Vanguard® Dividend Appreciation Index Fund
Schedule of Investments (unaudited)
As of April 30, 2023
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 (1.3%) | |||
Comcast Corp. Class A | 24,306,314 | 1,005,552 | |
John Wiley & Sons Inc. Class A | 240,005 | 9,257 | |
1,014,809 | |||
Consumer Discretionary (7.5%) | |||
Home Depot Inc. | 5,768,049 | 1,733,529 | |
McDonald's Corp. | 4,126,615 | 1,220,446 | |
NIKE Inc. Class B | 7,097,240 | 899,362 | |
Starbucks Corp. | 6,467,429 | 739,162 | |
Lowe's Cos. Inc. | 3,496,861 | 726,753 | |
Tractor Supply Co. | 622,385 | 148,377 | |
Genuine Parts Co. | 794,401 | 133,706 | |
Pool Corp. | 219,988 | 77,286 | |
Service Corp. International | 866,765 | 60,838 | |
Churchill Downs Inc. | 185,497 | 54,263 | |
Williams-Sonoma Inc. | 374,089 | 45,280 | |
Brunswick Corp. | 407,867 | 34,583 | |
Lithia Motors Inc. Class A | 153,991 | 34,015 | |
Polaris Inc. | 306,943 | 33,349 | |
Thor Industries Inc. | 302,564 | 23,909 | |
Monro Inc. | 175,962 | 8,601 | |
Dillard's Inc. Class A | 19,195 | 5,728 | |
Aaron's Co. Inc. | 178,990 | 2,389 | |
Shoe Carnival Inc. | 98,225 | 2,284 | |
Haverty Furniture Cos. Inc. | 75,403 | 2,273 | |
5,986,133 | |||
Consumer Staples (12.5%) | |||
Procter & Gamble Co. | 13,350,113 | 2,087,691 | |
PepsiCo Inc. | 7,761,932 | 1,481,675 | |
Coca-Cola Co. | 21,927,377 | 1,406,641 | |
Costco Wholesale Corp. | 2,493,609 | 1,254,834 | |
Walmart Inc. | 7,951,693 | 1,200,467 | |
Target Corp. | 2,593,386 | 409,107 | |
Colgate-Palmolive Co. | 4,706,682 | 375,593 | |
Archer-Daniels-Midland Co. | 3,095,789 | 241,719 | |
Hershey Co. | 828,320 | 226,181 | |
Sysco Corp. | 2,855,526 | 219,133 | |
Church & Dwight Co. Inc. | 1,374,608 | 133,502 | |
Kroger Co. | 2,670,404 | 129,862 | |
McCormick & Co. Inc. | 1,412,414 | 124,081 | |
Clorox Co. | 695,402 | 115,172 | |
Tyson Foods Inc. Class A | 1,631,586 | 101,958 | |
J M Smucker Co. | 600,551 | 92,731 |
Shares | Market Value ($000) | ||
Brown-Forman Corp. Class B | 1,030,634 | 67,084 | |
Hormel Foods Corp. | 1,631,888 | 65,994 | |
Casey's General Stores Inc. | 209,178 | 47,864 | |
Ingredion Inc. | 368,205 | 39,092 | |
Flowers Foods Inc. | 1,080,734 | 29,731 | |
Lancaster Colony Corp. | 112,403 | 23,506 | |
WD-40 Co. | 76,315 | 14,530 | |
J & J Snack Foods Corp. | 84,133 | 12,889 | |
Andersons Inc. | 176,189 | 7,876 | |
SpartanNash Co. | 200,653 | 4,920 | |
Tootsie Roll Industries Inc. | 103,941 | 4,249 | |
9,918,082 | |||
Energy (3.5%) | |||
Exxon Mobil Corp. | 23,202,425 | 2,745,775 | |
Texas Pacific Land Corp. | 34,747 | 51,344 | |
2,797,119 | |||
Financials (17.9%) | |||
JPMorgan Chase & Co. | 16,525,679 | 2,284,510 | |
Visa Inc. Class A | 8,766,630 | 2,040,258 | |
