gug51024-nq.htm
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC  20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number     811-21309
 
Advent Claymore Convertible Securities and Income Fund
(Exact name of registrant as specified in charter)

1271 Avenue of the Americas, 45th Floor, New York, NY 10020
(Address of principal executive offices) (Zip code)
 
Robert White
 
 1271 Avenue of the Americas, 45th Floor
New York, NY 10020
(Name and address of agent for service)

Registrant’s telephone number, including area code:  (212) 482-1600                                                                                                                     

Date of fiscal year end: October 31                                                                

Date of reporting period: January 31, 2011                                                                           

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5).  The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public.  A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number.  Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549-1090.  The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
 
 
 
 
 
Item 1.    Schedule of Investments.
Attached hereto.
 
 ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND
      
 Portfolio of Investments
        
January 31, 2011 (unaudited)
        
           
 Number of Shares
        
 Value
           
   
Long-Term Investments — 149.8%
      
           
   
Convertible Preferred Stocks — 53.8%
      
   
Agriculture — 1.0%
      
                         109,100
  
Archer-Daniels-Midland Co., 6.25%, 2011
    
 $                      4,551,652
           
   
Airlines — 2.0%
      
                         235,000
  
Continental Airline Finance Trust II, 6.00%, 2030
    
                         9,267,812
           
   
Auto Manufacturers — 4.6%
      
                         160,000
  
Ford Motor Co. Capital Trust II, 6.50%, 2032
    
                         8,364,800
                         241,600
  
General Motors Co., Ser. B, 4.75%, 2013
    
                       13,121,296
         
                       21,486,096
   
Banks — 12.7%
      
                           10,650
  
Bank of America Corp., Ser. L, 7.25% (a)
    
                       10,548,825
                           85,479
  
Citigroup, Inc., 7.50%, 2012
    
                       11,763,620
                           72,176
  
Keycorp, Ser. A, 7.75% (a)
    
                         7,982,666
                         234,388
  
Synovus Financial Corp., Ser. tMED, 8.25%, 2013
    
                         5,791,727
                         180,001
  
UBS AG, (Stillwater Mining Co.), 9.375%, 2012 (Switzerland) (b)
    
                         5,005,234
                             6,000
  
Webster Financial Corp., Ser. A, 8.50% (a)
    
                         6,615,000
                           11,852
  
Wells Fargo & Co., Ser. L, 7.50% (a)
    
                       12,355,710
         
                       60,062,782
           
   
Diversified Financial Services — 0.9%
      
                         302,200
  
2010 Swift Mandatory Common Exchange Security Trust, 6.00%, 2013 (c)
    
                         4,160,146
           
   
Electric — 6.7%
      
                         123,400
  
Great Plains Energy, Inc., 12.00%, 2012
    
                         7,996,320
                         223,904
  
NextEra Energy, Inc., 8.375%, 2012
    
                       11,262,371
                         227,099
  
PPL Corp., 9.50%, 2013
    
                       12,331,476
         
                       31,590,167
   
Hand & Machine Tools — 1.6%
      
                           64,510
  
Stanley Black & Decker, Inc., 4.75%, 2015
    
                         7,530,252
           
   
Healthcare Services — 1.6%
      
                             7,500
  
HealthSouth Corp., Ser. A, 6.50% (a)
    
                         7,623,750
           
   
Housewares — 0.9%
      
                           95,290
  
Newell Financial Trust I, 5.25%, 2027
    
                         4,079,603
           
   
Insurance — 4.2%
      
                         255,000
  
Hartford Financial Services Group, Inc., Ser. F, 7.25%, 2013
    
                         6,719,250
                           95,000
  
RGA Capital Trust I, Equity Security Unit, 5.75%, 2051
    
                         7,116,450
                         190,667
  
XL Group PLC, 10.75%, 2011 (Ireland)
    
                         6,028,891
         
                       19,864,591
   
Media — 0.5%
      
                           45,000
  
Nielsen Holdings NV, 6.25%, 2013 (Netherlands)
    
                         2,444,063
           
   
Mining— 0.8%
      
                           70,002
  
AngloGold Ashanti Holdings Finance PLC, 6.00%, 2013 (South Africa)
    
                         3,591,103
           
   
Oil & Gas— 4.1%
      
                         197,924
  
Apache Corp., Ser. D, 6.00%, 2013
    
                       12,952,147
                           30,000
  
Chesapeake Energy Corp., 5.00% (a)
    
                         2,985,000
                           82,500
  
Goodrich Petroleum Corp., Ser. B, 5.375% (a)
    
                         3,654,750
         
                       19,591,897
   
Pharmaceuticals — 2.7%
      
                         321,000
  
Omnicare Capital Trust II, Ser. B, 4.00%, 2033
    
                       12,737,280
           
   
Pipelines — 1.8%
      
                             6,600
  
El Paso Corp., 4.99% (a)
    
                         8,416,650
           
   
Real Estate — 0.9%
      
                           65,000
  
Forest City Enterprises, Inc., Ser. A, 7.00% (a)
    
