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: May 1, 2016 – July 31, 2016

Item 1.  Schedule of Investments.
Attached hereto.
 
Advent Claymore Convertible Securities & Income Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2016

 
Shares
      
Value
  
COMMON STOCKS† - 4.5%
  
Consumer, Non-cyclical - 2.1%
  
Cigna Corp.1
  
29,971
     $  
3,865,060
  
Gilead Sciences, Inc.1
  
32,900
        
2,614,563
  
Biogen, Inc.*
  
6,600
        
1,913,538
  
Total Consumer, Non-cyclical
            
8,393,161
  
Consumer, Cyclical - 1.9%
  
L Brands, Inc.1
  
52,000
        
3,842,800
  
General Motors Co.1
  
109,000
        
3,437,860
  
Total Consumer, Cyclical
            
7,280,660
  
Basic Materials - 0.5%
  
LyondellBasell Industries N.V. — Class A
  
27,200
        
2,047,072
  
Industrial - 0.0%**
  
General Electric Co.
  
1
        
31
  
Total Common Stocks
            
(Cost $19,060,014)
            
17,720,924
  
CONVERTIBLE PREFERRED STOCKS† - 16.6%
  
Consumer, Non-cyclical - 5.9%
  
Allergan plc
                
5.50% due 03/01/181
  
10,038
        
8,997,460
  
Teva Pharmaceutical Industries Ltd.
                
7.00% due 12/15/181
  
9,394
        
8,341,872
  
Anthem, Inc.
                
5.25% due 05/01/181
  
128,449
        
5,712,127
  
Total Consumer, Non-cyclical
            
23,051,459
  
Financial - 3.0%
  
Wells Fargo & Co.
                
7.50% due 1,2
  
4,032
        
5,378,687
  
KeyCorp
                
7.75% due 1,2
  
18,000
        
2,430,000
  
American Tower Corp.
                
5.50% due 02/15/181
  
20,881
        
2,310,483
  
Alexandria Real Estate Equities, Inc.
                
7.00% due 1,2
  
49,500
        
1,743,885
  
Total Financial
            
11,863,055
  
Communications - 2.4%
  
Frontier Communications Corp.
                
11.13% due 06/29/181
  
77,780
        
7,690,886
  
T-Mobile US, Inc.
                
5.50% due 12/15/171
  
24,052
        
1,877,740
  
Total Communications
            
9,568,626
  
Energy - 2.0%
  
Hess Corp.
                
8.00% due 02/01/191
  
70,871
        
4,731,348
  
Southwestern Energy Co.
                
6.25% due 01/15/18
  
44,937
        
1,498,649
  
Anadarko Petroleum Corp.
                
7.50% due 06/07/18
  
37,547
        
1,437,675
  
Total Energy
            
7,667,672
  
Utilities - 1.2%
  
Dominion Resources, Inc.
                
6.38% due 07/01/171
  
44,204
        
2,304,797
  
NextEra Energy, Inc.
                
6.37% due 09/01/181
  
23,897
        
1,491,651
  
Exelon Corp.
                
 
 
Shares
      
Value
  
CONVERTIBLE PREFERRED STOCKS† - 16.6% (continued)
  
Utilities - 1.2% (continued)
  
6.50% due 06/01/171
$
14,795
    
$
 
744,484
  
Total Utilities
            
4,540,932
  
Basic Materials - 1.0%
  
Alcoa, Inc.
                
5.38% due 10/01/171
  
106,328
        
3,849,074
  
Industrial - 0.9%
  
Belden, Inc.
                
6.75% due 07/15/19
  
16,042
        
1,714,409
  
Stanley Black & Decker, Inc.
                
6.25% due 11/17/161
  
9,411
        
1,185,880
  
Stericycle, Inc.
                
5.25% due 09/15/181
  
10,239
        
763,727
  
Total Industrial
            
3,664,016
  
Consumer, Cyclical - 0.2%
  
William Lyon Homes
                
6.50% due 12/01/171
  
9,527
        
863,051
  
Total Convertible Preferred Stocks
            
(Cost $65,062,325)
            
65,067,885
  
 
 
Face
 Amount
      
Value
  
SHORT TERM INVESTMENTS† - 13.3%
  
Goldman Sachs Financial Prime Obligations - Administration Share Class
  
0.01%3
$
51,890,142
        
51,890,142
  
Total Short Term Investments
            
(Cost $51,890,142)
            
51,890,142
  
 
 
Face
 Amount~
 
 
  
Value
  
CONVERTIBLE BONDS†† - 70.3%
  
Technology -  21.5%
                
ON Semiconductor Corp.
                
1.00% due 12/01/201
  
5,650,000
        
5,332,187
  
2.63% due 12/15/261
  
1,131,000
        
1,213,704
  
ServiceNow, Inc.
                
0.00% due 11/01/181,4
  
5,262,000
        
6,232,181
  
Intel Corp.
                
3.25% due 08/01/391
  
2,314,000
        
3,956,952
  
2.95% due 12/15/351
  
1,643,000
        
2,161,572
  
Lam Research Corp.
                
1.25% due 05/15/181
  
3,722,000
        
5,694,660
  
Microchip Technology, Inc.
                
1.63% due 02/15/251
  
4,557,000
        
5,454,158
  
Integrated Device Technology, Inc.
                
0.88% due 11/15/225
  
4,736,000
        
4,795,200
  
Micron Technology, Inc.
                
3.00% due 11/15/431
  
2,860,000
        
2,320,175
  
2.13% due 02/15/331
  
800,000
        
1,162,500
  
1.63% due 02/15/33
  
411,000
        
569,235
  
Allscripts Healthcare Solutions, Inc.
                
1.25% due 07/01/201
  
3,588,000
        
3,803,280
  
NXP Semiconductors N.V.
                
1.00% due 12/01/191
  
3,347,000
        
3,736,088
  
Cornerstone OnDemand, Inc.
                
