Vanguard Growth Index Fund
Schedule of Investments (unaudited)
As of March 31, 2020
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 (99.7%) | ||
| Basic Materials (1.4%) | ||
| Linde plc | 4,076,405 | 705,218 |
| Ecolab Inc. | 1,968,110 | 306,691 |
| ^ International Flavors & Fragrances Inc. | 809,487 | 82,632 |
| FMC Corp. | 983,990 | 80,382 |
| CF Industries Holdings Inc. | 1,647,183 | 44,803 |
| Albemarle Corp. | 403,668 | 22,755 |
| * Axalta Coating Systems Ltd. | 799,999 | 13,816 |
| 1,256,297 | ||
| Consumer Goods (4.7%) | ||
| NIKE Inc. Class B | 9,454,869 | 782,296 |
| * Tesla Inc. | 1,094,295 | 573,410 |
| Colgate-Palmolive Co. | 6,502,402 | 431,499 |
| * Activision Blizzard Inc. | 5,828,406 | 346,674 |
| Estee Lauder Cos. Inc. Class A | 1,688,324 | 269,017 |
| * Electronic Arts Inc. | 2,215,164 | 221,893 |
| * Lululemon Athletica Inc. | 887,430 | 168,212 |
| * Monster Beverage Corp. | 2,857,765 | 160,778 |
| Hershey Co. | 1,125,692 | 149,154 |
| McCormick & Co. Inc. | 938,529 | 132,530 |
| Brown-Forman Corp. Class B | 2,222,333 | 123,362 |
| Church & Dwight Co. Inc. | 1,862,662 | 119,546 |
| * Take-Two Interactive Software Inc. | 859,846 | 101,986 |
| Clorox Co. | 475,902 | 82,450 |
| Constellation Brands Inc. Class A | 572,184 | 82,028 |
| * NVR Inc. | 26,634 | 68,426 |
| Lamb Weston Holdings Inc. | 1,107,566 | 63,242 |
| Tiffany & Co. | 432,445 | 56,002 |
| * WABCO Holdings Inc. | 389,567 | 52,611 |
| DR Horton Inc. | 1,326,524 | 45,102 |
| * LKQ Corp. | 2,088,453 | 42,834 |
| Lennar Corp. Class A | 1,062,084 | 40,572 |
| Fortune Brands Home & Security Inc. | 527,780 | 22,826 |
| * Under Armour Inc. Class A | 1,432,018 | 13,189 |
| * Under Armour Inc. Class C | 1,481,090 | 11,938 |
| Lennar Corp. Class B | 53,768 | 1,555 |
| Newell Brands Inc. | 369 | 5 |
| 4,163,137 | ||
| Consumer Services (19.4%) | ||
| * Amazon.com Inc. | 3,197,952 | 6,235,111 |
| Home Depot Inc. | 8,277,323 | 1,545,459 |
| * Netflix Inc. | 3,325,873 | 1,248,865 |
| Comcast Corp. Class A | 34,452,795 | 1,184,487 |
| Costco Wholesale Corp. | 3,336,645 | 951,378 |
| McDonald's Corp. | 5,714,536 | 944,899 |
| Starbucks Corp. | 8,514,567 | 559,748 | |
| Lowe's Cos. Inc. | 5,857,394 | 504,029 | |
| * | Charter Communications Inc. Class A | 1,141,090 | 497,869 |
| * | Booking Holdings Inc. | 317,677 | 427,377 |
| TJX Cos. Inc. | 8,254,480 | 394,647 | |
| Dollar General Corp. | 1,950,361 | 294,524 | |
| Ross Stores Inc. | 2,746,629 | 238,874 | |
| * | Uber Technologies Inc. | 7,768,323 | 216,892 |
| * | O'Reilly Automotive Inc. | 574,411 | 172,926 |
| Yum! Brands Inc. | 2,294,625 | 157,251 | |
| * | AutoZone Inc. | 180,839 | 152,990 |
| Marriott International Inc. Class A | 1,984,082 | 148,429 | |
| Hilton Worldwide Holdings Inc. | 2,140,403 | 146,061 | |
| * | Chipotle Mexican Grill Inc. | 211,026 | 138,095 |
| * | Dollar Tree Inc. | 1,794,814 | 131,865 |
