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, 2024, 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, 2023
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, 2024
Market Value
($000) |
| Vanguard Market Liquidity Fund | 348,258 | NA1 | NA1 | 14 | (13) | 11,902 | 2 | 317,478 |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 4,451,843 | 165,609 | 24,952 | (458) | 110,915 | 105,205 | — | 4,702,957 |
| Vanguard Total Bond Market II Index Fund | 12,311,654 | 333,411 | 403,717 | (26,149) | 417,303 | 333,883 | — | 12,632,502 |
| Vanguard Total International Bond II Index Fund | 5,547,306 | 226,010 | 406,161 | (50,388) | 139,254 | 226,010 | — | 5,456,021 |
| Vanguard Total International Stock Index Fund | 6,117,582 | 156,680 | 1,305,186 | 233,179 | 499,503 | 156,680 | — | 5,701,758 |
| Vanguard Total Stock Market Index Fund | 8,977,444 | 189,459 | 2,748,834 | 1,480,783 | 600,283 | 100,738 | — | 8,499,135 |
| Total | 37,754,087 | 1,071,169 | 4,888,850 | 1,636,981 | 1,767,245 | 934,418 | 2 | 37,309,851 |
| 1 | Not applicable—purchases and sales are for temporary cash investment purposes. |
