NPORT-EX 2 vg_financialsindex.htm
Vanguard® Financials Index Fund
Schedule of Investments (unaudited)
As of May 31, 2024
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 (27.3%)
  JPMorgan Chase & Co.  4,310,821    873,502
  Bank of America Corp. 10,659,160    426,260
  Wells Fargo & Co.  5,313,701    318,397
  Citigroup Inc.  2,874,733    179,125
  US Bancorp  2,339,328     94,860
  PNC Financial Services Group Inc.    597,038     93,968
  Truist Financial Corp.  2,003,902     75,647
  Fifth Third Bancorp  1,026,316     38,405
  M&T Bank Corp.    250,128     37,919
  Huntington Bancshares Inc.  2,185,817     30,427
  Regions Financial Corp.  1,379,558     26,694
  First Citizens BancShares Inc. Class A     15,236     25,877
  Citizens Financial Group Inc.    688,094     24,283
  KeyCorp  1,392,174     20,006
  East West Bancorp Inc.    209,810     15,566
  First Horizon Corp.    831,667     13,174
  Webster Financial Corp.    258,438     11,428
  Commerce Bancshares Inc.    185,951     10,346
  Comerica Inc.    199,260     10,210
  Western Alliance Bancorp    157,466      9,925
  Popular Inc.    108,211      9,632
  Zions Bancorp NA    222,920      9,628
  Cullen/Frost Bankers Inc.     91,160      9,260
  Wintrust Financial Corp.     93,046      9,175
  Pinnacle Financial Partners Inc.    115,121      9,153
  SouthState Corp.    113,907      8,806
  Synovus Financial Corp.    219,906      8,728
  Prosperity Bancshares Inc.    139,883      8,715
  Old National Bancorp    474,224      8,104
  Cadence Bank    273,837      7,818
  FNB Corp.    542,496      7,470
  Home BancShares Inc.    286,571      6,740
  Bank OZK    160,749      6,732
  United Bankshares Inc.    202,365      6,565
  Glacier Bancorp Inc.    170,305      6,366
  Hancock Whitney Corp.    130,019      6,076
  Columbia Banking System Inc.    313,846      6,051
  UMB Financial Corp.     69,365      5,718
  First Financial Bankshares Inc.    182,357      5,467
  Ameris Bancorp     99,232      4,957
  Associated Banc-Corp.    227,104      4,865
  ServisFirst Bancshares Inc.     77,717      4,803
  International Bancshares Corp.     84,103      4,780
  Valley National Bancorp    651,366      4,644
  United Community Banks Inc.    177,101      4,544
  Fulton Financial Corp.    268,220      4,517
  First BanCorp (XNYS)    250,213      4,436
  Atlantic Union Bankshares Corp.    133,933      4,370
* Axos Financial Inc.     80,554      4,339
* Texas Capital Bancshares Inc.     71,183      4,291
  BOK Financial Corp.     44,061      3,993
  WSFS Financial Corp.     90,193      3,974
  First Hawaiian Inc.    192,369      3,911
  Cathay General Bancorp    103,413      3,810
  First Interstate BancSystem Inc. Class A    138,498      3,676
  Community Bank System Inc.     79,289      3,604
  New York Community Bancorp Inc.  1,076,728      3,542
  CVB Financial Corp.    209,597      3,467
  Bank of Hawaii Corp.     59,847      3,456
  Park National Corp.     24,200      3,327
1
Vanguard® Financials Index Fund
    Shares Market
Value
($000)
  Eastern Bankshares Inc.    238,396      3,266
  Simmons First National Corp. Class A    186,615      3,243
  BankUnited Inc.    111,986      3,213
  Pacific Premier Bancorp Inc.    144,073      3,204
  Independent Bank Corp. (XNGS)     63,028      3,201
  First Financial Bancorp    143,142      3,192
  Towne Bank    112,433      3,057
  Seacoast Banking Corp. of Florida    127,271      3,012
  Banc of California Inc.    213,367      2,957
  First Merchants Corp.     89,475      2,957
  WaFd Inc.    103,978      2,912
  BancFirst Corp.     32,174      2,772
  Heartland Financial USA Inc.     60,719      2,669
  OFG Bancorp     71,667      2,663
  Provident Financial Services Inc.    184,871      2,662
  NBT Bancorp Inc.     70,594      2,625
  Independent Bank Group Inc.     55,845      2,571
  Trustmark Corp.     87,251      2,543
  Renasant Corp.     84,279      2,538
* Bancorp Inc.     74,585      2,505
* Triumph Financial Inc.     33,283      2,473
  WesBanco Inc.     89,190      2,462
  Banner Corp.     51,412      2,408
  Lakeland Financial Corp.     38,666      2,398
  City Holding Co.     22,149      2,264
  Hilltop Holdings Inc.     73,023      2,234
  Enterprise Financial Services Corp.     56,103      2,171
  First Commonwealth Financial Corp.    155,059      2,095
  FB Financial Corp.     56,229      2,080
  National Bank Holdings Corp. Class A     56,433      2,058
* Customers Bancorp Inc.     45,204      2,048
  Pathward Financial Inc.     37,701      2,010
  Northwest Bancshares Inc.    180,375      1,975
  Westamerica BanCorp     40,426      1,974
  Stock Yards Bancorp Inc.     41,495      1,944
  First Bancorp/Southern Pines NC     61,397      1,937
  First Busey Corp.     85,165      1,926
  Hope Bancorp Inc.    180,292      1,898
  S&T Bancorp Inc.     58,786      1,876
  TriCo Bancshares     47,573      1,812
  Live Oak Bancshares Inc.     49,699      1,714
  Veritex Holdings Inc.     81,496      1,663
  Nicolet Bankshares Inc.     19,783      1,593
  Sandy Spring Bancorp Inc.     67,186      1,575
  Stellar Bancorp Inc.     67,708      1,530
  Berkshire Hills Bancorp Inc.     66,816      1,485
  Preferred Bank     19,422      1,451
  Peoples Bancorp Inc.     49,605      1,446
  QCR Holdings Inc.     25,327      1,435
  1st Source Corp.     27,853      1,432
  German American Bancorp Inc.     44,367      1,404
  Origin Bancorp Inc.     43,984      1,375
  OceanFirst Financial Corp.     89,153      1,342
  Brookline Bancorp Inc.    133,926      1,158
  First Bancshares Inc.     45,583      1,156
  Southside Bancshares Inc.     41,632      1,116
  Bank First Corp.     13,173      1,075
  Premier Financial Corp.     53,659      1,058
  ConnectOne Bancorp Inc.     55,940      1,043
  First Mid Bancshares Inc.     31,841      1,011
  Capitol Federal Financial Inc.    194,421      1,005
  Dime Community Bancshares Inc.     52,588        971
  Community Trust Bancorp Inc.     22,952        966
  Univest Financial Corp.     44,121        962
  Heritage Financial Corp.     52,922        959
  Old Second Bancorp Inc.     66,209        957
* NB Bancorp Inc.     61,060        923
  Byline Bancorp Inc.     39,915        922
  First Community Bankshares Inc.     25,246        877
  Mercantile Bank Corp.     22,844        875
2
Vanguard® Financials Index Fund
    Shares Market
Value
($000)
  Tompkins Financial Corp.     18,617        873
* CrossFirst Bankshares Inc.     65,563        858
  Central Pacific Financial Corp.     40,675        825
  Cambridge Bancorp     11,922        798
  Horizon Bancorp Inc.     65,264        798
  TrustCo Bank Corp. NY     28,658        797
  Amerant Bancorp Inc.     36,055        795
  Independent Bank Corp.     31,388        787
  Eagle Bancorp Inc.     43,230        779
  Business First Bancshares Inc.     36,217        777
  Great Southern Bancorp Inc.     14,607        767
  Heritage Commerce Corp.     91,746        748
  Hanmi Financial Corp.     45,845        723
  Midland States Bancorp Inc.     31,789        722
  Camden National Corp.     21,983        713
* Coastal Financial Corp.     16,013        710
  Equity Bancshares Inc. Class A     20,950        706
  Farmers National Banc Corp.     56,604        692
  Metrocity Bankshares Inc.     27,915        688
  HarborOne Bancorp Inc.     65,396        681
  Washington Trust Bancorp Inc.     25,638        673
* Columbia Financial Inc.     45,663        662
  Arrow Financial Corp.     25,790        648
  Amalgamated Financial Corp.     25,406        642
  First Financial Corp.     16,947        628
  Southern Missouri Bancorp Inc.     14,883        627
* Metropolitan Bank Holding Corp.     14,631        615
  CNB Financial Corp.     31,600        613
  Bar Harbor Bankshares     22,906        602
  Capital City Bank Group Inc.     21,741        590
  Northfield Bancorp Inc.     63,350        561
  Peapack-Gladstone Financial Corp.     24,145        524
  South Plains Financial Inc.     18,554        504
  SmartFinancial Inc.     21,732        503
  Kearny Financial Corp.     87,261        495
  Flushing Financial Corp.     38,331        488
  Mid Penn Bancorp Inc.     22,478        481
* Carter Bankshares Inc.     35,957        458
  First Foundation Inc.     76,188        451
  Hingham Institution for Savings      2,238        382
  Bank of Marin Bancorp     21,841        336
  HomeStreet Inc.     29,028        265
                 2,732,798
Capital Markets (23.1%)
  Goldman Sachs Group Inc.    487,054    222,350
  S&P Global Inc.    480,674    205,493
  Morgan Stanley  1,840,796    180,104
  BlackRock Inc.    223,556    172,592
  Charles Schwab Corp.  2,262,621    165,805
  Blackstone Inc.  1,072,674    129,257
  Intercontinental Exchange Inc.    859,804    115,128
  CME Group Inc.    540,388    109,688
  Moody's Corp.    246,604     97,899
  KKR & Co. Inc.    929,939     95,635
  Bank of New York Mellon Corp.  1,132,014     67,479
  Ameriprise Financial Inc.    150,354     65,646
* Coinbase Global Inc. Class A    278,844     62,996
  MSCI Inc.    118,912     58,883
  T Rowe Price Group Inc.    336,093     39,602
  Ares Management Corp. Class A    270,768     37,954
  Raymond James Financial Inc.    298,004     36,580
  Nasdaq Inc.    605,060     35,717
  State Street Corp.    453,081     34,248
  LPL Financial Holdings Inc.    111,739     31,981
  Cboe Global Markets Inc.    158,466     27,413
  Northern Trust Corp.    306,167     25,792
  FactSet Research Systems Inc.     57,250     23,144
  Interactive Brokers Group Inc. Class A    152,419     19,162
  Tradeweb Markets Inc. Class A    174,001     18,968
3
Vanguard® Financials Index Fund
    Shares Market
Value
($000)
* Robinhood Markets Inc. Class A    788,175     16,473
  Carlyle Group Inc.    352,185     15,130
  Stifel Financial Corp.    153,934     12,461
  Morningstar Inc.     41,678     12,014
  Jefferies Financial Group Inc.    255,128     11,869
  MarketAxess Holdings Inc.     56,966     11,332
  Blue Owl Capital Inc.    629,074     11,317
  SEI Investments Co.    167,027     11,309
  Evercore Inc. Class A     55,121     11,186
  Houlihan Lokey Inc.     78,556     10,633
  Franklin Resources Inc.    434,540     10,255
  Invesco Ltd.    506,760      7,961
  Affiliated Managers Group Inc.     48,652      7,911
  Hamilton Lane Inc. Class A     57,697      7,240
  Janus Henderson Group plc    194,000      6,499
  Moelis & Co. Class A     99,988      5,660
  Piper Sandler Cos.     26,640      5,642
  Lazard Inc.    131,429      5,287
  BGC Group Inc. Class A    551,794      4,784
  Artisan Partners Asset Management Inc. Class A    104,153      4,586
  TPG Inc.    103,995      4,360
  Federated Hermes Inc.    118,826      3,941
  PJT Partners Inc. Class A     34,306      3,659
  StepStone Group Inc. Class A     81,932      3,518
* StoneX Group Inc.     43,099      3,235
  Victory Capital Holdings Inc. Class A     57,946      3,015
  Cohen & Steers Inc.     40,656      2,858
  Virtu Financial Inc. Class A    129,161      2,842
  Virtus Investment Partners Inc.     10,495      2,399
* Donnelley Financial Solutions Inc.     39,254      2,393
*,1 Freedom Holding Corp.     26,810      2,044
  WisdomTree Inc.    182,291      1,817
  Perella Weinberg Partners     68,876      1,063
* Open Lending Corp. Class A    152,024        984
  Brightsphere Investment Group Inc.     44,282        982
1 B Riley Financial Inc.     26,128        626
  Diamond Hill Investment Group Inc.      3,962        594
  P10 Inc. Class A     71,034        574
  Bridge Investment Group Holdings Inc. Class A     56,467        437
  Associated Capital Group Inc. Class A      4,649        160
                 2,310,566
Consumer Finance (4.4%)
  American Express Co.    864,523    207,486
  Capital One Financial Corp.    573,352     78,910
  Discover Financial Services    376,706     46,207
  Synchrony Financial    610,265     26,730
  Ally Financial Inc.    410,518     15,998
*,1 SoFi Technologies Inc.  1,507,030     10,399
  OneMain Holdings Inc.    170,714      8,385
  FirstCash Holdings Inc.     57,839      6,820
  SLM Corp.    297,078      6,375
* Credit Acceptance Corp.     10,145      4,979
  Bread Financial Holdings Inc.     75,197      3,140
*,1 Upstart Holdings Inc.    111,775      2,763
* Enova International Inc.     41,137      2,536
  PROG Holdings Inc.     65,515      2,476
  Nelnet Inc. Class A     21,523      2,231
  Navient Corp.    124,785      1,881
* Encore Capital Group Inc.     35,055      1,551
* LendingClub Corp.    171,205      1,527
* PRA Group Inc.     54,736      1,181
* EZCorp. Inc. Class A     78,000        818
* NerdWallet Inc. Class A     58,226        812
* Moneylion Inc.      7,907        779
* LendingTree Inc.     17,251        742
* Green Dot Corp. Class A     70,317        697
* World Acceptance Corp.      5,193        667
                   436,090
4
Vanguard® Financials Index Fund
    Shares Market
Value
($000)
Financial Services (26.0%)
* Berkshire Hathaway Inc. Class B  1,967,765    815,442
  Mastercard Inc. Class A  1,250,505    559,063
  Visa Inc. Class A  1,982,890    540,258
* Fiserv Inc.    886,122    132,706
* PayPal Holdings Inc.  1,500,949     94,545
  Apollo Global Management Inc.    596,975     69,345
  Fidelity National Information Services Inc.    865,269     65,657
* Block Inc. (XNYS)    833,351     53,401
  Global Payments Inc.    387,211     39,437
* Corpay Inc.    102,446     27,422
  Equitable Holdings Inc.    491,529     20,394
  Jack Henry & Associates Inc.    109,321     18,003
* Toast Inc. Class A    524,856     12,717
* WEX Inc.     62,642     11,734
  Voya Financial Inc.    152,459     11,559
  Corebridge Financial Inc.    374,028     10,910
* Affirm Holdings Inc.    350,802     10,268
  Essent Group Ltd.    160,816      9,118
  Jackson Financial Inc. Class A    114,858      8,730
  MGIC Investment Corp.    404,336      8,491
* Mr Cooper Group Inc.     96,849      8,077
* Euronet Worldwide Inc.     65,665      7,655
  Radian Group Inc.    226,359      7,072
  Western Union Co.    513,303      6,570
  PennyMac Financial Services Inc.     64,040      5,805
* Shift4 Payments Inc. Class A     81,992      5,516
  Walker & Dunlop Inc.     50,033      4,803
* NMI Holdings Inc. Class A    116,140      3,854
  EVERTEC Inc.     97,903      3,424
* Marqeta Inc. Class A    623,937      3,319
* NCR Atleos Corp.    102,387      2,849
* Flywire Corp.    160,655      2,755
* Remitly Global Inc.    208,598      2,711
* Payoneer Global Inc.    448,105      2,684
