N-Q 1 windsorfunds_final.htm VANGUARD WINDSOR FUNDS windsorfunds_final.htm - Generated by SEC Publisher for SEC Filing

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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT COMPANY

Investment Company Act file number: 811-00834

Name of Registrant: Vanguard Windsor Funds

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

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

Date of fiscal year end: October 31

Date of reporting period: July 31, 2012

Item 1: Schedule of Investments

 

Vanguard Windsor Fund

Schedule of Investments
As of July 31, 2012

      Market
      Value
    Shares ($000)
Common Stocks (96.1%)1    
Consumer Discretionary (11.6%)    
  Comcast Corp. 7,246,900 231,393
*,2 Buck Holdings LP Private Placement NA 153,058
* Toll Brothers Inc. 5,245,700 153,017
  Lowe's Cos. Inc. 5,484,400 139,139
  Staples Inc. 10,421,435 132,769
  Kohl's Corp. 2,308,300 114,769
  Lennar Corp. Class A 3,545,700 103,570
  Virgin Media Inc. 3,066,400 83,958
  Omnicom Group Inc. 1,575,500 79,059
* Delphi Automotive plc 2,317,400 65,791
* Apollo Group Inc. Class A 2,087,200 56,772
  TJX Cos. Inc. 830,600 36,779
  JC Penney Co. Inc. 1,525,500 34,339
* General Motors Co. 1,564,900 30,844
      1,415,257
Consumer Staples (6.7%)    
  Japan Tobacco Inc. 5,547,400 174,269
* Energizer Holdings Inc. 1,360,100 105,775
  Danone SA 1,620,017 98,471
  Dr Pepper Snapple Group Inc. 1,972,000 89,884
  Bunge Ltd. 1,233,100 81,101
  Ingredion Inc. 1,470,300 76,338
  CVS Caremark Corp. 1,573,300 71,192
  Walgreen Co. 1,497,800 54,460
  Avon Products Inc. 2,226,749 34,492
  Molson Coors Brewing Co. Class B 761,800 32,239
      818,221
Energy (11.7%)    
  Baker Hughes Inc. 4,717,200 218,501
* Southwestern Energy Co. 4,423,100 147,068
  Royal Dutch Shell plc ADR 2,035,100 138,794
  Anadarko Petroleum Corp. 1,843,500 128,013
* Cobalt International Energy Inc. 4,895,800 122,884
  BP plc ADR 3,011,700 120,167
  Canadian Natural Resources Ltd. 4,097,100 111,646
  Halliburton Co. 3,050,200 101,053
  Noble Corp. 2,147,500 79,457
  Exxon Mobil Corp. 731,100 63,496
  Statoil ASA ADR 2,245,400 53,418
  CONSOL Energy Inc. 1,700,759 49,288
  Inpex Corp. 7,394 41,084
  Valero Energy Corp. 1,239,800 34,094
* Weatherford International Ltd. 1,418,400 17,092
      1,426,055

 

 

Exchange-Traded Fund (0.9%)    
3 Vanguard Value ETF 1,839,100 104,093
 
Financials (22.0%)    
Wells Fargo & Co. 9,408,200 318,091
JPMorgan Chase & Co. 5,668,050 204,050
ACE Ltd. 2,489,300 182,964
Ameriprise Financial Inc. 2,984,500 154,358
Bank of America Corp. 19,797,700 145,315
Weyerhaeuser Co. 5,358,100 125,112
Unum Group 6,569,900 124,105
Invesco Ltd. 4,898,654 108,407
Swiss Re AG 1,626,219 101,799
Everest Re Group Ltd. 941,000 95,700
Principal Financial Group Inc. 3,565,900 91,251
BlackRock Inc. 491,200 83,632
Citigroup Inc. 2,963,200 80,392
Allstate Corp. 2,270,000 77,861
* American International Group Inc. 2,480,900 77,578
Goldman Sachs Group Inc. 663,500 66,947
MetLife Inc. 2,047,900 63,014
UBS AG 5,918,700 62,738
State Street Corp. 1,517,400 61,273
NYSE Euronext 2,298,900 58,576
Franklin Resources Inc. 416,800 47,911
PNC Financial Services Group Inc. 771,000 45,566
Axis Capital Holdings Ltd. 1,251,879 41,137
Regions Financial Corp. 4,739,400 32,986
Morgan Stanley 2,378,600 32,492
KeyCorp 3,984,500 31,796
Fifth Third Bancorp 2,283,800 31,562
Willis Group Holdings plc 848,300 31,370
Comerica Inc. 1,010,100 30,515
Torchmark Corp. 611,000 30,397
* E*TRADE Financial Corp. 2,959,400 22,580
Hartford Financial Services Group Inc. 934,600 15,374
    2,676,849
Health Care (11.1%)    
Merck & Co. Inc. 3,793,700 167,568
UnitedHealth Group Inc. 2,932,100 149,801
Medtronic Inc. 3,478,500 137,122
Roche Holding AG 766,242 135,683
Covidien plc 2,090,200 116,800
Cigna Corp. 2,581,100 103,967
Pfizer Inc. 3,929,900 94,475
Daiichi Sankyo Co. Ltd. 5,526,900 90,955
McKesson Corp. 916,500 83,154
Eisai Co. Ltd. 1,674,000 74,080
Becton Dickinson and Co. 622,400 47,122
Abbott Laboratories 478,900 31,756
HCA Holdings Inc. 1,162,200 30,775
Sanofi 370,894 30,260
Quest Diagnostics Inc. 516,300 30,167
* Forest Laboratories Inc. 890,000 29,860
    1,353,545

 

 

Industrials (8.9%)    
  Eaton Corp. 3,603,800 157,991
  Pentair Inc. 3,080,000 134,996
  Dover Corp. 2,167,500 118,064
  Honeywell International Inc. 1,796,600 104,293
  Lockheed Martin Corp. 1,081,700 96,563
  Northrop Grumman Corp. 1,209,900 80,095
* Delta Air Lines Inc. 7,927,800 76,503
  Fiat Industrial SPA 6,885,935 67,464
  L-3 Communications Holdings Inc. 881,400 62,482
  Cooper Industries plc 850,800 61,156
  FedEx Corp. 592,600 53,512
  Masco Corp. 3,289,900 39,578
  General Dynamics Corp. 477,600 30,299
      1,082,996
Information Technology (16.1%)    
*,4 Arrow Electronics Inc. 6,665,150 224,949
  Oracle Corp. 6,545,100 197,662
  ASML Holding NV 3,181,500 182,936
  Avago Technologies Ltd. 4,320,700 159,866
  Cisco Systems Inc. 9,952,200 158,738
  Microsoft Corp. 5,222,600 153,910
  Hewlett-Packard Co. 8,252,800 150,531
* SanDisk Corp. 2,768,300 113,860
* Apple Inc. 150,000 91,614
  Western Union Co. 5,125,000 89,329
* Google Inc. Class A 106,200 67,221
  Accenture plc Class A 1,110,900 66,987
  TE Connectivity Ltd. 1,963,926 64,829
* Dell Inc. 5,154,100 61,231
  Analog Devices Inc. 1,477,100 57,725
  Computer Sciences Corp. 2,003,200 49,319
  Linear Technology Corp. 1,318,400 42,518
  CA Inc. 1,188,800 28,615
      1,961,840
Materials (4.7%)    
  International Paper Co. 4,180,200 137,152
  LyondellBasell Industries NV Class A 2,256,200 100,469
  Potash Corp. of Saskatchewan Inc. 1,954,500 86,311
* Owens-Illinois Inc. 3,495,400 64,490
  Mosaic Co. 774,600 45,012
  Agrium Inc. 473,500 44,964
  Rexam plc 5,942,694 40,391
  Incitec Pivot Ltd. 10,235,532 33,183
  PPG Industries Inc. 140,700 15,401
*,^ Sino-Forest Corp. 3,223,900 —
      567,373
Utilities (2.4%)    
  PG&E Corp. 2,435,100 112,404
  Edison International 2,073,400 95,750
  Northeast Utilities 1,209,900 48,251
  Entergy Corp. 440,900 32,040
      288,445
Total Common Stocks (Cost $10,853,651)   11,694,674

 

 

          Market
          Value
    Coupon   Shares ($000)
Temporary Cash Investments (5.7%)1        
Money Market Fund (3.5%)        
5,6 Vanguard Market Liquidity Fund 0.155%   422,498,892 422,499
 
        Face  
      Maturity Amount  
      Date ($000)  
Repurchase Agreement (2.0%)        
  Bank of America Securities LLC        
  (Dated 7/31/12, Repurchase Value        
  $241,101,000, collateralized by Federal        
  Home Loan Mortgage Corp. 2.390%-        
  4.500%, 9/1/35-8/1/39, and Federal        
  National Mortgage Assn. 3.500%-4.000%,        
  1/1/42-7/1/42) 0.170% 8/1/12 241,100 241,100
 
U.S. Government and Agency Obligations (0.2%)        
7 United States Treasury Note/Bond 0.375% 8/31/12 15,000 15,000
7 United States Treasury Note/Bond 0.375% 10/31/12 15,000 15,007
          30,007
Total Temporary Cash Investments (Cost $693,610)       693,606
Total Investments (101.8%) (Cost $11,547,261)       12,388,280
Other Assets and Liabilities-Net (-1.8%)5       (223,314)
Net Assets (100%)       12,164,966

 

 

Windsor Fund

When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.

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

C. Repurchase Agreements: The fund may enter into repurchase agreements. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. In the event of default or bankruptcy by the other party to the agreement, the fund may sell or retain the collateral; however, such action may be subject to legal proceedings.

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

Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the market value of the fund's investments as of July 31, 2012, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 10,653,976 887,640 153,058
Temporary Cash Investments 422,499 271,107 —
Futures Contracts—Assets1 472 — —
Futures Contracts—Liabilities1 (1,687) — —
Total 11,075,260 1,158,747 153,058
1 Represents variation margin on the last day of the reporting period.    

 

The determination of Level 3 fair value measurements is governed by documented policies and procedures adopted by the board of trustees. The board has designated a pricing review committee, as an agent of the board, to ensure the timely analysis and valuation of Level 3 securities held by the fund in accordance with established policies and procedures. The pricing review committee employs various methods for calibrating valuation approaches, including a regular review of key inputs and assumptions, transactional back-testing or disposition analysis, and reviews of any related market

 

Windsor Fund

activity. All valuation decisions made by the pricing review committee are reported to the board on a quarterly basis for review and ratification. The board reviews the adequacy of the fair value measurement policies and procedures in place on an annual basis.

The following table summarizes changes in investments valued based on Level 3 inputs during the period ended July 31, 2012. Transfers into or out of Level 3 are recognized based on values as of the date of transfer.

  Investments in
  Common Stocks
Amount valued based on Level 3 Inputs ($000)
Balance as of October 31, 2011 231,798
Transfers out of Level 3 (128,465)
Change in Unrealized Appreciation (Depreciation) 49,725
Balance as of July 31, 2012 153,058

 

Net change in unrealized appreciation (depreciation) from investments still held as of July 31, 2012 was $49,725,000 Transfers out of Level 3 represent a reduction in the fund’s investment and realized gains from a private placement security.

The following table provides quantitative information about the significant unobservable inputs used in fair value measurement as of July 31, 2012:

Security Type Fair Value at Valuation Technique Unobservable Input Amount or Range
  7/31/12 ($000)      
Common Stocks 153,058 Market Comparables Illiquidity Discount 10%

 

Significant increases or decreases in the significant unobservable inputs used in the fair value measurement of the fund’s Level 3 securities, in isolation, could result in a significantly higher or lower fair value measurement.

E. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.

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

At July 31, 2012, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

 

Windsor Fund

        ($000)
     Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Appreciation
Futures Contracts Expiration  Contracts Long (Short) (Depreciation)
E-mini S&P 500 Index September 2012 2,970 204,128 5,438
S&P 500 Index September 2012 98 33,678 1,334
E-mini S&P MidCap 400 Index September 2012 168 15,768 479

 

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

F. Certain of the fund's investments are in companies that are considered to be affiliated companies of the fund because the fund owns more than 5% of the outstanding voting securities of the company. Transactions during the period in securities of these companies were as follows:

      Current Period Transactions  
      Proceeds    
  Oct. 31, 2011   from   Jul. 31, 2012
  Market Purchases Securities Dividend Market
  Value at Cost Sold Income Value
  ($000) ($000) ($000) ($000) ($000)
Arrow Electronics Inc. 231,677 8,865 313 — 224,949
MDC Holdings Inc. 59,273 — 47,898 588 —
  290,950     588 224,949

 

G. At July 31, 2012, the cost of investment securities for tax purposes was $11,547,261,000. Net unrealized appreciation of investment securities for tax purposes was $841,019,000, consisting of unrealized gains of $1,417,077,000 on securities that had risen in value since their purchase and $576,058,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Vanguard Windsor II Fund

Schedule of Investments
As of July 31, 2012

    Market
    Value
  Shares ($000)
Common Stocks (96.0%)1    
Consumer Discretionary (6.7%)    
Carnival Corp. 11,055,586 367,930
Comcast Corp. 11,179,235 356,953
2 Service Corp. International 21,420,336 275,251
Target Corp. 3,980,100 241,393
Viacom Inc. Class B 2,592,000 121,072
Omnicom Group Inc. 2,299,300 115,379
Lowe's Cos. Inc. 3,968,942 100,692
Lear Corp. 2,430,700 86,411
Genuine Parts Co. 1,314,645 84,177
Newell Rubbermaid Inc. 4,241,200 74,857
* AutoZone Inc. 196,562 73,756
Macy's Inc. 1,991,950 71,392
American Eagle Outfitters Inc. 3,132,000 65,208
Hyundai Motor Co. 293,600 60,994
Wyndham Worldwide Corp. 1,032,258 53,729
Johnson Controls Inc. 1,636,900 40,350
Volkswagen AG 214,841 34,152
Kohl's Corp. 635,848 31,614
Magna International Inc. 768,900 30,771
Interpublic Group of Cos. Inc. 2,675,500 26,407
Time Warner Cable Inc. 289,600 24,596
JC Penney Co. Inc. 986,900 22,215
Ford Motor Co. 2,302,800 21,278
* Delphi Automotive plc 651,694 18,502
* General Motors Co. 906,900 17,875
Gap Inc. 539,300 15,904
Home Depot Inc. 229,374 11,969
Virgin Media Inc. 32,400 887
Brinker International Inc. 23,150 750
Foot Locker Inc. 22,300 736
Harman International Industries Inc. 16,950 684
Walt Disney Co. 7,812 384
Time Warner Inc. 2,299 90
Garmin Ltd. 1,700 66
    2,448,424
Consumer Staples (11.6%)    
Philip Morris International Inc. 12,627,653 1,154,673
Imperial Tobacco Group plc ADR 8,734,425 678,621
Diageo plc ADR 6,238,920 666,941
Wal-Mart Stores Inc. 6,156,900 458,258
Altria Group Inc. 12,421,007 446,784
CVS Caremark Corp. 6,469,093 292,726
Molson Coors Brewing Co. Class B 3,320,600 140,528
* Energizer Holdings Inc. 1,414,800 110,029
Sysco Corp. 3,093,841 90,928
Kraft Foods Inc. 1,525,661 60,584
* Ralcorp Holdings Inc. 1,000,590 59,705
PepsiCo Inc. 374,800 27,259

 

 

Church & Dwight Co. Inc. 292,687 16,862
General Mills Inc. 279,600 10,820
Procter & Gamble Co. 53,190 3,433
Kimberly-Clark Corp. 17,800 1,547
Reynolds American Inc. 24,300 1,124
* Constellation Brands Inc. Class A 32,700 922
* Dean Foods Co. 56,150 695
Beam Inc. 6,100 384
Safeway Inc. 16,500 257
* Smithfield Foods Inc. 7,750 143
Lorillard Inc. 600 77
Tyson Foods Inc. Class A 3,700 55
    4,223,355
Energy (12.6%)    
ConocoPhillips 14,103,489 767,794
Occidental Petroleum Corp. 8,262,757 719,108
Spectra Energy Corp. 22,709,611 696,958
Phillips 66 12,541,044 471,543
Marathon Petroleum Corp. 5,499,416 260,122
^ Seadrill Ltd. 6,172,107 239,416
Chevron Corp. 2,166,110 237,362
Marathon Oil Corp. 4,675,000 123,747
Devon Energy Corp. 2,083,894 123,200
BP plc ADR 2,948,170 117,632
Apache Corp. 1,287,106 110,846
Halliburton Co. 3,004,339 99,534
CONSOL Energy Inc. 3,161,520 91,621
Noble Corp. 1,825,078 67,528
* Cobalt International Energy Inc. 2,505,400 62,886
Royal Dutch Shell plc ADR 892,561 60,873
Total SA ADR 1,219,100 56,018
Kinder Morgan Inc. 1,354,225 48,495
Royal Dutch Shell plc ADR 653,000 46,076
* Cameron International Corp. 756,229 38,016
Valero Energy Corp. 1,179,100 32,425
* Dresser-Rand Group Inc. 668,158 31,076
Hess Corp. 579,500 27,329
Ensco plc Class A 497,171 27,011
Murphy Oil Corp. 365,400 19,607
Gazprom OAO ADR 1,553,600 14,284
Exxon Mobil Corp. 114,682 9,960
* Tesoro Corp. 28,900 799
* Nabors Industries Ltd. 23,800 329
HollyFrontier Corp. 2,400 90
Sunoco Inc. 1,500 72
* Weatherford International Ltd. 5,500 66
    4,601,823
Exchange-Traded Funds (1.1%)    
3 Vanguard Total Stock Market ETF 3,197,800 224,837
3 Vanguard Value ETF 2,511,200 142,134
SPDR S&P 500 ETF Trust 189,570 26,106
    393,077
Financials (18.0%)    
Wells Fargo & Co. 28,330,141 957,842
American Express Co. 15,579,350 899,084
JPMorgan Chase & Co. 21,947,553 790,112

 

 

PNC Financial Services Group Inc. 11,403,881 673,969
Capital One Financial Corp. 10,760,838 607,880
Citigroup Inc. 15,903,959 431,474
Bank of America Corp. 39,631,395 290,894
XL Group plc Class A 13,532,232 279,441
State Street Corp. 6,283,300 253,720
SLM Corp. 15,720,252 251,367
MetLife Inc. 4,747,616 146,084
Prudential Financial Inc. 2,236,000 107,954
Goldman Sachs Group Inc. 953,844 96,243
SunTrust Banks Inc. 3,888,967 91,974
Ameriprise Financial Inc. 1,713,500 88,622
Travelers Cos. Inc. 1,324,500 82,980
* American International Group Inc. 2,630,700 82,262
Lincoln National Corp. 3,068,461 61,523
Allstate Corp. 1,730,700 59,363
Unum Group 2,947,900 55,686
Barclays plc 17,794,000 46,343
Janus Capital Group Inc. 5,557,500 40,181
ACE Ltd. 493,122 36,244
BNP Paribas SA 866,200 31,997
PartnerRe Ltd. 420,100 30,432
Morgan Stanley 1,705,100 23,292
KeyCorp 2,781,682 22,198
US Bancorp 66,349 2,223
Discover Financial Services 34,200 1,230
Aflac Inc. 26,950 1,180
Fifth Third Bancorp 76,500 1,057
Torchmark Corp. 18,600 925
Moody's Corp. 22,500 912
Invesco Ltd. 39,000 863
Everest Re Group Ltd. 8,300 844
HCP Inc. 17,700 836
BB&T Corp. 25,900 812
Assurant Inc. 21,300 771
NASDAQ OMX Group Inc. 28,500 647
Kimco Realty Corp. 29,000 565
Macerich Co. 9,100 532
Camden Property Trust 7,400 528
Health Care REIT Inc. 8,300 516
Digital Realty Trust Inc. 6,600 515
Liberty Property Trust 12,900 468
Hospitality Properties Trust 18,120 440
Chubb Corp. 5,299 385
Duke Realty Corp. 23,300 337
* Berkshire Hathaway Inc. Class B 3,700 314
Weingarten Realty Investors 10,400 280
White Mountains Insurance Group Ltd. 200 102
Regency Centers Corp. 1,600 77
HCC Insurance Holdings Inc. 2,300 70
Huntington Bancshares Inc. 11,100 69
RenaissanceRe Holdings Ltd. 900 67
    6,556,726
Health Care (14.5%)    
Pfizer Inc. 50,555,968 1,215,365
Johnson & Johnson 12,345,850 854,580
Baxter International Inc. 13,462,168 787,671

 

 

Medtronic Inc. 16,689,800 657,912
WellPoint Inc. 8,484,799 452,155
Merck & Co. Inc. 5,295,329 233,895
UnitedHealth Group Inc. 3,508,199 179,234
McKesson Corp. 1,293,100 117,323
Abbott Laboratories 1,592,939 105,628
Amgen Inc. 1,140,041 94,167
* Gilead Sciences Inc. 1,716,200 93,241
* CareFusion Corp. 3,578,500 87,351
Covidien plc 1,538,341 85,962
Quest Diagnostics Inc. 1,342,800 78,460
St. Jude Medical Inc. 1,892,216 70,693
Thermo Fisher Scientific Inc. 839,332 46,726
* Express Scripts Holding Co. 687,653 39,843
Sanofi ADR 776,600 31,561
Novartis AG ADR 413,100 24,216
Eli Lilly & Co. 307,200 13,526
AstraZeneca plc ADR 254,400 11,908
Zimmer Holdings Inc. 186,000 10,961
Bristol-Myers Squibb Co. 58,333 2,077
Aetna Inc. 24,100 869
AmerisourceBergen Corp. Class A 16,690 663
Humana Inc. 7,610 469
Cardinal Health Inc. 6,000 259
* Charles River Laboratories International Inc. 5,850 199
Omnicare Inc. 2,200 69
    5,296,983
Industrials (11.0%)    
Raytheon Co. 13,869,840 769,499
General Electric Co. 32,714,407 678,824
Honeywell International Inc. 10,869,456 630,972
Illinois Tool Works Inc. 6,605,130 358,923
Cooper Industries plc 3,702,014 266,101
2 Xylem Inc. 9,950,502 238,613
Tyco International Ltd. 2,173,039 119,387
Boeing Co. 1,485,500 109,793
2 Exelis Inc. 10,723,702 100,803
General Dynamics Corp. 1,567,500 99,442
Parker Hannifin Corp. 1,045,000 83,934
ITT Corp. 4,384,551 82,166
Corrections Corp. of America 2,030,200 63,099
Caterpillar Inc. 613,100 51,629
Cummins Inc. 502,900 48,228
Lockheed Martin Corp. 499,300 44,573
United Parcel Service Inc. Class B 519,106 39,250
PACCAR Inc. 979,400 39,186
United Technologies Corp. 465,527 34,654
Northrop Grumman Corp. 434,276 28,749
Rockwell Collins Inc. 537,961 27,205
FedEx Corp. 300,400 27,126
* WABCO Holdings Inc. 305,405 16,773
CSX Corp. 724,447 16,619
Embraer SA ADR 493,200 12,517
* Delta Air Lines Inc. 85,100 821
L-3 Communications Holdings Inc. 7,350 521
Cintas Corp. 7,700 305
Timken Co. 5,400 195

 

 

Equifax Inc. 2,100 98
Hubbell Inc. Class B 900 74
* Engility Holdings Inc. 1,225 18
    3,990,097
Information Technology (10.6%)    
International Business Machines Corp. 4,803,645 941,418
Microsoft Corp. 28,394,840 836,796
Intel Corp. 21,067,300 541,430
Cisco Systems Inc. 15,260,100 243,399
Oracle Corp. 5,943,536 179,495
* Apple Inc. 246,058 150,282
Samsung Electronics Co. Ltd. 110,400 126,907
* Google Inc. Class A 172,680 109,301
Corning Inc. 9,534,200 108,785
* EMC Corp. 4,109,600 107,713
Texas Instruments Inc. 3,364,500 91,649
Hewlett-Packard Co. 4,908,060 89,523
QUALCOMM Inc. 1,221,600 72,905
* eBay Inc. 1,542,449 68,331
* Western Digital Corp. 965,600 38,402
Mastercard Inc. Class A 69,460 30,324
TE Connectivity Ltd. 881,075 29,084
* SanDisk Corp. 695,900 28,622
CA Inc. 1,117,228 26,892
* Dell Inc. 1,940,400 23,052
Lexmark International Inc. Class A 1,207,394 21,117
Seagate Technology plc 37,300 1,120
KLA-Tencor Corp. 18,100 921
Jabil Circuit Inc. 35,200 764
* LSI Corp. 101,400 700
IAC/InterActiveCorp 6,100 321
* Avnet Inc. 5,500 173
Total System Services Inc. 4,000 95
* Flextronics International Ltd. 8,900 57
    3,869,578
Materials (1.3%)    
EI du Pont de Nemours & Co. 5,864,838 291,482
Mosaic Co. 1,957,975 113,778
Praxair Inc. 314,144 32,596
Walter Energy Inc. 629,800 21,602
LyondellBasell Industries NV Class A 25,520 1,136
CF Industries Holdings Inc. 5,200 1,018
PPG Industries Inc. 8,700 952
Eastman Chemical Co. 17,500 915
Huntsman Corp. 60,200 762
Airgas Inc. 3,700 293
Valspar Corp. 3,150 158
International Paper Co. 4,200 138
Dow Chemical Co. 2,700 78
    464,908
Telecommunication Services (3.3%)    
AT&T Inc. 14,303,407 542,385
Vodafone Group plc ADR 13,561,100 389,882
Verizon Communications Inc. 6,359,509 287,068
    1,219,335

 

 

Utilities (5.3%)        
  Public Service Enterprise Group Inc.     18,032,258 599,392
2 CenterPoint Energy Inc.     25,766,213 542,636
  Entergy Corp.     5,412,378 393,318
  Dominion Resources Inc.     3,011,850 163,574
  Sempra Energy     843,700 59,405
  Exelon Corp.     1,476,100 57,745
* Calpine Corp.     2,121,413 36,255
  NRG Energy Inc.     1,451,400 28,767
  Edison International     525,100 24,249
  Consolidated Edison Inc.     19,600 1,264
  American Electric Power Co. Inc.     29,200 1,233
  DTE Energy Co.     17,300 1,062
  Ameren Corp.     28,600 978
  Pinnacle West Capital Corp.     17,100 916
  NV Energy Inc.     45,200 827
  TECO Energy Inc.     31,300 569
  PG&E Corp.     10,300 475
  NextEra Energy Inc.     5,600 397
  FirstEnergy Corp.     7,750 389
  Duke Energy Corp.     3,800 258
  Southern Co.     3,200 154
* AES Corp.     8,800 106
  American Water Works Co. Inc.     2,100 76
          1,914,045
Total Common Stocks (Cost $29,395,930)       34,978,351
    Coupon      
Temporary Cash Investments (3.9%)1        
Money Market Fund (3.8%)        
4,5 Vanguard Market Liquidity Fund 0.155%   1,400,316,621 1,400,317
 
        Face Market
      Maturity Amount Value
      Date ($000) ($000)
U.S. Government and Agency Obligations (0.1%)        
6,7 Fannie Mae Discount Notes 0.140% 9/19/12 5,000 4,999
6,7 Fannie Mae Discount Notes 0.155% 9/26/12 100 100
7 United States Treasury Note/Bond 1.375% 9/15/12 23,000 23,032
          28,131
Total Temporary Cash Investments (Cost $1,428,451)       1,428,448
Total Investments (99.9%) (Cost $30,824,381)       36,406,799
Other Assets and Liabilities-Net (0.1%)5       35,746
Net Assets (100%)       36,442,545

 

* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $8,010,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 97.3% and 2.6%, respectively, of net assets.
2 Considered an affiliated company of the fund as the fund owns more than 5% of the outstanding voting securities of such company.
3 Considered an affiliated company of the fund as the issuer is another member of The Vanguard Group.
4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
5 Includes $8,467,000 of collateral received for securities on loan.

 

6 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
7 Securities with a value of $27,631,000 have been segregated as initial margin for open futures contracts.
ADR—American Depositary Receipt.
REIT—Real Estate Investment Trust.

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

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

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

Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments).

The following table summarizes the market value of the fund's investments as of July 31, 2012, based on the inputs used to value them:

 

Windsor II Fund

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Common Stocks 34,663,674 314,677 —
Temporary Cash Investments 1,400,317 28,131 —
Futures Contracts—Assets1 53 — —
Futures Contracts—Liabilities1 (2,097) — —
Total 36,061,947 342,808 —
1 Represents variation margin on the last day of the reporting period.

 

D. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.

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

At July 31, 2012, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

        ($000)
      Aggregate  
    Number of Settlement Unrealized
    Long (Short) Value Appreciation
Futures Contracts Expiration  Contracts Long (Short)  (Depreciation)
E-mini S&P 500 Index September 2012 4,767 327,636 9,160
S&P 500 Index September 2012 410 140,896 6,512

 

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

E. Certain of the fund's investments are in companies that are considered to be affiliated companies of the fund because the fund owns more than 5% of the outstanding voting securities of the company. Transactions during the period in securities of these companies were as follows:

 

Windsor II Fund

      Current Period Transactions  
      Proceeds    
  Oct. 31, 2011   from   July 31, 2012
  Market Purchases Securities Dividend Market
  Value at Cost Sold Income Value
  ($000) ($000) ($000) ($000) ($000)
CenterPoint Energy Inc. 539,650 — 2,596 15,549 542,636
Cooper Industries plc 608,824 — 546,360 10,525 NA2
Exelis Inc. NA1 19,598 400 2,772 100,803
Service Corp. International 215,275 — 1,145 3,427 275,251
Xylem Inc. NA1 29,930 1,147 2,667 238,613
  1,363,749     34,940 1,157,303

1 Not applicable — At October 31, 2011, the issuer was not an affiliated company of the fund.
2 Not applicable — At July 31, 2012, the security was still held, but the issuer was no longer an affiliated company of the fund.

F. At July 31, 2012, the cost of investment securities for tax purposes was $30,824,381,000. Net unrealized appreciation of investment securities for tax purposes was $5,582,418,000, consisting of unrealized gains of $9,515,261,000 on securities that had risen in value since their purchase and $3,932,843,000 in unrealized losses on securities that had fallen in value since their purchase.

 

Item 2: Controls and Procedures

(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.

(b) Internal Control Over Financial Reporting. During the last fiscal quarter, there was no significant change in the Registrant’s internal control over financial reporting that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3: Exhibits

(a) Certifications

  VANGUARD WINDSOR FUNDS
 
By: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
 
Date: September 21, 2012

 

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 WINDSOR FUNDS
 
By: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
 
Date: September 21, 2012

 

  VANGUARD WINDSOR FUNDS
 
By: /s/ THOMAS J. HIGGINS*
  THOMAS J. HIGGINS
  CHIEF FINANCIAL OFFICER
 
Date: September 21, 2012

 

* By:/s/ Heidi Stam

Heidi Stam, pursuant to a Power of Attorney filed on March 27, 2012 see file Number 2-11444, Incorporated by Reference.