Vanguard® Industrials Index Fund
Schedule of Investments (unaudited)
As of May 31, 2021
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 (99.9%) | |||
Aerospace & Defense (15.9%) | |||
* | Boeing Co. | 779,431 | 192,535 |
Raytheon Technologies Corp. | 2,137,665 | 189,632 | |
Lockheed Martin Corp. | 354,560 | 135,513 | |
Northrop Grumman Corp. | 222,823 | 81,524 | |
General Dynamics Corp. | 342,388 | 65,023 | |
L3Harris Technologies Inc. | 271,662 | 59,239 | |
* | TransDigm Group Inc. | 73,161 | 47,470 |
* | Teledyne Technologies Inc. | 65,199 | 27,349 |
Textron Inc. | 318,122 | 21,782 | |
* | Howmet Aerospace Inc. | 548,641 | 19,466 |
HEICO Corp. Class A | 102,603 | 13,591 | |
* | Axon Enterprise Inc. | 89,344 | 12,561 |
Huntington Ingalls Industries Inc. | 56,680 | 12,255 | |
HEICO Corp. | 60,924 | 8,557 | |
BWX Technologies Inc. | 133,554 | 8,352 | |
Spirit AeroSystems Holdings Inc. Class A | 148,383 | 7,302 | |
Curtiss-Wright Corp. | 57,553 | 7,213 | |
* | Hexcel Corp. | 117,602 | 6,993 |
*,1 | Virgin Galactic Holdings Inc. | 181,207 | 5,659 |
* | Mercury Systems Inc. | 78,931 | 5,166 |
Aerojet Rocketdyne Holdings Inc. | 92,650 | 4,489 | |
* | Kratos Defense & Security Solutions Inc. | 173,578 | 4,341 |
Moog Inc. Class A | 41,274 | 3,723 | |
* | AeroVironment Inc. | 32,195 | 3,529 |
Maxar Technologies Inc. | 100,274 | 3,118 | |
* | AAR Corp. | 47,424 | 1,980 |
Kaman Corp. | 35,081 | 1,888 | |
* | Triumph Group Inc. | 77,302 | 1,486 |
* | Parsons Corp. | 36,074 | 1,429 |
* | Vectrus Inc. | 16,322 | 833 |
* | Ducommun Inc. | 14,881 | 800 |
National Presto Industries Inc. | 7,405 | 751 | |
* | PAE Inc. | 89,655 | 728 |
* | Astronics Corp. | 33,314 | 565 |
Cubic Corp. | 38 | 3 | |
Park Aerospace Corp. | 22 | — | |
956,845 | |||
Air Freight & Logistics (6.8%) | |||
United Parcel Service Inc. Class B | 1,012,179 | 217,214 | |
FedEx Corp. | 354,414 | 111,573 | |
Expeditors International of Washington Inc. | 238,120 | 29,929 | |
CH Robinson Worldwide Inc. | 188,133 | 18,253 |
Shares | Market Value ($000) | ||
* | XPO Logistics Inc. | 122,141 | 17,946 |
Forward Air Corp. | 38,678 | 3,748 | |
* | Hub Group Inc. Class A | 47,170 | 3,293 |
* | Atlas Air Worldwide Holdings Inc. | 40,483 | 3,033 |
* | Air Transport Services Group Inc. | 83,752 | 2,080 |
* | Echo Global Logistics Inc. | 37,194 | 1,271 |
* | Radiant Logistics Inc. | 44 | — |
408,340 | |||
Airlines (3.0%) | |||
* | Southwest Airlines Co. | 832,565 | 51,170 |
* | Delta Air Lines Inc. | 897,173 | 42,777 |
* | United Airlines Holdings Inc. | 438,401 | 25,581 |
* | American Airlines Group Inc. | 899,297 | 21,799 |
* | Alaska Air Group Inc. | 174,647 | 12,086 |
* | JetBlue Airways Corp. | 441,538 | 8,875 |
