0001752724-20-149031.txt : 20200730 0001752724-20-149031.hdr.sgml : 20200730 20200730130643 ACCESSION NUMBER: 0001752724-20-149031 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20200531 FILED AS OF DATE: 20200730 PERIOD START: 20200831 FILER: COMPANY DATA: COMPANY CONFORMED NAME: VANGUARD ADMIRAL FUNDS CENTRAL INDEX KEY: 0000891190 IRS NUMBER: 232696041 STATE OF INCORPORATION: DE FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-07043 FILM NUMBER: 201059960 BUSINESS ADDRESS: STREET 1: P.O. BOX 2600, V26 CITY: VALLEY FORGE STATE: PA ZIP: 19482 BUSINESS PHONE: 6106691000 MAIL ADDRESS: STREET 1: P.O. 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Long EC CORP US N 1 N N N CVS Health Corp 549300EJG376EN5NQE29 CVS HEALTH CORP 126650100 155110.00000000 NS USD 10170562.70000000 0.805104811405 Long EC CORP US N 1 N N N Marathon Petroleum Corp 3BNYRYQHD39K4LCKQF12 MARATHON PETROLE 56585A102 77411.00000000 NS USD 2720222.54000000 0.215333636854 Long EC CORP US N 1 N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 CITIGROUP INC 172967424 260292.00000000 NS USD 12470589.72000000 0.987175644139 Long EC CORP US N 1 N N N Travelers Cos Inc/The 549300Y650407RU8B149 TRAVELERS COS IN 89417E109 30776.00000000 NS USD 3292416.48000000 0.260628681754 Long EC CORP US N 1 N N N Regeneron Pharmaceuticals Inc 549300RCBFWIRX3HYQ56 REGENERON PHARM 75886F107 3966.00000000 NS USD 2430404.46000000 0.192391550214 Long EC CORP US N 1 N N N Expeditors International of Washington Inc 984500B055A804AB6E40 EXPEDITORS INTL 302130109 9752.00000000 NS USD 744760.24000000 0.058955445264 Long EC CORP US N 1 N N N PNC Financial Services Group Inc/The CFGNEKW0P8842LEUIA51 PNC FINANCIAL SE 693475105 52242.00000000 NS USD 5957677.68000000 0.471611562354 Long EC CORP US N 1 N N N 2020-06-30 VANGUARD ADMIRAL FUNDS Christine M. Buchanan Christine M. Buchanan Treasurer XXXX NPORT-EX 2 vgsp500valuindx053120.htm
Vanguard S&P 500 Value Index Fund
Schedule of Investments (unaudited)
As of May 31, 2020
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
          Shares Market
Value
($000)
Common Stocks (99.6%)
Communication Services (7.9%)
  Verizon Communications Inc.   493,096    28,294
  AT&T Inc.   870,946    26,877
  Walt Disney Co.    83,792     9,829
  Comcast Corp. Class A   238,157     9,431
  Activision Blizzard Inc.    91,596     6,593
* T-Mobile US Inc.    45,294     4,531
* Twitter Inc.    92,558     2,866
* Electronic Arts Inc.    16,360     2,010
  Omnicom Group Inc.    25,958     1,422
  ViacomCBS Inc. Class B    64,423     1,336
  Fox Corp. Class A    42,237     1,232
  CenturyLink Inc.   116,980     1,150
* DISH Network Corp. Class A 30,521 966
  Interpublic Group of Cos. Inc. 46,217 791
* Discovery Inc. Class C 40,201 788
  News Corp. Class A 50,534 619
  Fox Corp. Class B 19,384 558
* Discovery Inc. Class A 18,656 406
* Live Nation Entertainment Inc. 5,555 273
  News Corp. Class B 10,423 128
            100,100
Consumer Discretionary (5.2%)
  Home Depot Inc. 37,715 9,371
  McDonald's Corp. 50,281 9,368
  NIKE Inc. Class B 49,019 4,832
  Lowe's Cos. Inc. 31,067 4,050
  General Motors Co. 149,910 3,880
* Dollar Tree Inc. 28,214 2,761
  Target Corp. 21,750 2,661
  Ford Motor Co. 464,268 2,651
  Aptiv plc 30,436 2,293
  Best Buy Co. Inc. 27,148 2,120
  Lennar Corp. Class A 33,087 2,001
  Genuine Parts Co. 17,321 1,445
  Expedia Group Inc. 16,659 1,324
  Advance Auto Parts Inc. 8,255 1,150
  Hasbro Inc. 15,171 1,115
  Royal Caribbean Cruises Ltd. 20,488 1,063
  VF Corp. 18,346 1,029
  Whirlpool Corp. 7,534 918
  Tractor Supply Co. 7,197 878
          Shares Market
Value
($000)
1 Carnival Corp.    55,521       874
  Las Vegas Sands Corp.    17,324       831
  BorgWarner Inc.    24,618       792
* Ulta Beauty Inc.     3,065       748
* Mohawk Industries Inc.     7,089       661
  Darden Restaurants Inc.     8,395       645
  Newell Brands Inc.    45,424       597
* LKQ Corp.    17,531       481
* Norwegian Cruise Line Holdings Ltd.    29,741       466
  L Brands Inc.    27,660       448
  Ralph Lauren Corp. Class A     5,934       448
  Tapestry Inc.    32,952       448
  Hanesbrands Inc.    43,221       426
  MGM Resorts International    23,938       411
  PVH Corp. 8,807 401
  H&R Block Inc. 23,362 397
  Harley-Davidson Inc. 18,348 392
  Kohl's Corp. 18,643 358
  Gap Inc. 25,473 227
  Nordstrom Inc. 12,793 206
* Under Armour Inc. Class A 22,655 198
* Under Armour Inc. Class C 22,913 180
  Leggett & Platt Inc. 5,354 164
  Lennar Corp. Class B 363 16
* Capri Holdings Ltd. 152 2
            65,727
Consumer Staples (10.3%)
  Walmart Inc. 139,134 17,261
  Procter & Gamble Co. 124,880 14,476
  Coca-Cola Co. 275,842 12,876
  PepsiCo Inc. 86,453 11,373
  Mondelez International Inc. Class A 171,666 8,947
  Philip Morris International Inc. 103,881 7,621
  Costco Wholesale Corp. 21,596 6,662
  Altria Group Inc. 135,861 5,305
  General Mills Inc. 72,060 4,543
  Colgate-Palmolive Co. 56,202 4,065
  Walgreens Boots Alliance Inc. 89,385 3,838
  Constellation Brands Inc. Class A 19,968 3,449
  Kroger Co. 95,618 3,119
  Clorox Co. 14,964 3,086
  Kimberly-Clark Corp. 20,845 2,948
  Archer-Daniels-Midland Co. 66,369 2,609
  Kraft Heinz Co. 74,252 2,263
  Conagra Brands Inc. 58,020 2,019
  Kellogg Co. 29,688 1,939
  Sysco Corp. 33,383 1,841
  Hormel Foods Corp. 33,157 1,619
  JM Smucker Co. 13,599 1,549
  McCormick & Co. Inc. (Non-Voting) 7,218 1,264
  Tyson Foods Inc. Class A 18,301 1,124
* Monster Beverage Corp. 15,021 1,080
  Church & Dwight Co. Inc. 13,459 1,010
  Molson Coors Beverage Co. Class B 22,395 850
  Hershey Co. 5,834 792
  Campbell Soup Co. 11,288 576
  Lamb Weston Holdings Inc. 7,838 471
          Shares Market
Value
($000)
  Coty Inc. Class A    18,548        67
            130,642
Energy (5.9%)
  Exxon Mobil Corp.   504,449    22,937
  Chevron Corp.   225,438    20,673
  Kinder Morgan Inc.   232,220     3,669
  Valero Energy Corp.    48,958     3,263
  Schlumberger Ltd.   165,054     3,049
  Williams Cos. Inc.   144,501     2,952
  Marathon Petroleum Corp.    77,411     2,720
  Phillips 66    26,487     2,073
  ONEOK Inc.    49,244     1,807
  EOG Resources Inc.    34,676     1,767
  Occidental Petroleum Corp.   106,491     1,379
  Concho Resources Inc. 23,961 1,306
  Baker Hughes Co. Class A 77,481 1,279
  Halliburton Co. 104,656 1,230
  Diamondback Energy Inc. 19,207 818
  Pioneer Natural Resources Co. 7,505 687
  HollyFrontier Corp. 17,723 557
  Marathon Oil Corp. 95,537 510
  Devon Energy Corp. 46,182 499
  Noble Energy Inc. 57,114 499
  National Oilwell Varco Inc. 31,644 395
  TechnipFMC plc 50,209 372
  Cabot Oil & Gas Corp. 17,960 356
  Apache Corp. 17,150 185
  Helmerich & Payne Inc. 54 1
            74,983
Financials (18.4%)
* Berkshire Hathaway Inc. Class B 233,215 43,280
  Bank of America Corp. 965,219 23,281
  JPMorgan Chase & Co. 194,456 18,922
  Citigroup Inc. 260,292 12,471
  Wells Fargo & Co. 458,869 12,146
  Goldman Sachs Group Inc. 37,995 7,466
  Chubb Ltd. 54,035 6,589
  Morgan Stanley 138,854 6,137
  US Bancorp 169,458 6,026
  PNC Financial Services Group Inc. 52,242 5,958
  Truist Financial Corp. 159,891 5,881
  BlackRock Inc. 8,900 4,705
  CME Group Inc. 20,936 3,823
  Capital One Financial Corp. 55,523 3,778
  Allstate Corp. 38,624 3,778
  Bank of New York Mellon Corp. 100,059 3,719
  MetLife Inc. 93,197 3,356
  Travelers Cos. Inc. 30,776 3,292
  Aflac Inc. 87,511 3,191
  American International Group Inc. 103,719 3,118
  American Express Co. 31,997 3,042
  Prudential Financial Inc. 47,928 2,922
  Intercontinental Exchange Inc. 29,878 2,906
  State Street Corp. 43,354 2,643
  Marsh & McLennan Cos. Inc. 23,466 2,485
  Progressive Corp. 27,185 2,112
  Aon plc Class A 10,329 2,034
          Shares Market
Value
($000)
  Northern Trust Corp.    25,263     1,996
  M&T Bank Corp.    15,733     1,662
  Hartford Financial Services Group Inc.    42,974     1,645
  Fifth Third Bancorp    84,606     1,640
  Willis Towers Watson plc     7,938     1,611
  KeyCorp   117,427     1,391
  Charles Schwab Corp.    36,806     1,322
  Regions Financial Corp.   115,000     1,301
  Citizens Financial Group Inc.    51,827     1,249
  E*TRADE Financial Corp.    26,934     1,227
  Principal Financial Group Inc.    30,786     1,189
  First Republic Bank    10,227     1,106
  Huntington Bancshares Inc.   123,118     1,094
  Arthur J Gallagher & Co.    10,898     1,027
  Raymond James Financial Inc. 14,720 1,020
  Loews Corp. 30,498 1,014
  WR Berkley Corp. 17,300 1,002
  Everest Re Group Ltd. 4,862 965
  Globe Life Inc. 11,878 915
  Lincoln National Corp. 23,643 897
  T. Rowe Price Group Inc. 7,244 876
  Nasdaq Inc. 7,250 859
  Assurant Inc. 7,230 742
  Ameriprise Financial Inc. 5,287 741
  Discover Financial Services 14,211 675
  Zions Bancorp NA 20,321 669
  Franklin Resources Inc. 33,254 627
  Comerica Inc. 17,185 625
  People's United Financial Inc. 52,953 606
  Cincinnati Financial Corp. 9,783 577
* SVB Financial Group 2,210 475
  Unum Group 24,512 371
  Invesco Ltd. 44,215 352
            232,529
Health Care (21.2%)
  UnitedHealth Group Inc. 112,956 34,435
  Johnson & Johnson 181,999 27,072
  Pfizer Inc. 659,812 25,198
  Medtronic plc 159,809 15,754
  Gilead Sciences Inc. 150,837 11,740
  Merck & Co. Inc. 136,598 11,026
  CVS Health Corp. 155,110 10,171
  AbbVie Inc. 98,795 9,155
  Anthem Inc. 30,232 8,892
  Cigna Corp. 44,522 8,785
  Becton Dickinson and Co. 35,140 8,677
  Abbott Laboratories 88,506 8,401
  Bristol-Myers Squibb Co. 125,769 7,511
  Eli Lilly & Co. 45,333 6,934
  Amgen Inc. 29,045 6,672
* Biogen Inc. 21,512 6,606
  Humana Inc. 15,788 6,483
* Centene Corp. 69,606 4,611
  Danaher Corp. 27,009 4,500
  HCA Healthcare Inc. 31,540 3,372
  Zimmer Biomet Holdings Inc. 24,523 3,098
  McKesson Corp. 19,256 3,055
  Baxter International Inc. 33,481 3,014
          Shares Market
Value
($000)
* Boston Scientific Corp.    68,135     2,589
  Stryker Corp.    13,053     2,555
* Illumina Inc.     7,011     2,545
* Regeneron Pharmaceuticals Inc.     3,966     2,430
* Laboratory Corp. of America Holdings    11,575     2,029
  Cardinal Health Inc.    34,872     1,907
  Quest Diagnostics Inc.    16,059     1,900
  AmerisourceBergen Corp. Class A    17,924     1,709
  Agilent Technologies Inc.    15,863     1,398
* Alexion Pharmaceuticals Inc.    11,079     1,328
* Henry Schein Inc.    17,495     1,062
* Mylan NV    61,535     1,050
  Cerner Corp.    13,854     1,010
  Universal Health Services Inc. Class B     9,576     1,010
* IQVIA Holdings Inc. 6,668 997
  Perrigo Co. plc 16,226 889
* DaVita Inc. 10,692 866
* Mettler-Toledo International Inc. 1,074 854
  Cooper Cos. Inc. 2,541 805
* Hologic Inc. 14,705 779
  STERIS plc 4,651 772
* Varian Medical Systems Inc. 4,876 592
* Waters Corp. 2,918 583
  DENTSPLY SIRONA Inc. 12,470 580
  PerkinElmer Inc. 5,702 573
* ABIOMED Inc. 2,308 517
            268,491
Industrials (9.1%)
  3M Co. 68,563 10,726
  General Electric Co. 1,041,249 6,841
  Honeywell International Inc. 46,003 6,710
  Union Pacific Corp. 31,450 5,342
  Raytheon Technologies Corp. 82,257 5,307
  Boeing Co. 35,696 5,206
  United Parcel Service Inc. Class B 45,952 4,582
  Eaton Corp. plc 49,287 4,184
  General Dynamics Corp. 27,941 4,103
  FedEx Corp. 28,617 3,736
  CSX Corp. 46,356 3,318
  Caterpillar Inc. 27,016 3,245
  Johnson Controls International plc 91,973 2,889
  Norfolk Southern Corp. 14,299 2,549
  Illinois Tool Works Inc. 13,602 2,346
  Deere & Co. 15,391 2,341
  Stanley Black & Decker Inc. 18,123 2,274
  Fortive Corp. 35,233 2,149
  Waste Management Inc. 19,546 2,087
  Emerson Electric Co. 33,407 2,038
  Southwest Airlines Co. 62,821 2,017
  Delta Air Lines Inc. 68,638 1,730
  WW Grainger Inc. 5,202 1,611
  Jacobs Engineering Group Inc. 16,150 1,357
  Westinghouse Air Brake Technologies Corp. 21,711 1,326
  CH Robinson Worldwide Inc. 16,126 1,308
  Rockwell Automation Inc. 5,922 1,280
  Parker-Hannifin Corp. 6,893 1,241
  Otis Worldwide Corp. 22,732 1,197
  Republic Services Inc. Class A 13,567 1,159
          Shares Market
Value
($000)
  Cummins Inc.     6,759     1,146
  Verisk Analytics Inc. Class A     6,058     1,046
  Trane Technologies plc    10,855       979
* Carrier Global Corp.    45,462       931
  IHS Markit Ltd.    12,907       897
  Equifax Inc.     5,773       887
  Snap-on Inc.     6,539       848
  Fastenal Co.    20,513       846
  Textron Inc.    27,214       843
* United Airlines Holdings Inc.    29,723       833
  Pentair plc    20,039       784
  AO Smith Corp.    16,339       776
  Expeditors International of Washington Inc.     9,752       745
  Robert Half International Inc.    14,016       711
  Dover Corp. 7,101 691
  IDEX Corp. 3,900 622
  Nielsen Holdings plc 42,416 589
  Xylem Inc. 8,804 584
  Alaska Air Group Inc. 14,647 501
  JB Hunt Transport Services Inc. 4,173 499
1 American Airlines Group Inc. 46,481 488
  Flowserve Corp. 15,645 408
  Huntington Ingalls Industries Inc. 1,993 398
  Rollins Inc. 8,876 371
  Quanta Services Inc. 9,369 346
* Ingersoll Rand Inc. 11,086 313
  Howmet Aerospace Inc. 23,092 302
            114,583
Information Technology (8.7%)
  Cisco Systems Inc. 505,788 24,187
  Intel Corp. 223,014 14,034
  International Business Machines Corp. 105,591 13,188
  Fidelity National Information Services Inc. 73,275 10,173
  Accenture plc Class A 28,016 5,649
  Oracle Corp. 103,322 5,556
  Texas Instruments Inc. 42,352 5,029
  Cognizant Technology Solutions Corp. Class A 65,285 3,460
  Global Payments Inc. 18,275 3,280
  Automatic Data Processing Inc. 19,603 2,872
  HP Inc. 176,682 2,675
  TE Connectivity Ltd. 19,936 1,620
  Western Digital Corp. 35,456 1,573
  Hewlett Packard Enterprise Co. 154,275 1,498
* VeriSign Inc. 5,789 1,268
  Corning Inc. 48,592 1,107
* F5 Networks Inc. 7,247 1,050
  Xilinx Inc. 11,392 1,048
  Maxim Integrated Products Inc. 18,066 1,042
  Skyworks Solutions Inc. 8,530 1,011
  Citrix Systems Inc. 6,582 975
  Juniper Networks Inc. 39,899 968
  Paychex Inc. 12,532 906
  Leidos Holdings Inc. 7,932 835
  Jack Henry & Associates Inc. 4,402 796
  NetApp Inc. 14,693 654
  NortonLifeLock Inc. 25,976 592
  Seagate Technology plc 11,025 585
* Akamai Technologies Inc. 5,399 571
          Shares Market
Value
($000)
  Broadridge Financial Solutions Inc.     4,089       495
  DXC Technology Co.    30,557       434
  FLIR Systems Inc.     8,315       384
* IPG Photonics Corp.     2,128       331
  Alliance Data Systems Corp.     4,900       227
            110,073
Materials (3.0%)
  Newmont Corp.    97,747     5,715
  DuPont de Nemours Inc.    88,321     4,481
  Linde plc    18,573     3,758
1 Ecolab Inc.    14,650     3,114
  Corteva Inc.    89,229     2,437
  Amcor plc   193,157     1,972
  LyondellBasell Industries NV Class A    30,608     1,952
1 International Flavors & Fragrances Inc. 12,730 1,695
  International Paper Co. 46,749 1,592
  Nucor Corp. 36,153 1,528
  PPG Industries Inc. 13,813 1,404
  Packaging Corp. of America 11,286 1,145
  Eastman Chemical Co. 16,208 1,103
  Albemarle Corp. 12,641 967
  Westrock Co. 30,745 863
  Ball Corp. 11,309 806
  CF Industries Holdings Inc. 25,921 761
  Freeport-McMoRan Inc. 77,831 706
  Sealed Air Corp. 18,430 592
  Mosaic Co. 41,732 505
  Avery Dennison Corp. 2,895 320
            37,416
Real Estate (3.1%)
  Digital Realty Trust Inc. 31,273 4,490
  Crown Castle International Corp. 20,819 3,584
  Prologis Inc. 37,847 3,463
  AvalonBay Communities Inc. 16,650 2,598
  Equity Residential 41,615 2,520
  Welltower Inc. 48,374 2,451
  Public Storage 10,029 2,033
  Weyerhaeuser Co. 88,833 1,794
  Ventas Inc. 44,436 1,553
  Simon Property Group Inc. 21,947 1,266
  Realty Income Corp. 22,469 1,243
  Alexandria Real Estate Equities Inc. 6,709 1,031
  Host Hotels & Resorts Inc. 85,494 1,021
  Essex Property Trust Inc. 3,938 956
  Iron Mountain Inc. 34,239 882
  Mid-America Apartment Communities Inc. 7,477 870
  Regency Centers Corp. 19,974 855
  Boston Properties Inc. 9,597 825
  Healthpeak Properties Inc. 31,266 770
  UDR Inc. 18,523 685
  Vornado Realty Trust 18,881 684
  Apartment Investment & Management Co. Class A 17,742 654
  Extra Space Storage Inc. 6,498 629
  Duke Realty Corp. 17,964 619
  Kimco Realty Corp. 50,383 560
  SL Green Realty Corp. 9,722 410
          Shares Market
Value
($000)
  Federal Realty Investment Trust     4,874       389
            38,835
Utilities (6.8%)
  Dominion Energy Inc.    98,137     8,343
  Duke Energy Corp.    86,922     7,443
  Southern Co.   125,038     7,136
  NextEra Energy Inc.    27,390     7,000
  American Electric Power Co. Inc.    58,892     5,021
  Exelon Corp.   115,902     4,440
  Xcel Energy Inc.    62,523     4,066
  WEC Energy Group Inc.    37,608     3,450
  Eversource Energy    38,600     3,231
  Public Service Enterprise Group Inc.    60,296     3,077
  Consolidated Edison Inc.    39,637     2,975
  FirstEnergy Corp. 64,422 2,722
  PPL Corp. 91,538 2,558
  Edison International 42,754 2,484
  DTE Energy Co. 22,903 2,464
  Entergy Corp. 23,737 2,417
  Sempra Energy 18,485 2,335
  Ameren Corp. 29,334 2,192
  CMS Energy Corp. 33,839 1,982
  Evergy Inc. 27,170 1,676
  Atmos Energy Corp. 14,228 1,462
  Alliant Energy Corp. 28,655 1,414
  American Water Works Co. Inc. 10,777 1,369
  CenterPoint Energy Inc. 59,872 1,064
  NiSource Inc. 44,534 1,061
  Pinnacle West Capital Corp. 13,401 1,044
  AES Corp. 79,146 989
            85,415
Total Common Stocks (Cost $1,346,955) 1,258,794
      Coupon      
Temporary Cash Investments (0.4%)
Money Market Fund (0.4%)
2,3 Vanguard Market Liquidity Fund 0.307%   44,944 4,495
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
U.S. Government and Agency Obligations (0.0%)
4 United States Treasury Bill 0.212% 9/15/20        25        25
Total Temporary Cash Investments (Cost $4,519) 4,520
Total Investments (100.0%) (Cost $1,351,474)   1,263,314
Other Assets and Liabilities-Net (0.0%)3,4   (58)
Net Assets (100.0%)   1,263,256
Cost is in $000.
* Non-income-producing security.
1 Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $3,364,000.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Collateral of $3,542,000 was received for securities on loan.
4 Securities with a value of $25,000 and cash of $74,000 have been segregated as initial margin for open futures contracts.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
E-mini S&P 500 Index June 2020 5 761 27
    
Over-the-Counter Total Return Swaps
Reference Entity Termination
Date 		Counterparty Notional
Amount
($000) 		Floating
Interest
Rate
Received
(Paid)1
(%) 		Value and
Unrealized
Appreciation
($000) 		Value and
Unrealized
(Depreciation)
($000)
Walmart Inc. 9/2/20 BOANA 3,647 (0.330) 91 —
1 Based on 1-month London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly.
BOANA—Bank of America, N.A.
A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
B. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).
C. Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.
The notional amounts of swap contracts are not recorded in the Schedule of Investments. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as an asset (liability) and as unrealized appreciation (depreciation) until termination of the swap, at which time realized gain (loss) is recorded.
A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net
amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
D.  Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund's investments and derivatives as of May 31, 2020, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
Common Stocks 1,258,794 — — 1,258,794
Temporary Cash Investments 4,495 25 — 4,520
Total 1,263,289 25 — 1,263,314
Derivative Financial Instruments        
Assets        
Swap Contracts — 91 — 91
Liabilities        
Futures Contracts1 7 — — 7
1 Represents variation margin on the last day of the reporting period.