| * | Copart Inc. | 1,587,146 | 108,751 |
| Domino's Pizza Inc. | 310,441 | 100,605 | |
| Tractor Supply Co. | 897,956 | 75,922 | |
| FactSet Research Systems Inc. | 287,819 | 75,029 | |
| * | Ulta Beauty Inc. | 424,112 | 74,516 |
| Expedia Group Inc. | 1,057,399 | 59,500 | |
| * | Roku Inc. | 659,347 | 57,680 |
| * | Altice USA Inc. Class A | 2,391,592 | 53,309 |
| * | Live Nation Entertainment Inc. | 1,053,108 | 47,874 |
| Wynn Resorts Ltd. | 691,390 | 41,615 | |
| ^ | Sirius XM Holdings Inc. | 8,401,343 | 41,503 |
| ^,* | Lyft Inc. Class A | 1,519,098 | 40,788 |
| Rollins Inc. | 1,117,133 | 40,373 | |
| * | Burlington Stores Inc. | 250,893 | 39,756 |
| ^,* | Wayfair Inc. | 474,839 | 25,375 |
| Vail Resorts Inc. | 153,442 | 22,665 | |
| MGM Resorts International | 1,760,798 | 20,777 | |
| * | Chewy Inc. | 323,828 | 12,140 |
| ^,* | Carvana Co. | 192,421 | 10,600 |
| 17,240,554 | |||
| Financials (12.8%) | |||
| Visa Inc. Class A | 12,721,075 | 2,049,620 | |
| Mastercard Inc. Class A | 6,812,517 | 1,645,632 | |
| American Tower Corp. | 3,361,321 | 731,928 | |
| Crown Castle International Corp. | 3,155,621 | 455,672 | |
| S&P Global Inc. | 1,855,024 | 454,574 | |
| Prologis Inc. | 5,602,348 | 450,261 | |
| Equinix Inc. | 647,317 | 404,295 | |
| Intercontinental Exchange Inc. | 4,224,559 | 341,133 | |
| Marsh & McLennan Cos. Inc. | 3,829,003 | 331,056 | |
| Charles Schwab Corp. | 8,754,925 | 294,340 | |
| Aon plc | 1,776,396 | 293,176 | |
| Moody's Corp. | 1,217,568 | 257,516 | |
| SBA Communications Corp. | 854,238 | 230,619 | |
| Blackstone Group LP Class A | 5,001,804 | 227,932 | |
| Public Storage | 1,126,517 | 223,737 | |
| Digital Realty Trust Inc. | 1,583,227 | 219,926 | |
| MSCI Inc. | 610,904 | 176,527 | |
| IHS Markit Ltd. | 2,892,398 | 173,544 | |
| T. Rowe Price Group Inc. | 1,685,026 | 164,543 | |
| AvalonBay Communities Inc. | 1,060,853 | 156,126 | |
| Realty Income Corp. | 2,472,140 | 123,261 | |
| Simon Property Group Inc. | 2,210,638 | 121,276 |
| Alexandria Real Estate Equities Inc. | 873,428 | 119,712 |
| Arthur J Gallagher & Co. | 1,418,367 | 115,611 |
| Essex Property Trust Inc. | 501,028 | 110,346 |
| Equifax Inc. | 918,501 | 109,715 |
| Boston Properties Inc. | 1,173,937 | 108,272 |
| First Republic Bank | 1,278,864 | 105,225 |
| * Markel Corp. | 99,518 | 92,342 |
| * CBRE Group Inc. Class A | 2,415,305 | 91,081 |
| MarketAxess Holdings Inc. | 273,259 | 90,878 |
| Extra Space Storage Inc. | 934,404 | 89,478 |
| Mid-America Apartment Communities Inc. | 865,737 | 89,197 |
| Sun Communities Inc. | 703,454 | 87,826 |
| Invitation Homes Inc. | 4,083,265 | 87,259 |
| UDR Inc. | 2,225,678 | 81,326 |
| Cboe Global Markets Inc. | 841,831 | 75,133 |
| * SVB Financial Group | 390,965 | 59,067 |
| Iron Mountain Inc. | 2,178,496 | 51,848 |
| Regency Centers Corp. | 1,270,181 | 48,813 |
| SEI Investments Co. | 1,024,561 | 47,478 |
| Federal Realty Investment Trust | 571,961 | 42,674 |
| TD Ameritrade Holding Corp. | 1,028,825 | 35,659 |
| E*TRADE Financial Corp. | 860,002 | 29,515 |
| Camden Property Trust | 365,924 | 28,996 |
| Interactive Brokers Group Inc. | 554,436 | 23,935 |
| Vornado Realty Trust | 654,825 | 23,711 |
| 11,371,791 | ||
| Health Care (8.2%) | ||
| Thermo Fisher Scientific Inc. | 3,042,738 | 862,921 |
| Bristol-Myers Squibb Co. | 8,883,764 | 495,181 |
| Becton Dickinson and Co. | 2,052,724 | 471,654 |
| * Vertex Pharmaceuticals Inc. | 1,951,821 | 464,436 |
| * Intuitive Surgical Inc. | 877,161 | 434,379 |
| Zoetis Inc. | 3,613,643 | 425,290 |
| Stryker Corp. | 2,415,256 | 402,116 |
| * Boston Scientific Corp. | 10,573,861 | 345,025 |
| Danaher Corp. | 2,373,889 | 328,570 |
| * Illumina Inc. | 1,115,131 | 304,565 |
| * Regeneron Pharmaceuticals Inc. | 614,185 | 299,900 |
| * Edwards Lifesciences Corp. | 1,582,284 | 298,450 |
| * Centene Corp. | 4,429,625 | 263,164 |
| * DexCom Inc. | 694,391 | 186,979 |
| ResMed Inc. | 1,090,863 | 160,673 |
| * IDEXX Laboratories Inc. | 650,798 | 157,649 |
| Baxter International Inc. | 1,938,159 | 157,359 |
| * Alexion Pharmaceuticals Inc. | 1,594,702 | 143,188 |
| * IQVIA Holdings Inc. | 1,252,186 | 135,061 |
| * BioMarin Pharmaceutical Inc. | 1,363,686 | 115,231 |
| * Seattle Genetics Inc. | 909,673 | 104,958 |
| Cooper Cos. Inc. | 376,603 | 103,818 |
| Teleflex Inc. | 351,485 | 102,936 |
| * Incyte Corp. | 1,388,263 | 101,663 |
| * Align Technology Inc. | 538,086 | 93,600 |
| * Alnylam Pharmaceuticals Inc. | 846,376 | 92,128 |
| * Varian Medical Systems Inc. | 690,601 | 70,897 |
| * Exact Sciences Corp. | 1,117,003 | 64,786 |
| * ABIOMED Inc. | 325,569 | 47,260 |
| * Jazz Pharmaceuticals plc | 406,929 | 40,587 |
| * PPD Inc. | 515,847 | 9,187 |
| 7,283,611 | ||
| Industrials (11.4%) | ||
| * PayPal Holdings Inc. | 8,910,144 | 853,057 |
| Accenture plc Class A | 4,819,325 | 786,803 |
| Union Pacific Corp. | 5,267,614 | 742,944 |
| Lockheed Martin Corp. | 1,819,675 | 616,779 |
| Boeing Co. | 4,057,367 | 605,116 |
| Fidelity National Information Services Inc. | 4,664,441 | 567,383 |
| United Parcel Service Inc. Class B | 5,318,018 | 496,809 |
| * Fiserv Inc. | 4,384,622 | 416,495 |
| Automatic Data Processing Inc. | 2,954,592 | 403,834 |
| Global Payments Inc. | 2,280,211 | 328,875 |
| Sherwin-Williams Co. | 630,279 | 289,626 |
| Roper Technologies Inc. | 789,386 | 246,138 |
| Verisk Analytics Inc. | 1,244,128 | 173,407 |
| Agilent Technologies Inc. | 2,343,879 | 167,869 |
| Amphenol Corp. Class A | 2,248,047 | 163,838 |
| * CoStar Group Inc. | 277,917 | 163,196 |
| Illinois Tool Works Inc. | 1,097,031 | 155,910 |
| Waste Connections Inc. | 2,000,535 | 155,041 |
| Paychex Inc. | 2,447,041 | 153,968 |
| * Square Inc. | 2,635,894 | 138,068 |
| Fastenal Co. | 4,350,657 | 135,958 |
| Rockwell Automation Inc. | 876,362 | 132,252 |
| * Mettler-Toledo International Inc. | 184,837 | 127,632 |
| AMETEK Inc. | 1,735,449 | 124,987 |
| TransDigm Group Inc. | 385,825 | 123,537 |
| * FleetCor Technologies Inc. | 658,196 | 122,780 |
| Fortive Corp. | 2,164,680 | 119,469 |
| * Keysight Technologies Inc. | 1,423,381 | 119,108 |
| Cintas Corp. | 667,801 | 115,676 |
| Vulcan Materials Co. | 1,006,031 | 108,722 |
| Old Dominion Freight Line Inc. | 816,989 | 107,238 |
| Kansas City Southern | 751,409 | 95,564 |
| TransUnion | 1,430,237 | 94,653 |
| Martin Marietta Materials Inc. | 474,156 | 89,724 |
| * Waters Corp. | 489,535 | 89,120 |
| Xylem Inc. | 1,366,860 | 89,024 |
| Expeditors International of Washington Inc. | 1,293,679 | 86,314 |
| Broadridge Financial Solutions Inc. | 870,973 | 82,594 |
| Ball Corp. | 1,240,206 | 80,192 |
| Masco Corp. | 2,172,058 | 75,088 |
| Westinghouse Air Brake Technologies Corp. | 1,381,322 | 66,483 |
| * Trimble Inc. | 1,887,894 | 60,092 |
| JB Hunt Transport Services Inc. | 647,505 | 59,719 |
| Jack Henry & Associates Inc. | 291,499 | 45,252 |
| HEICO Corp. Class A | 609,336 | 38,937 |
| * IPG Photonics Corp. | 262,568 | 28,956 |
| Cognex Corp. | 614,711 | 25,953 |
| Hubbell Inc. | 206,556 | 23,700 |
| HEICO Corp. | 307,824 | 22,967 |
| AO Smith Corp. | 522,356 | 19,750 |
| * XPO Logistics Inc. | 352,104 | 17,165 |
| FLIR Systems Inc. | 511,323 | 16,306 |
| Robert Half International Inc. | 417,500 | 15,761 | |
| 10,185,829 | |||
| Oil & Gas (0.6%) | |||
| EOG Resources Inc. | 4,416,627 | 158,645 | |
| Pioneer Natural Resources Co. | 1,257,307 | 88,200 | |
| ONEOK Inc. | 3,134,748 | 68,369 | |
| Concho Resources Inc. | 1,524,902 | 65,342 | |
| * | Cheniere Energy Inc. | 1,736,760 | 58,182 |
| Hess Corp. | 1,037,353 | 34,544 | |
| Diamondback Energy Inc. | 1,219,368 | 31,948 | |
| Cabot Oil & Gas Corp. | 1,545,563 | 26,568 | |
| Targa Resources Corp. | 1,772,314 | 12,247 | |
| Noble Energy Inc. | 1,821,392 | 11,001 | |
| ^ | Continental Resources Inc. | 564,839 | 4,315 |
| Apache Corp. | 234 | 1 | |
| 559,362 | |||
| Technology (40.9%) | |||
| Microsoft Corp. | 57,890,590 | 9,129,925 | |
| Apple Inc. | 30,345,189 | 7,716,478 | |
| * | Facebook Inc. Class A | 18,260,783 | 3,045,899 |
| * | Alphabet Inc. Class A | 2,273,672 | 2,641,893 |
| * | Alphabet Inc. Class C | 2,215,875 | 2,576,642 |
| * | Adobe Inc. | 3,673,571 | 1,169,077 |
| NVIDIA Corp. | 4,412,059 | 1,163,019 | |
| * | salesforce.com Inc. | 6,322,161 | 910,265 |
| Texas Instruments Inc. | 7,093,816 | 708,885 | |
| Broadcom Inc. | 2,859,651 | 678,023 | |
| Intuit Inc. | 1,876,914 | 431,690 | |
| * | ServiceNow Inc. | 1,430,816 | 410,043 |
| * | Advanced Micro Devices Inc. | 8,452,498 | 384,420 |
| * | Micron Technology Inc. | 8,402,862 | 353,424 |
| Applied Materials Inc. | 7,007,969 | 321,105 | |
| L3Harris Technologies Inc. | 1,677,230 | 302,103 | |
| Lam Research Corp. | 1,100,644 | 264,155 | |
| * | Autodesk Inc. | 1,665,998 | 260,062 |
| Analog Devices Inc. | 2,794,111 | 250,492 | |
| KLA Corp. | 1,197,109 | 172,072 | |
| * | Workday Inc. Class A | 1,244,145 | 162,013 |
| * | Veeva Systems Inc. Class A | 998,534 | 156,141 |
| Xilinx Inc. | 1,909,503 | 148,827 | |
| * | ANSYS Inc. | 639,469 | 148,657 |
| * | Splunk Inc. | 1,171,831 | 147,920 |
| * | Synopsys Inc. | 1,140,161 | 146,841 |
| * | VeriSign Inc. | 801,892 | 144,413 |
| Cerner Corp. | 2,265,517 | 142,705 | |
| * | Cadence Design Systems Inc. | 2,130,358 | 140,689 |
| * | Twitter Inc. | 5,594,764 | 137,407 |
| Citrix Systems Inc. | 938,284 | 132,814 | |
| Microchip Technology Inc. | 1,812,299 | 122,874 | |
| * | Palo Alto Networks Inc. | 706,546 | 115,845 |
| Skyworks Solutions Inc. | 1,293,293 | 115,595 | |
| * | Fortinet Inc. | 1,103,213 | 111,612 |
| * | IAC/InterActiveCorp | 598,389 | 107,249 |
| * | Akamai Technologies Inc. | 1,164,294 | 106,521 |
| Maxim Integrated Products Inc. | 2,051,505 | 99,724 | |
| * | Okta Inc. | 808,085 | 98,796 |
| * | Snap Inc. | 7,348,366 | 87,372 | ||
| Motorola Solutions Inc. | 650,604 | 86,478 | |||
| * | Twilio Inc. | 945,331 | 84,598 | ||
| * | Arista Networks Inc. | 405,696 | 82,174 | ||
| * | Paycom Software Inc. | 376,582 | 76,073 | ||
| * | GoDaddy Inc. Class A | 1,295,415 | 73,981 | ||
| SS&C Technologies Holdings Inc. | 1,630,492 | 71,448 | |||
| * | VMware Inc. Class A | 582,124 | 70,495 | ||
| * | Gartner Inc. | 645,107 | 64,233 | ||
| * | Black Knight Inc. | 1,077,781 | 62,576 | ||
| * | RingCentral Inc. Class A | 284,007 | 60,184 | ||
| * | Slack Technologies Inc. Class A | 1,769,630 | 47,497 | ||
| * | Pinterest Inc. Class A | 2,325,737 | 35,909 | ||
| * | Dropbox Inc. Class A | 1,634,336 | 29,582 | ||
| ^,* | Match Group Inc. | 399,969 | 26,414 | ||
| * | Crowdstrike Holdings Inc. Class A | 158,475 | 8,824 | ||
| * | Datadog Inc. Class A | 208,881 | 7,516 | ||
| * | F5 Networks Inc. | 62 | 7 | ||
| 36,351,676 | |||||
| Telecommunications (0.3%) | |||||
| * | T-Mobile US Inc. | 2,271,864 | 190,609 | ||
| * | Zoom Video Communications Inc. Class A | 345,140 | 50,432 | ||
| 241,041 | |||||
| Utilities (0.0%) | |||||
| NRG Energy Inc. | 906,939 | 24,723 | |||
| Total Common Stocks (Cost $54,828,125) | 88,678,021 | ||||
| Coupon | |||||
| Temporary Cash Investments (0.4%) | |||||
| Money Market Fund (0.4%) | |||||
| 1,2 Vanguard Market Liquidity Fund | 0.943% | 3,034,657 | 303,102 | ||
| Face | |||||
| Maturity | Amount | ||||
| Date | ($000) | ||||
| U.S. Government and Agency Obligations (0.0%) | |||||
| 3 | United States Treasury Bill | 1.527%–1.541% | 4/30/20 | 9,750 | 9,750 |
| Total Temporary Cash Investments (Cost $313,025) | 312,852 | ||||
| Total Investments (100.1%) (Cost $55,141,150) | 88,990,873 | ||||
| Other Assets and Liabilities -Net (-0.1%)2,3,4 | (52,145) | ||||
| Net Assets (100%) | 88,938,728 | ||||
| Cost rounded to $000. | |||||
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $72,413,000.
* Non-income-producing security.
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 $74,051,000 was received for securities on loan.
3 Securities with a value of $9,750,000 and cash of $9,789,000 have been segregated as initial margin for open
futures contracts.
4 Cash of $4,430,000 has been segregated as collateral for open over-the-counter swap contracts.
| Growth Index Fund | ||||||
| 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 2020 | 1,620 | 208,146 | (698) | ||
| 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 | 9/2/20 | BOANA | 49,984 | (1.415) | — | (5,649) |
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. 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 o n 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 assets pledged as initial margin for
open contracts are noted in the Schedule of Investments.
Growth Index Fund
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the
contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts
are recorded in the Schedule of Investments as unrealized appreciation (depreciation) until the
contracts are closed, when they are recorded as realized gains (losses) on futures.
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.
The notional amounts of swap contracts are not recorded in the Statement of Net Assets. Swaps are
valued daily based on market quotations received from independent pricing services or recognized
dealers and the change in value is recorded in the Statement of Net Assets as an asset (liability) and
in the Statement of Operations as unrealized appreciation (depreciation) until termination of the swap,
at which time realized gain (loss) is recorded.
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 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 Statement of Net Assets. 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.
D. Various inputs may be used to determine the value of the fund's investments. 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, i nterest
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 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, 2020, based on the inputs used to value them:
| Growth Index Fund | ||||
| Level 1 | Level 2 | Level 3 | Total | |
| ($000) | ($000) | ($000) | ($000) | |
| Investments | ||||
| Assets | ||||
| Common Stocks | 88,678,021 | — | — | 88,678,021 |
| Temporary Cash Investments | 303,102 | 9,750 | — | 312,852 |
| Total | 88,981,123 | 9,750 | — | 88,990,873 |
| Derivative Financial Instruments | ||||
| Liabilities | ||||
| Futures Contracts1 | 3,362 | — | — | 3,362 |
| Swap Contracts | — | 5,649 | — | 5,649 |
| Total | 3,362 | 5,649 | — | 9,011 |
| 1 Represents variation margin on the last day of the reporting period. | ||||