems Inc. | 41,130 | 6,525 |
| * | CACI International Inc. Class A | 25,494 | 6,247 |
| * | SolarEdge Technologies Inc. | 49,490 | 6,172 |
S&P Mid-Cap 400 Growth Index Fund
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | Lumentum Holdings Inc. | 78,594 | 6,116 |
| | MKS Instruments Inc. | 55,495 | 5,560 |
| | Jabil Inc. | 141,427 | 4,533 |
| * | Manhattan Associates Inc. | 65,057 | 4,382 |
| * | Ceridian HCM Holding Inc. | 61,564 | 4,354 |
| * | PTC Inc. | 55,028 | 4,157 |
| | Cabot Microelectronics Corp. | 29,628 | 4,127 |
| | j2 Global Inc. | 47,131 | 4,116 |
| * | Cirrus Logic Inc. | 58,844 | 4,039 |
| * | Silicon Laboratories Inc. | 44,156 | 3,916 |
| * | Ciena Corp. | 97,646 | 3,754 |
| | KBR Inc. | 144,277 | 3,745 |
| | Perspecta Inc. | 139,993 | 3,496 |
| | CDK Global Inc. | 75,391 | 3,469 |
| | Blackbaud Inc. | 50,077 | 3,395 |
| * | ACI Worldwide Inc. | 117,689 | 3,280 |
| * | Coherent Inc. | 24,591 | 3,165 |
| | LogMeIn Inc. | 31,806 | 2,711 |
| | Littelfuse Inc. | 15,625 | 2,495 |
| | National Instruments Corp. | 56,439 | 2,273 |
| | MAXIMUS Inc. | 35,825 | 2,258 |
| | Sabre Corp. | 133,841 | 1,822 |
| | Science Applications International Corp. | 22,481 | 1,801 |
| * | ViaSat Inc. | 29,943 | 1,722 |
| | CoreLogic Inc. | 36,433 | 1,653 |
| * | NCR Corp. | 55,861 | 1,408 |
| * | Synaptics Inc. | 20,782 | 1,373 |
| * | Semtech Corp. | 34,394 | 1,358 |
| * | LiveRamp Holdings Inc. | 27,567 | 977 |
| * | Teradata Corp. | 44,667 | 891 |
| * | CommVault Systems Inc. | 20,978 | 875 |
| | | | 187,266 |
| Materials (5.4%) | | |
| | Reliance Steel & Aluminum Co. | 67,861 | 6,941 |
| | Royal Gold Inc. | 66,776 | 6,442 |
| | RPM International Inc. | 79,214 | 5,078 |
| | Scotts Miracle-Gro Co. | 40,339 | 4,276 |
| | AptarGroup Inc. | 39,051 | 3,947 |
| | Eagle Materials Inc. | 42,384 | 3,345 |
| | Steel Dynamics Inc. | 107,478 | 2,862 |
| | Louisiana-Pacific Corp. | 86,095 | 2,449 |
| | Valvoline Inc. | 103,570 | 2,020 |
| * | Ingevity Corp. | 42,579 | 1,918 |
| | NewMarket Corp. | 4,885 | 1,898 |
| | Silgan Holdings Inc. | 47,361 | 1,356 |
| | Compass Minerals International Inc. | 24,839 | 1,355 |
| * | Allegheny Technologies Inc. | 62,898 | 1,075 |
| | Carpenter Technology Corp. | 26,720 | 982 |
| | Cabot Corp. | 26,103 | 976 |
| | | | 46,920 |
| Real Estate (9.3%) | | |
| | Camden Property Trust | 54,221 | 5,746 |
| | Cousins Properties Inc. | 149,416 | 5,333 |
| | EastGroup Properties Inc. | 39,102 | 4,916 |
| | National Retail Properties Inc. | 96,109 | 4,887 |
| | CyrusOne Inc. | 74,909 | 4,538 |
| | Lamar Advertising Co. | 53,415 | 4,473 |
| | Kilroy Realty Corp. | 59,579 | 4,331 |
| | Douglas Emmett Inc. | 105,718 | 4,036 |
| | CoreSite Realty Corp. | 38,368 | 3,980 |
| | Omega Healthcare Investors Inc. | 100,106 | 3,964 |
| | Jones Lang LaSalle Inc. | 25,182 | 3,721 |
| | First Industrial Realty Trust Inc. | 85,305 | 3,284 |
| | Life Storage Inc. | 28,972 | 3,127 |
| | Brixmor Property Group Inc. | 169,812 | 3,092 |
| | PS Business Parks Inc. | 20,390 | 3,029 |
| | American Campus Communities Inc. | 67,148 | 2,917 |
| | Highwoods Properties Inc. | 52,809 | 2,370 |
| | Healthcare Realty Trust Inc. | 62,632 | 2,148 |
| | EPR Properties | 35,146 | 2,082 |
| | Spirit Realty Capital Inc. | 42,645 | 1,941 |
| | Rayonier Inc. | 55,294 | 1,467 |
| | Weingarten Realty Investors | 54,181 | 1,459 |
| | Taubman Centers Inc. | 26,800 | 1,395 |
| | Corporate Office Properties Trust | 52,481 | 1,330 |
| | PotlatchDeltic Corp. | 31,479 | 1,157 |
| | Urban Edge Properties | 53,934 | 874 |
| | | | 81,597 |
| Utilities (2.1%) | | |
| | Essential Utilities Inc. | 120,090 | 5,165 |
| | MDU Resources Group Inc. | 85,681 | 2,376 |
| | Hawaiian Electric Industries Inc. | 53,254 | 2,281 |
| | IDACORP Inc. | 23,088 | 2,231 |
| | ONE Gas Inc. | 26,843 | 2,205 |
| | Black Hills Corp. | 29,404 | 2,123 |
| | PNM Resources Inc. | 40,548 | 1,909 |
| | | | 18,290 |
Total Common Stocks
(Cost $848,666) | | 873,537 |
| Temporary Cash Investments (0.3%) | |
| Money Market Fund (0.3%) | | |
| 1,2 | Vanguard Market Liquidity Fund, 1.706% | 25,023 | 2,503 |
S&P Mid-Cap 400 Growth Index Fund
| | Face | Market |
| | Amount | Value• |
| | ($000) | ($000) |
| U.S. Government and Agency Obligations (0.0%) |
| 3 | United States Treasury Bill, 1.506%, 4/9/20 | 150 | 150 |
| Total Temporary Cash Investments | |
| (Cost $2,652) | | 2,653 |
| Total Investments (100.0%) | | |
| (Cost $851,318) | | 876,190 |
| Other Assets and Liabilities—Net (0.0%)2 | 374 |
| Net Assets (100%) | | 876,564 |
Cost Rounded to $000.
| • | See Note A in Notes to Financial Statements. |
| ^ | Includes partial security positions on loan to broker-dealer. The total value of securities on loan is $997,000. |
| * | 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. |
| 2 | Collateral of $1,039,000 was received for securities on loan. |
| 3 | Securities with a value of $92,000 have been segregated as initial margin for open futures contracts. |
| Derivative Financial Instruments Outstanding as of Period End | |
| | |
Futures Contracts | |
| | | | | ($000) |
| | | | | Value and |
| | | Number of | | Unrealized |
| | | Long (Short) | Notional | Appreciation |
| | Expiration | Contracts | Amount | (Depreciation) |
| Long Futures Contracts | | | | |
| E-mini S&P Mid-Cap 400 Index | March 2020 | 16 | 2,900 | (282) |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Growth Index Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | | Amount | |
| Assets | | | | |
| Investments in Securities, at Value | | | | |
| Unaffiliated Issuers (Cost $848,815) | | | 873,687 | |
| Affiliated Issuers (Cost $2,503) | | | 2,503 | |
| Total Investments in Securities | | | 876,190 | |
| Investment in Vanguard | | | 42 | |
| Cash | | | 1 | |
| Receivables for Investment Securities Sold | | | 770 | |
| Receivables for Accrued Income | | | 715 | |
| Receivables for Capital Shares Issued | | | 229 | |
| Total Assets | | | 877,947 | |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | 2 | |
| Collateral for Securities on Loan | | | 1,039 | |
| Payables for Capital Shares Redeemed | | | 146 | |
| Payables to Vanguard | | | 152 | |
| Variation Margin Payable—Futures Contracts | | | 44 | |
| Total Liabilities | | | 1,383 | |
| Net Assets | | | 876,564 | |
| | | | | |
| At February 29, 2020, net assets consisted of: | | | | |
| | | | | |
| Paid-in Capital | | | 987,438 | |
| Total Distributable Earnings (Loss) | | | (110,874 | ) |
| Net Assets | | | 876,564 | |
| | | | | |
| ETF Shares—Net Assets | | | | |
| Applicable to 5,225,000 outstanding $.001 par value shares of | | | | |
| beneficial interest (unlimited authorization) | | | 694,574 | |
| Net Asset Value Per Share—ETF Shares | | | $132.93 | |
| | | | | |
| Institutional Shares—Net Assets | | | | |
| Applicable to 687,167 outstanding $.001 par value shares of | | | | |
| beneficial interest (unlimited authorization) | | | 181,990 | |
| Net Asset Value Per Share—Institutional Shares | | | $264.84 | |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Growth Index Fund
Statement of Operations
| | | Six Months Ended | |
| | February 29, 2020 | |
| | | ($000) | |
| Investment Income | | | | |
| Income | | | | |
| Dividends | | | 5,029 | |
| Interest1 | | | 15 | |
| Securities Lending—Net | | | 21 | |
| Total Income | | | 5,065 | |
| Expenses | | | | |
| The Vanguard Group—Note B | | | | |
| Investment Advisory Services | | | 73 | |
| Management and Administrative—ETF Shares | | | 474 | |
| Management and Administrative—Institutional Shares | | | 63 | |
| Marketing and Distribution—ETF Shares | | | 25 | |
| Marketing and Distribution—Institutional Shares | | | 4 | |
| Custodian Fees | | | 13 | |
| Shareholders’ Reports—ETF Shares | | | 13 | |
| Shareholders’ Reports—Institutional Shares | | | — | |
| Total Expenses | | | 665 | |
| Expenses Paid Indirectly | | | (11 | ) |
| Net Expenses | | | 654 | |
| Net Investment Income | | | 4,411 | |
| Realized Net Gain (Loss) | | | | |
| Investment Securities Sold1,2 | | | 25,074 | |
| Futures Contracts | | | 175 | |
| Realized Net Gain (Loss) | | | 25,249 | |
| Change in Unrealized Appreciation (Depreciation) | | | | |
| Investment Securities1 | | | (48,040 | ) |
| Futures Contracts | | | (259 | ) |
| Change in Unrealized Appreciation (Depreciation) | | | (48,299 | ) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | (18,639 | ) |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $14,000, $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $45,031,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Growth Index Fund
Statement of Changes in Net Assets
| | | Six Months Ended | | | Year Ended | |
| | | February 29, | | | August 31, | |
| | | 2020 | | | 2019 | |
| | | ($000) | | | ($000) | |
| Increase (Decrease) in Net Assets | | | | | | | | |
| Operations | | | | | | | | |
| Net Investment Income | | | 4,411 | | | | 11,104 | |
| Realized Net Gain (Loss) | | | 25,249 | | | | (36,171 | ) |
| Change in Unrealized Appreciation (Depreciation) | | | (48,299 | ) | | | (36,393 | ) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | (18,639 | ) | | | (61,460 | ) |
| Distributions1 | | | | | | | | |
| ETF Shares | | | (9,255 | ) | | | (6,629 | ) |
| Institutional Shares | | | (2,652 | ) | | | (2,658 | ) |
| Total Distributions | | | (11,907 | ) | | | (9,287 | ) |
| Capital Share Transactions | | | | | | | | |
| ETF Shares | | | (16,987 | ) | | | (40,742 | ) |
| Institutional Shares | | | (17,121 | ) | | | (48,958 | ) |
| Net Increase (Decrease) from Capital Share Transactions | | | (34,108 | ) | | | (89,700 | ) |
| Total Increase (Decrease) | | | (64,654 | ) | | | (160,447 | ) |
| Net Assets | | | | | | | | |
| Beginning of Period | | | 941,218 | | | | 1,101,665 | |
| End of Period | | | 876,564 | | | | 941,218 | |
1 Certain prior period numbers have been reclassified to conform with current period presentation.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Growth Index Fund
Financial Highlights
ETF Shares
| | | Six Months | | | | | | | | | | | | | | | | |
| | | Ended | | | | | | | | | | | | | | | | |
| For a Share Outstanding | | February 29, | | | Year Ended August 31, | |
| Throughout Each Period | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| Net Asset Value, Beginning of Period | | | $137.70 | | | | $146.46 | | | | $121.33 | | | | $109.76 | | | | $99.88 | | | | $97.18 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | .639 | 1 | | | 1.519 | 1 | | | 1.268 | 1 | | | 1.152 | 1 | | | .954 | | | | 1.036 | |
| Net Realized and Unrealized Gain (Loss) | | | | | | | | | | | | | | | | | | | | | | | | |
| on Investments | | | (3.687 | ) | | | (9.084 | ) | | | 25.098 | | | | 11.576 | | | | 9.960 | | | | 2.456 | |
| Total from Investment Operations | | | (3.048 | ) | | | (7.565 | ) | | | 26.366 | | | | 12.728 | | | | 10.914 | | | | 3.492 | |
| Distributions | | | | | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (1.722 | ) | | | (1.195 | ) | | | (1.236 | ) | | | (1.158 | ) | | | (1.034 | ) | | | (.792 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (1.722 | ) | | | (1.195 | ) | | | (1.236 | ) | | | (1.158 | ) | | | (1.034 | ) | | | (.792 | ) |
| Net Asset Value, End of Period | | | $132.93 | | | | $137.70 | | | | $146.46 | | | | $121.33 | | | | $109.76 | | | | $99.98 | |
Total Return | | | -2.32% | | | | -5.08% | | | | 21.83% | | | | 11.67% | | | | 11.04% | | | | 3.60% | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $695 | | | | $737 | | | | $831 | | | | $686 | | | | $513 | | | | $377 | |
| Ratio of Total Expenses to | | | | | | | | | | | | | | | | | | | | | | | | |
| Average Net Assets | | | 0.15% | | | | 0.15% | | | | 0.20% | | | | 0.20% | | | | 0.20% | | | | 0.20% | |
| Ratio of Net Investment Income to | | | | | | | | | | | | | | | | | | | | | | | | |
| Average Net Assets | | | 1.03% | | | | 1.13% | | | | 0.94% | | | | 0.99% | | | | 1.08% | | | | 1.08% | |
| Portfolio Turnover Rate2 | | | 39% | | | | 40% | | | | 43% | | | | 40% | | | | 38% | | | | 47% | |
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | Calculated based on average shares outstanding. |
| 2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Growth Index Fund
Financial Highlights
Institutional Shares
| | | Six Months | | | | | | | | | | | | | | | | |
| | | Ended | | | | | | | | | | | | | | | | |
| For a Share Outstanding | | February 29, | | | | | | | | | Year Ended August 31, | |
| Throughout Each Period | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| Net Asset Value, Beginning of Period | | | $274.38 | | | | $292.07 | | | | $241.68 | | | | $218.61 | | | | $198.85 | | | | $193.45 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 1.401 | 1 | | | 3.242 | 1 | | | 2.894 | 1 | | | 2.604 | 1 | | | 2.094 | | | | 2.271 | |
| Net Realized and Unrealized Gain (Loss) | | | | | | | | | | | | | | | | | | | | | | | | |
| on Investments | | | (7.359 | ) | | | (18.167 | ) | | | 49.971 | | | | 23.011 | | | | 19.906 | | | | 4.900 | |
| Total from Investment Operations | | | (5.958 | ) | | | (14.925 | ) | | | 52.865 | | | | 25.615 | | | | 22.000 | | | | 7.171 | |
| Distributions | | | | | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (3.582 | ) | | | (2.765 | ) | | | (2.475 | ) | | | (2.545 | ) | | | (2.240 | ) | | | (1.771 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (3.582 | ) | | | (2.765 | ) | | | (2.475 | ) | | | (2.545 | ) | | | (2.240 | ) | | | (1.771 | ) |
| Net Asset Value, End of Period | | | $264.84 | | | | $274.38 | | | | $292.07 | | | | $241.68 | | | | $218.61 | | | | $198.85 | |
Total Return | | | -2.27% | | | | -5.02% | | | | 21.97% | | | | 11.80% | | | | 11.18% | | | | 3.72% | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $182 | | | | $205 | | | | $271 | | | | $320 | | | | $170 | | | | $96 | |
| Ratio of Total Expenses to | | | | | | | | | | | | | | | | | | | | | | | | |
| Average Net Assets | | | 0.08% | | | | 0.08% | | | | 0.08% | | | | 0.08% | | | | 0.08% | | | | 0.08% | |
| Ratio of Net Investment Income to | | | | | | | | | | | | | | | | | | | | | | | | |
| Average Net Assets | | | 1.12% | | | | 1.20% | | | | 1.06% | | | | 1.11% | | | | 1.20% | | | | 1.20% | |
| Portfolio Turnover Rate2 | | | 39% | | | | 40% | | | | 43% | | | | 40% | | | | 38% | | | | 47% | |
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | Calculated based on average shares outstanding. |
| 2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Mid-Cap 400 Growth Index Fund
Notes to Financial Statements
Vanguard S&P Mid-Cap 400 Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. 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.
2. 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 counter-party 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 assets pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended February 29, 2020, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
S&P Mid-Cap 400 Growth Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counter-party’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and
S&P Mid-Cap 400 Growth Index Fund
borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $42,000, representing less than 0.01% of the fund’s net assets and 0.02% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 29, 2020, custodian fee offset arrangements reduced the fund’s expenses by $11,000 (an annual rate less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. 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.
S&P Mid-Cap 400 Growth Index Fund
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 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 February 29, 2020, based on the inputs used to value them:
| | Level 1 | Level 2 | Level 3 | Total |
| | ($000) | ($000) | ($000) | ($000) |
| Investments | | | | |
| Assets | | | | |
| Common Stocks | 873,537 | — | — | 873,537 |
| Temporary Cash Investments | 2,503 | 150 | — | 2,653 |
| Total | 876,040 | 150 | — | 876,190 |
| Derivative Financial Instruments | | | | |
| Liabilities | | | | |
| Futures Contracts1 | 44 | — | — | 44 |
1 Represents variation margin on the last day of the reporting period.
E. As of February 29, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| | | Amount | |
| | | ($000) | |
| Tax Cost | | | 851,318 | |
| Gross Unrealized Appreciation | | | 103,635 | |
| Gross Unrealized Depreciation | | | (79,045 | ) |
| Net Unrealized Appreciation (Depreciation) | | | 24,590 | |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $160,033,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F. During the six months ended February 29, 2020, the fund purchased $488,176,000 of investment securities and sold $529,608,000 of investment securities, other than temporary cash investments. Purchases and sales include $89,792,000 and $162,056,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
S&P Mid-Cap 400 Growth Index Fund
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 29, 2020, such purchases and sales were $238,136,000 and $216,553,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
G. Capital share transactions for each class of shares were:
| | | Six Months Ended | | | Year Ended | |
| | | February 29, 2020 | | | August 31, 2019 | |
| | | Amount | | | Shares | | | Amount | | | Shares | |
| | | ($000) | | | (000) | | | ($000) | | | (000) | |
| ETF Shares | | | | | | | | | | | | | | | | |
| Issued | | | 155,167 | | | | 1,075 | | | | 292,561 | | | | 2,150 | |
| Issued in Lieu of Cash Distributions | | | — | | | | — | | | | — | | | | — | |
| Redeemed | | | (172,154 | ) | | | (1,200 | ) | | | (333,303 | ) | | | (2,475 | ) |
| Net Increase (Decrease)—ETF Shares | | | (16,987 | ) | | | (125 | ) | | | (40,742 | ) | | | (325 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
| Issued | | | 6,419 | | | | 22 | | | | 37,712 | | | | 144 | |
| Issued in Lieu of Cash Distributions | | | 2,444 | | | | 9 | | | | 2,069 | | | | 8 | |
| Redeemed | | | (25,984 | ) | | | (89 | ) | | | (88,739 | ) | | | (333 | ) |
| Net Increase (Decrease)—Institutional Shares | | | (17,121 | ) | | | (58 | ) | | | (48,958 | ) | | | (181 | ) |
H. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
The S&P MidCap 400 Index, S&P MidCap 400 Value Index, and S&P MidCap 400 Growth Index (the “Indexes”) are products of S&P Dow Jones Indices LLC, a division of S&P Global, or its affiliates (“SPDJI”), and have been licensed for use by Vanguard. Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC, a division of S&P Global (“S&P”) and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). The trademarks have been licensed to SPDJI and have been sublicensed for use for certain purposes by Vanguard. Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund, and Vanguard S&P Mid-Cap 400 Growth Index Fund are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or any of their respective affiliates (collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices make no representation or warranty, express or implied, to the owners of the Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund, and Vanguard S&P Mid-Cap 400 Growth Index Fund or any member of the public regarding the advisability of investing in securities generally or in Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund, and Vanguard S&P Mid-Cap 400 Growth Index Fund particularly or the ability of the S&P MidCap 400 Index, S&P MidCap 400 Value Index, and S&P MidCap 400 Growth Index to track general market performance. S&P Dow Jones Indices’ only relationship to Vanguard with respect to the S&P MidCap 400 Index, S&P MidCap 400 Value Index, and S&P MidCap 400 Growth Index is the licensing of the Indexes and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or its licensors. The S&P MidCap 400 Index, S&P MidCap 400 Value Index, and S&P MidCap 400 Growth Index are determined, composed and calculated by S&P Dow Jones Indices without regard to Vanguard or Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund, and Vanguard S&P Mid-Cap 400 Growth Index Fund. S&P Dow Jones Indices have no obligation to take the needs of Vanguard or the owners of Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund, and Vanguard S&P Mid-Cap 400 Growth Index Fund into consideration in determining, composing or calculating the S&P MidCap 400 Index, S&P MidCap 400 Value Index, and S&P MidCap 400 Growth Index. S&P Dow Jones Indices are not responsible for and have not participated in the determination of the prices and amount of Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund, and Vanguard S&P Mid-Cap 400 Growth Index Fund or the timing of the issuance or sale of Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund, and Vanguard S&P Mid-Cap 400 Growth Index Fund or in the determination or calculation of the equation by which Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund, and Vanguard S&P Mid-Cap 400 Growth Index Fund are to be converted into cash, surrendered or redeemed, as the case may be. S&P Dow Jones Indices have no obligation or liability in connection with the administration, marketing or trading of Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund, and Vanguard S&P Mid-Cap 400 Growth Index Fund. There is no assurance that investment products based on the S&P MidCap 400 Index, S&P MidCap 400 Value Index, and S&P MidCap 400 Growth Index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an investment advisor. Inclusion of a security within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice.
S&P DOW JONES INDICES DOES NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDEXES OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY VANGUARD, OWNERS OF VANGUARD S&P MID-CAP 400 INDEX FUND, VANGUARD S&P MID-CAP 400 VALUE INDEX FUND, AND VANGUARD S&P MID-CAP 400 GROWTH INDEX FUND, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEXES OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND VANGUARD, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
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This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.
| | © 2020 The Vanguard Group, Inc. All rights reserved. U.S. Patent Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; 8,417,623; and 8,626,636. Vanguard Marketing Corporation, Distributor. Q18422 042020 |
Semiannual Report | February 29, 2020 Vanguard S&P 500 Value and Growth
Index Funds |
Vanguard S&P 500 Value Index Fund Vanguard S&P 500 Growth Index Fund See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports. |
Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
Contents
| About Your Fund’s Expenses | 1 |
| | |
| S&P 500 Value Index Fund | 3 |
| | |
| S&P 500 Growth Index Fund | 21 |
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
Six Months Ended February 29, 2020
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| | 8/31/2019 | 2/29/2020 | Period |
| Based on Actual Fund Return | | | |
| S&P 500 Value Index Fund | | | |
| ETF Shares | $1,000.00 | $1,004.30 | $0.50 |
| Institutional Shares | 1,000.00 | 1,004.38 | 0.40 |
| S&P 500 Growth Index Fund | | | |
| ETF Shares | $1,000.00 | $1,031.02 | $0.51 |
| Institutional Shares | 1,000.00 | 1,031.17 | 0.40 |
| Based on Hypothetical 5% Yearly Return | | | |
| S&P 500 Value Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.37 | $0.50 |
| Institutional Shares | 1,000.00 | 1,024.47 | 0.40 |
| S&P 500 Growth Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.37 | $0.50 |
| Institutional Shares | 1,000.00 | 1,024.47 | 0.40 |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the S&P 500 Value Index Fund, 0.10% for ETF Shares and 0.08% for Institutional Shares; and for the S&P 500 Growth Index Fund, 0.10% for ETF Shares and 0.08% for Institutional Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (182/366).
S&P 500 Value Index Fund
Sector Diversification
As of February 29, 2020
| Communication Services | 7.7% |
| Consumer Discretionary | 5.4 |
| Consumer Staples | 9.9 |
| Energy | 6.7 |
| Financials | 20.7 |
| Health Care | 18.8 |
| Industrials | 9.9 |
| Information Technology | 8.1 |
| Materials | 2.7 |
| Real Estate | 3.4 |
| Utilities | 6.7 |
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking their target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
S&P 500 Value Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 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.
| | | | | Market | |
| | | | | Value• | |
| | | Shares | | ($000) | |
| Common Stocks (99.8%) | | | | |
| Communication Services (7.7%) | | | |
| | AT&T Inc. | 796,954 | | 28,069 | |
| | Verizon Communications Inc. | 451,206 | | 24,437 | |
| | Walt Disney Co. | 76,670 | | 9,020 | |
| | Comcast Corp. | 217,916 | | 8,810 | |
| | Activision Blizzard Inc. | 83,810 | | 4,872 | |
| * | T-Mobile US Inc. | 34,537 | | 3,114 | |
| * | Twitter Inc. | 84,695 | | 2,812 | |
| | Omnicom Group Inc. | 23,767 | | 1,647 | |
| * | Electronic Arts Inc. | 14,977 | | 1,518 | |
| | ViacomCBS Inc. Class B | 58,960 | | 1,451 | |
| | CenturyLink Inc. | 106,962 | | 1,291 | |
| | Fox Corp. Class A | 38,724 | | 1,190 | |
| * | DISH Network Corp. | 27,909 | | 936 | |
| * | Discovery Communications Inc. | 36,621 | | 919 | |
| | Interpublic Group of Cos. Inc. | 42,266 | | 903 | |
| | News Corp. Class A | 46,254 | | 559 | |
| | Fox Corp. Class B | 17,681 | | 538 | |
| * | Discovery Inc. | 17,238 | | 443 | |
| * | Live Nation Entertainment Inc. | 5,050 | | 307 | |
| | News Corp. Class B | 9,452 | | 118 | |
| * | Charter Communications Inc. | 2 | | 1 | |
| | TripAdvisor Inc. | 18 | | — | |
| | | | | 92,955 | |
| Consumer Discretionary (5.3%) | | | |
| | McDonald’s Corp. | 46,006 | | 8,933 | |
| | Home Depot Inc. | 34,513 | | 7,518 | |
| | General Motors Co. | 137,179 | | 4,184 | |
| | NIKE Inc. | 44,856 | | 4,009 | |
| | Lowe’s Cos. Inc. | 28,433 | | 3,030 | |
| | Ford Motor Co. | 424,838 | | 2,957 | |
| | Aptiv plc | 27,853 | | 2,176 | |
| * | Dollar Tree Inc. | 25,820 | | 2,144 | |
| | Target Corp. | 19,902 | | 2,050 | |
| | Best Buy Co. Inc. | 24,845 | | 1,880 | |
| | Lennar Corp. Class A | 30,255 | | 1,826 | |
| | Royal Caribbean Cruises Ltd. | 18,751 | | 1,508 | |
| | Expedia Group Inc. | 15,253 | | 1,504 | |
| | Carnival Corp. | 43,699 | | 1,462 | |
| | Genuine Parts Co. | 15,860 | | 1,384 | |
| | VF Corp. | 16,793 | | 1,209 | |
| | Hasbro Inc. | 13,871 | | 1,072 | |
| | Advance Auto Parts Inc. | 7,547 | | 1,004 | |
| | Las Vegas Sands Corp. | 15,838 | | 924 | |
| | Whirlpool Corp. | 6,887 | | 881 | |
| * | Norwegian Cruise Line Holdings Ltd. | 23,179 | | 864 | |
| * | Mohawk Industries Inc. | 6,482 | | 785 | |
| * | Ulta Beauty Inc. | 2,812 | | 723 | |
| | BorgWarner Inc. | 22,508 | | 711 | |
| | Tapestry Inc. | 30,111 | | 706 | |
| | Darden Restaurants Inc. | 7,234 | | 705 | |
| | Kohl’s Corp. | 17,075 | | 668 | |
| | Newell Brands Inc. | 41,615 | | 642 | |
| | PVH Corp. | 8,083 | | 599 | |
| | Tractor Supply Co. | 6,588 | | 583 | |
| | Ralph Lauren Corp. | 5,419 | | 572 | |
| | L Brands Inc. | 25,316 | | 548 | |
| | MGM Resorts International | 21,944 | | 539 | |
| | Hanesbrands Inc. | 39,579 | | 524 | |
| | Harley-Davidson Inc. | 16,821 | | 513 | |
| * | LKQ Corp. | 16,073 | | 475 | |
| | Macy’s Inc. | 33,618 | | 445 | |
| | H&R Block Inc. | 21,226 | | 439 | |
| * | Capri Holdings Ltd. | 16,536 | | 427 | |
| | Nordstrom Inc. | 11,654 | | 404 | |
| | Gap Inc. | 23,193 | | 332 | |
| * | Under Armour Inc. Class A | 20,642 | | 293 | |
| * | Under Armour Inc. Class C | 21,168 | | 264 | |
| | Leggett & Platt Inc. | 4,853 | | 192 | |
| | Lennar Corp. | 363 | | 17 | |
| | Starbucks Corp. | 31 | | 2 | |
| S&P 500 Value Index Fund | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | Market | |
| | | | | Value• | |
| | | Shares | | ($000) | |
| * | Booking Holdings Inc. | 1 | | 2 | |
| | eBay Inc. | 37 | | 1 | |
| | Marriott International Inc. | 10 | | 1 | |
| | Wynn Resorts Ltd. | 1 | | — | |
| | | | | 64,631 | |
| Consumer Staples (9.9%) | | | | |
| | Walmart Inc. | 154,765 | | 16,665 | |
| | Coca-Cola Co. | 252,409 | | 13,501 | |
| | Procter & Gamble Co. | 114,264 | | 12,938 | |
| | PepsiCo Inc. | 79,108 | | 10,445 | |
| | Mondelez International Inc. | 157,079 | | 8,294 | |
| | Philip Morris International Inc. | 95,055 | | 7,782 | |
| | Costco Wholesale Corp. | 19,760 | | 5,555 | |
| | Altria Group Inc. | 124,326 | | 5,019 | |
| | Walgreens Boots Alliance Inc. | 81,799 | | 3,743 | |
| | Colgate-Palmolive Co. | 51,427 | | 3,475 | |
| | General Mills Inc. | 65,940 | | 3,231 | |
| | Constellation Brands Inc. Class A | 18,274 | | 3,150 | |
| | Kimberly-Clark Corp. | 19,074 | | 2,502 | |
| | Kroger Co. | 87,504 | | 2,462 | |
| | Archer-Daniels-Midland Co. | 60,735 | | 2,287 | |
| | Clorox Co. | 13,694 | | 2,183 | |
| | Sysco Corp. | 30,617 | | 2,041 | |
| | Kraft Heinz Co. | 67,946 | | 1,683 | |
| | Kellogg Co. | 27,167 | | 1,643 | |
| | Conagra Brands Inc. | 53,093 | | 1,417 | |
| | JM Smucker Co. | 12,459 | | 1,283 | |
| | Hormel Foods Corp. | 30,317 | | 1,261 | |
| | Tyson Foods Inc. | 16,755 | | 1,137 | |
| | Molson Coors Beverage Co. Class B | 20,475 | | 1,016 | |
| | McCormick & Co. Inc. | 6,610 | | 966 | |
| * | Monster Beverage Corp. | 13,717 | | 856 | |
| | Church & Dwight Co. Inc. | 12,295 | | 855 | |
| | Hershey Co. | 5,337 | | 768 | |
| | Lamb Weston Holdings Inc. | 7,166 | | 623 | |
| | Campbell Soup Co. | 10,283 | | 464 | |
| | Coty Inc. | 17,144 | | 158 | |
| | Estee Lauder Cos. Inc. Class A | 2 | | — | |
| | | | | 119,403 | |
| Energy (6.7%) | | | | |
| | Exxon Mobil Corp. | 461,597 | | 23,744 | |
| | Chevron Corp. | 206,285 | | 19,255 | |
| | Schlumberger Ltd. | 151,032 | | 4,091 | |
| | Kinder Morgan Inc. | 212,500 | | 4,074 | |
| | Marathon Petroleum Corp. | 70,838 | | 3,359 | |
| | Occidental Petroleum Corp. | 97,458 | | 3,191 | |
| | ONEOK Inc. | 45,065 | | 3,007 | |
| | Valero Energy Corp. | 44,800 | | 2,968 | |
| | Williams Cos. Inc. | 132,239 | | 2,519 | |
| | EOG Resources Inc. | 31,730 | | 2,007 | |
| | Phillips 66 | 24,239 | | 1,814 | |
| | Halliburton Co. | 95,762 | | 1,624 | |
| | Concho Resources Inc. | 21,940 | | 1,492 | |
| | Baker Hughes Co. | 70,919 | | 1,141 | |
| | Diamondback Energy Inc. | 17,558 | | 1,089 | |
| | Pioneer Natural Resources Co. | 6,865 | | 843 | |
| | Noble Energy Inc. | 52,104 | | 825 | |
| | Marathon Oil Corp. | 87,350 | | 723 | |
| | Devon Energy Corp. | 42,276 | | 687 | |
| | TechnipFMC plc | 45,816 | | 680 | |
| | HollyFrontier Corp. | 16,184 | | 545 | |
| | National Oilwell Varco Inc. | 29,063 | | 544 | |
| | Helmerich & Payne Inc. | 11,821 | | 436 | |
| | Apache Corp. | 15,611 | | 389 | |
| | Cabot Oil & Gas Corp. | 16,444 | | 229 | |
| | Cimarex Energy Co. | 5,106 | | 169 | |
| | | | | 81,445 | |
| Financials (20.6%) | | | | |
| * | Berkshire Hathaway Inc. | 213,393 | | 44,032 | |
| | Bank of America Corp. | 883,176 | | 25,171 | |
| | JPMorgan Chase & Co. | 177,926 | | 20,659 | |
| | Wells Fargo & Co. | 419,883 | | 17,152 | |
| | Citigroup Inc. | 238,171 | | 15,114 | |
| | US Bancorp | 155,060 | | 7,201 | |
| | Chubb Ltd. | 49,442 | | 7,171 | |
| | Goldman Sachs Group Inc. | 34,765 | | 6,980 | |
| | Truist Financial Corp. | 146,297 | | 6,750 | |
| | Morgan Stanley | 134,197 | | 6,043 | |
| | PNC Financial Services Group Inc. | 47,801 | | 6,042 | |
| | Capital One Financial Corp. | 50,812 | | 4,485 | |
| | American International Group Inc. | 94,907 | | 4,001 | |
| | CME Group Inc. | 19,156 | | 3,809 | |
| | Allstate Corp. | 35,342 | | 3,720 | |
| | Bank of New York Mellon Corp. | 91,557 | | 3,653 | |
| | MetLife Inc. | 85,283 | | 3,643 | |
| | Aflac Inc. | 80,085 | | 3,432 | |
| | Travelers Cos. Inc. | 28,162 | | 3,374 | |
| | Prudential Financial Inc. | 43,860 | | 3,309 | |
| | American Express Co. | 29,282 | | 3,219 | |
| | BlackRock Inc. | 6,304 | | 2,919 | |
| | State Street Corp. | 39,669 | | 2,702 | |
| | Intercontinental Exchange Inc. | 27,335 | | 2,439 | |
| S&P 500 Value Index Fund | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | Market | |
| | | | | Value• | |
| | | Shares | | ($000) | |
| | Marsh & McLennan Cos. Inc. | 21,470 | | 2,245 | |
| | Northern Trust Corp. | 23,116 | | 2,029 | |
| | M&T Bank Corp. | 14,397 | | 2,021 | |
| | Aon plc | 9,454 | | 1,966 | |
| | Hartford Financial Services Group Inc. | 39,322 | | 1,964 | |
| | Fifth Third Bancorp | 77,432 | | 1,889 | |
| | Progressive Corp. | 24,873 | | 1,820 | |
| | KeyCorp | 107,467 | | 1,757 | |
| | Citizens Financial Group Inc. | 47,464 | | 1,504 | |
| | Regions Financial Corp. | 105,266 | | 1,423 | |
| | Huntington Bancshares Inc. | 112,697 | | 1,383 | |
| | Willis Towers Watson plc | 7,289 | | 1,379 | |
| | Charles Schwab Corp. | 33,694 | | 1,373 | |
| | Loews Corp. | 27,925 | | 1,274 | |
| | Principal Financial Group Inc. | 28,177 | | 1,251 | |
| | E*TRADE Financial Corp. | 24,629 | | 1,128 | |
| | Raymond James Financial Inc. | 13,471 | | 1,127 | |
| | Everest Re Group Ltd. | 4,453 | | 1,104 | |
| | WR Berkley Corp. | 15,810 | | 1,062 | |
| | Globe Life Inc. | 10,872 | | 1,007 | |
| | Lincoln National Corp. | 21,645 | | 982 | |
| | Arthur J Gallagher & Co. | 9,982 | | 973 | |
| | First Republic Bank | 9,380 | | 943 | |
| | Discover Financial Services | 12,986 | | 852 | |
| | Cincinnati Financial Corp. | 8,938 | | 833 | |
| | Comerica Inc. | 15,740 | | 829 | |
| | Assurant Inc. | 6,603 | | 796 | |
| | T. Rowe Price Group Inc. | 6,628 | | 782 | |
| | Zions Bancorp NA | 18,581 | | 742 | |
| | Ameriprise Financial Inc. | 4,838 | | 684 | |
| | Nasdaq Inc. | 6,645 | | 681 | |
| | People’s United Financial Inc. | 48,419 | | 677 | |
| | Franklin Resources Inc. | 30,408 | | 662 | |
| | Invesco Ltd. | 40,585 | | 584 | |
| | Unum Group | 22,486 | | 524 | |
| * | SVB Financial Group | 2,031 | | 423 | |
| | Moody’s Corp. | 2 | | — | |
| | | | | 249,693 | |
| Health Care (18.8%) | | | | |
| | UnitedHealth Group Inc. | 103,360 | | 26,353 | |
| | Johnson & Johnson | 166,529 | | 22,395 | |
| | Pfizer Inc. | 603,741 | | 20,177 | |
| | Medtronic plc | 146,230 | | 14,721 | |
| | Gilead Sciences Inc. | 138,019 | | 9,573 | |
| | Merck & Co. Inc. | 124,985 | | 9,569 | |
| | CVS Health Corp. | 141,934 | | 8,400 | |
| | Cigna Corp. | 40,740 | | 7,453 | |
| | Anthem Inc. | 27,664 | | 7,112 | |
| | Becton Dickinson and Co. | 29,506 | | 7,017 | |
| | Allergan plc | 35,812 | | 6,828 | |
| | Bristol-Myers Squibb Co. | 115,075 | | 6,796 | |
| | AbbVie Inc. | 75,824 | | 6,499 | |
| | Abbott Laboratories | 80,982 | | 6,238 | |
| * | Biogen Inc. | 19,685 | | 6,071 | |
| | Amgen Inc. | 26,575 | | 5,308 | |
| | Eli Lilly & Co. | 41,475 | | 5,231 | |
| | Humana Inc. | 14,448 | | 4,619 | |
| | HCA Healthcare Inc. | 28,865 | | 3,666 | |
| | Danaher Corp. | 25,107 | | 3,630 | |
| * | Centene Corp. | 63,693 | | 3,377 | |
| | Zimmer Biomet Holdings Inc. | 22,440 | | 3,055 | |
| ^ | McKesson Corp. | 19,658 | | 2,749 | |
| | Baxter International Inc. | 30,637 | | 2,557 | |
| * | Boston Scientific Corp. | 62,343 | | 2,331 | |
| | Stryker Corp. | 11,944 | | 2,276 | |
| * | Laboratory Corp. of America Holdings | 10,596 | | 1,862 | |
| * | Illumina Inc. | 6,417 | | 1,705 | |
| | Cardinal Health Inc. | 31,924 | | 1,664 | |
| | Quest Diagnostics Inc. | 14,685 | | 1,557 | |
| | AmerisourceBergen Corp. Class A | 16,387 | | 1,382 | |
| * | Regeneron Pharmaceuticals Inc. | 2,880 | | 1,280 | |
| | Agilent Technologies Inc. | 14,513 | | 1,119 | |
| | Universal Health Services Inc. | 8,757 | | 1,084 | |
| * | Henry Schein Inc. | 16,015 | | 976 | |
| * | Mylan NV | 56,247 | | 967 | |
| * | Alexion Pharmaceuticals Inc. | 10,147 | | 954 | |
| | Cerner Corp. | 12,655 | | 877 | |
| * | IQVIA Holdings Inc. | 6,094 | | 850 | |
| * | DaVita Inc. | 9,770 | | 758 | |
| | Cooper Cos. Inc. | 2,324 | | 754 | |
| | Perrigo Co. plc | 14,837 | | 752 | |
| * | Mettler-Toledo International Inc. | 984 | | 690 | |
| | STERIS plc | 4,256 | | 675 | |
| S&P 500 Value Index Fund | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | Market | |
| | | | | Value• | |
| | | Shares | | ($000) | |
| * | Hologic Inc. | 13,446 | | 634 | |
| | Dentsply Sirona Inc. | 11,387 | | 561 | |
| * | Varian Medical Systems Inc. | 4,459 | | 548 | |
| * | Waters Corp. | 2,670 | | 520 | |
| | PerkinElmer Inc. | 5,210 | | 450 | |
| * | ABIOMED Inc. | 2,108 | | 317 | |
| | Zoetis Inc. | 47 | | 6 | |
| * | Incyte Corp. | 9 | | 1 | |
| * | Align Technology Inc. | 3 | | 1 | |
| | | | | 226,945 | |
| Industrials (9.9%) | | | | |
| | General Electric Co. | 952,788 | | 10,366 | |
| | 3M Co. | 62,736 | | 9,363 | |
| | Boeing Co. | 32,663 | | 8,986 | |
| | Honeywell International Inc. | 42,092 | | 6,826 | |
| | United Technologies Corp. | 41,590 | | 5,431 | |
| | Union Pacific Corp. | 28,780 | | 4,599 | |
| | Eaton Corp. plc | 45,095 | | 4,091 | |
| | General Dynamics Corp. | 25,559 | | 4,082 | |
| | United Parcel Service Inc. | 42,050 | | 3,805 | |
| | FedEx Corp. | 26,190 | | 3,697 | |
| | Johnson Controls International plc | 84,160 | | 3,078 | |
| | Caterpillar Inc. | 24,717 | | 3,071 | |
| | CSX Corp. | 42,422 | | 2,989 | |
| | Delta Air Lines Inc. | 62,799 | | 2,897 | |
| | Southwest Airlines Co. | 51,675 | | 2,387 | |
| | Norfolk Southern Corp. | 13,086 | | 2,386 | |
| | Stanley Black & Decker Inc. | 16,581 | | 2,383 | |
| | Raytheon Co. | 12,148 | | 2,291 | |
| | Fortive Corp. | 32,237 | | 2,230 | |
| | Deere & Co. | 14,083 | | 2,204 | |
| | Illinois Tool Works Inc. | 12,439 | | 2,087 | |
| | Waste Management Inc. | 17,884 | | 1,982 | |
| | Emerson Electric Co. | 30,561 | | 1,959 | |
| * | United Airlines Holdings Inc. | 23,745 | | 1,462 | |
| | Jacobs Engineering Group Inc. | 14,795 | | 1,366 | |
| | Westinghouse Air Brake Technologies Corp. | 19,865 | | 1,365 | |
| | WW Grainger Inc. | 4,755 | | 1,320 | |
| | Ingersoll-Rand plc | 9,931 | | 1,281 | |
| | Parker-Hannifin Corp. | 6,312 | | 1,166 | |
| | Republic Services Inc. | 12,399 | | 1,119 | |
| | CH Robinson Worldwide Inc. | 14,743 | | 1,016 | |
| | Textron Inc. | 24,882 | | 1,010 | |
| | Rockwell Automation Inc. | 5,428 | | 996 | |
| | Cummins Inc. | 6,177 | | 935 | |
| | Snap-on Inc. | 5,982 | | 866 | |
| | Verisk Analytics Inc. | 5,542 | | 860 | |
| | IHS Markit Ltd. | 11,792 | | 840 | |
| | American Airlines Group Inc. | 42,490 | | 809 | |
| | Equifax Inc. | 5,278 | | 750 | |
| | Pentair plc | 18,324 | | 722 | |
| | Nielsen Holdings plc | 38,779 | | 706 | |
| | Alaska Air Group Inc. | 13,432 | | 678 | |
| | Dover Corp. | 6,499 | | 668 | |
| | Robert Half International Inc. | 12,842 | | 647 | |
| | Fastenal Co. | 18,762 | | 642 | |
| | Expeditors International of Washington Inc. | 8,907 | | 627 | |
| | Xylem Inc. | 8,048 | | 622 | |
| | Arconic Inc. | 21,133 | | 620 | |
| | AO Smith Corp. | 14,942 | | 591 | |
| | Flowserve Corp. | 14,304 | | 575 | |
| | IDEX Corp. | 3,566 | | 528 | |
| | Huntington Ingalls Industries Inc. | 1,833 | | 377 | |
| | JB Hunt Transport Services Inc. | 3,820 | | 368 | |
| | Quanta Services Inc. | 8,569 | | 327 | |
| | Rollins Inc. | 8,188 | | 307 | |
| | Lockheed Martin Corp. | 9 | | 3 | |
| | Northrop Grumman Corp. | 4 | | 1 | |
| | L3Harris Technologies Inc. | 4 | | 1 | |
| | PACCAR Inc. | 5 | | — | |
| | Kansas City Southern | 2 | | — | |
| | | | | 119,361 | |
| Information Technology (8.0%) | | | |
| | Cisco Systems Inc. | 462,811 | | 18,480 | |
| | International Business Machines Corp. | 96,620 | | 12,575 | |
| | Intel Corp. | 204,055 | | 11,329 | |
| | Fidelity National Information Services Inc. | 67,045 | | 9,367 | |
| | Oracle Corp. | 94,535 | | 4,676 | |
| | Accenture plc Class A | 25,632 | | 4,629 | |
| | Texas Instruments Inc. | 38,742 | | 4,422 | |
| | Cognizant Technology Solutions Corp. | 59,739 | | 3,640 | |
| | HP Inc. | 161,656 | | 3,361 | |
| | Global Payments Inc. | 16,717 | | 3,075 | |
| | Automatic Data Processing Inc. | 17,938 | | 2,776 | |
| | Hewlett Packard Enterprise Co. | 141,173 | | 1,806 | |
| S&P 500 Value Index Fund | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | Market | |
| | | | | Value• | |
| | | Shares | | ($000) | |
| | Western Digital Corp. | 32,444 | | 1,803 | |
| | TE Connectivity Ltd. | 18,226 | | 1,510 | |
| | Corning Inc. | 44,467 | | 1,061 | |
| * | VeriSign Inc. | 5,301 | | 1,006 | |
| | Maxim Integrated Products Inc. | 16,553 | | 921 | |
| | Paychex Inc. | 11,465 | | 888 | |
| | Xilinx Inc. | 10,442 | | 872 | |
| * | F5 Networks Inc. | 6,620 | | 794 | |
| | Skyworks Solutions Inc. | 7,799 | | 781 | |
| | Juniper Networks Inc. | 36,494 | | 774 | |
| | Leidos Holdings Inc. | 7,256 | | 745 | |
| | DXC Technology Co. | 27,918 | | 673 | |
| | NetApp Inc. | 13,427 | | 627 | |
| | Citrix Systems Inc. | 6,022 | | 623 | |
| | Jack Henry & Associates Inc. | 4,025 | | 611 | |
| | Seagate Technology plc | 10,076 | | 483 | |
| | NortonLifeLock Inc. | 23,688 | | 451 | |
| * | Akamai Technologies Inc. | 4,943 | | 428 | |
| | Broadridge Financial Solutions Inc. | 3,736 | | 390 | |
| | Alliance Data Systems Corp. | 4,476 | | 384 | |
| | FLIR Systems Inc. | 7,630 | | 324 | |
| * | IPG Photonics Corp. | 1,944 | | 248 | |
| | Amphenol Corp. Class A | 29 | | 3 | |
| | Apple Inc. | 6 | | 2 | |
| * | ServiceNow Inc. | 3 | | 1 | |
| * | FleetCor Technologies Inc. | 3 | | 1 | |
| * | Synopsys Inc. | 5 | | 1 | |
| * | Cadence Design Systems Inc. | 7 | | — | |
| | CDW Corp. | 3 | | — | |
| | | | | 96,541 | |
| Materials (2.7%) | | | | |
| | Newmont Corp. | 89,427 | | 3,991 | |
| | DuPont de Nemours Inc. | 80,818 | | 3,467 | |
| | Linde plc | 16,989 | | 3,245 | |
| | Ecolab Inc. | 13,401 | | 2,418 | |
| | Corteva Inc. | 81,640 | | 2,221 | |
| | LyondellBasell Industries NV | 28,006 | | 2,001 | |
| | Amcor plc | 176,858 | | 1,648 | |
| | International Paper Co. | 42,769 | | 1,581 | |
| | International Flavors & Fragrances Inc. | 11,658 | | 1,396 | |
| | Nucor Corp. | 33,085 | | 1,368 | |
| | PPG Industries Inc. | 12,647 | | 1,321 | |
| | Albemarle Corp. | 11,587 | | 949 | |
| | Westrock Co. | 28,175 | | 937 | |
| | Packaging Corp. of America | 10,316 | | 935 | |
| | Eastman Chemical Co. | 14,833 | | 912 | |
| | CF Industries Holdings Inc. | 23,737 | | 875 | |
| | Ball Corp. | 10,348 | | 729 | |
| | Freeport-McMoRan Inc. | 71,188 | | 709 | |
| | Mosaic Co. | 38,201 | | 651 | |
| | Sealed Air Corp. | 16,848 | | 511 | |
| | Avery Dennison Corp. | 2,651 | | 304 | |
| | Vulcan Materials Co. | 3 | | — | |
| | Dow Inc. | 7 | | — | |
| | Martin Marietta Materials Inc. | 1 | | — | |
| | | | | 32,169 | |
| Real Estate (3.4%) | | | | |
| | Welltower Inc. | 44,267 | | 3,312 | |
| | AvalonBay Communities Inc. | 15,237 | | 3,056 | |
| | Prologis Inc. | 34,628 | | 2,918 | |
| | Equity Residential | 38,086 | | 2,860 | |
| | Digital Realty Trust Inc. | 22,770 | | 2,735 | |
| | Crown Castle International Corp. | 19,049 | | 2,730 | |
| | Simon Property Group Inc. | 20,089 | | 2,473 | |
| | Ventas Inc. | 40,670 | | 2,187 | |
| | Weyerhaeuser Co. | 81,293 | | 2,112 | |
| | Public Storage | 9,179 | | 1,920 | |
| | Realty Income Corp. | 19,541 | | 1,415 | |
| | Boston Properties Inc. | 8,795 | | 1,134 | |
| | Host Hotels & Resorts Inc. | 78,266 | | 1,133 | |
| | Regency Centers Corp. | 18,291 | | 1,051 | |
| | Essex Property Trust Inc. | 3,604 | | 1,021 | |
| | Iron Mountain Inc. | 31,311 | | 952 | |
| | Alexandria Real Estate Equities Inc. | 6,151 | | 934 | |
| | Vornado Realty Trust | 17,282 | | 926 | |
| | Healthpeak Properties Inc. | 28,650 | | 906 | |
| | Mid-America Apartment Communities Inc. | 6,850 | | 885 | |
| | Kimco Realty Corp. | 46,153 | | 801 | |
| | Apartment Investment & Management Co. | 16,219 | | 776 | |
| | UDR Inc. | 16,923 | | 761 | |
| | SL Green Realty Corp. | 8,884 | | 697 | |
| | Extra Space Storage Inc. | 5,931 | | 595 | |
| S&P 500 Value Index Fund | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | Market | |
| | | | | Value• | |
| | | Shares | | ($000) | |
| | Duke Realty Corp. | 16,416 | | 533 | |
| | Federal Realty Investment Trust | 4,437 | | 516 | |
| | SBA Communications Corp. | 2 | | 1 | |
| | | | | 41,340 | |
| Utilities (6.8%) | | | | |
| | Duke Energy Corp. | 79,537 | | 7,294 | |
| | Dominion Energy Inc. | 89,794 | | 7,020 | |
| | Southern Co. | 114,404 | | 6,905 | |
| | NextEra Energy Inc. | 25,057 | | 6,333 | |
| | American Electric Power Co. Inc. | 53,881 | | 4,809 | |
| | Exelon Corp. | 106,057 | | 4,572 | |
| | Xcel Energy Inc. | 57,206 | | 3,565 | |
| | WEC Energy Group Inc. | 34,405 | | 3,177 | |
| | Eversource Energy | 35,317 | | 3,053 | |
| | Consolidated Edison Inc. | 36,269 | | 2,859 | |
| | Public Service Enterprise Group Inc. | 55,178 | | 2,831 | |
| | Edison International | 39,121 | | 2,629 | |
| | FirstEnergy Corp. | 58,943 | | 2,625 | |
| | Entergy Corp. | 21,714 | | 2,539 | |
| | PPL Corp. | 83,755 | | 2,513 | |
| | Sempra Energy | 16,910 | | 2,364 | |
| | DTE Energy Co. | 20,958 | | 2,340 | |
| | Ameren Corp. | 26,842 | | 2,121 | |
| | CMS Energy Corp. | 30,967 | | 1,871 | |
| | Evergy Inc. | 24,869 | | 1,625 | |
| | Alliant Energy Corp. | 26,249 | | 1,368 | |
| | Atmos Energy Corp. | 13,035 | | 1,346 | |
| | CenterPoint Energy Inc. | 54,845 | | 1,263 | |
| | American Water Works Co. Inc. | 9,846 | | 1,218 | |
| | AES Corp. | 72,500 | | 1,213 | |
| | NiSource Inc. | 40,801 | | 1,102 | |
| | Pinnacle West Capital Corp. | 12,272 | | 1,098 | |
| | | | | 81,653 | |
| | | | | | |
| Total Common Stocks (Cost $1,250,128) | | | 1,206,136 | |
| Temporary Cash Investments (0.0%) | | | |
| Money Market Fund (0.0%) | | | | |
| 1,2 | Vanguard Market Liquidity Fund, 1.706% | 3,240 | | 324 | |
| | | Face | | Market | |
| | | Amount | | Value• | |
| | | ($000) | | ($000) | |
| U.S. Government and Agency Obligations (0.0%) | | | | |
| 3 | United States Treasury Bill, 1.506%, 4/9/20 | 160 | | 160 | |
| | United States Treasury Bill, 1.543%, 4/16/20 | 25 | | 25 | |
| | | | | 185 | |
| Total Temporary Cash Investments (Cost $509) | | | 509 | |
| Total Investments (99.8%) (Cost $1,250,637) | | | 1,206,645 | |
| Other Assets and Liabilities-Net (0.2%)2 | | | 2,470 | |
| Net Assets (100%) | | | 1,209,115 | |
Cost rounded to $000.
| • | See Note A in Notes to Financial Statements. * Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $299,000. |
| 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. |
| 2 | Collateral of $323,000 was received for securities on loan. |
| 3 | Securities with a value of $128,000 have been segregated as initial margin for open futures contracts. |
S&P 500 Value Index Fund
| Derivative Financial Instruments Outstanding as of Period End | | |
| | | |
| Futures Contracts |
| | | | | | ($000) |
| | | | | | Value and |
| | | | Number of | | Unrealized |
| | | | Long (Short) | Notional | Appreciation |
| | | Expiration | Contracts | Amount | (Depreciation) |
| Long Futures Contracts | | | | | |
| E-mini S&P 500 Index | | March 2020 | 19 | 2,804 | (269) |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P 500 Value Index Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $1,250,313) | 1,206,321 |
| Affiliated Issuers (Cost $324) | 324 |
| Total Investments in Securities | 1,206,645 |
| Investment in Vanguard | 58 |
| Receivables for Investment Securities Sold | 40 |
| Receivables for Accrued Income | 3,501 |
| Total Assets | 1,210,244 |
| Liabilities | |
| Due to Custodian | 531 |
| Payables for Investment Securities Purchased | 147 |
| Collateral for Securities on Loan | 323 |
| Payables to Vanguard | 122 |
| Variation Margin Payable—Futures Contracts | 6 |
| Total Liabilities | 1,129 |
| Net Assets | 1,209,115 |
| | |
| | |
| At February 29, 2020, net assets consisted of: | |
| | |
| Paid-in Capital | 1,197,628 |
| Total Distributable Earnings (Loss) | 11,487 |
| Net Assets | 1,209,115 |
| | |
| ETF Shares—Net Assets | |
| Applicable to 10,075,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,114,876 |
| Net Asset Value Per Share—ETF Shares | $110.66 |
| | |
| Institutional Shares—Net Assets | |
| Applicable to 388,348 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 94,239 |
| Net Asset Value Per Share—Institutional Shares | $242.67 |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P 500 Value Index Fund
Statement of Operations
| | Six Months Ended | |
| | February 29, 2020 | |
| | ($000 | ) |
| Investment Income | | |
| Income | | |
| Dividends | 15,926 | |
| Interest1 | 15 | |
| Securities Lending—Net | 5 | |
| Total Income | 15,946 | |
| Expenses | | |
| The Vanguard Group—Note B | | |
| Investment Advisory Services | 95 | |
| Management and Administrative—ETF Shares | 435 | |
| Management and Administrative—Institutional Shares | 31 | |
| Marketing and Distribution—ETF Shares | 35 | |
| Marketing and Distribution—Institutional Shares | 1 | |
| Custodian Fees | 21 | |
| Shareholders’ Reports—ETF Shares | 9 | |
| Shareholders’ Reports—Institutional Shares | — | |
| Total Expenses | 627 | |
| Expenses Paid Indirectly | (9 | ) |
| Net Expenses | 618 | |
| Net Investment Income | 15,328 | |
| Realized Net Gain (Loss) | | |
| Investment Securities Sold1,2 | 108,845 | |
| Futures Contracts | 383 | |
| Realized Net Gain (Loss) | 109,228 | |
| Change in Unrealized Appreciation (Depreciation) | | |
| Investment Securities1 | (128,268 | ) |
| Futures Contracts | (273 | ) |
| Change in Unrealized Appreciation (Depreciation) | (128,541 | ) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (3,985 | ) |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $14,000, $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $123,549,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P 500 Value Index Fund
Statement of Changes in Net Assets
| | Six Months Ended | | Year Ended |
| | February 29, | | August 31, |
| | 2020 | | 2019 |
| | ($000) | | ($000) |
| Increase (Decrease) in Net Assets | | | |
| Operations | | | |
| Net Investment Income | 15,328 | | 25,260 |
| Realized Net Gain (Loss) | 109,228 | | 15,623 |
| Change in Unrealized Appreciation (Depreciation) | (128,541) | | (18,143) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (3,985) | | 22,740 |
| Distributions1 | | | |
| ETF Shares | (12,872) | | (22,989) |
| Institutional Shares | (1,172) | | (2,133) |
| Total Distributions | (14,044) | | (25,122) |
| Capital Share Transactions | | | |
| ETF Shares | 148,457 | | 112,784 |
| Institutional Shares | 824 | | 5,791 |
| Net Increase (Decrease) from Capital Share Transactions | 149,281 | | 118,575 |
| Total Increase (Decrease) | 131,252 | | 116,193 |
| Net Assets | | | |
| Beginning of Period | 1,077,863 | | 961,670 |
| End of Period | 1,209,115 | | 1,077,86 |
1 Certain prior period numbers have been reclassified to conform with current period presentation.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P 500 Value Index Fund
Financial Highlights
ETF Shares
| | | Six Months | | | | | | | | | | | |
| | | Ended | | | | | | | | | | | |
| For a Share Outstanding | | February 29, | | | | | | Year Ended August 31, | |
| Throughout Each Period | | 2020 | | 2019 | | 2018 | | 2017 | | 2016 | | 2015 | |
| Net Asset Value, Beginning of Period | | $111.46 | | $111.93 | | $101.33 | | $92.41 | | $83.75 | | $88.54 | |
| Investment Operations | | | | | | | | | | | | | |
| Net Investment Income | | 1.471 | 1 | 2.694 | 1 | 2.558 | 1 | 2.422 | 1 | 2.125 | | 1.932 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | (.896 | ) | (.511 | ) | 10.535 | | 8.726 | | 8.605 | | (4.838 | ) |
| Total from Investment Operations | | .575 | | 2.183 | | 13.093 | | 11.148 | | 10.730 | | (2.906 | ) |
| Distributions | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | (1.375 | ) | (2.653 | ) | (2.493 | ) | (2.228 | ) | (2.070 | ) | (1.884 | ) |
| Distributions from Realized Capital Gains | | — | | — | | — | | — | | — | | — | |
| Total Distributions | | (1.375 | ) | (2.653 | ) | (2.493 | ) | (2.228 | ) | (2.070 | ) | (1.884 | ) |
| Net Asset Value, End of Period | | $110.66 | | $111.46 | | $111.93 | | $101.33 | | $92.41 | | $83.75 | |
Total Return | | 0.43% | | 2.05% | | 13.08% | | 12.19% | | 13.03% | | -3.41% | |
Ratios/Supplemental Data | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | $1,115 | | $984 | | $873 | | $768 | | $487 | | $274 | |
| Ratio of Total Expenses to Average Net Assets | | 0.10% | | 0.10% | | 0.15% | | 0.15% | | 0.15% | | 0.15% | |
| Ratio of Net Investment Income to Average Net Assets | | 2.43% | | 2.48% | | 2.38% | | 2.46% | | 2.64% | | 2.37% | |
| Portfolio Turnover Rate2 | | 29% | | 28% | | 20% | | 16% | | 22% | | 23% | |
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | Calculated based on average shares outstanding. |
| 2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P 500 Value Index Fund
Financial Highlights
Institutional Shares
| | Six Months | | | | | March 3, | |
| | Ended | | | | | 20151 to | |
| For a Share Outstanding | February 29, | Year Ended August 31, | Aug. 31, | |
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $244.40 | $245.49 | $222.23 | $202.64 | $183.75 | $199.34 | |
| Investment Operations | | | | | | | |
| Net Investment Income | 3.2552 | 5.9502 | 6.0772 | 5.2022 | 4.765 | 2.352 | |
| Net Realized and Unrealized Gain (Loss) on Investments | (1.979) | (1.115) | 22.813 | 19.393 | 18.875 | (15.830) | |
| Total from Investment Operations | 1.276 | 4.835 | 28.890 | 24.595 | 23.640 | (13.478) | |
| Distributions | | | | | | | |
| Dividends from Net Investment Income | (3.006) | (5.925) | (5.630) | (5.005) | (4.750) | (2.112) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | — | |
| Total Distributions | (3.006) | (5.925) | (5.630) | (5.005) | (4.750) | (2.112) | |
| Net Asset Value, End of Period | $242.67 | $244.40 | $245.49 | $222.23 | $202.64 | $183.75 | |
Total Return | 0.44% | 2.07% | 13.18% | 12.27% | 13.09% | -6.84% | |
Ratios/Supplemental Data | | | | | | | |
| Net Assets, End of Period (Millions) | $94 | $94 | $89 | $4 | $7 | $11 | |
| Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08%3 | |
| Ratio of Net Investment Income to Average Net Assets | 2.45% | 2.50% | 2.45% | 2.53% | 2.71% | 2.44%3 | |
| Portfolio Turnover Rate4 | 29% | 28% | 20% | 16% | 22% | 23% | |
The expense ratio and net investment income ratio for the current period have been annualized.
| 2 | Calculated based on average shares outstanding. |
| 4 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P 500 Value Index Fund
Notes to Financial Statements
Vanguard S&P 500 Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. 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.
2. 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 assets pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended February 29, 2020, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
S&P 500 Value Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
S&P 500 Value Index Fund
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $58,000, representing less than 0.01% of the fund’s net assets and 0.02% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 29, 2020, custodian fee offset arrangements reduced the fund’s expenses by $9,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. 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 valued with significant unobservable inputs are noted on the Schedule of Investments.
S&P 500 Value Index Fund
The following table summarizes the market value of the fund’s investments and derivatives as of February 29, 2020, based on the inputs used to value them:
| | Level 1 | Level 2 | Level 3 | Total |
| | ($000) | ($000) | ($000) | ($000) |
| Investments | | | | |
| Assets | | | | |
| Common Stocks | 1,206,136 | — | — | 1,206,136 |
| Temporary Cash Investments | 324 | 185 | — | 509 |
| Total | 1,206,460 | 185 | — | 1,206,645 |
| Derivative Financial Instruments | | | | |
| Liabilities | | | | |
| Futures Contracts1 | 6 | — | — | 6 |
1 Represents variation margin on the last day of the reporting period.
E. As of February 29, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| | Amount |
| | ($000) |
| Tax Cost | 1,250,882 |
| Gross Unrealized Appreciation | 72,641 |
| Gross Unrealized Depreciation | (117,147) |
| Net Unrealized Appreciation (Depreciation) | (44,506) |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $59,693,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F. During the six months ended February 29, 2020, the fund purchased $849,852,000 of investment securities and sold $699,826,000 of investment securities, other than temporary cash investments. Purchases and sales include $480,889,000 and $351,889,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 29, 2020, such purchases and sales were $235,088,000 and $221,171,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
S&P 500 Value Index Fund
G. Capital share transactions for each class of shares were:
| | Six Months Ended | | Year Ended | |
| | February 29, 2020 | | August 31, 2019 | |
| | Amount | | Shares | | | Amount | | Shares | |
| | ($000 | ) | (000 | ) | | ($000 | ) | (000 | ) |
| ETF Shares | | | | | | | | | |
| Issued | 504,709 | | 4,100 | | | 429,712 | | 4,150 | |
| Issued in Lieu of Cash Distributions | — | | — | | | — | | — | |
| Redeemed | (356,252 | ) | (2,850 | ) | | (316,928 | ) | (3,125 | ) |
| Net Increase (Decrease)—ETF Shares | 148,457 | | 1,250 | | | 112,784 | | 1,025 | |
| Institutional Shares | | | | | | | | | |
| Issued | 5,651 | | 21 | | | 10,110 | | 43 | |
| Issued in Lieu of Cash Distributions | 941 | | 4 | | | 1,835 | | 8 | |
| Redeemed | (5,768 | ) | (22 | ) | | (6,154 | ) | (26 | ) |
| Net Increase (Decrease)—Institutional Shares | 824 | | 3 | | | 5,791 | | 25 | |
H. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
S&P 500 Growth Index Fund
Sector Diversification
As of February 29, 2020
| Communication Services | 13.2% |
| Consumer Discretionary | 13.6 |
| Consumer Staples | 5.0 |
| Energy | 1.0 |
| Financials | 5.2 |
| Health Care | 10.1 |
| Industrials | 8.1 |
| Information Technology | 37.9 |
| Materials | 2.3 |
| Real Estate | 2.8 |
| Utilities | 0.8 |
The table reflects the fund’s investments, except for short -term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking their target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
S&P 500 Growth Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 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.
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | | Shares | | | | ($000 | ) |
| Common Stocks (99.7%) | | | | | | | | |
| Communication Services (13.1%) | | | | | | | | |
| * | | Facebook Inc. | | | 548,097 | | | | 105,492 | |
| * | | Alphabet Inc. Class A | | | 68,229 | | | | 91,376 | |
| * | | Alphabet Inc. Class C | | | 68,085 | | | | 91,188 | |
| * | | Netflix Inc. | | | 99,814 | | | | 36,834 | |
| | | Walt Disney Co. | | | 250,410 | | | | 29,461 | |
| | | Comcast Corp. | | | 578,964 | | | | 23,408 | |
| * | | Charter Communications Inc. | | | 35,707 | | | | 17,610 | |
| * | | Electronic Arts Inc. | | | 35,267 | | | | 3,575 | |
| * | | Take-Two Interactive Software Inc. | | | 25,809 | | | | 2,774 | |
| * | | Live Nation Entertainment Inc. | | | 21,520 | | | | 1,308 | |
| * | | T-Mobile US Inc. | | | 48 | | | | 4 | |
| | | | | | | | | | 403,030 | |
| Consumer Discretionary (13.6%) | | | | | | | | |
| * | | Amazon.com Inc. | | | 94,852 | | | | 178,677 | |
| | | Home Depot Inc. | | | 176,398 | | | | 38,427 | |
| | | Starbucks Corp. | | | 268,992 | | | | 21,097 | |
| | | NIKE Inc. | | | 190,101 | | | | 16,991 | |
| | | TJX Cos. Inc. | | | 276,202 | | | | 16,517 | |
| * | | Booking Holdings Inc. | | | 9,533 | | | | 16,165 | |
| | | McDonald’s Corp. | | | 75,469 | | | | 14,654 | |
| | | Lowe’s Cos. Inc. | | | 115,214 | | | | 12,278 | |
| | | Ross Stores Inc. | | | 82,395 | | | | 8,963 | |
| | | Dollar General Corp. | | | 57,988 | | | | 8,716 | |
| | | Marriott International Inc. | | | 61,808 | | | | 7,664 | |
| | | Target Corp. | | | 73,872 | | | | 7,609 | |
| * | | O’Reilly Automotive Inc. | | | 17,228 | | | | 6,352 | |
| | | Hilton Worldwide Holdings Inc. | | | 64,269 | | | | 6,247 | |
| | | Yum! Brands Inc. | | | 68,883 | | | | 6,148 | |
| | | eBay Inc. | | | 174,158 | | | | 6,033 | |
| * | | AutoZone Inc. | | | 5,424 | | | | 5,600 | |
| * | | Chipotle Mexican Grill Inc. | | | 5,828 | | | | 4,508 | |
| | | DR Horton Inc. | | | 76,410 | | | | 4,070 | |
| | | Tiffany & Co. | | | 24,566 | | | | 3,282 | |
| * | | CarMax Inc. | | | 37,433 | | | | 3,268 | |
| | | Garmin Ltd. | | | 32,913 | | | | 2,909 | |
| * | | NVR Inc. | | | 791 | | | | 2,901 | |
| | | VF Corp. | | | 39,563 | | | | 2,849 | |
| | | Las Vegas Sands Corp. | | | 43,797 | | | | 2,554 | |
| | | Wynn Resorts Ltd. | | | 21,976 | | | | 2,373 | |
| | | PulteGroup Inc. | | | 57,972 | | | | 2,330 | |
| * | | Ulta Beauty Inc. | | | 7,152 | | | | 1,839 | |
| | | MGM Resorts International | | | 71,488 | | | | 1,756 | |
| | | Darden Restaurants Inc. | | | 12,833 | | | | 1,251 | |
| | | Tractor Supply Co. | | | 13,211 | | | | 1,169 | |
| * | | LKQ Corp. | | | 36,142 | | | | 1,069 | |
| | | Leggett & Platt Inc. | | | 19,706 | | | | 782 | |
| | | Aptiv plc | | | 96 | | | | 8 | |
| | | Hanesbrands Inc. | | | 98 | | | | 1 | |
| * | | Under Armour Inc. Class A | | | 74 | | | | 1 | |
| * | | Under Armour Inc. Class C | | | 78 | | | | 1 | |
| | | | | | | | | | 417,059 | |
| Consumer Staples (5.0%) | | | | | | | | |
| | | Procter & Gamble Co. | | | 329,433 | | | | 37,302 | |
| | | PepsiCo Inc. | | | 152,431 | | | | 20,125 | |
| | | Coca-Cola Co. | | | 351,284 | | | | 18,790 | |
| | | Costco Wholesale Corp. | | | 59,361 | | | | 16,689 | |
| | | Philip Morris International Inc. | | | 155,912 | | | | 12,765 | |
| | | Estee Lauder Cos. Inc. Class A | | | 50,687 | | | | 9,306 | |
| | | Altria Group Inc. | | | 165,919 | | | | 6,698 | |
| | | Colgate-Palmolive Co. | | | 87,777 | | | | 5,931 | |
| | | Kimberly-Clark Corp. | | | 38,276 | | | | 5,021 | |
| * | | Monster Beverage Corp. | | | 58,296 | | | | 3,638 | |
| | | Sysco Corp. | | | 52,281 | | | | 3,485 | |
| | | Hershey Co. | | | 22,656 | | | | 3,262 | |
| | | Brown-Forman Corp. | | | 41,554 | | | | 2,552 | |
| | | Tyson Foods Inc. | | | 32,245 | | | | 2,187 | |
| | | McCormick & Co. Inc. | | | 14,375 | | | | 2,102 | |
| | | Church & Dwight Co. Inc. | | | 30,221 | | | | 2,101 | |
| | | Lamb Weston Holdings Inc. | | | 18,276 | | | | 1,588 | |
| | | Campbell Soup Co. | | | 16,862 | | | | 761 | |
| | | Coty Inc. | | | 31,514 | | | | 291 | |
| | | | | | | | | | 154,594 | |
S&P 500 Growth Index Fund
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | | Shares | | | | ($000 | ) |
| Energy (1.0%) | | | | | | | | |
| | | ConocoPhillips | | | 249,814 | | | | 12,096 | |
| | | EOG Resources Inc. | | | 66,202 | | | | 4,188 | |
| | | Phillips 66 | | | 50,589 | | | | 3,787 | |
| | | Hess Corp. | | | 58,977 | | | | 3,313 | |
| | | Pioneer Natural Resources Co. | | | 23,355 | | | | 2,867 | |
| | | Apache Corp. | | | 53,116 | | | | 1,324 | |
| | | Cabot Oil & Gas Corp. | | | 58,452 | | | | 814 | |
| | | National Oilwell Varco Inc. | | | 27,131 | | | | 508 | |
| | | Cimarex Energy Co. | | | 12,504 | | | | 413 | |
| | | ONEOK Inc. | | | 144 | | | | 10 | |
| | | Marathon Oil Corp. | | | 492 | | | | 4 | |
| | | Devon Energy Corp. | | | 246 | | | | 4 | |
| | | HollyFrontier Corp. | | | 92 | | | | 3 | |
| | | | | | | | | | 29,331 | |
| Financials (5.2%) | | | | | | | | |
| | | JPMorgan Chase & Co. | | | 342,307 | | | | 39,745 | |
| | | S&P Global Inc. | | | 55,659 | | | | 14,800 | |
| | | American Express Co. | | | 91,678 | | | | 10,078 | |
| | | Moody’s Corp. | | | 36,976 | | | | 8,875 | |
| | | CME Group Inc. | | | 41,619 | | | | 8,275 | |
| | | Charles Schwab Corp. | | | 190,054 | | | | 7,745 | |
| | | Marsh & McLennan Cos. Inc. | | | 70,103 | | | | 7,330 | |
| | | Aon plc | | | 33,586 | | | | 6,986 | |
| | | BlackRock Inc. | | | 13,693 | | | | 6,340 | |
| | | Intercontinental Exchange Inc. | | | 69,715 | | | | 6,220 | |
| | | Progressive Corp. | | | 81,205 | | | | 5,941 | |
| | | MSCI Inc. | | | 19,291 | | | | 5,699 | |
| | | T. Rowe Price Group Inc. | | | 39,363 | | | | 4,645 | |
| | | Synchrony Financial | | | 128,561 | | | | 3,741 | |
| | | Discover Financial Services | | | 44,210 | | | | 2,899 | |
| | | Cboe Global Markets Inc. | | | 25,277 | | | | 2,882 | |
| | | MarketAxess Holdings Inc. | | | 8,633 | | | | 2,800 | |
| | | Willis Towers Watson plc | | | 14,035 | | | | 2,656 | |
| | | Ameriprise Financial Inc. | | | 18,713 | | | | 2,644 | |
| | | Arthur J Gallagher & Co. | | | 21,645 | | | | 2,110 | |
| | | First Republic Bank | | | 18,820 | | | | 1,893 | |
| * | | SVB Financial Group | | | 7,513 | | | | 1,564 | |
| | | Cincinnati Financial Corp. | | | 15,908 | | | | 1,483 | |
| | | Nasdaq Inc. | | | 12,291 | | | | 1,260 | |
| | | US Bancorp | | | 728 | | | | 34 | |
| * | | Berkshire Hathaway Inc. | | | 32 | | | | 7 | |
| | | Northern Trust Corp. | | | 70 | | | | 6 | |
| | | E*TRADE Financial Corp. | | | 82 | | | | 4 | |
| | | Globe Life Inc. | | | 28 | | | | 3 | |
| | | | | | | | | | 158,665 | |
| Health Care (10.1%) | | | | | | | | |
| | | Johnson & Johnson | | | 251,761 | | | | 33,857 | |
| | | Thermo Fisher Scientific Inc. | | | 91,334 | | | | 26,560 | |
| | | Merck & Co. Inc. | | | 318,928 | | | | 24,417 | |
| | | Abbott Laboratories | | | 233,471 | | | | 17,984 | |
| | | Bristol-Myers Squibb Co. | | | 293,652 | | | | 17,343 | |
| | | Amgen Inc. | | | 79,848 | | | | 15,948 | |
| | | AbbVie Inc. | | | 178,516 | | | | 15,301 | |
| | | Zoetis Inc. | | | 108,490 | | | | 14,454 | |
| * | | Intuitive Surgical Inc. | | | 26,325 | | | | 14,056 | |
| | | Danaher Corp. | | | 93,185 | | | | 13,473 | |
| | | Eli Lilly & Co. | | | 105,835 | | | | 13,349 | |
| * | | Vertex Pharmaceuticals Inc. | | | 58,572 | | | | 13,122 | |
| * | | Edwards Lifesciences Corp. | | | 47,504 | | | | 9,731 | |
| | | Stryker Corp. | | | 48,403 | | | | 9,225 | |
| * | | Boston Scientific Corp. | | | 187,298 | | | | 7,003 | |
| * | | Regeneron Pharmaceuticals Inc. | | | 12,191 | | | | 5,420 | |
| * | | Illumina Inc. | | | 20,086 | | | | 5,336 | |
| | | ResMed Inc. | | | 32,756 | | | | 5,207 | |
| * | | IDEXX Laboratories Inc. | | | 19,535 | | | | 4,972 | |
| | | Baxter International Inc. | | | 52,341 | | | | 4,369 | |
| * | | IQVIA Holdings Inc. | | | 28,367 | | | | 3,957 | |
| * | | Align Technology Inc. | | | 16,347 | | | | 3,569 | |
| | | Teleflex Inc. | | | 10,545 | | | | 3,533 | |
| | | Cerner Corp. | | | 45,013 | | | | 3,118 | |
| | | Agilent Technologies Inc. | | | 40,199 | | | | 3,098 | |
| * | | Incyte Corp. | | | 40,683 | | | | 3,068 | |
| * | | Alexion Pharmaceuticals Inc. | | | 29,218 | | | | 2,747 | |
| * | | Mettler-Toledo International Inc. | | | 3,497 | | | | 2,454 | |
| | | Cooper Cos. Inc. | | | 6,431 | | | | 2,087 | |
| * | | Waters Corp. | | | 9,080 | | | | 1,770 | |
| | | STERIS plc | | | 10,434 | | | | 1,655 | |
| * | | Hologic Inc. | | | 32,942 | | | | 1,552 | |
| * | | Varian Medical Systems Inc. | | | 11,382 | | | | 1,400 | |
| | | Dentsply Sirona Inc. | | | 26,866 | | | | 1,323 | |
| | | PerkinElmer Inc. | | | 14,411 | | | | 1,246 | |
| * | | ABIOMED Inc. | | | 5,863 | | | | 881 | |
| * | | DaVita Inc. | | | 56 | | | | 4 | |
| | | | | | | | | | 308,589 | |
| Industrials (8.0%) | | | | | | | | |
| | | Lockheed Martin Corp. | | | 56,539 | | | | 20,912 | |
| | | Union Pacific Corp. | | | 98,023 | | | | 15,665 | |
| | | Boeing Co. | | | 53,580 | | | | 14,740 | |
| | | United Technologies Corp. | | | 97,923 | | | | 12,788 | |
| | | Honeywell International Inc. | | | 74,833 | | | | 12,136 | |
S&P 500 Growth Index Fund
| | | | | | | | | | Market | |
| | | | | | | | | | Value• | |
| | | | | | Shares | | | | ($000 | ) |
| | | Northrop Grumman Corp. | | | 35,695 | | | | 11,738 | |
| | | L3Harris Technologies Inc. | | | 50,347 | | | | 9,955 | |
| | | Caterpillar Inc. | | | 74,247 | | | | 9,225 | |
| | | Roper Technologies Inc. | | | 23,694 | | | | 8,333 | |
| | | Raytheon Co. | | | 38,056 | | | | 7,176 | |
| | | Illinois Tool Works Inc. | | | 40,625 | | | | 6,816 | |
| | | Deere & Co. | | | 42,302 | | | | 6,619 | |
| | | United Parcel Service Inc. | | | 71,811 | | | | 6,498 | |
| | | TransDigm Group Inc. | | | 11,341 | | | | 6,326 | |
| | | CSX Corp. | | | 88,536 | | | | 6,237 | |
| | | Norfolk Southern Corp. | | | 32,039 | | | | 5,842 | |
| | | Waste Management Inc. | | | 51,556 | | | | 5,713 | |
| | | PACCAR Inc. | | | 78,743 | | | | 5,268 | |
| | | Cintas Corp. | | | 19,098 | | | | 5,094 | |
| | | Emerson Electric Co. | | | 74,841 | | | | 4,798 | |
| | | IHS Markit Ltd. | | | 66,635 | | | | 4,747 | |
| | | AMETEK Inc. | | | 52,062 | | | | 4,477 | |
| | | Ingersoll-Rand plc | | | 33,847 | | | | 4,368 | |
| | | Verisk Analytics Inc. | | | 25,768 | | | | 3,997 | |
| * | | Copart Inc. | | | 46,566 | | | | 3,934 | |
| | | Kansas City Southern | | | 22,571 | | | | 3,401 | |
| | | Cummins Inc. | | | 21,941 | | | | 3,320 | |
| | | Fastenal Co. | | | 91,416 | | | | 3,128 | |
| | | Parker-Hannifin Corp. | | | 16,069 | | | | 2,969 | |
| | | Old Dominion Freight Line Inc. | | | 14,559 | | | | 2,822 | |
| | | Rockwell Automation Inc. | | | 15,010 | | | | 2,754 | |
| | | Masco Corp. | | | 64,695 | | | | 2,673 | |
| | | Allegion plc | | | 21,178 | | | | 2,435 | |
| | | Equifax Inc. | | | 16,515 | | | | 2,346 | |
| * | | United Rentals Inc. | | | 17,125 | | | | 2,269 | |
| | | Dover Corp. | | | 19,497 | | | | 2,003 | |
| | | Republic Services Inc. | | | 22,063 | | | | 1,991 | |
| | | Fortune Brands Home & Security Inc. | | | 31,683 | | | | 1,957 | |
| | | Xylem Inc. | | | 24,214 | | | | 1,873 | |
| | | IDEX Corp. | | | 9,871 | | | | 1,461 | |
| | | Expeditors International of Washington Inc. | | | 20,183 | | | | 1,421 | |
| | | Arconic Inc. | | | 44,211 | | | | 1,298 | |
| | | Huntington Ingalls Industries Inc. | | | 5,494 | | | | 1,129 | |
| | | JB Hunt Transport Services Inc. | | | 11,449 | | | | 1,104 | |
| | | Rollins Inc. | | | 14,936 | | | | 559 | |
| | | Quanta Services Inc. | | | 14,530 | | | | 554 | |
| | | Eaton Corp. plc | | | 124 | | | | 11 | |
| | | FedEx Corp. | | | 66 | | | | 9 | |
| | | 3M Co. | | | 62 | | | | 9 | |
| | | WW Grainger Inc. | | | 28 | | | | 8 | |
| | | Westinghouse Air Brake Technologies Corp. | | | 52 | | | | 4 | |
| | | Robert Half International Inc. | | | 34 | | | | 2 | |
| | | Flowserve Corp. | | | 42 | | | | 2 | |
| | | | | | | | | | 246,914 | |
| Information Technology (37.8%) | | | | | | | | |
| | | Microsoft Corp. | | | 1,737,543 | | | | 281,499 | |
| | | Apple Inc. | | | 951,273 | | | | 260,040 | |
| | | Visa Inc. | | | 389,883 | | | | 70,865 | |
| | | Mastercard Inc. | | | 202,188 | | | | 58,685 | |
| * | | Adobe Inc. | | | 110,252 | | | | 38,050 | |
| | | NVIDIA Corp. | | | 139,394 | | | | 37,646 | |
| * | | salesforce.com Inc. | | | 202,022 | | | | 34,425 | |
| | | Intel Corp. | | | 564,720 | | | | 31,353 | |
| * | | PayPal Holdings Inc. | | | 267,424 | | | | 28,879 | |
| | | Broadcom Inc. | | | 90,342 | | | | 24,629 | |
| | | QUALCOMM Inc. | | | 260,069 | | | | 20,363 | |
| | | Accenture plc Class A | | | 91,113 | | | | 16,454 | |
| | | Intuit Inc. | | | 59,283 | | | | 15,760 | |
| | | Texas Instruments Inc. | | | 131,997 | | | | 15,066 | |
| | | Oracle Corp. | | | 296,035 | | | | 14,642 | |
| * | | Fiserv Inc. | | | 130,071 | | | | 14,225 | |
| * | | ServiceNow Inc. | | | 42,954 | | | | 14,007 | |
| * | | Micron Technology Inc. | | | 252,133 | | | | 13,252 | |
| | | Applied Materials Inc. | | | 210,402 | | | | 12,229 | |
| * | | Advanced Micro Devices Inc. | | | 266,314 | | | | 12,112 | |
| | | Lam Research Corp. | | | 33,048 | | | | 9,697 | |
| * | | Autodesk Inc. | | | 50,114 | | | | 9,566 | |
| | | Automatic Data Processing Inc. | | | 61,122 | | | | 9,458 | |
| | | Analog Devices Inc. | | | 83,878 | | | | 9,147 | |
| | | Motorola Solutions Inc. | | | 39,014 | | | | 6,464 | |
| | | Amphenol Corp. Class A | | | 67,489 | | | | 6,187 | |
| | | Global Payments Inc. | | | 33,578 | | | | 6,177 | |
| | | KLA Corp. | | | 35,953 | | | | 5,526 | |
| * | | FleetCor Technologies Inc. | | | 19,774 | | | | 5,256 | |
| | | Microchip Technology Inc. | | | 54,442 | | | | 4,939 | |
| * | | Synopsys Inc. | | | 34,251 | | | | 4,724 | |
| * | | ANSYS Inc. | | | 19,492 | | | | 4,721 | |
| * | | Cadence Design Systems Inc. | | | 63,848 | | | | 4,223 | |
| * | | Keysight Technologies Inc. | | | 42,751 | | | | 4,051 | |
| | | Paychex Inc. | | | 48,634 | | | | 3,768 | |
| | | CDW Corp. | | | 32,743 | | | | 3,740 | |
| * | | Fortinet Inc. | | | 32,360 | | | | 3,303 | |
| | | TE Connectivity Ltd. | | | 38,111 | | | | 3,158 | |
| * | | Paycom Software Inc. | | | 11,173 | | | | 3,158 | |
| | | Xilinx Inc. | | | 35,515 | | | | 2,965 | |
| * | | Qorvo Inc. | | | 26,431 | | | | 2,659 | |
S&P 500 Growth Index Fund
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | | Shares | | | | ($000 | ) |
| * | | Gartner Inc. | | | 20,356 | | | | 2,634 | |
| * | | Zebra Technologies Corp. | | | 12,274 | | | | 2,590 | |
| * | | Arista Networks Inc. | | | 12,344 | | | | 2,384 | |
| * | | VeriSign Inc. | | | 12,487 | | | | 2,369 | |
| * | | Akamai Technologies Inc. | | | 26,494 | | | | 2,292 | |
| | | Skyworks Solutions Inc. | | | 22,466 | | | | 2,251 | |
| | | Western Union Co. | | | 95,499 | | | | 2,138 | |
| | | Corning Inc. | | | 82,281 | | | | 1,963 | |
| | | Broadridge Financial Solutions Inc. | | | 18,279 | | | | 1,908 | |
| | | Leidos Holdings Inc. | | | 15,180 | | | | 1,558 | |
| | | NortonLifeLock Inc. | | | 80,946 | | | | 1,540 | |
| | | Seagate Technology plc | | | 31,560 | | | | 1,513 | |
| | | Maxim Integrated Products Inc. | | | 27,113 | | | | 1,508 | |
| | | Citrix Systems Inc. | | | 13,624 | | | | 1,409 | |
| | | Jack Henry & Associates Inc. | | | 9,088 | | | | 1,379 | |
| | | Xerox Holdings Corp. | | | 42,388 | | | | 1,365 | |
| | | NetApp Inc. | | | 23,949 | | | | 1,119 | |
| | | FLIR Systems Inc. | | | 14,609 | | | | 621 | |
| * | | IPG Photonics Corp. | | | 4,021 | | | | 513 | |
| | | Cisco Systems Inc. | | | 350 | | | | 14 | |
| | | Fidelity National Information Services Inc. | | | 53 | | | | 7 | |
| * | | F5 Networks Inc. | | | 36 | | | | 4 | |
| | | | | | | | | | 1,160,147 | |
| Materials (2.3%) | | | | | | | | |
| | | Linde plc | | | 86,862 | | | | 16,592 | |
| | | Air Products & Chemicals Inc. | | | 50,202 | | | | 11,025 | |
| | | Sherwin-Williams Co. | | | 18,708 | | | | 9,667 | |
| | | Dow Inc. | | | 168,856 | | | | 6,823 | |
| | | Ecolab Inc. | | | 29,150 | | | | 5,260 | |
| | | Ball Corp. | | | 52,941 | | | | 3,730 | |
| | | Vulcan Materials Co. | | | 30,118 | | | | 3,622 | |
| | | Martin Marietta Materials Inc. | | | 14,251 | | | | 3,243 | |
| | | PPG Industries Inc. | | | 27,415 | | | | 2,863 | |
| | | FMC Corp. | | | 29,523 | | | | 2,749 | |
| | | Celanese Corp. | | | 27,525 | | | | 2,580 | |
| | | Freeport-McMoRan Inc. | | | 181,393 | | | | 1,807 | |
| | | Avery Dennison Corp. | | | 13,465 | | | | 1,542 | |
| | | Eastman Chemical Co. | | | 46 | | | | 3 | |
| | | CF Industries Holdings Inc. | | | 58 | | | | 2 | |
| | | | | | | | | | 71,508 | |
| Real Estate (2.8%) | | | | | | | | |
| | | American Tower Corp. | | | 100,892 | | | | 22,882 | |
| | | Equinix Inc. | | | 19,424 | | | | 11,126 | |
| | | Prologis Inc. | | | 95,783 | | | | 8,072 | |
| | | Crown Castle International Corp. | | | 54,923 | | | | 7,870 | |
| | | SBA Communications Corp. | | | 25,667 | | | | 6,804 | |
| * | | CBRE Group Inc. | | | 76,218 | | | | 4,279 | |
| | | Simon Property Group Inc. | | | 27,948 | | | | 3,440 | |
| | | Public Storage | | | 15,048 | | | | 3,147 | |
| | | Realty Income Corp. | | | 33,399 | | | | 2,418 | |
| | | Alexandria Real Estate Equities Inc. | | | 15,008 | | | | 2,279 | |
| | | Essex Property Trust Inc. | | | 7,520 | | | | 2,131 | |
| | | Boston Properties Inc. | | | 14,393 | | | | 1,856 | |
| | | Extra Space Storage Inc. | | | 17,061 | | | | 1,712 | |
| | | Healthpeak Properties Inc. | | | 52,845 | | | | 1,672 | |
| | | Duke Realty Corp. | | | 49,341 | | | | 1,602 | |
| | | Mid-America Apartment Communities Inc. | | | 11,687 | | | | 1,511 | |
| | | UDR Inc. | | | 31,097 | | | | 1,399 | |
| | | Federal Realty Investment Trust | | | 6,718 | | | | 781 | |
| | | AvalonBay Communities Inc. | | | 58 | | | | 12 | |
| | | Equity Residential | | | 144 | | | | 11 | |
| | | Host Hotels & Resorts Inc. | | | 210 | | | | 3 | |
| | | | | | | | | | 85,007 | |
| Utilities (0.8%) | | | | | | | | |
| | | NextEra Energy Inc. | | | 59,015 | | | | 14,916 | |
| | | Sempra Energy | | | 28,893 | | | | 4,039 | |
| | | American Water Works Co. Inc. | | | 20,581 | | | | 2,545 | |
| | | NRG Energy Inc. | | | 57,154 | | | | 1,898 | |
| | | | | | | | | | 23,398 | |
| Total Common Stocks | | | | | | | | |
| (Cost $2,442,373) | | | | | | | 3,058,242 | |
| Temporary Cash Investments (0.2%) | | | | | | | | |
| Money Market Fund (0.2%) | | | | | | | | |
| 1 | | Vanguard Market Liquidity Fund, 1.706% | | | 47,257 | | | | 4,727 | |
S&P 500 Growth Index Fund
| | | Face | | | Market | |
| | | Amount | | | Value• | |
| | | | ($000 | ) | | | ($000 | ) |
| U.S. Government and Agency Obligations (0.0%) |
| 2 | | United States Treasury Bill, 1.546%, 3/26/20 | | | 500 | | | | 500 | |
| Total Temporary Cash Investments (Cost $5,226) | | | | | | | 5,227 | |
| Total Investments (99.9%) (Cost $2,447,599) | | | | | | | 3,063,469 | |
| Other Assets and Liabilities-Net (0.1%) | | | | | | | 3,929 | |
| Net Assets (100%) | | | | | | | 3,067,398 | |
Cost rounded to $000.
| • | See Note A in Notes to Financial Statements. |
| * | 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. |
| 2 | Securities with a value of $322,000 have been segregated as initial margin for open futures contracts. |
| Derivative Financial Instruments Outstanding as of Period End | |
| Futures Contracts | |
| | | | | | | | ($000 | ) |
| | | | | | | | | | | | Value and | |
| | | | | Number of | | | | | | | Unrealized | |
| | | | | Long (Short) | | | Notional | | | | Appreciation | |
| | | Expiration | | Contracts | | | Amount | | | | (Depreciation) | |
| Long Futures Contracts | | | | | | | | | | | | |
| E-mini S&P 500 Index | | March 2020 | | 33 | | | 4,869 | | | | (343 | ) |
| E-mini NASDAQ 100 Index | | March 2020 | | 25 | | | 4,227 | | | | (141 | ) |
| | | | | | | | | | | | (484 | ) |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P 500 Growth Index Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | | Amount | |
| Assets | | | |
| Investments in Securities, at Value | | | |
| Unaffiliated Issuers (Cost $2,442,873) | | | 3,058,742 | |
| Affiliated Issuers (Cost $4,726) | | | 4,727 | |
| Total Investments in Securities | | | 3,063,469 | |
| Investment in Vanguard | | | 143 | |
| Receivables for Investment Securities Sold | | | 283 | |
| Receivables for Accrued Income | | | 3,769 | |
| Receivables for Capital Shares Issued | | | 38 | |
| Variation Margin Receivable—Futures Contracts | | | 25 | |
| Total Assets | | | 3,067,727 | |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | 44 | |
| Payables for Capital Shares Redeemed | | | 1 | |
| Payables to Vanguard | | | 272 | |
| Variation Margin Payable—Futures Contracts | | | 12 | |
| Total Liabilities | | | 329 | |
| Net Assets | | | 3,067,398 | |
| | | | |
| At February 29, 2020, net assets consisted of: | | | | |
| | | | | |
| Paid-in Capital | | | 2,389,073 | |
| Total Distributable Earnings (Loss) | | | 678,325 | |
| Net Assets | | | 3,067,398 | |
| | | | |
| ETF Shares—Net Assets | | | | |
| Applicable to 18,475,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 3,060,386 | |
| Net Asset Value Per Share—ETF Shares | | | $165.65 | |
| | | | |
| Institutional Shares—Net Assets | | | | |
| Applicable to 18,609 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 7,012 | |
| Net Asset Value Per Share—Institutional Shares | | | $376.80 | |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P 500 Growth Index Fund
Statement of Operations
| | | Six Months Ended | |
| | | February 29, 2020 | |
| | | | ($000 | ) |
| Investment Income | | | | |
| Income | | | | |
| Dividends | | | 22,185 | |
| Interest1 | | | 43 | |
| Securities Lending—Net | | | 14 | |
| Total Income | | | 22,242 | |
| Expenses | | | | |
| The Vanguard Group—Note B | | | | |
| Investment Advisory Services | | | 228 | |
| Management and Administrative—ETF Shares | | | 1,152 | |
| Management and Administrative—Institutional Shares | | | 2 | |
| Marketing and Distribution—ETF Shares | | | 77 | |
| Marketing and Distribution—Institutional Shares | | | — | |
| Custodian Fees | | | 12 | |
| Shareholders’ Reports—ETF Shares | | | 55 | |
| Shareholders’ Reports—Institutional Shares | | | — | |
| Trustees’ Fees and Expenses | | | 1 | |
| Total Expenses | | | 1,527 | |
| Expenses Paid Indirectly | | | (12 | ) |
| Net Expenses | | | 1,515 | |
| Net Investment Income | | | 20,727 | |
| Realized Net Gain (Loss) | | | | |
| Investment Securities Sold1,2 | | | 158,808 | |
| Futures Contracts | | | 554 | |
| Realized Net Gain (Loss) | | | 159,362 | |
| Change in Unrealized Appreciation (Depreciation) | | | | |
| Investment Securities1 | | | (98,082 | ) |
| Futures Contracts | | | (510 | ) |
| Change in Unrealized Appreciation (Depreciation) | | | (98,592 | ) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | 81,497 | |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $39,000, $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $152,812,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P 500 Growth Index Fund
Statement of Changes in Net Assets
| | | Six Months Ended | | | Year Ended | |
| | | February 29, | | | August 31, | |
| | | 2020 | | | 2019 | |
| | | | ($000 | ) | | | ($000 | ) |
| Increase (Decrease) in Net Assets | | | | | | | | |
| Operations | | | | | | | | |
| Net Investment Income | | | 20,727 | | | | 34,358 | |
| Realized Net Gain (Loss) | | | 159,362 | | | | 57,659 | |
| Change in Unrealized Appreciation (Depreciation) | | | (98,592 | ) | | | (4,278 | ) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | 81,497 | | | | 87,739 | |
| Distributions1 | | | | | | | | |
| ETF Shares | | | (20,798 | ) | | | (32,295 | ) |
| Institutional Shares | | | (49 | ) | | | (15 | ) |
| Total Distributions | | | (20,847 | ) | | | (32,310 | ) |
| Capital Share Transactions | | | | | | | | |
| ETF Shares | | | 245,067 | | | | 372,536 | |
| Institutional Shares | | | 294 | | | | 6,862 | |
| Net Increase (Decrease) from Capital Share Transactions | | | 245,361 | | | | 379,398 | |
| Total Increase (Decrease) | | | 306,011 | | | | 434,827 | |
| Net Assets | | | | | | | | |
| Beginning of Period | | | 2,761,387 | | | | 2,326,560 | |
| End of Period | | | 3,067,398 | | | | 2,761,387 | |
1 Certain prior period numbers have been reclassified to conform with current period presentation.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P 500 Growth Index Fund
Financial Highlights
ETF Shares
| | | Six Months | | | | | | | | | | | | | | | | |
| | | Ended | | | | | | | | | | | | | | | | |
| For a Share Outstanding | | February 29, | | | Year Ended August 31, | |
| Throughout Each Period | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| Net Asset Value, Beginning of Period | | $161.81 | | | $158.27 | | | $127.78 | | | $109.12 | | | $99.21 | | | $96.99 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 1.1661 | | | | 2.1561 | | | | 1.8331 | | | | 1.8411 | | | | 1.565 | | | | 1.523 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | 3.861 | | | | 3.437 | | | | 30.442 | | | | 18.527 | | | | 9.857 | | | | 2.193 | |
| Total from Investment Operations | | | 5.027 | | | | 5.593 | | | | 32.275 | | | | 20.368 | | | | 11.422 | | | | 3.716 | |
| Distributions | | | | | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (1.187 | ) | | | (2.053 | ) | | | (1.785 | ) | | | (1.708 | ) | | | (1.512 | ) | | | (1.496 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (1.187 | ) | | | (2.053 | ) | | | (1.785 | ) | | | (1.708 | ) | | | (1.512 | ) | | | (1.496 | ) |
| Net Asset Value, End of Period | | $165.65 | | | $161.81 | | | $158.27 | | | $127.78 | | | $109.12 | | | $99.21 | |
| Total Return | | | 3.10% | | | | 3.60% | | | | 25.48% | | | | 18.85% | | | | 11.62% | | | | 3.80% | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | $3,060 | | | $2,755 | | | $2,327 | | | $1,664 | | | $1,031 | | | $570 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.10% | | | | 0.10% | | | | 0.15% | | | | 0.15% | | | | 0.15% | | | | 0.15% | |
| Ratio of Net Investment Income to Average Net Assets | | | 1.33% | | | | 1.41% | | | | 1.29% | | | | 1.57% | | | | 1.59% | | | | 1.62% | |
| Portfolio Turnover Rate2 | | | 24% | | | | 23% | | | | 18% | | | | 19% | | | | 20% | | | | 21% | |
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | Calculated based on average shares outstanding. |
| 2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P 500 Growth Index Fund
Financial Highlights
Institutional Shares
| | | Six Months | | | April 5, | | | Oct. 17, | |
| | | Ended | | | 20191 to | | | 20181 to | |
| | | Feb. 29, | | | Aug. 31, | | | Dec. 13, | |
| For a Share Outstanding Throughout Each Period | | 2020 | | | 2019 | | | 2018 | |
| Net Asset Value, Beginning of Period | | $368.04 | | | $356.55 | | | $343.28 | |
| Investment Operations | | | | | | | | | |
| Net Investment Income2 | | 2.686 | | | 3.777 | | | .856 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | 8.792 | | | 7.713 | | | (19.628 | ) |
| Total from Investment Operations | | 11.478 | | | 11.490 | | | (18.772 | ) |
| Distributions | | | | | | | | | |
| Dividends from Net Investment Income | | (2.718 | ) | | — | | | (.938 | ) |
| Distributions from Realized Capital Gains | | — | | | — | | | — | |
| Total Distributions | | (2.718 | ) | | — | | | (.938 | ) |
| Net Asset Value, End of Period | | $376.80 | | | $368.04 | | | $323.57 | |
| Total Return | | 3.12% | | | 3.22% | | | -5.47% | |
| Ratios/Supplemental Data | | | | | | | | | |
| Net Assets, End of Period (Millions) | | $7 | | | $7 | | | — | |
| Ratio of Total Expenses to Average Net Assets | | 0.08% | | | 0.08%3 | | | 0.08%3 | |
| Ratio of Net Investment Income to Average Net Assets | | 1.35% | | | 2.52%3 | | | 1.64%3 | |
| Portfolio Turnover Rate4 | | 24% | | | 23%5 | | | 23%5 | |
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | The class commenced operations on October 17, 2018. On December 13, 2018, all outstanding shares were redeemed and the Net Asset Value represents the per-share amount at which such shares were redeemed. On April 5, 2019, the class recommenced operations. |
| 2 | Calculated based on average shares outstanding. |
| 3 | Annualized. |
| 4 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
| 5 | Reflects the fund’s portfolio turnover for the fiscal year ended August 31, 2019. |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P 500 Growth Index Fund
Notes to Financial Statements
Vanguard S&P 500 Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. 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.
2. 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 assets pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended February 29, 2020, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
S&P 500 Growth Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
S&P 500 Growth Index Fund
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $143,000, representing less than 0.01% of the fund’s net assets and 0.06% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 29, 2020, custodian fee offset arrangements reduced the fund’s expenses by $12,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. 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 valued with significant unobservable inputs are noted on the Schedule of Investments.
S&P 500 Growth Index Fund
The following table summarizes the market value of the fund’s investments and derivatives as of February 29, 2020, based on the inputs used to value them:
| | | Level 1 | | Level 2 | | Level 3 | | Total | |
| | | ($000) | | ($000) | | ($000) | | ($000) | |
| Investments | | | | | | | | | |
| Assets | | | | | | | | | |
| Common Stocks | | 3,058,242 | | — | | — | | 3,058,242 | |
| Temporary Cash Investments | | 4,727 | | 500 | | — | | 5,227 | |
| Total | | 3,062,969 | | 500 | | — | | 3,063,469 | |
| Derivative Financial Instruments | | | | | | | | | |
| Assets | | | | | | | | | |
| Futures Contracts1 | | 25 | | — | | — | | 25 | |
| Liabilities | | | | | | | | | |
| Futures Contracts1 | | 12 | | — | | — | | 12 | |
1 Represents variation margin on the last day of the reporting period.
E. As of February 29, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| | | Amount | |
| | | ($000 | ) |
| Tax Cost | | 2,447,600 | |
| Gross Unrealized Appreciation | | 704,175 | |
| Gross Unrealized Depreciation | | (88,790 | ) |
| Net Unrealized Appreciation (Depreciation) | | 615,385 | |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $104,199,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F. During the six months ended February 29, 2020, the fund purchased $1,474,672,000 of investment securities and sold $1,233,921,000 of investment securities, other than temporary cash investments. Purchases and sales include $718,939,000 and $508,856,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 29, 2020, such purchases and sales were $520,296,000 and $508,898,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
S&P 500 Growth Index Fund
G. Capital share transactions for each class of shares were:
| | | Six Months Ended | | | | Year Ended |
| | | February 29, 2020 | | August 31, 2019 |
| | | Amount | | Shares | | Amount | | Shares |
| | | ($000 | ) | (000 | ) | ($000 | ) | (000) |
| ETF Shares | | | | | | | | |
| Issued | | 759,295 | | 4,425 | | 790,253 | | 5,350 |
| Issued in Lieu of Cash Distributions | | — | | — | | — | | — |
| Redeemed | | (514,228 | ) | (2,975 | ) | (417,717 | ) | (3,025) |
| Net Increase (Decrease)—ETF Shares | | 245,067 | | 1,450 | | 372,536 | | 2,325 |
| Institutional Shares1 | | | | | | | | |
| Issued | | 320 | | 1 | | 11,977 | | 34 |
| Issued in Lieu of Cash Distributions | | 1 | | — | | 15 | | — |
| Redeemed | | (27 | ) | — | | (5,130 | ) | (16) |
| Net Increase (Decrease)—Institutional Shares | | 294 | | 1 | | 6,862 | | 18 |
1 The table shown for the year ended August 31, 2019, reflects all Institutional transactions beginning October 17, 2018.
H. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
The S&P 500 Value Index and S&P 500 Growth Index (the “Indexes”) are products of S&P Dow Jones Indices LLC (“SPDJI”), and have been licensed for use by Vanguard. Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P® and S&P 500® are trademarks of S&P; and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by Vanguard. Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or any of their respective affiliates (collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices make no representation or warranty, express or implied, to the owners of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund or any member of the public regarding the advisability of investing in securities generally or in Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund particularly or the ability of the S&P 500 Value Index and S&P 500 Growth Index to track general market performance. S&P Dow Jones Indices’ only relationship to Vanguard with respect to the S&P 500 Value Index and S&P 500 Growth Index is the licensing of the Indexes and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or its licensors. The S&P 500 Value Index and S&P 500 Growth Index are determined, composed and calculated by S&P Dow Jones Indices without regard to Vanguard or Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund. S&P Dow Jones Indices have no obligation to take the needs of Vanguard or the owners of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund into consideration in determining, composing or calculating the S&P 500 Value Index and S&P 500 Growth Index. S&P Dow Jones Indices are not responsible for and have not participated in the determination of the prices and amount of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund or the timing of the issuance or sale of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund or in the determination or calculation of the equation by which Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund are to be converted into cash, surrendered or redeemed, as the case may be. S&P Dow Jones Indices have no obligation or liability in connection with the administration, marketing or trading of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund. There is no assurance that investment products based on the S&P 500 Value Index and S&P 500 Growth Index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an investment advisor. Inclusion of a security within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice.
S&P DOW JONES INDICES DOES NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDEXES OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY VANGUARD, OWNERS OF VANGUARD S&P 500 VALUE INDEX FUND AND VANGUARD S&P 500 GROWTH INDEX FUND, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEXES OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND VANGUARD, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
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This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.
© 2020 The Vanguard Group, Inc.
All rights reserved.
U.S. Patent Nos. 6,879,964; 7,337,138;
7,720,749; 7,925,573; 8,090,646; 8,417,623; and 8,626,636.
Vanguard Marketing Corporation, Distributor.
Q18402 042020
Semiannual Report | February 29, 2020 Vanguard S&P Small-Cap 600 Index Funds |
Vanguard S&P Small-Cap 600 Index Fund Vanguard S&P Small-Cap 600 Value Index Fund Vanguard S&P Small-Cap 600 Growth Index Fund See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports. |
Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
| Contents | |
| | |
| About Your Fund’s Expenses | 1 |
| | |
| S&P Small-Cap 600 Index Fund | 3 |
| | |
| S&P Small-Cap 600 Value Index Fund. | 23 |
| | |
| S&P Small-Cap 600 Growth Index Fund | 41 |
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
Six Months Ended February 29, 2020
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| | 8/31/2019 | 2/29/2020 | Period |
| Based on Actual Fund Return | | | |
| S&P Small-Cap 600 Index Fund | | | |
| ETF Shares | $1,000.00 | $970.43 | $0.49 |
| Institutional Shares | 1,000.00 | 970.62 | 0.39 |
| S&P Small-Cap 600 Value Index Fund | | | |
| ETF Shares | $1,000.00 | $957.24 | $0.73 |
| Institutional Shares | 1,000.00 | 957.52 | 0.39 |
| S&P Small-Cap 600 Growth Index Fund | | | |
| ETF Shares | $1,000.00 | $981.28 | $0.79 |
| Based on Hypothetical 5% Yearly Return | | | |
| S&P Small-Cap 600 Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.37 | $0.50 |
| Institutional Shares | 1,000.00 | 1,024.47 | 0.40 |
| S&P Small-Cap 600 Value Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.12 | $0.75 |
| Institutional Shares | 1,000.00 | 1,024.47 | 0.40 |
| S&P Small-Cap 600 Growth Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.07 | $0.81 |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the S&P Small-Cap 600 Index Fund, 0.10% for ETF Shares and 0.08% for Institutional Shares; for the S&P Small-Cap 600 Value Index Fund, 0.15% for ETF Shares and 0.08% for Institutional Shares; and for the S&P Small-Cap 600 Growth Index Fund, 0.16% for ETF Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (182/366).
S&P Small-Cap 600 Index Fund
Sector Diversification
As of February 29, 2020
| Communication Services | 2.4 | % |
| Consumer Discretionary | 13.5 | |
| Consumer Staples | 3.2 | |
| Energy | 3.1 | |
| Financials | 17.9 | |
| Health Care | 12.3 | |
| Industrials | 18.0 | |
| Information Technology | 14.1 | |
| Materials | 4.5 | |
| Other | 0.0 | |
| Real Estate | 8.7 | |
| Utilities | 2.3 | |
The table reflects the fund’s investments, except for short -term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking their target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
S&P Small-Cap 600 Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 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.
| | | | | Market | |
| | | | | Value• | |
| | | Shares | | ($000) | |
| Common Stocks (99.6%) |
| Communication Services (2.4%) |
| | Cogent Communications | | | | |
| | Holdings Inc. | 131,574 | | 9,606 | |
| * | Iridium Communications | | | | |
| | Inc. | 306,996 | | 8,310 | |
| | Shenandoah | | | | |
| | Telecommunications Co. | 148,203 | | 6,585 | |
| * | Vonage Holdings Corp. | 720,065 | | 6,452 | |
| | Scholastic Corp. | 97,107 | | 3,116 | |
| * | Glu Mobile Inc. | 363,646 | | 2,589 | |
| * | Cincinnati Bell Inc. | 158,616 | | 2,070 | |
| | EW Scripps Co. | 171,468 | | 2,040 | |
| | Marcus Corp. | 72,438 | | 1,936 | |
| * | QuinStreet Inc. | 145,470 | | 1,874 | |
| | ATN International Inc. | 34,511 | | 1,860 | |
| * | TechTarget Inc. | 72,429 | | 1,675 | |
| * | Gannett Co. Inc. | 390,650 | | 1,641 | |
| | Consolidated | | | | |
| | Communications | | | | |
| | Holdings Inc. | 228,380 | | 1,421 | |
| | Spok Holdings Inc. | 56,271 | | 560 | |
| | | | | 51,735 | |
| | | | | | |
| Consumer Discretionary (13.4%) | |
| * | TopBuild Corp. | 107,308 | | 10,838 | |
| | Strategic Education Inc. | 69,431 | | 10,233 | |
| | Lithia Motors Inc. Class A | 71,622 | | 8,534 | |
| | Steven Madden Ltd. | 244,272 | | 7,988 | |
| | Wingstop Inc. | 93,190 | | 7,870 | |
| * | Fox Factory Holding Corp. | 121,637 | | 7,712 | |
| | LCI Industries | 79,014 | | 7,629 | |
| * | Stamps.com Inc. | 51,332 | | 7,243 | |
| * | Meritage Homes Corp. | 113,949 | | 7,231 | |
| | Wolverine World Wide | | | | |
| | Inc. | 255,541 | | 6,718 | |
| | MDC Holdings Inc. | 158,319 | | 6,228 | |
| | Monro Inc. | 105,032 | | 5,894 | |
| *,^ | Shake Shack Inc. | 98,141 | | 5,833 | |
| * | Crocs Inc. | 217,150 | | 5,683 | |
| * | Dorman Products Inc. | 92,160 | | 5,589 | |
| | Winnebago Industries Inc. | 106,541 | | 5,528 | |
| * | Cavco Industries Inc. | 27,169 | | 5,481 | |
| * | Asbury Automotive | | | | |
| | Group Inc. | 61,209 | | 5,426 | |
| | Callaway Golf Co. | 296,261 | | 5,031 | |
| | Kontoor Brands Inc. | 147,504 | | 4,977 | |
| Bloomin’ Brands Inc. | 274,771 | | 4,943 | |
| * | LGI Homes Inc. | 62,961 | | 4,744 | |
| | Group 1 Automotive Inc. | 55,377 | | 4,720 | |
| * | Installed Building | | | | |
| | Products Inc. | 67,516 | | 4,459 | |
| | Dine Brands Global Inc. | 52,955 | | 4,334 | |
| *,^ | iRobot Corp. | 89,319 | | 4,286 | |
| * | Gentherm Inc. | 103,211 | | 4,209 | |
| | La-Z-Boy Inc. | 146,728 | | 4,204 | |
| | Office Depot Inc. | 1,725,035 | | 4,054 | |
| | Cooper Tire & Rubber Co. | 158,614 | | 4,043 | |
| * | Sleep Number Corp. | 90,123 | | 3,970 | |
| | Signet Jewelers Ltd. | 165,217 | | 3,853 | |
| * | Perdoceo Education | | | | |
| | Corp. | 221,986 | | 3,314 | |
| | Core-Mark Holding Co. | | | | |
| | Inc. | 143,904 | | 3,311 | |
| | Rent-A-Center Inc. | 155,411 | | 3,309 | |
| * | M/I Homes Inc. | 88,870 | | 3,309 | |
| | Oxford Industries Inc. | 54,133 | | 3,269 | |
| | Dave & Buster’s | | | | |
| | Entertainment Inc. | 97,306 | | 3,212 | |
| * | G-III Apparel Group Ltd. | 135,723 | | 3,035 | |
| * | Century Communities | | | | |
| | Inc. | 89,664 | | 2,989 | |
| | Children’s Place Inc. | 49,293 | | 2,839 | |
| | Standard Motor Products | | | | |
| | Inc. | 64,020 | | 2,817 | |
| * | Boot Barn Holdings Inc. | 90,100 | | 2,763 | |
| | Abercrombie & Fitch Co. | 198,293 | | 2,604 | |
| | Sturm Ruger & Co. Inc. | 52,826 | | 2,538 | |
| | Designer Brands Inc. | | | | |
| | Class A | 173,386 | | 2,342 | |
| * | Shutterstock Inc. | 60,258 | | 2,322 | |
| * | American Axle & | | | | |
| | Manufacturing | | | | |
| | Holdings Inc. | 355,986 | | 2,253 | |
| | Guess? Inc. | 135,186 | | 2,190 | |
S&P Small-Cap 600 Index Fund
| | | | | Market | |
| | | | | Value• | |
| | | Shares | | ($000) | |
| | Sonic Automotive Inc. | 76,335 | | 2,137 | |
| | Buckle Inc. | 90,195 | | 2,041 | |
| * | America’s Car-Mart Inc. | 19,495 | | 2,004 | |
| | BJ’s Restaurants Inc. | 60,434 | | 1,991 | |
| | Big Lots Inc. | 123,290 | | 1,949 | |
| * | Universal Electronics Inc. | 43,857 | | 1,852 | |
| * | Monarch Casino & Resort | | | | |
| | Inc. | 37,768 | | 1,786 | |
| * | Zumiez Inc. | 64,279 | | 1,705 | |
| ^ | PetMed Express Inc. | 64,032 | | 1,690 | |
| * | Garrett Motion Inc. | 235,100 | | 1,632 | |
| | Ruth’s Hospitality Group | | | | |
| | Inc. | 84,991 | | 1,626 | |
| * | Genesco Inc. | 44,897 | | 1,545 | |
| | Chico’s FAS Inc. | 377,092 | | 1,512 | |
| | Caleres Inc. | 129,628 | | 1,495 | |
| * | Vista Outdoor Inc. | 183,991 | | 1,352 | |
| * | MarineMax Inc. | 68,261 | | 1,156 | |
| * | Red Robin Gourmet | | | | |
| | Burgers Inc. | 40,919 | | 1,125 | |
| * | Chuy’s Holdings Inc. | 51,977 | | 1,114 | |
| | Cato Corp. Class A | 68,889 | | 1,114 | |
| * | Hibbett Sports Inc. | 55,869 | | 1,091 | |
| * | American Public Education | | | | |
| | Inc. | 48,677 | | 1,084 | |
| * | Michaels Cos. Inc. | 239,155 | | 1,026 | |
| | Ethan Allen Interiors Inc. | 77,618 | | 1,025 | |
| * | Motorcar Parts of America | | | | |
| | Inc. | 59,684 | | 999 | |
| * | Unifi Inc. | 46,037 | | 984 | |
| * | Regis Corp. | 76,737 | | 979 | |
| | Haverty Furniture Cos. Inc. | 57,020 | | 959 | |
| * | Cooper-Standard Holdings | | | | |
| | Inc. | 53,322 | | 921 | |
| *,^ | Lumber Liquidators | | | | |
| | Holdings Inc. | 89,357 | | 876 | |
| | Shoe Carnival Inc. | 28,431 | | 850 | |
| * | El Pollo Loco Holdings Inc. | 61,959 | | 799 | |
| * | Express Inc. | 214,113 | | 792 | |
| | Movado Group Inc. | 51,562 | | 758 | |
| ^ | GameStop Corp. Class A | 206,531 | | 744 | |
| * | Fossil Group Inc. | 146,368 | | 672 | |
| * | Fiesta Restaurant Group | | | | |
| | Inc. | 68,867 | | 665 | |
| *,^ | JC Penney Co. Inc. | 951,783 | | 657 | |
| * | Vera Bradley Inc. | 73,270 | | 605 | |
| ^ | Tailored Brands Inc. | 160,198 | | 524 | |
| * | Conn’s Inc. | 60,676 | | 495 | |
| | Tupperware Brands Corp. | 154,149 | | 439 | |
| * | Barnes & Noble Education | | | | |
| | Inc. | 120,728 | | 400 | |
| * | Liquidity Services Inc. | 83,788 | | 328 | |
| * | Taylor Morrison Home | | | | |
| | Corp. | 1 | | — | |
| | | | | 287,399 | |
| Consumer Staples (3.2%) | |
| | J&J Snack Foods Corp. | 47,126 | | 7,579 | |
| | WD-40 Co. | 43,261 | | 7,462 | |
| | Vector Group Ltd. | 365,168 | | 4,243 | |
| | PriceSmart Inc. | 70,687 | | 3,937 | |
| | Universal Corp. | 78,311 | | 3,865 | |
| | Calavo Growers Inc. | 51,653 | | 3,742 | |
| | Inter Parfums Inc. | 55,614 | | 3,340 | |
| | Cal-Maine Foods Inc. | 95,654 | | 3,337 | |
| * | Central Garden & Pet Co. | | | | |
| | Class A | 126,681 | | 3,206 | |
| | Medifast Inc. | 36,639 | | 3,045 | |
| ^ | B&G Foods Inc. | 202,557 | | 2,998 | |
| | Coca-Cola Consolidated | | | | |
| | Inc. | 14,648 | | 2,877 | |
| * | USANA Health Sciences | | | | |
| | Inc. | 39,769 | | 2,629 | |
| | Fresh Del Monte | | | | |
| | Produce Inc. | 95,820 | | 2,627 | |
| * | Chefs’ Warehouse Inc. | 79,994 | | 2,449 | |
| | John B Sanfilippo & Son | | | | |
| | Inc. | 27,679 | | 1,943 | |
| | Andersons Inc. | 102,749 | | 1,888 | |
| *,^ | National Beverage Corp. | 36,795 | | 1,556 | |
| | SpartanNash Co. | 115,842 | | 1,440 | |
| | MGP Ingredients Inc. | 41,897 | | 1,205 | |
| * | United Natural Foods Inc. | 166,913 | | 1,080 | |
| * | Central Garden & Pet Co. | 30,964 | | 829 | |
| * | Seneca Foods Corp. | 21,821 | | 758 | |
| | | | | 68,035 | |
| Energy (3.0%) | |
| * | PDC Energy Inc. | 306,371 | | 5,830 | |
| * | Dril-Quip Inc. | 114,091 | | 4,064 | |
| * | Oceaneering | | | | |
| | International Inc. | 312,143 | | 3,290 | |
| * | Renewable Energy | | | | |
| | Group Inc. | 123,296 | | 3,261 | |
| * | Helix Energy Solutions | | | | |
| | Group Inc. | 448,409 | | 3,009 | |
| | Archrock Inc. | 405,675 | | 2,860 | |
| * | Callon Petroleum Co. | 1,238,875 | | 2,812 | |
| * | Southwestern Energy | | | | |
| | Co. | 1,718,297 | | 2,440 | |
| *,^ | Valaris plc Class A | 627,244 | | 2,315 | |
| * | ProPetro Holding Corp. | 261,160 | | 2,288 | |
| | SM Energy Co. | 336,879 | | 2,213 | |
| * | SEACOR Holdings Inc. | 55,461 | | 2,069 | |
| * | Par Pacific Holdings Inc. | 116,956 | | 1,940 | |
| | Nabors Industries Ltd. | 1,072,233 | | 1,887 | |
| ^ | Range Resources Corp. | 655,756 | | 1,816 | |
| | QEP Resources Inc. | 755,238 | | 1,699 | |
| | DMC Global Inc | 46,430 | | 1,674 | |
| * | Oil States International | | | | |
| | Inc. | 190,088 | | 1,504 | |
| * | Oasis Petroleum Inc. | 909,076 | | 1,486 | |
S&P Small-Cap 600 Index Fund
| | | | | Market | |
| | | | | Value• | |
| | | Shares | | ($000) | |
| | Green Plains Inc. | 105,969 | | 1,271 | |
| * | REX American Resources | | | | |
| | Corp. | 17,820 | | 1,248 | |
| * | Denbury Resources Inc. | 1,553,412 | | 1,169 | |
| | US Silica Holdings Inc. | 233,136 | | 1,070 | |
| * | Matrix Service Co. | 85,613 | | 1,034 | |
| * | Dorian LPG Ltd. | 91,219 | | 1,014 | |
| * | Newpark Resources Inc. | 283,759 | | 996 | |
| * | Bonanza Creek Energy | | | | |
| | Inc. | 58,499 | | 953 | |
| * | Talos Energy Inc. | 63,413 | | 900 | |
| * | Penn Virginia Corp. | 42,325 | | 673 | |
| *,^ | Diamond Offshore | | | | |
| | Drilling Inc. | 202,404 | | 617 | |
| * | Laredo Petroleum Inc. | 563,584 | | 609 | |
| * | Era Group Inc. | 62,015 | | 608 | |
| * | Noble Corp. plc | 786,829 | | 552 | |
| | RPC Inc. | 160,166 | | 551 | |
| *,^ | Whiting Petroleum Corp. | 288,180 | | 533 | |
| * | Geospace Technologies | | | | |
| | Corp. | 42,895 | | 529 | |
| * | TETRA Technologies Inc. | 395,749 | | 499 | |
| * | CONSOL Energy Inc. | 81,639 | | 465 | |
| * | Exterran Corp. | 89,892 | | 458 | |
| * | Gulfport Energy Corp. | 457,516 | | 375 | |
| * | Ring Energy Inc. | 185,841 | | 262 | |
| * | HighPoint Resources | | | | |
| | Corp. | 343,468 | | 234 | |
| * | KLX Energy Services | | | | |
| | Holdings Inc. | 67,262 | | 163 | |
| | | | | 65,240 | |
| Financials (17.8%) | |
| | Glacier Bancorp Inc. | 270,439 | | 10,085 | |
| | Community Bank System | | | | |
| | Inc. | 163,047 | | 9,915 | |
| | Old National Bancorp | 537,936 | | 8,478 | |
| | Invesco Mortgage | | | | |
| | Capital Inc. | 506,841 | | 8,150 | |
| | Kinsale Capital Group Inc. | 65,082 | | 7,906 | |
| | CVB Financial Corp. | 421,171 | | 7,808 | |
| | Simmons First National | | | | |
| | Corp. | 359,739 | | 7,691 | |
| | Columbia Banking | | | | |
| | System Inc. | 227,695 | | 7,559 | |
| * | eHealth Inc. | 64,255 | | 7,540 | |
| | Independent Bank Corp. | 108,498 | | 7,327 | |
| | Apollo Commercial Real | | | | |
| | Estate Finance Inc. | 451,503 | | 7,314 | |
| | American Equity | | | | |
| | Investment Life | | | | |
| | Holding Co. | 288,251 | | 7,287 | |
| | Ameris Bancorp | 207,596 | | 7,096 | |
| | New York Mortgage | | | | |
| | Trust Inc. | 1,151,579 | | 6,564 | |
| | PennyMac Mortgage | | | | |
| | Investment Trust | 316,534 | | 6,552 | |
| | First Financial Bancorp | 313,878 | | 6,466 | |
| | First Midwest Bancorp Inc. | 347,394 | | 6,305 | |
| | United Community Banks | | | | |
| | Inc. | 248,601 | | 6,158 | |
| | Redwood Trust Inc. | 358,164 | | 6,117 | |
| | Walker & Dunlop Inc. | 90,568 | | 5,873 | |
| | Cadence BanCorp Class A | 404,419 | | 5,710 | |
| * | PRA Group Inc. | 143,756 | | 5,581 | |
| | First BanCorp | 687,986 | | 5,463 | |
| | Banner Corp. | 117,819 | | 5,377 | |
| * | Green Dot Corp. | 150,027 | | 5,125 | |
| | Horace Mann Educators | | | | |
| | Corp. | 130,373 | | 5,075 | |
| | ServisFirst Bancshares | | | | |
| | Inc. | 145,191 | | 5,016 | |
| * | NMI Holdings Inc. | 214,821 | | 5,014 | |
| | Westamerica | | | | |
| | Bancorporation | 85,233 | | 4,928 | |
| | Hope Bancorp Inc. | 400,808 | | 4,894 | |
| | Pacific Premier Bancorp | | | | |
| | Inc. | 186,968 | | 4,829 | |
| | Great Western Bancorp | | | | |
| | Inc. | 178,047 | | 4,784 | |
| | FGL Holdings | 413,009 | | 4,725 | |
| | NBT Bancorp Inc. | 138,582 | | 4,669 | |
| | ProAssurance Corp. | 170,356 | | 4,625 | |
| | Northwest Bancshares | | | | |
| | Inc. | 317,815 | | 4,414 | |
| * | Axos Financial Inc. | 168,034 | | 4,186 | |
| * | Seacoast Banking Corp. | | | | |
| | of Florida | 162,308 | | 4,041 | |
| | S&T Bancorp Inc. | 121,498 | | 3,994 | |
| | Eagle Bancorp Inc. | 106,407 | | 3,982 | |
| | AMERISAFE Inc. | 60,891 | | 3,968 | |
| | James River Group | | | | |
| | Holdings Ltd. | 95,943 | | 3,877 | |
| | Employers Holdings Inc. | 100,386 | | 3,869 | |
| | Provident Financial | | | | |
| | Services Inc. | 189,748 | | 3,791 | |
| | First Commonwealth | | | | |
| | Financial Corp. | 310,011 | | 3,658 | |
| | Safety Insurance Group | | | | |
| | Inc. | 46,325 | | 3,648 | |
| | City Holding Co. | 51,742 | | 3,618 | |
| | Veritex Holdings Inc. | 149,665 | | 3,602 | |
| | Meta Financial Group Inc. | 109,073 | | 3,583 | |
| | Piper Sandler Cos. | 50,192 | | 3,517 | |
| | Brookline Bancorp Inc. | 251,889 | | 3,494 | |
| | Flagstar Bancorp Inc. | 108,926 | | 3,473 | |
| | ARMOUR Residential | | | | |
| | REIT Inc. | 184,956 | | 3,344 | |
S&P Small-Cap 600 Index Fund
| | | | | Market | |
| | | | | Value• | |
| | | Shares | | ($000) | |
| | Berkshire Hills Bancorp | | | | |
| | Inc. | 136,008 | | 3,320 | |
| *,^ | Encore Capital Group Inc. | 87,470 | | 3,250 | |
| | Southside Bancshares Inc. | 100,431 | | 3,236 | |
| | Tompkins Financial Corp. | 38,699 | | 3,076 | |
| | Waddell & Reed Financial | | | | |
| | Inc. | 222,507 | | 3,062 | |
| | National Bank Holdings | | | | |
| | Corp. | 98,454 | | 3,012 | |
| | Granite Point Mortgage | | | | |
| | Trust Inc. | 173,070 | | 2,842 | |
| * | Ambac Financial Group | | | | |
| | Inc. | 143,191 | | 2,752 | |
| | OFG Bancorp | 162,591 | | 2,722 | |
| | Stewart Information | | | | |
| | Services Corp. | 75,151 | | 2,719 | |
| * | Blucora Inc. | 154,479 | | 2,688 | |
| | | | | | |
| | Heritage Financial Corp. | 115,891 | | 2,688 | |
| | United Fire Group Inc. | 67,655 | | 2,594 | |
| | Virtus Investment | | | | |
| | Partners Inc. | 23,116 | | 2,552 | |
| | Boston Private Financial | | | | |
| | Holdings Inc. | 261,333 | | 2,549 | |
| * | Triumph Bancorp Inc. | 74,078 | | 2,509 | |
| * | INTL. FCStone Inc. | 51,329 | | 2,338 | |
| * | Third Point Reinsurance | | | | |
| | Ltd. | 251,968 | | 2,248 | |
| ^ | Banc of California Inc. | 142,891 | | 2,191 | |
| | Preferred Bank | 42,777 | | 2,187 | |
| | Central Pacific Financial | | | | |
| | Corp. | 90,126 | | 2,156 | |
| | Capstead Mortgage Corp. | 301,543 | | 2,141 | |
| | TrustCo Bank Corp. NY | 307,718 | | 2,111 | |
| | HomeStreet Inc. | 76,798 | | 2,080 | |
| * | Enova International Inc. | 107,367 | | 2,064 | |
| | Allegiance Bancshares Inc. | 60,369 | | 2,002 | |
| | Universal Insurance | | | | |
| | Holdings Inc. | 96,260 | | 1,992 | |
| | Northfield Bancorp Inc. | 136,739 | | 1,932 | |
| * | Customers Bancorp Inc. | 90,829 | | 1,843 | |
| | Dime Community | | | | |
| | Bancshares Inc. | 98,273 | | 1,649 | |
| | Ready Capital Corp. | 111,045 | | 1,610 | |
| | Opus Bank | 67,626 | | 1,601 | |
| | Hanmi Financial Corp. | 98,235 | | 1,532 | |
| | WisdomTree Investments | | | | |
| | Inc. | 369,929 | | 1,502 | |
| | KKR Real Estate Finance | | | | |
| | Trust Inc. | 75,773 | | 1,488 | |
| | Franklin Financial Network | | | | |
| | Inc. | 42,480 | | 1,423 | |
| * | World Acceptance Corp. | 17,396 | | 1,359 | |
| | HCI Group Inc. | 20,361 | | 866 | |
| * | Donnelley Financial | | | | |
| | Solutions Inc. | 98,633 | | 858 | |
| * | EZCORP Inc. | 166,507 | | 799 | |
| | Greenhill & Co. Inc. | 47,493 | | 694 | |
| | United Insurance Holdings | | | | |
| | Corp. | 64,451 | | 606 | |
| | | | | 380,908 | |
| | Health Care (12.2%) | | | | |
| * | LHC Group Inc. | 93,540 | | 11,361 | |
| * | AMN Healthcare Services | | | | |
| | Inc. | 147,514 | | 10,857 | |
| * | Omnicell Inc. | 132,536 | | 10,798 | |
| * | Momenta | | | | |
| | Pharmaceuticals Inc. | 358,570 | | 10,144 | |
| * | Neogen Corp. | 165,850 | | 10,075 | |
| * | NeoGenomics Inc. | 329,604 | | 9,338 | |
| * | Integer Holdings Corp. | 103,359 | | 9,320 | |
| | CONMED Corp. | 89,784 | | 8,497 | |
| * | Select Medical Holdings | | | | |
| | Corp. | 340,064 | | 8,141 | |
| * | Emergent BioSolutions | | | | |
| | Inc. | 138,549 | | 8,130 | |
| * | Medpace Holdings Inc. | 86,455 | | 7,776 | |
| | Ensign Group Inc. | 158,677 | | 7,061 | |
| * | HMS Holdings Corp. | 278,068 | | 6,387 | |
| * | Merit Medical Systems | | | | |
| | Inc. | 174,589 | | 6,287 | |
| * | Pacira BioSciences Inc. | 132,093 | | 5,730 | |
| * | Xencor Inc. | 156,191 | | 5,075 | |
| * | BioTelemetry Inc. | 107,580 | | 4,596 | |
| | US Physical Therapy Inc. | 40,274 | | 4,197 | |
| * | Cardiovascular Systems | | | | |
| | Inc. | 111,489 | | 4,194 | |
| * | Myriad Genetics Inc. | 235,495 | | 4,149 | |
| * | Magellan Health Inc. | 68,972 | | 4,139 | |
| * | Corcept Therapeutics Inc. | 324,737 | | 4,098 | |
| * | REGENXBIO Inc. | 99,380 | | 3,975 | |
| * | Endo International plc | 638,410 | | 3,524 | |
| * | Tabula Rasa HealthCare | | | | |
| | Inc. | 62,214 | | 3,495 | |
| * | Covetrus Inc. | 307,797 | | 3,420 | |
| * | Addus HomeCare Corp. | 42,964 | | 3,277 | |
| | Luminex Corp. | 131,648 | | 3,260 | |
| | Mesa Laboratories Inc. | 12,709 | | 3,041 | |
| * | CryoLife Inc. | 118,603 | | 3,040 | |
| * | Tactile Systems | | | | |
| | Technology Inc. | 60,048 | | 3,027 | |
| * | Supernus | | | | |
| | Pharmaceuticals Inc. | 165,645 | | 2,980 | |
| * | Natus Medical Inc. | 107,878 | | 2,900 | |
| * | Innoviva Inc. | 209,988 | | 2,829 | |
| * | Varex Imaging Corp. | 121,170 | | 2,814 | |
| * | Hanger Inc. | 118,131 | | 2,725 | |
| * | RadNet Inc. | 132,227 | | 2,701 | |
S&P Small-Cap 600 Index Fund
| | | | | Market | |
| | | | | Value• | |
| | | Shares | | ($000) | |
| * | Inogen Inc. | 57,645 | | 2,639 | |
| * | Cytokinetics Inc. | 187,384 | | 2,612 | |
| * | Enanta Pharmaceuticals | | | | |
| | Inc. | 50,678 | | 2,579 | |
| * | Pennant Group Inc. | 83,126 | | 2,259 | |
| * | Providence Service Corp. | 36,228 | | 2,238 | |
| * | Heska Corp. | 22,332 | | 2,132 | |
| * | Orthofix Medical Inc. | 59,896 | | 2,117 | |
| * | NextGen Healthcare Inc. | 152,404 | | 1,993 | |
| * | HealthStream Inc. | 80,709 | | 1,963 | |
| * | CorVel Corp. | 28,201 | | 1,944 | |
| * | Lantheus Holdings Inc. | 124,639 | | 1,938 | |
| * | Anika Therapeutics Inc. | 45,056 | | 1,882 | |
| * | Vanda Pharmaceuticals Inc. | 169,670 | | 1,871 | |
| * | Community Health | | | | |
| | Systems Inc. | 373,682 | | 1,842 | |
| * | Tivity Health Inc. | 135,897 | | 1,722 | |
| * | Amphastar | | | | |
| | Pharmaceuticals Inc. | 108,128 | | 1,664 | |
| | Phibro Animal Health Corp. | 63,526 | | 1,604 | |
| * | Surmodics Inc. | 43,023 | | 1,502 | |
| | LeMaitre Vascular Inc. | 52,216 | | 1,488 | |
| * | Eagle Pharmaceuticals Inc. | 32,087 | | 1,473 | |
| * | ANI Pharmaceuticals Inc. | 29,461 | | 1,414 | |
| * | AngioDynamics Inc. | 118,073 | | 1,357 | |
| | Owens & Minor Inc. | 198,135 | | 1,353 | |
| * | Progenics | | | | |
| | Pharmaceuticals Inc. | 274,061 | | 1,294 | |
| * | OraSure Technologies Inc. | 193,271 | | 1,165 | |
| * | Cutera Inc. | 44,796 | | 1,110 | |
| * | Cross Country Healthcare | | | | |
| | Inc. | 115,530 | | 1,095 | |
| * | Meridian Bioscience Inc. | 134,086 | | 1,071 | |
| | Computer Programs & | | | | |
| | Systems Inc. | 39,735 | | 1,064 | |
| * | Spectrum Pharmaceuticals | | | | |
| | Inc. | 355,851 | | 1,018 | |
| * | Lannett Co. Inc. | 105,850 | | 921 | |
| * | AMAG Pharmaceuticals | | | | |
| | Inc. | 107,695 | | 835 | |
| | Invacare Corp. | 107,423 | | 814 | |
| * | Akorn Inc. | 291,067 | | 338 | |
| * | Acorda Therapeutics Inc. | 155,196 | | 223 | |
| | | | | 261,892 | |
| Industrials (18.0%) | |
| | Exponent Inc. | 163,839 | | 12,067 | |
| * | Aerojet Rocketdyne | | | | |
| | Holdings Inc. | 228,825 | | 11,276 | |
| | Simpson Manufacturing | | | | |
| | Co. Inc. | 127,528 | | 10,130 | |
| | John Bean Technologies | | | | |
| | Corp. | 99,888 | | 9,675 | |
| | Universal Forest Products | | | | |
| | Inc. | 193,853 | | 9,084 | |
| | UniFirst Corp. | 48,384 | | 8,990 | |
| | Watts Water Technologies | | | | |
| | Inc. | 87,118 | | 8,181 | |
| | Barnes Group Inc. | 150,611 | | 8,088 | |
| | Moog Inc. | 101,770 | | 7,848 | |
| | ESCO Technologies Inc. | 82,021 | | 7,457 | |
| | Brady Corp. Class A | 157,464 | | 7,454 | |
| * | Proto Labs Inc. | 84,495 | | 7,405 | |
| | SkyWest Inc. | 159,563 | | 7,244 | |
| | Applied Industrial | | | | |
| | Technologies Inc. | 122,109 | | 7,203 | |
| * | Saia Inc. | 81,872 | | 7,148 | |
| | AAON Inc. | 128,569 | | 7,073 | |
| | ABM Industries Inc. | 210,204 | | 6,920 | |
| | Arcosa Inc. | 152,971 | | 6,572 | |
| * | Chart Industries Inc. | 112,996 | | 6,432 | |
| | Franklin Electric Co. Inc. | 121,756 | | 6,294 | |
| | Albany International Corp. | 96,912 | | 6,209 | |
| | Korn Ferry | 174,602 | | 6,108 | |
| * | SPX Corp. | 139,425 | | 5,846 | |
| | Allegiant Travel Co. | 41,654 | | 5,646 | |
| | Federal Signal Corp. | 191,267 | | 5,547 | |
| | Hillenbrand Inc. | 234,924 | | 5,497 | |
| | Mobile Mini Inc. | 139,590 | | 5,443 | |
| | Cubic Corp. | 98,867 | | 5,382 | |
| * | Meritor Inc. | 233,911 | | 5,307 | |
| | Forward Air Corp. | 88,954 | | 5,249 | |
| * | Gibraltar Industries Inc. | 102,197 | | 5,178 | |
| | Mueller Industries Inc. | 180,114 | | 5,040 | |
| * | SPX FLOW Inc. | 134,594 | | 4,950 | |
| | Comfort Systems USA Inc. | 116,178 | | 4,905 | |
| | Kaman Corp. | 88,140 | | 4,888 | |
| * | Hub Group Inc. | 105,659 | | 4,885 | |
| * | Sunrun Inc. | 246,540 | | 4,768 | |
| | Matson Inc. | 135,061 | | 4,485 | |
| | Tennant Co. | 57,613 | | 4,122 | |
| * | American Woodmark Corp. | 49,065 | | 4,110 | |
| | Patrick Industries Inc. | 70,767 | | 3,739 | |
| * | Enerpac Tool Group Corp. | | | | |
| | Class A | 169,888 | | 3,630 | |
| | AAR Corp. | 103,657 | | 3,581 | |
| | EnPro Industries Inc. | 65,545 | | 3,536 | |
| * | AeroVironment Inc. | 68,326 | | 3,511 | |
| | US Ecology Inc. | 80,742 | | 3,396 | |
| | Alamo Group Inc. | 30,616 | | 3,391 | |
| | Lindsay Corp. | 34,195 | | 3,386 | |
| | Raven Industries Inc. | 112,907 | | 3,242 | |
| | Encore Wire Corp. | 66,166 | | 3,240 | |
| | Viad Corp. | 64,089 | | 3,217 | |
| | Hawaiian Holdings Inc. | 147,862 | | 3,087 | |
| * | GMS Inc. | 133,352 | | 3,047 | |
| | AZZ Inc. | 82,567 | | 3,046 | |
| | Triumph Group Inc. | 158,047 | | 3,003 | |
| | Granite Construction Inc. | 147,489 | | 2,997 | |
S&P Small-Cap 600 Index Fund
| | | | | Market | |
| | | | | Value• | |
| | | Shares | | ($000) | |
| * | Harsco Corp. | 247,609 | | 2,969 | |
| | Matthews International Corp. | 99,296 | | 2,935 | |
| * | PGT Innovations Inc. | 184,075 | | 2,792 | |
| | Interface Inc. | 185,023 | | 2,699 | |
| | Astec Industries Inc. | 71,406 | | 2,681 | |
| | Heartland Express Inc. | 147,930 | | 2,649 | |
| | Apogee Enterprises Inc. | 84,325 | | 2,546 | |
| * | Vicor Corp. | 58,060 | | 2,511 | |
| | Standex International Corp. | 39,537 | | 2,508 | |
| | Greenbrier Cos. Inc. | 102,792 | | 2,491 | |
| | Marten Transport Ltd. | 123,156 | | 2,406 | |
| | Griffon Corp. | 135,058 | | 2,350 | |
| * | CIRCOR International Inc. | 62,543 | | 2,250 | |
| * | Atlas Air Worldwide | | | | |
| | Holdings Inc. | 81,460 | | 2,177 | |
| | Wabash National Corp. | 170,688 | | 1,874 | |
| * | TrueBlue Inc. | 123,950 | | 1,844 | |
| | Pitney Bowes Inc. | 538,469 | | 1,842 | |
| * | Aegion Corp. | 96,955 | | 1,746 | |
| | Quanex Building Products | | | | |
| | Corp. | 103,900 | | 1,746 | |
| | Kelly Services Inc. | 104,516 | | 1,736 | |
| | ArcBest Corp. | 80,517 | | 1,595 | |
| * | Echo Global Logistics Inc. | 85,993 | | 1,587 | |
| * | DXP Enterprises Inc. | 50,502 | | 1,434 | |
| | Heidrick & Struggles | | | | |
| | International Inc. | 60,348 | | 1,346 | |
| * | MYR Group Inc. | 52,672 | | 1,344 | |
| | National Presto Industries | | | | |
| | Inc. | 15,850 | | 1,245 | |
| * | Team Inc. | 95,567 | | 1,217 | |
| * | Forrester Research Inc. | 33,497 | | 1,208 | |
| | Resources Connection Inc. | 95,830 | | 1,201 | |
| | Insteel Industries Inc. | 58,055 | | 1,155 | |
| | Powell Industries Inc. | 27,600 | | 923 | |
| * | Foundation Building | | | | |
| | Materials Inc. | 55,395 | | 864 | |
| | Park Aerospace Corp. | 61,517 | | 856 | |
| * | Lydall Inc. | 55,163 | | 657 | |
| * | Veritiv Corp. | 39,588 | | 477 | |
| | RR Donnelley & Sons Co. | 225,009 | | 428 | |
| | Briggs & Stratton Corp. | 133,663 | | 424 | |
| | Titan International Inc. | 159,716 | | 355 | |
| | | | | 384,223 | |
| Information Technology (14.1%) | |
| * | Viavi Solutions Inc. | 726,890 | | 9,588 | |
| * | Anixter International Inc. | 95,017 | | 9,265 | |
| * | Itron Inc. | 111,381 | | 8,447 | |
| * | Qualys Inc. | 105,259 | | 8,440 | |
| | Power Integrations Inc. | 92,900 | | 8,087 | |
| * | ExlService Holdings Inc. | 107,629 | | 8,034 | |
| | Brooks Automation Inc. | 228,710 | | 7,893 | |
| * | Advanced Energy | | | | |
| | Industries Inc. | 121,253 | | 7,212 | |
| * | Rogers Corp. | 58,664 | | 6,805 | |
| * | Fabrinet | 116,826 | | 6,439 | |
| | ManTech International | | | | |
| | Corp. | 85,223 | | 6,383 | |
| * | Insight Enterprises Inc. | 113,016 | | 6,226 | |
| * | Plexus Corp. | 92,291 | | 6,123 | |
| * | 8x8 Inc. | 316,382 | | 5,853 | |
| * | Sanmina Corp. | 221,419 | | 5,821 | |
| * | SPS Commerce Inc. | 109,940 | | 5,783 | |
| * | Diodes Inc. | 130,549 | | 5,745 | |
| | EVERTEC Inc. | 188,741 | | 5,602 | |
| * | Alarm.com Holdings Inc. | 115,014 | | 5,549 | |
| | Badger Meter Inc. | 91,871 | | 5,532 | |
| * | FormFactor Inc. | 239,698 | | 5,362 | |
| * | Bottomline Technologies | | | | |
| | DE Inc. | 120,673 | | 5,343 | |
| | Progress Software Corp. | 141,855 | | 5,290 | |
| * | LivePerson Inc. | 194,202 | | 5,139 | |
| * | Rambus Inc. | 352,886 | | 4,933 | |
| | KEMET Corp. | 183,212 | | 4,778 | |
| * | Onto Innovation Inc. | 155,295 | | 4,747 | |
| | CSG Systems International | | | | |
| | Inc. | 103,772 | | 4,592 | |
| | Kulicke & Soffa Industries | | | | |
| | Inc. | 200,867 | | 4,586 | |
| * | Knowles Corp. | 272,375 | | 4,527 | |
| * | OSI Systems Inc. | 53,956 | | 4,385 | |
| * | Perficient Inc. | 102,866 | | 4,214 | |
| * | Virtusa Corp. | 94,317 | | 4,160 | |
| * | Cardtronics plc | 114,490 | | 4,153 | |
| * | TTM Technologies Inc. | 309,332 | | 4,018 | |
| | NIC Inc. | 211,081 | | 3,861 | |
| * | Sykes Enterprises Inc. | 121,531 | | 3,850 | |
| | Methode Electronics Inc. | 116,923 | | 3,585 | |
| * | MicroStrategy Inc. | 26,006 | | 3,515 | |
| * | 3D Systems Corp. | 373,884 | | 3,425 | |
| * | ePlus Inc. | 42,786 | | 3,241 | |
| | Benchmark Electronics Inc. | 118,691 | | 3,226 | |
| * | MaxLinear Inc. | 205,343 | | 3,175 | |
| * | FARO Technologies Inc. | 54,718 | | 3,132 | |
| | TiVo Corp. | 400,610 | | 3,033 | |
| | CTS Corp. | 103,232 | | 2,691 | |
| | Xperi Corp. | 155,702 | | 2,677 | |
| | Cohu Inc. | 130,730 | | 2,676 | |
| * | Photronics Inc. | 212,590 | | 2,647 | |
| * | Ultra Clean Holdings Inc. | 126,239 | | 2,640 | |
| * | Unisys Corp. | 163,355 | | 2,537 | |
| * | Axcelis Technologies Inc. | 102,030 | | 2,448 | |
| * | ScanSource Inc. | 80,340 | | 2,284 | |
| | MTS Systems Corp. | 56,551 | | 2,270 | |
| | Comtech | | | | |
| | Telecommunications Corp. | 77,138 | | 2,161 | |
S&P Small-Cap 600 Index Fund
| | | | | Market | |
| | | | | Value• | |
| | | Shares | | ($000) | |
| | TTEC Holdings Inc. | 55,652 | | 2,083 | |
| * | Agilysys Inc. | 64,317 | | 2,066 | |
| * | Veeco Instruments Inc. | 154,069 | | 2,063 | |
| * | Ichor Holdings Ltd. | 71,014 | | 2,054 | |
| * | CEVA Inc. | 69,722 | | 1,981 | |
| * | Extreme Networks Inc. | 385,906 | | 1,941 | |
| | Ebix Inc. | 70,774 | | 1,871 | |
| * | NETGEAR Inc. | 94,997 | | 1,793 | |
| * | Harmonic Inc. | 285,948 | | 1,756 | |
| * | OneSpan Inc. | 103,023 | | 1,701 | |
| * | Diebold Nixdorf Inc. | 241,776 | | 1,697 | |
| | PC Connection Inc. | 35,100 | | 1,427 | |
| | Plantronics Inc. | 102,870 | | 1,412 | |
| * | PDF Solutions Inc. | 87,411 | | 1,280 | |
| | ADTRAN Inc. | 151,023 | | 1,215 | |
| * | Digi International Inc. | 89,197 | | 1,181 | |
| * | SMART Global Holdings | | | | |
| | Inc. | 41,440 | | 1,112 | |
| * | CalAmp Corp. | 106,317 | | 1,023 | |
| * | DSP Group Inc. | 72,480 | | 986 | |
| * | Arlo Technologies Inc. | 237,966 | | 781 | |
| | Daktronics Inc. | 118,829 | | 585 | |
| *,^ | Applied Optoelectronics | | | | |
| | Inc. | 61,049 | | 545 | |
| | Bel Fuse Inc. | 31,724 | | 363 | |
| | | | | 301,044 | |
| Materials (4.5%) | |
| | Balchem Corp. | 101,700 | | 9,607 | |
| | Innospec Inc. | 77,564 | | 6,712 | |
| | Quaker Chemical Corp. | 40,951 | | 6,453 | |
| | HB Fuller Co. | 161,209 | | 6,324 | |
| | Stepan Co. | 63,219 | | 5,552 | |
| ^ | Cleveland-Cliffs Inc. | 854,779 | | 4,966 | |
| | Kaiser Aluminum Corp. | 50,036 | | 4,731 | |
| | Boise Cascade Co. | 122,949 | | 4,362 | |
| * | Livent Corp. | 460,543 | | 4,113 | |
| * | GCP Applied | | | | |
| | Technologies Inc. | 169,787 | | 3,306 | |
| | Schweitzer-Mauduit | | | | |
| | International Inc. | 97,576 | | 3,290 | |
| | Neenah Inc. | 53,120 | | 3,069 | |
| * | Ferro Corp. | 260,270 | | 3,024 | |
| | Materion Corp. | 64,523 | | 2,925 | |
| | Warrior Met Coal Inc. | 162,028 | | 2,871 | |
| | Trinseo SA | 123,564 | | 2,704 | |
| * | AK Steel Holding Corp. | 1,002,127 | | 2,315 | |
| | PH Glatfelter Co. | 139,492 | | 1,989 | |
| | Myers Industries Inc. | 112,153 | | 1,522 | |
| * | Koppers Holdings Inc. | 65,219 | | 1,426 | |
| * | Clearwater Paper Corp. | 52,236 | | 1,424 | |
| * | US Concrete Inc. | 50,015 | | 1,342 | |
| | Tredegar Corp. | 77,957 | | 1,330 | |
| * | AdvanSix Inc. | 88,813 | | 1,290 | |
| | American Vanguard Corp. | 83,233 | | 1,269 | |
| | SunCoke Energy Inc. | 274,747 | | 1,267 | |
| | Mercer International Inc. | 126,787 | | 1,123 | |
| | Hawkins Inc. | 29,760 | | 1,064 | |
| * | Kraton Corp. | 99,877 | | 1,011 | |
| | Haynes International Inc. | 39,302 | | 995 | |
| * | Century Aluminum Co. | 157,164 | | 912 | |
| | FutureFuel Corp. | 82,251 | | 836 | |
| * | TimkenSteel Corp. | 124,416 | | 631 | |
| | Rayonier Advanced | | | | |
| | Materials Inc. | 160,244 | | 393 | |
| | Olympic Steel Inc. | 28,790 | | 347 | |
| * | LSB Industries Inc. | 66,030 | | 129 | |
| | | | | 96,624 | |
| Other (0.0%)1 | |
| *,§ | A Schulman Inc. CVR | 71,146 | | 31 | |
| | | | | | |
| Real Estate (8.7%) | |
| | Agree Realty Corp. | 144,069 | | 10,347 | |
| | Lexington Realty Trust | | | | |
| | Class B | 784,344 | | 8,134 | |
| | Washington REIT | 255,262 | | 6,854 | |
| | Essential Properties | | | | |
| | Realty Trust Inc. | 277,731 | | 6,363 | |
| | National Storage Affiliates | | | | |
| | Trust | 187,720 | | 6,334 | |
| | Acadia Realty Trust | 275,318 | | 6,288 | |
| | American Assets Trust Inc. | 151,545 | | 6,281 | |
| | CareTrust REIT Inc. | 300,937 | | 6,281 | |
| | Four Corners Property | | | | |
| | Trust Inc. | 217,029 | | 6,227 | |
| | Uniti Group Inc. | 611,502 | | 5,968 | |
| | DiamondRock Hospitality | | | | |
| | Co. | 633,218 | | 5,775 | |
| | LTC Properties Inc. | 125,729 | | 5,636 | |
| | Easterly Government | | | | |
| | Properties Inc. | 234,708 | | 5,579 | |
| | Retail Opportunity | | | | |
| | Investments Corp. | 366,691 | | 5,500 | |
| | Xenia Hotels & Resorts | | | | |
| | Inc. | 356,255 | | 5,330 | |
| | Global Net Lease Inc. | 283,408 | | 5,229 | |
| ^ | Innovative Industrial | | | | |
| | Properties Inc. | 53,960 | | 4,961 | |
| | Office Properties Income | | | | |
| | Trust | 151,950 | | 4,426 | |
| | Universal Health Realty | | | | |
| | Income Trust | 40,085 | | 4,318 | |
| | Kite Realty Group Trust | 264,590 | | 4,273 | |
| | Industrial Logistics | | | | |
| | Properties Trust | 205,535 | | 4,246 | |
| | Alexander & Baldwin Inc. | 214,713 | | 4,037 | |
| | Independence Realty | | | | |
| | Trust Inc. | 286,666 | | 3,801 | |
| | iStar Inc. | 236,511 | | 3,578 | |
S&P Small-Cap 600 Index Fund
| | | | | Market | |
| | | | | Value• | |
| | | Shares | | ($000) | |
| ^ | Tanger Factory Outlet | | | | |
| | Centers Inc. | 294,125 | | 3,524 | |
| | Realogy Holdings Corp. | 361,435 | | 3,350 | |
| | RPT Realty | 253,846 | | 3,290 | |
| | NexPoint Residential Trust | | | | |
| | Inc. | 71,229 | | 3,170 | |
| | Summit Hotel Properties | | | | |
| | Inc. | 333,592 | | 3,092 | |
| | Getty Realty Corp. | 108,067 | | 3,063 | |
| | Armada Hoffler Properties | | | | |
| | Inc. | 175,350 | | 2,939 | |
| | Community Healthcare | | | | |
| | Trust Inc. | 59,646 | | 2,841 | |
| | Investors Real Estate Trust | 36,775 | | 2,591 | |
| | Franklin Street Properties | | | | |
| | Corp. | 337,644 | | 2,407 | |
| * | Marcus & Millichap Inc. | 73,778 | | 2,358 | |
| | Safehold Inc. | 39,174 | | 2,140 | |
| | Chatham Lodging Trust | 148,421 | | 2,069 | |
| * | St. Joe Co. | 99,358 | | 1,954 | |
| | Urstadt Biddle Properties | | | | |
| | Inc. | 94,150 | | 1,940 | |
| | RE/MAX Holdings Inc. | 56,214 | | 1,639 | |
| ^ | Washington Prime Group | | | | |
| | Inc. | 588,693 | | 1,619 | |
| | Whitestone REIT | 129,258 | | 1,589 | |
| | Saul Centers Inc. | 36,879 | | 1,586 | |
| | Hersha Hospitality Trust | | | | |
| | Class A | 114,891 | | 1,325 | |
| | Cedar Realty Trust Inc. | 270,663 | | 701 | |
| ^ | Pennsylvania REIT | 189,611 | | 447 | |
| ^ | CBL & Associates | | | | |
| | Properties Inc. | 538,984 | | 286 | |
| | | | | 185,686 | |
| Utilities (2.3%) | |
| | Avista Corp. | 210,477 | | 9,924 | |
| | American States Water | | | | |
| | Co. | 116,204 | | 8,900 | |
| | El Paso Electric Co. | 128,664 | | 8,732 | |
| | South Jersey Industries | | | | |
| | Inc. | 292,518 | | 7,913 | |
| | California Water Service | | | | |
| | Group | 152,039 | | 7,292 | |
| | Northwest Natural | | | | |
| | Holding Co. | 96,187 | | 6,326 | |
| | | | | 49,087 | |
| | | | | | |
| Total Common Stocks | |
| (Cost $2,358,230) | 2,131,904 | |
| Temporary Cash Investments (1.8%) | | | |
| Money Market Fund (1.8%) | | | | |
| 2,3 | Vanguard Market | | | | |
| | Liquidity Fund, | | | | |
| | 1.706% | 394,239 | | 39,436 | |
| | | Face | | | |
| | | Amount | | | |
| | | ($000 | | | |
| | U.S. Government and Agency Obligations (0.0%) | | | | |
| 4 | United States | | | | |
| | Treasury Bill, | | | | |
| | 1.543%, 4/16/20 | 100 | | 100 | |
| 4 | United States | | | | |
| | Treasury Bill, | | | | |
| | 1.527%–1.541%, | | | | |
| | 4/30/20 | 290 | | 289 | |
| | | | | 389 | |
| | Total Temporary Cash Investments (Cost $39,816) | | | 39,825 | |
| | Total Investments (101.4%) (Cost $2,398,046) | | | 2,171,729 | |
| | Other Assets and Liabilities— | | | | |
| | Net (-1.4%)3,4 | | | (30,953 | ) |
| | Net Assets (100%) | | | 2,140,776 | |
Cost rounded to $000.
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $33,488,000. |
| § | Security value determined using significant unobservable inputs. |
| 1 | “Other” represents securities that are not classified by the fund’s benchmark index. |
| 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 $35,597,000 was received for securities on loan. |
| 4 | Securities with a value of $389,000 and cash of $81,000 have been segregated as initial margin for open futures contracts. |
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
S&P Small-Cap 600 Index Fund
| Derivative Financial Instruments Outstanding as of Period End |
Futures Contracts
| | | | | ($000) |
| | | | | Value and |
| | | Number of | | Unrealized |
| | | Long (Short) | Notional | Appreciation |
| | Expiration | Contracts | Amount | (Depreciation) |
| Long Futures Contracts | | | | |
| E-mini Russell 2000 Index | March 2020 | 127 | 9,366 | (998) |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Small-Cap 600 Index Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $2,358,620) | 2,132,293 |
| Affiliated Issuers (Cost $39,426) | 39,436 |
| Total Investments in Securities | 2,171,729 |
| Investment in Vanguard | 105 |
| Cash | 3,661 |
| Cash Collateral Pledged—Futures Contracts | 81 |
| Receivables for Investment Securities Sold | 1,892 |
| Receivables for Accrued Income | 1,411 |
| Receivables for Capital Shares Issued | 1,041 |
| Total Assets | 2,179,920 |
| Liabilities | |
| Payables for Investment Securities Purchased | 1,494 |
| Collateral for Securities on Loan | 35,597 |
| Payables for Capital Shares Redeemed | 1,799 |
| Payables to Vanguard | 179 |
| Variation Margin Payable—Futures Contracts | 75 |
| Total Liabilities | 39,144 |
| Net Assets | 2,140,776 |
| At February 29, 2020, net assets consisted of: | |
| | |
| Paid-in Capital | 2,319,800 |
| Total Distributable Earnings (Loss) | (179,024) |
| Net Assets | 2,140,776 |
| | |
| ETF Shares—Net Assets | |
| Applicable to 7,100,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 938,440 |
| Net Asset Value Per Share—ETF Shares | $132.17 |
| | |
| Institutional Shares—Net Assets | |
| Applicable to 4,523,732 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 1,202,336 |
| Net Asset Value Per Share—Institutional Shares | $265.78 |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Small-Cap 600 Index Fund
Statement of Operations
| | Six Months Ended |
| | February 29, 2020 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 15,238 |
| Interest1 | 75 |
| Securities Lending—Net | 649 |
| Total Income | 15,962 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 178 |
| Management and Administrative—ETF Shares | 374 |
| Management and Administrative—Institutional Shares | 368 |
| Marketing and Distribution—ETF Shares | 35 |
| Marketing and Distribution—Institutional Shares | 29 |
| Custodian Fees | 50 |
| Shareholders’ Reports—ETF Shares | 24 |
| Shareholders’ Reports—Institutional Shares | 6 |
| Trustees’ Fees and Expenses | 1 |
| Total Expenses | 1,065 |
| Expenses Paid Indirectly | (16) |
| Net Expenses | 1,049 |
| Net Investment Income | 14,913 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1,2 | 99,933 |
| Futures Contracts | 365 |
| Realized Net Gain (Loss) | 100,298 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | (182,859) |
| Futures Contracts | (560) |
| Change in Unrealized Appreciation (Depreciation) | (183,419) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (68,208) |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $71,000, $3,000, and $6,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $117,194,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Small-Cap 600 Index Fund
Statement of Changes in Net Assets
| | Six Months Ended | Year Ended |
| | February 29, | August 31, |
| | 2020 | 2019 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 14,913 | 28,781 |
| Realized Net Gain (Loss) | 100,298 | 119,205 |
| Change in Unrealized Appreciation (Depreciation) | (183,419) | (465,140) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (68,208) | (317,154) |
| Distributions1 | | |
| ETF Shares | (15,071) | (11,931) |
| Institutional Shares | (18,356) | (11,102) |
| Total Distributions | (33,427) | (23,033) |
| Capital Share Transactions | | |
| ETF Shares | (11,186) | 62,679 |
| Institutional Shares | 76,534 | 328,261 |
| Net Increase (Decrease) from Capital Share Transactions | 65,348 | 390,940 |
| Total Increase (Decrease) | (36,287) | 50,753 |
| Net Assets | | |
| Beginning of Period | 2,177,063 | 2,126,310 |
| End of Period | 2,140,776 | 2,177,063 |
1 Certain prior period numbers have been reclassified to conform with current period presentation.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Small-Cap 600 Index Fund
Financial Highlights
ETF Shares
| | Six Months | | | | | | | |
| | | Ended | | | | Year Ended August 31, | |
| For a Share Outstanding | February 29, | | | | |
| Throughout Each Period | | 2020 | | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $138.09 | $164.67 | $125.83 | $112.23 | $100.42 | $99.81 | |
| Investment Operations | | | | | | | | | |
| Net Investment Income | | 0.9281 | 1.9411 | 1.7841 | 1.5731 | 1.3751 | 1.204 | |
| Net Realized and Unrealized Gain (Loss) | | | | | | | | |
| on Investments | | (4.762) | (26.858) | 38.598 | 13.212 | 11.683 | .497 | |
| Total from Investment Operations | | (3.834) | (24.917) | 40.382 | 14.785 | 13.058 | 1.701 | |
| Distributions | | | | | | | | | |
| Dividends from Net Investment Income | (2.086) | (1.663) | (1.542) | (1.185) | (1.248) | (1.091) | |
| Distributions from Realized Capital Gains | — | | — | — | — | — | — | |
| Total Distributions | | (2.086) | (1.663) | (1.542) | (1.185) | (1.248) | (1.091) | |
| Net Asset Value, End of Period | | $132.17 | $138.09 | $164.67 | $125.83 | $112.23 | $100.42 | |
| Total Return | | -2.96% | -15.09% | 32.32% | 13.18% | 13.17% | 1.69% | |
Ratios/Supplemental Data |
| Net Assets, End of Period (Millions) | | $938 | $991 | $1,107 | $683 | $342 | $206 | |
| Ratio of Total Expenses to | | | | | | | | | |
| Average Net Assets | | 0.10% | 0.10% | 0.15% | 0.15% | 0.15% | 0.15% | |
| Ratio of Net Investment Income to | | | | | | | | | |
| Average Net Assets | | 1.38% | 1.36% | 1.23% | 1.27% | 1.36% | 1.27% | |
| Portfolio Turnover Rate2 | | 8% | 9% | 13% | 22% | 15% | 11% | |
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
| 2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Small-Cap 600 Index Fund
Financial Highlights
Institutional Shares
| | Six Months | | | | | | | |
| | | Ended | | | | Year Ended August 31, | |
| For a Share Outstanding | February 29, | | | | |
| Throughout Each Period | | 2020 | | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $277.68 | $331.26 | $252.98 | $225.56 | $201.83 | $200.56 | |
| Investment Operations | | | | | | | | | |
| Net Investment Income | | 1.8731 | 3.9411 | 3.7691 | 3.3031 | 2.9251 | 2.545 | |
| Net Realized and Unrealized Gain (Loss) | | | | | | | | |
| on Investments | | (9.546) | (54.011) | 77.632 | 26.605 | 23.454 | 1.019 | |
| Total from Investment Operations | | (7.673) | (50.070) | 81.401 | 29.908 | 26.379 | 3.564 | |
| Distributions | | | | | | | | | |
| Dividends from Net Investment Income | (4.227) | (3.510) | (3.121) | (2.488) | (2.649) | (2.294) | |
| Distributions from Realized Capital Gains | — | | — | — | — | — | — | |
| Total Distributions | | (4.227) | (3.510) | (3.121) | (2.488) | (2.649) | (2.294) | |
| Net Asset Value, End of Period | | $265.78 | $277.68 | $331.26 | $252.98 | $225.56 | $201.83 | |
Total Return | | -2.94% | -15.09% | 32.39% | 13.26% | 13.22% | 1.77% | |
Ratios/Supplemental Data |
| Net Assets, End of Period (Millions) | | $1,203 | $1,186 | $1,019 | $672 | $331 | $238 | |
| Ratio of Total Expenses to | | | | | | | | | |
| Average Net Assets | | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | |
| Ratio of Net Investment Income to | | | | | | | | | |
| Average Net Assets | | 1.38% | 1.38% | 1.30% | 1.34% | 1.43% | 1.34% | |
| Portfolio Turnover Rate2 | | 8% | 9% | 13% | 22% | 15% | 11% | |
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
| 2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Small-Cap 600 Index Fund
Notes to Financial Statements
Vanguard S&P Small-Cap 600 Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. 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.
2. 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 assets pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended February 29, 2020, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
S&P Small-Cap 600 Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans
S&P Small-Cap 600 Index Fund
may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $105,000, representing less than 0.01% of the fund’s net assets and 0.04% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 29, 2020, custodian fee offset arrangements reduced the fund’s expenses by $16,000 (an annual rate of less than 0.01%of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. 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.
S&P Small-Cap 600 Index Fund
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 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 February 29, 2020, based on the inputs used to value them:
| | Level 1 | Level 2 | Level 3 | Total |
| | ($000) | ($000) | ($000) | ($000) |
| Investments | | | | |
| Assets | | | | |
| Common Stocks | 2,131,873 | — | 31 | 2,131,904 |
| Temporary Cash Investments | 39,436 | 389 | — | 39,825 |
| Total | 2,171,309 | 389 | 31 | 2,171,729 |
| Derivative Financial Instruments | | | | |
| Liabilities | | | | |
| Futures Contracts1 | 75 | — | — | 75 |
1 Represents variation margin on the last day of the reporting period.
E. As of February 29, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| | Amount |
| | ($000) |
| Tax Cost | 2,398,888 |
| Gross Unrealized Appreciation | 223,215 |
| Gross Unrealized Depreciation | (451,372) |
| Net Unrealized Appreciation (Depreciation) | (228,157) |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $53,140,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F. During the six months ended February 29, 2020, the fund purchased $573,220,000 of investment securities and sold $520,974,000 of investment securities, other than temporary cash investments. Purchases and sales include $225,919,000 and $340,342,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
S&P Small-Cap 600 Index Fund
G. Capital share transactions for each class of shares were:
| | Six Months Ended | | Year Ended |
| | February 29, 2020 | | August 31, 2019 |
| | Amount | Shares | | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 367,248 | 2,500 | 569,862 | 4,000 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (378,434) | (2,575) | (507,183) | (3,550) |
| Net Increase (Decrease)—ETF Shares | (11,186) | (75) | 62,679 | 450 |
| Institutional Shares | | | | |
| Issued | 151,934 | 507 | 485,086 | 1,747 |
| Issued in Lieu of Cash Distributions | 15,647 | 52 | 8,867 | 33 |
| Redeemed | (91,047) | (307) | (165,692) | (584) |
| Net Increase (Decrease)—Institutional Shares | 76,534 | 252 | 328,261 | 1,196 |
H. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
S&P Small-Cap 600 Value Index Fund
Sector Diversification
As of February 29, 2020
| Communication Services | 2.4% |
| Consumer Discretionary | 12.6 |
| Consumer Staples | 3.4 |
| Energy | 4.8 |
| Financials | 25.6 |
| Health Care | 10.3 |
| Industrials | 15.3 |
| Information Technology | 7.5 |
| Materials | 5.7 |
| Other | 0.0 |
| Real Estate | 10.2 |
| Utilities | 2.2 |
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking their target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
S&P Small-Cap 600 Value Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 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.
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000) | |
| Common Stocks (99.3%) | | | | | | | |
| Communication Services (2.4%) | | | | | | | |
| * | | Iridium Communications | | | | | | | | |
| | | Inc. | | | 62,927 | | | | 1,704 | |
| * | | Vonage Holdings Corp. | | | 155,955 | | | | 1,397 | |
| | | Scholastic Corp. | | | 38,400 | | | | 1,232 | |
| | | Shenandoah | | | | | | | | |
| | | Telecommunications Co. | | | 25,707 | | | | 1,142 | |
| * | | Cincinnati Bell Inc. | | | 63,196 | | | | 825 | |
| | | Marcus Corp. | | | 28,577 | | | | 764 | |
| | | ATN International Inc. | | | 13,625 | | | | 734 | |
| * | | Gannett Co. Inc. | | | 153,558 | | | | 645 | |
| | | Consolidated | | | | | | | | |
| | | Communications | | | | | | | | |
| | | Holdings Inc. | | | 91,124 | | | | 567 | |
| | | EW Scripps Co. | | | 36,056 | | | | 429 | |
| | | Spok Holdings Inc. | | | 22,311 | | | | 222 | |
| | | | | | | | | | 9,661 | |
| Consumer Discretionary (12.5%) | | | | | | | |
| | | Wolverine World Wide Inc. | | | 100,942 | | | | 2,654 | |
| | | Kontoor Brands Inc. | | | 58,268 | | | | 1,966 | |
| | | Strategic Education Inc. | | | 12,882 | | | | 1,899 | |
| | | Group 1 Automotive Inc. | | | 21,848 | | | | 1,862 | |
| | | Office Depot Inc. | | | 682,113 | | | | 1,603 | |
| | | Cooper Tire & Rubber Co. | | | 62,635 | | | | 1,597 | |
| | | Signet Jewelers Ltd. | | | 65,482 | | | | 1,527 | |
| | | Core-Mark Holding Co. | | | | | | | | |
| | | Inc. | | | 56,889 | | | | 1,309 | |
| | | Oxford Industries Inc. | | | 21,273 | | | | 1,285 | |
| * | | Stamps.com Inc. | | | 8,931 | | | | 1,260 | |
| * | | Meritage Homes Corp. | | | 19,347 | | | | 1,228 | |
| * | | G-III Apparel Group Ltd. | | | 53,728 | | | | 1,201 | |
| | | Children’s Place Inc. | | | 19,444 | | | | 1,120 | |
| | | Standard Motor Products | | | | | | | | |
| | | Inc. | | | 25,224 | | | | 1,110 | |
| * | | Asbury Automotive Group | | | | | | | | |
| | | Inc. | | | 11,838 | | | | 1,049 | |
| | | Abercrombie & Fitch Co. | | | 78,350 | | | | 1,029 | |
| | | Monro Inc. | | | 18,281 | | | | 1,026 | |
| * | | Dorman Products Inc. | | | 16,748 | | | | 1,016 | |
| | | Sturm Ruger & Co. Inc. | | | 20,748 | | | | 997 | |
| *,^ | | iRobot Corp. | | | 19,762 | | | | 948 | |
| | | Designer Brands Inc. | | | | | | | | |
| | | Class A | | | 68,960 | | | | 932 | |
| * | | American Axle & | | | | | | | | |
| | | Manufacturing Holdings | | | | | | | | |
| | | Inc. | | | 140,424 | | | | 889 | |
| * | | Gentherm Inc. | | | 21,258 | | | | 867 | |
| | | Guess? Inc. | | | 53,275 | | | | 863 | |
| | | La-Z-Boy Inc. | | | 30,062 | | | | 861 | |
| | | Sonic Automotive Inc. | | | 30,313 | | | | 849 | |
| | | BJ’s Restaurants Inc. | | | 23,818 | | | | 785 | |
| | | Big Lots Inc. | | | 48,552 | | | | 768 | |
| * | | Perdoceo Education Corp. | | | 49,187 | | | | 734 | |
| * | | Garrett Motion Inc. | | | 93,501 | | | | 649 | |
| | | Bloomin’ Brands Inc. | | | 34,929 | | | | 628 | |
| * | | Century Communities Inc. | | | 18,451 | | | | 615 | |
| * | | M/I Homes Inc. | | | 16,504 | | | | 614 | |
| * | | Genesco Inc. | | | 17,815 | | | | 613 | |
| | | Chico’s FAS Inc. | | | 148,148 | | | | 594 | |
| | | Caleres Inc. | | | 50,629 | | | | 584 | |
| | | Dave & Buster’s | | | | | | | | |
| | | Entertainment Inc. | | | 16,555 | | | | 546 | |
| * | | Vista Outdoor Inc. | | | 71,606 | | | | 526 | |
| * | | MarineMax Inc. | | | 26,569 | | | | 450 | |
| * | | Red Robin Gourmet | | | | | | | | |
| | | Burgers Inc. | | | 16,024 | | | | 441 | |
| | | Cato Corp. Class A | | | 26,910 | | | | 435 | |
| * | | American Public Education | | | | | | | | |
| | | Inc. | | | 19,106 | | | | 425 | |
| * | | Michaels Cos. Inc. | | | 95,191 | | | | 408 | |
| | | Ethan Allen Interiors Inc. | | | 30,293 | | | | 400 | |
| * | | Motorcar Parts of America | | | | | | | | |
| | | Inc. | | | 23,475 | | | | 393 | |
| * | | Unifi Inc. | | | 18,094 | | | | 387 | |
| * | | Regis Corp. | | | 30,228 | | | | 386 | |
| | | Haverty Furniture Cos. Inc. | | | 22,403 | | | | 377 | |
| * | | Cooper-Standard Holdings | | | | | | | | |
| | | Inc. | | | 20,885 | | | | 361 | |
| * | | Lumber Liquidators | | | | | | | | |
| | | Holdings Inc. | | | 35,551 | | | | 348 | |
S&P Small-Cap 600 Value Index Fund
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000) | |
| | | Shoe Carnival Inc. | | | 11,210 | | | | 335 | |
| | | PetMed Express Inc. | | | 12,081 | | | | 319 | |
| * | | Express Inc. | | | 83,296 | | | | 308 | |
| | | Movado Group Inc. | | | 20,680 | | | | 304 | |
| | | Buckle Inc. | | | 13,235 | | | | 299 | |
| ^ | | GameStop Corp. Class A | | | 81,757 | | | | 294 | |
| * | | Monarch Casino & Resort | | | | | | | | |
| | | Inc. | | | 5,769 | | | | 273 | |
| * | | Fossil Group Inc. | | | 58,167 | | | | 267 | |
| * | | Fiesta Restaurant Group | | | | | | | | |
| | | Inc. | | | 27,316 | | | | 264 | |
| *,^ | | JC Penney Co. Inc. | | | 372,455 | | | | 257 | |
| * | | Vera Bradley Inc. | | | 29,042 | | | | 240 | |
| | | Ruth’s Hospitality Group | | | | | | | | |
| | | Inc. | | | 11,680 | | | | 223 | |
| * | | America’s Car-Mart Inc. | | | 2,166 | | | | 223 | |
| ^ | | Tailored Brands Inc. | | | 63,700 | | | | 208 | |
| * | | Hibbett Sports Inc. | | | 10,342 | | | | 202 | |
| * | | Conn’s Inc. | | | 23,621 | | | | 192 | |
| | | Tupperware Brands Corp. | | | 61,359 | | | | 175 | |
| * | | Barnes & Noble Education | | | | | | | | |
| | | Inc. | | | 47,842 | | | | 158 | |
| * | | El Pollo Loco Holdings Inc. | | | 11,288 | | | | 146 | |
| * | | Liquidity Services Inc. | | | 16,551 | | | | 65 | |
| | | | | | | | | | 50,166 | |
| Consumer Staples (3.3%) | | | | | | | |
| | | Universal Corp. | | | 30,996 | | | | 1,530 | |
| | | Cal-Maine Foods Inc. | | | 37,785 | | | | 1,318 | |
| * | | Central Garden & Pet Co. | | | | | | | | |
| | | Class A | | | 50,095 | | | | 1,268 | |
| ^ | | B&G Foods Inc. | | | 79,900 | | | | 1,183 | |
| | | Fresh Del Monte Produce | | | | | | | | |
| | | Inc. | | | 37,791 | | | | 1,036 | |
| * | | USANA Health Sciences | | | | | | | | |
| | | Inc. | | | 15,655 | | | | 1,035 | |
| * | | Chefs’ Warehouse Inc. | | | 31,804 | | | | 974 | |
| | | PriceSmart Inc. | | | 15,543 | | | | 866 | |
| | | Andersons Inc. | | | 40,593 | | | | 746 | |
| | | Calavo Growers Inc. | | | 8,992 | | | | 651 | |
| | | Vector Group Ltd. | | | 51,645 | | | | 600 | |
| | | SpartanNash Co. | | | 45,475 | | | | 565 | |
| * | | United Natural Foods Inc. | | | 66,899 | | | | 433 | |
| * | | Central Garden & Pet Co. | | | 12,266 | | | | 328 | |
| *,^ | | National Beverage Corp. | | | 7,539 | | | | 319 | |
| * | | Seneca Foods Corp. | | | 8,472 | | | | 294 | |
| | | MGP Ingredients Inc. | | | 9,284 | | | | 267 | |
| | | | | | | | | | 13,413 | |
| Energy (4.8%) | | | | | | | |
| * | | Dril-Quip Inc. | | | 45,119 | | | | 1,607 | |
| * | | Oceaneering International | | | | | | | | |
| | | Inc. | | | 123,408 | | | | 1,301 | |
| * | | Renewable Energy Group | | | | | | | | |
| | | Inc. | | | 48,604 | | | | 1,286 | |
| * | | PDC Energy Inc. | | | 59,281 | | | | 1,128 | |
| | | Archrock Inc. | | | 159,001 | | | | 1,121 | |
| * | | Southwestern Energy Co. | | | 676,285 | | | | 960 | |
| *,^ | | Valaris plc Class A | | | 246,914 | | | | 911 | |
| * | | ProPetro Holding Corp. | | | 102,796 | | | | 900 | |
| | | SM Energy Co. | | | 132,452 | | | | 870 | |
| | | Nabors Industries Ltd. | | | 421,726 | | | | 742 | |
| ^ | | Range Resources Corp. | | | 261,074 | | | | 723 | |
| * | | Oil States International Inc. | | | 75,460 | | | | 597 | |
| * | | Oasis Petroleum Inc. | | | 359,906 | | | | 588 | |
| * | | Callon Petroleum Co. | | | 228,954 | | | | 520 | |
| | | Green Plains Inc. | | | 42,402 | | | | 508 | |
| * | | Denbury Resources Inc. | | | 616,782 | | | | 464 | |
| | | US Silica Holdings Inc. | | | 91,877 | | | | 422 | |
| * | | Matrix Service Co. | | | 33,992 | | | | 411 | |
| * | | Bonanza Creek Energy Inc. | | | 23,114 | | | | 377 | |
| * | | SEACOR Holdings Inc. | | | 10,078 | | | | 376 | |
| | | QEP Resources Inc. | | | 157,756 | | | | 355 | |
| * | | Dorian LPG Ltd. | | | 26,333 | | | | 293 | |
| * | | REX American Resources | | | | | | | | |
| | | Corp. | | | 3,625 | | | | 254 | |
| *,^ | | Diamond Offshore Drilling | | | | | | | | |
| | | Inc. | | | 80,801 | | | | 246 | |
| * | | Era Group Inc. | | | 24,906 | | | | 244 | |
| * | | Laredo Petroleum Inc. | | | 225,830 | | | | 244 | |
| | | RPC Inc. | | | 63,849 | | | | 220 | |
| * | | Noble Corp. plc | | | 311,245 | | | | 218 | |
| *,^ | | Whiting Petroleum Corp. | | | 113,759 | | | | 210 | |
| * | | TETRA Technologies Inc. | | | 155,441 | | | | 196 | |
| * | | Newpark Resources Inc. | | | 54,822 | | | | 192 | |
| * | | CONSOL Energy Inc. | | | 32,118 | | | | 183 | |
| * | | Exterran Corp. | | | 35,442 | | | | 181 | |
| * | | Gulfport Energy Corp. | | | 181,480 | | | | 149 | |
| * | | HighPoint Resources | | | | | | | | |
| | | Corp. | | | 136,830 | | | | 93 | |
| * | | KLX Energy Services | | | | | | | | |
| | | Holdings Inc. | | | 25,830 | | | | 63 | |
| | | | | | | | | | 19,153 | |
| Financials (25.4%) | | | | | | | |
| | | Old National Bancorp | | | 212,012 | | | | 3,341 | |
| | | Invesco Mortgage Capital | | | | | | | | |
| | | Inc. | | | 200,503 | | | | 3,224 | |
| | | Simmons First National | | | | | | | | |
| | | Corp. | | | 142,169 | | | | 3,040 | |
| | | Columbia Banking System | | | | | | | | |
| | | Inc. | | | 89,960 | | | | 2,987 | |
| | | Apollo Commercial Real | | | | | | | | |
| | | Estate Finance Inc. | | | 177,976 | | | | 2,883 | |
| | | American Equity | | | | | | | | |
| | | Investment Life Holding | | | | | | | | |
| | | Co. | | | 113,567 | | | | 2,871 | |
| | | New York Mortgage Trust | | | | | | | | |
| | | Inc. | | | 455,565 | | | | 2,597 | |
| | | First Financial Bancorp | | | 123,960 | | | | 2,554 | |
S&P Small-Cap 600 Value Index Fund
| | | | | | | | Market | |
| | | | | | | | | | Value• | |
| | | | | | Shares | | | | ($000 | ) |
| | | First Midwest Bancorp Inc. | | | 137,119 | | | | 2,489 | |
| | | Redwood Trust Inc. | | | 140,537 | | | | 2,400 | |
| | | Cadence BanCorp Class A | | | 159,723 | | | | 2,255 | |
| | | Banner Corp. | | | 46,488 | | | | 2,122 | |
| * | | Green Dot Corp. | | | 58,882 | | | | 2,011 | |
| | | Horace Mann Educators | | | | | | | | |
| | | Corp. | | | 51,385 | | | | 2,000 | |
| | | Hope Bancorp Inc. | | | 157,967 | | | | 1,929 | |
| | | Pacific Premier Bancorp | | | | | | | | |
| | | Inc. | | | 74,036 | | | | 1,912 | |
| | | Great Western Bancorp | | | | | | | | |
| | | Inc. | | | 70,269 | | | | 1,888 | |
| | | FGL Holdings | | | 163,123 | | | | 1,866 | |
| | | ProAssurance Corp. | | | 66,964 | | | | 1,818 | |
| | | Northwest Bancshares Inc. | | | 124,752 | | | | 1,733 | |
| | | Community Bank System | | | | | | | | |
| | | Inc. | | | 27,710 | | | | 1,685 | |
| | | Glacier Bancorp Inc. | | | 43,818 | | | | 1,634 | |
| | | CVB Financial Corp. | | | 86,327 | | | | 1,601 | |
| | | S&T Bancorp Inc. | | | 48,231 | | | | 1,585 | |
| | | Eagle Bancorp Inc. | | | 41,939 | | | | 1,569 | |
| | | Ameris Bancorp | | | 45,039 | | | | 1,539 | |
| | | Employers Holdings Inc. | | | 39,702 | | | | 1,530 | |
| | | Provident Financial | | | | | | | | |
| | | Services Inc. | | | 74,891 | | | | 1,496 | |
| | | Berkshire Hills Bancorp Inc. | | | 53,551 | | | | 1,307 | |
| * | | Encore Capital Group Inc. | | | 34,488 | | | | 1,282 | |
| | | Southside Bancshares Inc. | | | 39,549 | | | | 1,274 | |
| | | Waddell & Reed Financial | | | | | | | | |
| | | Inc. | | | 87,542 | | | | 1,205 | |
| * | | PRA Group Inc. | | | 29,987 | | | | 1,164 | |
| | | First BanCorp | | | 143,649 | | | | 1,141 | |
| * | | Ambac Financial Group Inc. | | | 56,831 | | | | 1,092 | |
| | | OFG Bancorp | | | 64,058 | | | | 1,072 | |
| | | Stewart Information | | | | | | | | |
| | | Services Corp. | | | 29,554 | | | | 1,069 | |
| | | Heritage Financial Corp. | | | 46,018 | | | | 1,067 | |
| | | United Fire Group Inc. | | | 26,706 | | | | 1,024 | |
| | | Independent Bank Corp. | | | 15,002 | | | | 1,013 | |
| | | Boston Private Financial | | | | | | | | |
| | | Holdings Inc. | | | 103,702 | | | | 1,012 | |
| * | | INTL. FCStone Inc. | | | 20,336 | | | | 926 | |
| | | NBT Bancorp Inc. | | | 26,765 | | | | 902 | |
| | | Westamerica | | | | | | | | |
| | | Bancorporation | | | 15,523 | | | | 898 | |
| * | | Third Point Reinsurance Ltd. | | | 99,932 | | | | 891 | |
| | | Banc of California Inc. | | | 55,826 | | | | 856 | |
| | | Capstead Mortgage Corp. | | | 118,172 | | | | 839 | |
| | | ARMOUR Residential REIT | | | | | | | | |
| | | Inc. | | | 45,794 | | | | 828 | |
| | | HomeStreet Inc. | | | 30,460 | | | | 825 | |
| | | AMERISAFE Inc. | | | 12,518 | | | | 816 | |
| | | Allegiance Bancshares Inc. | | | 23,888 | | | | 792 | |
| | | Universal Insurance Holdings Inc. | | | 38,146 | | | | 789 | |
| | | Brookline Bancorp Inc. | | | 55,757 | | | | 773 | |
| | | Safety Insurance Group | | | | | | | | |
| | | Inc. | | | 9,472 | | | | 746 | |
| | | United Community Banks | | | | | | | | |
| | | Inc. | | | 29,818 | | | | 739 | |
| | | Piper Sandler Cos. | | | 10,529 | | | | 738 | |
| * | | Customers Bancorp Inc. | | | 36,039 | | | | 731 | |
| | | Veritex Holdings Inc. | | | 29,461 | | | | 709 | |
| * | | Seacoast Banking Corp. | | | | | | | | |
| | | of Florida | | | 27,604 | | | | 687 | |
| | | Dime Community | | | | | | | | |
| | | Bancshares Inc. | | | 38,415 | | | | 645 | |
| | | Opus Bank | | | 27,068 | | | | 641 | |
| | | Ready Capital Corp. | | | 44,027 | | | | 638 | |
| | | First Commonwealth | | | | | | | | |
| | | Financial Corp. | | | 54,048 | | | | 638 | |
| | | Hanmi Financial Corp. | | | 39,454 | | | | 616 | |
| | | WisdomTree Investments | | | | | | | | |
| | | KKR Real Estate Finance | | | | | | | | |
| | | Trust Inc. | | | 30,216 | | | | 594 | |
| | | Flagstar Bancorp Inc. | | | 18,099 | | | | 577 | |
| | | City Holding Co. | | | 8,117 | | | | 568 | |
| * | | Axos Financial Inc. | | | 22,526 | | | | 561 | |
| | | Franklin Financial Network | | | | | | | | |
| | | Inc. | | | 16,584 | | | | 555 | |
| | | James River Group | | | | | | | | |
| | | Holdings Ltd. | | | 13,348 | | | | 539 | |
| * | | World Acceptance Corp. | | | 6,888 | | | | 538 | |
| | | Tompkins Financial Corp. | | | 6,687 | | | | 532 | |
| * | | Blucora Inc. | | | 26,875 | | | | 468 | |
| | | Northfield Bancorp Inc. | | | 28,577 | | | | 404 | |
| | | TrustCo Bank Corp. NY | | | 57,616 | | | | 395 | |
| | | Central Pacific Financial | | | | | | | | |
| | | Corp. | | | 16,520 | | | | 395 | |
| | | HCI Group Inc. | | | 8,094 | | | | 344 | |
| * | | Donnelley Financial | | | | | | | | |
| | | Solutions Inc. | | | 39,100 | | | | 340 | |
| | | National Bank Holdings | | | | | | | | |
| | | Corp. | | | 10,842 | | | | 332 | |
| * | | EZCORP Inc. | | | 65,864 | | | | 316 | |
| * | | Triumph Bancorp Inc. | | | 8,820 | | | | 299 | |
| | | United Insurance Holdings | | | | | | | | |
| | | Corp. | | | 26,081 | | | | 245 | |
| | | Greenhill & Co. Inc. | | | 10,403 | | | | 152 | |
| | | | | | | | | | 101,694 | |
| Health Care (10.2%) | | | | | | | |
| * | | Integer Holdings Corp. | | | 40,774 | | | | 3,677 | |
| * | | Merit Medical Systems Inc. | | | 68,894 | | | | 2,481 | |
| * | | AMN Healthcare Services | | | | | | | | |
| | | Inc. | | | 26,825 | | | | 1,974 | |
| * | | Myriad Genetics Inc. | | | 92,825 | | | | 1,636 | |
S&P Small-Cap 600 Value Index Fund
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | | Shares | | | | ($000 | ) |
| * | | Magellan Health Inc. | | | 27,183 | | | | 1,631 | |
| * | | Omnicell Inc. | | | 19,365 | | | | 1,578 | |
| * | | Momenta Pharmaceuticals | | | | | | | | |
| | | Inc. | | | 55,287 | | | | 1,564 | |
| * | | Select Medical Holdings | | | | | | | | |
| | | Corp. | | | 64,365 | | | | 1,541 | |
| * | | Neogen Corp. | | | 23,549 | | | | 1,431 | |
| * | | Endo International plc | | | 252,062 | | | | 1,391 | |
| * | | Covetrus Inc. | | | 121,851 | | | | 1,354 | |
| | | Luminex Corp. | | | 52,305 | | | | 1,295 | |
| * | | Emergent BioSolutions Inc. | | | 21,357 | | | | 1,253 | |
| * | | HMS Holdings Corp. | | | 49,476 | | | | 1,136 | |
| | | Ensign Group Inc. | | | 24,419 | | | | 1,087 | |
| * | | Providence Service Corp. | | | 14,297 | | | | 883 | |
| * | | Xencor Inc. | | | 26,484 | | | | 860 | |
| * | | Tabula Rasa HealthCare | | | | | | | | |
| | | Inc. | | | 15,025 | | | | 844 | |
| * | | Pacira BioSciences Inc. | | | 16,727 | | | | 726 | |
| * | | Tivity Health Inc. | | | 53,733 | | | | 681 | |
| | | Phibro Animal Health Corp. | | | 25,413 | | | | 642 | |
| * | | Tactile Systems | | | | | | | | |
| | | Technology Inc. | | | 10,926 | | | | 551 | |
| * | | CryoLife Inc. | | | 21,067 | | | | 540 | |
| * | | Natus Medical Inc. | | | 20,070 | | | | 539 | |
| * | | AngioDynamics Inc. | | | 46,669 | | | | 536 | |
| | | Owens & Minor Inc. | | | 77,829 | | | | 532 | |
| * | | Supernus Pharmaceuticals | | | | | | | | |
| | | Inc. | | | 28,860 | | | | 519 | |
| * | | Orthofix Medical Inc. | | | 13,351 | | | | 472 | |
| | | Mesa Laboratories Inc. | | | 1,959 | | | | 469 | |
| * | | OraSure Technologies Inc. | | | 77,207 | | | | 466 | |
| * | | Cytokinetics Inc. | | | 32,926 | | | | 459 | |
| * | | Varex Imaging Corp. | | | 19,005 | | | | 441 | |
| * | | Cross Country Healthcare | | | | | | | | |
| | | Inc. | | | 45,666 | | | | 433 | |
| * | | Meridian Bioscience Inc. | | | 53,453 | | | | 427 | |
| * | | Heska Corp. | | | 4,328 | | | | 413 | |
| | | Computer Programs & | | | | | | | | |
| | | Systems Inc. | | | 15,415 | | | | 413 | |
| * | | Inogen Inc. | | | 8,600 | | | | 394 | |
| * | | NextGen Healthcare Inc. | | | 27,901 | | | | 365 | |
| * | | Lannett Co. Inc. | | | 41,456 | | | | 361 | |
| * | | Lantheus Holdings Inc. | | | 22,568 | | | | 351 | |
| * | | AMAG Pharmaceuticals | | | | | | | | |
| | | Inc. | | | 42,636 | | | | 330 | |
| * | | Amphastar | | | | | | | | |
| | | Pharmaceuticals Inc. | | | 20,893 | | | | 321 | |
| | | Invacare Corp. | | | 41,699 | | | | 316 | |
| * | | Vanda Pharmaceuticals | | | | | | | | |
| | | Inc. | | | 28,487 | | | | 314 | |
| * | | Progenics Pharmaceuticals | | | | | | | | |
| | | Inc. | | | 57,735 | | | | 272 | |
| * | | Surmodics Inc. | | | 7,693 | | | | 269 | |
| * | | HealthStream Inc. | | | 10,789 | | | | 262 | |
| * | | Spectrum Pharmaceuticals | | | | | | | | |
| | | Inc. | | | 80,575 | | | | 230 | |
| * | | Akorn Inc. | | | 74,945 | | | | 87 | |
| * | | Acorda Therapeutics Inc. | | | 59,286 | | | | 85 | |
| | | | | | | | | | 40,832 | |
| Industrials (15.2%) | | | | | | | |
| | | SkyWest Inc. | | | 62,897 | | | | 2,855 | |
| | | ABM Industries Inc. | | | 82,862 | | | | 2,728 | |
| | | Arcosa Inc. | | | 60,371 | | | | 2,594 | |
| | | Korn Ferry | | | 69,020 | | | | 2,414 | |
| | | Hillenbrand Inc. | | | 92,448 | | | | 2,163 | |
| | | Kaman Corp. | | | 34,759 | | | | 1,928 | |
| * | | Hub Group Inc. | | | 41,630 | | | | 1,925 | |
| | | Matson Inc. | | | 53,468 | | | | 1,776 | |
| | | Moog Inc. | | | 20,498 | | | | 1,581 | |
| | | AAR Corp. | | | 41,008 | | | | 1,417 | |
| | | EnPro Industries Inc. | | | 25,925 | | | | 1,399 | |
| | | Applied Industrial | | | | | | | | |
| | | Technologies Inc. | | | 20,733 | | | | 1,223 | |
| | | Barnes Group Inc. | | | 22,639 | | | | 1,216 | |
| | | Hawaiian Holdings Inc. | | | 58,133 | | | | 1,214 | |
| | | AZZ Inc. | | | 32,618 | | | | 1,203 | |
| | | Granite Construction Inc. | | | 58,350 | | | | 1,186 | |
| | | Matthews International | | | | | | | | |
| | | Corp. | | | 39,152 | | | | 1,157 | |
| * | | PGT Innovations Inc. | | | 72,901 | | | | 1,106 | |
| | | Astec Industries Inc. | | | 28,123 | | | | 1,056 | |
| * | | Proto Labs Inc. | | | 12,017 | | | | 1,053 | |
| * | | Chart Industries Inc. | | | 18,331 | | | | 1,043 | |
| | | Cubic Corp. | | | 19,120 | | | | 1,041 | |
| | | Mobile Mini Inc. | | | 26,428 | | | | 1,030 | |
| | | Standex International Corp. | | | 15,540 | | | | 986 | |
| | | Greenbrier Cos. Inc. | | | 40,653 | | | | 985 | |
| * | | Meritor Inc. | | | 42,425 | | | | 963 | |
| | | Brady Corp. Class A | | | 19,860 | | | | 940 | |
| * | | Atlas Air Worldwide | | | | | | | | |
| | | Holdings Inc. | | | 32,388 | | | | 865 | |
| * | | Enerpac Tool Group Corp. | | | | | | | | |
| | | Class A | | | 36,319 | | | | 776 | |
| | | Wabash National Corp. | | | 67,550 | | | | 742 | |
| | | Lindsay Corp. | | | 7,449 | | | | 738 | |
| | | Pitney Bowes Inc. | | | 212,721 | | | | 727 | |
| * | | TrueBlue Inc. | | | 48,600 | | | | 723 | |
| | | Quanex Building Products | | | | | | | | |
| | | Corp. | | | 41,541 | | | | 698 | |
| | | US Ecology Inc. | | | 16,515 | | | | 695 | |
| * | | Aegion Corp. | | | 38,458 | | | | 693 | |
| | | Kelly Services Inc. | | | 41,462 | | | | 689 | |
| | | Mueller Industries Inc. | | | 24,301 | | | | 680 | |
| * | | Sunrun Inc. | | | 34,962 | | | | 676 | |
S&P Small-Cap 600 Value Index Fund
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | | Shares | | | | ($000 | ) |
| * | | Echo Global Logistics Inc. | | | 34,191 | | | | 631 | |
| | | ArcBest Corp. | | | 31,610 | | | | 626 | |
| * | | Harsco Corp. | | | 51,015 | | | | 612 | |
| | | Comfort Systems USA Inc. | | | 14,123 | | | | 596 | |
| * | | Gibraltar Industries Inc. | | | 11,612 | | | | 588 | |
| * | | AeroVironment Inc. | | | 11,048 | | | | 568 | |
| * | | DXP Enterprises Inc. | | | 19,988 | | | | 567 | |
| | | Heartland Express Inc. | | | 31,021 | | | | 556 | |
| * | | GMS Inc. | | | 23,693 | | | | 541 | |
| | | Heidrick & Struggles | | | | | | | | |
| | | International Inc. | | | 23,916 | | | | 533 | |
| | | Encore Wire Corp. | | | 10,747 | | | | 526 | |
| | | Viad Corp. | | | 10,173 | | | | 511 | |
| | | Apogee Enterprises Inc. | | | 16,555 | | | | 500 | |
| | | National Presto Industries | | | | | | | | |
| | | Inc. | | | 6,248 | | | | 491 | |
| * | | Team Inc. | | | 37,599 | | | | 479 | |
| | | Resources Connection Inc. | | | 37,281 | | | | 467 | |
| | | Insteel Industries Inc. | | | 22,949 | | | | 456 | |
| | | Marten Transport Ltd. | | | 20,387 | | | | 398 | |
| | | Interface Inc. | | | 25,646 | | | | 374 | |
| | | Powell Industries Inc. | | | 11,074 | | | | 370 | |
| | | Park Aerospace Corp. | | | 24,533 | | | | 341 | |
| * | | MYR Group Inc. | | | 10,992 | | | | 280 | |
| * | | Lydall Inc. | | | 21,699 | | | | 258 | |
| * | | Forrester Research Inc. | | | 5,742 | | | | 207 | |
| * | | Veritiv Corp. | | | 15,751 | | | | 190 | |
| | | Briggs & Stratton Corp. | | | 52,690 | | | | 167 | |
| * | | Foundation Building | | | | | | | | |
| | | Materials Inc. | | | 10,498 | | | | 164 | |
| | | Titan International Inc. | | | 61,964 | | | | 138 | |
| | | | | | | | | | 61,019 | |
| Information Technology (7.4%) |
| * | | Anixter International Inc. | | | 37,565 | | | | 3,663 | |
| * | | Sanmina Corp. | | | 87,309 | | | | 2,295 | |
| * | | TTM Technologies Inc. | | | 122,434 | | | | 1,590 | |
| * | | Insight Enterprises Inc. | | | 21,871 | | | | 1,205 | |
| | | TiVo Corp. | | | 158,104 | | | | 1,197 | |
| * | | Photronics Inc. | | | 83,875 | | | | 1,044 | |
| * | | Unisys Corp. | | | 64,622 | | | | 1,004 | |
| * | | Rambus Inc. | | | 65,397 | | | | 914 | |
| | | Kulicke & Soffa Industries | | | | | | | | |
| | | Inc. | | | 39,533 | | | | 903 | |
| * | | ScanSource Inc. | | | 31,538 | | | | 897 | |
| | | MTS Systems Corp. | | | 22,218 | | | | 892 | |
| * | | Bottomline Technologies | | | | | | | | |
| | | DE Inc. | | | 19,999 | | | | 886 | |
| * | | Onto Innovation Inc. | | | 27,565 | | | | 843 | |
| | | Badger Meter Inc. | | | 13,489 | | | | 812 | |
| * | | Sykes Enterprises Inc. | | | 22,603 | | | | 716 | |
| * | | NETGEAR Inc. | | | 37,654 | | | | 711 | |
| * | | MaxLinear Inc. | | | 44,738 | | | | 692 | |
| * | | ePlus Inc. | | | 9,119 | | | | 691 | |
| | | Benchmark Electronics Inc. | | | 22,998 | | | | 625 | |
| * | | MicroStrategy Inc. | | | 4,543 | | | | 614 | |
| * | | FARO Technologies Inc. | | | 10,559 | | | | 604 | |
| | | Cohu Inc. | | | 28,452 | | | | 582 | |
| | | Plantronics Inc. | | | 40,861 | | | | 561 | |
| * | | Cardtronics plc | | | 15,327 | | | | 556 | |
| * | | Knowles Corp. | | | 29,983 | | | | 498 | |
| | | CTS Corp. | | | 18,728 | | | | 488 | |
| | | ADTRAN Inc. | | | 59,225 | | | | 476 | |
| * | | Axcelis Technologies Inc. | | | 19,284 | | | | 463 | |
| | | Methode Electronics Inc. | | | 14,461 | | | | 443 | |
| * | | SMART Global Holdings | | | | | | | | |
| | | Inc. | | | 16,431 | | | | 441 | |
| * | | CalAmp Corp. | | | 42,931 | | | | 413 | |
| * | | CEVA Inc. | | | 12,547 | | | | 356 | |
| | | PC Connection Inc. | | | 7,956 | | | | 324 | |
| | | Ebix Inc. | | | 8,844 | | | | 234 | |
| | | Daktronics Inc. | | | 46,407 | | | | 228 | |
| *,^ | | Applied Optoelectronics | | | | | | | | |
| | | Inc. | | | 23,665 | | | | 211 | |
| * | | DSP Group Inc. | | | 15,092 | | | | 205 | |
| * | | PDF Solutions Inc. | | | 12,901 | | | | 189 | |
| * | | Arlo Technologies Inc. | | | 45,990 | | | | 151 | |
| | | Bel Fuse Inc. | | | 12,542 | | | | 144 | |
| | | | | | | | | | 29,761 | |
| Materials (5.7%) | | | | | | | |
| | | Quaker Chemical Corp. | | | 16,147 | | | | 2,544 | |
| | | Boise Cascade Co. | | | 48,635 | | | | 1,726 | |
| * | | Livent Corp. | | | 182,248 | | | | 1,627 | |
| * | | GCP Applied Technologies | | | | | | | | |
| | | Inc. | | | 67,094 | | | | 1,306 | |
| * | | Ferro Corp. | | | 102,264 | | | | 1,188 | |
| | | Warrior Met Coal Inc. | | | 63,832 | | | | 1,131 | |
| | | HB Fuller Co. | | | 27,395 | | | | 1,075 | |
| | | Trinseo SA | | | 48,883 | | | | 1,070 | |
| | | Stepan Co. | | | 11,256 | | | | 989 | |
| * | | AK Steel Holding Corp. | | | 394,990 | | | | 912 | |
| ^ | | Cleveland-Cliffs Inc. | | | 148,293 | | | | 862 | |
| | | PH Glatfelter Co. | | | 55,165 | | | | 787 | |
| | | Kaiser Aluminum Corp. | | | 7,339 | | | | 694 | |
| | | Neenah Inc. | | | 11,312 | | | | 653 | |
| | | Myers Industries Inc. | | | 44,472 | | | | 603 | |
| * | | Clearwater Paper Corp. | | | 20,452 | | | | 558 | |
| * | | US Concrete Inc. | | | 19,839 | | | | 532 | |
| | | Materion Corp. | | | 11,234 | | | | 509 | |
| * | | AdvanSix Inc. | | | 34,791 | | | | 506 | |
| | | SunCoke Energy Inc. | | | 107,702 | | | | 496 | |
| | | Hawkins Inc. | | | 11,816 | | | | 422 | |
| * | | Kraton Corp. | | | 39,592 | | | | 401 | |
| * | | Century Aluminum Co. | | | 61,641 | | | | 358 | |
| | | FutureFuel Corp. | | | 32,231 | | | | 328 | |
S&P Small-Cap 600 Value Index Fund
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000) | |
| * | | TimkenSteel Corp. | | | 49,396 | | | | 250 | |
| | | American Vanguard Corp. | | | 15,581 | | | | 238 | |
| | | Tredegar Corp. | | | 12,960 | | | | 221 | |
| | | Haynes International Inc. | | | 8,418 | | | | 213 | |
| | | Mercer International Inc. | | | 23,486 | | | | 208 | |
| | | Rayonier Advanced | | | | | | | | |
| | | Materials Inc. | | | 61,936 | | | | 152 | |
| | | Olympic Steel Inc. | | | 11,301 | | | | 136 | |
| * | | LSB Industries Inc. | | | 27,087 | | | | 53 | |
| | | | | | | | | | 22,748 | |
| Other (0.0%)1 | | | | | | | |
| *,§ | | A Schulman Inc. CVR | | | 29,338 | | | | 13 | |
| | | | | | | | |
| Real Estate (10.2%) | | | | | | | |
| | | Uniti Group Inc. | | | 240,704 | | | | 2,349 | |
| | | DiamondRock Hospitality | | | | | | | | |
| | | Co. | | | 249,793 | | | | 2,278 | |
| | | Xenia Hotels & Resorts | | | | | | | | |
| | | Inc. | | | 140,526 | | | | 2,102 | |
| | | Global Net Lease Inc. | | | 111,595 | | | | 2,059 | |
| | | Office Properties Income | | | | | | | | |
| | | Trust | | | 60,164 | | | | 1,753 | |
| | | Kite Realty Group Trust | | | 104,808 | | | | 1,693 | |
| | | Industrial Logistics | | | | | | | | |
| | | Properties Trust | | | 81,321 | | | | 1,680 | |
| | | Lexington Realty Trust | | | | | | | | |
| | | Class B | | | 157,592 | | | | 1,634 | |
| | | iStar Inc. | | | 93,182 | | | | 1,410 | |
| | | Washington REIT | | | 52,272 | | | | 1,404 | |
| ^ | | Tanger Factory Outlet | | | | | | | | |
| | | Centers Inc. | | | 115,427 | | | | 1,383 | |
| | | Realogy Holdings Corp. | | | 142,947 | | | | 1,325 | |
| | | RPT Realty | | | 100,288 | | | | 1,300 | |
| | | CareTrust REIT Inc. | | | 60,816 | | | | 1,269 | |
| | | Summit Hotel Properties | | | | | | | | |
| | | Inc. | | | 131,185 | | | | 1,216 | |
| | | Acadia Realty Trust | | | 48,636 | | | | 1,111 | |
| | | National Storage Affiliates | | | | | | | | |
| | | Trust | | | 31,820 | | | | 1,074 | |
| | | LTC Properties Inc. | | | 23,291 | | | | 1,044 | |
| | | Four Corners Property | | | | | | | | |
| | | Trust Inc. | | | 35,221 | | | | 1,010 | |
| | | American Assets Trust Inc. | | | 23,950 | | | | 993 | |
| �� | | Retail Opportunity | | | | | | | | |
| | | Investments Corp. | | | 65,173 | | | | 978 | |
| | | Easterly Government | | | | | | | | |
| | | Properties Inc. | | | 40,809 | | | | 970 | |
| | | Franklin Street Properties | | | | | | | | |
| | | Corp. | | | 133,810 | | | | 954 | |
| | | Alexander & Baldwin Inc. | | | 48,547 | | | | 913 | |
| | | Chatham Lodging Trust | | | 58,892 | | | | 821 | |
| | | Armada Hoffler Properties | | | | | | | | |
| | | Inc. | | | 38,680 | | | | 648 | |
| | | Independence Realty | | | | | | | | |
| | | Trust Inc. | | | 48,847 | | | | 648 | |
| ^ | | Washington Prime Group | | | | | | | | |
| | | Inc. | | | 232,381 | | | | 639 | |
| | | Whitestone REIT | | | 50,325 | | | | 618 | |
| | | Getty Realty Corp. | | | 20,143 | | | | 571 | |
| | | Hersha Hospitality Trust | | | | | | | | |
| | | Class A | | | 44,532 | | | | 513 | |
| * | | Marcus & Millichap Inc. | | | 14,361 | | | | 459 | |
| | | NexPoint Residential Trust | | | | | | | | |
| | | Inc. | | | 6,972 | | | | 310 | |
| | | Urstadt Biddle Properties | | | | | | | | |
| | | Inc. | | | 13,938 | | | | 287 | |
| | | Cedar Realty Trust Inc. | | | 109,738 | | | | 284 | |
| | | Saul Centers Inc. | | | 6,373 | | | | 274 | |
| | | Investors Real Estate Trust | | | 3,191 | | | | 225 | |
| | | RE/MAX Holdings Inc. | | | 6,516 | | | | 190 | |
| ^ | | Pennsylvania REIT | | | 73,986 | | | | 175 | |
| | | CBL & Associates | | | | | | | | |
| | | Properties Inc. | | | 214,856 | | | | 114 | |
| | | | | | | | | | 40,678 | |
| Utilities (2.2%) | | | | | | | |
| | | Avista Corp. | | | 83,164 | | | | 3,921 | |
| | | El Paso Electric Co. | | | 21,322 | | | | 1,447 | |
| | | Northwest Natural Holding | | | | | | | | |
| | | Co. | | | 18,920 | | | | 1,244 | |
| | | South Jersey Industries | | | | | | | | |
| | | Inc. | | | 39,424 | | | | 1,067 | |
| | | California Water Service | | | | | | | | |
| | | Group | | | 19,874 | | | | 953 | |
| | | | | | | | | | 8,632 | |
| | | | | | | | | | | |
| Total Common Stocks | | | | | | | |
| (Cost $477,079) | | | | | | 397,770 | |
| Temporary Cash Investments (2.3%) | | | | | | | |
| Money Market Fund (2.3%) | | | | | | | |
| 2,3 | | Vanguard Market | | | | | | | | |
| | | Liquidity Fund, | | | | | | | | |
| | | 1.706% | | | 90,607 | | | | 9,064 | |
S&P Small-Cap 600 Value Index Fund
| | Face | | Market | |
| | Amount | | Value• | |
| | ($000) | | ($000) | |
| U.S. Government and Agency Obligations (0.0%) | |
| 4 United States | | | | |
| Treasury Bill, | | | | |
| 1.543%, | | | | |
| 4/16/20 | 52 | | 52 | |
| | | | |
| Total Temporary Cash Investments | | | | |
| (Cost $9,114) | | | 9,116 | |
| Total Investments (101.6%) | | | | |
| (Cost $486,193) | | | 406,886 | |
| Other Assets and Liabilities— | | | | |
| Net (-1.6%)3,4 | | | (6,520 | ) |
| Net Assets (100%) | | | 400,366 | |
Cost rounded to $000.
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $6,186,000. |
| § | Security value determined using significant unobservable inputs. |
| 1 | “Other” represents securities that are not classified by the fund’s benchmark index. |
| 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 $6,713,000 was received for securities on loan, of which $6,595,000 is held in Vanguard Market Liquidity Fund and $118,000 is held in cash. |
| 4 | Securities with a value of $52,000 and cash of $69,000 have been segregated as initial margin for open futures contracts. |
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
| Derivative Financial Instruments Outstanding as of Period End |
| Futures Contracts |
|
| | | | | | | | | | ($000 | ) |
| | | | | | | | | | | | | | Value and | |
| | | | | | Number of | | | | | | | | Unrealized | |
| | | | | | Long (Short) | | | | Notional | | | | Appreciation | |
| | | Expiration | | | Contracts | | | | Amount | | | | (Depreciation) | |
| Long Futures Contracts | | | | | | | | | | | | | | |
| E-mini Russell 2000 Index | | March 2020 | | | 36 | | | | 2,655 | | | | (384 | ) |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Small-Cap 600 Value Index Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | | Amount | |
| Assets | | | | |
| Investments in Securities, at Value | | | | |
| Unaffiliated Issuers (Cost $477,131) | | | 397,822 | |
| Affiliated Issuers (Cost $9,062) | | | 9,064 | |
| Total Investments in Securities | | | 406,886 | |
| Investment in Vanguard | | | 20 | |
| Cash | | | 99 | |
| Cash Collateral Pledged—Futures Contracts | | | 69 | |
| Receivables for Accrued Income | | | 367 | |
| Receivables for Capital Shares Issued | | | 2 | |
| Total Assets | | | 407,443 | |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | 297 | |
| Collateral for Securities on Loan | | | 6,713 | |
| Payables for Capital Shares Redeemed | | | 4 | |
| Payables to Vanguard | | | 44 | |
| Variation Margin Payable—Futures Contracts | | | 19 | |
| Total Liabilities | | | 7,077 | |
| Net Assets | | | 400,366 | |
| | | | | |
| At February 29, 2020, net assets consisted of: | | | | |
| | | | | |
| Paid-in Capital | | | 487,856 | |
| Total Distributable Earnings (Loss) | | | (87,490 | ) |
| Net Assets | | | 400,366 | |
| | | | | |
| ETF Shares—Net Assets | | | | |
| Applicable to 3,100,000 outstanding $.001 par value shares of | | | | |
| beneficial interest (unlimited authorization) | | | 362,147 | |
| Net Asset Value Per Share—ETF Shares | | | $116.82 | |
| | | | | |
| Institutional Shares—Net Assets | | | | |
| Applicable to 156,431 outstanding $.001 par value shares of | | | | |
| beneficial interest (unlimited authorization) | | | 38,219 | |
| Net Asset Value Per Share—Institutional Shares | | | $244.32 | |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Small-Cap 600 Value Index Fund
Statement of Operations
| | | Six Months Ended | |
| | | February 29, 2020 | |
| | | ($000) | |
| Investment Income | | | | |
| Income | | | | |
| Dividends | | | 3,572 | |
| Interest1 | | | 7 | |
| Securities Lending—Net | | | 190 | |
| Total Income | | | 3,769 | |
| Expenses | | | | |
| The Vanguard Group—Note B | | | | |
| Investment Advisory Services | | | 34 | |
| Management and Administrative—ETF Shares | | | 239 | |
| Management and Administrative—Institutional Shares | | | 11 | |
| Marketing and Distribution—ETF Shares | | | 13 | |
| Marketing and Distribution—Institutional Shares | | | 1 | |
| Custodian Fees | | | 23 | |
| Shareholders’ Reports—ETF Shares | | | 12 | |
| Shareholders’ Reports—Institutional Shares | | | — | |
| Total Expenses | | | 333 | |
| Expenses Paid Indirectly | | | (8 | ) |
| Net Expenses | | | 325 | |
| Net Investment Income | | | 3,444 | |
| Realized Net Gain (Loss) | | | | |
| Investment Securities Sold1,2 | | | 36,175 | |
| Futures Contracts | | | 87 | |
| Realized Net Gain (Loss) | | | 36,262 | |
| Change in Unrealized Appreciation (Depreciation) | | | | |
| Investment Securities1 | | | (58,126 | ) |
| Futures Contracts | | | (383 | ) |
| Change in Unrealized Appreciation (Depreciation) | | | (58,509 | ) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | (18,803 | ) |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $7,000, $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $52,481,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Small-Cap 600 Value Index Fund
Statement of Changes in Net Assets
| | | Six Months Ended | | | Year Ended | |
| | | February 29, | | | August 31, | |
| | | 2020 | | | 2019 | |
| | | ($000) | | | ($000) | |
| Increase (Decrease) in Net Assets | | | | | | | | |
| Operations | | | | | | | | |
| Net Investment Income | | | 3,444 | | | | 6,818 | |
| Realized Net Gain (Loss) | | | 36,262 | | | | (17,064 | ) |
| Change in Unrealized Appreciation (Depreciation) | | | (58,509 | ) | | | (59,697 | ) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | (18,803 | ) | | | (69,943 | ) |
| Distributions1 | | | | | | | | |
| ETF Shares | | | (3,998 | ) | | | (6,228 | ) |
| Institutional Shares | | | (411 | ) | | | (546 | ) |
| Total Distributions | | | (4,409 | ) | | | (6,774 | ) |
| Capital Share Transactions | | | | | | | | |
| ETF Shares | | | 10,348 | | | | 34,893 | |
| Institutional Shares | | | 5,223 | | | | 7,713 | |
| Net Increase (Decrease) from Capital Share Transactions | | | 15,571 | | | | 42,606 | |
| Total Increase (Decrease) | | | (7,641 | ) | | | (34,111 | ) |
| Net Assets | | | | | | | | |
| Beginning of Period | | | 408,007 | | | | 442,118 | |
| End of Period | | | 400,366 | | | | 408,007 | |
1 Certain prior period numbers have been reclassified to conform with current period presentation.
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Small-Cap 600 Value Index Fund
Financial Highlights
ETF Shares
| | | Six Months | | | | | | | | | | | | | | | | |
| | | Ended | | | | | | | | | | | | | | | | |
| For a Share Outstanding | | February 29, | | | Year Ended August 31, | |
| Throughout Each Period | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| Net Asset Value, Beginning of Period | | $123.23 | | | $49.05 | | | $118.23 | | | $106.98 | | | $94.66 | | | $98.93 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 1.008 | 1 | | | 2.141 | 1 | | | 2.087 | 1 | | | 1.749 | 1 | | | 1.352 | | | | 1.337 | |
| Net Realized and Unrealized Gain (Loss) | | | | | | | | | | | | | | | | | | | | | | | | |
| on Investments | | | (6.112 | ) | | | (25.811 | ) | | | 30.593 | | | | 11.165 | | | | 12.736 | | | | (4.323 | ) |
| Total from Investment Operations | | | (5.104 | ) | | | (23.670 | ) | | | 32.680 | | | | 12.914 | | | | 14.088 | | | | (2.986 | ) |
| Distributions | | | | | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (1.306 | ) | | | (2.150 | ) | | | (1.860 | ) | | | (1.664 | ) | | | (1.768 | ) | | | (1.284 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (1.306 | ) | | | (2.150 | ) | | | (1.860 | ) | | | (1.664 | ) | | | (1.768 | ) | | | (1.284 | ) |
| Net Asset Value, End of Period | | $116.82 | | | $123.23 | | | $149.05 | | | $118.23 | | | $106.98 | | | $94.66 | |
Total Return | | | -4.28% | | | | -15.93% | | | | 27.84% | | | | 12.11% | | | | 15.14% | | | | -3.09% | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | $362 | | | $373 | | | $410 | | | $210 | | | $126 | | | $95 | |
| Ratio of Total Expenses to | | | | | | | | | | | | | | | | | | | | | | | | |
| Average Net Assets | | | 0.15% | | | | 0.15% | | | | 0.20% | | | | 0.20% | | | | 0.20% | | | | 0.20% | |
| Ratio of Net Investment Income to | | | | | | | | | | | | | | | | | | | | | | | | |
| Average Net Assets | | | 1.68% | | | | 1.66% | | | | 1.54% | | | | 1.49% | | | | 1.49% | | | | 1.43% | |
| Portfolio Turnover Rate2 | | | 40% | | | | 39% | | | | 34% | | | | 46% | | | | 42% | | | | 43% | |
The expense ratio and net investment income ratio for the current period have been annualized.
| 1 | Calculated based on average shares outstanding. |
| 2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Small-Cap 600 Value Index Fund
Financial Highlights
Institutional Shares
| | | Six Months | | | | | | | | | | | | | | | Nov. 19, | |
| | | Ended | | | | | | | | | | | | | | | 20141 to | |
| For a Share Outstanding | | February 29, | | | Year Ended August 31, | | | Aug. 31, | |
| Throughout Each Period | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| Net Asset Value, Beginning of Period | | $257.69 | | | $311.75 | | | $247.26 | | | $223.74 | | | $198.02 | | | $206.40 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 2.181 | 2 | | | 4.609 | 2 | | | 4.630 | 2 | | | 3.829 | 2 | | | 3.057 | | | | 2.201 | |
| Net Realized and Unrealized Gain (Loss) | | | | | | | | | | | | | | | | | | | | | | | | |
| on Investments | | | (12.769 | ) | | | (53.914 | ) | | | 64.065 | | | | 23.461 | | | | 26.649 | | | | (7.820 | ) |
| Total from Investment Operations | | | (10.588 | ) | | | (49.305 | ) | | | 68.695 | | | | 27.290 | | | | 29.706 | | | | (5.619 | ) |
| Distributions | | | | | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (2.782 | ) | | | (4.755 | ) | | | (4.205 | ) | | | (3.770 | ) | | | (3.986 | ) | | | (2.761 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (2.782 | ) | | | (4.755 | ) | | | (4.205 | ) | | | (3.770 | ) | | | (3.986 | ) | | | (2.761 | ) |
| Net Asset Value, End of Period | | $244.32 | | | $257.69 | | | $311.75 | | | $247.26 | | | $223.74 | | | $198.02 | |
Total Return | | | -4.25% | | | | -15.87% | | | | 28.01% | | | | 12.25% | | | | 15.28% | | | | -2.79% | |
Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | $38 | | | $35 | | | $32 | | | $12 | | | $35 | | | $15 | |
| Ratio of Total Expenses to | | | | | | | | | | | | | | | | | | | | | | | | |
| Average Net Assets | | | 0.08% | | | | 0.08% | | | | 0.08% | | | | 0.08% | | | | 0.08% | | | | 0.08%3 | |
| Ratio of Net Investment Income to | | | | | | | | | | | | | | | | | | | | | | | | |
| Average Net Assets | | | 1.74% | | | | 1.73% | | | | 1.66% | | | | 1.61% | | | | 1.61% | | | | 1.55%3 | |
| Portfolio Turnover Rate4 | | | 40% | | | | 39% | | | | 34% | | | | 46% | | | | 42% | | | | 43% | |
The expense ratio and net investment income ratio for the current period have been annualized.
| 2 | Calculated based on average shares outstanding. |
| 4 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Small-Cap 600 Value Index Fund
Notes to Financial Statements
Vanguard S&P Small-Cap 600 Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. 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.
2. 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 assets pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended February 29, 2020, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
S&P Small-Cap 600 Value Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and
S&P Small-Cap 600 Value Index Fund
borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $20,000, representing less than 0.01% of the fund’s net assets and 0.01% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 29, 2020, custodian fee offset arrangements reduced the fund’s expenses by $8,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. 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.
S&P Small-Cap 600 Value Index Fund
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 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 February 29, 2020, based on the inputs used to value them:
| | Level 1 | | Level 2 | | Level 3 | | Total | |
| | ($000 | ) | ($000 | ) | ($000 | ) | ($000 | ) |
| Investments | | | | | | | | |
| Assets | | | | | | | | |
| Common Stocks | 397,757 | | — | | 13 | | 397,770 | |
| Temporary Cash Investments | 9,064 | | 52 | | — | | 9,116 | |
| Total | 406,821 | | 52 | | 13 | | 406,886 | |
| Derivative Financial Instruments | | | | | | | | |
| Liabilities | | | | | | | | |
| Futures Contracts1 | 19 | | — | | — | | 19 | |
1 Represents variation margin on the last day of the reporting period.
E. As of February 29, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| | Amount | |
| | ($000 | ) |
| Tax Cost | 486,359 | |
| Gross Unrealized Appreciation | 17,089 | |
| Gross Unrealized Depreciation | (96,946 | ) |
| Net Unrealized Appreciation (Depreciation) | (79,857 | ) |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $44,517,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
S&P Small-Cap 600 Value Index Fund
F. During the six months ended February 29, 2020, the fund purchased $359,143,000 of investment securities and sold $345,676,000 of investment securities, other than temporary cash investments. Purchases and sales include $144,617,000 and $171,626,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 29, 2020, such purchases and sales were $128,367,000 and $95,132,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
G. Capital share transactions for each class of shares were:
| | | Six Months Ended | | | | | | Year Ended | |
| | | February 29, 2020 | | | August 31, 2019 | |
| | | Amount | | | Shares | | | Amount | | | Shares | |
| | | | ($000 | ) | | | (000 | ) | | | ($000 | ) | | | (000 | ) |
| ETF Shares | | | | | | | | | | | | | | | | |
| Issued | | | 188,257 | | | | 1,375 | | | | 111,667 | | | | 925 | |
| Issued in Lieu of Cash Distributions | | | — | | | | — | | | | — | | | | — | |
| Redeemed | | | (177,909 | ) | | | (1,300 | ) | | | (76,774 | ) | | | (650 | ) |
| Net Increase (Decrease)—ETF Shares | | | 10,348 | | | | 75 | | | | 34,893 | | | | 275 | |
| Institutional Shares | | | | | | | | | | | | | | | | |
| Issued | | | 8,347 | | | | 31 | | | | 19,429 | | | | 76 | |
| Issued in Lieu of Cash Distributions | | | 343 | | | | 1 | | | | 498 | | | | 2 | |
| Redeemed | | | (3,467 | ) | | | (12 | ) | | | (12,214 | ) | | | (45 | ) |
| Net Increase (Decrease)—Institutional Shares | | | 5,223 | | | | 20 | | | | 7,713 | | | | 33 | |
H. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
S&P Small-Cap 600 Growth Index Fund
Sector Diversification
As of February 29, 2020
| Communication Services | | | 2.4 | % |
| Consumer Discretionary | | | 14.3 | |
| Consumer Staples | | | 3.0 | |
| Energy | | | 1.5 | |
| Financials | | | 11.0 | |
| Health Care | | | 14.1 | |
| Industrials | | | 20.4 | |
| Information Technology | | | 20.1 | |
| Materials | | | 3.5 | |
| Real Estate | | | 7.3 | |
| Utilities | | | 2.4 | |
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking their target index as closely as possible.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
S&P Small-Cap 600 Growth Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 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.
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| Common Stocks (99.4%) | | |
| Communication Services (2.4%) | | |
| | Cogent Communications | | |
| | Holdings Inc. | 40,202 | 2,935 |
| * | Iridium Communications | | |
| | Inc. | 44,914 | 1,216 |
| | Shenandoah | | |
| | Telecommunications Co. | 25,314 | 1,124 |
| * | Vonage Holdings Corp. | 98,999 | 887 |
| * | Glu Mobile Inc. | 111,091 | 791 |
| * | QuinStreet Inc. | 44,466 | 573 |
| * | TechTarget Inc. | 22,135 | 512 |
| | EW Scripps Co. | 24,709 | 294 |
| | | | 8,332 |
| Consumer Discretionary (14.2%) | | |
| * | TopBuild Corp. | 32,743 | 3,307 |
| | Lithia Motors Inc. Class A | 21,842 | 2,603 |
| | Steven Madden Ltd. | 74,627 | 2,440 |
| | Wingstop Inc. | 28,410 | 2,399 |
| * | Fox Factory Holding Corp. | 37,157 | 2,356 |
| | LCI Industries | 24,141 | 2,331 |
| | MDC Holdings Inc. | 48,304 | 1,900 |
| * | Shake Shack Inc. | 29,953 | 1,780 |
| * | Crocs Inc. | 66,171 | 1,732 |
| | Winnebago Industries Inc. | 32,491 | 1,686 |
| * | Cavco Industries Inc. | 8,281 | 1,670 |
| | Strategic Education Inc. | 11,229 | 1,655 |
| | Callaway Golf Co. | 90,772 | 1,541 |
| * | LGI Homes Inc. | 19,259 | 1,451 |
| * | Installed Building Products | | |
| | Inc. | 20,556 | 1,358 |
| | Dine Brands Global Inc. | 16,197 | 1,326 |
| * | Meritage Homes Corp. | 19,792 | 1,256 |
| * | Stamps.com Inc. | 8,763 | 1,236 |
| * | Sleep Number Corp. | 27,418 | 1,208 |
| | Bloomin’ Brands Inc. | 56,975 | 1,025 |
| | Rent-A-Center Inc. | 47,531 | 1,012 |
| | Monro Inc. | 17,972 | 1,009 |
| * | Dorman Products Inc. | 15,196 | 921 |
| * | Boot Barn Holdings Inc. | 27,552 | 845 |
| * | Asbury Automotive Group | | |
| | Inc. | 9,517 | 844 |
| * | Shutterstock Inc. | 18,465 | 712 |
| * | Gentherm Inc. | 15,159 | 618 |
| | La-Z-Boy Inc. | 21,475 | 615 |
| *,^ | iRobot Corp. | 11,999 | 576 |
| * | Universal Electronics Inc. | 13,435 | 567 |
| | Dave & Buster’s | | |
| | Entertainment Inc. | 16,951 | 559 |
| * | M/I Homes Inc. | 14,386 | 536 |
| * | Zumiez Inc. | 19,664 | 522 |
| * | Perdoceo Education Corp. | 29,864 | 446 |
| * | America’s Car-Mart Inc. | 4,281 | 440 |
| * | Century Communities Inc. | 13,167 | 439 |
| | Buckle Inc. | 17,348 | 393 |
| * | Chuy’s Holdings Inc. | 16,025 | 344 |
| * | Monarch Casino & Resort | | |
| | Inc. | 7,030 | 332 |
| | Ruth’s Hospitality Group | | |
| | Inc. | 17,017 | 325 |
| | PetMed Express Inc. | 10,118 | 267 |
| * | Hibbett Sports Inc. | 9,013 | 176 |
| * | El Pollo Loco Holdings Inc. | 9,910 | 128 |
| * | Liquidity Services Inc. | 13,235 | 52 |
| | | | 48,938 |
| Consumer Staples (3.0%) | | |
| | J&J Snack Foods Corp. | 14,401 | 2,316 |
| | WD-40 Co. | 13,218 | 2,280 |
| | Inter Parfums Inc. | 16,995 | 1,021 |
| | Medifast Inc. | 11,204 | 931 |
| | Coca-Cola Consolidated | | |
| | Inc. | 4,476 | 879 |
| | Vector Group Ltd. | 71,159 | 827 |
| | Calavo Growers Inc. | 8,839 | 640 |
| | John B Sanfilippo & Son | | |
| | Inc. | 8,481 | 595 |
| | PriceSmart Inc. | 9,461 | 527 |
| *,^ | National Beverage Corp. | 5,390 | 228 |
| | MGP Ingredients Inc. | 5,639 | 162 |
| | | | 10,406 |
| Energy (1.5%) | | |
| * | Helix Energy Solutions | | |
| | Group Inc. | 136,383 | 915 |
| * | PDC Energy Inc. | 47,820 | 910 |
S&P Small-Cap 600 Growth Index Fund
| | | | Market |
| | | | Value• |
| | | Shares | ($000 |
| * | Par Pacific Holdings Inc. | 35,549 | 590 |
| | DMC Global Inc | 14,128 | 509 |
| * | Callon Petroleum Co. | 199,643 | 453 |
| * | SEACOR Holdings Inc. | 9,149 | 341 |
| * | Talos Energy Inc. | 19,344 | 275 |
| | QEP Resources Inc. | 107,840 | 243 |
| * | Penn Virginia Corp. | 12,989 | 207 |
| * | REX American Resources Corp. | 2,602 | 182 |
| * | Geospace Technologies Corp. | 13,174 | 162 |
| * | Newpark Resources Inc. | 44,164 | 155 |
| * | Dorian LPG Ltd. | 7,533 | 84 |
| * | Ring Energy Inc. | 57,169 | 81 |
| | | | 5,107 |
| Financials (10.9%) | | |
| | Kinsale Capital Group Inc. | 19,876 | 2,414 |
| * | eHealth Inc. | 19,605 | 2,301 |
| | PennyMac Mortgage Investment Trust | 96,624 | 2,000 |
| | Glacier Bancorp Inc. | 48,790 | 1,819 |
| | Walker & Dunlop Inc. | 27,644 | 1,793 |
| | Community Bank System Inc. | 28,423 | 1,728 |
| | ServisFirst Bancshares Inc. | 44,451 | 1,536 |
| * | NMI Holdings Inc. | 65,569 | 1,530 |
| | Independent Bank Corp. | 21,550 | 1,455 |
| | United Community Banks Inc. | 53,328 | 1,321 |
| | CVB Financial Corp. | 61,625 | 1,143 |
| | Meta Financial Group Inc. | 33,350 | 1,096 |
| | Ameris Bancorp | 28,422 | 971 |
| | Granite Point Mortgage Trust Inc. | 52,896 | 869 |
| * | Axos Financial Inc. | 33,945 | 846 |
| | Westamerica Bancorporation | 14,090 | 815 |
| * | PRA Group Inc. | 20,588 | 799 |
| | First BanCorp | 98,550 | 782 |
| | Virtus Investment Partners Inc. | 7,075 | 781 |
| | James River Group Holdings Ltd. | 19,063 | 770 |
| | NBT Bancorp Inc. | 21,539 | 726 |
| * | Seacoast Banking Corp. of Florida | 28,305 | 705 |
| | Preferred Bank | 13,124 | 671 |
| | National Bank Holdings Corp. | 21,648 | 662 |
| | City Holding Co. | 9,432 | 659 |
| | First Commonwealth Financial Corp. | 53,107 | 627 |
| * | Enova International Inc. | 32,574 | 626 |
| | Flagstar Bancorp Inc. | 19,285 | 615 |
| | AMERISAFE Inc. | 8,935 | 582 |
| | Veritex Holdings Inc. | 22,783 | 548 |
| * | Triumph Bancorp Inc. | 15,752 | 534 |
| | Safety Insurance Group Inc. | 6,765 | 533 |
| | Tompkins Financial Corp. | 6,616 | 526 |
| | Piper Sandler Cos. | 7,218 | 506 |
| | Brookline Bancorp Inc. | 33,851 | 469 |
| * | Blucora Inc. | 26,438 | 460 |
| | ARMOUR Residential REIT Inc. | 21,618 | 391 |
| | Central Pacific Financial Corp. | 14,506 | 347 |
| | TrustCo Bank Corp. NY | 48,593 | 333 |
| | Northfield Bancorp Inc. | 19,655 | 278 |
| | Greenhill & Co. Inc. | 6,479 | 95 |
| | | | 37,662 |
| Health Care (14.0%) | | |
| * | LHC Group Inc. | 28,570 | 3,470 |
| * | NeoGenomics Inc. | 100,705 | 2,853 |
| | CONMED Corp. | 27,373 | 2,591 |
| * | Medpace Holdings Inc. | 26,411 | 2,375 |
| * | Omnicell Inc. | 25,483 | 2,076 |
| * | Neogen Corp. | 32,360 | 1,966 |
| * | Momenta Pharmaceuticals Inc. | 66,800 | 1,890 |
| * | AMN Healthcare Services Inc. | 24,329 | 1,791 |
| * | Emergent BioSolutions Inc. | 25,818 | 1,515 |
| * | BioTelemetry Inc. | 32,786 | 1,401 |
| | Ensign Group Inc. | 29,507 | 1,313 |
| * | Select Medical Holdings Corp. | 53,892 | 1,290 |
| | US Physical Therapy Inc. | 12,321 | 1,284 |
| * | Cardiovascular Systems Inc. | 33,951 | 1,277 |
| * | Corcept Therapeutics Inc. | 99,206 | 1,252 |
| * | REGENXBIO Inc. | 30,231 | 1,209 |
| * | Pacira BioSciences Inc. | 27,372 | 1,187 |
| * | HMS Holdings Corp. | 46,735 | 1,073 |
| * | Addus HomeCare Corp. | 13,056 | 996 |
| * | Xencor Inc. | 27,130 | 881 |
| * | Innoviva Inc. | 64,474 | 868 |
| * | Hanger Inc. | 36,013 | 831 |
| * | RadNet Inc. | 40,247 | 822 |
| * | Enanta Pharmaceuticals Inc. | 15,411 | 784 |
| * | Pennant Group Inc. | 25,248 | 686 |
| * | CorVel Corp. | 8,638 | 596 |
| * | Anika Therapeutics Inc. | 13,761 | 575 |
| | Mesa Laboratories Inc. | 2,361 | 565 |
| * | Community Health Systems Inc. | 114,044 | 562 |
| * | Varex Imaging Corp. | 22,206 | 516 |
S&P Small-Cap 600 Growth Index Fund
| | | | Market |
| | | | Value• |
| | | Shares | ($000 |
| * | CryoLife Inc. | 19,895 | 510 |
| * | Supernus Pharmaceuticals Inc. | 28,339 | 510 |
| * | Inogen Inc. | 10,919 | 500 |
| * | Tactile Systems Technology Inc. | 9,911 | 500 |
| * | Natus Medical Inc. | 17,426 | 468 |
| | LeMaitre Vascular Inc. | 15,810 | 451 |
| * | Eagle Pharmaceuticals Inc. | 9,757 | 448 |
| * | Cytokinetics Inc. | 31,343 | 437 |
| * | ANI Pharmaceuticals Inc. | 8,972 | 431 |
| * | Tabula Rasa HealthCare Inc. | 7,395 | 415 |
| * | HealthStream Inc. | 16,282 | 396 |
| * | Cutera Inc. | 13,725 | 340 |
| * | Heska Corp. | 3,470 | 331 |
| * | NextGen Healthcare Inc. | 25,218 | 330 |
| * | Lantheus Holdings Inc. | 20,820 | 324 |
| * | Vanda Pharmaceuticals Inc. | 29,323 | 323 |
| * | Orthofix Medical Inc. | 8,086 | 286 |
| * | Amphastar Pharmaceuticals Inc. | 16,902 | 260 |
| * | Surmodics Inc. | 7,188 | 251 |
| * | Progenics Pharmaceuticals Inc. | 40,186 | 190 |
| * | Spectrum Pharmaceuticals Inc. | 45,837 | 131 |
| * | Akorn Inc. | 31,717 | 37 |
| | | | 48,364 |
| Industrials (20.3%) | | |
| | Exponent Inc. | 49,990 | 3,682 |
| * | Aerojet Rocketdyne Holdings Inc. | 69,830 | 3,441 |
| | Simpson Manufacturing Co. Inc. | 38,906 | 3,090 |
| | John Bean Technologies Corp. | 30,543 | 2,958 |
| | Universal Forest Products Inc. | 59,213 | 2,775 |
| | UniFirst Corp. | 14,759 | 2,742 |
| | Watts Water Technologies Inc. | 26,622 | 2,500 |
| | ESCO Technologies Inc. | 25,060 | 2,278 |
| * | Saia Inc. | 25,017 | 2,184 |
| | AAON Inc. | 39,194 | 2,156 |
| | Franklin Electric Co. Inc. | 37,114 | 1,918 |
| | Albany International Corp. | 29,613 | 1,897 |
| * | SPX Corp. | 42,577 | 1,785 |
| | Allegiant Travel Co. | 12,724 | 1,725 |
| | Federal Signal Corp. | 58,361 | 1,693 |
| | Forward Air Corp. | 27,171 | 1,603 |
| | Brady Corp. Class A | 32,639 | 1,545 |
| | Barnes Group Inc. | 28,510 | 1,531 |
| * | SPX FLOW Inc. | 41,059 | 1,510 |
| * | Proto Labs Inc. | 16,519 | 1,448 |
| | Tennant Co. | 17,619 | 1,261 |
| * | American Woodmark Corp. | 15,015 | 1,258 |
| | Applied Industrial Technologies Inc. | 21,254 | 1,254 |
| | Moog Inc. | 15,235 | 1,175 |
| * | Chart Industries Inc. | 20,375 | 1,160 |
| | Patrick Industries Inc. | 21,546 | 1,138 |
| * | Gibraltar Industries Inc. | 22,099 | 1,120 |
| | Alamo Group Inc. | 9,354 | 1,036 |
| | Comfort Systems USA Inc. | 24,411 | 1,031 |
| | Mueller Industries Inc. | 36,255 | 1,014 |
| | Raven Industries Inc. | 34,492 | 990 |
| * | Sunrun Inc. | 47,992 | 928 |
| | Triumph Group Inc. | 48,308 | 918 |
| * | Meritor Inc. | 38,503 | 874 |
| | Mobile Mini Inc. | 22,131 | 863 |
| | Cubic Corp. | 15,384 | 838 |
| * | Vicor Corp. | 17,683 | 765 |
| | Griffon Corp. | 41,084 | 715 |
| * | CIRCOR International Inc. | 19,205 | 691 |
| * | AeroVironment Inc. | 12,287 | 631 |
| | Viad Corp. | 11,762 | 590 |
| | Encore Wire Corp. | 11,931 | 584 |
| | Interface Inc. | 36,628 | 534 |
| * | GMS Inc. | 22,370 | 511 |
| * | Enerpac Tool Group Corp. Class A | 23,906 | 511 |
| | US Ecology Inc. | 11,784 | 496 |
| | Lindsay Corp. | 4,694 | 465 |
| * | Harsco Corp. | 36,396 | 436 |
| | Marten Transport Ltd. | 21,719 | 424 |
| | Apogee Enterprises Inc. | 12,806 | 387 |
| | Heartland Express Inc. | 21,191 | 380 |
| * | Forrester Research Inc. | 5,734 | 207 |
| * | MYR Group Inc. | 7,550 | 193 |
| * | Foundation Building Materials Inc. | 8,841 | 138 |
| | RR Donnelley & Sons Co. | 68,386 | 130 |
| | | | 70,107 |
| Information Technology (20.0%) | | |
| * | Viavi Solutions Inc. | 221,642 | 2,923 |
| * | Qualys Inc. | 32,153 | 2,578 |
| * | Itron Inc. | 33,967 | 2,576 |
| | Power Integrations Inc. | 28,380 | 2,471 |
| * | ExlService Holdings Inc. | 32,884 | 2,455 |
| | Brooks Automation Inc. | 69,736 | 2,407 |
| * | Advanced Energy Industries Inc. | 36,952 | 2,198 |
| * | Rogers Corp. | 17,914 | 2,078 |
| * | Fabrinet | 35,692 | 1,967 |
| | ManTech International Corp. | 25,957 | 1,944 |
| * | Plexus Corp. | 28,144 | 1,867 |
S&P Small-Cap 600 Growth Index Fund
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | 8x8 Inc. | 96,674 | 1,788 |
| * | SPS Commerce Inc. | 33,602 | 1,767 |
| * | Diodes Inc. | 39,880 | 1,755 |
| | EVERTEC Inc. | 57,582 | 1,709 |
| * | Alarm.com Holdings Inc. | 35,136 | 1,695 |
| * | FormFactor Inc. | 73,019 | 1,633 |
| | Progress Software Corp. | 43,198 | 1,611 |
| * | LivePerson Inc. | 59,380 | 1,571 |
| | KEMET Corp. | 56,035 | 1,461 |
| | CSG Systems | | |
| | International Inc. | 31,777 | 1,406 |
| * | OSI Systems Inc. | 16,468 | 1,338 |
| * | Perficient Inc. | 31,452 | 1,289 |
| * | Virtusa Corp. | 28,786 | 1,270 |
| | NIC Inc. | 64,585 | 1,181 |
| | Badger Meter Inc. | 17,690 | 1,065 |
| * | 3D Systems Corp. | 114,232 | 1,046 |
| * | Knowles Corp. | 59,764 | 993 |
| * | Insight Enterprises Inc. | 17,605 | 970 |
| * | Bottomline Technologies | | |
| | DE Inc. | 21,321 | 944 |
| * | Cardtronics plc | 23,001 | 834 |
| | Xperi Corp. | 47,794 | 822 |
| * | Ultra Clean Holdings Inc. | 38,398 | 803 |
| * | Rambus Inc. | 57,005 | 797 |
| * | Onto Innovation Inc. | 26,029 | 796 |
| | Methode Electronics Inc. | 24,686 | 757 |
| | Kulicke & Soffa Industries | | |
| | Inc. | 30,584 | 698 |
| | Comtech | | |
| | Telecommunications | | |
| | Corp. | 23,526 | 659 |
| | TTEC Holdings Inc. | 17,038 | 638 |
| * | Veeco Instruments Inc. | 47,174 | 632 |
| * | Agilysys Inc. | 19,622 | 630 |
| * | Ichor Holdings Ltd. | 21,701 | 628 |
| * | Sykes Enterprises Inc. | 19,696 | 624 |
| * | MicroStrategy Inc. | 4,448 | 601 |
| * | Extreme Networks Inc. | 117,261 | 590 |
| * | Harmonic Inc. | 87,138 | 535 |
| * | Diebold Nixdorf Inc. | 74,072 | 520 |
| * | OneSpan Inc. | 31,408 | 519 |
| | Benchmark Electronics Inc. | 18,512 | 503 |
| * | FARO Technologies Inc. | 8,563 | 490 |
| * | ePlus Inc. | 5,994 | 454 |
| | CTS Corp. | 16,983 | 443 |
| * | MaxLinear Inc. | 28,272 | 437 |
| * | Axcelis Technologies Inc. | 16,266 | 390 |
| | Ebix Inc. | 14,603 | 386 |
| | Cohu Inc. | 17,916 | 367 |
| * | Digi International Inc. | 27,310 | 362 |
| * | CEVA Inc. | 11,458 | 326 |
| * | PDF Solutions Inc. | 16,908 | 248 |
| | PC Connection Inc. | 4,523 | 184 |
| * | DSP Group Inc. | 10,326 | 141 |
| * | Arlo Technologies Inc. | 36,904 | 121 |
| | | | 68,891 |
| Materials (3.4%) | | |
| | Balchem Corp. | 31,028 | 2,931 |
| | Innospec Inc. | 23,626 | 2,045 |
| | HB Fuller Co. | 28,031 | 1,100 |
| | Schweitzer-Mauduit | | |
| | International Inc. | 29,800 | 1,005 |
| | Stepan Co. | 10,625 | 933 |
| | Kaiser Aluminum Corp. | 9,647 | 912 |
| ^ | Cleveland-Cliffs Inc. | 145,880 | 848 |
| | Materion Corp. | 11,017 | 499 |
| * | Koppers Holdings Inc. | 19,965 | 436 |
| | Neenah Inc. | 7,461 | 431 |
| | Tredegar Corp. | 13,806 | 235 |
| | American Vanguard Corp. | 13,582 | 207 |
| | Mercer International Inc. | 20,470 | 181 |
| | Haynes International Inc. | 5,593 | 142 |
| | | | 11,905 |
| Real Estate (7.3%) | | |
| | Agree Realty Corp. | 43,928 | 3,155 |
| | Essential Properties Realty | | |
| | Trust Inc. | 84,775 | 1,942 |
| ^ | Innovative Industrial | | |
| | Properties Inc. | 16,429 | 1,510 |
| | Universal Health Realty | | |
| | Income Trust | 12,206 | 1,315 |
| | Lexington Realty Trust | | |
| | Class B | 117,146 | 1,215 |
| | American Assets Trust Inc. | 27,759 | 1,151 |
| | Four Corners Property | | |
| | Trust Inc. | 39,217 | 1,125 |
| | National Storage Affiliates | | |
| | Trust | 32,619 | 1,101 |
| | Acadia Realty Trust | 46,134 | 1,054 |
| | Washington REIT | 37,314 | 1,002 |
| | Easterly Government | | |
| | Properties Inc. | 40,054 | 952 |
| | CareTrust REIT Inc. | 45,165 | 943 |
| | Retail Opportunity | | |
| | Investments Corp. | 61,542 | 923 |
| | LTC Properties Inc. | 20,322 | 911 |
| | Community Healthcare | | |
| | Trust Inc. | 18,293 | 871 |
| | NexPoint Residential | | |
| | Trust Inc. | 16,298 | 725 |
| | Independence Realty | | |
| | Trust Inc. | 49,966 | 663 |
| | Safehold Inc. | 11,981 | 654 |
S&P Small-Cap 600 Growth Index Fund
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | Investors Real Estate Trust | 8,823 | 622 |
| * | St. Joe Co. | 30,373 | 597 |
| | Alexander & Baldwin Inc. | 28,432 | 535 |
| | Getty Realty Corp. | 17,475 | 495 |
| | Armada Hoffler Properties Inc. | 23,514 | 394 |
| | Urstadt Biddle Properties Inc. | 18,158 | 374 |
| * | Marcus & Millichap Inc. | 11,549 | 369 |
| | RE/MAX Holdings Inc. | 12,217 | 356 |
| | Saul Centers Inc. | 6,489 | 279 |
| | | | 25,233 |
| Utilities (2.4%) | | |
| | American States Water Co. | 35,532 | 2,721 |
| | South Jersey Industries Inc. | 58,821 | 1,591 |
| | El Paso Electric Co. | 22,786 | 1,547 |
| | California Water Service Group | 31,112 | 1,492 |
| | Northwest Natural Holding Co. | 14,677 | 965 |
| | | | 8,316 |
| Total Common Stocks (Cost$349,392) | | 343,261 |
| Temporary Cash Investment (1.4%) | |
| Money Market Fund (1.4%) | |
| 1,2 | Vanguard Market Liquidity Fund | | |
| | (Cost $4,757) | | |
| | 1.706% | 47,563 | 4,758 |
| Total Investments (100.8%) (Cost $354,149) | | 348,019 |
| Other Assets and Liabilities—Net (-0.8%)2,3 | | (2,827) |
| Net Assets (100%) | | 345,192 |
Cost rounded to $000.
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $2,707,000. |
| 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. |
| 2 | Collateral of $2,818,000 was received for securities on loan. |
| 3 | Cash of $100,000 has been segregated as initial margin for open futures contracts. |
REIT—Real Estate Investment Trust.
| Derivative Financial Instruments Outstanding as of Period End | |
| Futures Contracts | | | | | | | | | | | |
| | | | | | | | | | ($000 | ) |
| | | | | | | | | | | | | | Value and | |
| | | | | | Number of | | | | | | | | Unrealized | |
| | | | | | Long (Short) | | | | Notional | | | | Appreciation | |
| | | Expiration | | | Contracts | | | | Amount | | | | (Depreciation) | |
| Long Futures Contracts | | | | | | | | | | | | | | |
| E-mini Russell 2000 Index | | March 2020 | | | 26 | | | | 1,917 | | | | (237 | ) |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Small-Cap 600 Growth Index Fund
Statement of Assets and Liabilities
As of February 29, 2020
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $349,392) | 343,261 |
| Affiliated Issuers (Cost $4,757) | 4,758 |
| Total Investment in Securities | 348,019 |
| Investment in Vanguard | 17 |
| Cash Collateral Pledged—Futures Contracts | 100 |
| Receivables for Accrued Income | 145 |
| Receivables for Capital Shares Issued | 3 |
| Total Assets | 348,284 |
| Liabilities | |
| Due to Custodian | 3 |
| Payables for Investment Securities Purchased | 219 |
| Collateral for Securities on Loan | 2,818 |
| Payables to Vanguard | 37 |
| Variation Margin Payable—Futures Contracts | 15 |
| Total Liabilities | 3,092 |
| Net Assets | 345,192 |
| | |
| | |
| At February 29, 2020, net assets consisted of: | |
| | |
| Paid-in Capital | 389,753 |
| Total Distributable Earnings (Loss) | (44,561) |
| Net Assets | 345,192 |
| | |
| ETF Shares—Net Assets | |
| Applicable to 2,325,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 345,192 |
| Net Asset Value Per Share—ETF Shares | $148.47 |
S&P Small-Cap 600 Growth Index Fund
Statement of Operations
| | Six Months Ended |
| | February 29, 2020 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 1,993 |
| Interest1 | 8 |
| Securities Lending—Net | 56 |
| Total Income | 2,057 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 30 |
| Management and Administrative | 232 |
| Marketing and Distribution | 13 |
| Custodian Fees | 20 |
| Shareholders’ Reports | 12 |
| Total Expenses | 307 |
| Expenses Paid Indirectly | (10) |
| Net Expenses | 297 |
| Net Investment Income | 1,760 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1,2 | 24,447 |
| Futures Contracts | 49 |
| Realized Net Gain (Loss) | 24,496 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | (29,439) |
| Futures Contracts | (197) |
| Change in Unrealized Appreciation (Depreciation) | (29,636) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (3,380) |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $8,000, ($1,000), and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $31,842,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Small-Cap 600 Growth Index Fund
Statement of Changes in Net Assets
| | | Six Months Ended | | | Year Ended | |
| | | February 29, | | | August 31, | |
| | | 2020 | | | 2019 | |
| | | ($000 | ) | | ($000 | ) |
| Increase (Decrease) in Net Assets | | | | | | | | |
| Operations | | | | | | | | |
| Net Investment Income | | | 1,760 | | | | 4,130 | |
| Realized Net Gain (Loss) | | | 24,496 | | | | 2,191 | |
| Change in Unrealized Appreciation (Depreciation) | | | (29,636 | ) | | | (87,688 | ) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | (3,380 | ) | | | (81,367 | ) |
| Distributions1 | | | (2,701 | ) | | | (4,022 | ) |
| Capital Share Transactions | | | | | | | | |
| Issued | | | 86,627 | | | | 143,774 | |
| Issued in Lieu of Distributions | | | — | | | | — | |
| Redeemed | | | (127,611 | ) | | | (213,358 | ) |
| Net Increase (Decrease) from Capital Share Transactions | | | (40,984 | ) | | | (69,584 | ) |
| Total Increase (Decrease) | | | (47,065 | ) | | | (154,973 | ) |
| Net Assets | | | | | | | | |
| Beginning of Period | | | 392,257 | | | | 547,230 | |
| End of Period | | | 345,192 | | | | 392,257 | |
| 1 | Certain prior period numbers have been reclassified to conform with current period presentation. |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Small-Cap 600 Growth Index Fund
Financial Highlights
ETF Shares
| | Six Months | | | | | |
| | Ended | | | Year Ended August 31, |
| For a Share Outstanding | February 29, | | |
| Throughout Each Period | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $152.33 | $179.42 | $132.10 | $117.25 | $106.99 | $101.36 |
| Investment Operations | | | | | | |
| Net Investment Income | 0.7121 | 1.4751 | 1.2221 | 1.2221 | 1.180 | 1.043 |
| Net Realized and Unrealized Gain (Loss) on Investments | (3.493) | (27.154) | 47.288 | 14.762 | 10.685 | 5.345 |
| Total from Investment Operations | (2.781) | (25.679) | 48.510 | 15.984 | 11.865 | 6.388 |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (1.079) | (1.411) | (1.190) | (1.134) | (1.605) | (.758) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (1.079) | (1.411) | (1.190) | (1.134) | (1.605) | (.758) |
| Net Asset Value, End of Period | $148.47 | $152.33 | $179.42 | $132.10 | $117.25 | $106.99 |
| | | | | | | |
| Total Return | -1.87% | -14.32% | 36.92% | 13.67% | 11.24% | 6.32% |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $345 | $392 | $547 | $264 | $132 | $75 |
| Ratio of Total Expenses to Average Net Assets | 0.16% | 0.16% | 0.20% | 0.20% | 0.20% | 0.20% |
| Ratio of Net Investment Income to Average Net Assets | 0.97% | 0.94% | 0.80% | 0.95% | 1.15% | 0.98% |
| Portfolio Turnover Rate2 | 47% | 47% | 37% | 48% | 48% | 63% |
| The | expense ratio and net investment income ratio for the current period have been annualized. |
| 1 | Calculated based on average shares outstanding. |
| 2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
S&P Small-Cap 600 Growth Index Fund
Notes to Financial Statements
Vanguard S&P Small-Cap 600 Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. The fund has not issued any Institutional Shares as of February 29, 2020.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. 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.
2. 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 clearing-house, 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 assets pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended February 29, 2020, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
S&P Small-Cap 600 Growth Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2016–2019), and for the period ended February 29, 2020, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans
S&P Small-Cap 600 Growth Index Fund
may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2020, the fund had contributed to Vanguard capital in the amount of $17,000, representing less than 0.01% of the fund’s net assets and 0.01% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 29, 2020, custodian fee offset arrangements reduced the fund’s expenses by $10,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. 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 valued with significant unobservable inputs are noted on the Schedule of Investments.
S&P Small-Cap 600 Growth Index Fund
At February 29, 2020, 100% of the market value of the fund’s investments and derivatives was determined based on Level 1 inputs.
E. As of February 29, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| | Amount |
| | ($000) |
| Tax Cost | 354,158 |
| Gross Unrealized Appreciation | 30,780 |
| Gross Unrealized Depreciation | (37,156) |
| Net Unrealized Appreciation (Depreciation) | (6,376) |
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $62,615,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F. During the six months ended February 29, 2020, the fund purchased $257,436,000 of investment securities and sold $300,240,000 of investment securities, other than temporary cash investments. Purchases and sales include $43,130,000 and $119,958,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 29, 2020, such purchases and sales were $104,983,000 and $112,285,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
G. Capital shares issued and redeemed were:
| | Six Months Ended | | Year Ended |
| | February 29, 2020 | | August 31, 2019 |
| | Shares | | Shares |
| | (000 | ) | (000) |
| Issued | 550 | | 900 |
| Issued in Lieu of Cash Distributions | — | | — |
| Redeemed | (800 | ) | (1,375) |
| Net Increase (Decrease) in Shares Outstanding | (250 | ) | (475) |
S&P Small-Cap 600 Growth Index Fund
H. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.
Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.
The S&P SmallCap 600 Index, S&P SmallCap 600 Value Index, and S&P SmallCap 600 Growth Index (the “Indexes”) are products of S&P Dow Jones Indices LLC, a division of S&P Global, or its affiliates (“SPDJI”), and have been licensed for use by Vanguard. Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC, a division of S&P Global (“S&P”) and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). The trademarks have been licensed to SPDJI and have been sublicensed for use for certain purposes by Vanguard. Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund, and Vanguard S&P Small-Cap 600 Growth Index Fund are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or any of their respective affiliates (collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices make no representation or warranty, express or implied, to the owners of Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund, and Vanguard S&P Small-Cap 600 Growth Index Fund or any member of the public regarding the advisability of investing in securities generally or in Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund, and Vanguard S&P Small-Cap 600 Growth Index Fund particularly or the ability of the S&P SmallCap 600 Index, S&P SmallCap 600 Value Index, and S&P SmallCap 600 Growth Index to track general market performance. S&P Dow Jones Indices’ only relationship to Vanguard with respect to the S&P SmallCap 600 Index, S&P SmallCap 600 Value Index, and S&P SmallCap 600 Growth Index is the licensing of the Indexes and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or its licensors. The S&P SmallCap 600 Index, S&P SmallCap 600 Value Index, and S&P SmallCap 600 Growth Index are determined, composed and calculated by S&P Dow Jones Indices without regard to Vanguard or Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund, and Vanguard S&P Small-Cap 600 Growth Index Fund. S&P Dow Jones Indices have no obligation to take the needs of Vanguard or the owners of Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund, and Vanguard S&P Small-Cap 600 Growth Index Fund into consideration in determining, composing or calculating the S&P SmallCap 600 Index, S&P SmallCap 600 Value Index, and S&P SmallCap 600 Growth Index. S&P Dow Jones Indices are not responsible for and have not participated in the determination of the prices and amount of Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund, and Vanguard S&P Small-Cap 600 Growth Index Fund or the timing of the issuance or sale of Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund, and Vanguard S&P Small-Cap 600 Growth Index Fund or in the determination or calculation of the equation by which Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund, and Vanguard S&P Small-Cap 600 Growth Index Fund are to be converted into cash, surrendered or redeemed, as the case may be. S&P Dow Jones Indices have no obligation or liability in connection with the administration, marketing or trading of Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund, and Vanguard S&P Small-Cap 600 Growth Index Fund. There is no assurance that investment products based on the S&P SmallCap 600 Index, S&P SmallCap 600 Value Index, and S&P SmallCap 600 Growth Index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an investment advisor. Inclusion of a security within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice.
S&P DOW JONES INDICES DOES NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDEXES OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY VANGUARD, OWNERS OF VANGUARD S&P SMALL-CAP 600 INDEX FUND, VANGUARD S&P SMALL-CAP 600 VALUE INDEX FUND, AND VANGUARD S&P SMALL-CAP 600 GROWTH INDEX FUND, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEXES OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND VANGUARD, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
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This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.
| | © 2020 The Vanguard Group, Inc. |
| | All rights reserved. |
| | U.S. Patent Nos. 6,879,964; 7,337,138; |
| | 7,720,749; 7,925,573; 8,090,646; 8,417,623; and 8,626,636. |
| | Vanguard Marketing Corporation, Distributor. |
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| | Q18452 042020 |
Item 2: Code of Ethics.
Not applicable.
Item 3: Audit Committee Financial Expert.
Not applicable.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Not applicable.
Item 5: Audit Committee of Listed Registrants.
Not applicable.
Item 6: Investments.
Not applicable.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13: Exhibits.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
VANGUARD ADMIRAL FUNDS
BY: /s/ MORTIMER J. BUCKLEY*
___________________________
MORTIMER J. BUCKLEY
CHIEF EXECUTIVE OFFICER
Date: April 17, 2020
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
VANGUARD ADMIRAL FUNDS
BY: /s/ MORTIMER J. BUCKLEY*
___________________________
MORTIMER J. BUCKLEY
CHIEF EXECUTIVE OFFICER
Date: April 17, 2020
VANGUARD ADMIRAL FUNDS
BY: /s/ JOHN BENDL*
___________________________
JOHN BENDL
CHIEF FINANCIAL OFFICER
Date: April 17, 2020
* By: /s/ Anne E. Robinson
Anne E. Robinson, pursuant to a Power of Attorney filed on January 18, 2018 (see file Number 33-32216) and a Power of Attorney filed on October 30, 2019 (see file Number 811-02554), Incorporated by Reference.
