0001752724-24-017666.txt : 20240129 0001752724-24-017666.hdr.sgml : 20240129 20240129110333 ACCESSION NUMBER: 0001752724-24-017666 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20231130 FILED AS OF DATE: 20240129 DATE AS OF CHANGE: 20240129 PERIOD START: 20240831 FILER: COMPANY DATA: COMPANY CONFORMED NAME: VANGUARD WORLD FUND CENTRAL INDEX KEY: 0000052848 ORGANIZATION NAME: IRS NUMBER: 046035483 STATE OF INCORPORATION: DE FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-01027 FILM NUMBER: 24571559 BUSINESS ADDRESS: STREET 1: PO BOX 2600 STREET 2: V26 CITY: VALLEY FORGE STATE: PA ZIP: 19482 BUSINESS PHONE: 6106691000 MAIL ADDRESS: STREET 1: PO BOX 2600 STREET 2: V26 CITY: VALLEY FORGE STATE: PA ZIP: 19482 FORMER COMPANY: FORMER CONFORMED NAME: VANGUARD WORLD FUNDS DATE OF NAME CHANGE: 20020402 FORMER COMPANY: FORMER CONFORMED NAME: VANGUARD WORLD FUND INC DATE OF NAME CHANGE: 19920703 FORMER 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vg_financialsindex.htm
Vanguard® Financials Index Fund
Schedule of Investments (unaudited)
As of November 30, 2023
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 (98.9%)
Banks (25.6%)
  JPMorgan Chase & Co. 4,665,303 728,161
  Bank of America Corp. 11,484,936 350,176
  Wells Fargo & Co. 5,874,766 261,956
  Citigroup Inc. 3,093,052 142,590
  US Bancorp 2,459,798 93,768
  PNC Financial Services Group Inc. 640,021 85,737
  Truist Financial Corp. 2,137,436 68,697
  M&T Bank Corp. 266,234 34,123
  Fifth Third Bancorp 1,098,559 31,803
  Huntington Bancshares Inc. 2,323,450 26,162
  First Citizens BancShares Inc. Class A 17,366 25,491
  Regions Financial Corp. 1,503,743 25,082
  Citizens Financial Group Inc. 758,186 20,676
  KeyCorp 1,502,431 18,615
  East West Bancorp Inc. 227,188 14,295
  Webster Financial Corp. 278,353 12,484
  First Horizon Corp. 896,346 11,464
  New York Community Bancorp Inc. 1,161,040 10,925
  Cullen/Frost Bankers Inc. 97,531 9,586
  Commerce Bancshares Inc. 189,496 9,583
  Comerica Inc. 211,152 9,548
  Prosperity Bancshares Inc. 151,067 9,111
  SouthState Corp. 121,940 9,030
  Pinnacle Financial Partners Inc. 123,154 8,937
  Western Alliance Bancorp 167,408 8,575
  Popular Inc. 115,690 8,537
  Zions Bancorp NA 238,049 8,482
  Wintrust Financial Corp. 98,317 8,423
  Columbia Banking System Inc. 335,152 7,517
  Cadence Bank 292,950 7,338
  Bank OZK 174,590 7,308
  Synovus Financial Corp. 234,860 7,231
  United Bankshares Inc. 216,492 7,168
  Old National Bancorp 470,570 7,007
  FNB Corp. 572,623 6,866
  Home BancShares Inc. 306,568 6,800
  Valley National Bancorp 694,046 6,316
  Glacier Bancorp Inc. 178,382 5,999
  First Financial Bankshares Inc. 217,967 5,722
  Hancock Whitney Corp. 138,693 5,721
  UMB Financial Corp. 74,062 5,307
  United Community Banks Inc. 189,566 4,673
    Shares Market
Value
($000)
  Ameris Bancorp 106,042 4,515
  Associated Banc-Corp. 242,893 4,309
* Texas Capital Bancshares Inc. 77,710 4,265
  ServisFirst Bancshares Inc. 83,122 4,253
  First BanCorp (XNYS) 283,108 4,247
  Independent Bank Corp. (XNGS) 71,217 4,061
  Cathay General Bancorp 110,615 4,057
  First Hawaiian Inc. 205,666 4,041
  International Bancshares Corp. 89,920 4,035
  CVB Financial Corp. 224,041 4,006
  Community Bank System Inc. 86,714 3,847
  WSFS Financial Corp. 98,712 3,807
  Bank of Hawaii Corp. 64,002 3,717
  Fulton Financial Corp. 260,638 3,709
  First Interstate BancSystem Inc. Class A 142,686 3,694
  Atlantic Union Bankshares Corp. 120,590 3,686
  Pacific Premier Bancorp Inc. 154,045 3,469
  BOK Financial Corp. 48,276 3,465
* Axos Financial Inc. 90,113 3,449
* Bancorp Inc. 86,474 3,373
  BankUnited Inc. 119,742 3,304
  Simmons First National Corp. Class A 204,753 3,274
  Seacoast Banking Corp. of Florida 136,135 3,164
  First Financial Bancorp 153,114 3,094
  Eastern Bankshares Inc. 255,016 3,050
  BancFirst Corp. 34,390 2,979
  Towne Bank 112,752 2,961
  First Merchants Corp. 95,813 2,939
  Park National Corp. 26,136 2,901
  Banc of California Inc. 239,802 2,772
  WaFd Inc. 102,435 2,738
  NBT Bancorp Inc. 75,580 2,685
  OFG Bancorp 76,708 2,574
  WesBanco Inc. 95,293 2,537
  Banner Corp. 55,013 2,483
  Renasant Corp. 90,096 2,454
  Triumph Financial Inc. 35,448 2,406
  Enterprise Financial Services Corp. 59,981 2,352
  Independent Bank Group Inc. 59,807 2,313
  Lakeland Financial Corp. 41,462 2,303
  Hilltop Holdings Inc. 77,994 2,297
  City Holding Co. 23,811 2,292
  First Commonwealth Financial Corp. 165,890 2,218
  Westamerica BanCorp 43,172 2,189
* Customers Bancorp Inc. 48,251 2,175
  Northwest Bancshares Inc. 192,880 2,149
  Trustmark Corp. 93,345 2,139
  Pathward Financial Inc. 42,355 2,100
  First Bancorp (XNGS) 65,663 2,058
  FB Financial Corp. 60,107 2,017
  Heartland Financial USA Inc. 64,874 2,007
  National Bank Holdings Corp. Class A 60,311 1,991
  Stock Yards Bancorp Inc. 44,420 1,960
  Hope Bancorp Inc. 192,770 1,889
  First Busey Corp. 84,506 1,834
  Live Oak Bancshares Inc. 53,327 1,792
  Provident Financial Services Inc. 115,154 1,753
  TriCo Bancshares 50,897 1,752
    Shares Market
Value
($000)
  Stellar Bancorp Inc. 72,417 1,728
  Veritex Holdings Inc. 87,098 1,667
  S&T Bancorp Inc. 59,531 1,666
  Sandy Spring Bancorp Inc. 71,895 1,583
  Peoples Bancorp Inc. 53,206 1,566
  Nicolet Bankshares Inc. 21,168 1,559
  Berkshire Hills Bancorp Inc. 71,518 1,497
  Origin Bancorp Inc. 47,031 1,494
  1st Source Corp. 29,792 1,440
  Preferred Bank 22,328 1,376
  German American Bancorp Inc. 47,414 1,366
  Brookline Bancorp Inc. 143,126 1,364
  QCR Holdings Inc. 27,001 1,341
  OceanFirst Financial Corp. 95,273 1,321
  Southside Bancshares Inc. 47,748 1,310
  Lakeland Bancorp Inc. 99,158 1,229
  ConnectOne Bancorp Inc. 59,818 1,176
  Premier Financial Corp. 57,312 1,145
  First Bancshares Inc. 44,604 1,144
  Bank First Corp. 13,990 1,130
  Dime Community Bancshares Inc. 56,189 1,129
  Capitol Federal Financial Inc. 207,965 1,121
  Eagle Bancorp Inc. 46,277 1,099
  Tompkins Financial Corp. 20,002 1,060
  First Mid Bancshares Inc. 34,057 1,055
  Heritage Financial Corp. 56,523 1,007
  Old Second Bancorp Inc. 70,918 999
  Community Trust Bancorp Inc. 24,614 979
  Amerant Bancorp Inc. 47,232 978
  Byline Bancorp Inc. 48,429 968
  Univest Financial Corp. 47,168 891
  First Community Bankshares Inc. 26,874 878
* Columbia Financial Inc. 52,052 856
  Mercantile Bank Corp. 24,506 843
  Heritage Commerce Corp. 98,117 833
  TrustCo Bank Corp. NY 30,597 821
  Hanmi Financial Corp. 49,129 818
  Great Southern Bancorp Inc. 15,715 798
  Camden National Corp. 23,481 792
* CrossFirst Bankshares Inc. 70,272 788
  Kearny Financial Corp. 97,976 774
  HarborOne Bancorp Inc. 69,828 770
  Midland States Bancorp Inc. 34,005 768
  Central Pacific Financial Corp. 43,445 763
  Horizon Bancorp Inc. 69,973 762
  Washington Trust Bancorp Inc. 27,334 731
  First Financial Corp. 18,300 700
  Southern Missouri Bancorp Inc. 15,991 689
  Arrow Financial Corp. 27,452 677
* Coastal Financial Corp. 17,121 669
  Cambridge Bancorp 11,179 653
  Northfield Bancorp Inc. 67,505 644
  Peapack-Gladstone Financial Corp. 25,807 641
* Metropolitan Bank Holding Corp. 15,739 613
  Metrocity Bankshares Inc. 29,854 596
  Flushing Financial Corp. 41,101 581
  Amalgamated Financial Corp. 27,068 568
  SmartFinancial Inc. 23,072 493
    Shares Market
Value
($000)
  Capstar Financial Holdings Inc. 29,519 485
* Carter Bankshares Inc. 38,450 482
  First Foundation Inc. 81,728 481
  Bank of Marin Bancorp 23,252 447
  Hingham Institution for Savings 2,238 365
  HomeStreet Inc. 24,273 164
      2,374,221
Capital Markets (23.0%)
  S&P Global Inc. 522,471 217,259
  Goldman Sachs Group Inc. 529,518 180,852
  BlackRock Inc. 239,775 180,126
  Morgan Stanley 1,995,995 158,362
  Charles Schwab Corp. 2,416,207 148,162
  Blackstone Inc. 1,140,380 128,145
  CME Group Inc. 577,553 126,115
  Intercontinental Exchange Inc. 918,849 104,602
  Moody's Corp. 265,249 96,805
  KKR & Co. Inc. 922,575 69,968
  MSCI Inc. 126,912 66,102
  Bank of New York Mellon Corp. 1,249,653 60,383
  Ameriprise Financial Inc. 164,938 58,307
  State Street Corp. 511,270 37,231
  T Rowe Price Group Inc. 360,002 36,047
* Coinbase Global Inc. Class A 274,359 34,218
  Raymond James Financial Inc. 318,242 33,463
  Cboe Global Markets Inc. 169,347 30,853
  Nasdaq Inc. 551,605 30,802
  Ares Management Corp. Class A 261,932 29,402
  FactSet Research Systems Inc. 61,276 27,786
  LPL Financial Holdings Inc. 121,414 26,990
  Northern Trust Corp. 331,856 26,300
  Tradeweb Markets Inc. Class A 175,009 16,958
  MarketAxess Holdings Inc. 60,516 14,531
  Interactive Brokers Group Inc. Class A 162,993 12,687
  Franklin Resources Inc. 479,260 11,886
  Carlyle Group Inc. 346,407 11,875
  Morningstar Inc. 41,039 11,629
  SEI Investments Co. 180,098 10,566
  Stifel Financial Corp. 168,311 10,270
  Jefferies Financial Group Inc. 270,579 9,589
  Houlihan Lokey Inc. 82,368 8,873
  Evercore Inc. Class A 57,712 8,515
  Blue Owl Capital Inc. 583,985 7,872
  Invesco Ltd. 540,972 7,720
  Affiliated Managers Group Inc. 56,208 7,619
* Robinhood Markets Inc. Class A 695,993 6,125
  Janus Henderson Group plc 213,150 5,582
  Hamilton Lane Inc. Class A 55,724 5,453
  Moelis & Co. Class A 106,913 5,073
  Piper Sandler Cos. 28,579 4,422
  Federated Hermes Inc. 133,497 4,248
  Artisan Partners Asset Management Inc. Class A 109,069 4,107
  BGC Group Inc. Class A 590,102 3,836
  PJT Partners Inc. Class A 36,799 3,314
  TPG Inc. 85,958 3,009
* StoneX Group Inc. 44,844 2,741
  Virtu Financial Inc. Class A 144,959 2,606
  Cohen & Steers Inc. 43,426 2,540
    Shares Market
Value
($000)
* Donnelley Financial Solutions Inc. 39,906 2,355
*,1 Freedom Holding Corp. 28,749 2,341
  Virtus Investment Partners Inc. 11,762 2,301
  StepStone Group Inc. Class A 85,652 2,194
  Victory Capital Holdings Inc. Class A 52,768 1,697
  WisdomTree Inc. 180,124 1,173
  Brightsphere Investment Group Inc. 52,111 909
* Open Lending Corp. Class A 125,971 805
  Diamond Hill Investment Group Inc. 4,900 787
  Perella Weinberg Partners 64,840 760
  P10 Inc. Class A 74,209 757
1 B Riley Financial Inc. 27,790 511
  Bridge Investment Group Holdings Inc. Class A 47,017 352
  Associated Capital Group Inc. Class A 4,649 156
      2,129,024
Consumer Finance (4.0%)
  American Express Co. 1,005,599 171,726
  Capital One Financial Corp. 612,445 68,386
  Discover Financial Services 401,076 37,300
  Synchrony Financial 671,162 21,719
  Ally Financial Inc. 436,157 12,744
* SoFi Technologies Inc. 1,451,722 10,583
  OneMain Holdings Inc. 182,625 7,725
  FirstCash Holdings Inc. 61,823 6,924
* Credit Acceptance Corp. 11,332 5,179
  SLM Corp. 326,411 4,906
*,1 Upstart Holdings Inc. 112,775 3,018
  Navient Corp. 147,045 2,519
  Bread Financial Holdings Inc. 80,711 2,268
  Nelnet Inc. Class A 25,535 2,142
* PROG Holdings Inc. 73,235 1,996
* Enova International Inc. 48,357 1,992
* Encore Capital Group Inc. 37,548 1,682
* PRA Group Inc. 62,754 1,163
* LendingClub Corp. 171,338 1,079
* NerdWallet Inc. Class A 62,104 730
* World Acceptance Corp. 5,470 610
* Green Dot Corp. Class A 75,303 604
* LendingTree Inc. 18,359 325
* Curo Group Holdings Corp. 35,837 27
      367,347
Financial Services (27.7%)
* Berkshire Hathaway Inc. Class B 2,099,820 755,935
  Visa Inc. Class A 2,279,539 585,112
  Mastercard Inc. Class A 1,350,787 558,996
* Fiserv Inc. 979,079 127,878
* PayPal Holdings Inc. 1,676,353 96,575
  Apollo Global Management Inc. 636,997 58,604
* Block Inc. (XNYS) 881,765 55,930
  Fidelity National Information Services Inc. 950,812 55,756
  Global Payments Inc. 417,239 48,583
* FleetCor Technologies Inc. 112,757 27,118
  Jack Henry & Associates Inc. 117,059 18,576
  Equitable Holdings Inc. 557,413 17,107
* WEX Inc. 68,946 12,174
  Voya Financial Inc. 169,764 12,140
* Affirm Holdings Inc. 346,455 11,922
    Shares Market
Value
($000)
  Essent Group Ltd. 172,175 8,323
  MGIC Investment Corp. 451,358 7,939
* Toast Inc. Class A 527,701 7,847
  Corebridge Financial Inc. 358,261 7,534
  Western Union Co. 603,871 7,023
* Euronet Worldwide Inc. 75,619 6,596
* Mr Cooper Group Inc. 107,378 6,499
  Radian Group Inc. 252,775 6,499
  Jackson Financial Inc. Class A 117,567 5,611
* Shift4 Payments Inc. Class A 81,453 5,361
  PennyMac Financial Services Inc. 68,402 5,321
* Remitly Global Inc. 218,182 4,700
  Walker & Dunlop Inc. 53,634 4,506
* Flywire Corp. 171,794 4,003
  EVERTEC Inc. 104,569 3,866
* Marqeta Inc. Class A 608,727 3,865
* NMI Holdings Inc. Class A 124,235 3,416
* AvidXchange Holdings Inc. 242,239 2,585
  Federal Agricultural Mortgage Corp. Class C 15,084 2,502
* NCR Atleos Corp. 106,628 2,368
* Payoneer Global Inc. 434,121 2,249
  Compass Diversified Holdings 104,468 2,107
* Cannae Holdings Inc. 111,525 2,003
* Rocket Cos. Inc. Class A 180,560 1,686
* International Money Express Inc. 52,535 1,095
  Merchants Bancorp 28,004 942
* Repay Holdings Corp. 123,578 927
  Cass Information Systems Inc. 21,005 869
  A-Mark Precious Metals Inc. 30,265 867
* I3 Verticals Inc. Class A 37,285 751
* Paymentus Holdings Inc. Class A 27,367 473
  Guild Holdings Co. Class A 16,832 201
      2,562,940
Insurance (17.7%)
  Marsh & McLennan Cos. Inc. 793,240 158,188
  Progressive Corp. 939,735 154,145
  Chubb Ltd. 659,382 151,282
  Aon plc Class A (XNYS) 325,762 107,010
  Arthur J Gallagher & Co. 346,092 86,177
  American International Group Inc. 1,142,386 75,180
  Aflac Inc. 906,599 74,985
  Travelers Cos. Inc. 367,784 66,429
  MetLife Inc. 1,025,743 65,268
  Allstate Corp. 419,715 57,866
  Prudential Financial Inc. 582,715 56,978
  Willis Towers Watson plc 168,172 41,421
  Hartford Financial Services Group Inc. 490,548 38,341
* Markel Group Inc. 20,210 29,084
  Brown & Brown Inc. 386,440 28,883
  Principal Financial Group Inc. 387,661 28,621
  Everest Group Ltd. 69,643 28,592
* Arch Capital Group Ltd. 323,415 27,067
  Cincinnati Financial Corp. 252,567 25,961
  W R Berkley Corp. 330,352 23,967
  Loews Corp. 307,533 21,616
  Globe Life Inc. 152,016 18,718
  Fidelity National Financial Inc. 415,365 18,625
  RenaissanceRe Holdings Ltd. 82,217 17,624
    Shares Market
Value
($000)
  Reinsurance Group of America Inc. 106,323 17,337
  Assurant Inc. 85,330 14,337
  Unum Group 315,017 13,546
  American Financial Group Inc. 115,684 13,233
  Old Republic International Corp. 433,766 12,714
  Kinsale Capital Group Inc. 35,205 12,325
  Erie Indemnity Co. Class A 40,810 12,065
  Primerica Inc. 57,385 12,023
  Selective Insurance Group Inc. 97,442 9,909
  First American Financial Corp. 164,667 9,814
  RLI Corp. 65,872 8,932
  Axis Capital Holdings Ltd. 129,933 7,320
* Ryan Specialty Holdings Inc. 158,709 7,280
  Hanover Insurance Group Inc. 57,404 7,135
  Lincoln National Corp. 272,738 6,486
  White Mountains Insurance Group Ltd. 4,119 6,310
  Assured Guaranty Ltd. 89,299 6,064
  American Equity Investment Life Holding Co. 101,608 5,605
* Brighthouse Financial Inc. 105,244 5,476
* Enstar Group Ltd. 18,041 4,955
  CNO Financial Group Inc. 181,221 4,802
  Kemper Corp. 102,875 4,550
* Genworth Financial Inc. Class A 744,766 4,387
* Goosehead Insurance Inc. Class A 34,018 2,493
* Palomar Holdings Inc. 40,041 2,343
  Horace Mann Educators Corp. 65,666 2,197
  Stewart Information Services Corp. 44,031 2,080
  Safety Insurance Group Inc. 23,988 1,845
* Oscar Health Inc. Class A 206,017 1,751
* BRP Group Inc. Class A 97,354 1,703
  Mercury General Corp. 44,474 1,657
  Employers Holdings Inc. 41,121 1,575
  National Western Life Group Inc. Class A 3,222 1,545
* SiriusPoint Ltd. 143,394 1,531
  AMERISAFE Inc. 30,999 1,493
*,1 Lemonade Inc. 83,385 1,473
*,1 Trupanion Inc. 56,015 1,441
  ProAssurance Corp. 86,829 1,074
  HCI Group Inc. 9,652 818
  United Fire Group Inc. 34,211 715
* Skyward Specialty Insurance Group Inc. 21,218 694
* MBIA Inc. 79,645 577
  James River Group Holdings Ltd. 60,363 542
  Donegal Group Inc. Class A 26,323 375
* Hagerty Inc. Class A 39,909 337
* Hippo Holdings Inc. 19,665 168
      1,639,060
Mortgage Real Estate Investment Trusts (REITs) (0.9%)
  Annaly Capital Management Inc. 789,888 14,273
  Starwood Property Trust Inc. 502,438 9,983
  AGNC Investment Corp. 974,158 8,592
  Rithm Capital Corp. 777,943 8,075
  Blackstone Mortgage Trust Inc. Class A 263,666 5,848
  Hannon Armstrong Sustainable Infrastructure Capital Inc. 172,321 4,172
  Arbor Realty Trust Inc. 299,890 3,743
  Ready Capital Corp. 265,043 2,709
  Apollo Commercial Real Estate Finance Inc. 215,865 2,327
  Claros Mortgage Trust Inc. 179,446 2,191
    Shares Market
Value
($000)
  Two Harbors Investment Corp. 155,485 2,155
  Ladder Capital Corp. 183,115 2,053
  PennyMac Mortgage Investment Trust 137,419 1,929
  Chimera Investment Corp. 355,225 1,851
  MFA Financial Inc. REIT 163,964 1,771
  Franklin BSP Realty Trust Inc. REIT 133,261 1,743
  Brightspire Capital Inc. 211,515 1,436
1 ARMOUR Residential REIT Inc. 79,358 1,397
  Ellington Financial Inc. 103,744 1,349
  Redwood Trust Inc. 183,174 1,302
  New York Mortgage Trust Inc. 147,037 1,293
  KKR Real Estate Finance Trust Inc. 94,604 1,188
  Dynex Capital Inc. 85,649 980
  Ares Commercial Real Estate Corp. 79,044 794
1 Orchid Island Capital Inc. 85,922 633
  Invesco Mortgage Capital Inc. REIT 66,847 535
  TPG RE Finance Trust Inc. 88,097 521
  Granite Point Mortgage Trust Inc. 85,114 468
      85,311
Total Common Stocks (Cost $8,679,462) 9,157,903
Temporary Cash Investments (1.0%)
Money Market Fund (1.0%)
2,3 Vanguard Market Liquidity Fund, 5.438% (Cost $94,945) 949,688 94,959
Total Investments (99.9%) (Cost $8,774,407) 9,252,862
Other Assets and Liabilities—Net (0.1%) 5,683
Net Assets (100.0%) 9,258,545
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 $7,622,000.
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 $8,060,000 was received for securities on loan, of which $7,976,000 is held in Vanguard Market Liquidity Fund and $84,000 is held in cash.
REIT—Real Estate Investment Trust.
Derivative Financial Instruments Outstanding as of Period End
Over-the-Counter Total Return Swaps
Reference Entity Termination
Date 		Counterparty Notional
Amount
($000) 		Floating
Interest Rate
Received
(Paid)1
(%) 		Value and
Unrealized
Appreciation
($000) 		Value and
Unrealized
(Depreciation)
($000)
Arch Capital Group Ltd. 8/30/24 BANA 23,015 (5.331) — (106)
Visa Inc. Class A 8/30/24 BANA 77,004 (5.231) — (151)
          — (257)
1 Based on Overnight Bank Funding Rate as of the most recent reset date. Floating interest payment received/paid monthly.
  BANA—Bank of America, N.A.
At November 30, 2023, the counterparties had deposited in segregated accounts securities with a value of $4,715,000 in connection with open over-the-counter swap contracts.
A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been 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 valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. 
B.  Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks or indexes in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.
A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as an asset (liability) and as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap, at which time realized gain (loss) is recorded.
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.
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 November 30, 2023, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments        
Assets        
Common Stocks 9,157,903 — — 9,157,903
Temporary Cash Investments 94,959 — — 94,959
Total 9,252,862 — — 9,252,862
Derivative Financial Instruments
Liabilities        
Swap Contracts — 257 — 257