* Rocket Cos. Inc. Class A    190,611      2,650
* AvidXchange Holdings Inc.    244,115      2,585
  Federal Agricultural Mortgage Corp. Class C     14,015      2,448
  Compass Diversified Holdings    102,077      2,323
* Cannae Holdings Inc.     84,716      1,540
* Repay Holdings Corp.    127,322      1,240
  A-Mark Precious Metals Inc.     28,326      1,075
  Merchants Bancorp     26,038      1,043
* International Money Express Inc.     48,934      1,021
  UWM Holdings Corp.    134,897        994
  Cass Information Systems Inc.     19,620        831
* I3 Verticals Inc. Class A     34,792        678
* Paymentus Holdings Inc. Class A     25,646        480
  Guild Holdings Co. Class A      5,047         73
                 2,605,275
Insurance (17.3%)
  Progressive Corp.    879,078    185,644
  Chubb Ltd.    609,352    165,025
  Marsh & McLennan Cos. Inc.    738,009    153,196
  Aon plc Class A (XNYS)    297,974     83,921
  Arthur J Gallagher & Co.    325,465     82,450
  American International Group Inc.  1,011,526     79,728
  Travelers Cos. Inc.    343,719     74,140
  Aflac Inc.    820,445     73,733
  MetLife Inc.    922,379     66,753
  Allstate Corp.    395,894     66,320
  Prudential Financial Inc.    538,806     64,845
* Arch Capital Group Ltd.    563,090     57,790
  Hartford Financial Services Group Inc.    446,256     46,165
  Willis Towers Watson plc    153,833     39,272
  Brown & Brown Inc.    364,691     32,643
* Markel Group Inc.     19,676     32,300
  Principal Financial Group Inc.    352,983     28,959
  Cincinnati Financial Corp.    235,012     27,633
5
Vanguard® Financials Index Fund
    Shares Market
Value
($000)
  Everest Group Ltd.     65,457     25,589
  W R Berkley Corp.    308,068     24,963
  Loews Corp.    283,296     21,757
  Reinsurance Group of America Inc.     98,672     20,701
  Fidelity National Financial Inc.    390,025     19,642
  RenaissanceRe Holdings Ltd.     79,096     18,023
  Unum Group    287,344     15,476
  American Financial Group Inc.    106,979     13,898
  Erie Indemnity Co. Class A     38,013     13,777
  Assurant Inc.     78,003     13,531
  Kinsale Capital Group Inc.     33,230     12,748
  Old Republic International Corp.    392,732     12,481
  Primerica Inc.     52,452     11,848
  Globe Life Inc.    141,522     11,712
  RLI Corp.     61,669      9,002
  Selective Insurance Group Inc.     91,055      8,888
  Axis Capital Holdings Ltd.    120,101      8,873
  First American Financial Corp.    153,862      8,552
  Lincoln National Corp.    255,010      8,413
  Ryan Specialty Holdings Inc.    151,082      8,390
  Hanover Insurance Group Inc.     53,762      7,093
  White Mountains Insurance Group Ltd.      3,852      6,961
  Assured Guaranty Ltd.     79,072      6,145
  Kemper Corp.     96,227      5,758
* Enstar Group Ltd.     18,212      5,703
  CNO Financial Group Inc.    162,959      4,675
* Brighthouse Financial Inc.     93,948      4,182
* Genworth Financial Inc. Class A    658,962      4,145
* Oscar Health Inc. Class A    202,373      4,039
* Baldwin Insurance Group Inc.     97,243      3,275
* Palomar Holdings Inc.     37,537      3,185
  Stewart Information Services Corp.     41,241      2,611
  Mercury General Corp.     41,736      2,330
* Goosehead Insurance Inc. Class A     36,026      2,324
  Horace Mann Educators Corp.     61,576      2,104
* SiriusPoint Ltd.    150,912      1,984
* Skyward Specialty Insurance Group Inc.     50,798      1,896
  Safety Insurance Group Inc.     22,326      1,727
  Employers Holdings Inc.     38,351      1,618
  National Western Life Group Inc. Class A      3,182      1,561
*,1 Trupanion Inc.     48,774      1,457
*,1 Lemonade Inc.     77,845      1,285
  AMERISAFE Inc.     29,060      1,274
* Ambac Financial Group Inc.     67,981      1,205
* ProAssurance Corp.     81,282      1,168
  HCI Group Inc.     11,979      1,149
  Universal Insurance Holdings Inc.     41,367        815
  United Fire Group Inc.     31,995        712
  Tiptree Inc.     36,031        630
* Root Inc. Class A     10,110        514
* Hamilton Insurance Group Ltd. Class B     29,758        513
  James River Group Holdings Ltd.     56,485        441
* Hippo Holdings Inc.     23,830        420
* Hagerty Inc. Class A     37,139        357
  Donegal Group Inc. Class A     24,661        327
                 1,734,364
Mortgage Real Estate Investment Trusts (REITs) (0.8%)
  Annaly Capital Management Inc.    752,430     14,823
  AGNC Investment Corp.  1,044,329     10,015
  Starwood Property Trust Inc.    447,355      8,697
  Rithm Capital Corp.    724,695      8,124
  Hannon Armstrong Sustainable Infrastructure Capital Inc.    170,820      5,687
1 Blackstone Mortgage Trust Inc. Class A    246,465      4,298
1 Arbor Realty Trust Inc.    280,441      3,837
  Ready Capital Corp.    248,046      2,059
  Apollo Commercial Real Estate Finance Inc.    201,689      2,037
  Two Harbors Investment Corp.    155,273      1,995
  Ladder Capital Corp.    171,204      1,914
  PennyMac Mortgage Investment Trust    128,278      1,755
6
Vanguard® Financials Index Fund
    Shares Market
Value
($000)
  MFA Financial Inc. REIT    153,384      1,641
  Franklin BSP Realty Trust Inc. REIT    124,674      1,588
  Ellington Financial Inc.    127,853      1,550
1 ARMOUR Residential REIT Inc.     74,313      1,437
  Chimera Investment Corp.    120,687      1,436
  Claros Mortgage Trust Inc.    167,812      1,324
  Redwood Trust Inc.    197,702      1,253
  Brightspire Capital Inc.    197,942      1,198
  Dynex Capital Inc.     88,194      1,080
  KKR Real Estate Finance Trust Inc.     88,510        837
  New York Mortgage Trust Inc.    137,619        819
  TPG RE Finance Trust Inc.     82,003        704
  Invesco Mortgage Capital Inc. REIT     74,101        688
1 Orchid Island Capital Inc.     80,382        683
  Ares Commercial Real Estate Corp.     73,778        514
                    81,993
Total Common Stocks (Cost $8,282,433) 9,901,086
Temporary Cash Investments (1.1%)
Money Market Fund (1.1%)
2,3 Vanguard Market Liquidity Fund, 5.397% (Cost $111,757)  1,117,848           111,773
Total Investments (100.0%) (Cost $8,394,190) 10,012,859
Other Assets and Liabilities—Net (0.0%) (4,996)
Net Assets (100.0%) 10,007,863
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 $15,155,000.
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 $16,000,000 was received for securities on loan.
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)
Visa Inc. Class A 8/30/24 BANA 81,738 (5.229) — (125)
Visa Inc. Class A 8/29/25 BANA 24,794 (5.329) — (39)
          — (164)
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 May 31, 2024, the counterparties had deposited in segregated accounts securities with a value of $858,000 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
7
Vanguard® Financials Index Fund
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 May 31, 2024, based on the inputs used to value them:
  Level 1
($000) 		Level 2
($000) 		Level 3
($000) 		Total
($000)
Investments         
Assets        
Common Stocks 9,901,086 — — 9,901,086
Temporary Cash Investments 111,773 — — 111,773
Total 10,012,859 — — 10,012,859
Derivative Financial Instruments         
Liabilities        
Swap Contracts — 164 — 164
8