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)
| 1065 Avenue of the Americas, New York, NY | 10018 | |
| (Address of principal executive offices) | (Zip code) |
Robert White, Treasurer
Advent Claymore Convertible Securities and Income Fund
1065 Avenue of the Americas
New York, NY 10018
(Name and address of agent for service)
Registrant’s telephone number, including area code: (212) 479-0675
Date of fiscal year end: October 31
Date of reporting period: January 31, 2007
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
| Item 1. | Schedule of Investments. |
Attached hereto.
ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND
Portfolio of Investments
January 31, 2007(unaudited)
| Number of Shares | Value | ||||
| Long-Term Investments — 140.9% | |||||
| Convertible Preferred Stocks — 68.4% | |||||
| Aerospace and Defense — 1.1% | |||||
| 52,500 | Northrop Grumman Corp., Ser. B, 7.00%, 2021 | $ | 7,140,000 | ||
| Airlines — 1.4% | |||||
| 200,000 | Continental Airlines Finance Trust II, 6.00%, 2030 | 9,000,000 | |||
| Aluminum, Steel and Other Metals — 3.5% | |||||
| 17,000 | Freeport-McMoRan Copper & Gold, Inc., Ser. B, 5.50% | 22,512,250 | |||
| Automotive — 2.7% | |||||
| 475,000 | Ford Motor Co. Capital Trust II, 6.50%, 2032 | 17,513,250 | |||
| Banking and Finance — 8.2% | |||||
| 300,000 | Deutsche Bank AG, Ser. HZO, 8.00%, 2007 (United Kingdom) | 7,122,000 | |||
| 637,500 | Marshall & Ilsley Corp., 6.50%, 2007 | 16,785,375 | |||
| 402,200 | New York Community Capital Trust V, 6.00%, 2051 | 18,802,850 | |||
| 170,000 | Washington Mutual, Inc., Equity Security Unit, 5.375%, 2041 | 9,418,000 | |||
| 52,128,225 | |||||
| Chemicals — 2.8% | |||||
| 400,000 | Huntsman Corp., 5.00%, 2008 | 17,636,000 | |||
| Communications Equipment — 3.4% | |||||
| 20,900 | Lucent Technologies Capital Trust I, 7.75%, 2017 | 21,856,175 | |||
| Financial Services — 17.3% | |||||
| 65,000 | Affiliated Managers Group, Inc., 5.10%, 2036 | 3,550,625 | |||
| 250,000 | Affiliated Managers Group, Inc., 5.10%, 2036 (a) | 13,656,250 | |||
| 550,000 | Citigroup Funding, Inc., Ser. GNW, 5.77%, 2008 (b) | 18,095,000 | |||
| 150,000 | Citigroup Funding, Inc., Ser. RIG, 6.50%, 2008 | 12,088,500 | |||
| 550,000 | E*Trade Financial Corp., 6.125%, 2008 | 16,830,000 | |||
| 120 | Fannie Mae, 5.375% | 12,056,700 | |||
| 108,865 | Lehman Brothers Holdings, Inc., Ser. UNH, 3.00%, 2008 | 5,622,877 | |||
| 519,120 | Lehman Brothers Holdings, Inc., Ser. GIS, 6.25%, 2007 | 14,208,315 | |||
| 326,679 | Merrill Lynch & Co., Inc., Ser. JNC, 6.75%, 2007 (c) | 14,537,216 | |||
| 110,645,483 | |||||
| Health Care Products and Services — 2.1% | |||||
| 13,000 | HealthSouth Corp., 6.50% (a) | 13,663,000 | |||
| Insurance — 12.2% | |||||
| 12,000 | Alleghany Corp., 5.75%, 2009 | 3,969,000 | |||
| 16,001 | Fortis Insurance NV, 7.75%, 2008 (Netherlands)(a) | 22,691,018 | |||
| 200,000 | IPC Holdings, Ltd., 7.25%, 2008 (Bermuda) | 5,475,000 | |||
| 437,003 | MetLife, Inc., Ser. B, 6.375%, 2008 | 13,730,634 | |||
| 100,000 | Platinum Underwriters Holdings, Ltd., Ser. A, 6.00%, 2009 (Bermuda) | 2,961,000 | |||
| 70,000 | Reinsurance Group of America, Equity Security Unit, 5.75%, 2051 | 5,127,500 | |||
| 100,000 | Travelers Property Casualty Corp., 4.50%, 2032 | 2,576,000 | |||
| 850,000 | XL Capital Ltd., 7.00%, 2009 (Cayman Islands) | 21,683,500 | |||
| 78,213,652 | |||||
| Pharmaceuticals — 0.5% | |||||
| 50,000 | Schering-Plough Corp., 6.00%, 2007 | 2,945,000 | |||
| Real Estate Investment Trusts — 1.7% | |||||
| 400,000 | HRPT Properties Trust, Ser. D, 6.50%, 2049 | 11,000,000 | |||
| Telecommunications — 0.7% | |||||
| 78,095 | Crown Castle International Corp., 6.25%, 2012 | 4,373,320 | |||
| Transportation — 2.0% | |||||
| 245,000 | Bristow Group, Inc., 5.50%, 2009 | 12,678,750 | |||
| Utilities - Gas and Electric — 7.3% | |||||
| 83,082 | AES Trust VII, 6.00%, 2008 | 4,122,944 | |||
| 38,035 | Chesapeake Energy Corp., 6.25%, 2009 | 9,698,925 | |||
| 325,000 | Entergy Corp., 7.625%, 2009 | 19,051,500 | |||
| 40,000 | NRG Energy, Inc., 5.75%, 2009 | 11,278,800 | |||
| 50,000 | PNM Resources, Inc., 6.75%, 2008 | 2,595,000 | |||
| 46,747,169 | |||||
| Waste Management — 1.5% | |||||
| 28,000 | Allied Waste Industries, Inc., Ser. D, 6.25%, 2008 | 9,628,500 | |||
| Total Convertible Preferred Stocks - 68.4% (Cost $398,904,079) |
437,680,774 | ||||
| Principal Amount | Value | |||||
| Convertible Bonds — 45.9% | ||||||
| Airlines — 0.8% | ||||||
| $4,500,000 | UAL Corp., NR | |||||
| 5.00%, 2/01/21, Convertible Debentures | 5,332,500 | |||||
| Aluminum, Steel and Other Metals — 1.4% | ||||||
| 9,000,000 | AngloGold Ashanti Holdings PLC, NR | |||||
| 2.375%, 2/27/09, Convertible Debentures (United Kingdom) | 9,090,000 | |||||
| Automotive — 2.2% | ||||||
| 650,000 | General Motors Corp., Ser. B, B- | |||||
| 5.25%, 3/06/32, Convertible Debentures | 14,170,000 | |||||
| Banking and Finance — 0.6% | ||||||
| 4,000,000 | U.S. Bancorp, Inc., AA- | |||||
| 3.615%, 9/20/36, Senior Convertible Debentures (b)(c) | 4,037,600 | |||||
| Commercial Services — 0.9% | ||||||
| 3,000,000 | Quanta Services, Inc., B | |||||
| 4.50%, 10/01/23, Subordinated Convertible Debentures | 5,775,000 | |||||
| Communications Equipment — 0.8% | ||||||
| 5,000,000 | Lucent Technologies, Inc., Ser. A, B+ | |||||
| 2.875%, 6/15/23, Senior Convertible Debentures | 5,237,500 | |||||
| Communications, Media and Entertainment — 6.8% | ||||||
| 25,000,000 | EchoStar Communications Corp., B | |||||
| 5.75%, 5/15/08, Subordinated Convertible Notes | 25,531,250 | |||||
| Liberty Media Corp., BB+ | ||||||
| 13,398,144 | 3.50%, 1/15/31, Convertible Notes | 13,967,565 | ||||
| 1,000,000 | 3.25%, 3/15/31, Senior Convertible Notes | 865,000 | ||||
| 4,000,000 | XM Satellite Radio Holdings, Inc., CCC- | |||||
| 1.75%, 12/01/09, Senior Convertible Notes | 3,410,000 | |||||
| 43,773,815 | ||||||
| Computer Services — 1.5% | ||||||
| 9,000,000 | Electronic Data Systems Corp., BBB- | |||||
| 3.875%, 7/15/23, Senior Convertible Notes | 9,438,750 | |||||
| Computers - Software and Peripherals — 1.9% | ||||||
| 4,000,000 | Maxtor Corp., NR | |||||
| 6.80%, 4/30/10, Senior Unsubordinated Convertible Notes | 4,530,000 | |||||
| 8,000,000 | Novell, Inc., NR | |||||
| 7.83%, 7/15/24, Senior Convertible Debentures | 7,930,000 | |||||
| 12,460,000 | ||||||
| Containers and Packaging — 2.3% | ||||||
| 14,000,000 | Sealed Air Corp., BBB | |||||
| 3.00%, 6/30/33, Senior Convertible Notes (a) | 14,595,000 | |||||
| Diversified Metals and Mining — 2.0% | ||||||
| 12,750,000 | Peabody Energy Corp., B | |||||
| 4.75%, 12/15/66, Subordinated Convertible Debentures | 12,542,813 | |||||
| Electronic Equipment and Components — 6.9% | ||||||
| 8,000,000 | Fairchild Semiconductor International, Inc., B | |||||
| 5.00%, 11/01/08, Company Guarantee Notes | 7,970,000 | |||||
| Intel Corp., A- | ||||||
| 14,000,000 | 2.95%, 12/15/35, Subordinated Convertible Debentures | 12,880,000 | ||||
| 15,000,000 | 2.95%, 12/15/35, Subordinated Convertible Debentures (a) | 13,800,000 | ||||
| 9,000,000 | LSI Logic Corp., B | |||||
| 4.00%, 5/15/10, Convertible Notes | 9,405,000 | |||||
| 44,055,000 | ||||||
| Financial Services — 2.2% | ||||||
| 14,000,000 | Wells Fargo & Co., AA | |||||
| 5.121%, 5/01/33, Senior Convertible Notes (b) | 14,088,200 | |||||
| Health Care Products and Services — 4.1% | ||||||
| 4,000,000 | LifePoint Hospitals, Inc., B | |||||
| 3.25%, 8/15/25, Senior Subordinated Convertible Notes | 3,625,000 | |||||
| 13,000,000 | Medtronic, Inc., AA- | |||||
| 1.625%, 4/15/13, Senior Convertible Notes (a) | 13,910,000 | |||||
| 10,000,000 | Omnicare, Inc., BB+ | |||||
| 3.25%, 12/15/35, Senior Convertible Notes | 8,775,000 | |||||
| 26,310,000 | ||||||
| Insurance — 0.7% | ||||||
| 4,000,000 | Prudential Financial, Inc., A | |||||
| 2.614%, 11/15/35, Senior Unsubordinated Convertible Notes (b)(c) | 4,139,240 | |||||
| Leisure and Entertainment — 0.6% | ||||||
| 5,000,000 | Carnival Corp., A- | |||||
| 1.132%, 4/29/33, Senior Unsecured Converible Debentures (Panama)(d) | 3,818,750 | |||||
| Oil and Gas — 1.3% | ||||||
| 8,000,000 | Chesapeake Energy Corp., BB | |||||
| 2.75%, 11/15/35, Senior Convertible Notes | 8,170,000 | |||||
| Pharmaceuticals — 5.0% | ||||||
| 5,000,000 | Cubist Pharmaceuticals, Inc., NR | |||||
| 2.25%, 6/15/13, Subordinated Convertible Notes | 4,593,750 | |||||
| 4,000,000 | Invitrogen Corp., NR | |||||
| 3.25%, 6/15/25, Senior Convertible Notes | 3,780,000 | |||||
| 6,000,000 | Teva Pharmaceutical Finance Co. BV, Ser. D, BBB | |||||
| 1.75%, 2/01/26, Company Guarantee Notes (Israel) | 5,685,000 | |||||
| 19,000,000 | Watson Pharmaceuticals, Inc., BB+ | |||||
| 1.75%, 3/15/23, Senior Convertible Debentures | 17,788,750 | |||||
| 31,847,500 | ||||||
| Telecommunications — 1.2% | ||||||
| Level 3 Communications, Inc., CCC- | ||||||
| 4,000,000 | 6.00%, 9/15/09, Subordinated Covertible Notes | 3,830,000 | ||||
| 4,000,000 | 6.00%, 3/15/10, Subordinated Covertible Notes | 3,780,000 | ||||
| 7,610,000 | ||||||
| Transportation — 1.4% | ||||||
| 9,000,000 | OMI Corp., BB | |||||
| 2.875%, 12/01/24, Senior Convertible Notes (Marshall Islands) | 8,831,250 | |||||
| Waste Management— 1.3% | ||||||
| 8,400,000 | Allied Waste Industries, Inc., B+ | |||||
| 4.25%, 4/15/34, Convertible Notes | 8,116,500 | |||||
| Total Convertible Bonds - 45.9% (Cost $278,359,293) |
293,439,418 | |||||
| Corporate Bonds — 24.8% | ||||||
| Building Products — 0.6% | ||||||
| 4,175,000 | U.S. Concrete, Inc., B- | |||||
| 8.375%, 4/01/14, Senior Subordinated Notes | 4,185,437 | |||||
| Chemicals — 2.9% | ||||||
| 2,000,000 | BCP Crystal Holdings Corp., B | |||||
| 9.625%, 6/15/14, Senior Subordinated Notes | 2,220,000 | |||||
| 10,000,000 | Equistar Chemical/Funding, BB- | |||||
| 10.125%, 9/01/08, Senior Notes | 10,650,000 | |||||
| 5,600,000 | Lyondell Chemical Co., B | |||||
| 10.875%, 5/01/09, Senior Subordinated Notes | 5,698,000 | |||||
| 18,568,000 | ||||||
| Communications Equipment — 0.8% | ||||||
| 5,166,000 | Superior Essex Communications LLC/Essex Group, Inc., B | |||||
| 9.00%, 4/15/12, Senior Notes | 5,308,065 | |||||
| Communications, Media and Entertainment — 2.3% | ||||||
| 7,000,000 | Cablevision Systems Corp., B+ | |||||
| 8.00%, 4/15/12, Senior Notes | 7,096,250 | |||||
| 3,000,000 | Rainbow National Services LLC, B+ | |||||
| 8.75%, 9/01/12, Senior Notes (a) | 3,210,000 | |||||
| € 3,174,750 | Telenet Communications NV, B- | |||||
| 9.00%, 12/15/13, Senior Notes (Belgium)(a) | 4,517,347 | |||||
| 14,823,597 | ||||||
| Computers - Software and Peripherals — 1.0% | ||||||
| $6,000,000 | SunGard Data Systems, Inc., B- | |||||
| 10.25%, 8/15/15, Senior Subordinated Notes (c) | 6,480,000 | |||||
| Electronic Equipment and Components — 5.5% | ||||||
| 7,144,000 | Advanced Micro Devices, Inc., B+ | |||||
| 7.75%, 11/01/12, Senior Notes | 7,322,600 | |||||
| 3,793,000 | Avago Technologies Finance Ltd., B | |||||
| 10.375%, 12/01/13, Senior Notes (Singapore)(a) | 4,020,580 | |||||
| 3,000,000 | Clarke American Corp., B- | |||||
| 11.75%, 12/15/13, Senior Notes | 3,465,000 | |||||
| 10,684,000 | Freescale Semiconductor, Inc., B | |||||
| 8.875%, 12/15/14, Senior Notes (a)(c) | 10,684,000 | |||||
| 9,000,000 | Spansion, LLC, B | |||||
| 11.25%, 1/15/16, Senior Notes (a)(c) | 9,517,500 | |||||
| 35,009,680 | ||||||
| Financial Services — 1.3% | ||||||
| 7,727,000 | E*Trade Financial Corp., BB- | |||||
| 8.00%, 6/15/11, Senior Notes | 8,103,691 | |||||
| Health Care Products and Services — 1.7% | ||||||
| 6,500,000 | DaVita, Inc., B | |||||
| 7.25%, 3/15/15, Senior Subordinated Notes (c) | 6,613,750 | |||||
| 4,000,000 | Hanger Orthopedic Group, Inc., CCC+ | |||||
| 10.25%, 6/01/14, Senior Notes | 4,230,000 | |||||
| 10,843,750 | ||||||
| Leisure and Entertainment — 0.7% | ||||||
| 4,500,000 | Travelport, Inc., B- | |||||
| 9.875%, 9/01/14, Senior Notes (a) | 4,725,000 | |||||
| Office Equipment — 0.6% | ||||||
| 3,500,000 | Xerox Capital Trust I, B+ | |||||
| 8.00%, 2/01/27, Company Guarantee Notes | 3,587,500 | |||||
| Oil and Gas — 2.5% | ||||||
| 10,000,000 | Seitel, Inc., NR | |||||
| 11.75%, 7/15/11, Senior Notes | 12,550,000 | |||||
| 3,000,000 | Williams Cos., Inc., BB- | |||||
| 8.125%, 3/15/12, Senior Notes | 3,243,750 | |||||
| 15,793,750 | ||||||
| Publishing — 0.5% | ||||||
| 2,940,000 | Dex Media West, B | |||||
| 9.875%, 8/15/13, Senior Subordinated Notes | 3,211,950 | |||||
| Retail - Apparel and Shoes — 0.9% | ||||||
| 5,000,000 | Levi Strauss & Co., B- | |||||
| 12.25%, 12/15/12, Senior Notes (c) | 5,556,250 | |||||
| Retail - Specialty Stores — 0.8% | ||||||
| 5,000,000 | Simmons Bedding Co., CCC+ | |||||
| 7.875%, 1/15/14, Senior Subordinated Notes (c) | 5,150,000 | |||||
| Telecommunications — 2.7% | ||||||
| Alamosa Delaware, Inc., BBB | ||||||
| 3,298,000 | 11.00%, 7/31/10, Senior Notes | 3,545,053 | ||||
| 3,000,000 | 8.50%, 1/31/12, Senior Notes | 3,181,413 | ||||
| 7,673,000 | Centennial Cellular Co., CCC | |||||
| 10.125%, 6/15/13, Company Guarantee Notes | 8,315,614 | |||||
| 2,240,000 | PanAmSat Corp., B | |||||
| 9.00%, 8/15/14, Company Guarantee Notes | 2,424,800 | |||||
| 17,466,880 | ||||||
| Total Corporate Bonds - 24.8% (Cost $149,232,937) |
158,813,550 | |||||
| Term Loans (Funded) - 0.9% | ||||||
| 2,000,000 | Advanced Micro Devices, Inc. | |||||
| 7.62%, 12/31/13, NR (b) | 2,020,000 | |||||
| WorldSpan, L.P. 1st Lien | ||||||
| 2,000,000 | 8.57%, 12/07/13, NR (b) | 2,020,000 | ||||
| 2,000,000 | 8.595%, 12/07/13, NR (b) | 2,020,000 | ||||
| Total Term Loans (Funded) - 0.9% (Cost $6,034,916) |
6,060,000 | |||||
| Term Loans (Unfunded) - 0.9% | ||||||
| 2,000,000 | Advanced Micro Devices, Inc. Term Loan 2, NR | 2,020,000 | ||||
| 4,000,000 | HCA, Inc., NR | 4,040,000 | ||||
| Total Term Loans (Unfunded) - 0.9% (Cost $6,079,990) |
6,060,000 | |||||
| Total Long-Term Investments - 140.9% (Cost $838,611,215) |
902,053,742 | |||||
| Number of Shares | ||||||
| Short-Term Investments — 1.7% | ||||||
| Money Market Fund - 1.7% | ||||||
| 10,681,958 | Goldman Sachs Financial Prime Obligations (Cost $10,681,958) |
10,681,958 | ||||
| Total Investments — 142.6% (Cost $849,293,173) |
912,735,700 | |||||
| Other assets in excess of liabilities — 0.4% | 2,176,316 | |||||
| Preferred Stock, at redemption value — (-43.0% of Net Assets Applicable to | ||||||
| Common Shareholders or -30.1% of Total Investments) | (275,000,000 | ) | ||||
| Net Assets Applicable to | ||||||
| Common Shareholders — 100.0% | $ | 639,912,016 | ||||
LLC - Limited Liability Corp.
LP - Limited Partnership
| (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, 2007, these securities amounted to 20.2% of net assets.
| (b) | Floating rate security. The rate shown is as of January 31, 2007. |
| (c) | Pursuant to a securities lending agreement, the Fund loaned all or a portion of these securities having an aggregate fair |
value of approximately $47.1 million and received as collateral readily marketable securities with an aggregate fair value of
approximately $47.3 million.
| (d) | Security is a “step up” bond where the coupon increases or steps up at a predetermined date. The rating shown is as of |
January 31, 2007.
Ratings shown are per Standard & Poor’s. Securities classified as NR are not rated by Standard & Poor’s.
All percentages shown in the Portfolio of Investments are based on Net Assets Applicable to Common Shareholders
unless otherwise noted.
See previously submitted notes to financial statements for the period ending October 31, 2006.
| Country Allocation* | |||
| United States |
89.5 | % | |
| Netherlands |
2.5 | % | |
| Cayman Islands |
2.4 | % | |
| United Kingdom |
1.8 | % | |
| Marshall Islands |
1.0 | % | |
| Bermuda |
0.9 | % | |
| Israel |
0.6 | % | |
| Belgium |
0.5 | % | |
| Singapore |
0.4 | % | |
| Panama |
0.4 | % | |
| * | Subject to change daily. |
| 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 within 90 days of this filing and have concluded based on such evaluation, that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
| (b) | The registrant’s principal executive officer and principal financial officer are aware of 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 may have 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)), exactly as set forth below: 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, 2007 | |
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, 2007 | |
| By: | /s/ Robert White | |
| Robert White | ||
| Treasurer and Chief Financial Officer | ||
| Date: | March 30, 2007 | |