Vanguard® Dividend Appreciation Index Fund
Schedule of Investments (unaudited)
As of October 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 (99.7%) | |||
Communication Services (1.7%) | |||
Comcast Corp. Class A | 28,041,981 | 890,053 | |
Activision Blizzard Inc. | 4,497,547 | 327,421 | |
John Wiley & Sons Inc. Class A | 272,737 | 11,507 | |
1,228,981 | |||
Consumer Discretionary (9.1%) | |||
Home Depot Inc. | 6,563,658 | 1,943,696 | |
McDonald's Corp. | 4,649,027 | 1,267,604 | |
Lowe's Cos. Inc. | 4,150,513 | 809,143 | |
NIKE Inc. Class B | 7,994,482 | 740,929 | |
Starbucks Corp. | 7,438,082 | 644,064 | |
Target Corp. | 2,984,838 | 490,260 | |
Genuine Parts Co. | 893,952 | 158,998 | |
Tractor Supply Co. | 700,948 | 154,047 | |
Best Buy Co. Inc. | 1,292,450 | 88,416 | |
Pool Corp. | 250,087 | 76,084 | |
Service Corp. International | 996,995 | 60,428 | |
VF Corp. | 2,111,001 | 59,636 | |
Williams-Sonoma Inc. | 443,683 | 54,941 | |
Whirlpool Corp. | 355,730 | 49,176 | |
Churchill Downs Inc. | 209,616 | 43,581 | |
Gentex Corp. | 1,478,264 | 39,159 | |
Polaris Inc. | 353,055 | 35,870 | |
Lithia Motors Inc. Class A | 174,312 | 34,540 | |
Thor Industries Inc. | 343,460 | 27,982 | |
Monro Inc. | 204,616 | 9,770 | |
Dillard's Inc. Class A | 23,954 | 7,876 | |
Aaron's Co. Inc. | 196,542 | 2,048 | |
6,798,248 | |||
Consumer Staples (13.6%) | |||
Procter & Gamble Co. | 15,244,447 | 2,052,970 | |
PepsiCo Inc. | 8,715,877 | 1,582,629 | |
Coca-Cola Co. | 24,594,676 | 1,471,991 | |
Costco Wholesale Corp. | 2,789,052 | 1,398,709 | |
Walmart Inc. | 9,055,109 | 1,288,814 | |
Colgate-Palmolive Co. | 5,271,964 | 389,282 | |
Archer-Daniels-Midland Co. | 3,541,713 | 343,475 | |
Sysco Corp. | 3,253,183 | 281,595 | |
Hershey Co. | 928,338 | 221,659 | |
Kroger Co. | 3,161,729 | 149,518 | |
Tyson Foods Inc. Class A | 1,845,161 | 126,117 | |
McCormick & Co. Inc. | 1,580,397 | 124,282 | |
Church & Dwight Co. Inc. | 1,548,909 | 114,821 |
Shares | Market Value ($000) | ||
Clorox Co. | 777,314 | 113,519 | |
J M Smucker Co. | 674,358 | 101,599 | |
Hormel Foods Corp. | 1,829,537 | 84,982 | |
Brown-Forman Corp. Class B | 1,156,335 | 78,631 | |
Casey's General Stores Inc. | 235,748 | 54,861 | |
Ingredion Inc. | 415,998 | 37,074 | |
Lancaster Colony Corp. | 124,488 | 22,443 | |
J & J Snack Foods Corp. | 93,454 | 13,795 | |
WD-40 Co. | 85,532 | 13,699 | |
Nu Skin Enterprises Inc. Class A | 316,577 | 12,090 | |
SpartanNash Co. | 224,051 | 8,001 | |
Andersons Inc. | 201,454 | 7,105 | |
Tootsie Roll Industries Inc. | 109,445 | 4,420 | |
10,098,081 | |||
Energy (0.1%) | |||
Texas Pacific Land Corp. | 39,026 | 89,911 | |
Financials (15.1%) | |||
JPMorgan Chase & Co. | 18,530,874 | 2,332,666 | |
Goldman Sachs Group Inc. | 2,156,660 | 742,991 | |
S&P Global Inc. | 2,152,917 | 691,625 | |
BlackRock Inc. | 953,799 | 616,068 | |
Chubb Ltd. | 2,638,735 | 567,038 | |
Marsh & McLennan Cos. Inc. | 3,152,932 | 509,167 | |
PNC Financial Services Group Inc. | 2,608,069 | 422,064 | |
CME Group Inc. | 2,271,352 | 393,625 | |
Aon plc Class A (XNYS) | 1,367,285 | 384,877 | |
Truist Financial Corp. | 8,382,476 | 375,451 | |
Travelers Cos. Inc. | 1,529,940 | 282,213 | |
Moody's Corp. | 997,294 | 264,153 | |
Arthur J Gallagher & Co. | 1,322,063 | 247,331 | |
Aflac Inc. | 3,687,034 | 240,063 | |
Allstate Corp. | 1,745,586 | 220,380 | |
Ameriprise Financial Inc. | 689,274 | 213,068 | |
Bank of New York Mellon Corp. | 4,772,784 | 200,982 | |
Discover Financial Services | 1,756,708 | 183,506 | |
State Street Corp. | 2,320,540 | 171,720 | |
Fifth Third Bancorp | 4,339,363 | 154,872 | |
T Rowe Price Group Inc. | 1,399,020 | 148,520 | |
Raymond James Financial Inc. | 1,216,943 | 143,770 | |
Cincinnati Financial Corp. | 1,006,102 | 103,950 | |
FactSet Research Systems Inc. | 239,255 | 101,801 | |
W R Berkley Corp. | 1,291,805 | 96,084 | |
Brown & Brown Inc. | 1,482,396 | 87,150 | |
Cboe Global Markets Inc. | 670,037 | 83,420 | |
Globe Life Inc. | 572,340 | 66,117 | |
American Financial Group Inc. | 442,031 | 64,143 | |
Reinsurance Group of America Inc. | 425,734 | 62,655 | |
Cullen/Frost Bankers Inc. | 403,396 | 62,547 | |
MarketAxess Holdings Inc. | 237,825 | 58,039 | |
Lincoln National Corp. | 1,001,302 | 53,940 | |
Commerce Bancshares Inc. | 693,396 | 49,120 | |
Assurant Inc. | 335,250 | 45,547 | |
RenaissanceRe Holdings Ltd. | 288,870 | 44,682 | |
SouthState Corp. | 478,365 | 43,258 | |
Prosperity Bancshares Inc. | 578,716 | 41,419 | |
Erie Indemnity Co. Class A | 157,060 | 40,366 | |
Morningstar Inc. | 158,588 | 36,821 |
Shares | Market Value ($000) | ||
SEI Investments Co. | 656,773 | 35,663 | |
Primerica Inc. | 236,235 | 34,183 | |
RLI Corp. | 255,041 | 33,173 | |
Hanover Insurance Group Inc. | 224,119 | 32,831 | |
First Financial Bankshares Inc. | 822,716 | 31,666 | |
Home BancShares Inc. | 1,194,231 | 30,441 | |
Bank OZK | 707,302 | 30,400 | |
Axis Capital Holdings Ltd. | 487,444 | 26,649 | |
Independent Bank Corp. (XNGS) | 290,600 | 25,285 | |
Evercore Inc. Class A | 227,817 | 23,944 | |
Assured Guaranty Ltd. | 387,374 | 22,929 | |
UMB Financial Corp. | 271,052 | 22,557 | |
Community Bank System Inc. | 342,420 | 21,377 | |
BOK Financial Corp. | 185,753 | 20,468 | |
Simmons First National Corp. Class A | 812,988 | 19,406 | |
American Equity Investment Life Holding Co. | 449,005 | 19,343 | |
First Merchants Corp. | 383,010 | 17,197 | |
International Bancshares Corp. | 332,975 | 16,516 | |
Atlantic Union Bankshares Corp. | 472,881 | 16,333 | |
Stock Yards Bancorp Inc. | 184,639 | 14,437 | |
Towne Bank | 413,557 | 13,623 | |
Lakeland Financial Corp. | 160,508 | 13,266 | |
Westamerica BanCorp | 168,196 | 10,551 | |
BancFirst Corp. | 109,211 | 10,465 | |
Horace Mann Educators Corp. | 259,706 | 10,248 | |
Sandy Spring Bancorp Inc. | 284,612 | 10,087 | |
Cohen & Steers Inc. | 157,954 | 9,502 | |
Lakeland Bancorp Inc. | 421,228 | 7,856 | |
Tompkins Financial Corp. | 81,372 | 6,741 | |
Southside Bancshares Inc. | 196,584 | 6,731 | |
Federal Agricultural Mortgage Corp. Class C | 57,696 | 6,647 | |
