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Vanguard Institutional Index Funds – ‘NSAR-B’ for 12/31/08

On: Tuesday, 2/24/09, at 3:03pm ET · Effective: 2/24/09 · For: 12/31/08 · Accession #: 932471-9-781 · File #: 811-06093

  As Of               Filer                 Filing    For·On·As Docs:Size             Issuer                      Filing Agent

 2/24/09  Vanguard Inst’l Index Funds       NSAR-B     12/31/08    4:94K                                    Vanguard Horizon Funds
          → Vanguard Institutional Index Fund ⇒ Institutional Plus Shares (VIIIX) — Institutional Shares (VINIX)
          → Vanguard Institutional Total Bond Market Index Fund ⇒ Institutional Shares (VITBX)
          → Vanguard Institutional Total Stock Market Index Fund ⇒ Institutional Plus Shares (VITPX) — Institutional Shares (VITNX)

Annual Report by an Investment Company — Form N-SAR — ICA’40
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: NSAR-B      Annual Nsar                                           19     77K 
 4: EX-99       Additional Information                                 1      5K 
 3: EX-99       Declaration of Trust                                  22±    85K 
 2: EX-99.77B ACCT LTTR  Pwc Audit Letter                              2±     9K

‘NSAR-B’ — Annual Nsar

SEC Info℠ rendering: Data from the Answer File, which may only contain updates to a prior Form N-SAR

Form N-SAR

Annual Report by an Open-End Investment Company

Report
Registrant: Vanguard Institutional Index Fund — List all N-SARs

Annual Report for the 2nd-half period ended at fiscal year end: 12/31/08

Were there any Answer File errors in the Filing? None FoundNone Found by SEC InfoNot Checked by the FilerOne or more Found by SEC Info
Was the Answer File completed by the Registrant? Yes

Is this an Amendment to a previous Report? No
Is this a change to a previous Report? No
Registrant
1. SEC CIK: 862084
SEC File #: 811-06093

Telephone #: 610-669-1000
2. Address: 100 Vanguard Boulevard
Malvern, PA 19355
3. Is this the first Form N-SAR filed by the Registrant? No
4. Is this the final Form N-SAR filed by the Registrant? No
Funds/Series ↑Top of Form N-SAR
7. Is the Registrant a Funds/Series (multiple portfolios) company? Yes

The number of separate Funds/Series (portfolios) at period end: 3
The number of separate Funds/Series (portfolios) reported here: 3...

N-SAR S# Fund/Series — Filings for F/S#… ⇒ Symbols
↓Information Common to All
↓ Series 1: Vanguard Institutional Index Fund — S#2853 ⇒ VIIIX & VINIX
↓ Series 3: Vanguard Inst. Total Bond Market Index Fund [ renamed
Vanguard Institutional Total Bond Market Index Fund ] — S#2854 ⇒ VITBX
↓ Series 2: Vanguard Inst. Total Stock Market Index Fund [ now
Vanguard Institutional Total Stock Market Index Fund ] — S#2855 ⇒ VITPX & VITNX
Family of Investment Companies
19. Is the Registrant/Series part of a “family” of investment companies? Yes

Total number of registered management investment companies, Series
and portfolios (excluding any Unit Investment Trusts) in the family: 155

The Identification Code of the family for Form N-SAR Filings: VANGUARDGR
Investment Company Type
27. Is the Registrant an “open-end” investment company? Yes, Open-End
Additional Disclosures
77. Did the Registrant file any additional Exhibits with the filing of this
Report (listed here and filed either herewith — as one of the ‘EX-99.*’
↑Exhibits in this Filing — or separately and incorporated by reference)? Yes

EX-99.77B: Accountant’s Report re: Internal Controls? Yes

EX-99.77Q1: Other Disclosure? Yes

EX-99.77Q3: Other Info? Yes
Subsidiaries
78. Does the Registrant have any wholly-owned investment company
subsidiaries whose operating and financial data are consolidated with
that of the Registrant in this Report? No
All Series ↑List of 3 Funds/Series Reported Here