Mastercard Inc. Class A | 4,782,601 | 1,817,532 | |
S&P Global Inc. | 1,875,943 | 680,179 | |
Goldman Sachs Group Inc. | 1,907,882 | 655,243 | |
BlackRock Inc. | 846,154 | 567,939 | |
Marsh & McLennan Cos. Inc. | 2,794,168 | 503,481 | |
Chubb Ltd. | 2,338,954 | 471,440 | |
Aon plc Class A (XNYS) | 1,165,816 | 379,100 | |
CME Group Inc. | 2,026,163 | 376,400 | |
PNC Financial Services Group Inc. | 2,273,523 | 296,126 | |
Moody's Corp. | 887,255 | 277,817 | |
Arthur J Gallagher & Co. | 1,188,578 | 247,296 | |
Travelers Cos. Inc. | 1,320,841 | 239,257 | |
MetLife Inc. | 3,713,800 | 227,767 | |
Aflac Inc. | 3,189,510 | 222,787 | |
Ameriprise Financial Inc. | 599,890 | 183,038 | |
Bank of New York Mellon Corp. | 4,145,899 | 176,574 | |
Allstate Corp. | 1,494,870 | 173,046 | |
Discover Financial Services | 1,539,833 | 159,327 | |
State Street Corp. | 2,068,098 | 149,441 | |
Hartford Financial Services Group Inc. | 1,790,358 | 127,098 | |
Nasdaq Inc. | 1,908,077 | 105,650 | |
Fifth Third Bancorp | 3,869,978 | 101,393 | |
Raymond James Financial Inc. | 1,091,170 | 98,784 | |
Principal Financial Group Inc. | 1,280,493 | 95,640 | |
Cincinnati Financial Corp. | 886,088 | 94,315 | |
FactSet Research Systems Inc. | 214,755 | 88,412 | |
Brown & Brown Inc. | 1,324,929 | 85,312 | |
Cboe Global Markets Inc. | 597,992 | 83,539 | |
W R Berkley Corp. | 1,152,374 | 67,898 | |
MarketAxess Holdings Inc. | 212,019 | 67,500 | |
Jack Henry & Associates Inc. | 410,959 | 67,126 | |
Globe Life Inc. | 509,989 | 55,344 | |
Reinsurance Group of America Inc. | 376,169 | 53,536 | |
RenaissanceRe Holdings Ltd. | 246,405 | 53,078 | |
American Financial Group Inc. | 393,537 | 48,299 | |
Unum Group | 1,052,311 | 44,408 | |
Cullen/Frost Bankers Inc. | 362,661 | 39,983 | |
Primerica Inc. | 207,840 | 37,933 |
Shares | Market Value ($000) | ||
Assurant Inc. | 297,702 | 36,656 | |
Commerce Bancshares Inc. | 644,629 | 36,003 | |
SEI Investments Co. | 577,978 | 34,049 | |
Prosperity Bancshares Inc. | 515,977 | 32,310 | |
RLI Corp. | 226,516 | 31,497 | |
Erie Indemnity Co. Class A | 140,671 | 30,572 | |
SouthState Corp. | 427,159 | 29,465 | |
Morningstar Inc. | 141,226 | 25,182 | |
Axis Capital Holdings Ltd. | 435,139 | 24,603 | |
Hanover Insurance Group Inc. | 200,485 | 23,970 | |
Zions Bancorp NA | 842,397 | 23,469 | |
Home BancShares Inc. | 1,072,454 | 23,347 | |
Evercore Inc. Class A | 201,362 | 22,969 | |
Bank OZK | 624,854 | 22,320 | |
First Financial Bankshares Inc. | 733,563 | 21,464 | |
Glacier Bancorp Inc. | 624,728 | 20,760 | |
Assured Guaranty Ltd. | 338,518 | 18,236 | |
UMB Financial Corp. | 245,821 | 15,637 | |
Community Bank System Inc. | 303,942 | 15,185 | |
American Equity Investment Life Holding Co. | 387,169 | 14,922 | |
