Vanguard S&P 500 Value Index Fund | |||
Schedule of Investments(unaudited) | |||
As of November 30, 2019 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.7%)1 | |||
Communication Services (5.9%) | |||
AT&T Inc. | 757,735 | 28,324 | |
Walt Disney Co. | 82,177 | 12,456 | |
Comcast Corp. Class A | 253,967 | 11,213 | |
* | Charter Communications Inc. Class A | 9,555 | 4,491 |
Activision Blizzard Inc. | 79,534 | 4,361 | |
* | T-Mobile US Inc. | 24,580 | 1,931 |
Omnicom Group Inc. | 22,559 | 1,793 | |
* | Electronic Arts Inc. | 15,890 | 1,605 |
CenturyLink Inc. | 101,805 | 1,475 | |
CBS Corp. Class B | 33,953 | 1,371 | |
* | Discovery Communications Inc. | 36,013 | 1,099 |
Interpublic Group of Cos. Inc. | 40,216 | 901 | |
Viacom Inc. Class B | 36,637 | 882 | |
* | DISH Network Corp. Class A | 24,997 | 854 |
Fox Corp. Class A | 19,856 | 710 | |
News Corp. Class A | 43,383 | 559 | |
* | Discovery Communications Inc. Class A | 16,368 | 539 |
Fox Corp. Class B | 9,119 | 319 | |
News Corp. Class B | 9,228 | 122 | |
TripAdvisor Inc. | 3,574 | 101 | |
* | DISH Network Corp. Class A Rights Exp. 12/09/2019 | 1,342 | 1 |
75,107 | |||
Consumer Discretionary (7.2%) | |||
Home Depot Inc. | 61,325 | 13,523 | |
Target Corp. | 52,983 | 6,623 | |
NIKE Inc. Class B | 63,627 | 5,949 | |
Starbucks Corp. | 60,819 | 5,196 | |
Lowe's Cos. Inc. | 43,217 | 5,070 | |
General Motors Co. | 130,293 | 4,691 | |
* | Booking Holdings Inc. | 2,294 | 4,368 |
Ford Motor Co. | 406,412 | 3,682 | |
Marriott International Inc. Class A | 17,006 | 2,387 | |
* | Dollar Tree Inc. | 24,536 | 2,244 |
Royal Caribbean Cruises Ltd. | 17,817 | 2,138 | |
Best Buy Co. Inc. | 24,051 | 1,939 | |
DR Horton Inc. | 34,894 | 1,931 | |
Ross Stores Inc. | 16,259 | 1,888 | |
Carnival Corp. | 41,520 | 1,872 | |
eBay Inc. | 50,697 | 1,801 | |
Lennar Corp. Class A | 29,205 | 1,742 | |
MGM Resorts International | 54,064 | 1,727 | |
Genuine Parts Co. | 15,151 | 1,581 | |
Wynn Resorts Ltd. | 10,048 | 1,214 | |
* | Norwegian Cruise Line Holdings Ltd. | 22,371 | 1,200 |
* | LKQ Corp. | 31,983 | 1,128 |
PulteGroup Inc. | 26,751 | 1,061 | |
Aptiv plc | 10,375 | 974 | |
Las Vegas Sands Corp. | 15,471 | 971 |
Whirlpool Corp. | 6,596 | 944 |
* CarMax Inc. | 9,457 | 920 |
BorgWarner Inc. | 21,446 | 902 |
* Mohawk Industries Inc. | 6,218 | 867 |
Tiffany & Co. | 6,213 | 831 |
Kohl's Corp. | 16,525 | 777 |
PVH Corp. | 7,696 | 746 |
Leggett & Platt Inc. | 13,605 | 712 |
Harley-Davidson Inc. | 16,218 | 590 |
* Capri Holdings Ltd. | 15,696 | 583 |
Ralph Lauren Corp. Class A | 5,369 | 576 |
Hasbro Inc. | 5,615 | 571 |
Expedia Group Inc. | 5,498 | 559 |
Garmin Ltd. | 5,691 | 556 |
* NVR Inc. | 141 | 535 |
L Brands Inc. | 24,076 | 461 |
Darden Restaurants Inc. | 3,820 | 452 |
Advance Auto Parts Inc. | 2,590 | 407 |
Gap Inc. | 22,239 | 369 |
Newell Brands Inc. | 18,987 | 365 |
Hanesbrands Inc. | 20,929 | 315 |
Macy's Inc. | 18,527 | 284 |
Tapestry Inc. | 9,775 | 263 |
Nordstrom Inc. | 5,635 | 215 |
H&R Block Inc. | 7,886 | 192 |
* Under Armour Inc. Class A | 6,808 | 129 |
* Under Armour Inc. Class C | 6,984 | 121 |
Lennar Corp. Class B | 363 | 17 |
91,159 | ||
Consumer Staples (9.3%) | ||
Walmart Inc. | 147,478 | 17,563 |
Procter & Gamble Co. | 114,187 | 13,938 |