Information Common to All Funds/Series
All: Investment Adviser
8.1 Name: The Vanguard Group, Inc.
Role: Adviser
SEC File #: 801-11953
Location: Malvern, PA
All: Administrator
10.1 Name: The Vanguard Group, Inc.
SEC File #: 801-11953
Location: Malvern, PA
All: Principal Underwriter
11.1 Name: Vanguard Marketing Corp.
SEC File #: 008-21570
Location: Malvern, PA
All: Shareholder Servicing/Transfer Agent
12.1 Name: The Vanguard Group, Inc.
SEC File #: 084-00772
Location: Malvern, PA
All: Independent Public Accountant
13.1 Name: Pricewaterhousecoopers LLP
Location: Philadelphia, PA
All: Affiliated Broker/Dealer
14.1 Name: Vanguard Marketing Corp.
SEC File #: 008-21570
All: Custodian
18. Does the Registrant’s/Series’ Custodian(s) maintain some or all of the
Registrant’s/Series’ securities in a central depository or book-entry
system pursuant to Rule 17f-4? Yes
All: Brokerage Commissions Paid on Portfolio Transactions
20. The brokers who received the largest amount of gross brokerage
commissions during the period:
20.1 Broker: Morgan Stanley
IRS #: 13-2655998
Commissions paid ($000s): 542
20.2 Broker: Itg, Inc.
IRS #: 95-4339369
Commissions paid ($000s): 367
20.3 Broker: UBS Securities LLC
IRS #: 13-3873456
Commissions paid ($000s): 304
20.4 Broker: Goldman, Sachs & Co.
IRS #: 13-5108880
Commissions paid ($000s): 204
20.5 Broker: Merrill Lynch, Pierce, Fenner & Smith Inc.
IRS #: 13-5674085
Commissions paid ($000s): 171
20.6 Broker: Credit Suisse Securities (USA) LLC
IRS #: 13-5659485
Commissions paid ($000s): 159
20.7 Broker: Citigroup Global Markets Inc.
IRS #: 13-2919773
Commissions paid ($000s): 138
20.8 Broker: J.P. Morgan Securities Inc.
IRS #: 13-3224016
Commissions paid ($000s): 131
20.9 Broker: Banc of America Securities LLC
IRS #: 56-2058405
Commissions paid ($000s): 110
20.10 Broker: Cantor Fitzgerald & Co.
IRS #: 13-3680184
Commissions paid ($000s): 82
21. Total brokerage commissions paid by the Registrant during the period:
Aggregate paid ($000s): 2,394
All: Portfolio Transactions with Entities Acting as Principals
22. The entities acting as principals with whom the Registrant did the
largest amount of portfolio transactions, based on total value of
principal, during the period:
22.1 Entity: Vanguard Market Liquidity Fund
IRS #: 20-0961056
Registrant’s purchases ($000s): 12,224,717
Registrant’s sales ($000s): 11,901,601
22.2 Entity: Barclays Capital Inc.
IRS #: 13-3410233
Registrant’s purchases ($000s): 1,396,189
Registrant’s sales ($000s): 1,502,485
22.3 Entity: Greenwich Capital Markets, Inc.
IRS #: 13-3172275
Registrant’s purchases ($000s): 1,265,164
Registrant’s sales ($000s): 1,186,790
22.4 Entity: Banc of America Securities LLC
IRS #: 56-2058405
Registrant’s purchases ($000s): 772,457
Registrant’s sales ($000s): 695,128
22.5 Entity: BNP Paribas Securities Corp.
IRS #: 13-3235334
Registrant’s purchases ($000s): 416,576
Registrant’s sales ($000s): 805,156
22.6 Entity: Credit Suisse Securities (USA) LLC
IRS #: 13-5659485
Registrant’s purchases ($000s): 529,837
Registrant’s sales ($000s): 386,726
22.7 Entity: Goldman, Sachs & Co.
IRS #: 13-5108880
Registrant’s purchases ($000s): 629,971
Registrant’s sales ($000s): 254,745
22.8 Entity: J.P. Morgan Securities Inc.
IRS #: 13-3224016
Registrant’s purchases ($000s): 588,531
Registrant’s sales ($000s): 285,673
22.9 Entity: Merrill Lynch, Pierce, Fenner & Smith Inc.
IRS #: 13-5674085
Registrant’s purchases ($000s): 201,087
Registrant’s sales ($000s): 330,380
22.10 Entity: UBS Securities LLC
IRS #: 13-3873456
Registrant’s purchases ($000s): 215,117
Registrant’s sales ($000s): 259,738
23. Total purchase/sale transactions by the Registrant during the period:
Aggregate purchases ($000s): 19,602,749
Aggregate sales ($000s): 19,727,802
All: Considerations which Affected the Participation of Brokers or Dealers
26. Considerations which affected the participation of brokers or dealers or
other entities in commissions or other compensation paid on portfolio
transactions of the Registrant:

Consideration?
Sales of the Registrant’s/Series’ shares ............................... No
Receipt of investment research and statistical info .................... Yes
Receipt of quotations for portfolio valuations ......................... No
Ability to execute portfolio transactions to obtain the best price
and execution ........................................................ Yes
Receipt of telephone line and wire services ............................ No
Broker or Dealer which is an affiliated person ......................... No
An arrangement to return or credit part or all of commissions or
profits thereon...
To an Investment Adviser or Principal Underwriter, or to an
affiliated person of either ...................................... No
To the Registrant .................................................. No
Other .................................................................. No
All: Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance)
29. Was a front-end sales load deducted from any share sales during the
period? No
34. Did the Registrant/Series impose a deferred or contingent deferred sales
load during the period? No
All: Payment Plan for the Distribution of Fund Shares
42. For the period, the percentage of total dollars paid directly by the
Registrant/Series under the 12b-1 plan for each of the following:

Percentage of Total Amount Paid (%)
Advertising ............................................................ –
Printing & mailing of prospectuses to other than current shareholders .. –
Payments to underwriters ............................................... –
Payments to brokers or dealers ......................................... –
Direct payments to sales personnel ..................................... –
Payments to banks and savings & loans .................................. –
Other uses, including payments to its Investment Adviser separate
from the advisory fee ................................................ –
Unallocated payments made for a combination of such services ........... –
43. Total amount paid directly by the Registrant/Series pursuant to its
12b-1 plan ($000s): 0
44. If an Investment Adviser or other affiliated person of the
Registrant/Series made unreimbursed payments pursuant to the 12b-1 plan,
the total amount of such payments ($000s): 0
All: Advisory Fee
45. Did the Registrant/Series have an advisory contract during the period? Yes
46. Did the Registrant/Series pay more than one Investment Adviser directly
for investment advice during the period? No
47. Was the Registrant’s/Series’ advisory fee based solely on a percentage
of its assets? Yes
48. Fee (single rate or step rates) applied to the Registrant’s/Series’
assets based on the advisory contract:
Single-fee rate: 0.02%
Step-fee rates:
For 1st $000s: 0
Annual rate: 0.0%
49. Was the Registrant’s/Series’ advisory fee during the period based solely
on a percentage of its income? No
50. Was the Registrant’s/Series’ advisory fee during the period based on
some combined percentage of its income and assets? No
51. Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on its investment performance? No
52. Was the Registrant’s/Series’ advisory fee during the period based in
whole or in part on the assets, income or performance of other
Registrants? No
53. Were the expenses of the Registrant/Series limited or reduced at any
time during the period by some agreement or understanding other than by
Blue Sky Laws? No
54. Indicated below are whether services were supplied or paid for wholly or
in substantial part by Investment Adviser(s) or Administrator(s) in
connection with the advisory or administrative contract(s) but for which
the Adviser(s) or Administrator(s) are not reimbursed by the Registrant:

Provided to the Registrant?
Occupancy and office rental ............................................ No
Clerical and bookkeeping services ...................................... No
Accounting services .................................................... No
Services of independent auditors ....................................... No
Services of outside counsel ............................................ No
Registration and filing fees ........................................... No
Stationery, supplies and printing ...................................... No
Salaries & compensation of Registrant’s interested Directors ........... No
Salaries & compensation of Registrant’s disinterested Directors ........ No
Salaries & compensation of Registrant’s Officers who aren’t Directors .. No
Reports to current shareholders ........................................ No
Determination of offering and redemption prices ........................ No
Trading department ..................................................... No
Prospectus preparation and printing for current shareholders ........... No
Other .................................................................. No
All: Fidelity Bond in Effect at Fiscal Year End
80. Insurer: Ici Mutual Insurance Co.
2nd Insurer: N/A

Aggregate face amount of coverage for the Registrant/Series on all bonds
on which it is named as an insured ($000s): 400,000
81. Is the bond part of a joint fidelity bond(s) shared with other
investment companies or other entities? Yes

How many other investment companies or other entities are covered by the
bond (counting each Fund/Series as a separate investment company): 203
82. Does the mandatory coverage of the fidelity bond have a deductible? No
83. Were any claims with respect to this Registrant/Series filed under the
bond during the period? No
84. Were any losses incurred with respect to this Registrant/Series that
could have been filed as a claim under the fidelity bond but were not? No
85. Are the Registrant’s/Series’ Officers and Directors covered as Officers
and Directors of the Registrant/Series under any errors and omissions
insurance policy owned by the Registrant/Series or anyone else? Yes

Were any claims filed under such policy during the period with respect
to the Registrant/Series? No
Series 1 ↑Information Common to All Funds/Series ↑List of 3 Funds/Series
7. Name: Vanguard Institutional Index Fund — S#2853 ⇒ VIIIX & VINIX

Is this the final Form N-SAR filed for this Fund/Series? No
S 1: Custodian
15.1 Name: U.S. Bank NA
Role: Custodian
Location: Philadelphia, PA

Type of custody: Section 17(f)(1) — Bank
S 1: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers
24. At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? Yes

25.
The brokers or dealers, or their parents (issuers):
25.1 Name: Citigroup Global Markets Inc.
IRS #: 13-2919773
Type of security owned: Equity
Value of securities owned at period end ($000s): 226,854
25.2 Name: Goldman, Sachs & Co.
IRS #: 13-5108880
Type of security owned: Equity
Value of securities owned at period end ($000s): 231,510
25.3 Name: J.P. Morgan Securities Inc.
IRS #: 13-3224016
Type of security owned: Equity
Value of securities owned at period end ($000s): 730,071
25.4 Name: Banc of America Securities LLC
IRS #: 56-2058405
Type of security owned: Equity
Value of securities owned at period end ($000s): 438,518
25.5 Name: Morgan Stanley
IRS #: 13-2655998
Type of security owned: Equity
Value of securities owned at period end ($000s): 105,682
25.6 Name: Merrill Lynch, Pierce Fenner & Smith Inc.
IRS #: 13-5674085
Type of security owned: Equity
Value of securities owned at period end ($000s): 115,399
25.7 Name: (See a prior Form N-SAR for who was...) Deleted
25.8 Name: (See a prior Form N-SAR for who was...) Deleted
S 1: Sales and Repurchases
28. Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 855,165
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 1,041,734
2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 1,026,607
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 831,657
3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 1,637,130
Reinvestment of dividends and distributions ................ 349,755
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 1,220,113
4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 1,440,300
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 1,014,350
5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 1,000,587
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 728,761
6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 1,556,382
Reinvestment of dividends and distributions ................ 363,492
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 884,608

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 7,516,171
Reinvestment of dividends and distributions ................ 713,247
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 5,721,223

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0
S 1: Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance)
37. Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period? No
39. Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period? No
S 1: Payment Plan for the Distribution of Fund Shares
40. During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1? No
S 1: Miscellaneous Info
55. Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
Overdrafts? No
Bank loans? No
56. During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes
57. Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No
S 1: Classification and Asset Allocation
58. Is the Registrant/Series a Separate Account of an insurance company? No
59. Is the Registrant/Series a management investment company? Yes
60. Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Was the Registrant/Series a diversified investment company at the end of
the period? Yes
61. The lowest minimum initial investment required by the Registrant/Series
from an investor that is not an employee or otherwise affiliated with
the Registrant/Series, its Investment Adviser, Principal Underwriter or
other affiliated entity: $5,000,000
62. Does the Registrant/Series invest primarily in debt securities,
including convertible debt securities, options & futures on debt
securities or indices of debt securities? No
66. Is the Registrant/Series a Fund that usually invests in equity
securities, options & futures on equity securities, indices of equity
securities or securities convertible into equity securities? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No
Capital appreciation? No
Growth? No
Growth and income? Yes
Income? No
Total return? No
67. Is the Registrant/Series a “balanced” Fund? No
68. Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No
Located primarily in countries other than the United States? No
69. Is the Registrant/Series an index Fund? Yes
S 1: Investment Practices
70. Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In
Writing or investing in repurchase agreements? Yes No
Writing or investing in options on equities? Yes No
Writing or investing in options on debt securities? No –
Writing or investing in options on stock indices? Yes No
Writing or investing in interest rate futures? No –
Writing or investing in stock index futures? Yes to both
Writing or investing in options on futures? Yes No
Writing or investing in options on stock index futures? Yes No
Writing or investing in other commodity futures? No –
Investments in restricted securities? Yes No
Investments in shares of other investment companies? Yes to both
Investments in securities of foreign issuers? Yes No
Currency exchange transactions? Yes No
Loaning portfolio securities? Yes to both
Borrowing of money? Yes No
Purchases/sales by certain exempted affiliated persons? Yes to both
Margin purchases? No –
Short selling? No –
S 1: Portfolio Turnover
71. Portfolio turnover rate for the period:
Purchases ($000s): 10,783,222
Sales ($000s): 4,289,056

Monthly average Value of portfolio ($000s): 63,320,340

Percent turnover (lesser of Purchases or Sales, divided by Value): 7%
S 1: Financial Info — Income and Expenses
72. The number of months covered by the values in Items 72 and 73: 12

Income ($000s)
Net interest income .............................................. 4,652
Net dividend income .............................................. 1,442,247
Account maintenance fees ......................................... –
Net other income ................................................. 15,129

Expenses ($000s)
Advisory fees .................................................... –
Administrator fees ............................................... 25,743
Salaries and other compensation .................................. –
Shareholder Servicing Agent fees ................................. –
Custodian fees ................................................... –
Postage .......................................................... –
Printing expenses ................................................ –
Directors’ fees .................................................. –
Registration fees ................................................ –
Taxes ............................................................ –
Interest ......................................................... –
Bookkeeping fees paid to anyone performing this service .......... –
Auditing fees .................................................... –
Legal fees ....................................................... –
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. –
Amortization of organization expenses ............................ –
Shareholder meeting expenses ..................................... –
Other expenses ................................................... –
Total expenses ................................................... 25,743

Expense reimbursements ($000s): 0

Net investment income ($000s): 1,436,285

Realized capital gains ($000s): 1,327,250
Realized capital losses ($000s): 2,059,393

Net unrealized appreciation during the period ($000s): 0
Net unrealized depreciation during the period ($000s): 28,467,348

Total income dividends for which the record date passed during the
period ($000s): 911,292
Dividends for a second class of shares ($000s): 524,799

Total capital gains distributions for which the record date passed
during the period ($000s): 0
73. Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:

Dividends from net investment income: $2.5220
Dividends for a second class of shares: $2.5500

Distribution of capital gains: $0.0000
Other distributions: $0.0000
S 1: Financial Info — Condensed Balance Sheet Data
74. Assets ($000s)
Cash ............................................................. 205
Repurchase agreements ............................................ –
Short-term debt securities, other than repurchase agreements ..... 41,984
Long-term debt securities, including convertible debt ............ –
Preferred, conv. preferred and adjustable-rate preferred stock ... –
Common stock ..................................................... 48,781,752
Options on equities .............................................. –
Options on all futures ........................................... –
Other investments ................................................ 460,193
Receivables from portfolio instruments sold ...................... 40,787
Receivables from affiliated persons .............................. –
Other receivables ................................................ 361,620
All other assets ................................................. –
Total assets ..................................................... 49,686,541

Liabilities ($000s)
Payables for portfolio instruments purchased ..................... 287,238
Amounts owed to affiliated persons ............................... –
Senior long-term debt ............................................ –
Other liabilities:
Reverse repurchase agreements .................................. –
Short sales .................................................... –
Written options ................................................ –
All other liabilities .......................................... 212,544

Equity ($000s)
Senior equity .................................................... –
Net assets of common shareholders ................................ 49,186,759

Number of shares outstanding (000s): 382,142
Number of shares outstanding of a second class of shares (000s): 213,744

Net Asset Value (NAV) per share (to nearest cent): $82.54
NAV per share of a second class of shares (to nearest cent): $82.54

Total number of shareholder accounts: 115,544

Total value of assets in segregated accounts ($000s): 41,984
75. Monthly average net assets during the period ($000s): 63,554,031
Series 2 ↑Information Common to All Funds/Series ↑List of 3 Funds/Series
7. Name: Vanguard Inst. Total Stock Market Index Fund [ now
Vanguard Institutional Total Stock Market Index Fund ] — S#2855 ⇒ VITPX & VITNX

Is this the final Form N-SAR filed for this Fund/Series? No
S 2: Custodian
15.1 Name: Citibank
Role: Custodian
Location: New York, NY

Type of custody: Section 17(f)(1) — Bank
S 2: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers
24. At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? Yes

25.
The brokers or dealers, or their parents (issuers):
25.1 Name: Citigroup Global Markets Inc.
IRS #: 13-2919773
Type of security owned: Equity
Value of securities owned at period end ($000s): 29,038
25.2 Name: Morgan Stanley
IRS #: 13-2655998
Type of security owned: Equity
Value of securities owned at period end ($000s): 12,725
25.3 Name: Goldman, Sachs & Co.
IRS #: 13-5108880
Type of security owned: Equity
Value of securities owned at period end ($000s): 26,229
25.4 Name: Merrill Lynch, Pierce Fenner & Smith Inc.
IRS #: 13-5674085
Type of security owned: Equity
Value of securities owned at period end ($000s): 14,084
25.5 Name: J.P. Morgan Securities Inc.
IRS #: 13-3224016
Type of security owned: Equity
Value of securities owned at period end ($000s): 92,314
25.6 Name: Itg, Inc.
IRS #: 95-4339369
Type of security owned: Equity
Value of securities owned at period end ($000s): 798
25.7 Name: Banc of America Securities LLC
IRS #: 56-2058405
Type of security owned: Equity
Value of securities owned at period end ($000s): 56,580
25.8 Name: (See a prior Form N-SAR for who was...) Deleted
S 2: Sales and Repurchases
28. Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 208,695
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 87,924
2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 91,080
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 99,296
3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 374,487
Reinvestment of dividends and distributions ................ 43,172
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 183,220
4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 523,264
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 369,448
5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 422,777
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 297,558
6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 461,433
Reinvestment of dividends and distributions ................ 53,928
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 148,496

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 2,081,736
Reinvestment of dividends and distributions ................ 97,100
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 1,185,942