Independent Bank Corp. (XNGS) | 258,459 | 14,474 | |
CNO Financial Group Inc. | 644,049 | 14,452 | |
BOK Financial Corp. | 163,421 | 13,706 | |
International Bancshares Corp. | 295,379 | 12,604 | |
Atlantic Union Bankshares Corp. | 422,670 | 12,097 | |
Simmons First National Corp. Class A | 709,461 | 11,855 | |
First Merchants Corp. | 332,363 | 9,698 | |
Towne Bank | 360,555 | 8,542 | |
Cohen & Steers Inc. | 140,212 | 8,421 | |
Stock Yards Bancorp Inc. | 162,204 | 7,883 | |
NBT Bancorp Inc. | 242,653 | 7,823 | |
BancFirst Corp. | 97,712 | 7,806 | |
City Holding Co. | 84,238 | 7,682 | |
Lakeland Financial Corp. | 143,544 | 7,273 | |
Horace Mann Educators Corp. | 224,604 | 7,026 | |
TriCo Bancshares | 189,641 | 6,791 | |
Federal Agricultural Mortgage Corp. Class C | 49,882 | 6,649 | |
Westamerica BanCorp | 147,940 | 5,993 | |
Southside Bancshares Inc. | 174,428 | 5,535 | |
Lakeland Bancorp Inc. | 346,537 | 4,969 | |
German American Bancorp Inc. | 159,230 | 4,629 | |
Tompkins Financial Corp. | 73,168 | 4,289 | |
1st Source Corp. | 99,065 | 4,129 | |
Heritage Financial Corp. | 200,599 | 3,533 | |
Cass Information Systems Inc. | 72,924 | 2,668 | |
First Financial Corp. | 53,331 | 1,843 | |
Hingham Institution for Savings | 8,543 | 1,662 | |
Southern Missouri Bancorp Inc. | 43,545 | 1,580 | |
Bank of Marin Bancorp | 75,322 | 1,328 | |
14,253,362 | |||
Health Care (16.2%) | |||
UnitedHealth Group Inc. | 5,264,169 | 2,590,445 | |
Johnson & Johnson | 14,729,921 | 2,411,288 | |
Merck & Co. Inc. | 14,284,636 | 1,649,447 | |
Abbott Laboratories | 9,823,531 | 1,085,205 | |
Bristol-Myers Squibb Co. | 11,979,144 | 799,847 | |
Medtronic plc | 7,487,523 | 680,990 | |
Elevance Health Inc. | 1,345,423 | 630,533 |
Shares | Market Value ($000) | ||
Stryker Corp. | 1,897,269 | 568,517 | |
Zoetis Inc. | 2,626,363 | 461,662 | |
Becton Dickinson & Co. | 1,607,200 | 424,799 | |
Humana Inc. | 713,397 | 378,450 | |
McKesson Corp. | 798,964 | 291,015 | |
ResMed Inc. | 825,232 | 198,848 | |
AmerisourceBergen Corp. | 912,888 | 152,315 | |
West Pharmaceutical Services Inc. | 417,181 | 150,702 | |
Cardinal Health Inc. | 1,474,625 | 121,067 | |
STERIS plc | 562,502 | 106,060 | |
Quest Diagnostics Inc. | 641,554 | 89,054 | |
Chemed Corp. | 83,903 | 46,252 | |
Ensign Group Inc. | 312,504 | 30,341 | |
Perrigo Co. plc | 758,686 | 28,216 | |
Embecta Corp. | 326,519 | 9,061 | |
LeMaitre Vascular Inc. | 109,487 | 5,912 | |
Atrion Corp. | 7,491 | 4,609 | |
12,914,635 | |||
Industrials (12.7%) | |||
Honeywell International Inc. | 3,788,144 | 757,023 | |
United Parcel Service Inc. Class B (XNYS) | 4,111,856 | 739,353 | |
Union Pacific Corp. | 3,463,579 | 677,822 | |
Caterpillar Inc. | 2,932,001 | 641,522 | |
