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 |