* | Spirit Airlines Inc. | 152,374 | 5,441 |
* | Allegiant Travel Co. | 19,585 | 4,337 |
* | SkyWest Inc. | 70,777 | 3,470 |
* | Hawaiian Holdings Inc. | 68,140 | 1,758 |
177,294 | |||
Building Products (6.4%) | |||
Johnson Controls International plc | 1,013,758 | 67,456 | |
Trane Technologies plc | 335,546 | 62,546 | |
Carrier Global Corp. | 1,162,488 | 53,393 | |
Masco Corp. | 361,520 | 21,803 | |
Fortune Brands Home & Security Inc. | 194,954 | 20,111 | |
Allegion plc | 127,563 | 17,920 | |
Lennox International Inc. | 47,746 | 16,708 | |
* | Trex Co. Inc. | 162,801 | 15,858 |
Owens Corning | 147,513 | 15,732 | |
A O Smith Corp. | 190,853 | 13,564 | |
* | Builders FirstSource Inc. | 273,968 | 12,203 |
Advanced Drainage Systems Inc. | 74,733 | 8,476 | |
Armstrong World Industries Inc. | 67,187 | 7,145 | |
Simpson Manufacturing Co. Inc. | 61,056 | 6,858 | |
UFP Industries Inc. | 86,021 | 6,840 | |
* | Resideo Technologies Inc. | 191,171 | 5,716 |
* | AZEK Co. Inc. Class A | 130,537 | 5,682 |
* | Masonite International Corp. | 32,636 | 3,902 |
AAON Inc. | 58,813 | 3,896 | |
* | Gibraltar Industries Inc. | 45,792 | 3,638 |
* | JELD-WEN Holding Inc. | 99,232 | 2,780 |
CSW Industrials Inc. | 20,808 | 2,535 | |
* | American Woodmark Corp. | 23,902 | 2,078 |
* | PGT Innovations Inc. | 82,841 | 2,001 |
Griffon Corp. | 67,503 | 1,775 | |
Apogee Enterprises Inc. | 36,567 | 1,390 | |
Quanex Building Products Corp. | 46,440 | 1,237 | |
* | Cornerstone Building Brands Inc. | 70,977 | 1,204 |
Insteel Industries Inc. | 27,152 | 949 | |
385,396 | |||
Commercial Services & Supplies (6.2%) | |||
Waste Management Inc. | 595,327 | 83,751 | |
Cintas Corp. | 133,127 | 47,066 | |
Waste Connections Inc. | 368,677 | 44,772 | |
* | Copart Inc. | 299,481 | 38,636 |
Republic Services Inc. Class A | 313,850 | 34,266 |
Shares | Market Value ($000) | ||
* | IAA Inc. | 189,172 | 10,777 |
Rollins Inc. | 311,376 | 10,615 | |
* | Stericycle Inc. | 128,800 | 10,119 |
Tetra Tech Inc. | 76,241 | 9,109 | |
MSA Safety Inc. | 52,213 | 8,775 | |
* | Clean Harbors Inc. | 73,191 | 6,814 |
Brink's Co. | 69,501 | 5,241 | |
* | Casella Waste Systems Inc. Class A | 70,451 | 4,750 |
UniFirst Corp. | 21,393 | 4,742 | |
ABM Industries Inc. | 94,309 | 4,705 | |
Herman Miller Inc. | 82,923 | 3,964 | |
Brady Corp. Class A | 68,177 | 3,902 | |
* | KAR Auction Services Inc. | 182,346 | 3,271 |
Healthcare Services Group Inc. | 105,054 | 3,151 | |
HNI Corp. | 60,059 | 2,740 | |
Deluxe Corp. | 59,091 | 2,692 | |
* | Harsco Corp. | 110,968 | 2,488 |
Covanta Holding Corp. | 167,017 | 2,474 | |
* | Cimpress plc | 23,767 | 2,360 |
ADT Inc. | 213,176 | 2,204 | |
Pitney Bowes Inc. | 243,609 | 2,041 | |
Knoll Inc. | 67,703 | 1,760 | |
