gug61571-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: November 1, 2014 – January 31, 2015
 

 
 
 

 
Item 1. Schedule of Investments.
  Attached hereto.
 
Advent Claymore Convertible Securities & Income Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
January 31, 2015
 
   
Shares
    
Value
COMMON STOCKS† - 3.6%
          
Consumer, Cyclical - 0.9%
          
American Airlines Group, Inc.
  
47,000
  
$
2,306,760
Wynn Resorts Ltd.
  
8,300
    
1,227,985
Total Consumer, Cyclical
        
3,534,745
Consumer, Non-cyclical - 0.8%
          
Gilead Sciences, Inc.*,1
  
18,200
    
1,907,906
Pfizer, Inc.2
  
50,850
    
1,589,063
Total Consumer, Non-cyclical
        
3,496,969
Basic Materials - 0.6%
          
Dow Chemical Co.2
  
52,200
    
2,357,352
Energy - 0.5%
          
Royal Dutch Shell plc — Class B ADR
  
35,200
    
2,252,448
Technology - 0.4%
          
Apple, Inc.1
  
15,600
    
1,827,696
Financial - 0.4%
          
Citigroup, Inc.
  
25,000
    
1,173,750
NorthStar Realty Finance Corp.2
  
34,100
    
644,831
Total Financial
        
1,818,581
Total Common Stocks
          
(Cost $15,769,545)
        
15,287,791
CONVERTIBLE PREFERRED STOCKS† - 15.7%
          
Financial -  4.0%
          
Wells Fargo & Co. 7.50% 2,3
  
7,032
    
8,740,777
American Tower Corp.
          
5.25% due 05/15/17
  
22,400
    
2,458,400
KeyCorp 7.75% 2,3
  
18,000
    
2,380,500
Weyerhaeuser Co.
          
6.38% due 07/01/16
  
32,557
    
1,879,190
Alexandria Real Estate Equities, Inc.
          
7.00% 3
  
50,000
    
1,457,500
Total Financial
        
 16,916,367
Consumer, Non-Cyclical -  3.1%
          
Tyson Foods, Inc.
          
4.75% due 07/15/17
  
199,528
    
9,870,650
Kindred Healthcare, Inc.
          
7.50% due 12/01/17
  
3,439
    
3,327,863
Total Consumer, Non-Cyclical
        
 13,198,513
Utilities -  2.9%
          
Dominion Resources, Inc.
          
6.38% due 07/01/172
  
95,011
    
4,913,968
NextEra Energy, Inc.
          
5.89% due 09/01/152
  
67,850
    
4,667,402
Exelon Corp.
          
6.50% due 06/01/172
  
56,700
    
2,982,987
Total Utilities
        
 12,564,357
Energy -  2.1%
          
Chesapeake Energy Corp.
          
5.75% 2,3,4
  
7,179
    
7,289,824
Penn Virginia Corp. 6.00% 2,3,4
  
25,400
    
1,495,425
Total Energy
        
 8,785,249
Industrial -  1.7%
          
United Technologies Corp.
          
7.50% due 08/01/152
  
64,077
    
3,840,775
Stanley Black & Decker, Inc.
          
4.75% due 11/17/152
  
25,123
    
3,353,921
Total Industrial
        
 7,194,696
Basic Materials -  1.1%
          
Alcoa, Inc.
          
5.38% due 10/01/172
  
94,026
    
4,701,300
           
   
Shares
    
Value
CONVERTIBLE PREFERRED STOCKS† - 15.7% (continued)
          
Communications -  0.4%
          
T-Mobile US, Inc.
          
5.50% due 12/15/17
$
32,672
  
$
1,871,452
Consumer, Cyclical -  0.4%
          
William Lyon Homes
          
6.50% due 12/01/17
  
17,300
    
1,794,875
Total Convertible Preferred Stocks
          
(Cost $67,957,040)
        
67,026,809
           
   
Shares
    
Value
SHORT TERM INVESTMENTS† - 1.8%
          
Goldman Sachs Financial Prime Obligations - Administration Share Class5
  
7,562,969
    
7,562,969
Total Short Term Investments
          
(Cost $7,562,969)
        
7,562,969
           
   
Face
      
   
Amount~
    
Value
CONVERTIBLE BONDS†† - 84.7%
          
Communications -  18.9%
          
Twitter, Inc.
          
1.00% due 09/15/212,4
  
 8,850,000
    
 7,931,812
0.25% due 09/15/192,4
  
 7,531,000
    
 6,820,261
Priceline Group, Inc.
          
1.00% due 03/15/182
  
 5,854,000
    
 7,332,134
0.90% due 09/15/212,4
  
 2,602,000
    
 2,429,618
Ctrip.com International Ltd.
          
1.25% due 10/15/182
  
 9,728,000
    
 9,569,920
Clearwire Communications LLC / Clearwire Finance, Inc.
          
8.25% due 12/01/402,4
  
 5,476,000
    
 5,941,460
Ciena Corp.
          
0.88% due 06/15/172
  
 3,000,000
    
 2,977,500
4.00% due 12/15/202
  
 2,106,000
    
 2,562,739
Finisar Corp.
          
0.50% due 12/15/332
  
 5,000,000
    
 4,800,000
SINA Corp.
          
1.00% due 12/01/182
  
 5,000,000
    
 4,587,499
Qihoo 360 Technology Company Ltd.
          
0.50% due 08/15/202,4
  
 2,600,000
    
 2,276,625
1.75% due 08/15/212,4
  
 2,488,000
    
 2,085,255
Yahoo!, Inc.
          
0.00% due 12/01/182,6
  
 3,868,000
    
 4,201,615
Liberty Interactive LLC
          
0.75% due 03/30/432
  
 3,102,000
    
 4,048,110
LinkedIn Corp.
          
0.50% due 11/01/192,4
  
 3,216,000
    
 3,404,956
Liberty Media Corp.
          
1.38% due 10/15/23
  
 3,340,000
    
 3,254,413
Yandex N.V.
          
1.13% due 12/15/182
  
 2,991,000
    
 2,312,417
Web.com Group, Inc.
          
1.00% due 08/15/18
  
 2,400,000
    
 2,101,500
WebMD Health Corp.
          
1.50% due 12/01/20
  
 1,247,000
    
 1,229,854
Vipshop Holdings Ltd.
          
1.50% due 03/15/19
  
 806,000
    
 1,052,334
 
 
 
 
 
 
 
Advent Claymore Convertible Securities & Income Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
January 31, 2015
 
   
Face
      
   
Amount~
    
Value
CONVERTIBLE BONDS†† - 84.7% (continued)
          
Communications -  18.9% (continued)
          
Palo Alto Networks, Inc.
          
0.00% due 07/01/192,4,6
$
 222,000
  
$
 289,988
Total Communications
        
 81,210,010
Consumer, Non-cyclical -  18.8%
          
Omnicare, Inc.
          
3.50% due 02/15/442
  
 4,040,000
    
 4,883,350
3.25% due 12/15/352
  
 3,064,000
    
 3,364,568
Gilead Sciences, Inc.
          
1.63% due 05/01/162
  
 1,330,000
    
 6,124,656
Hologic, Inc.
          
0.00% due 12/15/432,6,7,10
  
 3,000,000
    
 3,406,875
2.00% due 03/01/427,11
  
 1,353,000
    
 1,607,533
Salix Pharmaceuticals Ltd.
          
1.50% due 03/15/192
  
 2,324,000
    
 4,894,924
BioMarin Pharmaceutical, Inc.
          
1.50% due 10/15/202
  
3,776,000
    
4,880,480
Anthem, Inc.
          
2.75% due 10/15/422
  
 2,364,000
    
 4,327,598
HealthSouth Corp.
          
2.00% due 12/01/432
  
 3,134,000
    
 3,852,861
Array BioPharma, Inc.
          
3.00% due 06/01/202
  
 2,448,000
    
 3,020,220
Depomed, Inc.
          
2.50% due 09/01/212
  
 2,587,000
    
 3,017,089
Molina Healthcare, Inc.
          
1.13% due 01/15/202
  
 2,161,000
    
 2,898,441
Incyte Corp.
          
0.38% due 11/15/182
  
 1,750,000
    
 2,812,030
Illumina, Inc.
          
0.50% due 06/15/212,4
  
 2,207,000
    
 2,611,157
Jazz Investments I Ltd.
          
1.88% due 08/15/212,4
  
 2,148,000
    
 2,503,763
Isis Pharmaceuticals, Inc.
          
1.00% due 11/15/214
  
 1,934,000
    
 2,348,601
Spectranetics Corp.
          
2.63% due 06/01/342
  
 1,858,000
    
 2,315,533
Wright Medical Group, Inc.
          
2.00% due 08/15/172
  
 1,891,000
    
 2,155,740
Huron Consulting Group, Inc.
          
1.25% due 10/01/194
  
 1,624,000
    
 1,833,090
Medicines Co.
          
1.38% due 06/01/17
  
 1,500,000
    
 1,800,938
Euronet Worldwide, Inc.
          
1.50% due 10/01/442,4
  
 1,872,000
    
 1,786,590
Emergent Biosolutions, Inc.
          
2.88% due 01/15/214
  
 1,500,000
    
 1,725,938
Medivation, Inc.
          
2.63% due 04/01/172
  
 797,000
    
 1,692,131
Live Nation Entertainment, Inc.
          
2.50% due 05/15/192,4
  
 1,545,000
    
 1,617,422
J Sainsbury plc
          
1.25% due 11/21/19
  
 1,000,000 GBP
    
 1,598,022
Teleflex, Inc.
          
3.88% due 08/01/172
  
 840,000
    
 1,507,800
Macquarie Infrastructure Company LLC
          
2.88% due 07/15/192
  
 1,237,000
    
 1,426,416
           
   
Face
      
   
Amount~
    
Value
CONVERTIBLE BONDS†† - 84.7% (continued)
          
Consumer, Non-cyclical -  18.8% (continued)
          
Orexigen Therapeutics, Inc.
          
2.75% due 12/01/20
$
 1,202,000
  
$
 1,138,144
Theravance, Inc.
          
2.13% due 01/15/232
  
 1,626,000
    
 1,137,183
Accuray, Inc.
          
3.75% due 08/01/16
  
 1,031,000
    
 1,073,529
Ligand Pharmaceuticals, Inc.
          
0.75% due 08/15/194
  
 989,000
    
 1,022,997
Total Consumer, Non-cyclical
        
 80,385,619
Technology -  18.5%
          
Micron Technology, Inc.
          
3.00% due 11/15/432
  
 7,534,000
    
 8,795,946
SunEdison, Inc.
          
0.25% due 01/15/202,4
  
 6,395,000
    
 5,995,313
2.38% due 04/15/224
  
 1,288,000
    
 1,294,440
Intel Corp.
          
3.25% due 08/01/392
  
1,984,000
    
3,228,970
3.48% due 12/15/352
  
 2,501,000
    
 3,154,386
Lam Research Corp.
          
0.50% due 05/15/162
  
 3,139,000
    
 4,035,577
1.25% due 05/15/182
  
 1,525,000
    
 2,097,828
SanDisk Corp.
          
0.50% due 10/15/202
  
 3,804,000
    
 4,072,658
Cornerstone OnDemand, Inc.
          
1.50% due 07/01/182
  
 3,916,000
    
 3,871,945
Verint Systems, Inc.
          
1.50% due 06/01/212
  
 3,487,000
    
 3,728,910
ServiceNow, Inc.
          
0.00% due 11/01/182,6
  
 2,841,000
    
 3,398,546
Red Hat, Inc.
          
0.25% due 10/01/192,4
  
 2,984,000
    
 3,392,435
Proofpoint, Inc.
          
1.25% due 12/15/182
  
 2,365,000
    
 3,313,956
Microchip Technology, Inc.
          
2.13% due 12/15/372
  
 1,820,000
    
 3,255,525
Akamai Technologies, Inc.
          
0.00% due 02/15/192,4,6
  
 3,000,000
    
 3,041,265
Kingsoft Corp. Ltd.
          
1.25% due 04/11/19
  
 21,000,000 HKD
    
 2,488,440
NVIDIA Corp.
          
1.00% due 12/01/182
  
 1,990,000
    
 2,251,187
Synchronoss Technologies, Inc.
          
0.75% due 08/15/19
  
 2,068,000
    
 2,199,835
PROS Holdings, Inc.
          
2.00% due 12/01/194
  
 2,101,000
    
 2,083,929
Allscripts Healthcare Solutions, Inc.
          
1.25% due 07/01/202
  
 2,027,000
    
 1,968,724
Xilinx, Inc.
          
2.63% due 06/15/172
  
 1,311,000
    
 1,824,748
Nuance Communications, Inc.
          
2.75% due 11/01/312
  
 1,714,000
    
 1,700,074
salesforce.com, Inc.
          
0.25% due 04/01/182
  
 1,500,000
    
 1,679,063
Bottomline Technologies de, Inc.
          
1.50% due 12/01/17
  
 1,336,000
    
 1,419,500
 
 
 
 
 
 
Advent Claymore Convertible Securities & Income Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
January 31, 2015
 
   
Face
      
   
Amount~
    
Value
CONVERTIBLE BONDS†† - 84.7% (continued)
          
Technology - 18.5% (continued)
          
ON Semiconductor Corp.
          
2.63% due 12/15/262
$
 1,100,000
  
$
 1,291,125
Envestnet, Inc.
          
1.75% due 12/15/19
  
 1,008,000
    
 1,066,590
Citrix Systems, Inc.
          
0.50% due 04/15/192,4
  
 867,000
    
 897,345
Workday, Inc.
          
0.75% due 07/15/18
  
 726,000
    
 853,504
Brocade Communications Systems, Inc.
          
1.38% due 01/01/204
  
 550,000
    
 564,781
Total Technology
        
 78,966,545
Financial -  12.5%
          
Colony Financial, Inc.
          
3.88% due 01/15/212
  
 8,442,000
    
 8,842,994
Forest City Enterprises, Inc.
          
3.63% due 08/15/202
  
5,953,000
    
6,715,728
Starwood Property Trust, Inc.
          
4.00% due 01/15/192
  
 4,398,000
    
 4,986,233
Radian Group, Inc.
          
2.25% due 03/01/192
  
 2,708,000
    
 4,139,855
Air Lease Corp.
          
3.88% due 12/01/182
  
 2,775,000
    
 3,775,734
Brookdale Senior Living, Inc.
          
2.75% due 06/15/182
  
 2,513,000
    
 3,238,629
PRA Group, Inc.
          
3.00% due 08/01/202
  
 2,886,000
    
 2,981,599
Fidelity National Financial, Inc.
          
4.25% due 08/15/182
  
 1,531,000
    
 2,939,520
American Realty Capital Properties, Inc.
          
3.00% due 08/01/18
  
 3,100,000
    
 2,888,813
iStar Financial, Inc.
          
3.00% due 11/15/162
  
 2,110,000
    
 2,562,331
Starwood Waypoint Residential Trust
          
4.50% due 10/15/172,4
  
 2,344,000
    
 2,355,720
Pennymac Corp.
          
5.38% due 05/01/202
  
 2,305,000
    
 2,215,681
Encore Capital Group, Inc.
          
2.88% due 03/15/214
  
 2,306,000
    
 2,068,194
Annaly Capital Management, Inc.
          
5.00% due 05/15/152
  
 1,800,000
    
 1,805,625
Host Hotels & Resorts, LP
          
2.50% due 10/15/292,4
  
 934,000
    
 1,663,688
DDR Corp.
          
1.75% due 11/15/40
  
 308,000
    
 405,020
Total Financial
        
 53,585,364
Consumer, Cyclical -  8.0%
          
Jarden Corp.
          
1.13% due 03/15/342,4
  
 3,355,000
    
 3,856,153
1.50% due 06/15/192
  
 2,229,000
    
 2,978,501
Fiat Chrysler Automobiles NV
          
7.88% due 12/15/162
  
 50,300
    
 5,913,394
MGM Resorts International
          
4.25% due 04/15/152
  
 3,946,000
    
 4,330,735
Iconix Brand Group, Inc.
          
2.50% due 06/01/16
  
 3,543,000
    
 4,180,740
           
   
Face
      
   
Amount~
    
Value
CONVERTIBLE BONDS†† - 84.7% (continued)
          
Consumer, Cyclical -  8.0% (continued)
          
Ryland Group, Inc.
          
1.63% due 05/15/182
$
 2,891,000
  
$
 4,004,035
Meritor, Inc.
          
7.88% due 03/01/262
  
 1,417,000
    
 2,138,784
4.00% due 02/15/192,7
  
 1,216,000
    
 1,269,200
Standard Pacific Corp.
          
1.25% due 08/01/322
  
 2,066,000
    
 2,275,183
LGI Homes, Inc.
          
4.25% due 11/15/194
  
 1,797,000
    
 1,622,916
Tesla Motors, Inc.
          
1.25% due 03/01/212
  
 1,706,000
    
 1,472,491
Total Consumer, Cyclical
        
 34,042,132
Industrial -  3.9%
          
Vishay Intertechnology, Inc.
          
2.25% due 11/15/402,4
  
 2,239,000
    
 2,399,928
Greenbrier Companies, Inc.
          
3.50% due 04/01/182
  
1,645,000
    
2,361,603
Chart Industries, Inc.
          
2.00% due 08/01/182
  
 2,486,000
    
 2,329,071
Fluidigm Corp.
          
2.75% due 02/01/34
  
 2,058,000
    
 2,178,908
Trinity Industries, Inc.
          
3.88% due 06/01/362
  
 1,421,000
    
 1,825,097
UTi Worldwide, Inc.
          
4.50% due 03/01/194
  
 1,455,000
    
 1,580,494
Hornbeck Offshore Services, Inc.
          
1.50% due 09/01/192
  
 1,670,000
    
 1,380,881
General Cable Corp.
          
4.50% due 11/15/197
  
 1,579,000
    
 1,003,652
BW Group Ltd.
          
1.75% due 09/10/19
  
 1,200,000
    
 990,000
SunPower Corp.
          
0.88% due 06/01/214
  
 747,000
    
 656,426
Total Industrial
        
 16,706,060
Energy -  2.0%
          
Newpark Resources, Inc.
          
4.00% due 10/01/172
  
 2,150,000
    
 2,299,156
CaixaBank S.A.
          
4.50% due 11/22/16
  
 1,800,000 EUR
    
 1,795,875
Helix Energy Solutions Group, Inc.
          
3.25% due 03/15/322
  
 1,500,000
    
 1,610,625
Chesapeake Energy Corp.
          
2.25% due 12/15/382
  
 1,217,000
    
 1,135,613
SEACOR Holdings, Inc.
          
2.50% due 12/15/272
  
 920,000
    
 967,725
Stone Energy Corp.
          
1.75% due 03/01/17
  
 1,004,000
    
 872,225
Total Energy
        
 8,681,219
Basic Materials -  1.4%
          
Royal Gold, Inc.
          
2.88% due 06/15/192
  
 3,500,000
    
 3,790,937
United States Steel Corp.
          
2.75% due 04/01/192
  
 1,170,000
    
 1,406,925
 
 
 
 
 
 
 
Advent Claymore Convertible Securities & Income Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
January 31, 2015
 
   
Face
      
   
Amount~
    
Value
CONVERTIBLE BONDS†† - 84.7% (continued)
          
Basic Materials -  1.4% (continued)
          
B2Gold Corp.
          
3.25% due 10/01/18
$
 830,000
  
$
 770,344
Total Basic Materials
        
 5,968,206
Utilities -  0.7%
          
CenterPoint Energy, Inc.
          
3.94% due 09/15/292,7
  
 50,052
    
 3,081,326
Total Convertible Bonds
          
(Cost $363,334,986)
        
362,626,481
CORPORATE BONDS†† - 52.8%
          
Consumer, Non-cyclical -  11.8%
          
Tenet Healthcare Corp.
          
6.00% due 10/01/202
  
 4,000,000
    
 4,340,000
8.13% due 04/01/22
  
 550,000
    
 621,500
Prospect Medical Holdings, Inc.
          
8.38% due 05/01/192,4
  
 4,096,000
    
 4,372,480
Valeant Pharmaceuticals International
          
6.38% due 10/15/204
  
2,000,000
    
2,122,499
6.75% due 08/15/212,4
  
 1,875,000
    
 1,980,469
United Rentals North America, Inc.
          
7.38% due 05/15/20
  
 2,300,000
    
 2,486,875
5.75% due 11/15/24
  
 1,100,000
    
 1,122,000
HCA, Inc.
          
6.50% due 02/15/202
  
 2,600,000
    
 2,931,500
Fresenius Medical Care US Finance II, Inc.
          
5.63% due 07/31/192,4
  
 2,550,000
    
 2,786,385
HCA Holdings, Inc.
          
7.75% due 05/15/212
  
 2,575,000
    
 2,758,468
CHS/Community Health Systems, Inc.
          
5.13% due 08/15/18
  
 2,500,000
    
 2,595,000
Mallinckrodt International Finance S.A.
          
3.50% due 04/15/18
  
 2,100,000
    
 2,047,500
Health Net, Inc.
          
6.38% due 06/01/172
  
 1,875,000
    
 2,014,631
Biomet, Inc.
          
6.50% due 08/01/202
  
 1,875,000
    
 2,003,906
IASIS Healthcare LLC / IASIS Capital Corp.
          
8.38% due 05/15/19
  
 1,875,000
    
 1,968,750
Cott Beverages, Inc.
          
6.75% due 01/01/204
  
 1,650,000
    
 1,633,500
Cenveo Corp.
          
8.50% due 09/15/224
  
 1,250,000
    
 1,028,125
11.50% due 05/15/17
  
 550,000
    
 536,250
Land O'Lakes Capital Trust I
          
7.45% due 03/15/282,4
  
 1,500,000
    
 1,560,000
Gentiva Health Services, Inc.
          
11.50% due 09/01/18
  
 1,250,000
    
 1,326,563
Sotheby's
          
5.25% due 10/01/224
  
 1,250,000
    
 1,193,750
Novasep Holding SAS
          
8.00% due 12/15/164
  
 1,250,000
    
 1,178,250
           
   
Face
      
   
Amount~
    
Value
CORPORATE BONDS†† - 52.8% (continued)
          
Consumer, Non-cyclical -  11.8% (continued)
          
Omnicare, Inc.
          
5.00% due 12/01/24
$
 550,000
  
$
 574,750
4.75% due 12/01/22
  
 550,000
    
 572,000
R&R Ice Cream plc
          
5.50% due 05/15/202,4
  
 750,000 GBP
    
 1,099,526
Vector Group Ltd.
          
7.75% due 02/15/21
  
 625,000
    
 665,625
HealthSouth Corp.
          
8.13% due 02/15/202
  
 625,000
    
 654,688
JLL/Delta Dutch Newco BV
          
7.50% due 02/01/224
  
 625,000
    
 635,156
Cerberus Nightingale 1 SARL
          
8.25% due 02/01/20
  
 550,000 EUR
    
 620,648
FAGE Dairy Industry S.A. / FAGE USA Dairy Industry, Inc.
          
9.88% due 02/01/204
  
 410,000
    
 428,450
Live Nation Entertainment, Inc.
          
7.00% due 09/01/204
  
300,000
    
321,750
Total Consumer, Non-cyclical
        
 50,180,994
Industrial -  7.1%
          
Reynolds Group Issuer Incorporated / Reynolds Group Issuer LLC / Reynolds Group Issuer
          
7.13% due 04/15/192
  
 2,480,000
    
 2,574,550
5.75% due 10/15/202
  
 1,925,000
    
 1,973,125
Cemex SAB de CV
          
3.00% due 03/13/154
  
 4,156,000
    
 4,145,610
Clean Harbors, Inc.
          
5.13% due 06/01/212
  
 1,250,000
    
 1,265,625
5.25% due 08/01/20
  
 950,000
    
 964,250
Sanmina Corp.
          
4.38% due 06/01/192,4
  
 2,100,000
    
 2,073,750
MasTec, Inc.
          
4.88% due 03/15/232
  
 2,050,000
    
 1,916,750
Navios Maritime Holdings Incorporated / Navios Maritime Finance II US Inc
          
7.38% due 01/15/222,4
  
 1,250,000
    
 1,118,750
8.13% due 02/15/19
  
 625,000
    
 496,875
Teekay Corp.
          
6.48% due 10/09/15
  
 12,000,000 NOK
    
 1,548,286
Cleaver-Brooks, Inc.
          
8.75% due 12/15/194
  
 1,375,000
    
 1,440,313
Navios Maritime Acquisition Corporation / Navios Acquisition Finance US, Inc.
          
8.13% due 11/15/212,4
  
 1,457,000
    
 1,387,792
Waterjet Holdings, Inc.
          
7.63% due 02/01/202,4
  
 1,250,000
    
 1,287,500
Casella Waste Systems, Inc.
          
7.75% due 02/15/19
  
 1,250,000
    
 1,262,500
Boise Cascade Co.
          
6.38% due 11/01/202
  
 1,050,000
    
 1,107,750
Eletson Holdings
          
9.63% due 01/15/222,4
  
 1,100,000
    
 1,072,500
 
 
 
 
 
 
 
Advent Claymore Convertible Securities & Income Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
January 31, 2015
 
   
Face
      
   
Amount~
    
Value
CORPORATE BONDS†† - 52.8% (continued)
          
Industrial -  7.1% (continued)
          
Dispensing Dynamics International
          
12.50% due 01/01/184
$
 925,000
  
$
 975,875
Silk Bidco AS
          
7.50% due 02/01/22
  
 825,000 EUR
    
 930,972
LSB Industries, Inc.
          
7.75% due 08/01/192
  
 788,000
    
 815,580
Permian Holdings, Inc.
          
10.50% due 01/15/182,4
  
 1,141,000
    
 758,765
Pfleiderer GmbH
          
7.88% due 08/01/194
  
 625,000 EUR
    
 669,524
Navios South American Logistics Incorporated / Navios Logistics Finance US Inc
          
7.25% due 05/01/224
  
 450,000
    
 431,438
KLX, Inc.
          
5.88% due 12/01/224
  
275,000
    
272,250
Total Industrial
        
 30,490,330
Basic Materials -  6.9%
          
Celanese US Holdings LLC
          
5.88% due 06/15/212
  
 5,569,000
    
 6,000,598
4.63% due 11/15/222
  
 1,250,000
    
 1,253,125
Ashland, Inc.
          
4.75% due 08/15/222
  
 5,776,000
    
 5,903,071
FMG Resources August 2006 Pty Ltd.
          
8.25% due 11/01/192,4
  
 3,564,000
    
 3,176,415
Steel Dynamics, Inc.
          
5.13% due 10/01/214
  
 1,250,000
    
 1,278,125
6.38% due 08/15/222
  
 835,000
    
 895,538
Appvion, Inc.
          
9.00% due 06/01/204
  
 1,875,000
    
 1,282,031
Cornerstone Chemical Co.
          
9.38% due 03/15/182
  
 1,250,000
    
 1,271,875
Sappi Papier Holding GmbH
          
6.63% due 04/15/212,4
  
 1,200,000
    
 1,236,000
Novacap International SAS
          
5.09% due 05/01/194
  
 1,040,000 EUR
    
 1,179,456
Verso Paper Holdings LLC / Verso Paper, Inc.
          
11.75% due 01/15/19
  
 1,100,000
    
 1,080,750
Compass Minerals International, Inc.
          
4.88% due 07/15/242,4
  
 1,100,000
    
 1,078,000
St. Barbara Ltd.
          
8.88% due 04/15/184
  
 1,250,000
    
 1,006,250
First Quantum Minerals Ltd.
          
6.75% due 02/15/202,4
  
 589,000
    
 503,595
7.00% due 02/15/212,4
  
 589,000
    
 496,233
Commercial Metals Co.
          
4.88% due 05/15/23
  
 850,000
    
 807,500
Kissner Milling Company Ltd.
          
7.25% due 06/01/192,4
  
 625,000
    
 628,125
HIG BBC Intermediate Holdings LLC / HIG BBC Holdings Corp.
          
10.50% due 09/15/184,8
  
 625,000
    
 596,875
Total Basic Materials
        
 29,673,562
Communications -  6.7%
          
Starz LLC / Starz Finance Corp.
          
5.00% due 09/15/192
  
 4,937,000
    
 5,048,083
           
   
Face
      
   
Amount~
    
Value
CORPORATE BONDS†† - 52.8% (continued)
          
Communications -  6.7% (continued)
          
UPCB Finance III Ltd.
          
6.63% due 07/01/202,4
$
 3,250,000
  
$
 3,396,249
Equinix, Inc.
          
4.88% due 04/01/20
  
 1,800,000
    
 1,845,000
5.38% due 04/01/232
  
 1,250,000
    
 1,303,125
Alliance Data Systems Corp.
          
6.38% due 04/01/204
  
 2,750,000
    
 2,849,688
Sprint Communications, Inc.
          
9.00% due 11/15/184
  
 1,100,000
    
 1,270,500
11.50% due 11/15/21
  
 1,003,000
    
 1,213,630
Sprint Corp.
          
7.88% due 09/15/232
  
 1,826,000
    
 1,860,238
DISH DBS Corp.
          
6.75% due 06/01/212
  
 1,375,000
    
 1,497,031
EarthLink Holdings Corp.
          
7.38% due 06/01/202
  
1,350,000
    
1,370,250
Altice S.A.
          
7.75% due 05/15/222,4
  
 1,311,000
    
 1,360,163
Wind Acquisition Finance S.A.
          
7.00% due 04/23/21
  
 1,100,000 EUR
    
 1,245,950
ViaSat, Inc.
          
6.88% due 06/15/20
  
 1,143,000
    
 1,195,864
West Corp.
          
5.38% due 07/15/224
  
 1,100,000
    
 1,056,000
Telesat Canada / Telesat LLC
          
6.00% due 05/15/172,4
  
 650,000
    
 660,075
Clear Channel Worldwide Holdings, Inc.
          
6.50% due 11/15/22
  
 609,000
    
 631,076
Hughes Satellite Systems Corp.
          
6.50% due 06/15/192
  
 300,000
    
 322,125
iHeartCommunications, Inc.
          
11.25% due 03/01/21
  
 312,000
    
 319,410
Total Communications
        
 28,444,457
Financial -  6.3%
          
Credit Agricole S.A.
          
7.88% 2,3,4,9
  
 5,475,000
    
 5,670,128
Synovus Financial Corp.
          
7.88% due 02/15/192
  
 3,154,000
    
 3,532,480
5.13% due 06/15/172
  
 1,000,000
    
 1,028,500
Ally Financial, Inc.
          
8.00% due 03/15/202
  
 3,355,000
    
 4,009,225
CIT Group, Inc.
          
5.50% due 02/15/192,4
  
 3,465,000
    
 3,686,847
Kennedy-Wilson, Inc.
          
5.88% due 04/01/242
  
 1,375,000
    
 1,394,663
Corrections Corporation of America
          
4.63% due 05/01/23
  
 1,375,000
    
 1,375,000
Nationstar Mortgage LLC / Nationstar Capital Corp.
          
6.50% due 06/01/222
  
 1,450,000
    
 1,254,250
Covenant Surgical Partners, Inc.
          
8.75% due 08/01/192,4
  
 1,250,000
    
 1,246,875
E*TRADE Financial Corp.
          
5.38% due 11/15/222
  
 1,100,000
    
 1,157,750
Ocwen Financial Corp.
          
6.63% due 05/15/194
  
 1,100,000
    
 858,000
 
 
 
 
 
 
 
Advent Claymore Convertible Securities & Income Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
January 31, 2015
 
   
Face
      
   
Amount~
    
Value
CORPORATE BONDS†† - 52.8% (continued)
          
Financial -  6.3% (continued)
          
Omega Healthcare Investors, Inc.
          
5.88% due 03/15/242
$
 570,000
  
$
 605,625
Jefferies Finance LLC / JFIN Company-Issuer Corp.
          
6.88% due 04/15/222,4
  
 625,000
    
 567,188
DuPont Fabros Technology, LP
          
5.88% due 09/15/212
  
 450,000
    
 469,125
Greystar Real Estate Partners LLC
          
8.25% due 12/01/224
  
250,000
    
256,250
Total Financial
        
 27,111,906
Consumer, Cyclical -  5.5%
          
MGM Resorts International
          
5.25% due 03/31/202
  
 2,400,000
    
 2,412,000
6.00% due 03/15/232
  
 1,375,000
    
 1,395,625
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp.
          
5.63% due 10/15/21
  
 3,000,000
    
 3,180,000
Chrysler Group LLC / CG Company-Issuer, Inc.
          
8.00% due 06/15/192
  
 2,500,000
    
 2,640,625
Lennar Corp.
          
4.50% due 06/15/192
  
 2,090,000
    
 2,121,350
Churchill Downs, Inc.
          
5.38% due 12/15/212
  
 1,750,000
    
 1,732,500
Chinos Intermediate Holdings A, Inc.
          
7.75% due 05/01/194,8
  
 1,650,000
    
 1,398,375
Carlson Wagonlit BV
          
6.88% due 06/15/192,4
  
 1,250,000
    
 1,315,625
Allied Specialty Vehicles, Inc.
          
8.50% due 11/01/192,4
  
 1,250,000
    
 1,306,250
Regal Entertainment Group
          
5.75% due 03/15/22
  
 1,238,000
    
 1,236,453
Dana Holding Corp.
          
6.75% due 02/15/212
  
 1,075,000
    
 1,147,563
Speedway Motorsports, Inc.
          
5.13% due 02/01/234
  
 1,100,000
    
 1,124,750
Travelex Financing plc
          
8.00% due 08/01/184
  
 625,000 GBP
    
 987,556
Magnolia BC S.A.
          
9.00% due 08/01/204
  
 625,000 EUR
    
 675,455
First Cash Financial Services, Inc.
          
6.75% due 04/01/212
  
 625,000
    
 646,875
Global Partners Limited Partnership / GLP Finance Corp.
          
6.25% due 07/15/224
  
 300,000
    
 295,500
MTR Gaming Group, Inc.
          
11.50% due 08/01/19
  
 16
    
 17
Total Consumer, Cyclical
        
 23,616,519
Energy -  5.3%
          
Penn Virginia Corp.
          
8.50% due 05/01/20
  
 4,292,000
    
 3,583,819
Alta Mesa Holdings Limited Partnership / Alta Mesa Finance Services Corp.
          
9.63% due 10/15/182
  
 2,803,000
    
 2,270,430
           
   
Face
      
   
Amount~
    
Value
CORPORATE BONDS†† - 52.8% (continued)
          
Energy -  5.3% (continued)
          
PBF Holding Company LLC / PBF Finance Corp.
          
8.25% due 02/15/202
$
 1,875,000
  
$
 1,921,875
Tesoro Logistics Limited Partnership / Tesoro Logistics Finance Corp.
          
6.13% due 10/15/21
  
 1,500,000
    
 1,530,000
Regency Energy Partners Limited Partnership / Regency Energy Finance Corp.
          
5.88% due 03/01/22
  
1,375,000
    
1,512,500
SESI LLC
          
6.38% due 05/01/192
  
 1,500,000
    
 1,500,000
Oasis Petroleum, Inc.
          
6.88% due 03/15/222
  
 1,550,000
    
 1,434,719
Clayton Williams Energy, Inc.
          
7.75% due 04/01/192
  
 1,650,000
    
 1,427,250
QEP Resources, Inc.
          
6.88% due 03/01/212
  
 1,300,000
    
 1,345,500
Genesis Energy Limited Partnership / Genesis Energy Finance Corp.
          
5.75% due 02/15/21
  
 1,375,000
    
 1,302,813
Tesoro Corp.
          
5.38% due 10/01/222
  
 1,250,000
    
 1,287,500
California Resources Corp.
          
5.50% due 09/15/214
  
 1,100,000
    
 929,500
BreitBurn Energy Partners Limited Partnership / BreitBurn Finance Corp.
          
7.88% due 04/15/222
  
 1,265,000
    
 815,925
W&T Offshore, Inc.
          
8.50% due 06/15/192
  
 1,250,000
    
 806,250
CONSOL Energy, Inc.
          
5.88% due 04/15/222
  
 500,000
    
 436,250
Energy XXI Gulf Coast, Inc.
          
9.25% due 12/15/17
  
 715,000
    
 402,188
Total Energy
        
 22,506,519
Technology -  3.2%
          
First Data Corp.
          
11.75% due 08/15/21
  
 3,042,100
    
 3,517,427
11.25% due 01/15/21
  
 1,168,000
    
 1,325,680
12.63% due 01/15/21
  
 685,000
    
 814,294
NXP BV / NXP Funding LLC
          
5.75% due 02/15/212,4
  
 2,600,000
    
 2,749,500
Nuance Communications, Inc.
          
5.38% due 08/15/202,4
  
 2,615,000
    
 2,654,225
Audatex North America, Inc.
          
6.00% due 06/15/214
  
 1,800,000
    
 1,881,000
Micron Technology, Inc.
          
5.50% due 02/01/254
  
 625,000
    
 629,688
Total Technology
        
 13,571,814
Total Corporate Bonds
          
(Cost $230,954,959)
        
225,596,101
SENIOR FLOATING RATE INTERESTS††, 9 - 0.8%
          
Vertellus Specialties, Inc.
          
10.50% due 10/30/19
  
 1,371,563
    
 1,302,984
Sprint Industrial Holdings LLC
          
11.25% due 05/14/19
  
 1,250,000
    
 1,193,751
 
 
 
 
 
 
 
Advent Claymore Convertible Securities & Income Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
January 31, 2015
 
   
Face
      
   
Amount~
    
Value
SENIOR FLOATING RATE INTERESTS††, 9 - 0.8% (continued)
          
Caraustar Industries, Inc.
          
7.50% due 05/01/19
$
897,757
  
$
875,313
Total Senior Floating Rate Interests
          
(Cost $3,445,156)
        
3,372,048
Total Investments - 159.4%
          
(Cost $689,024,655)
      
$
681,472,199
           
   
Contracts
    
Value
CALL OPTIONS WRITTEN*† - 0.0%**
          
Gilead Sciences, Inc. Expiring February 2015 with strike price of $111.00
  
182
  
$
(29,120)
Apple, Inc. Expiring February 2015 with strike price of $117.00
  
156
    
(47,424)
Total Call Options Written
          
(Premiums received $77,556)
        
(76,544)
Other Assets & Liabilities, net - (59.4)%
        
(253,902,468)
Total Net Assets - 100.0%
      
$
(427,493,187)

*
  
Non-income producing security.
**
  
Less than 0.1%
~
  
The face amount is denominated in U.S. Dollars, unless otherwise noted.
†
  
Value determined based on Level 1 inputs — See Notes.
††
  
Value determined based on Level 2 inputs — See Notes.
1
  
All or a portion of these securities represent cover for outstanding written options. At January 31, 2015, the total amount segregated was $3,735,602.
2
  
All or a portion of these securities have been physically segregated in connection with borrowings and reverse repurchase agreements. As of January 31, 2015, the total value was $427,642,806.
3
  
Perpetual maturity.
4
  
Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $174,568,801 (cost $179,786,950), or 40.8% of total net assets.
5
  
All or a portion of these securities are reserved and/or pledged with the custodian for forward exchange currency contracts and option contracts. At January 31, 2015, the total amount segregated was $15,137,811.
6
  
Zero coupon rate security.
7
  
Security is a step up/step down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity.
8
  
Security is a pay-in-kind bond.
9
  
Variable rate security. Rate indicated is rate effective at January 31, 2015.
10
  
Security is an accreting bond until December 15, 2017, with a 4.00% principal accretion rate, and then accretes at a 2.00% principal accretion rate until maturity.
11
  
Security becomes an accreting bond after December 15, 2016, with a 2.00% principal accretion rate.
     
     
     
ADR
  
American Depositary Receipt
BV
  
Limited Liability Company
EUR
  
Euro
GBP
  
Great Britain Pound
GmbH
  
Limited Liability
HKD
  
Hong Kong Dollar
NOK
  
Norwegian Krone
NV
  
Publicly Traded Company
plc
  
Public Limited Company
Pty
  
Proprietary
SA
  
Corporation
SAB de CV
  
Publicly Traded Company
 
 
 
 

Forward Exchange Currency Contracts
              
                   
Net Unrealized
  
Contracts to Buy
  
Counterparty
Settlement Date
  
Settlement Value
  
Value at 1/31/15
  
Depreciation
  
EUR
 1,120,000                    
for USD
 1,377,664  
The Bank of New York Mellon
03/19/2015
   $ 1,377,664   $ 1,264,383   $ (113,281 )
                             
                        $ (113,281 )
                             
                       
Net Unrealized
  
Contracts to Sell
  
Counterparty
Settlement Date
  
Settlement Value
  
Value at 1/31/15
  
Appreciation/(Depreciation)
  
EUR
 56,015                          
for USD
 63,399  
The Bank of New York Mellon
02/02/2015
   $ 63,399   $ 63,211   $ 188  
                             
EUR
 3,782,000                          
for USD
 4,714,339  
The Bank of New York Mellon
03/19/2015
     4,714,339     4,269,550     444,789  
                             
EUR
 13,371                          
for USD
 15,133  
The Bank of New York Mellon
02/02/2015
     15,133     15,088     45  
                             
GBP
 25,000                          
for USD
 37,823  
The Bank of New York Mellon
02/02/2015
     37,823     37,548     275  
                             
GBP
 1,000,000                          
for USD
 1,569,520  
The Bank of New York Mellon
03/19/2015
     1,569,520     1,501,421     68,099  
                             
NOK
 12,175,000                          
for USD
 1,637,954  
The Bank of New York Mellon
03/19/2015
     1,637,954     1,568,803     69,151  
                             
                        $ 582,547  
          Total unrealized appreciation for forward currency contracts   $ 469,266  
 

 
 
 
 
 
At January 31, 2015, 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
  
Net Tax Unrealized Appreciation on Derivatives and Foreign Currency
$ 691,173,190   $ 21,995,563   $ (31,696,554 ) $ (9,700,991 ) $ 471,684
 
Equity securities listed on an exchange are valued at the last reported sale price on the primary exchange on which they are traded. Equity securities traded on an exchange or on the over-the-counter market and for which there are no transactions on a given day are valued at the mean of the closing bid and ask prices. Securities traded on NASDAQ are valued at the NASDAQ Official Closing Price. Equity securities not listed on a securities exchange or NASDAQ are valued at the mean of the closing bid and ask prices. Debt securities are valued by independent pricing services or dealers using the mean of the closing bid and ask prices for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. If sufficient market activity is limited or does not exist, the pricing providers or broker-dealers may utilize proprietary valuation models which consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, or other unique security features in order to estimate relevant cash flows, which are then discounted to calculate a security’s fair value. Exchange-traded funds and listed closed-end funds are valued at the last sale price or official closing price on the exchange where the security is principally traded. Exchange-traded options are valued at the closing price, if traded that day. If not traded, they are valued at the mean of the bid and ask prices on the primary exchange on which they are traded. Futures contracts are valued using the settlement price established each day on the exchange on which they are traded. Swaps are valued daily by independent pricing services or dealers using the mid price. Forward exchange currency contracts are valued daily at current exchange rates. The Fund values money market funds at net asset value. Short-term securities with remaining maturities of 60 days or less at the time of purchase are valued at amortized cost, which approximates market value.
 
For those securities where quotations or prices are not available, the valuations are determined in accordance with procedures established in good faith by management and approved by the Board of Trustees. A valuation committee consisting of representatives from investment management, fund administration, legal and compliance is responsible for the oversight of the valuation process of the Fund and convenes monthly, or more frequently as needed. The valuation committee reviews monthly Level 3 fair valued securities methodology, price overrides, broker quoted securities, price source changes, illiquid securities, unchanged priced securities, halted securities, price challenges, fair valued securities sold and back testing trade prices in relation to prior day closing prices. On a quarterly basis, the valuations and methodologies of all Level 3 fair valued securities are presented to the Fund’s Board of Trustees.
 
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) fair value. Such fair value is the amount that the Fund might reasonably expect to receive for the security (or asset) upon its current sale. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one security to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security). There were no securities fair valued in accordance with such procedures established by the Board of Trustees at January 31, 2015.
 
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 following are certain inputs and techniques that are generally utilized to evaluate how to classify each major type of investment in accordance with GAAP.
 
Equity Securities (Common and Preferred Stock) – Equity securities traded in active markets where market quotations are readily available are categorized as Level 1. Equity securities traded in inactive markets and certain foreign equities are valued using inputs which include broker quotes, prices of securities closely related where the security held is not trading but the related security is trading, and evaluated price quotes received from independent pricing providers. To the extent that these inputs are observable, such securities are categorized as Level 2. To the extent that these inputs are unobservable, such securities are categorized as Level 3.
 
Convertible Bonds & Notes – Convertible bonds and notes are valued by independent pricing providers who employ matrix pricing models utilizing various inputs such as market prices, broker quotes, prices of securities with comparable maturities and qualities, and closing prices of corresponding underlying securities. To the extent that these inputs are observable, such securities are categorized as Level 2. To the extent that these inputs are unobservable, such securities are categorized as Level 3.
 
Corporate Bonds & Notes – Corporate bonds and notes are valued by independent pricing providers who employ matrix pricing models utilizing various inputs such as market prices, broker quotes, and prices of securities with comparable maturities and qualities. To the extent that these inputs are observable, such securities are categorized as Level 2. To the extent that these inputs are unobservable, such securities are categorized as Level 3.
 
Listed derivatives that are actively traded are valued based on quoted prices from the exchange and categorized in Level 1 of the fair value hierarchy. Over-the-counter (OTC) derivative contracts including forward currency contracts and option contracts derive their value from underlying asset prices, indices, reference rates, and other inputs. Depending on the product and terms of the transaction, the fair value of the OTC derivative products can be modeled taking into account the counterparties' creditworthiness and using a series of techniques, including stimulation models. Many pricing models do not entail material subjectivity because of the methodologies employed do not necessitate significant judgments, and the pricing inputs are observed from actively quoted markets. These OTC derivatives are categorized within Level2 of the fair value hierarchy.
 
The Fund did not hold any Level 3 securities during the period ended January 31, 2015.
 
Transfers between levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
 
There were no transfers between levels during the period ended January 31, 2015.
 
The following table represents the Fund’s investments carried by caption and by level within the fair value hierarchy as of January 31, 2015:
 
 
Quoted Prices in Active
Markets for Identical Assets
  
Significant Other
Observable Inputs
  
Significant
Unobservable Inputs
    
Description
(Level 1)
  
(Level 2)
  
(Level 3)
  
Total
Assets:
              
Convertible Bonds
 $ -   $ 362,626,481   $ -   $ 362,626,481
Corporate Bonds
   -     225,596,101     -     225,596,101
Convertible Preferred Stocks
   67,026,809     -     -     67,026,809
Common Stocks
   15,287,791     -     -     15,287,791
Senior Floating Rate Interests
   -     3,372,048     -     3,372,048
Short Term Investments
   7,562,969     -     -     7,562,969
Forward Exchange Currency Contracts
   -     582,547     -     582,547
Total
 $ 89,877,569   $ 592,177,177   $ -   $ 682,054,746
Liabilities:
                      
Call Options Written
 $ 76,544   $ -   $ -   $ 76,544
Forward Exchange Currency Contracts
   -     113,281     -     113,281
Total
 $ 76,544   $ 113,281   $ -   $ 189,825
 
If not referenced in the table, please refer to the Portfolio of Investments for a breakdown of investment type by industry category.

 
 
 
 
 
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 on 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 30, 2015
 
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 30, 2015
 
By:
 /s/ Robert White
 
Robert White
 
Treasurer and Chief Financial Officer
   
Date:
 March 30, 2015