UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT
OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-04098
Name of Registrant: | Vanguard Chester Funds |
Address of Registrant: | P.O. Box 2600 |
Valley Forge, PA 19482 |
Name and address of agent for service: | Anne E. Robinson, Esquire |
P.O. Box 876 | |
Valley Forge, PA 19482 |
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: September 30
Date of reporting period: October 1, 2021—March 31, 2022
Item 1: | Reports to Shareholders |
About Your Fund’s Expenses | 1 |
Financial Statements | 4 |
Liquidity Risk Management | 17 |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended March 31, 2022 | |||
Beginning Account Value 9/30/2021 | Ending Account Value 3/31/2022 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
PRIMECAP Fund | |||
Investor Shares | $1,000.00 | $1,022.00 | $1.92 |
Admiral™ Shares | 1,000.00 | 1,022.40 | 1.56 |
Based on Hypothetical 5% Yearly Return | |||
PRIMECAP Fund | |||
Investor Shares | $1,000.00 | $1,023.04 | $1.92 |
Admiral Shares | 1,000.00 | 1,023.39 | 1.56 |
Communication Services | 6.6% |
Consumer Discretionary | 13.2 |
Consumer Staples | 0.2 |
Energy | 2.1 |
Financials | 8.0 |
Health Care | 26.2 |
Industrials | 13.8 |
Information Technology | 28.5 |
Materials | 1.4 |
Shares | Market Value• ($000) | ||
Common Stocks (97.3%) | |||
Communication Services (6.4%) | |||
* | Alphabet Inc. Class A | 625,887 | 1,740,811 |
* | Alphabet Inc. Class C | 353,911 | 988,470 |
* | Baidu Inc. ADR | 5,323,248 | 704,266 |
* | Walt Disney Co. | 2,708,925 | 371,556 |
Activision Blizzard Inc. | 3,594,000 | 287,915 | |
* | Meta Platforms Inc. Class A | 531,050 | 118,084 |
* | Charter Communications Inc. Class A | 199,850 | 109,022 |
* | Live Nation Entertainment Inc. | 549,360 | 64,627 |
* | T-Mobile US Inc. | 360,600 | 46,283 |
* | Take-Two Interactive Software Inc. | 300,000 | 46,122 |
* | Altice USA Inc. Class A | 1,180,000 | 14,727 |
Comcast Corp. Class A | 87,369 | 4,091 | |
* | Roblox Corp. Class A | 26,500 | 1,225 |
Nintendo Co. Ltd. | 1,750 | 883 | |
Electronic Arts Inc. | 5,700 | 721 | |
4,498,803 | |||
Consumer Discretionary (12.8%) | |||
* | Tesla Inc. | 2,126,560 | 2,291,581 |
Sony Group Corp. ADR | 13,887,345 | 1,426,369 | |
* | Alibaba Group Holding Ltd. ADR | 9,899,017 | 1,077,013 |
* | Amazon.com Inc. | 247,480 | 806,772 |
Ross Stores Inc. | 7,833,900 | 708,655 | |
*,1 | Mattel Inc. | 27,357,438 | 607,609 |
1 | Whirlpool Corp. | 2,997,832 | 517,965 |
TJX Cos. Inc. | 8,520,800 | 516,190 | |
Bath & Body Works Inc. | 3,538,714 | 169,150 | |
* | Royal Caribbean Cruises Ltd. | 1,713,547 | 143,561 |
* | Carnival Corp. | 6,154,065 | 124,435 |
* | Dollar Tree Inc. | 637,000 | 102,016 |
* | Marriott International Inc. Class A | 451,410 | 79,335 |
eBay Inc. | 1,294,000 | 74,094 | |
* | Hilton Worldwide Holdings Inc. | 423,766 | 64,302 |
* | Victoria's Secret & Co. | 1,180,871 | 60,650 |
McDonald's Corp. | 191,800 | 47,428 | |
Restaurant Brands International Inc. | 808,900 | 47,232 | |
* | Burlington Stores Inc. | 248,000 | 45,178 |
Lowe's Cos. Inc. | 220,000 | 44,482 | |
* | Las Vegas Sands Corp. | 712,300 | 27,687 |
Shares | Market Value• ($000) | ||
* | Flutter Entertainment plc (XDUB) | 225,334 | 26,087 |
MGM Resorts International | 553,000 | 23,193 | |
* | Ulta Beauty Inc. | 21,000 | 8,363 |
* | O'Reilly Automotive Inc. | 11,000 | 7,535 |
* | AutoZone Inc. | 2,750 | 5,623 |
Dollar General Corp. | 1,400 | 312 | |
9,052,817 | |||
Consumer Staples (0.2%) | |||
Sysco Corp. | 1,420,300 | 115,967 | |
Altria Group Inc. | 621,700 | 32,484 | |
Mowi ASA | 418,000 | 11,259 | |
Constellation Brands Inc. Class A | 25,700 | 5,919 | |
Philip Morris International Inc. | 43,300 | 4,068 | |
169,697 | |||
Energy (2.1%) | |||
Hess Corp. | 5,753,700 | 615,876 | |
Pioneer Natural Resources Co. | 2,308,700 | 577,244 | |
EOG Resources Inc. | 1,723,300 | 205,469 | |
* | Transocean Ltd. (XNYS) | 11,761,373 | 53,750 |
Schlumberger NV | 77,600 | 3,206 | |
1,455,545 | |||
Financials (7.8%) | |||
Wells Fargo & Co. | 29,611,747 | 1,434,985 | |
Charles Schwab Corp. | 10,241,108 | 863,428 | |
JPMorgan Chase & Co. | 6,162,175 | 840,028 | |
Bank of America Corp. | 17,773,332 | 732,617 | |
Marsh & McLennan Cos. Inc. | 4,108,015 | 700,088 | |
Raymond James Financial Inc. | 3,086,008 | 339,183 | |
US Bancorp | 3,517,300 | 186,945 | |
Citigroup Inc. | 1,959,200 | 104,621 | |
Progressive Corp. | 908,000 | 103,503 | |
CME Group Inc. | 375,168 | 89,237 | |
Morgan Stanley | 625,000 | 54,625 | |
Goldman Sachs Group Inc. | 152,000 | 50,175 | |
Discover Financial Services | 182,525 | 20,112 | |
5,519,547 | |||
Health Care (25.5%) | |||
Eli Lilly & Co. | 15,994,758 | 4,580,419 | |
Amgen Inc. | 9,257,685 | 2,238,693 |
Shares | Market Value• ($000) | ||
*,1 | Biogen Inc. | 8,923,691 | 1,879,329 |
AstraZeneca plc ADR | 25,900,088 | 1,718,212 | |
Thermo Fisher Scientific Inc. | ��2,295,349 | 1,355,748 | |
* | Boston Scientific Corp. | 26,617,644 | 1,178,895 |
Novartis AG ADR | 10,577,005 | 928,132 | |
Bristol-Myers Squibb Co. | 11,969,723 | 874,149 | |
Roche Holding AG | 1,724,513 | 682,324 | |
* | BioMarin Pharmaceutical Inc. | 6,217,339 | 479,357 |
* | Elanco Animal Health Inc. (XNYS) | 13,563,919 | 353,883 |
Abbott Laboratories | 2,728,995 | 323,004 | |
Zimmer Biomet Holdings Inc. | 2,376,230 | 303,920 | |
CVS Health Corp. | 2,370,000 | 239,868 | |
* | BeiGene Ltd. ADR | 1,184,290 | 223,357 |
Agilent Technologies Inc. | 821,516 | 108,711 | |
* | IQVIA Holdings Inc. | 442,224 | 102,247 |
Stryker Corp. | 359,200 | 96,032 | |
Medtronic plc | 723,190 | 80,238 | |
* | Edwards Lifesciences Corp. | 492,100 | 57,930 |
2 | Siemens Healthineers AG | 851,517 | 52,769 |
Sanofi ADR | 968,000 | 49,697 | |
Alcon Inc. | 433,987 | 34,428 | |
GlaxoSmithKline plc ADR | 548,000 | 23,871 | |
Danaher Corp. | 56,902 | 16,691 | |
* | Waters Corp. | 27,030 | 8,390 |
* | Zimvie Inc. | 229,823 | 5,249 |
UnitedHealth Group Inc. | 5,735 | 2,925 | |
Humana Inc. | 4,276 | 1,861 | |
* | Seagen Inc. | 11,040 | 1,590 |
18,001,919 | |||
Industrials (13.4%) | |||
FedEx Corp. | 8,660,358 | 2,003,920 | |
* | Southwest Airlines Co. | 26,257,478 | 1,202,592 |
Siemens AG (Registered) | 8,179,840 | 1,132,640 | |
Union Pacific Corp. | 2,284,000 | 624,012 | |
* | Airbus SE | 4,817,239 | 581,289 |
* | United Airlines Holdings Inc. | 12,453,503 | 577,344 |
Caterpillar Inc. | 2,285,768 | 509,315 | |
* | American Airlines Group Inc. | 19,880,313 | 362,816 |
* | Delta Air Lines Inc. | 9,005,100 | 356,332 |
United Parcel Service Inc. Class B | 1,543,670 | 331,055 | |
Textron Inc. | 3,579,710 | 266,259 | |
* | TransDigm Group Inc. | 343,916 | 224,075 |
* | Alaska Air Group Inc. | 3,846,200 | 223,118 |
Carrier Global Corp. | 3,227,000 | 148,022 | |
General Dynamics Corp. | 537,930 | 129,738 | |
Deere & Co. | 298,400 | 123,973 | |
CSX Corp. | 3,222,000 | 120,664 | |
Otis Worldwide Corp. | 1,324,100 | 101,890 | |
AMETEK Inc. | 658,250 | 87,666 | |
* | Lyft Inc. Class A | 2,149,970 | 82,559 |
Raytheon Technologies Corp. | 493,000 | 48,842 | |
Rockwell Automation Inc. | 173,050 | 48,459 | |
L3Harris Technologies Inc. | 189,000 | 46,961 |
Shares | Market Value• ($000) | ||
Honeywell International Inc. | 230,000 | 44,753 | |
Pentair plc | 580,000 | 31,442 | |
nVent Electric plc | 887,000 | 30,850 | |
* | Ryanair Holdings plc ADR | 250,000 | 21,780 |
* | Uber Technologies Inc. | 117,750 | 4,201 |
9,466,567 | |||
Information Technology (27.7%) | |||
Microsoft Corp. | 9,840,168 | 3,033,822 | |
Texas Instruments Inc. | 11,599,602 | 2,128,295 | |
* | Adobe Inc. | 4,544,957 | 2,070,773 |
Micron Technology Inc. | 24,439,774 | 1,903,614 | |
KLA Corp. | 4,227,460 | 1,547,504 | |
Intel Corp. | 24,397,908 | 1,209,160 | |
NetApp Inc. | 8,672,241 | 719,796 | |
Intuit Inc. | 1,290,900 | 620,716 | |
NVIDIA Corp. | 2,242,190 | 611,804 | |
Oracle Corp. | 6,862,400 | 567,726 | |
QUALCOMM Inc. | 3,589,306 | 548,518 | |
Telefonaktiebolaget LM Ericsson ADR | 56,754,126 | 518,733 | |
HP Inc. | 14,107,216 | 512,092 | |
Hewlett Packard Enterprise Co. | 29,538,866 | 493,594 | |
Visa Inc. Class A | 2,170,900 | 481,441 | |
Analog Devices Inc. | 2,713,640 | 448,239 | |
Apple Inc. | 1,690,000 | 295,091 | |
Entegris Inc. | 1,835,622 | 240,944 | |
Cisco Systems Inc. | 4,295,279 | 239,505 | |
* | Splunk Inc. | 1,503,311 | 223,407 |
Applied Materials Inc. | 1,418,800 | 186,998 | |
Corning Inc. | 3,990,600 | 147,293 | |
*,1 | Plantronics Inc. | 3,645,100 | 143,617 |
* | PayPal Holdings Inc. | 1,182,220 | 136,724 |
* | Autodesk Inc. | 464,200 | 99,501 |
Mastercard Inc. Class A | 276,100 | 98,673 | |
* | BlackBerry Ltd. | 9,975,500 | 74,417 |
Fidelity National Information Services Inc. | 728,500 | 73,156 | |
* | Palo Alto Networks Inc. | 109,900 | 68,414 |
* | Western Digital Corp. | 837,100 | 41,562 |
* | Keysight Technologies Inc. | 199,120 | 31,455 |
* | salesforce.com Inc. | 100,400 | 21,317 |
* | Dell Technologies Inc. Class C | 276,000 | 13,852 |
* | VMware Inc. Class A | 121,612 | 13,848 |
Infineon Technologies AG ADR | 75,000 | 2,548 | |
* | RingCentral Inc. Class A | 5,550 | 651 |
* | Unity Software Inc. | 6,000 | 595 |
* | Arista Networks Inc. | 4,000 | 556 |
* | Okta Inc. | 3,500 | 528 |
19,570,479 | |||
Materials (1.4%) | |||
Albemarle Corp. | 1,144,535 | 253,114 | |
Glencore plc | 33,250,139 | 216,349 | |
Freeport-McMoRan Inc. | 3,064,900 | 152,448 | |
DuPont de Nemours Inc. | 1,276,056 | 93,892 | |
Dow Inc. | 1,343,817 | 85,628 | |
Linde plc | 262,600 | 83,882 |
Shares | Market Value• ($000) | ||
Corteva Inc. | 1,320,716 | 75,915 | |
961,228 | |||
Total Common Stocks (Cost $24,490,126) | 68,696,602 | ||
Temporary Cash Investments (2.7%) | |||
Money Market Fund (2.7%) | |||
3 | Vanguard Market Liquidity Fund, 0.312% (Cost $1,859,909) | 18,602,041 | 1,860,018 |
Total Investments (100.0%) (Cost $26,350,035) | 70,556,620 | ||
Other Assets and Liabilities—Net (0.0%) | 24,680 | ||
Net Assets (100%) | 70,581,300 | ||
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 | Considered an affiliated company of the fund as the fund owns more than 5% of the outstanding voting securities of such company. |
2 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2022, the aggregate value was $52,769,000, representing 0.1% of net assets. |
3 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
ADR—American Depositary Receipt. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $23,287,520) | 65,548,082 |
Affiliated Issuers (Cost $3,062,515) | 5,008,538 |
Total Investments in Securities | 70,556,620 |
Investment in Vanguard | 2,366 |
Receivables for Investment Securities Sold | 5,864 |
Receivables for Accrued Income | 79,693 |
Receivables for Capital Shares Issued | 19,404 |
Total Assets | 70,663,947 |
Liabilities | |
Due to Custodian | 1,263 |
Payables for Investment Securities Purchased | 6,214 |
Payables to Investment Advisor | 31,866 |
Payables for Capital Shares Redeemed | 39,128 |
Payables to Vanguard | 4,176 |
Total Liabilities | 82,647 |
Net Assets | 70,581,300 |
At March 31, 2022, net assets consisted of: | |
Paid-in Capital | 22,578,744 |
Total Distributable Earnings (Loss) | 48,002,556 |
Net Assets | 70,581,300 |
Investor Shares—Net Assets | |
Applicable to 35,325,434 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 5,508,773 |
Net Asset Value Per Share—Investor Shares | $155.94 |
Admiral Shares—Net Assets | |
Applicable to 402,730,864 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 65,072,527 |
Net Asset Value Per Share—Admiral Shares | $161.58 |
Six Months Ended March 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Dividends—Unaffiliated Issuers1 | 457,956 |
Dividends—Affiliated Issuers | 9,451 |
Interest—Affiliated Issuers | 905 |
Securities Lending—Net | 44 |
Total Income | 468,356 |
Expenses | |
Investment Advisory Fees—Note B | 65,644 |
The Vanguard Group—Note C | |
Management and Administrative—Investor Shares | 5,346 |
Management and Administrative—Admiral Shares | 40,892 |
Marketing and Distribution—Investor Shares | 232 |
Marketing and Distribution—Admiral Shares | 1,179 |
Custodian Fees | 1,972 |
Shareholders’ Reports—Investor Shares | 17 |
Shareholders’ Reports—Admiral Shares | 70 |
Trustees’ Fees and Expenses | 19 |
Other Expenses | 8 |
Total Expenses | 115,379 |
Net Investment Income | 352,977 |
Realized Net Gain (Loss) | |
Capital Gains Distributions Received – Affiliated Issuers | 38 |
Investment Securities Sold—Unaffiliated Issuers | 4,048,050 |
Investment Securities Sold—Affiliated Issuers | 45,175 |
Foreign Currencies | 326 |
Realized Net Gain (Loss) | 4,093,589 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities—Unaffiliated Issuers | (2,074,524) |
Investment Securities—Affiliated Issuers | (642,132) |
Foreign Currencies | (351) |
Change in Unrealized Appreciation (Depreciation) | (2,717,007) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,729,559 |
1 | Dividends are net of foreign withholding taxes of $14,027,000. |
Six Months Ended March 31, 2022 | Year Ended September 30, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 352,977 | 577,541 | |
Realized Net Gain (Loss) | 4,093,589 | 7,262,792 | |
Change in Unrealized Appreciation (Depreciation) | (2,717,007) | 10,391,810 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,729,559 | 18,232,143 | |
Distributions | |||
Investor Shares | (553,706) | (551,613) | |
Admiral Shares | (6,487,189) | (5,760,196) | |
Total Distributions | (7,040,895) | (6,311,809) | |
Capital Share Transactions | |||
Investor Shares | 47,535 | (897,885) | |
Admiral Shares | 1,907,774 | (1,408,182) | |
Net Increase (Decrease) from Capital Share Transactions | 1,955,309 | (2,306,067) | |
Total Increase (Decrease) | (3,356,027) | 9,614,267 | |
Net Assets | |||
Beginning of Period | 73,937,327 | 64,323,060 | |
End of Period | 70,581,300 | 73,937,327 |
Investor Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended March 31, 2022 | Year Ended September 30, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $168.72 | $142.86 | $133.12 | $147.61 | $126.84 | $107.60 |
Investment Operations | ||||||
Net Investment Income1 | .737 | 1.183 | 1.745 | 1.715 | 1.474 | 1.398 |
Net Realized and Unrealized Gain (Loss) on Investments | 2.969 | 39.134 | 17.947 | (6.495) | 26.529 | 23.145 |
Total from Investment Operations | 3.706 | 40.317 | 19.692 | (4.780) | 28.003 | 24.543 |
Distributions | ||||||
Dividends from Net Investment Income | (1.150) | (1.542) | (1.690) | (1.470) | (1.400) | (1.356) |
Distributions from Realized Capital Gains | (15.336) | (12.915) | (8.262) | (8.240) | (5.833) | (3.947) |
Total Distributions | (16.486) | (14.457) | (9.952) | (9.710) | (7.233) | (5.303) |
Net Asset Value, End of Period | $155.94 | $168.72 | $142.86 | $133.12 | $147.61 | $126.84 |
Total Return2 | 2.20% | 29.74% | 15.05% | -2.41% | 22.86% | 23.75% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,509 | $5,878 | $5,697 | $6,095 | $7,126 | $7,699 |
Ratio of Total Expenses to Average Net Assets | 0.38% | 0.38% | 0.38% | 0.38% | 0.38% | 0.39% |
Ratio of Net Investment Income to Average Net Assets | 0.88% | 0.73% | 1.31% | 1.32% | 1.08% | 1.22% |
Portfolio Turnover Rate | 1% | 5% | 6% | 5% | 8% | 8% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
Admiral Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended March 31, 2022 | Year Ended September 30, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $174.92 | $148.12 | $138.02 | $153.09 | $131.45 | $111.52 |
Investment Operations | ||||||
Net Investment Income1 | .824 | 1.345 | 1.920 | 1.880 | 1.622 | 1.528 |
Net Realized and Unrealized Gain (Loss) on Investments | 3.081 | 40.564 | 18.600 | (6.756) | 27.508 | 23.981 |
Total from Investment Operations | 3.905 | 41.909 | 20.520 | (4.876) | 29.130 | 25.509 |
Distributions | ||||||
Dividends from Net Investment Income | (1.343) | (1.716) | (1.853) | (1.647) | (1.444) | (1.491) |
Distributions from Realized Capital Gains | (15.902) | (13.393) | (8.567) | (8.547) | (6.046) | (4.088) |
Total Distributions | (17.245) | (15.109) | (10.420) | (10.194) | (7.490) | (5.579) |
Net Asset Value, End of Period | $161.58 | $174.92 | $148.12 | $138.02 | $153.09 | $131.45 |
Total Return2 | 2.24% | 29.83% | 15.13% | -2.34% | 22.95% | 23.83% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $65,073 | $68,059 | $58,626 | $57,177 | $62,361 | $50,615 |
Ratio of Total Expenses to Average Net Assets | 0.31% | 0.31% | 0.31% | 0.31% | 0.31% | 0.32% |
Ratio of Net Investment Income to Average Net Assets | 0.95% | 0.80% | 1.39% | 1.39% | 1.15% | 1.29% |
Portfolio Turnover Rate | 1% | 5% | 6% | 5% | 8% | 8% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | PRIMECAP Management Company provides investment advisory services to the fund for a fee calculated at an annual percentage rate of average net assets. For the six months ended March 31, 2022, the investment advisory fee represented an effective annual basic rate of 0.18% of the fund’s average net assets. |
C. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
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 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 65,993,002 | 2,703,600 | — | 68,696,602 |
Temporary Cash Investments | 1,860,018 | — | — | 1,860,018 |
Total | 67,853,020 | 2,703,600 | — | 70,556,620 |
E. | As of March 31, 2022, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 26,356,456 |
Gross Unrealized Appreciation | 45,541,010 |
Gross Unrealized Depreciation | (1,340,846) |
Net Unrealized Appreciation (Depreciation) | 44,200,164 |
F. | During the six months ended March 31, 2022, the fund purchased $821,005,000 of investment securities and sold $5,749,216,000 of investment securities, other than temporary cash investments. |
G. | Capital share transactions for each class of shares were: |
Six Months Ended March 31, 2022 | Year Ended September 30, 2021 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Investor Shares | |||||
Issued | 160,042 | 965 | 348,874 | 2,168 | |
Issued in Lieu of Cash Distributions | 527,985 | 3,387 | 536,328 | 3,657 | |
Redeemed | (640,492) | (3,869) | (1,783,087) | (10,861) | |
Net Increase (Decrease)—Investor Shares | 47,535 | 483 | (897,885) | (5,036) | |
Admiral Shares | |||||
Issued | 831,660 | 4,867 | 3,667,358 | 21,693 | |
Issued in Lieu of Cash Distributions | 6,077,188 | 37,637 | 5,395,981 | 35,507 | |
Redeemed | (5,001,074) | (28,867) | (10,471,521) | (63,912) | |
Net Increase (Decrease)—Admiral Shares | 1,907,774 | 13,637 | (1,408,182) | (6,712) |
H. | Certain of the fund’s investments are in companies that are considered to be affiliated companies of the fund because the fund owns more than 5% of the outstanding voting securities of the company or the issuer is another member of The Vanguard Group. Transactions during the period in securities of these companies were as follows: |
Current Period Transactions | ||||||||
Sep. 30, 2021 Market Value ($000) | Purchases at Cost ($000) | Proceeds from Securities Sold ($000) | Realized Net Gain (Loss) ($000) | Change in Unrealized App. (Dep.) ($000) | Income ($000) | Capital Gain Distributions Received ($000) | Mar. 31, 2022 Market Value ($000) | |
Biogen Inc. | 2,594,892 | 5,410 | 66,855 | 44,978 | (699,096) | — | — | 1,879,329 |
Mattel Inc. | 510,740 | — | 3,626 | 8 | 100,487 | — | — | 607,609 |
Plantronics Inc. | 93,716 | — | — | — | 49,901 | — | — | 143,617 |
Vanguard Market Liquidity Fund | 1,726,256 | NA1 | NA1 | (127) | (19) | 905 | 38 | 1,860,018 |
Whirlpool Corp. | NA2 | — | 1,103 | 316 | (93,405) | 9,451 | — | 517,965 |
Total | 4,925,604 | 5,410 | 71,584 | 45,175 | (642,132) | 10,356 | 38 | 5,008,538 |
1 | Not applicable—purchases and sales are for temporary cash investment purposes. |
2 | Not applicable—at September 30, 2021, the issuer was not an affiliated company of the fund. |
I. | Management has determined that no events or transactions occurred subsequent to March 31, 2022, that would require recognition or disclosure in these financial statements. |
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Vanguard Target Retirement Income Fund |
Vanguard Target Retirement 2015 Fund |
Vanguard Target Retirement 2020 Fund |
Vanguard Target Retirement 2025 Fund |
Vanguard Target Retirement 2030 Fund |
Vanguard Target Retirement 2035 Fund |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended March 31, 2022 | |||
Beginning Account Value 9/30/2021 | Ending Account Value 3/31/2022 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Target Retirement Income Fund | $1,000.00 | $971.40 | $0.54 |
Target Retirement 2015 Fund | $1,000.00 | $972.50 | $0.54 |
Target Retirement 2020 Fund | $1,000.00 | $977.00 | $0.54 |
Target Retirement 2025 Fund | $1,000.00 | $978.50 | $0.54 |
Target Retirement 2030 Fund | $1,000.00 | $981.90 | $0.54 |
Target Retirement 2035 Fund | $1,000.00 | $986.30 | $0.54 |
Based on Hypothetical 5% Yearly Return | |||
Target Retirement Income Fund | $1,000.00 | $1,024.38 | $0.56 |
Target Retirement 2015 Fund | $1,000.00 | $1,024.38 | $0.56 |
Target Retirement 2020 Fund | $1,000.00 | $1,024.38 | $0.56 |
Target Retirement 2025 Fund | $1,000.00 | $1,024.38 | $0.56 |
Target Retirement 2030 Fund | $1,000.00 | $1,024.38 | $0.56 |
Target Retirement 2035 Fund | $1,000.00 | $1,024.38 | $0.56 |
Vanguard Total Bond Market II Index Fund Investor Shares | 36.7% |
Vanguard Total Stock Market Index Fund Institutional Plus Shares | 18.0 |
Vanguard Short-Term Inflation-Protected Securities Index Fund Admiral Shares | 17.1 |
Vanguard Total International Bond II Index Fund Institutional Shares | 16.2 |
Vanguard Total International Stock Index Fund Investor Shares | 12.0 |
Shares | Market Value• ($000) | |||||
Investment Companies (98.7%) | ||||||
U.S. Stock Fund (17.8%) | ||||||
Vanguard Total Stock Market Index Fund Institutional Plus Shares | 20,151,640 | 4,187,713 | ||||
International Stock Fund (11.8%) | ||||||
Vanguard Total International Stock Index Fund Investor Shares | 145,380,014 | 2,786,935 | ||||
U.S. Bond Funds (53.1%) | ||||||
1 | Vanguard Total Bond Market II Index Fund Investor Shares | 825,228,100 | 8,524,607 | |||
Vanguard Short-Term Inflation-Protected Securities Index Fund Admiral Shares | 155,763,830 | 3,961,074 | ||||
12,485,681 | ||||||
International Bond Fund (16.0%) | ||||||
1 | Vanguard Total International Bond II Index Fund Institutional Shares | 134,023,838 | 3,751,327 | |||
Total Investment Companies (Cost $19,801,300) | 23,211,656 | |||||
Temporary Cash Investments (1.3%) | ||||||
Money Market Fund (1.3%) | ||||||
1 | Vanguard Market Liquidity Fund, 0.312% (Cost $301,822) | 3,018,615 | 301,831 | |||
Total Investments (100.0%) (Cost $20,103,122) | 23,513,487 | |||||
Other Assets and Liabilities—Net (0.0%) | 5,546 | |||||
Net Assets (100%) | 23,519,033 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Affiliated fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown for Vanguard Market Liquidity Fund is the 7-day yield. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
10-Year U.S. Treasury Note | June 2022 | 1,220 | 149,907 | (4,163) |
E-mini S&P 500 Index | June 2022 | 708 | 160,389 | 11,683 |
7,520 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value—Affiliated Funds (Cost $20,103,122) | 23,513,487 |
Cash Collateral Pledged—Futures Contracts | 10,457 |
Receivables for Investment Securities Sold | 6,301 |
Receivables for Accrued Income | 60,296 |
Receivables for Capital Shares Issued | 17,574 |
Total Assets | 23,608,115 |
Liabilities | |
Payables for Investment Securities Purchased | 60,297 |
Payables for Capital Shares Redeemed | 26,780 |
Variation Margin Payable—Futures Contracts | 2,005 |
Total Liabilities | 89,082 |
Net Assets | 23,519,033 |
At March 31, 2022, net assets consisted of: | |
Paid-in Capital | 19,775,265 |
Total Distributable Earnings (Loss) | 3,743,768 |
Net Assets | 23,519,033 |
Net Assets | |
Applicable to 1,711,832,833 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 23,519,033 |
Net Asset Value Per Share | $13.74 |
Six Months Ended March 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Income Distributions Received from Affiliated Funds | 266,977 |
Net Investment Income—Note B | 266,977 |
Realized Net Gain (Loss) | |
Capital Gain Distributions Received from Affiliated Funds | 30,974 |
Affiliated Funds Sold1 | 333,320 |
Futures Contracts | (10,024) |
Realized Net Gain (Loss) | 354,270 |
Change in Unrealized Appreciation (Depreciation) | |
Affiliated Funds | (1,180,517) |
Futures Contracts | 12,193 |
Change in Unrealized Appreciation (Depreciation) | (1,168,324) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (547,077) |
1 | Includes $11,039,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended March 31, 2022 | Year Ended September 30, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 266,977 | 322,402 | |
Realized Net Gain (Loss) | 354,270 | 1,040,422 | |
Change in Unrealized Appreciation (Depreciation) | (1,168,324) | 86,983 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (547,077) | 1,449,807 | |
Distributions | |||
Total Distributions | (1,191,606) | (609,990) | |
Capital Share Transactions | |||
Issued | 1,460,927 | 3,092,305 | |
Issued in Connection with Acquisition of Vanguard Institutional Target Retirement Income Fund—Note G | 8,507,454 | — | |
Issued in Lieu of Cash Distributions | 1,113,227 | 575,385 | |
Redeemed | (2,145,497) | (5,761,722) | |
Net Increase (Decrease) from Capital Share Transactions | 8,936,111 | (2,094,032) | |
Total Increase (Decrease) | 7,197,428 | (1,254,215) | |
Net Assets | |||
Beginning of Period | 16,321,605 | 17,575,820 | |
End of Period | 23,519,033 | 16,321,605 |
For a Share Outstanding Throughout Each Period | Six Months Ended March 31, 2022 | Year Ended September 30, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $15.24 | $14.54 | $13.85 | $13.52 | $13.46 | $13.08 |
Investment Operations | ||||||
Net Investment Income1 | .213 | .278 | .308 | .341 | .334 | .250 |
Capital Gain Distributions Received1 | .025 | .056 | — | — | .001 | .004 |
Net Realized and Unrealized Gain (Loss) on Investments | (.622) | .887 | .696 | .533 | .107 | .422 |
Total from Investment Operations | (.384) | 1.221 | 1.004 | .874 | .442 | .676 |
Distributions | ||||||
Dividends from Net Investment Income | (.242) | (.256) | (.297) | (.352) | (.327) | (.254) |
Distributions from Realized Capital Gains | (.874) | (.265) | (.017) | (.192) | (.055) | (.042) |
Total Distributions | (1.116) | (.521) | (.314) | (.544) | (.382) | (.296) |
Net Asset Value, End of Period | $13.74 | $15.24 | $14.54 | $13.85 | $13.52 | $13.46 |
Total Return2 | -2.86% | 8.48% | 7.35% | 6.75% | 3.31% | 5.26% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $23,519 | $16,322 | $17,576 | $16,984 | $16,613 | $16,645 |
Ratio of Total Expenses to Average Net Assets | — | — | — | — | — | — |
Acquired Fund Fees and Expenses | 0.11% | 0.12% | 0.12% | 0.12% | 0.12% | 0.13% |
Ratio of Net Investment Income to Average Net Assets | 2.94% | 1.84% | 2.19% | 2.54% | 2.47% | 1.90% |
Portfolio Turnover Rate | 17%3 | 6% | 17% | 10% | 6% | 8% |
The expense ratio, acquired fund fees and expenses, and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. The FSA provides that expenses otherwise allocable to Vanguard funds-of-funds may be reduced or eliminated to the extent of savings realized by the |
C. | The fund’s SEC registrant (the Vanguard Chester Funds (the “Trust”)), certain officers and trustees of the Trust, and The Vanguard Group Inc. (collectively, the “Defendants”) were named in putative class action lawsuits filed in 2022 by certain investors (the “Plaintiffs”) in the U.S. District Court for the Eastern District of Pennsylvania. The Plaintiffs assert claims for breach of fiduciary duty, gross negligence, breach of the covenant of good faith and fair dealing, unjust enrichment, and violation of certain state consumer protection laws; they allege that the Defendants improperly decided to lower minimum investment limits in 2020 for the Trust’s Institutional Target Retirement funds for certain smaller retirement plan participants, which purportedly harmed certain investors in taxable accounts. The Plaintiffs seek damages and various other forms of relief. The Defendants do not agree with these allegations and claims and intend to vigorously defend against them. |
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. |
E. | As of March 31, 2022, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 20,105,289 |
Gross Unrealized Appreciation | 3,827,771 |
Gross Unrealized Depreciation | (412,053) |
Net Unrealized Appreciation (Depreciation) | 3,415,718 |
F. | Capital shares issued and redeemed were: |
Six Months Ended March 31, 2022 | Year Ended September 30, 2021 | ||
Shares (000) | Shares (000) | ||
Issued | 100,722 | 204,713 | |
Issued in Connection with Acquisition of Vanguard Institutional Target Retirement Income Fund—Note G | 610,729 | — | |
Issued in Lieu of Cash Distributions | 77,216 | 38,362 | |
Redeemed | (147,819) | (380,863) | |
Net Increase (Decrease) in Shares Outstanding | 640,848 | (137,788) |
G. | On February 11, 2022, the Vanguard Target Retirement Income Fund acquired all the net assets of Vanguard Institutional Target Retirement Income Fund (the “Acquired Fund”) pursuant to a plan of reorganization approved by the funds' board of trustees in September 2021. The acquisition was accomplished by a tax-free exchange of 610,729,000 shares of Vanguard Target Retirement Income Fund for the 358,209,000 shares of the Acquired Fund outstanding on February 11, 2022. The Acquired Fund's net assets of $8,507,454,000, including $918,723,000 of unrealized appreciation, were combined with Vanguard Target Retirement Income Fund's net assets of $15,628,555,000, resulting in combined net assets of $24,136,009,000 on February 11, 2022. |
Amount ($000) | |
Net Investment Income | 349,340 |
Realized Net Gain (Loss) | 378,772 |
Change in Unrealized Appreciation (Depreciation) | (1,420,529) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (692,417) |
Current Period Transactions | ||||||||
Sep. 30, 2021 Market Value ($000) | Purchases at Cost ($000) | Proceeds from Securities Sold1 ($000) | Realized Net Gain (Loss) ($000) | Change in Unrealized App. (Dep.) ($000) | Income ($000) | Capital Gain Distributions Received ($000) | Mar. 31, 2022 Market Value ($000) | |
Vanguard Market Liquidity Fund | 199,815 | NA2 | NA2 | (13) | (1) | 132 | 3 | 301,831 |
Vanguard Short-Term Inflation-Protected Securities Index Fund | 2,754,748 | 1,496,041 | 277,148 | 1,915 | (14,482) | 87,045 | — | 3,961,074 |
Vanguard Total Bond Market II Index Fund | 6,026,797 | 3,288,458 | 215,408 | (6,639) | (568,601) | 60,151 | 14,249 | 8,524,607 |
Vanguard Total International Bond Index Fund | 2,591,754 | 76,771 | 2,563,003 | 153,556 | (259,078) | 60,050 | 16,722 | — |
Vanguard Total International Bond II Index Fund | 26,337 | 3,999,579 | 81,276 | (1,382) | (191,931) | 4,588 | — | 3,751,327 |
Vanguard Total International Stock Index Fund | 1,917,131 | 851,225 | 67,345 | 2,021 | 83,903 | 32,136 | — | 2,786,935 |
Vanguard Total Stock Market Index Fund | 2,785,275 | 910,792 | 380,612 | 183,862 | 688,396 | 22,875 | — | 4,187,713 |
Total | 16,301,857 | 10,622,8663 | 3,584,792 | 333,320 | (261,794)3 | 266,977 | 30,974 | 23,513,487 |
1 | Includes $49,000,000 of portfolio securities delivered as a result of in-kind redemptions of the fund’s capital shares. |
2 | Not applicable—purchases and sales are for temporary cash investment purposes. |
3 | Includes securities of $7,570,972,000 and unrealized appreciation of $918,723,000 related to the acquisition of the Vanguard Institutional Target Retirement Income Fund. See Note G. |
I. | Management has determined that no events or transactions occurred subsequent to March 31, 2022, that would require recognition or disclosure in these financial statements. |
Vanguard Total Bond Market II Index Fund Investor Shares | 36.4% |
Vanguard Total Stock Market Index Fund Institutional Plus Shares | 18.4 |
Vanguard Short-Term Inflation-Protected Securities Index Fund Admiral Shares | 16.6 |
Vanguard Total International Bond II Index Fund Institutional Shares | 16.1 |
Vanguard Total International Stock Index Fund Investor Shares | 12.5 |
Shares | Market Value• ($000) | |||||
Investment Companies (98.7%) | ||||||
U.S. Stock Fund (18.2%) | ||||||
Vanguard Total Stock Market Index Fund Institutional Plus Shares | 18,260,382 | 3,794,690 | ||||
International Stock Fund (12.3%) | ||||||
Vanguard Total International Stock Index Fund Investor Shares | 134,300,755 | 2,574,546 | ||||
U.S. Bond Funds (52.3%) | ||||||
1 | Vanguard Total Bond Market II Index Fund Investor Shares | 726,581,775 | 7,505,590 | |||
Vanguard Short-Term Inflation-Protected Securities Index Fund Admiral Shares | 133,999,139 | 3,407,598 | ||||
10,913,188 | ||||||
International Bond Fund (15.9%) | ||||||
1 | Vanguard Total International Bond II Index Fund Institutional Shares | 118,290,939 | 3,310,963 | |||
Total Investment Companies (Cost $17,276,267) | 20,593,387 | |||||
Temporary Cash Investments (1.2%) | ||||||
Money Market Fund (1.2%) | ||||||
1 | Vanguard Market Liquidity Fund, 0.312% (Cost $253,556) | 2,535,883 | 253,563 | |||
Total Investments (99.9%) (Cost $17,529,823) | 20,846,950 | |||||
Other Assets and Liabilities—Net (0.1%) | 15,489 | |||||
Net Assets (100%) | 20,862,439 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Affiliated fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown for Vanguard Market Liquidity Fund is the 7-day yield. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
10-Year U.S. Treasury Note | June 2022 | 1,068 | 131,231 | (2,799) |
E-mini S&P 500 Index | June 2022 | 631 | 142,945 | 10,660 |
7,861 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value—Affiliated Funds (Cost $17,529,823) | 20,846,950 |
Cash Collateral Pledged—Futures Contracts | 9,283 |
Receivables for Investment Securities Sold | 10,666 |
Receivables for Accrued Income | 52,357 |
Receivables for Capital Shares Issued | 11,735 |
Total Assets | 20,930,991 |
Liabilities | |
Payables for Investment Securities Purchased | 52,360 |
Payables for Capital Shares Redeemed | 14,400 |
Variation Margin Payable—Futures Contracts | 1,792 |
Total Liabilities | 68,552 |
Net Assets | 20,862,439 |
At March 31, 2022, net assets consisted of: | |
Paid-in Capital | 17,036,700 |
Total Distributable Earnings (Loss) | 3,825,739 |
Net Assets | 20,862,439 |
Net Assets | |
Applicable to 1,500,089,360 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 20,862,439 |
Net Asset Value Per Share | $13.91 |
Six Months Ended March 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Income Distributions Received from Affiliated Funds | 215,338 |
Net Investment Income—Note B | 215,338 |
Realized Net Gain (Loss) | |
Capital Gain Distributions Received from Affiliated Funds | 24,598 |
Affiliated Funds Sold | 494,894 |
Futures Contracts | (9,564) |
Realized Net Gain (Loss) | 509,928 |
Change in Unrealized Appreciation (Depreciation) | |
Affiliated Funds | (1,176,801) |
Futures Contracts | 11,421 |
Change in Unrealized Appreciation (Depreciation) | (1,165,380) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (440,114) |
Six Months Ended March 31, 2022 | Year Ended September 30, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 215,338 | 264,629 | |
Realized Net Gain (Loss) | 509,928 | 1,409,770 | |
Change in Unrealized Appreciation (Depreciation) | (1,165,380) | (290,534) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (440,114) | 1,383,865 | |
Distributions | |||
Total Distributions | (1,555,219) | (953,910) | |
Capital Share Transactions | |||
Issued | 659,607 | 1,534,767 | |
Issued in Connection with Acquisition of Vanguard Institutional Target Retirement 2015 Fund—Note G | 9,519,033 | — | |
Issued in Lieu of Cash Distributions | 1,492,957 | 924,637 | |
Redeemed | (1,780,948) | (5,154,858) | |
Net Increase (Decrease) from Capital Share Transactions | 9,890,649 | (2,695,454) | |
Total Increase (Decrease) | 7,895,316 | (2,265,499) | |
Net Assets | |||
Beginning of Period | 12,967,123 | 15,232,622 | |
End of Period | 20,862,439 | 12,967,123 |
For a Share Outstanding Throughout Each Period | Six Months Ended March 31, 2022 | Year Ended September 30, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $16.29 | $15.84 | $15.42 | $15.60 | $15.75 | $15.19 |
Investment Operations | ||||||
Net Investment Income1 | .216 | .293 | .336 | .376 | .371 | .305 |
Capital Gain Distributions Received1 | .025 | .058 | — | — | .001 | .005 |
Net Realized and Unrealized Gain (Loss) on Investments | (.593) | 1.114 | .818 | .455 | .328 | .846 |
Total from Investment Operations | (.352) | 1.465 | 1.154 | .831 | .700 | 1.156 |
Distributions | ||||||
Dividends from Net Investment Income | (.376) | (.250) | (.379) | (.372) | (.318) | (.289) |
Distributions from Realized Capital Gains | (1.652) | (.765) | (.355) | (.639) | (.532) | (.307) |
Total Distributions | (2.028) | (1.015) | (.734) | (1.011) | (.850) | (.596) |
Net Asset Value, End of Period | $13.91 | $16.29 | $15.84 | $15.42 | $15.60 | $15.75 |
Total Return2 | -2.75% | 9.49% | 7.68% | 6.08% | 4.54% | 7.95% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $20,862 | $12,967 | $15,233 | $15,647 | $16,410 | $17,250 |
Ratio of Total Expenses to Average Net Assets | — | — | — | — | — | — |
Acquired Fund Fees and Expenses | 0.11% | 0.12% | 0.12% | 0.13% | 0.13% | 0.13% |
Ratio of Net Investment Income to Average Net Assets | 2.89% | 1.81% | 2.20% | 2.52% | 2.39% | 2.02% |
Portfolio Turnover Rate | 15% | 4% | 18% | 10% | 7% | 7% |
The expense ratio, acquired fund fees and expenses, and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. The FSA provides that expenses otherwise allocable to Vanguard funds-of-funds may be reduced or eliminated to the extent of savings realized by the |
C. | The fund’s SEC registrant (the Vanguard Chester Funds (the “Trust”)), certain officers and trustees of the Trust, and The Vanguard Group Inc. (collectively, the “Defendants”) were named in putative class action lawsuits filed in 2022 by certain investors (the “Plaintiffs”) in the U.S. District Court for the Eastern District of Pennsylvania. The Plaintiffs assert claims for breach of fiduciary duty, gross negligence, breach of the covenant of good faith and fair dealing, unjust enrichment, and violation of certain state consumer protection laws; they allege that the Defendants improperly decided to lower minimum investment limits in 2020 for the Trust’s Institutional Target Retirement funds for certain smaller retirement plan participants, which purportedly harmed certain investors in taxable accounts. The Plaintiffs seek damages and various other forms of relief. The Defendants do not agree with these allegations and claims and intend to vigorously defend against them. |
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. |
E. | As of March 31, 2022, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 17,532,290 |
Gross Unrealized Appreciation | 3,652,124 |
Gross Unrealized Depreciation | (329,603) |
Net Unrealized Appreciation (Depreciation) | 3,322,521 |
F. | Capital shares issued and redeemed were: |
Six Months Ended March 31, 2022 | Year Ended September 30, 2021 | ||
Shares (000) | Shares (000) | ||
Issued | 44,273 | 95,212 | |
Issued in Connection with Acquisition of Vanguard Institutional Target Retirement 2015 Fund—Note G | 676,548 | — | |
Issued in Lieu of Cash Distributions | 102,257 | 58,819 | |
Redeemed | (118,868) | (320,093) | |
Net Increase (Decrease) in Shares Outstanding | 704,210 | (166,062) |
G. | On February 11, 2022, the Vanguard Target Retirement 2015 Fund acquired all the net assets of Vanguard Institutional Target Retirement 2015 Fund (the “Acquired Fund”) pursuant to a plan of reorganization approved by the funds' board of trustees in September 2021. The acquisition was accomplished by a tax-free exchange of 676,548,000 shares of Vanguard Target Retirement 2015 Fund for the 406,796,000 shares of the Acquired Fund outstanding on February 11, 2022. The Acquired Fund's net assets of $9,519,033,000, including $1,227,871,000 of unrealized appreciation, were combined with Vanguard Target Retirement 2015 Fund's net assets of $12,008,408,000, resulting in combined net assets of $21,527,441,000 on February 11, 2022. |
Amount ($000) | |
Net Investment Income | 305,177 |
Realized Net Gain (Loss) | 676,796 |
Change in Unrealized Appreciation (Depreciation) | (1,576,014) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (594,041) |
Current Period Transactions | ||||||||
Sep. 30, 2021 Market Value ($000) | Purchases at Cost ($000) | Proceeds from Securities Sold ($000) | Realized Net Gain (Loss) ($000) | Change in Unrealized App. (Dep.) ($000) | Income ($000) | Capital Gain Distributions Received ($000) | Mar. 31, 2022 Market Value ($000) | |
Vanguard Market Liquidity Fund | 161,516 | NA1 | NA1 | (11) | 2 | 106 | 2 | 253,563 |
Vanguard Short-Term Inflation-Protected Securities Index Fund | 2,066,783 | 1,626,129 | 290,862 | 1,436 | 4,112 | 69,315 | — | 3,407,598 |
Vanguard Total Bond Market II Index Fund | 4,669,352 | 3,550,347 | 238,032 | (3) | (476,074) | 48,690 | 11,679 | 7,505,590 |
Vanguard Total International Bond Index Fund | 2,005,406 | 59,303 | 1,983,102 | 131,358 | (212,965) | 46,388 | 12,917 | — |
Vanguard Total International Bond II Index Fund | 20,052 | 3,532,260 | 65,271 | (1,072) | (175,006) | 3,982 | — | 3,310,963 |
Vanguard Total International Stock Index Fund | 1,636,349 | 881,808 | 160,109 | 32,252 | 184,246 | 26,853 | — | 2,574,546 |
Vanguard Total Stock Market Index Fund | 2,389,848 | 864,858 | 517,705 | 330,934 | 726,755 | 20,004 | — | 3,794,690 |
Total | 12,949,306 | 10,514,7052 | 3,255,081 | 494,894 | 51,0702 | 215,338 | 24,598 | 20,846,950 |
1 | Not applicable—purchases and sales are for temporary cash investment purposes. |
2 | Includes securities of $8,251,417,000 and unrealized appreciation of $1,227,871,000 related to the acquisition of the Vanguard Institutional Target Retirement 2015 Fund. See Note G. |
I. | Management has determined that no events or transactions occurred subsequent to March 31, 2022, that would require recognition or disclosure in these financial statements. |
Vanguard Total Bond Market II Index Fund Investor Shares | 30.5% |
Vanguard Total Stock Market Index Fund Institutional Plus Shares | 27.7 |
Vanguard Total International Stock Index Fund Investor Shares | 18.1 |
Vanguard Total International Bond II Index Fund Institutional Shares | 13.5 |
Vanguard Short-Term Inflation-Protected Securities Index Fund Admiral Shares | 10.2 |
Shares | Market Value• ($000) | |||||
Investment Companies (98.7%) | ||||||
U.S. Stock Fund (27.4%) | ||||||
Vanguard Total Stock Market Index Fund Institutional Plus Shares | 65,668,808 | 13,646,635 | ||||
International Stock Fund (17.8%) | ||||||
Vanguard Total International Stock Index Fund Investor Shares | 464,251,541 | 8,899,702 | ||||
U.S. Bond Funds (40.1%) | ||||||
1 | Vanguard Total Bond Market II Index Fund Investor Shares | 1,450,344,284 | 14,982,058 | |||
Vanguard Short-Term Inflation-Protected Securities Index Fund Admiral Shares | 196,597,773 | 4,999,481 | ||||
19,981,539 | ||||||
International Bond Fund (13.4%) | ||||||
1 | Vanguard Total International Bond II Index Fund Institutional Shares | 238,144,716 | 6,665,670 | |||
Total Investment Companies (Cost $38,714,271) | 49,193,546 | |||||
Temporary Cash Investments (1.3%) | ||||||
Money Market Fund (1.3%) | ||||||
1 | Vanguard Market Liquidity Fund, 0.312% (Cost $655,247) | 6,553,356 | 655,270 | |||
Total Investments (100.0%) (Cost $39,369,518) | 49,848,816 | |||||
Other Assets and Liabilities—Net (0.0%) | 8,899 | |||||
Net Assets (100%) | 49,857,715 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Affiliated fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown for Vanguard Market Liquidity Fund is the 7-day yield. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
10-Year U.S. Treasury Note | June 2022 | 2,564 | 315,051 | (7,085) |
E-mini S&P 500 Index | June 2022 | 1,534 | 347,509 | 25,360 |
18,275 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value—Affiliated Funds (Cost $39,369,518) | 49,848,816 |
Cash Collateral Pledged—Futures Contracts | 22,520 |
Receivables for Accrued Income | 87,445 |
Receivables for Capital Shares Issued | 54,766 |
Total Assets | 50,013,547 |
Liabilities | |
Payables for Investment Securities Purchased | 110,021 |
Payables for Capital Shares Redeemed | 41,447 |
Variation Margin Payable—Futures Contracts | 4,364 |
Total Liabilities | 155,832 |
Net Assets | 49,857,715 |
At March 31, 2022, net assets consisted of: | |
Paid-in Capital | 38,458,265 |
Total Distributable Earnings (Loss) | 11,399,450 |
Net Assets | 49,857,715 |
Net Assets | |
Applicable to 1,692,935,232 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 49,857,715 |
Net Asset Value Per Share | $29.45 |
Six Months Ended March 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Income Distributions Received from Affiliated Funds | 407,015 |
Net Investment Income—Note B | 407,015 |
Realized Net Gain (Loss) | |
Capital Gain Distributions Received from Affiliated Funds | 42,547 |
Affiliated Funds Sold1 | 1,011,364 |
Futures Contracts | (20,851) |
Realized Net Gain (Loss) | 1,033,060 |
Change in Unrealized Appreciation (Depreciation) | |
Affiliated Funds | (2,254,804) |
Futures Contracts | 25,225 |
Change in Unrealized Appreciation (Depreciation) | (2,229,579) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (789,504) |
1 | Includes $39,728,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended March 31, 2022 | Year Ended September 30, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 407,015 | 525,644 | |
Realized Net Gain (Loss) | 1,033,060 | 4,149,780 | |
Change in Unrealized Appreciation (Depreciation) | (2,229,579) | (639,346) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (789,504) | 4,036,078 | |
Distributions | |||
Total Distributions | (4,080,019) | (1,972,170) | |
Capital Share Transactions | |||
Issued | 2,160,521 | 4,223,125 | |
Issued in Connection with Acquisition of Vanguard Institutional Target Retirement 2020 Fund—Note G | 27,887,495 | — | |
Issued in Lieu of Cash Distributions | 3,912,312 | 1,914,388 | |
Redeemed | (4,605,732) | (14,716,058) | |
Net Increase (Decrease) from Capital Share Transactions | 29,354,596 | (8,578,545) | |
Total Increase (Decrease) | 24,485,073 | (6,514,637) | |
Net Assets | |||
Beginning of Period | 25,372,642 | 31,887,279 | |
End of Period | 49,857,715 | 25,372,642 |
For a Share Outstanding Throughout Each Period | Six Months Ended March 31, 2022 | Year Ended September 30, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $36.04 | $33.79 | $32.24 | $32.14 | $31.19 | $29.09 |
Investment Operations | ||||||
Net Investment Income1 | .413 | .613 | .713 | .778 | .729 | .636 |
Capital Gain Distributions Received1 | .043 | .110 | — | — | .002 | .008 |
Net Realized and Unrealized Gain (Loss) on Investments | (.976) | 3.680 | 1.987 | .736 | 1.079 | 2.231 |
Total from Investment Operations | (.520) | 4.403 | 2.700 | 1.514 | 1.810 | 2.875 |
Distributions | ||||||
Dividends from Net Investment Income | (.789) | (.554) | (.789) | (.745) | (.631) | (.562) |
Distributions from Realized Capital Gains | (5.281) | (1.599) | (.361) | (.669) | (.229) | (.213) |
Total Distributions | (6.070) | (2.153) | (1.150) | (1.414) | (.860) | (.775) |
Net Asset Value, End of Period | $29.45 | $36.04 | $33.79 | $32.24 | $32.14 | $31.19 |
Total Return2 | -2.30% | 13.37% | 8.51% | 5.29% | 5.87% | 10.17% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $49,858 | $25,373 | $31,887 | $32,790 | $33,114 | $31,263 |
Ratio of Total Expenses to Average Net Assets | — | — | — | — | — | — |
Acquired Fund Fees and Expenses | 0.11% | 0.13% | 0.13% | 0.13% | 0.13% | 0.13% |
Ratio of Net Investment Income to Average Net Assets | 2.58% | 1.73% | 2.21% | 2.51% | 2.30% | 2.15% |
Portfolio Turnover Rate | 13%3 | 5% | 19% | 13% | 10% | 9% |
The expense ratio, acquired fund fees and expenses, and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. The FSA provides that expenses otherwise allocable to Vanguard funds-of-funds may be reduced or eliminated to the extent of savings realized by the underlying Vanguard funds by virtue of being part of a fund-of-funds. Accordingly, all expenses for services provided by Vanguard to the fund and all other expenses incurred by the fund during the period ended March 31, 2022, were borne by the underlying Vanguard funds in which the fund invests. The fund's trustees and officers are also trustees and officers, respectively, of the underlying Vanguard funds, as well as directors and employees, respectively, of Vanguard. |
C. | The fund’s SEC registrant (the Vanguard Chester Funds (the “Trust”)), certain officers and trustees of the Trust, and The Vanguard Group Inc. (collectively, the “Defendants”) were named in putative class action lawsuits filed in 2022 by certain investors (the “Plaintiffs”) in the U.S. District Court for the Eastern District of Pennsylvania. The Plaintiffs assert claims for breach of fiduciary duty, gross negligence, breach of the covenant of good faith and fair dealing, unjust enrichment, and violation of certain state consumer protection laws; they allege that the Defendants improperly decided to lower minimum investment limits in 2020 for the Trust’s Institutional Target Retirement funds for certain smaller retirement plan participants, which purportedly harmed certain investors in taxable accounts. The Plaintiffs seek damages and various other forms of relief. The Defendants do not agree with these allegations and claims and intend to vigorously defend against them. |
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. |
E. | As of March 31, 2022, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 39,372,587 |
Gross Unrealized Appreciation | 11,344,139 |
Gross Unrealized Depreciation | (849,635) |
Net Unrealized Appreciation (Depreciation) | 10,494,504 |
F. | Capital shares issued and redeemed were: |
Six Months Ended March 31, 2022 | Year Ended September 30, 2021 | ||
Shares (000) | Shares (000) | ||
Issued | 68,169 | 119,777 | |
Issued in Connection with Acquisition of Vanguard Institutional Target Retirement 2020 Fund—Note G | 937,710 | — | |
Issued in Lieu of Cash Distributions | 126,122 | 55,911 | |
Redeemed | (143,132) | (415,260) | |
Net Increase (Decrease) in Shares Outstanding | 988,869 | (239,572) |
G. | On February 11, 2022, the Vanguard Target Retirement 2020 Fund acquired all the net assets of Vanguard Institutional Target Retirement 2020 Fund (the “Acquired Fund”) pursuant to a plan of reorganization approved by the funds' board of trustees in September 2021. The acquisition was accomplished by a tax-free exchange of 937,710,000 shares of Vanguard Target Retirement 2020 Fund for the 1,085,539,000 shares of the Acquired Fund outstanding on February 11, 2022. The Acquired Fund's net assets of $27,887,495,000, including $4,980,181,000 of unrealized appreciation, were combined with Vanguard Target Retirement 2020 Fund's net assets of $23,510,659,000, resulting in combined net assets of $51,398,154,000 on February 11, 2022. |
Amount ($000) | |
Net Investment Income | 662,321 |
Realized Net Gain (Loss) | 1,610,791 |
Change in Unrealized Appreciation (Depreciation) | (3,413,974) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,140,862) |
Current Period Transactions | ||||||||
Sep. 30, 2021 Market Value ($000) | Purchases at Cost ($000) | Proceeds from Securities Sold1 ($000) | Realized Net Gain (Loss) ($000) | Change in Unrealized App. (Dep.) ($000) | Income ($000) | Capital Gain Distributions Received ($000) | Mar. 31, 2022 Market Value ($000) | |
Vanguard Market Liquidity Fund | 323,675 | NA2 | NA2 | (24) | 10 | 235 | 4 | 655,270 |
Vanguard Short-Term Inflation-Protected Securities Index Fund | 2,438,716 | 2,953,286 | 403,469 | 1,215 | 9,733 | 91,123 | — | 4,999,481 |
Vanguard Total Bond Market II Index Fund | 7,722,582 | 9,010,968 | 821,790 | (21,225) | (908,477) | 87,167 | 21,282 | 14,982,058 |
Vanguard Total International Bond Index Fund | 3,295,277 | 97,609 | 3,258,532 | 185,053 | (319,407) | 76,351 | 21,261 | — |
Vanguard Total International Bond II Index Fund | 50,130 | 7,223,973 | 242,107 | (3,690) | (362,636) | 7,762 | — | 6,665,670 |
Vanguard Total International Stock Index Fund | 4,681,722 | 3,859,224 | 477,709 | 77,522 | 758,943 | 78,591 | — | 8,899,702 |
Vanguard Total Stock Market Index Fund | 6,855,100 | 3,800,537 | 1,328,726 | 772,513 | 3,547,211 | 65,786 | — | 13,646,635 |
Total | 25,367,202 | 26,945,5973 | 6,532,333 | 1,011,364 | 2,725,3773 | 407,015 | 42,547 | 49,848,816 |
1 | Includes $127,000,000 of portfolio securities delivered as a result of in-kind redemptions of the fund’s capital shares. |
2 | Not applicable—purchases and sales are for temporary cash investment purposes. |
3 | Includes securities of $22,801,785,000 and unrealized appreciation of $4,980,181,000 related to the acquisition of the Vanguard Institutional Target Retirement 2020 Fund. See Note G. |
I. | Management has determined that no events or transactions occurred subsequent to March 31, 2022, that would require recognition or disclosure in these financial statements. |
Vanguard Total Stock Market Index Fund Institutional Plus Shares | 34.7% |
Vanguard Total Bond Market II Index Fund Investor Shares | 27.6 |
Vanguard Total International Stock Index Fund Investor Shares | 22.7 |
Vanguard Total International Bond II Index Fund Institutional Shares | 12.2 |
Vanguard Short-Term Inflation-Protected Securities Index Fund Admiral Shares | 2.8 |
Shares | Market Value• ($000) | |||||
Investment Companies (98.7%) | ||||||
U.S. Stock Fund (34.3%) | ||||||
Vanguard Total Stock Market Index Fund Institutional Plus Shares | 141,597,097 | 29,425,293 | ||||
International Stock Fund (22.4%) | ||||||
Vanguard Total International Stock Index Fund Investor Shares | 1,002,116,415 | 19,210,572 | ||||
U.S. Bond Funds (29.9%) | ||||||
1 | Vanguard Total Bond Market II Index Fund Investor Shares | 2,259,459,260 | 23,340,214 | |||
Vanguard Short-Term Inflation-Protected Securities Index Fund Admiral Shares | 93,258,754 | 2,371,570 | ||||
25,711,784 | ||||||
International Bond Fund (12.1%) | ||||||
1 | Vanguard Total International Bond II Index Fund Institutional Shares | 370,013,679 | 10,356,683 | |||
Total Investment Companies (Cost $64,128,434) | 84,704,332 | |||||
Temporary Cash Investments (1.3%) | ||||||
Money Market Fund (1.3%) | ||||||
1 | Vanguard Market Liquidity Fund, 0.312% (Cost $1,120,377) | 11,205,281 | 1,120,416 | |||
Total Investments (100.0%) (Cost $65,248,811) | 85,824,748 | |||||
Other Assets and Liabilities—Net (0.0%) | 16,890 | |||||
Net Assets (100%) | 85,841,638 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Affiliated fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown for Vanguard Market Liquidity Fund is the 7-day yield. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
10-Year U.S. Treasury Note | June 2022 | 4,132 | 507,720 | (11,422) |
E-mini S&P 500 Index | June 2022 | 2,780 | 629,774 | 46,966 |
35,544 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value—Affiliated Funds (Cost $65,248,811) | 85,824,748 |
Cash Collateral Pledged—Futures Contracts | 39,975 |
Receivables for Accrued Income | 84,764 |
Receivables for Capital Shares Issued | 105,186 |
Total Assets | 86,054,673 |
Liabilities | |
Payables for Investment Securities Purchased | 119,894 |
Payables for Capital Shares Redeemed | 85,104 |
Variation Margin Payable—Futures Contracts | 8,037 |
Total Liabilities | 213,035 |
Net Assets | 85,841,638 |
At March 31, 2022, net assets consisted of: | |
Paid-in Capital | 64,189,170 |
Total Distributable Earnings (Loss) | 21,652,468 |
Net Assets | 85,841,638 |
Net Assets | |
Applicable to 4,466,632,946 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 85,841,638 |
Net Asset Value Per Share | $19.22 |
Six Months Ended March 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Income Distributions Received from Affiliated Funds | 597,965 |
Net Investment Income—Note B | 597,965 |
Realized Net Gain (Loss) | |
Capital Gain Distributions Received from Affiliated Funds | 64,833 |
Affiliated Funds Sold1 | 1,180,696 |
Futures Contracts | (38,087) |
Realized Net Gain (Loss) | 1,207,442 |
Change in Unrealized Appreciation (Depreciation) | |
Affiliated Funds | (3,116,031) |
Futures Contracts | 46,481 |
Change in Unrealized Appreciation (Depreciation) | (3,069,550) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,264,143) |
1 | Includes $21,755,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended March 31, 2022 | Year Ended September 30, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 597,965 | 766,153 | |
Realized Net Gain (Loss) | 1,207,442 | 5,800,618 | |
Change in Unrealized Appreciation (Depreciation) | (3,069,550) | 633,334 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,264,143) | 7,200,105 | |
Distributions | |||
Total Distributions | (5,793,135) | (2,094,825) | |
Capital Share Transactions | |||
Issued | 4,359,436 | 8,111,163 | |
Issued in Connection with Acquisition of Vanguard Institutional Target Retirement 2025 Fund—Note G | 47,651,059 | — | |
Issued in Lieu of Cash Distributions | 5,596,270 | 2,045,136 | |
Redeemed | (5,976,186) | (20,513,757) | |
Net Increase (Decrease) from Capital Share Transactions | 51,630,579 | (10,357,458) | |
Total Increase (Decrease) | 44,573,301 | (5,252,178) | |
Net Assets | |||
Beginning of Period | 41,268,337 | 46,520,515 | |
End of Period | 85,841,638 | 41,268,337 |
For a Share Outstanding Throughout Each Period | Six Months Ended March 31, 2022 | Year Ended September 30, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $22.84 | $20.56 | $19.34 | $19.02 | $18.25 | $16.77 |
Investment Operations | ||||||
Net Investment Income1 | .234 | .362 | .438 | .464 | .419 | .380 |
Capital Gain Distributions Received1 | .025 | .063 | — | — | .001 | .004 |
Net Realized and Unrealized Gain (Loss) on Investments | (.568) | 2.792 | 1.292 | .390 | .807 | 1.534 |
Total from Investment Operations | (.309) | 3.217 | 1.730 | .854 | 1.227 | 1.918 |
Distributions | ||||||
Dividends from Net Investment Income | (.440) | (.356) | (.471) | (.434) | (.369) | (.327) |
Distributions from Realized Capital Gains | (2.871) | (.581) | (.039) | (.100) | (.088) | (.111) |
Total Distributions | (3.311) | (.937) | (.510) | (.534) | (.457) | (.438) |
Net Asset Value, End of Period | $19.22 | $22.84 | $20.56 | $19.34 | $19.02 | $18.25 |
Total Return2 | -2.15% | 15.93% | 9.04% | 4.89% | 6.79% | 11.74% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $85,842 | $41,268 | $46,521 | $44,146 | $41,860 | $37,111 |
Ratio of Total Expenses to Average Net Assets | — | — | — | — | — | — |
Acquired Fund Fees and Expenses | 0.11% | 0.13% | 0.13% | 0.13% | 0.13% | 0.14% |
Ratio of Net Investment Income to Average Net Assets | 2.27% | 1.63% | 2.25% | 2.51% | 2.24% | 2.21% |
Portfolio Turnover Rate | 13%3 | 7% | 21% | 11% | 8% | 10% |
The expense ratio, acquired fund fees and expenses, and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. The FSA provides that expenses otherwise allocable to Vanguard funds-of-funds may be reduced or eliminated to the extent of savings realized by the underlying Vanguard funds by virtue of being part of a fund-of-funds. Accordingly, all expenses for services provided by Vanguard to the fund and all other expenses incurred by the fund during the period ended March 31, 2022, were borne by the underlying Vanguard funds in which the fund invests. The fund's trustees and officers are also trustees and officers, respectively, of the underlying Vanguard funds, as well as directors and employees, respectively, of Vanguard. |
C. | The fund’s SEC registrant (the Vanguard Chester Funds (the “Trust”)), certain officers and trustees of the Trust, and The Vanguard Group Inc. (collectively, the “Defendants”) were named in putative class action lawsuits filed in 2022 by certain investors (the “Plaintiffs”) in the U.S. District Court for the Eastern District of Pennsylvania. The Plaintiffs assert claims for breach of fiduciary duty, gross negligence, breach of the covenant of good faith and fair dealing, unjust enrichment, and violation of certain state consumer protection laws; they allege that the Defendants improperly decided to lower minimum investment limits in 2020 for the Trust’s Institutional Target Retirement funds for certain smaller retirement plan participants, which purportedly harmed certain investors in taxable accounts. The Plaintiffs seek damages and various other forms of relief. The Defendants do not agree with these allegations and claims and intend to vigorously defend against them. |
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. |
E. | As of March 31, 2022, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 65,283,874 |
Gross Unrealized Appreciation | 22,206,536 |
Gross Unrealized Depreciation | (1,630,118) |
Net Unrealized Appreciation (Depreciation) | 20,576,418 |
F. | Capital shares issued and redeemed were: |
Six Months Ended March 31, 2022 | Year Ended September 30, 2021 | ||
Shares (000) | Shares (000) | ||
Issued | 213,039 | 366,167 | |
Issued in Connection with Acquisition of Vanguard Institutional Target Retirement 2025 Fund—Note G | 2,456,240 | — | |
Issued in Lieu of Cash Distributions | 275,136 | 95,078 | |
Redeemed | (284,722) | (917,408) | |
Net Increase (Decrease) in Shares Outstanding | 2,659,693 | (456,163) |
G. | On February 11, 2022, the Vanguard Target Retirement 2025 Fund acquired all the net assets of Vanguard Institutional Target Retirement 2025 Fund (the “Acquired Fund”) pursuant to a plan of reorganization approved by the funds' board of trustees in September 2021. The acquisition was accomplished by a tax-free exchange of 2,456,240,000 shares of Vanguard Target Retirement 2025 Fund for the 1,719,634,000 shares of the Acquired Fund outstanding on February 11, 2022. The Acquired Fund's net assets of $47,651,059,000, including $9,248,285,000 of unrealized appreciation, were combined with Vanguard Target Retirement 2025 Fund's net assets of $39,508,070,000, resulting in combined net assets of $87,159,129,000 on February 11, 2022. |
Amount ($000) | |
Net Investment Income | 993,439 |
Realized Net Gain (Loss) | 1,799,815 |
Change in Unrealized Appreciation (Depreciation) | (4,601,940) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,808,686) |
Current Period Transactions | ||||||||
Sep. 30, 2021 Market Value ($000) | Purchases at Cost ($000) | Proceeds from Securities Sold1 ($000) | Realized Net Gain (Loss) ($000) | Change in Unrealized App. (Dep.) ($000) | Income ($000) | Capital Gain Distributions Received ($000) | Mar. 31, 2022 Market Value ($000) | |
Vanguard Market Liquidity Fund | 507,273 | NA2 | NA2 | (32) | 18 | 392 | 7 | 1,120,416 |
Vanguard Short-Term Inflation-Protected Securities Index Fund | 557,410 | 1,862,764 | 14,365 | (206) | (34,033) | 32,969 | — | 2,371,570 |
Vanguard Total Bond Market II Index Fund | 11,690,158 | 14,227,983 | 1,085,282 | (65,183) | (1,427,462) | 133,837 | 32,849 | 23,340,214 |
Vanguard Total International Bond Index Fund | 4,956,289 | 146,810 | 4,900,970 | 168,514 | (370,643) | 114,833 | 31,977 | — |
Vanguard Total International Bond II Index Fund | 170,447 | 11,097,147 | 337,068 | (8,827) | (565,016) | 12,434 | — | 10,356,683 |
Vanguard Total International Stock Index Fund | 9,440,163 | 9,092,542 | 442,378 | 51,525 | 1,068,720 | 164,140 | — | 19,210,572 |
Vanguard Total Stock Market Index Fund | 13,918,557 | 8,881,147 | 1,869,986 | 1,034,905 | 7,460,670 | 139,360 | — | 29,425,293 |
Total | 41,240,297 | 45,308,3933 | 8,650,049 | 1,180,696 | 6,132,2543 | 597,965 | 64,833 | 85,824,748 |
1 | Includes $56,000,000 of portfolio securities delivered as a result of in-kind redemptions of the fund’s capital shares. |
2 | Not applicable—purchases and sales are for temporary cash investment purposes. |
3 | Includes securities of $38,263,930,000 and unrealized appreciation of $9,248,285,000 related to the acquisition of the Vanguard Institutional Target Retirement 2025 Fund. See Note G. |
I. | Management has determined that no events or transactions occurred subsequent to March 31, 2022, that would require recognition or disclosure in these financial statements. |
Vanguard Total Stock Market Index Fund Institutional Plus Shares | 39.9% |
Vanguard Total International Stock Index Fund Investor Shares | 25.9 |
Vanguard Total Bond Market II Index Fund Investor Shares | 23.7 |
Vanguard Total International Bond II Index Fund Institutional Shares | 10.5 |
Shares | Market Value• ($000) | |||||
Investment Companies (98.7%) | ||||||
U.S. Stock Fund (39.4%) | ||||||
Vanguard Total Stock Market Index Fund Institutional Plus Shares | 165,795,439 | 34,453,950 | ||||
International Stock Fund (25.6%) | ||||||
Vanguard Total International Stock Index Fund Investor Shares | 1,170,287,103 | 22,434,404 | ||||
U.S. Bond Fund (23.4%) | ||||||
1 | Vanguard Total Bond Market II Index Fund Investor Shares | 1,983,549,565 | 20,490,067 | |||
International Bond Fund (10.3%) | ||||||
1 | Vanguard Total International Bond II Index Fund Institutional Shares | 323,029,120 | 9,041,585 | |||
Total Investment Companies (Cost $64,971,065) | 86,420,006 | |||||
Temporary Cash Investments (1.3%) | ||||||
Money Market Fund (1.3%) | ||||||
1 | Vanguard Market Liquidity Fund, 0.312% (Cost $1,149,178) | 11,493,330 | 1,149,218 | |||
Total Investments (100.0%) (Cost $66,120,243) | 87,569,224 | |||||
Other Assets and Liabilities—Net (0.0%) | (1,824) | |||||
Net Assets (100%) | 87,567,400 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Affiliated fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown for Vanguard Market Liquidity Fund is the 7-day yield. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
10-Year U.S. Treasury Note | June 2022 | 4,294 | 527,625 | (13,137) |
E-mini S&P 500 Index | June 2022 | 2,768 | 627,056 | 46,208 |
33,071 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value—Affiliated Funds (Cost $66,120,243) | 87,569,224 |
Cash Collateral Pledged—Futures Contracts | 40,095 |
Receivables for Accrued Income | 54,605 |
Receivables for Capital Shares Issued | 135,342 |
Total Assets | 87,799,266 |
Liabilities | |
Payables for Investment Securities Purchased | 133,406 |
Payables for Capital Shares Redeemed | 90,503 |
Variation Margin Payable—Futures Contracts | 7,957 |
Total Liabilities | 231,866 |
Net Assets | 87,567,400 |
At March 31, 2022, net assets consisted of: | |
Paid-in Capital | 65,233,409 |
Total Distributable Earnings (Loss) | 22,333,991 |
Net Assets | 87,567,400 |
Net Assets | |
Applicable to 2,415,712,874 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 87,567,400 |
Net Asset Value Per Share | $36.25 |
Six Months Ended March 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Income Distributions Received from Affiliated Funds | 533,839 |
Net Investment Income—Note B | 533,839 |
Realized Net Gain (Loss) | |
Capital Gain Distributions Received from Affiliated Funds | 51,080 |
Affiliated Funds Sold1 | 996,497 |
Futures Contracts | (39,868) |
Realized Net Gain (Loss) | 1,007,709 |
Change in Unrealized Appreciation (Depreciation) | |
Affiliated Funds | (2,634,854) |
Futures Contracts | 43,043 |
Change in Unrealized Appreciation (Depreciation) | (2,591,811) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,050,263) |
1 | Includes $96,791,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended March 31, 2022 | Year Ended September 30, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 533,839 | 698,730 | |
Realized Net Gain (Loss) | 1,007,709 | 5,617,193 | |
Change in Unrealized Appreciation (Depreciation) | (2,591,811) | 1,194,562 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,050,263) | 7,510,485 | |
Distributions | |||
Total Distributions | (5,575,104) | (1,152,250) | |
Capital Share Transactions | |||
Issued | 5,128,175 | 7,928,782 | |
Issued in Connection with Acquisition of Vanguard Institutional Target Retirement 2030 Fund—Note G | 51,947,425 | — | |
Issued in Lieu of Cash Distributions | 5,417,389 | 1,130,251 | |
Redeemed | (5,246,346) | (20,756,460) | |
Net Increase (Decrease) from Capital Share Transactions | 57,246,643 | (11,697,427) | |
Total Increase (Decrease) | 50,621,276 | (5,339,192) | |
Net Assets | |||
Beginning of Period | 36,946,124 | 42,285,316 | |
End of Period | 87,567,400 | 36,946,124 |
For a Share Outstanding Throughout Each Period | Six Months Ended March 31, 2022 | Year Ended September 30, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $43.40 | $37.63 | $35.22 | $34.74 | $32.93 | $29.77 |
Investment Operations | ||||||
Net Investment Income1 | .414 | .679 | .782 | .830 | .754 | .683 |
Capital Gain Distributions Received1 | .040 | .098 | — | — | .001 | .006 |
Net Realized and Unrealized Gain (Loss) on Investments | (.857) | 6.031 | 2.495 | .486 | 1.744 | 3.167 |
Total from Investment Operations | (.403) | 6.808 | 3.277 | 1.316 | 2.499 | 3.856 |
Distributions | ||||||
Dividends from Net Investment Income | (.822) | (.661) | (.867) | (.767) | (.670) | (.576) |
Distributions from Realized Capital Gains | (5.925) | (.377) | — | (.069) | (.019) | (.120) |
Total Distributions | (6.747) | (1.038) | (.867) | (.836) | (.689) | (.696) |
Net Asset Value, End of Period | $36.25 | $43.40 | $37.63 | $35.22 | $34.74 | $32.93 |
Total Return2 | -1.81% | 18.29% | 9.38% | 4.15% | 7.65% | 13.25% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $87,567 | $36,946 | $42,285 | $39,114 | $35,913 | $30,877 |
Ratio of Total Expenses to Average Net Assets | — | — | — | — | — | — |
Acquired Fund Fees and Expenses | 0.11% | 0.13% | 0.14% | 0.14% | 0.14% | 0.14% |
Ratio of Net Investment Income to Average Net Assets | 2.13% | 1.62% | 2.20% | 2.46% | 2.22% | 2.21% |
Portfolio Turnover Rate | 12%3 | 6% | 21% | 8% | 9% | 9% |
The expense ratio, acquired fund fees and expenses, and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. The FSA provides that expenses otherwise allocable to Vanguard funds-of-funds may be reduced or eliminated to the extent of savings realized by the underlying Vanguard funds by virtue of being part of a fund-of-funds. Accordingly, all expenses for services provided by Vanguard to the fund and all other expenses incurred by the fund during the period ended March 31, 2022, were borne by the underlying Vanguard funds in which the fund invests. The fund's trustees and officers are also trustees and officers, respectively, of the underlying Vanguard funds, as well as directors and employees, respectively, of Vanguard. |
C. | The fund’s SEC registrant (the Vanguard Chester Funds (the “Trust”)), certain officers and trustees of the Trust, and The Vanguard Group Inc. (collectively, the “Defendants”) were named in putative class action lawsuits filed in 2022 by certain investors (the “Plaintiffs”) in the U.S. District Court for the Eastern District of Pennsylvania. The Plaintiffs assert claims for breach of fiduciary duty, gross negligence, breach of the covenant of good faith and fair dealing, unjust enrichment, and violation of certain state consumer protection laws; they allege that the Defendants improperly decided to lower minimum investment limits in 2020 for the Trust’s Institutional Target Retirement funds for certain smaller retirement plan participants, which purportedly harmed certain investors in taxable accounts. The Plaintiffs seek damages and various other forms of relief. The Defendants do not agree with these allegations and claims and intend to vigorously defend against them. |
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. |
E. | As of March 31, 2022, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 66,180,014 |
Gross Unrealized Appreciation | 23,154,445 |
Gross Unrealized Depreciation | (1,732,164) |
Net Unrealized Appreciation (Depreciation) | 21,422,281 |
F. | Capital shares issued and redeemed were: |
Six Months Ended March 31, 2022 | Year Ended September 30, 2021 | ||
Shares (000) | Shares (000) | ||
Issued | 133,487 | 190,052 | |
Issued in Connection with Acquisition of Vanguard Institutional Target Retirement 2030 Fund—Note G | 1,421,270 | — | |
Issued in Lieu of Cash Distributions | 140,931 | 27,921 | |
Redeemed | (131,260) | (490,414) | |
Net Increase (Decrease) in Shares Outstanding | 1,564,428 | (272,441) |
G. | On February 11, 2022, the Vanguard Target Retirement 2030 Fund acquired all the net assets of Vanguard Institutional Target Retirement 2030 Fund (the “Acquired Fund”) pursuant to a plan of reorganization approved by the funds' board of trustees in September 2021. The acquisition was accomplished by a tax-free exchange of 1,421,270,000 shares of Vanguard Target Retirement 2030 Fund for the 1,801,853,000 shares of the Acquired Fund outstanding on February 11, 2022. The Acquired Fund's net assets of $51,947,425,000, including $10,095,444,000 of unrealized appreciation, were combined with Vanguard Target Retirement 2030 Fund's net assets of $36,054,289,000, resulting in combined net assets of $88,001,714,000 on February 11, 2022. |
Amount ($000) | |
Net Investment Income | 955,511 |
Realized Net Gain (Loss) | 1,722,937 |
Change in Unrealized Appreciation (Depreciation) | (4,202,251) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,523,803) |
Current Period Transactions | ||||||||
Sep. 30, 2021 Market Value ($000) | Purchases at Cost ($000) | Proceeds from Securities Sold1 ($000) | Realized Net Gain (Loss) ($000) | Change in Unrealized App. (Dep.) ($000) | Income ($000) | Capital Gain Distributions Received ($000) | Mar. 31, 2022 Market Value ($000) | |
Vanguard Market Liquidity Fund | 442,408 | NA2 | NA2 | (26) | 26 | 386 | 6 | 1,149,218 |
Vanguard Total Bond Market II Index Fund | 8,672,543 | 13,740,312 | 611,676 | (25,244) | (1,285,868) | 107,887 | 26,906 | 20,490,067 |
Vanguard Total International Bond Index Fund | 3,745,973 | 110,958 | 3,704,191 | 85,147 | (237,887) | 86,791 | 24,168 | — |
Vanguard Total International Bond II Index Fund | 120,317 | 9,637,989 | 211,714 | (7,482) | (497,525) | 10,589 | — | 9,041,585 |
Vanguard Total International Stock Index Fund | 9,686,493 | 12,041,576 | 328,623 | 34,971 | 999,987 | 172,161 | — | 22,434,404 |
Vanguard Total Stock Market Index Fund | 14,260,086 | 12,366,334 | 1,563,458 | 909,131 | 8,481,857 | 156,025 | — | 34,453,950 |
Total | 36,927,820 | 47,897,1693 | 6,419,662 | 996,497 | 7,460,5903 | 533,839 | 51,080 | 87,569,224 |
1 | Includes $224,000,000 of portfolio securities delivered as a result of in-kind redemptions of the fund’s capital shares. |
2 | Not applicable—purchases and sales are for temporary cash investment purposes. |
3 | Includes securities of $41,680,507,000 and unrealized appreciation of $10,095,444,000 related to the acquisition of the Vanguard Institutional Target Retirement 2030 Fund. See Note G. |
I. | Management has determined that no events or transactions occurred subsequent to March 31, 2022, that would require recognition or disclosure in these financial statements. |
Vanguard Total Stock Market Index Fund Institutional Plus Shares | 44.2% |
Vanguard Total International Stock Index Fund Investor Shares | 29.0 |
Vanguard Total Bond Market II Index Fund Investor Shares | 18.6 |
Vanguard Total International Bond II Index Fund Institutional Shares | 8.2 |
Shares | Market Value• ($000) | |||||
Investment Companies (98.6%) | ||||||
U.S. Stock Fund (43.6%) | ||||||
Vanguard Total Stock Market Index Fund Institutional Plus Shares | 178,426,153 | 37,078,739 | ||||
International Stock Fund (28.6%) | ||||||
Vanguard Total International Stock Index Fund Investor Shares | 1,266,063,221 | 24,270,431 | ||||
U.S. Bond Fund (18.3%) | ||||||
1 | Vanguard Total Bond Market II Index Fund Investor Shares | 1,507,681,162 | 15,574,346 | |||
International Bond Fund (8.1%) | ||||||
1 | Vanguard Total International Bond II Index Fund Institutional Shares | 246,976,370 | 6,912,869 | |||
Total Investment Companies (Cost $59,862,879) | 83,836,385 | |||||
Temporary Cash Investments (1.4%) | ||||||
Money Market Fund (1.4%) | ||||||
1 | Vanguard Market Liquidity Fund, 0.312% (Cost $1,143,493) | 11,436,560 | 1,143,542 | |||
Total Investments (100.0%) (Cost $61,006,372) | 84,979,927 | |||||
Other Assets and Liabilities—Net (0.0%) | 10,192 | |||||
Net Assets (100%) | 84,990,119 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Affiliated fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown for Vanguard Market Liquidity Fund is the 7-day yield. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
10-Year U.S. Treasury Note | June 2022 | 4,446 | 546,302 | (13,328) |
E-mini S&P 500 Index | June 2022 | 2,688 | 608,933 | 42,122 |
28,794 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value—Affiliated Funds (Cost $61,006,372) | 84,979,927 |
Cash Collateral Pledged—Futures Contracts | 39,375 |
Receivables for Accrued Income | 41,443 |
Receivables for Capital Shares Issued | 128,061 |
Total Assets | 85,188,806 |
Liabilities | |
Payables for Investment Securities Purchased | 120,959 |
Payables for Capital Shares Redeemed | 70,070 |
Variation Margin Payable—Futures Contracts | 7,658 |
Total Liabilities | 198,687 |
Net Assets | 84,990,119 |
At March 31, 2022, net assets consisted of: | |
Paid-in Capital | 60,150,656 |
Total Distributable Earnings (Loss) | 24,839,463 |
Net Assets | 84,990,119 |
Net Assets | |
Applicable to 3,778,287,442 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 84,990,119 |
Net Asset Value Per Share | $22.49 |
Six Months Ended March 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Income Distributions Received from Affiliated Funds | 527,446 |
Net Investment Income—Note B | 527,446 |
Realized Net Gain (Loss) | |
Capital Gain Distributions Received from Affiliated Funds | 40,037 |
Affiliated Funds Sold1 | 980,173 |
Futures Contracts | (40,257) |
Realized Net Gain (Loss) | 979,953 |
Change in Unrealized Appreciation (Depreciation) | |
Affiliated Funds | (2,320,798) |
Futures Contracts | 39,454 |
Change in Unrealized Appreciation (Depreciation) | (2,281,344) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (773,945) |
1 | Includes $40,276,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended March 31, 2022 | Year Ended September 30, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 527,446 | 699,119 | |
Realized Net Gain (Loss) | 979,953 | 5,301,721 | |
Change in Unrealized Appreciation (Depreciation) | (2,281,344) | 2,161,487 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (773,945) | 8,162,327 | |
Distributions | |||
Total Distributions | (6,285,059) | (1,093,220) | |
Capital Share Transactions | |||
Issued | 4,846,572 | 6,946,551 | |
Issued in Connection with Acquisition of Vanguard Institutional Target Retirement 2035 Fund—Note G | 47,857,993 | — | |
Issued in Lieu of Cash Distributions | 6,115,955 | 1,072,459 | |
Redeemed | (4,593,276) | (17,862,848) | |
Net Increase (Decrease) from Capital Share Transactions | 54,227,244 | (9,843,838) | |
Total Increase (Decrease) | 47,168,240 | (2,774,731) | |
Net Assets | |||
Beginning of Period | 37,821,879 | 40,596,610 | |
End of Period | 84,990,119 | 37,821,879 |
For a Share Outstanding Throughout Each Period | Six Months Ended March 31, 2022 | Year Ended September 30, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $27.25 | $23.16 | $21.60 | $21.46 | $20.20 | $18.09 |
Investment Operations | ||||||
Net Investment Income1 | .255 | .430 | .470 | .500 | .459 | .418 |
Capital Gain Distributions Received1 | .019 | .046 | — | — | .001 | .003 |
Net Realized and Unrealized Gain (Loss) on Investments | (.381) | 4.244 | 1.614 | .146 | 1.243 | 2.180 |
Total from Investment Operations | (.107) | 4.720 | 2.084 | .646 | 1.703 | 2.601 |
Distributions | ||||||
Dividends from Net Investment Income | (.559) | (.409) | (.524) | (.464) | (.410) | (.356) |
Distributions from Realized Capital Gains | (4.094) | (.221) | — | (.042) | (.033) | (.135) |
Total Distributions | (4.653) | (.630) | (.524) | (.506) | (.443) | (.491) |
Net Asset Value, End of Period | $22.49 | $27.25 | $23.16 | $21.60 | $21.46 | $20.20 |
Total Return2 | -1.37% | 20.60% | 9.71% | 3.37% | 8.51% | 14.76% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $84,990 | $37,822 | $40,597 | $37,126 | $34,522 | $29,798 |
Ratio of Total Expenses to Average Net Assets | — | — | — | — | — | — |
Acquired Fund Fees and Expenses | 0.11% | 0.14% | 0.14% | 0.14% | 0.14% | 0.14% |
Ratio of Net Investment Income to Average Net Assets | 2.11% | 1.64% | 2.15% | 2.42% | 2.19% | 2.22% |
Portfolio Turnover Rate | 10%3 | 6% | 18% | 7% | 8% | 9% |
The expense ratio, acquired fund fees and expenses, and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. The FSA provides that expenses otherwise allocable to Vanguard funds-of-funds may be reduced or eliminated to the extent of savings realized by the underlying Vanguard funds by virtue of being part of a fund-of-funds. Accordingly, all expenses for services provided by Vanguard to the fund and all other expenses incurred by the fund during the period ended March 31, 2022, were borne by the underlying Vanguard funds in which the fund invests. The fund's trustees and officers are also trustees and officers, respectively, of the underlying Vanguard funds, as well as directors and employees, respectively, of Vanguard. |
C. | The fund’s SEC registrant (the Vanguard Chester Funds (the “Trust”)), certain officers and trustees of the Trust, and The Vanguard Group Inc. (collectively, the “Defendants”) were named in putative class action lawsuits filed in 2022 by certain investors (the “Plaintiffs”) in the U.S. District Court for the Eastern District of Pennsylvania. The Plaintiffs assert claims for breach of fiduciary duty, gross negligence, breach of the covenant of good faith and fair dealing, unjust enrichment, and violation of certain state consumer protection laws; they allege that the Defendants improperly decided to lower minimum investment limits in 2020 for the Trust’s Institutional Target Retirement funds for certain smaller retirement plan participants, which purportedly harmed certain investors in taxable accounts. The Plaintiffs seek damages and various other forms of relief. The Defendants do not agree with these allegations and claims and intend to vigorously defend against them. |
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. |
E. | As of March 31, 2022, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 61,055,880 |
Gross Unrealized Appreciation | 25,365,234 |
Gross Unrealized Depreciation | (1,412,393) |
Net Unrealized Appreciation (Depreciation) | 23,952,841 |
F. | Capital shares issued and redeemed were: |
Six Months Ended March 31, 2022 | Year Ended September 30, 2021 | ||
Shares (000) | Shares (000) | ||
Issued | 203,553 | 266,598 | |
Issued in Connection with Acquisition of Vanguard Institutional Target Retirement 2035 Fund—Note G | 2,113,869 | — | |
Issued in Lieu of Cash Distributions | 256,327 | 42,592 | |
Redeemed | (183,334) | (674,526) | |
Net Increase (Decrease) in Shares Outstanding | 2,390,415 | (365,336) |
G. | On February 11, 2022, the Vanguard Target Retirement 2035 Fund acquired all the net assets of Vanguard Institutional Target Retirement 2035 Fund (the “Acquired Fund”) pursuant to a plan of reorganization approved by the funds' board of trustees in September 2021. The acquisition was accomplished by a tax-free exchange of 2,113,869,000 shares of Vanguard Target Retirement 2035 Fund for the 1,603,283,000 shares of the Acquired Fund outstanding on February 11, 2022. The Acquired Fund's net assets of $47,857,993,000, including $10,559,260,000 of unrealized appreciation, were combined with Vanguard Target Retirement 2035 Fund's net assets of $37,004,381,000, resulting in combined net assets of $84,862,374,000 on February 11, 2022. |
Amount ($000) | |
Net Investment Income | 925,780 |
Realized Net Gain (Loss) | 1,614,114 |
Change in Unrealized Appreciation (Depreciation) | (3,612,099) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,072,205) |
Current Period Transactions | ||||||||
Sep. 30, 2021 Market Value ($000) | Purchases at Cost ($000) | Proceeds from Securities Sold1 ($000) | Realized Net Gain (Loss) ($000) | Change in Unrealized App. (Dep.) ($000) | Income ($000) | Capital Gain Distributions Received ($000) | Mar. 31, 2022 Market Value ($000) | |
Vanguard Market Liquidity Fund | 481,838 | NA2 | NA2 | (32) | 30 | 391 | 8 | 1,143,542 |
Vanguard Total Bond Market II Index Fund | 6,917,620 | 10,047,296 | 384,109 | (17,975) | (988,486) | 83,941 | 20,847 | 15,574,346 |
Vanguard Total International Bond Index Fund | 2,973,117 | 88,066 | 2,939,753 | 42,285 | (163,715) | 68,885 | 19,182 | — |
Vanguard Total International Bond II Index Fund | 98,499 | 7,293,868 | 101,719 | (2,587) | (375,192) | 8,068 | — | 6,912,869 |
Vanguard Total International Stock Index Fund | 11,063,975 | 12,462,202 | 234,965 | 25,610 | 953,609 | 194,359 | — | 24,270,431 |
Vanguard Total Stock Market Index Fund | 16,292,315 | 12,611,331 | 1,569,995 | 932,872 | 8,812,216 | 171,802 | — | 37,078,739 |
Total | 37,827,364 | 42,502,7633 | 5,230,541 | 980,173 | 8,238,4623 | 527,446 | 40,037 | 84,979,927 |
1 | Includes $82,000,000 of portfolio securities delivered as a result of in-kind redemptions of the fund’s capital shares. |
2 | Not applicable—purchases and sales are for temporary cash investment purposes. |
3 | Includes securities of $37,134,712,000 and unrealized appreciation of $10,559,260,000 related to the acquisition of the Vanguard Institutional Target Retirement 2035 Fund. See Note G. |
I. | Management has determined that no events or transactions occurred subsequent to March 31, 2022, that would require recognition or disclosure in these financial statements. |
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Vanguard Target Retirement 2040 Fund |
Vanguard Target Retirement 2045 Fund |
Vanguard Target Retirement 2050 Fund |
Vanguard Target Retirement 2055 Fund |
Vanguard Target Retirement 2060 Fund |
Vanguard Target Retirement 2065 Fund |
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
• | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended March 31, 2022 | |||
Beginning Account Value 9/30/2021 | Ending Account Value 3/31/2022 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Target Retirement 2040 Fund | $1,000.00 | $ 990.70 | $0.55 |
Target Retirement 2045 Fund | $1,000.00 | $ 995.10 | $0.60 |
Target Retirement 2050 Fund | $1,000.00 | $ 996.60 | $0.60 |
Target Retirement 2055 Fund | $1,000.00 | $ 996.40 | $0.55 |
Target Retirement 2060 Fund | $1,000.00 | $ 996.50 | $0.60 |
Target Retirement 2065 Fund | $1,000.00 | $ 997.10 | $0.60 |
Based on Hypothetical 5% Yearly Return | |||
Target Retirement 2040 Fund | $1,000.00 | $1,024.38 | $0.56 |
Target Retirement 2045 Fund | $1,000.00 | $1,024.33 | $0.61 |
Target Retirement 2050 Fund | $1,000.00 | $1,024.33 | $0.61 |
Target Retirement 2055 Fund | $1,000.00 | $1,024.38 | $0.56 |
Target Retirement 2060 Fund | $1,000.00 | $1,024.33 | $0.61 |
Target Retirement 2065 Fund | $1,000.00 | $1,024.33 | $0.61 |
Vanguard Total Stock Market Index Fund Institutional Plus Shares | 48.6% |
Vanguard Total International Stock Index Fund Investor Shares | 31.8 |
Vanguard Total Bond Market II Index Fund Investor Shares | 13.6 |
Vanguard Total International Bond II Index Fund Institutional Shares | 6.0 |
Shares | Market Value• ($000) | |||||
Investment Companies (98.6%) | ||||||
U.S. Stock Fund (48.0%) | ||||||
Vanguard Total Stock Market Index Fund Institutional Plus Shares | 169,707,502 | 35,266,916 | ||||
International Stock Fund (31.4%) | ||||||
Vanguard Total International Stock Index Fund Investor Shares | 1,203,564,664 | 23,072,335 | ||||
U.S. Bond Fund (13.3%) | ||||||
1 | Vanguard Total Bond Market II Index Fund Investor Shares | 951,024,985 | 9,824,088 | |||
International Bond Fund (5.9%) | ||||||
1 | Vanguard Total International Bond II Index Fund Institutional Shares | 154,949,767 | 4,337,044 | |||
Total Investment Companies (Cost $51,124,641) | 72,500,383 | |||||
Temporary Cash Investments (1.4%) | ||||||
Money Market Fund (1.4%) | ||||||
1 | Vanguard Market Liquidity Fund, 0.312% (Cost $1,002,866) | 10,030,066 | 1,002,906 | |||
Total Investments (100.0%) (Cost $52,127,507) | 73,503,289 | |||||
Other Assets and Liabilities—Net (0.0%) | 4,683 | |||||
Net Assets (100%) | 73,507,972 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Affiliated fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown for Vanguard Market Liquidity Fund is the 7-day yield. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
10-Year U.S. Treasury Note | June 2022 | 3,730 | 458,324 | (10,931) |
E-mini S&P 500 Index | June 2022 | 2,468 | 559,094 | 41,695 |
30,764 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value—Affiliated Funds (Cost $52,127,507) | 73,503,289 |
Cash Collateral Pledged—Futures Contracts | 35,585 |
Receivables for Accrued Income | 26,130 |
Receivables for Capital Shares Issued | 107,376 |
Total Assets | 73,672,380 |
Liabilities | |
Payables for Investment Securities Purchased | 96,889 |
Payables for Capital Shares Redeemed | 60,400 |
Variation Margin Payable—Futures Contracts | 7,119 |
Total Liabilities | 164,408 |
Net Assets | 73,507,972 |
At March 31, 2022, net assets consisted of: | |
Paid-in Capital | 51,417,476 |
Total Distributable Earnings (Loss) | 22,090,496 |
Net Assets | 73,507,972 |
Net Assets | |
Applicable to 1,853,997,774 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 73,507,972 |
Net Asset Value Per Share | $39.65 |
Six Months Ended March 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Income Distributions Received from Affiliated Funds | 419,976 |
Net Investment Income—Note B | 419,976 |
Realized Net Gain (Loss) | |
Capital Gain Distributions Received from Affiliated Funds | 23,578 |
Affiliated Funds Sold1 | 821,365 |
Futures Contracts | (33,034) |
Realized Net Gain (Loss) | 811,909 |
Change in Unrealized Appreciation (Depreciation) | |
Affiliated Funds | (1,703,469) |
Futures Contracts | 38,985 |
Change in Unrealized Appreciation (Depreciation) | (1,664,484) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (432,599) |
1 | Includes $80,178,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended March 31, 2022 | Year Ended September 30, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 419,976 | 560,421 | |
Realized Net Gain (Loss) | 811,909 | 4,288,893 | |
Change in Unrealized Appreciation (Depreciation) | (1,664,484) | 2,372,175 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (432,599) | 7,221,489 | |
Distributions | |||
Total Distributions | (5,068,358) | (727,664) | |
Capital Share Transactions | |||
Issued | 4,363,760 | 5,959,146 | |
Issued in Connection with Acquisition of Vanguard Institutional Target Retirement 2040 Fund—Note G | 44,528,150 | — | |
Issued in Lieu of Cash Distributions | 4,930,721 | 714,460 | |
Redeemed | (3,897,403) | (16,488,112) | |
Net Increase (Decrease) from Capital Share Transactions | 49,925,228 | (9,814,506) | |
Total Increase (Decrease) | 44,424,271 | (3,320,681) | |
Net Assets | |||
Beginning of Period | 29,083,701 | 32,404,382 | |
End of Period | 73,507,972 | 29,083,701 |
For a Share Outstanding Throughout Each Period | Six Months Ended March 31, 2022 | Year Ended September 30, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $48.29 | $40.07 | $37.27 | $37.26 | $34.73 | $30.59 |
Investment Operations | ||||||
Net Investment Income1 | .440 | .764 | .799 | .850 | .786 | .718 |
Capital Gain Distributions Received1 | .025 | .057 | — | — | .001 | .003 |
Net Realized and Unrealized Gain (Loss) on Investments | (.413) | 8.312 | 2.892 | (.005) | 2.441 | 4.143 |
Total from Investment Operations | .052 | 9.133 | 3.691 | .845 | 3.228 | 4.864 |
Distributions | ||||||
Dividends from Net Investment Income | (1.003) | (.719) | (.891) | (.779) | (.684) | (.599) |
Distributions from Realized Capital Gains | (7.689) | (.194) | — | (.056) | (.014) | (.125) |
Total Distributions | (8.692) | (.913) | (.891) | (.835) | (.698) | (.724) |
Net Asset Value, End of Period | $39.65 | $48.29 | $40.07 | $37.27 | $37.26 | $34.73 |
Total Return2 | -0.93% | 23.00% | 9.96% | 2.63% | 9.37% | 16.26% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $73,508 | $29,084 | $32,404 | $29,043 | $26,445 | $22,324 |
Ratio of Total Expenses to Average Net Assets | — | — | — | — | — | — |
Acquired Fund Fees and Expenses | 0.11% | 0.14% | 0.14% | 0.14% | 0.14% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 2.07% | 1.66% | 2.12% | 2.38% | 2.17% | 2.23% |
Portfolio Turnover Rate | 8% 3 | 5% | 13% | 5% | 8% | 8% |
The expense ratio, acquired fund fees and expenses, and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. The FSA provides that expenses otherwise allocable to Vanguard funds-of-funds may be reduced or eliminated to the extent of savings realized by the underlying Vanguard funds by virtue of being part of a fund-of-funds. Accordingly, all expenses for services provided by Vanguard to the fund and all other expenses incurred by the fund during the period ended March 31, 2022, were borne by the underlying Vanguard funds in which the fund invests. The fund's trustees and officers are also trustees and officers, respectively, of the underlying Vanguard funds, as well as directors and employees, respectively, of Vanguard. |
C. | The fund’s SEC registrant (the Vanguard Chester Funds (the “Trust”)), certain officers and trustees of the Trust, and The Vanguard Group Inc. (collectively, the “Defendants”) were named in putative class action lawsuits filed in 2022 by certain investors (the “Plaintiffs”) in the U.S. District Court for the Eastern District of Pennsylvania. The Plaintiffs assert claims for breach of fiduciary duty, gross negligence, breach of the covenant of good faith and fair dealing, unjust enrichment, and violation of certain state consumer protection laws; they allege that the Defendants improperly decided to lower minimum investment limits in 2020 for the Trust’s Institutional Target Retirement funds for certain smaller retirement plan participants, which purportedly harmed certain investors in taxable accounts. The Plaintiffs seek damages and various other forms of relief. The Defendants do not agree with these allegations and claims and intend to vigorously defend against them. |
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. |
E. | As of March 31, 2022, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 52,166,783 |
Gross Unrealized Appreciation | 22,401,415 |
Gross Unrealized Depreciation | (1,034,145) |
Net Unrealized Appreciation (Depreciation) | 21,367,270 |
F. | Capital shares issued and redeemed were: |
Six Months Ended March 31, 2022 | Year Ended September 30, 2021 | ||
Shares (000) | Shares (000) | ||
Issued | 104,075 | 129,901 | |
Issued in Connection with Acquisition of Vanguard Institutional Target Retirement 2040 Fund—Note G | 1,117,955 | — | |
Issued in Lieu of Cash Distributions | 117,203 | 16,168 | |
Redeemed | (87,545) | (352,464) | |
Net Increase (Decrease) in Shares Outstanding | 1,251,688 | (206,395) |
G. | On February 11, 2022, the Vanguard Target Retirement 2040 Fund acquired all the net assets of Vanguard Institutional Target Retirement 2040 Fund (the “Acquired Fund”) pursuant to a plan of reorganization approved by the funds' board of trustees in September 2021. The acquisition was accomplished by a tax-free exchange of 1,117,955,000 shares of Vanguard Target Retirement 2040 Fund for the 1,441,507,000 shares of the Acquired Fund outstanding on February 11, 2022. The Acquired Fund's net assets of $44,528,150,000, including $10,288,799,000 of unrealized appreciation, were combined with Vanguard Target Retirement 2040 Fund's net assets of $28,598,081,000, resulting in combined net assets of $73,126,231,000 on February 11, 2022. |
Amount ($000) | |
Net Investment Income | 799,786 |
Realized Net Gain (Loss) | 1,468,425 |
Change in Unrealized Appreciation (Depreciation) | (2,844,558) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (576,347) |
Current Period Transactions | ||||||||
Sep. 30, 2021 Market Value ($000) | Purchases at Cost ($000) | Proceeds from Securities Sold1 ($000) | Realized Net Gain (Loss) ($000) | Change in Unrealized App. (Dep.) ($000) | Income ($000) | Capital Gain Distributions Received ($000) | Mar. 31, 2022 Market Value ($000) | |
Vanguard Market Liquidity Fund | 377,033 | NA 2 | NA 2 | (27) | 25 | 335 | 6 | 1,002,906 |
Vanguard Total Bond Market II Index Fund | 3,750,603 | 6,877,945 | 181,206 | (6,360) | (616,894) | 49,109 | 12,425 | 9,824,088 |
Vanguard Total International Bond Index Fund | 1,727,758 | 51,177 | 1,708,369 | 5,831 | (76,397) | 40,031 | 11,147 | — |
Vanguard Total International Bond II Index Fund | 11,835 | 4,658,934 | 94,177 | (1,163) | (238,385) | 4,802 | — | 4,337,044 |
Vanguard Total International Stock Index Fund | 9,386,478 | 12,957,301 | 224,845 | 29,491 | 923,910 | 168,620 | — | 23,072,335 |
Vanguard Total Stock Market Index Fund | 13,835,372 | 13,332,900 | 1,288,020 | 793,593 | 8,593,071 | 157,079 | — | 35,266,916 |
Total | 29,089,079 | 37,878,257 3 | 3,496,617 | 821,365 | 8,585,330 3 | 419,976 | 23,578 | 73,503,289 |
1 | Includes $152,000,000 of portfolio securities delivered as a result of in-kind redemptions of the fund’s capital shares. |
2 | Not applicable—purchases and sales are for temporary cash investment purposes. |
3 | Includes securities of $34,102,998,000 and unrealized appreciation of $10,288,799,000 related to the acquisition of the Vanguard Institutional Target Retirement 2040 Fund. See Note G. |
I. | Management has determined that no events or transactions occurred subsequent to March 31, 2022, that would require recognition or disclosure in these financial statements. |
Vanguard Total Stock Market Index Fund Institutional Plus Shares | 53.2% |
Vanguard Total International Stock Index Fund Investor Shares | 34.7 |
Vanguard Total Bond Market II Index Fund Investor Shares | 8.4 |
Vanguard Total International Bond II Index Fund Institutional Shares | 3.7 |
Shares | Market Value• ($000) | |||||
Investment Companies (98.6%) | ||||||
U.S. Stock Fund (52.4%) | ||||||
Vanguard Total Stock Market Index Fund Institutional Plus Shares | 172,106,086 | 35,765,366 | ||||
International Stock Fund (34.2%) | ||||||
Vanguard Total International Stock Index Fund Investor Shares | 1,218,036,341 | 23,349,757 | ||||
U.S. Bond Fund (8.3%) | ||||||
1 | Vanguard Total Bond Market II Index Fund Investor Shares | 544,701,851 | 5,626,770 | |||
International Bond Fund (3.7%) | ||||||
1 | Vanguard Total International Bond II Index Fund Institutional Shares | 89,442,414 | 2,503,493 | |||
Total Investment Companies (Cost $45,368,616) | 67,245,386 | |||||
Temporary Cash Investments (1.4%) | ||||||
Money Market Fund (1.4%) | ||||||
1 | Vanguard Market Liquidity Fund, 0.312% (Cost $980,353) | 9,804,854 | 980,387 | |||
Total Investments (100.0%) (Cost $46,348,969) | 68,225,773 | |||||
Other Assets and Liabilities—Net (0.0%) | 15,241 | |||||
Net Assets (100%) | 68,241,014 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Affiliated fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown for Vanguard Market Liquidity Fund is the 7-day yield. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
10-Year U.S. Treasury Note | June 2022 | 3,627 | 445,668 | (10,789) |
E-mini S&P 500 Index | June 2022 | 2,380 | 539,159 | 40,208 |
29,419 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value—Affiliated Funds (Cost $46,348,969) | 68,225,773 |
Cash Collateral Pledged—Futures Contracts | 34,370 |
Receivables for Accrued Income | 14,953 |
Receivables for Capital Shares Issued | 93,298 |
Total Assets | 68,368,394 |
Liabilities | |
Payables for Investment Securities Purchased | 61,927 |
Payables for Capital Shares Redeemed | 58,595 |
Variation Margin Payable—Futures Contracts | 6,858 |
Total Liabilities | 127,380 |
Net Assets | 68,241,014 |
At March 31, 2022, net assets consisted of: | |
Paid-in Capital | 45,689,168 |
Total Distributable Earnings (Loss) | 22,551,846 |
Net Assets | 68,241,014 |
Net Assets | |
Applicable to 2,549,443,598 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 68,241,014 |
Net Asset Value Per Share | $26.77 |
Six Months Ended March 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Income Distributions Received from Affiliated Funds | 398,751 |
Net Investment Income—Note B | 398,751 |
Realized Net Gain (Loss) | |
Capital Gain Distributions Received from Affiliated Funds | 13,579 |
Affiliated Funds Sold1 | 750,772 |
Futures Contracts | (31,845) |
Realized Net Gain (Loss) | 732,506 |
Change in Unrealized Appreciation (Depreciation) | |
Affiliated Funds | (1,366,161) |
Futures Contracts | 37,513 |
Change in Unrealized Appreciation (Depreciation) | (1,328,648) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (197,391) |
1 | Includes $35,883,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended March 31, 2022 | Year Ended September 30, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 398,751 | 545,625 | |
Realized Net Gain (Loss) | 732,506 | 3,178,010 | |
Change in Unrealized Appreciation (Depreciation) | (1,328,648) | 3,760,162 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (197,391) | 7,483,797 | |
Distributions | |||
Total Distributions | (3,956,957) | (634,587) | |
Capital Share Transactions | |||
Issued | 4,086,260 | 5,370,565 | |
Issued in Connection with Acquisition of Vanguard Institutional Target Retirement 2045 Fund—Note G | 38,974,576 | — | |
Issued in Lieu of Cash Distributions | 3,853,831 | 623,462 | |
Redeemed | (3,437,357) | (14,130,579) | |
Net Increase (Decrease) from Capital Share Transactions | 43,477,310 | (8,136,552) | |
Total Increase (Decrease) | 39,322,962 | (1,287,342) | |
Net Assets | |||
Beginning of Period | 28,918,052 | 30,205,394 | |
End of Period | 68,241,014 | 28,918,052 |
For a Share Outstanding Throughout Each Period | Six Months Ended March 31, 2022 | Year Ended September 30, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $31.04 | $25.22 | $23.38 | $23.49 | $21.80 | $19.12 |
Investment Operations | ||||||
Net Investment Income1 | .289 | .495 | .492 | .527 | .492 | .450 |
Capital Gain Distributions Received1 | .010 | .020 | — | — | — | .001 |
Net Realized and Unrealized Gain (Loss) on Investments | (.198) | 5.840 | 1.900 | (.128) | 1.636 | 2.696 |
Total from Investment Operations | .101 | 6.355 | 2.392 | .399 | 2.128 | 3.147 |
Distributions | ||||||
Dividends from Net Investment Income | (.629) | (.452) | (.552) | (.483) | (.428) | (.375) |
Distributions from Realized Capital Gains | (3.742) | (.083) | — | (.026) | (.010) | (.092) |
Total Distributions | (4.371) | (.535) | (.552) | (.509) | (.438) | (.467) |
Net Asset Value, End of Period | $26.77 | $31.04 | $25.22 | $23.38 | $23.49 | $21.80 |
Total Return2 | -0.49% | 25.42% | 10.27% | 2.06% | 9.85% | 16.84% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $68,241 | $28,918 | $30,205 | $26,670 | $24,330 | $20,413 |
Ratio of Total Expenses to Average Net Assets | — | — | — | — | — | — |
Acquired Fund Fees and Expenses | 0.12% | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 2.04% | 1.68% | 2.08% | 2.35% | 2.16% | 2.23% |
Portfolio Turnover Rate | 6% 3 | 4% | 9% | 4% | 7% | 8% |
The expense ratio, acquired fund fees and expenses, and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. The FSA provides that expenses otherwise allocable to Vanguard funds-of-funds may be reduced or eliminated to the extent of savings realized by the underlying Vanguard funds by virtue of being part of a fund-of-funds. Accordingly, all expenses for services provided by Vanguard to the fund and all other expenses incurred by the fund during the period ended March 31, 2022, were borne by the underlying Vanguard funds in which the fund invests. The fund's trustees and officers are also trustees and officers, respectively, of the underlying Vanguard funds, as well as directors and employees, respectively, of Vanguard. |
C. | The fund’s SEC registrant (the Vanguard Chester Funds (the “Trust”)), certain officers and trustees of the Trust, and The Vanguard Group Inc. (collectively, the “Defendants”) were named in putative class action lawsuits filed in 2022 by certain investors (the “Plaintiffs”) in the U.S. District Court for the Eastern District of Pennsylvania. The Plaintiffs assert claims for breach of fiduciary duty, gross negligence, breach of the covenant of good faith and fair dealing, unjust enrichment, and violation of certain state consumer protection laws; they allege that the Defendants improperly decided to lower minimum investment limits in 2020 for the Trust’s Institutional Target Retirement funds for certain smaller retirement plan participants, which purportedly harmed certain investors in taxable accounts. The Plaintiffs seek damages and various other forms of relief. The Defendants do not agree with these allegations and claims and intend to vigorously defend against them. |
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. |
E. | As of March 31, 2022, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 46,388,889 |
Gross Unrealized Appreciation | 22,600,344 |
Gross Unrealized Depreciation | (734,041) |
Net Unrealized Appreciation (Depreciation) | 21,866,303 |
F. | Capital shares issued and redeemed were: |
Six Months Ended March 31, 2022 | Year Ended September 30, 2021 | ||
Shares (000) | Shares (000) | ||
Issued | 146,790 | 182,983 | |
Issued in Connection with Acquisition of Vanguard Institutional Target Retirement 2045 Fund—Note G | 1,452,108 | — | |
Issued in Lieu of Cash Distributions | 135,603 | 22,156 | |
Redeemed | (116,813) | (471,180) | |
Net Increase (Decrease) in Shares Outstanding | 1,617,688 | (266,041) |
G. | On February 11, 2022, the Vanguard Target Retirement 2045 Fund acquired all the net assets of Vanguard Institutional Target Retirement 2045 Fund (the “Acquired Fund”) pursuant to a plan of reorganization approved by the funds' board of trustees in September 2021. The acquisition was accomplished by a tax-free exchange of 1,452,108,000 shares of Vanguard Target Retirement 2045 Fund for the 1,222,157,000 shares of the Acquired Fund outstanding on February 11, 2022. The Acquired Fund's net assets of $38,974,576,000, including $9,546,130,000 of unrealized appreciation, were combined with Vanguard Target Retirement 2045 Fund's net assets of $28,598,689,000, resulting in combined net assets of $67,573,265,000 on February 11, 2022. |
Amount ($000) | |
Net Investment Income | 739,042 |
Realized Net Gain (Loss) | 1,248,574 |
Change in Unrealized Appreciation (Depreciation) | (2,215,879) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (228,263) |
Current Period Transactions | ||||||||
Sep. 30, 2021 Market Value ($000) | Purchases at Cost ($000) | Proceeds from Securities Sold1 ($000) | Realized Net Gain (Loss) ($000) | Change in Unrealized App. (Dep.) ($000) | Income ($000) | Capital Gain Distributions Received ($000) | Mar. 31, 2022 Market Value ($000) | |
Vanguard Market Liquidity Fund | 379,111 | NA 2 | NA 2 | (33) | 20 | 336 | 7 | 980,387 |
Vanguard Total Bond Market II Index Fund | 2,281,018 | 3,866,415 | 163,665 | (9,498) | (347,500) | 28,824 | 7,258 | 5,626,770 |
Vanguard Total International Bond Index Fund | 978,617 | 28,988 | 967,635 | 9,589 | (49,559) | 22,674 | 6,314 | — |
Vanguard Total International Bond II Index Fund | 4,357 | 2,649,295 | 15,311 | (353) | (134,495) | 2,775 | — | 2,503,493 |
Vanguard Total International Stock Index Fund | 10,214,133 | 12,620,034 | 175,645 | 18,564 | 672,671 | 180,908 | — | 23,349,757 |
Vanguard Total Stock Market Index Fund | 15,071,266 | 13,094,311 | 1,171,546 | 732,503 | 8,038,832 | 163,234 | — | 35,765,366 |
Total | 28,928,502 | 32,259,043 3 | 2,493,802 | 750,772 | 8,179,969 3 | 398,751 | 13,579 | 68,225,773 |
1 | Includes $61,000,000 of portfolio securities delivered as a result of in-kind redemptions of the fund’s capital shares. |
2 | Not applicable—purchases and sales are for temporary cash investment purposes. |
3 | Includes securities of $29,308,528,000 and unrealized appreciation of $9,546,130,000 related to the acquisition of the Vanguard Institutional Target Retirement 2045 Fund. See Note G. |
I. | Management has determined that no events or transactions occurred subsequent to March 31, 2022, that would require recognition or disclosure in these financial statements. |
Vanguard Total Stock Market Index Fund Institutional Plus Shares | 54.7% |
Vanguard Total International Stock Index Fund Investor Shares | 35.7 |
Vanguard Total Bond Market II Index Fund Investor Shares | 6.6 |
Vanguard Total International Bond II Index Fund Institutional Shares | 3.0 |
Shares | Market Value• ($000) | |||||
Investment Companies (98.5%) | ||||||
U.S. Stock Fund (53.9%) | ||||||
Vanguard Total Stock Market Index Fund Institutional Plus Shares | 140,201,941 | 29,135,366 | ||||
International Stock Fund (35.2%) | ||||||
Vanguard Total International Stock Index Fund Investor Shares | 991,478,839 | 19,006,649 | ||||
U.S. Bond Fund (6.5%) | ||||||
1 | Vanguard Total Bond Market II Index Fund Investor Shares | 338,781,044 | 3,499,608 | |||
International Bond Fund (2.9%) | ||||||
1 | Vanguard Total International Bond II Index Fund Institutional Shares | 56,414,238 | 1,579,034 | |||
Total Investment Companies (Cost $37,257,104) | 53,220,657 | |||||
Temporary Cash Investments (1.4%) | ||||||
Money Market Fund (1.4%) | ||||||
1 | Vanguard Market Liquidity Fund, 0.312% (Cost $784,711) | 7,848,288 | 784,750 | |||
Total Investments (99.9%) (Cost $38,041,815) | 54,005,407 | |||||
Other Assets and Liabilities—Net (0.1%) | 31,429 | |||||
Net Assets (100%) | 54,036,836 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Affiliated fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown for Vanguard Market Liquidity Fund is the 7-day yield. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
10-Year U.S. Treasury Note | June 2022 | 2,948 | 362,235 | (8,323) |
E-mini S&P 500 Index | June 2022 | 1,936 | 438,577 | 32,708 |
24,385 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value—Affiliated Funds (Cost $38,041,815) | 54,005,407 |
Cash Collateral Pledged—Futures Contracts | 27,953 |
Receivables for Accrued Income | 9,330 |
Receivables for Capital Shares Issued | 86,932 |
Total Assets | 54,129,622 |
Liabilities | |
Payables for Investment Securities Purchased | 40,985 |
Payables for Capital Shares Redeemed | 46,222 |
Variation Margin Payable—Futures Contracts | 5,579 |
Total Liabilities | 92,786 |
Net Assets | 54,036,836 |
At March 31, 2022, net assets consisted of: | |
Paid-in Capital | 37,701,268 |
Total Distributable Earnings (Loss) | 16,335,568 |
Net Assets | 54,036,836 |
Net Assets | |
Applicable to 1,221,287,348 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 54,036,836 |
Net Asset Value Per Share | $44.25 |
Six Months Ended March 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Income Distributions Received from Affiliated Funds | 304,571 |
Net Investment Income—Note B | 304,571 |
Realized Net Gain (Loss) | |
Capital Gain Distributions Received from Affiliated Funds | 8,607 |
Affiliated Funds Sold1 | 379,052 |
Futures Contracts | (27,181) |
Realized Net Gain (Loss) | 360,478 |
Change in Unrealized Appreciation (Depreciation) | |
Affiliated Funds | (793,572) |
Futures Contracts | 30,520 |
Change in Unrealized Appreciation (Depreciation) | (763,052) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (98,003) |
1 | Includes $36,926,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended March 31, 2022 | Year Ended September 30, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 304,571 | 414,923 | |
Realized Net Gain (Loss) | 360,478 | 1,954,618 | |
Change in Unrealized Appreciation (Depreciation) | (763,052) | 3,387,709 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (98,003) | 5,757,250 | |
Distributions | |||
Total Distributions | (2,514,988) | (470,654) | |
Capital Share Transactions | |||
Issued | 3,779,765 | 4,982,608 | |
Issued in Connection with Acquisition of Vanguard Institutional Target Retirement 2050 Fund—Note G | 31,731,807 | — | |
Issued in Lieu of Cash Distributions | 2,439,402 | 460,885 | |
Redeemed | (2,884,383) | (12,125,498) | |
Net Increase (Decrease) from Capital Share Transactions | 35,066,591 | (6,682,005) | |
Total Increase (Decrease) | 32,453,600 | (1,395,409) | |
Net Assets | |||
Beginning of Period | 21,583,236 | 22,978,645 | |
End of Period | 54,036,836 | 21,583,236 |
For a Share Outstanding Throughout Each Period | Six Months Ended March 31, 2022 | Year Ended September 30, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $50.09 | $40.60 | $37.63 | $37.80 | $35.07 | $30.63 |
Investment Operations | ||||||
Net Investment Income1 | .471 | .798 | .793 | .851 | .794 | .727 |
Capital Gain Distributions Received1 | .013 | .031 | — | — | .001 | .002 |
Net Realized and Unrealized Gain (Loss) on Investments | (.305) | 9.498 | 3.053 | (.204) | 2.629 | 4.332 |
Total from Investment Operations | .179 | 10.327 | 3.846 | .647 | 3.424 | 5.061 |
Distributions | ||||||
Dividends from Net Investment Income | (1.026) | (.741) | (.876) | (.789) | (.684) | (.587) |
Distributions from Realized Capital Gains | (4.993) | (.096) | — | (.028) | (.010) | (.034) |
Total Distributions | (6.019) | (.837) | (.876) | (.817) | (.694) | (.621) |
Net Asset Value, End of Period | $44.25 | $50.09 | $40.60 | $37.63 | $37.80 | $35.07 |
Total Return2 | -0.34% | 25.65% | 10.26% | 2.07% | 9.84% | 16.84% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $54,037 | $21,583 | $22,979 | $19,470 | $16,804 | $13,407 |
Ratio of Total Expenses to Average Net Assets | — | — | — | — | — | — |
Acquired Fund Fees and Expenses | 0.12% | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 2.03% | 1.68% | 2.08% | 2.36% | 2.16% | 2.24% |
Portfolio Turnover Rate | 5% 3 | 4% | 9% | 3% | 7% | 6% |
The expense ratio, acquired fund fees and expenses, and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. The FSA provides that expenses otherwise allocable to Vanguard funds-of-funds may be reduced or eliminated to the extent of savings realized by the underlying Vanguard funds by virtue of being part of a fund-of-funds. Accordingly, all expenses for services provided by Vanguard to the fund and all other expenses incurred by the fund during the period ended March 31, 2022, were borne by the underlying Vanguard funds in which the fund invests. The fund's trustees and officers are also trustees and officers, respectively, of the underlying Vanguard funds, as well as directors and employees, respectively, of Vanguard. |
C. | The fund’s SEC registrant (the Vanguard Chester Funds (the “Trust”)), certain officers and trustees of the Trust, and The Vanguard Group Inc. (collectively, the “Defendants”) were named in putative class action lawsuits filed in 2022 by certain investors (the “Plaintiffs”) in the U.S. District Court for the Eastern District of Pennsylvania. The Plaintiffs assert claims for breach of fiduciary duty, gross negligence, breach of the covenant of good faith and fair dealing, unjust enrichment, and violation of certain state consumer protection laws; they allege that the Defendants improperly decided to lower minimum investment limits in 2020 for the Trust’s Institutional Target Retirement funds for certain smaller retirement plan participants, which purportedly harmed certain investors in taxable accounts. The Plaintiffs seek damages and various other forms of relief. The Defendants do not agree with these allegations and claims and intend to vigorously defend against them. |
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. |
E. | As of March 31, 2022, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 38,069,237 |
Gross Unrealized Appreciation | 16,496,819 |
Gross Unrealized Depreciation | (536,264) |
Net Unrealized Appreciation (Depreciation) | 15,960,555 |
F. | Capital shares issued and redeemed were: |
Six Months Ended March 31, 2022 | Year Ended September 30, 2021 | ||
Shares (000) | Shares (000) | ||
Issued | 82,575 | 105,418 | |
Issued in Connection with Acquisition of Vanguard Institutional Target Retirement 2050 Fund—Note G | 715,647 | — | |
Issued in Lieu of Cash Distributions | 51,935 | 10,161 | |
Redeemed | (59,777) | (250,603) | |
Net Increase (Decrease) in Shares Outstanding | 790,380 | (135,024) |
G. | On February 11, 2022, the Vanguard Target Retirement 2050 Fund acquired all the net assets of Vanguard Institutional Target Retirement 2050 Fund (the “Acquired Fund”) pursuant to a plan of reorganization approved by the funds' board of trustees in September 2021. The acquisition was accomplished by a tax-free exchange of 715,647,000 shares of Vanguard Target Retirement 2050 Fund for the 990,381,000 shares of the Acquired Fund outstanding on February 11, 2022. The Acquired Fund's net assets of $31,731,807,000, including $7,205,789,000 of unrealized appreciation, were combined with Vanguard Target Retirement 2050 Fund's net assets of $21,438,369,000, resulting in combined net assets of $53,170,176,000 on February 11, 2022. |
Amount ($000) | |
Net Investment Income | 586,604 |
Realized Net Gain (Loss) | 807,577 |
Change in Unrealized Appreciation (Depreciation) | (1,491,196) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (97,015) |
Current Period Transactions | ||||||||
Sep. 30, 2021 Market Value ($000) | Purchases at Cost ($000) | Proceeds from Securities Sold1 ($000) | Realized Net Gain (Loss) ($000) | Change in Unrealized App. (Dep.) ($000) | Income ($000) | Capital Gain Distributions Received ($000) | Mar. 31, 2022 Market Value ($000) | |
Vanguard Market Liquidity Fund | 276,963 | NA 2 | NA 2 | (20) | 16 | 261 | 5 | 784,750 |
Vanguard Total Bond Market II Index Fund | 1,352,429 | 2,488,095 | 131,827 | (6,197) | (202,892) | 17,483 | 4,449 | 3,499,608 |
Vanguard Total International Bond Index Fund | 643,715 | 19,067 | 636,497 | 7,370 | (33,655) | 14,914 | 4,153 | — |
Vanguard Total International Bond II Index Fund | 17,593 | 1,693,783 | 46,860 | (1,019) | (84,463) | 1,804 | — | 1,579,034 |
Vanguard Total International Stock Index Fund | 7,790,535 | 10,869,929 | 96,280 | 13,534 | 428,931 | 139,803 | — | 19,006,649 |
Vanguard Total Stock Market Index Fund | 11,498,459 | 11,732,086 | 764,843 | 365,384 | 6,304,280 | 130,306 | — | 29,135,366 |
Total | 21,579,694 | 26,802,960 3 | 1,676,307 | 379,052 | 6,412,217 3 | 304,571 | 8,607 | 54,005,407 |
1 | Includes $62,000,000 of portfolio securities delivered as a result of in-kind redemptions of the fund’s capital shares. |
2 | Not applicable—purchases and sales are for temporary cash investment purposes. |
3 | Includes securities of $24,422,950,000 and unrealized appreciation of $7,205,789,000 related to the acquisition of the Vanguard Institutional Target Retirement 2050 Fund. See Note G. |
I. | Management has determined that no events or transactions occurred subsequent to March 31, 2022, that would require recognition or disclosure in these financial statements. |
Vanguard Total Stock Market Index Fund Institutional Plus Shares | 54.4% |
Vanguard Total International Stock Index Fund Investor Shares | 36.0 |
Vanguard Total Bond Market II Index Fund Investor Shares | 6.6 |
Vanguard Total International Bond II Index Fund Institutional Shares | 3.0 |
Shares | Market Value• ($000) | |||||
Investment Companies (98.3%) | ||||||
U.S. Stock Fund (53.5%) | ||||||
Vanguard Total Stock Market Index Fund Institutional Plus Shares | 83,739,532 | 17,401,912 | ||||
International Stock Fund (35.4%) | ||||||
Vanguard Total International Stock Index Fund Investor Shares | 600,297,778 | 11,507,708 | ||||
U.S. Bond Fund (6.5%) | ||||||
1 | Vanguard Total Bond Market II Index Fund Investor Shares | 204,753,093 | 2,115,100 | |||
International Bond Fund (2.9%) | ||||||
1 | Vanguard Total International Bond II Index Fund Institutional Shares | 33,625,964 | 941,191 | |||
Total Investment Companies (Cost $24,131,216) | 31,965,911 | |||||
Temporary Cash Investments (1.6%) | ||||||
Money Market Fund (1.6%) | ||||||
1 | Vanguard Market Liquidity Fund, 0.312% (Cost $512,919) | 5,129,999 | 512,948 | |||
Total Investments (99.9%) (Cost $24,644,135) | 32,478,859 | |||||
Other Assets and Liabilities—Net (0.1%) | 18,167 | |||||
Net Assets (100%) | 32,497,026 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Affiliated fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown for Vanguard Market Liquidity Fund is the 7-day yield. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
10-Year U.S. Treasury Note | June 2022 | 1,841 | 226,213 | (4,936) |
E-mini S&P 500 Index | June 2022 | 1,266 | 286,796 | 21,388 |
16,452 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value—Affiliated Funds (Cost $24,644,135) | 32,478,859 |
Cash Collateral Pledged—Futures Contracts | 18,139 |
Receivables for Accrued Income | 5,622 |
Receivables for Capital Shares Issued | 73,359 |
Total Assets | 32,575,979 |
Liabilities | |
Payables for Investment Securities Purchased | 48,930 |
Payables for Capital Shares Redeemed | 26,353 |
Variation Margin Payable—Futures Contracts | 3,670 |
Total Liabilities | 78,953 |
Net Assets | 32,497,026 |
At March 31, 2022, net assets consisted of: | |
Paid-in Capital | 24,502,885 |
Total Distributable Earnings (Loss) | 7,994,141 |
Net Assets | 32,497,026 |
Net Assets | |
Applicable to 659,786,870 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 32,497,026 |
Net Asset Value Per Share | $49.25 |
Six Months Ended March 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Income Distributions Received from Affiliated Funds | 179,037 |
Net Investment Income—Note B | 179,037 |
Realized Net Gain (Loss) | |
Capital Gain Distributions Received from Affiliated Funds | 4,933 |
Affiliated Funds Sold1 | 129,784 |
Futures Contracts | (16,218) |
Realized Net Gain (Loss) | 118,499 |
Change in Unrealized Appreciation (Depreciation) | |
Affiliated Funds | (375,607) |
Futures Contracts | 19,969 |
Change in Unrealized Appreciation (Depreciation) | (355,638) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (58,102) |
1 | Includes $9,356,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended March 31, 2022 | Year Ended September 30, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 179,037 | 237,123 | |
Realized Net Gain (Loss) | 118,499 | 883,852 | |
Change in Unrealized Appreciation (Depreciation) | (355,638) | 2,135,918 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (58,102) | 3,256,893 | |
Distributions | |||
Total Distributions | (1,181,452) | (263,084) | |
Capital Share Transactions | |||
Issued | 2,758,100 | 3,618,989 | |
Issued in Connection with Acquisition of Vanguard Institutional Target Retirement 2055 Fund—Note G | 19,001,359 | — | |
Issued in Lieu of Cash Distributions | 1,145,310 | 258,127 | |
Redeemed | (1,684,656) | (7,255,587) | |
Net Increase (Decrease) from Capital Share Transactions | 21,220,113 | (3,378,471) | |
Total Increase (Decrease) | 19,980,559 | (384,662) | |
Net Assets | |||
Beginning of Period | 12,516,467 | 12,901,129 | |
End of Period | 32,497,026 | 12,516,467 |
For a Share Outstanding Throughout Each Period | Six Months Ended March 31, 2022 | Year Ended September 30, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $54.38 | $44.08 | $40.84 | $40.95 | $37.98 | $33.15 |
Investment Operations | ||||||
Net Investment Income1 | .517 | .868 | .862 | .929 | .868 | .796 |
Capital Gain Distributions Received1 | .014 | .034 | — | — | .001 | .002 |
Net Realized and Unrealized Gain (Loss) on Investments | (.422) | 10.295 | 3.307 | (.209) | 2.819 | 4.688 |
Total from Investment Operations | .109 | 11.197 | 4.169 | .720 | 3.688 | 5.486 |
Distributions | ||||||
Dividends from Net Investment Income | (1.099) | (.791) | (.929) | (.830) | (.718) | (.654) |
Distributions from Realized Capital Gains | (4.140) | (.106) | — | — | — | (.002) |
Total Distributions | (5.239) | (.897) | (.929) | (.830) | (.718) | (.656) |
Net Asset Value, End of Period | $49.25 | $54.38 | $44.08 | $40.84 | $40.95 | $37.98 |
Total Return2 | -0.36% | 25.61% | 10.25% | 2.09% | 9.79% | 16.86% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $32,497 | $12,516 | $12,901 | $10,202 | $8,011 | $5,600 |
Ratio of Total Expenses to Average Net Assets | — | — | — | — | — | — |
Acquired Fund Fees and Expenses | 0.11% | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 2.02% | 1.68% | 2.09% | 2.37% | 2.18% | 2.26% |
Portfolio Turnover Rate | 4% 3 | 6% | 8% | 3% | 5% | 5% |
The expense ratio, acquired fund fees and expenses, and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. The FSA provides that expenses otherwise allocable to Vanguard funds-of-funds may be reduced or eliminated to the extent of savings realized by the underlying Vanguard funds by virtue of being part of a fund-of-funds. Accordingly, all expenses for services provided by Vanguard to the fund and all other expenses incurred by the fund during the period ended March 31, 2022, were borne by the underlying Vanguard funds in which the fund invests. The fund's trustees and officers are also trustees and officers, respectively, of the underlying Vanguard funds, as well as directors and employees, respectively, of Vanguard. |
C. | The fund’s SEC registrant (the Vanguard Chester Funds (the “Trust”)), certain officers and trustees of the Trust, and The Vanguard Group Inc. (collectively, the “Defendants”) were named in putative class action lawsuits filed in 2022 by certain investors (the “Plaintiffs”) in the U.S. District Court for the Eastern District of Pennsylvania. The Plaintiffs assert claims for breach of fiduciary duty, gross negligence, breach of the covenant of good faith and fair dealing, unjust enrichment, and violation of certain state consumer protection laws; they allege that the Defendants improperly decided to lower minimum investment limits in 2020 for the Trust’s Institutional Target Retirement funds for certain smaller retirement plan participants, which purportedly harmed certain investors in taxable accounts. The Plaintiffs seek damages and various other forms of relief. The Defendants do not agree with these allegations and claims and intend to vigorously defend against them. |
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. |
E. | As of March 31, 2022, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 24,660,837 |
Gross Unrealized Appreciation | 8,202,962 |
Gross Unrealized Depreciation | (368,488) |
Net Unrealized Appreciation (Depreciation) | 7,834,474 |
F. | Capital shares issued and redeemed were: |
Six Months Ended March 31, 2022 | Year Ended September 30, 2021 | ||
Shares (000) | Shares (000) | ||
Issued | 54,524 | 70,481 | |
Issued in Connection with Acquisition of Vanguard Institutional Target Retirement 2055 Fund—Note G | 384,955 | — | |
Issued in Lieu of Cash Distributions | 21,903 | 5,241 | |
Redeemed | (31,775) | (138,217) | |
Net Increase (Decrease) in Shares Outstanding | 429,607 | (62,495) |
G. | On February 11, 2022, the Vanguard Target Retirement 2055 Fund acquired all the net assets of Vanguard Institutional Target Retirement 2055 Fund (the “Acquired Fund”) pursuant to a plan of reorganization approved by the funds' board of trustees in September 2021. The acquisition was accomplished by a tax-free exchange of 384,955,000 shares of Vanguard Target Retirement 2055 Fund for the 590,471,000 shares of the Acquired Fund outstanding on February 11, 2022. The Acquired Fund's net assets of $19,001,359,000, including $3,713,220,000 of unrealized appreciation, were combined with Vanguard Target Retirement 2055 Fund's net assets of $12,651,876,000, resulting in combined net assets of $31,653,235,000 on February 11, 2022. |
Amount ($000) | |
Net Investment Income | 346,625 |
Realized Net Gain (Loss) | 352,558 |
Change in Unrealized Appreciation (Depreciation) | (773,983) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (74,800) |
Current Period Transactions | ||||||||
Sep. 30, 2021 Market Value ($000) | Purchases at Cost ($000) | Proceeds from Securities Sold1 ($000) | Realized Net Gain (Loss) ($000) | Change in Unrealized App. (Dep.) ($000) | Income ($000) | Capital Gain Distributions Received ($000) | Mar. 31, 2022 Market Value ($000) | |
Vanguard Market Liquidity Fund | 161,357 | NA 2 | NA 2 | (13) | 8 | 160 | 3 | 512,948 |
Vanguard Total Bond Market II Index Fund | 799,183 | 1,515,898 | 69,290 | (3,926) | (126,765) | 10,493 | 2,707 | 2,115,100 |
Vanguard Total International Bond Index Fund | 344,485 | 10,203 | 340,619 | 27 | (14,096) | 7,981 | 2,223 | — |
Vanguard Total International Bond II Index Fund | 25,166 | 973,484 | 6,510 | (161) | (50,788) | 1,128 | — | 941,191 |
Vanguard Total International Stock Index Fund | 4,515,341 | 6,888,553 | 39,764 | 2,987 | 140,591 | 81,879 | — | 11,507,708 |
Vanguard Total Stock Market Index Fund | 6,673,388 | 7,544,957 | 335,966 | 130,870 | 3,388,663 | 77,396 | — | 17,401,912 |
Total | 12,518,920 | 16,933,095 3 | 792,149 | 129,784 | 3,337,613 3 | 179,037 | 4,933 | 32,478,859 |
1 | Includes $17,000,000 of portfolio securities delivered as a result of in-kind redemptions of the fund’s capital shares. |
2 | Not applicable—purchases and sales are for temporary cash investment purposes. |
3 | Includes securities of $15,255,042,000 and unrealized appreciation of $3,713,220,000 related to the acquisition of the Vanguard Institutional Target Retirement 2055 Fund. See Note G. |
I. | Management has determined that no events or transactions occurred subsequent to March 31, 2022, that would require recognition or disclosure in these financial statements. |
Vanguard Total Stock Market Index Fund Institutional Plus Shares | 54.3% |
Vanguard Total International Stock Index Fund Investor Shares | 36.1 |
Vanguard Total Bond Market II Index Fund Investor Shares | 6.7 |
Vanguard Total International Bond II Index Fund Institutional Shares | 2.9 |
Shares | Market Value• ($000) | |||||
Investment Companies (98.4%) | ||||||
U.S. Stock Fund (53.4%) | ||||||
Vanguard Total Stock Market Index Fund Institutional Plus Shares | 39,870,577 | 8,285,505 | ||||
International Stock Fund (35.6%) | ||||||
Vanguard Total International Stock Index Fund Investor Shares | 287,910,818 | 5,519,250 | ||||
U.S. Bond Fund (6.5%) | ||||||
1 | Vanguard Total Bond Market II Index Fund Investor Shares | 98,487,583 | 1,017,377 | |||
International Bond Fund (2.9%) | ||||||
1 | Vanguard Total International Bond II Index Fund Institutional Shares | 16,027,979 | 448,623 | |||
Total Investment Companies (Cost $12,027,828) | 15,270,755 | |||||
Temporary Cash Investments (1.5%) | ||||||
Money Market Fund (1.5%) | ||||||
1 | Vanguard Market Liquidity Fund, 0.312% (Cost $241,264) | 2,413,046 | 241,280 | |||
Total Investments (99.9%) (Cost $12,269,092) | 15,512,035 | |||||
Other Assets and Liabilities—Net (0.1%) | 11,173 | |||||
Net Assets (100%) | 15,523,208 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Affiliated fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown for Vanguard Market Liquidity Fund is the 7-day yield. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
10-Year U.S. Treasury Note | June 2022 | 885 | 108,744 | (2,364) |
E-mini S&P 500 Index | June 2022 | 606 | 137,282 | 10,238 |
7,874 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value—Affiliated Funds (Cost $12,269,092) | 15,512,035 |
Cash Collateral Pledged—Futures Contracts | 8,695 |
Receivables for Accrued Income | 2,680 |
Receivables for Capital Shares Issued | 38,042 |
Total Assets | 15,561,452 |
Liabilities | |
Payables for Investment Securities Purchased | 20,715 |
Payables for Capital Shares Redeemed | 15,773 |
Variation Margin Payable—Futures Contracts | 1,756 |
Total Liabilities | 38,244 |
Net Assets | 15,523,208 |
At March 31, 2022, net assets consisted of: | |
Paid-in Capital | 12,233,012 |
Total Distributable Earnings (Loss) | 3,290,196 |
Net Assets | 15,523,208 |
Net Assets | |
Applicable to 342,568,726 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 15,523,208 |
Net Asset Value Per Share | $45.31 |
Six Months Ended March 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Income Distributions Received from Affiliated Funds | 91,133 |
Net Investment Income—Note B | 91,133 |
Realized Net Gain (Loss) | |
Capital Gain Distributions Received from Affiliated Funds | 2,421 |
Affiliated Funds Sold1 | 21,680 |
Futures Contracts | (8,057) |
Realized Net Gain (Loss) | 16,044 |
Change in Unrealized Appreciation (Depreciation) | |
Affiliated Funds | (146,757) |
Futures Contracts | 9,554 |
Change in Unrealized Appreciation (Depreciation) | (137,203) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (30,026) |
1 | Includes $1,574,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended March 31, 2022 | Year Ended September 30, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 91,133 | 118,277 | |
Realized Net Gain (Loss) | 16,044 | 234,932 | |
Change in Unrealized Appreciation (Depreciation) | (137,203) | 1,205,875 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (30,026) | 1,559,084 | |
Distributions | |||
Total Distributions | (376,437) | (125,887) | |
Capital Share Transactions | |||
Issued | 1,833,942 | 2,345,567 | |
Issued in Connection with Acquisition of Vanguard Institutional Target Retirement 2060 Fund—Note G | 7,948,750 | — | |
Issued in Lieu of Cash Distributions | 363,769 | 122,717 | |
Redeemed | (874,838) | (3,270,018) | |
Net Increase (Decrease) from Capital Share Transactions | 9,271,623 | (801,734) | |
Total Increase (Decrease) | 8,865,160 | 631,463 | |
Net Assets | |||
Beginning of Period | 6,658,048 | 6,026,585 | |
End of Period | 15,523,208 | 6,658,048 |
For a Share Outstanding Throughout Each Period | Six Months Ended March 31, 2022 | Year Ended September 30, | ||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net Asset Value, Beginning of Period | $48.04 | $38.95 | $36.07 | $36.16 | $33.51 | $29.25 |
Investment Operations | ||||||
Net Investment Income1 | .471 | .773 | .762 | .822 | .768 | .708 |
Capital Gain Distributions Received1 | .013 | .029 | — | — | — | .002 |
Net Realized and Unrealized Gain (Loss) on Investments | (.492) | 9.085 | 2.922 | (.192) | 2.495 | 4.126 |
Total from Investment Operations | (.008) | 9.887 | 3.684 | .630 | 3.263 | 4.836 |
Distributions | ||||||
Dividends from Net Investment Income | (.936) | (.684) | (.804) | (.717) | (.613) | (.574) |
Distributions from Realized Capital Gains | (1.786) | (.113) | — | (.003) | — | (.002) |
Total Distributions | (2.722) | (.797) | (.804) | (.720) | (.613) | (.576) |
Net Asset Value, End of Period | $45.31 | $48.04 | $38.95 | $36.07 | $36.16 | $33.51 |
Total Return2 | -0.35% | 25.60% | 10.25% | 2.07% | 9.81% | 16.84% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $15,523 | $6,658 | $6,027 | $4,359 | $3,240 | $2,081 |
Ratio of Total Expenses to Average Net Assets | — | — | — | — | — | — |
Acquired Fund Fees and Expenses | 0.12% | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% |
Ratio of Net Investment Income to Average Net Assets | 2.02% | 1.69% | 2.09% | 2.37% | 2.19% | 2.28% |
Portfolio Turnover Rate | 3% 3 | 8% | 6% | 2% | 3% | 4% |
The expense ratio, acquired fund fees and expenses, and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. The FSA provides that expenses otherwise allocable to Vanguard funds-of-funds may be reduced or eliminated to the extent of savings realized by the underlying Vanguard funds by virtue of being part of a fund-of-funds. Accordingly, all expenses for services provided by Vanguard to the fund and all other expenses incurred by the fund during the period ended March 31, 2022, were borne by the underlying Vanguard funds in which the fund invests. The fund's trustees and officers are also trustees and officers, respectively, of the underlying Vanguard funds, as well as directors and employees, respectively, of Vanguard. |
C. | The fund’s SEC registrant (the Vanguard Chester Funds (the “Trust”)), certain officers and trustees of the Trust, and The Vanguard Group Inc. (collectively, the “Defendants”) were named in putative class action lawsuits filed in 2022 by certain investors (the “Plaintiffs”) in the U.S. District Court for the Eastern District of Pennsylvania. The Plaintiffs assert claims for breach of fiduciary duty, gross negligence, breach of the covenant of good faith and fair dealing, unjust enrichment, and violation of certain state consumer protection laws; they allege that the Defendants improperly decided to lower minimum investment limits in 2020 for the Trust’s Institutional Target Retirement funds for certain smaller retirement plan participants, which purportedly harmed certain investors in taxable accounts. The Plaintiffs seek damages and various other forms of relief. The Defendants do not agree with these allegations and claims and intend to vigorously defend against them. |
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. |
E. | As of March 31, 2022, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 12,276,179 |
Gross Unrealized Appreciation | 3,437,613 |
Gross Unrealized Depreciation | (193,883) |
Net Unrealized Appreciation (Depreciation) | 3,243,730 |
F. | Capital shares issued and redeemed were: |
Six Months Ended March 31, 2022 | Year Ended September 30, 2021 | ||
Shares (000) | Shares (000) | ||
Issued | 39,703 | 51,610 | |
Issued in Connection with Acquisition of Vanguard Institutional Target Retirement 2060 Fund—Note G | 175,083 | — | |
Issued in Lieu of Cash Distributions | 7,561 | 2,820 | |
Redeemed | (18,378) | (70,564) | |
Net Increase (Decrease) in Shares Outstanding | 203,969 | (16,134) |
G. | On February 11, 2022, the Vanguard Target Retirement 2060 Fund acquired all the net assets of Vanguard Institutional Target Retirement 2060 Fund (the “Acquired Fund”) pursuant to a plan of reorganization approved by the funds' board of trustees in September 2021. The acquisition was accomplished by a tax-free exchange of 175,083,000 shares of Vanguard Target Retirement 2060 Fund for the 246,473,000 shares of the Acquired Fund outstanding on February 11, 2022. The Acquired Fund's net assets of $7,948,750,000, including $1,257,329,000 of unrealized appreciation, were combined with Vanguard Target Retirement 2060 Fund's net assets of $6,986,111,000, resulting in combined net assets of $14,934,861,000 on February 11, 2022. |
Amount ($000) | |
Net Investment Income | 162,250 |
Realized Net Gain (Loss) | 137,322 |
Change in Unrealized Appreciation (Depreciation) | (344,004) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (44,432) |
Current Period Transactions | ||||||||
Sep. 30, 2021 Market Value ($000) | Purchases at Cost ($000) | Proceeds from Securities Sold1 ($000) | Realized Net Gain (Loss) ($000) | Change in Unrealized App. (Dep.) ($000) | Income ($000) | Capital Gain Distributions Received ($000) | Mar. 31, 2022 Market Value ($000) | |
Vanguard Market Liquidity Fund | 86,143 | NA 2 | NA 2 | (6) | 5 | 79 | 2 | 241,280 |
Vanguard Total Bond Market II Index Fund | 433,205 | 697,091 | 46,270 | (2,135) | (64,514) | 5,413 | 1,387 | 1,017,377 |
Vanguard Total International Bond Index Fund | 159,910 | 4,737 | 158,116 | (1,205) | (5,326) | 3,705 | 1,032 | — |
Vanguard Total International Bond II Index Fund | 26,582 | 445,956 | 90 | (3) | (23,822) | 604 | — | 448,623 |
Vanguard Total International Stock Index Fund | 2,398,266 | 3,159,292 | 6,974 | 266 | (31,600) | 42,954 | — | 5,519,250 |
Vanguard Total Stock Market Index Fund | 3,556,910 | 3,551,093 | 83,090 | 24,763 | 1,235,829 | 38,378 | — | 8,285,505 |
Total | 6,661,016 | 7,858,169 3 | 294,540 | 21,680 | 1,110,572 3 | 91,133 | 2,421 | 15,512,035 |
1 | Includes $3,000,000 of portfolio securities delivered as a result of in-kind redemptions of the fund’s capital shares. |
2 | Not applicable—purchases and sales are for temporary cash investment purposes. |
3 | Includes securities of $6,668,081,000 and unrealized appreciation of $1,257,329,000 related to the acquisition of the Vanguard Institutional Target Retirement 2060 Fund. See Note G. |
I. | Management has determined that no events or transactions occurred subsequent to March 31, 2022, that would require recognition or disclosure in these financial statements. |
Vanguard Total Stock Market Index Fund Institutional Plus Shares | 53.8% |
Vanguard Total International Stock Index Fund Investor Shares | 36.6 |
Vanguard Total Bond Market II Index Fund Investor Shares | 6.7 |
Vanguard Total International Bond II Index Fund Institutional Shares | 2.9 |
Shares | Market Value• ($000) | |||||
Investment Companies (98.5%) | ||||||
U.S. Stock Fund (53.0%) | ||||||
Vanguard Total Stock Market Index Fund Institutional Plus Shares | 8,342,820 | 1,733,721 | ||||
International Stock Fund (36.0%) | ||||||
Vanguard Total International Stock Index Fund Investor Shares | 61,515,897 | 1,179,261 | ||||
U.S. Bond Fund (6.6%) | ||||||
1 | Vanguard Total Bond Market II Index Fund Investor Shares | 21,028,928 | 217,229 | |||
International Bond Fund (2.9%) | ||||||
1 | Vanguard Total International Bond II Index Fund Institutional Shares | 3,329,850 | 93,202 | |||
Total Investment Companies (Cost $2,813,236) | 3,223,413 | |||||
Temporary Cash Investments (1.5%) | ||||||
Money Market Fund (1.5%) | ||||||
1 | Vanguard Market Liquidity Fund, 0.312% (Cost $48,416) | 484,228 | 48,418 | |||
Total Investments (100.0%) (Cost $2,861,652) | 3,271,831 | |||||
Other Assets and Liabilities—Net (0.0%) | (499) | |||||
Net Assets (100%) | 3,271,332 |
Cost is in $000. |
• | See Note A in Notes to Financial Statements. |
1 | Affiliated fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown for Vanguard Market Liquidity Fund is the 7-day yield. |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
10-Year U.S. Treasury Note | June 2022 | 179 | 21,995 | (476) |
E-mini S&P 500 Index | June 2022 | 123 | 27,864 | 2,078 |
1,602 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value—Affiliated Funds (Cost $2,861,652) | 3,271,831 |
Cash Collateral Pledged—Futures Contracts | 1,770 |
Receivables for Accrued Income | 563 |
Receivables for Capital Shares Issued | 9,561 |
Total Assets | 3,283,725 |
Liabilities | |
Payables for Investment Securities Purchased | 10,097 |
Payables for Capital Shares Redeemed | 1,939 |
Variation Margin Payable—Futures Contracts | 357 |
Total Liabilities | 12,393 |
Net Assets | 3,271,332 |
At March 31, 2022, net assets consisted of: | |
Paid-in Capital | 2,855,003 |
Total Distributable Earnings (Loss) | 416,329 |
Net Assets | 3,271,332 |
Net Assets | |
Applicable to 110,343,363 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 3,271,332 |
Net Asset Value Per Share | $29.65 |
Six Months Ended March 31, 2022 | |
($000) | |
Investment Income | |
Income | |
Income Distributions Received from Affiliated Funds | 20,044 |
Net Investment Income—Note B | 20,044 |
Realized Net Gain (Loss) | |
Capital Gain Distributions Received from Affiliated Funds | 487 |
Affiliated Funds Sold | (1,397) |
Futures Contracts | (1,935) |
Realized Net Gain (Loss) | (2,845) |
Change in Unrealized Appreciation (Depreciation) | |
Affiliated Funds | (28,821) |
Futures Contracts | 2,100 |
Change in Unrealized Appreciation (Depreciation) | (26,721) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (9,522) |
Six Months Ended March 31, 2022 | Year Ended September 30, 2021 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 20,044 | 21,055 | |
Realized Net Gain (Loss) | (2,845) | 3,422 | |
Change in Unrealized Appreciation (Depreciation) | (26,721) | 217,888 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (9,522) | 242,365 | |
Distributions | |||
Total Distributions | (30,464) | (16,724) | |
Capital Share Transactions | |||
Issued | 684,320 | 855,105 | |
Issued in Connection with Acquisition of Vanguard Institutional Target Retirement 2065 Fund—Note G | 1,399,373 | — | |
Issued in Lieu of Cash Distributions | 28,723 | 16,018 | |
Redeemed | (231,410) | (530,659) | |
Net Increase (Decrease) from Capital Share Transactions | 1,881,006 | 340,464 | |
Total Increase (Decrease) | 1,841,020 | 566,105 | |
Net Assets | |||
Beginning of Period | 1,430,312 | 864,207 | |
End of Period | 3,271,332 | 1,430,312 |
For a Share Outstanding Throughout Each Period | Six Months Ended March 31, 2022 | Year Ended September 30, | July 12, 20171 to September 30, 2017 | |||
2021 | 2020 | 2019 | 2018 | |||
Net Asset Value, Beginning of Period | $30.31 | $24.52 | $22.69 | $22.64 | $20.79 | $20.00 |
Investment Operations | ||||||
Net Investment Income2 | .307 | .500 | .485 | .529 | .524 | .150 |
Capital Gain Distributions Received2 | .007 | .017 | — | — | — | — |
Net Realized and Unrealized Gain (Loss) on Investments | (.368) | 5.712 | 1.802 | (.116) | 1.496 | .640 |
Total from Investment Operations | (.054) | 6.229 | 2.287 | .413 | 2.020 | .790 |
Distributions | ||||||
Dividends from Net Investment Income | (.535) | (.400) | (.457) | (.363) | (.170) | — |
Distributions from Realized Capital Gains | (.071) | (.039) | — | .000 3 | — | — |
Total Distributions | (.606) | (.439) | (.457) | (.363) | (.170) | — |
Net Asset Value, End of Period | $29.65 | $30.31 | $24.52 | $22.69 | $22.64 | $20.79 |
Total Return4 | -0.29% | 25.59% | 10.11% | 2.09% | 9.75% | 3.95% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,271 | $1,430 | $864 | $420 | $202 | $19 |
Ratio of Total Expenses to Average Net Assets | — | — | — | — | — | — |
Acquired Fund Fees and Expenses | 0.12% | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% 5 |
Ratio of Net Investment Income to Average Net Assets | 2.04% | 1.72% | 2.11% | 2.42% | 2.37% | 3.30% 5 |
Portfolio Turnover Rate | 2% | 5% | 6% | 2% | 1% | 29% |
The expense ratio, acquired fund fees and expenses, and net investment income ratio for the current period have been annualized. |
1 | Inception. |
2 | Calculated based on average shares outstanding. |
3 | Distribution was less than $.001 per share. |
4 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
5 | Annualized. |
A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
B. | In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. The FSA provides that expenses otherwise allocable to Vanguard funds-of-funds may be reduced or eliminated to the extent of savings realized by the underlying Vanguard funds by virtue of being part of a fund-of-funds. Accordingly, all expenses for services provided by Vanguard to the fund and all other expenses incurred by the fund during the period ended March 31, 2022, were borne by the underlying Vanguard funds in which the fund invests. The fund's trustees and officers are also trustees and officers, respectively, of the underlying Vanguard funds, as well as directors and employees, respectively, of Vanguard. |
C. | The fund’s SEC registrant (the Vanguard Chester Funds (the “Trust”)), certain officers and trustees of the Trust, and The Vanguard Group Inc. (collectively, the “Defendants”) were named in putative class action lawsuits filed in 2022 by certain investors (the “Plaintiffs”) in the U.S. District Court for the Eastern District of Pennsylvania. The Plaintiffs assert claims for breach of fiduciary duty, gross negligence, breach of the covenant of good faith and fair dealing, unjust enrichment, and violation of certain state consumer protection laws; they allege that the Defendants improperly decided to lower minimum investment limits in 2020 for the Trust’s Institutional Target Retirement funds for certain smaller retirement plan participants, which purportedly harmed certain investors in taxable accounts. The Plaintiffs seek damages and various other forms of relief. The Defendants do not agree with these allegations and claims and intend to vigorously defend against them. |
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. |
E. | As of March 31, 2022, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows: |
Amount ($000) | |
Tax Cost | 2,865,142 |
Gross Unrealized Appreciation | 469,830 |
Gross Unrealized Depreciation | (61,539) |
Net Unrealized Appreciation (Depreciation) | 408,291 |
F. | Capital shares issued and redeemed were: |
Six Months Ended March 31, 2022 | Year Ended September 30, 2021 | ||
Shares (000) | Shares (000) | ||
Issued | 22,763 | 29,600 | |
Issued in Connection with Acquisition of Vanguard Institutional Target Retirement 2065 Fund—Note G | 47,117 | — | |
Issued in Lieu of Cash Distributions | 913 | 584 | |
Redeemed | (7,633) | (18,250) | |
Net Increase (Decrease) in Shares Outstanding | 63,160 | 11,934 |
G. | On February 11, 2022, the Vanguard Target Retirement 2065 Fund acquired all the net assets of Vanguard Institutional Target Retirement 2065 Fund (the “Acquired Fund”) pursuant to a plan of reorganization approved by the funds' board of trustees in September 2021. The acquisition was accomplished by a tax-free exchange of 47,117,000 shares of Vanguard Target Retirement 2065 Fund for the 47,101,000 shares of the Acquired Fund outstanding on February 11, 2022. The Acquired Fund's net assets of $1,399,373,000, including $146,955,000 of unrealized appreciation, were combined with Vanguard Target Retirement 2065 Fund's net assets of $1,667,328,000, resulting in combined net assets of $3,066,701,000 on February 11, 2022. |
Amount ($000) | |
Net Investment Income | 32,126 |
Realized Net Gain (Loss) | 7,951 |
Change in Unrealized Appreciation (Depreciation) | (57,607) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (17,530) |
Current Period Transactions | ||||||||
Sep. 30, 2021 Market Value ($000) | Purchases at Cost ($000) | Proceeds from Securities Sold ($000) | Realized Net Gain (Loss) ($000) | Change in Unrealized App. (Dep.) ($000) | Income ($000) | Capital Gain Distributions Received ($000) | Mar. 31, 2022 Market Value ($000) | |
Vanguard Market Liquidity Fund | 20,579 | NA 1 | NA 1 | (2) | 2 | 18 | 1 | 48,418 |
Vanguard Total Bond Market II Index Fund | 98,064 | 142,256 | 9,000 | (377) | (13,714) | 1,200 | 307 | 217,229 |
Vanguard Total International Bond Index Fund | 27,697 | 820 | 27,386 | (966) | (165) | 642 | 179 | — |
Vanguard Total International Bond II Index Fund | 8,163 | 89,930 | — | — | (4,891) | 143 | — | 93,202 |
Vanguard Total International Stock Index Fund | 513,012 | 694,782 | 1,092 | (28) | (27,413) | 9,816 | — | 1,179,261 |
Vanguard Total Stock Market Index Fund | 761,415 | 809,248 | 1,233 | (24) | 164,315 | 8,225 | — | 1,733,721 |
Total | 1,428,930 | 1,737,036 2 | 38,711 | (1,397) | 118,134 2 | 20,044 | 487 | 3,271,831 |
1 | Not applicable—purchases and sales are for temporary cash investment purposes. |
2 | Includes securities of $1,253,008,000 and unrealized appreciation of $146,955,000 related to the acquisition of the Vanguard Institutional Target Retirement 2065 Fund. See Note G. |
I. | Management has determined that no events or transactions occurred subsequent to March 31, 2022, that would require recognition or disclosure in these financial statements. |
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Item 2: Code of Ethics.
Not applicable.
Item 3: Audit Committee Financial Expert.
Not applicable.
Item 4: Principal Accountant Fees and Services.
Not applicable.
Item 5: Audit Committee of Listed Registrants.
Not applicable.
Item 6: Investments.
Not applicable. The complete schedule of investments is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in the Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13: Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications filed herewith. |
(b) | Certifications filed herewith. |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Vanguard Chester Funds |
BY: | /s/ MORTIMER J. BUCKLEY* | |
MORTIMER J. BUCKLEY | ||
CHIEF EXECUTIVE OFFICER |
Date: May 19, 2022
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
Vanguard Chester Funds |
BY: | /s/ MORTIMER J. BUCKLEY* | |
MORTIMER J. BUCKLEY | ||
CHIEF EXECUTIVE OFFICER |
Date: May 19, 2022
Vanguard Chester Funds |
BY: | /s/ CHRISTINE BUCHANAN* | |
CHRISTINE BUCHANAN | ||
CHIEF FINANCIAL OFFICER |
Date: May 19, 2022
* By: | /s/ Anne E. Robinson |
Anne E. Robinson, pursuant to a Power of Attorney filed on November 29, 2021 (see File Number 33-64845), a Power of Attorney filed on October 12, 2021 (see File Number 33-23444), and a Power of Attorney filed on August 26, 2021 (see file Number 811-02652), Incorporated by Reference.