Vanguard® S&P Mid-Cap 400 Value Index Fund
Schedule of Investments (unaudited)
As of November 30, 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 (99.6%) | ||||||
Communication Services (1.1%) | ||||||
TEGNA Inc. | 93,015 | 1,837 | ||||
John Wiley & Sons Inc. Class A | 30,644 | 1,593 | ||||
* | Ziff Davis Inc. | 12,501 | 1,423 | |||
* | Iridium Communications Inc. | 36,237 | 1,393 | |||
Telephone & Data Systems Inc. | 69,503 | 1,229 | ||||
* | TripAdvisor Inc. | 43,647 | 1,129 | |||
* | Yelp Inc. Class A | 23,765 | 815 | |||
World Wrestling Entertainment Inc. Class A | 13,276 | 655 | ||||
10,074 | ||||||
Consumer Discretionary (12.8%) | ||||||
Lear Corp. | 41,978 | 7,043 | ||||
* | Capri Holdings Ltd. | 106,807 | 6,325 | |||
Kohl's Corp. | 109,761 | 5,623 | ||||
Dick's Sporting Goods Inc. | 46,041 | 5,413 | ||||
Marriott Vacations Worldwide Corp. | 30,005 | 4,580 | ||||
* | GameStop Corp. Class A | 23,169 | 4,546 | |||
* | Skechers U.S.A. Inc. Class A | 94,784 | 4,258 | |||
Thor Industries Inc. | 38,899 | 4,112 | ||||
* | Goodyear Tire & Rubber Co. | 197,403 | 3,970 | |||
* | AutoNation Inc. | 30,681 | 3,800 | |||
Carter's Inc. | 30,877 | 3,119 | ||||
Service Corp. International | 47,103 | 3,116 | ||||
H&R Block Inc. | 124,947 | 2,959 | ||||
Murphy USA Inc. | 16,704 | 2,895 | ||||
Toll Brothers Inc. | 45,613 | 2,895 | ||||
Foot Locker Inc. | 63,282 | 2,888 | ||||
* | Adient plc | 66,201 | 2,810 | |||
American Eagle Outfitters Inc. | 107,216 | 2,776 | ||||
* | Taylor Morrison Home Corp. Class A | 88,008 | 2,733 | |||
KB Home | 63,180 | 2,527 | ||||
Gentex Corp. | 70,523 | 2,428 | ||||
Wyndham Hotels & Resorts Inc. | 30,215 | 2,401 | ||||
Polaris Inc. | 21,213 | 2,371 | ||||
Brunswick Corp. | 24,510 | 2,302 | ||||
Dana Inc. | 102,056 | 2,194 | ||||
Cracker Barrel Old Country Store Inc. | 16,669 | 2,034 | ||||
* | Tri Pointe Homes Inc. | 80,119 | 2,001 | |||
* | Scientific Games Corp. | 28,436 | 1,818 | |||
Travel + Leisure Co. | 36,927 | 1,818 | ||||
* | Nordstrom Inc. | 78,122 | 1,654 | |||
Graham Holdings Co. Class B | 2,843 | 1,611 |
Shares | Market Value ($000) | |||||
Choice Hotels International Inc. | 10,853 | 1,558 | ||||
* | Boyd Gaming Corp. | 26,550 | 1,556 | |||
* | Urban Outfitters Inc. | 46,342 | 1,468 | |||
* | Grand Canyon Education Inc. | 20,039 | 1,452 | |||
Harley-Davidson Inc. | 38,085 | 1,395 | ||||
Columbia Sportswear Co. | 14,277 | 1,392 | ||||
* | Victoria's Secret & Co. | 23,206 | 1,260 | |||
* | Six Flags Entertainment Corp. | 33,726 | 1,233 | |||
* | Visteon Corp. | 10,203 | 1,081 | |||
* | Callaway Golf Co. | 34,496 | 930 | |||
114,345 | ||||||
Consumer Staples (4.2%) | ||||||
* | BJ's Wholesale Club Holdings Inc. | 96,338 | 6,373 | |||
Ingredion Inc. | 47,086 | 4,385 | ||||