Lockheed Martin Corp. | 1,314,075 | 610,322 | |
Automatic Data Processing Inc. | 2,336,795 | 514,095 | |
Illinois Tool Works Inc. | 1,574,971 | 381,049 | |
Northrop Grumman Corp. | 814,892 | 375,885 | |
Eaton Corp. plc | 2,240,222 | 374,386 | |
CSX Corp. | 11,846,892 | 362,989 | |
Waste Management Inc. | 2,103,908 | 349,354 | |
Emerson Electric Co. | 3,332,618 | 277,474 | |
General Dynamics Corp. | 1,268,872 | 277,046 | |
Cintas Corp. | 486,556 | 221,758 | |
L3Harris Technologies Inc. | 1,073,029 | 209,402 | |
Paychex Inc. | 1,807,474 | 198,569 | |
Cummins Inc. | 795,118 | 186,885 | |
Rockwell Automation Inc. | 647,292 | 183,449 | |
WW Grainger Inc. | 253,566 | 176,373 | |
Fastenal Co. | 3,228,739 | 173,835 | |
Republic Services Inc. Class A | 1,157,826 | 167,445 | |
Dover Corp. | 791,513 | 115,688 | |
Xylem Inc. | 1,016,287 | 105,531 | |
Expeditors International of Washington Inc. | 896,695 | 102,080 | |
Broadridge Financial Solutions Inc. | 662,970 | 96,402 | |
IDEX Corp. | 425,441 | 87,777 | |
JB Hunt Transport Services Inc. | 466,586 | 81,788 | |
Hubbell Inc. Class B | 302,734 | 81,532 | |
Snap-on Inc. | 299,895 | 77,796 | |
Graco Inc. | 950,795 | 75,389 | |
Stanley Black & Decker Inc. | 833,906 | 71,999 | |
Booz Allen Hamilton Holding Corp. Class A | 743,790 | 71,196 | |
CH Robinson Worldwide Inc. | 663,051 | 66,882 | |
Nordson Corp. | 303,345 | 65,617 | |
Carlisle Cos. Inc. | 291,537 | 62,928 | |
Toro Co. | 585,750 | 61,070 | |
Allegion plc | 495,527 | 54,746 | |
Lincoln Electric Holdings Inc. | 325,542 | 54,626 | |
Pentair plc | 927,600 | 53,875 |
Shares | Market Value ($000) | ||
HEICO Corp. Class A | 396,040 | 53,160 | |
Lennox International Inc. | 181,023 | 51,032 | |
A O Smith Corp. | 714,035 | 48,761 | |
Regal Rexnord Corp. | 372,817 | 48,526 | |
Huntington Ingalls Industries Inc. | 224,478 | 45,268 | |
Robert Half International Inc. | 611,057 | 44,607 | |
Donaldson Co. Inc. | 685,277 | 43,549 | |
ITT Inc. | 466,215 | 39,367 | |
HEICO Corp. | 222,236 | 37,478 | |
MDU Resources Group Inc. | 1,147,351 | 33,526 | |
Comfort Systems USA Inc. | 201,380 | 30,104 | |
Applied Industrial Technologies Inc. | 216,036 | 29,307 | |
UFP Industries Inc. | 346,894 | 27,238 | |
MSA Safety Inc. | 207,809 | 26,963 | |
Watts Water Technologies Inc. Class A | 153,915 | 24,893 | |
Insperity Inc. | 201,433 | 24,668 | |
GATX Corp. | 198,761 | 22,641 | |
Ryder System Inc. | 283,906 | 22,474 | |
ManpowerGroup Inc. | 284,641 | 21,550 | |
Franklin Electric Co. Inc. | 221,150 | 19,786 | |
Hillenbrand Inc. | 391,810 | 17,874 | |
ABM Industries Inc. | 371,922 | 15,836 | |
Brady Corp. Class A | 260,808 | 13,309 | |
McGrath RentCorp. | 136,801 | 12,159 | |
Trinity Industries Inc. | 453,213 | 10,854 | |
