N-Q 1 convertible_final.htm convertible_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:   811-4627  
Name of Registrant:   Vanguard Convertible Securities Fund  
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:  November 30
Date of reporting period:  August 31, 2011
Item 1: Schedule of Investments

 

 

Vanguard Convertible Securities Fund

Schedule of Investments
As of August 31, 2011

      Face Market
    Maturity Amount# Value
  Coupon Date (000) ($000)
Convertible Bonds (86.2%)        
Consumer Discretionary (9.0%)        
1 Aegis Group Capital Jersey Ltd. Cvt. 2.500% 4/20/15 2,400 4,515
2 Aeon Co. Ltd. Cvt. 0.300% 11/22/13 107,000 1,560
Central European Media Enterprises Ltd. Cvt. 5.000% 11/15/15 780 584
3 Gaylord Entertainment Co. Cvt. 3.750% 10/1/14 9,285 10,469
4 GOME Electrical Appliances Holding Ltd. Cvt. 3.000% 9/25/14 14,500 2,928
5 Hengdeli Holdings Ltd. Cvt. 2.500% 10/20/15 18,000 2,485
3 Iconix Brand Group Inc. Cvt. 2.500% 6/1/16 9,365 9,178
Interpublic Group of Cos. Inc. Cvt. 4.750% 3/15/23 8,105 8,966
5 Intime Department Store Group Co. Ltd. Cvt. 1.750% 10/27/13 19,000 2,727
3 Lennar Corp. Cvt. 2.750% 12/15/20 31,050 29,886
Liberty Media LLC Cvt. 3.125% 3/30/23 22,835 25,318
MGM Resorts International Cvt. 4.250% 4/15/15 38,275 37,270
Newford Capital Ltd. Cvt. 0.000% 5/12/16 4,700 4,342
6 Nokian Renkaat OYJ Cvt. 0.000% 6/27/14 3,000 4,562
5 Power Regal Group Ltd. Cvt. 2.250% 6/2/14 19,180 2,709
3 Powerwave Technologies Inc. Cvt. 2.750% 7/15/41 8,750 7,897
2 Sekisui House Ltd. Cvt. 0.000% 7/5/16 150,000 2,025
6 Steinhoff Finance Holding GmbH Cvt. 5.000% 5/22/16 3,500 5,028
1 TUI Travel PLC Cvt. 4.900% 4/27/17 1,900 2,512
        164,961
Consumer Staples (1.7%)        
5 Glory River Holdings Ltd. Cvt. 1.000% 7/29/15 26,600 3,361
6 Marine Harvest ASA Cvt. 4.500% 2/23/15 1,800 2,453
Nash Finch Co. Cvt. 1.631% 3/15/35 12,230 5,458
Olam International Ltd. Cvt. 6.000% 10/15/16 1,800 2,250
6 Pescanova SA Cvt. 6.750% 3/5/15 2,050 3,357
6 Pescanova SA Cvt. 5.125% 4/20/17 1,450 1,907
San Miguel Corp. Cvt. 2.000% 5/5/14 5,400 5,818
Smithfield Foods Inc. Cvt. 4.000% 6/30/13 2,625 3,061
Wilmar International Ltd. Cvt. 0.000% 12/18/12 2,000 2,533
        30,198
Energy (6.3%)        
6 Aabar Investments PJSC Cvt. 4.000% 5/27/16 300 397
BPZ Resources Inc. Cvt. 6.500% 3/1/15 7,405 6,942
Chesapeake Energy Corp. Cvt. 2.750% 11/15/35 15,520 17,421
6 Cie Generale de Geophysique - Veritas Cvt. 1.750% 1/1/16 2,060 2,864
James River Coal Co. Cvt. 4.500% 12/1/15 15,425 13,728
3 James River Coal Co. Cvt. 3.125% 3/15/18 24,954 18,591
Lukoil International Finance BV Cvt. 2.625% 6/16/15 5,300 5,813
Newpark Resources Inc. Cvt. 4.000% 10/1/17 3,435 3,774
Paladin Energy Ltd. Cvt. 3.625% 11/4/15 4,757 3,687
Peabody Energy Corp. Cvt. 4.750% 12/15/41 9,885 11,578
PetroBakken Energy Ltd. Cvt. 3.125% 2/8/16 3,600 3,357
3 Petroleum Development Corp. Cvt. 3.250% 5/15/16 7,800 6,913
Petrominerales Ltd. Cvt. 2.625% 8/25/16 2,400 2,756
7 Progress Energy Resources Corp. Cvt. 5.250% 10/31/14 3,467 3,583
6 Renewable Energy Corp. ASA Cvt. 6.500% 6/4/14 1,850 2,144
Seadrill Ltd. Cvt. 3.375% 10/27/17 3,700 4,103

 

 

Subsea 7 SA Cvt. 2.250% 10/11/13 2,200 2,575
6 Technip SA Cvt. 0.500% 1/1/16 831 1,313
TMK Bonds SA Cvt. 5.250% 2/11/15 3,900 3,892
        115,431
Financials (8.9%)        
3 American Equity Investment Life Holding Co.        
Cvt. 3.500% 9/15/15 14,045 14,308
3 American Equity Investment Life Holding Co.        
Cvt. 5.250% 12/6/29 5,755 7,259
BES Finance Ltd. Cvt. 1.625% 4/15/13 5,600 4,870
Billion Express Investments Ltd. Cvt. 0.750% 10/18/15 3,700 4,385
3 BioMed Realty LP Cvt. 3.750% 1/15/30 6,785 7,803
8 CapitaLand Ltd. Cvt. 2.875% 9/3/16 5,500 4,310
Dollar Financial Corp. Cvt. 3.000% 4/1/28 13,265 17,294
6 Fonciere Des Regions Cvt. 3.340% 1/1/17 2,569 3,211
Forest City Enterprises Inc. Cvt. 3.625% 10/15/14 1,040 1,102
3 Forest City Enterprises Inc. Cvt. 4.250% 8/15/18 16,075 14,267
3 Goldman Sachs Group Inc. Cvt. 0.250% 2/28/17 26,595 22,716
9 Graubuendner Kantonalbank Cvt. 2.000% 5/8/14 4,540 5,895
3 Host Hotels & Resorts LP Cvt. 2.500% 10/15/29 17,095 18,569
6 Industrivarden AB Cvt. 2.500% 2/27/15 1,400 2,168
6 Industrivarden AB Cvt. 1.875% 2/27/17 1,350 1,760
6 Kreditanstalt fuer Wiederaufbau Cvt. 1.500% 7/30/14 1,200 1,851
3 NorthStar Realty Finance LP Cvt. 7.500% 3/15/31 9,555 8,623
Old Republic International Corp. Cvt. 3.750% 3/15/18 2,425 2,267
2 ORIX Corp. Cvt. 1.000% 3/31/14 182,000 2,692
PHH Corp. Cvt. 4.000% 9/1/14 12,305 12,551
4 Shui On Land Ltd. Cvt. 4.500% 9/29/15 17,100 2,581
6 Wereldhave NV Cvt. 2.875% 11/18/15 2,000 2,590
        163,072
Health Care (17.1%)        
Alere Inc. Cvt. 3.000% 5/15/16 16,280 14,428
Brookdale Senior Living Inc. Cvt. 2.750% 6/15/18 19,240 15,945
6 Celesio Finance B.V. Cvt. 3.750% 10/29/14 600 802
Charles River Laboratories International Inc.        
Cvt. 2.250% 6/15/13 15,402 15,267
Chemed Corp. Cvt. 1.875% 5/15/14 17,417 17,591
China Medical Technologies Inc. Cvt. 4.000% 8/15/13 2,649 1,808
3 China Medical Technologies Inc. Cvt. 6.250% 12/15/16 3,429 2,250
Cubist Pharmaceuticals Inc. Cvt. 2.500% 11/1/17 8,825 11,859
Gilead Sciences Inc. Cvt. 0.625% 5/1/13 3,420 3,967
Gilead Sciences Inc. Cvt. 1.625% 5/1/16 46,480 53,452
Hologic Inc. Cvt. 2.000% 12/15/37 19,665 20,919
3 Illumina Inc. Cvt. 0.250% 3/15/16 47,315 44,594
3 Integra LifeSciences Holdings Corp. Cvt. 1.625% 12/15/16 6,695 6,185
LifePoint Hospitals Inc. Cvt. 3.500% 5/15/14 14,367 14,529
NuVasive Inc. Cvt. 2.750% 7/1/17 20,735 19,387
Onyx Pharmaceuticals Inc. Cvt. 4.000% 8/15/16 7,097 8,463
6 Orpea Cvt. 3.880% 1/1/16 1,559 2,255
Qiagen Euro Finance SA Cvt. 3.250% 5/16/26 2,300 2,509
Salix Pharmaceuticals Ltd. Cvt. 2.750% 5/15/15 13,113 13,441
Teleflex Inc. Cvt. 3.875% 8/1/17 8,990 10,035
2 Unicharm Corp. Cvt. 0.000% 9/24/15 260,000 3,734
Vertex Pharmaceuticals Inc. Cvt. 3.350% 10/1/15 10,915 13,180
Viropharma Inc. Cvt. 2.000% 3/15/17 12,853 16,243
        312,843

 

 

Industrials (9.2%)        
A123 Systems Inc. Cvt. 3.750% 4/15/16 740 612
3 AAR Corp. Cvt. 1.625% 3/1/14 2,505 2,386
6 Abengoa SA Cvt. 4.500% 2/3/17 3,250 4,045
Alliant Techsystems Inc. Cvt. 3.000% 8/15/24 15,298 15,948
AMR Corp. Cvt. 6.250% 10/15/14 26,102 19,544
2 Asahi Glass Co. Ltd. Cvt. 0.000% 11/14/14 475,000 6,300
Avis Budget Group Inc. Cvt. 3.500% 10/1/14 10,320 11,313
Barnes Group Inc. Cvt. 3.375% 3/15/27 8,215 8,331
3 Barnes Group Inc. Cvt. 3.375% 3/15/27 5,240 5,314
4 Bright North Ltd. Cvt. 1.250% 4/13/16 2,000 276
3 CBIZ Inc. Cvt. 4.875% 10/1/15 2,535 2,896
Chart Industries Inc. Cvt. 2.000% 8/1/18 10,120 9,918
Covanta Holding Corp. Cvt. 3.250% 6/1/14 17,570 20,118
General Cable Corp. Cvt. 0.875% 11/15/13 3,966 3,773
3 Greenbrier Cos. Inc. Cvt. 3.500% 4/1/18 14,685 12,280
6 Iliad SA Cvt. 2.200% 1/1/12 400 582
3 Kaman Corp. Cvt. 3.250% 11/15/17 5,305 6,386
6 Kloeckner & Co. Financial Services SA Cvt. 2.500% 12/22/17 2,800 3,533
Larsen & Toubro Ltd. Cvt. 3.500% 10/22/14 2,600 2,932
6 Misarte Cvt. 3.250% 1/1/16 2,842 4,351
Navistar International Corp. Cvt. 3.000% 10/15/14 4,815 5,315
6 Nexans SA Cvt. 1.500% 1/1/16 1,717 2,934
2 Nidec Corp. Cvt. 0.000% 9/18/15 270,000 3,561
PB Issuer No 2 Ltd. Cvt. 1.750% 4/12/16 2,810 2,374
7 Russel Metals Inc. Cvt. 7.750% 9/30/16 3,325 3,830
6 SGL Carbon SE Cvt. 0.750% 5/16/13 1,750 2,613
6 SGL Carbon SE Cvt. 3.500% 6/30/16 350 655
6 Societa Iniziative Autostradali e Servizi SPA        
Cvt. 2.625% 6/30/17 2,993 3,905
6 Tem SAS Cvt. 4.250% 1/1/15 1,758 2,704
        168,729
Information Technology (21.7%)        
6 Alcatel-Lucent Cvt. 5.000% 1/1/15 667 1,004
Alliance Data Systems Corp. Cvt. 1.750% 8/1/13 13,780 17,328
6 Atos Cvt. 2.500% 1/1/16 2,466 3,870
AU Optronics Corp. Cvt. 0.000% 10/13/15 2,600 2,060
3 BroadSoft Inc. Cvt. 1.500% 7/1/18 9,310 8,949
CACI International Inc. Cvt. 2.125% 5/1/14 8,695 10,032
3 CACI International Inc. Cvt. 2.125% 5/1/14 1,575 1,817
6 Cap Gemini SA Cvt. 3.500% 1/1/14 1,402 2,272
Comtech Telecommunications Corp. Cvt. 3.000% 5/1/29 8,815 9,112
3 Concur Technologies Inc. Cvt. 2.500% 4/15/15 8,220 8,610
3 Digital River Inc. Cvt. 2.000% 11/1/30 11,655 10,023
6 Econocom Group Cvt. 4.000% 6/1/16 1,946 2,613
3 Electronic Arts Inc. Cvt. 0.750% 7/15/16 8,695 8,717
2 Elpida Memory Inc. Cvt. 0.500% 10/26/15 143,000 1,755
Equinix Inc. Cvt. 3.000% 10/15/14 525 562
Equinix Inc. Cvt. 4.750% 6/15/16 10,350 13,843
Hanwha SolarOne Co. Ltd. Cvt. 3.500% 1/15/18 2,460 1,710
Hon Hai Precision Industry Co. Ltd. Cvt. 0.000% 10/12/13 200 188
6 Ingenico Cvt. 2.750% 1/1/17 1,256 2,027
Intel Corp. Cvt. 3.250% 8/1/39 26,641 30,604
3 Lam Research Corp. Cvt. 0.500% 5/15/16 11,705 11,061
3 Lam Research Corp. Cvt. 1.250% 5/15/18 17,410 16,170
3 Mentor Graphics Corp. Cvt. 4.000% 4/1/31 15,480 14,629
Micron Technology Inc. Cvt. 1.875% 6/1/27 28,929 25,313

 

 

3 Micron Technology Inc. Cvt. 1.500% 8/1/31 16,860 14,500
3 Micron Technology Inc. Cvt. 1.875% 8/1/31 10,060 8,413
1 Misys PLC Cvt. 2.500% 11/22/15 1,500 2,553
6 Neopost SA Cvt. 3.750% 2/1/15 2,845 3,985
3 Novellus Systems Inc. Cvt. 2.625% 5/15/41 4,105 3,566
  Nuance Communications Inc. Cvt. 2.750% 8/15/27 10,635 12,762
  ON Semiconductor Corp. Cvt. 2.625% 12/15/26 26,368 27,917
3 Photronics Inc. Cvt. 3.250% 4/1/16 3,550 3,506
  RF Micro Devices Inc. Cvt. 1.000% 4/15/14 6,900 7,461
3 RightNow Technologies Inc. Cvt. 2.500% 11/15/30 11,215 14,271
  Rovi Corp. Cvt. 2.625% 2/15/40 7,865 9,713
  SanDisk Corp. Cvt. 1.500% 8/15/17 28,815 28,815
  SunPower Corp. Cvt. 4.500% 3/15/15 20,010 19,435
  Suntech Power Holdings Co. Ltd. Cvt. 3.000% 3/15/13 4,360 2,965
  TPK Holding Co. Ltd. Cvt. 0.000% 4/20/14 600 580
  TTM Technologies Inc. Cvt. 3.250% 5/15/15 3,786 3,961
  VeriSign Inc. Cvt. 3.250% 8/15/37 6,969 7,535
3 Vishay Intertechnology Inc. Cvt. 2.250% 5/15/41 11,195 8,690
3 WebMD Health Corp. Cvt. 2.500% 1/31/18 14,395 12,362
          397,259
Materials (7.2%)        
  AngloGold Ashanti Holdings Finance PLC Cvt. 3.500% 5/22/14 1,400 1,629
  Aquarius Platinum Ltd. Cvt. 4.000% 12/18/15 2,400 2,349
  ArcelorMittal Cvt. 5.000% 5/15/14 1,295 1,457
  Cemex SAB de CV Cvt. 4.875% 3/15/15 22,521 16,694
3 Cemex SAB de CV Cvt. 3.750% 3/15/18 8,470 5,887
  Goldcorp Inc. Cvt. 2.000% 8/1/14 1,085 1,428
3 Kaiser Aluminum Corp. Cvt. 4.500% 4/1/15 8,285 10,338
3 Molycorp Inc. Cvt. 3.250% 6/15/16 10,220 11,817
3 Owens-Brockway Glass Container Inc. Cvt. 3.000% 6/1/15 6,125 5,474
  Petropavlovsk 2010 Ltd. Cvt. 4.000% 2/18/15 3,100 3,029
  RTI International Metals Inc. Cvt. 3.000% 12/1/15 11,670 12,268
6 Salzgitter Finance BV Cvt. 1.125% 10/6/16 200 264
6 Salzgitter Finance BV Cvt. 2.000% 11/8/17 2,650 3,938
3 ShengdaTech Inc. Cvt. 6.500% 12/15/15 305 45
  Steel Dynamics Inc. Cvt. 5.125% 6/15/14 20,570 22,678
  Stillwater Mining Co. Cvt. 1.875% 3/15/28 8,125 8,054
  Tata Steel Ltd. Cvt. 4.500% 11/21/14 3,431 3,538
  United States Steel Corp. Cvt. 4.000% 5/15/14 14,720 17,664
  Welspun Corp. Ltd. Cvt. 4.500% 10/17/14 2,700 2,430
10 Western Areas NL Cvt. 6.375% 7/2/14 1,185 1,274
10 Western Areas NL Cvt. 6.400% 7/2/15 500 546
          132,801
Telecommunication Services (4.6%)        
3 InterDigital Inc. Cvt. 2.500% 3/15/16 600 824
6 Portugal Telecom International Finance BV        
  Cvt. 4.125% 8/28/14 500 636
  SBA Communications Corp. Cvt. 1.875% 5/1/13 49,639 54,479
  SK Telecom Co. Ltd. Cvt. 1.750% 4/7/14 2,961 3,261
  tw telecom inc Cvt. 2.375% 4/1/26 21,865 25,992
          85,192
Utilities (0.5%)        
6 International Power Finance Jersey III Ltd.        
  Cvt. 4.750% 6/5/15 1,500 2,262
  Tata Power Co. Ltd. Cvt. 1.750% 11/21/14 1,700 1,651

 

 

  YTL Corp. Finance Labuan Ltd. Cvt. 1.875% 3/18/15 5,800 5,829
          9,742
Total Convertible Bonds (Cost $1,603,212)       1,580,228
        Shares  
Convertible Preferred Stocks (11.9%)        
Consumer Discretionary (2.7%)        
  General Motors Co. Pfd. 4.750%   805,000 32,100
  Interpublic Group of Cos. Inc. Pfd. 5.250%   18,964 18,053
          50,153
Energy (3.9%)        
  Apache Corp. Pfd. 6.000%   329,300 19,223
* ATP Oil & Gas Corp 8.00% Cvt. Pfd 8.000%   41,300 3,247
  ATP Oil & Gas Corp. Pfd. 8.000%   55,060 4,329
3 Chesapeake Energy Corp. Pfd. 5.750%   8,590 11,339
  Energy XXI Bermuda Ltd. Pfd. 5.625%   65,610 19,909
  Goodrich Petroleum Corp. Pfd. 5.375%   349,900 13,449
          71,496
Financials (2.9%)        
  Citigroup Inc. Pfd. 7.500%   110,600 10,472
  Entertainment Properties Trust Pfd. 5.750%   206,200 4,010
  Fifth Third Bancorp Pfd. 8.500%   125,340 16,090
  Health Care REIT Inc. Pfd. 6.500%   18,133 890
  MetLife Inc. Pfd. 5.000%   338,700 22,168
          53,630
Health Care (1.7%)        
  Healthsouth Corp. Pfd. 6.500%   17,030 17,370
  Omnicare Capital Trust II Pfd. 4.000%   305,500 13,213
          30,583
Industrials (0.7%)        
  Continental Airlines Finance Trust II Pfd. 6.000%   92,000 3,036
  Stanley Black & Decker Inc. Pfd. 4.750%   86,020 9,565
          12,601
Total Convertible Preferred Stocks (Cost $217,283)       218,463
Temporary Cash Investment (2.9%)        
Money Market Fund (2.9%)        
11 Vanguard Market Liquidity Fund (Cost        
  $53,016) 0.132%   53,016,042 53,016
 
Total Investments (101.0%) (Cost $1,873,511)       1,851,707
Other Assets and Liabilities-Net (-1.0%)       (17,526)
Net Assets (100%)       1,834,181

 

* Non-income-producing security. New issue that has not paid a dividend as of August 31, 2011.
# Face amount is stated in U.S. dollars unless otherwise indicated.
1 Face amount denominated in British pounds.
2 Face amount denominated in Japanese yen.
3 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in
transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2011, the
aggregate value of these securities was $449,778,000, representing 24.5% of net assets.
4 Face amount denominated in Chinese yuan.
5 Face amount denominated in Hong Kong dollars.
6 Face amount denominated in Euro.
7 Face amount denominated in Canadian dollars.

 

8 Face amount denominated in Singapore dollars.
9 Face amount denominated in Swiss francs.
10Face amount denominated in Australian dollars.
11Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
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. Bonds, and 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. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair 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 fund's investments as of August 31, 2011, based on the inputs used to value them:

  Level 1 Level 2 Level 3
Investments ($000) ($000) ($000)
Convertible Bonds — 1,580,228 —
Convertible Preferred Stocks 218,463 — —
Temporary Cash Investments 53,016 — —
Forward Currency Contracts—Assets — 208 —
Forward Currency Contracts—Liabilities — (2,700) —
Total 271,479 1,577,736 —

 

 

Convertible Securities Fund

D. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts.

Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. 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 August 31, 2011, the fund had open forward currency contracts to receive and deliver currencies as follows. Unrealized appreciation (depreciation) on open forward currency contracts is treated as realized gain (loss) for tax purposes.

    Contract Amount (000)  
            Unrealized
  Contract         Appreciation
  Settlement         (Depreciation)
Counterparty Date Receive Deliver ($000)
UBS AG 10/20/11 USD 96,712 EUR 67,210 (1,814)
UBS AG 10/20/11 USD 19,393 JPY 1,482,360 (593)
UBS AG 10/20/11 USD 14,394 GBP 8,845 (138)
UBS AG 10/20/11 USD 11,835 HKD 92,147 (8)
UBS AG 10/20/11 USD 7,671 CAD 7,510 208
UBS AG 10/20/11 USD 5,967 CHF 4,805 (86)
UBS AG 10/20/11 USD 4,505 SGD 5,415 (47)
UBS AG 10/20/11 USD 1,833 AUD 1,723 (14)

 

AUD—Australian dollar.
CAD—Canadian dollar.
CHF—Swiss Franc.
EUR—Euro.
GBP—British pound.
HKD—Hong Kong dollar.
JPY—Japanese yen.
SGD—Singapore dollar.
USD—U.S. dollar.

E. At August 31, 2011, the cost of investment securities for tax purposes was $1,873,827,000. Net unrealized depreciation of investment securities for tax purposes was $22,120,000, consisting of unrealized gains of $98,997,000 on securities that had risen in value since their purchase and $121,117,000 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 CONVERTIBLE SECURTIES FUND
 
By: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
 
Date: October 20, 2011

 

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 CONVERTIBLE SECURTIES FUND
By: /s/ F. WILLIAM MCNABB III*
  F. WILLIAM MCNABB III
  CHIEF EXECUTIVE OFFICER
Date: October 20, 2011
  VANGUARD CONVERTIBLE SECURTIES FUND
By: /s/ THOMAS J. HIGGINS*
  THOMAS J. HIGGINS
  CHIEF FINANCIAL OFFICER
Date: October 20, 2011

 

* By:/s/ Heidi Stam

Heidi Stam, pursuant to a Power of Attorney filed on April 26, 2010, see file Number 33-53683,
Incorporated by Reference.