Vanguard Growth Index Fund
Schedule of Investments (unaudited)
As of March 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.
Market | ||
Value | ||
Shares | ($000) | |
Common Stocks (99.8%) | ||
Basic Materials (1.3%) | ||
Linde plc | 4,061,728 | 1,137,853 |
Ecolab Inc. | 1,995,843 | 427,250 |
Fastenal Co. | 4,462,697 | 224,384 |
FMC Corp. | 1,008,316 | 111,530 |
Albemarle Corp. | 453,158 | 66,211 |
1,967,228 | ||
Consumer Discretionary (23.5%) | ||
* Amazon.com Inc. | 3,324,909 | 10,287,534 |
* Tesla Inc. | 5,964,911 | 3,984,143 |
Home Depot Inc. | 8,363,265 | 2,552,887 |
* Netflix Inc. | 3,340,333 | 1,742,518 |
NIKE Inc. Class B | 9,877,029 | 1,312,558 |
* Walt Disney Co. | 7,050,357 | 1,300,932 |
McDonald's Corp. | 5,791,947 | 1,298,207 |
Costco Wholesale Corp. | 3,441,066 | 1,212,907 |
Lowe's Cos. Inc. | 5,678,755 | 1,079,986 |
Starbucks Corp. | 9,144,232 | 999,190 |
* Booking Holdings Inc. | 318,157 | 741,255 |
TJX Cos. Inc. | 8,859,669 | 586,067 |
Activision Blizzard Inc. | 6,018,306 | 559,702 |
Estee Lauder Cos. Inc. Class A | 1,695,327 | 493,086 |
* Uber Technologies Inc. | 8,629,213 | 470,378 |
Dollar General Corp. | 1,902,530 | 385,491 |
Ross Stores Inc. | 2,768,021 | 331,913 |
* Chipotle Mexican Grill Inc. Class A | 218,673 | 310,695 |
Electronic Arts Inc. | 2,233,494 | 302,348 |
* Lululemon Athletica Inc. | 923,017 | 283,099 |
* O'Reilly Automotive Inc. | 552,283 | 280,146 |
* Hilton Worldwide Holdings Inc. | 2,155,437 | 260,635 |
Yum! Brands Inc. | 2,329,529 | 252,008 |
* AutoZone Inc. | 176,708 | 248,151 |
* Peloton Interactive Inc. Class A | 1,946,194 | 218,830 |
* Trade Desk Inc. Class A | 330,751 | 215,537 |
* Etsy Inc. | 930,194 | 187,592 |
* Expedia Group Inc. | 1,074,972 | 185,024 |
* Copart Inc. | 1,652,796 | 179,510 |
* Wayfair Inc. | 568,490 | 178,932 |
Tractor Supply Co. | 903,732 | 160,033 |
* Carvana Co. Class A | 608,635 | 159,706 |
* Take-Two Interactive Software Inc. | 894,983 | 158,144 |
* Burlington Stores Inc. | 514,357 | 153,690 |
* Aptiv plc | 1,049,032 | 144,662 |
* Ulta Beauty Inc. | 415,890 | 128,581 |
* NVR Inc. | 27,167 | 127,982 |
* | Lyft Inc. Class A | 1,990,043 | 125,731 |
Domino's Pizza Inc. | 301,542 | 110,904 | |
* | Wynn Resorts Ltd. | 808,579 | 101,372 |
*,^ | ROBLOX Corp. | 1,531,790 | 99,306 |
* | Live Nation Entertainment Inc. | 1,096,665 | 92,833 |
* | Airbnb Inc. Class A | 443,039 | 83,265 |
* | Caesars Entertainment Inc. | 767,672 | 67,133 |
* | DraftKings Inc. Class A | 1,065,351 | 65,338 |
* | Penn National Gaming Inc. | 602,631 | 63,180 |
Rollins Inc. | 1,719,147 | 59,173 | |
*,^ | Chewy Inc. Class A | 555,457 | 47,053 |
* | Vail Resorts Inc. | 156,396 | 45,614 |
* | LKQ Corp. | 1,003,979 | 42,498 |
^ | Sirius XM Holdings Inc. | 6,436,912 | 39,201 |
Warner Music Group Corp. Class A | 691,002 | 23,722 | |
*,^ | QuantumScape Corp. Class A | 514,350 | 23,017 |
34,563,399 | |||
Consumer Staples (1.1%) | |||
Colgate-Palmolive Co. | 6,592,093 | 519,655 | |
* | Monster Beverage Corp. | 2,869,320 | 261,366 |
Hershey Co. | 1,138,767 | 180,107 | |
McCormick & Co. Inc. | 1,934,407 | 172,472 | |
Church & Dwight Co. Inc. | 1,902,004 | 166,140 | |
Brown-Forman Corp. Class B | 2,402,923 | 165,730 | |
Clorox Co. | 488,743 | 94,269 | |
Lamb Weston Holdings Inc. | 1,137,319 | 88,119 | |
Brown-Forman Corp. Class A | 330,748 | 21,059 | |
1,668,917 | |||
Energy (0.5%) | |||
Pioneer Natural Resources Co. | 1,677,983 | 266,497 | |
* | Plug Power Inc. | 3,904,583 | 139,940 |
* | Cheniere Energy Inc. | 1,773,247 | 127,692 |
Hess Corp. | 1,073,817 | 75,983 | |
* | Enphase Energy Inc. | 450,515 | 73,056 |
ConocoPhillips | 2 | — | |
683,168 | |||
Financials (2.2%) | |||
S&P Global Inc. | 1,869,685 | 659,756 | |
Intercontinental Exchange Inc. | 4,363,627 | 487,330 | |
Aon plc Class A | 1,755,679 | 403,999 | |
Moody's Corp. | 1,235,610 | 368,966 | |
MSCI Inc. Class A | 609,106 | 255,386 | |
First Republic Bank | 1,364,100 | 227,464 | |
* | SVB Financial Group | 402,855 | 198,873 |
MarketAxess Holdings Inc. | 280,487 | 139,660 | |
Broadridge Financial Solutions Inc. | 899,838 | 137,765 | |
Arthur J Gallagher & Co. | 752,221 | 93,855 | |
FactSet Research Systems Inc. | 295,123 | 91,072 | |
* | Markel Corp. | 53,557 | 61,035 |
Cboe Global Markets Inc. | 417,155 | 41,169 | |
SEI Investments Co. | 501,892 | 30,580 | |
*,^ | Opendoor Technologies Inc. | 1,343,692 | 28,473 |
Tradeweb Markets Inc. Class A | 335,300 | 24,812 | |
Interactive Brokers Group Inc. | 299,799 | 21,897 | |
3,272,092 |
Health Care (8.2%) | |||
Thermo Fisher Scientific Inc. | 3,059,003 | 1,396,068 | |
* | Intuitive Surgical Inc. | 914,373 | 675,667 |
Stryker Corp. | 2,629,962 | 640,606 | |
Zoetis Inc. | 3,690,971 | 581,254 | |
Danaher Corp. | 2,489,556 | 560,349 | |
Bristol-Myers Squibb Co. | 8,701,902 | 549,351 | |
Becton Dickinson and Co. | 2,257,065 | 548,805 | |
* | Illumina Inc. | 1,133,408 | 435,297 |
* | Vertex Pharmaceuticals Inc. | 2,019,455 | 433,961 |
* | Boston Scientific Corp. | 11,009,569 | 425,520 |
* | Edwards Lifesciences Corp. | 4,851,858 | 405,809 |
* | Regeneron Pharmaceuticals Inc. | 776,603 | 367,442 |
* | IDEXX Laboratories Inc. | 663,346 | 324,582 |
* | Moderna Inc. | 2,459,783 | 322,108 |
Agilent Technologies Inc. | 2,371,249 | 301,481 | |
* | Align Technology Inc. | 551,052 | 298,411 |
* | Centene Corp. | 4,516,236 | 288,633 |
* | IQVIA Holdings Inc. | 1,489,940 | 287,767 |
* | Veeva Systems Inc. Class A | 1,058,937 | 276,637 |
* | Dexcom Inc. | 746,812 | 268,397 |
ResMed Inc. | 1,129,646 | 219,174 | |
* | Teladoc Health Inc. | 1,051,131 | 191,043 |
* | Exact Sciences Corp. | 1,313,822 | 173,135 |
Cerner Corp. | 2,380,166 | 171,086 | |
Baxter International Inc. | 1,962,519 | 165,519 | |
West Pharmaceutical Services Inc. | 575,785 | 162,245 | |
Teleflex Inc. | 362,848 | 150,749 | |
Cooper Cos. Inc. | 381,924 | 146,693 | |
* | Seagen Inc. | 1,055,880 | 146,619 |
* | Insulet Corp. | 513,116 | 133,882 |
* | Alnylam Pharmaceuticals Inc. | 909,180 | 128,367 |
* | Varian Medical Systems Inc. | 713,645 | 125,980 |
* | Alexion Pharmaceuticals Inc. | 810,976 | 124,006 |
* | Incyte Corp. | 1,452,094 | 118,012 |
* | ABIOMED Inc. | 351,477 | 112,026 |
* | BioMarin Pharmaceutical Inc. | 1,410,629 | 106,517 |
* | Horizon Therapeutics plc | 869,251 | 80,006 |
* | Catalent Inc. | 660,444 | 69,551 |
* | 10X Genomics Inc. Class A | 283,837 | 51,374 |
* | Bio-Rad Laboratories Inc. Class A | 81,679 | 46,653 |
* | PPD Inc. | 952,265 | 36,034 |
* | Oak Street Health Inc. | 653,872 | 35,486 |
*,^ | GoodRx Holdings Inc. Class A | 297,256 | 11,599 |
12,093,901 | |||
Industrials (13.4%) | |||
Visa Inc. Class A | 12,730,288 | 2,695,384 | |
Mastercard Inc. Class A | 6,887,409 | 2,452,262 | |
* | PayPal Holdings Inc. | 9,097,693 | 2,209,284 |
Accenture plc Class A | 5,135,597 | 1,418,709 | |
* | Boeing Co. | 4,529,020 | 1,153,632 |
Union Pacific Corp. | 5,203,403 | 1,146,882 | |
* | Square Inc. | 3,027,887 | 687,482 |
Fidelity National Information Services Inc. | 4,824,667 | 678,396 | |
Automatic Data Processing Inc. | 3,157,919 | 595,173 | |
* | Fiserv Inc. | 4,426,733 | 526,958 |
United Parcel Service Inc. Class B | 2,793,833 | 474,924 |
Sherwin-Williams Co. | 626,471 | 462,342 | |
Global Payments Inc. | 2,293,566 | 462,337 | |
Lockheed Martin Corp. | 924,949 | 341,769 | |
L3Harris Technologies Inc. | 1,631,568 | 330,686 | |
IHS Markit Ltd. | 2,771,579 | 268,233 | |
Paychex Inc. | 2,520,086 | 247,019 | |
Rockwell Automation Inc. | 902,611 | 239,589 | |
Cintas Corp. | 693,181 | 236,590 | |
Verisk Analytics Inc. Class A | 1,263,866 | 223,312 | |
* | Mettler-Toledo International Inc. | 181,893 | 210,212 |
* | Keysight Technologies Inc. | 1,446,030 | 207,361 |
* | Zebra Technologies Corp. | 415,178 | 201,436 |
Old Dominion Freight Line Inc. | 817,827 | 196,614 | |
Kansas City Southern | 705,965 | 186,318 | |
* | FleetCor Technologies Inc. | 650,177 | 174,657 |
Vulcan Materials Co. | 1,030,006 | 173,813 | |
Equifax Inc. | 945,263 | 171,215 | |
* | Trimble Inc. | 1,944,063 | 151,229 |
Expeditors International of Washington Inc. | 1,316,154 | 141,737 | |
* | Waters Corp. | 483,214 | 137,315 |
TransUnion | 1,481,936 | 133,374 | |
AMETEK Inc. | 895,503 | 114,383 | |
JB Hunt Transport Services Inc. | 657,129 | 110,444 | |
Ball Corp. | 1,274,138 | 107,970 | |
Martin Marietta Materials Inc. | 242,021 | 81,275 | |
* | Generac Holdings Inc. | 243,885 | 79,860 |
HEICO Corp. Class A | 566,851 | 64,394 | |
Masco Corp. | 999,138 | 59,848 | |
Wabtec Corp. | 695,727 | 55,074 | |
Cognex Corp. | 649,749 | 53,923 | |
Jack Henry & Associates Inc. | 295,588 | 44,847 | |
HEICO Corp. | 336,893 | 42,381 | |
*,^ | Affirm Holdings Inc. | 201,691 | 14,263 |
19,764,906 | |||
Real Estate (2.6%) | |||
American Tower Corp. | 3,450,507 | 824,878 | |
Crown Castle International Corp. | 3,350,558 | 576,732 | |
Equinix Inc. | 693,643 | 471,393 | |
Digital Realty Trust Inc. | 2,176,508 | 306,539 | |
Public Storage | 1,155,284 | 285,078 | |
* | CoStar Group Inc. | 306,022 | 251,516 |
SBA Communications Corp. Class A | 852,625 | 236,646 | |
Alexandria Real Estate Equities Inc. | 1,062,179 | 174,516 | |
* | Zillow Group Inc. Class C | 1,214,704 | 157,474 |
Invitation Homes Inc. | 4,407,528 | 140,997 | |
Sun Communities Inc. | 867,294 | 130,129 | |
Realty Income Corp. | 1,449,488 | 92,043 | |
UDR Inc. | 1,153,338 | 50,585 | |
* | Zillow Group Inc. Class A | 330,263 | 43,390 |
Regency Centers Corp. | 659,890 | 37,422 | |
3,779,338 | |||
Technology (46.0%) | |||
Apple Inc. | 117,368,200 | 14,336,526 | |
Microsoft Corp. | 58,587,270 | 13,813,121 | |
* | Facebook Inc. Class A | 18,685,212 | 5,503,356 |
* | Alphabet Inc. Class A | 2,336,043 | 4,818,135 |
* | Alphabet Inc. Class C | 2,162,795 | 4,474,023 |
NVIDIA Corp. | 4,568,036 | 2,439,012 | |
* | Adobe Inc. | 3,718,503 | 1,767,665 |
Broadcom Inc. | 3,171,253 | 1,470,383 | |
* | salesforce.com Inc. | 6,772,558 | 1,434,902 |
Texas Instruments Inc. | 7,149,011 | 1,351,092 | |
Applied Materials Inc. | 7,128,095 | 952,314 | |
Intuit Inc. | 2,020,639 | 774,026 | |
* | Micron Technology Inc. | 8,689,235 | 766,477 |
* | ServiceNow Inc. | 1,523,171 | 761,753 |
* | Advanced Micro Devices Inc. | 9,408,315 | 738,553 |
Lam Research Corp. | 1,110,086 | 660,768 | |
QUALCOMM Inc. | 4,412,142 | 585,006 | |
* | Zoom Video Communications Inc. Class A | 1,505,915 | 483,835 |
* | Autodesk Inc. | 1,708,252 | 473,442 |
* | Snap Inc. | 8,759,940 | 458,057 |
* | Twilio Inc. Class A | 1,243,118 | 423,605 |
KLA Corp. | 1,197,068 | 395,511 | |
* | Twitter Inc. | 5,891,109 | 374,851 |
* | Workday Inc. Class A | 1,429,577 | 355,150 |
Roper Technologies Inc. | 814,881 | 328,674 | |
Microchip Technology Inc. | 2,092,316 | 324,769 | |
Amphenol Corp. Class A | 4,652,467 | 306,923 | |
* | Pinterest Inc. Class A | 4,136,998 | 306,262 |
* | Cadence Design Systems Inc. | 2,166,242 | 296,754 |
* | Synopsys Inc. | 1,183,158 | 293,163 |
* | DocuSign Inc. Class A | 1,377,198 | 278,814 |
* | Match Group Inc. | 1,963,548 | 269,752 |
Marvell Technology Group Ltd. | 5,216,254 | 255,492 | |
* | Crowdstrike Holdings Inc. Class A | 1,388,896 | 253,487 |
Xilinx Inc. | 1,904,450 | 235,961 | |
Skyworks Solutions Inc. | 1,280,291 | 234,908 | |
* | Palo Alto Networks Inc. | 717,304 | 231,015 |
* | ANSYS Inc. | 674,088 | 228,893 |
Analog Devices Inc. | 1,433,189 | 222,259 | |
* | Okta Inc. | 941,956 | 207,635 |
* | Fortinet Inc. | 1,077,925 | 198,791 |
Maxim Integrated Products Inc. | 2,082,830 | 190,308 | |
* | RingCentral Inc. Class A | 623,861 | 185,836 |
* | Splunk Inc. | 1,256,688 | 170,256 |
* | EPAM Systems Inc. | 414,175 | 164,299 |
Teradyne Inc. | 1,294,426 | 157,506 | |
* | HubSpot Inc. | 341,817 | 155,257 |
* | Slack Technologies Inc. Class A | 3,701,873 | 150,407 |
* | VeriSign Inc. | 747,018 | 148,477 |
* | Paycom Software Inc. | 397,555 | 147,119 |
* | Coupa Software Inc. | 560,913 | 142,741 |
* | Datadog Inc. Class A | 1,635,370 | 136,292 |
Citrix Systems Inc. | 955,535 | 134,119 | |
* | Tyler Technologies Inc. | 315,306 | 133,857 |
* | IAC/InterActiveCorp | 612,511 | 132,492 |
* | Akamai Technologies Inc. | 1,265,024 | 128,906 |
* | Gartner Inc. | 654,962 | 119,563 |
SS&C Technologies Holdings Inc. | 1,690,617 | 118,123 | |
* | Cloudflare Inc. Class A | 1,652,011 | 116,070 |
*,^ | Unity Software Inc. | 1,063,387 | 106,668 |
* | GoDaddy Inc. Class A | 1,317,712 | 102,281 |
* | Zscaler Inc. | 573,503 | 98,453 | |
*,^ | VMware Inc. Class A | 609,660 | 91,723 | |
* | Black Knight Inc. | 1,159,216 | 85,770 | |
* | Dropbox Inc. Class A | 2,445,335 | 65,193 | |
* | Palantir Technologies Inc. Class A | 2,721,418 | 63,382 | |
* | Snowflake Inc. Class A | 275,673 | 63,206 | |
* | Zendesk Inc. | 456,845 | 60,587 | |
Monolithic Power Systems Inc. | 166,844 | 58,931 | ||
* | IPG Photonics Corp. | 270,402 | 57,039 | |
* | MongoDB Inc. | 210,435 | 56,277 | |
* | ZoomInfo Technologies Inc. Class A | 689,574 | 33,720 | |
*,^ | DoorDash Inc. Class A | 222,512 | 29,178 | |
* | Bumble Inc. Class A | 448,064 | 27,950 | |
* | Qualtrics International Inc. Class A | 205,327 | 6,757 | |
67,723,858 | ||||
Telecommunications (0.9%) | ||||
* | Charter Communications Inc. Class A | 978,152 | 603,539 | |
* | Roku Inc. | 862,536 | 280,988 | |
* | Arista Networks Inc. | 444,811 | 134,284 | |
Motorola Solutions Inc. | 656,735 | 123,499 | ||
* | Liberty Broadband Corp. | 612,567 | 91,977 | |
* | Altice USA Inc. Class A | 1,787,121 | 58,135 | |
* | Liberty Broadband Corp. Class A | 93,901 | 13,630 | |
Ubiquiti Inc. | 24,360 | 7,267 | ||
1,313,319 | ||||
Utilities (0.1%) | ||||
Waste Connections Inc. | 2,035,833 | 219,829 | ||
Total Common Stocks (Cost $63,007,339) | 147,049,955 | |||
Coupon | ||||
Temporary Cash Investment (0.3%) | ||||
Money Market Fund (0.3%) | ||||
1,2 Vanguard Market Liquidity Fund (Cost | ||||
$432,705) | 0.081% | 4,327,790 | 432,779 | |
Total Investments (100.1%) (Cost $63,440,044) | 147,482,734 | |||
Other Assets and Liabilities -Net (-0.1%) | (176,700) | |||
Net Assets (100%) | 147,306,034 | |||
Cost is in $000. |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $156,008,000.
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.
2 Collateral of $159,515,000 was received for securities on loan.
Derivative Financial Instruments Outstanding as of Period End | ||||||
Futures Contracts | ||||||
($000) | ||||||
Value and | ||||||
Number of | Unrealized | |||||
Long (Short) | Notional | Appreciation | ||||
Expiration | Contracts | Amount | (Depreciation) | |||
Long Futures Contracts | ||||||
E-mini S&P 500 Index | June 2021 | 602 | 119,419 | 1,425 | ||
Over-the-Counter Total Return Swaps | ||||||
Floating | ||||||
Interest | ||||||
Rate | Value and | Value and | ||||
Notional | Received | Unrealized | Unrealized | |||
Termination | Amount | (Paid)1 | Appreciation | (Depreciation) | ||
Reference Entity | Date | Counterparty | ($000) | (%) | ($000) | ($000) |
Visa Inc. Class A | 9/2/21 | BOANA | 94,514 | (0.019) | — | (295) |
Netflix Inc. | 9/2/21 | BOANA | 53,885 | 0.032 | — | (1,718) |
— | (2,013) |
1 Based on 1-month 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 NA.
At March 31, 2021, the counterparties had deposited in segregated accounts cash with a value of $2,630,000.
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 t he 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 o n 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
March 31, 2021, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | Total | |
($000) | ($000) | ($000) | ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 147,049,955 | — | — | 147,049,955 |
Temporary Cash Investments | 432,779 | — | — | 432,779 |
Total | 147,482,734 | — | — | 147,482,734 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 1,425 | — | — | 1,425 |
Liabilities | ||||
Swap Contracts | — | 2,013 | — | 2,013 |
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps,
if any, as reported in the Schedule of Investments.