Costco Wholesale Corp. | 45,605 | 13,673 |
Coca-Cola Co. | 191,564 | 10,229 |
Altria Group Inc. | 193,723 | 9,628 |
Mondelez International Inc. Class A | 149,550 | 7,857 |
PepsiCo Inc. | 56,550 | 7,681 |
Philip Morris International Inc. | 79,057 | 6,556 |
Walgreens Boots Alliance Inc. | 78,671 | 4,689 |
General Mills Inc. | 62,579 | 3,337 |
Tyson Foods Inc. Class A | 30,557 | 2,747 |
Colgate-Palmolive Co. | 38,259 | 2,595 |
Archer-Daniels-Midland Co. | 57,760 | 2,480 |
Kroger Co. | 82,835 | 2,265 |
Kimberly-Clark Corp. | 16,420 | 2,239 |
Kraft Heinz Co. | 64,518 | 1,968 |
Sysco Corp. | 19,692 | 1,586 |
Conagra Brands Inc. | 50,471 | 1,457 |
Estee Lauder Cos. Inc. Class A | 7,344 | 1,435 |
JM Smucker Co. | 11,836 | 1,244 |
Molson Coors Brewing Co. Class B | 19,500 | 984 |
Hershey Co. | 6,036 | 894 |
Campbell Soup Co. | 17,467 | 813 |
Coty Inc. Class A | 30,554 | 353 |
118,211 |
Energy (6.1%) | ||
Chevron Corp. | 196,867 | 23,059 |
Exxon Mobil Corp. | 193,058 | 13,153 |
Phillips 66 | 46,511 | 5,336 |
Schlumberger Ltd. | 143,420 | 5,192 |
EOG Resources Inc. | 60,179 | 4,267 |
Marathon Petroleum Corp. | 68,266 | 4,140 |
Valero Energy Corp. | 42,973 | 4,103 |
Kinder Morgan Inc. | 201,887 | 3,959 |
Williams Cos. Inc. | 125,682 | 2,855 |
Pioneer Natural Resources Co. | 17,331 | 2,215 |
Halliburton Co. | 90,837 | 1,907 |
Baker Hughes Co. Class A | 67,326 | 1,509 |
ONEOK Inc. | 18,421 | 1,309 |
Noble Energy Inc. | 49,642 | 1,030 |
National Oilwell Varco Inc. | 40,074 | 904 |
TechnipFMC plc | 43,446 | 818 |
Hess Corp. | 12,096 | 751 |
Concho Resources Inc. | 9,367 | 680 |
Helmerich & Payne Inc. | 11,333 | 448 |
Cimarex Energy Co. | 4,649 | 214 |
Cabot Oil & Gas Corp. | 13,400 | 214 |
78,063 | ||
Financials (21.7%) | ||
JPMorgan Chase & Co. | 331,584 | 43,690 |
Bank of America Corp. | 868,748 | 28,947 |
* Berkshire Hathaway Inc. Class B | 105,739 | 23,294 |
Wells Fargo & Co. | 415,799 | 22,644 |
Citigroup Inc. | 234,266 | 17,598 |
CME Group Inc. | 37,134 | 7,528 |
Goldman Sachs Group Inc. | 33,556 | 7,428 |
Chubb Ltd. | 47,260 | 7,159 |
PNC Financial Services Group Inc. | 46,178 | 7,075 |
Morgan Stanley | 130,251 | 6,445 |
BlackRock Inc. | 12,179 | 6,028 |
Capital One Financial Corp. | 48,770 | 4,878 |
American International Group Inc. | 90,205 | 4,750 |
Bank of New York Mellon Corp. | 88,954 | 4,356 |
BB&T Corp. | 79,457 | 4,348 |
American Express Co. | 35,272 | 4,237 |
Aflac Inc. | 76,780 | 4,211 |
MetLife Inc. | 82,550 | 4,120 |
Prudential Financial Inc. | 41,688 | 3,903 |
Allstate Corp. | 34,138 | 3,801 |
Travelers Cos. Inc. | 27,003 | 3,692 |
SunTrust Banks Inc. | 46,039 | 3,261 |
State Street Corp. | 38,633 | 2,901 |
Charles Schwab Corp. | 57,903 | 2,866 |
Willis Towers Watson plc | 13,373 | 2,627 |
Synchrony Financial | 63,288 | 2,368 |
Hartford Financial Services Group Inc. | 37,496 | 2,320 |
Fifth Third Bancorp | 75,756 | 2,287 |
M&T Bank Corp. | 13,864 | 2,284 |
Marsh & McLennan Cos. Inc. | 19,425 | 2,099 |
Progressive Corp. | 28,494 | 2,081 |
KeyCorp | 104,045 | 2,017 |
Moody's Corp. | 8,604 | 1,950 |
Aon plc | 9,049 | 1,842 |
Citizens Financial Group Inc. | 46,365 | 1,783 |
Regions Financial Corp. | 103,478 | 1,722 |
Huntington Bancshares Inc. | 107,642 | 1,603 |
T. Rowe Price Group Inc. | 12,217 | 1,510 |
Principal Financial Group Inc. | 26,893 | 1,482 |
Loews Corp. | 26,977 | 1,373 |
Lincoln National Corp. | 20,770 | 1,226 |
Raymond James Financial Inc. | 12,823 | 1,152 |
Everest Re Group Ltd. | 4,227 | 1,147 |
Northern Trust Corp. | 10,480 | 1,124 |
Ameriprise Financial Inc. | 6,250 | 1,024 |
Discover Financial Services | 11,564 | 981 |
Zions Bancorp NA | 18,374 | 915 |
Cincinnati Financial Corp. | 8,206 | 878 |
Assurant Inc. | 6,348 | 843 |
Franklin Resources Inc. | 29,195 | 803 |
People's United Financial Inc. | 45,893 | 757 |
Invesco Ltd. | 39,870 | 700 |
Unum Group | 21,591 | 664 |
Arthur J Gallagher & Co. | 6,352 | 592 |
Globe Life Inc. | 5,734 | 589 |
Comerica Inc. | 8,345 | 588 |
Affiliated Managers Group Inc. | 5,238 | 447 |
E*TRADE Financial Corp. | 9,653 | 428 |
Nasdaq Inc. | 3,600 | 377 |
275,743 | ||
Health Care (11.0%) | ||
UnitedHealth Group Inc. | 98,277 | 27,505 |
Johnson & Johnson | 112,209 | 15,428 |
CVS Health Corp. | 134,864 | 10,151 |
Gilead Sciences Inc. | 131,332 | 8,831 |
Anthem Inc. | 26,528 | 7,658 |
Bristol-Myers Squibb Co. | 119,155 | 6,785 |
AbbVie Inc. | 73,592 | 6,456 |
Allergan plc | 34,015 | 6,291 |
Amgen Inc. | 21,143 | 4,963 |
^ Danaher Corp. | 29,128 | 4,252 |
Cigna Corp. | 16,839 | 3,366 |
Stryker Corp. | 13,642 | 2,795 |
McKesson Corp. | 19,173 | 2,773 |
Zoetis Inc. | 22,283 | 2,686 |
Becton Dickinson and Co. | 10,357 | 2,677 |
* Biogen Inc. | 8,797 | 2,637 |
* Centene Corp. | 42,892 | 2,594 |
Baxter International Inc. | 30,179 | 2,474 |
* Laboratory Corp. of America Holdings | 10,130 | 1,745 |
Cardinal Health Inc. | 30,917 | 1,701 |
Quest Diagnostics Inc. | 13,968 | 1,488 |
AmerisourceBergen Corp. Class A | 15,774 | 1,387 |
Dentsply Sirona Inc. | 23,253 | 1,315 |
* Regeneron Pharmaceuticals Inc. | 3,398 | 1,254 |
Agilent Technologies Inc. | 15,084 | 1,218 |
* Align Technology Inc. | 3,698 | 1,026 |
* Mylan NV | 53,569 | 1,006 |
Cooper Cos. Inc. | 2,925 | 916 |
* Incyte Corp. | 9,640 | 908 |
* IQVIA Holdings Inc. | 5,092 | 743 |
Perrigo Co. plc | 14,079 | 721 |
* Mettler-Toledo International Inc. | 919 | 661 |
* Hologic Inc. | 12,458 | 639 |
* Waters Corp. | 2,770 | 615 |
* Henry Schein Inc. | 8,435 | 581 |
PerkinElmer Inc. | 5,520 | 513 |
Universal Health Services Inc. Class B | 3,624 | 505 |
* Bristol Meyers Squibb CVR Exp. 12/31/2020 | 38,668 | 83 |
* Nektar Therapeutics Class A | 44 | 1 |
139,348 | ||
Industrials (10.1%) | ||
General Electric Co. | 904,999 | 10,199 |
Caterpillar Inc. | 58,343 | 8,444 |
Honeywell International Inc. | 37,310 | 6,662 |
United Technologies Corp. | 43,738 | 6,488 |
Northrop Grumman Corp. | 16,315 | 5,739 |
Deere & Co. | 32,653 | 5,487 |
3M Co. | 29,236 | 4,963 |
Emerson Electric Co. | 63,787 | 4,711 |
General Dynamics Corp. | 24,263 | 4,410 |
United Parcel Service Inc. Class B | 36,211 | 4,336 |
Lockheed Martin Corp. | 10,308 | 4,031 |
Raytheon Co. | 16,461 | 3,579 |
Johnson Controls International plc | 82,528 | 3,535 |
Delta Air Lines Inc. | 60,008 | 3,439 |
Illinois Tool Works Inc. | 18,316 | 3,193 |
Cummins Inc. | 16,366 | 2,993 |
PACCAR Inc. | 35,922 | 2,923 |
Southwest Airlines Co. | 50,162 | 2,891 |
Parker-Hannifin Corp. | 13,319 | 2,648 |
Stanley Black & Decker Inc. | 15,735 | 2,482 |
L3Harris Technologies Inc. | 11,113 | 2,235 |
Fortive Corp. | 30,622 | 2,210 |
FedEx Corp. | 13,688 | 2,191 |
* United Airlines Holdings Inc. | 22,910 | 2,126 |
Eaton Corp. plc | 22,649 | 2,095 |
Dover Corp. | 15,082 | 1,681 |
Norfolk Southern Corp. | 8,467 | 1,638 |
Jacobs Engineering Group Inc. | 14,056 | 1,294 |
Arconic Inc. | 40,194 | 1,244 |
Rockwell Automation Inc. | 6,074 | 1,190 |
American Airlines Group Inc. | 41,120 | 1,182 |
Republic Services Inc. Class A | 12,524 | 1,110 |
Textron Inc. | 23,885 | 1,105 |
CH Robinson Worldwide Inc. | 14,053 | 1,080 |
Huntington Ingalls Industries Inc. | 4,287 | 1,079 |
Snap-on Inc. | 5,734 | 920 |
Fortune Brands Home & Security Inc. | 14,484 | 916 |
Kansas City Southern | 5,832 | 889 |
Alaska Air Group Inc. | 12,802 | 884 |
Westinghouse Air Brake Technologies Corp. | 10,180 | 800 |
Verisk Analytics Inc. Class A | 5,250 | 774 |
Pentair plc | 17,392 | 771 |
Masco Corp. | 15,875 | 739 |
Nielsen Holdings plc | 36,812 | 720 |
AO Smith Corp. | 14,322 | 693 |
Equifax Inc. | 4,881 | 682 |
Quanta Services Inc. | 14,719 | 613 |
* Copart Inc. | 6,677 | 594 |
* United Rentals Inc. | 3,753 | 574 |
Allegion plc | 4,749 | 570 |
Robert Half International Inc. | 6,600 | 384 |
JB Hunt Transport Services Inc. | 2,927 | 339 |
Flowserve Corp. | 6,414 | 312 |
128,787 | ||
Information Technology (17.5%) | ||
Apple Inc. | 440,524 | 117,730 |
International Business Machines Corp. | 91,863 | 12,351 |
Intel Corp. | 151,604 | 8,801 |
Accenture plc Class A | 35,674 | 7,176 |
NVIDIA Corp. | 29,683 | 6,434 |
Oracle Corp. | 114,144 | 6,408 |
Applied Materials Inc. | 95,793 | 5,546 |
* Micron Technology Inc. | 114,465 | 5,438 |
QUALCOMM Inc. | 56,876 | 4,752 |
Lam Research Corp. | 14,987 | 3,999 |
Texas Instruments Inc. | 32,921 | 3,958 |
Cognizant Technology Solutions Corp. Class A | 57,267 | 3,671 |
TE Connectivity Ltd. | 34,837 | 3,230 |
HP Inc. | 153,690 | 3,086 |
Corning Inc. | 80,988 | 2,352 |
Hewlett Packard Enterprise Co. | 135,401 | 2,143 |
Analog Devices Inc. | 17,623 | 1,991 |
Amphenol Corp. Class A | 19,125 | 1,989 |
* ServiceNow Inc. | 6,972 | 1,973 |
Western Digital Corp. | 30,695 | 1,545 |
NortonLifeLock Inc. | 58,971 | 1,468 |
* Qorvo Inc. | 12,221 | 1,274 |
KLA Corp. | 7,435 | 1,218 |
CDW Corp. | 8,709 | 1,176 |
Microchip Technology Inc. | 12,103 | 1,144 |
* FleetCor Technologies Inc. | 3,597 | 1,104 |
Paychex Inc. | 12,610 | 1,086 |
DXC Technology Co. | 27,204 | 1,016 |
* Synopsys Inc. | 6,708 | 946 |
Juniper Networks Inc. | 35,923 | 900 |
* Cadence Design Systems Inc. | 11,934 | 838 |
Xerox Holdings Corp. | 19,698 | 767 |
FLIR Systems Inc. | 14,034 | 752 |
Western Union Co. | 25,445 | 684 |
Skyworks Solutions Inc. | 6,932 | 681 |
Maxim Integrated Products Inc. | 11,232 | 637 |
Jack Henry & Associates Inc. | 4,149 | 630 |
Seagate Technology plc | 8,821 | 527 |
* IPG Photonics Corp. | 3,694 | 525 |
221,946 | ||
Materials (3.2%) | ||
DuPont de Nemours Inc. | 77,311 | 5,010 |
Dow Inc. | 77,071 | 4,113 |
Linde plc | 18,502 | 3,815 |
Newmont Goldcorp Corp. | 85,019 | 3,265 |
LyondellBasell Industries NV Class A | 26,774 | 2,478 |
Corteva Inc. | 77,661 | 2,021 |
International Paper Co. | 40,736 | 1,888 |
Sherwin-Williams Co. | 3,236 | 1,887 |
Nucor Corp. | 31,434 | 1,772 |
PPG Industries Inc. | 13,236 | 1,705 |
International Flavors & Fragrances Inc. | 11,075 | 1,564 |
Packaging Corp. of America | 9,825 | 1,099 |
Westrock Co. | 26,707 | 1,077 |
Vulcan Materials Co. | 7,138 | 1,013 |
Freeport-McMoRan Inc. | 82,874 | 943 |
Amcor plc | 86,046 | 883 |
Celanese Corp. Class A | 6,023 | 756 |
Ball Corp. | 11,336 | 749 |
Martin Marietta Materials Inc. | 2,783 | 747 |
FMC Corp. | 7,562 | 741 |
Albemarle Corp. | 10,972 | 717 |
Avery Dennison Corp. | 4,802 | 626 |
Sealed Air Corp. | 15,999 | 604 |
CF Industries Holdings Inc. | 12,878 | 595 |
Eastman Chemical Co. | 6,546 | 513 |
Mosaic Co. | 19,516 | 372 |
40,953 | ||
Real Estate (2.8%) | ||
Prologis Inc. | 65,442 | 5,991 |
Crown Castle International Corp. | 25,433 | 3,399 |
Weyerhaeuser Co. | 77,245 | 2,279 |
Ventas Inc. | 38,634 | 2,253 |
Equinix Inc. | 3,519 | 1,995 |
* CBRE Group Inc. Class A | 34,873 | 1,988 |
Alexandria Real Estate Equities Inc. | 11,757 | 1,911 |
Simon Property Group Inc. | 10,540 | 1,594 |
SBA Communications Corp. Class A | 4,930 | 1,166 |
Digital Realty Trust Inc. | 9,514 | 1,151 |
AvalonBay Communities Inc. | 4,637 | 994 |
Equity Residential | 11,582 | 986 |
Boston Properties Inc. | 6,996 | 969 |
Iron Mountain Inc. | 29,808 | 957 |
Kimco Realty Corp. | 43,570 | 942 |
SL Green Realty Corp. | 8,539 | 729 |
Mid-America Apartment Communities Inc. | 5,199 | 708 |
Host Hotels & Resorts Inc. | 40,034 | 700 |
Realty Income Corp. | 8,931 | 684 |
UDR Inc. | 13,696 | 658 |
Regency Centers Corp. | 9,514 | 619 |
Essex Property Trust Inc. | 1,769 | 552 |
Vornado Realty Trust | 8,031 | 519 |
Federal Realty Investment Trust | 3,754 | 496 |
Extra Space Storage Inc. | 4,529 | 480 |
Duke Realty Corp. | 12,370 | 435 |
Macerich Co. | 11,469 | 309 |
35,464 | ||
Utilities (4.9%) | ||
Southern Co. | 108,391 | 6,719 |
Duke Energy Corp. | 75,563 | 6,662 |
American Electric Power Co. Inc. | 51,210 | 4,678 |
Exelon Corp. | 100,756 | 4,474 |
Sempra Energy | 28,471 | 4,193 | ||
Dominion Energy Inc. | 45,170 | 3,754 | ||
Public Service Enterprise Group Inc. | 52,439 | 3,110 | ||
Consolidated Edison Inc. | 34,445 | 2,993 | ||
FirstEnergy Corp. | 55,997 | 2,671 | ||
Edison International | 37,134 | 2,566 | ||
PPL Corp. | 74,902 | 2,549 | ||
Entergy Corp. | 20,616 | 2,399 | ||
DTE Energy Co. | 19,010 | 2,375 | ||
Xcel Energy Inc. | 29,906 | 1,839 | ||
Evergy Inc. | 24,422 | 1,545 | ||
WEC Energy Group Inc. | 17,008 | 1,508 | ||
AES Corp. | 68,879 | 1,303 | ||
CenterPoint Energy Inc. | 52,088 | 1,279 | ||
Eversource Energy | 15,107 | 1,248 | ||
NiSource Inc. | 38,539 | 1,019 | ||
American Water Works Co. Inc. | 6,921 | 838 | ||
CMS Energy Corp. | 12,881 | 790 | ||
Alliant Energy Corp. | 10,583 | 561 | ||
Atmos Energy Corp. | 5,015 | 536 | ||
61,609 | ||||
Total Common Stocks (Cost $1,076,592) | 1,266,390 | |||
Coupon | ||||
Temporary Cash Investments (0.1%)1 | ||||
Money Market Fund (0.1%) | ||||
2,3 Vanguard Market Liquidity Fund | 1.841% | 5,689 | 569 | |
Face | ||||
Maturity | Amount | |||
Date | ($000) | |||
U.S. Government and Agency Obligations (0.0%) | ||||
4 United States Treasury Bill | 1.669% | 1/9/20 | 160 | 160 |
Total Temporary Cash Investments (Cost $729) | 729 | |||
Total Investments (99.8%) (Cost $1,077,321) | 1,267,119 | |||
Other Assets and Liabilities-Net (0.2%)3 | 2,545 | |||
Net Assets (100%) | 1,269,664 |
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $92,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After
giving effect to futures investments, the fund's effective common stock and temporary cash investment positions
represent 100.0% and -0.2%, respectively, of net assets.
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 $95,000 was received for securities on loan.
4 Securities with a value of $129,000 have been segregated as initial margin for open futures contracts.
CVR—Contingent Value Rights.
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 | December 2019 | 19 | 2,987 | 52 |
A. Security Valuation: Securities are valued as of the close of trading on the New York Stock
Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the
latest quoted sales prices or official closing prices taken from the primary market in which each
security trades; such securities not traded on the valuation date are valued at the mean of the latest
quoted bid and asked prices. Securities for which market quotations are not readily available, or
whose values have been materially affected by events occurring before the fund's pricing time but
after the close of the securities’ primary markets, are valued by methods deemed by the board of
trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that
fund's net asset value. Temporary cash investments are valued using the latest bid prices or using
valuations based on a matrix system (which considers such factors as security prices, yields,
maturities, and ratings), both as furnished by independent pricing services.
B. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of
maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs.
The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell
futures in response to cash outflows, thereby simulating a fully invested position in the underlying
index while maintaining a cash balance for liquidity. The primary risks associated with the use of
futures contracts are imperfect correlation between changes in market values of stocks held by the
fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk
involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the
clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an
exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered
into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin
requirements to secure the fund’s performance and requires daily settlement of variation margin
representing changes in the market value of each contract. Any 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 as an asset (liability).
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.).
S&P 500 Value Index Fund
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
November 30, 2019, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 1,266,390 | — | — |
Temporary Cash Investments | 569 | 160 | — |
Futures Contracts—Liabilities1 | (10) | — | — |
Total | 1,266,949 | 160 | — |
1 Represents variation margin on the last day of the reporting period. |