1st Source Corp. | 107,195 | 6,234 | |
Horizon Bancorp Inc. | 244,476 | 3,645 | |
First Financial Corp. | 70,349 | 3,411 | |
Bank of Marin Bancorp | 93,956 | 3,392 | |
Southern Missouri Bancorp Inc. | 47,913 | 2,455 | |
11,266,861 | |||
Health Care (16.4%) | |||
UnitedHealth Group Inc. | 5,910,828 | 3,281,396 | |
Johnson & Johnson | 16,614,356 | 2,890,400 | |
Abbott Laboratories | 11,066,021 | 1,094,872 | |
Bristol-Myers Squibb Co. | 13,740,766 | 1,064,497 | |
Elevance Health Inc. | 1,516,639 | 829,253 | |
Medtronic plc | 8,404,621 | 734,060 | |
Stryker Corp. | 2,127,932 | 487,807 | |
Humana Inc. | 799,781 | 446,342 | |
Becton Dickinson and Co. | 1,817,723 | 428,928 | |
McKesson Corp. | 925,759 | 360,463 | |
AmerisourceBergen Corp. Class A | 975,806 | 153,416 | |
Quest Diagnostics Inc. | 759,321 | 109,076 | |
STERIS plc | 631,641 | 109,009 | |
West Pharmaceutical Services Inc. | 468,018 | 107,691 | |
Chemed Corp. | 94,390 | 44,068 | |
Perrigo Co. plc | 850,782 | 34,269 | |
Ensign Group Inc. | 351,438 | 31,552 | |
Embecta Corp. | 366,616 | 11,336 | |
National HealthCare Corp. | 85,856 | 5,230 | |
LeMaitre Vascular Inc. | 120,159 | 5,215 |
Shares | Market Value ($000) | ||
Atrion Corp. | 8,508 | 5,107 | |
12,233,987 | |||
Industrials (13.5%) | |||
Honeywell International Inc. | 4,271,948 | 871,563 | |
Union Pacific Corp. | 3,983,085 | 785,225 | |
United Parcel Service Inc. Class B (XNYS) | 4,623,876 | 775,748 | |
Lockheed Martin Corp. | 1,510,098 | 734,935 | |
Caterpillar Inc. | 3,336,023 | 722,116 | |
Northrop Grumman Corp. | 933,387 | 512,439 | |
CSX Corp. | 13,530,770 | 393,204 | |
Illinois Tool Works Inc. | 1,781,077 | 380,313 | |
Eaton Corp. plc | 2,515,972 | 377,572 | |
Waste Management Inc. | 2,376,146 | 376,310 | |
General Dynamics Corp. | 1,428,930 | 356,947 | |
Emerson Electric Co. | 3,761,216 | 325,721 | |
L3Harris Technologies Inc. | 1,209,350 | 298,068 | |
Cintas Corp. | 541,924 | 231,700 | |
Cummins Inc. | 895,107 | 218,863 | |
Rockwell Automation Inc. | 728,392 | 185,958 | |
Fastenal Co. | 3,630,915 | 175,482 | |
Republic Services Inc. Class A | 1,300,634 | 172,490 | |
WW Grainger Inc. | 285,959 | 167,100 | |
Dover Corp. | 906,905 | 118,523 | |
Xylem Inc. | 1,138,753 | 116,642 | |
IDEX Corp. | 477,438 | 106,139 | |
Expeditors International of Washington Inc. | 1,035,011 | 101,276 | |
JB Hunt Transport Services Inc. | 525,020 | 89,815 | |
Hubbell Inc. Class B | 339,227 | 80,560 | |
Carlisle Cos. Inc. | 326,877 | 78,058 | |
Nordson Corp. | 341,876 | 76,922 | |
CH Robinson Worldwide Inc. | 783,873 | 76,600 | |
Snap-on Inc. | 338,343 | 75,129 | |
Graco Inc. | 1,065,219 | 74,118 | |
Stanley Black & Decker Inc. | 933,291 | 73,254 | |
Toro Co. | 670,118 | 70,651 | |
Allegion plc | 553,186 | 57,957 | |
HEICO Corp. Class A | 439,748 | 55,980 | |
Robert Half International Inc. | 704,973 | 53,902 | |
Regal Rexnord Corp. | 420,672 | 53,232 | |
Lincoln Electric Holdings Inc. | 364,970 | 51,826 | |
Lennox International Inc. | 204,368 | 47,734 | |
A O Smith Corp. | 822,637 | 45,064 | |
Pentair plc | 1,039,751 | 44,657 | |
Donaldson Co. Inc. | 776,897 | 44,633 | |
HEICO Corp. | 248,398 | 40,399 | |
MDU Resources Group Inc. | 1,286,152 | 36,630 | |
MSA Safety Inc. | 231,952 | 31,137 | |
Applied Industrial Technologies Inc. | 242,863 | 30,207 | |
Insperity Inc. | 225,715 | 26,639 | |
Ryder System Inc. | 323,271 | 26,027 | |
ManpowerGroup Inc. | 326,411 | 25,571 | |
GATX Corp. | 224,345 | 23,491 | |
Franklin Electric Co. Inc. | 244,736 | 20,054 | |
Hillenbrand Inc. | 442,549 | 19,552 | |
ABM Industries Inc. | 420,137 | 18,700 | |
Trinity Industries Inc. | 521,789 | 14,887 | |
McGrath RentCorp. | 153,770 | 14,462 | |
Brady Corp. Class A | 298,703 | 13,666 |
Shares | Market Value ($000) | ||
Lindsay Corp. | 68,085 | 11,527 | |
Griffon Corp. | 304,767 | 9,795 | |
Standex International Corp. | 76,788 | 7,606 | |
Tennant Co. | 116,726 | 6,799 | |
Apogee Enterprises Inc. | 140,579 | 6,450 | |
Matthews International Corp. Class A | 198,419 | 5,334 | |
Douglas Dynamics Inc. | 148,110 | 5,028 | |
Gorman-Rupp Co. | 142,555 | 3,869 | |
10,052,256 | |||
Information Technology (22.4%) | |||
Microsoft Corp. | 10,865,259 | 2,522,153 | |
Visa Inc. Class A | 10,002,631 | 2,072,145 | |
Mastercard Inc. Class A | 5,419,291 | 1,778,503 | |
Broadcom Inc. | 2,543,933 | 1,195,954 | |
Cisco Systems Inc. | 26,166,764 | 1,188,756 | |
Accenture plc Class A | 3,994,757 | 1,134,111 | |
Texas Instruments Inc. | 5,773,664 | 927,424 | |
QUALCOMM Inc. | 7,052,340 | 829,778 | |
Oracle Corp. | 9,826,301 | 767,139 | |
Intuit Inc. | 1,782,467 | 762,005 | |
Automatic Data Processing Inc. | 2,634,155 | 636,675 | |
Analog Devices Inc. | 3,360,423 | 479,264 | |
KLA Corp. | 901,592 | 285,309 | |
Amphenol Corp. Class A | 3,754,810 | 284,727 | |
Roper Technologies Inc. | 669,954 | 277,723 | |
Motorola Solutions Inc. | 1,054,844 | 263,405 | |
TE Connectivity Ltd. | 2,026,639 | 247,716 | |
Paychex Inc. | 2,023,555 | 239,407 | |
Microchip Technology Inc. | 3,485,035 | 215,166 | |
HP Inc. | 6,123,258 | 169,124 | |
Corning Inc. | 4,942,980 | 159,016 | |
Broadridge Financial Solutions Inc. | 739,994 | 111,043 | |
Jack Henry & Associates Inc. | 468,325 | 93,225 | |
Littelfuse Inc. | 155,646 | 34,281 | |
Badger Meter Inc. | 184,912 | 20,799 | |
Cass Information Systems Inc. | 73,283 | 3,135 | |
16,697,983 | |||
Materials (4.6%) | |||
Linde plc | 3,148,993 | 936,353 | |
Air Products and Chemicals Inc. | 1,399,596 | 350,459 | |
Sherwin-Williams Co. | 1,490,552 | 335,419 | |
Ecolab Inc. | 1,567,209 | 246,161 | |
Nucor Corp. | 1,738,390 | 228,390 | |
Albemarle Corp. | 740,245 | 207,172 | |
PPG Industries Inc. | 1,485,282 | 169,589 | |
International Flavors & Fragrances Inc. | 1,611,205 | 157,270 | |
Avery Dennison Corp. | 514,004 | 87,149 | |
RPM International Inc. | 815,112 | 77,085 | |
Reliance Steel & Aluminum Co. | 380,714 | 76,706 | |
Packaging Corp. of America | 592,635 | 71,241 | |
Eastman Chemical Co. | 811,024 | 62,295 | |
Celanese Corp. Class A | 636,506 | 61,181 | |
AptarGroup Inc. | 413,546 | 41,003 | |
Royal Gold Inc. | 414,182 | 39,331 | |
Sonoco Products Co. | 614,510 | 38,149 | |
Ashland Inc. | 336,691 | 35,326 | |
Balchem Corp. | 202,200 | 28,268 |
Shares | Market Value ($000) | ||
Cabot Corp. | 356,483 | 26,194 | |
Silgan Holdings Inc. | 529,801 | 25,091 | |
HB Fuller Co. | 333,188 | 23,226 | |
Westlake Corp. | 218,976 | 21,164 | |
Sensient Technologies Corp. | 265,270 | 18,956 | |
Avient Corp. | 542,173 | 18,700 | |
Quaker Chemical Corp. | 86,418 | 14,055 | |
Stepan Co. | 132,793 | 13,869 | |
Scotts Miracle-Gro Co. | 254,473 | 11,683 | |
Worthington Industries Inc. | 187,291 | 8,908 | |
Hawkins Inc. | 116,764 | 5,258 | |
3,435,651 | |||
Utilities (3.2%) | |||
NextEra Energy Inc. | 12,415,607 | 962,210 | |
Xcel Energy Inc. | 3,453,833 | 224,879 | |
WEC Energy Group Inc. | 1,993,012 | 182,022 | |
American Water Works Co. Inc. | 1,151,190 | 167,314 | |
Eversource Energy | 2,188,680 | 166,953 | |
DTE Energy Co. | 1,223,363 | 137,151 | |
CMS Energy Corp. | 1,834,833 | 104,677 | |
Atmos Energy Corp. | 864,949 | 92,160 | |
Alliant Energy Corp. | 1,587,334 | 82,811 | |
Essential Utilities Inc. | 1,509,168 | 66,735 | |
National Fuel Gas Co. | 574,612 | 38,781 | |
IDACORP Inc. | 320,689 | 33,576 | |
New Jersey Resources Corp. | 613,610 | 27,392 | |
ONE Gas Inc. | 340,857 | 26,410 | |
California Water Service Group | 343,241 | 21,302 | |
American States Water Co. | 232,545 | 21,036 | |
MGE Energy Inc. | 228,343 | 15,548 | |
Chesapeake Utilities Corp. | 112,232 | 13,959 | |
SJW Group | 167,763 | 11,857 | |
Middlesex Water Co. | 109,421 | 9,790 | |
York Water Co. | 89,102 | 3,881 | |
2,410,444 | |||
Total Common Stocks (Cost $59,156,311) | 74,312,403 | ||
Temporary Cash Investments (0.2%) | |||
Money Market Fund (0.2%) | |||
1 | Vanguard Market Liquidity Fund, 3.117% (Cost $170,846) | 1,708,955 | 170,861 |
Total Investments (99.9%) (Cost $59,327,157) | 74,483,264 | ||
Other Assets and Liabilities—Net (0.1%) | 101,193 | ||
Net Assets (100%) | 74,584,457 | ||
Cost is in $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. |
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 | December 2022 | 666 | 129,304 | 3,679 |
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) |
Kroger Co. | 1/31/23 | GSI | 42,110 | (3.071) | 5,133 | — |
Visa Inc. Class A | 8/31/23 | BANA | 92,186 | (2.974) | — | (189) |
5,133 | (189) |
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. | |
GSI—Goldman Sachs International. |
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 valuation designee 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 October 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 | 74,312,403 | — | — | 74,312,403 |
Temporary Cash Investments | 170,861 | — | — | 170,861 |
Total | 74,483,264 | — | — | 74,483,264 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 3,679 | — | — | 3,679 |
Swap Contracts | — | 5,133 | — | 5,133 |
Total | 3,679 | 5,133 | — | 8,812 |
Liabilities | ||||
Swap Contracts | — | 189 | — | 189 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |