Vanguard S&P 500 Value Index Fund
Schedule of Investments (unaudited)
As of May 31, 2020
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
Shares | Market Value ($000) | |||||
Common Stocks (99.6%) | ||||||
Communication Services (7.9%) | ||||||
Verizon Communications Inc. | 493,096 | 28,294 | ||||
AT&T Inc. | 870,946 | 26,877 | ||||
Walt Disney Co. | 83,792 | 9,829 | ||||
Comcast Corp. Class A | 238,157 | 9,431 | ||||
Activision Blizzard Inc. | 91,596 | 6,593 | ||||
* | T-Mobile US Inc. | 45,294 | 4,531 | |||
* | Twitter Inc. | 92,558 | 2,866 | |||
* | Electronic Arts Inc. | 16,360 | 2,010 | |||
Omnicom Group Inc. | 25,958 | 1,422 | ||||
ViacomCBS Inc. Class B | 64,423 | 1,336 | ||||
Fox Corp. Class A | 42,237 | 1,232 | ||||
CenturyLink Inc. | 116,980 | 1,150 | ||||
* | DISH Network Corp. Class A | 30,521 | 966 | |||
Interpublic Group of Cos. Inc. | 46,217 | 791 | ||||
* | Discovery Inc. Class C | 40,201 | 788 | |||
News Corp. Class A | 50,534 | 619 | ||||
Fox Corp. Class B | 19,384 | 558 | ||||
* | Discovery Inc. Class A | 18,656 | 406 | |||
* | Live Nation Entertainment Inc. | 5,555 | 273 | |||
News Corp. Class B | 10,423 | 128 | ||||
100,100 | ||||||
Consumer Discretionary (5.2%) | ||||||
Home Depot Inc. | 37,715 | 9,371 | ||||
McDonald's Corp. | 50,281 | 9,368 | ||||
NIKE Inc. Class B | 49,019 | 4,832 | ||||
Lowe's Cos. Inc. | 31,067 | 4,050 | ||||
General Motors Co. | 149,910 | 3,880 | ||||
* | Dollar Tree Inc. | 28,214 | 2,761 | |||
Target Corp. | 21,750 | 2,661 | ||||
Ford Motor Co. | 464,268 | 2,651 | ||||
Aptiv plc | 30,436 | 2,293 | ||||
Best Buy Co. Inc. | 27,148 | 2,120 | ||||
Lennar Corp. Class A | 33,087 | 2,001 | ||||
Genuine Parts Co. | 17,321 | 1,445 | ||||
Expedia Group Inc. | 16,659 | 1,324 | ||||
Advance Auto Parts Inc. | 8,255 | 1,150 | ||||
Hasbro Inc. | 15,171 | 1,115 | ||||
Royal Caribbean Cruises Ltd. | 20,488 | 1,063 | ||||
VF Corp. | 18,346 | 1,029 | ||||
Whirlpool Corp. | 7,534 | 918 | ||||
Tractor Supply Co. | 7,197 | 878 |
Shares | Market Value ($000) | |||||
1 | Carnival Corp. | 55,521 | 874 | |||
Las Vegas Sands Corp. | 17,324 | 831 | ||||
BorgWarner Inc. | 24,618 | 792 | ||||
* | Ulta Beauty Inc. | 3,065 | 748 | |||
* | Mohawk Industries Inc. | 7,089 | 661 | |||
Darden Restaurants Inc. | 8,395 | 645 | ||||
Newell Brands Inc. | 45,424 | 597 | ||||
* | LKQ Corp. | 17,531 | 481 | |||
* | Norwegian Cruise Line Holdings Ltd. | 29,741 | 466 | |||
L Brands Inc. | 27,660 | 448 | ||||
Ralph Lauren Corp. Class A | 5,934 | 448 | ||||
Tapestry Inc. | 32,952 | 448 | ||||
Hanesbrands Inc. | 43,221 | 426 | ||||
MGM Resorts International | 23,938 | 411 | ||||
PVH Corp. | 8,807 | 401 | ||||
H&R Block Inc. | 23,362 | 397 | ||||
Harley-Davidson Inc. | 18,348 | 392 | ||||
Kohl's Corp. | 18,643 | 358 | ||||
Gap Inc. | 25,473 | 227 | ||||
Nordstrom Inc. | 12,793 | 206 | ||||
* | Under Armour Inc. Class A | 22,655 | 198 | |||
* | Under Armour Inc. Class C | 22,913 | 180 | |||
Leggett & Platt Inc. | 5,354 | 164 | ||||
Lennar Corp. Class B | 363 | 16 | ||||
* | Capri Holdings Ltd. | 152 | 2 | |||
65,727 | ||||||
Consumer Staples (10.3%) | ||||||
Walmart Inc. | 139,134 | 17,261 | ||||
Procter & Gamble Co. | 124,880 | 14,476 | ||||
Coca-Cola Co. | 275,842 | 12,876 | ||||
PepsiCo Inc. | 86,453 | 11,373 | ||||
Mondelez International Inc. Class A | 171,666 | 8,947 | ||||
Philip Morris International Inc. | 103,881 | 7,621 | ||||
Costco Wholesale Corp. | 21,596 | 6,662 | ||||
Altria Group Inc. | 135,861 | 5,305 | ||||
General Mills Inc. | 72,060 | 4,543 | ||||
Colgate-Palmolive Co. | 56,202 | 4,065 | ||||
Walgreens Boots Alliance Inc. | 89,385 | 3,838 | ||||
Constellation Brands Inc. Class A | 19,968 | 3,449 | ||||
Kroger Co. | 95,618 | 3,119 | ||||
Clorox Co. | 14,964 | 3,086 | ||||
Kimberly-Clark Corp. | 20,845 | 2,948 | ||||
Archer-Daniels-Midland Co. | 66,369 | 2,609 | ||||
Kraft Heinz Co. | 74,252 | 2,263 | ||||
Conagra Brands Inc. | 58,020 | 2,019 | ||||
Kellogg Co. | 29,688 | 1,939 | ||||
Sysco Corp. | 33,383 | 1,841 | ||||
Hormel Foods Corp. | 33,157 | 1,619 | ||||
JM Smucker Co. | 13,599 | 1,549 | ||||
McCormick & Co. Inc. (Non-Voting) | 7,218 | 1,264 | ||||
Tyson Foods Inc. Class A | 18,301 | 1,124 | ||||
* | Monster Beverage Corp. | 15,021 | 1,080 | |||
Church & Dwight Co. Inc. | 13,459 | 1,010 | ||||
Molson Coors Beverage Co. Class B | 22,395 | 850 | ||||
Hershey Co. | 5,834 | 792 | ||||
Campbell Soup Co. | 11,288 | 576 | ||||
Lamb Weston Holdings Inc. | 7,838 | 471 |
Shares | Market Value ($000) | |||||
Coty Inc. Class A | 18,548 | 67 | ||||
130,642 | ||||||
Energy (5.9%) | ||||||
Exxon Mobil Corp. | 504,449 | 22,937 | ||||
Chevron Corp. | 225,438 | 20,673 | ||||
Kinder Morgan Inc. | 232,220 | 3,669 | ||||
Valero Energy Corp. | 48,958 | 3,263 | ||||
Schlumberger Ltd. | 165,054 | 3,049 | ||||
Williams Cos. Inc. | 144,501 | 2,952 | ||||
Marathon Petroleum Corp. | 77,411 | 2,720 | ||||
Phillips 66 | 26,487 | 2,073 | ||||
ONEOK Inc. | 49,244 | 1,807 | ||||
EOG Resources Inc. | 34,676 | 1,767 | ||||
Occidental Petroleum Corp. | 106,491 | 1,379 | ||||
Concho Resources Inc. | 23,961 | 1,306 | ||||
Baker Hughes Co. Class A | 77,481 | 1,279 | ||||
Halliburton Co. | 104,656 | 1,230 | ||||
Diamondback Energy Inc. | 19,207 | 818 | ||||
Pioneer Natural Resources Co. | 7,505 | 687 | ||||
HollyFrontier Corp. | 17,723 | 557 | ||||
Marathon Oil Corp. | 95,537 | 510 | ||||
Devon Energy Corp. | 46,182 | 499 | ||||
Noble Energy Inc. | 57,114 | 499 | ||||
National Oilwell Varco Inc. | 31,644 | 395 | ||||
TechnipFMC plc | 50,209 | 372 | ||||
Cabot Oil & Gas Corp. | 17,960 | 356 | ||||
Apache Corp. | 17,150 | 185 | ||||
Helmerich & Payne Inc. | 54 | 1 | ||||
74,983 | ||||||
Financials (18.4%) | ||||||
* | Berkshire Hathaway Inc. Class B | 233,215 | 43,280 | |||
Bank of America Corp. | 965,219 | 23,281 | ||||
JPMorgan Chase & Co. | 194,456 | 18,922 | ||||
Citigroup Inc. | 260,292 | 12,471 | ||||
Wells Fargo & Co. | 458,869 | 12,146 | ||||
Goldman Sachs Group Inc. | 37,995 | 7,466 | ||||
Chubb Ltd. | 54,035 | 6,589 | ||||
Morgan Stanley | 138,854 | 6,137 | ||||
US Bancorp | 169,458 | 6,026 | ||||
PNC Financial Services Group Inc. | 52,242 | 5,958 | ||||
Truist Financial Corp. | 159,891 | 5,881 | ||||
BlackRock Inc. | 8,900 | 4,705 | ||||
CME Group Inc. | 20,936 | 3,823 | ||||
Capital One Financial Corp. | 55,523 | 3,778 | ||||
Allstate Corp. | 38,624 | 3,778 | ||||
Bank of New York Mellon Corp. | 100,059 | 3,719 | ||||
MetLife Inc. | 93,197 | 3,356 | ||||
Travelers Cos. Inc. | 30,776 | 3,292 | ||||
Aflac Inc. | 87,511 | 3,191 | ||||
American International Group Inc. | 103,719 | 3,118 | ||||
American Express Co. | 31,997 | 3,042 | ||||
Prudential Financial Inc. | 47,928 | 2,922 | ||||
Intercontinental Exchange Inc. | 29,878 | 2,906 | ||||
State Street Corp. | 43,354 | 2,643 | ||||
Marsh & McLennan Cos. Inc. | 23,466 | 2,485 | ||||
Progressive Corp. | 27,185 | 2,112 | ||||
Aon plc Class A | 10,329 | 2,034 |
Shares | Market Value ($000) | |||||
Northern Trust Corp. | 25,263 | 1,996 | ||||
M&T Bank Corp. | 15,733 | 1,662 | ||||
Hartford Financial Services Group Inc. | 42,974 | 1,645 | ||||
Fifth Third Bancorp | 84,606 | 1,640 | ||||
Willis Towers Watson plc | 7,938 | 1,611 | ||||
KeyCorp | 117,427 | 1,391 | ||||
Charles Schwab Corp. | 36,806 | 1,322 | ||||
Regions Financial Corp. | 115,000 | 1,301 | ||||
Citizens Financial Group Inc. | 51,827 | 1,249 | ||||
E*TRADE Financial Corp. | 26,934 | 1,227 | ||||
Principal Financial Group Inc. | 30,786 | 1,189 | ||||
First Republic Bank | 10,227 | 1,106 | ||||
Huntington Bancshares Inc. | 123,118 | 1,094 | ||||
Arthur J Gallagher & Co. | 10,898 | 1,027 | ||||
Raymond James Financial Inc. | 14,720 | 1,020 | ||||
Loews Corp. | 30,498 | 1,014 | ||||
WR Berkley Corp. | 17,300 | 1,002 | ||||
Everest Re Group Ltd. | 4,862 | 965 | ||||
Globe Life Inc. | 11,878 | 915 | ||||
Lincoln National Corp. | 23,643 | 897 | ||||
T. Rowe Price Group Inc. | 7,244 | 876 | ||||
Nasdaq Inc. | 7,250 | 859 | ||||
Assurant Inc. | 7,230 | 742 | ||||
Ameriprise Financial Inc. | 5,287 | 741 | ||||
Discover Financial Services | 14,211 | 675 | ||||
Zions Bancorp NA | 20,321 | 669 | ||||
Franklin Resources Inc. | 33,254 | 627 | ||||
Comerica Inc. | 17,185 | 625 | ||||
People's United Financial Inc. | 52,953 | 606 | ||||
Cincinnati Financial Corp. | 9,783 | 577 | ||||
* | SVB Financial Group | 2,210 | 475 | |||
Unum Group | 24,512 | 371 | ||||
Invesco Ltd. | 44,215 | 352 | ||||
232,529 | ||||||
Health Care (21.2%) | ||||||
UnitedHealth Group Inc. | 112,956 | 34,435 | ||||
Johnson & Johnson | 181,999 | 27,072 | ||||
Pfizer Inc. | 659,812 | 25,198 | ||||
Medtronic plc | 159,809 | 15,754 | ||||
Gilead Sciences Inc. | 150,837 | 11,740 | ||||
Merck & Co. Inc. | 136,598 | 11,026 | ||||
CVS Health Corp. | 155,110 | 10,171 | ||||
AbbVie Inc. | 98,795 | 9,155 | ||||
Anthem Inc. | 30,232 | 8,892 | ||||
Cigna Corp. | 44,522 | 8,785 | ||||
Becton Dickinson and Co. | 35,140 | 8,677 | ||||
Abbott Laboratories | 88,506 | 8,401 | ||||
Bristol-Myers Squibb Co. | 125,769 | 7,511 | ||||
Eli Lilly & Co. | 45,333 | 6,934 | ||||
Amgen Inc. | 29,045 | 6,672 | ||||
* | Biogen Inc. | 21,512 | 6,606 | |||
Humana Inc. | 15,788 | 6,483 | ||||
* | Centene Corp. | 69,606 | 4,611 | |||
Danaher Corp. | 27,009 | 4,500 | ||||
HCA Healthcare Inc. | 31,540 | 3,372 | ||||
Zimmer Biomet Holdings Inc. | 24,523 | 3,098 | ||||
McKesson Corp. | 19,256 | 3,055 | ||||
Baxter International Inc. | 33,481 | 3,014 |
Shares | Market Value ($000) | |||||
* | Boston Scientific Corp. | 68,135 | 2,589 | |||
Stryker Corp. | 13,053 | 2,555 | ||||
* | Illumina Inc. | 7,011 | 2,545 | |||
* | Regeneron Pharmaceuticals Inc. | 3,966 | 2,430 | |||
* | Laboratory Corp. of America Holdings | 11,575 | 2,029 | |||
Cardinal Health Inc. | 34,872 | 1,907 | ||||
Quest Diagnostics Inc. | 16,059 | 1,900 | ||||
AmerisourceBergen Corp. Class A | 17,924 | 1,709 | ||||
Agilent Technologies Inc. | 15,863 | 1,398 | ||||
* | Alexion Pharmaceuticals Inc. | 11,079 | 1,328 | |||
* | Henry Schein Inc. | 17,495 | 1,062 | |||
* | Mylan NV | 61,535 | 1,050 | |||
Cerner Corp. | 13,854 | 1,010 | ||||
Universal Health Services Inc. Class B | 9,576 | 1,010 | ||||
* | IQVIA Holdings Inc. | 6,668 | 997 | |||
Perrigo Co. plc | 16,226 | 889 | ||||
* | DaVita Inc. | 10,692 | 866 | |||
* | Mettler-Toledo International Inc. | 1,074 | 854 | |||
Cooper Cos. Inc. | 2,541 | 805 | ||||
* | Hologic Inc. | 14,705 | 779 | |||
STERIS plc | 4,651 | 772 | ||||
* | Varian Medical Systems Inc. | 4,876 | 592 | |||
* | Waters Corp. | 2,918 | 583 | |||
DENTSPLY SIRONA Inc. | 12,470 | 580 | ||||
PerkinElmer Inc. | 5,702 | 573 | ||||
* | ABIOMED Inc. | 2,308 | 517 | |||
268,491 | ||||||
Industrials (9.1%) | ||||||
3M Co. | 68,563 | 10,726 | ||||
General Electric Co. | 1,041,249 | 6,841 | ||||
Honeywell International Inc. | 46,003 | 6,710 | ||||
Union Pacific Corp. | 31,450 | 5,342 | ||||
Raytheon Technologies Corp. | 82,257 | 5,307 | ||||
Boeing Co. | 35,696 | 5,206 | ||||
United Parcel Service Inc. Class B | 45,952 | 4,582 | ||||
Eaton Corp. plc | 49,287 | 4,184 | ||||
General Dynamics Corp. | 27,941 | 4,103 | ||||
FedEx Corp. | 28,617 | 3,736 | ||||
CSX Corp. | 46,356 | 3,318 | ||||
Caterpillar Inc. | 27,016 | 3,245 | ||||
Johnson Controls International plc | 91,973 | 2,889 | ||||
Norfolk Southern Corp. | 14,299 | 2,549 | ||||
Illinois Tool Works Inc. | 13,602 | 2,346 | ||||
Deere & Co. | 15,391 | 2,341 | ||||
Stanley Black & Decker Inc. | 18,123 | 2,274 | ||||
Fortive Corp. | 35,233 | 2,149 | ||||
Waste Management Inc. | 19,546 | 2,087 | ||||
Emerson Electric Co. | 33,407 | 2,038 | ||||
Southwest Airlines Co. | 62,821 | 2,017 | ||||
Delta Air Lines Inc. | 68,638 | 1,730 | ||||
WW Grainger Inc. | 5,202 | 1,611 | ||||
Jacobs Engineering Group Inc. | 16,150 | 1,357 | ||||
Westinghouse Air Brake Technologies Corp. | 21,711 | 1,326 | ||||
CH Robinson Worldwide Inc. | 16,126 | 1,308 | ||||
Rockwell Automation Inc. | 5,922 | 1,280 | ||||
Parker-Hannifin Corp. | 6,893 | 1,241 | ||||
Otis Worldwide Corp. | 22,732 | 1,197 | ||||
Republic Services Inc. Class A | 13,567 | 1,159 |
Shares | Market Value ($000) | |||||
Cummins Inc. | 6,759 | 1,146 | ||||
Verisk Analytics Inc. Class A | 6,058 | 1,046 | ||||
Trane Technologies plc | 10,855 | 979 | ||||
* | Carrier Global Corp. | 45,462 | 931 | |||
IHS Markit Ltd. | 12,907 | 897 | ||||
Equifax Inc. | 5,773 | 887 | ||||
Snap-on Inc. | 6,539 | 848 | ||||
Fastenal Co. | 20,513 | 846 | ||||
Textron Inc. | 27,214 | 843 | ||||
* | United Airlines Holdings Inc. | 29,723 | 833 | |||
Pentair plc | 20,039 | 784 | ||||
AO Smith Corp. | 16,339 | 776 | ||||
Expeditors International of Washington Inc. | 9,752 | 745 | ||||
Robert Half International Inc. | 14,016 | 711 | ||||
Dover Corp. | 7,101 | 691 | ||||
IDEX Corp. | 3,900 | 622 | ||||
Nielsen Holdings plc | 42,416 | 589 | ||||
Xylem Inc. | 8,804 | 584 | ||||
Alaska Air Group Inc. | 14,647 | 501 | ||||
JB Hunt Transport Services Inc. | 4,173 | 499 | ||||
1 | American Airlines Group Inc. | 46,481 | 488 | |||
Flowserve Corp. | 15,645 | 408 | ||||
Huntington Ingalls Industries Inc. | 1,993 | 398 | ||||
Rollins Inc. | 8,876 | 371 | ||||
Quanta Services Inc. | 9,369 | 346 | ||||
* | Ingersoll Rand Inc. | 11,086 | 313 | |||
Howmet Aerospace Inc. | 23,092 | 302 | ||||
114,583 | ||||||
Information Technology (8.7%) | ||||||
Cisco Systems Inc. | 505,788 | 24,187 | ||||
Intel Corp. | 223,014 | 14,034 | ||||
International Business Machines Corp. | 105,591 | 13,188 | ||||
Fidelity National Information Services Inc. | 73,275 | 10,173 | ||||
Accenture plc Class A | 28,016 | 5,649 | ||||
Oracle Corp. | 103,322 | 5,556 | ||||
Texas Instruments Inc. | 42,352 | 5,029 | ||||
Cognizant Technology Solutions Corp. Class A | 65,285 | 3,460 | ||||
Global Payments Inc. | 18,275 | 3,280 | ||||
Automatic Data Processing Inc. | 19,603 | 2,872 | ||||
HP Inc. | 176,682 | 2,675 | ||||
TE Connectivity Ltd. | 19,936 | 1,620 | ||||
Western Digital Corp. | 35,456 | 1,573 | ||||
Hewlett Packard Enterprise Co. | 154,275 | 1,498 | ||||
* | VeriSign Inc. | 5,789 | 1,268 | |||
Corning Inc. | 48,592 | 1,107 | ||||
* | F5 Networks Inc. | 7,247 | 1,050 | |||
Xilinx Inc. | 11,392 | 1,048 | ||||
Maxim Integrated Products Inc. | 18,066 | 1,042 | ||||
Skyworks Solutions Inc. | 8,530 | 1,011 | ||||
Citrix Systems Inc. | 6,582 | 975 | ||||
Juniper Networks Inc. | 39,899 | 968 | ||||
Paychex Inc. | 12,532 | 906 | ||||
Leidos Holdings Inc. | 7,932 | 835 | ||||
Jack Henry & Associates Inc. | 4,402 | 796 | ||||
NetApp Inc. | 14,693 | 654 | ||||
NortonLifeLock Inc. | 25,976 | 592 | ||||
Seagate Technology plc | 11,025 | 585 | ||||
* | Akamai Technologies Inc. | 5,399 | 571 |
Shares | Market Value ($000) | |||||
Broadridge Financial Solutions Inc. | 4,089 | 495 | ||||
DXC Technology Co. | 30,557 | 434 | ||||
FLIR Systems Inc. | 8,315 | 384 | ||||
* | IPG Photonics Corp. | 2,128 | 331 | |||
Alliance Data Systems Corp. | 4,900 | 227 | ||||
110,073 | ||||||
Materials (3.0%) | ||||||
Newmont Corp. | 97,747 | 5,715 | ||||
DuPont de Nemours Inc. | 88,321 | 4,481 | ||||
Linde plc | 18,573 | 3,758 | ||||
1 | Ecolab Inc. | 14,650 | 3,114 | |||
Corteva Inc. | 89,229 | 2,437 | ||||
Amcor plc | 193,157 | 1,972 | ||||
LyondellBasell Industries NV Class A | 30,608 | 1,952 | ||||
1 | International Flavors & Fragrances Inc. | 12,730 | 1,695 | |||
International Paper Co. | 46,749 | 1,592 | ||||
Nucor Corp. | 36,153 | 1,528 | ||||
PPG Industries Inc. | 13,813 | 1,404 | ||||
Packaging Corp. of America | 11,286 | 1,145 | ||||
Eastman Chemical Co. | 16,208 | 1,103 | ||||
Albemarle Corp. | 12,641 | 967 | ||||
Westrock Co. | 30,745 | 863 | ||||
Ball Corp. | 11,309 | 806 | ||||
CF Industries Holdings Inc. | 25,921 | 761 | ||||
Freeport-McMoRan Inc. | 77,831 | 706 | ||||
Sealed Air Corp. | 18,430 | 592 | ||||
Mosaic Co. | 41,732 | 505 | ||||
Avery Dennison Corp. | 2,895 | 320 | ||||
37,416 | ||||||
Real Estate (3.1%) | ||||||
Digital Realty Trust Inc. | 31,273 | 4,490 | ||||
Crown Castle International Corp. | 20,819 | 3,584 | ||||
Prologis Inc. | 37,847 | 3,463 | ||||
AvalonBay Communities Inc. | 16,650 | 2,598 | ||||
Equity Residential | 41,615 | 2,520 | ||||
Welltower Inc. | 48,374 | 2,451 | ||||
Public Storage | 10,029 | 2,033 | ||||
Weyerhaeuser Co. | 88,833 | 1,794 | ||||
Ventas Inc. | 44,436 | 1,553 | ||||
Simon Property Group Inc. | 21,947 | 1,266 | ||||
Realty Income Corp. | 22,469 | 1,243 | ||||
Alexandria Real Estate Equities Inc. | 6,709 | 1,031 | ||||
Host Hotels & Resorts Inc. | 85,494 | 1,021 | ||||
Essex Property Trust Inc. | 3,938 | 956 | ||||
Iron Mountain Inc. | 34,239 | 882 | ||||
Mid-America Apartment Communities Inc. | 7,477 | 870 | ||||
Regency Centers Corp. | 19,974 | 855 | ||||
Boston Properties Inc. | 9,597 | 825 | ||||
Healthpeak Properties Inc. | 31,266 | 770 | ||||
UDR Inc. | 18,523 | 685 | ||||
Vornado Realty Trust | 18,881 | 684 | ||||
Apartment Investment & Management Co. Class A | 17,742 | 654 | ||||
Extra Space Storage Inc. | 6,498 | 629 | ||||
Duke Realty Corp. | 17,964 | 619 | ||||
Kimco Realty Corp. | 50,383 | 560 | ||||
SL Green Realty Corp. | 9,722 | 410 |
Shares | Market Value ($000) | |||||
Federal Realty Investment Trust | 4,874 | 389 | ||||
38,835 | ||||||
Utilities (6.8%) | ||||||
Dominion Energy Inc. | 98,137 | 8,343 | ||||
Duke Energy Corp. | 86,922 | 7,443 | ||||
Southern Co. | 125,038 | 7,136 | ||||
NextEra Energy Inc. | 27,390 | 7,000 | ||||
American Electric Power Co. Inc. | 58,892 | 5,021 | ||||
Exelon Corp. | 115,902 | 4,440 | ||||
Xcel Energy Inc. | 62,523 | 4,066 | ||||
WEC Energy Group Inc. | 37,608 | 3,450 | ||||
Eversource Energy | 38,600 | 3,231 | ||||
Public Service Enterprise Group Inc. | 60,296 | 3,077 | ||||
Consolidated Edison Inc. | 39,637 | 2,975 | ||||
