Vanguard® Growth Index Fund
Schedule of Investments (unaudited)
As of March 31, 2022
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 (99.8%) | |||
Basic Materials (1.2%) | |||
Linde plc | 4,054,617 | 1,295,166 | |
Ecolab Inc. | 2,056,776 | 363,144 | |
Fastenal Co. | 4,591,556 | 272,739 | |
Albemarle Corp. | 467,107 | 103,301 | |
2,034,350 | |||
Consumer Discretionary (23.9%) | |||
* | Amazon.com Inc. | 3,449,818 | 11,246,234 |
* | Tesla Inc. | 6,594,712 | 7,106,462 |
Home Depot Inc. | 8,328,681 | 2,493,024 | |
Costco Wholesale Corp. | 3,536,661 | 2,036,586 | |
* | Walt Disney Co. | 14,521,829 | 1,991,814 |
McDonald's Corp. | 5,930,814 | 1,466,572 | |
NIKE Inc. Class B | 10,179,848 | 1,369,800 | |
* | Netflix Inc. | 3,441,021 | 1,288,972 |
Lowe's Cos. Inc. | 5,344,436 | 1,080,592 | |
Starbucks Corp. | 9,176,018 | 834,742 | |
* | Booking Holdings Inc. | 326,177 | 766,010 |
TJX Cos. Inc. | 9,040,289 | 547,661 | |
Estee Lauder Cos. Inc. Class A | 1,668,164 | 454,274 | |
* | Airbnb Inc. Class A | 2,489,189 | 427,543 |
* | Uber Technologies Inc. | 11,689,985 | 417,099 |
Dollar General Corp. | 1,847,660 | 411,345 | |
* | Marriott International Inc. Class A | 2,212,032 | 388,765 |
* | O'Reilly Automotive Inc. | 534,545 | 366,142 |
* | Lululemon Athletica Inc. | 940,302 | 343,426 |
* | Hilton Worldwide Holdings Inc. | 2,226,442 | 337,840 |
* | AutoZone Inc. | 164,569 | 336,474 |
* | Chipotle Mexican Grill Inc. Class A | 212,384 | 335,998 |
Electronic Arts Inc. | 2,243,276 | 283,797 | |
Yum! Brands Inc. | 2,305,368 | 273,255 | |
* | Aptiv plc | 2,158,202 | 258,358 |
Ross Stores Inc. | 2,818,904 | 254,998 | |
* | Trade Desk Inc. Class A | 3,493,298 | 241,911 |
Activision Blizzard Inc. | 2,950,564 | 236,370 | |
* | Expedia Group Inc. | 1,197,656 | 234,345 |
* | Copart Inc. | 1,702,423 | 213,603 |
Tractor Supply Co. | 899,165 | 209,838 | |
* | Ulta Beauty Inc. | 431,616 | 171,878 |
* | Royal Caribbean Cruises Ltd. | 1,727,982 | 144,770 |
* | Take-Two Interactive Software Inc. | 920,678 | 141,545 |
* | Live Nation Entertainment Inc. | 1,164,753 | 137,022 |
* | Las Vegas Sands Corp. | 3,349,292 | 130,187 |
Shares | Market Value ($000) | ||
* | Etsy Inc. | 1,011,275 | 125,681 |
* | Caesars Entertainment Inc. | 1,622,943 | 125,551 |
Domino's Pizza Inc. | 290,309 | 118,159 | |
* | NVR Inc. | 25,628 | 114,487 |
* | Roblox Corp. Class A | 2,345,753 | 108,468 |
*,1 | AMC Entertainment Holdings Inc. Class A | 4,100,793 | 101,044 |
* | Burlington Stores Inc. | 532,965 | 97,090 |
* | Lyft Inc. Class A | 2,277,147 | 87,442 |
* | Carvana Co. Class A | 661,924 | 78,961 |
*,1 | Rivian Automotive Inc. Class A | 1,407,343 | 70,705 |
Rollins Inc. | 1,965,182 | 68,880 | |
* | Wayfair Inc. Class A | 600,800 | 66,557 |
* | Wynn Resorts Ltd. | 829,123 | 66,114 |
Pool Corp. | 151,613 | 64,110 | |
*,1 | Lucid Group Inc. | 2,301,280 | 58,452 |
* | DraftKings Inc. Class A | 2,441,417 | 47,534 |
Vail Resorts Inc. | 161,147 | 41,942 | |
Warner Music Group Corp. Class A | 931,303 | 35,250 | |
* | Endeavor Group Holdings Inc. Class A | 1,157,033 | 34,156 |
1 | Sirius XM Holdings Inc. | 4,737,546 | 31,363 |
* | Peloton Interactive Inc. Class A | 1,148,782 | 30,351 |
*,1 | Chewy Inc. Class A | 680,497 | 27,751 |
*,1 | QuantumScape Corp. Class A | 806,969 | 16,131 |
40,595,431 | |||
Consumer Staples (0.7%) | |||
Colgate-Palmolive Co. | 3,352,999 | 254,258 | |
Hershey Co. | 1,161,910 | 251,704 | |
* | Monster Beverage Corp. | 2,952,877 | 235,935 |
Church & Dwight Co. Inc. | 1,935,243 | 192,324 | |
Brown-Forman Corp. Class B | 2,340,490 | 156,860 | |
Brown-Forman Corp. Class A | 276,438 | 17,344 | |
Lamb Weston Holdings Inc. | 289,114 | 17,321 | |
* | Olaplex Holdings Inc. | 516,197 | 8,068 |
1,133,814 | |||
Energy (0.7%) | |||
Pioneer Natural Resources Co. | 1,839,901 | 460,030 | |
Cheniere Energy Inc. | 1,826,770 | 253,282 | |
* | Enphase Energy Inc. | 961,278 | 193,967 |
* | Plug Power Inc. | 4,598,132 | 131,552 |
Diamondback Energy Inc. | 708,715 | 97,151 | |
Coterra Energy Inc. | 3,079,730 | 83,060 | |
1,219,042 | |||
Financials (2.5%) | |||
S&P Global Inc. | 2,685,250 | 1,101,436 | |
Aon plc Class A (XNYS) | 1,621,248 | 527,927 | |
Moody's Corp. | 1,255,235 | 423,529 | |
Blackstone Inc. | 2,808,258 | 356,480 | |
MSCI Inc. Class A | 615,755 | 309,651 | |
* | SVB Financial Group | 468,837 | 262,291 |
First Republic Bank | 1,427,515 | 231,400 | |
Apollo Global Management Inc. | 3,351,040 | 207,731 | |
* | Coinbase Global Inc. Class A | 1,091,741 | 207,278 |
Broadridge Financial Solutions Inc. | 931,567 | 145,054 | |
FactSet Research Systems Inc. | 301,569 | 130,926 | |
MarketAxess Holdings Inc. | 286,853 | 97,587 | |
* | Markel Corp. | 51,594 | 76,114 |
Tradeweb Markets Inc. Class A | 854,566 | 75,091 |
Shares | Market Value ($000) | ||
Ares Management Corp. Class A | 601,959 | 48,897 | |
Interactive Brokers Group Inc. Class A | 372,388 | 24,544 | |
4,225,936 | |||
Health Care (7.4%) | |||
Thermo Fisher Scientific Inc. | 3,119,969 | 1,842,810 | |
* | Intuitive Surgical Inc. | 2,853,457 | 860,831 |
Danaher Corp. | 2,567,440 | 753,107 | |
Stryker Corp. | 2,710,420 | 724,631 | |
Zoetis Inc. | 3,387,992 | 638,941 | |
* | Edwards Lifesciences Corp. | 4,969,679 | 585,031 |
* | Regeneron Pharmaceuticals Inc. | 808,615 | 564,753 |
* | Vertex Pharmaceuticals Inc. | 2,030,726 | 529,959 |
* | Boston Scientific Corp. | 11,377,446 | 503,907 |
* | Moderna Inc. | 2,587,603 | 445,740 |
* | Illumina Inc. | 1,251,959 | 437,434 |
* | DexCom Inc. | 774,144 | 396,052 |
* | IDEXX Laboratories Inc. | 671,917 | 367,579 |
* | IQVIA Holdings Inc. | 1,522,585 | 352,037 |
Agilent Technologies Inc. | 2,408,709 | 318,744 | |
ResMed Inc. | 1,166,496 | 282,887 | |
* | Align Technology Inc. | 597,699 | 260,597 |
West Pharmaceutical Services Inc. | 592,636 | 243,401 | |
* | Veeva Systems Inc. Class A | 1,108,318 | 235,473 |
* | Horizon Therapeutics plc | 1,808,609 | 190,284 |
PerkinElmer Inc. | 1,006,379 | 175,573 | |
Cooper Cos. Inc. | 393,246 | 164,216 | |
* | Seagen Inc. | 1,098,483 | 158,236 |
* | Alnylam Pharmaceuticals Inc. | 958,800 | 156,562 |
