N-Q 1 worldfund_final.htm worldfund_final.htm - Generated by SEC Publisher for SEC Filing

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT COMPANY

Investment Company Act file number: 811-01027

Name of Registrant: Vanguard World Fund

Address of Registrant:
P.O. Box 2600
Valley Forge, PA 19482

Name and address of agent for service:
Heidi Stam, Esquire
P.O. Box 876
Valley Forge, PA 19482

Date of fiscal year end: February 28

Date of reporting period: May 31, 2016

Item 1: Schedule of Investments


Vanguard U.S. Growth Fund    
 
 
 
Schedule of Investments    
As of May 31, 2016    
 
      Market
      Value
    Shares ($000)
Common Stocks (94.5%)1    
Consumer Discretionary (20.2%)    
* Amazon.com Inc. 328,233 237,244
  Home Depot Inc. 957,217 126,467
* Liberty Interactive Corp. QVC Group Class A 4,181,048 112,805
* TripAdvisor Inc. 1,329,779 90,079
* Liberty Global plc 1,743,116 62,979
* O'Reilly Automotive Inc. 208,423 55,113
  Lowe's Cos. Inc. 594,305 47,622
  L Brands Inc. 693,770 47,558
  NIKE Inc. Class B 768,616 42,443
  Dollar General Corp. 455,700 40,967
  DR Horton Inc. 1,275,441 38,977
  Starbucks Corp. 638,699 35,058
  Lennar Corp. Class A 755,712 34,438
  Tesla Motors Inc. 144,581 32,275
* Discovery Communications Inc. 1,190,139 31,860
* Priceline Group Inc. 25,068 31,694
* Chipotle Mexican Grill Inc. Class A 58,775 25,976
  Harman International Industries Inc. 315,304 24,669
* AutoZone Inc. 30,917 23,565
  Ross Stores Inc. 434,302 23,192
  Netflix Inc. 211,925 21,737
  VF Corp. 341,600 21,289
  Las Vegas Sands Corp. 459,055 21,227
* Liberty Global plc Class A 562,511 21,010
  Harley-Davidson Inc. 423,556 19,649
* Discovery Communications Inc. Class A 661,314 18,418
  Under Armour Inc. 443,407 15,506
* Under Armour Inc. Class A 355,433 13,410
  Wyndham Worldwide Corp. 189,622 12,779
  Industria de Diseno Textil SA ADR 629,788 10,580
  Dunkin' Brands Group Inc. 203,897 8,827
  Walt Disney Co. 86,256 8,558
^ Wayfair Inc. 206,516 8,504
  Marriott International Inc./MD Class A 120,150 7,935
  McDonald's Corp. 53,710 6,556
  CarMax Inc. 96,382 5,172
  Shake Shack Inc. Class A 51,553 1,974
  JD.com Inc. ADR 32,395 797
      1,388,909
Consumer Staples (5.3%)    
  Walgreens Boots Alliance Inc. 1,338,167 103,574
  Estee Lauder Cos. Inc. Class A 690,133 63,340
  Monster Beverage Corp. 392,422 58,863
  Mondelez International Inc. Class A 1,038,131 46,187
  Kroger Co. 879,600 31,455
  PepsiCo Inc. 265,378 26,848
  CVS Health Corp. 155,732 15,020
  Costco Wholesale Corp. 65,098 9,685

 


 

Brown-Forman Corp. Class B 44,236 4,338
Colgate-Palmolive Co. 61,283 4,315
    363,625
Energy (0.4%)    
Schlumberger Ltd. 224,500 17,129
Concho Resources Inc. 41,671 5,056
Apache Corp. 33,175 1,896
* Cobalt International Energy Inc. 662,380 1,484
    25,565
Financials (8.9%)    
Intercontinental Exchange Inc. 450,887 122,244
Crown Castle International Corp. 1,276,778 115,944
Equinix Inc. 231,541 83,818
* Markel Corp. 52,690 50,214
MarketAxess Holdings Inc. 344,004 48,140
American Tower Corporation 350,148 37,039
Marsh & McLennan Cos. Inc. 490,686 32,420
MSCI Inc. Class A 297,056 23,702
* Affiliated Managers Group Inc. 119,800 20,788
First Republic Bank/CA 278,994 20,202
Moody's Corp. 179,900 17,745
M&T Bank Corp. 100,368 11,994
American Express Co. 116,856 7,684
TD Ameritrade Holding Corp. 187,930 6,140
Morgan Stanley 204,208 5,589
Interactive Brokers Group Inc. 112,900 4,536
    608,199
Health Care (16.1%)    
Allergan plc 666,448 157,115
* Celgene Corp. 1,388,519 146,516
* Biogen Inc. 444,210 128,701
Bristol-Myers Squibb Co. 1,605,197 115,093
Novo Nordisk A/S ADR 1,412,806 79,174
UnitedHealth Group Inc. 454,755 60,787
DENTSPLY SIRONA Inc. 939,939 58,427
* Cerner Corp. 932,311 51,846
* Illumina Inc. 310,699 44,999
Medtronic plc 460,269 37,042
* Edwards Lifesciences Corp. 370,678 36,512
* Regeneron Pharmaceuticals Inc. 83,868 33,457
Zoetis Inc. 562,700 26,683
* IDEXX Laboratories Inc. 304,172 26,636
Gilead Sciences Inc. 205,870 17,923
* IMS Health Holdings Inc. 580,111 15,147
BioMarin Pharmaceutical Inc. 123,598 11,081
ABIOMED Inc. 98,510 9,783
Alexion Pharmaceuticals Inc. 60,901 9,190
Waters Corp. 61,715 8,489
Shire plc ADR 41,615 7,747
^ Juno Therapeutics Inc. 146,900 6,380
Genomic Health Inc. 203,823 5,462
Alnylam Pharmaceuticals Inc. 62,926 4,513
Vertex Pharmaceuticals Inc. 36,994 3,446
Seattle Genetics Inc. 45,430 1,837
    1,103,986

 


 

Industrials (7.3%)    
Nielsen Holdings plc 1,971,752 105,272
* Verisk Analytics Inc. Class A 491,595 39,028
Fortune Brands Home & Security Inc. 639,785 37,536
Equifax Inc. 290,175 36,484
Union Pacific Corp. 412,200 34,703
* TransDigm Group Inc. 129,327 34,083
TransUnion 912,343 30,199
* IHS Inc. Class A 241,451 29,682
AMETEK Inc. 493,272 23,588
* Stericycle Inc. 235,267 23,054
Lockheed Martin Corp. 85,006 20,081
Danaher Corp. 196,803 19,357
Watsco Inc. 134,441 18,046
Kansas City Southern 146,601 13,648
JB Hunt Transport Services Inc. 132,323 10,946
Boeing Co. 69,012 8,706
Wabtec Corp./DE 111,300 8,612
NOW Inc. 436,642 7,571
    500,596
Information Technology (34.7%)    
* Facebook Inc. Class A 2,133,458 253,476
Alphabet Inc. Class C 337,947 248,634
Visa Inc. Class A 2,688,835 212,257
MasterCard Inc. Class A 2,158,635 207,013
Microsoft Corp. 2,945,550 156,114
Alphabet Inc. Class A 199,482 149,382
Apple Inc. 1,481,964 147,989
PayPal Holdings Inc. 3,469,521 131,113
QUALCOMM Inc. 2,268,948 124,611
* Electronic Arts Inc. 1,500,094 115,132
* eBay Inc. 3,069,779 75,087
* Adobe Systems Inc. 698,809 69,511
Intuit Inc. 508,995 54,289
* salesforce.com Inc. 645,173 54,007
* Workday Inc. Class A 479,432 36,360
* ServiceNow Inc. 507,597 36,359
* FleetCor Technologies Inc. 223,637 33,297
CDW Corp./DE 776,935 33,066
* Alibaba Group Holding Ltd. ADR 402,272 32,986
Global Payments Inc. 384,888 29,902
Texas Instruments Inc. 483,100 29,276
* Red Hat Inc. 372,447 28,850
* Alliance Data Systems Corp. 126,142 28,028
* Cognizant Technology Solutions Corp. Class A 431,312 26,500
Accenture plc Class A 130,400 15,514
^ Zillow Group Inc. 465,932 13,363
^ GrubHub Inc. 388,290 9,936
Tencent Holdings Ltd. 434,910 9,691
Tableau Software Inc. Class A 136,500 7,022
Palo Alto Networks Inc. 40,273 5,254
Splunk Inc. 83,132 4,776
Zillow Group Inc. Class A 27,624 808
    2,379,603
Materials (1.3%)    
Sherwin-Williams Co. 126,125 36,714

 


 

Eagle Materials Inc.     263,196 20,614
Martin Marietta Materials Inc.     100,741 19,044
PPG Industries Inc.     157,600 16,970
        93,342
Other (0.0%)        
*,2 WeWork Class A PP     52,398 2,630
3 Vanguard Growth ETF     3,100 335
        2,965
Telecommunication Services (0.3%)        
* SBA Communications Corp. Class A     195,841 19,467
    
Total Common Stocks (Cost $4,771,159)       6,486,257
Preferred Stocks (1.6%)        
*,2 Uber Technologies PP     1,408,784 68,709
*,2 WeWork Pfd. D1 PP     260,418 13,071
*,2 WeWork Pfd. D2 PP     204,614 10,270
*,2 Pinterest Prf G PP     1,596,475 10,026
*,2 Cloudera, Inc. Pfd.     300,088 5,426
Total Preferred Stocks (Cost $45,428)       107,502
Convertible Preferred Stocks (0.2%)        
*,2 Airbnb Inc. (Cost $11,928)     128,123 15,324
 
  Coupon      
Temporary Cash Investments (4.0%)1        
Money Market Fund (3.6%)        
4,5 Vanguard Market Liquidity Fund 0.523%   242,684,924 242,685
 
      Face  
    Maturity Amount  
    Date ($000)  
Repurchase Agreement (0.2%)        
Bank of America Securities, LLC        
(Dated 5/31/16, Repurchase Value        
$15,500,000, collateralized by Government        
National Mortgage Assn. 3.500%, 3/20/45,        
with a value of $15,810,000) 0.300% 6/1/16 15,500 15,500
 
U.S. Government and Agency Obligations (0.2%)        
6,7 Federal Home Loan Bank Discount Notes 0.572% 7/6/16 5,000 4,998
6,7 Federal Home Loan Bank Discount Notes 0.335% 7/22/16 10,000 9,995
        14,993
Total Temporary Cash Investments (Cost $273,177)       273,178
Total Investments (100.3%) (Cost $5,101,692)       6,882,261
Other Assets and Liabilities-Net (-0.3%)5       (18,647)
Net Assets (100%)       6,863,614

* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $8,232,000.
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 96.9% and 1.6%, respectively, of net assets.
2 Restricted securities totaling $125,456,000 represents 1.8% of net assets.
3 Considered an affiliated company of the fund as the issuer is another member of The Vanguard Group.


 

4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
5 Includes $8,383,000 of collateral received for securities on loan.
6 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
7 Securities with a value of $6,897,000 have been segregated as initial margin for open futures contracts.
ADR—American Depositary Receipt.
PP—Private Placement

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 affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the fund's pricing time. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity 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. Other temporary cash investments are valued at amortized cost, which approximates market value.

B. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund's pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).

C. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty's default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.

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.


 

U.S. Growth Fund

Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the market value of the fund's investments as of May 31, 2016, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 6,473,936 9,691 2,630
Preferred Stocks 107,502
Convertible Preferred Stocks 15,324
Temporary Cash Investments 242,685 30,493
Futures Contracts—Assets1 9
Futures Contracts—Liabilities1 (174)
Total 6,716,456 40,184 125,456
1 Represents variation margin on the last day of the reporting period.      

 

The determination of Level 3 fair value measurements is governed by documented policies and procedures adopted by the board of trustees. The board has designated a pricing review committee, as an agent of the board, to ensure the timely analysis and valuation of Level 3 securities held by the fund in accordance with established policies and procedures. The pricing review committee employs various methods for calibrating valuation approaches, including a regular review of key inputs and assumptions, transactional back-testing or disposition analysis, and reviews of any related market activity. All valuation decisions made by the pricing review committee are reported to the board on a quarterly basis for review and ratification. The board reviews the adequacy of the fair value measurement policies and procedures in place on an annual basis.

The following table summarizes changes in investments valued based on Level 3 inputs during the period ended May 31, 2016. Transfers into or out of Level 3 are recognized based on values as of the date of transfer.

  Investments in
  Common Stocks,
  Preferred Stocks,
  and Convertible
  Preferred Stocks
Amount Valued Based on Level 3 Inputs ($000)
Balance as of August 31, 2015 106,035
Change in Unrealized Appreciation (Depreciation) 19,421
Balance as of May 31, 2016 125,456
Net change in unrealized appreciation (depreciation) from investments still held as of May 31, 2016, was $19,421,000.

 


 

U.S. Growth Fund

The following table provides quantitative information about the significant unobservable inputs used in fair value measurement as of May 31, 2016:

                                           
Security Type Fair Value Valuation Technique Unobservable Input Amount
  ($000)      
                               
Common Stocks 2,630 Market Approach Recent Market $50.192
      Transaction  
                                
Preferred Stocks 107,502 Market Approach Recent Market 50.192
      Transaction  
      Recent Market  
      Transaction 48.772
      Comparable  
      Company Approach 18.080
      Comparable 6.280
      Company Approach  
         
                                  
Convertible 15,324 Market Approach Comparable 119.600
Preferred Stocks     Company Approach  

 

E. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. 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.

Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).


 

U.S. Growth Fund

At May 31, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short)  (Depreciation)
E-mini S&P 500 Index June 2016 1,449 151,776 2,165
E-mini S&P Mid-Cap 400 Index June 2016 94 14,023 931
        3,096

 

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.

F. At May 31, 2016, the cost of investment securities for tax purposes was $5,101,692,000. Net unrealized appreciation of investment securities for tax purposes was $1,780,569,000, consisting of unrealized gains of $1,967,858,000 on securities that had risen in value since their purchase and $187,289,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard International Growth Fund    
 
 
 
Schedule of Investments    
As of May 31, 2016    
 
      Market
      Value
    Shares ($000)
Common Stocks (98.7%)1    
Australia (0.7%)    
  Brambles Ltd. 8,481,440 78,601
  Amcor Ltd. 3,421,164 40,194
  Orica Ltd. 3,443,000 33,759
      152,554
Brazil (0.9%)    
  Raia Drogasil SA 5,577,249 89,116
  BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros 12,567,800 55,368
  Banco Bradesco SA Preference Shares 5,032,500 31,753
  Telefonica Brasil SA Preference Shares 2,257,600 26,171
      202,408
Canada (2.5%)    
  Toronto-Dominion Bank 5,042,277 219,594
  Canadian Pacific Railway Ltd. 577,967 74,803
  Suncor Energy Inc. 2,338,884 64,601
  Gildan Activewear Inc. 1,635,500 48,728
  Bank of Nova Scotia 955,000 46,710
  ShawCor Ltd. 1,569,000 37,653
  First Quantum Minerals Ltd. 5,000,000 32,790
      524,879
China (13.5%)    
  Tencent Holdings Ltd. 39,628,700 883,080
* Baidu Inc. ADR 3,791,332 676,905
* Alibaba Group Holding Ltd. ADR 7,600,608 623,250
* Ctrip.com International Ltd. ADR 5,754,467 263,324
  New Oriental Education & Technology Group Inc. ADR 3,301,491 139,488
* JD.com Inc. ADR 4,233,914 104,197
*,2 Internet Plus Holdings Ltd. 18,638,108 71,943
* China Pacific Insurance Group Co. Ltd. 20,549,400 70,615
  CNOOC Ltd. 26,763,000 31,864
      2,864,666
Denmark (2.4%)    
* Genmab A/S 906,214 163,788
  Novozymes A/S 3,172,000 150,928
  Novo Nordisk A/S Class B 1,871,763 104,751
  Chr Hansen Holding A/S 1,508,200 95,616
      515,083
France (4.4%)    
  L'Oreal SA 978,915 184,200
  Essilor International SA 1,313,021 171,542
  Kering 983,955 158,975
  Schneider Electric SE 1,681,034 108,675
  Danone SA 860,525 60,454
^ Societe Generale SA 1,397,000 57,646
  Airbus Group SE 914,000 56,875
^ TOTAL SA 1,044,851 50,675
  Sanofi 590,723 48,553

 


 

^ Publicis Groupe SA 670,000 48,537
      946,132
Germany (8.2%)    
  SAP SE 3,147,515 254,918
*,3 Zalando SE 8,631,658 253,183
  BASF SE 2,874,396 222,241
  Fresenius Medical Care AG & Co. KGaA 1,702,815 147,886
  Bayerische Motoren Werke AG 1,572,032 132,840
  GEA Group AG 2,144,983 99,526
  Continental AG 426,615 91,603
  HeidelbergCement AG 1,046,393 89,587
*,2,4 Home24 AG 23,630 66,927
  Bayer AG 649,000 61,809
*,^,3 Rocket Internet SE 2,558,215 57,539
  MTU Aero Engines AG 548,000 51,798
*,2 HelloFresh 2,151,234 49,858
  adidas AG 295,000 37,766
^ HUGO BOSS AG 603,000 37,114
* MorphoSys AG 604,515 33,928
*,2 CureVac GmbH 12,600 29,930
*,^ AIXTRON SE 3,130,112 19,710
      1,738,163
Hong Kong (4.9%)    
  AIA Group Ltd. 123,737,400 726,599
  Jardine Matheson Holdings Ltd. 2,765,725 157,646
  Hong Kong Exchanges and Clearing Ltd. 4,582,630 109,736
  Techtronic Industries Co. Ltd. 12,200,000 48,993
      1,042,974
India (2.4%)    
  Housing Development Finance Corp. Ltd. 7,692,900 141,446
  HDFC Bank Ltd. 5,800,790 101,847
  Idea Cellular Ltd. 52,437,143 89,507
  Zee Entertainment Enterprises Ltd. 12,596,830 82,945
*,2 ANI Technologies 1,231 51,182
*,2,3 Flipkart G Series 338,176 34,714
*,2,3 Flipkart H Series 135,569 14,463
      516,104
Indonesia (0.2%)    
  Bank Mandiri Persero Tbk PT 75,060,100 49,726
 
Ireland (0.8%)    
  Kerry Group plc Class A 1,782,700 160,931
 
Israel (1.5%)    
*,^ Check Point Software Technologies Ltd. 2,404,636 204,322
  Teva Pharmaceutical Industries Ltd. ADR 2,093,232 108,576
      312,898
Italy (2.8%)    
^ Fiat Chrysler Automobiles NV 33,048,917 236,059
^ Ferrari NV 3,683,415 156,303
  EXOR SPA 3,114,856 118,232
^ Intesa Sanpaolo SPA (Registered) 34,122,801 87,569
      598,163
Japan (12.4%)    
  SoftBank Group Corp. 7,665,200 427,060

 


 

SMC Corp. 1,352,500 341,651
M3 Inc. 10,534,700 300,831
Rakuten Inc. 19,991,600 212,621
Bridgestone Corp. 4,950,800 169,442
Sumitomo Mitsui Financial Group Inc. 5,181,700 167,418
Kubota Corp. 7,171,600 104,385
Sekisui Chemical Co. Ltd. 7,826,300 101,415
KDDI Corp. 2,998,200 86,980
Pigeon Corp. 2,913,900 78,650
Tokio Marine Holdings Inc. 2,127,000 73,006
Japan Tobacco Inc. 1,813,000 71,497
ORIX Corp. 4,884,500 67,348
Keyence Corp. 101,000 63,598
Toyota Motor Corp. 1,227,000 63,449
MISUMI Group Inc. 4,100,000 62,429
Astellas Pharma Inc. 4,437,440 60,296
Suntory Beverage & Food Ltd. 1,222,500 57,189
SBI Holdings Inc. 4,470,400 46,253
Suzuki Motor Corp. 1,634,600 41,651
FANUC Corp. 258,900 39,431
    2,636,600
Luxembourg (0.3%)    
*,2 Spotify Technology SA 26,474 59,000
 
Mexico (0.2%)    
Grupo Financiero Banorte SAB de CV 9,940,521 51,979
 
Netherlands (1.6%)    
ASML Holding NV 2,148,173 214,279
Akzo Nobel NV 962,326 65,252
ING Groep NV 5,172,000 64,001
    343,532
Norway (1.3%)    
Statoil ASA 8,042,413 127,137
Schibsted ASA Class A 1,760,994 54,627
Schibsted ASA Class B 1,760,994 52,217
DNB ASA 3,826,713 48,952
    282,933
Other (0.2%)    
5 Vanguard FTSE All-World ex-US ETF 1,128,434 49,324
 
Peru (0.1%)    
Credicorp Ltd. 126,716 17,766
 
Portugal (0.3%)    
Jeronimo Martins SGPS SA 3,627,182 58,799
 
Singapore (0.2%)    
DBS Group Holdings Ltd. 3,690,748 41,531
 
South Africa (0.2%)    
Sasol Ltd. 1,150,000 34,786
 
South Korea (1.9%)    
*,^ Celltrion Inc. 1,951,529 162,113
NAVER Corp. 248,730 150,022

 


 

  Samsung Electronics Co. Ltd. 49,700 53,795
  Hankook Tire Co. Ltd. 955,000 41,015
      406,945
Spain (4.8%)    
  Industria de Diseno Textil SA 18,131,315 612,559
  Banco Bilbao Vizcaya Argentaria SA 29,698,313 196,645
^ Banco Popular Espanol SA 71,441,840 117,625
^ Distribuidora Internacional de Alimentacion SA 12,745,795 76,214
* Banco Popular Espanol SA Rights Exp. 06/11/2016 71,441,840 17,806
      1,020,849
Sweden (5.1%)    
^ Atlas Copco AB Class A 12,605,874 325,761
  Svenska Handelsbanken AB Class A 22,936,064 293,764
  Investment AB Kinnevik 8,819,732 214,742
^ Assa Abloy AB Class B 5,586,355 115,973
^ Elekta AB Class B 8,638,260 68,117
^ Alfa Laval AB 3,483,662 52,676
  Investment AB Kinnevik 8,819,732 18,927
      1,089,960
Switzerland (4.4%)    
  Nestle SA 3,458,213 255,561
  Roche Holding AG 850,456 223,377
  Syngenta AG 375,554 147,677
  Cie Financiere Richemont SA 2,061,828 121,530
  Novartis AG 907,000 72,081
  Lonza Group AG 411,191 71,026
  LafargeHolcim Ltd. 988,500 44,497
      935,749
Taiwan (1.1%)    
  Taiwan Semiconductor Manufacturing Co. Ltd. 48,491,000 232,016
 
Thailand (0.6%)    
  Kasikornbank PCL (Foreign) 25,403,256 124,964
 
United Kingdom (11.8%)    
  ARM Holdings plc 20,289,788 290,628
  Rolls-Royce Holdings plc 32,389,110 290,429
  Prudential plc 12,778,412 254,766
^ Royal Dutch Shell plc Class A 5,824,946 141,561
  Reckitt Benckiser Group plc 1,289,796 128,411
  Vodafone Group plc 33,213,182 110,923
  Aggreko plc 6,818,283 110,894
  Diageo plc 3,725,942 101,104
  Lloyds Banking Group plc 96,639,659 100,597
  BHP Billiton plc 8,318,325 98,038
  Standard Chartered plc 12,113,392 92,535
  Burberry Group plc 5,827,453 90,489
  Capita plc 5,799,519 89,162
  Unilever plc 1,520,000 69,236
  Carnival plc 1,384,294 68,132
  GlaxoSmithKline plc 3,237,792 67,666
*,2 Skyscanner 366,415 54,168
  WPP plc 2,343,263 54,040
*,^ Ocado Group plc 12,833,540 50,296
  Ultra Electronics Holdings plc 1,720,000 43,096
  Inchcape plc 4,370,000 43,051

 


 

  Intertek Group plc     943,000 42,796
  Spectris plc     1,650,000 40,038
  G4S plc     14,450,000 39,011
  Barclays plc     14,765,339 38,859
  HSBC Holdings plc     1
          2,509,926
United States (7.0%)        
* Amazon.com Inc.     861,531 622,706
* Illumina Inc.     2,127,202 308,083
*,^ Tesla Motors Inc.     1,178,679 263,116
  MercadoLibre Inc.     1,215,300 165,888
  Samsonite International SA     21,190,000 63,409
  ResMed Inc.     994,000 58,706
          1,481,908
Total Common Stocks (Cost $18,312,227)       21,003,248
Preferred Stock (0.2%)        
*,2,4 You & Mr. Jones (Cost $44,800)     44,800,000 44,800
    Coupon      
Temporary Cash Investments (5.4%)1        
Money Market Fund (5.4%)        
6,7 Vanguard Market Liquidity Fund 0.523%   1,143,640,350 1,143,640
 
        Face  
      Maturity Amount  
      Date ($000)  
U.S. Government and Agency Obligations (0.0%)        
8,9 Federal Home Loan Bank Discount Notes 0.450% 8/19/16 4,900 4,896
8 Federal Home Loan Bank Discount Notes 0.511% 10/12/16 1,100 1,098
          5,994
Total Temporary Cash Investments (Cost $1,149,633)       1,149,634
Total Investments (104.3%) (Cost $19,506,660)       22,197,682
Other Assets and Liabilities-Net (-4.3%)7,10       (915,984)
Net Assets (100%)       21,281,698

* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $843,442,000.
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 99.0% and 5.1%, respectively, of net assets.
2 Restricted securities totaling $476,985,000, representing 2.2% of net assets.
3 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, 2016, the aggregate value of these securities was $359,899,000, representing 1.7% of net assets.
4 Considered an affiliated company of the fund as the fund owns more than 5% of the outstanding voting securities of such company.
5 Considered an affiliated company of the fund as the issuer is another member of The Vanguard Group.
6 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
7 Includes $922,391,000 of collateral received for securities on loan.
8 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
9 Securities with a value of $4,896,000 have been segregated as initial margin for open futures contracts.
10 Cash of $748,000 has been segregated as initial margin for open forward currency contracts.
ADR—American Depositary Receipt.


 

International Growth Fund

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 affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the fund's pricing time. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity 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. Other temporary cash investments are valued at amortized cost, which approximates market value.

B. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund's pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).

C. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the market value of the fund's investments as of May 31, 2016, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks—North and South America 2,215,531 63,409
Common Stocks—Other 2,169,386 16,122,737 432,185
Preferred Stocks 44,800
Temporary Cash Investments 1,143,640 5,994
Futures Contracts—Assets1 143
Futures Contracts—Liabilities1 (389)
Forward Currency Contracts—Assets 4,917

 


 

International Growth Fund      
 
            
Forward Currency Contracts—Liabilities (3,348)
Total 5,528,311 16,193,709 476,985
1 Represents variation margin on the last day of the reporting period.      

 

The determination of Level 3 fair value measurements is governed by documented policies and procedures adopted by the board of trustees. The board has designated a pricing review committee, as an agent of the board, to ensure the timely analysis and valuation of Level 3 securities held by the portfolio in accordance with established policies and procedures. The pricing review committee employs various methods for calibrating valuation approaches, including a regular review of key inputs and assumptions, transactional back-testing or disposition analysis, and reviews of any related market activity. All valuation decisions made by the pricing review committee are reported to the board on a quarterly basis for review and ratification. The board reviews the adequacy of the fair value measurement policies and procedures in place on an annual basis.

The following table summarizes changes in investments valued based on Level 3 inputs during the period ended May 31, 2016. Transfers into or out of Level 3 are recognized based on values as of the date of transfer.

  Investments in Investments in
  Common Stocks Preferred Stocks
Amount valued based on Level 3 Inputs ($000) ($000)
Balance as of August 31, 2015 192,068
Purchases 261,019 44,800
Change in Unrealized Appreciation (Depreciation) (20,902)
Balance as of May 31, 2016 432,185 44,800
Net change in unrealized appreciation (depreciation) from investments still held as of May 31, 2016, was ($20,902,000).  

 

The following table provides quantitative information about the significant unobservable inputs used in fair value measurement as of May 31, 2016:

                  
Security Type Fair Value Valuation Technique Unobservable Input Amount
  ($000)      
Common Stocks 432,185 Market Approach Purchase Price $41,577.974
      Purchase Price 2,832.300
      Purchase Price 2,375.366
      Purchase Price 2,228.610
      Purchase Price 147.833
      Purchase Price 106.680
      Recent Market 102.650
      Transaction  
      Purchase Price  
        23.177
      Purchase Price  
        3.860
Preferred Stocks 44,800 Market Approach Purchase Price 1.000

 


 

International Growth Fund

Significant increases or decreases in the significant unobservable inputs used in the fair value measurement of the portfolio’s Level 3 securities, in isolation, could result in a significantly higher or lower fair value measurement.

D. Futures and Forward Currency Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. 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.

The fund enters into forward currency contracts to provide the appropriate currency exposure related to any open futures contracts or to protect the value of securities and related receivables and payables against changes in foreign exchange rates. The fund's risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts 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. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, 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 forward currency 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 assets 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 forward currency 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.

Futures contracts are valued at their quoted daily settlement prices. Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The aggregate settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

At May 31, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short) (Depreciation)
Dow Jones EURO STOXX 50 Index June 2016 783 26,612 49
Topix Index June 2016 145 18,003 (92)

 


 

International Growth Fund        
 
         
FTSE 100 Index June 2016 193 17,472 (809)
S&P ASX 200 Index June 2016 110 10,722 381
        (471)

 

Unrealized appreciation (depreciation) on open Dow Jones EURO STOXX 50 Index and FTSE 100 Index futures contracts is required to be treated as realized gain (loss) for tax purposes.

At May 31, 2016, the fund had open forward currency contracts to receive and deliver currencies as follows. Unrealized appreciation (depreciation) on open forward currency contracts is treated as realized gain (loss) for tax purposes.

      Contract Amount (000)  
            Unrealized
  Contract         Appreciation
  Settlement         (Depreciation)
Counterparty Date   Receive   Deliver ($000)
Barclays Bank PLC 6/22/16 EUR 57,463 USD 64,672 (681)
Deutsche Bank AG 6/22/16 EUR 35,324 USD 39,218 118
Deutsche Bank AG 6/22/16 GBP 21,606 USD 31,276 22
BNP Paribas 6/14/16 JPY 3,396,656 USD 30,225 466
Goldman Sachs International 6/14/16 JPY 2,198,000 USD 19,805 55
JPMorgan Chase Bank N.A. 6/22/16 GBP 13,445 USD 19.488 (12)
JPMorgan Chase Bank N.A. 6/22/16 GBP 12,425 USD 17,539 459
Morgan Stanley Capital            
Services LLC 6/21/16 AUD 22,313 USD 16,514 (401)
Citibank, N.A. 6/14/16 JPY 1,842,650 USD 16,432 217
Barclays Bank PLC 6/21/16 AUD 15,500 USD 11,925 (731)
Goldman Sachs International 6/21/16 AUD 12,445 USD 9,323 (336)
Morgan Stanley Capital            
Services LLC 6/14/16 JPY 674,730 USD 6,044 52
Citibank, N.A. 6/22/16 GBP 3,097 USD 4,487
Barclays Bank PLC 6/22/16 GBP 2,734 USD 3,915 45
UBS AG 6/14/16 JPY 418,050 USD 3,824 (47)
JPMorgan Chase Bank N.A. 6/21/16 AUD 3,746 USD 2,828 (122)
UBS AG 6/21/16 AUD 3,023 USD 2,336 (153)
BNP Paribas 6/22/16 GBP 258 USD 372
Barclays Bank PLC 6/22/16 USD 45,109 EUR 39,711 888
Citibank, N.A. 6/22/16 USD 21,223 GBP 14,801 (218)
Citibank, N.A. 6/14/16 USD 19,986 JPY 2,176,405 321
Barclays Bank PLC 6/22/16 USD 18,622 GBP 13,065 (304)
UBS AG 6/14/16 USD 10,599 JPY 1,144,985 254
UBS AG 6/21/16 USD 9,225 AUD 12,279 357
Citibank, N.A. 6/22/16 USD 8,670 EUR 7,582 227

 


 

International Growth Fund            
 
            
Citibank, N.A. 6/21/16 USD 7,478 AUD 10,042 227
BNP Paribas 6/14/16 USD 7,295 JPY 799,380 72
Bank of America, N.A. 6/22/16 USD 7,073 EUR 6,311 45
BNP Paribas 6/22/16 USD 6,740 EUR 5,962 102
Barclays Bank PLC 6/14/16 USD 6,149 JPY 688,580 (72)
BNP Paribas 6/21/16 USD 5,748 AUD 7,383 417
Morgan Stanley Capital            
Services LLC 6/22/16 USD 5,368 GBP 3,678 40
Citibank, N.A. 6/14/16 USD 5,203 JPY 578,350 (23)
UBS AG 6/22/16 USD 4,540 EUR 3,981 107
Goldman Sachs International 6/22/16 USD 4,222 EUR 3,721 78
Goldman Sachs International 6/22/16 USD 3,962 GBP 2,756 (31)
UBS AG 6/21/16 USD 3,952 AUD 5,476 (3)
BNP Paribas 6/14/16 USD 3,615 JPY 409,350 (84)
JPMorgan Chase Bank N.A. 6/22/16 USD 3,539 GBP 2,484 (59)
JPMorgan Chase Bank N.A. 6/22/16 USD 2,890 GBP 1,988 11
UBS AG 6/14/16 USD 2,426 JPY 272,400 (36)
JPMorgan Chase Bank N.A. 6/14/16 USD 2,400 JPY 269,500 (35)
Barclays Bank PLC 6/21/16 USD 2,149 AUD 2,817 114
Goldman Sachs International 6/22/16 USD 2,025 GBP 1,396 3
Barclays Bank PLC 6/14/16 USD 1,960 JPY 214,080 26
Goldman Sachs International 6/21/16 USD 1,936 AUD 2,533 106
JPMorgan Chase Bank N.A. 6/21/16 USD 1,801 AUD 2,372 88
BNP Paribas 6/22/16 USD 1,663 GBP 1,148
            1,569
AUD—Australian dollar.            
EUR—Euro.            
GBP—British pound.            
JPY—Japanese yen.            
USD—U.S. dollar.            

 

At May 31, 2016, the counterparty (counterparties) had deposited in segregated accounts securities and cash with a value of $2,688,000 in connection with open forward currency contracts.

E. At May 31, 2016, the cost of investment securities for tax purposes was $19,506,660,000. Net unrealized appreciation of investment securities for tax purposes was $2,691,022,000, consisting of unrealized gains of $4,709,685,000 on securities that had risen in value since their purchase and $2,018,663,000 in unrealized losses on securities that had fallen in value since their purchase.

F. Certain of the fund's investments are in companies that are considered to be affiliated companies of the fund because the fund owns more than 5% of the outstanding voting securities of the company or the issuer is another member of The Vanguard Group. Transactions during the period in securities of these companies were as follows:


 

International Growth Fund            
 
 
 
      Current Period Transactions    
      Proceeds      
  Aug. 31, 2015   from   Capital Gain May 31, 2016
  Market Purchases Securities   Distributions Market
  Value at Cost Sold Income Received Value
  ($000) ($000) ($000) ($000) ($000) ($000)
Home24 AG 67,499 66,927
Vanguard FTSE All-World 47,801 545 49,324
ex-US ETF            
Vanguard Market Liquidity 558,678 NA1 NA1 827 1,143,640
Fund            
You & Mr. Jones 44,800 44,800
Total 626,177     1,372 1,304,691
1 Not applicable—purchases and sales are for temporary cash investment purposes.      

 


Vanguard FTSE Social Index Fund    
 
 
 
Schedule of Investments    
As of May 31, 2016    
 
      Market
      Value
    Shares ($000)
Common Stocks (100.0%)    
Basic Materials (1.9%)    
  Ecolab Inc. 46,451 5,446
  Praxair Inc. 48,889 5,371
  Air Products & Chemicals Inc. 36,749 5,242
  LyondellBasell Industries NV Class A 62,453 5,081
  PPG Industries Inc. 46,055 4,959
  Newmont Mining Corp. 90,372 2,929
  Nucor Corp. 53,377 2,589
  Alcoa Inc. 229,028 2,123
  International Flavors & Fragrances Inc. 14,045 1,812
  Mosaic Co. 58,859 1,485
  Ashland Inc. 11,314 1,283
  Avery Dennison Corp. 15,786 1,174
  FMC Corp. 24,423 1,160
  CF Industries Holdings Inc. 41,604 1,151
  Westlake Chemical Corp. 8,328 367
      42,172
Consumer Goods (10.7%)    
  Procter & Gamble Co. 470,802 38,154
  PepsiCo Inc. 252,229 25,518
  Mondelez International Inc. Class A 270,380 12,029
  Colgate-Palmolive Co. 156,038 10,987
  NIKE Inc. Class B 191,755 10,589
  Ford Motor Co. 669,336 9,029
  Kraft Heinz Co. 101,840 8,472
  Kimberly-Clark Corp. 63,006 8,004
  General Motors Co. 247,493 7,742
  General Mills Inc. 103,305 6,485
  Johnson Controls Inc. 112,247 4,956
  Activision Blizzard Inc. 117,839 4,626
* Electronic Arts Inc. 51,384 3,944
  Newell Brands Inc. 78,341 3,736
  VF Corp. 57,634 3,592
  Estee Lauder Cos. Inc. Class A 37,023 3,398
  ConAgra Foods Inc. 73,959 3,380
  Delphi Automotive plc 48,193 3,275
  Kellogg Co. 42,773 3,181
  Dr Pepper Snapple Group Inc. 32,332 2,955
  Stanley Black & Decker Inc. 25,998 2,942
  Clorox Co. 22,447 2,885
  Mead Johnson Nutrition Co. 31,884 2,623
  JM Smucker Co. 19,986 2,581
  Genuine Parts Co. 26,436 2,562
  Hershey Co. 26,781 2,487
  Whirlpool Corp. 13,180 2,301
  Church & Dwight Co. Inc. 22,434 2,209
* Mohawk Industries Inc. 10,645 2,094
  McCormick & Co. Inc. 19,960 1,937
  Mattel Inc. 60,152 1,918

 


 

    Market
    Value
  Shares ($000)
Campbell Soup Co. 31,380 1,901
Coach Inc. 47,507 1,873
Autoliv Inc. 15,273 1,873
Hanesbrands Inc. 66,907 1,811
DR Horton Inc. 58,589 1,790
Bunge Ltd. 24,957 1,674
Hormel Foods Corp. 47,457 1,633
* LKQ Corp. 47,112 1,558
Snap-on Inc. 9,437 1,527
Lear Corp. 12,831 1,524
Coca-Cola European Partners plc 38,943 1,511
Harley-Davidson Inc. 31,370 1,455
BorgWarner Inc. 37,945 1,291
* Michael Kors Holdings Ltd. 29,812 1,274
PVH Corp. 13,386 1,256
Leggett & Platt Inc. 23,888 1,201
* Under Armour Inc. Class A 30,458 1,149
Under Armour Inc. 32,033 1,120
* lululemon athletica Inc. 16,766 1,090
Harman International Industries Inc. 12,562 983
Ralph Lauren Corp. Class A 10,130 956
* Herbalife Ltd. 15,763 913
Edgewell Personal Care Co. 10,809 859
Polaris Industries Inc. 9,956 846
* Toll Brothers Inc. 28,325 826
    234,485
Consumer Services (10.9%)    
Home Depot Inc. 216,914 28,659
Walt Disney Co. 282,318 28,012
McDonald's Corp. 153,493 18,735
CVS Health Corp. 191,729 18,492
Starbucks Corp. 247,000 13,558
Lowe's Cos. Inc. 158,412 12,693
* Priceline Group Inc. 8,611 10,887
Time Warner Inc. 138,073 10,447
TJX Cos. Inc. 117,468 8,942
McKesson Corp. 39,838 7,296
* O'Reilly Automotive Inc. 17,228 4,556
Cardinal Health Inc. 57,243 4,519
Sysco Corp. 91,387 4,397
Dollar General Corp. 46,784 4,206
* AutoZone Inc. 5,275 4,021
Ross Stores Inc. 69,999 3,738
Omnicom Group Inc. 41,805 3,484
* Dollar Tree Inc. 38,299 3,467
Nielsen Holdings plc 60,722 3,242
Viacom Inc. Class B 59,371 2,634
L Brands Inc. 37,371 2,562
AmerisourceBergen Corp. Class A 33,355 2,501
* Ulta Salon Cosmetics & Fragrance Inc. 10,575 2,464
Expedia Inc. 20,812 2,315
* Chipotle Mexican Grill Inc. Class A 5,173 2,286
Advance Auto Parts Inc. 12,577 1,935

 


 

    Market
    Value
  Shares ($000)
* CarMax Inc. 33,865 1,817
Macy's Inc. 53,859 1,789
Tractor Supply Co. 17,600 1,691
Interpublic Group of Cos. Inc. 69,257 1,655
Best Buy Co. Inc. 47,616 1,532
Darden Restaurants Inc. 22,232 1,508
* IHS Inc. Class A 11,215 1,379
Signet Jewelers Ltd. 13,617 1,348
Foot Locker Inc. 23,331 1,305
Tiffany & Co. 20,521 1,271
* Bed Bath & Beyond Inc. 28,012 1,253
* Discovery Communications Inc. 43,924 1,176
Kohl's Corp. 30,598 1,103
Staples Inc. 110,737 974
Nordstrom Inc. 24,992 949
TEGNA Inc. 38,583 886
H&R Block Inc. 40,578 867
Dun & Bradstreet Corp. 6,387 810
* Hertz Global Holdings Inc. 82,323 798
Scripps Networks Interactive Inc. Class A 11,824 761
* Discovery Communications Inc. Class A 26,207 730
Gap Inc. 40,323 725
* AutoNation Inc. 12,317 621
    236,996
Financials (23.9%)    
Wells Fargo & Co. 874,300 44,345
JPMorgan Chase & Co. 635,901 41,505
Bank of America Corp. 1,798,950 26,607
Visa Inc. Class A 331,793 26,192
Citigroup Inc. 512,923 23,887
MasterCard Inc. Class A 171,472 16,444
US Bancorp 302,788 12,965
American International Group Inc. 197,740 11,445
Goldman Sachs Group Inc. 68,810 10,974
Simon Property Group Inc. 53,872 10,647
Chubb Ltd. 80,387 10,178
American Express Co. 145,266 9,553
Bank of New York Mellon Corp. 188,812 7,941
PNC Financial Services Group Inc. 87,297 7,834
BlackRock Inc. 21,303 7,751
American Tower Corporation 73,084 7,731
MetLife Inc. 155,022 7,061
Morgan Stanley 241,656 6,614
Public Storage 25,368 6,436
Prudential Financial Inc. 78,441 6,216
Capital One Financial Corp. 82,372 6,033
Marsh & McLennan Cos. Inc. 90,570 5,984
Charles Schwab Corp. 192,158 5,876
Travelers Cos. Inc. 51,159 5,839
Intercontinental Exchange Inc. 20,622 5,591
CME Group Inc. 55,400 5,423
S&P Global Inc. 45,667 5,106
Aon plc 46,677 5,100

 


 

    Market
    Value
  Shares ($000)
BB&T Corp. 138,930 5,053
Aflac Inc. 70,617 4,905
* Synchrony Financial 143,863 4,489
Allstate Corp. 65,423 4,417
State Street Corp. 69,133 4,360
Equity Residential 62,358 4,316
Prologis Inc. 90,260 4,290
AvalonBay Communities Inc. 23,846 4,289
Weyerhaeuser Co. 135,763 4,277
Equinix Inc. 11,798 4,271
Welltower Inc. 61,200 4,217
Discover Financial Services 73,594 4,181
SunTrust Banks Inc. 88,404 3,874
Ventas Inc. 57,869 3,838
Moody's Corp. 33,917 3,346
Boston Properties Inc. 26,321 3,307
T. Rowe Price Group Inc. 41,525 3,200
Progressive Corp. 94,698 3,153
Hartford Financial Services Group Inc. 69,786 3,152
Ameriprise Financial Inc. 30,549 3,106
M&T Bank Corp. 25,634 3,063
Willis Towers Watson plc 23,625 3,025
Northern Trust Corp. 39,982 2,963
Fifth Third Bancorp 140,149 2,645
HCP Inc. 80,448 2,644
Realty Income Corp. 43,551 2,617
Equifax Inc. 20,394 2,564
Franklin Resources Inc. 66,926 2,500
Digital Realty Trust Inc. 25,207 2,406
Invesco Ltd. 74,249 2,331
Principal Financial Group Inc. 52,137 2,323
General Growth Properties Inc. 86,153 2,315
Regions Financial Corp. 230,793 2,269
* Markel Corp. 2,253 2,147
Citizens Financial Group Inc. 90,582 2,133
Macerich Co. 27,051 2,065
Lincoln National Corp. 44,127 2,023
Kimco Realty Corp. 70,569 1,989
Loews Corp. 47,734 1,932
KeyCorp 148,500 1,904
First Republic Bank 25,065 1,815
XL Group plc Class A 50,509 1,735
Annaly Capital Management Inc. 162,849 1,723
Cincinnati Financial Corp. 24,810 1,714
Western Union Co. 85,926 1,671
Unum Group 42,535 1,570
* Arch Capital Group Ltd. 21,609 1,570
Iron Mountain Inc. 41,776 1,535
Huntington Bancshares Inc. 145,875 1,524
Comerica Inc. 31,850 1,500
* Alleghany Corp. 2,743 1,495
* CBRE Group Inc. Class A 49,906 1,490
VEREIT Inc. 154,625 1,483
* Ally Financial Inc. 81,724 1,466

 


 

    Market
    Value
  Shares ($000)
Arthur J Gallagher & Co. 29,618 1,431
Duke Realty Corp. 57,431 1,359
Everest Re Group Ltd. 7,369 1,320
Regency Centers Corp. 17,116 1,311
New York Community Bancorp Inc. 81,064 1,276
Voya Financial Inc. 37,193 1,222
Torchmark Corp. 19,551 1,205
CIT Group Inc. 35,125 1,203
TD Ameritrade Holding Corp. 36,574 1,195
American Capital Agency Corp. 58,769 1,110
Zions Bancorporation 37,207 1,043
WR Berkley Corp. 16,885 963
Navient Corp. 69,936 959
Assurant Inc. 10,868 950
Liberty Property Trust 25,004 933
Axis Capital Holdings Ltd. 16,131 890
RenaissanceRe Holdings Ltd. 7,372 852
People's United Financial Inc. 53,169 844
Commerce Bancshares Inc. 16,072 786
Hospitality Properties Trust 28,760 736
Weingarten Realty Investors 18,901 711
Legg Mason Inc. 14,680 507
* Santander Consumer USA Holdings Inc. 22,543 290
Four Corners Property Trust Inc. 10,362 201
    520,765
Health Care (19.3%)    
Johnson & Johnson 475,470 53,581
Pfizer Inc. 1,060,463 36,798
Merck & Co. Inc. 480,238 27,018
UnitedHealth Group Inc. 166,258 22,224
Bristol-Myers Squibb Co. 288,408 20,679
Amgen Inc. 130,897 20,675
Medtronic plc 244,711 19,694
AbbVie Inc. 282,851 17,800
Allergan plc 67,488 15,910
* Celgene Corp. 135,064 14,252
Eli Lilly & Co. 171,915 12,899
* Biogen Inc. 37,803 10,953
Abbott Laboratories 253,891 10,062
* Express Scripts Holding Co. 109,396 8,265
Aetna Inc. 60,686 6,871
Becton Dickinson and Co. 36,566 6,086
Anthem Inc. 45,451 6,007
* Alexion Pharmaceuticals Inc. 38,663 5,834
Cigna Corp. 44,564 5,709
* Regeneron Pharmaceuticals Inc. 14,036 5,599
Stryker Corp. 48,859 5,431
* Boston Scientific Corp. 231,117 5,249
Baxalta Inc. 112,822 5,103
Humana Inc. 25,607 4,417
* HCA Holdings Inc. 53,943 4,209
Zimmer Biomet Holdings Inc. 34,404 4,201
* Intuitive Surgical Inc. 6,440 4,088

 


 

    Market
    Value
  Shares ($000)
Zoetis Inc. 85,940 4,075
Baxter International Inc. 93,601 4,040
* Vertex Pharmaceuticals Inc. 41,832 3,897
St. Jude Medical Inc. 48,778 3,822
* Edwards Lifesciences Corp. 36,901 3,635
* Mylan NV 71,787 3,111
* DaVita HealthCare Partners Inc. 36,640 2,833
CR Bard Inc. 12,865 2,818
DENTSPLY SIRONA Inc. 41,678 2,591
* Henry Schein Inc. 14,347 2,493
* BioMarin Pharmaceutical Inc. 27,341 2,451
* Incyte Corp. 28,728 2,425
Perrigo Co. plc 23,352 2,238
* Laboratory Corp. of America Holdings 17,283 2,211
Universal Health Services Inc. Class B 15,666 2,113
Quest Diagnostics Inc. 24,740 1,909
* Waters Corp. 13,531 1,861
* Centene Corp. 28,491 1,776
* Hologic Inc. 48,519 1,670
* Medivation Inc. 27,006 1,633
* Jazz Pharmaceuticals plc 9,660 1,464
* Varian Medical Systems Inc. 16,436 1,361
* Mallinckrodt plc 19,589 1,241
* Quintiles Transnational Holdings Inc. 14,417 979
* Alnylam Pharmaceuticals Inc. 12,213 876
Patterson Cos. Inc. 13,690 668
* Endo International plc 40,253 636
    420,441
Industrials (6.9%)    
United Parcel Service Inc. Class B 122,204 12,598
Union Pacific Corp. 147,506 12,418
FedEx Corp. 44,565 7,352
PayPal Holdings Inc. 189,801 7,173
Automatic Data Processing Inc. 80,244 7,049
Illinois Tool Works Inc. 56,216 5,961
Eaton Corp. plc 79,962 4,928
Waste Management Inc. 77,663 4,734
CSX Corp. 164,508 4,348
Norfolk Southern Corp. 51,365 4,318
Deere & Co. 50,746 4,176
* Fiserv Inc. 38,478 4,053
Sherwin-Williams Co. 13,099 3,813
Cummins Inc. 29,920 3,425
PACCAR Inc. 61,261 3,415
Tyco International plc 72,474 3,089
Parker-Hannifin Corp. 23,552 2,705
Vulcan Materials Co. 22,958 2,680
Rockwell Automation Inc. 22,472 2,608
Agilent Technologies Inc. 56,691 2,601
* Alliance Data Systems Corp. 10,522 2,338
Martin Marietta Materials Inc. 11,524 2,178
WW Grainger Inc. 9,464 2,161
* Verisk Analytics Inc. Class A 27,191 2,159

 


 

      Market
      Value
    Shares ($000)
  Fastenal Co. 46,814 2,155
  AMETEK Inc. 40,371 1,930
  CH Robinson Worldwide Inc. 25,073 1,880
  Masco Corp. 57,321 1,871
  Dover Corp. 27,076 1,807
  Ball Corp. 24,346 1,760
  Xerox Corp. 174,948 1,744
  Kansas City Southern 18,431 1,716
  Fortune Brands Home & Security Inc. 27,066 1,588
  Expeditors International of Washington Inc. 32,650 1,585
  Sealed Air Corp. 33,826 1,571
  Total System Services Inc. 26,907 1,445
  Xylem Inc. 30,148 1,346
  Broadridge Financial Solutions Inc. 20,388 1,309
  JB Hunt Transport Services Inc. 15,674 1,297
* Flextronics International Ltd. 92,656 1,154
  Allegion plc 16,500 1,116
* Sensata Technologies Holding NV 29,914 1,106
* Trimble Navigation Ltd. 43,111 1,103
  ManpowerGroup Inc. 12,513 998
* Arrow Electronics Inc. 15,427 997
* United Rentals Inc. 13,165 917
  Avnet Inc. 22,117 907
* Keysight Technologies Inc. 29,100 891
  Robert Half International Inc. 21,105 878
  Bemis Co. Inc. 16,475 829
  MDU Resources Group Inc. 34,907 798
  Jabil Circuit Inc. 30,588 584
      149,562
Oil & Gas (3.0%)    
  Occidental Petroleum Corp. 131,546 9,924
  EOG Resources Inc. 95,070 7,735
  Kinder Morgan Inc. 320,956 5,803
  Pioneer Natural Resources Co. 28,235 4,527
  Valero Energy Corp. 82,052 4,488
  Anadarko Petroleum Corp. 84,546 4,385
  Apache Corp. 69,172 3,952
  Spectra Energy Corp. 105,581 3,364
  Devon Energy Corp. 84,006 3,032
  Williams Cos. Inc. 126,994 2,814
  EQT Corp. 27,902 2,044
  Marathon Oil Corp. 152,032 1,987
  Columbia Pipeline Group Inc. 69,740 1,781
* Newfield Exploration Co. 38,553 1,572
  Tesoro Corp. 19,807 1,547
  Helmerich & Payne Inc. 21,740 1,329
  Range Resources Corp. 30,682 1,307
* FMC Technologies Inc. 39,195 1,067
  Murphy Oil Corp. 33,183 1,026
  Core Laboratories NV 7,227 876
* First Solar Inc. 12,065 599
  Ensco plc Class A 58,178 575
      65,734

 


 

      Market
      Value
    Shares ($000)
Technology (22.6%)    
  Apple Inc. 958,872 95,753
  Microsoft Corp. 1,327,151 70,339
* Facebook Inc. Class A 377,143 44,808
  Alphabet Inc. Class C 50,861 37,419
  Alphabet Inc. Class A 49,770 37,270
  Intel Corp. 820,029 25,905
  Cisco Systems Inc. 870,972 25,302
  Oracle Corp. 553,295 22,242
  QUALCOMM Inc. 259,660 14,261
  Texas Instruments Inc. 176,107 10,672
  EMC Corp. 336,748 9,412
* salesforce.com Inc. 104,423 8,741
* Adobe Systems Inc. 86,731 8,627
* Cognizant Technology Solutions Corp. Class A 105,287 6,469
  Applied Materials Inc. 196,222 4,792
* NXP Semiconductors NV 48,971 4,627
  Intuit Inc. 41,247 4,399
  NVIDIA Corp. 89,953 4,203
  Corning Inc. 191,387 3,998
* Cerner Corp. 50,752 2,822
* Red Hat Inc. 31,466 2,437
* Micron Technology Inc. 183,601 2,335
* Autodesk Inc. 38,918 2,268
  Lam Research Corp. 27,140 2,247
* Citrix Systems Inc. 26,355 2,238
  Skyworks Solutions Inc. 32,756 2,187
  Western Digital Corp. 46,102 2,146
  Xilinx Inc. 44,032 2,087
  KLA-Tencor Corp. 27,635 2,015
* Check Point Software Technologies Ltd. 23,593 2,005
  Symantec Corp. 115,202 2,000
  Maxim Integrated Products Inc. 48,916 1,857
* ServiceNow Inc. 25,917 1,856
  CA Inc. 53,720 1,736
* VeriSign Inc. 19,035 1,627
* Akamai Technologies Inc. 29,279 1,598
  Juniper Networks Inc. 65,766 1,540
  Amdocs Ltd. 26,006 1,508
  CDK Global Inc. 26,650 1,474
* Workday Inc. Class A 19,394 1,471
* Synopsys Inc. 26,627 1,376
* F5 Networks Inc. 11,917 1,313
  NetApp Inc. 51,038 1,303
* Splunk Inc. 21,989 1,263
*,^ Mobileye NV 30,245 1,148
  Seagate Technology plc 49,536 1,118
* Yandex NV Class A 41,935 864
* VMware Inc. Class A 11,891 720
* IMS Health Holdings Inc. 26,719 698
  CSRA Inc. 28,082 696
* Teradata Corp. 24,486 694
* Rackspace Hosting Inc. 20,119 503
      492,389

 


 

        Market
        Value
      Shares ($000)
Telecommunications (0.2%)        
* T-Mobile US Inc.     44,727 1,912
Frontier Communications Corp.     201,859 1,044
*,^ Sprint Corp.     151,004 574
        3,530
Utilities (0.6%)        
Sempra Energy     41,703 4,467
American Water Works Co. Inc.     30,909 2,290
CenterPoint Energy Inc.     75,191 1,694
ONEOK Inc.     39,086 1,690
NiSource Inc.     53,461 1,276
TECO Energy Inc.     45,957 1,266
* Calpine Corp.     55,441 821
Questar Corp.     29,475 743
        14,247
Total Common Stocks (Cost $1,811,340)       2,180,321
Temporary Cash Investments (0.1%) Coupon      
Money Market Fund (0.1%)        
1,2 Vanguard Market Liquidity Fund (Cost $1,391) 0.523%   1,391,000 1,391
 
      Face  
    Maturity Amount  
    Date ($000)  
U.S. Government and Agency Obligations (0.0%)        
3 Federal Home Loan Bank Discount Notes 0.617% 6/10/16 200 200
Total Temporary Cash Investments (Cost $1,591)       1,591
Total Investments (100.1%) (Cost $1,812,931)       2,181,912
Other Assets and Liabilities-Net (-0.1%)1       (1,769)
Net Assets (100%)       2,180,143

* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,341,000.
1 Includes $1,391,000 of collateral received for securities on loan.
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 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.

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 acquired over 60 days to maturity 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. Other temporary cash investments are valued at amortized cost, which approximates market value.


 

FTSE Social Index Fund

B. 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).

The following table summarizes the market value of the fund's investments as of May 31, 2016, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 2,180,321
Temporary Cash Investments 1,391 200
Total 2,181,712 200

 

C. At May 31, 2016, the cost of investment securities for tax purposes was $1,812,931,000. Net unrealized appreciation of investment securities for tax purposes was $368,981,000, consisting of unrealized gains of $434,860,000 on securities that had risen in value since their purchase and $65,879,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Mega Cap Index Fund    
 
 
 
Schedule of Investments    
As of May 31, 2016    
 
      Market
      Value
    Shares ($000)
Common Stocks (99.8%)1    
Basic Materials (1.9%)    
  Dow Chemical Co. 83,972 4,313
  EI du Pont de Nemours & Co. 65,495 4,284
  Praxair Inc. 21,408 2,352
  Ecolab Inc. 19,928 2,336
  PPG Industries Inc. 20,125 2,167
  LyondellBasell Industries NV Class A 26,019 2,117
  Air Products & Chemicals Inc. 14,554 2,076
  International Paper Co. 30,985 1,306
  Nucor Corp. 24,030 1,166
      22,117
Consumer Goods (10.3%)    
  Procter & Gamble Co. 203,492 16,491
  Coca-Cola Co. 293,160 13,075
  Philip Morris International Inc. 116,471 11,493
  PepsiCo Inc. 108,653 10,992
  Altria Group Inc. 147,137 9,364
  NIKE Inc. Class B 101,431 5,601
  Mondelez International Inc. Class A 112,030 4,984
  Colgate-Palmolive Co. 67,107 4,725
  Ford Motor Co. 292,989 3,952
  Kraft Heinz Co. 45,675 3,800
  Monsanto Co. 33,171 3,731
  Kimberly-Clark Corp. 27,173 3,452
  General Motors Co. 104,510 3,269
  Reynolds American Inc. 64,500 3,206
  General Mills Inc. 44,663 2,804
  Johnson Controls Inc. 48,738 2,152
  Constellation Brands Inc. Class A 12,597 1,929
  Archer-Daniels-Midland Co. 44,504 1,904
* Tesla Motors Inc. 8,233 1,838
^ Monster Beverage Corp. 11,575 1,736
  Activision Blizzard Inc. 41,112 1,614
  VF Corp. 25,573 1,594
  Estee Lauder Cos. Inc. Class A 16,630 1,526
  Kellogg Co. 18,367 1,366
  Stanley Black & Decker Inc. 11,419 1,292
  Mead Johnson Nutrition Co. 14,050 1,156
  Hershey Co. 10,573 982
  Campbell Soup Co. 15,162 918
  Delphi Automotive plc 10,336 703
  Brown-Forman Corp. Class B 7,074 694
      122,343
Consumer Services (13.9%)    
* Amazon.com Inc. 28,340 20,484
  Home Depot Inc. 95,375 12,601
  Comcast Corp. Class A 182,862 11,575
  Walt Disney Co. 110,369 10,951
  Wal-Mart Stores Inc. 120,362 8,519

 


 

McDonald's Corp. 67,783 8,274
CVS Health Corp. 82,608 7,968
Starbucks Corp. 105,574 5,795
Lowe's Cos. Inc. 68,849 5,517
Walgreens Boots Alliance Inc. 64,856 5,020
Costco Wholesale Corp. 33,051 4,917
* Priceline Group Inc. 3,737 4,725
Time Warner Inc. 56,474 4,273
TJX Cos. Inc. 47,872 3,644
Charter Communications Inc. Class A 15,169 3,321
Target Corp. 46,301 3,185
McKesson Corp. 17,222 3,154
* Netflix Inc. 30,644 3,143
Delta Air Lines Inc. 58,554 2,545
Kroger Co. 69,746 2,494
Twenty-First Century Fox Inc. Class A 84,142 2,430
Yum! Brands Inc. 29,298 2,405
* eBay Inc. 84,226 2,060
Southwest Airlines Co. 47,988 2,039
Cardinal Health Inc. 24,748 1,954
* O'Reilly Automotive Inc. 7,029 1,859
Sysco Corp. 38,206 1,838
* AutoZone Inc. 2,278 1,736
CBS Corp. Class B 30,714 1,695
Omnicom Group Inc. 17,963 1,497
Carnival Corp. 31,064 1,483
American Airlines Group Inc. 45,370 1,448
Las Vegas Sands Corp. 29,964 1,386
L Brands Inc. 18,565 1,273
Viacom Inc. Class B 25,549 1,134
Twenty-First Century Fox Inc. 33,041 966
Dollar General Corp. 9,936 893
Hilton Worldwide Holdings Inc. 40,829 848
* DISH Network Corp. Class A 16,186 808
Macy's Inc. 23,652 785
* Sirius XM Holdings Inc. 154,272 620
* United Continental Holdings Inc. 13,377 603
AmerisourceBergen Corp. Class A 7,316 549
Starwood Hotels & Resorts Worldwide Inc. 6,447 473
* Liberty Interactive Corp. QVC Group Class A 16,439 443
Liberty SiriusXM Group Class C 6,690 210
Liberty SiriusXM Group Class A 3,391 108
Interval Leisure Group Inc. 60 1
Liberty Media Group 20
Liberty Media Group Class A 8
Liberty Braves Group 8
Liberty Braves Group Class A 4
Liberty Braves Group Class A Rights Exp. 06/16/2016 4
    165,649
Financials (17.4%)    
* Berkshire Hathaway Inc. Class B 142,630 20,045
JPMorgan Chase & Co. 276,097 18,021
Wells Fargo & Co. 343,679 17,431
Bank of America Corp. 776,685 11,487
Visa Inc. Class A 144,249 11,387
Citigroup Inc. 212,720 9,906
MasterCard Inc. Class A 73,701 7,068

 


 

US Bancorp 124,027 5,311
American International Group Inc. 82,083 4,751
Simon Property Group Inc. 23,281 4,601
Goldman Sachs Group Inc. 28,615 4,564
Chubb Ltd. 32,938 4,170
American Express Co. 61,658 4,055
PNC Financial Services Group Inc. 38,233 3,431
American Tower Corporation 31,830 3,367
Bank of New York Mellon Corp. 78,041 3,282
Morgan Stanley 110,484 3,024
MetLife Inc. 65,973 3,005
BlackRock Inc. 8,017 2,917
Capital One Financial Corp. 39,655 2,904
Public Storage 11,075 2,810
Charles Schwab Corp. 89,405 2,734
Prudential Financial Inc. 34,051 2,699
Marsh & McLennan Cos. Inc. 39,195 2,590
Travelers Cos. Inc. 22,254 2,540
Intercontinental Exchange Inc. 8,948 2,426
CME Group Inc. 24,082 2,357
Crown Castle International Corp. 25,031 2,273
S&P Global Inc. 19,973 2,233
BB&T Corp. 61,099 2,222
Aon plc 20,313 2,220
Aflac Inc. 28,945 2,011
* Synchrony Financial 62,670 1,955
Allstate Corp. 28,490 1,923
Equity Residential 27,366 1,894
Prologis Inc. 39,389 1,872
Weyerhaeuser Co. 59,341 1,869
State Street Corp. 28,480 1,796
Discover Financial Services 31,188 1,772
Ventas Inc. 25,159 1,669
SunTrust Banks Inc. 38,074 1,668
Boston Properties Inc. 11,568 1,453
Progressive Corp. 41,580 1,385
T. Rowe Price Group Inc. 17,798 1,372
Ameriprise Financial Inc. 12,075 1,228
Northern Trust Corp. 16,540 1,226
Vornado Realty Trust 12,722 1,215
HCP Inc. 34,950 1,149
Fifth Third Bancorp 59,723 1,127
General Growth Properties Inc. 39,758 1,068
Franklin Resources Inc. 26,661 996
AvalonBay Communities Inc. 5,158 928
Welltower Inc. 13,371 921
Loews Corp. 21,504 871
TD Ameritrade Holding Corp. 17,909 585
Invesco Ltd. 15,609 490
Host Hotels & Resorts Inc. 28,267 435
* Berkshire Hathaway Inc. Class A 1 212
    206,921
Health Care (15.1%)    
Johnson & Johnson 207,548 23,389
Pfizer Inc. 464,312 16,112
Merck & Co. Inc. 210,144 11,823
UnitedHealth Group Inc. 71,454 9,551

 


 

Bristol-Myers Squibb Co. 125,512 8,999
Gilead Sciences Inc. 102,779 8,948
Amgen Inc. 56,576 8,936
Medtronic plc 105,728 8,509
AbbVie Inc. 121,145 7,624
Allergan plc 29,619 6,983
* Celgene Corp. 58,778 6,202
Eli Lilly & Co. 74,865 5,617
* Biogen Inc. 16,434 4,761
Thermo Fisher Scientific Inc. 29,863 4,532
Abbott Laboratories 110,750 4,389
* Express Scripts Holding Co. 50,223 3,794
Aetna Inc. 26,335 2,982
Becton Dickinson and Co. 16,012 2,665
Anthem Inc. 19,748 2,610
Stryker Corp. 22,473 2,498
Cigna Corp. 19,307 2,473
* Alexion Pharmaceuticals Inc. 16,133 2,435
* Regeneron Pharmaceuticals Inc. 5,808 2,317
Baxalta Inc. 48,732 2,204
* HCA Holdings Inc. 25,975 2,027
Humana Inc. 11,241 1,939
* Intuitive Surgical Inc. 2,813 1,785
Baxter International Inc. 41,142 1,776
* Vertex Pharmaceuticals Inc. 18,435 1,717
Zimmer Biomet Holdings Inc. 13,597 1,660
* Illumina Inc. 11,057 1,601
St. Jude Medical Inc. 20,324 1,593
Zoetis Inc. 33,571 1,592
* Mylan NV 31,375 1,360
* Boston Scientific Corp. 50,526 1,148
Perrigo Co. plc 10,507 1,007
    179,558
Industrials (10.4%)    
General Electric Co. 709,938 21,461
3M Co. 45,532 7,664
Honeywell International Inc. 54,910 6,250
Boeing Co. 47,338 5,972
United Technologies Corp. 56,628 5,696
Accenture plc Class A 47,214 5,617
Union Pacific Corp. 63,681 5,361
United Parcel Service Inc. Class B 51,913 5,352
Lockheed Martin Corp. 19,517 4,611
Danaher Corp. 43,965 4,324
PayPal Holdings Inc. 87,303 3,299
FedEx Corp. 19,672 3,245
Caterpillar Inc. 43,842 3,179
Raytheon Co. 22,582 2,928
Northrop Grumman Corp. 13,595 2,891
Automatic Data Processing Inc. 32,677 2,870
General Dynamics Corp. 19,945 2,830
Emerson Electric Co. 48,378 2,517
Illinois Tool Works Inc. 23,354 2,476
Eaton Corp. plc 34,400 2,120
Waste Management Inc. 33,524 2,043
CSX Corp. 72,132 1,907
Norfolk Southern Corp. 22,512 1,892

 


 

  Deere & Co. 21,328 1,755
  Sherwin-Williams Co. 5,895 1,716
  TE Connectivity Ltd. 27,825 1,670
  Cummins Inc. 13,089 1,498
  PACCAR Inc. 26,472 1,476
  Tyco International plc 31,848 1,357
  Paychex Inc. 24,499 1,328
  Ingersoll-Rand plc 19,390 1,296
* LinkedIn Corp. Class A 8,738 1,193
  Parker-Hannifin Corp. 10,182 1,169
  Rockwell Automation Inc. 9,936 1,153
  Agilent Technologies Inc. 24,486 1,124
  Republic Services Inc. Class A 16,954 819
      124,059
Oil & Gas (7.3%)    
  Exxon Mobil Corp. 312,432 27,813
  Chevron Corp. 141,727 14,314
  Schlumberger Ltd. 104,666 7,986
  Occidental Petroleum Corp. 57,403 4,330
  ConocoPhillips 92,949 4,070
  EOG Resources Inc. 41,446 3,372
  Phillips 66 33,777 2,714
  Kinder Morgan Inc. 142,749 2,581
  Halliburton Co. 61,133 2,579
  Anadarko Petroleum Corp. 38,217 1,982
  Pioneer Natural Resources Co. 12,290 1,970
  Valero Energy Corp. 35,393 1,936
  Apache Corp. 28,319 1,618
  Spectra Energy Corp. 50,466 1,608
  Baker Hughes Inc. 32,899 1,526
  Marathon Petroleum Corp. 40,056 1,395
  Hess Corp. 21,254 1,274
  Noble Energy Inc. 32,216 1,152
  Williams Cos. Inc. 50,775 1,125
  Devon Energy Corp. 17,201 621
  National Oilwell Varco Inc. 14,151 466
* Continental Resources Inc. 3,324 140
      86,572
Technology (17.7%)    
  Apple Inc. 396,204 39,565
  Microsoft Corp. 565,189 29,955
* Facebook Inc. Class A 163,997 19,485
  Alphabet Inc. Class A 21,987 16,465
  Alphabet Inc. Class C 22,047 16,220
  Intel Corp. 355,316 11,224
  Cisco Systems Inc. 378,579 10,998
  International Business Machines Corp. 65,056 10,002
  Oracle Corp. 237,056 9,530
  QUALCOMM Inc. 112,333 6,169
  Texas Instruments Inc. 75,558 4,579
  Broadcom Ltd. 29,447 4,545
  EMC Corp. 146,293 4,089
* salesforce.com Inc. 47,436 3,971
* Adobe Systems Inc. 35,604 3,542
* Cognizant Technology Solutions Corp. Class A 45,788 2,813
* Yahoo! Inc. 63,955 2,426

 


 

  Hewlett Packard Enterprise Co.     130,728 2,415
  Applied Materials Inc.     85,111 2,078
  Intuit Inc.     18,386 1,961
  Corning Inc.     83,771 1,750
  HP Inc.     129,941 1,739
  Analog Devices Inc.     23,197 1,357
  Motorola Solutions Inc.     11,753 814
  CA Inc.     23,283 753
* Twitter Inc.     40,883 622
* Micron Technology Inc.     38,873 494
  Symantec Corp.     24,558 426
* VMware Inc. Class A     6,009 364
          210,351
Telecommunications (3.0%)        
  AT&T Inc.     462,737 18,116
  Verizon Communications Inc.     306,464 15,599
  CenturyLink Inc.     40,958 1,111
* T-Mobile US Inc.     21,529 920
*,^ Sprint Corp.     43,348 165
          35,911
Utilities (2.8%)        
  NextEra Energy Inc.     34,618 4,158
  Duke Energy Corp.     51,771 4,050
  Southern Co.     68,442 3,384
  Dominion Resources Inc.     44,847 3,240
  American Electric Power Co. Inc.     36,994 2,395
  Exelon Corp.     69,254 2,373
  PG&E Corp.     37,100 2,229
  PPL Corp.     50,664 1,953
  Sempra Energy     17,711 1,897
  Edison International     24,554 1,759
  Public Service Enterprise Group Inc.     38,037 1,702
  Consolidated Edison Inc.     22,101 1,619
  Xcel Energy Inc.     38,006 1,572
  FirstEnergy Corp.     31,815 1,044
  Entergy Corp.     6,674 507
          33,882
Total Common Stocks (Cost $877,182)       1,187,363
    Coupon      
Temporary Cash Investments (0.1%)1        
Money Market Fund (0.1%)        
2,3 Vanguard Market Liquidity Fund 0.523%   1,028,000 1,028
 
        Face  
      Maturity Amount  
      Date ($000)  
U.S. Government and Agency Obligations (0.0%)        
4 Federal Home Loan Bank Discount Notes 0.572% 7/6/16 100 100
4,5 Federal Home Loan Bank Discount Notes 0.486% 8/24/16 100 100
4,5 Federal Home Loan Bank Discount Notes 0.582% 9/9/16 100 100
          300
Total Temporary Cash Investments (Cost $1,328)       1,328

 


 

Total Investments (99.9%) (Cost $878,510) 1,188,691
Other Assets and Liabilities-Net (0.1%)3 1,319
Net Assets (100%) 1,190,010

* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $652,000.
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 -0.1%, 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 Includes $673,000 of collateral received for securities on loan.
4 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S.
Treasury nor backed by the full faith and credit of the U.S. government.
5 Securities with a value of $200,000 have been segregated as initial margin for open futures 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. Temporary cash investments acquired over 60 days to maturity 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. Other temporary cash investments are valued at amortized cost, which approximates market value.

B. 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).

The following table summarizes the market value of the fund's investments as of May 31, 2016, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 1,187,363
Temporary Cash Investments 1,028 300
Futures Contracts—Liabilities1 (3)
Total 1,188,388 300
1 Represents variation margin on the last day of the reporting period.      

 

C. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and


 

Mega Cap Index Fund

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 fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. 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.

Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

At May 31, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short) (Depreciation)
E-mini S&P 500 Index June 2016 26 2,723 83

 

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.

D. At May 31, 2016, the cost of investment securities for tax purposes was $878,510,000. Net unrealized appreciation of investment securities for tax purposes was $310,181,000, consisting of unrealized gains of $331,813,000 on securities that had risen in value since their purchase and $21,632,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Mega Cap Growth Index Fund    
 
 
 
Schedule of Investments    
As of May 31, 2016    
 
      Market
      Value
    Shares ($000)
Common Stocks (99.8%)1    
Basic Materials (1.6%)    
  Praxair Inc. 83,531 9,177
  Ecolab Inc. 78,022 9,147
  PPG Industries Inc. 78,267 8,428
  Nucor Corp. 94,199 4,569
  Air Products & Chemicals Inc. 28,415 4,053
      35,374
Consumer Goods (11.5%)    
  Coca-Cola Co. 1,142,753 50,967
  Philip Morris International Inc. 454,412 44,841
  NIKE Inc. Class B 395,738 21,853
  Colgate-Palmolive Co. 261,790 18,433
  Altria Group Inc. 287,014 18,266
  Monsanto Co. 129,130 14,523
  Reynolds American Inc. 251,092 12,479
  Constellation Brands Inc. Class A 49,046 7,511
  Kraft Heinz Co. 88,977 7,402
* Tesla Motors Inc. 32,099 7,165
^ Monster Beverage Corp. 44,983 6,747
  Activision Blizzard Inc. 160,855 6,315
  VF Corp. 100,043 6,235
  Estee Lauder Cos. Inc. Class A 65,152 5,980
  Stanley Black & Decker Inc. 44,722 5,062
  Mead Johnson Nutrition Co. 54,538 4,487
  Hershey Co. 41,433 3,847
  Delphi Automotive plc 40,758 2,770
  Brown-Forman Corp. Class B 27,395 2,687
      247,570
Consumer Services (23.0%)    
* Amazon.com Inc. 110,459 79,839
  Home Depot Inc. 371,886 49,134
  Comcast Corp. Class A 713,295 45,152
  Walt Disney Co. 430,531 42,717
  McDonald's Corp. 264,354 32,267
  Starbucks Corp. 411,674 22,597
  Lowe's Cos. Inc. 268,321 21,501
  Walgreens Boots Alliance Inc. 253,016 19,583
  Costco Wholesale Corp. 128,925 19,180
* Priceline Group Inc. 14,550 18,396
  Time Warner Inc. 220,077 16,651
  TJX Cos. Inc. 186,544 14,200
  Charter Communications Inc. Class A 59,154 12,951
* Netflix Inc. 119,319 12,238
  Twenty-First Century Fox Inc. Class A 328,209 9,479
  Yum! Brands Inc. 113,851 9,346
  Southwest Airlines Co. 187,079 7,947
* O'Reilly Automotive Inc. 27,482 7,267
* AutoZone Inc. 8,868 6,759
  CBS Corp. Class B 119,602 6,602

 


 

American Airlines Group Inc. 176,781 5,641
Las Vegas Sands Corp. 116,801 5,401
L Brands Inc. 72,046 4,939
Twenty-First Century Fox Inc. 128,762 3,765
Dollar General Corp. 38,295 3,443
Hilton Worldwide Holdings Inc. 159,746 3,319
* DISH Network Corp. Class A 62,935 3,140
Carnival Corp. 60,845 2,905
* Sirius XM Holdings Inc. 598,295 2,405
AmerisourceBergen Corp. Class A 28,698 2,152
Starwood Hotels & Resorts Worldwide Inc. 24,804 1,821
* Liberty Interactive Corp. QVC Group Class A 65,074 1,756
Liberty SiriusXM Group Class C 12,991 409
Liberty SiriusXM Group Class A 6,637 212
CBS Corp. Class A 141 8
Liberty Media Group 12
Liberty Media Group Class A 6
Liberty Braves Group 6
Liberty Braves Group Class A 2
Liberty Braves Group Class A Rights Exp. 06/16/2016 2
    495,122
Financials (11.3%)    
Visa Inc. Class A 562,815 44,429
MasterCard Inc. Class A 287,447 27,566
Simon Property Group Inc. 90,796 17,945
American Tower Corporation 124,235 13,141
BlackRock Inc. 31,257 11,373
Public Storage 43,147 10,947
Charles Schwab Corp. 348,445 10,655
Marsh & McLennan Cos. Inc. 152,887 10,101
Intercontinental Exchange Inc. 34,859 9,451
Crown Castle International Corp. 97,861 8,887
S&P Global Inc. 77,871 8,707
Aon plc 79,212 8,655
Equity Residential 107,131 7,414
Prologis Inc. 153,706 7,306
Weyerhaeuser Co. 231,426 7,290
Ventas Inc. 98,399 6,527
Boston Properties Inc. 45,118 5,668
T. Rowe Price Group Inc. 68,980 5,316
Vornado Realty Trust 49,835 4,760
General Growth Properties Inc. 156,109 4,195
AvalonBay Communities Inc. 20,090 3,614
Welltower Inc. 51,972 3,581
TD Ameritrade Holding Corp. 71,097 2,323
HCP Inc. 68,533 2,253
Invesco Ltd. 30,355 953
Host Hotels & Resorts Inc. 54,818 844
    243,901
Health Care (15.4%)    
Gilead Sciences Inc. 400,749 34,889
Amgen Inc. 220,476 34,824
Medtronic plc 412,258 33,179
AbbVie Inc. 472,402 29,728
Allergan plc 115,542 27,239
* Celgene Corp. 229,223 24,188

 


 

* Biogen Inc. 64,111 18,575
  Thermo Fisher Scientific Inc. 116,192 17,634
  Bristol-Myers Squibb Co. 244,749 17,548
  Becton Dickinson and Co. 62,160 10,347
  Stryker Corp. 87,477 9,724
* Alexion Pharmaceuticals Inc. 62,816 9,479
* Regeneron Pharmaceuticals Inc. 22,628 9,027
  Baxalta Inc. 189,747 8,582
* Express Scripts Holding Co. 97,925 7,398
* Intuitive Surgical Inc. 10,963 6,958
* Vertex Pharmaceuticals Inc. 72,279 6,733
  Zoetis Inc. 131,222 6,223
* Illumina Inc. 42,861 6,208
* Mylan NV 122,317 5,301
* Boston Scientific Corp. 198,280 4,503
  Perrigo Co. plc 40,687 3,899
      332,186
Industrials (8.8%)    
  3M Co. 177,397 29,860
  Boeing Co. 184,503 23,275
  Accenture plc Class A 184,173 21,911
  Union Pacific Corp. 248,129 20,890
  United Parcel Service Inc. Class B 202,403 20,866
  Danaher Corp. 171,321 16,851
  PayPal Holdings Inc. 340,569 12,870
  Automatic Data Processing Inc. 127,446 11,195
  Sherwin-Williams Co. 22,991 6,692
  FedEx Corp. 38,393 6,334
  Paychex Inc. 95,043 5,153
* LinkedIn Corp. Class A 34,153 4,662
  Rockwell Automation Inc. 38,449 4,462
  Agilent Technologies Inc. 95,975 4,404
      189,425
Oil & Gas (2.8%)    
  Schlumberger Ltd. 203,844 15,553
  EOG Resources Inc. 161,217 13,117
  Kinder Morgan Inc. 556,082 10,054
  Anadarko Petroleum Corp. 149,135 7,734
  Pioneer Natural Resources Co. 47,966 7,690
  Noble Energy Inc. 126,234 4,513
  Williams Cos. Inc. 98,395 2,180
* Continental Resources Inc. 13,495 568
      61,409
Technology (25.4%)    
  Apple Inc. 1,544,671 154,251
* Facebook Inc. Class A 639,431 75,971
  Alphabet Inc. Class A 85,719 64,191
  Alphabet Inc. Class C 85,937 63,225
  Oracle Corp. 923,703 37,133
  QUALCOMM Inc. 438,306 24,072
  Texas Instruments Inc. 294,706 17,859
  Broadcom Ltd. 114,522 17,678
  EMC Corp. 570,858 15,955
* salesforce.com Inc. 184,982 15,485
* Adobe Systems Inc. 138,846 13,811
* Cognizant Technology Solutions Corp. Class A 178,369 10,959

 


 

* Yahoo! Inc.     249,282 9,458
  Applied Materials Inc.     331,619 8,098
  Intuit Inc.     71,575 7,634
  Analog Devices Inc.     90,713 5,307
* Twitter Inc.     160,460 2,442
* Micron Technology Inc.     151,262 1,924
* VMware Inc. Class A     23,570 1,427
          546,880
Total Common Stocks (Cost $1,712,663)       2,151,867
    Coupon      
Temporary Cash Investments (0.2%)1        
Money Market Fund (0.2%)        
2,3 Vanguard Market Liquidity Fund 0.523%   4,359,985 4,360
 
        Face  
      Maturity Amount  
      Date ($000)  
U.S. Government and Agency Obligations (0.0%)        
4,5 Federal Home Loan Bank Discount Notes 0.466% 8/12/16 500 500
Total Temporary Cash Investments (Cost $4,860)       4,860
Total Investments (100.0%) (Cost $1,717,523)       2,156,727
Other Assets and Liabilities-Net (0.0%)3       (467)
Net Assets (100%)       2,156,260

* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,931,000.
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 0.0%, 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 Includes $1,982,000 of collateral received for securities on loan.
4 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
5 Securities with a value of $300,000 have been segregated as initial margin for open futures 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. Temporary cash investments acquired over 60 days to maturity 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. Other temporary cash investments are valued at amortized cost, which approximates market value.

B. 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


 

Mega Cap Growth Index Fund

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).

The following table summarizes the market value of the fund's investments as of May 31, 2016, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 2,151,867
Temporary Cash Investments 4,360 500
Futures Contracts—Liabilities1 (5)
Total 2,156,222 500
1 Represents variation margin on the last day of the reporting period.      

 

C. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, 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 fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. 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.

Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

At May 31, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short) (Depreciation)
E-mini S&P 500 Index June 2016 39 4,085 101

 

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.


 

Mega Cap Growth Index Fund

D. At May 31, 2016, the cost of investment securities for tax purposes was $1,717,523,000. Net unrealized appreciation of investment securities for tax purposes was $439,204,000, consisting of unrealized gains of $495,377,000 on securities that had risen in value since their purchase and $56,173,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Mega Cap Value Index Fund    
 
 
 
Schedule of Investments    
As of May 31, 2016    
 
      Market
      Value
    Shares ($000)
Common Stocks (100.0%)1    
Basic Materials (2.1%)    
  Dow Chemical Co. 189,640 9,740
  EI du Pont de Nemours & Co. 147,915 9,675
  LyondellBasell Industries NV Class A 58,769 4,781
  International Paper Co. 69,792 2,942
  Air Products & Chemicals Inc. 16,510 2,355
  Mosaic Co. 140 4
      29,497
Consumer Goods (9.3%)    
  Procter & Gamble Co. 459,111 37,206
  PepsiCo Inc. 245,361 24,823
  Mondelez International Inc. Class A 253,038 11,258
  Altria Group Inc. 166,226 10,579
  Ford Motor Co. 662,112 8,932
  Kimberly-Clark Corp. 61,307 7,788
  General Motors Co. 235,958 7,381
  General Mills Inc. 100,880 6,333
  Johnson Controls Inc. 110,023 4,857
  Archer-Daniels-Midland Co. 100,821 4,312
  Kraft Heinz Co. 51,535 4,287
  Kellogg Co. 41,583 3,093
  Campbell Soup Co. 34,318 2,079
  Activision Blizzard Inc. 225 9
      132,937
Consumer Services (6.1%)    
  Wal-Mart Stores Inc. 271,709 19,232
  CVS Health Corp. 186,581 17,996
  Target Corp. 104,598 7,194
  McKesson Corp. 38,788 7,104
  Delta Air Lines Inc. 132,086 5,740
  Kroger Co. 157,268 5,624
* eBay Inc. 190,016 4,648
  Cardinal Health Inc. 55,835 4,408
  Sysco Corp. 86,163 4,145
  Omnicom Group Inc. 40,728 3,394
  Viacom Inc. Class B 57,659 2,558
  Macy's Inc. 53,361 1,772
  Carnival Corp. 34,867 1,665
* United Continental Holdings Inc. 30,522 1,376
  Liberty SiriusXM Group Class C 7,495 236
  Liberty SiriusXM Group Class A 3,860 123
  Gap Inc. 50 1
  Liberty Media Group 4
  Liberty Media Group Class A 2
  Liberty Braves Group 2
  Liberty Braves Group Class A 1
      87,216
Financials (22.7%)    
* Berkshire Hathaway Inc. Class B 323,581 45,476

 


 

JPMorgan Chase & Co. 623,017 40,664
Wells Fargo & Co. 775,658 39,341
Bank of America Corp. 1,753,795 25,939
Citigroup Inc. 480,478 22,376
US Bancorp 280,133 11,995
American International Group Inc. 185,388 10,730
Goldman Sachs Group Inc. 64,611 10,304
Chubb Ltd. 74,361 9,415
American Express Co. 139,175 9,152
PNC Financial Services Group Inc. 86,176 7,733
Bank of New York Mellon Corp. 176,247 7,413
Morgan Stanley 249,295 6,823
MetLife Inc. 148,785 6,777
Capital One Financial Corp. 89,468 6,553
Prudential Financial Inc. 76,699 6,078
Travelers Cos. Inc. 50,042 5,712
CME Group Inc. 54,526 5,338
BB&T Corp. 138,043 5,021
Aflac Inc. 65,256 4,533
* Synchrony Financial 141,707 4,421
Allstate Corp. 64,305 4,341
State Street Corp. 64,539 4,070
Discover Financial Services 70,384 3,999
SunTrust Banks Inc. 85,684 3,755
Progressive Corp. 94,087 3,133
Ameriprise Financial Inc. 27,239 2,769
Northern Trust Corp. 37,247 2,760
Fifth Third Bancorp 134,683 2,541
Franklin Resources Inc. 60,367 2,255
Loews Corp. 49,013 1,984
HCP Inc. 39,449 1,297
Invesco Ltd. 17,622 553
Host Hotels & Resorts Inc. 32,081 494
* Berkshire Hathaway Inc. Class A 1 212
    325,957
Health Care (14.8%)    
Johnson & Johnson 468,410 52,785
Pfizer Inc. 1,047,970 36,365
Merck & Co. Inc. 474,214 26,679
UnitedHealth Group Inc. 161,332 21,565
Eli Lilly & Co. 168,927 12,675
Bristol-Myers Squibb Co. 141,719 10,161
Abbott Laboratories 250,094 9,911
Aetna Inc. 59,395 6,725
Anthem Inc. 44,353 5,862
Cigna Corp. 43,365 5,556
* HCA Holdings Inc. 58,733 4,582
Humana Inc. 25,195 4,346
* Express Scripts Holding Co. 56,704 4,284
Baxter International Inc. 92,935 4,011
Zimmer Biomet Holdings Inc. 30,690 3,748
St. Jude Medical Inc. 45,781 3,588
Medtronic plc 625 50
Baxalta Inc. 285 13
    212,906

 


 

Industrials (11.9%)    
General Electric Co. 1,602,308 48,438
Honeywell International Inc. 124,009 14,116
United Technologies Corp. 127,780 12,852
Lockheed Martin Corp. 44,100 10,418
Caterpillar Inc. 98,902 7,171
Raytheon Co. 50,778 6,584
Northrop Grumman Corp. 30,705 6,530
General Dynamics Corp. 44,864 6,365
Emerson Electric Co. 109,027 5,672
Illinois Tool Works Inc. 52,451 5,561
Eaton Corp. plc 77,976 4,806
Waste Management Inc. 75,682 4,613
CSX Corp. 163,306 4,316
Norfolk Southern Corp. 50,654 4,258
Deere & Co. 48,191 3,966
TE Connectivity Ltd. 62,841 3,770
FedEx Corp. 22,262 3,673
Cummins Inc. 29,617 3,390
PACCAR Inc. 59,648 3,325
Tyco International plc 72,003 3,069
Ingersoll-Rand plc 43,599 2,913
Parker-Hannifin Corp. 22,961 2,637
Republic Services Inc. Class A 38,093 1,839
    170,282
Oil & Gas (11.1%)    
Exxon Mobil Corp. 704,964 62,756
Chevron Corp. 319,630 32,283
Occidental Petroleum Corp. 129,758 9,789
ConocoPhillips 209,985 9,195
Schlumberger Ltd. 118,177 9,017
Phillips 66 76,080 6,114
Halliburton Co. 138,445 5,840
Valero Energy Corp. 79,715 4,360
Apache Corp. 64,113 3,663
Spectra Energy Corp. 113,997 3,632
Baker Hughes Inc. 74,446 3,453
Marathon Petroleum Corp. 90,406 3,149
Hess Corp. 47,952 2,874
Devon Energy Corp. 39,215 1,415
Williams Cos. Inc. 57,089 1,265
National Oilwell Varco Inc. 32,061 1,056
    159,861
Technology (11.0%)    
Microsoft Corp. 1,275,595 67,607
Intel Corp. 802,353 25,346
Cisco Systems Inc. 854,687 24,829
International Business Machines Corp. 146,905 22,585
Hewlett Packard Enterprise Co. 295,144 5,451
Corning Inc. 189,319 3,955
HP Inc. 293,652 3,929
Motorola Solutions Inc. 26,620 1,844
CA Inc. 53,076 1,715
Symantec Corp. 55,718 967
Western Digital Corp. 95 5
    158,233

 


 

Telecommunications (5.7%)        
  AT&T Inc.     1,044,306 40,885
  Verizon Communications Inc.     691,582 35,201
  CenturyLink Inc.     92,365 2,505
* T-Mobile US Inc.     48,688 2,082
* Sprint Corp.     99,867 379
          81,052
Utilities (5.3%)        
  NextEra Energy Inc.     78,231 9,397
  Duke Energy Corp.     116,878 9,143
  Southern Co.     154,367 7,632
  Dominion Resources Inc.     101,126 7,306
  American Electric Power Co. Inc.     83,348 5,395
  Exelon Corp.     156,115 5,350
  PG&E Corp.     83,606 5,023
  PPL Corp.     114,210 4,402
  Sempra Energy     40,117 4,297
  Edison International     55,374 3,967
  Public Service Enterprise Group Inc.     85,706 3,835
  Consolidated Edison Inc.     49,793 3,648
  Xcel Energy Inc.     85,969 3,557
  FirstEnergy Corp.     71,701 2,353
  Entergy Corp.     15,109 1,147
          76,452
Total Common Stocks (Cost $1,233,230)       1,434,393
Temporary Cash Investments (0.0%)1        
        Face  
      Maturity Amount  
    Coupon Date ($000)  
U.S. Government and Agency Obligations (0.0%)        
2 Federal Home Loan Bank Discount Notes 0.411% 6/2/16 100 100
2,3 Federal Home Loan Bank Discount Notes 0.572% 7/6/16 100 100
3 United States Treasury Bill 0.536% 6/9/16 100 100
          300
Total Temporary Cash Investments (Cost $300)       300
Total Investments (100.0%) (Cost $1,233,530)       1,434,693
Other Assets and Liabilities-Net (0.0%)       167
Net Assets (100%)       1,434,860

* Non-income-producing security.
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 0.0%, respectively, of net assets.
2 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
3 Securities with a value of $200,000 have been segregated as initial margin for open futures 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. Temporary cash investments acquired over 60 days to maturity are


 

Mega Cap Value Index Fund

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. Other temporary cash investments are valued at amortized cost, which approximates market value.

B. 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).

The following table summarizes the market value of the fund’s investments as of May 31, 2016, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 1,434,393
Temporary Cash Investments 300
Futures Contracts—Liabilities1 (2)
Total 1,434,391 300
1 Represents variation margin on the last day of the reporting period.      

 

C. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, 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 fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. 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.

Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

At May 31, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:


 

Mega Cap Value Index Fund        
 
 
 
        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short) (Depreciation)
E-mini S&P 500 Index June 2016 5 524 13

 

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.

D. At May 31, 2016, the cost of investment securities for tax purposes was $1,233,530,000. Net unrealized appreciation of investment securities for tax purposes was $201,163,000, consisting of unrealized gains of $224,483,000 on securities that had risen in value since their purchase and $23,320,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Extended Duration Treasury Index Fund        
 
 
 
Schedule of Investments        
As of May 31, 2016        
 
      Face Market
    Maturity Amount Value
  Coupon Date ($000) ($000)
U.S. Government and Agency Obligations (100.0%)        
U.S. Government Securities (100.0%)        
United States Treasury Strip Coupon 0.000% 8/15/36 49,235 29,514
United States Treasury Strip Coupon 0.000% 11/15/36 46,235 27,474
United States Treasury Strip Coupon 0.000% 2/15/37 45,910 27,047
United States Treasury Strip Coupon 0.000% 5/15/37 39,930 23,331
United States Treasury Strip Coupon 0.000% 8/15/37 33,295 19,254
United States Treasury Strip Coupon 0.000% 11/15/37 49,320 28,270
United States Treasury Strip Coupon 0.000% 2/15/38 42,560 24,206
United States Treasury Strip Coupon 0.000% 5/15/38 43,475 24,509
United States Treasury Strip Coupon 0.000% 8/15/38 40,860 22,815
United States Treasury Strip Coupon 0.000% 11/15/38 34,420 19,049
United States Treasury Strip Coupon 0.000% 2/15/39 29,860 16,430
United States Treasury Strip Coupon 0.000% 5/15/39 32,780 17,893
United States Treasury Strip Coupon 0.000% 8/15/39 28,240 15,287
United States Treasury Strip Coupon 0.000% 11/15/39 40,405 21,566
United States Treasury Strip Coupon 0.000% 2/15/40 26,080 13,828
United States Treasury Strip Coupon 0.000% 5/15/40 20,040 10,527
United States Treasury Strip Coupon 0.000% 8/15/40 20,750 10,772
United States Treasury Strip Coupon 0.000% 11/15/40 34,615 17,797
United States Treasury Strip Coupon 0.000% 2/15/41 47,570 24,235
United States Treasury Strip Coupon 0.000% 5/15/41 41,160 20,802
United States Treasury Strip Coupon 0.000% 8/15/41 36,960 18,466
United States Treasury Strip Coupon 0.000% 11/15/41 43,480 21,509
United States Treasury Strip Coupon 0.000% 2/15/42 53,545 26,313
United States Treasury Strip Coupon 0.000% 5/15/42 46,375 22,579
United States Treasury Strip Coupon 0.000% 8/15/42 42,080 20,320
United States Treasury Strip Coupon 0.000% 11/15/42 63,870 30,647
United States Treasury Strip Coupon 0.000% 2/15/43 53,865 25,733
United States Treasury Strip Coupon 0.000% 5/15/43 61,340 29,127
United States Treasury Strip Coupon 0.000% 8/15/43 38,290 17,892
United States Treasury Strip Coupon 0.000% 11/15/43 48,195 22,452
United States Treasury Strip Coupon 0.000% 2/15/44 50,755 23,419
United States Treasury Strip Coupon 0.000% 5/15/44 43,675 19,991
United States Treasury Strip Coupon 0.000% 8/15/44 43,420 19,732
United States Treasury Strip Coupon 0.000% 11/15/44 13,450 6,051
United States Treasury Strip Coupon 0.000% 2/15/45 15,770 7,063
United States Treasury Strip Coupon 0.000% 5/15/45 32,755 14,548
United States Treasury Strip Coupon 0.000% 8/15/45 14,700 6,515
United States Treasury Strip Coupon 0.000% 11/15/45 10,550 4,614
United States Treasury Strip Coupon 0.000% 2/15/46 7,050 3,068
United States Treasury Strip Coupon 0.000% 5/15/46 50 22
United States Treasury Strip Principal 0.000% 2/15/37 55,350 34,036
United States Treasury Strip Principal 0.000% 5/15/37 22,025 13,528
United States Treasury Strip Principal 0.000% 2/15/38 31,675 18,686
United States Treasury Strip Principal 0.000% 5/15/38 21,155 12,374
United States Treasury Strip Principal 0.000% 2/15/39 34,515 19,393
United States Treasury Strip Principal 0.000% 5/15/39 27,175 15,084
United States Treasury Strip Principal 0.000% 8/15/39 17,820 9,815
United States Treasury Strip Principal 0.000% 11/15/39 25,925 14,079
United States Treasury Strip Principal 0.000% 2/15/40 29,790 16,029

 


 

United States Treasury Strip Principal 0.000% 5/15/40 22,660 12,066
United States Treasury Strip Principal 0.000% 8/15/40 31,640 16,673
United States Treasury Strip Principal 0.000% 11/15/40 19,540 10,198
United States Treasury Strip Principal 0.000% 2/15/41 19,060 9,874
United States Treasury Strip Principal 0.000% 5/15/41 19,750 10,130
United States Treasury Strip Principal 0.000% 8/15/41 23,005 11,698
United States Treasury Strip Principal 0.000% 11/15/41 16,735 8,456
United States Treasury Strip Principal 0.000% 2/15/42 16,505 8,264
United States Treasury Strip Principal 0.000% 5/15/42 35,785 17,714
United States Treasury Strip Principal 0.000% 8/15/42 46,740 22,888
United States Treasury Strip Principal 0.000% 11/15/42 55,040 26,669
United States Treasury Strip Principal 0.000% 2/15/43 58,760 28,333
United States Treasury Strip Principal 0.000% 5/15/43 63,345 30,138
United States Treasury Strip Principal 0.000% 8/15/43 47,785 22,933
United States Treasury Strip Principal 0.000% 11/15/43 50,805 24,268
United States Treasury Strip Principal 0.000% 2/15/44 42,835 20,119
United States Treasury Strip Principal 0.000% 5/15/44 51,335 23,742
United States Treasury Strip Principal 0.000% 8/15/44 53,910 24,617
United States Treasury Strip Principal 0.000% 11/15/44 46,970 21,258
United States Treasury Strip Principal 0.000% 2/15/45 44,360 19,907
United States Treasury Strip Principal 0.000% 5/15/45 56,925 25,358
United States Treasury Strip Principal 0.000% 8/15/45 53,350 23,557
United States Treasury Strip Principal 0.000% 11/15/45 43,550 19,067
United States Treasury Strip Principal 0.000% 2/15/46 39,750 17,341
United States Treasury Strip Principal 0.000% 5/15/46 15,050 6,540
Total U.S. Government and Agency Obligations (Cost $1,194,461)     1,369,499
Other Assets and Liabilities-Net (0.0%)       (192)
Net Assets (100%)       1,369,307

 

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. Bonds and temporary cash investments acquired over 60 days to maturity 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. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been 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.

B. 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).

At May 31, 2016, 100% of the market value of the fund's investments was determined based on Level 2 inputs.


 

Extended Duration Treasury Index Fund

C. At May 31, 2016, the cost of investment securities for tax purposes was $1,194,461,000. Net unrealized appreciation of investment securities for tax purposes was $175,038,000, consisting of unrealized gains of $175,667,000 on securities that had risen in value since their purchase and $629,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Consumer Discretionary Index Fund    
 
 
 
Schedule of Investments    
As of May 31, 2016    
 
      Market
      Value
    Shares ($000)
Common Stocks (99.9%)    
Auto Components (3.7%)    
  Johnson Controls Inc. 441,427 19,489
  Delphi Automotive plc 189,491 12,878
^ Autoliv Inc. 59,766 7,328
  Lear Corp. 51,095 6,068
  Goodyear Tire & Rubber Co. 182,446 5,103
  BorgWarner Inc. 148,864 5,066
  Gentex Corp. 197,748 3,279
* Tenneco Inc. 39,300 2,111
  Visteon Corp. 27,430 2,057
  Dana Holding Corp. 102,339 1,230
  Drew Industries Inc. 15,399 1,191
* Dorman Products Inc. 21,472 1,186
  Cooper Tire & Rubber Co. 35,893 1,153
* Gentherm Inc. 22,922 839
* American Axle & Manufacturing Holdings Inc. 47,157 786
* Cooper-Standard Holding Inc. 8,588 738
  Standard Motor Products Inc. 13,380 517
  Superior Industries International Inc. 14,701 399
* Motorcar Parts of America Inc. 12,125 363
* Modine Manufacturing Co. 33,339 333
  Tower International Inc. 13,683 297
* Stoneridge Inc. 17,626 289
* Fox Factory Holding Corp. 14,730 245
* Federal-Mogul Holdings Corp. 21,145 179
  Metaldyne Performance Group Inc. 6,304 103
      73,227
Automobiles (4.4%)    
  Ford Motor Co. 2,521,950 34,021
  General Motors Co. 946,423 29,604
* Tesla Motors Inc. 67,438 15,054
  Harley-Davidson Inc. 125,227 5,809
  Thor Industries Inc. 33,968 2,208
  Winnebago Industries Inc. 18,143 409
      87,105
Distributors (1.0%)    
  Genuine Parts Co. 102,261 9,911
* LKQ Corp. 207,254 6,854
  Pool Corp. 28,657 2,624
  Core-Mark Holding Co. Inc. 15,648 1,340
      20,729
Diversified Consumer Services (1.1%)    
  Service Corp. International 133,277 3,652
* ServiceMaster Global Holdings Inc. 91,921 3,515
  H&R Block Inc. 159,930 3,416
* Bright Horizons Family Solutions Inc. 30,326 1,965
  Graham Holdings Co. Class B 3,136 1,562
* Grand Canyon Education Inc. 30,731 1,283
* Houghton Mifflin Harcourt Co. 71,463 1,229

 


 

Sotheby's 33,740 1,009
^ DeVry Education Group Inc. 40,331 730
* LifeLock Inc. 55,569 726
* Apollo Education Group Inc. 66,208 609
Capella Education Co. 7,551 396
* Strayer Education Inc. 7,292 351
* Regis Corp. 25,721 336
* Weight Watchers International Inc. 21,461 325
* American Public Education Inc. 10,790 305
* K12 Inc. 23,596 280
* Career Education Corp. 44,030 259
Carriage Services Inc. Class A 10,117 238
* Chegg Inc. 30,358 148
* Ascent Capital Group Inc. Class A 7,475 140
* Bridgepoint Education Inc. 12,463 97
    22,571
Hotels, Restaurants & Leisure (15.8%)    
McDonald's Corp. 613,829 74,924
Starbucks Corp. 1,005,398 55,186
Yum! Brands Inc. 278,295 22,845
Las Vegas Sands Corp. 297,706 13,766
Carnival Corp. 282,862 13,504
Royal Caribbean Cruises Ltd. 119,039 9,212
Marriott International Inc. Class A 138,930 9,175
* Chipotle Mexican Grill Inc. Class A 20,453 9,039
Starwood Hotels & Resorts Worldwide Inc. 114,427 8,402
Hilton Worldwide Holdings Inc. 370,057 7,690
* MGM Resorts International 305,783 6,987
Darden Restaurants Inc. 82,955 5,627
Wynn Resorts Ltd. 55,137 5,303
Wyndham Worldwide Corp. 76,576 5,161
Aramark 154,407 5,140
* Norwegian Cruise Line Holdings Ltd. 108,980 5,058
Domino's Pizza Inc. 34,219 4,136
* Panera Bread Co. Class A 15,649 3,430
Vail Resorts Inc. 24,760 3,250
Six Flags Entertainment Corp. 49,868 2,877
Dunkin' Brands Group Inc. 62,863 2,721
Jack in the Box Inc. 24,397 2,079
Texas Roadhouse Inc. Class A 45,389 2,034
^ Cracker Barrel Old Country Store Inc. 12,831 1,944
* Buffalo Wild Wings Inc. 12,793 1,860
Brinker International Inc. 40,309 1,813
Cheesecake Factory Inc. 31,437 1,568
Bloomin' Brands Inc. 81,325 1,549
Wendy's Co. 140,181 1,441
Papa John's International Inc. 19,875 1,259
Churchill Downs Inc. 9,101 1,142
Interval Leisure Group Inc. 78,872 1,133
Choice Hotels International Inc. 24,597 1,116
Marriott Vacations Worldwide Corp. 17,966 1,089
* Boyd Gaming Corp. 56,392 1,066
DineEquity Inc. 11,548 971
Sonic Corp. 31,580 941
* Krispy Kreme Doughnuts Inc. 43,206 924
* Hyatt Hotels Corp. Class A 19,481 894
SeaWorld Entertainment Inc. 49,270 860

 


 

* Popeyes Louisiana Kitchen Inc. 14,271 829
* Dave & Buster's Entertainment Inc. 20,778 811
  Extended Stay America Inc. 55,495 791
* Penn National Gaming Inc. 49,638 778
* La Quinta Holdings Inc. 60,560 719
^,* Diamond Resorts International Inc. 31,038 712
* Belmond Ltd. Class A 63,118 600
  International Speedway Corp. Class A 18,080 598
* Denny's Corp. 53,939 579
  Bob Evans Farms Inc. 12,562 560
* BJ's Restaurants Inc. 12,437 557
  ClubCorp Holdings Inc. 43,523 525
* Red Robin Gourmet Burgers Inc. 9,263 470
* Zoe's Kitchen Inc. 12,454 460
* Fiesta Restaurant Group Inc. 18,200 457
  Pinnacle Entertainment Inc. 38,499 434
  Ruth's Hospitality Group Inc. 23,813 396
* Chuy's Holdings Inc. 10,804 356
* Scientific Games Corp. Class A 34,823 341
* Caesars Acquisition Co. Class A 32,961 328
* Caesars Entertainment Corp. 38,642 283
  Wingstop Inc. 9,584 267
* Biglari Holdings Inc. 663 265
* Isle of Capri Casinos Inc. 16,646 265
* Del Frisco's Restaurant Group Inc. 16,268 252
* Shake Shack Inc. Class A 6,535 250
* Eldorado Resorts Inc. 15,940 238
  Marcus Corp. 12,017 233
  Del Taco Restaurants Inc. 23,779 222
  Planet Fitness Inc. Class A 11,214 200
* Ruby Tuesday Inc. 42,201 164
* Habit Restaurants Inc. Class A 8,196 147
  Lindblad Expeditions Holdings Inc. 13,858 139
  Speedway Motorsports Inc. 7,771 135
* Potbelly Corp. 9,020 119
* Bojangles' Inc. 5,945 104
* El Pollo Loco Holdings Inc. 9,294 103
* Intrawest Resorts Holdings Inc. 9,315 101
^,* Noodles & Co. Class A 8,763 82
  Fogo De Chao Inc. 3,667 49
      314,035
Household Durables (4.4%)    
  Newell Brands Inc. 299,503 14,283
  Whirlpool Corp. 52,897 9,237
* Mohawk Industries Inc. 42,492 8,358
  DR Horton Inc. 239,285 7,313
  Lennar Corp. Class A 121,468 5,535
  Leggett & Platt Inc. 92,308 4,639
* NVR Inc. 2,524 4,374
  PulteGroup Inc. 213,121 3,998
  Harman International Industries Inc. 48,330 3,781
* Toll Brothers Inc. 113,611 3,312
  Garmin Ltd. 77,510 3,296
* Tempur Sealy International Inc. 41,938 2,442
* Helen of Troy Ltd. 19,324 1,987
  CalAtlantic Group Inc. 53,712 1,987
  Tupperware Brands Corp. 34,243 1,937

 


 

* TRI Pointe Group Inc. 105,410 1,229
* Meritage Homes Corp. 25,627 935
  TopBuild Corp. 25,428 919
  La-Z-Boy Inc. 34,575 916
^ KB Home 55,310 771
* iRobot Corp. 18,639 718
* Universal Electronics Inc. 9,958 647
  MDC Holdings Inc. 26,320 612
  Ethan Allen Interiors Inc. 17,186 580
^,* GoPro Inc. Class A 54,562 560
* Cavco Industries Inc. 5,432 539
* Installed Building Products Inc. 12,978 434
* M/I Homes Inc. 17,264 326
* Taylor Morrison Home Corp. Class A 21,431 319
* LGI Homes Inc. 9,737 263
  Libbey Inc. 13,938 238
* William Lyon Homes Class A 14,169 230
* WCI Communities Inc. 12,498 215
* Century Communities Inc. 11,587 210
* Beazer Homes USA Inc. 21,552 169
* Hovnanian Enterprises Inc. Class A 73,153 139
  NACCO Industries Inc. Class A 2,238 118
      87,566
Internet & Catalog Retail (15.2%)    
* Amazon.com Inc. 272,512 196,969
* Priceline Group Inc. 33,788 42,719
* Netflix Inc. 291,537 29,903
  Expedia Inc. 84,467 9,396
* Liberty Interactive Corp. QVC Group Class A 296,350 7,996
* TripAdvisor Inc. 80,199 5,433
* Liberty Ventures Class A 91,420 3,411
  HSN Inc. 23,004 1,205
* Shutterfly Inc. 23,853 1,152
* Liberty TripAdvisor Holdings Inc. Class A 48,027 1,103
* Groupon Inc. Class A 307,151 1,087
^,* Wayfair Inc. 18,953 780
  Nutrisystem Inc. 20,026 544
* Etsy Inc. 44,269 409
* FTD Cos. Inc. 12,457 339
  Blue Nile Inc. 7,983 211
^,* Lands' End Inc. 12,178 204
* Overstock.com Inc. 11,886 203
* 1-800-Flowers.com Inc. Class A 18,035 145
  Duluth Holdings Inc. 4,929 131
      303,340
Leisure Products (1.3%)    
  Mattel Inc. 230,143 7,337
  Hasbro Inc. 76,111 6,644
  Polaris Industries Inc. 42,237 3,591
  Brunswick Corp. 61,777 2,957
* Vista Outdoor Inc. 42,442 2,130
* Smith & Wesson Holding Corp. 36,767 896
  Sturm Ruger & Co. Inc. 12,704 841
  Callaway Golf Co. 60,257 606
* Nautilus Inc. 20,057 414

 


 

Arctic Cat Inc. 8,320 131
    25,547
Media (23.5%)    
Comcast Corp. Class A 1,656,530 104,858
Walt Disney Co. 1,055,344 104,711
Time Warner Inc. 538,013 40,706
Charter Communications Inc. Class A 146,720 32,123
Twenty-First Century Fox Inc. Class A 762,187 22,012
CBS Corp. Class B 287,117 15,849
* Liberty Global plc 421,054 15,213
Omnicom Group Inc. 163,924 13,660
Viacom Inc. Class B 236,012 10,472
Twenty-First Century Fox Inc. 297,870 8,710
* DISH Network Corp. Class A 152,491 7,609
* Liberty Global plc Class A 193,223 7,217
Interpublic Group of Cos. Inc. 275,569 6,586
* Sirius XM Holdings Inc. 1,387,920 5,579
Cablevision Systems Corp. Class A 135,919 4,714
* Discovery Communications Inc. 163,687 4,382
Liberty SiriusXM Group Class C 135,734 4,269
Scripps Networks Interactive Inc. Class A 54,911 3,533
TEGNA Inc. 142,842 3,280
* Discovery Communications Inc. Class A 101,748 2,834
* Liberty Broadband Corp. 48,313 2,794
* AMC Networks Inc. Class A 41,123 2,629
Cinemark Holdings Inc. 70,357 2,546
News Corp. Class A 211,519 2,530
Tribune Media Co. Class A 54,540 2,195
* Live Nation Entertainment Inc. 89,586 2,163
Madison Square Garden Co. Class A 12,548 2,102
* DreamWorks Animation SKG Inc. Class A 50,137 2,018
Liberty SiriusXM Group Class A 62,339 1,988
John Wiley & Sons Inc. Class A 31,664 1,706
Cable One Inc. 3,366 1,649
News Corp. Class B 129,233 1,595
* Starz 58,880 1,590
Lions Gate Entertainment Corp. 69,973 1,560
Sinclair Broadcast Group Inc. Class A 44,607 1,411
* IMAX Corp. 41,665 1,389
Meredith Corp. 25,418 1,258
^ Regal Entertainment Group Class A 57,725 1,214
Time Inc. 74,232 1,178
Gannett Co. Inc. 74,102 1,157
Nexstar Broadcasting Group Inc. Class A 20,838 1,109
New York Times Co. Class A 87,763 1,061
* Liberty Broadband Corp. Class A 17,849 1,032
* Media General Inc. 55,815 996
Liberty Global PLC LiLAC 21,652 925
Scholastic Corp. 16,922 661
MSG Networks Inc. 37,304 646
Liberty Media Group 33,558 636
MDC Partners Inc. Class A 34,042 611
* EW Scripps Co. Class A 36,186 610
National CineMedia Inc. 41,062 600
* Gray Television Inc. 43,751 517
* Carmike Cinemas Inc. 16,848 503
New Media Investment Group Inc. 28,281 493

 


 

  AMC Entertainment Holdings Inc. 14,321 412
^ World Wrestling Entertainment Inc. Class A 22,828 401
* Loral Space & Communications Inc. 9,524 365
  Liberty Global PLC LiLAC Class A 8,512 350
  Liberty Media Group Class A 15,334 299
  Entravision Communications Corp. Class A 41,280 298
  Liberty Braves Group 13,620 204
  Entercom Communications Corp. Class A 14,995 190
* Global Eagle Entertainment Inc. 25,962 188
  Tribune Publishing Co. 15,297 179
  Liberty Braves Group Class A 6,127 95
^,* Hemisphere Media Group Inc. Class A 5,143 56
  Harte-Hanks Inc. 28,003 28
  Liberty Braves Group Class A Rights Expire 06/16/2016 10,690 23
      468,477
Multiline Retail (4.0%)    
  Target Corp. 389,508 26,790
  Dollar General Corp. 198,098 17,809
* Dollar Tree Inc. 159,925 14,480
  Macy's Inc. 213,260 7,082
  Kohl's Corp. 131,932 4,755
  Nordstrom Inc. 88,594 3,365
  Big Lots Inc. 33,888 1,772
* JC Penney Co. Inc. 208,395 1,623
  Dillard's Inc. Class A 15,086 892
  Ollie's Bargain Outlet Holdings Inc. 14,289 358
  Fred's Inc. Class A 24,088 354
^,* Sears Holdings Corp. 17,585 233
* Tuesday Morning Corp. 28,251 192
      79,705
Specialty Retail (19.2%)    
  Home Depot Inc. 863,408 114,074
  Lowe's Cos. Inc. 619,528 49,643
  TJX Cos. Inc. 455,902 34,703
* O'Reilly Automotive Inc. 66,167 17,497
* AutoZone Inc. 20,638 15,730
  Ross Stores Inc. 276,140 14,746
  L Brands Inc. 166,925 11,443
* Ulta Salon Cosmetics & Fragrance Inc. 41,197 9,599
  Tractor Supply Co. 90,794 8,725
  Advance Auto Parts Inc. 49,443 7,606
* CarMax Inc. 133,226 7,149
  Best Buy Co. Inc. 198,441 6,384
  Tiffany & Co. 87,042 5,393
  Foot Locker Inc. 94,533 5,286
* Bed Bath & Beyond Inc. 113,260 5,068
  Signet Jewelers Ltd. 51,011 5,049
  Staples Inc. 436,525 3,841
* Burlington Stores Inc. 51,548 3,111
  Williams-Sonoma Inc. 58,197 3,087
  Gap Inc. 164,452 2,959
* Sally Beauty Holdings Inc. 99,452 2,856
  Dick's Sporting Goods Inc. 61,117 2,622
* AutoNation Inc. 51,165 2,581
  GameStop Corp. Class A 71,832 2,090
  American Eagle Outfitters Inc. 125,019 1,955

 


 

  CST Brands Inc. 50,939 1,932
* Murphy USA Inc. 28,324 1,926
* Michaels Cos. Inc. 63,418 1,859
* Urban Outfitters Inc. 61,284 1,748
* Five Below Inc. 36,658 1,535
* Cabela's Inc. 29,929 1,453
  Monro Muffler Brake Inc. 21,824 1,374
  Lithia Motors Inc. Class A 16,065 1,323
  GNC Holdings Inc. Class A 50,505 1,316
  Penske Automotive Group Inc. 30,545 1,207
* Office Depot Inc. 332,887 1,192
  DSW Inc. Class A 54,057 1,144
  Aaron's Inc. 44,869 1,126
* Genesco Inc. 15,863 1,025
  Group 1 Automotive Inc. 15,921 990
  Chico's FAS Inc. 89,553 972
  Children's Place Inc. 13,724 967
  Abercrombie & Fitch Co. 47,221 939
* Ascena Retail Group Inc. 119,383 862
* Restoration Hardware Holdings Inc. 25,841 860
* Asbury Automotive Group Inc. 14,446 810
* Select Comfort Corp. 34,598 776
* Express Inc. 51,510 749
  Guess? Inc. 44,397 700
  Caleres Inc. 27,929 683
  Cato Corp. Class A 17,620 667
* Vitamin Shoppe Inc. 19,278 583
  Finish Line Inc. Class A 30,714 557
* Hibbett Sports Inc. 15,684 542
^ Outerwall Inc. 11,904 491
^ Buckle Inc. 19,745 488
  Rent-A-Center Inc. 35,780 471
  Barnes & Noble Inc. 40,247 468
  Sonic Automotive Inc. Class A 22,142 396
  Tailored Brands Inc. 28,208 389
^,* Mattress Firm Holding Corp. 10,314 348
* Tile Shop Holdings Inc. 18,214 332
  Pier 1 Imports Inc. 57,146 320
* MarineMax Inc. 17,869 303
* Francesca's Holdings Corp. 26,542 277
* Party City Holdco Inc. 19,645 274
^,* Lumber Liquidators Holdings Inc. 18,797 246
  Shoe Carnival Inc. 10,396 242
  Barnes & Noble Education Inc. 25,424 242
  Haverty Furniture Cos. Inc. 12,891 240
* Zumiez Inc. 13,882 207
  Winmark Corp. 1,459 143
^,* Conn's Inc. 12,477 139
  Kirkland's Inc. 10,121 135
* America's Car-Mart Inc. 5,568 132
  Stein Mart Inc. 18,337 127
  Stage Stores Inc. 19,791 109
* Container Store Group Inc. 11,606 62
* Boot Barn Holdings Inc. 7,252 55
      381,650
Textiles, Apparel & Luxury Goods (6.3%)    
  NIKE Inc. Class B 918,212 50,704

 


 

  VF Corp.   230,868 14,388
  Coach Inc.   188,204 7,419
  Hanesbrands Inc.   265,742 7,194
  PVH Corp.   55,989 5,252
* Michael Kors Holdings Ltd.   122,156 5,218
* lululemon athletica Inc.   76,298 4,962
^,* Under Armour Inc. Class A   122,144 4,608
  Under Armour Inc.   125,944 4,404
  Ralph Lauren Corp. Class A   39,893 3,763
  Carter's Inc.   35,315 3,550
* Skechers U.S.A. Inc. Class A   88,180 2,749
* Kate Spade & Co.   86,810 1,898
* Steven Madden Ltd.   38,383 1,317
  Wolverine World Wide Inc.   69,419 1,264
* Deckers Outdoor Corp.   21,900 1,152
* G-III Apparel Group Ltd.   27,306 1,068
* Tumi Holdings Inc.   39,669 1,064
  Columbia Sportswear Co.   19,078 1,014
* Fossil Group Inc.   29,154 812
  Oxford Industries Inc.   10,184 645
* Crocs Inc.   49,258 485
  Sequential Brands Group Inc.   37,081 299
* Unifi Inc.   10,179 256
* Iconix Brand Group Inc.   32,529 251
  Movado Group Inc.   10,950 225
* Vera Bradley Inc.   13,397 205
        126,166
Total Common Stocks (Cost $1,949,088)     1,990,118
 
    Coupon    
Temporary Cash Investment (0.6%)      
1,2 Vanguard Market Liquidity Fund (Cost      
  $11,511) 0.523% 11,511,101 11,511
Total Investments (100.5%) (Cost $1,960,599)     2,001,629
 
Other Assets and Liabilities-Net (-0.5%)2     (9,628)
Net Assets (100%)     1,992,001

^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $11,146,000.
* Non-income-producing security.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
2 Includes $11,511,000 of collateral received for securities on loan.

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. 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


 

Consumer Discretionary Index Fund

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).

At May 31, 2016, 100% of the market value of the fund's investments was determined based on Level 1 inputs.

C. At May 31, 2016, the cost of investment securities for tax purposes was $1,960,599,000. Net unrealized appreciation of investment securities for tax purposes was $41,030,000, consisting of unrealized gains of $224,527,000 on securities that had risen in value since their purchase and $183,497,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Consumer Staples Index Fund    
 
 
 
Schedule of Investments    
As of May 31, 2016    
 
      Market
      Value
    Shares ($000)
Common Stocks (99.6%)1    
Beverages (21.0%)    
  Coca-Cola Co. 7,221,083 322,060
  PepsiCo Inc. 2,516,066 254,550
  Constellation Brands Inc. Class A 331,431 50,759
^ Monster Beverage Corp. 278,932 41,840
  Molson Coors Brewing Co. Class B 367,847 36,483
  Dr Pepper Snapple Group Inc. 374,432 34,223
  Brown-Forman Corp. Class B 231,818 22,734
  Coca-Cola European Partners plc 434,426 16,860
* Boston Beer Co. Inc. Class A 17,308 2,690
  Coca-Cola Bottling Co. Consolidated 14,163 1,749
      783,948
Food & Staples Retailing (21.6%)    
  Wal-Mart Stores Inc. 2,680,968 189,759
  CVS Health Corp. 1,722,389 166,125
  Walgreens Boots Alliance Inc. 1,647,200 127,493
  Costco Wholesale Corp. 828,684 123,283
  Kroger Co. 1,779,386 63,631
  Sysco Corp. 1,071,227 51,537
  Whole Foods Market Inc. 682,367 22,075
* Rite Aid Corp. 2,103,245 16,195
  Casey's General Stores Inc. 87,109 10,471
* Sprouts Farmers Market Inc. 293,024 7,255
  PriceSmart Inc. 53,963 4,781
  SpartanNash Co. 145,512 4,323
* United Natural Foods Inc. 98,765 3,680
  Andersons Inc. 100,214 3,586
  Weis Markets Inc. 64,724 3,247
* Smart & Final Stores Inc. 156,081 2,477
  Village Super Market Inc. Class A 82,329 2,231
  Ingles Markets Inc. Class A 57,789 2,154
* Chefs' Warehouse Inc. 135,490 2,057
* SUPERVALU Inc. 385,300 1,784
  Performance Food Group Co. 9,052 225
^,* Natural Grocers by Vitamin Cottage Inc. 15,193 201
      808,570
Food Products (21.4%)    
  Mondelez International Inc. Class A 3,003,328 133,618
  Kraft Heinz Co. 1,138,912 94,746
  General Mills Inc. 1,145,865 71,937
  Archer-Daniels-Midland Co. 1,180,385 50,485
  ConAgra Foods Inc. 844,838 38,609
  Kellogg Co. 518,859 38,588
  Tyson Foods Inc. Class A 601,034 38,334
  Mead Johnson Nutrition Co. 389,385 32,039
  JM Smucker Co. 225,445 29,116
  Hershey Co. 300,274 27,880
  Campbell Soup Co. 379,890 23,010
  McCormick & Co. Inc. 235,694 22,879

 


 

  Hormel Foods Corp. 588,343 20,245
  Bunge Ltd. 272,993 18,310
  Ingredion Inc. 150,075 17,620
* WhiteWave Foods Co. Class A 369,002 16,476
* TreeHouse Foods Inc. 126,900 12,017
* Hain Celestial Group Inc. 229,447 11,344
* Post Holdings Inc. 138,690 10,542
  Pinnacle Foods Inc. 245,986 10,363
  Flowers Foods Inc. 422,993 7,931
  Snyder's-Lance Inc. 229,062 7,080
  B&G Foods Inc. 164,601 7,076
  Lancaster Colony Corp. 50,347 6,104
* Darling Ingredients Inc. 391,611 6,011
  Sanderson Farms Inc. 60,916 5,465
  Fresh Del Monte Produce Inc. 101,647 5,323
^ Pilgrim's Pride Corp. 203,027 5,049
  Dean Foods Co. 266,281 4,868
  J&J Snack Foods Corp. 42,396 4,473
^ Cal-Maine Foods Inc. 87,579 3,897
  Calavo Growers Inc. 58,494 3,311
^ Tootsie Roll Industries Inc. 90,825 3,251
* Landec Corp. 205,583 2,381
* Seneca Foods Corp. Class A 75,707 2,364
* Farmer Brothers Co. 75,624 2,136
^ Limoneira Co. 81,157 1,335
^,* Freshpet Inc. 96,064 890
  John B Sanfilippo & Son Inc. 9,050 428
  Amplify Snack Brands Inc. 17,821 233
  Blue Buffalo Pet Products Inc. 8,848 229
      797,993
Household Products (18.2%)    
  Procter & Gamble Co. 4,814,039 390,130
  Colgate-Palmolive Co. 1,617,326 113,876
  Kimberly-Clark Corp. 692,129 87,928
  Clorox Co. 253,193 32,545
  Church & Dwight Co. Inc. 263,407 25,940
  Spectrum Brands Holdings Inc. 67,687 7,890
  Energizer Holdings Inc. 164,614 7,791
  WD-40 Co. 43,841 4,883
* HRG Group Inc. 291,034 3,821
* Central Garden & Pet Co. Class A 166,735 3,040
* Central Garden & Pet Co. 131,629 2,459
      680,303
Personal Products (2.3%)    
  Estee Lauder Cos. Inc. Class A 440,276 40,409
  Edgewell Personal Care Co. 136,384 10,833
^,* Herbalife Ltd. 158,307 9,164
^ Coty Inc. Class A 198,352 5,225
  Nu Skin Enterprises Inc. Class A 126,185 4,978
  Avon Products Inc. 1,021,329 3,983
* USANA Health Sciences Inc. 23,463 2,831
* Revlon Inc. Class A 89,039 2,776
  Inter Parfums Inc. 94,015 2,749
  Medifast Inc. 70,579 2,252
^,* Elizabeth Arden Inc. 149,233 1,370

 


 

^ Natural Health Trends Corp.   1,152 34
      86,604
Tobacco (15.1%)      
Philip Morris International Inc.   2,672,505 263,723
Altria Group Inc.   3,315,320 210,987
Reynolds American Inc.   1,633,753 81,197
Vector Group Ltd.   238,492 5,120
Universal Corp.   69,718 3,814
      564,841
Total Common Stocks (Cost $3,187,817)     3,722,259
  Coupon    
Temporary Cash Investment (0.9%)1      
2,3 Vanguard Market Liquidity Fund (Cost      
$32,554) 0.523% 32,553,968 32,554
Total Investments (100.5%) (Cost $3,220,371)     3,754,813
Other Assets and Liabilities-Net (-0.5%)3     (19,865)
Net Assets (100%)     3,734,948

^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $20,980,000.
* Non-income-producing security.
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 0.5%, 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 Includes $21,874,000 of collateral received for securities on loan.

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. 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).

At May 31, 2016, 100% of the market value of the fund's investments was determined based on Level 1 inputs.

C. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, 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 fund may seek to enhance


 

Consumer Staples Index Fund

returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. 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.

Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

At May 31, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short) (Depreciation)
E-mini S&P 500 Index June 2016 113 11,836 13

 

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.

D. At May 31, 2016, the cost of investment securities for tax purposes was $3,220,371,000. Net unrealized appreciation of investment securities for tax purposes was $534,442,000, consisting of unrealized gains of $548,591,000 on securities that had risen in value since their purchase and $14,149,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Energy Index Fund    
 
 
 
Schedule of Investments    
As of May 31, 2016    
 
      Market
      Value
    Shares ($000)
Common Stocks (100.0%)1    
Energy Equipment & Services (17.5%)    
  Oil & Gas Drilling (2.0%)    
^ Helmerich & Payne Inc. 366,259 22,397
  Ensco plc Class A 1,105,084 10,929
  Patterson-UTI Energy Inc. 557,132 10,368
  Nabors Industries Ltd. 1,097,481 10,316
  Rowan Cos. plc Class A 476,368 8,065
  Noble Corp. plc 947,953 7,906
  Diamond Offshore Drilling Inc. 288,297 7,444
* Unit Corp. 282,445 3,946
^ Atwood Oceanics Inc. 341,162 3,640
* Parker Drilling Co. 1,103,130 2,427
* Pioneer Energy Services Corp. 678,918 2,424
  Transocean Partners LLC 202,550 2,264
  Transocean Ltd. 6,054 59
 
  Oil & Gas Equipment & Services (15.5%)    
  Schlumberger Ltd. 4,415,519 336,904
  Halliburton Co. 2,735,204 115,371
  Baker Hughes Inc. 1,370,380 63,558
  National Oilwell Varco Inc. 1,231,195 40,568
* FMC Technologies Inc. 774,645 21,094
  Core Laboratories NV 146,887 17,810
* Weatherford International plc 3,028,638 16,991
  Oceaneering International Inc. 358,960 11,867
  Superior Energy Services Inc. 582,875 10,049
* Dril-Quip Inc. 148,105 9,039
^ US Silica Holdings Inc. 257,250 7,339
* Oil States International Inc. 213,982 7,031
* McDermott International Inc. 1,116,748 5,305
* Forum Energy Technologies Inc. 283,063 4,750
* SEACOR Holdings Inc. 81,637 4,683
^,* RPC Inc. 317,054 4,677
* Helix Energy Solutions Group Inc. 529,071 4,238
^ Frank's International NV 230,720 3,694
  Archrock Inc. 440,995 3,365
* Newpark Resources Inc. 636,221 2,920
* TETRA Technologies Inc. 524,253 2,868
  Bristow Group Inc. 209,047 2,803
* Matrix Service Co. 164,344 2,723
^ Fairmount Santrol Holdings Inc. 494,902 2,663
  Exterran Corp. 200,060 2,507
  Tesco Corp. 338,413 2,477
* Hornbeck Offshore Services Inc. 287,255 2,387
* Era Group Inc. 241,952 2,315
* PHI Inc. 127,199 2,175
* RigNet Inc. 151,885 1,888
^ CARBO Ceramics Inc. 146,415 1,805
  Tidewater Inc. 408,330 1,768
^,* Gulfmark Offshore Inc. 523,063 1,695

 


 

^,* C&J Energy Services Ltd. 1,040,537 553
      814,065
Oil, Gas & Consumable Fuels (82.5%)    
  Coal & Consumable Fuels (0.3%)    
^ CONSOL Energy Inc. 700,183 10,755
* Westmoreland Coal Co. 258,879 2,094
 
  Integrated Oil & Gas (39.1%)    
  Exxon Mobil Corp. 11,706,291 1,042,094
  Chevron Corp. 5,929,701 598,900
  Occidental Petroleum Corp. 2,420,116 182,573
 
  Oil & Gas Exploration & Production (27.3%)    
  ConocoPhillips 3,922,135 171,750
  EOG Resources Inc. 1,747,913 142,210
  Anadarko Petroleum Corp. 1,637,998 84,947
  Pioneer Natural Resources Co. 519,783 83,332
  Apache Corp. 1,226,096 70,059
  Devon Energy Corp. 1,519,252 54,830
  Hess Corp. 914,013 54,777
* Concho Resources Inc. 421,791 51,180
  Noble Energy Inc. 1,395,088 49,874
  EQT Corp. 566,924 41,527
  Cimarex Energy Co. 313,603 36,466
  Cabot Oil & Gas Corp. 1,514,499 36,302
  Marathon Oil Corp. 2,758,657 36,056
* Newfield Exploration Co. 675,879 27,556
  Range Resources Corp. 582,562 24,811
* Diamondback Energy Inc. 242,604 22,065
^,* Southwestern Energy Co. 1,376,654 18,819
  Murphy Oil Corp. 577,191 17,841
  Energen Corp. 346,636 16,507
* Continental Resources Inc. 338,886 14,253
  QEP Resources Inc. 762,751 14,210
* Gulfport Energy Corp. 448,451 13,785
* Parsley Energy Inc. Class A 514,946 13,425
* WPX Energy Inc. 1,045,513 10,758
* PDC Energy Inc. 173,912 10,096
* Chesapeake Energy Corp. 2,303,135 9,880
* Whiting Petroleum Corp. 787,093 9,721
* Antero Resources Corp. 324,559 9,422
* Rice Energy Inc. 463,839 9,393
* RSP Permian Inc. 278,449 9,169
^ SM Energy Co. 270,658 8,531
* Carrizo Oil & Gas Inc. 221,066 8,511
* Matador Resources Co. 343,325 7,800
* Oasis Petroleum Inc. 680,750 6,835
^,* Laredo Petroleum Inc. 546,410 6,617
  Denbury Resources Inc. 1,521,771 6,102
* Callon Petroleum Co. 525,188 5,982
* Memorial Resource Development Corp. 368,559 5,823
* Synergy Resources Corp. 874,674 5,283
* Gran Tierra Energy Inc. 1,501,379 4,474
* Kosmos Energy Ltd. 750,876 4,310
* Cobalt International Energy Inc. 1,648,467 3,693
  California Resources Corp. 2,166,879 3,294

 


 

^,* Sanchez Energy Corp. 383,901 3,010
^,* Eclipse Resources Corp. 1,113,742 2,974
* Bill Barrett Corp. 384,731 2,735
* Ring Energy Inc. 330,833 2,676
* Jones Energy Inc. Class A 649,318 2,467
* Northern Oil and Gas Inc. 530,202 2,312
* Contango Oil & Gas Co. 199,901 2,163
^,* Bonanza Creek Energy Inc. 771,019 2,028
^,* EXCO Resources Inc. 2,233,149 2,014
^,* Clayton Williams Energy Inc. 76,799 1,935
^,* W&T Offshore Inc. 895,497 1,889
^,* Stone Energy Corp. 795,690 430
^ Halcon Resources Corp. 1,237,485 377
  LinnCo LLC 3,901,896 304
^,* Energy XXI Ltd. 1,349,233 75
 
  Oil & Gas Refining & Marketing (7.8%)    
  Phillips 66 1,542,910 123,988
  Valero Energy Corp. 1,538,765 84,170
  Marathon Petroleum Corp. 1,720,757 59,934
  Tesoro Corp. 397,444 31,032
  HollyFrontier Corp. 592,941 15,867
  World Fuel Services Corp. 253,275 11,643
  PBF Energy Inc. Class A 359,457 9,479
  Western Refining Inc. 290,381 6,168
  Delek US Holdings Inc. 277,744 3,827
  Green Plains Inc. 206,064 3,825
* REX American Resources Corp. 46,956 2,743
* Renewable Energy Group Inc. 288,205 2,654
^,* Clean Energy Fuels Corp. 764,557 2,485
  CVR Energy Inc. 116,167 2,282
* Par Pacific Holdings Inc. 119,778 1,833
  Alon USA Energy Inc. 228,141 1,723
 
  Oil & Gas Storage & Transportation (8.0%)    
  Kinder Morgan Inc. 6,045,480 109,302
  Spectra Energy Corp. 2,160,807 68,843
  Williams Cos. Inc. 2,330,748 51,649
  Columbia Pipeline Group Inc. 1,307,355 33,390
  ONEOK Inc. 712,037 30,796
  Targa Resources Corp. 552,797 23,676
* Cheniere Energy Inc. 691,725 22,225
  Plains GP Holdings LP Class A 923,542 8,672
  SemGroup Corp. Class A 196,652 6,252
* Enbridge Energy Management LLC 279,400 6,108
  Tallgrass Energy GP LP 215,232 5,174
^ EnLink Midstream LLC 279,162 4,375
^ Gener8 Maritime Inc. 373,436 2,700
  Overseas Shipholding Group Inc. Class A 33,266 59
 
      3,842,955
Total Common Stocks (Cost $5,472,895)   4,657,020

 


 

      Market
      Value
  Coupon Shares ($000)
Temporary Cash Investment (0.8%)1      
Money Market Fund (0.8%)      
2,3 Vanguard Market Liquidity Fund (Cost      
$38,401) 0.523% 38,400,601 38,401
Total Investments (100.8%) (Cost $5,511,296)     4,695,421
Other Assets and Liabilities-Net (-0.8%)3,4     (37,801)
Net Assets (100%)     4,657,620

 

^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $35,477,000.
* Non-income-producing security.
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 100.1% and 0.7%, 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 Includes $38,401,000 of collateral received for securities on loan.
4 Cash of $250,000 has been segregated as initial margin for open futures contracts.
CVR—Contingent Value Rights.

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. 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).

At May 31, 2016, 100% of the market value of the fund's investments was determined based on Level 1 inputs.

C. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, 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 fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. 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


 

Energy Index Fund

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.

Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

At May 31, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short) (Depreciation)
E-mini S&P 500 Index June 2016 50 5,237 (4)

 

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.

D. At May 31, 2016, the cost of investment securities for tax purposes was $5,511,296,000. Net unrealized depreciation of investment securities for tax purposes was $815,875,000, consisting of unrealized gains of $111,106,000 on securities that had risen in value since their purchase and $926,981,000 in unrealized losses on securities that had fallen in value since their purchase.


Vanguard Financials Index Fund    
 
 
 
Schedule of Investments    
As of May 31, 2016    
 
      Market
      Value
    Shares ($000)
Common Stocks (99.8%)1    
Banks (32.7%)    
  Wells Fargo & Co. 4,599,161 233,269
  JPMorgan Chase & Co. 3,501,549 228,546
  Bank of America Corp. 9,846,875 145,635
  Citigroup Inc. 2,811,357 130,925
  US Bancorp 1,656,670 70,939
  PNC Financial Services Group Inc. 477,835 42,881
  BB&T Corp. 772,218 28,086
  SunTrust Banks Inc. 481,571 21,102
  M&T Bank Corp. 136,984 16,370
  Fifth Third Bancorp 748,612 14,126
  Regions Financial Corp. 1,228,063 12,072
  Citizens Financial Group Inc. 502,433 11,832
  KeyCorp 795,083 10,193
  First Republic Bank 139,104 10,073
  Huntington Bancshares Inc. 757,428 7,915
  Comerica Inc. 168,023 7,914
  CIT Group Inc. 191,685 6,567
* Signature Bank 48,426 6,538
  Zions Bancorporation 194,481 5,449
* SVB Financial Group 49,114 5,412
  East West Bancorp Inc. 137,059 5,290
  People's United Financial Inc. 295,491 4,692
  PacWest Bancorp 108,916 4,540
  Commerce Bancshares Inc. 84,154 4,118
  Synovus Financial Corp. 120,438 3,874
  Investors Bancorp Inc. 321,411 3,847
  First Niagara Financial Group Inc. 338,294 3,694
  FirstMerit Corp. 157,562 3,574
  Cullen/Frost Bankers Inc. 53,158 3,556
  Webster Financial Corp. 87,445 3,424
  Prosperity Bancshares Inc. 63,377 3,413
* Western Alliance Bancorp 88,817 3,348
  Umpqua Holdings Corp. 209,146 3,344
  BankUnited Inc. 98,828 3,271
  First Horizon National Corp. 222,738 3,243
  Bank of the Ozarks Inc. 82,162 3,197
  PrivateBancorp Inc. 71,214 3,158
  Popular Inc. 98,204 3,078
  Bank of Hawaii Corp. 41,182 2,959
  Associated Banc-Corp 142,939 2,672
  FNB Corp. 198,541 2,658
  United Bankshares Inc. 66,007 2,628
  Home BancShares Inc. 59,752 2,626
  Wintrust Financial Corp. 46,242 2,463
  IBERIABANK Corp. 39,101 2,424
  MB Financial Inc. 66,752 2,413
  Fulton Financial Corp. 164,992 2,351
  UMB Financial Corp. 39,660 2,282
  Cathay General Bancorp 73,032 2,251

 


 

* Texas Capital Bancshares Inc. 43,581 2,233
TCF Financial Corp. 153,144 2,201
Valley National Bancorp 230,383 2,196
Hancock Holding Co. 73,568 2,022
Glacier Bancorp Inc. 72,395 1,979
Sterling Bancorp 117,803 1,939
BancorpSouth Inc. 80,177 1,915
Great Western Bancorp Inc. 55,794 1,898
Pinnacle Financial Partners Inc. 36,717 1,806
First Citizens BancShares Inc. Class A 6,843 1,773
Community Bank System Inc. 41,513 1,712
CVB Financial Corp. 96,444 1,693
^ First Financial Bankshares Inc. 49,972 1,675
Columbia Banking System Inc. 54,935 1,674
South State Corp. 22,922 1,662
Old National Bancorp 121,805 1,603
Trustmark Corp. 61,197 1,516
International Bancshares Corp. 53,759 1,507
* Eagle Bancorp Inc. 28,286 1,456
* Hilltop Holdings Inc. 70,281 1,437
Chemical Financial Corp. 36,342 1,432
First Midwest Bancorp Inc. 73,691 1,378
Simmons First National Corp. Class A 27,122 1,288
United Community Banks Inc. 63,599 1,280
Talmer Bancorp Inc. Class A 63,336 1,263
Renasant Corp. 36,410 1,253
BBCN Bancorp Inc. 75,478 1,227
^ BOK Financial Corp. 18,899 1,205
WesBanco Inc. 36,623 1,196
NBT Bancorp Inc. 40,677 1,186
^ Westamerica Bancorporation 24,321 1,183
Independent Bank Corp. 23,901 1,178
Park National Corp. 12,440 1,169
* FCB Financial Holdings Inc. Class A 31,567 1,167
LegacyTexas Financial Group Inc. 43,243 1,164
Union Bankshares Corp. 42,854 1,163
First Financial Bancorp 58,181 1,150
ServisFirst Bancshares Inc. 21,139 1,100
Yadkin Financial Corp. 40,974 1,085
Ameris Bancorp 31,651 1,007
Boston Private Financial Holdings Inc. 79,104 996
Towne Bank 44,425 971
First Merchants Corp. 37,158 963
Tompkins Financial Corp. 12,669 843
BNC Bancorp 34,806 830
S&T Bancorp Inc. 31,760 822
First Commonwealth Financial Corp. 85,703 805
Banc of California Inc. 39,747 797
Lakeland Financial Corp. 16,079 789
Brookline Bancorp Inc. 67,163 781
Berkshire Hills Bancorp Inc. 28,382 780
Wilshire Bancorp Inc. 66,899 765
Hanmi Financial Corp. 30,158 734
State Bank Financial Corp. 33,752 734
Central Pacific Financial Corp. 30,253 725
Banner Corp. 16,239 722
City Holding Co. 14,687 722

 


 

Opus Bank 18,890 711
Capital Bank Financial Corp. 22,831 704
Cardinal Financial Corp. 30,958 703
CenterState Banks Inc. 43,905 695
Sandy Spring Bancorp Inc. 23,242 683
Southside Bancshares Inc. 22,877 675
First Busey Corp. 29,045 645
* Customers Bancorp Inc. 23,891 642
National Bank Holdings Corp. Class A 29,271 622
Stock Yards Bancorp Inc. 19,860 577
Heartland Financial USA Inc. 16,011 562
First Interstate BancSystem Inc. Class A 19,258 558
TriCo Bancshares 19,549 551
Community Trust Bancorp Inc. 15,235 550
Flushing Financial Corp. 26,242 547
1st Source Corp. 16,048 544
Washington Trust Bancorp Inc. 13,971 535
Heritage Financial Corp. 28,538 521
Enterprise Financial Services Corp. 17,116 490
* First BanCorp 115,207 485
ConnectOne Bancorp Inc. 27,747 440
MainSource Financial Group Inc. 19,225 434
Lakeland Bancorp Inc. 37,058 428
CoBiz Financial Inc. 33,539 424
BancFirst Corp. 6,645 417
* Seacoast Banking Corp. of Florida 24,525 413
First of Long Island Corp. 13,516 407
Independent Bank Group Inc. 10,676 406
OFG Bancorp 41,837 382
German American Bancorp Inc. 11,641 375
Blue Hills Bancorp Inc. 26,356 374
Univest Corp. of Pennsylvania 18,487 373
Great Southern Bancorp Inc. 9,285 364
Financial Institutions Inc. 13,018 364
Bryn Mawr Bank Corp. 11,561 338
First Bancorp 16,559 327