Standex International Corp. | 65,379 | 8,029 | |
Tennant Co. | 104,294 | 7,970 | |
Griffon Corp. | 264,569 | 7,527 | |
Lindsay Corp. | 61,265 | 7,397 | |
Matthews International Corp. Class A | 169,793 | 6,430 | |
Apogee Enterprises Inc. | 126,373 | 5,378 | |
Douglas Dynamics Inc. | 127,618 | 3,741 | |
Gorman-Rupp Co. | 125,981 | 3,093 | |
10,057,453 | |||
Information Technology (20.4%) | |||
Microsoft Corp. | 12,051,137 | 3,702,832 | |
Apple Inc. | 19,999,657 | 3,393,542 | |
Broadcom Inc. | 2,281,773 | 1,429,531 | |
Cisco Systems Inc. | 23,132,485 | 1,093,010 | |
Accenture plc Class A | 3,549,921 | 995,007 | |
Texas Instruments Inc. | 5,112,939 | 854,883 | |
Oracle Corp. | 8,658,457 | 820,129 | |
QUALCOMM Inc. | 6,315,645 | 737,667 | |
Intuit Inc. | 1,588,006 | 704,995 | |
Analog Devices Inc. | 2,897,720 | 521,242 | |
KLA Corp. | 798,682 | 308,723 | |
Motorola Solutions Inc. | 942,460 | 274,633 | |
Roper Technologies Inc. | 597,698 | 271,821 | |
Amphenol Corp. Class A | 3,353,817 | 253,113 | |
Microchip Technology Inc. | 3,099,717 | 226,248 | |
TE Connectivity Ltd. | 1,792,499 | 219,348 | |
HP Inc. | 4,989,594 | 148,241 | |
Corning Inc. | 4,290,134 | 142,518 | |
Amdocs Ltd. | 686,045 | 62,602 | |
Littelfuse Inc. | 139,518 | 33,797 | |
Power Integrations Inc. | 321,835 | 23,423 |
Shares | Market Value ($000) | ||
Badger Meter Inc. | 164,789 | 21,807 | |
16,239,112 | |||
Materials (4.4%) | |||
Linde plc | 2,785,206 | 1,028,994 | |
Air Products and Chemicals Inc. | 1,250,090 | 367,976 | |
Sherwin-Williams Co. | 1,329,070 | 315,707 | |
Ecolab Inc. | 1,396,681 | 234,419 | |
Nucor Corp. | 1,445,668 | 214,219 | |
PPG Industries Inc. | 1,324,777 | 185,813 | |
International Flavors & Fragrances Inc. | 1,437,064 | 139,338 | |
Albemarle Corp. | 660,268 | 122,453 | |
Steel Dynamics Inc. | 940,363 | 97,751 | |
Reliance Steel & Aluminum Co. | 330,536 | 81,907 | |
Avery Dennison Corp. | 456,444 | 79,640 | |
Packaging Corp. of America | 521,530 | 70,542 | |
Celanese Corp. Class A | 562,096 | 59,717 | |
RPM International Inc. | 727,722 | 59,695 | |
Eastman Chemical Co. | 676,166 | 56,980 | |
Royal Gold Inc. | 369,774 | 48,973 | |
AptarGroup Inc. | 367,178 | 43,514 | |
Sonoco Products Co. | 549,828 | 33,331 | |
Ashland Inc. | 280,859 | 28,538 | |
Balchem Corp. | 181,268 | 23,819 | |
Silgan Holdings Inc. | 471,339 | 23,218 | |
Cabot Corp. | 316,409 | 22,706 | |
Westlake Corp. | 193,521 | 22,019 | |
HB Fuller Co. | 300,248 | 19,867 | |
Avient Corp. | 482,048 | 18,564 | |
Sensient Technologies Corp. | 237,255 | 17,666 | |
Scotts Miracle-Gro Co. | 228,016 | 15,234 | |
Quaker Chemical Corp. | 75,988 | 14,182 | |
Materion Corp. | 115,410 | 12,500 | |
Stepan Co. | 116,522 | 10,743 | |
