Edgar Filing: ADVENT CLAYMORE CONVERTIBLE SECURITIES & INCOME FUND

Advent/Claymore Convertible Securities and Income Fund

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, 2006

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.

ADVENT CLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND

Portfolio of Investments | January 31, 2006 (unaudited)


Number of Shares				Value
			Long-Term Investments - 138.0%
			Convertible Preferred Stocks - 68.1%
			Aerospace and Defense - 1.1%
	52,500		Northrop Grumman Corp., Ser. B, 7.00%, 2021	$	6,825,525

			Aluminum, Steel and Other Metals - 2.8%
	13,000		Freeport-McMoRan Copper & Gold, Inc., Ser. B, 5.50%		17,639,375

			Automotive - 0.3%
	55,792		Ford Motor Company Capital Trust II, 6.50%, 2032		1,793,713

			Banking and Finance - 8.4%
	637,500		Marshall & Ilsley Corp., 6.50%, 2007		16,409,250
	300,000		National Australia Bank, Equity Security Unit, 7.875% (Australia)		12,807,000
	280,000		New York Community Capital Trust V, 6.00%, 2051		13,132,000
	170,000		Washington Mutual, Inc., Equity Security Unit, 5.375%, 2041		9,265,000

					51,613,250

			Chemicals - 2.6%
	320,000		Celanese Corp., Ser. A, 4.25%		9,376,000
	150,000		Huntsman Corp., 5.00%, 2008		6,889,500

					16,265,500

			Communications Equipment - 4.7%
	30,400		Lucent Technologies Capital Trust I, 7.75%, 2017		29,005,400

			Communications, Media and Entertainment - 0.4%
	65,247		Emmis Communications Corp., Ser. A, 6.25%		2,675,127

			Financial Services - 9.8%
	336,000		Citigroup Funding, Inc., Ser. GNW, 5.18%, 2008 (a)		10,614,240
	25,000		Credit Suisse First Boston USA, Inc., 5.50%, 2008		1,137,500
	300,000		E*Trade Financial Corp., 6.125%, 2008		9,363,000
	100,000		Goldman Sachs Group, Inc., 6.75%, 2006		11,733,000
	519,120		Lehman Brothers Holdings, Inc., Ser. GIS, 6.25%, 2007 (b)		13,465,973
	326,679		Merrill Lynch & Co., Inc., Ser. JNC, 6.75%, 2007		14,059,611

					60,373,324

			Health Care Products and Services - 1.8%
	220,400		Baxter International, Inc., 7.00%, 2006		11,363,824

			Insurance - 17.6%
	300,000		Chubb Corp., Ser. B, 7.00%, 2006		10,074,000
	18,001		Fortis Insurance NV, 7.75%, 2008 (Netherlands) (c)		22,343,741
	100,000		IPC Holdings, Ltd., 7.25%, 2008 (Bermuda)		2,750,000
	417,003		MetLife, Inc., Ser. B, 6.375%, 2008		11,467,583
	125,884		Platinum Underwriters Holdings, Ltd., Ser. A, 6.00%, 2009 (Bermuda)		3,869,674
	120,000		Reinsurance Group of America, Equity Security Unit, 5.75%, 2051		7,404,000
	141,300		The Hartford Financial Services Group, Inc., 6.00%, 2006		10,242,837
	49,000		The Hartford Financial Services Group, Inc., 7.00%, 2006		3,603,460
	367,000		The PMI Group, Inc., Ser. A, 5.875%, 2006		9,255,740
	265,000		Travelers Property Casualty Corp., Ser. A, 4.50%, 2032		6,749,550
	250,000		UnumProvident Corp., 8.25%, 2007		8,062,500
	500,000		XL Capital Ltd., 7.00%, 2009 (Cayman Islands)		12,830,000

					108,653,085

			Office Equipment - 0.7%
	34,600		Xerox Corp., 6.25%, 2006		4,143,350

			Oil and Gas - 4.5%
	106,507		Amerada Hess Corp., 7.00%, 2006		13,883,187
	137,058		Chesapeake Energy Corp., 4.50%		13,979,916

					27,863,103

			Pharmaceuticals - 2.1%
	250,000		Schering-Plough Corp., 6.00%, 2007		12,820,000

			Real Estate Investment Trusts - 2.3%
	205,000		Simon Property Group, LP, 6.00%		14,093,750

			Retail - Specialty Stores - 1.9%
	487,187		Albertson’s, Inc., 7.25%, 2007		11,960,441