FirstEnergy Corp. | 64,422 | 2,722 | ||||
PPL Corp. | 91,538 | 2,558 | ||||
Edison International | 42,754 | 2,484 | ||||
DTE Energy Co. | 22,903 | 2,464 | ||||
Entergy Corp. | 23,737 | 2,417 | ||||
Sempra Energy | 18,485 | 2,335 | ||||
Ameren Corp. | 29,334 | 2,192 | ||||
CMS Energy Corp. | 33,839 | 1,982 | ||||
Evergy Inc. | 27,170 | 1,676 | ||||
Atmos Energy Corp. | 14,228 | 1,462 | ||||
Alliant Energy Corp. | 28,655 | 1,414 | ||||
American Water Works Co. Inc. | 10,777 | 1,369 | ||||
CenterPoint Energy Inc. | 59,872 | 1,064 | ||||
NiSource Inc. | 44,534 | 1,061 | ||||
Pinnacle West Capital Corp. | 13,401 | 1,044 | ||||
AES Corp. | 79,146 | 989 | ||||
85,415 | ||||||
Total Common Stocks (Cost $1,346,955) | 1,258,794 | |||||
Coupon | ||||||
Temporary Cash Investments (0.4%) | ||||||
Money Market Fund (0.4%) | ||||||
2,3 | Vanguard Market Liquidity Fund | 0.307% | 44,944 | 4,495 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
U.S. Government and Agency Obligations (0.0%) | ||||||
4 | United States Treasury Bill | 0.212% | 9/15/20 | 25 | 25 | |
Total Temporary Cash Investments (Cost $4,519) | 4,520 | |||||
Total Investments (100.0%) (Cost $1,351,474) | 1,263,314 | |||||
Other Assets and Liabilities-Net (0.0%)3,4 | (58) | |||||
Net Assets (100.0%) | 1,263,256 |
Cost is in $000. | |
* | Non-income-producing security. |
1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $3,364,000. |
2 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
3 | Collateral of $3,542,000 was received for securities on loan. |
4 | Securities with a value of $25,000 and cash of $74,000 have been segregated as initial margin for open futures contracts. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | June 2020 | 5 | 761 | 27 |
Over-the-Counter Total Return Swaps | ||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Floating Interest Rate Received (Paid)1 (%) | Value and Unrealized Appreciation ($000) | Value and Unrealized (Depreciation) ($000) |
Walmart Inc. | 9/2/20 | BOANA | 3,647 | (0.330) | 91 | — |
1 Based on 1-month London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
BOANA—Bank of America, N.A. |
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. 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 as an asset (liability) and 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's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
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.
The following table summarizes the market value of the fund's investments and derivatives as of May 31, 2020, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 1,258,794 | — | — | 1,258,794 |
Temporary Cash Investments | 4,495 | 25 | — | 4,520 |
Total | 1,263,289 | 25 | — | 1,263,314 |
Derivative Financial Instruments | ||||
Assets | ||||
Swap Contracts | — | 91 | — | 91 |
Liabilities | ||||
Futures Contracts1 | 7 | — | — | 7 |
1 | Represents variation margin on the last day of the reporting period. |