Vanguard® S&P Mid-Cap 400 Value Index Fund
Schedule of Investments (unaudited)
As of November 30, 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 (99.5%) | ||||||
Communication Services (1.8%) | ||||||
* | Frontier Communications Parent Inc. | 117,305 | 3,023 | |||
* | Iridium Communications Inc. | 46,870 | 2,489 | |||
Nexstar Media Group Inc. Class A | 12,500 | 2,370 | ||||
New York Times Co. Class A | 54,569 | 2,000 | ||||
TEGNA Inc. | 98,028 | 1,935 | ||||
Cable One Inc. | 1,609 | 1,165 | ||||
World Wrestling Entertainment Inc. Class A | 12,899 | 1,030 | ||||
* | TripAdvisor Inc. | 47,663 | 972 | |||
John Wiley & Sons Inc. Class A | 16,982 | 805 | ||||
15,789 | ||||||
Consumer Discretionary (12.7%) | ||||||
Lear Corp. | 46,635 | 6,727 | ||||
Lithia Motors Inc. Class A | 21,620 | 5,174 | ||||
Murphy USA Inc. | 16,875 | 4,992 | ||||
Macy's Inc. | 211,852 | 4,978 | ||||
* | Penn Entertainment Inc. | 124,531 | 4,382 | |||
Toll Brothers Inc. | 83,979 | 4,023 | ||||
Leggett & Platt Inc. | 104,167 | 3,709 | ||||
Thor Industries Inc. | 42,831 | 3,689 | ||||
PVH Corp. | 52,605 | 3,534 | ||||
* | Visteon Corp. | 22,089 | 3,243 | |||
Kohl's Corp. | 100,900 | 3,237 | ||||
H&R Block Inc. | 67,689 | 2,959 | ||||
* | Adient plc | 74,470 | 2,900 | |||
Polaris Inc. | 25,063 | 2,859 | ||||
* | Grand Canyon Education Inc. | 25,105 | 2,839 | |||
* | Ollie's Bargain Outlet Holdings Inc. | 45,652 | 2,780 | |||
* | Taylor Morrison Home Corp. Class A | 89,267 | 2,713 | |||
Travel + Leisure Co. | 65,835 | 2,559 | ||||
Marriott Vacations Worldwide Corp. | 16,969 | 2,528 | ||||
Foot Locker Inc. | 63,104 | 2,512 | ||||
Gentex Corp. | 86,808 | 2,509 | ||||
* | Goodyear Tire & Rubber Co. | 222,118 | 2,492 | |||
Gap Inc. | 167,641 | 2,437 | ||||
* | Capri Holdings Ltd. | 42,293 | 2,425 | |||
* | Skechers USA Inc. Class A | 56,169 | 2,369 | |||
* | Topgolf Callaway Brands Corp. | 108,839 | 2,280 | |||
Carter's Inc. | 30,643 | 2,238 | ||||
Texas Roadhouse Inc. Class A | 21,002 | 2,086 | ||||
KB Home | 66,356 | 2,083 | ||||
Cracker Barrel Old Country Store Inc. | 17,901 | 2,055 |
Shares | Market Value ($000) | |||||
* | AutoNation Inc. | 16,081 | 1,993 | |||
Graham Holdings Co. Class B | 3,044 | 1,959 | ||||
1 | Nordstrom Inc. | 88,267 | 1,851 | |||
Hanesbrands Inc. | 273,994 | 1,841 | ||||
Wyndham Hotels & Resorts Inc. | 24,821 | 1,820 | ||||
Dana Inc. | 100,227 | 1,765 | ||||
Harley-Davidson Inc. | 34,472 | 1,625 | ||||
* | Victoria's Secret & Co. | 33,228 | 1,528 | |||
Wendy's Co. | 66,747 | 1,506 | ||||
Columbia Sportswear Co. | 13,028 | 1,167 | ||||
Choice Hotels International Inc. | 7,321 | 902 | ||||
* | Under Armour Inc. Class A | 84,683 | 847 | |||
* | Under Armour Inc. Class C | 88,790 | 774 | |||
114,889 | ||||||
Consumer Staples (5.7%) | ||||||
* | BJ's Wholesale Club Holdings Inc. | 106,175 | 7,989 | |||
* | Performance Food Group Co. | 121,740 | 7,424 | |||
Casey's General Stores Inc. | 29,258 | 7,110 | ||||
Ingredion Inc. | 51,459 | 5,042 | ||||
Flowers Foods Inc. | 151,550 | 4,554 | ||||
* | Post Holdings Inc. | 42,711 | 3,998 | |||
* | Sprouts Farmers Market Inc. | 84,405 | 2,898 | |||