			Transportation - 0.8%
	4,668		Kansas City Southern, 5.125%		5,123,130

			Utilities - Gas and Electric - 5.4%
	83,082		AES Trust VII, 6.00%, 2008		4,039,862
	400,000		Entergy Corp., 7.625%, 2009		19,852,000
	200,000		PNM Resources, Inc., 6.75%, 2008		9,476,000

					33,367,862

			Waste Management - 0.9%
	20,000		Allied Waste Industries, Inc., Ser. D, 6.25%, 2008		5,380,000

			Total Convertible Preferred Stocks - 68.1% (Cost $384,833,525)		420,959,759


Principal Amount
			Convertible Bonds - 36.1%
			Airlines - 1.3%
$	8,412,000		Continental Airlines, Inc., CCC+
			4.50%, 2/01/07, Convertible Notes (b)		8,170,155

			Automotive - 0.3%
	78,800		General Motors Corp., Ser. A, B
			4.50%, 3/06/32, Senior Convertible Notes		1,824,220

			Commercial Services - 1.1%
	5,000,000		Quanta Services, Inc., B
			4.50%, 10/01/23, Subordinated Convertible Debentures		6,862,500

			Communications, Media and Entertainment - 8.1%
	7,624,000		Citadel Broadcasting Co., NR
			1.875%, 2/15/11, Subordinated Convertible Notes		5,880,010
	12,636,000		EchoStar Communications Corp., B
			5.75%, 5/15/08, Subordinated Convertible Notes		12,446,460
			Liberty Media Corp., BB+
	10,000,000		3.50%, 1/15/31, Convertible Notes		10,400,000
	22,000,000		3.25%, 3/15/31, Senior Convertible Notes (b)		17,105,000
	5,000,000		XM Satellite Radio Holdings, Inc., CCC-
			1.75%, 12/01/09, Senior Convertible Notes		4,325,000

					50,156,470

			Computer Services - 0.6%
	4,000,000		CIBER, Inc., NR
			2.875%, 12/15/23, Senior Subordinated Convertible Notes		3,415,000

			Computers - Software and Peripherals - 2.6%
	6,600,000		Quantum Corp., B
			4.375%, 8/01/10, Subordinated Convertible Notes		6,666,000
	7,500,000		Red Hat, Inc., B
			0.50%, 1/15/24, Senior Subordinated Convertible Notes		9,225,000

					15,891,000

			E-Commerce - 5.7%
	27,233,000		Amazon.com, Inc., B
			4.75%, 2/01/09, Senior Subordinated Convertible Debentures		26,450,051
	10,000,000		WebMd Corp., NR
			1.75%, 6/15/23, Subordinated Convertible Notes		8,525,000

					34,975,051

			Electronic Equipment and Components - 6.9%
	8,589,000		Agere Systems, Inc., B
			6.50%, 12/15/09, Subordinated Convertible Notes		8,524,582
	8,000,000		Fairchild Semiconductor International, Inc., B
			5.00%, 11/01/08, Company Guarantee Notes		7,960,000
	9,000,000		International Rectifier Corp., B+
			4.25%, 7/15/07, Subordinated Convertible Notes		8,865,000
	6,000,000		LSI Logic Corp., B
			4.00%, 5/15/10, Convertible Notes		6,097,500
	7,352,000		Skyworks Solutions, Inc., NR
			4.75%, 11/15/07, Subordinated Convertible Notes		7,250,910
	4,000,000		Vishay Intertechnology, Inc., B+
			3.625%, 8/01/23, Subordinated Convertible Notes		4,135,000

					42,832,992

			Financial Services - 3.6%
	4,847,000		E*TRADE Group, B-
			6.00%, 2/01/07, Subordinated Convertible Notes		5,071,174
	10,000,000		Merrill Lynch & Co., Inc., Ser. BIIB, A+
			8.00%, 3/09/06, Notes (Acquired 03/03/05, Cost $10,000,000) (d)		10,150,000
	144,988		Merrill Lynch & Co., Inc., Ser. ECA, A+
			8.00%, 10/26/06, Notes (e)		7,007,270

					22,228,444

			Pharmaceuticals - 2.5%
	7,000,000		Invitrogen Corp., NR
			3.25%, 6/15/25, Senior Convertible Notes		6,886,250
	9,000,000		Medicis Pharmaceutical Corp., NR
			1.50%, 6/04/33, Senior Subordinated Convertible Notes		8,707,500

					15,593,750

			Telecommunications - 2.2%
	5,500,000		Finisar Corp., NR
			5.25%, 10/15/08, Subordinated Convertible Notes		4,984,375
	8,700,000		Nextel Communications, Inc., A-
			5.25%, 1/15/10, Senior Convertible Notes		8,743,500

					13,727,875

			Waste Management - 1.2%
	8,400,000		Allied Waste Industries, Inc., B+
			4.25%, 4/15/34, Convertible Notes (b)		7,318,500

			Total Convertible Bonds - 36.1% (Cost $211,730,204)		222,995,957

			Corporate Bonds - 33.8%
			Aluminum, Steel and Other Metals - 0.9%
	2,540,000		Freeport-McMoRan Copper & Gold, Inc., B+
			10.125%, 2/01/10, Senior Notes		2,794,000
	2,615,000		United States Steel LLC, BB
			10.75%, 8/01/08, Senior Notes		2,915,725

					5,709,725

			Building Products - 0.4%
	2,175,000		U.S. Concrete, Inc., B-
			8.375%, 4/01/14, Senior Subordinated Notes		2,229,375

			Chemicals - 3.6%
	2,000,000		BCP Crystal Holdings Corp., B
			9.625%, 6/15/14, Senior Subordinated Notes		2,230,000
	10,000,000		Equistar Chemical/Funding, BB-
			10.125%, 9/01/08, Senior Notes		10,950,000
	2,763,000		Huntsman LLC, NR
			11.85%, 7/15/11, Company Guarantee Notes (a)		2,939,141
	5,600,000		Lyondell Chemical Co., B
			10.875%, 5/01/09, Senior Subordinated Notes (b)		5,824,000

					21,943,141

			Commercial Services - 1.0%
	6,809,000		Language Line, Inc., CCC+
			11.125%, 6/15/12, Senior Subordinated Notes		6,162,145

			Communications Equipment - 0.8%
	5,166,000		Superior Essex Communications LLC/Essex Group, Inc., B
			9.00%, 4/15/12, Senior Notes		5,191,830

			Communications, Media and Entertainment - 4.9%
	7,000,000		Cablevision Systems Corp., B+
			8.00%, 4/15/12, Senior Notes (b)		6,702,500
	10,675,000		Mediacom LLC, B
			9.50%, 1/15/13, Senior Notes (b)		10,648,313
	3,000,000		Rainbow National Services LLC, B+
			8.75%, 9/01/12, Senior Notes (c)		3,228,750
	98,000		Regal Cinemas, Inc., Ser. B, B
			9.375%, 2/01/12, Senior Subordinated Notes		104,625
	4,250,000	Euros	Telenet Communications NV, B-
			9.00%, 12/15/13, Senior Notes (Belgium) (c)		5,767,164
	3,067,000		XM Satellite Radio, Inc., CCC+
			12.00%, 6/15/10, Senior Secured Notes		3,450,375

					29,901,727

			Computers - Software and Peripherals - 0.5%
	3,000,000		SunGard Data Systems, Inc., B-
			10.25%, 8/15/15, Senior Subordinated Notes (b)(c)		3,030,000

			Electronic Equipment and Components - 2.8%
	10,000,000		Advanced Micro Devices, Inc., B
			7.75%, 11/01/12, Senior Notes (b)		10,575,000
	3,793,000		Avago Technologies Finance Ltd., B
			10.125%, 12/01/13, Senior Notes (Singapore) (c)		3,887,825
	3,000,000		Clarke American Corp., B-
			11.75%, 12/15/13, Senior Notes (c)		3,030,000

					17,492,825

			Financial Services - 2.5%
	7,727,000		E*Trade Financial Corp., B+
			8.00%, 6/15/11, Senior Notes		8,074,715
	7,200,000		Leucadia National Corp., BB
			7.00%, 8/15/13, Senior Notes		7,200,000

					15,274,715

			Health Care Products and Services - 2.3%
	4,500,000		DaVita, Inc., B
			7.25%, 3/15/15, Senior Subordinated Notes (b)		4,550,625
	10,000,000		Encore Medical IHC, Inc., CCC+
			9.75%, 10/01/12, Senior Subordinated Notes		9,875,000

					14,425,625

			Office Equipment - 0.6%
	3,500,000		Xerox Capital Trust I, B+
			8.00%, 2/01/27, Company Guarantee Notes (b)		3,626,875

			Oil and Gas - 3.5%
	9,000,000		Petrobras International Finance Co., NR
			9.125%, 7/02/13, Senior Notes (Cayman Islands)		10,606,500
	7,000,000		Seitel, Inc., NR
			11.75%, 7/15/11, Senior Notes		7,962,500
	3,000,000		Williams Cos., Inc., B+
			8.125%, 3/15/12, Senior Notes (b)		3,296,250

					21,865,250

			Pharmaceuticals - 1.6%
	10,000,000		Athena Neurosciences Finance LLC, B
			7.25%, 2/21/08, Senior Notes		9,900,000

			Publishing - 1.0%
	2,940,000		Dex Media West, B
			9.875%, 8/15/13, Senior Subordinated Notes		3,259,725
	3,500,000		PRIMEDIA, Inc., B
			8.00%, 5/15/13, Senior Notes		3,062,500

					6,322,225

			Real Estate Investment Trusts - 0.9%
			American Real Estate Partners LP/American Real Estate Finance Corp., BB
	2,566,000		8.125%, 6/01/12, Senior Notes		2,694,300
	3,000,000		7.125%, 2/15/13, Senior Notes		3,052,500

					5,746,800

			Retail - Apparel and Shoes - 0.9%
	5,000,000		Levi Strauss & Co., B-
			12.25%, 12/15/12, Senior Notes		5,700,000

			Retail - Specialty Stores - 2.2%
			Rite Aid Corp.
	3,500,000		9.50%, 2/15/11, Senior Secured Notes, B+		3,692,500
	4,000,000		9.25%, 6/01/13, Senior Notes, B- (b)		3,760,000
	1,200,000		7.50%, 1/15/15, Company Guarantee Notes, B+		1,155,000
	5,000,000		Simmons Bedding Co., B-
			7.875%, 1/15/14, Senior Subordinated Notes (b)		4,725,000

					13,332,500

			Telecommunications - 3.4%
			Alamosa Delaware, Inc., A-
	3,298,000		11.00%, 7/31/10, Senior Notes		3,710,250
	3,000,000		8.50%, 1/31/12, Senior Notes		3,266,250
	7,673,000		Centennial Cellular Co., CCC
			10.125%, 6/15/13, Company Guarantee Notes		8,440,300
	2,846,000		Madison River Capital, B-
			13.25%, 3/01/10, Senior Notes		3,009,645
	2,240,000		PanAmSat Corp., B+
			9.00%, 8/15/14, Company Guarantee Notes		2,366,000

					20,792,445

			Total Corporate Bonds - 33.8% (Cost $199,773,382)		208,647,203

			Total Long-Term Investments - 138.0% (Cost $796,337,111)		852,602,919


Principal Amount
			Short-Term Investments - 4.8%
			Money Market Fund - 4.8%
	29,406,394		Goldman Sachs Financial Prime Obligations
			(Cost $29,406,394)		29,406,394

			Total Investments - 142.8% (Cost $825,743,505)		882,009,313
			Other assets in excess of liabilities - 1.7%		10,653,562
			Preferred Stock, at redemption value - (-44.5% of Net Assets Applicable to Common Shareholders or -31.2% of Total Investments)		(275,000,000	)

			Net Assets Applicable to Common Shareholders - 100.0%	$	617,662,875

LLC - Limited Liability Corp.

LP - Limited Partnership

(a)

Floating rate security. The rate shown is as of January 31, 2006.

(b)

Pursuant to a securities lending agreement, the Fund loaned all or a portion of these securities having an aggregate fair value of approximately $78.6 million and received as collateral readily marketable securities with an aggregate fair value of approximately $81.1 million.

(c)

Securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2006, these securities amounted to 6.7% of net assets.

(d)

Private placement security. Security is restricted and may be resold only in transactions exempt from registration which are normally those transactions with qualified institutional buyers. The restricted security comprises 1.6% of net assets applicable to common shares.

(e)

Variable principal amount dependent upon the value of Encana stock.

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.

Interest Rate Swap Agreements


Counterparty	Termination Date	Notional Amount (000)		Fixed Rate		Floating Rate	Unrealized Appreciation (Depreciation)
JP Morgan Chase & Co.	4/19/2006	$	30,000	2.42	%	3 Month LIBOR	$	(17,356	)
JP Morgan Chase & Co.	5/3/2006		30,000	3.72	%	3 Month LIBOR		119,774
JP Morgan Chase & Co.	7/10/2006		30,000	2.96	%	3 Month LIBOR		264,356
JP Morgan Chase & Co.	1/25/2007		50,000	3.54	%	3 Month LIBOR		669,715

							$	1,036,489

For each swap noted, the Fund pays a fixed rate and receives a floating rate.


Country Allocation*
United States	91.2	%
Cayman Islands	2.7	%
Netherlands	2.6	%
Australia	1.5	%
Bermuda	0.8	%
Belgium	0.7	%
Singapore	0.5	%

*	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 28, 2006

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


By:		/s/ Tracy V. Maitland
		Tracy V. Maitland
		President and Chief Executive Officer
Date: March 28, 2006

By:		/s/ Robert White
		Robert White
		Treasurer and Chief Financial Officer
Date: March 28, 2006