Form N-Q VANGUARD CONVERTIBLE For: Feb 29
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: 811-04627 |
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: February 29, 2016 |
Item 1: Schedule of Investments |
Vanguard Convertible Securities Fund
Schedule of Investments
As of February 29, 2016
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date Currency | (000) | ($000) | ||
Convertible Bonds (91.1%) | |||||
Consumer Discretionary (10.9%) | |||||
Cineplex Inc. Cvt. | 4.500% | 12/31/18 | CAD | 5,713 | 4,391 |
1 Ctrip.com International Ltd. Cvt. | 1.000% | 7/1/20 | USD | 20,010 | 20,985 |
1 Ctrip.com International Ltd. Cvt. | 1.990% | 7/1/25 | USD | 4,310 | 4,517 |
FF Group Finance Luxembourg Cvt. | 1.750% | 7/3/19 | EUR | 7,700 | 5,612 |
Iida Group Holdings Co. Ltd. Cvt. | 0.000% | 6/18/20 | JPY | 500,000 | 4,839 |
Jarden Corp. Cvt. | 1.125% | 3/15/34 | USD | 21,944 | 25,620 |
K's Holdings Corp. Cvt. | 0.000% | 12/20/19 | JPY | 400,000 | 4,119 |
Liberty Media Corp. Cvt. | 1.375% | 10/15/23 | USD | 21,325 | 20,352 |
LVMH Moet Hennessy Louis Vuitton SE Cvt. | 0.000% | 2/16/21 | USD | 3,594 | 3,758 |
NH Hoteles SA Cvt. | 4.000% | 11/8/18 | EUR | 6,100 | 7,275 |
NHK Spring Co. Ltd. Cvt. | 0.000% | 9/20/19 | USD | 4,050 | 4,146 |
Priceline Group Inc. Cvt. | 0.350% | 6/15/20 | USD | 19,520 | 23,570 |
Priceline Group Inc. Cvt. | 0.900% | 9/15/21 | USD | 6,165 | 6,227 |
ResortTrust Inc. Cvt. | 0.000% | 12/1/21 | JPY | 560,000 | 5,461 |
1 Restoration Hardware Holdings Inc. Cvt. | 0.000% | 7/15/20 | USD | 290 | 203 |
Sony Corp. Cvt. | 0.000% | 9/30/22 | JPY | 1,062,000 | 9,313 |
Steinhoff Finance Holdings GmbH Cvt. | 1.250% | 8/11/22 | EUR | 3,300 | 3,581 |
Sumitomo Forestry Co. Ltd. Cvt. | 0.000% | 8/24/18 | JPY | 430,000 | 3,894 |
Takashimaya Co. Ltd. Cvt. | 0.000% | 12/11/20 | JPY | 670,000 | 6,217 |
164,080 | |||||
Consumer Staples (3.3%) | |||||
Herbalife Ltd. Cvt. | 2.000% | 8/15/19 | USD | 24,357 | 22,180 |
Marine Harvest ASA Cvt. | 0.875% | 5/6/19 | EUR | 2,200 | 3,255 |
Marine Harvest ASA Cvt. | 0.125% | 11/5/20 | EUR | 4,400 | 4,960 |
Sonae Investments BV Cvt. | 1.625% | 6/11/19 | EUR | 5,300 | 5,518 |
Vector Group Ltd. Cvt. | 1.750% | 4/15/20 | USD | 12,065 | 13,340 |
49,253 | |||||
Energy (2.5%) | |||||
BW Group Ltd. Cvt. | 1.750% | 9/10/19 | USD | 6,400 | 5,384 |
Cheniere Energy Inc. Cvt. | 4.250% | 3/15/45 | USD | 7,380 | 3,792 |
1 Scorpio Tankers Inc. Cvt. | 2.375% | 7/1/19 | USD | 7,293 | 5,930 |
SEACOR Holdings Inc. Cvt. | 2.500% | 12/15/27 | USD | 10,410 | 8,725 |
Technip SA Cvt. | 0.875% | 1/25/21 | EUR | 5,200 | 6,329 |
TOTAL SA Cvt. | 0.500% | 12/2/22 | USD | 8,000 | 7,890 |
38,050 | |||||
Financials (14.8%) | |||||
Aabar Investments PJSC Cvt. | 1.000% | 3/27/22 | EUR | 6,000 | 4,771 |
AmTrust Financial Services Inc. Cvt. | 2.750% | 12/15/44 | USD | 13,070 | 9,843 |
Apollo Commercial Real Estate Finance Inc. | |||||
Cvt. | 5.500% | 3/15/19 | USD | 9,197 | 9,168 |
Aroundtown Property Holdings plc Cvt. | 3.000% | 5/5/20 | EUR | 8,300 | 10,700 |
Aroundtown Property Holdings plc Cvt. | 1.500% | 1/18/21 | EUR | 2,500 | 2,679 |
AYC Finance Ltd. Cvt. | 0.500% | 5/2/19 | USD | 2,886 | 2,976 |
Azimut Holding SPA Cvt. | 2.125% | 11/25/20 | EUR | 10,300 | 12,179 |
Beni Stabili SpA SIIQ Cvt. | 0.875% | 1/31/21 | EUR | 7,500 | 7,894 |
Blackstone Mortgage Trust Inc. Cvt. | 5.250% | 12/1/18 | USD | 6,405 | 6,485 |
British Land White 2015 Ltd. Cvt. | 0.000% | 6/9/20 | GBP | 3,400 | 4,472 |
CapitaCommercial Trust Cvt. | 2.500% | 9/12/17 | SGD | 2,250 | 1,686 |
CapitaLand Ltd. Cvt. | 2.800% | 6/8/25 | SGD | 14,750 | 9,898 |
China Overseas Finance Investment Cayman | |||||
V Ltd. Cvt. | 0.000% | 1/5/23 | USD | 3,800 | 3,691 |
Colony Financial Inc. Cvt. | 5.000% | 4/15/23 | USD | 9,594 | 8,389 |
Colony Starwood Homes Cvt. | 3.000% | 7/1/19 | USD | 1,320 | 1,253 |
1 Element Financial Corp. Cvt. | 5.125% | 6/30/19 | CAD | 15,464 | 12,344 |
1 Element Financial Corp. Cvt. | 4.250% | 6/30/20 | CAD | 8,650 | 6,233 |
1 Empire State Realty OP LP Cvt. | 2.625% | 8/15/19 | USD | 7,925 | 7,935 |
Encore Capital Group Inc. Cvt. | 3.000% | 7/1/20 | USD | 7,668 | 5,622 |
1 Extra Space Storage LP Cvt. | 3.125% | 10/1/35 | USD | 13,235 | 14,393 |
Grand City Properties SA Cvt. | 0.250% | 3/2/22 | EUR | 3,200 | 3,562 |
Nexity SA Cvt. | 0.630% | 1/1/20 | EUR | 3,623 | 4,625 |
Portfolio Recovery Associates Inc. Cvt. | 3.000% | 8/1/20 | USD | 7,283 | 5,403 |
RWT Holdings Inc. Cvt. | 5.625% | 11/15/19 | USD | 7,800 | 7,020 |
Spirit Realty Capital Inc. Cvt. | 2.875% | 5/15/19 | USD | 11,855 | 11,655 |
Spirit Realty Capital Inc. Cvt. | 3.750% | 5/15/21 | USD | 10,830 | 10,688 |
St. Modwen Properties Securities Jersey Ltd. | |||||
Cvt. | 2.875% | 3/6/19 | GBP | 4,800 | 6,436 |
Starwood Property Trust Inc. Cvt. | 4.550% | 3/1/18 | USD | 9,861 | 9,682 |
Starwood Property Trust Inc. Cvt. | 4.000% | 1/15/19 | USD | 13,365 | 12,922 |
Unite Jersey Issuer Ltd. Cvt. | 2.500% | 10/10/18 | GBP | 4,100 | 7,262 |
221,866 | |||||
Health Care (14.4%) | |||||
Acorda Therapeutics Inc. Cvt. | 1.750% | 6/15/21 | USD | 10,706 | 10,572 |
Allscripts Healthcare Solutions Inc. Cvt. | 1.250% | 7/1/20 | USD | 10,095 | 9,937 |
BioMarin Pharmaceutical Inc. Cvt. | 0.750% | 10/15/18 | USD | 5,435 | 6,254 |
Brookdale Senior Living Inc. Cvt. | 2.750% | 6/15/18 | USD | 13,940 | 13,191 |
Cepheid Inc. Cvt. | 1.250% | 2/1/21 | USD | 5,205 | 4,395 |
Depomed Inc. Cvt. | 2.500% | 9/1/21 | USD | 8,315 | 8,388 |
Fresenius Medical Care AG & Co. KGaA Cvt. | 1.125% | 1/31/20 | EUR | 800 | 1,097 |
HealthSouth Corp. Cvt. | 2.000% | 12/1/43 | USD | 13,731 | 14,701 |
Healthways Inc. Cvt. | 1.500% | 7/1/18 | USD | 6,620 | 6,012 |
1 HeartWare International Inc. Cvt. | 1.750% | 12/15/21 | USD | 2,498 | 1,724 |
Hologic Inc. Cvt. | 0.000% | 12/15/43 | USD | 12,880 | 16,092 |
1 Horizon Pharma Investment Ltd. Cvt. | 2.500% | 3/15/22 | USD | 6,952 | 6,113 |
Illumina Inc. Cvt. | 0.500% | 6/15/21 | USD | 7,285 | 7,599 |
Insulet Corp. Cvt. | 2.000% | 6/15/19 | USD | 10,879 | 10,267 |
1 Ironwood Pharmaceuticals Inc. Cvt. | 2.250% | 6/15/22 | USD | 10,724 | 8,961 |
Jazz Investments I Ltd. Cvt. | 1.875% | 8/15/21 | USD | 30,006 | 30,118 |
Medicines Co. Cvt. | 2.500% | 1/15/22 | USD | 7,418 | 8,429 |
Medidata Solutions Inc. Cvt. | 1.000% | 8/1/18 | USD | 14,805 | 14,509 |
Molina Healthcare Inc. Cvt. | 1.625% | 8/15/44 | USD | 5,385 | 6,613 |
Qiagen NV Cvt. | 0.375% | 3/19/19 | USD | 3,400 | 3,543 |
Qiagen NV Cvt. | 0.875% | 3/19/21 | USD | 4,800 | 5,103 |
Terumo Corp. Cvt. | 0.000% | 12/6/21 | JPY | 810,000 | 8,656 |
Wright Medical Group Inc. Cvt. | 2.000% | 2/15/20 | USD | 15,330 | 13,826 |
216,100 | |||||
Industrials (10.1%) | |||||
51job Inc. Cvt. | 3.250% | 4/15/19 | USD | 6,240 | 5,951 |
Aecon Group Inc. Cvt. | 5.500% | 12/31/18 | CAD | 1,852 | 1,383 |
Brenntag Finance BV Cvt. | 1.875% | 12/2/22 | USD | 9,250 | 9,483 |
Carillion Finance Jersey Ltd. Cvt. | 2.500% | 12/19/19 | GBP | 5,200 | 6,905 |
CRRC Corp. Ltd. Cvt. | 0.000% | 2/5/21 | USD | 5,250 | 5,381 |
DP World Ltd. Cvt. | 1.750% | 6/19/24 | USD | 7,400 | 7,123 |
1 Dycom Industries Inc. Cvt. | 0.750% | 9/15/21 | USD | 23,620 | 22,144 |
Echo Global Logistics Inc. Cvt. | 2.500% | 5/1/20 | USD | 7,560 | 7,187 |
GVM Debentures Lux 1 SA Cvt. | 5.750% | 2/14/18 | EUR | 6,200 | 5,472 |
Huron Consulting Group Inc. Cvt. | 1.250% | 10/1/19 | USD | 12,810 | 12,033 |
International Consolidated Airlines Group SA | |||||
Cvt. | 0.625% | 11/17/22 | EUR | 4,900 | 4,909 |
Johnson Electric Holdings Ltd. Cvt. | 1.000% | 4/2/21 | USD | 11,000 | 11,385 |
KEYW Holding Corp. Cvt. | 2.500% | 7/15/19 | USD | 8,750 | 6,109 |
Larsen & Toubro Ltd. Cvt. | 0.675% | 10/22/19 | USD | 6,325 | 5,851 |
LIXIL Group Corp. Cvt. | 0.000% | 3/4/22 | JPY | 810,000 | 7,169 |
MISUMI Group Inc. Cvt. | 0.000% | 10/22/18 | USD | 4,600 | 5,480 |
Nagoya Railroad Co. Ltd. Cvt. | 0.000% | 12/11/24 | JPY | 750,000 | 7,536 |
Prysmian SPA Cvt. | 1.250% | 3/8/18 | EUR | 3,300 | 3,854 |
Sacyr SA Cvt. | 4.000% | 5/8/19 | EUR | 4,400 | 3,771 |
Safran SA Cvt. | 0.000% | 12/31/20 | EUR | 3,430 | 3,882 |
Shimizu Corp. Cvt. | 0.000% | 10/16/20 | JPY | 360,000 | 3,335 |
Siemens Financieringsmaatschappij NV Cvt. | 1.650% | 8/16/19 | USD | 5,250 | 5,530 |
151,873 | |||||
Information Technology (28.3%) | |||||
Advanced Semiconductor Engineering Inc. | |||||
Cvt. | 0.000% | 3/27/18 | USD | 6,600 | 5,940 |
Akamai Technologies Inc. Cvt. | 0.000% | 2/15/19 | USD | 540 | 522 |
ASM Pacific Technology Ltd. Cvt. | 2.000% | 3/28/19 | HKD | 18,000 | 2,308 |
1 BroadSoft Inc. Cvt. | 1.000% | 9/1/22 | USD | 9,740 | 10,945 |
Brocade Communications Systems Inc. Cvt. | 1.375% | 1/1/20 | USD | 9,085 | 8,835 |
1 CalAmp Corp. Cvt. | 1.625% | 5/15/20 | USD | 8,355 | 7,974 |
Canadian Solar Inc. Cvt. | 4.250% | 2/15/19 | USD | 6,555 | 5,723 |
Cardtronics Inc. Cvt. | 1.000% | 12/1/20 | USD | 13,885 | 13,113 |
Citrix Systems Inc. Cvt. | 0.500% | 4/15/19 | USD | 29,110 | 31,384 |
1 DH Corp. Cvt. | 5.000% | 9/30/20 | CAD | 13,003 | 9,852 |
Econocom Group Cvt. | 1.500% | 1/15/19 | EUR | 6,518 | 7,519 |
Electronics For Imaging Inc. Cvt. | 0.750% | 9/1/19 | USD | 15,280 | 15,414 |
Euronet Worldwide Inc. Cvt. | 1.500% | 10/1/44 | USD | 11,529 | 12,797 |
1 Integrated Device Technology Inc. Cvt. | 0.875% | 11/15/22 | USD | 8,760 | 7,879 |
Intel Corp. Cvt. | 2.950% | 12/15/35 | USD | 3,100 | 3,751 |
j2 Global Inc. Cvt. | 3.250% | 6/15/29 | USD | 12,676 | 15,449 |
Microchip Technology Inc. Cvt. | 1.625% | 2/15/25 | USD | 14,565 | 13,973 |
Micron Technology Inc. Cvt. | 3.000% | 11/15/43 | USD | 10,555 | 7,309 |
Nuance Communications Inc. Cvt. | 1.500% | 11/1/35 | USD | 14,438 | 15,178 |
1 Nuance Communications Inc. Cvt. | 1.000% | 12/15/35 | USD | 12,915 | 12,245 |
NXP Semiconductors NV Cvt. | 1.000% | 12/1/19 | USD | 22,731 | 24,038 |
1 ON Semiconductor Corp. Cvt. | 1.000% | 12/1/20 | USD | 7,100 | 6,208 |
Red Hat Inc. Cvt. | 0.250% | 10/1/19 | USD | 16,830 | 19,575 |
1 Rovi Corp. Cvt. | 0.500% | 3/1/20 | USD | 20,109 | 20,122 |
SanDisk Corp. Cvt. | 0.500% | 10/15/20 | USD | 39,135 | 40,089 |
Semiconductor Manufacturing International | |||||
Corp. Cvt. | 0.000% | 11/7/18 | USD | 4,000 | 4,190 |
SunPower Corp. Cvt. | 0.875% | 6/1/21 | USD | 945 | 734 |
1 SunPower Corp. Cvt. | 4.000% | 1/15/23 | USD | 11,345 | 11,735 |
Synchronoss Technologies Inc. Cvt. | 0.750% | 8/15/19 | USD | 12,410 | 11,534 |
Trina Solar Ltd. Cvt. | 3.500% | 6/15/19 | USD | 2,975 | 2,824 |
TTM Technologies Inc. Cvt. | 1.750% | 12/15/20 | USD | 13,523 | 11,714 |
Web.com Group Inc. Cvt. | 1.000% | 8/15/18 | USD | 13,795 | 13,002 |
WebMD Health Corp. Cvt. | 2.500% | 1/31/18 | USD | 11,810 | 12,652 |
WebMD Health Corp. Cvt. | 1.500% | 12/1/20 | USD | 10,565 | 13,134 |
Yahoo! Inc. Cvt. | 0.000% | 12/1/18 | USD | 24,383 | 23,758 |
Yandex NV Cvt. | 1.125% | 12/15/18 | USD | 2,721 | 2,311 |
425,730 |
Materials (4.9%) | |||||
APERAM Cvt. | 0.625% | 7/8/21 | USD | 7,400 | 7,919 |
Buzzi Unicem SPA Cvt. | 1.375% | 7/17/19 | EUR | 3,700 | 4,654 |
Cemex SAB de CV Cvt. | 3.750% | 3/15/18 | USD | 425 | 391 |
Cemex SAB de CV Cvt. | 3.720% | 3/15/20 | USD | 19,840 | 15,674 |
Cemex SAB de CV Cvt. | 3.720% | 3/15/20 | USD | 10,515 | 8,307 |
1 Chemtrade Logistics Income Fund Cvt. | 5.250% | 6/30/21 | CAD | 5,331 | 3,664 |
NV Bekaert SA Cvt. | 0.750% | 6/18/18 | EUR | 3,600 | 4,066 |
OCI Cvt. | 3.875% | 9/25/18 | EUR | 5,200 | 5,737 |
Outokumpu OYJ Cvt. | 3.250% | 2/26/20 | EUR | 1,900 | 1,573 |
RTI International Metals Inc. Cvt. | 1.625% | 10/15/19 | USD | 14,465 | 14,356 |
Teijin Ltd. Cvt. | 0.000% | 12/12/18 | JPY | 140,000 | 1,366 |
Teijin Ltd. Cvt. | 0.000% | 12/10/21 | JPY | 610,000 | 6,181 |
73,888 | |||||
Telecommunication Services (0.5%) | |||||
America Movil SAB de Cvt. | 0.000% | 5/28/20 | EUR | 7,600 | 8,185 |
Utilities (1.4%) | |||||
Northland Power Inc. Cvt. | 5.000% | 6/30/19 | CAD | 2,661 | 1,996 |
Northland Power Inc. Cvt. | 4.750% | 6/30/20 | CAD | 6,225 | 4,658 |
1 Pattern Energy Group Inc. Cvt. | 4.000% | 7/15/20 | USD | 10,995 | 9,195 |
Suez Environnement Co. Cvt. | 0.000% | 2/27/20 | EUR | 2,336 | 2,882 |
Superior Plus Corp. Cvt. | 6.000% | 6/30/19 | CAD | 2,558 | 1,820 |
20,551 | |||||
Total Convertible Bonds (Cost $1,432,841) | 1,369,576 | ||||
Shares | |||||
Convertible Preferred Stocks (5.5%) | |||||
Energy (0.9%) | |||||
Kinder Morgan Inc. Pfd. | 9.750% | 207,900 | 9,381 | ||
McDermott International Inc. Pfd. | 6.250% | 314,400 | 4,002 | ||
13,383 | |||||
Financials (2.1%) | |||||
American Tower Corp. Pfd. | 5.500% | 207,600 | 19,972 | ||
Crown Castle International Corp. Pfd. | 4.500% | 104,700 | 11,124 | ||
31,096 | |||||
Health Care (2.5%) | |||||
Alere Inc. Pfd. | 3.000% | 16,405 | 6,345 | ||
Allergan plc Pfd. | 5.500% | 19,600 | 18,963 | ||
Teva Pharmaceutical Industries Ltd. Pfd. | 7.000% | 14,400 | 12,902 | ||
38,210 | |||||
Total Convertible Preferred Stocks (Cost $85,337) | 82,689 | ||||
Temporary Cash Investment (3.4%) | |||||
Money Market Fund (3.4%) | |||||
2 Vanguard Market Liquidity Fund (Cost | |||||
$51,428) | 0.475% | 51,427,954 | 51,428 | ||
Total Investments (100.0%) (Cost $1,569,606) | 1,503,693 | ||||
Other Assets and Liabilities-Net (0.0%)3 | (408) | ||||
Net Assets (100%) | 1,503,285 |
1 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 February 29, 2016, the
aggregate value of these securities was $211,301,000, representing 14.1% of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Cash of $7,570,000 has been segregated as collateral for open forward currency contracts.
CAD—Canadian dollar.
CHF—Swiss franc.
EUR—Euro.
GBP—British pound.
HKD—Hong Kong dollar.
JPY—Japanese yen.
SEK—Swedish krona.
SGD—Singapore dollar.
USD—U.S. dollar.
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 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.
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 February 29, 2016, based on the inputs used to value them:
Convertible Securities Fund
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Convertible Bonds | — | 1,369,576 | — |
Convertible Preferred Stocks | — | 82,689 | — |
Temporary Cash Investments | 51,428 | — | — |
Forward Currency Contracts—Assets | — | 1,783 | — |
Forward Currency Contracts—Liabilities | — | (7,596) | — |
Total | 51,428 | 1,446,452 | — |
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. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any assets pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
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 notional amounts of the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the contracts are recorded as an asset (liability).
At February 29, 2016, the fund had open forward currency contracts to receive and deliver currencies as follows. Unrealized appreciation (depreciation) on open forward currency contracts, except for Hong Kong and Singapore dollar 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 | 4/21/16 | CAD | 2,731 | USD | 1,971 | 47 |
UBS AG | 4/21/16 | CHF | 3,467 | USD | 3,577 | (95) |
UBS AG | 4/21/16 | EUR | 16,772 | USD | 18,906 | (631) |
UBS AG | 4/21/16 | GBP | 764 | USD | 1,097 | (34) |
Convertible Securities Fund
UBS AG | 4/21/16 | JPY | 828,500 | USD | 6,914 | 446 |
UBS AG | 4/21/16 | JPY | 84,400 | USD | 755 | (5) |
UBS AG | 4/21/16 | SEK | 14,400 | USD | 1,681 | 5 |
UBS AG | 4/21/16 | SGD | 3,890 | USD | 2,775 | (13) |
UBS AG | 4/21/16 | USD | 44,934 | CAD | 65,365 | (3,380) |
UBS AG | 4/21/16 | USD | 3,469 | CHF | 3,465 | (10) |
UBS AG | 4/21/16 | USD | 153,893 | EUR | 140,525 | 774 |
UBS AG | 4/21/16 | USD | 5,544 | EUR | 5,120 | (35) |
UBS AG | 4/21/16 | USD | 27,079 | GBP | 19,090 | 504 |
UBS AG | 4/21/16 | USD | 2,299 | HKD | 17,990 | (14) |
UBS AG | 4/21/16 | USD | 73,763 | JPY | 8,647,205 | (3,056) |
UBS AG | 4/21/16 | USD | 1,685 | SEK | 14,335 | 7 |
UBS AG | 4/21/16 | USD | 13,976 | SGD | 20,130 | (323) |
(5,813) | ||||||
Refer to the Schedule of Investments for currency abbreviations. |
E. At February 29, 2016, the cost of investment securities for tax purposes was $1,569,606,000. Net unrealized depreciation of investment securities for tax purposes was $65,913,000, consisting of unrealized gains of $39,603,000 on securities that had risen in value since their purchase and $105,516,000 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 SECURITIES FUND | |
By: | /s/ F. WILLIAM MCNABB III* |
F. WILLIAM MCNABB III | |
CHIEF EXECUTIVE OFFICER | |
Date: April 15, 2016 |
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 SECURITIES FUND | |
By: |
/s/ F. WILLIAM MCNABB III* |
F. WILLIAM MCNABB III | |
CHIEF EXECUTIVE OFFICER | |
Date: April 15, 2016 |
|
|
VANGUARD CONVERTIBLE SECURITIES FUND |
By: |
/s/ THOMAS J. HIGGINS* |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER | |
Date: April 15, 2016 |
* By:/s/ Heidi Stam
Heidi Stam, pursuant to a Power of Attorney filed on April 22, 2014 see file Number 2-17620, Incorporated by Reference.
CERTIFICATIONS
I, F. William McNabb III, certify that:
1. I have reviewed this report on Form N-Q of Vanguard Convertible Securities Fund;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;
4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and
(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: April 15, 2016 |
/s/ F. William McNabb III |
|
F. William McNabb III |
|
Chief Executive Officer |
0362216, v0.96
CERTIFICATIONS
I, Thomas J. Higgins, certify that:
1. I have reviewed this report on Form N-Q of Vanguard Convertible Securities Fund;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;
4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and
(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
Date: April 15, 2016 |
/s/ Thomas J Higgins |
|
Thomas J. Higgins |
|
Chief Financial Officer |
0362216, v0.96
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