* | BellRing Brands Inc. | 106,389 | 2,650 | |||
* | Coty Inc. Class A | 283,449 | 2,231 | |||
* | Grocery Outlet Holding Corp. | 69,289 | 2,097 | |||
Energizer Holdings Inc. | 51,971 | 1,772 | ||||
Lancaster Colony Corp. | 8,088 | 1,675 | ||||
* | Boston Beer Co. Inc. Class A | 2,977 | 1,144 | |||
* | Pilgrim's Pride Corp. | 35,831 | 937 | |||
51,521 | ||||||
Energy (3.8%) | ||||||
HF Sinclair Corp. | 114,112 | 7,114 | ||||
NOV Inc. | 308,523 | 6,930 | ||||
PBF Energy Inc. Class A | 89,363 | 3,554 | ||||
* | Antero Resources Corp. | 95,118 | 3,477 | |||
Equitrans Midstream Corp. | 339,969 | 2,852 | ||||
DT Midstream Inc. | 44,074 | 2,659 | ||||
ChampionX Corp. | 84,478 | 2,605 | ||||
* | Southwestern Energy Co. | 315,074 | 2,180 | |||
Range Resources Corp. | 60,313 | 1,741 | ||||
* | CNX Resources Corp. | 78,712 | 1,367 | |||
34,479 | ||||||
Financials (18.0%) | ||||||
First Horizon Corp. | 421,463 | 10,473 | ||||
Reinsurance Group of America Inc. | 52,629 | 7,600 | ||||
Annaly Capital Management Inc. | 338,588 | 7,337 | ||||
RenaissanceRe Holdings Ltd. | 34,327 | 6,485 | ||||
Unum Group | 147,668 | 6,229 | ||||
Old Republic International Corp. | 225,661 | 5,529 | ||||
Prosperity Bancshares Inc. | 71,643 | 5,414 | ||||
Voya Financial Inc. | 76,910 | 5,074 | ||||
1 | New York Community Bancorp Inc. | 534,327 | 4,996 | |||
Selective Insurance Group Inc. | 47,385 | 4,555 | ||||
United Bankshares Inc. | 105,714 | 4,534 | ||||
Webster Financial Corp. | 81,479 | 4,427 | ||||
Old National Bancorp | 230,052 | 4,396 | ||||
Valley National Bancorp | 330,071 | 4,179 |
Shares | Market Value ($000) | |||||
American Financial Group Inc. | 29,069 | 4,134 | ||||
Cadence Bank | 143,307 | 4,133 | ||||
Hanover Insurance Group Inc. | 27,988 | 4,123 | ||||
FNB Corp. | 275,524 | 3,885 | ||||
Essent Group Ltd. | 84,578 | 3,391 | ||||
MGIC Investment Corp. | 238,323 | 3,272 | ||||
Cullen/Frost Bankers Inc. | 22,163 | 3,215 | ||||
Commerce Bancshares Inc. | 42,843 | 3,210 | ||||
* | Brighthouse Financial Inc. | 56,406 | 3,144 | |||
Associated Banc-Corp | 118,084 | 2,905 | ||||
Synovus Financial Corp. | 68,505 | 2,886 | ||||
Kemper Corp. | 50,153 | 2,855 | ||||
FirstCash Holdings Inc. | 29,925 | 2,809 | ||||
Interactive Brokers Group Inc. Class A | 30,696 | 2,465 | ||||
Fulton Financial Corp. | 131,508 | 2,445 | ||||
First American Financial Corp. | 44,176 | 2,414 | ||||
Home BancShares Inc. | 94,377 | 2,402 | ||||
* | Texas Capital Bancshares Inc. | 39,183 | 2,351 | |||
International Bancshares Corp. | 41,559 | 2,189 | ||||
Wintrust Financial Corp. | 23,853 | 2,181 | ||||
Umpqua Holdings Corp. | 107,421 | 2,177 | ||||
Bank OZK | 46,297 | 2,137 | ||||
CNO Financial Group Inc. | 89,861 | 2,110 | ||||
SEI Investments Co. | 33,166 | 2,065 | ||||
Hancock Whitney Corp. | 37,032 | 2,031 | ||||
Washington Federal Inc. | 51,277 | 1,808 | ||||
Primerica Inc. | 11,175 | 1,665 | ||||
Cathay General Bancorp | 35,598 | 1,654 | ||||
RLI Corp. | 12,677 | 1,649 | ||||
Bank of Hawaii Corp. | 18,264 | 1,473 | ||||
Janus Henderson Group plc | 56,066 | 1,418 | ||||
Federated Hermes Inc. Class B | 35,142 | 1,334 | ||||
163,158 | ||||||
Health Care (6.8%) | ||||||
* | Jazz Pharmaceuticals plc | 49,229 | 7,724 | |||
* | Acadia Healthcare Co. Inc. | 71,344 | 6,354 | |||
* | United Therapeutics Corp. | 18,589 | 5,203 | |||
Encompass Health Corp. | 78,362 | 4,583 | ||||
* | Envista Holdings Corp. | 128,316 | 4,378 | |||
* | LHC Group Inc. | 24,367 | 3,982 | |||
* | Haemonetics Corp. | 40,302 | 3,438 | |||
Perrigo Co. plc | 105,731 | 3,408 | ||||
Chemed Corp. | 5,033 | 2,617 | ||||
* | Amedisys Inc. | 25,479 | 2,321 | |||
* | Exelixis Inc. | 118,800 | 2,029 | |||
Patterson Cos. Inc. | 68,032 | 1,935 | ||||
* | Globus Medical Inc. Class A | 24,193 | 1,788 | |||
* | NuVasive Inc. | 40,795 | 1,584 | |||
* | Integra LifeSciences Holdings Corp. | 27,923 | 1,534 | |||
* | HealthEquity Inc. | 21,828 | 1,386 | |||
* | Lantheus Holdings Inc. | 22,102 | 1,372 | |||
* | ICU Medical Inc. | 8,354 | 1,330 | |||
* | Enovis Corp. | 22,161 | 1,200 | |||
* | Neogen Corp. | 71,588 | 1,185 | |||
* | LivaNova plc | 16,896 | 936 | |||
* | Progyny Inc. | 22,344 | 818 |
Shares | Market Value ($000) | |||||
* | R1 RCM Inc. | 45,468 | 411 | |||
* | Sotera Health Co. | 18,551 | 155 | |||
61,671 | ||||||
Industrials (19.6%) | ||||||
AECOM | 109,691 | 9,324 | ||||
Knight-Swift Transportation Holdings Inc. Class A | 126,195 | 6,995 | ||||
Owens Corning | 75,586 | 6,715 | ||||
AGCO Corp. | 48,630 | 6,454 | ||||
EMCOR Group Inc. | 38,763 | 6,004 | ||||
* | CACI International Inc. Class A | 18,391 | 5,743 | |||
* | Sunrun Inc. | 166,589 | 5,427 | |||
Curtiss-Wright Corp. | 30,156 | 5,327 | ||||
MDU Resources Group Inc. | 159,735 | 5,030 | ||||
Hubbell Inc. Class B | 19,395 | 4,927 | ||||
Science Applications International Corp. | 43,734 | 4,816 | ||||
Oshkosh Corp. | 51,349 | 4,728 | ||||
Woodward Inc. | 47,252 | 4,527 | ||||
* | Univar Solutions Inc. | 131,003 | 4,340 | |||
Timken Co. | 52,500 | 3,989 | ||||
Regal Rexnord Corp. | 30,284 | 3,971 | ||||
Hexcel Corp. | 66,055 | 3,960 | ||||
* | Stericycle Inc. | 72,398 | 3,774 | |||
Ryder System Inc. | 40,212 | 3,759 | ||||
* | Fluor Corp. | 111,603 | 3,751 | |||
Graco Inc. | 53,134 | 3,718 | ||||
ManpowerGroup Inc. | 40,638 | 3,557 | ||||
* | XPO Logistics Inc. | 90,357 | 3,490 | |||
* | Kirby Corp. | 47,052 | 3,284 | |||
Flowserve Corp. | 102,661 | 3,219 | ||||
MSC Industrial Direct Co. Inc. Class A | 37,182 | 3,191 | ||||
GATX Corp. | 27,731 | 3,127 | ||||
Donaldson Co. Inc. | 47,562 | 2,897 | ||||
Lincoln Electric Holdings Inc. | 19,109 | 2,826 | ||||
Lennox International Inc. | 10,636 | 2,770 | ||||
Terex Corp. | 53,258 | 2,445 | ||||
ITT Inc. | 28,583 | 2,416 | ||||
EnerSys | 31,939 | 2,414 | ||||
1 | Watsco Inc. | 8,868 | 2,385 | |||
* | Mercury Systems Inc. | 45,298 | 2,302 | |||
Brink's Co. | 37,105 | 2,217 | ||||
* | Middleby Corp. | 15,236 | 2,197 | |||
nVent Electric plc | 53,625 | 2,146 | ||||
* | MasTec Inc. | 22,691 | 2,061 | |||
Werner Enterprises Inc. | 46,330 | 2,038 | ||||
* | JetBlue Airways Corp. | 254,339 | 2,025 | |||
Crane Holdings Co. | 19,104 | 2,024 | ||||
MSA Safety Inc. | 14,153 | 1,996 | ||||
KBR Inc. | 38,222 | 1,975 | ||||
* | Clean Harbors Inc. | 16,202 | 1,944 | |||
* | IAA Inc. | 48,313 | 1,805 | |||
Landstar System Inc. | 10,010 | 1,731 | ||||
* | RXO Inc. | 90,190 | 1,714 | |||
Kennametal Inc. | 63,827 | 1,686 | ||||
* | Dycom Industries Inc. | 14,121 | 1,287 | |||
Esab Corp. | 23,848 | 1,129 | ||||
177,577 |
Shares | Market Value ($000) | |||||
Information Technology (9.3%) | ||||||
* | First Solar Inc. | 31,925 | 5,508 | |||
* | Arrow Electronics Inc. | 50,405 | 5,481 | |||
* | Fair Isaac Corp. | 8,329 | 5,162 | |||
Western Union Co. | 302,919 | 4,441 | ||||
Jabil Inc. | 60,506 | 4,368 | ||||
* | Wolfspeed Inc. | 43,702 | 3,973 | |||
TD SYNNEX Corp. | 33,127 | 3,389 | ||||
Avnet Inc. | 74,369 | 3,359 | ||||
* | WEX Inc. | 19,773 | 3,344 | |||
Belden Inc. | 34,194 | 2,751 | ||||
* | NCR Corp. | 107,494 | 2,566 | |||
Cognex Corp. | 50,393 | 2,509 | ||||
Vontier Corp. | 124,073 | 2,435 | ||||
* | IPG Photonics Corp. | 26,029 | 2,369 | |||
Vishay Intertechnology Inc. | 102,630 | 2,365 | ||||
* | Euronet Worldwide Inc. | 24,410 | 2,269 | |||
Genpact Ltd. | 45,051 | 2,077 | ||||
* | Viasat Inc. | 59,345 | 2,023 | |||
National Instruments Corp. | 48,799 | 2,002 | ||||
* | Ciena Corp. | 43,512 | 1,956 | |||
* | Coherent Corp. | 52,932 | 1,941 | |||
* | Kyndryl Holdings Inc. | 160,286 | 1,877 | |||
Littelfuse Inc. | 7,383 | 1,820 | ||||
* | Cirrus Logic Inc. | 22,828 | 1,705 | |||
MKS Instruments Inc. | 20,202 | 1,694 | ||||
* | Lumentum Holdings Inc. | 29,811 | 1,638 | |||
* | Novanta Inc. | 9,775 | 1,542 | |||
Xerox Holdings Corp. | 87,822 | 1,432 | ||||
Amkor Technology Inc. | 46,706 | 1,309 | ||||
* | Envestnet Inc. | 20,448 | 1,207 | |||
* | ACI Worldwide Inc. | 47,644 | 996 | |||
* | CommVault Systems Inc. | 12,255 | 809 | |||
* | Blackbaud Inc. | 12,312 | 730 | |||
* | MACOM Technology Solutions Holdings Inc. | 8,778 | 603 | |||
* | Semtech Corp. | 16,865 | 518 | |||
84,168 | ||||||
Materials (6.8%) | ||||||
Reliance Steel & Aluminum Co. | 47,357 | 10,006 | ||||
RPM International Inc. | 49,645 | 5,144 | ||||
United States Steel Corp. | 186,323 | 4,899 | ||||
Sonoco Products Co. | 76,582 | 4,700 | ||||
Commercial Metals Co. | 94,644 | 4,658 | ||||
Alcoa Corp. | 84,793 | 4,251 | ||||
Chemours Co. | 121,842 | 3,783 | ||||
Silgan Holdings Inc. | 65,791 | 3,480 | ||||
Cabot Corp. | 44,217 | 3,255 | ||||
AptarGroup Inc. | 27,711 | 2,941 | ||||
Westlake Corp. | 27,132 | 2,921 | ||||
Ashland Inc. | 22,296 | 2,494 | ||||
Royal Gold Inc. | 20,625 | 2,317 | ||||
NewMarket Corp. | 5,423 | 1,714 | ||||
Greif Inc. Class A | 20,882 | 1,468 | ||||
Worthington Industries Inc. | 23,666 | 1,343 | ||||
Sensient Technologies Corp. | 14,247 | 1,064 | ||||
* | Ingevity Corp. | 12,973 | 1,016 | |||
61,454 |
Shares | Market Value ($000) | |||||
Real Estate (8.8%) | ||||||
STORE Capital Corp. | 208,713 | 6,658 | ||||
Medical Properties Trust Inc. | 470,473 | 6,173 | ||||
Omega Healthcare Investors Inc. | 183,888 | 5,568 | ||||
Spirit Realty Capital Inc. | 107,095 | 4,436 | ||||
Kite Realty Group Trust | 172,115 | 3,924 | ||||
Kilroy Realty Corp. | 82,619 | 3,571 | ||||
National Retail Properties Inc. | 76,524 | 3,548 | ||||
* | Jones Lang LaSalle Inc. | 19,192 | 3,227 | |||
Cousins Properties Inc. | 118,964 | 3,138 | ||||
Healthcare Realty Trust Inc. Class A | 152,458 | 3,130 | ||||
Physicians Realty Trust | 177,827 | 2,655 | ||||
Highwoods Properties Inc. | 82,645 | 2,463 | ||||
Brixmor Property Group Inc. | 105,941 | 2,456 | ||||
Corporate Office Properties Trust | 88,328 | 2,453 | ||||
EPR Properties | 58,935 | 2,452 | ||||
Apartment Income REIT Corp. Class A | 64,187 | 2,442 | ||||
Sabra Health Care REIT Inc. | 181,452 | 2,342 | ||||
Lamar Advertising Co. Class A | 23,264 | 2,330 | ||||
Park Hotels & Resorts Inc. | 176,614 | 2,266 | ||||
Macerich Co. | 168,714 | 2,143 | ||||
1 | SL Green Realty Corp. | 50,501 | 2,119 | |||
Pebblebrook Hotel Trust | 103,162 | 1,718 | ||||
PotlatchDeltic Corp. | 35,424 | 1,693 | ||||
Rayonier Inc. | 45,972 | 1,649 | ||||
First Industrial Realty Trust Inc. | 32,125 | 1,624 | ||||
JBG SMITH Properties | 78,027 | 1,608 | ||||
Douglas Emmett Inc. | 74,304 | 1,287 | ||||
79,073 | ||||||
Utilities (6.2%) | ||||||
UGI Corp. | 164,437 | 6,356 | ||||
IDACORP Inc. | 39,710 | 4,389 | ||||
OGE Energy Corp. | 99,063 | 4,008 | ||||
New Jersey Resources Corp. | 75,576 | 3,760 | ||||
ONE Gas Inc. | 42,521 | 3,697 | ||||
Black Hills Corp. | 51,114 | 3,661 | ||||
Hawaiian Electric Industries Inc. | 85,979 | 3,532 | ||||
Portland General Electric Co. | 70,095 | 3,451 | ||||
Essential Utilities Inc. | 69,284 | 3,342 | ||||
Southwest Gas Holdings Inc. | 48,417 | 3,315 | ||||
PNM Resources Inc. | 67,414 | 3,303 | ||||
Spire Inc. | 41,233 | 3,055 | ||||
ALLETE Inc. | 44,829 | 2,968 | ||||
NorthWestern Corp. | 44,106 | 2,576 | ||||
National Fuel Gas Co. | 34,479 | 2,284 | ||||
Ormat Technologies Inc. | 24,844 | 2,247 | ||||
55,944 | ||||||
Total Common Stocks (Cost $844,106) | 899,723 |
Coupon | Shares | Market Value ($000) | ||||
Temporary Cash Investments (1.3%) | ||||||
Money Market Fund (1.3%) | ||||||
2,3 | Vanguard Market Liquidity Fund (Cost $11,650) | 3.877% | 116,519 | 11,651 | ||
Total Investments (100.8%) (Cost $855,756) | 911,374 | |||||
Other Assets and Liabilities—Net (-0.8%) | (6,975) | |||||
Net Assets (100%) | 904,399 |
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 $7,456,000. |
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 $7,838,000 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 2022 | 4 | 1,032 | 25 |
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. | 8/31/23 | BANA | 3,010 | (3.776) | 280 | — |
1 | Based on USD Overnight Bank Funding Rate as of the most recent payment date. Floating interest payment received/paid monthly. |
BANA—Bank of America, N.A. |
At November 30, 2022, the counterparties had deposited in segregated accounts cash of $40,000 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 November 30, 2022, based on the inputs used to value them:
Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 899,723 | — | — | 899,723 |
Temporary Cash Investments | 11,651 | — | — | 11,651 |
Total | 911,374 | — | — | 911,374 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 25 | — | — | 25 |
Swap Contracts | — | 280 | — | 280 |
Total | 25 | 280 | — | 305 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. |