* | Performance Food Group Co. | 107,969 | 4,352 | |||
* | Post Holdings Inc. | 41,187 | 3,979 | |||
Casey's General Stores Inc. | 16,125 | 3,133 | ||||
Sanderson Farms Inc. | 14,907 | 2,799 | ||||
* | Coty Inc. Class A | 235,112 | 2,288 | |||
Flowers Foods Inc. | 85,215 | 2,200 | ||||
* | Sprouts Farmers Market Inc. | 80,425 | 2,128 | |||
* | Hain Celestial Group Inc. | 25,122 | 990 | |||
* | Pilgrim's Pride Corp. | 34,196 | 960 | |||
Energizer Holdings Inc. | 23,384 | 870 | ||||
Lancaster Colony Corp. | 5,841 | 854 | ||||
Nu Skin Enterprises Inc. Class A | 15,747 | 691 | ||||
* | Grocery Outlet Holding Corp. | 23,486 | 680 | |||
Tootsie Roll Industries Inc. | 7,301 | 230 | ||||
36,912 | ||||||
Energy (2.8%) | ||||||
Targa Resources Corp. | 123,684 | 6,386 | ||||
HollyFrontier Corp. | 105,002 | 3,394 | ||||
* | NOV Inc. | 274,449 | 3,271 | |||
DT Midstream Inc. | 68,007 | 3,119 | ||||
Murphy Oil Corp. | 101,956 | 2,710 | ||||
* | EQT Corp. | 131,882 | 2,562 | |||
* | ChampionX Corp. | 83,577 | 1,706 | |||
Equitrans Midstream Corp. | 157,435 | 1,515 | ||||
24,663 | ||||||
Financials (21.3%) | ||||||
Signature Bank | 27,691 | 8,371 | ||||
East West Bancorp Inc. | 99,686 | 7,676 | ||||
* | Alleghany Corp. | 9,747 | 6,305 | |||
First Horizon Corp. | 385,982 | 6,226 | ||||
American Financial Group Inc. | 46,451 | 6,206 | ||||
First American Financial Corp. | 77,241 | 5,730 | ||||
Jefferies Financial Group Inc. | 138,846 | 5,218 | ||||
Janus Henderson Group plc | 121,108 | 5,175 | ||||
Pinnacle Financial Partners Inc. | 53,475 | 5,102 | ||||
Cullen/Frost Bankers Inc. | 39,805 | 5,011 | ||||
Affiliated Managers Group Inc. | 28,954 | 4,926 | ||||
Old Republic International Corp. | 199,822 | 4,788 | ||||
Synovus Financial Corp. | 102,900 | 4,660 | ||||
Prosperity Bancshares Inc. | 65,296 | 4,654 | ||||
Reinsurance Group of America Inc. | 47,773 | 4,534 | ||||
Cadence Bank | 137,398 | 4,015 | ||||
New York Community Bancorp Inc. | 326,687 | 3,914 |
Shares | Market Value ($000) | |||||
Valley National Bancorp | 285,685 | 3,840 | ||||
Bank OZK | 85,595 | 3,827 | ||||
Wintrust Financial Corp. | 40,079 | 3,508 | ||||
Webster Financial Corp. | 63,630 | 3,429 | ||||
CIT Group Inc. | 69,658 | 3,417 | ||||
MGIC Investment Corp. | 238,446 | 3,362 | ||||
Sterling Bancorp | 135,317 | 3,357 | ||||
Unum Group | 143,583 | 3,317 | ||||
United Bankshares Inc. | 90,786 | 3,244 | ||||
Selective Insurance Group Inc. | 42,192 | 3,187 | ||||
Hanover Insurance Group Inc. | 25,069 | 3,052 | ||||
UMB Financial Corp. | 30,239 | 3,041 | ||||
Stifel Financial Corp. | 42,716 | 3,033 | ||||
Hancock Whitney Corp. | 61,028 | 2,916 | ||||
Commerce Bancshares Inc. | 38,851 | 2,712 | ||||
PacWest Bancorp | 59,298 | 2,653 | ||||
FNB Corp. | 224,412 | 2,617 | ||||
Home BancShares Inc. | 106,087 | 2,539 | ||||
Associated Banc-Corp | 107,442 | 2,353 | ||||
Navient Corp. | 117,892 | 2,326 | ||||
Kemper Corp. | 42,032 | 2,325 | ||||
Cathay General Bancorp | 54,904 | 2,301 | ||||
Bank of Hawaii Corp. | 28,443 | 2,269 | ||||
SEI Investments Co. | 36,883 | 2,199 | ||||
RenaissanceRe Holdings Ltd. | 14,217 | 2,191 | ||||
Glacier Bancorp Inc. | 38,103 | 2,069 | ||||
CNO Financial Group Inc. | 89,730 | 2,033 | ||||
* | Texas Capital Bancshares Inc. | 35,518 | 2,000 | |||
FirstCash Inc. | 28,425 | 1,815 | ||||
Fulton Financial Corp. | 114,348 | 1,806 | ||||
Umpqua Holdings Corp. | 87,963 | 1,677 | ||||
Essent Group Ltd. | 39,217 | 1,631 | ||||
First Financial Bankshares Inc. | 32,438 | 1,619 | ||||
International Bancshares Corp. | 37,459 | 1,574 | ||||
Washington Federal Inc. | 47,825 | 1,554 | ||||
Evercore Inc. Class A | 10,326 | 1,432 | ||||
Federated Hermes Inc. Class B | 40,480 | 1,365 | ||||
RLI Corp. | 11,452 | 1,177 | ||||
*,1 | PROG Holdings Inc. | 25,202 | 1,137 | |||
Mercury General Corp. | 18,649 | 951 | ||||
189,366 | ||||||
Health Care (5.4%) | ||||||
* | Tenet Healthcare Corp. | 75,225 | 5,482 | |||
* | Molina Healthcare Inc. | 18,880 | 5,384 | |||
* | Envista Holdings Corp. | 113,321 | 4,397 | |||
Hill-Rom Holdings Inc. | 26,825 | 4,171 | ||||
* | United Therapeutics Corp. | 18,287 | 3,465 | |||
Perrigo Co. plc | 93,946 | 3,449 | ||||
* | LivaNova plc | 37,389 | 2,997 | |||
* | Acadia Healthcare Co. Inc. | 39,125 | 2,198 | |||
* | Tandem Diabetes Care Inc. | 16,832 | 2,163 | |||
Patterson Cos. Inc. | 60,462 | 1,903 | ||||
Encompass Health Corp. | 30,749 | 1,772 | ||||
* | NuVasive Inc. | 36,275 | 1,743 | |||
* | Integra LifeSciences Holdings Corp. | 25,619 | 1,638 | |||
* | ICU Medical Inc. | 6,845 | 1,548 | |||
* | Progyny Inc. | 24,112 | 1,224 | |||
* | Neogen Corp. | 30,216 | 1,213 |
Shares | Market Value ($000) | |||||
* | Option Care Health Inc. | 44,636 | 1,130 | |||
* | Nektar Therapeutics | 80,175 | 903 | |||
* | Haemonetics Corp. | 16,104 | 825 | |||
47,605 | ||||||
Industrials (17.5%) | ||||||
* | Avis Budget Group Inc. | 33,193 | 9,114 | |||
* | AECOM | 101,203 | 6,977 | |||
Owens Corning | 72,454 | 6,147 | ||||
Oshkosh Corp. | 48,222 | 5,189 | ||||
* | Builders FirstSource Inc. | 74,245 | 5,156 | |||
Acuity Brands Inc. | 25,089 | 5,052 | ||||
EMCOR Group Inc. | 37,757 | 4,506 | ||||
KBR Inc. | 98,927 | 4,353 | ||||
* | Colfax Corp. | 91,006 | 4,226 | |||
nVent Electric plc | 118,112 | 4,114 | ||||
Regal Rexnord Corp. | 23,785 | 3,760 | ||||
* | MasTec Inc. | 40,193 | 3,705 | |||
Nordson Corp. | 14,056 | 3,573 | ||||
Carlisle Cos. Inc. | 15,398 | 3,468 | ||||
ManpowerGroup Inc. | 38,107 | 3,415 | ||||
Crane Co. | 34,987 | 3,378 | ||||
* | GXO Logistics Inc. | 33,247 | 3,193 | |||
ITT Inc. | 33,280 | 3,148 | ||||
Ryder System Inc. | 37,745 | 3,136 | ||||
* | Univar Solutions Inc. | 120,076 | 3,111 | |||
Lennox International Inc. | 9,849 | 3,043 | ||||
* | Hexcel Corp. | 58,908 | 3,027 | |||
* | JetBlue Airways Corp. | 223,347 | 2,997 | |||
Hubbell Inc. Class B | 15,288 | 2,992 | ||||
AGCO Corp. | 25,162 | 2,773 | ||||
Flowserve Corp. | 91,457 | 2,742 | ||||
* | Middleby Corp. | 15,244 | 2,663 | |||
Watsco Inc. | 8,804 | 2,577 | ||||
Donaldson Co. Inc. | 44,130 | 2,490 | ||||
GATX Corp. | 24,934 | 2,456 | ||||
* | CACI International Inc. Class A | 9,434 | 2,447 | |||
* | XPO Logistics Inc. | 33,251 | 2,409 | |||
Curtiss-Wright Corp. | 18,091 | 2,276 | ||||
Woodward Inc. | 21,454 | 2,270 | ||||
* | Stericycle Inc. | 39,375 | 2,225 | |||
* | Kirby Corp. | 42,214 | 2,204 | |||
* | Fluor Corp. | 99,592 | 2,202 | |||
* | Clean Harbors Inc. | 21,450 | 2,176 | |||
Valmont Industries Inc. | 8,790 | 2,101 | ||||
Science Applications International Corp. | 24,822 | 2,082 | ||||
Kennametal Inc. | 58,723 | 2,077 | ||||
* | Dycom Industries Inc. | 21,665 | 2,025 | |||
MillerKnoll Inc. | 52,869 | 2,006 | ||||
Landstar System Inc. | 9,960 | 1,679 | ||||
Trinity Industries Inc. | 58,734 | 1,556 | ||||
Brink's Co. | 21,720 | 1,328 | ||||
MSC Industrial Direct Co. Inc. Class A | 16,517 | 1,300 | ||||
Terex Corp. | 30,433 | 1,290 | ||||
* | KAR Auction Services Inc. | 83,771 | 1,256 | |||
EnerSys | 15,224 | 1,128 | ||||
Werner Enterprises Inc. | 23,439 | 1,057 | ||||
155,575 |
Shares | Market Value ($000) | |||||
Information Technology (8.6%) | ||||||
* | Arrow Electronics Inc. | 50,480 | 6,141 | |||
Jabil Inc. | 102,491 | 5,992 | ||||
* | Ciena Corp. | 68,511 | 4,126 | |||
Vontier Corp. | 118,711 | 3,741 | ||||
* | Synaptics Inc. | 12,860 | 3,630 | |||
* | NCR Corp. | 92,337 | 3,592 | |||
TD SYNNEX Corp. | 29,162 | 3,017 | ||||
* | Coherent Inc. | 11,379 | 2,946 | |||
Concentrix Corp. | 15,646 | 2,597 | ||||
Avnet Inc. | 69,941 | 2,537 | ||||
Alliance Data Systems Corp. | 34,959 | 2,383 | ||||
* | Silicon Laboratories Inc. | 11,715 | 2,299 | |||
Genpact Ltd. | 47,328 | 2,285 | ||||
* | Viasat Inc. | 51,524 | 2,282 | |||
* | Aspen Technology Inc. | 14,772 | 2,142 | |||
National Instruments Corp. | 51,340 | 2,132 | ||||
* | Teradata Corp. | 48,296 | 2,097 | |||
* | Kyndryl Holdings Inc. | 125,946 | 1,990 | |||
Belden Inc. | 31,441 | 1,939 | ||||
Vishay Intertechnology Inc. | 93,046 | 1,895 | ||||
* | Cirrus Logic Inc. | 23,023 | 1,846 | |||
Xerox Holdings Corp. | 96,781 | 1,783 | ||||
* | WEX Inc. | 13,214 | 1,670 | |||
CDK Global Inc. | 42,689 | 1,649 | ||||
Maximus Inc. | 16,433 | 1,240 | ||||
* | Blackbaud Inc. | 16,228 | 1,225 | |||
* | Envestnet Inc. | 14,544 | 1,115 | |||
* | ACI Worldwide Inc. | 37,957 | 1,106 | |||
* | Sabre Corp. | 145,462 | 1,095 | |||
Amkor Technology Inc. | 49,245 | 1,062 | ||||
* | LiveRamp Holdings Inc. | 22,430 | 1,053 | |||
* | CommVault Systems Inc. | 16,444 | 1,034 | |||
* | SiTime Corp. | 2,918 | 871 | |||
76,512 | ||||||
Materials (7.0%) | ||||||
Steel Dynamics Inc. | 136,234 | 8,147 | ||||
Reliance Steel & Aluminum Co. | 44,603 | 6,629 | ||||
Olin Corp. | 101,458 | 5,514 | ||||
United States Steel Corp. | 189,776 | 4,291 | ||||
Sonoco Products Co. | 69,085 | 4,016 | ||||
Avient Corp. | 64,148 | 3,529 | ||||
RPM International Inc. | 34,652 | 3,155 | ||||
Commercial Metals Co. | 84,717 | 2,618 | ||||
Ashland Global Holdings Inc. | 25,396 | 2,567 | ||||
AptarGroup Inc. | 18,065 | 2,160 | ||||
Cabot Corp. | 39,806 | 2,089 | ||||
Louisiana-Pacific Corp. | 30,179 | 1,972 | ||||
Royal Gold Inc. | 19,326 | 1,933 | ||||
Chemours Co. | 63,713 | 1,892 | ||||
Valvoline Inc. | 50,899 | 1,734 | ||||
Eagle Materials Inc. | 11,204 | 1,728 | ||||
Minerals Technologies Inc. | 23,659 | 1,554 | ||||
Sensient Technologies Corp. | 15,413 | 1,500 | ||||
Silgan Holdings Inc. | 33,043 | 1,370 | ||||
Greif Inc. Class A | 18,651 | 1,132 | ||||
NewMarket Corp. | 3,142 | 1,041 | ||||
* | Ingevity Corp. | 14,145 | 1,017 |
Shares | Market Value ($000) | |||||
Compass Minerals International Inc. | 12,405 | 604 | ||||
Worthington Industries Inc. | 9,843 | 472 | ||||
62,664 | ||||||
Real Estate (13.6%) | ||||||
* | Jones Lang LaSalle Inc. | 35,621 | 8,368 | |||
Camden Property Trust | 37,455 | 6,188 | ||||
Apartment Income REIT Corp. | 110,289 | 5,598 | ||||
National Retail Properties Inc. | 123,384 | 5,441 | ||||
Medical Properties Trust Inc. | 255,310 | 5,435 | ||||
Kilroy Realty Corp. | 73,639 | 4,752 | ||||
Brixmor Property Group Inc. | 208,641 | 4,744 | ||||
Omega Healthcare Investors Inc. | 167,822 | 4,689 | ||||
Douglas Emmett Inc. | 123,284 | 4,040 | ||||
Cousins Properties Inc. | 104,467 | 3,945 | ||||
Spirit Realty Capital Inc. | 83,683 | 3,729 | ||||
STORE Capital Corp. | 108,256 | 3,566 | ||||
Life Storage Inc. | 26,393 | 3,488 | ||||
Lamar Advertising Co. Class A | 30,470 | 3,329 | ||||
SL Green Realty Corp. | 47,166 | 3,275 | ||||
Highwoods Properties Inc. | 73,171 | 3,161 | ||||
Kite Realty Group Trust | 153,412 | 3,087 | ||||
American Campus Communities Inc. | 59,624 | 3,085 | ||||
Macerich Co. | 149,901 | 2,827 | ||||
Rexford Industrial Realty Inc. | 39,694 | 2,782 | ||||
* | Park Hotels & Resorts Inc. | 166,134 | 2,764 | |||
Physicians Realty Trust | 152,769 | 2,724 | ||||
First Industrial Realty Trust Inc. | 44,471 | 2,686 | ||||
Hudson Pacific Properties Inc. | 107,131 | 2,607 | ||||
EastGroup Properties Inc. | 11,910 | 2,426 | ||||
EPR Properties | 52,556 | 2,424 | ||||
JBG SMITH Properties | 81,583 | 2,267 | ||||
Rayonier Inc. | 59,551 | 2,249 | ||||
Corporate Office Properties Trust | 78,881 | 2,024 | ||||
Sabra Health Care REIT Inc. | 155,124 | 2,006 | ||||
Pebblebrook Hotel Trust | 92,209 | 1,932 | ||||
Healthcare Realty Trust Inc. | 61,264 | 1,919 | ||||
CoreSite Realty Corp. | 11,208 | 1,917 | ||||
PotlatchDeltic Corp. | 29,252 | 1,584 | ||||
National Storage Affiliates Trust | 22,357 | 1,372 | ||||
PS Business Parks Inc. | 7,629 | 1,337 | ||||
Urban Edge Properties | 77,473 | 1,335 | ||||
121,102 | ||||||
Utilities (5.3%) | ||||||
UGI Corp. | 146,938 | 6,061 | ||||
OGE Energy Corp. | 140,652 | 4,827 | ||||
MDU Resources Group Inc. | 142,245 | 3,873 | ||||
Essential Utilities Inc. | 78,589 | 3,715 | ||||
IDACORP Inc. | 35,495 | 3,714 | ||||
National Fuel Gas Co. | 64,054 | 3,703 | ||||
Hawaiian Electric Industries Inc. | 76,735 | 2,915 | ||||
Black Hills Corp. | 44,609 | 2,860 | ||||
Southwest Gas Holdings Inc. | 41,519 | 2,732 | ||||
New Jersey Resources Corp. | 67,770 | 2,493 | ||||
ONE Gas Inc. | 37,603 | 2,438 | ||||
Spire Inc. | 36,298 | 2,173 | ||||
ALLETE Inc. | 36,720 | 2,153 | ||||
NorthWestern Corp. | 36,204 | 2,002 |
Shares | Market Value ($000) | |||||
PNM Resources Inc. | 36,848 | 1,815 | ||||
47,474 | ||||||
Total Common Stocks (Cost $754,361) | 886,292 | |||||
Coupon | ||||||
Temporary Cash Investments (0.5%) | ||||||
Money Market Fund (0.5%) | ||||||
2,3 | Vanguard Market Liquidity Fund (Cost $4,807) | 0.077% | 48,069 | 4,807 | ||
Total Investments (100.1%) (Cost $759,168) | 891,099 | |||||
Other Assets and Liabilities—Net (-0.1%) | (979) | |||||
Net Assets (100%) | 890,120 |
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 $677,000. |
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 $720,000 was received for securities on loan. |
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 2021 | 4 | 1,082 | (77) |
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. | 8/31/22 | BOANA | 2,554 | (0.070) | 10 | — |
1 | Based on USD Overnight Bank Funding Rate as of the most recent payment date. Floating interest payment received/paid monthly. |
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.
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, 2021, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 886,292 | — | — | 886,292 |
Temporary Cash Investments | 4,807 | — | — | 4,807 |
Total | 891,099 | — | — | 891,099 |
Derivative Financial Instruments | ||||
Assets | ||||
Swap Contracts | — | 10 | — | 10 |
Liabilities | ||||
Futures Contracts1 | 77 | — | — | 77 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |