Vanguard® S&P Mid-Cap 400 Value Index Fund
Schedule of Investments (unaudited)
As of May 31, 2021
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 (99.3%) | ||||||
Communication Services (1.4%) | ||||||
John Wiley & Sons Inc. Class A | 34,484 | 2,186 | ||||
* | TripAdvisor Inc. | 48,080 | 2,089 | |||
Telephone & Data Systems Inc. | 78,840 | 2,028 | ||||
TEGNA Inc. | 104,360 | 2,023 | ||||
* | Cinemark Holdings Inc. | 85,381 | 1,935 | |||
* | Iridium Communications Inc. | 36,661 | 1,401 | |||
* | Yelp Inc. Class A | 27,360 | 1,097 | |||
World Wrestling Entertainment Inc. Class A | 15,558 | 869 | ||||
13,628 | ||||||
Consumer Discretionary (13.2%) | ||||||
Lear Corp. | 43,382 | 8,388 | ||||
Kohl's Corp. | 125,046 | 6,939 | ||||
* | Capri Holdings Ltd. | 119,800 | 6,794 | |||
* | Marriott Vacations Worldwide Corp. | 32,677 | 5,630 | |||
Thor Industries Inc. | 43,911 | 5,401 | ||||
Foot Locker Inc. | 82,663 | 5,232 | ||||
* | Skechers U.S.A. Inc. Class A | 108,447 | 5,151 | |||
Dick's Sporting Goods Inc. | 52,144 | 5,085 | ||||
* | AutoNation Inc. | 43,701 | 4,463 | |||
American Eagle Outfitters Inc. | 118,649 | 4,204 | ||||
* | Adient plc | 74,591 | 3,734 | |||
* | Goodyear Tire & Rubber Co. | 185,056 | 3,670 | |||
H&R Block Inc. | 145,487 | 3,611 | ||||
Carter's Inc. | 34,940 | 3,572 | ||||
KB Home | 70,554 | 3,303 | ||||
Toll Brothers Inc. | 49,749 | 3,246 | ||||
Polaris Inc. | 24,492 | 3,214 | ||||
Dana Inc. | 114,709 | 3,112 | ||||
* | Taylor Morrison Home Corp. Class A | 102,140 | 3,025 | |||
Cracker Barrel Old Country Store Inc. | 18,808 | 2,966 | ||||
* | Nordstrom Inc. | 86,347 | 2,896 | |||
Gentex Corp. | 81,101 | 2,879 | ||||
Service Corp. International | 53,729 | 2,849 | ||||
Brunswick Corp. | 27,748 | 2,837 | ||||
Murphy USA Inc. | 20,093 | 2,709 | ||||
Travel + Leisure Co. | 41,549 | 2,707 | ||||
Wyndham Hotels & Resorts Inc. | 33,968 | 2,550 | ||||
Harley-Davidson Inc. | 51,598 | 2,501 | ||||
* | Tri Pointe Homes Inc. | 94,416 | 2,277 | |||
* | Grand Canyon Education Inc. | 23,389 | 2,127 | |||
Graham Holdings Co. Class B | 3,209 | 2,126 |
Shares | Market Value ($000) | |||||
* | Urban Outfitters Inc. | 54,175 | 2,121 | |||
* | Boyd Gaming Corp. | 29,319 | 1,888 | |||
* | Six Flags Entertainment Corp. | 37,392 | 1,699 | |||
* | Adtalem Global Education Inc. | 39,902 | 1,452 | |||
Columbia Sportswear Co. | 14,093 | 1,448 | ||||
* | Visteon Corp. | 11,538 | 1,413 | |||
Strategic Education Inc. | 19,425 | 1,376 | ||||
* | Scientific Games Corp. | 18,714 | 1,357 | |||
* | Choice Hotels International Inc. | 10,780 | 1,303 | |||
* | WW International Inc. | 22,963 | 902 | |||
134,157 | ||||||
Consumer Staples (3.7%) | ||||||
* | Post Holdings Inc. | 47,467 | 5,484 | |||
Ingredion Inc. | 53,226 | 5,053 | ||||
* | BJ's Wholesale Club Holdings Inc. | 108,896 | 4,877 | |||
Casey's General Stores Inc. | 18,172 | 4,013 | ||||
Sanderson Farms Inc. | 15,758 | 2,565 | ||||
* | Sprouts Farmers Market Inc. | 93,449 | 2,486 | |||
Flowers Foods Inc. | 95,154 | 2,292 | ||||
* | TreeHouse Foods Inc. | 44,275 | 2,157 | |||
* | Coty Inc. Class A | 224,598 | 2,001 | |||
Lancaster Colony Corp. | 6,534 | 1,220 | ||||
Energizer Holdings Inc. | 24,478 | 1,127 | ||||
Nu Skin Enterprises Inc. Class A | 18,158 | 1,092 | ||||
* | Hain Celestial Group Inc. | 24,727 | 1,008 | |||
* | Pilgrim's Pride Corp. | 38,630 | 929 | |||
* | Grocery Outlet Holding Corp. | 26,016 | 886 | |||
Tootsie Roll Industries Inc. | 8,415 | 263 | ||||
37,453 | ||||||
Energy (1.3%) | ||||||
Cimarex Energy Co. | 42,390 | 2,872 | ||||
* | EQT Corp. | 137,058 | 2,862 | |||
Murphy Oil Corp. | 114,387 | 2,481 | ||||
* | ChampionX Corp. | 87,111 | 2,309 | |||
World Fuel Services Corp. | 50,215 | 1,543 | ||||
Equitrans Midstream Corp. | 178,451 | 1,470 | ||||
13,537 | ||||||
Financials (22.0%) | ||||||
First Horizon Corp. | 440,639 | 8,403 | ||||
East West Bancorp Inc. | 112,289 | 8,397 | ||||
* | Alleghany Corp. | 11,097 | 7,952 | |||
American Financial Group Inc. | 55,507 | 7,386 | ||||
Signature Bank | 29,425 | 7,349 | ||||
Reinsurance Group of America Inc. | 53,910 | 6,794 | ||||
Old Republic International Corp. | 224,327 | 5,891 | ||||
Synovus Financial Corp. | 117,925 | 5,792 | ||||
TCF Financial Corp. | 121,036 | 5,749 | ||||
First American Financial Corp. | 87,113 | 5,602 | ||||
Prosperity Bancshares Inc. | 73,687 | 5,545 | ||||
Affiliated Managers Group Inc. | 33,807 | 5,544 | ||||
Pinnacle Financial Partners Inc. | 60,280 | 5,481 | ||||
Cullen/Frost Bankers Inc. | 44,583 | 5,382 | ||||
Janus Henderson Group plc | 135,332 | 5,212 | ||||
Jefferies Financial Group Inc. | 160,621 | 5,161 | ||||
Valley National Bancorp | 321,752 | 4,607 | ||||
New York Community Bancorp Inc. | 369,423 | 4,422 | ||||
United Bankshares Inc. | 102,298 | 4,214 |
Shares | Market Value ($000) | |||||
CIT Group Inc. | 78,292 | 4,148 | ||||
Bank OZK | 95,894 | 4,096 | ||||
Sterling Bancorp | 153,495 | 4,089 | ||||
Webster Financial Corp. | 71,625 | 4,060 | ||||
Hanover Insurance Group Inc. | 28,849 | 4,024 | ||||
MGIC Investment Corp. | 268,552 | 3,953 | ||||
Kemper Corp. | 48,790 | 3,653 | ||||
Wintrust Financial Corp. | 45,126 | 3,629 | ||||
Selective Insurance Group Inc. | 47,486 | 3,574 | ||||
FNB Corp. | 254,992 | 3,419 | ||||
Hancock Whitney Corp. | 68,807 | 3,407 | ||||
Commerce Bancshares Inc. | 43,454 | 3,384 | ||||
Stifel Financial Corp. | 48,283 | 3,345 | ||||
UMB Financial Corp. | 34,388 | 3,326 | ||||
Home BancShares Inc. | 120,497 | 3,297 | ||||
PacWest Bancorp | 66,677 | 3,012 | ||||
SEI Investments Co. | 46,266 | 2,935 | ||||
Bank of Hawaii Corp. | 31,821 | 2,856 | ||||
CNO Financial Group Inc. | 106,736 | 2,835 | ||||
Associated Banc-Corp | 121,125 | 2,785 | ||||
* | Texas Capital Bancshares Inc. | 40,006 | 2,756 | |||
RenaissanceRe Holdings Ltd. | 17,282 | 2,663 | ||||
Navient Corp. | 145,602 | 2,660 | ||||
FirstCash Inc. | 32,517 | 2,592 | ||||
Cathay General Bancorp | 59,223 | 2,468 | ||||
BancorpSouth Bank | 76,372 | 2,335 | ||||
Fulton Financial Corp. | 128,580 | 2,228 | ||||
Glacier Bancorp Inc. | 37,787 | 2,201 | ||||
Essent Group Ltd. | 44,671 | 2,137 | ||||
International Bancshares Corp. | 44,113 | 2,047 | ||||
First Financial Bankshares Inc. | 40,537 | 2,041 | ||||
Washington Federal Inc. | 58,949 | 1,965 | ||||
Umpqua Holdings Corp. | 99,432 | 1,897 | ||||
Evercore Inc. Class A | 12,304 | 1,795 | ||||
Trustmark Corp. | 50,443 | 1,692 | ||||
PROG Holdings Inc. | 29,076 | 1,533 | ||||
Federated Hermes Inc. Class B | 44,167 | 1,404 | ||||
RLI Corp. | 12,957 | 1,367 | ||||
Mercury General Corp. | 21,144 | 1,345 | ||||
223,836 | ||||||
Health Care (4.8%) | ||||||
* | Tenet Healthcare Corp. | 84,225 | 5,635 | |||
* | Envista Holdings Corp. | 126,964 | 5,541 | |||
* | Molina Healthcare Inc. | 21,158 | 5,318 | |||
* | United Therapeutics Corp. | 20,494 | 3,810 | |||
Hill-Rom Holdings Inc. | 30,523 | 3,397 | ||||
* | LivaNova plc | 38,600 | 3,225 | |||
Encompass Health Corp. | 34,627 | 2,971 | ||||
* | Acadia Healthcare Co. Inc. | 43,759 | 2,816 | |||
* | NuVasive Inc. | 40,727 | 2,778 | |||
Patterson Cos. Inc. | 68,907 | 2,242 | ||||
* | Integra LifeSciences Holdings Corp. | 28,053 | 1,937 | |||
* | Nektar Therapeutics | 89,345 | 1,614 | |||
* | ICU Medical Inc. | 7,656 | 1,593 | |||
* | Neogen Corp. | 16,939 | 1,564 | |||
* | Cantel Medical Corp. | 15,560 | 1,265 | |||
* | Haemonetics Corp. | 18,199 | 1,027 |
Shares | Market Value ($000) | |||||
* | Progyny Inc. | 14,562 | 933 | |||
* | Ligand Pharmaceuticals Inc. | 6,322 | 744 | |||
48,410 | ||||||
Industrials (17.4%) | ||||||
Owens Corning | 83,212 | 8,875 | ||||
* | AECOM | 117,159 | 7,616 | |||
Oshkosh Corp. | 54,243 | 7,130 | ||||
* | XPO Logistics Inc. | 38,908 | 5,717 | |||
EMCOR Group Inc. | 43,467 | 5,482 | ||||
Acuity Brands Inc. | 28,574 | 5,308 | ||||
ManpowerGroup Inc. | 43,613 | 5,277 | ||||
* | MasTec Inc. | 44,740 | 5,205 | |||
* | JetBlue Airways Corp. | 250,740 | 5,040 | |||
KBR Inc. | 111,704 | 4,551 | ||||
Flowserve Corp. | 103,341 | 4,381 | ||||
nVent Electric plc | 133,390 | 4,340 | ||||
* | Colfax Corp. | 91,460 | 4,043 | |||
* | Hexcel Corp. | 66,307 | 3,943 | |||
AGCO Corp. | 28,382 | 3,927 | ||||
Lennox International Inc. | 11,166 | 3,907 | ||||
Crane Co. | 39,203 | 3,743 | ||||
* | Builders FirstSource Inc. | 83,513 | 3,720 | |||
* | Univar Solutions Inc. | 134,343 | 3,639 | |||
* | Avis Budget Group Inc. | 40,983 | 3,599 | |||
ITT Inc. | 37,725 | 3,542 | ||||
Nordson Corp. | 15,851 | 3,514 | ||||
Ryder System Inc. | 42,588 | 3,483 | ||||
* | Stericycle Inc. | 44,302 | 3,480 | |||
Carlisle Cos. Inc. | 17,749 | 3,413 | ||||
Hubbell Inc. Class B | 17,226 | 3,284 | ||||
* | Kirby Corp. | 47,647 | 3,113 | |||
Donaldson Co. Inc. | 49,987 | 3,079 | ||||
* | CACI International Inc. Class A | 11,403 | 2,907 | |||
Watsco Inc. | 9,905 | 2,886 | ||||
Woodward Inc. | 22,308 | 2,837 | ||||
* | Middleby Corp. | 17,208 | 2,827 | |||
GATX Corp. | 27,819 | 2,745 | ||||
Curtiss-Wright Corp. | 20,432 | 2,561 | ||||
Science Applications International Corp. | 28,144 | 2,529 | ||||
Kennametal Inc. | 66,206 | 2,483 | ||||
Valmont Industries Inc. | 9,920 | 2,460 | ||||
Regal Beloit Corp. | 16,084 | 2,288 | ||||
* | Clean Harbors Inc. | 24,352 | 2,267 | |||
Herman Miller Inc. | 46,699 | 2,232 | ||||
Landstar System Inc. | 11,291 | 1,925 | ||||
* | KAR Auction Services Inc. | 103,173 | 1,851 | |||
Brink's Co. | 24,416 | 1,841 | ||||
* | Fluor Corp. | 99,249 | 1,836 | |||
* | Dycom Industries Inc. | 24,249 | 1,817 | |||
Trinity Industries Inc. | 64,988 | 1,805 | ||||
Terex Corp. | 34,045 | 1,783 | ||||
Healthcare Services Group Inc. | 59,109 | 1,773 | ||||
MSC Industrial Direct Co. Inc. Class A | 18,577 | 1,754 | ||||
EnerSys | 17,318 | 1,632 | ||||
Werner Enterprises Inc. | 24,532 | 1,177 | ||||
176,567 |
Shares | Market Value ($000) | |||||
Information Technology (9.3%) | ||||||
* | Arrow Electronics Inc. | 59,163 | 7,119 | |||
Jabil Inc. | 107,421 | 6,064 | ||||
* | NCR Corp. | 103,206 | 4,975 | |||
Alliance Data Systems Corp. | 39,420 | 4,772 | ||||
* | Vontier Corp. | 133,684 | 4,690 | |||
SYNNEX Corp. | 32,749 | 4,146 | ||||
* | Ciena Corp. | 77,549 | 4,100 | |||
* | Ceridian HCM Holding Inc. | 42,593 | 3,810 | |||
Avnet Inc. | 78,868 | 3,475 | ||||
* | Coherent Inc. | 12,804 | 3,362 | |||
Xerox Holdings Corp. | 132,316 | 3,103 | ||||
* | WEX Inc. | 14,711 | 2,882 | |||
* | Viasat Inc. | 53,912 | 2,867 | |||
* | Concentrix Corp. | 17,134 | 2,617 | |||
* | Teradata Corp. | 54,382 | 2,603 | |||
Vishay Intertechnology Inc. | 105,081 | 2,529 | ||||
CDK Global Inc. | 48,242 | 2,525 | ||||
Genpact Ltd. | 54,054 | 2,472 | ||||
National Instruments Corp. | 57,327 | 2,339 | ||||
* | Aspen Technology Inc. | 16,678 | 2,276 | |||
* | Sabre Corp. | 160,776 | 2,227 | |||
* | Cirrus Logic Inc. | 26,186 | 2,044 | |||
* | Silicon Laboratories Inc. | 14,253 | 1,946 | |||
* | Synaptics Inc. | 14,444 | 1,825 | |||
Belden Inc. | 35,338 | 1,788 | ||||
Maximus Inc. | 18,573 | 1,721 | ||||
* | NetScout Systems Inc. | 58,415 | 1,717 | |||
* | ACI Worldwide Inc. | 42,625 | 1,631 | |||
* | J2 Global Inc. | 12,494 | 1,556 | |||
* | Blackbaud Inc. | 21,033 | 1,487 | |||
* | CommVault Systems Inc. | 19,058 | 1,452 | |||
Amkor Technology Inc. | 59,618 | 1,258 | ||||
* | LiveRamp Holdings Inc. | 25,020 | 1,257 | |||
94,635 | ||||||
Materials (7.5%) | ||||||
Steel Dynamics Inc. | 158,988 | 9,926 | ||||
Reliance Steel & Aluminum Co. | 50,434 | 8,476 | ||||
Olin Corp. | 113,259 | 5,537 | ||||
United States Steel Corp. | 208,190 | 5,398 | ||||
Sonoco Products Co. | 79,630 | 5,377 | ||||
Avient Corp. | 72,419 | 3,764 | ||||
RPM International Inc. | 39,186 | 3,665 | ||||
Commercial Metals Co. | 95,224 | 2,997 | ||||
AptarGroup Inc. | 20,142 | 2,967 | ||||
Cabot Corp. | 44,886 | 2,854 | ||||
Royal Gold Inc. | 21,846 | 2,704 | ||||
Ashland Global Holdings Inc. | 27,684 | 2,625 | ||||
Chemours Co. | 71,974 | 2,586 | ||||
Louisiana-Pacific Corp. | 37,973 | 2,552 | ||||
Minerals Technologies Inc. | 26,904 | 2,341 | ||||
Valvoline Inc. | 57,421 | 1,895 | ||||
* | Eagle Materials Inc. | 12,611 | 1,851 | |||
Sensient Technologies Corp. | 17,549 | 1,522 | ||||
Silgan Holdings Inc. | 34,814 | 1,467 | ||||
* | Ingevity Corp. | 16,430 | 1,352 | |||
Greif Inc. Class A | 21,079 | 1,301 | ||||
NewMarket Corp. | 3,612 | 1,240 |
Shares | Market Value ($000) | |||||
Compass Minerals International Inc. | 14,015 | 980 | ||||
Worthington Industries Inc. | 11,456 | 760 | ||||
76,137 | ||||||
Real Estate (13.1%) | ||||||
* | Jones Lang LaSalle Inc. | 40,540 | 8,199 | |||
Omega Healthcare Investors Inc. | 183,835 | 6,732 | ||||
National Retail Properties Inc. | 139,015 | 6,443 | ||||
Medical Properties Trust Inc. | 280,601 | 5,940 | ||||
Kilroy Realty Corp. | 83,988 | 5,897 | ||||
Apartment Income REIT Corp. | 118,067 | 5,500 | ||||
Brixmor Property Group Inc. | 235,407 | 5,346 | ||||
Camden Property Trust | 41,021 | 5,143 | ||||
Douglas Emmett Inc. | 130,840 | 4,543 | ||||
Cousins Properties Inc. | 117,826 | 4,370 | ||||
SL Green Realty Corp. | 55,014 | 4,358 | ||||
Spirit Realty Capital Inc. | 91,100 | 4,305 | ||||
STORE Capital Corp. | 119,867 | 4,123 | ||||
* | Park Hotels & Resorts Inc. | 187,512 | 3,898 | |||
Highwoods Properties Inc. | 82,428 | 3,765 | ||||
Lamar Advertising Co. Class A | 34,300 | 3,595 | ||||
Hudson Pacific Properties Inc. | 119,712 | 3,471 | ||||
American Campus Communities Inc. | 66,571 | 3,140 | ||||
Weingarten Realty Investors | 95,221 | 3,120 | ||||
Physicians Realty Trust | 166,976 | 3,027 | ||||
Sabra Health Care REIT Inc. | 167,059 | 2,919 | ||||
* | EPR Properties | 59,265 | 2,913 | |||
Life Storage Inc. | 28,707 | 2,855 | ||||
JBG SMITH Properties | 87,610 | 2,822 | ||||
First Industrial Realty Trust Inc. | 50,128 | 2,539 | ||||
Rayonier Inc. | 65,521 | 2,502 | ||||
Corporate Office Properties Trust | 88,882 | 2,453 | ||||
Rexford Industrial Realty Inc. | 42,686 | 2,358 | ||||
Pebblebrook Hotel Trust | 104,019 | 2,325 | ||||
EastGroup Properties Inc. | 13,245 | 2,094 | ||||
Healthcare Realty Trust Inc. | 66,378 | 2,014 | ||||
PotlatchDeltic Corp. | 32,840 | 1,977 | ||||
Urban Edge Properties | 87,506 | 1,693 | ||||
Service Properties Trust | 131,117 | 1,647 | ||||
CoreSite Realty Corp. | 12,244 | 1,485 | ||||
Macerich Co. | 92,156 | 1,466 | ||||
PS Business Parks Inc. | 8,611 | 1,334 | ||||
National Storage Affiliates Trust | 19,744 | 910 | ||||
133,221 | ||||||
Utilities (5.6%) | ||||||
UGI Corp. | 165,372 | 7,615 | ||||
OGE Energy Corp. | 158,643 | 5,473 | ||||
MDU Resources Group Inc. | 159,033 | 5,353 | ||||
Essential Utilities Inc. | 88,567 | 4,234 | ||||
IDACORP Inc. | 40,037 | 3,922 | ||||
National Fuel Gas Co. | 72,289 | 3,751 | ||||
Hawaiian Electric Industries Inc. | 86,616 | 3,729 | ||||
Black Hills Corp. | 49,805 | 3,277 | ||||
New Jersey Resources Corp. | 76,343 | 3,261 | ||||
ONE Gas Inc. | 42,228 | 3,138 | ||||
Southwest Gas Holdings Inc. | 45,378 | 2,996 | ||||
Spire Inc. | 40,960 | 2,935 | ||||
ALLETE Inc. | 41,201 | 2,838 |
Shares | Market Value ($000) | |||||
NorthWestern Corp. | 40,112 | 2,541 | ||||
PNM Resources Inc. | 41,446 | 2,036 | ||||
57,099 | ||||||
Total Common Stocks (Cost $814,146) | 1,008,680 | |||||
Coupon | ||||||
Temporary Cash Investments (0.6%) | ||||||
Money Market Fund (0.6%) | ||||||
1 | Vanguard Market Liquidity Fund (Cost $5,642) | 0.055% | 56,412 | 5,642 | ||
Total Investments (99.9%) (Cost $819,788) | 1,014,322 | |||||
Other Assets and Liabilities—Net (0.1%) | 1,260 | |||||
Net Assets (100%) | 1,015,582 | |||||
Cost is in $000. |
* | Non-income-producing security. |
1 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
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 | June 2021 | 12 | 3,272 | 14 |
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. | 8/31/21 | BOANA | 3,386 | (0.110) | 7 | — |
1 | Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
1M—1-month. | |
BOANA—Bank of America, N.A. |
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 May 31, 2021, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 1,008,680 | — | — | 1,008,680 |
Temporary Cash Investments | 5,642 | — | — | 5,642 |
Total | 1,014,322 | — | — | 1,014,322 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 14 | — | — | 14 |
Swap Contracts | — | 7 | — | 7 |
Total | 14 | 7 | — | 21 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |