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
AdventClaymore 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
AdventClaymore 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: July 31, 2005
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.
ADVENTCLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND
Portfolio of Investments
July 31, 2005 (unaudited)
| Number of Shares | Value | |||||
| Long-Term Investments — 139.8% | ||||||
| Convertible Preferred Stocks — 59.9% | ||||||
| Aerospace and Defense — 1.1% | ||||||
| 52,500 | Northrop Grumman Corp., Ser. B, 7.00%, 2021 | $ | 6,549,375 | |||
| Aluminum, Steel and Other Metals — 1.2% | ||||||
| 8,000 | Freeport-McMoRan Copper & Gold, Inc., Ser. B, 5.50% | 7,709,000 | ||||
| Banking and Finance — 8.2% | ||||||
| 557,500 | Marshall & Ilsley Corp., 6.50%, 2007 | 15,504,075 | ||||
| 250,000 | National Australia Bank, Equity Security Unit, 7.875% (Australia) | 9,837,500 | ||||
| 100,000 | New York Community Capital Trust V, 6.00%, 2051 | 5,150,000 | ||||
| 250,000 | Sovereign Capital Trust IV, 4.375%, 2034 | 11,656,250 | ||||
| 170,000 | Washington Mutual, Inc., Equity Security Unit, 5.375%, 2041 | 9,146,000 | ||||
| 51,293,825 | ||||||
| Chemicals — 2.4% | ||||||
| 240,000 | Celanese Corp., Ser. A, 4.25% | 6,810,000 | ||||
| 160,000 | Huntsman Corp., 5.00%, 2008 | 8,081,600 | ||||
| 14,891,600 | ||||||
| Communications Equipment — 2.2% | ||||||
| 13,900 | Lucent Technologies Capital Trust I, 7.75%, 2017 | 13,853,088 | ||||
| Communications, Media and Entertainment — 0.5% | ||||||
| 65,247 | Emmis Communications Corp., Ser. A, 6.25% | 2,895,336 | ||||
| Financial Services — 8.3% | ||||||
| 49 | Fannie Mae, 5.375% | 4,671,862 | ||||
| 100,000 | Goldman Sachs Group, Inc., 6.75%, 2006 | 11,732,500 | ||||
| 519,120 | Lehman Brothers Holdings, Inc., Ser. GIS, 6.25%, 2007 | 13,419,252 | ||||
| 180,355 | Lehman Brothers Holdings, Inc., Ser. MWD, 6.00%, 2007 | 9,751,795 | ||||
| 326,679 | Merrill Lynch & Co., Inc., Ser. JNC, 6.75%, 2007 | 12,059,029 | ||||
| 51,634,438 | ||||||
| Health Care Products and Services — 2.0% | ||||||
| 220,400 | Baxter International, Inc., 7.00%, 2006 | 12,412,928 | ||||
| Insurance — 17.3% | ||||||
| 300,000 | Chubb Corp., Ser. B, 7.00%, 2006 | 9,711,000 | ||||
| 18,001 | Fortis Insurance NV, 7.75%, 2008 (Netherlands) (a) | 20,048,614 | ||||
| 453,922 | Genworth Financial, Inc., 6.00%, 2007 | 15,914,505 | ||||
| 337,003 | MetLife, Inc., Ser. B, 6.375%, 2008 | 9,324,873 | ||||
| 70,000 | Reinsurance Group of America, Equity Security Unit, 5.75%, 2051 | 3,969,000 | ||||
| 141,300 | The Hartford Financial Services Group, Inc., 6.00%, 2006 | 10,167,948 | ||||
| 49,000 | The Hartford Financial Services Group, Inc., 7.00%, 2006 | 3,586,310 | ||||
| 367,000 | The PMI Group, Inc., Ser. A, 5.875%, 2006 | 9,163,990 | ||||
| 265,000 | Travelers Property Casualty Corp., Ser. A, 4.50%, 2032 | 6,362,650 | ||||
| 127,497 | UnumProvident Corp., 8.25%, 2006 | 4,787,512 | ||||
| 625,000 | XL Capital Ltd., Ser. A, 6.50%, 2007 (Cayman Islands) | 14,625,000 | ||||
| 107,661,402 | ||||||
| Office Equipment — 1.8% | ||||||
| 99,600 | Xerox Corp., 6.25%, 2006 | 11,493,840 | ||||
| Oil and Gas — 1.0% | ||||||
| 61,507 | Amerada Hess Corp., 7.00%, 2006 | 6,258,952 | ||||
| Real Estate Investment Trusts — 3.0% | ||||||
| 4,250 | The Mills Corp., 6.750% (a) | 5,066,531 | ||||
| 205,000 | Simon Property Group, LP, 6.00% | 13,638,650 | ||||
| 18,705,181 | ||||||
| Retail-Specialty Stores — 2.3% | ||||||
| 637,187 | Albertson’s, Inc., 7.25%, 2007 | 14,496,004 | ||||
| Telecommunications — 0.8% | ||||||
| 100,000 | Crown Castle International Corp., 6.25%, 2012 | 4,975,000 | ||||
| Utilities — Gas and Electric — 6.7% | ||||||
| 155,314 | AES Trust VII, 6.00%, 2008 | 7,590,972 | ||||
| 52,900 | FPL Group, Inc., Ser. B, 8.00%, 2006 | 3,455,957 | ||||
| 320,800 | ONEOK, Inc., 8.50%, 2006 | 13,611,544 | ||||
| 90,000 | PNM Resources, Inc., 6.75%, 2008 | 4,764,600 | ||||
| 150,000 | Public Service Enterprise Group, Inc., 10.25%, 2005 | 12,160,500 | ||||
| 41,583,573 | ||||||
| Waste Management — 1.1% | ||||||
| 25,000 | Allied Waste Industries, Inc., Ser. D, 6.250%, 2008 | 6,632,000 | ||||
| Total Convertible Preferred Stocks — 59.9% | ||||||
| (Cost $336,773,278) | 373,045,542 | |||||
| Principal Amount |
||||||
| Corporate Bonds — 40.5% | ||||||
| Aluminum, Steel and Other Metals — 0.9% | ||||||
| $2,500,000 | Freeport-McMoRan Copper & Gold, Inc., B+ | |||||
| 10.125%, 2/01/10, Senior Notes | 2,787,500 | |||||
| 2,615,000 | United States Steel LLC, BB | |||||
| 10.75%, 8/01/08, Senior Notes | 2,951,681 | |||||
| 5,739,181 | ||||||
| Automotive — 1.2% | ||||||
| 3,000,000 | Dura Operating Corp., Ser. B, B- | |||||
| 8.625%, 4/15/12, Company Guarantee Notes (c) | 2,865,000 | |||||
| 5,000,000 | Dura Operating Corp., Ser. D, CCC+ | |||||
| 9.00%, 5/01/09, Company Guarantee Notes (c) | 4,275,000 | |||||
| 7,140,000 | ||||||
| Building Products — 0.2% | ||||||
| 1,465,000 | U.S. Concrete, Inc., B- | |||||
| 8.375%, 4/01/14, Senior Subordinated Notes | 1,413,725 | |||||
| Chemicals — 3.6% | ||||||
| 2,000,000 | BCP Crystal Holdings Corp., B- | |||||
| 9.625%, 6/15/14, Senior Subordinated Notes | 2,270,000 | |||||
| 10,000,000 | Equistar Chemical/Funding, BB- | |||||
| 10.125%, 9/01/08, Senior Notes | 11,050,000 | |||||
| 2,763,000 | Huntsman LLC, NR | |||||
| 10.849%, 7/15/11, Company Guarantee Notes (b) | 2,990,947 | |||||
| 5,600,000 | Lyondell Chemical Co., B | |||||
| 10.875%, 5/01/09, Senior Subordinated Notes (c) | 5,845,000 | |||||
| 22,155,947 | ||||||
| Commercial Services — 1.2% | ||||||
| 7,809,000 | Language Line, Inc., CCC+ | |||||
| 11.125%, 6/15/12, Senior Subordinated Notes | 7,457,595 | |||||
| Communications Equipment — 0.9% | ||||||
| 5,166,000 | Superior Essex Communications LLC/Essex Group, Inc., B | |||||
| 9.00%, 4/15/12, Senior Notes | 5,282,235 | |||||
| Communications, Media and Entertainment — 5.7% | ||||||
| 7,000,000 | Cablevision Systems Corp., B+ | |||||
| 8.00%, 4/15/12, Senior Notes (c) | 7,070,000 | |||||
| 1,500,000 | Charter Communications, Inc., CCC- | |||||
| 10.25%, 9/15/10, Senior Notes | 1,556,250 | |||||
| 10,675,000 | Mediacom LLC, B | |||||
| 9.50%, 1/15/13, Senior Notes (c) | 10,968,562 | |||||
| 3,000,000 | Rainbow National Services LLC, B+ | |||||
| 8.75%, 9/01/12, Senior Notes (a) | 3,307,500 | |||||
| 4,250,000 euros | Telenet Communications NV, B- | |||||
| 9.00%, 12/15/13, Senior Notes (Belgium) (a) | 5,781,737 | |||||
| 3,000,000 | Vertis, Inc., Ser. B, CCC | |||||
| 10.875%, 6/15/09, Senior Notes (c) | 2,925,000 | |||||
| 3,522,000 | XM Satellite Radio, Inc., CCC+ | |||||
| 12.00%, 6/15/10, Senior Secured Notes | 4,028,288 | |||||
| 35,637,337 | ||||||
| Computers — Software and Peripherals — 0.1% | ||||||
| 762,000 | Sungard Data Systems, Inc., B- | |||||
| 10.25%, 8/15/15, Senior Subordinated Notes (a) | 793,433 | |||||
| Containers & Packaging — 0.8% | ||||||
| 5,287,000 | Solo Cup Co., B- | |||||
| 8.50%, 2/15/14, Senior Subordinated Notes | 5,088,738 | |||||
| Electronic Equipment and Components — 1.6% | ||||||
| 10,000,000 | Advanced Micro Devices, Inc., B- | |||||
| 7.75%, 11/01/12, Senior Notes (c) | 10,175,000 | |||||
| Financial Services — 3.1% | ||||||
| 7,727,000 | E*Trade Financial Corp., B+ 8.00%, 6/15/11, Senior Notes |
8,248,573 | ||||
| 7,200,000 | Leucadia National Corp., BB 7.00%, 8/15/13, Senior Notes |
7,326,000 | ||||
| 3,470,000 | REFCO Finance Holdings LLC, B 9.00%, 8/01/12, Senior Subordinated Notes |
3,764,950 | ||||
| 19,339,523 | ||||||
| Health Care Products and Services — 3.4% | ||||||
| 4,500,000 | DaVita, Inc., B 7.25%, 3/15/15, Senior Subordinated Notes (a)(c) |
4,680,000 | ||||
| 10,000,000 | Encore Medical IHC, Inc., CCC+ 9.75%, 10/01/12, Senior Subordinated Notes |
9,950,000 | ||||
| 6,000,000 | NDCHealth Corp., CCC+ 10.50%, 12/01/12, Company Guarantee Notes |
6,525,000 | ||||
| 21,155,000 | ||||||
| Leisure and Entertainment — 0.7% | ||||||
| 4,000,000 | AMC Entertainment, Inc., CCC+ 9.875%, 2/01/12, Senior Subordinated Notes (c) |
4,060,000 | ||||
| Office Equipment — 0.6% | ||||||
| 3,500,000 | Xerox Capital Trust I, B- 8.00%, 2/01/27, Company Guarantee Notes (c) |
3,666,250 | ||||
| Oil and Gas — 3.5% | ||||||
| 9,000,000 | Petrobras International Finance Co., NR 9.125%, 7/02/13, Senior Notes (Cayman Islands) |
10,260,000 | ||||
| 7,000,000 | Seitel, Inc., NR 11.75%, 7/15/11, Senior Notes |
7,840,000 | ||||
| 3,000,000 | Williams Cos., Inc., B+ 8.125%, 3/15/12, Senior Notes (c) |
3,465,000 | ||||
| 21,565,000 | ||||||
| Pharmaceuticals — 1.5% | ||||||
| 10,000,000 | Athena Neurosciences Finance LLC, B 7.25%, 2/21/08, Senior Notes |
9,625,000 | ||||
| Publishing — 2.7% | ||||||
| 2,000,000 | American Media Operations, Inc., Ser. B, CCC+ 10.25%, 5/01/09, Company Guarantee Notes |
2,035,000 | ||||
| 2,940,000 | Dex Media West, B 9.875%, 8/15/13, Senior Subordinated Notes |
3,366,300 | ||||
| 11,000,000 | PRIMEDIA, Inc., B 8.00%, 5/15/13, Senior Notes |
11,247,500 | ||||
| 16,648,800 | ||||||
| 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 | 2,719,960 | ||||
| 3,000,000 | 7.125%, 2/15/13, Senior Notes (a) | 3,060,000 | ||||
| 5,779,960 | ||||||
| Retail — Apparel & Shoes — 0.9% | ||||||
| 5,000,000 | Levi Strauss & Co., B- 12.25%, 12/15/12, Senior Notes |
5,637,500 | ||||
| Retail — Specialty Stores — 3.2% | ||||||
| 6,000,000 | Movie Gallery, Inc., B- 11.00%, 5/01/12, Senior Unsecured Notes (a) |
6,240,000 | ||||
| Rite Aid Corp. | ||||||
| 3,500,000 | 9.50%, 2/15/11, Senior Secured Notes, B+ | 3,766,875 | ||||
| 4,000,000 | 9.25%, 6/01/13, Senior Notes, B-(c) | 3,990,000 | ||||
| 1,200,000 | 7.50%, 1/15/15, Company Guarantee Notes, B+ | 1,173,000 | ||||
| 5,000,000 | Simmons Bedding Co., B- 7.875%, 1/15/14, Senior Subordinated Notes (c) |
4,712,500 | ||||
| 19,882,375 | ||||||
| Telecommunications — 3.8% | ||||||
| Alamosa Delaware, Inc., CCC+ | ||||||
| 3,298,000 | 11.00%, 7/31/10, Senior Notes | 3,776,210 | ||||
| 2,000,000 | 8.50%, 1/31/12, Senior Notes | 2,175,000 | ||||
| 7,673,000 | Centennial Cellular Co., CCC 10.125%, 6/15/13, Company Guarantee Notes |
8,680,081 | ||||
| 6,258,000 | Madison River Capital, B- 13.25%, 3/01/10, Senior Notes |
6,696,060 | ||||
| 2,240,000 | PanAmSat Corp., B+ 9.00%, 8/15/14, Company Guarantee Notes (c) | 2,486,400 | ||||
| 23,813,751 | ||||||
| Total Corporate Bonds — 40.5% | ||||||
| (Cost $240,155,166) | 252,056,350 | |||||
| Convertible Bonds — 39.4% | ||||||
| Airlines — 0.9% | ||||||
| 6,000,000 | Continental Airlines, Inc., CCC+ | |||||
| 4.50%, 2/01/07, Convertible Notes (c) | 5,317,500 | |||||
| Aluminum, Steel and Other Metals — 1.2% | ||||||
| Freeport-McMoRan Copper & Gold, Inc., B+ | ||||||
| 3,112,000 | 7.00%, 2/11/11 Senior Convertible Notes | 4,465,720 | ||||
| 2,000,000 | 7.00%, 2/11/11 Senior Convertible Notes (a) | 2,870,000 | ||||
| 7,335,720 | ||||||
| Automotive — 3.0% | ||||||
| 300,700 | General Motors Corp., Ser. A, BB | |||||
| 4.50%, 3/06/32, Senior Convertible Notes | 7,415,262 | |||||
| 567,700 | General Motors Corp., Ser. B, BB | |||||
| 5.25%, 3/06/32, Senior Convertible Notes | 11,302,907 | |||||
| 18,718,169 | ||||||
| Commercial Services — 1.7% | ||||||
| 5,000,000 | The BISYS Group, Inc., NR | |||||
| 4.00%, 3/15/06, Convertible Notes | 4,962,500 | |||||
| 5,000,000 | Quanta Services, Inc., B | |||||
| 4.50%, 10/01/23, Subordinated Convertible Debentures | 5,637,500 | |||||
| 10,600,000 | ||||||
| Communications Equipment — 1.7% | ||||||
| 10,175,000 | Lucent Technologies, Inc., CCC+ | |||||
| 8.00%, 8/01/31, Convertible Notes | 10,569,281 | |||||
| Communications, Media and Entertainment — 4.9% | ||||||
| 4,624,000 | Citadel Broadcasting Co., NR | |||||
| 1.875%, 2/15/11, Subordinated Convertible Notes | 3,595,160 | |||||
| 17,636,000 | EchoStar Communications Corp., B | |||||
| 5.75%, 5/15/08, Subordinated Convertible Notes | 17,547,820 | |||||
| 10,000,000 | Liberty Media Corp., BB+ | |||||
| 3.50%, 1/15/31, Convertible Notes | 9,687,500 | |||||
| 30,830,480 | ||||||
| Computer Services — 0.6% | ||||||
| 4,000,000 | CIBER, Inc., NR | |||||
| 2.875%, 12/15/23, Senior Subordinated Convertible Notes | 3,555,000 | |||||
| Computers — Software and Peripherals — 3.7% | ||||||
| 8,166,000 | Mercury Interactive Corp., NR | |||||
| 4.75%, 7/01/07, Convertible Notes | 8,023,095 | |||||
| 6,600,000 | Quantum Corp., B | |||||
| 4.375%, 8/01/10, Subordinated Convertible Notes | 6,162,750 | |||||
| 10,000,000 | Red Hat, Inc., B | |||||
| 0.50%, 1/15/24, Senior Subordinated Convertible Notes | 8,937,500 | |||||
| 23,123,345 | ||||||
| E-Commerce — 3.5% | ||||||
| 22,433,000 | Amazon.com, Inc., B- | |||||
| 4.75%, 2/01/09, Senior Subordinated Convertible Debentures | 21,760,010 | |||||
| Electronic Equipment and Components — 9.4% | ||||||
| 7,338,000 | Advanced Micro Devices, Inc., B- | |||||
| 4.75%, 2/01/22, Convertible Notes (b) | 7,759,935 | |||||
| 12,589,000 | Agere Systems, Inc., B | |||||
| 6.50%, 12/15/09, Subordinated Convertible Notes | 12,683,418 | |||||
| 8,000,000 | Amkor Technology, Inc., CCC | |||||
| 5.75%, 6/01/06, Convertible Notes (c) | 7,680,000 | |||||
| 7,800,000 | ASM Lithography, NR | |||||
| 5.75%, 10/15/06, Subordinated Convertible Notes | 8,586,240 | |||||
| 8,000,000 | Fairchild Semiconductor International, Inc., B | |||||
| 5.00%, 11/01/08, Company Guarantee Notes | 7,890,000 | |||||
| 6,000,000 | LSI Logic Corp., B | |||||
| 4.00%, 5/15/10, Convertible Notes | 6,345,000 | |||||
| 7,352,000 | Skyworks Solutions, Inc., NR | |||||
| 4.75%, 11/15/07, Subordinated Convertible Notes | 7,526,610 | |||||
| 58,471,203 | ||||||
| Financial Services — 3.9% | ||||||
| 4,847,000 | E*TRADE Group, B- | |||||
| 6.00%, 2/01/07, Subordinated Convertible Notes | 4,889,411 | |||||
| Merrill Lynch & Co., Inc., A+ | ||||||
| 10,000,000 | 8.00%, 3/09/06, Convertible Notes (a) | 10,237,500 | ||||
| 10,000,000 | 6.50%, 8/31/06, Convertible Notes (a) | 9,413,000 | ||||
| 24,539,911 | ||||||
| IT Services — 1.2% | ||||||
| 7,710,000 | IOS Capital LLC, B+ | |||||
| 5.00%, 5/01/07, Subordinated Convertible Notes (a) | 7,623,262 | |||||
| Shipping — 1.1% | ||||||
| CP Ships Ltd., BB+ | ||||||
| 4,500,000 | 4.00%, 6/30/24, Senior Subordinated Convertible Notes (Canada) (a) | 4,393,125 | ||||
| 2,500,000 | 4.00%, 6/30/24, Senior Subordinated Convertible Notes (Canada) | 2,440,625 | ||||
| 6,833,750 | ||||||
| Telecommunications — 1.4% | ||||||
| 8,700,000 | Nextel Communications, Inc., BB | |||||
| 5.25%, 1/15/10, Senior Convertible Notes | 8,743,500 | |||||
| Waste Management — 1.2% | ||||||
| 8,400,000 | Allied Waste Industries, Inc., B+ | |||||
| 4.25%, 4/15/34, Convertible Notes | 7,350,000 | |||||
| Total Convertible Bonds — 39.4% (Cost $236,655,490) |
245,371,131 | |||||
| Total Long-Term Investments — 139.8% (Cost $813,583,934) |
870,473,023 | |||||
| Number of Shares |
||||||
| Short-Term Investments — 2.7% | ||||||
| Money Market Fund — 2.7% | ||||||
| 16,731,788 | Goldman Sachs Financial Prime Obligations | |||||
| (Cost $16,731,788) | 16,731,788 | |||||
| Total Investments — 142.5% (Cost $830,315,722) |
887,204,811 | |||||
| Other assets in excess of liabilities — 1.7% | 10,479,318 | |||||
| Preferred Stock, at redemption value — (-44.2% of Net Assets Applicable to Common Shareholders or -31.0% of Total Investments) | (275,000,000 | ) | ||||
| Net Assets Applicable to Common Shareholders — 100.0% |
$622,684,129 | |||||
| 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 July 31, 2005 these securities amounted to 13.4% of net assets. |
| (b) | Floating rate security. |
| (c) | Pursuant to a securities lending agreement, the Fund loaned all or a portion of these securities having an aggregate fair value of approximately $70.7 million and received as collateral readily marketable securities with an aggregate fair value of approximately $71.9 million. |
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 |
Unre alized Appreciation | |||||||
| JP Morgan Chase & Co. |
1/9/2006 | 30,000 | 2.16 | % | 3 Month LIBOR | 254,922 | ||||||
| JP Morgan Chase & Co. |
1/10/2006 | 50,000 | 3.18 | % | 3 Month LIBOR | 176,986 | ||||||
| JP Morgan Chase & Co. |
4/19/2006 | 30,000 | 2.42 | % | 3 Month LIBOR | 182,458 | ||||||
| JP Morgan Chase & Co. |
5/3/2006 | 30,000 | 3.21 | % | 3 Month LIBOR | 55,340 | ||||||
| JP Morgan Chase & Co. |
7/10/2006 | 30,000 | 2.96 | % | 3 Month LIBOR | 342,530 | ||||||
| JP Morgan Chase & Co. |
1/25/2007 | 50,000 | 3.54 | % | 3 Month LIBOR | 557,518 | ||||||
| $ | 1,569,754 | |||||||||||
For each Swap noted, the Fund pays the fixed rate and receives the floating rate.
| Country Allocation* |
|||
| United States |
92.4 | % | |
| Cayman Islands |
2.8 | % | |
| Netherlands |
2.3 | % | |
| Australia |
1.1 | % | |
| Canada |
0.8 | % | |
| Belgium |
0.6 | % |
| * | Subject to change daily. |
Item 2. Controls and Procedures.
| (a) | The registrant’ 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) | There was no change 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.
| ADVENTCLAYMORE CONVERTIBLE SECURITIES AND INCOME FUND | ||||||||
| Date: | September 27, 2005 |
By: | /s/ Tracy V. Maitland | |||||
| Tracy V. Maitland President and Chief Executive Officer | ||||||||
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.
| Date: | September 27, 2005 |
By: | /s/ Tracy V. Maitland | |||||
| Tracy V. Maitland President and Chief Executive Officer | ||||||||
| Date: | September 27, 2005 |
By: | /s/ Robert White | |||||
| Robert White Treasurer and Chief Financial Officer | ||||||||