                         4,074,687
           
   
Real Estate Investment Trusts — 2.3%
      
                         428,307
  
Alexandria Real Estate Equities, Inc., Ser. D, 7.00% (a)
    
                       10,707,675
           
   
Savings & Loans — 2.0%
      
                         192,788
  
New York Community Capital Trust V, 6.00%, 2051
    
                         9,712,659
           
   
Telecommunications — 2.5%
      
                           13,155
  
Lucent Technologies Capital Trust I, 7.75%, 2017 (France)
    
                       11,954,606
           
   
Total Convertible Preferred Stocks - 53.8%
      
   
(Cost $213,254,762)
    
                     253,447,471
           
           
 Principal Amount
        
 Value
   
Convertible Bonds — 58.8%
      
   
Aerospace & Defense — 1.6%
      
 $                   2,000,000
  
AAR Corp., BB, 1.625%, 3/01/14 (c)
    
                         2,032,500
                      5,445,000
  
Alliant Techsystems, Inc., BB-, 2.75%, 9/15/11
    
                         5,526,675
         
                         7,559,175
   
Airlines— 2.1%
      
                      9,281,000
  
United Continental Holdings, Inc., CCC+, 4.50%, 6/30/21
    
                         9,680,083
           
   
Biotechnology — 6.1%
      
                      6,500,000
  
Amgen, Inc., Ser. B, A+, 0.375%, 2/01/13
    
                         6,556,875
                      6,250,000
  
Amylin Pharmaceuticals, Inc., NR, 3.00%, 6/15/14
    
                         5,648,438
                    12,175,000
  
Gilead Sciences, Inc., NR, 1.00%, 5/01/14 (c)
    
                       13,012,031
                      3,000,000
  
Life Technologies Corp., BBB, 3.25%, 6/15/25
    
                         3,510,000
         
                       28,727,344
   
Building Materials— 1.7%
      
                      7,460,000
  
Cemex SAB de CV, NR, 4.875%, 3/15/15 (Mexico) (c)
    
                         7,833,000
           
   
Coal  — 2.8%
      
                      4,083,000
  
Massey Energy Co., BB-, 3.25%, 8/01/15
    
                         4,562,752
                      8,928,000
  
Patriot Coal Corp., NR, 3.25%, 5/31/13
    
                         8,682,480
 
  
 
    
                       13,245,232
   
Computers — 1.9%
      
                         136,000
  
EMC Corp., Ser. A, A-, 1.75%, 12/01/11
    
                            212,840
                         500,000
  
EMC Corp., Ser. B,  A-, 1.75%, 12/01/13
    
                            812,500
                      3,000,000
  
Radisys Corp., NR, 2.75%, 2/15/13
    
                         2,958,750
                      5,000,000
  
SanDisk Corp., BB-, 1.00%, 5/15/13
    
                         4,862,500
         
                         8,846,590
   
Diversified Financial Services — 2.2%
      
                      5,000,000
  
Affiliated Managers Group, Inc., BBB-, 3.95%, 8/15/38
    
                         5,806,250
                      4,320,000
  
Jefferies Group, Inc., BBB, 3.875%, 11/01/29
    
                         4,536,000
         
                       10,342,250
   
Electrical Components & Equipment — 1.0%
      
                      5,000,000
  
Suntech Power Holdings Co. Ltd., NR, 3.00%, 3/15/13 (Cayman Islands)
    
                         4,612,500
           
   
Energy - Alternate Sources  — 0.9%
      
                      3,500,000
  
Covanta Holding Corp., B, 3.25%, 6/01/14
    
                         4,130,000
           
   
Entertainment  — 1.2%
      
                      5,000,000
  
International Game Technology, BBB, 3.25%, 5/01/14
    
                         5,818,750
           
   
Healthcare Products — 5.5%
      
                      4,940,000
  
Hologic, Inc., Ser. 2010, BB+, 2.00%, 12/15/37 (d)
    
                         5,674,825
                      3,000,000
  
Integra LifeSciences Holdings Corp., NR, 2.375%, 6/01/12 (c)
    
                         3,015,000
                    11,600,000
  
Medtronic, Inc., Ser. B, AA-, 1.625%, 4/15/13
    
                       11,875,500
                      5,540,000
  
NuVasive, Inc., NR, 2.25%, 3/15/13
    
                         5,560,775
         
                       26,126,100
   
Healthcare Services — 3.6%
      
                      4,000,000
  
AMERIGROUP Corp., BB, 2.00%, 5/15/12
    
                         5,240,000
                      8,265,000
  
LifePoint Hospitals, Inc., B, 3.50%, 5/15/14
    
                         8,368,312
                      3,045,000
  
Lincare Holdings, Inc., Ser. A, NR, 2.75%, 11/01/37
    
                         3,395,175
         
                       17,003,487
   
Home Builders— 1.0%
      
                      4,000,000
  
Lennar Corp., B+, 2.75%, 12/15/20 (c)
    
