N-Q 1 morgangrowth_final.htm morgangrowth_final.htm - Generated by SEC Publisher for SEC Filing

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT COMPANY

Investment Company Act file number: 811-01685

Name of Registrant: Vanguard Morgan Growth Fund

Address of Registrant:
P.O. Box 2600
Valley Forge, PA 19482

Name and address of agent for service:
Heidi Stam, Esquire
P.O. Box 876
Valley Forge, PA 19482

Date of fiscal year end: September 30

Date of reporting period: June 30, 2015

Item 1: Schedule of Investments


Vanguard Morgan Growth Fund    
 
 
 
Schedule of Investments    
As of June 30, 2015    
 
      Market
      Value
    Shares ($000)
Common Stocks (98.2%)1    
Consumer Discretionary (20.1%)    
* Amazon.com Inc. 512,070 222,284
  Home Depot Inc. 1,371,804 152,449
* O'Reilly Automotive Inc. 499,801 112,945
  Comcast Corp. Class A 1,647,059 99,054
  Lowe's Cos. Inc. 1,401,535 93,861
  NIKE Inc. Class B 827,767 89,415
* Netflix Inc. 134,369 88,272
* Priceline Group Inc. 72,144 83,064
  TJX Cos. Inc. 1,233,458 81,618
  Starbucks Corp. 1,293,788 69,366
  Ross Stores Inc. 1,383,792 67,266
  Wyndham Worldwide Corp. 717,316 58,755
* Chipotle Mexican Grill Inc. Class A 90,526 54,767
  Expedia Inc. 472,600 51,679
*,^ Tesla Motors Inc. 192,092 51,531
  Marriott International Inc. Class A 682,245 50,752
* Under Armour Inc. Class A 558,974 46,641
  Inditex SA ADR 2,779,704 45,115
* LKQ Corp. 1,334,142 40,351
  Advance Auto Parts Inc. 253,282 40,345
  PulteGroup Inc. 1,973,812 39,772
  Dunkin' Brands Group Inc. 672,405 36,982
  Walt Disney Co. 306,800 35,018
* Hilton Worldwide Holdings Inc. 1,235,879 34,048
* JD.com Inc. ADR 764,086 26,055
  Dollar General Corp. 286,606 22,281
  Wolverine World Wide Inc. 717,635 20,438
  Scripps Networks Interactive Inc. Class A 291,089 19,028
* Urban Outfitters Inc. 519,085 18,168
* Michaels Cos. Inc. 672,745 18,104
* Ulta Salon Cosmetics & Fragrance Inc. 116,915 18,058
  Tractor Supply Co. 191,440 17,218
  Whirlpool Corp. 96,549 16,708
  Brunswick Corp. 312,727 15,905
* Jarden Corp. 302,747 15,667
  BorgWarner Inc. 270,060 15,350
  Harman International Industries Inc. 128,887 15,330
  DSW Inc. Class A 457,855 15,279
  CBS Corp. Class B 273,600 15,185
* IMAX Corp. 371,734 14,970
  L Brands Inc. 165,392 14,179
  Hanesbrands Inc. 412,260 13,737
  Carter's Inc. 124,935 13,281
* Discovery Communications Inc. 415,495 12,914
  Starwood Hotels & Resorts Worldwide Inc. 158,090 12,820
  Service Corp. International 424,275 12,486
  GNC Holdings Inc. Class A 280,431 12,474
  Delphi Automotive plc 138,900 11,819
* Bright Horizons Family Solutions Inc. 194,226 11,226

 

 

Comcast Corp. Special Class A 186,500 11,179
* Vipshop Holdings Ltd. ADR 471,953 10,501
* Discovery Communications Inc. Class A 310,053 10,312
Macy's Inc. 147,800 9,972
* DISH Network Corp. Class A 141,600 9,588
Harley-Davidson Inc. 168,715 9,507
* lululemon athletica Inc. 136,002 8,881
* Toll Brothers Inc. 232,100 8,864
* NVR Inc. 6,600 8,844
* Sirius XM Holdings Inc. 2,276,900 8,493
* Dollar Tree Inc. 105,071 8,300
Wynn Resorts Ltd. 83,258 8,215
Cablevision Systems Corp. Class A 337,000 8,068
* CarMax Inc. 120,525 7,980
* AutoZone Inc. 11,100 7,403
Royal Caribbean Cruises Ltd. 81,300 6,397
* DIRECTV 66,400 6,161
Foot Locker Inc. 84,100 5,636
Goodyear Tire & Rubber Co. 170,500 5,141
* MGM Resorts International 276,484 5,046
Twenty-First Century Fox Inc. 136,700 4,404
Gap Inc. 80,600 3,077
Time Warner Inc. 32,700 2,858
Twenty-First Century Fox Inc. Class A 84,800 2,760
* Liberty Global plc 35,101 1,777
Aramark 22,100 684
    2,324,078
Consumer Staples (5.2%)    
Costco Wholesale Corp. 907,029 122,503
Mondelez International Inc. Class A 1,993,212 82,001
CVS Health Corp. 768,771 80,629
* Monster Beverage Corp. 501,504 67,211
Estee Lauder Cos. Inc. Class A 551,198 47,767
Anheuser-Busch InBev NV ADR 373,882 45,116
Colgate-Palmolive Co. 476,191 31,148
* Hain Celestial Group Inc. 241,100 15,879
PepsiCo Inc. 158,600 14,804
Brown-Forman Corp. Class B 135,343 13,559
Kroger Co. 177,400 12,863
* United Natural Foods Inc. 187,614 11,947
Sysco Corp. 251,116 9,065
Coty Inc. Class A 275,100 8,795
Clorox Co. 82,500 8,581
^ Pilgrim's Pride Corp. 341,400 7,842
Mead Johnson Nutrition Co. 71,881 6,485
Altria Group Inc. 124,000 6,065
Walgreens Boots Alliance Inc. 34,200 2,888
Hormel Foods Corp. 26,800 1,511
    596,659
Energy (1.8%)    
Cabot Oil & Gas Corp. 1,240,352 39,121
Baker Hughes Inc. 374,116 23,083
* Cameron International Corp. 346,820 18,163
Schlumberger Ltd. 198,400 17,100
* Carrizo Oil & Gas Inc. 332,670 16,381
Core Laboratories NV 104,475 11,914

 

 

* Weatherford International plc 883,980 10,846
* Gulfport Energy Corp. 256,615 10,329
* Continental Resources Inc. 230,879 9,787
* FMC Technologies Inc. 216,300 8,974
Valero Energy Corp. 136,700 8,557
Tesoro Corp. 97,400 8,222
Plains GP Holdings LP Class A 303,500 7,842
* Southwestern Energy Co. 300,070 6,821
Superior Energy Services Inc. 240,685 5,064
* InterOil Corp. 82,081 4,941
    207,145
Financials (5.6%)    
Moody's Corp. 494,024 53,335
Goldman Sachs Group Inc. 239,919 50,093
Morgan Stanley 1,280,776 49,681
Bank of America Corp. 2,565,995 43,673
Intercontinental Exchange Inc. 191,528 42,828
Public Storage 229,324 42,280
JPMorgan Chase & Co. 560,717 37,994
American International Group Inc. 566,884 35,045
Aon plc 271,124 27,026
Raymond James Financial Inc. 410,141 24,436
American Tower Corporation 248,755 23,206
Citigroup Inc. 365,000 20,163
* Signature Bank 125,349 18,350
* Affiliated Managers Group Inc. 83,265 18,202
American Express Co. 225,250 17,506
* E*TRADE Financial Corp. 566,258 16,959
Waddell & Reed Financial Inc. Class A 312,816 14,799
T. Rowe Price Group Inc. 177,455 13,794
Ameriprise Financial Inc. 80,400 10,044
Allied World Assurance Co. Holdings AG 223,634 9,665
WisdomTree Investments Inc. 403,491 8,863
Northern Trust Corp. 114,900 8,785
Voya Financial Inc. 179,000 8,318
Simon Property Group Inc. 46,100 7,976
* Berkshire Hathaway Inc. Class B 56,400 7,677
* SVB Financial Group 50,480 7,268
Health Care REIT Inc. 92,000 6,038
Legg Mason Inc. 98,700 5,086
General Growth Properties Inc. 191,000 4,901
* Realogy Holdings Corp. 90,400 4,224
Jones Lang LaSalle Inc. 24,300 4,155
Kilroy Realty Corp. 49,900 3,351
Prologis Inc. 45,500 1,688
Ventas Inc. 23,700 1,472
Crown Castle International Corp. 9,700 779
    649,660
Health Care (21.4%)    
Gilead Sciences Inc. 1,934,276 226,465
* Biogen Inc. 380,597 153,738
Bristol-Myers Squibb Co. 2,164,213 144,007
* Celgene Corp. 1,043,501 120,770
* Allergan plc 368,543 111,838
Amgen Inc. 719,643 110,480
* BioMarin Pharmaceutical Inc. 744,394 101,818

 

 

* Vertex Pharmaceuticals Inc. 761,332 94,009
Aetna Inc. 727,658 92,747
Merck & Co. Inc. 1,403,434 79,897
* Illumina Inc. 346,759 75,718
Eli Lilly & Co. 804,079 67,133
Medtronic plc 850,627 63,031
* Alexion Pharmaceuticals Inc. 341,464 61,726
CR Bard Inc. 337,649 57,637
Becton Dickinson and Co. 381,755 54,076
Zimmer Biomet Holdings Inc. 408,031 44,569
Novo Nordisk A/S ADR 778,928 42,654
Cardinal Health Inc. 486,065 40,659
Shire plc ADR 167,905 40,547
* HCA Holdings Inc. 392,315 35,591
* Centene Corp. 430,468 34,610
Cooper Cos. Inc. 189,063 33,648
Johnson & Johnson 320,328 31,219
AstraZeneca plc ADR 448,605 28,581
Anthem Inc. 166,384 27,310
* Varian Medical Systems Inc. 321,904 27,146
* Medivation Inc. 237,494 27,122
AbbVie Inc. 357,100 23,994
Perrigo Co. plc 129,652 23,964
* Cerner Corp. 333,696 23,045
Agilent Technologies Inc. 592,810 22,871
UnitedHealth Group Inc. 182,700 22,289
Zoetis Inc. 458,450 22,106
Thermo Fisher Scientific Inc. 149,190 19,359
ResMed Inc. 318,895 17,976
* Incyte Corp. 168,175 17,526
* Mylan NV 242,292 16,442
* MEDNAX Inc. 215,334 15,958
Universal Health Services Inc. Class B 110,358 15,682
* PAREXEL International Corp. 224,101 14,412
Cigna Corp. 88,300 14,305
HealthSouth Corp. 289,067 13,314
* Express Scripts Holding Co. 146,855 13,061
* Sirona Dental Systems Inc. 124,725 12,525
* Align Technology Inc. 190,075 11,920
* Mallinckrodt plc 100,360 11,814
Humana Inc. 58,826 11,252
* Edwards Lifesciences Corp. 76,800 10,939
* DexCom Inc. 132,748 10,617
* Akorn Inc. 239,815 10,470
* Mettler-Toledo International Inc. 30,500 10,415
* Quintiles Transnational Holdings Inc. 133,100 9,664
* United Therapeutics Corp. 54,700 9,515
* Alkermes plc 141,332 9,093
* Jazz Pharmaceuticals plc 44,730 7,876
* Molina Healthcare Inc. 95,735 6,730
AmerisourceBergen Corp. Class A 45,400 4,828
McKesson Corp. 21,200 4,766
Abbott Laboratories 86,200 4,231
* Charles River Laboratories International Inc. 42,000 2,954
    2,474,659
Industrials (8.3%)    
Boeing Co. 922,253 127,935

 

 

Honeywell International Inc. 791,700 80,730
United Parcel Service Inc. Class B 599,405 58,088
* TransDigm Group Inc. 257,268 57,800
Danaher Corp. 523,621 44,817
Rockwell Automation Inc. 249,394 31,084
JB Hunt Transport Services Inc. 359,497 29,511
* IHS Inc. Class A 226,319 29,111
* Stericycle Inc. 203,529 27,255
Wabtec Corp. 246,002 23,183
Equifax Inc. 218,041 21,170
AMETEK Inc. 380,583 20,848
Pentair plc 296,920 20,413
American Airlines Group Inc. 494,175 19,735
Cintas Corp. 227,600 19,253
Carlisle Cos. Inc. 181,405 18,162
* United Rentals Inc. 201,195 17,629
3M Co. 104,000 16,047
Fastenal Co. 362,025 15,270
Lockheed Martin Corp. 79,400 14,760
* Spirit Airlines Inc. 229,048 14,224
Roper Technologies Inc. 78,976 13,620
* Copart Inc. 357,436 12,682
Snap-on Inc. 78,810 12,551
MSC Industrial Direct Co. Inc. Class A 163,680 11,420
Acuity Brands Inc. 62,875 11,316
Delta Air Lines Inc. 268,100 11,014
Illinois Tool Works Inc. 119,400 10,960
Southwest Airlines Co. 324,200 10,728
* United Continental Holdings Inc. 199,600 10,581
* Armstrong World Industries Inc. 188,595 10,048
CEB Inc. 113,695 9,898
PACCAR Inc. 151,800 9,686
* Hertz Global Holdings Inc. 522,880 9,475
KAR Auction Services Inc. 246,643 9,224
Expeditors International of Washington Inc. 196,245 9,048
Alaska Air Group Inc. 139,100 8,962
Flowserve Corp. 162,795 8,573
Watsco Inc. 68,080 8,424
Masco Corp. 304,300 8,116
Donaldson Co. Inc. 226,330 8,103
* Quanta Services Inc. 252,975 7,291
Robert Half International Inc. 118,200 6,560
Huntington Ingalls Industries Inc. 54,400 6,125
B/E Aerospace Inc. 107,873 5,922
* Kirby Corp. 74,486 5,710
* Verisk Analytics Inc. Class A 76,830 5,590
Union Pacific Corp. 57,000 5,436
Rockwell Collins Inc. 21,400 1,976
Textron Inc. 34,500 1,540
FedEx Corp. 9,000 1,534
Caterpillar Inc. 17,200 1,459
    960,597
Information Technology (31.5%)    
Apple Inc. 4,983,323 625,033
* Facebook Inc. Class A 2,511,988 215,441
* Google Inc. Class C 396,573 206,420
Oracle Corp. 4,631,297 186,641

 

 

Microsoft Corp. 3,754,869 165,778
MasterCard Inc. Class A 1,255,403 117,355
Cisco Systems Inc. 3,836,970 105,363
* Alliance Data Systems Corp. 353,964 103,336
Visa Inc. Class A 1,470,436 98,740
* Salesforce.com inc 1,279,066 89,061
Altera Corp. 1,659,449 84,964
Intuit Inc. 750,197 75,597
* Check Point Software Technologies Ltd. 885,406 70,434
* F5 Networks Inc. 573,529 69,024
* Google Inc. Class A 114,037 61,585
* Alibaba Group Holding Ltd. ADR 700,646 57,642
* Red Hat Inc. 753,478 57,212
QUALCOMM Inc. 882,313 55,259
Paychex Inc. 1,049,783 49,214
* Electronic Arts Inc. 738,999 49,144
* LinkedIn Corp. Class A 233,232 48,193
* Cognizant Technology Solutions Corp. Class A 781,520 47,743
Maxim Integrated Products Inc. 1,364,637 47,182
Broadcom Corp. Class A 889,008 45,775
* eBay Inc. 751,149 45,249
* Adobe Systems Inc. 531,469 43,054
Linear Technology Corp. 923,427 40,843
* Workday Inc. Class A 487,638 37,251
Amphenol Corp. Class A 639,009 37,043
Activision Blizzard Inc. 1,495,505 36,206
Western Digital Corp. 431,158 33,811
Global Payments Inc. 311,082 32,181
Skyworks Solutions Inc. 308,358 32,100
* Fiserv Inc. 379,613 31,443
* Twitter Inc. 859,524 31,132
Microchip Technology Inc. 623,703 29,579
* Splunk Inc. 408,142 28,415
Tencent Holdings Ltd. 1,195,262 23,901
* FireEye Inc. 481,669 23,558
Amdocs Ltd. 429,569 23,450
* Baidu Inc. ADR 117,090 23,310
* FleetCor Technologies Inc. 146,996 22,940
* Fortinet Inc. 542,025 22,402
* NXP Semiconductors NV 218,672 21,474
CDW Corp. 620,041 21,255
FactSet Research Systems Inc. 130,616 21,226
Atmel Corp. 1,947,303 19,191
* Akamai Technologies Inc. 260,295 18,174
Accenture plc Class A 177,700 17,198
* Gartner Inc. 197,832 16,970
Jack Henry & Associates Inc. 246,794 15,968
* Vantiv Inc. Class A 372,348 14,220
* VeriFone Systems Inc. 415,415 14,108
* Rackspace Hosting Inc. 353,300 13,139
Avago Technologies Ltd. Class A 97,752 12,994
Analog Devices Inc. 197,656 12,687
Lam Research Corp. 148,861 12,110
Fair Isaac Corp. 122,642 11,134
Fidelity National Information Services Inc. 176,055 10,880
* Qorvo Inc. 128,314 10,300
CDK Global Inc. 186,422 10,063

 

 

* Flextronics International Ltd.     690,300 7,807
  Jabil Circuit Inc.     327,400 6,970
* Synaptics Inc.     80,139 6,951
* Cadence Design Systems Inc.     329,701 6,482
* Zebra Technologies Corp.     58,360 6,481
  FLIR Systems Inc.     168,455 5,192
* Autodesk Inc.     97,315 4,873
* VMware Inc. Class A     27,800 2,384
* Euronet Worldwide Inc.     29,333 1,810
* LendingClub Corp.     47,019 694
* Fitbit Inc.     16,032 613
          3,653,352
Materials (2.1%)        
  Sherwin-Williams Co.     360,125 99,042
  Monsanto Co.     299,626 31,937
  Ashland Inc.     166,160 20,255
* WR Grace & Co.     161,870 16,235
  PolyOne Corp.     371,070 14,535
  Cytec Industries Inc.     222,087 13,443
  Eagle Materials Inc.     159,897 12,205
  Worthington Industries Inc.     343,295 10,319
  CF Industries Holdings Inc.     139,150 8,945
  Valspar Corp.     99,100 8,108
* Axalta Coating Systems Ltd.     208,000 6,881
  International Flavors & Fragrances Inc.     41,600 4,546
  NewMarket Corp.     3,600 1,598
          248,049
Other (1.0%)        
2 Vanguard Growth ETF     1,044,900 111,857
 
Telecommunication Services (1.2%)        
  Verizon Communications Inc.     1,667,066 77,702
* SBA Communications Corp. Class A     442,938 50,925
  Cogent Communications Holdings Inc.     279,224 9,449
          138,076
Total Common Stocks (Cost $7,826,753)       11,364,132
    Coupon      
Temporary Cash Investments (2.1%)1        
Money Market Fund (1.8%)        
3,4 Vanguard Market Liquidity Fund 0.137%   216,643,763 216,644
 
        Face  
      Maturity Amount  
      Date ($000)  
Repurchase Agreement (0.2%)        
  Bank of America Securities, LLC        
  (Dated 6/30/15, Repurchase Value        
  $22,300,000, collateralized by Federal        
  Farm Credit Bank 3.180%-3.940%,        
  11/15/32-11/13/34, and Federal Home Loan        
  Bank 3.000%-4.700%, 11/8/27-7/25/33,        
  with a value of $22,749,000) 0.120% 7/1/15 22,300 22,300
 
U.S. Government and Agency Obligations (0.1%)        
5,6 Federal Home Loan Bank Discount Notes 0.085% 7/24/15 2,000 2,000

 

 

5,6 Federal Home Loan Bank Discount Notes 0.088%-0.090% 7/31/15 1,700 1,700
5,6 Federal Home Loan Bank Discount Notes 0.090% 9/11/15 3,000 2,999
5,6 Federal Home Loan Bank Discount Notes 0.150% 11/13/15 200 200
6,7 Freddie Mac Discount Notes 0.118% 7/31/15 200 200
        7,099
Total Temporary Cash Investments (Cost $246,043)     246,043
Total Investments (100.3%) (Cost $8,072,796)       11,610,175
Other Assets and Liabilities-Net (-0.3%)3       (31,365)
Net Assets (100%)       11,578,810

 

* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $24,943,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After
giving effect to futures investments, the fund's effective common stock and temporary cash investment positions
represent 98.7% and 1.6%, respectively, of net assets.
2 Considered an affiliated company of the fund as the issuer is another member of The Vanguard Group.
3 Includes $25,140,000 of collateral received for securities on loan.
4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
5 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S.
Treasury nor backed by the full faith and credit of the U.S. government.
6 Securities with a value of $4,299,000 have been segregated as initial margin for open futures contracts.
7 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations
have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as
needed to maintain a positive net worth, in exchange for senior preferred stock.
ADR—American Depositary Receipt.
REIT—Real Estate Investment Trust.

A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the fund's pricing time. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.

B. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund's pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).

 

Morgan Growth Fund

C. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty's default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.

D. Various inputs may be used to determine the value of the fund's investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the market value of the fund's investments as of June 30, 2015, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 11,340,231 23,901 —
Temporary Cash Investments 216,644 29,399 —
Futures Contracts—Assets1 205 — —
Futures Contracts—Liabilities1 (47) — —
Total 11,557,033 53,300 —
1 Represents variation margin on the last day of the reporting period.    

 

E. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund's performance and requires daily settlement of variation margin representing changes in the market value of each contract.

Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).

 

Morgan Growth Fund

At June 30, 2015, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Long Appreciation
Futures Contracts Expiration Contracts (Short)  (Depreciation)
S&P 500 Index September 2015 129 66,254 (799)
E-mini S&P 500 Index September 2015 12 1,233 (1)
        (800)

 

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.

F. At June 30, 2015, the cost of investment securities for tax purposes was $8,072,796,000. Net unrealized appreciation of investment securities for tax purposes was $3,537,379,000, consisting of unrealized gains of $3,649,736,000 on securities that had risen in value since their purchase and $112,357,000 in unrealized losses on securities that had fallen in value since their purchase.


Item 2: 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. During the last fiscal quarter, there was no significant change in the Registrant’s internal control over financial reporting that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3: Exhibits

(a) Certifications

  VANGUARD MORGAN GROWTH FUND
 
By: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER

 

Date: August 18, 2015

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 MORGAN GROWTH FUND
 
By: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
 
Date: August 18, 2015  

 

  VANGUARD MORGAN GROWTH FUND
 
  /s/ THOMAS J. HIGGINS*
  THOMAS J. HIGGINS
  CHIEF FINANCIAL OFFICER
 
Date: August 18, 2015  

 

* By:/s/ Heidi Stam

Heidi Stam, pursuant to a Power of Attorney filed on April 22, 2014 see file Number 2-17620, Incorporated by Reference.