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0
S 2: Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance)
37. Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period? No
39. Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period? Yes
S 2: Payment Plan for the Distribution of Fund Shares
40. During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1? No
S 2: Miscellaneous Info
55. Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
Overdrafts? No
Bank loans? No
56. During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes
57. Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No
S 2: Classification and Asset Allocation
58. Is the Registrant/Series a Separate Account of an insurance company? No
59. Is the Registrant/Series a management investment company? Yes
60. Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Was the Registrant/Series a diversified investment company at the end of
the period? Yes
61. The lowest minimum initial investment required by the Registrant/Series
from an investor that is not an employee or otherwise affiliated with
the Registrant/Series, its Investment Adviser, Principal Underwriter or
other affiliated entity: $0
62. Does the Registrant/Series invest primarily in debt securities,
including convertible debt securities, options & futures on debt
securities or indices of debt securities? No
66. Is the Registrant/Series a Fund that usually invests in equity
securities, options & futures on equity securities, indices of equity
securities or securities convertible into equity securities? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No
Capital appreciation? No
Growth? No
Growth and income? Yes
Income? No
Total return? No
67. Is the Registrant/Series a “balanced” Fund? No
68. Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No
Located primarily in countries other than the United States? No
69. Is the Registrant/Series an index Fund? Yes
S 2: Investment Practices
70. Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In
Writing or investing in repurchase agreements? Yes No
Writing or investing in options on equities? Yes No
Writing or investing in options on debt securities? No –
Writing or investing in options on stock indices? Yes No
Writing or investing in interest rate futures? No –
Writing or investing in stock index futures? Yes to both
Writing or investing in options on futures? Yes No
Writing or investing in options on stock index futures? Yes No
Writing or investing in other commodity futures? No –
Investments in restricted securities? Yes No
Investments in shares of other investment companies? Yes to both
Investments in securities of foreign issuers? Yes No
Currency exchange transactions? Yes No
Loaning portfolio securities? Yes to both
Borrowing of money? Yes No
Purchases/sales by certain exempted affiliated persons? Yes to both
Margin purchases? No –
Short selling? No –
S 2: Portfolio Turnover
71. Portfolio turnover rate for the period:
Purchases ($000s): 3,260,052
Sales ($000s): 1,206,184

Monthly average Value of portfolio ($000s): 9,254,556

Percent turnover (lesser of Purchases or Sales, divided by Value): 13%
S 2: Financial Info — Income and Expenses
72. The number of months covered by the values in Items 72 and 73: 12

Income ($000s)
Net interest income .............................................. 1,525
Net dividend income .............................................. 193,593
Account maintenance fees ......................................... –
Net other income ................................................. 4,826

Expenses ($000s)
Advisory fees .................................................... –
Administrator fees ............................................... 2,582
Salaries and other compensation .................................. –
Shareholder Servicing Agent fees ................................. –
Custodian fees ................................................... –
Postage .......................................................... –
Printing expenses ................................................ –
Directors’ fees .................................................. –
Registration fees ................................................ –
Taxes ............................................................ –
Interest ......................................................... –
Bookkeeping fees paid to anyone performing this service .......... –
Auditing fees .................................................... –
Legal fees ....................................................... –
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. –
Amortization of organization expenses ............................ –
Shareholder meeting expenses ..................................... –
Other expenses ................................................... –
Total expenses ................................................... 2,582

Expense reimbursements ($000s): 0

Net investment income ($000s): 197,362

Realized capital gains ($000s): 69,598
Realized capital losses ($000s): 244,930

Net unrealized appreciation during the period ($000s): 0
Net unrealized depreciation during the period ($000s): 4,021,956

Total income dividends for which the record date passed during the
period ($000s): 29,244
Dividends for a second class of shares ($000s): 168,295

Dividends from net investment income: $0.5520
Dividends for a second class of shares: $0.5570

Distribution of capital gains: $0.0000
Other distributions: $0.0000
S 2: Financial Info — Condensed Balance Sheet Data
74. Assets ($000s)
Cash ............................................................. 227
Repurchase agreements ............................................ –
Short-term debt securities, other than repurchase agreements ..... 12,992
Long-term debt securities, including convertible debt ............ –
Preferred, conv. preferred and adjustable-rate preferred stock ... –
Common stock ..................................................... 7,648,331
Options on equities .............................................. –
Options on all futures ........................................... –
Other investments ................................................ 125,369
Receivables from portfolio instruments sold ...................... 1,482
Receivables from affiliated persons .............................. –
Other receivables ................................................ 40,861
All other assets ................................................. –
Total assets ..................................................... 7,829,262

Liabilities ($000s)
Payables for portfolio instruments purchased ..................... 64,182
Amounts owed to affiliated persons ............................... –
Senior long-term debt ............................................ –
Other liabilities:
Reverse repurchase agreements .................................. –
Short sales .................................................... –
Written options ................................................ –
All other liabilities .......................................... 28,626

Equity ($000s)
Senior equity .................................................... –
Net assets of common shareholders ................................ 7,736,454

Number of shares outstanding (000s): 56,205
Number of shares outstanding of a second class of shares (000s): 336,965

Net Asset Value (NAV) per share (to nearest cent): $19.68
NAV per share of a second class of shares (to nearest cent): $19.68

Total number of shareholder accounts: 50

Total value of assets in segregated accounts ($000s): 12,992
75. Monthly average net assets during the period ($000s): 9,310,259
Series 3 ↑Information Common to All Funds/Series ↑List of 3 Funds/Series
7. Name: Vanguard Inst. Total Bond Market Index Fund [ renamed
Vanguard Institutional Total Bond Market Index Fund ] — S#2854 ⇒ VITBX

Is this the final Form N-SAR filed for this Fund/Series? No
S 3: Custodian
15.1 Name: JP Morgan Chase Bank
Role: Custodian
Location: New York, NY

Type of custody: Section 17(f)(1) — Bank
S 3: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers
24. At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? Yes

25.
The brokers or dealers, or their parents (issuers):
25.1 Name: Barclays Capital Inc.
IRS #: 13-3410233
Type of security owned: Debt
Value of securities owned at period end ($000s): 574
25.2 Name: Banc of America Securities LLC
IRS #: 56-2058405
Type of security owned: Debt
Value of securities owned at period end ($000s): 53,067
25.3 Name: Merrill Lynch, Pierce, Fenner & Smith Inc.
IRS #: 13-5674085
Type of security owned: Debt
Value of securities owned at period end ($000s): 44,010
25.4 Name: Credit Suisse Securities (USA) LLC
IRS #: 13-5659485
Type of security owned: Debt
Value of securities owned at period end ($000s): 35,466
25.5 Name: Morgan Stanley
IRS #: 13-2655998
Type of security owned: Debt
Value of securities owned at period end ($000s): 51,525
25.6 Name: J.P. Morgan Securities Inc.
IRS #: 13-3224016
Type of security owned: Debt
Value of securities owned at period end ($000s): 54,152
25.7 Name: Goldman, Sachs & Co.
IRS #: 13-5108880
Type of security owned: Debt
Value of securities owned at period end ($000s): 38,954
25.8 Name: Greenwich Capital Markets, Inc.
IRS #: 13-3172275
Type of security owned: Debt
Value of securities owned at period end ($000s): 7,089
25.9 Name: (See a prior Form N-SAR for who was...) Deleted
25.10 Name: Citigroup Global Markets Inc.
IRS #: 13-2919773
Type of security owned: Debt
Value of securities owned at period end ($000s): 57,586
25.11 Name: UBS Securities LLC
IRS #: 13-3873456
Type of security owned: Debt
Value of securities owned at period end ($000s): 25,248
S 3: Sales and Repurchases
28. Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 144,798
Reinvestment of dividends and distributions ................ 24,940
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 324,559
2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 409,984
Reinvestment of dividends and distributions ................ 28,085
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 76,544
3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 269,719
Reinvestment of dividends and distributions ................ 28,654
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 542,839
4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 532,612
Reinvestment of dividends and distributions ................ 26,486
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 849,897
5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 527,467
Reinvestment of dividends and distributions ................ 26,873
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 609,904
6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 262,210
Reinvestment of dividends and distributions ................ 21,792
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 236,592

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 2,146,790
Reinvestment of dividends and distributions ................ 156,830
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 2,640,335

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0
S 3: Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance)
37. Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period? No
39. Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period? No
S 3: Payment Plan for the Distribution of Fund Shares
40. During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1? No
S 3: Miscellaneous Info
55. Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
Overdrafts? No
Bank loans? No
56. During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes
57. Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No
S 3: Classification and Asset Allocation
58. Is the Registrant/Series a Separate Account of an insurance company? No
59. Is the Registrant/Series a management investment company? Yes
60. Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Was the Registrant/Series a diversified investment company at the end of
the period? Yes
61. The lowest minimum initial investment required by the Registrant/Series
from an investor that is not an employee or otherwise affiliated with
the Registrant/Series, its Investment Adviser, Principal Underwriter or
other affiliated entity: $0
62. Does the Registrant/Series invest primarily in debt securities,
including convertible debt securities, options & futures on debt
securities or indices of debt securities? Yes

The percentage of net assets in each type at period end:

Debt — Short-Term Maturities
U.S. Treasury ............................... 0.6%
U.S. Government Agency ...................... 0.0
Repurchase agreements ....................... 0.0
State and Municipal – tax-free .............. 0.0
Bank certificates of deposit – domestic ..... 0.0
Bank certificates of deposit – foreign ...... 0.0
Bankers acceptances ......................... 0.0
Commercial paper – taxable .................. 0.0
Time deposits ............................... 0.0
Options ..................................... 0.0
All other ................................... 0.0

Debt — Intermediate & Long-Term Maturities
U.S. Treasury ............................... 24.2%
U.S. Government Agency ...................... 47.8
State and Municipal – tax-free .............. 0.0
Corporate ................................... 22.3
All other ................................... 3.2

Non-Debt
Investments other than debt securities ...... 2.6%
63. The dollar-weighted average portfolio maturity at period end in days or,
if longer than one year, in years (to one decimal place):
Days: 0
Years: 5.4
64. Is the timely payment of principal and interest on any of the
instruments listed in Item 62 insured or guaranteed by an entity other
than the issuer? Yes

Is the issuer of any instrument covered in Item 62 delinquent or in
default as to payment of principal or interest at period end? No
66. Is the Registrant/Series a Fund that usually invests in equity
securities, options & futures on equity securities, indices of equity
securities or securities convertible into equity securities? No
67. Is the Registrant/Series a “balanced” Fund? No
68. Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No
Located primarily in countries other than the United States? No
69. Is the Registrant/Series an index Fund? Yes
S 3: Investment Practices
70. Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In
Writing or investing in repurchase agreements? Yes No
Writing or investing in options on equities? No –
Writing or investing in options on debt securities? Yes No
Writing or investing in options on stock indices? No –
Writing or investing in interest rate futures? Yes No
Writing or investing in stock index futures? No –
Writing or investing in options on futures? Yes No
Writing or investing in options on stock index futures? No –
Writing or investing in other commodity futures? No –
Investments in restricted securities? Yes to both
Investments in shares of other investment companies? Yes to both
Investments in securities of foreign issuers? Yes to both
Currency exchange transactions? No –
Loaning portfolio securities? Yes No
Borrowing of money? Yes No
Purchases/sales by certain exempted affiliated persons? Yes to both
Margin purchases? No –
Short selling? No –
S 3: Portfolio Turnover
71. Portfolio turnover rate for the period:
Purchases ($000s): 6,553,216
Sales ($000s): 6,754,171

Monthly average Value of portfolio ($000s): 7,240,475

Percent turnover (lesser of Purchases or Sales, divided by Value): 91%
S 3: Financial Info — Income and Expenses
72. The number of months covered by the values in Items 72 and 73: 12

Income ($000s)
Net interest income .............................................. 376,611
Net dividend income .............................................. –
Account maintenance fees ......................................... –
Net other income ................................................. –

Expenses ($000s)
Advisory fees .................................................... –
Administrator fees ............................................... 3,770
Salaries and other compensation .................................. –
Shareholder Servicing Agent fees ................................. –
Custodian fees ................................................... –
Postage .......................................................... –
Printing expenses ................................................ –
Directors’ fees .................................................. –
Registration fees ................................................ –
Taxes ............................................................ –
Interest ......................................................... –
Bookkeeping fees paid to anyone performing this service .......... –
Auditing fees .................................................... –
Legal fees ....................................................... –
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. –
Amortization of organization expenses ............................ –
Shareholder meeting expenses ..................................... –
Other expenses ................................................... –
Total expenses ................................................... 3,770

Expense reimbursements ($000s): 0

Net investment income ($000s): 372,841

Realized capital gains ($000s): 124,782
Realized capital losses ($000s): 110,799

Net unrealized appreciation during the period ($000s): 0
Net unrealized depreciation during the period ($000s): 18,217

Total income dividends for which the record date passed during the
period ($000s): 351,110

Dividends from net investment income: $2.3600

Distribution of capital gains: $0.0000
Other distributions: $0.0000
S 3: Financial Info — Condensed Balance Sheet Data
74. Assets ($000s)
Cash ............................................................. –
Repurchase agreements ............................................ –
Short-term debt securities, other than repurchase agreements ..... 46,815
Long-term debt securities, including convertible debt ............ 7,251,209
Preferred, conv. preferred and adjustable-rate preferred stock ... –
Common stock ..................................................... –
Options on equities .............................................. –
Options on all futures ........................................... –
Other investments ................................................ 190,306
Receivables from portfolio instruments sold ...................... 9,042
Receivables from affiliated persons .............................. –
Other receivables ................................................ 93,251
All other assets ................................................. –
Total assets ..................................................... 7,590,623

Liabilities ($000s)
Payables for portfolio instruments purchased ..................... 136,271
Amounts owed to affiliated persons ............................... –
Senior long-term debt ............................................ –
Other liabilities:
Reverse repurchase agreements .................................. –
Short sales .................................................... –
Written options ................................................ –
All other liabilities .......................................... 17,180

Equity ($000s)
Senior equity .................................................... –
Net assets of common shareholders ................................ 7,437,172

Number of shares outstanding (000s): 144,891

Net Asset Value (NAV) per share (to nearest cent): $51.33

Total number of shareholder accounts: 12,761

Total value of assets in segregated accounts ($000s): 0
75. Monthly average net assets during the period ($000s): 7,547,709
Signature ↑Top of Form N-SAR
/s/ Charles Simpkins
Name: Charles Simpkins
Title: Manager

↑Top

Filing Submission 0000932471-09-000781 – Alternative Formats (Word / Rich Text, HTML, Plain Text, et al.)

Vanguard Institutional Index Funds – ‘NSAR-B’ for 12/31/08

On: Tuesday, 2/24/09, at 3:03pm ET · Effective: 2/24/09 · For: 12/31/08 · Accession #: 932471-9-781 · File #: 811-06093

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Annual Report by an Investment Company — Form N-SAR — ICA’40Filing Table of Contents

‘NSAR-B’ — Annual Nsar

Annual Report by an Investment Company — Form N-SAR — ICA’40
Filing Table of Contents