                         4,540,000
           
   
Insurance — 1.0%
      
                      3,760,000
  
Old Republic International Corp., BBB+, 8.00%, 5/15/12
    
                         4,460,300
           
   
Internet — 2.0%
      
                      5,600,000
  
Symantec Corp., BBB, 1.00%, 6/15/13
    
                         6,510,000
                      3,000,000
  
WebMD Health Corp., NR, 2.50%, 1/31/18 (c)
    
                         3,033,750
         
                         9,543,750
   
Lodging — 2.4%
      
                      6,973,000
  
MGM Resorts International , CCC+, 4.25%, 4/15/15 (c)
    
                         7,748,746
                      4,250,000
  
Morgans Hotel Group Co., NR, 2.375%, 10/15/14
    
                         3,686,875
         
                       11,435,621
   
Media — 0.7%
      
                      2,750,000
  
XM Satellite Radio, Inc., BB-, 7.00%, 12/01/14 (c)
    
                         3,495,938
           
   
Miscellaneous Manufacturing — 1.0%
      
                      4,850,000
  
Trinity Industries, Inc., BB-, 3.875%, 6/01/36
    
                         4,843,937
           
   
Oil & Gas— 2.2%
      
                      3,250,000
  
Chesapeake Energy Corp., BB, 2.75%, 11/15/35
    
                         3,587,188
                      4,850,000
  
Chesapeake Energy Corp., BB, 2.25%, 12/15/38
    
                         4,086,125
                      2,750,000
  
Goodrich Petroleum Corp., NR, 3.25%, 12/01/26
    
                         2,760,313
         
                       10,433,626
   
Oil & Gas Services — 0.5%
      
                      2,500,000
  
SESI LLC, BB+, 1.50%, 12/15/26 (e)
    
                         2,578,125
           
   
Pharmaceuticals — 6.3%
      
                      7,500,000
  
Allergan, Inc., A+, 1.50%, 4/01/26
    
                         8,587,500
                      1,500,000
  
Isis Pharmaceuticals, Inc., NR, 2.625%, 2/15/27
    
                         1,447,500
                      4,000,000
  
Medicis Pharmaceutical Corp., NR, 2.50%, 6/04/32
    
                         4,205,000
                      4,000,000
  
Shire PLC, Ser. SHP, NR, 2.75%, 5/09/14 (Channel Islands)
    
                         4,245,000
                      9,066,000
  
Teva Pharmaceutical Industries LLC, Ser. C, A-, 0.25%, 2/01/26 (Israel)
    
                       11,230,507
         
                       29,715,507
   
Real Estate — 1.2%
      
                      4,231,000
  
Forest City Enterprises, Inc., NR, 3.625%, 10/15/14
    
                         5,500,300
           
   
Real Estate Investment Trusts — 4.2%
      
                      2,030,000
  
Annaly Capital Management, Inc., NR, 4.00%, 2/15/15
    
                         2,382,713
                      2,700,000
  
Home Properties LP, BBB, 4.125%, 11/01/26 (c)
    
                         2,740,500
                      7,005,000
  
Host Hotels & Resorts LP, BB+, 2.625%, 4/15/27 (c)
    
                         7,013,756
                      4,465,000
  
Macerich Co., NR, 3.25%, 3/15/12 (c)
    
                         4,504,069
                      3,000,000
  
UDR, Inc., BBB, 4.00%, 12/15/35
    
                         3,045,000
         
                       19,686,038
   
Semiconductors — 3.1%
      
                      9,000,000
  
Intel Corp., A-, 2.95%, 12/15/35
    
                         9,236,250
                      5,209,000
  
Micron Technology, Inc., B+, 1.875%, 6/01/14
    
                         5,397,826
         
                       14,634,076
   
Telecommunications — 2.6%
      
                      6,200,000
  
Anixter International, Inc., B+, 1.00%, 2/15/13
    
                         7,254,000
                      5,100,000
  
NII Holdings, Inc., B-, 3.125%, 6/15/12
    
                         5,049,000
         
                       12,303,000
   
Total Convertible Bonds - 58.8%
      
   
(Cost $241,424,231)
    
                     277,094,729
           
   
Corporate Bonds — 30.5%
      
   
Advertising — 0.5%
      
                      1,000,000
  
Lamar Media Corp., BB, 9.75%, 4/01/14
    
                         1,162,500
                      1,000,000
  
Lamar Media Corp., B+, 7.875%, 4/15/18
    
                         1,067,500
         
                         2,230,000
   
Aerospace and Defense — 0.3%
      
                      1,500,000
  
TransDigm, Inc., B-, 7.75%, 12/15/18 (c)
    
                         1,616,250
           
   
Auto Part and Equipment — 0.3%
      
                         500,000
  
Cooper Tire & Rubber Co., BB-, 8.00%, 12/15/19
    
                            525,000
                         750,000
  
Lear Corp., BB+, 7.875%, 3/15/18
    
                            817,500
                         150,000
  
Uncle Acquisition 2010 Corp., CCC+, 8.625%, 2/15/19 (c)
    
                            157,125
         
                         1,499,625
   
Banks— 1.0%
      
                      1,750,000
  
Ally Financial, Inc., B, 8.30%, 2/12/15
    
                         1,981,875
                      2,000,000
  
CIT Group, Inc., B+, 7.00%, 5/01/16
    
                         2,025,000
                      1,000,000
  
Synovus Financial Corp., B+, 5.125%, 6/15/17
    
                            891,698
         
                         4,898,573
   
Beverages  — 0.4%
      
                      1,750,000
  
Constellation Brands, Inc., BB, 7.25%, 9/01/16
    
                         1,870,312
           
   
Building Materials — 0.1%
      
                         250,000
  
Cemex Finance LLC, B, 9.50%, 12/14/16 (c)
    
                            257,188
           
   
Chemicals  — 1.6%
      
                      2,000,000
  
Hexion US Finance Corp., CCC+, 9.00%, 11/15/20 (c)
    
                         2,140,000
                      4,607,000
  
Lyondell Chemical Corp., B, 11.00%, 5/01/18
    
                         5,275,015
 
  
 
    
                         7,415,015
   
Commercial Services  — 0.5%
      
                      2,000,000
  
Avis Budget Car Rental LLC, B, 8.25%, 1/15/19
    
                         2,095,000
                         300,000
  
Great Lakes Dredge & Dock Corp., B, 7.375%, 2/01/19 (c)
    
                            304,500
 
  
 
    
                         2,399,500
   
Computers — 0.3%
      
                      1,500,000
  
Seagate HDD Cayman, BB+, 7.75%, 12/15/18 (Ireland) (c)
    
                         1,545,000
           
   
Diversified Financial Services — 3.0%
      
                      5,400,000
  
Capital One Capital V, BB, 10.25%, 8/15/39
    
                         5,872,500
                      3,000,000
  
Ford Motor Credit Co. LLC, B+, 12.00%, 5/15/15
    
                         3,807,039
                      5,000,000
  
Textron Financial Corp., B, 6.00%, 2/15/67 (c) (f)
    
                         4,281,250
         
                       13,960,789
   
Electronics  — 0.2%
      
                         750,000
  
Sanmina-SCI Corp., CCC+, 8.125%, 3/01/16
    
                            780,000
           
   
Food— 2.1%
      
                      2,000,000
  
Bumble Bee Acquisition Corp., B+, 9.00%, 12/15/17 (c)
    
                         2,142,500
                      1,000,000
  
Dole Food Co., Inc., B+, 13.875%, 3/15/14
    
                         1,231,250
                      2,500,000
  
Smithfield Foods, Inc., B+, 10.00%, 7/15/14
    
                         2,953,125
                      2,800,000
  
Smithfield Foods, Inc., B-, 7.75%, 7/01/17
    
                         2,982,000
                         500,000
  
Tyson Foods, Inc., BB+, 10.50%, 3/01/14
    
                            597,500
         
                         9,906,375
   
Forest Products and Paper — 0.3%
      
                         750,000
  
AbitibiBowater, Inc., B+, 10.25%, 10/15/18 (c)
    
                            849,375
                         500,000
  
M-real OYJ, B-, 8.75%, 4/01/13 (Finland) (g)
    
                            738,626
         
                         1,588,001
   
Healthcare Products — 0.5%
      
                      2,250,000
  
Biomet, Inc., B-, 10.375%, 10/15/17 (h)
    
                         2,531,250
           
   
Healthcare Services — 1.7%
      
                      2,500,000
  
Apria Healthcare Group, Inc., BB+, 11.25%, 11/01/14
    
                         2,771,875
                      1,750,000
  
Capella Healthcare, Inc., B, 9.25%, 7/01/17 (c)
    
                         1,903,125
                      2,000,000
  
HCA, Inc., BB-, 9.25%, 11/15/16
    
                         2,162,500
                         500,000
  
Health Net, Inc., BB, 6.375%, 6/01/17
    
                            510,000
                         750,000
  
Radiation Therapy Services, Inc., CCC+, 9.875%, 4/15/17
    
                            761,250
         
                         8,108,750
   
Holding Companies - Diversified  — 0.4%
      
                      1,800,000
  
Leucadia National Corp., BB+, 8.125%, 9/15/15
    
                         1,989,000
           
   
Household Products and Housewares  — 0.2%
      
                      1,000,000
  
Yankee Candle Co., Inc., CCC+,9.75%, 2/15/17
    
                         1,055,000
           
   
Insurance — 1.8%
      
                         500,000
  
Liberty Mutual Group, Inc., BB, 10.75%, 6/15/58 (c) (f)
    
                            647,500
                      5,500,000
  
MetLife, Inc., BBB, 10.75%, 8/01/39
    
                         7,651,209
         
                         8,298,709
   
Iron & Steel  — 0.5%
      
                         250,000
  
Ryerson Holding Corp., CCC, 2/01/15 (i)
    
                            132,500
                      2,000,000
  
Steel Dynamics, Inc., BB+, 7.375%, 11/01/12
    
                         2,125,000
         
                         2,257,500
   
Lodging  — 1.3%
      
                         700,000
  
Caesars Entertainment Operating Co., Inc., CCC, 10.00%, 12/15/18
    
                            638,750
                         125,000
  
CityCenter Holdings LLC, B, 7.625%, 1/15/16 (c)
    
                            128,438
                         500,000
  
MGM Resorts International, CCC+, 5.875%, 2/27/14
    
                            476,250
                      1,500,000
  
Starwood Hotels & Resorts Worldwide, Inc., BB+, 6.75%, 5/15/18
    
                         1,620,000
                         500,000
  
Wyndham Worldwide Corp., BBB-, 6.00%, 12/01/16
    
                            527,238
                      2,501,000
  
Wynn Las Vegas LLC, BB+, 7.75%, 8/15/20
    
                         2,663,565
 
  
 
    
                         6,054,241
   
Machinery-Construction and Mining — 0.1%
      
                         250,000
  
Terex Corp., BB-, 10.875%, 6/01/16
    
                            291,250
           
   
Machinery-Diversified— 0.2%
      
                         750,000
  
Case New Holland, Inc., BB+, 7.875%, 12/01/17 (c)
    
                            837,188
           
   
Media— 3.3%
      
                         500,000
  
CCO Holdings LLC, B+, 7.875%, 4/30/18
    
                            528,750
                      1,000,000
  
Charter Communications Operating LLC, BB+, 10.875%, 9/15/14 (c)
    
                         1,130,000
                      2,344,000
  
Clear Channel Worldwide Holdings, Inc., Ser. B, B, 9.25%, 12/15/17
    
                         2,607,700
                      1,250,000
  
CSC Holdings LLC, BB, 8.50%, 6/15/15
    
                         1,375,000
                      1,750,000
  
DISH DBS Corp., BB-, 7.125%, 2/01/16
    
                         1,837,500
                      1,000,000
  
Gannett Co., Inc., Baa3, 10.00%, 4/01/16
    
                         1,155,000
                      1,000,000
  
McClatchy Co, B+, 11.50%, 2/15/17
    
                         1,132,500
                      2,500,000
  
Univision Communication, Inc., B, 12.00%, 7/01/14 (c)
    
                         2,740,625
                      3,000,000
  
Univision Communication, Inc., B, 7.875%, 11/01/20 (c)
    
                         3,217,500
         
                       15,724,575
   
Mining — 0.5%
      
                      2,125,000
  
FMG Resources August 2006 Pty Ltd., B, 6.875%, 2/01/18 (Australia) (c)
    
                         2,138,281
           
   
Miscellaneous Manufacturing — 0.4%
      
                      2,000,000
  
Polypore International, Inc., B-, 7.50%, 11/15/17 (c)
    
                         2,080,000
           
   
Office/Business Equipment — 0.8%
      
                      3,500,000
  
Xerox Capital Trust I, BB, 8.00%, 2/01/27
    
                         3,560,497
           
   
Oil & Gas — 2.0%
      
                      2,250,000
  
Alta Mesa Holdings, B, 9.625%, 10/15/18 (c)
    
                         2,238,750
                      1,000,000
  
Carrizo Oil & Gas, Inc., B-, 8.625%, 10/15/18 (c)
    
                         1,055,000
                         500,000
  
Chesapeake Energy Corp., BB, 9.50%, 2/15/15
    
                            587,500
                         750,000
  
Chesapeake Energy Corp., BB, 6.50%, 8/15/17
    
                            781,875
                      2,000,000
  
Energy XXI Gulf Coast, Inc., B, 9.25%, 12/15/17 (c)
    
                         2,135,000
                         150,000
  
Laredo Petroleum, Inc., CCC, 9.50%, 2/15/19 (c)
    
                            156,750
                         600,000
  
Oasis Petroleum, Inc., B-, 7.25%, 2/01/19 (c)
    
                            612,000
                      1,000,000
  
Pioneer Natural Resources Co., BB+, 6.65%, 3/15/17
    
                         1,074,401
                         500,000
  
Range Resources Corp., BB, 8.00%, 5/15/19
    
                            552,500
                         300,000
  
Western Refining, Inc., B, 11.25%, 6/15/17 (c)
    
                            337,500
         
                         9,531,276
   
Oil & Gas Services — 0.2%
      
                      1,000,000
  
Stallion Oilfield Holdings Ltd., B-, 10.50%, 2/15/15 (c)
    
                         1,090,000
           
   
Packaging and Containers — 0.4%
      
                      1,750,000
  
Ball Corp, BB+, 7.125%, 9/01/16
    
                         1,911,875
           
   
Pharmaceuticals — 1.1%
      
                      4,760,000
  
Axcan Intermediate Holdings, Inc., B, 12.75%, 3/01/16
    
                         5,117,000
           
   
Pipelines — 0.5%
      
                      2,000,000
  
Crosstex Energy LP, B+, 8.875%, 2/15/18
    
                         2,175,000
           
   
Real Estate — 0.6%
      
                      1,000,000
  
Realogy Corp., CC, 11.50%, 4/15/17 (c)
    
                         1,081,250
                      1,500,000
  
Realogy Corp., CC, 7.875%, 2/15/19 (c)
    
                         1,505,625
 
  
 
    
                         2,586,875
   
Real Estate Investment Trusts — 0.2%
      
                         750,000
  
Rouse Co. LP, BB+, 6.75%, 11/09/15
    
                            791,250
           
   
Retail — 1.3%
      
                      1,000,000
  
Dave & Buster's, Inc., B-, 11.00%, 6/01/18
    
                         1,117,500
                         750,000
  
Dollar General Corp., B+, 11.875%, 7/15/17 (h)
    
                            873,750
                      1,000,000
  
Landry's Restaurants, Inc., B, 11.625%, 12/01/15
    
                         1,087,500
                         500,000
  
Rite Aid Corp., B+, 9.75%, 6/12/16
    
                            560,000
                      2,050,000
  
Toys R Us Property Co. II LLC, B+, 8.50%, 12/01/17
    
                         2,244,750
         
                         5,883,500
   
Storage/Warehousing — 0.3%
      
                      1,500,000
  
Niska Gas Storage US LLC, BB-, 8.875%, 3/15/18 (c)
    
                         1,642,500
           
   
Telecommunications — 1.6%
      
                         500,000
  
CommScope, Inc., B, 8.25%, 1/15/19 (c)
    
                            521,250
                         750,000
  
Intelsat Jackson Holdings SA, B+, 9.50%, 6/15/16 (Luxembourg)
    
                            800,625
                      1,324,000
  
iPCS, Inc., BB-, 2.41188%, 5/01/13 (f)
    
                         1,294,210
                         300,000
  
Vimpel Communications Via VIP Finance Ireland Ltd OJSC, BB+, 6.493%, 2/02/16 (Ireland) (c)
    
                            300,752
                         600,000
  
Vimpel Communications Via VIP Finance Ireland Ltd OJSC, BB+, 7.748%, 2/02/21 (Ireland) (c)
    
                            600,888
                         750,000
  
Virgin Media Finance PLC, Ser. 1, B+, 9.50%, 8/15/16 (United Kingdom)
    
                            855,937
                      3,000,000
  
Virgin Media Finance PLC, B+, 8.375%, 10/15/19 (United Kingdom)
    
                         3,337,500
         
                         7,711,162
   
Transportation — 0.0%**
      
                         120,000
  
Florida East Coast Railway Corp., B, 8.125%, 2/01/17 (c)
    
                            125,100
           
   
Total Corporate Bonds - 30.5%
      
   
(Cost $136,065,519)
    
                     143,458,407
           
           
 Number of Shares
        
 Value
   
Warrants - 3.0%
      
   
Banks — 3.0%
      
                      1,493,661
  
Bank of America Corp., expiring 10/28/18 (j)
    
                         3,883,519
                      1,250,000
  
Citigroup, Inc., expiring 1/04/19 (j)
    
                         1,237,500
                         446,542
  
JP Morgan Chase & Co., expiring 10/28/18 (j)
    
                         6,519,513
                         218,400
  
Wells Fargo & Co., expiring 10/28/18 (j)
    
                         2,321,592
   
Total Warrants
    
                       13,962,124
   
(Cost $12,249,916)
      
           
   
Preferred Stocks — 3.0%
      
   
Banks — 1.5%
      
                         268,711
  
Citigroup Capital XIII, 7.875%, 2040 (f)
    
                         7,182,645
           
   
Lodging — 1.5%
      
                           61,200
  
Las Vegas Sands Corp., Ser. A, 10.00%, 2011
    
                         7,038,000
           
   
Total Preferred Stocks — 3.0%
      
   
(Cost $13,781,325)
    
                       14,220,645
           
   
Common Stocks — 0.7%
      
   
Banks — 0.7%
      
                           25,000
  
JP Morgan Chase & Co.
    
                         1,123,500
                           60,000
  
Wells Fargo & Co.
    
                         1,945,200
 
  
Total Common Stocks
    
                         3,068,700
   
(Cost $2,782,773)
      
           
   
Total Long-Term Investments - 149.8%
      
   
(Cost $619,558,526)
    
                     705,252,076
           
   
Short-Term Investments - 3.8%
      
   
Money Market Funds - 3.8%
      
                    11,000,000
  
Dreyfus Treasury & Agency Cash Management - Investor Shares
    
                       11,000,000
                      6,956,031
  
Goldman Sachs Financial Prime Obligations
    
                         6,956,031
   
(Cost $17,956,031)
    
                       17,956,031
           
   
Total Investments — 153.6%
      
   
(Cost $637,514,557)
    
                     723,208,107
   
Other Assets in excess of Liabilities - 2.0%
    
                         9,677,474
   
Preferred Stock, at redemption value — (-55.6% of Net Assets Applicable to
      
   
Common Shareholders or -36.2% of Total Investments)
    
                    (262,000,000)
           
   
Net Assets Applicable to Common Shareholders — 100.0%
    
 $                  470,885,581
 
 AG - Stock Company
          
 LLC - Limited Liability Corp.
        
 LP - Limited Partnership
        
 NV - Publicly Traded Company
      
 OJSC - Open Joint Stock Company
      
 OYJ - Publicly Traded Company
      
 PLC - Public Limited Company
      
 SA - Corporation
          
 SAB de CV - Publicly Traded Company
      
           
 (a)   Perpetual maturity.
          
 (b)   Security is exchangeable into security of another entity that is different than the issuer.  The entity is listed in a parenthetical.
      
 (c)   Securities are exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be
      
         resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2011,
      
         these securities amounted to 22.2% of net assets applicable to common shareholders.
      
 (d)   Security becomes an accreting bond after December 15, 2016 with a 2.0% principal accretion rate.
      
 (e)   Security is a "step down" bond where the coupon decreases or steps down at a predetermined date.  The rate shown reflects the rate in effect at the end of the reporting period
 (f)   Floating rate security.  The rate shown is as of January 31, 2011.
      
 (g)   Security is a "step coupon" bond where the coupon increases or decreases at a predetermined date.  The rate shown reflects the rate in effect at the end of the reporting period.
 (h)  Security is a pay-in-kind bond.
      
 (i)   Zero coupon bond.
          
 (j)   Non-income producing security.
      
 
 * Ratings shown are per Standard & Poor's, Moody's or Fitch.  Securities classified as NR are not rated.
      
 (For securities not rated by Standard & Poor's Rating Group, the rating by Moody's Investor Services, Inc. is provided.  Likewise, for securities
    
 not rated by Standard & Poor's Rating Group and Moody's Investor Services, Inc., the rating by Fitch Ratings is provided.)  All ratings are unaudited.
    
 The ratings apply to the credit worthiness of the issuers of the underlying securities and not to the Fund or its shares.
      
** Less than 0.1%
          
 All percentages shown in the Portfolio of Investments are based on Net Assets Applicable to Common Shareholders
      
 unless otherwise noted.
          
 
       
   
 Country Breakdown as % of Long-Term Investments*
  
 
  
 United States
90.5%
  
   
 France
1.7%
  
   
 Israel
1.6%
  
   
 Ireland
1.2%
  
   
 Mexico
1.1%
  
   
 Switzerland
0.7%
  
   
 Cayman Islands
0.7%
  
   
 Channel Islands
0.6%
  
   
 United Kingdom
0.6%
  
   
 South Africa
0.5%
  
   
 Netherlands
0.3%
  
   
 Australia
0.3%
  
   
 Luxembourg
0.1%
  
   
 Finland
0.1%
  
   
 *Subject to change daily.
    
     
 See previously submitted notes to financial statements for the year ended October 31, 2010.
    
 
 
 
 
 
At January 31, 2011, the cost and related gross unrealized appreciation and depreciation on investments for
  
tax purposes are as follows:
                  
Cost of Investments for Tax Purposes
  
Gross Tax
Unrealized
Appreciation
Gross Tax
Unrealized
Depreciation
Net Tax
Unrealized
Appreciation on
Investments
 $                                642,643,247
  
 $     85,978,364
 $  (5,413,504)
 $  80,564,860
                   
GAAP requires disclosure of fair valuation measurements as of each measurement date.  In compliance
  
with GAAP, the Fund follows a fair value hierarchy that distinguishes between market data obtained from
  
independent sources (observable inputs) and the Fund's own market assumptions (unobservable inputs).
  
These inputs are used in determining the value of the Fund's investments and summarized in the following
  
fair value hierarchy:
                  
 
                  
Level 1 - quoted prices in active markets for identical securities.
            
 
                  
Level 2 - quoted prices in inactive markets or other significant observable inputs (e.g. quoted prices for
    
similar securities; interest rates; prepayment speed; credit risk; yield curves)
          
 
                  
Level 3 - significant unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used
  
to determine fair value)
                  
                   
Observable inputs are those based upon market data obtained from independent sources, and unobservable
  
inputs reflect the fund's own assumptions based on the best information available.  A financial
      
instrument's level within the fair value hierarchy is based on the lowest level of any input both individually and
  
in aggregate that is significant to the fair value measurement.  The inputs or methodology used for valuing securities
  
are not necessarily an indication of the risk associated with investing in those securities
      
                   
The Fund has adopted the Accounting Standard Update, Fair Value Measurements and Disclosures
    
(Topic 820): Improving Disclosures about Fair Value Measurements which provides guidance on
      
how investment assets and liabilities are to be valued and disclosed. Specifically, the amendment
      
requires reporting entities to disclose i) the input and valuation techniques used to measure fair value
    
for both recurring and nonrecurring fair value measurements, for Level 2 or Level 3 positions, ii)
      
transfers between all levels (including Level 1 and Level 2) are required to be disclosed on a gross
      
basis (i.e. transfers out must be disclosed separately from transfers in) as well as the reason(s) for the
  
transfer, and iii) purchases, sales, issuances and settlements must be shown on a gross basis in the
    
Level 3 rollforward rather than as one net number. The effective date of the amendment is for interim
    
and annual periods beginning after December 15, 2009, however, the requirement to provide the
      
Level 3 activity for purchases, sales, issuances and settlements on a gross basis will be effective for
    
interim and annual periods beginning after December 15, 2010. The Fund has adopted the
      
disclosures required by this amendment, which did not have a material impact on the financial
      
statements.
                  
 
                  
The Fund values Level 1 securities using readily available market quotations in active markets.  The
    
Fund values Level 2 fixed income securities using independent pricing providers who employ matrix
      
pricing models utilizing market prices, broker quotes and prices of securities with comparable
      
maturities and qualities. The Fund values Level 2 equity securities using various observable market
      
inputs in accordance with procedures approved by the Board of Trustees. The Fund did not have any
    
Level 3 securities during the period ended January 31, 2011.
            
                   
The following table represents the Fund’s investments carried on the Statement of Assets and
      
Liabilities by caption and by level within the fair value hierarchy as of January 31, 2011:
      
                   
 
   
Quoted Prices in
Active Markets
for Identical
Assets
    
Significant
Other
Observable
Inputs
    
Significant
Unobservable
Inputs
        
(Value in $000s)
  
(Level 1)
    
(Level 2)
    
(Level 3)
    
Total
  
 
                        
Description
                        
                         
Assets:
                        
Convertible Preferred Stocks:
                        
     Agriculture
   $ 4,552     $ -     $ -     $ 4,552  
     Airlines
     -       9,268       -       9,268  
     Auto Manufacturers
     21,486       -       -       21,486  
     Banks
     48,443       11,620       -       60,063  
     Diversified Financial Services
     -       4,160       -       4,160  
     Electric
     20,328       11,262       -       31,590  
     Hand & Machine Tools
     7,530       -       -       7,530  
     Healthcare Services
     -       7,624       -       7,624  
     Housewares
     -       4,080       -       4,080  
     Insurance
     19,864       -       -       19,864  
     Media
     -       2,444       -       2,444  
     Mining
     3,591       -       -       3,591  
     Oil & Gas
     12,952       6,640       -       19,592  
     Pharmaceuticals
     12,737       -       -       12,737  
     Pipelines
     -       8,416       -       8,416  
     Real Estate
     -       4,075       -       4,075  
     Real Estate Investment Trusts
     -       10,708       -       10,708  
     Savings & Loans
     9,713       -       -       9,713  
     Telecommunications
     -       11,954       -       11,954  
                                 
Convertible Bonds
     -       277,095       -       277,095  
                                 
Corporate Bonds
     -       143,458       -       143,458  
                                 
Warrants
     13,962       -       -       13,962  
                                 
Preferred Stocks
                     -          
     Banks
     7,183                       7,183  
     Lodging
             7,038               7,038  
                                 
Common Stocks
     3,069       -       -       3,069  
                                 
Money Market Fund
     17,956       -       -       17,956  
Total
   $ 203,366     $ 519,842     $ -     $ 723,208  
                                 
There were no transfers between Level 1 and Level 2 during the period ended January 31, 2011.
          
                                 
 
 
 
 
 
At January 31, 2011, the Fund had the following unfunded loan commitment which
could be extended at the option of the borrower:
  
     
     
Borrower
Principal Amount
Unrealized Depreciation
Harrah's Las Vegas Propco LLC
 $             1,000,000
 $                                 (8,750)
     
     
 
 
 
 
 
Item 2.                      Controls and Procedures.

 
(a)
The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “Investment Company Act”)) as of a date within 90 days of the filing date of this report and have concluded based on such evaluation, that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

 
(b)
There was no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the registrant’s last fiscal quarter that has materially affected or is reasonably likely to materially affect the registrant’s internal control over financial reporting.

Item 3.                      Exhibits.

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act (17 CFR 270.30a-2(a)), is attached hereto.
 
 
 
 

SIGNATURES



Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Advent Claymore Convertible Securities and Income Fund

By:
 /s/ Tracy V. Maitland
Tracy V. Maitland
President and Chief Executive Officer

Date:
March 28, 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.

By:
 /s/ Tracy V. Maitland
Tracy V. Maitland
President and Chief Executive Officer

Date:
 March 28, 2011

By:
 /s/ Robert White
Robert White
Treasurer and Chief Financial Officer

Date:
 March 28, 2011