* | U.S. Ecology Inc. | 44,311 | 1,756 |
Matthews International Corp. Class A | 44,536 | 1,740 | |
Steelcase Inc. Class A | 117,776 | 1,704 | |
* | Montrose Environmental Group Inc. | 30,092 | 1,509 |
Interface Inc. Class A | 82,487 | 1,348 | |
* | CoreCivic Inc. | 167,567 | 1,312 |
* | Viad Corp. | 28,436 | 1,255 |
ACCO Brands Corp. | 134,069 | 1,221 | |
* | SP Plus Corp. | 32,519 | 1,063 |
* | BrightView Holdings Inc. | 59,123 | 1,026 |
Ennis Inc. | 40,080 | 840 | |
VSE Corp. | 15,148 | 721 | |
Kimball International Inc. Class B | 52,344 | 697 | |
* | Heritage-Crystal Clean Inc. | 21,571 | 664 |
* | Team Inc. | 2,934 | 25 |
* | Quad/Graphics Inc. | 41 | — |
374,066 | |||
Construction & Engineering (1.7%) | |||
Quanta Services Inc. | 196,232 | 18,711 | |
* | AECOM | 197,306 | 12,827 |
EMCOR Group Inc. | 77,041 | 9,716 | |
* | MasTec Inc. | 83,464 | 9,709 |
Valmont Industries Inc. | 29,827 | 7,397 | |
* | WillScot Mobile Mini Holdings Corp. | 240,505 | 6,975 |
Arcosa Inc. | 67,734 | 4,301 | |
Comfort Systems USA Inc. | 50,872 | 4,217 | |
*,2 | API Group Corp. | 196,801 | 4,162 |
* | Fluor Corp. | 197,824 | 3,660 |
* | Dycom Industries Inc. | 44,867 | 3,361 |
Granite Construction Inc. | 64,222 | 2,592 | |
Primoris Services Corp. | 69,097 | 2,197 | |
* | MYR Group Inc. | 23,517 | 2,047 |
* | Ameresco Inc. Class A | 33,590 | 1,806 |
* | NV5 Global Inc. | 17,635 | 1,611 |
* | Great Lakes Dredge & Dock Corp. | 91,887 | 1,342 |
* | Construction Partners Inc. Class A | 40,673 | 1,310 |
Shares | Market Value ($000) | ||
Argan Inc. | 22,063 | 1,083 | |
* | Tutor Perini Corp. | 64,407 | 997 |
* | Sterling Construction Co. Inc. | 39,419 | 887 |
* | IES Holdings Inc. | 13,130 | 697 |
* | Matrix Service Co. | 32 | — |
101,605 | |||
Electrical Equipment (6.8%) | |||
Eaton Corp. plc | 560,236 | 81,374 | |
Emerson Electric Co. | 844,369 | 80,798 | |
AMETEK Inc. | 324,587 | 43,852 | |
Rockwell Automation Inc. | 163,527 | 43,125 | |
* | Generac Holdings Inc. | 88,375 | 29,051 |
* | Plug Power Inc. | 706,432 | 21,687 |
Hubbell Inc. Class B | 76,338 | 14,553 | |
* | Sensata Technologies Holding plc | 221,635 | 13,172 |
* | Sunrun Inc. | 242,021 | 10,823 |
Acuity Brands Inc. | 50,650 | 9,408 | |
Vertiv Holdings Co. Class A | 360,622 | 8,951 | |
Regal Beloit Corp. | 57,089 | 8,120 | |
nVent Electric plc | 236,434 | 7,693 | |
EnerSys | 60,013 | 5,656 | |
* | Atkore Inc. | 65,549 | 5,060 |
* | Bloom Energy Corp. Class A | 202,469 | 4,894 |
* | FuelCell Energy Inc. | 452,911 | 4,448 |
GrafTech International Ltd. | 244,173 | 3,243 | |
* | Vicor Corp. | 31,018 | 2,794 |
* | Array Technologies Inc. | 160,565 | 2,617 |
* | TPI Composites Inc. | 51,397 | 2,482 |
Encore Wire Corp. | 28,975 | 2,382 | |
AZZ Inc. | 35,661 | 1,907 | |