* | Catalent Inc. | 1,357,458 | 150,542 |
* | Insulet Corp. | 552,112 | 147,077 |
* | Avantor Inc. | 4,135,860 | 139,875 |
* | Incyte Corp. | 1,501,155 | 119,222 |
* | ABIOMED Inc. | 345,123 | 114,319 |
* | BioMarin Pharmaceutical Inc. | 1,467,408 | 113,137 |
* | Exact Sciences Corp. | 1,386,904 | 96,972 |
STERIS plc | 399,640 | 96,621 | |
* | Bio-Rad Laboratories Inc. Class A | 168,659 | 94,994 |
* | Teladoc Health Inc. | 1,150,385 | 82,977 |
Teleflex Inc. | 187,088 | 66,384 | |
* | Charles River Laboratories International Inc. | 201,138 | 57,117 |
* | agilon health Inc. | 1,410,995 | 35,769 |
* | 10X Genomics Inc. Class A | 335,107 | 25,492 |
* | GoodRx Holdings Inc. Class A | 273,826 | 5,293 |
*,1 | Ginkgo Bioworks Holdings Inc. | 709,812 | 2,861 |
12,537,437 | |||
Industrials (10.3%) | |||
Visa Inc. Class A | 12,782,907 | 2,834,865 | |
Mastercard Inc. Class A | 6,961,303 | 2,487,830 | |
Accenture plc Class A | 5,250,900 | 1,770,761 | |
* | PayPal Holdings Inc. | 9,293,381 | 1,074,780 |
* | Boeing Co. | 4,650,468 | 890,565 |
Automatic Data Processing Inc. | 3,350,194 | 762,303 | |
Union Pacific Corp. | 2,540,030 | 693,962 | |
United Parcel Service Inc. Class B | 2,921,495 | 626,544 | |
* | Block Inc. (XNYS) | 4,089,044 | 554,474 |
* | Fiserv Inc. | 4,682,615 | 474,817 |
Sherwin-Williams Co. | 1,868,590 | 466,437 |
Shares | Market Value ($000) | ||
Paychex Inc. | 2,589,459 | 353,384 | |
Global Payments Inc. | 2,249,323 | 307,797 | |
Cintas Corp. | 703,091 | 299,088 | |
Verisk Analytics Inc. Class A | 1,286,680 | 276,160 | |
Rockwell Automation Inc. | 926,975 | 259,581 | |
* | Mettler-Toledo International Inc. | 181,983 | 249,897 |
Old Dominion Freight Line Inc. | 824,690 | 246,318 | |
Equifax Inc. | 973,264 | 230,761 | |
* | Keysight Technologies Inc. | 1,441,420 | 227,701 |
Vulcan Materials Co. | 1,058,145 | 194,381 | |
* | Bill.Com Holdings Inc. | 784,682 | 177,958 |
* | Teledyne Technologies Inc. | 372,105 | 175,868 |
* | Zebra Technologies Corp. Class A | 423,262 | 175,104 |
TransUnion | 1,530,723 | 158,185 | |
* | Generac Holdings Inc. | 508,712 | 151,220 |
* | Waters Corp. | 482,681 | 149,819 |
* | Trimble Inc. | 2,003,991 | 144,568 |
Expeditors International of Washington Inc. | 1,351,361 | 139,406 | |
* | TransDigm Group Inc. | 210,227 | 136,971 |
JB Hunt Transport Services Inc. | 670,150 | 134,559 | |
Ball Corp. | 1,282,609 | 115,435 | |
Martin Marietta Materials Inc. | 248,561 | 95,669 | |
* | FleetCor Technologies Inc. | 307,220 | 76,516 |
HEICO Corp. Class A | 581,810 | 73,791 | |
* | Affirm Holdings Inc. | 1,514,782 | 70,104 |
Jack Henry & Associates Inc. | 290,798 | 57,302 | |
Cognex Corp. | 658,064 | 50,770 | |
HEICO Corp. | 328,173 | 50,388 | |
* | Aurora Innovation Inc. | 194,907 | 1,090 |
17,417,129 | |||
Real Estate (2.4%) | |||
American Tower Corp. | 3,632,405 | 912,533 | |
Crown Castle International Corp. | 3,447,692 | 636,444 | |
Equinix Inc. | 723,698 | 536,709 | |
Public Storage | 1,189,709 | 464,320 | |
Digital Realty Trust Inc. | 2,268,540 | 321,679 | |
SBA Communications Corp. Class A | 867,731 | 298,586 | |
* | CoStar Group Inc. | 3,149,371 | 209,780 |
Invitation Homes Inc. | 4,845,060 | 194,674 | |
Realty Income Corp. | 2,357,933 | 163,405 | |
Sun Communities Inc. | 924,920 | 162,129 | |
UDR Inc. | 1,267,656 | 72,725 | |
* | Zillow Group Inc. Class C | 1,313,564 | 64,746 |
* | Zillow Group Inc. Class A | 340,889 | 16,441 |
* | Opendoor Technologies Inc. | 1,856,210 | 16,056 |
4,070,227 | |||
Technology (49.6%) | |||
Apple Inc. | 123,656,979 | 21,591,745 | |
Microsoft Corp. | 59,795,876 | 18,435,667 | |
* | Alphabet Inc. Class A | 2,398,754 | 6,671,774 |
* | Alphabet Inc. Class C | 2,140,045 | 5,977,124 |
NVIDIA Corp. | 18,943,303 | 5,168,870 | |
* | Meta Platforms Inc. Class A | 18,417,958 | 4,095,417 |
* | Adobe Inc. | 3,762,584 | 1,714,309 |
* | salesforce.com Inc. | 7,463,378 | 1,584,624 |
* | Advanced Micro Devices Inc. | 12,980,732 | 1,419,313 |
Texas Instruments Inc. | 7,366,041 | 1,351,521 |
Shares | Market Value ($000) | ||
Intuit Inc. | 2,145,758 | 1,031,766 | |
Applied Materials Inc. | 7,045,848 | 928,643 | |
* | ServiceNow Inc. | 1,595,458 | 888,495 |
Micron Technology Inc. | 8,931,604 | 695,683 | |
QUALCOMM Inc. | 4,494,376 | 686,831 | |
Lam Research Corp. | 1,112,718 | 598,208 | |
* | Palo Alto Networks Inc. | 785,626 | 489,060 |
Marvell Technology Inc. | 6,731,129 | 482,689 | |
* | Snowflake Inc. Class A | 2,076,982 | 475,899 |
KLA Corp. | 1,202,388 | 440,146 | |
* | Synopsys Inc. | 1,220,850 | 406,873 |
Roper Technologies Inc. | 842,155 | 397,691 | |
* | Fortinet Inc. | 1,108,240 | 378,730 |
* | Autodesk Inc. | 1,754,198 | 376,012 |
* | Workday Inc. Class A | 1,539,887 | 368,741 |
* | Cadence Design Systems Inc. | 2,211,693 | 363,735 |
Amphenol Corp. Class A | 4,776,372 | 359,900 | |
* | Crowdstrike Holdings Inc. Class A | 1,577,430 | 358,203 |
* | Snap Inc. Class A | 9,832,483 | 353,871 |
Microchip Technology Inc. | 4,434,483 | 333,207 | |
* | Datadog Inc. Class A | 1,949,554 | 295,299 |
* | Cloudflare Inc. Class A | 1,994,245 | 238,711 |
* | Match Group Inc. | 2,159,769 | 234,853 |
* | Twitter Inc. | 6,064,011 | 234,617 |
* | DoorDash Inc. Class A | 1,988,569 | 233,040 |
* | Twilio Inc. Class A | 1,368,870 | 225,603 |
* | MongoDB Inc. Class A | 505,582 | 224,271 |
* | ANSYS Inc. | 695,531 | 220,935 |
* | Zoom Video Communications Inc. Class A | 1,641,872 | 192,477 |
* | Palantir Technologies Inc. Class A | 13,845,504 | 190,099 |
* | Splunk Inc. | 1,266,366 | 188,195 |
* | Gartner Inc. | 623,365 | 185,426 |
* | Okta Inc. | 1,184,200 | 178,767 |
Skyworks Solutions Inc. | 1,307,958 | 174,325 | |
* | HubSpot Inc. | 360,333 | 171,137 |
Monolithic Power Systems Inc. | 350,474 | 170,218 | |
* | VeriSign Inc. | 746,905 | 166,156 |
* | Unity Software Inc. | 1,641,305 | 162,834 |
* | Zscaler Inc. | 670,367 | 161,746 |
* | DocuSign Inc. Class A | 1,499,419 | 160,618 |
Teradyne Inc. | 1,295,478 | 153,164 | |
* | Tyler Technologies Inc. | 329,602 | 146,637 |
* | Paycom Software Inc. | 408,221 | 141,400 |
SS&C Technologies Holdings Inc. | 1,724,251 | 129,353 | |
* | EPAM Systems Inc. | 430,794 | 127,778 |
* | ZoomInfo Technologies Inc. Class A | 2,091,180 | 124,927 |
* | Pinterest Inc. Class A | 4,544,212 | 111,833 |
* | GoDaddy Inc. Class A | 1,334,131 | 111,667 |
* | RingCentral Inc. Class A | 664,243 | 77,856 |
* | Akamai Technologies Inc. | 647,219 | 77,271 |
Bentley Systems Inc. Class B | 1,622,158 | 71,667 | |
* | AppLovin Corp. Class A | 1,299,618 | 71,570 |
* | Black Knight Inc. | 1,175,307 | 68,156 |
* | Coupa Software Inc. | 594,823 | 60,452 |
* | Zendesk Inc. | 485,427 | 58,392 |
* | Dropbox Inc. Class A | 2,261,920 | 52,590 |
* | IAC/InterActiveCorp. | 317,332 | 31,822 |
* | Qualtrics International Inc. Class A | 644,868 | 18,411 |
Shares | Market Value ($000) | ||
*,1 | HashiCorp Inc. Class A | 61,081 | 3,298 |
*,1 | Gitlab Inc. Class A | 43,639 | 2,376 |
* | Toast Inc. Class A | 91,139 | 1,980 |
84,076,674 | |||
Telecommunications (0.9%) | |||
* | Charter Communications Inc. Class A | 895,667 | 488,604 |
* | T-Mobile US Inc. | 2,490,562 | 319,664 |
* | Arista Networks Inc. | 1,841,547 | 255,938 |
Motorola Solutions Inc. | 670,820 | 162,473 | |
* | Liberty Broadband Corp. Class C | 1,135,194 | 153,614 |
* | Roku Inc. | 950,120 | 119,022 |
* | Liberty Broadband Corp. Class A | 173,001 | 22,673 |
1,521,988 | |||
Utilities (0.2%) | |||
Waste Connections Inc. (XTSE) | 2,052,411 | 286,722 | |
Total Common Stocks (Cost $75,733,114) | 169,118,750 | ||
Temporary Cash Investments (0.3%) | |||
Money Market Fund (0.3%) | |||
2,3 | Vanguard Market Liquidity Fund, 0.312% (Cost $570,518) | 5,706,303 | 570,574 |
Total Investments (100.1%) (Cost $76,303,632) | 169,689,324 | ||
Other Assets and Liabilities—Net (-0.1%) | (196,348) | ||
Net Assets (100%) | 169,492,976 | ||
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 $190,580,000. |
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 $205,990,000 was received for securities on loan. |
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 500 Index | June 2022 | 1,112 | 251,910 | 13,536 |
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) |
Netflix Inc. | 8/31/22 | BANA | 37,459 | (0.070) | — | (2) |
Visa Inc. Class A | 8/31/22 | BANA | 98,688 | (0.030) | 169 | — |
169 | (2) |
1 | Based on 1M USD Overnight Bank Funding Rate as of the most recent payment date. Floating interest payment received/paid monthly. |
1M—1-month. | |
BANA—Bank of America, N.A. |
At March 31, 2022, the counterparties had deposited in segregated accounts securities with a value of $2,444,000 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.
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 March 31, 2022, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 169,118,750 | — | — | 169,118,750 |
Temporary Cash Investments | 570,574 | — | — | 570,574 |
Total | 169,689,324 | — | — | 169,689,324 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 13,536 | — | — | 13,536 |
Swap Contracts | — | 169 | — | 169 |
Total | 13,536 | 169 | — | 13,705 |
Liabilities | ||||
Swap Contracts | — | 2 | — | 2 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |