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: 811-06093
Name of Registrant: | Vanguard Institutional Index 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: December 31
Date of reporting period: January 1, 2021—June 30, 2021
Item 1: Reports to Shareholders
About Your Fund’s Expenses | 1 |
Financial Statements | 4 |
Trustees Approve Advisory Arrangement | 22 |
Liquidity Risk Management | 24 |
• | 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 June 30, 2021 | |||
Beginning Account Value 12/31/2020 | Ending Account Value 6/30/2021 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Institutional Index Fund | |||
Institutional Shares | $1,000.00 | $1,152.40 | $0.19 |
Institutional Plus Shares | 1,000.00 | 1,152.50 | 0.11 |
Based on Hypothetical 5% Yearly Return | |||
Institutional Shares | $1,000.00 | $1,024.62 | $0.18 |
Institutional Plus Shares | 1,000.00 | 1,024.70 | 0.10 |
Communication Services | 11.2% |
Consumer Discretionary | 12.3 |
Consumer Staples | 5.8 |
Energy | 2.8 |
Financials | 11.3 |
Health Care | 13.0 |
Industrials | 8.6 |
Information Technology | 27.4 |
Materials | 2.6 |
Real Estate | 2.6 |
Utilities | 2.4 |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini S&P 500 Index | September 2021 | 5,319 | 1,140,553 | 10,789 |
Over-the-Counter Total Return Swaps | ||||||
Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Floating Interest Rate Received (Paid)1 (%) | Value and Unrealized Appreciation ($000) | Value and Unrealized (Depreciation) ($000) |
Clorox Co. | 1/31/22 | GSI | 43,380 | (0.082) | 1,596 | — |
Consolidated Edison Inc. | 8/31/21 | BOANA | 35,860 | (0.486) | 372 | — |
State Street Corp. | 8/31/22 | BOANA | 57,596 | (0.586) | 335 | — |
Williams Cos. Inc. | 8/31/21 | BOANA | 39,825 | (0.486) | 600 | — |
2,903 | — |
1 | Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly. |
1M—1-month. | |
BOANA—Bank of America, N.A. | |
GSI—Goldman Sachs International. |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $100,806,655) | 286,467,980 |
Affiliated Issuers (Cost $933,369) | 933,369 |
Total Investments in Securities | 287,401,349 |
Investment in Vanguard | 9,824 |
Cash | 1,040 |
Cash Collateral Pledged—Futures Contracts | 47,950 |
Cash Collateral Pledged—Over-the-Counter Swap Contracts | 5,300 |
Receivables for Investment Securities Sold | 471,607 |
Receivables for Accrued Income | 166,309 |
Receivables for Capital Shares Issued | 247,248 |
Variation Margin Receivable—Futures Contracts | 1,424 |
Unrealized Appreciation—Over-the-Counter Swap Contracts | 2,903 |
Total Assets | 288,354,954 |
Liabilities | |
Payables for Investment Securities Purchased | 6,173 |
Collateral for Securities on Loan | 15,500 |
Payables for Capital Shares Redeemed | 547,881 |
Payables to Vanguard | 3,108 |
Total Liabilities | 572,662 |
Net Assets | 287,782,292 |
At June 30, 2021, net assets consisted of: | |
Paid-in Capital | 95,285,219 |
Total Distributable Earnings (Loss) | 192,497,073 |
Net Assets | 287,782,292 |
Institutional Shares—Net Assets | |
Applicable to 333,485,248 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 125,183,804 |
Net Asset Value Per Share—Institutional Shares | $375.38 |
Institutional Plus Shares—Net Assets | |
Applicable to 433,139,024 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 162,598,488 |
Net Asset Value Per Share—Institutional Plus Shares | $375.40 |
Six Months Ended June 30, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 1,889,038 |
Interest1 | 417 |
Securities Lending—Net | 1,604 |
Total Income | 1,891,059 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 2,844 |
Management and Administrative—Institutional Shares | 18,290 |
Management and Administrative—Institutional Plus Shares | 11,923 |
Marketing and Distribution—Institutional Shares | 1,242 |
Marketing and Distribution—Institutional Plus Shares | 786 |
Custodian Fees | 518 |
Shareholders’ Reports—Institutional Shares | 273 |
Shareholders’ Reports—Institutional Plus Shares | 370 |
Trustees’ Fees and Expenses | 34 |
Total Expenses | 36,280 |
Net Investment Income | 1,854,779 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 6,723,087 |
Futures Contracts | 168,116 |
Swap Contracts | 4,112 |
Realized Net Gain (Loss) | 6,895,315 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 30,077,723 |
Futures Contracts | (2,940) |
Swap Contracts | 7,278 |
Change in Unrealized Appreciation (Depreciation) | 30,082,061 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 38,832,155 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $411,000, $81,000, and ($81,000), respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $2,310,004,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended June 30, 2021 | Year Ended December 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 1,854,779 | 4,282,979 | |
Realized Net Gain (Loss) | 6,895,315 | 8,788,933 | |
Change in Unrealized Appreciation (Depreciation) | 30,082,061 | 27,825,102 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 38,832,155 | 40,897,014 | |
Distributions | |||
Institutional Shares | (2,093,949) | (3,751,166) | |
Institutional Plus Shares | (2,585,559) | (4,332,922) | |
Total Distributions | (4,679,508) | (8,084,088) | |
Capital Share Transactions | |||
Institutional Shares | (9,164,946) | (12,893,969) | |
Institutional Plus Shares | 1,608,832 | (906,093) | |
Net Increase (Decrease) from Capital Share Transactions | (7,556,114) | (13,800,062) | |
Total Increase (Decrease) | 26,596,533 | 19,012,864 | |
Net Assets | |||
Beginning of Period | 261,185,759 | 242,172,895 | |
End of Period | 287,782,292 | 261,185,759 |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2021 | Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $331.47 | $290.23 | $227.55 | $243.46 | $203.83 | $186.62 |
Investment Operations | ||||||
Net Investment Income | 2.3801 | 5.2611 | 5.2031 | 5.0591 | 4.3791 | 4.210 |
Net Realized and Unrealized Gain (Loss) on Investments | 47.597 | 46.122 | 65.746 | (15.434) | 39.687 | 17.814 |
Total from Investment Operations | 49.977 | 51.383 | 70.949 | (10.375) | 44.066 | 22.024 |
Distributions | ||||||
Dividends from Net Investment Income | (2.484) | (5.273) | (5.550) | (4.837) | (4.436) | (4.223) |
Distributions from Realized Capital Gains | (3.583) | (4.870) | (2.719) | (.698) | — | (.591) |
Total Distributions | (6.067) | (10.143) | (8.269) | (5.535) | (4.436) | (4.814) |
Net Asset Value, End of Period | $375.38 | $331.47 | $290.23 | $227.55 | $243.46 | $203.83 |
Total Return | 15.24% | 18.39% | 31.46% | -4.42% | 21.79% | 11.93% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $125,184 | $119,012 | $116,814 | $104,296 | $140,591 | $120,014 |
Ratio of Total Expenses to Average Net Assets | 0.035% | 0.035% | 0.035% | 0.035% | 0.04% | 0.04% |
Ratio of Net Investment Income to Average Net Assets | 1.39% | 1.83% | 1.98% | 2.03% | 1.96% | 2.19% |
Portfolio Turnover Rate2 | 2% | 4% | 4% | 6% | 5% | 5% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
Institutional Plus Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2021 | Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $331.48 | $290.25 | $227.57 | $243.48 | $203.84 | $186.63 |
Investment Operations | ||||||
Net Investment Income | 2.4041 | 5.3101 | 5.2521 | 5.1671 | 4.4141 | 4.248 |
Net Realized and Unrealized Gain (Loss) on Investments | 47.609 | 46.108 | 65.739 | (15.503) | 39.705 | 17.814 |
Total from Investment Operations | 50.013 | 51.418 | 70.991 | (10.336) | 44.119 | 22.062 |
Distributions | ||||||
Dividends from Net Investment Income | (2.509) | (5.318) | (5.592) | (4.876) | (4.479) | (4.261) |
Distributions from Realized Capital Gains | (3.584) | (4.870) | (2.719) | (.698) | — | (.591) |
Total Distributions | (6.093) | (10.188) | (8.311) | (5.574) | (4.479) | (4.852) |
Net Asset Value, End of Period | $375.40 | $331.48 | $290.25 | $227.57 | $243.48 | $203.84 |
Total Return | 15.25% | 18.41% | 31.48% | -4.41% | 21.82% | 11.95% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $162,598 | $142,174 | $125,359 | $95,707 | $91,567 | $91,481 |
Ratio of Total Expenses to Average Net Assets | 0.02% | 0.02% | 0.02% | 0.02% | 0.02% | 0.02% |
Ratio of Net Investment Income to Average Net Assets | 1.40% | 1.84% | 1.99% | 2.05% | 1.98% | 2.21% |
Portfolio Turnover Rate2 | 2% | 4% | 4% | 6% | 5% | 5% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | 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 and are generally settled twice a month. |
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 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 286,467,980 | — | — | 286,467,980 |
Temporary Cash Investments | 933,369 | — | — | 933,369 |
Total | 287,401,349 | — | — | 287,401,349 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 10,789 | — | — | 10,789 |
Swap Contracts | — | 2,903 | — | 2,903 |
Total | 10,789 | 2,903 | — | 13,692 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | As of June 30, 2021, 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 | 101,784,622 |
Gross Unrealized Appreciation | 189,389,802 |
Gross Unrealized Depreciation | (3,762,286) |
Net Unrealized Appreciation (Depreciation) | 185,627,516 |
E. | During the six months ended June 30, 2021, the fund purchased $4,495,888,000 of investment securities and sold $14,259,561,000 of investment securities, other than temporary cash investments. Purchases and sales include $69,375,000 and $3,204,149,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended June 30, 2021 | Year Ended December 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Institutional Shares | |||||
Issued | 7,912,462 | 22,544 | 16,030,122 | 57,378 | |
Issued in Lieu of Cash Distributions | 1,934,575 | 5,604 | 3,469,785 | 12,450 | |
Redeemed | (19,011,983) | (53,703) | (32,393,876) | (113,270) | |
Net Increase (Decrease)—Institutional Shares | (9,164,946) | (25,555) | (12,893,969) | (43,442) | |
Institutional Plus Shares | |||||
Issued | 14,671,534 | 41,538 | 20,850,601 | 73,122 | |
Issued in Lieu of Cash Distributions | 2,489,147 | 7,203 | 4,174,182 | 14,912 | |
Redeemed | (15,551,849) | (44,503) | (25,930,876) | (91,033) | |
Net Increase (Decrease)—Institutional Plus Shares | 1,608,832 | 4,238 | (906,093) | (2,999) |
G. | Management has determined that no events or transactions occurred subsequent to June 30, 2021, that would require recognition or disclosure in these financial statements. |
About Your Fund’s Expenses | 1 |
Financial Statements | 4 |
Trustees Approve Advisory Arrangement | 53 |
Liquidity Risk Management | 55 |
• | 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 June 30, 2021 | |||
Beginning Account Value 12/31/2020 | Ending Account Value 6/30/2021 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Institutional Total Stock Market Index Fund | |||
Institutional Shares | $1,000.00 | $1,152.80 | $0.16 |
Institutional Plus Shares | 1,000.00 | 1,152.60 | 0.11 |
Based on Hypothetical 5% Yearly Return | |||
Institutional Shares | $1,000.00 | $1,024.65 | $0.15 |
Institutional Plus Shares | 1,000.00 | 1,024.70 | 0.10 |
Basic Materials | 2.0% |
Consumer Discretionary | 16.0 |
Consumer Staples | 4.7 |
Energy | 2.9 |
Financials | 11.2 |
Health Care | 13.1 |
Industrials | 13.9 |
Real Estate | 3.5 |
Technology | 27.1 |
Telecommunications | 3.0 |
Utilities | 2.6 |
Other | 0.0 |
Futures Contracts | ||||
($000) | ||||
Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
Long Futures Contracts | ||||
E-mini Russell 2000 Index | September 2021 | 125 | 14,424 | (143) |
E-mini S&P 500 Index | September 2021 | 811 | 173,903 | 1,979 |
E-mini S&P Mid-Cap 400 Index | September 2021 | 30 | 8,077 | (161) |
1,675 |
($000s, except shares and per-share amounts) | Amount |
Assets | |
Investments in Securities, at Value | |
Unaffiliated Issuers (Cost $13,093,977) | 35,399,977 |
Affiliated Issuers (Cost $244,950) | 244,975 |
Total Investments in Securities | 35,644,952 |
Investment in Vanguard | 1,225 |
Cash | 12,388 |
Cash Collateral Pledged—Futures Contracts | 9,418 |
Receivables for Investment Securities Sold | 25,563 |
Receivables for Accrued Income | 23,223 |
Receivables for Capital Shares Issued | 11,909 |
Variation Margin Receivable—Futures Contracts | 266 |
Total Assets | 35,728,944 |
Liabilities | |
Due to Custodian | 19,317 |
Payables for Investment Securities Purchased | 5,119 |
Collateral for Securities on Loan | 108,754 |
Payables for Capital Shares Redeemed | 7,267 |
Payables to Vanguard | 294 |
Total Liabilities | 140,751 |
Net Assets | 35,588,193 |
At June 30, 2021, net assets consisted of: | |
Paid-in Capital | 11,966,691 |
Total Distributable Earnings (Loss) | 23,621,502 |
Net Assets | 35,588,193 |
Institutional Shares—Net Assets | |
Applicable to 8,727,724 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 739,554 |
Net Asset Value Per Share—Institutional Shares | $84.74 |
Institutional Plus Shares—Net Assets | |
Applicable to 411,380,525 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 34,848,639 |
Net Asset Value Per Share—Institutional Plus Shares | $84.71 |
Six Months Ended June 30, 2021 | |
($000) | |
Investment Income | |
Income | |
Dividends | 213,839 |
Interest1 | 46 |
Securities Lending—Net | 2,463 |
Total Income | 216,348 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,263 |
Management and Administrative—Institutional Shares | 60 |
Management and Administrative—Institutional Plus Shares | 1,694 |
Marketing and Distribution—Institutional Shares | 10 |
Marketing and Distribution—Institutional Plus Shares | 160 |
Custodian Fees | 151 |
Shareholders’ Reports—Institutional Shares | 6 |
Shareholders’ Reports—Institutional Plus Shares | 101 |
Trustees’ Fees and Expenses | 4 |
Total Expenses | 3,449 |
Net Investment Income | 212,899 |
Realized Net Gain (Loss) | |
Investment Securities Sold1,2 | 1,317,760 |
Futures Contracts | 25,395 |
Realized Net Gain (Loss) | 1,343,155 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities1 | 3,325,435 |
Futures Contracts | (1,173) |
Change in Unrealized Appreciation (Depreciation) | 3,324,262 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,880,316 |
1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $46,000, $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
2 | Includes $392,277,000 of net gain (loss) resulting from in-kind redemptions. |
Six Months Ended June 30, 2021 | Year Ended December 31, 2020 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 212,899 | 643,942 | |
Realized Net Gain (Loss) | 1,343,155 | 8,850,195 | |
Change in Unrealized Appreciation (Depreciation) | 3,324,262 | (2,905,850) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,880,316 | 6,588,287 | |
Distributions | |||
Institutional Shares | (4,323) | (35,557) | |
Institutional Plus Shares | (212,536) | (1,661,023) | |
Return of Capital | |||
Institutional Shares | — | (41,549) | |
Institutional Plus Shares | — | (1,940,947) | |
Total Distributions | (216,859) | (3,679,076) | |
Capital Share Transactions | |||
Institutional Shares | (41,282) | (130,393) | |
Institutional Plus Shares | (1,803,398) | (11,368,319) | |
Net Increase (Decrease) from Capital Share Transactions | (1,844,680) | (11,498,712) | |
Total Increase (Decrease) | 2,818,777 | (8,589,501) | |
Net Assets | |||
Beginning of Period | 32,769,416 | 41,358,917 | |
End of Period | 35,588,193 | 32,769,416 |
Institutional Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2021 | Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $73.97 | $68.66 | $54.09 | $59.47 | $50.34 | $45.94 |
Investment Operations | ||||||
Net Investment Income | .4901 | 1.1711 | 1.1821 | 1.1781 | 1.0131 | 1.009 |
Net Realized and Unrealized Gain (Loss) on Investments | 10.780 | 12.690 | 15.381 | (4.186) | 9.542 | 4.789 |
Total from Investment Operations | 11.270 | 13.861 | 16.563 | (3.008) | 10.555 | 5.798 |
Distributions | ||||||
Dividends from Net Investment Income | (.500) | (1.325) | (1.245) | (1.185) | (1.025) | (1.016) |
Distributions from Realized Capital Gains | — | (2.541) | (.748) | (1.187) | (.400) | (.382) |
Distributions from Return of Capital | — | (4.685) | — | — | — | — |
Total Distributions | (.500) | (8.551) | (1.993) | (2.372) | (1.425) | (1.398) |
Net Asset Value, End of Period | $84.74 | $73.97 | $68.66 | $54.09 | $59.47 | $50.34 |
Total Return | 15.28% | 20.99% | 30.86% | -5.15% | 21.13% | 12.75% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $740 | $682 | $722 | $494 | $692 | $664 |
Ratio of Total Expenses to Average Net Assets | 0.03% | 0.03% | 0.03% | 0.03% | 0.04% | 0.04% |
Ratio of Net Investment Income to Average Net Assets | 1.28% | 1.72% | 1.87% | 1.94% | 1.85% | 2.08% |
Portfolio Turnover Rate2 | 3% | 11% | 5% | 7% | 7% | 8% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
Institutional Plus Shares | ||||||
For a Share Outstanding Throughout Each Period | Six Months Ended June 30, 2021 | Year Ended December 31, | ||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net Asset Value, Beginning of Period | $73.96 | $68.66 | $54.09 | $59.47 | $50.35 | $45.95 |
Investment Operations | ||||||
Net Investment Income | .4921 | 1.1431 | 1.1821 | 1.1911 | 1.0281 | 1.021 |
Net Realized and Unrealized Gain (Loss) on Investments | 10.761 | 12.715 | 15.387 | (4.193) | 9.528 | 4.788 |
Total from Investment Operations | 11.253 | 13.858 | 16.569 | (3.002) | 10.556 | 5.809 |
Distributions | ||||||
Dividends from Net Investment Income | (.503) | (1.326) | (1.251) | (1.191) | (1.036) | (1.027) |
Distributions from Realized Capital Gains | — | (2.543) | (.748) | (1.187) | (.400) | (.382) |
Distributions from Return of Capital | — | (4.689) | — | — | — | — |
Total Distributions | (.503) | (8.558) | (1.999) | (2.378) | (1.436) | (1.409) |
Net Asset Value, End of Period | $84.71 | $73.96 | $68.66 | $54.09 | $59.47 | $50.35 |
Total Return | 15.26% | 20.99% | 30.88% | -5.14% | 21.13% | 12.77% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $34,849 | $32,088 | $40,637 | $33,250 | $42,862 | $36,648 |
Ratio of Total Expenses to Average Net Assets | 0.02% | 0.02% | 0.02% | 0.02% | 0.02% | 0.02% |
Ratio of Net Investment Income to Average Net Assets | 1.29% | 1.69% | 1.88% | 1.95% | 1.87% | 2.10% |
Portfolio Turnover Rate2 | 3% | 11% | 5% | 7% | 7% | 8% |
The expense ratio and net investment income ratio for the current period have been annualized. |
1 | Calculated based on average shares outstanding. |
2 | 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 and are generally settled twice a month. |
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 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
Investments | ||||
Assets | ||||
Common Stocks | 35,399,468 | 55 | 441 | 35,399,964 |
Corporate Bonds | — | 9 | — | 9 |
Preferred Stock | 4 | — | — | 4 |
Temporary Cash Investments | 244,975 | — | — | 244,975 |
Total | 35,644,447 | 64 | 441 | 35,644,952 |
Derivative Financial Instruments | ||||
Assets | ||||
Futures Contracts1 | 1,979 | — | — | 1,979 |
Liabilities | ||||
Futures Contracts1 | 304 | — | — | 304 |
1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
D. | As of June 30, 2021, 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 | 13,354,976 |
Gross Unrealized Appreciation | 23,107,295 |
Gross Unrealized Depreciation | (815,645) |
Net Unrealized Appreciation (Depreciation) | 22,291,650 |
E. | During the six months ended June 30, 2021, the fund purchased $978,407,000 of investment securities and sold $2,139,568,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $548,868,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
F. | Capital share transactions for each class of shares were: |
Six Months Ended June 30, 2021 | Year Ended December 31, 2020 | ||||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
Institutional Shares | |||||
Issued | 92,398 | 1,189 | 206,134 | 3,340 | |
Issued in Lieu of Cash Distributions | 3,105 | 39 | 55,101 | 785 | |
Redeemed | (136,785) | (1,715) | (391,628) | (5,419) | |
Net Increase (Decrease)—Institutional Shares | (41,282) | (487) | (130,393) | (1,294) | |
Institutional Plus Shares | |||||
Issued | 2,159,093 | 26,648 | 5,537,354 | 86,814 | |
Issued in Lieu of Cash Distributions | 198,874 | 2,485 | 3,379,392 | 48,473 | |
Redeemed | (4,161,365) | (51,600) | (20,285,065) | (293,331) | |
Net Increase (Decrease)—Institutional Plus Shares | (1,803,398) | (22,467) | (11,368,319) | (158,044) |
G. | Management has determined that no events or transactions occurred subsequent to June 30, 2021, that would require recognition or disclosure in these financial statements. |
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 field 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 INSTITUTIONAL INDEX FUNDS
BY: | /s/ MORTIMER J. BUCKLEY* | |
MORTIMER J. BUCKLEY | ||
CHIEF EXECUTIVE OFFICER |
Date: August 19, 2021
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 INSTITUTIONAL INDEX FUNDS
BY: | /s/ MORTIMER J. BUCKLEY* | |
MORTIMER J. BUCKLEY | ||
CHIEF EXECUTIVE OFFICER |
Date: August 19, 2021
VANGUARD INSTiTUTIONAL INDEX FUNDS
BY: | /s/ JOHN BENDL* | |
JOHN BENDL | ||
CHIEF FINANCIAL OFFICER |
Date: August 19, 2021
* By: /s/ Anne E. Robinson
Anne E. Robinson, pursuant to a Power of Attorney filed on August 26, 2021 (see file Number 811-02652), Incorporated by Reference.
Exhibit 99.CERT
CERTIFICATIONS
I, Mortimer J. Buckley, certify that:
1. I have reviewed this report on Form N-CSR of Vanguard Institutional Index Funds;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: August 19, 2021
/s/ Mortimer J. Buckley | |
Mortimer J. Buckley | |
Chief Executive Officer |
CERTIFICATIONS
I, John Bendl, certify that:
1. I have reviewed this report on Form N-CSR of Vanguard Institutional Index Funds;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: August 19, 2021
/s/ John Bendl | |
John Bendl | |
Chief Financial Officer |
Exhibit 99.906CERT
Certification Pursuant to 18 U.S.C. Section 1350,
As Adopted Pursuant to
Section 906 of the Sarbanes-Oxley Act of 2002
Name of Issuer: Vanguard Institutional Index Funds
In connection with the Report on Form N-CSR of the above-named issuer that is accompanied by this certification, the undersigned hereby certifies, to his knowledge, that:
1. | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the issuer. |
Date: August 19, 2021
/s/ Mortimer J. Buckley | |
Mortimer J. Buckley | |
Chief Executive Officer |
Certification Pursuant to 18 U.S.C. Section 1350,
As Adopted Pursuant to
Section 906 of the Sarbanes-Oxley Act of 2002
Name of Issuer: Vanguard Institutional Index Funds
In connection with the Report on Form N-CSR of the above-named issuer that is accompanied by this certification, the undersigned hereby certifies, to his knowledge, that:
1. | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the issuer. |
Date: August 19, 2021
/s/ John Bendl | |
John Bendl | |
Chief Financial Officer |