0001752724-22-200730.txt : 20220829 0001752724-22-200730.hdr.sgml : 20220829 20220829155040 ACCESSION NUMBER: 0001752724-22-200730 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20220630 FILED AS OF DATE: 20220829 DATE AS OF CHANGE: 20220829 PERIOD START: 20220930 FILER: COMPANY DATA: COMPANY CONFORMED NAME: VANGUARD CHESTER FUNDS CENTRAL INDEX KEY: 0000752177 IRS NUMBER: 232311358 FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-04098 FILM NUMBER: 221211093 BUSINESS ADDRESS: STREET 1: PO BOX 2600 STREET 2: V26 CITY: VALLEY FORGE STATE: PA ZIP: 19482 BUSINESS PHONE: 6106691000 MAIL ADDRESS: STREET 1: P.O. BOX 2600 STREET 2: V26 CITY: VALLEY FORGE STATE: PA ZIP: 19482 FORMER COMPANY: FORMER CONFORMED NAME: VANGUARD PRIMECAP FUND/ DATE OF NAME CHANGE: 20011121 FORMER COMPANY: FORMER CONFORMED NAME: VANGUARD/PRIMECAP FUND INC DATE OF NAME CHANGE: 19940608 FORMER COMPANY: FORMER CONFORMED NAME: PRIMECAP FUND INC DATE OF NAME CHANGE: 19920703 0000752177 S000002573 Vanguard Target Retirement 2035 Fund C000007076 Investor Shares VTTHX NPORT-P 1 primary_doc.xml NPORT-P false 0000752177 XXXXXXXX S000002573 C000007076 VANGUARD CHESTER FUNDS 811-04098 0000752177 54930034NOOD3YDKBZ64 100 Vanguard Boulevard Malvern 19355 610-669-1000 VANGUARD TARGET RETIREMENT 2035 FUND S000002573 G1WRFPLZZ155XL7YVZ96 2022-09-30 2022-06-30 N 74327081424.39 24482353.03 74302599071.36 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 N Vanguard Total Bond Market II Index Fund E3F24BZCDA1UXGFMYX67 VANG-TB II-INV 92203C105 1497830787.84400000 NS USD 14663763412.99000000 19.73519580237 Long EC CORP US N 1 N N N N/A N/A S&P500 EMINI FUT Sep22 N/A 2637.00000000 NC USD -13924413.31000000 -0.01874014298 N/A DE N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 Long S&P 500 Index SPX 2022-09-16 513569988.31000000 USD -13924413.31000000 N N N Vanguard Total International Stock Index Fund BF5U5YXM0ZHVXS3F8G71 VANG-TO INT-INV 921909602 1284465907.71900000 NS USD 21219376795.52000000 28.55805457779 Long EC CORP US N 1 N N N Vanguard Total International Bond II Index Fund 549300ROYBGCYUJI4283 VANG-TTL INT-INS 92211J308 244773607.23290000 NS USD 6484052855.60000000 8.726549187563 Long EC CORP US N 1 N N N Vanguard Total Stock Market Index Fund HJ2RZRUQEVF2A5SPRB21 VANG-T ST M-INS+ 922908355 179835543.17120000 NS USD 30953293690.63000000 41.65842659272 Long EC CORP US N 1 N N N Vanguard Cmt Funds-Vanguard Market Liquidity Fund 1I6HV0TLSTR3A4XQ6L78 Vanguard Market Liquidity Fund N/A 9395000.76900000 NS USD 939218226.88000000 1.264044917160 Long STIV CORP US N 1 N N N N/A N/A US 10YR NOTE (CBT)Sep22 N/A 3896.00000000 NC USD -5383094.09000000 -0.00724482609 N/A DIR N/A N 1 MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Long N/A CBOT 10 Year US Treasury Note 2022-09-21 467180844.09000000 USD -5383094.09000000 N N N 2022-08-26 VANGUARD CHESTER FUNDS Ashley Grim Ashley Grim Treasurer XXXX NPORT-EX 2 vg_targetretirement2035.htm
Vanguard® Target Retirement 2035 Fund
Schedule of Investments (unaudited)
As of June 30, 2022
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
          Shares Market
Value
($000)
Investment Companies (98.8%)
U.S. Stock Fund (41.7%)
  Vanguard Total Stock Market Index Fund Institutional Plus Shares   179,750,631 30,938,679
International Stock Fund (28.6%)
  Vanguard Total International Stock Index Fund Investor Shares 1,283,876,115 21,209,633
U.S. Bond Fund (19.8%)
1 Vanguard Total Bond Market II Index Fund Investor Shares 1,498,805,915 14,673,310
International Bond Fund (8.7%)
1 Vanguard Total International Bond II Index Fund Institutional Shares   244,836,606  6,485,722
Total Investment Companies (Cost $60,526,929) 73,307,344
Temporary Cash Investments (1.2%)
Money Market Fund (1.2%)
1 Vanguard Market Liquidity Fund, 1.417% (Cost $915,720)     9,158,828    915,608
Total Investments (100.0%) (Cost $61,442,649)   74,222,952
Other Assets and Liabilities—Net (0.0%)   406
Net Assets (100%)   74,223,358
Cost is in $000.
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.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts 		Notional
Amount 		Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts
10-Year U.S. Treasury Note September 2022 3,896 461,798 (5,383)
E-mini S&P 500 Index September 2022 2,637 499,645 (13,925)
        (19,308)
A. Security Valuation: Investments are valued at the net asset value of each underlying Vanguard fund determined as of the close of the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date.
B. Futures Contracts: The fund uses stock and bond futures contracts to a limited extent, with the objectives of maintaining full exposure to the market and maintaining its target asset allocation. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of investments held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. Fluctuations in the value of the contracts are recorded as an asset (liability).
C.  Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
At June 30, 2022, 100% of the market value of the fund's investments and derivatives was determined based on Level 1 inputs.
D.  Transactions during the period in affiliated underlying Vanguard funds 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) 		Jun. 30, 2022
Market Value
($000)
Vanguard Market Liquidity Fund 481,838 NA1 NA1 (58) (131) 2,173 8 915,608
Vanguard Total Bond Market II Index Fund 6,917,620 10,435,349 853,448 (39,895) (1,786,316) 164,968 20,847 14,673,310
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 7,384,188 248,677 (12,265) (736,023) 20,563 — 6,485,722
Vanguard Total International Stock Index Fund 11,063,975 12,979,860 458,939 91,463 (2,466,726) 429,499 — 21,209,633
Vanguard Total Stock Market Index Fund 16,292,315 13,172,051 1,916,280 1,192,472 2,198,121 295,023 — 30,938,679
Total 37,827,364 44,059,5142 6,417,097 1,274,002 (2,954,790)2 981,111 40,037 74,222,952
1 Not applicable—purchases and sales are for temporary cash investment purposes.
2 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.