* | Romeo Power Inc. | 124,829 | 1,058 |
* | Thermon Group Holdings Inc. | 46,855 | 817 |
Allied Motion Technologies Inc. | 16,318 | 578 | |
* | Eos Energy Enterprises Inc. | 21,842 | 443 |
Powell Industries Inc. | 11 | — | |
410,986 | |||
Industrial Conglomerates (10.8%) | |||
Honeywell International Inc. | 978,310 | 225,901 | |
General Electric Co. | 12,337,828 | 173,470 | |
3M Co. | 814,425 | 165,361 | |
Roper Technologies Inc. | 147,679 | 66,457 | |
Carlisle Cos. Inc. | 74,921 | 14,409 | |
Raven Industries Inc. | 50,405 | 2,224 | |
647,822 | |||
Machinery (20.3%) | |||
Caterpillar Inc. | 767,074 | 184,926 | |
Deere & Co. | 418,970 | 151,290 | |
Illinois Tool Works Inc. | 445,178 | 103,174 | |
Parker-Hannifin Corp. | 181,690 | 55,988 | |
Cummins Inc. | 207,820 | 53,468 | |
Stanley Black & Decker Inc. | 226,469 | 49,098 | |
Otis Worldwide Corp. | 579,959 | 45,428 | |
PACCAR Inc. | 488,395 | 44,717 | |
Fortive Corp. | 452,089 | 32,785 | |
Dover Corp. | 202,345 | 30,453 | |
Xylem Inc. | 254,121 | 30,017 | |
* | Ingersoll Rand Inc. | 529,650 | 26,292 |
Shares | Market Value ($000) | ||
IDEX Corp. | 106,956 | 23,815 | |
Westinghouse Air Brake Technologies Corp. | 253,121 | 20,948 | |
Snap-on Inc. | 76,199 | 19,402 | |
Graco Inc. | 237,260 | 17,965 | |
Toro Co. | 151,866 | 16,871 | |
Nordson Corp. | 73,529 | 16,301 | |
Pentair plc | 233,464 | 16,102 | |
* | Middleby Corp. | 78,182 | 12,844 |
Oshkosh Corp. | 96,139 | 12,636 | |
AGCO Corp. | 89,503 | 12,385 | |
ITT Inc. | 121,605 | 11,419 | |
Donaldson Co. Inc. | 177,474 | 10,931 | |
Woodward Inc. | 84,198 | 10,708 | |
Lincoln Electric Holdings Inc. | 79,682 | 10,246 | |
Timken Co. | 95,796 | 8,473 | |
Rexnord Corp. | 168,133 | 8,402 | |
Flowserve Corp. | 183,153 | 7,764 | |
* | Colfax Corp. | 167,704 | 7,413 |
* | Chart Industries Inc. | 50,696 | 7,399 |
* | RBC Bearings Inc. | 35,344 | 6,920 |
Allison Transmission Holdings Inc. | 156,219 | 6,610 | |
John Bean Technologies Corp. | 44,608 | 6,425 | |
Crane Co. | 65,414 | 6,246 | |
Altra Industrial Motion Corp. | 90,978 | 5,976 | |
Watts Water Technologies Inc. Class A | 38,617 | 5,248 | |
* | Evoqua Water Technologies Corp. | 168,215 | 5,235 |
Terex Corp. | 97,566 | 5,110 | |
Hillenbrand Inc. | 105,504 | 4,811 | |
* | Welbilt Inc. | 189,003 | 4,670 |
Franklin Electric Co. Inc. | 55,243 | 4,634 | |
Kennametal Inc. | 111,571 | 4,185 | |
SPX FLOW Inc. | 59,256 | 4,067 | |
* | SPX Corp. | 62,958 | 3,943 |
Albany International Corp. Class A | 43,160 | 3,856 | |
Federal Signal Corp. | 85,106 | 3,615 | |
Barnes Group Inc. | 67,641 | 3,613 | |
* | Proto Labs Inc. | 38,806 | 3,469 |
ESCO Technologies Inc. | 36,604 | 3,464 | |
Mueller Industries Inc. | 72,250 | 3,355 | |
*,1 | Nikola Corp. | 220,388 | 3,297 |
Trinity Industries Inc. | 117,018 | 3,251 | |
Mueller Water Products Inc. Class A | 222,714 | 3,223 | |
* | Navistar International Corp. | 70,028 | 3,097 |
Helios Technologies Inc. | 42,888 | 3,047 | |
Kadant Inc. | 16,181 | 2,719 | |
* | Meritor Inc. | 101,968 | 2,651 |
EnPro Industries Inc. | 27,421 | 2,522 | |
Lindsay Corp. | 15,274 | 2,515 | |
Enerpac Tool Group Corp. Class A | 84,169 | 2,306 | |
Alamo Group Inc. | 14,202 | 2,190 | |
Tennant Co. | 26,031 | 2,154 | |
Astec Industries Inc. | 30,192 | 2,069 | |
Greenbrier Cos. Inc. | 46,141 | 2,049 | |
* | Desktop Metal Inc. Class A | 154,533 | 2,041 |
Columbus McKinnon Corp. | 38,929 | 1,974 | |
* | TriMas Corp. | 60,475 | 1,961 |
Shyft Group Inc. | 44,555 | 1,737 | |
Standex International Corp. | 17,305 | 1,724 |
Shares | Market Value ($000) | ||
* | Gates Industrial Corp. plc | 81,773 | 1,485 |
Douglas Dynamics Inc. | 32,320 | 1,417 | |
* | Hyliion Holdings Corp. | 131,541 | 1,382 |
* | Manitowoc Co. Inc. | 48,377 | 1,249 |
Wabash National Corp. | 73,174 | 1,167 | |
* | CIRCOR International Inc. | 28,113 | 1,058 |
Gorman-Rupp Co. | 29,364 | 1,057 | |
* | Hydrofarm Holdings Group Inc. | 16,645 | 1,037 |
* | Energy Recovery Inc. | 51,277 | 975 |
Luxfer Holdings plc | 40,768 | 932 | |
* | Lydall Inc. | 22,597 | 822 |
* | REV Group Inc. | 40,764 | 763 |
Hyster-Yale Materials Handling Inc. | 10,021 | 757 | |
* | Titan International Inc. | 78,107 | 726 |
Miller Industries Inc. | 16,288 | 682 | |
* | Blue Bird Corp. | 22,870 | 598 |
* | NN Inc. | 46 | — |
Park-Ohio Holdings Corp. | 9 | — | |
1,217,746 | |||
Marine (0.2%) | |||
* | Kirby Corp. | 84,461 | 5,518 |
Matson Inc. | 60,554 | 3,915 | |
Genco Shipping & Trading Ltd. | 38,186 | 603 | |
* | Eagle Bulk Shipping Inc. | 7,683 | 364 |
10,400 | |||
Professional Services (7.0%) | |||
IHS Markit Ltd. | 530,229 | 55,838 | |
* | CoStar Group Inc. | 55,482 | 47,382 |
Equifax Inc. | 171,231 | 40,246 | |
Verisk Analytics Inc. Class A | 217,752 | 37,634 | |
TransUnion | 268,637 | 28,744 | |
Jacobs Engineering Group Inc. | 182,874 | 25,983 | |
Leidos Holdings Inc. | 189,506 | 19,472 | |
Booz Allen Hamilton Holding Corp. Class A | 193,592 | 16,442 | |
Robert Half International Inc. | 159,028 | 14,120 | |
* | Clarivate plc | 469,773 | 14,112 |
Nielsen Holdings plc | 477,841 | 13,002 | |
ManpowerGroup Inc. | 77,309 | 9,354 | |
* | CACI International Inc. Class A | 35,470 | 9,044 |
KBR Inc. | 197,994 | 8,066 | |
CoreLogic Inc. | 97,706 | 7,768 | |
* | ASGN Inc. | 74,362 | 7,666 |
* | Upwork Inc. | 158,069 | 7,440 |
Science Applications International Corp. | 81,844 | 7,355 | |
Exponent Inc. | 72,576 | 6,621 | |
* | FTI Consulting Inc. | 48,138 | 6,621 |
Korn Ferry | 75,903 | 4,965 | |
Insperity Inc. | 51,028 | 4,704 | |
* | TriNet Group Inc. | 55,660 | 4,194 |
* | Dun & Bradstreet Holdings Inc. | 181,086 | 3,888 |
ManTech International Corp. Class A | 38,388 | 3,340 | |
ICF International Inc. | 26,508 | 2,330 | |
* | CBIZ Inc. | 68,424 | 2,272 |
* | Huron Consulting Group Inc. | 32,000 | 1,751 |
Kforce Inc. | 27,766 | 1,741 | |
* | TrueBlue Inc. | 50,141 | 1,360 |
* | Kelly Services Inc. Class A | 48,333 | 1,241 |
Shares | Market Value ($000) | ||
Heidrick & Struggles International Inc. | 27,374 | 1,178 | |
CRA International Inc. | 10,808 | 885 | |
Barrett Business Services Inc. | 10,756 | 801 | |
* | Forrester Research Inc. | 16,205 | 695 |
Resources Connection Inc. | 43,845 | 639 | |
* | Willdan Group Inc. | 17,248 | 627 |
* | Rekor Systems Inc. | 42,987 | 483 |
* | Mistras Group Inc. | 21 | — |
420,004 | |||
Road & Rail (11.4%) | |||
Union Pacific Corp. | 942,220 | 211,745 | |
CSX Corp. | 1,072,641 | 107,393 | |
Norfolk Southern Corp. | 354,372 | 99,543 | |
* | Uber Technologies Inc. | 1,693,775 | 86,095 |
Kansas City Southern | 127,724 | 38,021 | |
Old Dominion Freight Line Inc. | 140,015 | 37,167 | |
* | Lyft Inc. Class A | 359,838 | 20,543 |
JB Hunt Transport Services Inc. | 118,886 | 20,394 | |
Knight-Swift Transportation Holdings Inc. | 221,205 | 10,558 | |
Landstar System Inc. | 53,966 | 9,201 | |
* | Saia Inc. | 37,015 | 8,519 |
AMERCO | 13,784 | 7,926 | |
* | Avis Budget Group Inc. | 73,647 | 6,468 |
Ryder System Inc. | 75,489 | 6,174 | |
Werner Enterprises Inc. | 86,054 | 4,130 | |
ArcBest Corp. | 35,689 | 2,778 | |
*,1 | TuSimple Holdings Inc. Class A | 52,916 | 2,029 |
Schneider National Inc. Class B | 79,541 | 1,948 | |
Marten Transport Ltd. | 87,203 | 1,488 | |
Heartland Express Inc. | 73,083 | 1,326 | |
* | Daseke Inc. | 64,189 | 465 |
* | U.S. Xpress Enterprises Inc. Class A | 35,766 | 402 |
Universal Logistics Holdings Inc. | 11,344 | 284 | |
* | Covenant Logistics Group Inc. Class A | 14 | — |
684,597 | |||
Trading Companies & Distributors (3.3%) | |||
Fastenal Co. | 808,504 | 42,883 | |
* | United Rentals Inc. | 101,762 | 33,984 |
WW Grainger Inc. | 62,714 | 28,984 | |
Watsco Inc. | 46,208 | 13,465 | |
* | SiteOne Landscape Supply Inc. | 62,250 | 10,710 |
Air Lease Corp. Class A | 152,079 | 7,157 | |
* | WESCO International Inc. | 63,351 | 6,751 |
* | Univar Solutions Inc. | 238,121 | 6,451 |
MSC Industrial Direct Co. Inc. Class A | 65,672 | 6,199 | |
Applied Industrial Technologies Inc. | 54,586 | 5,347 | |
Triton International Ltd. | 94,544 | 5,129 | |
GATX Corp. | 46,869 | 4,624 | |
* | Beacon Roofing Supply Inc. | 78,050 | 4,421 |
Boise Cascade Co. | 55,105 | 3,636 | |
* | Herc Holdings Inc. | 28,928 | 3,327 |
McGrath RentCorp. | 33,914 | 2,907 | |
Rush Enterprises Inc. Class A | 60,094 | 2,873 | |
* | GMS Inc. | 53,997 | 2,473 |
H&E Equipment Services Inc. | 45,679 | 1,708 | |
* | NOW Inc. | 155,579 | 1,629 |
* | Veritiv Corp. | 21,328 | 1,310 |
Shares | Market Value ($000) | ||
* | MRC Global Inc. | 109,659 | 1,178 |
CAI International Inc. | 23,452 | 1,007 | |
* | Titan Machinery Inc. | 26,931 | 826 |
* | DXP Enterprises Inc. | 23,456 | 725 |
Systemax Inc. | 18,644 | 640 | |
* | EVI Industries Inc. | 1,207 | 36 |
200,380 | |||
Transportation Infrastructure (0.1%) | |||
Macquarie Infrastructure Corp. | 104,448 | 3,643 | |
Total Common Stocks (Cost $4,620,849) | 5,999,124 | ||
Temporary Cash Investments (0.2%) | |||
Money Market Fund (0.2%) | |||
3,4 | Vanguard Market Liquidity Fund, 0.055% (Cost $9,804) | 98,046 | 9,804 |
Total Investments (100.1%) (Cost $4,630,653) | 6,008,928 | ||
Other Assets and Liabilities—Net (-0.1%) | (6,232) | ||
Net Assets (100.0%) | 6,002,696 | ||
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 $9,468,000. |
2 | 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 May 31, 2021, the aggregate value was $4,162,000, representing 0.1% of net assets. |
3 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
4 | Collateral of $9,805,000 was received for securities on loan, of which $9,804,000 is held in Vanguard Market Liquidity Fund and $1,000 is held in cash. |
Derivative Financial Instruments Outstanding as of Period End
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) |
L3Harris Technologies Inc. | 8/31/21 | BOANA | 5,233 | (0.107) | 24 | — |
1 | Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
1M—1-month. | |
BOANA—Bank of America, N.A. |
At May 31, 2021, the counterparties had deposited in segregated accounts cash of $510,000 in connection with open over-the-counter swap contracts.
A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.
B. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. Fluctuations in the value of the contracts are recorded as an asset (liability).
The fund had no open futures contracts at May 31, 2021.
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.
A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as an asset (liability) and as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap, at which time realized gain (loss) is recorded.
D. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund’s investments and derivatives as of May 31, 2021, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 5,999,124 | — | — | 5,999,124 |
Temporary Cash Investments | 9,804 | — | — | 9,804 |
Total | 6,008,928 | — | — | 6,008,928 |
Derivative Financial Instruments | ||||
Assets | ||||
Swap Contracts | — | 24 | — | 24 |