Worthington Industries Inc. | 170,652 | 10,135 | |
Hawkins Inc. | 108,642 | 4,383 | |
3,484,543 | |||
Utilities (3.2%) | |||
NextEra Energy Inc. | 11,195,195 | 857,888 | |
Sempra Energy (XNYS) | 1,771,315 | 275,422 | |
Xcel Energy Inc. | 3,083,990 | 215,602 | |
WEC Energy Group Inc. | 1,777,946 | 170,985 | |
American Water Works Co. Inc. | 1,086,295 | 161,043 | |
Eversource Energy | 1,962,801 | 152,333 | |
DTE Energy Co. | 1,091,652 | 122,713 | |
CMS Energy Corp. | 1,635,655 | 101,836 | |
Atmos Energy Corp. | 787,800 | 89,920 | |
AES Corp. | 3,759,044 | 88,939 | |
Alliant Energy Corp. | 1,414,100 | 77,973 | |
Essential Utilities Inc. | 1,345,397 | 57,448 | |
IDACORP Inc. | 284,876 | 31,655 | |
National Fuel Gas Co. | 514,785 | 28,776 | |
New Jersey Resources Corp. | 545,643 | 28,177 | |
ONE Gas Inc. | 304,419 | 23,425 | |
American States Water Co. | 208,856 | 18,536 | |
California Water Service Group | 309,864 | 17,377 | |
MGE Energy Inc. | 204,070 | 15,634 | |
Chesapeake Utilities Corp. | 98,597 | 12,177 |
Shares | Market Value ($000) | ||
SJW Group | 151,289 | 11,486 | |
Middlesex Water Co. | 96,175 | 7,019 | |
York Water Co. | 79,359 | 3,336 | |
Artesian Resources Corp. Class A | 44,104 | 2,416 | |
2,572,116 | |||
Total Common Stocks (Cost $60,184,149) | 79,237,364 | ||
Temporary Cash Investments (0.3%) | |||
Money Market Fund (0.3%) | |||
1 | Vanguard Market Liquidity Fund, 4.853% (Cost $208,486) | 2,085,229 | 208,502 |
Total Investments (99.9%) (Cost $60,392,635) | 79,445,866 | ||
Other Assets and Liabilities—Net (0.1%) | 85,997 | ||
Net Assets (100%) | 79,531,863 | ||
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 | June 2023 | 724 | 151,624 | 2,623 |
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. | 1/31/24 | GSI | 47,810 | (4.819) | 750 | — |
Visa Inc. Class A | 8/31/23 | BANA | 103,565 | (4.728) | — | (343) |
750 | (343) |
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. |
At April 30, 2023, the counterparties had deposited in segregated accounts securities with a value of $1,455,000 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 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 and subject to oversight by the board of trustees. 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 April 30, 2023, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 79,237,364 | — | — | 79,237,364 |
Temporary Cash Investments | 208,502 | — | — | 208,502 |
Total | 79,445,866 | — | — | 79,445,866 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 2,623 | — | — | 2,623 |
Swap Contracts | — | 750 | — | 750 |
Total | 2,623 | 750 | — | 3,373 |
Liabilities | ||||
Swap Contracts | — | 343 | — | 343 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |