N-Q 1 gug53560-nq.htm AVK gug53560-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, 2012                                                                           

 
 
 
 



Item 1.                      Schedule of Investments.
                  Attached hereto.
 
AVK Advent Claymore Convertible Securities & Income Fund
              
Portfolio of Investments
          
January 31, 2012 (unaudited)
          
                 
 
Principal
          
Optional Call
  
 
Amount^
  
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Long-Term Investments - 150.3%
          
     
Convertible Bonds - 89.2%
          
     
Aerospace & Defense - 1.6%
          
 
$2,000,000
  
AAR Corp.(a)
B+
1.63%
03/01/2014
N/A
$1,895,000
 
4,900,000
  
L-3 Communications Holdings, Inc.
BB+
3.00%
08/01/2035
02/01/16 @ 100
4,777,500
               
6,672,500
                 
     
Apparel - 0.9%
          
 
3,750,000
  
Iconix Brand Group, Inc.(a)
NR
2.50%
06/01/2016
N/A
3,712,500
                 
     
Auto Manufacturers - 0.8%
          
 
3,000,000
  
Navistar International Corp.
B
3.00%
10/15/2014
N/A
3,491,250
                 
     
Biotechnology - 7.6%
          
 
10,500,000
  
Amgen, Inc., Series B
A+
0.38%
02/01/2013
N/A
10,880,625
 
2,850,000
  
Dendreon Corp.
NR
2.88%
01/15/2016
N/A
2,390,437
 
8,100,000
  
Gilead Sciences, Inc.
A-
1.00%
05/01/2014
N/A
9,831,375
 
4,920,000
  
Illumina, Inc.(a)
NR
0.25%
03/15/2016
N/A
4,729,350
 
3,000,000
  
Vertex Pharmaceuticals, Inc.
NR
3.35%
10/01/2015
10/01/13 @ 101
3,300,000
               
31,131,787
                 
     
Coal - 3.1%
          
 
9,933,000
  
Alpha Appalachia Holdings, Inc.
BB-
3.25%
08/01/2015
N/A
9,312,188
 
3,875,000
  
Alpha Natural Resources, Inc.
B+
2.38%
04/15/2015
N/A
3,623,125
               
12,935,313
                 
     
Commercial Services - 1.4%
          
 
5,000,000
  
Sotheby's
BB
3.13%
06/15/2013
N/A
5,950,000
                 
     
Computers - 3.3%
          
 
1,700,000
  
EMC Corp., Series B
A-
1.75%
12/01/2013
N/A
2,826,250
 
4,500,000
  
Netapp, Inc.
NR
1.75%
06/01/2013
N/A
5,838,750
 
3,000,000
  
RadiSys Corp.
NR
2.75%
02/15/2013
N/A
2,977,500
 
1,625,000
  
SanDisk Corp.
BB
1.50%
08/15/2017
N/A
1,885,000
               
13,527,500
                 
     
Diversified Financial Services - 2.4%
          
 
5,000,000
  
Affiliated Managers Group, Inc.
BBB-
3.95%
08/15/2038
08/15/13 @ 100
5,493,750
 
7,350,000
  
QBE Funding Trust (Australia)(b)
A
0.00%
05/12/2030
05/12/13 @ 100
4,542,300
               
10,036,050
                 
     
Electronics - 1.2%
          
 
6,000,000
  
Vishay Intertechnology, Inc.(a)
BB+
2.25%
05/15/2041
N/A
5,130,000
                 
     
Entertainment - 0.7%
          
 
2,500,000
  
International Game Technology
BBB
3.25%
05/01/2014
N/A
2,868,750
                 
     
Environmental Control - 0.9%
          
 
3,500,000
  
Covanta Holding Corp.
B
3.25%
06/01/2014
N/A
3,784,375
                 
     
Health Care Products - 5.4%
          
 
5,848,000
  
Hologic, Inc., Series 2010(c)
BB+
2.00%
12/15/2037
12/15/16 @ 100
6,966,430
 
6,468,000
  
Hologic, Inc.(d)
BB+
2.00%
12/15/2037
12/15/13 @ 100
6,346,725
 
8,575,000
  
Medtronic, Inc., Series B
AA-
1.63%
04/15/2013
N/A
8,735,781
               
22,048,936
                 
     
Health Care Services - 2.9%
          
 
4,640,000
  
LifePoint Hospitals, Inc.
B
3.50%
05/15/2014
N/A
4,918,400
 
2,989,000
  
Lincare Holdings, Inc., Series B
NR
2.75%
11/01/2037
11/01/14 @ 100
3,314,054
 
3,000,000
  
Molina Healthcare, Inc., Series MOH
NR
3.75%
10/01/2014
N/A
3,607,500
               
11,839,954
                 
     
Home Builders - 0.7%
          
 
2,350,000
  
Lennar Corp.(a)
B+
2.75%
12/15/2020
12/20/15 @ 100
2,861,125
                 
     
Insurance - 1.7%
          
 
EUR 632,500
  
AXA SA, Series CS (France)
BBB+
3.75%
01/01/2017
N/A
1,947,415
 
$4,760,000
  
Old Republic International Corp.
BBB+
8.00%
05/15/2012
N/A
4,843,300
               
6,790,715
                 
     
Internet - 3.7%
          
 
6,000,000
  
Digital River, Inc.
NR
2.00%
11/01/2030
11/01/15 @ 100
5,362,500
 
11,300,000
  
WebMD Health Corp.(a)
NR
2.50%
01/31/2018
N/A
9,831,000
               
15,193,500
                 
     
Iron & Steel - 4.6%
          
 
2,250,000
  
Allegheny Technologies, Inc.
BBB-
4.25%
06/01/2014
N/A
3,057,188
 
5,000,000
  
ArcelorMittal (Luxembourg)
BBB-
5.00%
05/15/2014
N/A
5,443,750
 
3,750,000
  
Steel Dynamics, Inc.
BB+
5.13%
06/15/2014
N/A
4,387,500
 
5,000,000
  
U.S. Steel Corp.
BB
4.00%
05/15/2014
N/A
5,993,750
               
18,882,188
                 
     
Lodging - 2.3%
          
 
1,400,000
  
Gaylord Entertainment Co.(a)
NR
3.75%
10/01/2014
N/A
1,708,000
 
7,368,000
  
MGM Resorts International
B-
4.25%
04/15/2015
N/A
7,810,080
               
9,518,080
                 
     
Media - 1.0%
          
 
2,850,000
  
XM Satellite Radio, Inc.(a)
BB
7.00%
12/01/2014
N/A
3,997,125
                 
     
Mining - 3.4%
          
 
6,350,000
  
Goldcorp, Inc. (Canada)
BBB+
2.00%
08/01/2014
N/A
8,175,625
 
4,000,000
  
Newmont Mining Corp., Series A
BBB+
1.25%
07/15/2014
N/A
5,710,000
               
13,885,625
                 
     
Miscellaneous Manufacturing - 1.0%
          
 
3,975,000
  
Trinity Industries, Inc.
BB-
3.88%
06/01/2036
06/01/18 @ 100
4,009,781
                 
     
Oil & Gas - 3.1%
          
 
5,835,000
  
Chesapeake Energy Corp.
BB+
2.50%
05/15/2037
05/15/17 @ 100
5,127,506
 
7,300,000
  
Lukoil International Finance BV (Russia)
BBB-
2.63%
06/16/2015
N/A
7,721,575
               
12,849,081
                 
     
Packaging & Containers - 2.3%
          
 
9,650,000
  
Owens-Brockway Glass Container, Inc.(a)
BB
3.00%
06/01/2015
N/A
9,505,250
                 
     
Pharmaceuticals - 4.7%
          
 
2,700,000
  
ENDO Pharmaceuticals Holdings, Inc.
NR
1.75%
04/15/2015
N/A
3,729,375
 
2,500,000
  
Isis Pharmaceuticals, Inc.
NR
2.63%
02/15/2027
02/15/13 @ 100
2,365,625
 
8,818,000
  
Omnicare, Inc., Series OCR
B+
3.25%
12/15/2035
12/15/15 @ 100
8,443,235
 
4,000,000
  
Shire PLC, Series SHP (Channel Islands)
NR
2.75%
05/09/2014
N/A
4,628,000
               
19,166,235
                 
     
Real Estate - 1.0%
          
 
3,781,000
  
Forest City Enterprises, Inc.
NR
3.63%
10/15/2014
10/15/13 @ 100
4,081,117
                 
     
Real Estate Investment Trusts - 8.0%
          
 
2,100,000
  
Annaly Capital Management, Inc.
NR
4.00%
02/15/2015
N/A
2,493,750
 
6,398,000
  
Boston Properties, LP
A-
3.75%
05/15/2036
05/18/13 @ 100
7,389,690
 
3,000,000
  
DDR Corp.
NR
1.75%
11/15/2040
11/20/15 @ 100
3,180,000
 
6,200,000
  
Health Care REIT, Inc.
BBB-
3.00%
12/01/2029
12/01/14 @ 100
7,347,000
 
1,300,000
  
Host Hotels & Resorts, LP(a)
BB+
2.50%
10/15/2029
10/20/15 @ 100
1,745,250
 
4,960,000
  
NorthStar Realty Finance, LP(a)
NR
7.50%
03/15/2031
03/15/16 @ 100
4,625,200
 
5,500,000
  
SL Green Operating Partnership(a)
BB+
3.00%
10/15/2017
N/A
6,063,750
               
32,844,640
                 
     
Retail - 2.1%
          
 
9,250,000
  
RadioShack Corp.(a)
Ba3
2.50%
08/01/2013
N/A
8,718,125
                 
     
Semiconductors - 9.5%
          
 
9,964,000
  
Advanced Micro Devices, Inc.
B+
6.00%
05/01/2015
N/A
10,175,735
 
5,000,000
  
Intel Corp.(h)
A-
2.95%
12/15/2035
N/A
5,643,750
 
5,000,000
  
Lam Research Corp.(a)
BB+
0.50%
05/15/2016
N/A
5,081,250
 
3,000,000
  
Linear Technology Corp., Series A
NR
3.00%
05/01/2027
05/01/14 @ 100
3,210,000
 
3,000,000
  
Micron Technology, Inc., Series A(a)
NR
1.50%
08/01/2031
08/05/15 @ 100
2,992,500
 
4,000,000
  
ON Semiconductor Corp.
BB
2.63%
12/15/2026
12/20/13 @ 100
4,555,000
 
2,000,000
  
Photronics, Inc.(a)
NR
3.25%
04/01/2016
N/A
2,012,500
 
5,000,000
  
Rovi Corp.
NR
2.63%
02/15/2040
02/20/15 @ 100
5,375,000
               
39,045,735
                 
     
Telecommunications - 7.9%
          
 
13,825,000
  
Alcatel-Lucent USA, Inc., Series B (France)
B
2.88%
06/15/2025
06/20/13 @ 100
12,701,719
 
1,344,000
  
Anixter International, Inc.
B+
1.00%
02/15/2013
N/A
1,607,760
 
GBP 4,000,000
  
Cable & Wireless Worldwide PLC (United Kingdom)
NR
5.75%
11/24/2014
N/A
5,775,667
 
$5,000,000
  
Ciena Corp.(a)
NR
4.00%
03/15/2015
N/A
5,337,500
 
4,000,000
  
SBA Communications Corp.
NR
1.88%
05/01/2013
N/A
4,755,000
 
1,685,000
  
Virgin Media, Inc.
B+
6.50%
11/15/2016
N/A
2,556,988
               
32,734,634
                 
     
Total Convertible Bonds - 89.2%
          
     
(Cost $342,765,232)
        
367,211,871
                 
     
Corporate Bonds - 50.2%
          
     
Advertising - 0.3%
          
 
1,250,000
  
Lamar Media Corp.
BB-
7.88%
04/15/2018
04/15/14 @ 104
1,371,875
                 
     
Agriculture - 0.2%
          
 
750,000
  
North Atlantic Trading Co.(a)
B2
11.50%
07/15/2016
07/15/13 @ 109
748,125
                 
     
Auto Manufacturers - 0.5%
          
 
500,000
  
Chrysler Group, LLC/CG Co-Issuer, Inc.(a)
B
8.25%
06/15/2021
06/15/16 @ 104
480,000
 
1,000,000
  
Ford Motor Co.
BB+
6.63%
10/01/2028
N/A
1,074,532
 
250,000
  
Jaguar Land Rover PLC (United Kingdom)(a)
B+
7.75%
05/15/2018
05/15/14 @ 106
249,375
 
250,000
  
Jaguar Land Rover PLC (United Kingdom)(a)
B+
8.13%
05/15/2021
05/15/16 @ 104
246,250
               
2,050,157
                 
     
Auto Parts & Equipment - 2.3%
          
 
500,000
  
Cooper Tire & Rubber Co.
BB-
8.00%
12/15/2019
N/A
522,500
 
3,750,000
  
Dana Holding Corp.
BB-
6.50%
02/15/2019
02/15/15 @ 103
4,007,813
 
320,000
  
Goodyear Tire & Rubber Co.
B+
8.25%
08/15/2020
08/15/15 @ 104
349,600
 
750,000
  
Lear Corp.
BB
7.88%
03/15/2018
03/15/14 @ 104
821,250
 
500,000
  
Pittsburgh Glass Works, LLC(a)
B+
8.50%
04/15/2016
04/15/13 @ 104
506,250
 
2,780,000
  
TRW Automotive, Inc.(a)
BB+
8.88%
12/01/2017
12/01/13 @ 104
3,085,800
               
9,293,213
                 
     
Banks - 2.1%
          
 
1,750,000
  
Ally Financial, Inc.
B+
8.30%
02/12/2015
N/A
1,934,835
 
5,400,000
  
Capital One Capital V
BB+
10.25%
08/15/2039
N/A
5,683,500
 
1,000,000
  
Synovus Financial Corp.
B-
5.13%
06/15/2017
N/A
897,500
               
8,515,835
                 
     
Beverages - 1.0%
          
 
3,750,000
  
Constellation Brands, Inc.
BB+
7.25%
09/01/2016
N/A
4,228,125
                 
     
Building Materials - 0.2%
          
 
750,000
  
Masco Corp.
BBB-
7.13%
03/15/2020
N/A
772,986
                 
     
Chemicals - 1.1%
          
 
250,000
  
CF Industries, Inc.
BB+
6.88%
05/01/2018
N/A
290,625
 
1,000,000
  
CF Industries, Inc.
BB+
7.13%
05/01/2020
N/A
1,200,000
 
1,000,000
  
Chevron Phillips Chemical Co., LLC(a)
BBB
4.75%
02/01/2021
11/01/20 @ 100
1,141,376
 
802,053
  
Lyondell Chemical Co.
BB+
11.00%
05/01/2018
05/01/13 @ 100
882,258
 
1,375,000
  
Vertellus Specialties, Inc.(a)
B
9.38%
10/01/2015
04/01/13 @ 105
1,031,250
               
4,545,509
                 
     
Coal - 0.4%
          
 
1,075,000
  
Alpha Natural Resources, Inc.
BB
6.25%
06/01/2021
06/01/16 @ 103
1,069,625
 
100,000
  
Peabody Energy Corp.(a)
BB+
6.00%
11/15/2018
N/A
103,500
 
100,000
  
Peabody Energy Corp.(a)
BB+
6.25%
11/15/2021
N/A
103,500
 
500,000
  
SunCoke Energy, Inc.
B+
7.63%
08/01/2019
08/01/14 @ 106
507,500
               
1,784,125
                 
     
Commercial Services - 0.6%
          
 
1,000,000
  
Avis Budget Car Rental, LLC
B
8.25%
01/15/2019
10/15/14 @ 104
1,057,500
 
1,000,000
  
Emergency Medical Services Corp.
B-
8.13%
06/01/2019
06/01/14 @ 106
1,025,000
 
500,000
  
Neff Rental, LLC(a)
B-
9.63%
05/15/2016
05/15/13 @ 107
472,500
               
2,555,000
                 
     
Computers - 3.2%
          
 
11,693,000
  
Seagate HDD Cayman (Ireland)
BB+
7.75%
12/15/2018
12/15/14 @ 104
13,008,463
                 
     
Diversified Financial Services - 3.2%
          
 
5,578,000
  
Ford Motor Credit Co., LLC
BB+
12.00%
05/15/2015
N/A
7,000,390
 
1,500,000
  
International Lease Finance Corp.
BBB-
8.25%
12/15/2020
N/A
1,605,000
 
1,000,000
  
Marfrig Holding Europe BV (Netherlands)(a)
B+
8.38%
05/09/2018
N/A
845,000
 
5,000,000
  
Textron Financial Corp.(a) (e)
B
6.00%
02/15/2067
02/15/17 @ 100
3,825,000
               
13,275,390
                 
     
Electric - 1.4%
          
 
3,850,000
  
AES Corp.
BB-
7.75%
10/15/2015
N/A
4,254,250
 
250,000
  
AES Corp.
BB-
8.00%
06/01/2020
N/A
285,000
 
750,000
  
AES Corp.(a)
BB-
7.38%
07/01/2021
N/A
832,500
 
750,000
  
Texas Competitive Electric Holdings Co., LLC(a)
CCC
11.50%
10/01/2020
04/01/16 @ 106
570,000
               
5,941,750
                 
     
Entertainment - 0.2%
          
 
650,000
  
Mohegan Tribal Gaming Authority
CC
6.13%
02/15/2013
04/16/12 @ 100
536,250
 
200,000
  
Production Resource Group, Inc.(a)
B-
8.88%
05/01/2019
05/01/14 @ 107
181,000
               
717,250
                 
     
Food - 1.3%
          
 
1,000,000
  
Bumble Bee Acquisition Corp.(a)
B
9.00%
12/15/2017
12/15/14 @ 105
1,035,000
 
750,000
  
Del Monte Foods Co.
CCC+
7.63%
02/15/2019
02/15/14 @ 104
741,562
 
1,500,000
  
Land O'Lakes Capital Trust I(a)
BB
7.45%
03/15/2028
N/A
1,440,000
 
600,000
  
Post Holdings, Inc.(a)
B1
7.38%
02/15/2022
02/15/17 @ 104
622,500
 
EUR 750,000
  
R&R Ice Cream PLC (United Kingdom)(a)
B+
8.38%
11/15/2017
11/15/13 @ 106
947,425
 
$500,000
  
Reddy ICE Corp.
CCC+
11.25%
03/15/2015
03/15/13 @ 106
470,000
               
5,256,487
                 
     
Forest Products & Paper - 0.3%
          
 
1,004,000
  
AbitibiBowater, Inc.(a)
BB-
10.25%
10/15/2018
10/15/14 @ 105
1,137,030
 
500,000
  
Verso Paper Holdings, LLC, Series B
CCC+
11.38%
08/01/2016
08/01/12 @ 104
205,000
               
1,342,030
                 
     
Health Care Products - 0.3%
          
 
1,500,000
  
Rotech Healthcare, Inc.
B
10.50%
03/15/2018
03/15/15 @ 105
1,185,000
                 
     
Health Care Services - 2.5%
          
 
1,250,000
  
Apria Healthcare Group, Inc.
BB+
11.25%
11/01/2014
11/01/12 @ 103
1,310,938
 
1,750,000
  
Capella Healthcare, Inc.
B
9.25%
07/01/2017
07/01/13 @ 107
1,789,375
 
3,100,000
  
HCA, Inc.
B-
5.75%
03/15/2014
N/A
3,220,125
 
1,000,000
  
IASIS Healthcare, LLC / IASIS Capital Corp.
CCC+
8.38%
05/15/2019
05/15/14 @ 106
967,500
 
250,000
  
Select Medical Corp.
CCC+
7.63%
02/01/2015
02/01/13 @ 100
248,750
 
1,300,000
  
Select Medical Corp.(e)
CCC+
6.27%
09/15/2015
03/19/12 @ 100
1,168,375
 
1,500,000
  
Tenet Healthcare Corp.
CCC+
8.00%
08/01/2020
08/01/15 @ 104
1,556,250
               
10,261,313
                 
     
Holding Companies-Diversified - 0.3%
          
 
1,000,000
  
Leucadia National Corp.
B+
8.65%
01/15/2027
01/15/13 @ 102
1,020,000
                 
     
Home Builders - 0.2%
          
 
750,000
  
Beazer Homes USA, Inc.
CCC
8.13%
06/15/2016
N/A
652,500
                 
     
Household Products & Housewares - 1.4%
          
 
1,000,000
  
Reynolds Group Issuer, Inc.(a)
B-
9.25%
05/15/2018
05/15/14 @ 104
1,002,500
 
500,000
  
Reynolds Group Issuer, Inc.(a)
BB-
7.13%
04/15/2019
10/15/14 @ 104
527,500
 
150,000
  
Spectrum Brands Holdings, Inc.(a)
B
9.50%
06/15/2018
06/15/14 @ 105
170,813
 
2,500,000
  
Spectrum Brands Holdings, Inc.
B
9.50%
06/15/2018
06/15/14 @ 105
2,846,875
 
1,000,000
  
Yankee Candle Co., Inc., Series B
CCC+
9.75%
02/15/2017
02/15/13 @ 103
1,007,500
               
5,555,188
                 
     
Insurance - 2.1%
          
 
5,700,000
  
Liberty Mutual Group, Inc.(a) (e)
BB
10.75%
06/15/2058
06/15/38 @ 100
7,324,500
 
1,000,000
  
MetLife, Inc.
BBB
10.75%
08/01/2039
08/01/34 @ 100
1,394,082
               
8,718,582
                 
     
Investment Companies - 0.1%
          
 
500,000
  
Offshore Group Investment Ltd. (Cayman Islands)
B-
11.50%
08/01/2015
02/01/13 @ 109
556,250
                 
     
Iron & Steel - 0.5%
          
 
575,000
  
Algoma Acquisition Corp. (Canada)(a)
CCC+
9.88%
06/15/2015
06/15/12 @ 102
497,375
 
750,000
  
Edgen Murray Corp.
B-
12.25%
01/15/2015
01/15/13 @ 106
701,250
 
650,000
  
Optima Specialty Steel, Inc.(a)
B
12.50%
12/15/2016
12/15/14 @ 106
669,500
               
1,868,125
                 
     
Leisure Time - 0.2%
          
 
750,000
  
Brunswick Corp.
B
7.13%
08/01/2027
N/A
690,000
                 
     
Lodging - 3.9%
          
 
1,000,000
  
Caesars Entertainment Operating Co., Inc.
CCC
10.00%
12/15/2018
12/15/13 @ 105
777,500
 
1,750,000
  
Marina District Finance Co., Inc.
BB-
9.88%
08/15/2018
08/15/14 @ 105
1,645,000
 
1,250,000
  
MGM Resorts International
B-
7.63%
01/15/2017
N/A
1,250,000
 
650,000
  
MTR Gaming Group, Inc.(a)
B-
11.50%
08/01/2019
08/01/15 @ 106
598,000
 
3,305,000
  
Starwood Hotels & Resorts Worldwide, Inc.
BB+
6.75%
05/15/2018
N/A
3,809,012
 
7,106,000
  
Wynn Las Vegas, LLC / Wynn Las Vegas Capital Corp.
BBB-
7.75%
08/15/2020
08/15/15 @ 104
8,065,310
               
16,144,822
                 
     
Machinery-Construction & Mining - 0.1%
          
 
250,000
  
Terex Corp.
BB-
10.88%
06/01/2016
06/01/13 @ 105
283,750
                 
     
Machinery-Diversified - 0.4%
          
 
1,500,000
  
Case New Holland, Inc.
BB+
7.88%
12/01/2017
N/A
1,736,250
                 
     
Media - 2.7%
          
 
1,500,000
  
CCO Holdings, LLC
BB-
6.50%
04/30/2021
04/30/15 @ 105
1,567,500
 
537,000
  
Clear Channel Worldwide Holdings, Inc., Series B
B
9.25%
12/15/2017
12/15/12 @ 107
594,727
 
4,378,000
  
DISH DBS Corp.
BB-
7.13%
02/01/2016
N/A
4,826,745
 
500,000
  
Gannett Co., Inc.
Baa3
10.00%
04/01/2016
N/A
567,500
 
750,000
  
Gray Television, Inc.
CCC
10.50%
06/29/2015
11/01/12 @ 108
781,875
 
1,000,000
  
Univision Communications, Inc.(a)
CCC+
8.50%
05/15/2021
11/15/15 @ 104
975,000
 
1,600,000
  
XM Satellite Radio, Inc.(a)
BB
7.63%
11/01/2018
11/01/14 @ 104
1,722,000
               
11,035,347
                 
     
Mining - 0.4%
          
 
1,125,000
  
FMG Resources August 2006 Pty Ltd. (Australia)(a)
B+
6.88%
02/01/2018
02/01/14 @ 105
1,150,312
 
500,000
  
FMG Resources August 2006 Pty Ltd. (Australia)(a)
B+
8.25%
11/01/2019
11/01/15 @ 104
538,750
               
1,689,062
                 
     
Oil & Gas - 3.4%
          
 
2,500,000
  
Alta Mesa Holdings, LP / Alta Mesa Finance Services Corp.
B
9.63%
10/15/2018
10/15/14 @ 105
2,362,500
 
250,000
  
Bill Barrett Corp.
BB-
7.63%
10/01/2019
10/01/15 @ 104
255,625
 
500,000
  
Carrizo Oil & Gas, Inc.
B-
8.63%
10/15/2018
10/15/14 @ 104
505,000
 
1,000,000
  
Clayton Williams Energy, Inc.(a)
B
7.75%
04/01/2019
04/01/15 @ 104
975,000
 
1,250,000
  
Energy XXI Gulf Coast, Inc.
B
9.25%
12/15/2017
12/15/14 @ 105
1,371,875
 
1,000,000
  
Hercules Offshore, Inc.(a)
B-
10.50%
10/15/2017
10/15/13 @ 105
1,005,000
 
1,000,000
  
Petrohawk Energy Corp.
BBB+
7.25%
08/15/2018
08/15/14 @ 104
1,145,000
 
1,000,000
  
Pioneer Natural Resources Co.
BBB-
6.65%
03/15/2017
N/A
1,140,769
 
500,000
  
Plains Exploration & Production Co.
BB
6.75%
02/01/2022
02/01/17 @ 103
546,250
 
500,000
  
Range Resources Corp.
BB
8.00%
05/15/2019
05/15/14 @ 104
553,750
 
1,500,000
  
Tesoro Corp.
BB+
9.75%
06/01/2019
06/01/14 @ 105
1,706,250
 
250,000
  
Unit Corp.
BB-
6.63%
05/15/2021
05/15/16 @ 103
253,750
 
500,000
  
United Refining Co.
B
10.50%
02/28/2018
02/28/15 @ 105
470,000
 
500,000
  
W&T Offshore, Inc.
B
8.50%
06/15/2019
06/15/15 @ 104
534,375
 
1,000,000
  
Western Refining, Inc.(a)
B+
11.25%
06/15/2017
06/15/13 @ 106
1,135,000
               
13,960,144
                 
     
Oil & Gas Services - 1.1%
          
 
500,000
  
Forbes Energy Services Ltd.
B-
9.00%
06/15/2019
06/15/15 @ 105
480,000
 
650,000
  
Green Field Energy Services, Inc.(a)
CCC+
13.00%
11/15/2016
11/15/14 @ 110
643,500
 
1,500,000
  
SESI, LLC
BB+
6.38%
05/01/2019
05/01/15 @ 103
1,563,750
 
1,518,000
  
Stallion Oilfield Holdings Ltd.
B
10.50%
02/15/2015
02/15/13 @ 105
1,647,030
               
4,334,280
                 
     
Packaging & Containers - 0.0%+
          
 
125,000
  
Sealed Air Corp.(a)
BB
8.38%
09/15/2021
09/15/16 @ 104
141,250
                 
     
Pharmaceuticals - 3.4%
          
 
2,760,000
  
Aptalis Pharma, Inc.
B
12.75%
03/01/2016
03/01/13 @ 103
2,953,200
 
EUR 2,000,000
  
Capsugel FinanceCo SCA (Luxembourg)(a)
B
9.88%
08/01/2019
08/01/14 @ 107
2,834,092
 
$500,000
  
ENDO Pharmaceuticals Holdings, Inc.
BB-
7.25%
01/15/2022
07/15/16 @ 104
553,125
 
6,028,000
  
Omnicare, Inc.
BB
7.75%
06/01/2020
06/01/15 @ 104
6,706,150
 
1,000,000
  
Valeant Pharmaceuticals International(a)
BB-
7.00%
10/01/2020
10/01/15 @ 104
1,021,250
               
14,067,817
                 
     
Pipelines - 0.3%
          
 
500,000
  
Crosstex Energy, LP
B+
8.88%
02/15/2018
02/15/14 @ 104
545,000
 
750,000
  
Eagle Rock Energy Partners, LP(a)
B-
8.38%
06/01/2019
06/01/15 @ 104
768,750
               
1,313,750
                 
     
Real Estate - 0.1%
          
 
500,000
  
Kennedy-Wilson, Inc.(a)
BB-
8.75%
04/01/2019
04/01/15 @ 104
506,250
                 
     
Real Estate Investment Trusts - 1.0%
          
 
4,100,000
  
Rouse Co., LP
BB+
6.75%
11/09/2015
05/09/13 @ 103
4,264,000
                 
     
Retail - 2.5%
          
 
325,000
  
Bon-Ton Department Stores, Inc.
CCC+
10.25%
03/15/2014
03/15/12 @ 100
207,188
 
1,750,000
  
Burlington Coat Factory Warehouse Corp.
Caa1
10.00%
02/15/2019
02/15/15 @ 105
1,671,250
 
1,000,000
  
Dave & Buster's, Inc.
CCC+
11.00%
06/01/2018
06/01/14 @ 106
1,058,750
 
1,000,000
  
Fiesta Restaurant Group(a)
B
8.88%
08/15/2016
02/15/14 @ 104
1,025,000
 
1,500,000
  
HOA Restaurant Group, LLC(a)
B
11.25%
04/01/2017
04/01/14 @ 106
1,402,500
 
650,000
  
Landry's Acquisition Co.(a)
B
11.63%
12/01/2015
12/01/12 @ 106
700,375
 
1,000,000
  
Landry's Restaurants, Inc.
B
11.63%
12/01/2015
12/01/12 @ 106
1,077,500
 
750,000
  
Needle Merger Sub Corp.(a)
CCC+
8.13%
03/15/2019
03/15/14 @ 104
732,187
 
400,000
  
Rite AID Corp.
CCC
9.38%
12/15/2015
06/15/12 @ 102
405,000
 
500,000
  
Rite AID Corp.
B+
9.75%
06/12/2016
06/12/13 @ 105
551,250
 
1,500,000
  
Toys "R" US Property Co. II, LLC
B+
8.50%
12/01/2017
12/01/13 @ 104
1,614,375
               
10,445,375
                 
     
Software - 0.2%
          
 
250,000
  
Emdeon, Inc.(a)
Caa1
11.00%
12/31/2019
12/31/15 @ 106
271,250
 
625,000
  
Lawson Software, Inc.(a)
B-
11.50%
07/15/2018
07/15/15 @ 106
634,375
               
905,625
                 
     
Storage & Warehousing - 0.2%
          
 
1,000,000
  
Niska Gas Storage US, LLC
BB-
8.88%
03/15/2018
03/15/14 @ 104
966,250
                 
     
Telecommunications - 3.9%
          
 
1,500,000
  
Crown Castle International Corp.
B-
9.00%
01/15/2015
01/15/13 @ 106
1,642,500
 
300,000
  
EH Holding Corp.(a)
B+
6.50%
06/15/2019
N/A
313,875
 
150,000
  
EH Holding Corp.(a)
B-
7.63%
06/15/2021
N/A
159,000
 
1,000,000
  
Intelsat Jackson Holdings SA (Luxembourg)
CCC+
11.25%
06/15/2016
06/15/12 @ 104
1,062,500
 
1,000,000
  
Intelsat Luxembourg SA (Luxembourg)
CCC+
11.25%
02/04/2017
02/15/13 @ 106
1,012,500
 
500,000
  
Level 3 Communications, Inc.
CCC
11.88%
02/01/2019
02/01/15 @ 106
547,500
 
1,500,000
  
NII Capital Corp.
B+
7.63%
04/01/2021
04/01/16 @ 104
1,545,000
 
2,000,000
  
SBA Telecommunications, Inc.
B+
8.00%
08/15/2016
08/15/12 @ 106
2,175,000
 
750,000
  
Virgin Media Finance PLC, Series 1 (United Kingdom)
BB-
9.50%
08/15/2016
08/15/13 @ 105
851,250
 
4,500,000
  
Virgin Media Finance PLC (United Kingdom)
BB-
8.38%
10/15/2019
10/15/14 @ 104
5,062,500
 
EUR 500,000
  
Wind Acquisition Finance SA (Luxembourg)(a)
BB-
11.75%
07/15/2017
07/15/13 @ 106
600,592
 
$500,000
  
Windstream Corp.
B+
7.75%
10/01/2021
10/01/16 @ 104
542,500
 
650,000
  
Windstream Corp.(a)
B+
7.50%
06/01/2022
06/01/17 @ 104
684,125
               
16,198,842
                 
     
Transportation - 0.7%
          
 
1,500,000
  
Navios Maritime Holdings, Inc. (Marshall Island)
BB-
8.88%
11/01/2017
11/01/13 @ 104
1,492,500
 
1,000,000
  
Ship Finance International Ltd. (Bermuda)
B+
8.50%
12/15/2013
03/05/12 @ 100
962,500
 
400,000
  
Swift Services Holdings, Inc.
B
10.00%
11/15/2018
11/15/14 @ 105
436,500
               
2,891,500
                 
     
Total Corporate Bonds - 50.2%
          
     
(Cost $200,717,040)
        
206,797,592
                 
     
Term Loans - 0.7%(f)
          
 
$995,000
  
Chrysler Group LLC/CG Co-Issuer, Inc., Tranche B
Ba2
6.00%
05/24/2017
N/A
$976,513
 
1,250,000
  
Media General, Inc.
NR
5.04%
03/29/2013
N/A
1,161,458
 
1,000,000
  
Revel Entertainment
NR
9.00%
02/17/2017
N/A
966,250
     
(Cost $3,003,532)
        
3,104,221
                 
 
Number
              
 
of Shares
  
Description
        
Value
     
Convertible Preferred Stocks - 6.1%
          
     
Airlines - 0.5%
          
 
63,650
  
Continental Airlines Finance Trust II
Caa1
6.00%
11/15/2030
  
2,108,406
                 
     
Auto Manufacturers - 0.9%
          
 
93,500
  
General Motors Co., Series B
B+
4.75%
12/01/2013
  
3,745,610
                 
     
Banks - 0.6%
          
 
1,509
  
Bank of America Corp., Series L (g)
BB+
7.25%
-
  
1,390,498
 
7,000
  
Fifth Third Bancorp, Series G(g)
BB+
8.50%
-
  
993,650
               
2,384,148
                 
     
Electric - 0.4%
          
 
30,000
  
PPL Corp.
NR
8.75%
05/01/2014
  
1,576,800
                 
     
Hand & Machine Tools - 0.4%
          
 
12,663
  
Stanley Black & Decker, Inc.
BBB+
4.75%
11/17/2015
  
1,496,640
                 
     
Housewares - 0.4%
          
 
37,290
  
Newell Financial Trust I
BB
5.25%
12/01/2027
  
1,640,760
                 
     
Insurance - 1.9%
          
 
114,250
  
MetLife, Inc.
BBB-
5.00%
09/11/2013
  
7,827,268
                 
     
Oil & Gas - 1.0%
          
 
73,300
  
Apache Corp., Series D
BBB+
6.00%
08/01/2013
  
4,209,619
                 
     
Total Convertible Preferred Stocks - 6.1%
          
     
(Cost $22,709,903)
        
24,989,251
                 
     
Common Stocks - 4.1%
          
     
Banks - 1.5%
          
 
165,000
  
JPMorgan Chase & Co.
        
6,154,500
                 
     
Beverages - 0.7%
          
 
45,000
  
PepsiCo, Inc.
        
2,955,150
                 
     
Internet - 0.4%
          
 
96,000
  
Symantec Corp.(i)
        
1,650,240
                 
     
Oil & Gas - 0.9%
          
 
30,000
  
Diamond Offshore Drilling, Inc.
        
1,869,000
 
20,000
  
Occidental Petroleum Corp.
        
1,995,400
               
3,864,400
                 
     
Pharmaceuticals - 0.6%
          
 
60,000
  
Sanofi-Aventis SA, ADR (France)
        
2,227,800
                 
     
Total Common Stocks - 4.1%
          
     
(Cost $15,065,329)
        
16,852,090
                 
     
Warrants - 0.0%+
          
 
650
  
Greenfield Energy Service (i)
    
11/15/2021
  
39,650
     
(Cost $25,340)
          
                 
     
Total Long-Term Investments - 150.3%
          
     
(Cost $584,286,376)
        
618,994,675
                 
 
Contracts (100 shares per contract)
  
Put Options Purchased(i)
  
Expiration
Date
Exercise
Price
  
Value
     
Put Options Purchased - 0.5%
          
 
2,543
  
Chesapeake Energy Corp.
  
April 2012
$17.00
  
101,720
 
3,556
  
Jefferies Group, Inc.
  
February 2012
$14.00
  
106,680
 
1,200
  
Jefferies Group, Inc.
  
April 2012
$14.00
  
114,000
 
7,270
  
SPDR S&P 500 ETF Trust
  
March 2012
$127.00
  
1,475,810
     
(Cost $2,062,885)
        
1,798,210
                 
                 
     
Short-Term Investment - 11.5%
          
 
Number
              
 
of Shares
  
Description
        
Value
     
Money Market Fund - 11.5%
          
 
47,481,886
  
Goldman Sachs Financial Prime Obligations
        
47,481,886
     
(Cost $47,481,886)
          
                 
     
Total Investments - 162.3%
          
     
(Cost $633,831,147)
        
668,274,771
     
Other Assets in excess of Liabilities - 2.2%
        
9,313,358
     
Total value of Options Written - (0.9%) (Premiums received $3,185,244)
        
(3,728,600)
     
Preferred Shares, at redemption value - (-63.6% of Net Assets
          
     
Applicable to Common Shareholders or -39.2% of Total Investments)
        
(262,000,000)
     
Net Assets Applicable to Common Shareholders - 100.0%
        
$       411,859,529
 

Contracts (100
shares per contract)
  
 
Call Options Written(i)(j)
Expiration
Month
Exercise
Price
 
Value
   
Call Options Written - (0.9%)
      
2,330
  
Chesapeake Energy Corp.
January 2013
$30.00
$   (230,670)
300
  
Diamond Offshore Drilling, Inc.
June 2012
66.75
(54,900)
1,350
  
General Motors Co.
January 2013
30.00
(174,150)
1,650
  
JPMorgan Chase & Co.
January 2013
37.00
(717,750)
2,238
  
MetLife, Inc.
January 2013
35.00
(1,163,760)
200
  
Occidental Petroleum Corp.
February 2012
95.00
(110,000)
450
  
PepsiCo, Inc.
July 2012
67.50
(68,850)
600
  
Sanofi Aventis SA
March 2012
38.00
(39,000)
7,270
  
SPDR S&P 500 ETF Trust
March 2012
124.00
(995,990)
938
  
Symantec Corp.
January 2013
17.50
(173,530)
           
   
Total Value of Options Written - (0.9%)
      
   
(Premiums received $3,185,244)
    
$(3,728,600)
 
ADR - American Depositary Receipt
    
BV - Limited Liability Company
    
LLC - Limited Liability Company
    
LP - Limited Partnership
    
N/A- Not Applicable
    
PLC - Public Limited Company
    
Pty - Propriety
    
SA - Corporation
    
S&P - Standard & Poor's
    
SCA - Limited Partnership
    
 
 
All percentages shown in the Portfolio of Investments are based on Net Assets Applicable to Common Shareholders, unless otherwise noted.
*
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.
**
Date and price of the earliest optional call or put provision. There may be other call provisions at varying prices at later dates. All call provisions are unaudited.
+
Less than 0.1%
^
The principal amount is denominated in U.S. Dollars unless otherwise noted.
(a)
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, 2012 these securities amounted to $130,278,427, which represents 31.6% of net assets applicable to common shares.
(b)
Zero coupon bond.
(c)
Security becomes an accreting bond after December 15, 2016 with a 2.00% principal accretion rate.
 
(d)
Security becomes an accreting bond after December 15, 2013 with a 2.00% principal accretion rate.
 
(e)
Floating or variable rate coupon.  The rate shown is as of January 31, 2012.
(f)
Term loans held by the Fund have a variable interest rate feature which is periodically adjusted based on an underlying interest rate benchmark.  In addition, term loans may include mandatory and/or optional prepayment terms.  As a result, the actual maturity dates of the loan may be different than the amounts disclosed in the portfolios of investments.  Term loans may be considered restricted in that the Fund may be contractually obligated to secure approval from the Agent Bank and/or Borrower prior to the sale or disposition of loan.
(g)
Security is perpetual and, thus does not have a predetermined maturity date.  The coupon rate shown is in effect as of January 31, 2012.
(h)
A portion of this security has been physically segregated in connection with forward currency contracts.  As of January 31, 2012, the total amount segregated was $3,371,250.
(i)
Non-income producing security.
(j)
At January 31, 2012, cash in the amount of $8,163,876 has been segregated as collateral for written options.
   
 
See previously submitted notes to financial statements for the period ended October 31, 2011.
 
 Country Breakdown as % of Long-Term Investments*
 United States
86.3%
 France
2.7%
 United Kingdom
2.1%
 Ireland
2.1%
 Luxembourg
1.8%
 Canada
1.4%
 Russia
1.3%
 Australia
1.0%
 Channel Islands
0.7%
 Marshall Islands
0.2%
 Bermuda
0.2%
 Netherlands
0.1%
 Cayman Islands
0.1%
 *Subject to change daily.
  
 
 
 
 
 
 
AVK | Advent/Claymore Convertible Securities & Income Fund
                  
Portfolio of Investments
                        
January 31, 2012 (unaudited)
                    
                             
                             
Forward exchange currency contracts
                    
                         
Net Unrealized
  
   
Contracts to Buy
Counterparty
Settlement Date
  
Settlement Value
  
Value at 1/31/12
  
Appreciation/(Depreciation)
  
EUR
     733,609                        
for USD
     969,611  
The Bank of New York Mellon
2/3/2012
     969,611       960,336       (9,275 )
                                     
EUR
     1,024,000                              
for USD
     1,314,711  
The Bank of New York Mellon
3/16/2012
     1,314,711       1,340,611     $ 25,900  
                                     
                                $ 16,625  
                                     
                               
Net Unrealized
  
   
Contracts to Sell
Counterparty
Settlement Date
  
Settlement Value
  
Value at 1/31/12
  
Appreciation/(Depreciation)
  
EUR
     98,750                              
for USD
     129,214  
The Bank of New York Mellon
2/3/2012
     129,214       129,268     $ (54 )
                                     
EUR
     3,260,000                              
for USD
     4,248,203  
The Bank of New York Mellon
3/16/2012
     4,248,203       4,267,962       (19,759 )
                                     
                                  (19,813 )
                                     
                Total unrealized depreciation for forward currency contracts   $ (3,188 )
 
 
 
 
 
 
AVK | Advent/Claymore Convertible Securities & Income Fund
                    
Portfolio of Investments
                                    
January 31, 2012 (unaudited)
                                  
                                     
Credit Default Swap Agreements
                                  
Counterparty
Reference Entity
Buy/Sell Protection
Termination Date
  
Implied Credit Spread at January 31, 2012(1)
    
Notional Amount (000)
    
Paying Fixed Rate
    
Upfront Premium (Paid)
    
Unrealized (Depreciation)
Citigroup
France Republic
Buy
3/20/2017
     1.85 %   $ 5,950       0.25 %   $ (589,260 )   $ (142,036 )
                                               
                                               
Interest Rate Swap Agreements
                                            
Counterparty
Floating Rate
          
Termination Date
    
Notional Amount (000)
    
Pay Fixed Rate
    
Unrealized (Depreciation)
Bank of America Merrill Lynch(2)
1 Month LIBOR + 90bps
    
12/13/2016
     $ 99,769       2.15 %   $ (1,889,500 )
                                               
                                               
                    Total unrealized depreciation for swap agreements     $ (2,031,536 )
                                               
1 Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as
of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular
referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of
the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted”
indicates a credit event has occurred for the referenced entity or obligation.
                  
2 The Fund pays the fixed rate and receives the floating rate
                                  
 
 
 
 
 
At January 31, 2012, 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
$ 637,883,427   $ 40,829,407   $ (10,438,063)   $ 30,391,344
 
                 
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.
                 
The Fund did not hold any Level 3 securities during the period ended January 31, 2012.
    
                 
The following table represents the Fund’s investments carried by caption and by level within the
  
fair value hierarchy as of January 31, 2012:
            
                 
 
 
 
 
 
 
 
   
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:
                        
     Airlines
   $ -     $ 2,108     $ -     $ 2,108  
     Auto Manufacturers
     3,745       -       -       3,745  
     Banks
     2,384       -       -       2,384  
     Electric
     1,577       -       -       1,577  
     Hand & Machine Tools
     1,497       -       -       1,497  
     Housewares
     -       1,641       -       1,641  
     Insurance
     7,827       -       -       7,827  
     Oil & Gas
     4,210       -       -       4,210  
                                 
Convertible Bonds
     -       367,212       -       367,212  
                                 
Corporate Bonds
     -       206,798       -       206,798  
                                 
Common Stock
     16,852       -       -       16,852  
                                 
Warrants
     -       40       -       40  
                                 
Term Loan
     -       3,104       -       3,104  
                                 
Put Options Purchased
     1,798       -       -       1,798  
                                 
Money Market Fund
     47,482       -       -       47,482  
Total
   $ 87,372     $ 580,903     $ -     $ 668,275  
Liabilities:
                                
Call Options Written
   $ 3,729     $ -     $ -     $ 3,729  
Credit Default Swaps
     -       142       -       142  
Forward Exchange Currency Contracts
     -       3       -       3  
Interest Rate Swaps
     -       1,900       -       1,900  
Total
   $ 3,729     $ 2,045     $ -     $ 5,774  
                                 
If not referenced in the table, please refer to the Portfolio of Investments for a breakdown of investment type by industry category.
  
                                 
There were no transfers between Level 1 and Level 2 during the period ended January 31, 2012.
          
                                 
 
 
 
 
 
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, 2012

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

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

Date:
 March 30, 2012

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

Date:
 March 30, 2012