Vanguard® Information Technology 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 (99.7%) | |||
Capital Markets (0.0%) | |||
* | Coinbase Global Inc. Class A | 5,229 | 1,237 |
Communications Equipment (3.1%) | |||
Cisco Systems Inc. | 19,179,513 | 1,014,596 | |
Motorola Solutions Inc. | 767,757 | 157,628 | |
* | Arista Networks Inc. | 260,298 | 88,340 |
* | F5 Networks Inc. | 279,983 | 51,917 |
Juniper Networks Inc. | 1,488,901 | 39,203 | |
* | Ciena Corp. | 705,027 | 37,275 |
* | Lumentum Holdings Inc. | 345,017 | 28,074 |
* | Comm Scope Holding Co. Inc. | 908,232 | 18,446 |
* | Viavi Solutions Inc. | 1,041,818 | 18,263 |
* | ViaSat Inc. | 248,030 | 13,190 |
* | Calix Inc. | 254,087 | 11,259 |
* | NetScout Systems Inc. | 334,103 | 9,823 |
* | Infinera Corp. | 776,261 | 7,452 |
* | Extreme Networks Inc. | 570,179 | 6,523 |
* | Plantronics Inc. | 180,150 | 5,909 |
* | NETGEAR Inc. | 139,939 | 5,441 |
* | EchoStar Corp. Class A | 197,247 | 5,225 |
ADTRAN Inc. | 218,940 | 4,337 | |
* | Ribbon Communications Inc. | 427,684 | 3,182 |
* | Harmonic Inc. | 454,994 | 3,171 |
*,1 | Inseego Corp. | 335,911 | 2,889 |
* | Digi International Inc. | 151,601 | 2,874 |
Comtech Telecommunications Corp. | 112,631 | 2,849 | |
* | Cambium Networks Corp. | 41,502 | 2,395 |
* | Casa Systems Inc. | 163,270 | 1,417 |
* | CalAmp Corp. | 30 | — |
1,541,678 | |||
Electronic Equipment, Instruments & Components (3.3%) | |||
TE Connectivity Ltd. | 1,503,304 | 203,968 | |
Amphenol Corp. Class A | 2,722,049 | 183,085 | |
Corning Inc. | 3,491,063 | 152,315 | |
* | Zebra Technologies Corp. Class A | 242,935 | 120,751 |
* | Keysight Technologies Inc. | 845,470 | 120,378 |
CDW Corp. | 649,585 | 107,454 | |
* | Trimble Inc. | 1,136,633 | 88,419 |
Cognex Corp. | 799,594 | 63,480 | |
* | Flex Ltd. | 2,267,718 | 41,431 |
* | Arrow Electronics Inc. | 338,839 | 40,773 |
Jabil Inc. | 649,261 | 36,651 | |
* | IPG Photonics Corp. | 170,526 | 35,684 |
Shares | Market Value ($000) | ||
* | II-VI Inc. | 474,149 | 31,943 |
* | Coherent Inc. | 110,869 | 29,115 |
Littelfuse Inc. | 111,050 | 29,011 | |
* | Vontier Corp. | 769,528 | 26,995 |
SYNNEX Corp. | 200,041 | 25,325 | |
National Instruments Corp. | 597,533 | 24,379 | |
* | Novanta Inc. | 160,477 | 22,302 |
Avnet Inc. | 451,161 | 19,878 | |
* | Itron Inc. | 183,794 | 17,525 |
* | Insight Enterprises Inc. | 158,764 | 16,588 |
* | Rogers Corp. | 85,418 | 16,003 |
* | Fabrinet | 166,194 | 14,906 |
Vishay Intertechnology Inc. | 604,020 | 14,539 | |
* | Plexus Corp. | 130,059 | 12,851 |
Badger Meter Inc. | 131,084 | 12,528 | |
* | Sanmina Corp. | 296,292 | 12,477 |
* | MicroVision Inc. | 717,675 | 11,196 |
Belden Inc. | 204,372 | 10,341 | |
* | Knowles Corp. | 422,338 | 8,675 |
Methode Electronics Inc. | 168,048 | 8,130 | |
* | OSI Systems Inc. | 77,790 | 7,496 |
* | TTM Technologies Inc. | 468,266 | 7,094 |
* | PAR Technology Corp. | 98,248 | 6,579 |
* | FARO Technologies Inc. | 81,810 | 6,189 |
* | ePlus Inc. | 61,455 | 5,812 |
Benchmark Electronics Inc. | 165,989 | 5,137 | |
CTS Corp. | 131,497 | 5,030 | |
* | nLight Inc. | 164,339 | 4,818 |
* | Velodyne Lidar Inc. | 427,351 | 4,124 |
* | ScanSource Inc. | 115,463 | 3,525 |
PC Connection Inc. | 53,684 | 2,619 | |
* | Kimball Electronics Inc. | 114,407 | 2,561 |
* | Arlo Technologies Inc. | 343,693 | 2,306 |
* | Napco Security Technologies Inc. | 66,777 | 2,173 |
* | 908 Devices Inc. | 30,957 | 1,304 |
* | Daktronics Inc. | 32 | — |
* | Vishay Precision Group Inc. | 9 | — |
1,625,863 | |||
IT Services (19.2%) | |||
Visa Inc. Class A | 7,206,217 | 1,637,973 | |
Mastercard Inc. Class A | 4,028,320 | 1,452,532 | |
* | PayPal Holdings Inc. | 5,055,103 | 1,314,428 |
Accenture plc Class A | 2,881,757 | 813,117 | |
International Business Machines Corp. | 4,060,060 | 583,593 | |
Fidelity National Information Services Inc. | 2,821,967 | 420,417 | |
* | Square Inc. Class A | 1,771,197 | 394,127 |
Automatic Data Processing Inc. | 1,944,462 | 381,153 | |
* | Fiserv Inc. | 2,737,563 | 315,367 |
Global Payments Inc. | 1,341,376 | 259,838 | |
* | Twilio Inc. Class A | 727,092 | 244,303 |
Cognizant Technology Solutions Corp. Class A | 2,411,047 | 172,535 | |
Paychex Inc. | 1,474,923 | 149,174 | |
* | Okta Inc. | 550,759 | 122,511 |
* | EPAM Systems Inc. | 254,969 | 121,773 |
* | VeriSign Inc. | 462,459 | 101,704 |
* | FleetCor Technologies Inc. | 360,027 | 98,806 |
* | Gartner Inc. | 402,625 | 93,345 |
* | Akamai Technologies Inc. | 740,643 | 84,589 |
Shares | Market Value ($000) | ||
Broadridge Financial Solutions Inc. | 526,287 | 83,932 | |
* | MongoDB Inc. | 246,448 | 71,948 |
* | GoDaddy Inc. Class A | 770,825 | 62,406 |
Jack Henry & Associates Inc. | 345,703 | 53,290 | |
* | Black Knight Inc. | 713,617 | 52,372 |
Western Union Co. | 1,867,233 | 45,691 | |
* | DXC Technology Co. | 1,156,889 | 43,869 |
* | WEX Inc. | 200,462 | 39,272 |
* | Euronet Worldwide Inc. | 239,151 | 35,787 |
* | Concentrix Corp. | 200,170 | 30,570 |
* | Snowflake Inc. Class A | 114,844 | 27,336 |
Alliance Data Systems Corp. | 214,536 | 25,970 | |
Maximus Inc. | 278,312 | 25,791 | |
*,1 | Fastly Inc. Class A | 441,955 | 20,856 |
* | Sabre Corp. | 1,369,816 | 18,972 |
* | ExlService Holdings Inc. | 151,575 | 15,458 |
* | LiveRamp Holdings Inc. | 303,367 | 15,241 |
* | Shift4 Payments Inc. Class A | 162,551 | 15,164 |
EVERTEC Inc. | 275,895 | 12,010 | |
* | Marathon Digital Holdings Inc. | 448,939 | 11,120 |
* | Perficient Inc. | 150,402 | 10,767 |
* | BigCommerce Holdings Inc. Series 1 | 172,542 | 9,385 |
TTEC Holdings Inc. | 86,056 | 9,329 | |
* | Verra Mobility Corp. Class A | 626,363 | 8,926 |
Switch Inc. Class A | 431,614 | 8,145 | |
* | Repay Holdings Corp. Class A | 345,646 | 7,850 |
* | Sykes Enterprises Inc. | 179,632 | 7,530 |
* | Unisys Corp. | 288,375 | 7,414 |
CSG Systems International Inc. | 150,434 | 6,625 | |
* | Cardtronics plc Class A | 164,171 | 6,391 |
* | Evo Payments Inc. Class A | 210,559 | 6,030 |
* | Conduent Inc. | 762,780 | 5,782 |
* | Rackspace Technology Inc. | 187,605 | 3,786 |
* | Tucows Inc. Class A | 41,403 | 3,234 |
* | Paya Holdings Inc. Class A | 317,857 | 3,153 |
* | I3 Verticals Inc. Class A | 96,249 | 2,990 |
* | Cantaloupe Inc. | 242,601 | 2,962 |
Cass Information Systems Inc. | 62,242 | 2,840 | |
* | Brightcove Inc. | 155,604 | 2,256 |
Hackett Group Inc. | 114,536 | 2,040 | |
* | International Money Express Inc. | 127,032 | 1,940 |
* | Grid Dynamics Holdings Inc. | 114,541 | 1,760 |
* | Paysign Inc. | 5,458 | 18 |
*,1 | GTT Communications Inc. | 23 | — |
* | GreenSky Inc. Class A | 46 | — |
* | Limelight Networks Inc. | 105 | — |
9,589,493 | |||
Semiconductors & Semiconductor Equipment (19.6%) | |||
NVIDIA Corp. | 2,812,368 | 1,827,421 | |
Intel Corp. | 18,459,684 | 1,054,417 | |
Broadcom Inc. | 1,854,751 | 876,055 | |
Texas Instruments Inc. | 4,181,013 | 793,640 | |
QUALCOMM Inc. | 5,161,269 | 694,397 | |
Applied Materials Inc. | 4,169,404 | 575,920 | |
* | Advanced Micro Devices Inc. | 5,504,422 | 440,794 |
* | Micron Technology Inc. | 5,082,628 | 427,652 |
Lam Research Corp. | 649,298 | 421,946 | |
Analog Devices Inc. | 1,676,031 | 275,875 |
Shares | Market Value ($000) | ||
NXP Semiconductors NV | 1,258,523 | 266,077 | |
KLA Corp. | 699,998 | 221,822 | |
Microchip Technology Inc. | 1,223,243 | 191,988 | |
Marvell Technology Inc. | 3,636,285 | 175,633 | |
Xilinx Inc. | 1,114,306 | 141,517 | |
Skyworks Solutions Inc. | 749,160 | 127,357 | |
Maxim Integrated Products Inc. | 1,217,819 | 124,230 | |
Teradyne Inc. | 757,267 | 100,224 | |
* | Qorvo Inc. | 514,572 | 94,023 |
* | Enphase Energy Inc. | 556,906 | 79,665 |
* | ON Semiconductor Corp. | 1,871,476 | 74,934 |
Entegris Inc. | 613,142 | 70,174 | |
Monolithic Power Systems Inc. | 195,379 | 67,038 | |
* | SolarEdge Technologies Inc. | 234,319 | 60,457 |
* | Cree Inc. | 504,697 | 50,475 |
MKS Instruments Inc. | 250,765 | 47,202 | |
Universal Display Corp. | 203,333 | 43,891 | |
Brooks Automation Inc. | 337,517 | 34,457 | |
* | First Solar Inc. | 433,376 | 32,984 |
* | Lattice Semiconductor Corp. | 617,310 | 32,761 |
* | Silicon Laboratories Inc. | 200,185 | 27,337 |
Power Integrations Inc. | 273,380 | 22,469 | |
* | Cirrus Logic Inc. | 264,994 | 20,688 |
CMC Materials Inc. | 132,935 | 20,516 | |
* | Synaptics Inc. | 157,727 | 19,926 |
* | Semtech Corp. | 293,536 | 18,493 |
Advanced Energy Industries Inc. | 172,778 | 17,625 | |
* | Ambarella Inc. | 160,596 | 16,121 |
* | Onto Innovation Inc. | 222,829 | 15,992 |
* | Diodes Inc. | 201,784 | 15,269 |
Kulicke & Soffa Industries Inc. | 283,804 | 14,729 | |
* | MACOM Technology Solutions Holdings Inc. Class H | 217,135 | 12,854 |
* | FormFactor Inc. | 353,020 | 12,444 |
* | MaxLinear Inc. | 321,336 | 12,217 |
Amkor Technology Inc. | 498,288 | 10,514 | |
* | Ultra Clean Holdings Inc. | 184,803 | 10,410 |
* | Rambus Inc. | 520,059 | 10,172 |
* | SunPower Corp. | 387,573 | 9,065 |
* | Cohu Inc. | 214,174 | 7,972 |
* | Ichor Holdings Ltd. | 128,872 | 7,250 |
* | Allegro MicroSystems Inc. | 258,011 | 6,763 |
* | Axcelis Technologies Inc. | 152,366 | 6,314 |
* | Sitime Corp. | 55,054 | 5,413 |
* | Veeco Instruments Inc. | 226,063 | 5,385 |
* | CEVA Inc. | 102,133 | 4,583 |
* | Magnachip Semiconductor Corp. | 188,789 | 4,474 |
* | ACM Research Inc. Class A | 57,521 | 4,370 |
* | Impinj Inc. | 78,492 | 4,086 |
* | Photronics Inc. | 279,214 | 3,781 |
* | SMART Global Holdings Inc. | 78,682 | 3,730 |
* | Alpha & Omega Semiconductor Ltd. | 91,717 | 2,954 |
* | PDF Solutions Inc. | 132,058 | 2,303 |
* | NeoPhotonics Corp. | 219,272 | 2,239 |
NVE Corp. | 4 | — | |
9,783,484 | |||
Software (33.9%) | |||
Microsoft Corp. | 32,553,967 | 8,128,074 | |
* | Adobe Inc. | 2,174,907 | 1,097,415 |
Shares | Market Value ($000) | ||
* | salesforce.com Inc. | 4,169,645 | 992,792 |
Oracle Corp. | 8,694,486 | 684,604 | |
Intuit Inc. | 1,244,144 | 546,291 | |
* | ServiceNow Inc. | 890,972 | 422,214 |
* | Zoom Video Communications Inc. Class A | 929,595 | 308,189 |
* | Autodesk Inc. | 998,986 | 285,570 |
* | Workday Inc. Class A | 817,817 | 187,051 |
* | Crowdstrike Holdings Inc. Class A | 812,708 | 180,543 |
* | Synopsys Inc. | 692,230 | 176,062 |
* | DocuSign Inc. Class A | 847,573 | 170,888 |
* | Cadence Design Systems Inc. | 1,267,448 | 160,953 |
* | Palo Alto Networks Inc. | 441,834 | 160,496 |
* | Fortinet Inc. | 630,231 | 137,731 |
* | ANSYS Inc. | 394,093 | 133,180 |
* | Trade Desk Inc. Class A | 193,539 | 113,828 |
* | HubSpot Inc. | 199,844 | 100,797 |
* | Slack Technologies Inc. Class A | 2,164,662 | 95,332 |
* | RingCentral Inc. Class A | 342,388 | 89,867 |
* | Splunk Inc. | 734,545 | 89,027 |
* | Cloudflare Inc. Class A | 1,023,563 | 83,994 |
* | Coupa Software Inc. | 327,885 | 78,102 |
SS&C Technologies Holdings Inc. | 1,053,708 | 77,837 | |
* | Paycom Software Inc. | 232,403 | 76,600 |
* | Tyler Technologies Inc. | 184,439 | 74,358 |
NortonLifeLock Inc. | 2,643,959 | 73,132 | |
* | Zendesk Inc. | 534,249 | 73,010 |
* | Datadog Inc. Class A | 794,185 | 72,311 |
* | Zscaler Inc. | 365,861 | 71,050 |
* | Nuance Communications Inc. | 1,295,454 | 68,530 |
* | PTC Inc. | 504,174 | 67,630 |
* | Fair Isaac Corp. | 133,027 | 67,320 |
Citrix Systems Inc. | 558,598 | 64,216 | |
*,1 | VMware Inc. Class A | 381,907 | 60,299 |
* | Palantir Technologies Inc. Class A | 2,388,169 | 54,808 |
* | Ceridian HCM Holding Inc. | 607,467 | 54,344 |
* | Five9 Inc. | 299,844 | 53,102 |
* | Avalara Inc. | 388,123 | 51,298 |
* | Bill.Com Holdings Inc. | 317,800 | 47,327 |
* | Proofpoint Inc. | 260,821 | 45,072 |
Bentley Systems Inc. Class B | 779,672 | 44,722 | |
* | Dynatrace Inc. | 833,523 | 43,126 |
* | Aspen Technology Inc. | 307,814 | 42,007 |
* | Manhattan Associates Inc. | 290,526 | 39,506 |
* | Dropbox Inc. Class A | 1,433,992 | 39,220 |
* | Guidewire Software Inc. | 361,384 | 35,322 |
* | Elastic NV | 285,101 | 33,702 |
* | Smartsheet Inc. Class A | 527,600 | 31,171 |
* | Anaplan Inc. | 580,141 | 29,883 |
* | Paylocity Holding Corp. | 173,393 | 29,447 |
Dolby Laboratories Inc. Class A | 297,582 | 29,026 | |
CDK Global Inc. | 550,839 | 28,831 | |
* | Nutanix Inc. Class A | 879,153 | 27,702 |
* | Digital Turbine Inc. | 385,975 | 25,540 |
* | Blackline Inc. | 236,278 | 24,566 |
* | J2 Global Inc. | 196,119 | 24,423 |
* | FireEye Inc. | 1,084,020 | 24,250 |
* | Unity Software Inc. | 252,549 | 23,856 |
* | Teradata Corp. | 494,570 | 23,675 |
Shares | Market Value ($000) | ||
* | Q2 Holdings Inc. | 239,908 | 22,774 |
* | Varonis Systems Inc. Class B | 470,062 | 22,704 |
Pegasystems Inc. | 184,052 | 21,744 | |
* | Alteryx Inc. Class A | 267,694 | 20,819 |
* | Sailpoint Technologies Holdings Inc. | 414,453 | 19,284 |
* | Everbridge Inc. | 161,917 | 19,025 |
* | Rapid7 Inc. | 224,634 | 18,791 |
* | ACI Worldwide Inc. | 479,676 | 18,352 |
* | Envestnet Inc. | 246,245 | 17,722 |
* | Alarm.com Holdings Inc. | 213,937 | 17,517 |
* | Box Inc. Class A | 726,245 | 16,929 |
* | Cerence Inc. | 171,223 | 16,288 |
* | MicroStrategy Inc. Class A | 34,640 | 16,281 |
* | Workiva Inc. Class A | 170,328 | 16,164 |
* | New Relic Inc. | 257,784 | 16,158 |
* | LivePerson Inc. | 290,751 | 15,977 |
* | SPS Commerce Inc. | 160,957 | 15,107 |
* | Vonage Holdings Corp. | 1,074,765 | 14,810 |
* | Qualys Inc. | 151,688 | 14,665 |
* | CommVault Systems Inc. | 192,249 | 14,644 |
* | Appian Corp. Class A | 159,405 | 14,423 |
* | Blackbaud Inc. | 197,669 | 13,973 |
* | Mimecast Ltd. | 277,028 | 13,849 |
* | Tenable Holdings Inc. | 330,825 | 13,828 |
* | Verint Systems Inc. | 298,198 | 13,750 |
* | Altair Engineering Inc. Class A | 200,926 | 13,536 |
* | Cloudera Inc. | 1,041,971 | 13,400 |
* | PagerDuty Inc. | 297,578 | 12,097 |
* | Sprout Social Inc. Class A | 170,373 | 11,827 |
* | Medallia Inc. | 444,125 | 11,401 |
InterDigital Inc. | 138,297 | 11,172 | |
* | Cornerstone OnDemand Inc. | 249,977 | 10,991 |
* | Avaya Holdings Corp. | 381,516 | 10,942 |
* | 8x8 Inc. | 460,597 | 10,847 |
* | SVMK Inc. | 556,575 | 10,825 |
* | Asana Inc. Class A | 290,249 | 10,675 |
* | Riot Blockchain Inc. | 382,231 | 10,370 |
Xperi Holding Corp. | 481,693 | 10,318 | |
* | Appfolio Inc. Class A | 74,250 | 10,016 |
* | Qualtrics International Inc. Class A | 283,990 | 9,781 |
Progress Software Corp. | 200,608 | 8,941 | |
* | PROS Holdings Inc. | 193,909 | 8,604 |
* | Domo Inc. Class B | 121,230 | 8,062 |
* | nCino Inc. | 128,544 | 7,857 |
* | Zuora Inc. Class A | 499,571 | 7,728 |
* | Bottomline Technologies DE Inc. | 205,553 | 7,684 |
*,1 | JFrog Ltd. | 169,837 | 7,091 |
* | Duck Creek Technologies Inc. | 179,312 | 7,049 |
* | C3.ai Inc. Class A | 110,653 | 6,828 |
* | Yext Inc. | 443,409 | 6,416 |
* | SolarWinds Corp. | 358,321 | 5,930 |
* | Jamf Holding Corp. | 160,403 | 5,563 |
* | Agilysys Inc. | 102,020 | 5,182 |
* | Model N Inc. | 143,177 | 5,107 |
* | Ideanomics Inc. | 1,714,527 | 4,938 |
* | Ping Identity Holding Corp. | 202,892 | 4,892 |
* | Upland Software Inc. | 113,370 | 4,647 |
McAfee Corp.Class A | 184,625 | 4,640 |
Shares | Market Value ($000) | ||
QAD Inc. Class A | 56,879 | 4,065 | |
* | OneSpan Inc. | 147,526 | 3,858 |
Ebix Inc. | 122,927 | 3,368 | |
* | Mitek Systems Inc. | 190,556 | 3,232 |
American Software Inc. Class A | 144,377 | 2,905 | |
* | A10 Networks Inc. | 259,523 | 2,525 |
* | Telos Corp. | 74,867 | 2,462 |
* | Cleanspark Inc. | 146,288 | 2,452 |
* | Vertex Inc. Class A | 118,689 | 2,280 |
* | Digimarc Corp. | 56,719 | 1,972 |
*,1 | AppLovin Corp. Class A | 14,781 | 1,098 |
*,1 | UiPath Inc. Class A | 12,877 | 1,028 |
* | Rimini Street Inc. | 154,562 | 1,006 |
* | SecureWorks Corp. Class A | 37,800 | 532 |
* | Benefitfocus Inc. | 25 | — |
* | Intelligent Systems Corp. | 5 | — |
* | ShotSpotter Inc. | 7 | — |
* | VirnetX Holding Corp. | 55 | — |
* | Zix Corp. | 49 | — |
16,918,937 | |||
Technology Hardware, Storage & Peripherals (20.6%) | |||
Apple Inc. | 76,275,004 | 9,504,628 | |
HP Inc. | 5,664,530 | 165,574 | |
* | Dell Technologies Inc. Class C | 1,198,001 | 118,171 |
* | Western Digital Corp. | 1,390,722 | 104,624 |
Hewlett Packard Enterprise Co. | 5,905,632 | 94,254 | |
Seagate Technology Holdings plc | 966,619 | 92,554 | |
NetApp Inc. | 1,014,923 | 78,525 | |
* | NCR Corp. | 588,002 | 28,342 |
* | Pure Storage Inc. Class A | 1,177,143 | 22,424 |
Xerox Holdings Corp. | 769,594 | 18,047 | |
* | 3D Systems Corp. | 566,132 | 16,650 |
* | Super Micro Computer Inc. | 183,272 | 6,367 |
* | Avid Technology Inc. | 151,197 | 4,669 |
* | Diebold Nixdorf Inc. | 336,039 | 4,550 |
* | Corsair Gaming Inc. | 125,545 | 3,919 |
10,263,298 | |||
Total Common Stocks (Cost $27,575,532) | 49,723,990 | ||
Temporary Cash Investments (0.4%) | |||
Money Market Fund (0.4%) | |||
2,3 | Vanguard Market Liquidity Fund, 0.055% (Cost $188,819) | 1,888,627 | 188,863 |
Total Investments (100.1%) (Cost $27,764,351) | 49,912,853 | ||
Other Assets and Liabilities—Net (-0.1%) | (42,265) | ||
Net Assets (100.0%) | 49,870,588 | ||
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 $64,522,000. |
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 $67,289,000 was received for securities on loan. |
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 NASDAQ 100 Index | June 2021 | 123 | 33,669 | 1,339 |
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) |
Visa Inc. | 8/31/21 | BOANA | 113,650 | (0.007) | 159 | — |
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. |
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).
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 | 49,723,990 | — | — | 49,723,990 |
Temporary Cash Investments | 188,863 | — | — | 188,863 |
Total | 49,912,853 | — | — | 49,912,853 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 1,339 | — | — | 1,339 |
Swap Contracts | — | 159 | — | 159 |
Total | 1,339 | 159 | — | 1,498 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |