Vanguard® S&P Mid-Cap 400 Value Index Fund
Schedule of Investments (unaudited)
As of November 30, 2020
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
Shares | Market Value ($000) | |||||
Common Stocks (99.4%) | ||||||
Communication Services (1.7%) | ||||||
TEGNA Inc. | 165,554 | 2,386 | ||||
* | TripAdvisor Inc. | 72,660 | 1,896 | |||
New York Times Co. Class A | 37,116 | 1,593 | ||||
Telephone & Data Systems Inc. | 75,264 | 1,428 | ||||
Cinemark Holdings Inc. | 80,967 | 1,251 | ||||
John Wiley & Sons Inc. Class A | 32,994 | 1,140 | ||||
* | AMC Networks Inc. Class A | 22,416 | 739 | |||
World Wrestling Entertainment Inc. Class A | 15,180 | 653 | ||||
11,086 | ||||||
Consumer Discretionary (13.8%) | ||||||
* | Penn National Gaming Inc. Class B | 108,914 | 7,624 | |||
Lear Corp. | 41,245 | 5,896 | ||||
* | Mattel Inc. | 262,288 | 4,063 | |||
Thor Industries Inc. | 41,736 | 4,028 | ||||
Kohl's Corp. | 119,295 | 3,841 | ||||
Service Corp. International | 65,291 | 3,176 | ||||
* | Grand Canyon Education Inc. | 35,752 | 2,984 | |||
Foot Locker Inc. | 78,812 | 2,948 | ||||
Dick's Sporting Goods Inc. | 49,258 | 2,798 | ||||
H&R Block Inc. | 145,856 | 2,742 | ||||
* | AutoNation Inc. | 44,182 | 2,708 | |||
Cracker Barrel Old Country Store Inc. | 17,915 | 2,501 | ||||
* | Taylor Morrison Home Corp. | 98,062 | 2,479 | |||
Brunswick Corp. | 30,526 | 2,279 | ||||
* | Adient plc | 70,987 | 2,221 | |||
* | Grubhub Inc. | 30,699 | 2,159 | |||
1 | Nordstrom Inc. | 81,989 | 2,125 | |||
Toll Brothers Inc. | 43,410 | 2,056 | ||||
American Eagle Outfitters Inc. | 112,623 | 2,026 | ||||
Williams-Sonoma Inc. | 18,235 | 1,996 | ||||
Harley-Davidson Inc. | 45,866 | 1,848 | ||||
Dana Inc. | 109,247 | 1,840 | ||||
Goodyear Tire & Rubber Co. | 176,184 | 1,836 | ||||
Texas Roadhouse Inc. | 24,171 | 1,832 | ||||
* | TRI Pointe Group Inc. | 98,539 | 1,723 | |||
* | Ollie's Bargain Outlet Holdings Inc. | 18,922 | 1,666 | |||
* | Helen of Troy Ltd. | 7,850 | 1,586 | |||
Wyndham Destinations Inc. | 36,743 | 1,545 | ||||
* | Urban Outfitters Inc. | 51,753 | 1,417 | |||
Graham Holdings Co. Class B | 3,137 | 1,402 | ||||
Aaron's Holdings Co. Inc. | 21,829 | 1,374 |
Shares | Market Value ($000) | |||||
KB Home | 35,954 | 1,266 | ||||
Wendy's Co. | 56,862 | 1,250 | ||||
* | Adtalem Global Education Inc. | 39,229 | 1,123 | |||
Carter's Inc. | 12,207 | 1,086 | ||||
Six Flags Entertainment Corp. | 28,521 | 876 | ||||
Strategic Education Inc. | 8,675 | 815 | ||||
Jack in the Box Inc. | 8,745 | 804 | ||||
* | Visteon Corp. | 6,102 | 737 | |||
Papa John's International Inc. | 8,932 | 718 | ||||
Columbia Sportswear Co. | 8,742 | 716 | ||||
* | WW International Inc. | 16,936 | 500 | |||
90,610 | ||||||
Consumer Staples (5.0%) | ||||||
* | Darling Ingredients Inc. | 122,460 | 5,912 | |||
* | BJ's Wholesale Club Holdings Inc. | 104,299 | 4,275 | |||
Ingredion Inc. | 50,651 | 3,908 | ||||
Flowers Foods Inc. | 148,802 | 3,302 | ||||
* | Hain Celestial Group Inc. | 63,173 | 2,432 | |||
* | Post Holdings Inc. | 25,711 | 2,429 | |||
Nu Skin Enterprises Inc. Class A | 38,854 | 2,001 | ||||
* | Sprouts Farmers Market Inc. | 89,181 | 1,888 | |||
* | TreeHouse Foods Inc. | 42,725 | 1,757 | |||
* | Edgewell Personal Care Co. | 41,099 | 1,428 | |||
Lancaster Colony Corp. | 7,537 | 1,276 | ||||
* | Grocery Outlet Holding Corp. | 23,951 | 925 | |||
Coty Inc. Class A | 113,443 | 816 | ||||
* | Pilgrim's Pride Corp. | 13,123 | 248 | |||
Tootsie Roll Industries Inc. | 7,125 | 221 | ||||
32,818 | ||||||
Energy (2.1%) | ||||||
EQT Corp. | 208,383 | 3,101 | ||||
Equitrans Midstream Corp. | 307,372 | 2,508 | ||||
* | ChampionX Corp. | 140,503 | 1,669 | |||
* | CNX Resources Corp. | 169,800 | 1,598 | |||
Antero Midstream Corp. | 216,212 | 1,457 | ||||
World Fuel Services Corp. | 48,006 | 1,365 | ||||
Cimarex Energy Co. | 35,495 | 1,276 | ||||
Murphy Oil Corp. | 60,046 | 604 | ||||
13,578 | ||||||
Financials (22.1%) | ||||||
Reinsurance Group of America Inc. | 51,367 | 5,922 | ||||
First Horizon Corp. | 418,331 | 5,112 | ||||
American Financial Group Inc. | 54,226 | 4,848 | ||||
East West Bancorp Inc. | 106,978 | 4,570 | ||||
Signature Bank | 40,499 | 4,544 | ||||
Prosperity Bancshares Inc. | 70,060 | 4,402 | ||||
First American Financial Corp. | 84,319 | 4,084 | ||||
TCF Financial Corp. | 115,104 | 3,867 | ||||
Old Republic International Corp. | 213,788 | 3,831 | ||||
Jefferies Financial Group Inc. | 163,288 | 3,712 | ||||
Cullen/Frost Bankers Inc. | 42,193 | 3,540 | ||||
Synovus Financial Corp. | 111,384 | 3,516 | ||||
Kemper Corp. | 46,433 | 3,480 | ||||
Janus Henderson Group plc | 113,988 | 3,252 | ||||
Hanover Insurance Group Inc. | 28,520 | 3,204 | ||||
Interactive Brokers Group Inc. Class A | 59,771 | 3,154 | ||||
Alleghany Corp. | 5,411 | 3,112 |
Shares | Market Value ($000) | |||||
Pinnacle Financial Partners Inc. | 57,346 | 3,106 | ||||
Affiliated Managers Group Inc. | 35,199 | 3,067 | ||||
United Bankshares Inc. | 98,107 | 2,873 | ||||
Selective Insurance Group Inc. | 45,224 | 2,796 | ||||
Valley National Bancorp | 305,310 | 2,791 | ||||
Webster Financial Corp. | 68,195 | 2,581 | ||||
Bank OZK | 91,401 | 2,556 | ||||
* | Brighthouse Financial Inc. | 70,335 | 2,469 | |||
Wintrust Financial Corp. | 43,552 | 2,373 | ||||
Sterling Bancorp | 147,046 | 2,350 | ||||
Umpqua Holdings Corp. | 166,510 | 2,313 | ||||
CNO Financial Group Inc. | 107,154 | 2,280 | ||||
Commerce Bancshares Inc. | 34,153 | 2,253 | ||||
UMB Financial Corp. | 32,680 | 2,223 | ||||
FNB Corp. | 244,369 | 2,158 | ||||
* | Texas Capital Bancshares Inc. | 38,144 | 2,132 | |||
Home BancShares Inc. | 114,920 | 2,127 | ||||
PacWest Bancorp | 88,275 | 2,053 | ||||
BancorpSouth Bank | 72,901 | 1,848 | ||||
MGIC Investment Corp. | 153,598 | 1,837 | ||||
Hancock Whitney Corp. | 65,292 | 1,834 | ||||
Stifel Financial Corp. | 26,437 | 1,832 | ||||
Associated Banc-Corp | 116,199 | 1,780 | ||||
* | Genworth Financial Inc. Class A | 382,595 | 1,737 | |||
New York Community Bancorp Inc. | 175,374 | 1,699 | ||||
Eaton Vance Corp. | 25,034 | 1,677 | ||||
Cathay General Bancorp | 56,589 | 1,599 | ||||
Fulton Financial Corp. | 122,544 | 1,510 | ||||
SLM Corp. | 141,858 | 1,505 | ||||
Navient Corp. | 146,631 | 1,374 | ||||
International Bancshares Corp. | 42,097 | 1,364 | ||||
CIT Group Inc. | 39,451 | 1,321 | ||||
First Financial Bankshares Inc. | 38,662 | 1,292 | ||||
Glacier Bancorp Inc. | 29,577 | 1,206 | ||||
Trustmark Corp. | 47,954 | 1,190 | ||||
RLI Corp. | 11,067 | 1,059 | ||||
Bank of Hawaii Corp. | 12,718 | 952 | ||||
Mercury General Corp. | 20,090 | 893 | ||||
Evercore Inc. Class A | 9,207 | 837 | ||||
FirstCash Inc. | 10,967 | 705 | ||||
Federated Hermes Inc. | 20,871 | 560 | ||||
Washington Federal Inc. | 21,180 | 495 | ||||
144,757 | ||||||
Health Care (6.0%) | ||||||
* | Molina Healthcare Inc. | 44,837 | 9,153 | |||
* | United Therapeutics Corp. | 33,580 | 4,454 | |||
Encompass Health Corp. | 39,852 | 3,211 | ||||
* | Acadia Healthcare Co. Inc. | 67,266 | 2,856 | |||
* | Tenet Healthcare Corp. | 79,686 | 2,505 | |||
Hill-Rom Holdings Inc. | 22,663 | 2,150 | ||||
Patterson Cos. Inc. | 65,569 | 1,820 | ||||
* | Haemonetics Corp. | 13,800 | 1,557 | |||
* | Avanos Medical Inc. | 36,167 | 1,533 | |||
* | Nektar Therapeutics | 91,985 | 1,508 | |||
* | Jazz Pharmaceuticals plc | 10,064 | 1,416 | |||
* | Prestige Consumer Healthcare Inc. | 37,950 | 1,350 | |||
* | Halozyme Therapeutics Inc. | 29,217 | 1,142 | |||
* | Emergent BioSolutions Inc. | 13,266 | 1,087 |
Shares | Market Value ($000) | |||||
* | Neogen Corp. | 14,436 | 1,071 | |||
* | LivaNova plc | 18,032 | 953 | |||
Cantel Medical Corp. | 12,464 | 741 | ||||
* | NuVasive Inc. | 13,565 | 628 | |||
39,135 | ||||||
Industrials (15.5%) | ||||||
* | XPO Logistics Inc. | 69,052 | 7,366 | |||
* | AECOM | 121,270 | 6,293 | |||
ManpowerGroup Inc. | 43,908 | 3,805 | ||||
Regal Beloit Corp. | 30,682 | 3,652 | ||||
Acuity Brands Inc. | 29,970 | 3,558 | ||||
* | JetBlue Airways Corp. | 205,986 | 3,108 | |||
nVent Electric plc | 128,486 | 2,955 | ||||
MSC Industrial Direct Co. Inc. Class A | 34,421 | 2,868 | ||||
Owens Corning | 38,384 | 2,797 | ||||
Watsco Inc. | 12,160 | 2,765 | ||||
* | Stericycle Inc. | 38,736 | 2,729 | |||
* | Sunrun Inc. | 42,130 | 2,700 | |||
EnerSys | 32,117 | 2,627 | ||||
Crane Co. | 37,294 | 2,593 | ||||
Lennox International Inc. | 8,949 | 2,576 | ||||
CoreLogic Inc. | 33,042 | 2,561 | ||||
Ryder System Inc. | 40,693 | 2,410 | ||||
* | Middleby Corp. | 17,662 | 2,402 | |||
* | Univar Solutions Inc. | 127,831 | 2,288 | |||
Kennametal Inc. | 62,702 | 2,194 | ||||
GATX Corp. | 26,464 | 2,111 | ||||
AGCO Corp. | 21,825 | 2,019 | ||||
* | IAA Inc. | 32,409 | 1,942 | |||
EMCOR Group Inc. | 22,418 | 1,932 | ||||
Donaldson Co. Inc. | 34,332 | 1,828 | ||||
* | Builders FirstSource Inc. | 48,540 | 1,816 | |||
KAR Auction Services Inc. | 97,711 | 1,764 | ||||
Oshkosh Corp. | 21,113 | 1,700 | ||||
Fluor Corp. | 94,329 | 1,629 | ||||
Terex Corp. | 52,399 | 1,624 | ||||
ITT Inc. | 21,558 | 1,566 | ||||
Trinity Industries Inc. | 67,290 | 1,538 | ||||
* | Dycom Industries Inc. | 24,074 | 1,513 | |||
* | Colfax Corp. | 41,848 | 1,510 | |||
MSA Safety Inc. | 9,843 | 1,471 | ||||
Valmont Industries Inc. | 8,722 | 1,421 | ||||
* | Avis Budget Group Inc. | 38,981 | 1,371 | |||
Healthcare Services Group Inc. | 56,272 | 1,332 | ||||
Landstar System Inc. | 9,286 | 1,220 | ||||
* | ASGN Inc. | 15,481 | 1,210 | |||
HNI Corp. | 32,268 | 1,176 | ||||
* | Kirby Corp. | 21,790 | 1,103 | |||
Insperity Inc. | 12,005 | 1,026 | ||||
Curtiss-Wright Corp. | 8,488 | 978 | ||||
Werner Enterprises Inc. | 23,698 | 948 | ||||
101,995 | ||||||
Information Technology (11.2%) | ||||||
* | Cree Inc. | 82,930 | 7,496 | |||
* | First Solar Inc. | 64,096 | 5,988 | |||
* | Arrow Electronics Inc. | 58,694 | 5,379 | |||
* | II-VI Inc. | 78,383 | 5,303 |
Shares | Market Value ($000) | |||||
SYNNEX Corp. | 31,148 | 4,993 | ||||
* | PTC Inc. | 37,928 | 4,091 | |||
* | Ceridian HCM Holding Inc. | 39,262 | 3,786 | |||
* | Enphase Energy Inc. | 26,677 | 3,643 | |||
Alliance Data Systems Corp. | 36,078 | 2,639 | ||||
Avnet Inc. | 74,687 | 2,267 | ||||
Science Applications International Corp. | 24,188 | 2,238 | ||||
* | Ciena Corp. | 44,145 | 1,978 | |||
National Instruments Corp. | 52,671 | 1,971 | ||||
Vishay Intertechnology Inc. | 100,233 | 1,941 | ||||
* | LiveRamp Holdings Inc. | 29,886 | 1,749 | |||
CDK Global Inc. | 35,841 | 1,717 | ||||
Littelfuse Inc. | 6,810 | 1,638 | ||||
* | Semtech Corp. | 24,142 | 1,629 | |||
* | NCR Corp. | 55,339 | 1,531 | |||
MAXIMUS Inc. | 20,861 | 1,498 | ||||
InterDigital Inc. | 23,293 | 1,395 | ||||
Sabre Corp. | 122,518 | 1,378 | ||||
Belden Inc. | 33,661 | 1,295 | ||||
* | NetScout Systems Inc. | 54,784 | 1,283 | |||
* | Teradata Corp. | 50,274 | 1,103 | |||
* | CommVault Systems Inc. | 17,890 | 854 | |||
* | ViaSat Inc. | 23,759 | 808 | |||
* | Sailpoint Technologies Holdings Inc. | 17,140 | 798 | |||
* | Synaptics Inc. | 10,094 | 785 | |||
73,174 | ||||||
Materials (6.5%) | ||||||
Sonoco Products Co. | 75,895 | 4,406 | ||||
RPM International Inc. | 39,308 | 3,460 | ||||
Ashland Global Holdings Inc. | 41,149 | 3,093 | ||||
Chemours Co. | 124,183 | 3,021 | ||||
Steel Dynamics Inc. | 77,065 | 2,791 | ||||
Avient Corp. | 69,136 | 2,527 | ||||
AptarGroup Inc. | 19,499 | 2,463 | ||||
United States Steel Corp. | 166,631 | 2,365 | ||||
Olin Corp. | 107,424 | 2,352 | ||||
Sensient Technologies Corp. | 32,026 | 2,297 | ||||
Commercial Metals Co. | 90,032 | 1,793 | ||||
Minerals Technologies Inc. | 25,799 | 1,565 | ||||
Valvoline Inc. | 64,357 | 1,467 | ||||
Worthington Industries Inc. | 27,269 | 1,410 | ||||
O-I Glass Inc. | 118,677 | 1,343 | ||||
Domtar Corp. | 41,732 | 1,256 | ||||
Cabot Corp. | 23,481 | 972 | ||||
Greif Inc. Class A | 19,994 | 972 | ||||
Louisiana-Pacific Corp. | 23,777 | 814 | ||||
Silgan Holdings Inc. | 23,810 | 805 | ||||
NewMarket Corp. | 1,937 | 716 | ||||
Compass Minerals International Inc. | 7,178 | 448 | ||||
42,336 | ||||||
Real Estate (9.6%) | ||||||
Medical Properties Trust Inc. | 399,845 | 7,757 | ||||
Omega Healthcare Investors Inc. | 94,387 | 3,324 | ||||
Camden Property Trust | 33,138 | 3,275 | ||||
Park Hotels & Resorts Inc. | 178,142 | 2,907 | ||||
* | Jones Lang LaSalle Inc. | 20,359 | 2,693 | |||
JBG SMITH Properties | 84,974 | 2,612 |
Shares | Market Value ($000) | |||||
Sabra Health Care REIT Inc. | 155,425 | 2,561 | ||||
National Retail Properties Inc. | 59,047 | 2,226 | ||||
CyrusOne Inc. | 30,928 | 2,162 | ||||
American Campus Communities Inc. | 54,113 | 2,154 | ||||
Lamar Advertising Co. Class A | 25,475 | 2,028 | ||||
Kilroy Realty Corp. | 31,700 | 1,939 | ||||
Hudson Pacific Properties Inc. | 74,212 | 1,930 | ||||
Pebblebrook Hotel Trust | 98,949 | 1,831 | ||||
Rayonier Inc. | 59,866 | 1,686 | ||||
Spirit Realty Capital Inc. | 45,189 | 1,665 | ||||
Healthcare Realty Trust Inc. | 55,547 | 1,639 | ||||
Life Storage Inc. | 13,835 | 1,518 | ||||
Brixmor Property Group Inc. | 98,637 | 1,506 | ||||
Highwoods Properties Inc. | 39,278 | 1,504 | ||||
Service Properties Trust | 124,455 | 1,476 | ||||
Douglas Emmett Inc. | 46,120 | 1,428 | ||||
Physicians Realty Trust | 80,259 | 1,393 | ||||
First Industrial Realty Trust Inc. | 32,702 | 1,370 | ||||
PotlatchDeltic Corp. | 27,303 | 1,271 | ||||
STORE Capital Corp. | 37,943 | 1,235 | ||||
Corporate Office Properties Trust | 45,804 | 1,220 | ||||
EPR Properties | 31,592 | 1,138 | ||||
Taubman Centers Inc. | 26,598 | 1,136 | ||||
Weingarten Realty Investors | 50,988 | 1,066 | ||||
1 | Macerich Co. | 84,758 | 848 | |||
Urban Edge Properties | 44,793 | 581 | ||||
63,079 | ||||||
Utilities (5.9%) | ||||||
UGI Corp. | 157,513 | 5,589 | ||||
OGE Energy Corp. | 151,349 | 4,902 | ||||
Essential Utilities Inc. | 75,906 | 3,437 | ||||
National Fuel Gas Co. | 68,770 | 2,831 | ||||
Southwest Gas Holdings Inc. | 42,278 | 2,716 | ||||
Spire Inc. | 38,926 | 2,490 | ||||
New Jersey Resources Corp. | 72,535 | 2,396 | ||||
NorthWestern Corp. | 38,241 | 2,218 | ||||
ALLETE Inc. | 39,227 | 2,206 | ||||
MDU Resources Group Inc. | 87,938 | 2,193 | ||||
IDACORP Inc. | 20,984 | 1,901 | ||||
ONE Gas Inc. | 20,007 | 1,584 | ||||
Hawaiian Electric Industries Inc. | 42,927 | 1,538 | ||||
Black Hills Corp. | 25,144 | 1,529 | ||||
PNM Resources Inc. | 30,112 | 1,479 | ||||
39,009 | ||||||
Total Common Stocks (Cost $646,774) | 651,577 | |||||
Coupon | ||||||
Temporary Cash Investments (0.9%) | ||||||
Money Market Fund (0.9%) | ||||||
2,3 | Vanguard Market Liquidity Fund | 0.109% | 59,967 | 5,997 |
Coupon | Maturity Date | Face Amount ($000) | Market Value ($000) | |||
U.S. Government and Agency Obligations (0.0%) | ||||||
4 | United States Treasury Bill | 0.116% | 2/16/21 | 81 | 81 | |
Total Temporary Cash Investments (Cost $6,077) | 6,078 | |||||
Total Investments (100.3%) (Cost $652,851) | 657,655 | |||||
Other Assets and Liabilities—Net (-0.3%) | (1,817) | |||||
Net Assets (100%) | 655,838 |
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 $2,837,000. |
2 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
3 | Collateral of $3,162,000 was received for securities on loan. |
4 | Securities with a value of $57,000 have been segregated as initial margin for open futures contracts. |
REIT—Real Estate Investment Trust. |
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 Mid-Cap 400 Index | December 2020 | 7 | 1,518 | 1 |
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) |
Harley-Davidson Inc. | 9/2/21 | BOANA | 2,302 | (0.140) | 518 | — |
1 | Based on 1-month USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
BOANA—Bank of America, N.A. |
At November 30, 2020, counterparties had deposited in a segregated account cash of $600,000 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 materially affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
B. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any 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. Fluctuations in the value of the contracts are recorded as an asset (liability).
C. Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.
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.
D. 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, 2020, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 651,577 | — | — | 651,577 |
Temporary Cash Investments | 5,997 | 81 | — | 6,078 |
Total | 657,574 | 81 | — | 657,655 |
Derivative Financial Instruments | ||||
Assets | ||||
Swap Contracts | — | 518 | — | 518 |
Liabilities | ||||
Futures Contracts1 | 19 | — | — | 19 |
1 | Represents variation margin on the last day of the reporting period. |