1.50% due 07/01/181
  
3,133,000
        
3,344,478
  
 
 
Advent Claymore Convertible Securities & Income Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2016
 
 
Face
 Amount~
 
 
  
Value
  
CONVERTIBLE BONDS†† - 70.3% (continued)
  
Technology -  21.5% (continued)
                
STMicroelectronics N.V.
                
0.00% due 07/03/194
$
3,200,000
    
$
3,123,200
  
Red Hat, Inc.
                
0.25% due 10/01/191
  
2,432,000
        
2,995,920
  
Synchronoss Technologies, Inc.
                
0.75% due 08/15/191
  
2,801,000
        
2,918,292
  
Electronics For Imaging, Inc.
                
0.75% due 09/01/191
  
2,708,000
        
2,916,178
  
NVIDIA Corp.
                
1.00% due 12/01/181
  
1,028,000
        
2,912,453
  
Proofpoint, Inc.
                
0.75% due 06/15/201
  
2,063,000
        
2,435,629
  
BroadSoft, Inc.
                
1.00% due 09/01/221,5
  
1,782,000
        
2,325,510
  
Salesforce.com, Inc.
                
0.25% due 04/01/181
  
1,698,000
        
2,236,054
  
Verint Systems, Inc.
                
1.50% due 06/01/211
  
2,336,000
        
2,204,600
  
Brocade Communications Systems, Inc.
                
1.38% due 01/01/201
  
2,200,000
        
2,176,625
  
CSG Systems International, Inc.
                
4.25% due 03/15/361,5
  
1,934,000
        
2,064,545
  
Citrix Systems, Inc.
                
0.50% due 04/15/191
  
1,558,000
        
1,833,571
  
Cypress Semiconductor Corp.
                
4.50% due 01/15/225
  
1,548,000
        
1,730,858
  
Nuance Communications, Inc.
                
1.00% due 12/15/351,5
  
1,615,000
        
1,458,547
  
Xilinx, Inc.
                
2.63% due 06/15/171
  
558,000
        
986,265
  
Total Technology
            
84,094,617
  
Consumer, Non-cyclical -  15.5%
                
BioMarin Pharmaceutical, Inc.
                
1.50% due 10/15/201
  
2,467,000
        
3,274,942
  
0.75% due 10/15/18
  
1,613,000
        
2,058,591
  
Wright Medical Group, Inc.
                
2.00% due 02/15/20
  
5,020,000
        
5,098,437
  
Ionis Pharmaceuticals, Inc.
                
1.00% due 11/15/211
  
5,863,000
        
4,606,119
  
Hologic, Inc.
                
2.00% due 03/01/421,6,8
  
1,824,000
        
2,482,920
  
0.00% due 12/15/431,4,9
  
1,450,000
        
1,788,938
  
HealthSouth Corp.
                
2.00% due 12/01/431
  
3,362,000
        
4,122,653
  
Molina Healthcare, Inc.
                
1.63% due 08/15/441
  
3,153,000
        
3,685,069
  
Euronet Worldwide, Inc.
                
1.50% due 10/01/441
  
2,641,000
        
3,243,478
  
Invacare Corp.
                
5.00% due 02/15/211,5
  
3,000,000
        
2,964,374
  
Horizon Pharma Investment Ltd.
                
2.50% due 03/15/221
  
2,561,000
        
2,546,593
  
Depomed, Inc.
                
2.50% due 09/01/211
  
1,917,000
        
2,276,438
  
 
 
Face
Amount~
 
    
Value
  
CONVERTIBLE BONDS†† - 70.3% (continued)
  
Consumer, Non-cyclical -  15.5% (continued)
                
NuVasive, Inc.
                
2.25% due 03/15/211,5
$
1,735,000
    
$
2,127,544
  
Jazz Investments I Ltd.
                
1.88% due 08/15/211
  
1,648,000
        
1,808,680
  
Herbalife Ltd.
                
2.00% due 08/15/191
  
1,598,000
        
1,660,929
  
Medicines Co.
                
2.75% due 07/15/235
  
1,469,000
        
1,545,205
  
Huron Consulting Group, Inc.
                
1.25% due 10/01/19
  
1,503,000
        
1,544,333
  
Nevro Corp.
                
1.75% due 06/01/21
  
1,315,000
        
1,481,841
  
J Sainsbury plc
                
1.25% due 11/21/191
1,000,000 GBP
        
1,332,746
  
PTC Therapeutics, Inc.
                
3.00% due 08/15/221,5
  
3,049,000
        
1,314,881
  
Intercept Pharmaceuticals, Inc.
                
3.25% due 07/01/23
  
1,158,000
        
1,310,711
  
Wright Medical Group N.V.
                
2.25% due 11/15/215
  
1,010,000
        
1,229,675
  
Incyte Corp.
                
0.38% due 11/15/181
  
651,000
        
1,193,771
  
Emergent BioSolutions, Inc.
                
2.88% due 01/15/21
  
947,000
        
1,187,893
  
Brookdale Senior Living, Inc.
                
2.75% due 06/15/181
  
1,058,000
        
1,065,274
  
Live Nation Entertainment, Inc.
                
2.50% due 05/15/191
  
897,000
        
956,988
  
Macquarie Infrastructure Company LLC
                
2.88% due 07/15/191
  
795,000
        
923,690
  
Repligen Corp.
                
2.13% due 06/01/21
  
802,000
        
889,719
  
Array BioPharma, Inc.
                
3.00% due 06/01/201
  
887,000
        
789,430
  
Total Consumer, Non-cyclical
            
60,511,862
  
Communications -  12.8%
                
Ciena Corp.
                
0.88% due 06/15/171
  
3,800,000
        
3,785,750
  
4.00% due 12/15/201
  
2,602,000
        
3,324,055
  
Twitter, Inc.
                
0.25% due 09/15/19
  
4,250,000
        
3,944,532
  
1.00% due 09/15/211
  
2,346,000
        
2,118,731
  
LinkedIn Corp.
                
0.50% due 11/01/191
  
5,250,000
        
5,223,750
  
Priceline Group, Inc.
                
0.35% due 06/15/201
  
3,865,000
        
4,705,638
  
FireEye, Inc.
                
1.00% due 06/01/351
  
2,700,000
        
2,522,812
  
1.63% due 06/01/35
  
2,256,000
        
2,071,291
  
Finisar Corp.
                
0.50% due 12/15/331
  
4,000,000
        
3,947,499
  
WebMD Health Corp.
                
2.63% due 06/15/235
  
1,885,000
        
1,913,275
  
2.50% due 01/31/18
  
1,240,000
        
1,394,225
  
Ctrip.com International Ltd.
                
1.00% due 07/01/20
  
1,696,000
        
1,846,520
  
1.25% due 10/15/181
  
1,083,000
        
1,369,318
  
 
 
Advent Claymore Convertible Securities & Income Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2016
 
 
Face
Amount~
    
Value
  
CONVERTIBLE BONDS†† - 70.3% (continued)            
Communications -  12.8% (continued)
            
Liberty Media Corp.
                
1.38% due 10/15/23
$
2,692,000
    
$
2,870,345
  
Web.com Group, Inc.
                
1.00% due 08/15/18
  
3,000,000
        
2,829,375
  
Telecom Italia Finance S.A.
                
6.13% due 11/15/16
2,300,000 EUR
        
2,580,335
  
CalAmp Corp.
                
1.63% due 05/15/201
  
1,888,000
        
1,774,720
  
Inmarsat plc
                
1.75% due 11/16/17
  
1,300,000
        
1,738,750
  
Total Communications
            
49,960,921
  
Financial -  9.6%
                
Colony Capital, Inc.
                
3.88% due 01/15/211
  
7,525,000
        
7,360,391
  
Starwood Property Trust, Inc.
                
4.55% due 03/01/181
  
3,350,000
        
3,586,594
  
4.00% due 01/15/191
  
2,600,000
        
2,834,000
  
Radian Group, Inc.
                
2.25% due 03/01/191
  
2,501,000
        
3,173,143
  
American Realty Capital Properties, Inc.
                
3.00% due 08/01/18
  
3,100,000
        
3,092,250
  
Air Lease Corp.
                
3.88% due 12/01/181
  
2,265,000
        
2,841,159
  
Colony Starwood Homes
                
3.00% due 07/01/191
  
2,382,000
        
2,763,120
  
MGIC Investment Corp.
                
2.00% due 04/01/201
  
2,213,000
        
2,683,263
  
Extra Space Storage, LP
                
3.13% due 10/01/351,5
  
2,083,000
        
2,296,508
  
Fidelity National Financial, Inc.
                
4.25% due 08/15/181
  
1,074,000
        
2,225,865
  
Blackhawk Network Holdings, Inc.
                
1.50% due 01/15/225
  
1,655,000
        
1,696,375
  
PRA Group, Inc.
                
3.00% due 08/01/201
  
1,341,000
        
1,122,249
  
Encore Capital Group, Inc.
                
2.88% due 03/15/21
  
1,518,000
        
1,064,498
  
Element Financial Corp.
                
4.25% due 06/30/205
875,000 CAD
        
677,696
  
Total Financial
            
37,417,111
  
Consumer, Cyclical -  3.8%
                
CalAtlantic Group, Inc.
                
0.25% due 06/01/191
  
2,675,000
        
2,522,859
  
1.63% due 05/15/181
  
1,321,000
        
1,676,844
  
Standard Pacific Corp.
                
1.25% due 08/01/321
  
2,749,000
        
2,958,612
  
Restoration Hardware Holdings, Inc.
                
0.00% due 06/15/191,4,5
  
2,608,000
        
2,233,100
  
Toll Brothers Finance Corp.
                
0.50% due 09/15/32
  
2,000,000
        
1,953,750
  
Tesla Motors, Inc.
                
1.25% due 03/01/211
  
1,974,000
        
1,743,289
  
GNC Holdings, Inc.
                
1.50% due 08/15/205
  
1,351,000
        
1,116,264
  
 
 
Face
Amount~
  
Value
  
CONVERTIBLE BONDS†† - 70.3% (continued)
  
Consumer, Cyclical -  3.8% (continued)
                
Meritor, Inc.
                
7.88% due 03/01/261
$
580,000
    
$
688,025
  
Total Consumer, Cyclical
            
14,892,743
  
Industrial -  3.6%
                
SunPower Corp.
                
4.00% due 01/15/231,5
  
3,156,000
        
2,751,637
  
Dycom Industries, Inc.
                
0.75% due 09/15/211,5
  
1,808,000
        
2,136,829
  
Vishay Intertechnology, Inc.
                
2.25% due 11/15/401
  
1,945,000
        
2,072,641
  
RTI International Metals, Inc.
                
1.63% due 10/15/19
  
1,610,000
        
1,785,088
  
Cemex SAB de CV
                
3.72% due 03/15/20
  
1,441,000
        
1,477,025
  
Tutor Perini Corp.
                
2.88% due 06/15/215
  
1,143,000
        
1,257,300
  
Atlas Air Worldwide Holdings, Inc.
                
2.25% due 06/01/221
  
1,260,000
        
1,249,763
  
Greenbrier Companies, Inc.
                
3.50% due 04/01/181
  
788,000
        
871,725
  
BW Group Ltd.
                
1.75% due 09/10/19
  
600,000
        
505,500
  
Total Industrial
            
14,107,508
  
Utilities -  1.6%
                
CenterPoint Energy, Inc.
                
4.18% due 09/15/291,6
  
62,878
        
3,422,922
  
NRG Yield, Inc.
                
3.25% due 06/01/201,5
  
2,800,000
        
2,716,000
  
Dynegy, Inc.
                
7.00% due 07/01/19
  
7,307
        
7,140
  
Total Utilities
            
6,146,062
  
Energy -  1.5%
                
Weatherford International Ltd.
                
5.88% due 07/01/211
  
5,355,000
        
5,964,131
  
Basic Materials -  0.4%
                
B2Gold Corp.
                
3.25% due 10/01/181
  
1,385,000
        
1,476,756
  
Total Convertible Bonds
            
(Cost $267,136,009)
        
274,571,711
  
CORPORATE BONDS†† - 60.5%
  
Consumer, Non-cyclical -  13.4%
                
Valeant Pharmaceuticals International, Inc.
                
6.13% due 04/15/251,5
  
7,894,000
        
6,571,755
  
CHS/Community Health Systems, Inc.
                
6.88% due 02/01/221
  
3,264,000
        
2,823,359
  
5.13% due 08/01/211
  
2,200,000
        
2,200,000
  
HCA, Inc.
                
5.00% due 03/15/241
  
2,275,000
        
2,394,437
  
7.50% due 02/15/22
  
1,950,000
        
2,218,125
  
 
 
Advent Claymore Convertible Securities & Income Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2016
 
 
Face
Amount~
    
Value
  
CORPORATE BONDS†† - 60.5% (continued)
            
Consumer, Non-cyclical -  13.4% (continued)
            
United Rentals North America, Inc.
                
6.13% due 06/15/231
$
2,600,000
    
$
2,734,875
  
5.50% due 07/15/251
  
1,750,000
        
1,805,580
  
Tenet Healthcare Corp.
                
6.00% due 10/01/201
  
1,700,000
        
1,806,165
  
8.13% due 04/01/22
  
989,000
        
1,026,088
  
4.50% due 04/01/211
  
774,000
        
781,740
  
Endo Limited / Endo Finance LLC / Endo Finco, Inc.
                
6.50% due 02/01/251,5
  
4,000,000
        
3,470,000
  
HealthSouth Corp.
                
5.75% due 09/15/251
  
2,625,000
        
2,723,753
  
Molina Healthcare, Inc.
                
5.38% due 11/15/221,5
  
2,600,000
        
2,665,000
  
Concordia International Corp.
                
9.50% due 10/21/225
  
1,750,000
        
1,605,625
  
7.00% due 04/15/235
  
729,000
        
605,070
  
Cenveo Corp.
                
8.50% due 09/15/225
  
2,000,000
        
1,370,000
  
11.50% due 05/15/17
  
829,000
        
826,928
  
Quorum Health Corp.
                
11.63% due 04/15/235
  
2,040,000
        
2,080,800
  
Horizon Pharma, Inc.
                
6.63% due 05/01/231
  
1,875,000
        
1,828,125
  
Land O'Lakes Capital Trust I
                
7.45% due 03/15/281,5
  
1,500,000
        
1,620,000
  
Sotheby's
                
5.25% due 10/01/221,5
  
1,667,000
        
1,591,985
  
Cott Finance Corp.
                
5.50% due 07/01/245
1,106,000 EUR
        
1,311,765
  
Ahern Rentals, Inc.
                
7.38% due 05/15/231,5
  
1,812,000
        
1,286,520
  
Greatbatch Ltd.
                
9.13% due 11/01/235
  
989,000
        
1,013,725
  
Revlon Consumer Products Corp.
                
5.75% due 02/15/211
  
989,000
        
1,008,780
  
Spectrum Brands, Inc.
                
5.75% due 07/15/251
  
766,000
        
833,025
  
IASIS Healthcare LLC / IASIS Capital Corp.
                
8.38% due 05/15/19
  
769,000
        
742,085
  
FAGE International S.A./ FAGE USA Dairy Industry, Inc.
                
5.63% due 08/15/265
  
680,000
        
696,150
  
Revlon Escrow Corp.
                
6.25% due 08/01/245
  
496,000
        
503,440
  
Land O' Lakes, Inc.
                
6.00% due 11/15/225
  
19,000
        
20,235
  
Total Consumer, Non-cyclical
            
52,165,135
  
Energy -  8.5%
                
Rowan Companies, Inc.
                
7.88% due 08/01/191
  
3,000,000
        
3,174,138
  
Cimarex Energy Co.
                
4.38% due 06/01/241
  
2,200,000
        
2,302,667
  
CONSOL Energy, Inc.
                
8.00% due 04/01/231
  
2,336,000
        
2,254,240
  
 
 
Face
Amount~
  
Value
  
CORPORATE BONDS†† - 60.5% (continued)
  
Energy -  8.5% (continued)
                
Genesis Energy Limited Partnership / Genesis Energy Finance Corp.
                
6.00% due 05/15/231
$
1,896,000
    
$
1,895,999
  
PBF Holding Company LLC / PBF Finance Corp.
                
7.00% due 11/15/231,5
  
1,976,000
        
1,889,549
  
Sabine Pass Liquefaction LLC
                
6.25% due 03/15/221
  
1,750,000
        
1,839,688
  
Kinder Morgan Energy Partners, LP
                
3.95% due 09/01/221
  
1,750,000
        
1,795,504
  
Parsley Energy LLC / Parsley Finance Corp.
                
6.25% due 06/01/241,5
  
1,731,000
        
1,746,146
  
SESI LLC
                
6.38% due 05/01/191
  
1,678,000
        
1,627,660
  
Western Refining, Inc.
                
6.25% due 04/01/211
  
1,718,000
        
1,606,330
  
Tesoro Logistics Limited Partnership / Tesoro Logistics Finance Corp.
                
6.38% due 05/01/241
  
1,483,000
        
1,571,061
  
Sunoco Limited Partnership / Sunoco Finance Corp.
                
6.38% due 04/01/231,5
  
1,519,000
        
1,553,178
  
Marathon Oil Corp.
                
3.85% due 06/01/251
  
1,625,000
        
1,477,312
  
Concho Resources, Inc.
                
5.50% due 04/01/231
  
1,483,000
        
1,471,878
  
Oasis Petroleum, Inc.
                
6.50% due 11/01/21
  
1,484,000
        
1,253,980
  
Western Refining Logistics Limited Partnership / WNRL Finance Corp.
                
7.50% due 02/15/231
  
1,210,000
        
1,206,975
  
Kerr-McGee Corp.
                
6.95% due 07/01/241
  
1,000,000
        
1,174,264
  
Continental Resources, Inc.
                
5.00% due 09/15/221
  
1,029,000
        
967,260
  
Hess Corp.
                
3.50% due 07/15/241
  
996,000
        
960,067
  
Calumet Specialty Products Partners Limited Partnership / Calumet Finance Corp.
                
7.63% due 01/15/22
  
1,105,000
        
805,269
  
Murphy Oil Corp.
                
4.70% due 12/01/22
  
643,000
        
581,059
  
Southwestern Energy Co.
                
7.50% due 02/01/181
  
196,000
        
206,584
  
Total Energy
            
33,360,808
  
Communications -  8.3%
                
CCO Holdings LLC / CCO Holdings Capital Corp.
                
5.25% due 09/30/22
  
3,200,000
        
3,340,000
  
5.88% due 04/01/241,5
  
989,000
        
1,058,230
  
Frontier Communications Corp.
                
11.00% due 09/15/251
  
3,511,000
        
3,761,158
  
 
 
Advent Claymore Convertible Securities & Income Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2016
 
 
Face
Amount~
    
Value
  
CORPORATE BONDS†† - 60.5% (continued)
  
Communications -  8.3% (continued)
                
SFR Group S.A.
                
6.25% due 05/15/241,5
$
1,833,000
    
$
1,765,408
  
7.38% due 05/01/261,5
  
931,000
        
931,000
  
Sprint Communications, Inc.
                
7.00% due 03/01/201,5
  
2,515,000
        
2,681,618
  
CenturyLink, Inc.
                
6.75% due 12/01/231
  
2,522,000
        
2,632,338
  
DISH DBS Corp.
                
6.75% due 06/01/211
  
1,300,000
        
1,384,500
  
5.88% due 11/15/241
  
989,000
        
958,094
  
West Corp.
                
5.38% due 07/15/221,5
  
2,250,000
        
2,106,563
  
AMC Networks, Inc.
                
4.75% due 12/15/22
  
2,040,000
        
2,098,650
  
EarthLink Holdings Corp.
                
7.38% due 06/01/201
  
1,962,000
        
2,060,100
  
Sirius XM Radio, Inc.
                
5.75% due 08/01/215
  
1,950,000
        
2,040,221
  
ViaSat, Inc.
                
6.88% due 06/15/201
  
1,143,000
        
1,181,691
  
Radio One, Inc.
                
7.38% due 04/15/221,5
  
1,100,000
        
1,102,750
  
Tribune Media Co.
                
5.88% due 07/15/221
  
989,000
        
1,013,725
  
Windstream Services LLC
                
7.50% due 06/01/22
  
989,000
        
914,825
  
Telesat Canada / Telesat LLC
                
6.00% due 05/15/171,5
  
650,000
        
650,000
  
GCI, Inc.
                
6.88% due 04/15/251
  
614,000
        
640,095
  
Hughes Satellite Systems Corp.
                
6.50% due 06/15/191
  
270,000
        
294,300
  
Total Communications
            
32,615,266
  
Basic Materials -  6.9%
                
Celanese US Holdings LLC
                
5.88% due 06/15/211
  
2,534,000
        
2,891,928
  
4.63% due 11/15/221
  
1,750,000
        
1,898,750
  
INEOS Group Holdings S.A.
                
5.88% due 02/15/191,5
  
2,700,000
        
2,784,375
  
NOVA Chemicals Corp.
                
5.25% due 08/01/231,5
  
2,442,000
        
2,527,470
  
Commercial Metals Co.
                
4.88% due 05/15/231
  
1,889,000
        
1,860,665
  
Steel Dynamics, Inc.
                
5.50% due 10/01/241
  
1,730,000
        
1,838,125
  
St. Barbara Ltd.
                
8.88% due 04/15/185
  
1,500,000
        
1,548,750
  
First Quantum Minerals Ltd.
                
7.00% due 02/15/215
  
1,628,000
        
1,460,804
  
Blue Cube Spinco, Inc.
                
10.00% due 10/15/251,5
  
1,263,000
        
1,449,293
  
Fortescue Resources August 2006 Pty Ltd.
                
9.75% due 03/01/221,5
  
1,288,000
        
1,449,000
  
Novasep Holding SAS
                
8.00% due 12/15/165
  
1,490,000
        
1,378,250
  
 
 
Face
Amount~
  
Value
  
CORPORATE BONDS†† - 60.5% (continued)
  
Basic Materials -  6.9% (continued)
                
Resolute Forest Products, Inc.
                
5.88% due 05/15/231
$
1,483,000
    
$
1,223,475
  
Compass Minerals International, Inc.
                
4.88% due 07/15/241,5
  
1,250,000
        
1,206,250
  
TPC Group, Inc.
                
8.75% due 12/15/201,5
  
1,483,000
        
1,186,400
  
Tronox Finance LLC
                
7.50% due 03/15/221,5
  
1,375,000
        
1,098,281
  
Sappi Papier Holding GmbH
                
4.00% due 04/01/235
828,000 EUR
        
970,239
  
Kaiser Aluminum Corp.
                
5.88% due 05/15/245
  
248,000
        
261,020
  
Total Basic Materials
            
27,033,075
  
Financial -  6.5%
                
Synovus Financial Corp.
                
7.88% due 02/15/191
  
3,154,000
        
3,528,538
  
5.13% due 06/15/171
  
301,000
        
309,428
  
Ally Financial, Inc.
                
8.00% due 03/15/20
  
2,200,000
        
2,530,000
  
5.13% due 09/30/241
  
825,000
        
880,688
  
Dana Financing Luxembourg Sarl
                
6.50% due 06/01/265
  
2,646,000
        
2,718,764
  
Alliance Data Systems Corp.
                
6.38% due 04/01/201,5
  
2,250,000
        
2,309,063
  
E*TRADE Financial Corp.
                
4.63% due 09/15/231
  
2,208,000
        
2,296,320
  
Credit Acceptance Corp.
                
7.38% due 03/15/231
  
2,158,000
        
2,168,790
  
Corrections Corporation of America
                
4.63% due 05/01/231
  
2,075,000
        
2,116,500
  
Nationstar Mortgage LLC / Nationstar Capital Corp.
                
9.63% due 05/01/191
  
1,500,000
        
1,554,375
  
CIT Group, Inc.
                
5.00% due 05/15/171
  
1,380,000
        
1,411,367
  
Navient Corp.
                
6.00% due 01/25/171
  
1,380,000
        
1,406,504
  
Equinix, Inc.
                
5.75% due 01/01/251
  
1,191,000
        
1,271,393
  
Radian Group, Inc.
                
7.00% due 03/15/21
  
868,000
        
963,480
  
Total Financial
            
25,465,210
  
Industrial -  6.4%
                
Builders FirstSource, Inc.
                
7.63% due 06/01/211,5
  
2,000,000
        
2,121,000
  
10.75% due 08/15/235
  
989,000
        
1,102,735
  
Navios Maritime Acquisition Corporation / Navios Acquisition Finance US, Inc.
                
8.13% due 11/15/211,5
  
3,601,000
        
2,790,775
  
MasTec, Inc.
                
4.88% due 03/15/231
  
2,612,000
        
2,514,050
  
TransDigm, Inc.
                
6.50% due 07/15/24
  
2,125,000
        
2,217,820
  
 
 
Advent Claymore Convertible Securities & Income Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2016
 
 
 
Face
Amount~
    
Value
  
CORPORATE BONDS†† - 60.5% (continued)
  
Industrial -  6.4% (continued)
                
Eletson Holdings, Inc.
                
9.63% due 01/15/221,5
$
2,680,000
    
$
2,077,001
  
Energizer Holdings, Inc.
                
5.50% due 06/15/251,5
  
1,925,000
        
1,970,680
  
Cleaver-Brooks, Inc.
                
8.75% due 12/15/191,5
  
1,875,000
        
1,940,625
  
KLX, Inc.
                
5.88% due 12/01/221,5
  
1,754,000
        
1,784,695
  
Boise Cascade Co.
                
6.38% due 11/01/201
  
1,725,000
        
1,776,750
  
Shape Technologies Group, Inc.
                
7.63% due 02/01/201,5
  
1,472,000
        
1,471,087
  
Masco Corp.
                
4.45% due 04/01/251
  
1,030,000
        
1,099,525
  
Navios Maritime Holdings Incorporated / Navios Maritime Finance II US Inc.
                
7.38% due 01/15/221,5
  
2,005,000
        
984,956
  
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC
                
5.13% due 07/15/235
  
372,000
        
384,090
  
7.00% due 07/15/245
  
124,000
        
131,285
  
Bombardier, Inc.
                
6.13% due 01/15/235
  
501,000
        
437,483
  
Manitowoc Foodservice, Inc.
                
9.50% due 02/15/245
  
248,000
        
282,410
  
Total Industrial
            
25,086,967
  
Consumer, Cyclical -  6.1%
                
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp.
                
5.63% due 10/15/211
  
3,000,000
        
3,110,445
  
United Continental Holdings, Inc.
                
6.00% due 12/01/20
  
2,000,000
        
2,124,999
  
Tempur Sealy International, Inc.
                
5.63% due 10/15/231
  
2,000,000
        
2,080,000
  
Allegiant Travel Co.
                
5.50% due 07/15/19
  
1,750,000
        
1,841,875
  
First Cash Financial Services, Inc.
                
6.75% due 04/01/211
  
1,758,000
        
1,819,530
  
GameStop Corp.
                
6.75% due 03/15/215
  
1,700,000
        
1,721,250
  
Rite Aid Corp.
                
6.13% due 04/01/235
  
1,483,000
        
1,579,395
  
Brookfield Residential Properties, Inc.
                
6.38% due 05/15/251,5
  
1,500,000
        
1,455,000
  
Guitar Center, Inc.
                
9.63% due 04/15/205
  
1,876,000
        
1,402,310
  
Scientific Games International, Inc.
                
10.00% due 12/01/22
  
1,513,000
        
1,352,244
  
 
 
Face
Amount~
    
Value
  
CORPORATE BONDS†† - 60.5% (continued)
  
Consumer, Cyclical -  6.1% (continued)
                
Global Partners Limited Partnership / GLP Finance Corp.
                
6.25% due 07/15/221
$
1,375,000
    
$
1,182,500
  
Speedway Motorsports, Inc.
                
5.13% due 02/01/231
  
1,100,000
        
1,130,250
  
Travelex Financing plc
                
8.00% due 08/01/181,5
725,000 GBP
        
987,610
  
MGM Resorts International
                
7.75% due 03/15/221
  
800,000
        
924,328
  
L Brands, Inc.
                
5.63% due 02/15/221
  
762,000
        
841,058
  
Neiman Marcus Group Limited LLC
                
8.75% due 10/15/215,7
  
497,000
        
395,115
  
Total Consumer, Cyclical
            
23,947,909
  
Technology -  4.4%
                
Western Digital Corp.
                
10.50% due 04/01/241,5
  
4,911,000
        
5,543,291
  
Qorvo, Inc.
                
7.00% due 12/01/251,5
  
3,000,000
        
3,266,250
  
NXP BV / NXP Funding LLC
                
5.75% due 02/15/211,5
  
2,000,000
        
2,087,500
  
Microsemi Corp.
                
9.13% due 04/15/231,5
  
1,688,000
        
1,924,320
  
Nuance Communications, Inc.
                
5.38% due 08/15/201,5
  
1,600,000
        
1,640,160
  
First Data Corp.
                
5.38% due 08/15/231,5
  
1,100,000
        
1,133,000
  
ACI Worldwide, Inc.
                
6.38% due 08/15/201,5
  
1,000,000
        
1,035,000
  
Diamond 1 Finance Corporation / Diamond 2 Finance Corp
                
7.13% due 06/15/241,5
  
493,000
        
531,092
  
Total Technology
            
17,160,613
  
Total Corporate Bonds
            
(Cost $232,622,492)
        
236,834,983
  
SENIOR FLOATING RATE INTERESTS††,10 - 0.8%
  
Consumer, Non-cyclical -  0.5%
                
Sprint Industrial Holdings LLC
                
11.25% due 11/14/19
  
1,650,000
        
1,179,750
  
Caraustar Industries, Inc.
                
8.00% due 05/01/19
  
871,499
        
874,223
  
Total Consumer, Non-cyclical
            
2,053,973
  
Basic Materials -  0.3%
                
Fortescue Resources August 2006 Pty Ltd.
                
4.25% due 06/30/19
  
1,269,921
        
1,246,407
  
Total Senior Floating Rate Interests
            
(Cost $3,544,783)
        
3,300,380
  
Total Investments - 166.0%
            
(Cost $639,315,765)
    
$
649,386,025
  
Other Assets & Liabilities, net - (66.0)%
        
(258,075,738
)
Total Net Assets - 100.0%
    
$
 
391,310,287
  
   


Advent Claymore Convertible Securities & Income Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2016

*
Non-income producing security.
**
Less than 0.1%
~
The face amount is denominated in U.S. Dollars, unless otherwise noted.
†
Value determined based on Level 1 inputs — See Note 1.
††
Value determined based on Level 2 inputs — See Note 1.
1
All or a portion of these securities have been physically segregated in connection with borrowings and reverse repurchase agreements. As of July 31, 2016., the total value of securities segregated was $425,929,004.
2
Perpetual maturity.
3
Rate indicated is the 7-day yield as of July 31, 2016.
4
Zero coupon rate security.
5
Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $148,332,063 (cost $148,526,649), or 37.9% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees.
6
Security is a step up/step down bond.  The coupon increases or decreases at regular intervals until the bond reaches full maturity.
7
Security is a pay in-kind bond.
8
Security becomes an accreting bond after March 1, 2018 with a 2.00% principal accretion rate.
9
Security is an accreting bond until December 15, 2017, with a 4.00% principal accretion rate, and then accretes at a 2.00% principal accretion rate until maturity.
10
Variable rate security. Rate indicated is rate effective at July 31, 2016.
 
plc
Public Limited Company
   
 
See Sector Classification in Supplemental Information section.
 

BV
Limited Liability Company
CAD
Canadian Dollar
EUR
Euro
GBP
Great Britain Pound
GmbH
Limited Liability Company
N.V.
Publicly Traded Company
plc
Public Limited Company
Pty
Proprietary
S.A.
Corporation
SAB de CV 
Publicly  Traded Company
 
The following table summarizes the inputs used to value the Fund's investments at July 31, 2016 (See Note 1 in the Notes to Schedule of Investments):
        
   
Level 1 Quoted Prices
    
Level 2 Significant Observable Inputs
    
Level 3 Significant Unobservable Inputs
    
Total
  
Assets
                        
Common Stocks
  
$
17,720,924
    
$
—
    
$
—
    
$
17,720,924
  
Convertible Preferred Stocks
    
65,067,885
      
—
      
—
      
65,067,885
  
Short Term Investments
    
51,890,142
      
—
      
—
      
51,890,142
  
Convertible Bonds
    
—
      
274,571,711
      
—
      
274,571,711
  
Corporate Bonds
    
—
      
236,834,983
      
—
      
236,834,983
  
Senior Floating Rate Interests
    
—
      
3,300,380
      
—
      
3,300,380
  
Forward Foreign Currency Exchange Contracts
    
—
      
167,464
      
—
      
167,464
  
Total Assets
  
$
134,678,951
    
$
514,874,538
    
$
—
    
$
649,553,489
  
Liabilities
                                
Forward Foreign Currency Exchange Contracts
  
$
—
    
$
18,996
    
$
—
    
$
18,996
  
Credit Default Swaps
    
—
      
681,587
      
—
      
681,587
  
Total Liabilities
  
$
—
    
$
700,583
    
$
—
    
$
700,583
  
 
Please refer to the detailed portfolio for the breakdown of investment type by industry category.
 
The Fund did not hold any Level 3 securities during the period ended July 31, 2016.
 
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
 
For the period ended July 31, 2016, there were no transfers between levels.
 
 
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2016
 
For information on the Advent Claymore Convertible Securities and Income Fund’s (the “Fund”) policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semiannual or annual shareholder report.

Note 1 – Accounting Policies:
The Fund operates as an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“GAAP”) and are consistently followed by the Fund. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.

Equity securities listed on an exchange are valued at the last reported sale price on the primary exchange on which they are traded. Equity securities traded on an exchange or on the over-the-counter market and for which there are no transactions on a given day are valued at the mean of the closing bid and ask prices. Securities traded on NASDAQ are valued at the NASDAQ Official Closing Price. Equity securities not listed on a securities exchange or NASDAQ are valued at the mean of the closing bid and ask prices. Debt securities are valued by independent pricing services or dealers using the mean of the closing bid and ask prices for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. If sufficient market activity is limited or does not exist, the pricing providers or broker-dealers may utilize proprietary valuation models which consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, or other unique security features in order to estimate relevant cash flows, which are then discounted to calculate a security’s fair value. Exchange-traded funds and listed closed-end funds are valued at the last sale price or official closing price on the exchange where the security is principally traded. Exchange-traded options are valued at the closing price, if traded that day. If not traded, they are valued at the mean of the bid and ask prices on the primary exchange on which they are traded. Futures contracts are valued using the settlement price established each day on the exchange on which they are traded. The value of OTC swap agreements entered into by the Fund is accounted for using the unrealized gain or loss on the agreements that is determined by marking the agreements to the last quoted value provided by an independent pricing service. Forward foreign currency exchange contracts are valued daily at current exchange rates. The Fund values money market funds at net asset value. Short-term securities with remaining maturities of 60 days or less are valued at market price, or if a market price is not available, at amortized cost, provided such amount approximates market value.

For those securities where quotations or prices are not available, the valuations are determined in accordance with procedures established in good faith by management and approved by the Board of Trustees. A valuation committee consisting of representatives from investment management, fund administration, legal and compliance is responsible for the oversight of the valuation process of the Fund and convenes monthly, or more frequently as needed. The valuation committee reviews monthly Level 3 fair valued securities methodology, price overrides, broker quoted securities, price source changes, illiquid securities, unchanged priced securities, halted securities, price challenges, fair valued securities sold and back testing trade prices in relation to prior day closing prices. On a quarterly basis, the valuations and methodologies of all Level 3 fair valued securities are presented to the Fund’s Board of Trustees.

Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) fair value. Such fair value is the amount that the Fund might reasonably expect to receive for the security (or asset) upon its current sale. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one security to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security). There were no securities fair valued in accordance with such procedures established by the Board of Trustees as of July 31, 2016.
 
 

 
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, 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.

Listed derivatives that are actively traded are valued based on quoted prices from the exchange and categorized in level 1 of the fair value hierarchy. Over-the-counter (OTC) derivative contracts including forward currency contracts, swap contracts and option contracts derive their value from underlying asset prices, indices, reference rates, and other inputs. Depending on the product and terms of the transaction, the fair value of the OTC derivative products can be modeled taking into account the counterparties’ creditworthiness and using a series of techniques, including simulation models. Many pricing models do not entail material subjectivity because the methodologies employed do not necessitate significant judgments, and the pricing inputs are observed from actively quoted markets. These OTC derivatives are categorized within level 2 of the fair value hierarchy.
 


Note 2 – Federal Income Taxes:
As of July 31, 2016, the cost of investments and accumulated unrealized appreciation/depreciation on investments for federal income tax purposes were as follows:
 
Cost of
Investments for
Tax Purposes
Gross Tax
Unrealized
Appreciation
Gross Tax
Unrealized
Depreciation
Net Tax Unrealized
Depreciation on
Investments
Net Tax Unrealized
Depreciation on
Derivatives and
Foreign Currency
$641,130,529
$30,139,677
$(21,884,181)
 $(8,255,496)
 $(155,754)

Note 3 – Forward Foreign Currency Exchange Contracts:
As of July 31, 2016, the following forward foreign currency exchange contracts were outstanding:

Contracts to Sell
  
Counterparty
Settlement
Date
  
Settlement
Value
    
Value at
7/31/16
    
Net Unrealized
Appreciation
(Depreciation)
  
CAD
    
627,000
                        
for USD
    
482,739
  
The Bank of New York Mellon
9/14/2016
  
$
482,739
    
$
480,930
    
$
1,809
  
CAD
    
252,000
                              
for USD
    
194,060
  
The Bank of New York Mellon
9/14/2016
    
194,060
      
193,292
      
768
  
EUR
    
828,000
                              
for USD
    
931,127
  
The Bank of New York Mellon
9/14/2016
    
931,127
      
927,679
      
3,448
  
EUR
    
1,112,000
                              
for USD
    
1,232,096
  
The Bank of New York Mellon
9/14/2016
    
1,232,096
      
1,245,869
      
(13,773
)
EUR
    
1,339,000
                              
for USD
    
1,505,772
  
The Bank of New York Mellon
9/14/2016
    
1,505,772
      
1,500,196
      
5,576
  
EUR
    
1,000,000
                              
for USD
    
1,115,162
  
The Bank of New York Mellon
9/14/2016
    
1,115,162
      
1,120,385
      
(5,223
)
GBP
    
753,000
                              
for USD
    
1,065,593
  
The Bank of New York Mellon
9/14/2016
    
1,065,593
      
1,000,535
      
65,058
  
GBP
    
1,051,000
                              
for USD
    
1,487,302
  
The Bank of New York Mellon
9/14/2016
    
1,487,302
      
1,396,497
      
90,805
  
Total unrealized appreciation for forward foreign currency exchange contracts
    
$
148,468
  

Note 4 – Swap Agreements:
As of July 31, 2016, the following credit default swap agreements were outstanding:
Reference Entity
Counterparty
Buy/Sell Protection
Protection
Premium
Rate
Maturity
Date
Notional
Principal
($000)
Market
 Value
Upfront
Premiums
 Paid
Unrealized Depreciation
CDX HY Series 26
JP Morgan Chase Bank, NA
Buy
5.00%
06/20/2021
$16,480
$(681,587)
$(377,365)
$(304,222)

 
 
SUPPLEMENTAL INFORMATION (Unaudited)

Sector Classification
Information in the “Portfolio of Investments” is categorized by sectors using sector-level classifications used by Bloomberg Industry Classification System, a widely recognized industry classification system provider. In the Fund’s registration statement, the Fund has investment policies relating to concentration in specific industries. For purposes of these investment policies, the Fund usually classifies industries based on industry-level classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.


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:    September 28, 2016

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:    September 28, 2016

By:
     /s/Robert White
Robert White
Treasurer and Chief Financial Officer
 
Date:    September 28, 2016