Semiannual
Report | April
30, 2021
Vanguard
Total International Stock
Index Fund
Index Fund
About Your
Fund’s Expenses
As
a shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports (like
this one), among others. Operating expenses, which are deducted from a fund’s
gross income, directly reduce the investment return of the fund.
A
fund‘s expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs (in dollars) of investing in your fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The
accompanying table illustrates your fund’s costs in two ways:
| • | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
To
do so, simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
given for your fund under the heading ”Expenses Paid During Period.“
| • | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Note
that the expenses shown in the table are meant to highlight and help you compare
ongoing costs only and do not reflect
transaction costs incurred by the fund for buying and selling securities.
Further, the expenses do not include any purchase, redemption, or account
service fees described in the fund prospectus. If such fees were applied to your
account, your costs would be higher. Your fund does not carry a “sales
load.”
The
calculations assume no shares were bought or sold during the period. Your actual
costs may have been higher or lower, depending on the amount of your investment
and the timing of any purchases or redemptions.
You
can find more information about the fund’s expenses, including annual expense
ratios, in the Financial Statements section of this report. For additional
information on operating expenses and other shareholder costs, please refer to
your fund’s current prospectus.
1
| Six Months Ended April 30, 2021 | |||
| Beginning Account Value 10/31/2020 |
Ending Account Value 4/30/2021 |
Expenses Paid During Period | |
| Based on Actual Fund Return | |||
| Total International Stock Index Fund | |||
| Investor Shares | $1,000.00 | $1,276.70 | $0.96 |
| ETF Shares | 1,000.00 | 1,278.10 | 0.45 |
| AdmiralTM Shares | 1,000.00 | 1,277.70 | 0.62 |
| Institutional Shares | 1,000.00 | 1,277.90 | 0.45 |
| Institutional Plus Shares | 1,000.00 | 1,278.00 | 0.40 |
| Institutional Select Shares | 1,000.00 | 1,278.10 | 0.28 |
| Based on Hypothetical 5% Yearly Return | |||
| Total International Stock Index Fund | |||
| Investor Shares | $1,000.00 | $1,023.95 | $0.85 |
| ETF Shares | 1,000.00 | 1,024.40 | 0.40 |
| Admiral Shares | 1,000.00 | 1,024.25 | 0.55 |
| Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
| Institutional Plus Shares | 1,000.00 | 1,024.45 | 0.35 |
| Institutional Select Shares | 1,000.00 | 1,024.55 | 0.25 |
The
calculations are based on expenses incurred in the most recent six-month period.
The fund's annualized six-month expense ratios for that period are: 0.17% for
Investor Shares, 0.08% for ETF Shares, 0.11% for Admiral Shares, 0.08% for
Institutional Shares, 0.07% for Institutional Plus Shares, and 0.045% for
Institutional Select Shares. The dollar amounts shown as “Expenses Paid” are
equal to the annualized expense ratio multiplied by the average account value
over the period, multiplied by the number of days in the most recent six-month
period, then divided by the number of days in the most recent 12-month period
(181/365).
2
Total
International Stock Index Fund
Fund
Allocation
As
of April 30, 2021
| Basic Materials | 7.6% |
| Consumer Discretionary | 14.9 |
| Consumer Staples | 7.2 |
| Energy | 4.6 |
| Financials | 18.2 |
| Health Care | 8.8 |
| Industrials | 14.2 |
| Other | 0.0 |
| Real Estate | 3.7 |
| Technology | 14.3 |
| Telecommunications | 3.3 |
| Utilities | 3.2 |
The
table reflects the fund’s investments, except for short-term investments and
derivatives. Sector categories are based on the Industry Classification
Benchmark (“ICB”), except for the “Other” category (if applicable), which
includes securities that have not been provided an ICB classification as of the
effective reporting period.
The
fund may invest in derivatives (such as futures and swap contracts) for various
reasons, including, but not limited to, attempting to remain fully invested and
tracking its target index as closely as possible.
The
Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept
any liability to any person for any loss or damage arising out of any error or
omission in the ICB.
3
Total
International Stock Index Fund
Financial
Statements (unaudited)
Schedule
of Investments—Investments Summary
As
of April 30, 2021
This
Statement summarizes the fund’s holdings by asset type. Details are reported for
each of the fund’s 50 largest individual holdings and for investments that, in
total for any issuer, represent more than 1% of the fund’s net assets. The total
value of smaller holdings is reported as a single amount within each
category.
The
fund files its complete schedule of portfolio holdings with the Securities and
Exchange Commission (SEC) four times in each fiscal year. For the second and
fourth quarters the complete list of the fund’s holdings is available on
vanguard.com and on Form N-CSR, or you can have it mailed to you without charge
by calling 800-662-7447. For the first and third quarters of each fiscal year,
the complete list of the fund’s holdings is available as an exhibit to its
reports on Form N-PORT. The fund’s Form N-CSR and Form N-PORT reports are
available on the SEC’s website at www.sec.gov.
| Shares | Market Value• ($000) |
Percentage of Net Assets | ||||
| Common Stocks | ||||||
| †Argentina* | — | 0.00% | ||||
| Australia | ||||||
| Commonwealth Bank of Australia | 22,215,273 | 1,520,782 | 0.39% | |||
| BHP Group Ltd. | 36,927,813 | 1,344,020 | 0.34% | |||
| CSL Ltd. | 5,685,451 | 1,187,659 | 0.30% | |||
| † | Other*,1,2,3 | 14,724,678 | 3.75% | |||
| 18,777,139 | 4.78% | |||||
| †Austria*,1,2 | 763,186 | 0.19% | ||||
| †Belgium*,1 | 2,631,959 | 0.67% | ||||
| Brazil | ||||||
| CPFL Energia SA | 2,486,600 | 13,435 | 0.00% | |||
| † | Other*,1,2 | 6,124,816 | 1.56% | |||
| 6,138,251 | 1.56% | |||||
| Canada | ||||||
| Royal Bank of Canada 1 | 17,797,756 | 1,698,617 | 0.43% | |||
| Shopify Inc. Class A (XTSE) * | 1,369,282 | 1,616,313 | 0.41% | |||
| Toronto-Dominion Bank 1 | 22,580,674 | 1,552,347 | 0.39% | |||
| Bank of Nova Scotia 1 | 15,055,701 | 958,719 | 0.24% | |||
| Canadian National Railway Co. | 8,882,840 | 956,324 | 0.24% | |||
| Enbridge Inc. (XTSE) | 22,658,920 | 873,986 | 0.22% | |||
| Enbridge Inc. (XNYS) | 2,575,021 | 99,319 | 0.03% | |||
| Shopify Inc. Class A (XNYS) * | 19,536 | 23,102 | 0.01% | |||
| † | Other*,1,2 | 18,301,712 | 4.66% | |||
| 26,080,439 | 6.63% | |||||
| †Chile*,1 | 639,535 | 0.16% | ||||
4
Total
International Stock Index Fund
| Shares | Market Value• ($000) |
Percentage of Net Assets | ||||
| China | ||||||
| Tencent Holdings Ltd. | 74,177,126 | 5,917,261 | 1.51% | |||
| Alibaba Group Holding Ltd. * | 176,465,509 | 5,101,215 | 1.30% | |||
| Meituan Class B * | 47,728,450 | 1,826,774 | 0.47% | |||
| China Construction Bank Corp. Class H | 1,165,235,093 | 919,769 | 0.24% | |||
| Industrial & Commercial Bank of China Ltd. Class H | 1,001,311,275 | 649,743 | 0.17% | |||
| Bank of China Ltd. Class H | 976,941,511 | 387,600 | 0.10% | |||
| China Life Insurance Co. Ltd. Class H | 96,429,419 | 195,477 | 0.05% | |||
| Alibaba Health Information Technology Ltd. * | 58,917,075 | 179,332 | 0.05% | |||
| China Resources Land Ltd. | 34,711,866 | 162,523 | 0.04% | |||
| China Petroleum & Chemical Corp. Class H | 328,028,334 | 161,785 | 0.04% | |||
| China Resources Beer Holdings Co. Ltd. | 19,687,604 | 158,598 | 0.04% | |||
| Agricultural Bank of China Ltd. Class H | 406,252,747 | 157,390 | 0.04% | |||
| China Overseas Land & Investment Ltd. | 47,725,808 | 120,787 | 0.03% | |||
| China Shenhua Energy Co. Ltd. Class H | 45,634,288 | 95,051 | 0.03% | |||
| PetroChina Co. Ltd. Class H | 256,696,298 | 92,865 | 0.03% | |||
| PICC Property & Casualty Co. Ltd. Class H | 83,194,810 | 81,447 | 0.02% | |||
| China Tourism Group Duty Free Corp. Ltd. Class A | 1,668,292 | 80,059 | 0.02% | |||
| Postal Savings Bank of China Co. Ltd. Class H 2 | 117,947,758 | 76,497 | 0.02% | |||
| CITIC Ltd. | 60,207,487 | 63,234 | 0.02% | |||
| China Longyuan Power Group Corp. Ltd. Class H | 42,979,429 | 63,203 | 0.02% | |||
| China Resources Gas Group Ltd. | 11,508,611 | 62,268 | 0.02% | |||
| China CITIC Bank Corp. Ltd. Class H | 110,574,650 | 57,724 | 0.02% | |||
| Sinopharm Group Co. Ltd. Class H | 15,997,671 | 49,342 | 0.01% | |||
| Agricultural Bank of China Ltd. Class A (XSSC) | 92,685,300 | 45,799 | 0.01% | |||
| Kunlun Energy Co. Ltd. | 38,844,227 | 41,533 | 0.01% | |||
| Industrial & Commercial Bank of China Ltd. Class A (XSSC) | 50,116,798 | 39,699 | 0.01% | |||
| China Yangtze Power Co. Ltd. Class A | 11,715,600 | 36,112 | 0.01% | |||
| CGN Power Co. Ltd. Class H 2 | 155,656,084 | 35,810 | 0.01% | |||
| China Taiping Insurance Holdings Co. Ltd. | 18,822,822 | 34,843 | 0.01% | |||
| People's Insurance Co. Group of China Ltd. Class H | 99,780,961 | 34,110 | 0.01% | |||
| China Resources Power Holdings Co. Ltd. | 25,241,333 | 33,159 | 0.01% | |||
| Dongfeng Motor Group Co. Ltd. Class H | 36,069,800 | 31,348 | 0.01% | |||
| China Resources Cement Holdings Ltd. | 28,545,937 | 31,096 | 0.01% | |||
| China Literature Ltd. *,1,2 | 2,788,187 | 29,038 | 0.01% | |||
| China Galaxy Securities Co. Ltd. Class H | 48,040,592 | 28,552 | 0.01% | |||
| China State Construction Engineering Corp. Ltd. Class A | 36,357,238 | 27,723 | 0.01% | |||
| China Merchants Port Holdings Co. Ltd. | 16,935,808 | 27,095 | 0.01% | |||
| Zhuzhou CRRC Times Electric Co. Ltd. Class H | 6,456,743 | 25,635 | 0.01% | |||
| Alibaba Pictures Group Ltd. * | 169,175,048 | 24,579 | 0.01% | |||
| China Cinda Asset Management Co. Ltd. Class H | 116,986,268 | 22,995 | 0.01% | |||
| China Oilfield Services Ltd. Class H | 25,087,447 | 22,922 | 0.01% | |||
| AviChina Industry & Technology Co. Ltd. Class H | 31,649,080 | 20,310 | 0.01% | |||
| Air China Ltd. Class H | 25,507,695 | 20,169 | 0.01% | |||
| Baoshan Iron & Steel Co. Ltd. Class A | 14,771,544 | 19,634 | 0.01% | |||
| Bank of China Ltd. Class A (XSSC) | 39,061,500 | 19,605 | 0.01% | |||
| Shanghai Baosight Software Co. Ltd. Class B | 5,044,663 | 18,980 | 0.01% | |||
| China Huarong Asset Management Co. Ltd. Class H 2,3 | 144,131,660 | 18,926 | 0.01% | |||
| China Overseas Property Holdings Ltd. 1 | 17,825,120 | 18,004 | 0.01% | |||
| Citic Pacific Special Steel Group Co. Ltd. Class A | 4,343,547 | 17,334 | 0.01% | |||
| Beijing Capital International Airport Co. Ltd. Class H | 23,164,951 | 16,816 | 0.01% | |||
| China State Construction International Holdings Ltd. | 23,107,147 | 16,181 | 0.01% | |||
| China Resources Pharmaceutical Group Ltd. 2 | 22,606,901 | 15,224 | 0.01% | |||
| China Life Insurance Co. Ltd. Class A | 2,922,578 | 14,882 | 0.01% | |||
| China Southern Airlines Co. Ltd. Class H * | 21,716,473 | 14,706 | 0.01% | |||
| Angang Steel Co. Ltd. Class H | 20,869,337 | 14,347 | 0.01% | |||
| China Communications Services Corp. Ltd. Class H | 32,377,139 | 14,000 | 0.01% | |||
| China Power International Development Ltd. | 58,463,558 | 13,400 | 0.01% | |||
| China Coal Energy Co. Ltd. Class H | 22,675,015 | 12,264 | 0.00% | |||
| Sinopec Shanghai Petrochemical Co. Ltd. Class H | 48,848,014 | 12,076 | 0.00% | |||
| China Petroleum & Chemical Corp. Class A | 18,061,016 | 11,909 | 0.00% | |||
| China Shenhua Energy Co. Ltd. Class A (XSSC) | 3,861,366 | 11,436 | 0.00% | |||
5
Total
International Stock Index Fund
| Shares | Market Value• ($000) |
Percentage of Net Assets | ||||
| Sinotrans Ltd. Class H | 24,734,398 | 11,291 | 0.00% | |||
| China Construction Bank Corp. Class A (XSSC) | 10,609,801 | 11,024 | 0.00% | |||
| Daqin Railway Co. Ltd. Class A | 10,260,355 | 10,899 | 0.00% | |||
| Sinopec Engineering Group Co. Ltd. Class H | 17,613,936 | 10,873 | 0.00% | |||
| China Merchants Shekou Industrial Zone Holdings Co. Ltd. Class A | 6,061,700 | 10,868 | 0.00% | |||
| AVIC Shenyang Aircraft Co. Ltd. Class A | 1,144,652 | 10,203 | 0.00% | |||
| China Southern Airlines Co. Ltd. Class A * | 9,950,500 | 9,746 | 0.00% | |||
| China CITIC Bank Corp. Ltd. Class A (XSSC) | 11,338,084 | 9,069 | 0.00% | |||
| China Railway Signal & Communication Corp. Ltd. Class H 2 | 21,916,792 | 8,699 | 0.00% | |||
| China National Nuclear Power Co. Ltd. Class A | 10,280,031 | 8,276 | 0.00% | |||
| China Reinsurance Group Corp. Class H | 76,689,686 | 7,988 | 0.00% | |||
| AVIC Xi'an Aircraft Industry Group Co. Ltd. Class A | 2,108,200 | 7,819 | 0.00% | |||
| Zhongjin Gold Corp. Ltd. Class A | 5,444,290 | 7,170 | 0.00% | |||
| Maanshan Iron & Steel Co. Ltd. Class H | 12,662,000 | 6,043 | 0.00% | |||
| China Coal Energy Co. Ltd. Class A (XSSC) | 5,591,454 | 6,037 | 0.00% | |||
| China BlueChemical Ltd. Class H | 20,423,387 | 5,774 | 0.00% | |||
| Shanxi Taigang Stainless Steel Co. Ltd. Class A | 5,871,304 | 5,769 | 0.00% | |||
| Dongxing Securities Co. Ltd. Class A | 2,900,222 | 4,607 | 0.00% | |||
| China Merchants Energy Shipping Co. Ltd. Class A | 5,686,421 | 4,305 | 0.00% | |||
| China Machinery Engineering Corp. Class H | 9,491,978 | 4,247 | 0.00% | |||
| Sinopec Kantons Holdings Ltd. | 10,885,559 | 4,179 | 0.00% | |||
| CGN New Energy Holdings Co. Ltd. * | 17,006,486 | 4,141 | 0.00% | |||
| Power Construction Corp. of China Ltd. Class A | 6,819,409 | 4,019 | 0.00% | |||
| China Resources Sanjiu Medical & Pharmaceutical Co. Ltd. Class A | 906,386 | 3,496 | 0.00% | |||
| Shanghai Electric Power Co. Ltd. Class A | 3,206,308 | 3,482 | 0.00% | |||
| China National Medicines Corp. Ltd. Class A | 610,388 | 3,468 | 0.00% | |||
| FAW Jiefang Group Co. Ltd. * | 2,022,485 | 3,449 | 0.00% | |||
| China Foods Ltd. | 7,978,630 | 3,322 | 0.00% | |||
| AVICOPTER plc Class A | 421,691 | 3,310 | 0.00% | |||
| China Satellite Communications Co. Ltd. Class A | 1,282,700 | 3,088 | 0.00% | |||
| Heilongjiang Agriculture Co. Ltd. Class A | 1,313,700 | 3,069 | 0.00% | |||
| China Merchants Property Operation & Service Co. Ltd. Class A | 926,700 | 3,017 | 0.00% | |||
| Sinopec Oilfield Service Corp. Class H * | 32,836,450 | 2,908 | 0.00% | |||
| China National Accord Medicines Corp. Ltd. Class B | 998,169 | 2,906 | 0.00% | |||
| Guangxi Guiguan Electric Power Co. Ltd. Class A | 3,599,184 | 2,877 | 0.00% | |||
| Sinotrans Ltd. Class A (XSSC) | 3,819,621 | 2,873 | 0.00% | |||
| Huolinhe Opencut Coal Industry Corp. Ltd. of Inner Mongolia Class A | 1,795,304 | 2,859 | 0.00% | |||
| CSSC Offshore & Marine Engineering Group Co. Ltd. Class A (XSSC) * | 821,520 | 2,694 | 0.00% | |||
| China CSSC Holdings Ltd. Class A * | 1,073,164 | 2,585 | 0.00% | |||
| Grandjoy Holdings Group Co. Ltd. Class A | 4,543,046 | 2,559 | 0.00% | |||
| China Galaxy Securities Co. Ltd. Class A | 1,620,500 | 2,493 | 0.00% | |||
| Harbin Electric Co. Ltd. Class H * | 8,430,912 | 2,469 | 0.00% | |||
| Sinofert Holdings Ltd. * | 18,989,406 | 2,468 | 0.00% | |||
| Cinda Real Estate Co. Ltd. Class A | 4,212,701 | 2,360 | 0.00% | |||
| China Railway Signal & Communication Corp. Ltd. Class A | 2,606,413 | 2,257 | 0.00% | |||
| Inner Mongolia MengDian HuaNeng Thermal Power Corp. Ltd. Class A | 6,181,776 | 2,242 | 0.00% | |||
| CSSC Offshore & Marine Engineering Group Co. Ltd. Class H * | 2,247,207 | 2,186 | 0.00% | |||
| Haohua Chemical Science & Technology Co. Ltd. Class A | 678,900 | 2,175 | 0.00% | |||
| Offshore Oil Engineering Co. Ltd. Class A | 3,045,700 | 2,041 | 0.00% | |||
| Maanshan Iron & Steel Co. Ltd. Class A (XSSC) | 3,004,861 | 1,962 | 0.00% | |||
| Angang Steel Co. Ltd. Class A | 2,532,750 | 1,902 | 0.00% | |||
| SGIS Songshan Co. Ltd. Class A | 2,336,400 | 1,797 | 0.00% | |||
| China Publishing & Media Co. Ltd. Class A (XSHG) | 1,550,950 | 1,717 | 0.00% | |||
| Sinopec Shanghai Petrochemical Co. Ltd. Class A | 3,027,700 | 1,714 | 0.00% | |||
| CGN Power Co. Ltd. Class A | 3,900,400 | 1,632 | 0.00% | |||
| CNOOC Energy Technology & Services Ltd. Class A | 4,347,600 | 1,628 | 0.00% | |||
| China Merchants Land Ltd. | 10,884,105 | 1,594 | 0.00% | |||
| Bluestar Adisseo Co. Class A | 845,412 | 1,577 | 0.00% | |||
6
Total
International Stock Index Fund
| Shares | Market Value• ($000) |
Percentage of Net Assets | ||||
| Shennan Circuits Co. Ltd. Class A | 127,854 | 1,564 | 0.00% | |||
| Tian Di Science & Technology Co. Ltd. Class A | 2,695,445 | 1,514 | 0.00% | |||
| China National Accord Medicines Corp. Ltd. Class A | 231,918 | 1,495 | 0.00% | |||
| Glarun Technology Co. Ltd. Class A | 704,000 | 1,493 | 0.00% | |||
| Sinopec Oilfield Service Corp. Class A * | 4,928,000 | 1,481 | 0.00% | |||
| China Merchants Expressway Network & Technology Holdings Co. Ltd. Class A | 1,233,324 | 1,478 | 0.00% | |||
| China Merchants Port Group Co. Ltd. Class A | 581,974 | 1,314 | 0.00% | |||
| Air China Ltd. Class A (XSSC) | 1,040,700 | 1,313 | 0.00% | |||
| ADAMA Ltd. Class A | 933,088 | 1,275 | 0.00% | |||
| Grinm Advanced Materials Co. Ltd. Class A | 676,800 | 1,213 | 0.00% | |||
| China CAMC Engineering Co. Ltd. Class A | 1,140,800 | 1,199 | 0.00% | |||
| COFCO Capital Holdings Co. Ltd. Class A (XSEC) | 888,084 | 1,169 | 0.00% | |||
| China Aluminum International Engineering Corp. Ltd. Class A | 2,197,500 | 1,068 | 0.00% | |||
| China Publishing & Media Co. Ltd. Class A (XSSC) | 850,040 | 941 | 0.00% | |||
| China Oilfield Services Ltd. Class A | 430,400 | 875 | 0.00% | |||
| COFCO Capital Holdings Co. Ltd. Class A (XSHE) | 631,200 | 831 | 0.00% | |||
| China Harzone Industry Corp. Ltd. Class A * | 614,775 | 783 | 0.00% | |||
| China West Construction Group Co. Ltd. Class A | 382,477 | 494 | 0.00% | |||
| † | Other*,1,2,3 | 22,351,649 | 5.59% | |||
| 40,186,566 | 10.22% | |||||
| †Colombia* | 209,450 | 0.05% | ||||
| †Czech Republic* | 101,593 | 0.03% | ||||
| Denmark | ||||||
| Novo Nordisk A/S Class B | 20,212,867 | 1,491,052 | 0.38% | |||
| † | Other*,1,2 | 4,171,879 | 1.06% | |||
| 5,662,931 | 1.44% | |||||
| †Egypt* | 113,552 | 0.03% | ||||
| †Finland*,1,2 | 3,337,394 | 0.85% | ||||
| France | ||||||
| LVMH Moet Hennessy Louis Vuitton SE | 3,120,980 | 2,351,192 | 0.60% | |||
| Sanofi | 13,643,994 | 1,430,469 | 0.36% | |||
| TOTAL SE | 30,314,586 | 1,339,838 | 0.34% | |||
| Schneider Electric SE | 6,592,486 | 1,051,870 | 0.27% | |||
| L'Oreal SA Loyalty Shares * | 2,539,491 | 1,039,846 | 0.26% | |||
| Air Liquide SA Loyalty Shares * | 4,886,128 | 822,836 | 0.21% | |||
| L'Oreal SA | 285,417 | 116,870 | 0.03% | |||
| Air Liquide SA | 594,141 | 100,055 | 0.03% | |||
| L'Oreal SA (Registered) * | 178,621 | 73,140 | 0.02% | |||
| Air Liquide SA Loyalty Shares * | 344,294 | 57,980 | 0.02% | |||
| † | Other*,1,2,3 | 15,659,876 | 3.97% | |||
| 24,043,972 | 6.11% | |||||
| Germany | ||||||
| SAP SE | 14,068,986 | 1,969,949 | 0.50% | |||
| Siemens AG (Registered) | 9,413,028 | 1,570,422 | 0.40% | |||
| Allianz SE (Registered) | 5,145,261 | 1,335,797 | 0.34% | |||
| BASF SE | 11,452,246 | 922,952 | 0.24% | |||
| Daimler AG (Registered) | 10,273,124 | 914,295 | 0.23% | |||
| † | Other*,1,2 | 15,102,685 | 3.84% | |||
| 21,816,100 | 5.55% | |||||
| †Greece*,3 | 307,135 | 0.08% | ||||
7
Total
International Stock Index Fund
| Shares | Market Value• ($000) |
Percentage of Net Assets | ||||
| Hong Kong | ||||||
| AIA Group Ltd. | 151,572,809 | 1,923,849 | 0.49% | |||
| Hong Kong Exchanges & Clearing Ltd. | 15,885,519 | 958,072 | 0.24% | |||
| BOC Hong Kong Holdings Ltd. | 44,645,198 | 156,984 | 0.04% | |||
| BOC Aviation Ltd. 2 | 2,603,795 | 23,438 | 0.01% | |||
| MMG Ltd. * | 30,007,859 | 19,385 | 0.01% | |||
| Sun Art Retail Group Ltd. | 20,325,500 | 18,711 | 0.01% | |||
| Nexteer Automotive Group Ltd. | 10,257,046 | 11,500 | 0.00% | |||
| CITIC Telecom International Holdings Ltd. | 17,103,448 | 6,182 | 0.00% | |||
| China Travel International Investment Hong Kong Ltd. * | 29,296,257 | 5,079 | 0.00% | |||
| CITIC Resources Holdings Ltd. * | 23,794,891 | 1,192 | 0.00% | |||
| † | Other*,1,2,3 | 5,249,275 | 1.33% | |||
| 8,373,667 | 2.13% | |||||
| †Hungary* | 223,689 | 0.06% | ||||
| India | ||||||
| Reliance Industries Ltd. | 39,989,461 | 1,073,292 | 0.27% | |||
| Nestle India Ltd. | 403,198 | 88,677 | 0.02% | |||
| † | Other*,2,3 | 10,694,677 | 2.73% | |||
| 11,856,646 | 3.02% | |||||
| †Indonesia*,3 | 1,429,142 | 0.36% | ||||
| †Ireland*,1,3 | 598,928 | 0.15% | ||||
| †Israel* | 1,430,400 | 0.36% | ||||
| Italy | ||||||
| Enel SpA | 97,307,585 | 966,199 | 0.25% | |||
| † | Other*,1,2,3 | 5,202,083 | 1.32% | |||
| 6,168,282 | 1.57% | |||||
| Japan | ||||||
| Toyota Motor Corp. | 30,835,673 | 2,307,254 | 0.59% | |||
| SoftBank Group Corp. | 17,429,949 | 1,570,624 | 0.40% | |||
| Sony Group Corp. | 15,443,065 | 1,543,981 | 0.39% | |||
| Keyence Corp. | 2,255,787 | 1,082,897 | 0.28% | |||
| † | Other*,1 | 53,865,425 | 13.69% | |||
| 60,370,181 | 15.35% | |||||
| †Kuwait* | 643,468 | 0.16% | ||||
| Malaysia | ||||||
| Nestle Malaysia Bhd. | 820,470 | 27,170 | 0.01% | |||
| † | Other*,2 | 1,996,792 | 0.51% | |||
| 2,023,962 | 0.52% | |||||
| †Malta*,3 | — | 0.00% | ||||
| †Mexico*,2 | 2,107,557 | 0.54% | ||||
| Netherlands | ||||||
| ASML Holding NV | 5,000,239 | 3,245,865 | 0.83% | |||
| † | Other*,1,2,3 | 6,744,310 | 1.71% | |||
| 9,990,175 | 2.54% | |||||
| †New Zealand*,1 | 961,131 | 0.25% | ||||
8
Total
International Stock Index Fund
| Shares | Market Value• ($000) |
Percentage of Net Assets | ||||
| Norway | ||||||
| Elkem ASA 2 | 3,058,806 | 11,225 | 0.00% | |||
| † | Other*,2 | 2,133,698 | 0.55% | |||
| 2,144,923 | 0.55% | |||||
| Other4 | ||||||
| Vanguard FTSE Emerging Markets ETF 1,5 | 15,759,336 | 834,930 | 0.21% | |||
| †Pakistan* | 89,406 | 0.02% | ||||
| †Philippines*,2,3 | 814,848 | 0.21% | ||||
| †Poland*,1,2,3 | 793,348 | 0.20% | ||||
| †Portugal*,1 | 486,924 | 0.12% | ||||
| †Qatar* | 798,671 | 0.20% | ||||
| †Romania | 29,008 | 0.01% | ||||
| †Russia* | 2,743,816 | 0.70% | ||||
| †Saudi Arabia*,2 | 3,323,564 | 0.85% | ||||
| Singapore | ||||||
| COSCO Shipping International Singapore Co. Ltd. * | 10,630,887 | 2,631 | 0.00% | |||
| † | Other*,1,3 | 3,026,255 | 0.77% | |||
| 3,028,886 | 0.77% | |||||
| South Africa | ||||||
| Naspers Ltd. | 5,292,800 | 1,204,535 | 0.31% | |||
| † | Other*,1,2,3 | 3,200,973 | 0.81% | |||
| 4,405,508 | 1.12% | |||||
| South Korea | ||||||
| Samsung Electronics Co. Ltd. | 58,584,267 | 4,269,942 | 1.09% | |||
| Samsung Electronics Co. Ltd. Preference Shares | 10,615,264 | 696,939 | 0.18% | |||
| Tongyang Life Insurance Co. Ltd. | 304,716 | 1,302 | 0.00% | |||
| † | Other*,1,2,3 | 10,997,548 | 2.79% | |||
| 15,965,731 | 4.06% | |||||
| Spain | ||||||
| Iberdrola SA | 73,473,638 | 992,920 | 0.25% | |||
| † | Other*,1,2,3 | 4,880,276 | 1.24% | |||
| 5,873,196 | 1.49% | |||||
| †Sweden*,1,2,3 | 9,823,273 | 2.50% | ||||
| Switzerland | ||||||
| Nestle SA (Registered) | 34,938,815 | 4,169,273 | 1.06% | |||
| Roche Holding AG | 8,705,545 | 2,839,364 | 0.72% | |||
| Novartis AG (Registered) | 26,526,409 | 2,263,668 | 0.58% | |||
| Roche Holding AG (Bearer) 1 | 350,294 | 121,800 | 0.03% | |||
| † | Other*,1,2,3 | 10,593,781 | 2.69% | |||
| 19,987,886 | 5.08% | |||||
| Taiwan | ||||||
| Taiwan Semiconductor Manufacturing Co. Ltd. | 300,864,748 | 6,336,099 | 1.61% | |||
| Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 45 | 5 | 0.00% | |||
| † | Other*,1,3 | 12,098,423 | 3.08% | |||
| 18,434,527 | 4.69% | |||||
| †Thailand*,1,3 | 2,671,224 | 0.68% | ||||
9
Total
International Stock Index Fund
| Shares | Market Value• ($000) |
Percentage of Net Assets | ||||
| †Turkey*,2,3 | 522,597 | 0.13% | ||||
| †United Arab Emirates*,3 | 719,889 | 0.18% | ||||
| United Kingdom | ||||||
| Unilever plc | 31,852,782 | 1,861,862 | 0.48% | |||
| AstraZeneca plc | 16,451,692 | 1,751,183 | 0.45% | |||
| HSBC Holdings plc | 255,409,164 | 1,594,702 | 0.41% | |||
| Diageo plc | 28,705,798 | 1,288,644 | 0.33% | |||
| GlaxoSmithKline plc | 61,745,728 | 1,141,047 | 0.29% | |||
| Rio Tinto plc | 13,596,752 | 1,138,827 | 0.29% | |||
| British American Tobacco plc | 28,553,033 | 1,059,413 | 0.27% | |||
| BP plc | 248,265,113 | 1,039,325 | 0.26% | |||
| Royal Dutch Shell plc Class A | 51,143,781 | 962,335 | 0.25% | |||
| Royal Dutch Shell plc Class B | 46,664,641 | 835,002 | 0.21% | |||
| † | Other*,1,2,3 | 24,400,502 | 6.19% | |||
| 37,072,842 | 9.43% | |||||
| Total Common Stocks (Cost $302,311,589) | 387,551,427 | 98.56% | ||||
| Coupon | ||||||
| Temporary Cash Investments | ||||||
| Money Market Fund | ||||||
| Vanguard Market Liquidity Fund6,7 (Cost $9,878,002) |
0.068% | 98,785,263 | 9,878,526 | 2.51% | ||
| Total Investments (Cost $312,189,591) | 397,429,953 | 101.07% | ||||
| Other Assets and Liabilities—Net | (4,193,165) | (1.07%) | ||||
| Net Assets | 393,236,788 | 100.00% | ||||
| Cost is in $000. | |
| • | See Note A in Notes to Financial Statements. |
| † | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
| * | Includes non-income-producing security. |
| 1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $6,243,182,000. |
| 2 | Certain securities are 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 April 30, 2021, the aggregate value of these securities was $10,055,643,000, representing 2.6% of net assets. |
| 3 | Certain securities value determined using significant unobservable inputs. |
| 4 | “Other” represents securities that are not classified by the fund’s benchmark index. |
| 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 | Collateral of $6,770,873,000 was received for securities on loan, of which $6,766,350,000 is held in Vanguard Market Liquidity Fund and $4,523,000 is held in cash. |
| ADR—American Depositary Receipt. |
10
Total
International Stock Index Fund
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 2021 | 300 | 62,616 | (418) |
| Euro Stoxx 50 Index | June 2021 | 31,576 | 1,495,712 | 41,977 |
| FTSE 100 Index | June 2021 | 6,880 | 659,175 | 22,732 |
| MSCI Emerging Market Index | June 2021 | 16,101 | 1,076,030 | 4,286 |
| S&P ASX 200 Index | June 2021 | 3,404 | 459,029 | 14,447 |
| S&P TSX 60 Index | June 2021 | 2,752 | 508,420 | 7,187 |
| Topix Index | June 2021 | 5,722 | 995,551 | (3,527) |
| 86,684 | ||||
| Forward Currency Contracts | |||||||
| Contract Settlement Date |
Contract Amount (000) | Unrealized Appreciation ($000) |
Unrealized (Depreciation) ($000) | ||||
| Counterparty | Receive | Deliver | |||||
| Bank of America, N.A. | 6/16/21 | AUD | 347,670 | USD | 265,343 | 2,540 | — |
| BNP Paribas | 6/16/21 | CAD | 395,523 | USD | 313,032 | 8,784 | — |
| Royal Bank of Canada | 6/16/21 | EUR | 651,094 | USD | 771,245 | 12,243 | — |
| Bank of America, N.A. | 6/16/21 | GBP | 264,318 | USD | 364,200 | 879 | — |
| Royal Bank of Canada | 6/16/21 | INR | 15,759,092 | USD | 212,072 | — | (802) |
| Deutsche Bank AG | 6/16/21 | INR | 7,938,791 | USD | 106,884 | — | (454) |
| Toronto-Dominion Bank | 6/16/21 | JPY | 67,199,551 | USD | 609,158 | 5,935 | — |
| BNP Paribas | 6/16/21 | USD | 301,122 | CHF | 281,746 | — | (7,751) |
| UBS AG | 6/16/21 | USD | 45,895 | HKD | 356,437 | 2 | — |
| BNP Paribas | 6/16/21 | USD | 140,621 | JPY | 15,494,140 | — | (1,201) |
11
Total
International Stock Index Fund
| Forward Currency Contracts (continued) | |||||||
| Contract Settlement Date |
Contract Amount (000) | Unrealized Appreciation ($000) |
Unrealized (Depreciation) ($000) | ||||
| Counterparty | Receive | Deliver | |||||
| Morgan Stanley Capital Services LLC | 6/16/21 | USD | 140,470 | JPY | 15,494,140 | — | (1,351) |
| Toronto-Dominion Bank | 6/16/21 | USD | 76,783 | KRW | 87,262,180 | — | (1,666) |
| 30,383 | (13,225) | ||||||
| AUD—Australian dollar. |
| CAD—Canadian dollar. |
| CHF—Swiss franc. |
| EUR—euro. |
| GBP—British pound. |
| HKD—Hong Kong dollar. |
| INR—Indian rupee. |
| JPY—Japanese Yen. |
| KRW—Korean won. |
| USD—U.S. dollar. |
| 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) |
| FTSE China A Stock Connect CNY All Cap Index | 6/22/21 | JPMC | 276,823 | (0.111) | 11,289 | — |
| 1 | Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
| 1M—1-month. | |
| JPMC—JP Morgan Chase Bank. |
At
April 30, 2021, the counterparties had deposited in segregated accounts
securities with a value of $22,995,000 and cash of $23,930,000 in connection
with open forward currency contracts and over-the-counter swap
contracts.
See
accompanying Notes, which are an integral part of the Financial
Statements.
12
Total
International Stock Index Fund
Statement
of Assets and Liabilities
As
of April 30, 2021
| ($000s, except shares and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value | |
| Unaffiliated Issuers (Cost $301,679,368) | 386,716,497 |
| Affiliated Issuers (Cost $10,510,223) | 10,713,456 |
| Total Investments in Securities | 397,429,953 |
| Investment in Vanguard | 13,848 |
| Cash | 4,523 |
| Foreign Currency, at Value (Cost $730,971) | 732,145 |
| Cash Collateral Pledged—Futures Contracts | 336,320 |
| Cash Collateral Pledged—Over-the-Counter Swap Contracts and Forward Currency Contracts | 4,230 |
| Receivables for Investment Securities Sold | 171,969 |
| Receivables for Accrued Income | 1,617,657 |
| Receivables for Capital Shares Issued | 420,515 |
| Unrealized Appreciation—Forward Currency Contracts | 30,383 |
| Unrealized Appreciation—Over-the-Counter Swap Contracts | 11,289 |
| Total Assets | 400,772,832 |
| Liabilities | |
| Due to Custodian | 58,903 |
| Payables for Investment Securities Purchased | 37,191 |
| Collateral for Securities on Loan | 6,770,873 |
| Payables for Capital Shares Redeemed | 210,604 |
| Payables to Vanguard | 20,813 |
| Variation Margin Payable—Futures Contracts | 33,403 |
| Unrealized Depreciation—Forward Currency Contracts | 13,225 |
| Deferred Foreign Capital Gains Taxes | 391,032 |
| Total Liabilities | 7,536,044 |
| Net Assets | 393,236,788 |
13
Total
International Stock Index Fund
| Statement of Assets and Liabilities (continued)
| |
| At April 30, 2021, net assets consisted of: | |
| ($000s, except shares and per-share amounts) | Amount |
| Paid-in Capital | 299,170,899 |
| Total Distributable Earnings (Loss) | 94,065,889 |
| Net Assets | 393,236,788 |
| Investor Shares—Net Assets | |
| Applicable
to 9,193,887,583 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
190,168,790 |
| Net Asset Value Per Share—Investor Shares | $20.68 |
| ETF Shares—Net Assets | |
| Applicable
to 702,194,739 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
45,180,564 |
| Net Asset Value Per Share—ETF Shares | $64.34 |
| Admiral Shares—Net Assets | |
| Applicable
to 2,266,699,230 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
78,426,432 |
| Net Asset Value Per Share—Admiral Shares | $34.60 |
| Institutional Shares—Net Assets | |
| Applicable
to 294,570,189 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
40,756,996 |
| Net Asset Value Per Share—Institutional Shares | $138.36 |
| Institutional Plus Shares—Net Assets | |
| Applicable
to 210,638,918 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
29,152,658 |
| Net Asset Value Per Share—Institutional Plus Shares | $138.40 |
| Institutional Select Shares—Net Assets | |
| Applicable
to 65,518,433 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
9,551,348 |
| Net Asset Value Per Share—Institutional Select Shares | $145.78 |
See
accompanying Notes, which are an integral part of the Financial
Statements.
14
Total
International Stock Index Fund
Statement
of Operations
| Six
Months Ended April 30, 2021 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends—Unaffiliated Issuers1 | 4,469,326 |
| Dividends—Affiliated Issuers | 5,820 |
| Interest—Unaffiliated Issuers | 90 |
| Interest—Affiliated Issuers | 996 |
| Securities Lending—Net | 49,949 |
| Total Income | 4,526,181 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 3,792 |
| Management and Administrative—Investor Shares | 139,242 |
| Management and Administrative—ETF Shares | 13,340 |
| Management and Administrative—Admiral Shares | 35,953 |
| Management and Administrative—Institutional Shares | 13,046 |
| Management and Administrative—Institutional Plus Shares | 16,593 |
| Management and Administrative—Institutional Select Shares | 1,674 |
| Marketing and Distribution—Investor Shares | 5,981 |
| Marketing and Distribution—ETF Shares | 573 |
| Marketing and Distribution—Admiral Shares | 1,479 |
| Marketing and Distribution—Institutional Shares | 517 |
| Marketing and Distribution—Institutional Plus Shares | 399 |
| Marketing and Distribution—Institutional Select Shares | — |
| Custodian Fees | 14,665 |
| Shareholders’ Reports—Investor Shares | 345 |
| Shareholders’ Reports—ETF Shares | 37 |
| Shareholders’ Reports—Admiral Shares | 98 |
| Shareholders’ Reports—Institutional Shares | 77 |
| Shareholders’ Reports—Institutional Plus Shares | 41 |
| Shareholders’ Reports—Institutional Select Shares | — |
| Trustees’ Fees and Expenses | 35 |
| Total Expenses | 247,887 |
| Net Investment Income | 4,278,294 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold—Unaffiliated Issuers2 | 24,188,107 |
| Investment Securities Sold—Affiliated Issuers | 368 |
| Futures Contracts | 733,452 |
| Swap Contracts | 39,871 |
| Forward Currency Contracts | 61,241 |
15
Total
International Stock Index Fund
| Statement of Operations (continued) | |
| Six
Months Ended April 30, 2021 | |
| ($000) | |
| Foreign Currencies | 28,590 |
| Realized Net Gain (Loss) | 25,051,629 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities—Unaffiliated Issuers3 | 68,195,995 |
| Investment Securities—Affiliated Issuers | 144,146 |
| Futures Contracts | 278,417 |
| Swap Contracts | 1,764 |
| Forward Currency Contracts | 30,897 |
| Foreign Currencies | 15,593 |
| Change in Unrealized Appreciation (Depreciation) | 68,666,812 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 97,996,735 |
| 1 | Dividends are net of foreign withholding taxes of $327,443,000. |
| 2 | Includes $24,453,236,000 of the net gain (loss) resulting from in-kind redemptions. |
| 3 | The change in unrealized appreciation (depreciation) is net of the change in deferred foreign capital gains taxes of $304,281,000. |
See
accompanying Notes, which are an integral part of the Financial
Statements.
16
Total
International Stock Index Fund
Statement
of Changes in Net Assets
| Six
Months Ended April 30, 2021 |
Year
Ended October 31, 2020 | ||
| ($000) | ($000) | ||
| Increase (Decrease) in Net Assets | |||
| Operations | |||
| Net Investment Income | 4,278,294 | 9,703,873 | |
| Realized Net Gain (Loss) | 25,051,629 | 4,982,271 | |
| Change in Unrealized Appreciation (Depreciation) | 68,666,812 | (18,108,151) | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 97,996,735 | (3,422,007) | |
| Distributions | |||
| Investor Shares | (2,131,419) | (3,764,242) | |
| ETF Shares | (478,416) | (524,950) | |
| Admiral Shares | (886,298) | (1,805,972) | |
| Institutional Shares | (470,077) | (829,917) | |
| Institutional Plus Shares | (808,742) | (2,982,699) | |
| Institutional Select Shares | (117,009) | (198,270) | |
| Total Distributions | (4,891,961) | (10,106,050) | |
| Capital Share Transactions | |||
| Investor Shares | (5,819,566) | 11,858,899 | |
| ETF Shares | 8,837,507 | 12,954,076 | |
| Admiral Shares | (2,573,127) | (8,423,716) | |
| Institutional Shares | 612,739 | (331,725) | |
| Institutional Plus Shares | (72,108,317) | (32,925,289) | |
| Institutional Select Shares | (564,558) | 4,963,364 | |
| Net Increase (Decrease) from Capital Share Transactions | (71,615,322) | (11,904,391) | |
| Total Increase (Decrease) | 21,489,452 | (25,432,448) | |
| Net Assets | |||
| Beginning of Period | 371,747,336 | 397,179,784 | |
| End of Period | 393,236,788 | 371,747,336 | |
See
accompanying Notes, which are an integral part of the Financial
Statements.
17
Total
International Stock Index Fund
Financial
Highlights
| Investor Shares | ||||||
| For a Share Outstanding Throughout Each Period |
Six Months Ended April 30, 2021 |
Year Ended October 31, | ||||
| 2020 | 2019 | 2018 | 2017 | 2016 | ||
| Net Asset Value, Beginning of Period | $16.39 | $17.13 | $15.91 | $17.91 | $14.88 | $15.11 |
| Investment Operations | ||||||
| Net Investment Income | .2111 | .3891 | .5241 | .5001 | .4441 | .422 |
| Net Realized and Unrealized Gain (Loss) on Investments | 4.309 | (.718) | 1.186 | (2.016) | 3.028 | (.243) |
| Total from Investment Operations | 4.520 | (.329) | 1.710 | (1.516) | 3.472 | .179 |
| Distributions | ||||||
| Dividends from Net Investment Income | (.230) | (.411) | (.490) | (.484) | (.442) | (.409) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.230) | (.411) | (.490) | (.484) | (.442) | (.409) |
| Net Asset Value, End of Period | $20.68 | $16.39 | $17.13 | $15.91 | $17.91 | $14.88 |
| Total Return2 | 27.67% | -1.93% | 10.98% | -8.71% | 23.70% | 1.31% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $190,169 | $155,670 | $148,795 | $126,319 | $116,279 | $87,010 |
| Ratio of Total Expenses to Average Net Assets | 0.17% | 0.17% | 0.17% | 0.17% | 0.17% | 0.18% |
| Ratio of Net Investment Income to Average Net Assets | 2.10% | 2.39% | 3.19% | 2.81% | 2.73% | 2.95% |
| Portfolio Turnover Rate3 | 3% | 7% | 4% | 3% | 3% | 3% |
| The expense ratio and net investment income ratio for the current period have been annualized. | ||||||
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See
accompanying Notes, which are an integral part of the Financial
Statements.
18
Total
International Stock Index Fund
Financial
Highlights
| ETF Shares | ||||||
| For a Share Outstanding Throughout Each Period |
Six Months Ended April 30, 2021 |
Year Ended October 31, | ||||
| 2020 | 2019 | 2018 | 2017 | 2016 | ||
| Net Asset Value, Beginning of Period | $50.97 | $53.30 | $49.50 | $55.70 | $46.28 | $47.00 |
| Investment Operations | ||||||
| Net Investment Income | .7091 | 1.2511 | 1.6771 | 1.6121 | 1.4201 | 1.344 |
| Net Realized and Unrealized Gain (Loss) on Investments | 13.407 | (2.256) | 3.696 | (6.269) | 9.404 | (.763) |
| Total from Investment Operations | 14.116 | (1.005) | 5.373 | (4.657) | 10.824 | .581 |
| Distributions | ||||||
| Dividends from Net Investment Income | (.746) | (1.325) | (1.573) | (1.543) | (1.404) | (1.301) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.746) | (1.325) | (1.573) | (1.543) | (1.404) | (1.301) |
| Net Asset Value, End of Period | $64.34 | $50.97 | $53.30 | $49.50 | $55.70 | $46.28 |
| Total Return | 27.81% | -1.88% | 11.11% | -8.63% | 23.76% | 1.39% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $45,181 | $28,294 | $16,293 | $10,389 | $9,670 | $6,377 |
| Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.09% | 0.11% | 0.11% |
| Ratio of Net Investment Income to Average Net Assets | 2.27% | 2.46% | 3.28% | 2.89% | 2.79% | 3.02% |
| Portfolio Turnover Rate2 | 3% | 7% | 4% | 3% | 3% | 3% |
| The expense ratio and net investment income ratio for the current period have been annualized. | ||||||
| 1 | Calculated based on average shares outstanding. |
| 2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See
accompanying Notes, which are an integral part of the Financial
Statements.
19
Total
International Stock Index Fund
Financial
Highlights
| Admiral Shares | ||||||
| For a Share Outstanding Throughout Each Period |
Six Months Ended April 30, 2021 |
Year Ended October 31, | ||||
| 2020 | 2019 | 2018 | 2017 | 2016 | ||
| Net Asset Value, Beginning of Period | $27.41 | $28.66 | $26.61 | $29.95 | $24.89 | $25.27 |
| Investment Operations | ||||||
| Net Investment Income | .3651 | .6581 | .8921 | .8581 | .7611 | .722 |
| Net Realized and Unrealized Gain (Loss) on Investments | 7.220 | (1.205) | 1.993 | (3.369) | 5.053 | (.400) |
| Total from Investment Operations | 7.585 | (.547) | 2.885 | (2.511) | 5.814 | .322 |
| Distributions | ||||||
| Dividends from Net Investment Income | (.395) | (.703) | (.835) | (.829) | (.754) | (.702) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.395) | (.703) | (.835) | (.829) | (.754) | (.702) |
| Net Asset Value, End of Period | $34.60 | $27.41 | $28.66 | $26.61 | $29.95 | $24.89 |
| Total Return2 | 27.77% | -1.92% | 11.08% | -8.63% | 23.73% | 1.40% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $78,426 | $64,452 | $76,314 | $65,363 | $65,249 | $45,154 |
| Ratio of Total Expenses to Average Net Assets | 0.11% | 0.11% | 0.11% | 0.11% | 0.11% | 0.11% |
| Ratio of Net Investment Income to Average Net Assets | 2.18% | 2.40% | 3.25% | 2.87% | 2.79% | 3.02% |
| Portfolio Turnover Rate3 | 3% | 7% | 4% | 3% | 3% | 3% |
| The expense ratio and net investment income ratio for the current period have been annualized. | ||||||
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See
accompanying Notes, which are an integral part of the Financial
Statements.
20
Total
International Stock Index Fund
Financial
Highlights
| Institutional Shares | ||||||
| For a Share Outstanding Throughout Each Period |
Six Months Ended April 30, 2021 |
Year Ended October 31, | ||||
| 2020 | 2019 | 2018 | 2017 | 2016 | ||
| Net Asset Value, Beginning of Period | $109.61 | $114.61 | $106.43 | $119.77 | $99.52 | $101.07 |
| Investment Operations | ||||||
| Net Investment Income | 1.4821 | 2.6701 | 3.5971 | 3.4611 | 3.0621 | 2.907 |
| Net Realized and Unrealized Gain (Loss) on Investments | 28.869 | (4.826) | 7.960 | (13.460) | 20.229 | (1.632) |
| Total from Investment Operations | 30.351 | (2.156) | 11.557 | (9.999) | 23.291 | 1.275 |
| Distributions | ||||||
| Dividends from Net Investment Income | (1.601) | (2.844) | (3.377) | (3.341) | (3.041) | (2.825) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (1.601) | (2.844) | (3.377) | (3.341) | (3.041) | (2.825) |
| Net Asset Value, End of Period | $138.36 | $109.61 | $114.61 | $106.43 | $119.77 | $99.52 |
| Total Return | 27.79% | -1.89% | 11.10% | -8.60% | 23.78% | 1.39% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $40,757 | $31,735 | $33,476 | $28,563 | $29,794 | $19,692 |
| Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.09% | 0.09% |
| Ratio of Net Investment Income to Average Net Assets | 2.21% | 2.44% | 3.27% | 2.90% | 2.81% | 3.04% |
| Portfolio Turnover Rate2 | 3% | 7% | 4% | 3% | 3% | 3% |
| The expense ratio and net investment income ratio for the current period have been annualized. | ||||||
| 1 | Calculated based on average shares outstanding. |
| 2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See
accompanying Notes, which are an integral part of the Financial
Statements.
21
Total
International Stock Index Fund
Financial
Highlights
| Institutional Plus Shares | ||||||
| For a Share Outstanding Throughout Each Period |
Six Months Ended April 30, 2021 |
Year Ended October 31, | ||||
| 2020 | 2019 | 2018 | 2017 | 2016 | ||
| Net Asset Value, Beginning of Period | $109.63 | $114.63 | $106.45 | $119.79 | $99.54 | $101.08 |
| Investment Operations | ||||||
| Net Investment Income | 1.1391 | 2.7261 | 3.6171 | 3.4701 | 3.0861 | 2.926 |
| Net Realized and Unrealized Gain (Loss) on Investments | 29.227 | (4.871) | 7.947 | (13.454) | 20.228 | (1.622) |
| Total from Investment Operations | 30.366 | (2.145) | 11.564 | (9.984) | 23.314 | 1.304 |
| Distributions | ||||||
| Dividends from Net Investment Income | (1.596) | (2.855) | (3.384) | (3.356) | (3.064) | (2.844) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (1.596) | (2.855) | (3.384) | (3.356) | (3.064) | (2.844) |
| Net Asset Value, End of Period | $138.40 | $109.63 | $114.63 | $106.45 | $119.79 | $99.54 |
| Total Return | 27.80% | -1.88% | 11.10% | -8.58% | 23.80% | 1.42% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $29,153 | $83,550 | $118,865 | $94,242 | $88,781 | $64,511 |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
| Ratio of Net Investment Income to Average Net Assets | 1.71% | 2.50% | 3.29% | 2.91% | 2.83% | 3.06% |
| Portfolio Turnover Rate2 | 3% | 7% | 4% | 3% | 3% | 3% |
| The expense ratio and net investment income ratio for the current period have been annualized. | ||||||
| 1 | Calculated based on average shares outstanding. |
| 2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See
accompanying Notes, which are an integral part of the Financial
Statements.
22
Total
International Stock Index Fund
Financial
Highlights
| Institutional Select Shares | ||||||
| For a Share Outstanding Throughout Each Period |
Six Months Ended April 30, 2021 |
Year Ended October 31, | June 24, 20161 to October 31, 2016 | |||
| 2020 | 2019 | 2018 | 2017 | |||
| Net Asset Value, Beginning of Period | $115.49 | $120.75 | $112.10 | $126.15 | $104.82 | $97.20 |
| Investment Operations | ||||||
| Net Investment Income | 1.5702 | 2.8962 | 3.4212 | 3.6792 | 3.3032 | .914 |
| Net Realized and Unrealized Gain (Loss) on Investments | 30.432 | (5.120) | 8.783 | (14.163) | 21.274 | 7.340 |
| Total from Investment Operations | 32.002 | (2.224) | 12.204 | (10.484) | 24.577 | 8.254 |
| Distributions | ||||||
| Dividends from Net Investment Income | (1.712) | (3.036) | (3.554) | (3.566) | (3.247) | (.634) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (1.712) | (3.036) | (3.554) | (3.566) | (3.247) | (.634) |
| Net Asset Value, End of Period | $145.78 | $115.49 | $120.75 | $112.10 | $126.15 | $104.82 |
| Total Return | 27.81% | -1.85% | 11.13% | -8.56% | 23.83% | 8.48% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $9,551 | $8,045 | $3,437 | $11,470 | $5,863 | $1,599 |
| Ratio of Total Expenses to Average Net Assets | 0.045% | 0.045% | 0.045% | 0.045% | 0.045% | 0.045%3 |
| Ratio of Net Investment Income to Average Net Assets | 2.22% | 2.52% | 2.98% | 2.93% | 2.85% | 3.09%3 |
| Portfolio Turnover Rate4 | 3% | 7% | 4% | 3% | 3% | 3%5 |
| The expense ratio and net investment income ratio for the current period have been annualized. | ||||||
| 1 | Inception. |
| 2 | Calculated based on average shares outstanding. |
| 3 | Annualized. |
| 4 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
| 5 | Reflects the fund’s portfolio turnover for the fiscal year ended October 31, 2016. |
See
accompanying Notes, which are an integral part of the Financial
Statements.
23
Total
International Stock Index Fund
Notes
to Financial Statements
Vanguard
Total International Stock Index Fund is registered under the Investment Company
Act of 1940 as an open-end investment company, or mutual fund. The fund offers
six classes of shares: Investor Shares, ETF Shares, Admiral Shares,
Institutional Shares, Institutional Plus Shares, and Institutional Select
Shares. Each of the share classes has different eligibility and minimum purchase
requirements, and is designed for different types of investors.ETF Shares are
listed for trading on Nasdaq; they can be purchased and sold through a
broker.
The
fund invests in securities of foreign issuers, which may subject it to
investment risks not normally associated with investing in securities of U.S.
corporations. Market disruptions associated with the COVID-19 pandemic have had
a global impact, and uncertainty exists as to the long-term implications. Such
disruptions can adversely affect assets of the fund and thus fund
performance.
A. The following significant accounting policies
conform to generally accepted accounting principles for U.S. investment
companies. The fund consistently follows such policies in preparing its
financial statements.
1. 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 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.
2. 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).
3. 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.
24
Total
International Stock Index Fund
Counterparty
risk involving futures is mitigated because a regulated clearinghouse is the
counterparty instead of the clearing broker. To further mitigate counterparty
risk, the fund trades futures contracts on an exchange, monitors the financial
strength of its clearing brokers and clearinghouse, and has entered into
clearing agreements with its clearing brokers. The clearinghouse imposes initial
margin requirements to secure the fund’s performance and requires daily
settlement of variation margin representing changes in the market value of each
contract. Any securities pledged as initial margin for open contracts are noted
in the Schedule of Investments.
Futures
contracts are valued at their quoted daily settlement prices. The notional
amounts of the contracts are not recorded in the Statement of Assets and
Liabilities. Fluctuations in the value of the contracts are recorded in the
Statement of Assets and Liabilities as an asset (liability) and in the Statement
of Operations as unrealized appreciation (depreciation) until the contracts are
closed, when they are recorded as realized gains (losses) on futures
contracts.
During
the six months ended April 30, 2021, the fund’s average investments in long and
short futures contracts represented 1% and 0% of net assets, respectively, based
on the average of the notional amounts at each quarter-end during the
period.
4. Forward
Currency Contracts: The fund enters into forward currency contracts to protect
the value of securities related receivables and payables against changes in
future 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. In the absence of a default, the collateral
pledged or received by the fund cannot be repledged, resold, or rehypothecated.
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 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 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.
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 notional amounts of the contracts are not recorded in the
Statement of Assets and Liabilities. Fluctuations in the value of the contracts
are recorded in the Statement of Assets and Liabilities as an asset (liability)
and in the Statement of Operations as unrealized appreciation (depreciation)
until the contracts are closed, when they are recorded as realized gains
(losses) on forward currency contracts.
25
Total
International Stock Index Fund
During
the six months ended April 30, 2021, the fund’s average investment in forward
currency contracts represented less than 1% of net assets, based on the average
of the notional amounts at each quarter-end during the period.
5. Swap
Contracts: The fund has entered into equity swap contracts to earn the total
return on selected reference stocks in the fund’s target index. Under the terms
of the swaps, the fund receives the total return on the referenced stock (i.e.,
receiving the increase or paying the decrease in value of the selected reference
stock and receiving the equivalent of any dividends in respect of the selected
referenced stock) over a specified period of time, applied to a notional amount
that represents the value of a designated number of shares of the selected
reference stock at the beginning of the equity swap contract. The fund also pays
a floating rate that is based on short-term interest rates, applied to the
notional amount. At the same time, the fund generally invests an amount
approximating the notional amount of the swap in high-quality temporary cash
investments.
A
risk associated with all types of swaps is the possibility that a counterparty
may default on its obligation to pay net amounts due to the fund. The fund’s
maximum amount subject to counterparty risk is the unrealized appreciation on
the swap contract. The fund mitigates its counterparty risk by entering into
swaps only with a diverse group of prequalified counterparties, monitoring their
financial strength, entering into master netting arrangements with its
counterparties, and requiring its counterparties to transfer collateral as
security for their performance. In the absence of a default, the collateral
pledged or received by the fund cannot be repledged, resold, or rehypothecated.
In the event of a counterparty’s default (including bankruptcy), the fund may
terminate any swap contracts with that counterparty, determine the net amount
owed by either party in accordance with its master netting arrangements, and
sell or retain any collateral held up to the net amount owed to the fund under
the master netting arrangements. The swap contracts contain provisions whereby a
counterparty may terminate open contracts if the fund's net assets decline below
a certain level, triggering a payment by the fund if the fund is in a net
liability position at the time of the termination. The payment amount would be
reduced by any collateral the fund has pledged. Any securities pledged as
collateral for open contracts are noted in the Schedule of Investments. The
value of collateral received or pledged is compared daily to the value of the
swap contracts exposure with each counterparty, and any difference, if in excess
of a specified minimum transfer amount, is adjusted and settled within two
business days.
The
notional amounts of swap contracts are not recorded in the Statement of Assets
and Liabilities. Swaps are valued daily based on market quotations received from
independent pricing services or recognized dealers and the change in value is
recorded in the Statement of Assets and Liabilities as an asset (liability) and
in the Statement of Operations as unrealized appreciation (depreciation) until
periodic payments are made or the termination of the swap, at which time
realized gain (loss) is recorded.
During
the six months ended April 30, 2021, the fund’s average amounts of investments
in total return swaps represented less than 1% of net assets, based on the
average of notional amounts at each quarter-end during the period.
6. Federal
Income Taxes: The fund intends to continue to qualify as a regulated investment
company and distribute all of its taxable income. The fund’s tax returns are
open to examination by the relevant tax authorities until expiration of the
applicable statute of limitations, which is
26
Total
International Stock Index Fund
generally
three years after the filing of the tax return. Management has analyzed the
fund’s tax positions taken for all open federal and state income tax years, and
has concluded that no provision for income tax is required in the fund’s
financial statements.
7. Distributions:
Distributions to shareholders are recorded on the ex-dividend date.
Distributions are determined on a tax basis at the fiscal year-end and may
differ from net investment income and realized capital gains for financial
reporting purposes.
8. Securities
Lending: To earn additional income, the fund lends its securities to qualified
institutional borrowers. Security loans are subject to termination by the fund
at any time, and are required to be secured at all times by collateral in an
amount at least equal to the market value of securities loaned. Daily market
fluctuations could cause the value of loaned securities to be more or less than
the value of the collateral received. When this occurs, the collateral is
adjusted and settled before the opening of the market on the next business day.
The fund further mitigates its counterparty risk by entering into securities
lending transactions only with a diverse group of prequalified counterparties,
monitoring their financial strength, and entering into master securities lending
agreements with its counterparties. The master securities lending agreements
provide that, in the event of a counterparty’s default (including bankruptcy),
the fund may terminate any loans with that borrower, determine the net amount
owed, and sell or retain the collateral up to the net amount owed to the fund;
however, such actions may be subject to legal proceedings. While collateral
mitigates counterparty risk, in the event of a default, the fund may experience
delays and costs in recovering the securities loaned. The fund invests cash
collateral received in Vanguard Market Liquidity Fund, and records a liability
in the Statement of Assets and Liabilities for the return of the collateral,
during the period the securities are on loan. Collateral investments in Vanguard
Market Liquidity Fund are subject to market appreciation or depreciation.
Securities lending income represents fees charged to borrowers plus income
earned on invested cash collateral, less expenses associated with the loan.
During the term of the loan, the fund is entitled to all distributions made on
or in respect of the loaned securities.
9. Credit
Facilities and Interfund Lending Program: The fund and certain other funds
managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion
committed credit facility provided by a syndicate of lenders pursuant to a
credit agreement and an uncommitted credit facility provided by Vanguard. Both
facilities may be renewed annually. Each fund is individually liable for its
borrowings, if any, under the credit facilities. Borrowings may be utilized for
temporary or emergency purposes, subject to the fund’s regulatory and
contractual borrowing restrictions. With respect to the committed credit
facility, the participating funds are charged administrative fees and an annual
commitment fee of 0.10% of the undrawn committed amount of the facility; these
fees are allocated to the funds based on a method approved by the fund’s board
of trustees and included in Management and Administrative expenses on the fund’s
Statement of Operations. Any borrowings under either facility bear interest at a
rate based upon the higher of the one-month London Interbank Offered Rate (or an
acceptable alternate rate, if necessary), federal funds effective rate, or
overnight bank funding rate plus an agreed-upon spread, except that borrowings
under the uncommitted credit facility may bear interest based upon an
alternative rate agreed to by the fund and Vanguard.
In
accordance with an exemptive order (the “Order”) from the SEC, the fund may
participate in a joint lending and borrowing program that allows registered
open-end Vanguard funds to borrow money from and lend money to each other for
temporary or emergency purposes (the “Interfund Lending Program”), subject to
compliance with the terms and conditions of the Order, and to the extent
permitted by the fund’s investment objective and investment policies. Interfund
loans and
27
Total
International Stock Index Fund
borrowings
normally extend overnight, but can have a maximum duration of seven days. Loans
may be called on one business day’s notice. The interest rate to be charged is
governed by the conditions of the Order and internal procedures adopted by the
board of trustees. The board of trustees is responsible for overseeing the
Interfund Lending Program.
For
the six months ended April 30, 2021, the fund did not utilize the credit
facilities or the Interfund Lending Program.
10. Other:
Dividend income is recorded on the ex-dividend date. Non-cash dividends included
in income, if any, are recorded at the fair value of the securities received.
Interest income includes income distributions received from Vanguard Market
Liquidity Fund and is accrued daily. Premiums and discounts on debt securities
are amortized and accreted, respectively, to interest income over the lives of
the respective securities, except for premiums on certain callable debt
securities that are amortized to the earliest call date. Security transactions
are accounted for on the date securities are bought or sold. Costs used to
determine realized gains (losses) on the sale of investment securities are those
of the specific securities sold.
Taxes
on foreign dividends and capital gains have been provided for in accordance with
the fund’s understanding of the applicable countries’ tax rules and rates.
Deferred foreign capital gains tax, if any, is accrued daily based upon net
unrealized gains. The fund has filed tax reclaims for previously withheld taxes
on dividends earned in certain European Union countries. These filings are
subject to various administrative and judicial proceedings within these
countries. Such tax reclaims received during the year, if any, are included in
dividend income. No other amounts for additional tax reclaims are reflected in
the financial statements due to the uncertainty as to the ultimate resolution of
proceedings, the likelihood of receipt of these reclaims, and the potential
timing of payment.
Each
class of shares has equal rights as to assets and earnings, except that each
class separately bears certain class-specific expenses related to maintenance of
shareholder accounts (included in Management and Administrative expenses) and
shareholder reporting. Marketing and distribution expenses are allocated to each
class of shares based on a method approved by the board of trustees. Income,
other non-class-specific expenses, and gains and losses on investments are
allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service
Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the
fund investment advisory, corporate management, administrative, marketing, and
distribution services at Vanguard’s cost of operations (as defined by the FSA).
These costs of operations are allocated to the fund based on methods and
guidelines approved by the board of trustees and are generally settled twice a
month.
Upon
the request of Vanguard, the fund may invest up to 0.40% of its net assets as
capital in Vanguard. At April 30, 2021, the fund had contributed to Vanguard
capital in the amount of $13,848,000, representing less than 0.01% of the fund’s
net assets and 5.54% of Vanguard’s capital received pursuant to the FSA. The
fund’s trustees and officers are also directors and employees, respectively, of
Vanguard.
C. Various inputs may be used to determine the value of
the fund’s investments and derivatives. These inputs are summarized in three
broad levels for financial statement purposes. The inputs or methodologies used
to value securities are not necessarily an indication of the risk associated
with investing in those securities.
28
Total
International Stock Index 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). Any
investments and derivatives valued with significant unobservable inputs are
noted on the Schedule of Investments.
The
following table summarizes the market value of the fund's investments and
derivatives as of April 30, 2021, based on the inputs used to value them:
| Level
1 ($000) |
Level
2 ($000) |
Level
3 ($000) |
Total ($000) | |
| Investments | ||||
| Assets | ||||
| Common Stocks—North and South America | 34,319,995 | 855,237 | — | 35,175,232 |
| Common Stocks—Other | 6,962,069 | 345,066,843 | 347,283 | 352,376,195 |
| Temporary Cash Investments | 9,878,526 | — | — | 9,878,526 |
| Total | 51,160,590 | 345,922,080 | 347,283 | 397,429,953 |
| Derivative Financial Instruments | ||||
| Assets | ||||
| Futures Contracts1 | 90,629 | — | — | 90,629 |
| Forward Currency Contracts | — | 30,383 | — | 30,383 |
| Swap Contracts | — | 11,289 | — | 11,289 |
| Total | 90,629 | 41,672 | — | 132,301 |
| Liabilities | ||||
| Futures Contracts1 | 3,945 | — | — | 3,945 |
| Forward Currency Contracts | — | 13,225 | — | 13,225 |
| Total | 3,945 | 13,225 | — | 17,170 |
| 1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
29
Total
International Stock Index Fund
D. At April 30, 2021, the fair values of derivatives
were reflected in the Statement of Assets and Liabilities as
follows:
| Statement of Assets and Liabilities | Equity Contracts ($000) |
Foreign Exchange Contracts ($000) |
Total ($000) |
| Unrealized Appreciation—Futures Contracts1 | 90,629 | — | 90,629 |
| Unrealized Appreciation—Forward Currency Contracts | — | 30,383 | 30,383 |
| Unrealized Appreciation—Over-the-Counter Swap Contracts | 11,289 | — | 11,289 |
| Total Assets | 101,918 | 30,383 | 132,301 |
| Unrealized Depreciation—Futures Contracts1 | 3,945 | — | 3,945 |
| Unrealized Depreciation—Forward Currency Contracts | — | 13,225 | 13,225 |
| Total Liabilities | 3,945 | 13,225 | 17,170 |
| 1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Realized
net gain (loss) and the change in unrealized appreciation (depreciation) on
derivatives for the six months ended April 30, 2021, were:
| Realized Net Gain (Loss) on Derivatives | Equity Contracts ($000) |
Foreign Exchange Contracts ($000) |
Total ($000) |
| Futures Contracts | 733,452 | — | 733,452 |
| Forward Currency Contracts | — | 61,241 | 61,241 |
| Swap Contracts | 39,871 | — | 39,871 |
| Realized Net Gain (Loss) on Derivatives | 773,323 | 61,241 | 834,564 |
| Change in Unrealized Appreciation (Depreciation) on Derivatives | |||
| Futures Contracts | 278,417 | — | 278,417 |
| Forward Currency Contracts | — | 30,897 | 30,897 |
| Swap Contracts | 1,764 | — | 1,764 |
| Change in Unrealized Appreciation (Depreciation) on Derivatives | 280,181 | 30,897 | 311,078 |
E. As of April 30, 2021, gross unrealized appreciation
and depreciation for investments and derivatives based on cost for U.S. federal
income tax purposes were as follows:
| Amount ($000) | |
| Tax Cost | 313,484,080 |
| Gross Unrealized Appreciation | 123,455,284 |
| Gross Unrealized Depreciation | (39,394,280) |
| Net Unrealized Appreciation (Depreciation) | 84,061,004 |
The
fund’s tax-basis capital gains and losses are determined only at the end of each
fiscal year. For tax purposes, at October 31, 2020, the fund had available
capital losses totaling $17,227,703,000 that may be carried forward indefinitely
to offset future net capital gains. The fund will use these
30
Total
International Stock Index Fund
capital
losses to offset net taxable capital gains, if any, realized during the year
ending October 31, 2021; should the fund realize net capital losses for the
year, the losses will be added to the loss carryforward balance above.
F. During the six months ended April 30, 2021, the fund
purchased $11,447,561,000 of investment securities and sold $83,811,107,000 of
investment securities, other than temporary cash investments. Purchases and
sales include $260,899,000 and $62,118,577,000, respectively, in connection with
in-kind purchases and redemptions of the fund’s capital shares.
G. Capital share transactions for each class of shares
were:
| Six Months Ended April 30, 2021 |
Year Ended October 31, 2020 | ||||
| Amount ($000) |
Shares (000) |
Amount ($000) |
Shares (000) | ||
| Investor Shares | |||||
| Issued | 10,566,316 | 517,683 | 22,608,974 | 1,494,035 | |
| Issued in Lieu of Cash Distributions | 2,131,419 | 109,885 | 3,764,242 | 227,169 | |
| Redeemed1 | (18,517,301) | (933,857) | (14,514,317) | (905,972) | |
| Net Increase (Decrease)—Investor Shares | (5,819,566) | (306,289) | 11,858,899 | 815,232 | |
| ETF Shares | |||||
| Issued | 8,837,507 | 147,119 | 13,007,965 | 250,481 | |
| Issued in Lieu of Cash Distributions | — | — | — | — | |
| Redeemed | — | — | (53,889) | (1,100) | |
| Net Increase (Decrease)—ETF Shares | 8,837,507 | 147,119 | 12,954,076 | 249,381 | |
| Admiral Shares | |||||
| Issued1 | 7,173,657 | 217,019 | 13,328,313 | 509,348 | |
| Issued in Lieu of Cash Distributions | 760,801 | 23,434 | 1,557,343 | 56,065 | |
| Redeemed | (10,507,585) | (325,189) | (23,309,372) | (876,912) | |
| Net Increase (Decrease)—Admiral Shares | (2,573,127) | (84,736) | (8,423,716) | (311,499) | |
| Institutional Shares | |||||
| Issued | 5,191,201 | 39,609 | 7,265,482 | 68,597 | |
| Issued in Lieu of Cash Distributions | 434,842 | 3,349 | 772,537 | 6,967 | |
| Redeemed | (5,013,304) | (37,913) | (8,369,744) | (78,134) | |
| Net Increase (Decrease)—Institutional Shares | 612,739 | 5,045 | (331,725) | (2,570) | |
| Institutional Plus Shares | |||||
| Issued | 4,364,023 | 32,509 | 19,265,758 | 188,833 | |
| Issued in Lieu of Cash Distributions | 800,551 | 6,206 | 2,966,518 | 26,848 | |
| Redeemed | (77,272,891) | (590,155) | (55,157,565) | (490,546) | |
| Net Increase (Decrease)—Institutional Plus Shares | (72,108,317) | (551,440) | (32,925,289) | (274,865) | |
31
Total
International Stock Index Fund
| Six Months Ended April 30, 2021 |
Year Ended October 31, 2020 | ||||
| Amount ($000) |
Shares (000) |
Amount ($000) |
Shares (000) | ||
| Institutional Select Shares | |||||
| Issued | 545,437 | 3,924 | 8,382,308 | 71,567 | |
| Issued in Lieu of Cash Distributions | 117,009 | 855 | 198,270 | 1,705 | |
| Redeemed | (1,227,004) | (8,922) | (3,617,214) | (32,070) | |
| Net Increase (Decrease)—Institutional Select Shares | (564,558) | (4,143) | 4,963,364 | 41,202 | |
| 1 | In November 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, all of the outstanding Investor Shares automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors. Investor Shares—Redeemed and Admiral Shares—Issued include 49,000 and 29,000 shares, respectively, in the amount of $846,000 from the conversion during the year ended October 31, 2020. |
H. Transactions during the period in investments where
the issuer is another member of The Vanguard Group were as follows:
| Current Period Transactions | ||||||||
| Oct.
31, 2020 Market Value ($000) |
Purchases at Cost ($000) |
Proceeds from Securities Sold ($000) |
Realized Net Gain (Loss) ($000) |
Change
in Unrealized App. (Dep.) ($000) |
Income ($000) |
Capital
Gain Distributions Received ($000) |
Apr.
30, 2021 Market Value ($000) | |
| Vanguard FTSE Emerging Markets ETF | 690,416 | — | — | — | 144,514 | 5,820 | — | 834,930 |
| Vanguard Market Liquidity Fund | 6,578,015 | NA1 | NA1 | 368 | (368) | 996 | — | 9,878,526 |
| Total | 7,268,431 | — | — | 368 | 144,146 | 6,816 | — | 10,713,456 |
| 1 | Not applicable—purchases and sales are for temporary cash investment purposes. |
I. Management has determined that no events or
transactions occurred subsequent to April 30, 2021, that would require
recognition or disclosure in these financial statements.
32
Trustees
Approve Advisory Arrangement
The
board of trustees of Vanguard Total International Stock Index Fund has renewed
the fund’s investment advisory arrangement with The Vanguard Group, Inc.
(Vanguard), through its Equity Index Group. The board determined that continuing
the fund’s internalized management structure was in the best interests of the
fund and its shareholders.
The
board based its decision upon an evaluation of the advisor’s investment staff,
portfolio management process, and performance. This evaluation included
information provided to the board by Vanguard’s Portfolio Review Department,
which is responsible for fund and advisor oversight and product management. The
Portfolio Review Department met regularly with the advisor and made monthly
presentations to the board during the fiscal year that directed the board’s
focus to relevant information and topics.
The
board, or an investment committee made up of board members, also received
information throughout the year during advisor presentations. For each advisor
presentation, the board was provided with letters and reports that included
information about, among other things, the advisory firm and the advisor’s
assessment of the investment environment, portfolio performance, and portfolio
characteristics.
In
addition, the board received monthly reports, which included a Market and
Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance
Report.
Prior
to their meeting, the trustees were provided with a memo and materials that
summarized the information they received over the course of the year. They also
considered the factors discussed below, among others. However, no single factor
determined whether the board approved the arrangement. Rather, it was the
totality of the circumstances that drove the board’s decision.
Nature,
extent, and quality of services
The
board reviewed the quality of the fund's investment management services over
both the short and long term, and took into account the organizational depth and
stability of the advisor. The board considered that Vanguard has been managing
investments for more than four decades. The Equity Index Group adheres to a
sound, disciplined investment management process; the team has considerable
experience, stability, and depth.
The
board concluded that Vanguard’s experience, stability, depth, and performance,
among other factors, warranted continuation of the advisory arrangement.
Investment
performance
The
board considered the short- and long-term performance of the fund, including any
periods of outperformance or underperformance compared with its target index and
peer group. The board concluded that the performance was such that the advisory
arrangement should continue.
Cost
The
board concluded that the fund’s expense ratio was well below the average expense
ratio charged by funds in its peer group and that the fund’s advisory expenses
were also well below the peer-group average.
33
The
board does not conduct a profitability analysis of Vanguard because of
Vanguard’s unique structure. Unlike most other mutual fund management companies,
Vanguard is owned by the funds it oversees.
The
benefit of economies of scale
The
board concluded that the fund’s arrangement with Vanguard ensures that the fund
will realize economies of scale as it grows, with the cost to shareholders
declining as fund assets increase.
The
board will consider whether to renew the advisory arrangement again after a
one-year period.
34
Liquidity
Risk Management
Vanguard
funds (except for the money market funds) have adopted and implemented a written
liquidity risk management program (the “Program”) as required by Rule 22e-4
under the Investment Company Act of 1940. Rule 22e-4 requires that each fund
adopt a program that is reasonably designed to assess and manage the fund’s
liquidity risk, which is the risk that the fund could not meet redemption
requests without significant dilution of remaining investors’ interests in the
fund.
Assessment
and management of a fund’s liquidity risk under the Program take into
consideration certain factors, such as the fund’s investment strategy and the
liquidity of its portfolio investments during normal and reasonably foreseeable
stressed conditions, its short- and long-term cash-flow projections during both
normal and reasonably foreseeable stressed conditions, and its cash and
cash-equivalent holdings and access to other funding sources. As required by the
rule, the Program includes policies and procedures for classification of fund
portfolio holdings in four liquidity categories, maintaining certain levels of
highly liquid investments, and limiting holdings of illiquid investments.
The
board of trustees of Vanguard STAR Funds approved the appointment of liquidity
risk management program administrators responsible for administering Vanguard
Total International Stock Index Fund’s Program and for carrying out the specific
responsibilities set forth in the Program, including reporting to the board on
at least an annual basis regarding the Program’s operation, its adequacy, and
the effectiveness of its implementation for the past year (the “Program
Administrator Report”). The board has reviewed the Program Administrator Report
covering the period from January 1, 2020, through December 31, 2020 (the “Review
Period”). The Program Administrator Report stated that during the Review Period
the Program operated and was implemented effectively to manage the fund’s
liquidity risk.
35
