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)

888 Seventh Ave, 31st Floor, New York, NY 10019
(Address of principal executive offices) (Zip code)
 
Robert White, Treasurer
 888 Seventh Ave, 31st Floor, New York, NY 10019
(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: November 1, 2018 – January 31, 2019
 
Item 1.    Schedule of Investments.
Attached hereto.
 
 
Advent Claymore Convertible Securities & Income Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)                  
January 31, 2019
   
 
 
 
 
Shares
    
Value
  
COMMON STOCKS† - 15.6%
        
Consumer, Non-cyclical - 3.0%
        
Gilead Sciences, Inc.1
78,000
  
$
5,460,780
  
Bunge Ltd.1
76,500
    
4,212,855
  
GlaxoSmithKline plc ADR1
100,000
    
3,920,000
  
Pfizer, Inc.
70,000
    
2,971,500
  
Total Consumer, Non-cyclical
    
16,565,135
  
Financial - 2.9%
        
Morgan Stanley1
145,000
    
6,133,500
  
Weyerhaeuser Co. REIT1
180,000
    
4,723,200
  
Lazard Ltd. — Class A1
100,000
    
3,979,000
  
Comerica, Inc.1
20,000
    
1,574,800
  
Total Financial
    
16,410,500
  
Consumer, Cyclical - 2.9%
        
Carnival Corp.1
100,000
    
5,758,000
  
Six Flags Entertainment Corp.1
70,000
    
4,311,300
  
Macy's, Inc.1
155,000
    
4,076,500
  
Delta Air Lines, Inc.
40,000
    
1,977,200
  
Total Consumer, Cyclical
    
16,123,000
  
Industrial - 2.6%
        
Lockheed Martin Corp.1
19,000
    
5,504,110
  
United Parcel Service, Inc. — Class B1
50,000
    
5,270,000
  
Caterpillar, Inc.1
30,000
    
3,994,800
  
Total Industrial
    
14,768,910
  
Basic Materials - 1.5%
        
LyondellBasell Industries N.V.1
47,100
    
4,096,287
  
Glencore plc,1
1,000,000
    
4,070,661
  
Total Basic Materials
    
8,166,948
  
Energy - 1.1%
        
BP plc ADR1
145,000
    
5,962,400
  
Technology - 1.0%
          
Texas Instruments, Inc.1
55,000
    
5,537,400
  
Communications - 0.6%
          
Alphabet, Inc. — Class C*
3,000
    
3,349,110
  
Total Common Stocks
          
(Cost $88,725,039)
    
86,883,403
  
CONVERTIBLE PREFERRED STOCKS† - 10.7%
      
Financial - 3.3%
        
Bank of America Corp.
    7.25%1,6
4,000
    
5,172,640
  
Wells Fargo & Co.
    7.50%1,6
4,000
    
5,159,500
  
Crown Castle International Corp.
    6.88% due 08/1/201
4,069
    
4,501,942
  
QTS Realty Trust, Inc. 
    6.50%1,6
14,916
    
1,555,888
  
Welltower, Inc. 
    6.50%1,6
16,265
    
1,114,315
  
Assurant, Inc. 
    6.50% due 03/15/211
10,494
    
1,094,209
  
Total Financial
    
18,598,494
  
Industrial - 2.9%
        
Stanley Black & Decker, Inc. 
    5.38% due 05/15/201
86,036
    
8,241,388
  
Belden, Inc. 
    6.75% due 07/15/191
44,208
    
3,239,120
  
Colfax Corp. 
    5.75% due 01/15/221
15,815
    
1,836,438
  
 
 
Shares
    
Value
  
CONVERTIBLE PREFERRED STOCKS† - 10.7% (continued)
  
Industrial - 2.9% (continued)
        
Energizer Holdings, Inc. 
    7.50% due 01/15/221
14,932
  
$
1,545,462
  
Fortive Corp. 
    5.00% due 07/1/211
1,334
    
1,304,177
  
Total Industrial
    
16,166,585
  
Consumer, Non-cyclical - 2.8%
        
Becton Dickinson and Co. 
    6.13% due 05/1/201
176,914
    
10,880,211
  
Bunge Ltd. 
    4.88%1,6
44,499
    
4,416,526
  
Total Consumer, Non-cyclical
    
15,296,737
  
Utilities - 1.1%
        
CenterPoint Energy, Inc. 
    7.00% due 09/1/211
54,624
    
2,946,965
  
NextEra Energy, Inc. 
    6.12% due 09/1/19
34,785
    
2,063,098
  
Sempra Energy 
    6.75% due 07/15/211
12,151
    
1,241,042
  
Total Utilities
    
6,251,105
  
Basic Materials - 0.6%
        
International Flavors & Fragrances, Inc. 
    6.00% due 09/15/211
59,070
    
3,196,278
  
Total Convertible Preferred Stocks
          
(Cost $59,293,634)
    
59,509,199
  
MONEY MARKET FUND† - 5.5%
        
Morgan Stanley Institutional Liquidity Government Portfolio - Institutional Class 
    2.30%1,2
30,746,931
    
30,746,931
  
Total Money Market Fund
        
(Cost $30,746,931)
    
30,746,931
  
 
 
Face
        
 
Amount~
        
CONVERTIBLE BONDS†† - 69.1%
        
Technology -  16.1%
        
Microchip Technology, Inc.
        
1.63% due 02/15/271
  7,155,000
    
 7,673,737
  
Lumentum Holdings, Inc.
        
0.25% due 03/15/241
  6,642,000
    
 7,147,290
  
Rapid7, Inc.
          
1.25% due 08/01/231,3
  5,442,000
    
 6,424,961
  
Splunk, Inc.
          
0.50% due 09/15/231,3
  5,526,000
    
 5,895,551
  
Evolent Health, Inc.
        
1.50% due 10/15/251,3
  5,126,000
    
 4,508,830
  
Akamai Technologies, Inc.
        
0.13% due 05/01/251,3
  4,204,000
    
 4,022,753
  
Nutanix, Inc.
          
due 01/15/231,3,4
  3,072,000
    
 3,830,993
  
New Relic, Inc.
        
0.50% due 05/01/231,3
  3,320,000
    
 3,810,002
  
ON Semiconductor Corp.
        
1.63% due 10/15/231
  3,121,000
    
 3,779,884
  
Workday, Inc.
        
0.25% due 10/01/221
  2,678,000
    
 3,633,301
  
ServiceNow, Inc.
        
due 06/01/221,4
  2,158,000
    
 3,613,854
  
Teradyne, Inc.
        
1.25% due 12/15/231
  2,725,000
    
 3,555,580
  
 
Advent Claymore Convertible Securities & Income Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)                  
January 31, 2019
   
 
 
 
Face
        
 
Amount~
    
Value
  
CONVERTIBLE BONDS†† - 69.1% (continued)
    
Technology -  16.1% (continued)
      
NXP Semiconductors N.V.
        
1.00% due 12/01/191
3,331,000
   $
3,439,977
  
Cypress Semiconductor Corp.
        
4.50% due 01/15/221
  2,621,000
    
 3,212,599
  
ams AG
          
0.88% due 09/28/221
  4,000,000
    
 3,040,000
  
DocuSign, Inc.
        
0.50% due 09/15/231,3
  2,584,000
    
 2,603,380
  
Pure Storage, Inc.
        
0.13% due 04/15/231,3
  2,558,000
    
 2,501,535
  
Micron Technology, Inc.
        
3.00% due 11/15/431
  1,733,000
    
 2,286,614
  
STMicroelectronics N.V.
        
0.25% due 07/03/241
  2,000,000
    
 2,114,160
  
Intel Corp.
          
3.25% due 08/01/391
  854,000
    
 1,961,002
  
Synaptics, Inc.
        
0.50% due 06/15/221
  1,957,000
    
 1,756,603
  
Nuance Communications, Inc.
        
1.25% due 04/01/251
  1,649,000
    
 1,582,369
  
Lenovo Group Ltd.
        
3.38% due 01/24/241
  1,488,000
    
 1,535,894
  
Envestnet, Inc.
        
1.75% due 06/01/231,3
  1,402,000
    
 1,472,486
  
Citrix Systems, Inc.
        
0.50% due 04/15/191
  900,000
    
 1,283,400
  
CSG Systems International, Inc.
        
4.25% due 03/15/361
  1,201,000
    
 1,239,312
  
ASM Pacific Technology Ltd.
        
2.00% due 03/28/19
HKD  6,000,000
    
 767,575
  
MongoDB, Inc.
        
0.75% due 06/15/241,3
  428,000
    
 638,615
  
Advanced Micro Devices, Inc.
        
2.13% due 09/01/26
  162,000
    
 507,085
  
Total Technology
    
 89,839,342
  
Consumer, Non-cyclical -  13.2%
        
Ligand Pharmaceuticals, Inc.
        
0.75% due 05/15/231,3
  10,072,000
    
 8,572,601
  
Square, Inc.
          
0.50% due 05/15/231,3
  6,673,000
    
 7,894,046
  
Jazz Investments I Ltd.
        
1.50% due 08/15/241
  6,730,000
    
 6,249,458
  
J Sainsbury plc
        
2.88%6,7
GBP  3,000,000
    
 4,254,955
  
Ionis Pharmaceuticals, Inc.
        
1.00% due 11/15/211
  3,712,000
    
 4,122,640
  
Illumina, Inc.
          
due 08/15/231,3,4
  2,328,000
    
 2,364,824
  
0.50% due 06/15/211
  1,220,000
    
 1,550,303
  
BioMarin Pharmaceutical, Inc.
        
1.50% due 10/15/201
  3,168,000
    
 3,832,678
  
Wright Medical Group, Inc.
        
1.63% due 06/15/231,3
  3,298,000
    
 3,565,356
  
Insulet Corp.
          
1.38% due 11/15/241,3
  3,148,000
    
 3,449,899
  
 
 
Face
        
 
Amount~
    
Value
  
CONVERTIBLE BONDS†† - 69.1% (continued)
    
Consumer, Non-cyclical -  13.2% (continued)
    
DexCom, Inc.
        
0.75% due 12/01/231,3
3,043,000
   $
3,373,926
  
NuVasive, Inc.
        
2.25% due 03/15/211
  2,865,000
    
 3,074,217
  
Exact Sciences Corp.
        
1.00% due 01/15/251
  2,000,000
    
 2,777,762
  
Teladoc Health, Inc.
        
1.38% due 05/15/251,3
  1,757,000
    
 2,469,683
  
Neurocrine Biosciences, Inc.
        
2.25% due 05/15/241
  1,653,000
    
 2,245,263
  
Euronet Worldwide, Inc.
        
1.50% due 10/01/441
  1,010,000
    
 1,615,369
  
CONMED Corp.
        
2.63% due 02/01/241,3
  1,501,000
    
 1,536,967
  
Anthem, Inc.
          
2.75% due 10/15/421
  355,000
    
 1,484,348
  
Supernus Pharmaceuticals, Inc.
        
0.63% due 04/01/231,3
  1,398,000
    
 1,386,641
  
Sarepta Therapeutics, Inc.
        
1.50% due 11/15/241
  642,000
    
 1,316,229
  
QIAGEN N.V.
          
0.50% due 09/13/231
  1,200,000
    
 1,305,552
  
Flexion Therapeutics, Inc.
        
3.38% due 05/01/241
  1,185,000
    
 1,077,275
  
Insmed, Inc.
          
1.75% due 01/15/251
  1,068,000
    
 969,905
  
Nipro Corp.
          
due 01/29/211,4
JPY  90,000,000
    
 921,606
  
Qiagen N.V.
          
0.88% due 03/19/21
  600,000
    
 817,530
  
GMO Payment Gateway, Inc.
        
due 06/19/234
JPY  80,000,000
    
 796,982
  
Retrophin, Inc.
        
2.50% due 09/15/251
  596,000
    
 528,948
  
Total Consumer, Non-cyclical
    
 73,554,963
  
Communications -  11.2%
        
Liberty Media Corp.
        
1.38% due 10/15/23
  4,230,000
    
 4,791,744
  
2.25% due 12/01/481,3
  2,272,000
    
 2,345,277
  
Booking Holdings, Inc.
        
0.35% due 06/15/201
  2,864,000
    
 4,083,414
  
0.90% due 09/15/211
  2,153,000
    
 2,441,618
  
Palo Alto Networks, Inc.
        
0.75% due 07/01/231,3
  5,891,000
    
 6,157,020
  
Weibo Corp.
          
1.25% due 11/15/221,3
  6,742,000
    
 6,106,324
  
DISH Network Corp.
        
3.38% due 08/15/261
  4,732,000
    
 4,031,664
  
Twitter, Inc.
          
0.25% due 06/15/241,3
  4,074,000
    
 3,795,522
  
FireEye, Inc.
          
0.88% due 06/01/241,3
  3,334,000
    
 3,494,625
  
Zendesk, Inc.
        
0.25% due 03/15/231,3
  2,563,000
    
 3,224,272
  
Viavi Solutions, Inc.
        
1.00% due 03/01/241
  3,016,000
    
 3,167,889
  
GCI Liberty, Inc.
        
1.75% due 09/30/461,3
  2,664,000
    
 2,853,698
  
 
Advent Claymore Convertible Securities & Income Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)                  
January 31, 2019
   
 
 
 
Face
        
 
Amount~
    
Value
  
CONVERTIBLE BONDS†† - 69.1% (continued)
    
Communications -  11.2% (continued)
      
IAC FinanceCo, Inc.
        
0.88% due 10/01/221,3
1,918,000
   $
2,846,299
  
Ctrip.com International Ltd.
        
1.00% due 07/01/201
  2,489,000
    
 2,406,365
  
Inmarsat plc
          
3.88% due 09/09/231
  2,000,000
    
 2,151,000
  
Wix.com Ltd.
        
due 07/01/233,4
  1,849,000
    
 1,923,481
  
Liberty Expedia Holdings, Inc.
        
1.00% due 06/30/471,3
  1,746,000
    
 1,696,132
  
Quotient Technology, Inc.
        
1.75% due 12/01/221
  1,539,000
    
 1,427,422
  
Twilio, Inc.
          
0.25% due 06/01/231,3
  682,000
    
 1,156,933
  
Okta, Inc.
          
0.25% due 02/15/231,3
  595,000
    
 1,075,462
  
CyberAgent, Inc.
        
due 02/19/254
JPY  100,000,000
    
 964,874
  
Etsy, Inc.
          
due 03/01/231,3,4
  437,000
    
 711,491
  
Total Communications
    
 62,852,526
  
Industrial -  9.7%
        
Greenbrier Companies, Inc.
        
2.88% due 02/01/241
  7,783,000
    
 8,011,377
  
Vishay Intertechnology, Inc.
        
2.25% due 06/15/251,3
  6,937,000
    
 6,453,241
  
Atlas Air Worldwide Holdings, Inc.
        
1.88% due 06/01/241
  4,200,000
    
 4,527,004
  
Dycom Industries, Inc.
        
0.75% due 09/15/211
  4,427,000
    
 4,254,006
  
Airbus SE
          
due 06/14/211,4
EUR  1,200,000
    
 1,556,512
  
due 07/01/221,4
EUR  900,000
    
 1,231,789
  
Siemens Financieringsmaatschappij N.V.
      
1.65% due 08/16/191
  2,000,000
    
 2,081,500
  
China Railway Construction Corporation Ltd.
      
due 01/29/211,4
  1,750,000
    
 2,047,500
  
Cemex SAB de CV
        
3.72% due 03/15/201
  2,000,000
    
 1,973,342
  
Larsen & Toubro Ltd.
        
0.68% due 10/22/19
  1,800,000
    
 1,795,489
  
OSI Systems, Inc.
        
1.25% due 09/01/22
  1,628,000
    
 1,687,235
  
Asia Cement Corp.
        
due 09/21/23
  1,627,000
    
 1,676,218
  
Vinci S.A.
          
0.38% due 02/16/221
  1,600,000
    
 1,664,995
  
KBR, Inc.
          
2.50% due 11/01/231,3
  1,690,000
    
 1,616,063
  
Sika A.G.
          
0.15% due 06/05/25
CHF  1,480,000
    
 1,530,782
  
Golar LNG Ltd.
        
2.75% due 02/15/22
  1,500,000
    
 1,438,867
  
Chart Industries, Inc.
        
1.00% due 11/15/241,3
  941,000
    
 1,299,098
  
 
 
Face
        
 
Amount~
    
Value
  
CONVERTIBLE BONDS†† - 69.1% (continued)
    
Industrial -  9.7% (continued)
        
MINEBEA MITSUMI, Inc.
        
due 08/03/224
JPY 120,000,000
   $
1,279,819
  
Air Transport Services Group, Inc.
        
1.13% due 10/15/241
  1,180,000
    
 1,168,942
  
Taiwan Cement Corp.
        
due 12/10/231,4
  1,100,000
    
 1,151,893
  
Sika AG
          
3.75% due 01/30/221
CHF  1,000,000
    
 1,031,146
  
Implenia AG
          
0.50% due 06/30/22
CHF  1,155,000
    
 1,016,885
  
Shimizu Corp.
        
due 10/16/201,4
JPY  110,000,000
    
 1,014,241
  
CRRC Corporation Ltd.
        
due 02/05/211,4
  750,000
    
 768,530
  
Buzzi Unicem SpA
        
1.38% due 07/17/191
EUR  600,000
    
 753,186
  
OSG Corp.
          
due 04/04/224
JPY  50,000,000
    
 642,554
  
II-VI, Inc.
          
0.25% due 09/01/221
  280,000
    
 297,024
  
Total Industrial
    
 53,969,238
  
Financial -  6.9%
        
AXA S.A.
          
7.25% due 05/15/211,3
  8,241,000
    
 7,811,438
  
IH Merger Sub LLC
        
3.50% due 01/15/221
  3,399,000
    
 3,718,846
  
3.00% due 07/01/19
  1,091,000
    
 1,336,475
  
PRA Group, Inc.
        
3.50% due 06/01/231
  2,454,000
    
 2,299,153
  
3.00% due 08/01/201
  1,500,000
    
 1,442,463
  
SBI Holdings, Inc.
        
due 09/13/231,4
JPY  300,000,000
    
 2,862,308
  
Colony Capital, Inc.
        
3.88% due 01/15/21
  1,625,000
    
 1,542,125
  
5.00% due 04/15/231
  1,159,000
    
 1,070,987
  
Poseidon Finance 1 Ltd.
        
due 02/01/254
  2,124,000
    
 2,020,833
  
IMMOFINANZ AG
        
1.50% due 01/24/241
EUR  1,300,000
    
 1,771,427
  
Blackstone Mortgage Trust, Inc.
        
4.75% due 03/15/231
  1,724,000
    
 1,714,277
  
Extra Space Storage, LP
        
3.13% due 10/01/351,3
  1,441,000
    
 1,646,113
  
BofA Finance LLC
        
0.25% due 05/01/231
  1,653,000
    
 1,569,462
  
Deutsche Wohnen SE
        
0.33% due 07/26/24
EUR  1,200,000
    
 1,531,157
  
AYC Finance Ltd.
        
0.50% due 05/02/191
  1,270,000
    
 1,382,137
  
Aurelius SE
          
1.00% due 12/01/20
EUR  1,200,000
    
 1,366,613
  
Credit Agricole S.A.
        
due 10/03/191,4
EUR  13,100
    
 1,106,648
  
ADO Properties S.A.
        
1.25% due 11/23/23
EUR  600,000
    
 757,073
  
 
Advent Claymore Convertible Securities & Income Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)                  
January 31, 2019
   
 
 
 
Face
        
 
Amount~
    
Value
  
CONVERTIBLE BONDS†† - 69.1% (continued)
    
Financial -  6.9% (continued)
        
LEG Immobilien AG
        
0.88% due 09/01/251
EUR 600,000
   $
756,642
  
Arbor Realty Trust, Inc.
        
5.25% due 07/01/213
  575,000
    
 600,156
  
Empire State Realty OP, LP
        
2.63% due 08/15/191,3
  326,000
    
 324,370
  
Total Financial
    
 38,630,703
  
Consumer, Cyclical -  6.2%
        
Huazhu Group Ltd.
        
0.38% due 11/01/221
  5,204,000
    
 5,324,342
  
Meritor, Inc.
          
3.25% due 10/15/371
  5,200,000
    
 4,964,695
  
Caesars Entertainment Corp.
        
5.00% due 10/01/241
  3,083,000
    
 4,556,548
  
Marriott Vacations Worldwide Corp.
        
1.50% due 09/15/221
  2,777,000
    
 2,621,335
  
Live Nation Entertainment, Inc.
        
2.50% due 03/15/231,3
  2,316,000
    
 2,500,534
  
Zhongsheng Group Holdings Ltd.
        
due 05/23/234
HKD  19,000,000
    
 2,236,364
  
Harvest International Co.
        
due 11/21/224
HKD  16,000,000
    
 2,022,298
  
Tesla, Inc.
          
1.25% due 03/01/211
  1,870,000
    
 2,019,361
  
Sony Corp.
          
due 09/30/224
JPY  147,000,000
    
 1,708,054
  
RH
          
due 06/15/231,3,4
  998,000
    
 950,470
  
due 07/15/201,4
  417,000
    
 532,963
  
LVMH Moet Hennessy Louis Vuitton SE
        
due 02/16/211,4
  3,181
    
 1,090,129
  
Suzuki Motor Corp.
        
due 03/31/234
JPY  80,000,000
    
 1,028,271
  
EZCORP, Inc.
        
2.38% due 05/01/253
  1,192,000
    
 998,043
  
Adidas AG
          
0.05% due 09/12/231
EUR  800,000
    
 971,018
  
Cie Generale des Etablissements Michelin SCA
      
due 01/10/221,4
  1,000,000
    
 939,420
  
Total Consumer, Cyclical
    
 34,463,845
  
Energy -  3.2%
        
Oasis Petroleum, Inc.
        
2.63% due 09/15/231
  3,334,000
    
 3,158,965
  
TOTAL S.A.
          
0.50% due 12/02/221
  1,800,000
    
 1,895,217
  
RAG-Stiftung Corp.         
    due 02/18/211,4   EUR 800,000      921,081  
    due 10/02/241,4   EUR 700,000      781,276  
BP Capital Markets plc
        
1.00% due 04/28/231
GBP  1,000,000
    
 1,651,403
  
Whiting Petroleum Corp.
        
1.25% due 04/01/201
  1,715,000
    
 1,646,297
  
Chesapeake Energy Corp.
        
5.50% due 09/15/261
  1,801,000
    
 1,605,752
  
Technip S.A.
          
0.88% due 01/25/211
EUR  1,300,000
    
 1,567,014
  
Eni SpA
          
due 04/13/221
EUR  900,000
    
 1,096,732
  
 
 
Face
        
 
Amount~
    
Value
  
CONVERTIBLE BONDS†† - 69.1% (continued)
    
Energy -  3.2% (continued)
        
Helix Energy Solutions Group, Inc.
      
4.13% due 09/15/23
933,000
   $
958,901
  
Oil States International, Inc.
        
1.50% due 02/15/231,3
  1,086,000
    
 953,359
  
Transocean, Inc.
        
0.50% due 01/30/231
  834,000
    
 911,797
  
Kunlun Energy Company Ltd.
        
1.63% due 07/25/19
CNY  3,000,000
    
 547,898
  
Total Energy
      
 17,695,692
  
Basic Materials -  1.5%
        
Osisko Gold Royalties Ltd.
        
4.00% due 12/31/22
CAD  2,300,000
    
 1,752,750
  
APERAM S.A.
        
0.63% due 07/08/211
  1,200,000
    
 1,256,088
  
Mitsubishi Chemical Holdings Corp.
        
due 03/29/241,4
JPY  130,000,000
    
 1,243,672
  
Cleveland-Cliffs, Inc.
        
1.50% due 01/15/251
  841,000
    
 1,207,887
  
Toray Industries, Inc.
        
due 08/31/211,4
JPY  110,000,000
    
 1,133,304
  
Pretium Resources, Inc.
        
2.25% due 03/15/22
  1,059,000
    
 951,935
  
Glencore Funding LLC
        
due 03/27/251,4
  1,000,000
    
 891,500
  
Total Basic Materials
    
 8,437,136
  
Utilities -  1.1%
        
CenterPoint Energy, Inc.
        
4.47% due 09/15/29
  71,607
    
 3,160,017
  
China Yangtze Power International BVI 1 Ltd.
      
due 11/09/211,4
  1,775,000
    
 1,931,562
  
NRG Energy, Inc.
        
2.75% due 06/01/481,3
  977,000
    
 1,090,450
  
Total Utilities
    
 6,182,029
  
Total Convertible Bonds
        
(Cost $376,860,083)
    
385,625,474
  
CORPORATE BONDS†† - 66.8%
        
Consumer, Cyclical -  16.6%
        
GameStop Corp.
        
6.75% due 03/15/211,3
  8,103,000
    
 8,143,515
  
Staples, Inc.
          
8.50% due 09/15/251,3
  7,761,000
    
 7,489,365
  
Navistar International Corp.
        
6.63% due 11/01/251,3
  6,000,000
    
 6,030,000
  
Vista Outdoor, Inc.
        
5.88% due 10/01/231
  5,025,000
    
 4,673,250
  
Scientific Games International, Inc.
        
10.00% due 12/01/221
  3,513,000
    
 3,706,215
  
Dana Financing Luxembourg Sarl
        
6.50% due 06/01/261,3
  3,636,000
    
 3,672,360
  
 
Advent Claymore Convertible Securities & Income Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)                  
January 31, 2019
   
 
 
 
Face
        
 
Amount~
    
Value
  
CORPORATE BONDS†† - 66.8% (continued)
    
Consumer, Cyclical -  16.6% (continued)
    
Delphi Technologies plc
        
5.00% due 10/01/251,3
4,163,000
   $
3,580,180
  
Downstream Development Authority of the Quapaw Tribe of Oklahoma
  
10.50% due 02/15/231,3
  3,546,000
    
 3,510,540
  
National CineMedia LLC
        
6.00% due 04/15/221
  3,457,000
    
 3,500,212
  
William Carter Co.
        
5.25% due 08/15/211
  3,433,000
    
 3,450,165
  
Eagle Intermediate Global Holding BV/Ruyi US Finance LLC
    
7.50% due 05/01/251,3
  3,525,000
    
 3,370,781
  
Six Flags Entertainment Corp.
        
4.88% due 07/31/241,3
  2,513,000
    
 2,494,153
  
5.50% due 04/15/271,3
  871,000
    
 866,645
  
Scotts Miracle-Gro Co.
        
6.00% due 10/15/231
  1,626,000
    
 1,666,650
  
5.25% due 12/15/261
  1,716,000
    
 1,621,620
  
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.
  
5.88% due 03/01/271
  3,433,000
    
 3,261,350
  
Enterprise Development Authority
        
12.00% due 07/15/241,3
  3,432,000
    
 3,251,820
  
Mattamy Group Corp.
        
6.88% due 12/15/231,3
  2,059,000
    
 2,012,467
  
6.50% due 10/01/251,3
  1,287,000
    
 1,200,127
  
Churchill Downs, Inc.
        
4.75% due 01/15/281,3
  3,011,000
    
 2,901,851
  
Wolverine World Wide, Inc.
        
5.00% due 09/01/261,3
  3,003,000
    
 2,854,352
  
TRI Pointe Group Inc. / TRI Pointe Homes Inc.
      
4.38% due 06/15/191
  2,820,000
    
 2,827,050
  
Speedway Motorsports, Inc.
        
5.13% due 02/01/231
  2,772,000
    
 2,765,070
  
Ferrellgas Limited Partnership / Ferrellgas Finance Corp.
    
6.50% due 05/01/211
  3,000,000
    
 2,640,000
  
American Greetings Corp.
        
8.75% due 04/15/253
  2,767,000
    
 2,552,557
  
Wynn Macau Ltd.
        
4.88% due 10/01/243
  2,725,000
    
 2,541,063
  
Carlson Travel, Inc.
        
9.50% due 12/15/243
  2,600,000
    
 2,440,750
  
Tempur Sealy International, Inc.
        
5.63% due 10/15/231
  2,000,000
    
 1,990,000
  
 
 
Face
        
 
Amount~
    
Value
  
CORPORATE BONDS†† - 66.8% (continued)
    
Consumer, Cyclical -  16.6% (continued)
    
Hanesbrands, Inc.
        
4.63% due 05/15/241,3
1,749,000
   $
1,724,951
  
Total Consumer, Cyclical
    
 92,739,059
  
Consumer, Non-cyclical -  13.2%
        
Bausch Health Companies, Inc.
        
9.00% due 12/15/251,3
  4,417,000
    
 4,726,190
  
7.00% due 03/15/241,3
  4,289,000
    
 4,516,746
  
6.13% due 04/15/251,3
  4,000,000
    
 3,790,000
  
HCA, Inc.
          
5.25% due 04/15/251
  6,141,000
    
 6,516,829
  
7.50% due 02/15/221
  2,525,000
    
 2,771,188
  
7.69% due 06/15/251
  315,000
    
 347,287
  
Encompass Health Corp.
        
5.75% due 09/15/251
  3,782,000
    
 3,838,730
  
5.75% due 11/01/241
  2,000,000
    
 2,030,000
  
Molina Healthcare, Inc.
        
5.38% due 11/15/221
  3,000,000
    
 3,071,250
  
4.88% due 06/15/251,3
  1,761,000
    
 1,732,384
  
Tenet Healthcare Corp.
        
4.63% due 07/15/241
  4,388,000
    
 4,314,413
  
Land O'Lakes Capital Trust I
        
7.45% due 03/15/281,3
  3,750,000
    
 3,960,938
  
Cardtronics Incorporated / Cardtronics USA Inc
      
5.50% due 05/01/251,3
  4,069,000
    
 3,901,154
  
Spectrum Brands, Inc.
        
5.75% due 07/15/251
  3,445,000
    
 3,411,584
  
Pilgrim's Pride Corp.
        
5.75% due 03/15/251,3
  3,431,000
    
 3,379,535
  
Ritchie Bros Auctioneers, Inc.
        
5.38% due 01/15/251,3
  3,249,000
    
 3,281,490
  
United Rentals North America, Inc.
        
5.75% due 11/15/241
  3,178,000
    
 3,269,367
  
Simmons Foods, Inc.
        
5.75% due 11/01/241,3
  3,494,000
    
 2,873,815
  
Weight Watchers International, Inc.
        
8.63% due 12/01/251,3
  2,573,000
    
 2,544,054
  
Sotheby's
          
4.88% due 12/15/251,3
  2,210,000
    
 2,133,313
  
DaVita, Inc.
          
5.00% due 05/01/251
  2,065,000
    
 1,995,306
  
Nielsen Finance LLC / Nielsen Finance Co.
      
5.00% due 04/15/221,3
  1,716,000
    
 1,722,006
  
Ortho-Clinical Diagnostics Incorporated / Ortho-Clinical Diagnostics S.A.
  
6.63% due 05/15/221,3
  1,716,000
    
 1,664,520
  
Central Garden & Pet Co.
        
6.13% due 11/15/231
  1,419,000
    
 1,458,022
  
 
Advent Claymore Convertible Securities & Income Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)                  
January 31, 2019
   
 
 
 
Face
        
 
Amount~
    
Value
  
CORPORATE BONDS†† - 66.8% (continued)
    
Consumer, Non-cyclical -  13.2% (continued)
    
Land O' Lakes, Inc.
        
6.00% due 11/15/221,3
45,000
   $
46,088
  
Total Consumer, Non-cyclical
    
 73,296,209
  
Energy -  10.6%
        
Plains All American Pipeline, LP
        
6.13% 5,6
  5,000,000
    
 4,488,625
  
PBF Holding Company LLC / PBF Finance Corp.
      
7.25% due 06/15/251
  3,857,000
    
 3,857,000
  
Parsley Energy LLC / Parsley Finance Corp.
      
5.63% due 10/15/271,3
  3,861,000
    
 3,846,521
  
Diamondback Energy, Inc.
        
5.38% due 05/31/251
  3,432,000
    
 3,523,978
  
Ascent Resources Utica Holdings LLC / ARU Finance Corp.
    
10.00% due 04/01/221,3
  1,673,000
    
 1,796,384
  
7.00% due 11/01/261,3
  1,714,000
    
 1,662,580
  
WPX Energy, Inc.
        
5.25% due 09/15/241
  3,432,000
    
 3,397,680
  
Gulfport Energy Corp.
        
6.00% due 10/15/241
  3,430,000
    
 3,241,350
  
PDC Energy, Inc.
        
5.75% due 05/15/261
  3,433,000
    
 3,227,020
  
Genesis Energy Limited Partnership / Genesis Energy Finance Corp.
  
6.25% due 05/15/261
  3,431,000
    
 3,162,953
  
Alliance Resource Operating Partners Limited Partnership / Alliance Resource Finance Corp.
7.50% due 05/01/251,3
  2,859,000
    
 2,980,508
  
Oasis Petroleum, Inc.
        
6.25% due 05/01/261,3
  3,069,000
    
 2,919,386
  
SESI LLC
          
7.75% due 09/15/241
  3,432,000
    
 2,702,700
  
Cheniere Corpus Christi Holdings LLC
        
5.13% due 06/30/271
  2,596,000
    
 2,628,450
  
SM Energy Co.
        
6.75% due 09/15/261
  2,574,000
    
 2,548,646
  
Parkland Fuel Corp.
        
6.00% due 04/01/261,3
  2,573,000
    
 2,470,080
  
Continental Resources, Inc.
        
5.00% due 09/15/221
  2,402,000
    
 2,416,669
  
Nabors Industries, Inc.
        
5.75% due 02/01/251
  2,600,000
    
 2,275,000
  
Summit Midstream Holdings LLC / Summit Midstream Finance Corp.
  
5.75% due 04/15/251
  2,014,000
    
 1,898,195
  
5.50% due 08/15/221
  125,000
    
 121,250
  
Southwestern Energy Co.
        
7.50% due 04/01/261
  1,716,000
    
 1,771,770
  
 
 
Face
        
 
Amount~
    
Value
  
CORPORATE BONDS†† - 66.8% (continued)
    
Energy -  10.6% (continued)
        
PBF Logistics Limited Partnership / PBF Logistics Finance Corp.
  
6.88% due 05/15/231
1,565,000
   $
1,602,169
  
Calumet Specialty Products Partners Limited Partnership / Calumet Finance Corp.
  
7.75% due 04/15/231
  859,000
    
 753,772
  
Total Energy
      
 59,292,686
  
Basic Materials -  7.7%
        
First Quantum Minerals Ltd.
        
6.88% due 03/01/263
  3,924,000
    
 3,570,840
  
7.50% due 04/01/253
  800,000
    
 748,500
  
Alcoa Nederland Holding BV
        
6.13% due 05/15/281,3
  3,495,000
    
 3,547,425
  
Big River Steel LLC / BRS Finance Corp.
      
7.25% due 09/01/251,3
  3,293,000
    
 3,465,883
  
FMG Resources August 2006 Pty Ltd.
        
4.75% due 05/15/221,3
  3,434,000
    
 3,437,228
  
Valvoline, Inc.
        
5.50% due 07/15/241
  2,406,000
    
 2,448,105
  
4.38% due 08/15/251
  1,000,000
    
 953,750
  
NOVA Chemicals Corp.
        
4.88% due 06/01/241,3
  3,432,000
    
 3,273,270
  
AK Steel Corp.
        
7.50% due 07/15/231
  3,100,000
    
 3,169,750
  
Compass Minerals International, Inc.
        
4.88% due 07/15/241,3
  3,281,000
    
 3,067,735
  
Kaiser Aluminum Corp.
        
5.88% due 05/15/241
  2,853,000
    
 2,902,927
  
Steel Dynamics, Inc.
        
5.50% due 10/01/241
  2,563,000
    
 2,652,192
  
Rayonier AM Products, Inc.
        
5.50% due 06/01/241,3
  2,837,000
    
 2,571,882
  
TPC Group, Inc.
        
8.75% due 12/15/201,3
  2,243,000
    
 2,232,458
  
Tronox Finance plc
        
5.75% due 10/01/251,3
  1,930,000
    
 1,676,688
  
New Gold, Inc.
        
6.25% due 11/15/221,3
  1,716,000
    
 1,591,590
  
Tronox, Inc.
          
6.50% due 04/15/261,3
  1,785,000
    
 1,568,569
  
Total Basic Materials
    
 42,878,792
  
Industrial -  6.8%
        
Energizer Holdings, Inc.
        
6.38% due 07/15/261,3
  5,716,000
    
 5,573,100
  
5.50% due 06/15/251,3
  1,716,000
    
 1,638,780
  
MasTec, Inc.
          
4.88% due 03/15/231
  4,715,000
    
 4,744,469
  
Cleaver-Brooks, Inc.
        
7.88% due 03/01/231,3
  3,957,000
    
 3,927,322
  
Louisiana-Pacific Corp.
        
4.88% due 09/15/241
  3,779,000
    
 3,717,591
  
Ball Corp.
          
4.38% due 12/15/201
  3,432,000
    
 3,487,770
  
WESCO Distribution, Inc.
        
5.38% due 06/15/241
  3,433,000
    
 3,402,961
  
 
Advent Claymore Convertible Securities & Income Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)                  
January 31, 2019
   
 
 
 
Face
        
 
Amount~
    
Value
  
CORPORATE BONDS†† - 66.8% (continued)
    
Industrial -  6.8% (continued)
        
CNH Industrial Capital LLC
        
3.38% due 07/15/191
3,337,000
   $
3,343,709
  
Navios Maritime Acquisition Corporation / Navios Acquisition Finance US, Inc.
  
8.13% due 11/15/211,3
  2,745,000
    
 2,086,200
  
Navios Maritime Holdings, Inc. / Navios Maritime Finance II US, Inc.
  
7.38% due 01/15/223
  3,530,000
    
 2,082,700
  
Mueller Water Products, Inc.
        
5.50% due 06/15/261,3
  1,899,000
    
 1,913,243
  
TransDigm, Inc.
        
6.00% due 07/15/221
  859,000
    
 867,590
  
SPX FLOW, Inc.
        
5.88% due 08/15/261,3
  859,000
    
 850,410
  
CFX Escrow Corp.
        
6.00% due 02/15/243
  214,000
    
 214,000
  
6.38% due 02/15/263
  214,000
    
 214,000
  
Total Industrial
    
 38,063,845
  
Communications -  6.7%
        
Sprint Corp.
        
7.88% due 09/15/231
  3,558,000
    
 3,789,270
  
7.63% due 02/15/251
  3,483,000
    
 3,649,487
  
Charter Communications Operating LLC / Charter Communications Operating Capital
  
4.91% due 07/23/251
  4,745,000
    
 4,882,883
  
CenturyLink, Inc.
        
7.50% due 04/01/241
  3,432,000
    
 3,492,060
  
Inmarsat Finance plc
        
6.50% due 10/01/241,3
  3,320,000
    
 3,228,700
  
DISH DBS Corp.
        
5.13% due 05/01/201
  1,716,000
    
 1,724,580
  
7.75% due 07/01/261
  1,591,000
    
 1,372,237
  
Hughes Satellite Systems Corp.
        
6.50% due 06/15/191
  3,034,000
    
 3,071,182
  
CBS Radio, Inc.
        
7.25% due 11/01/241,3
  3,136,000
    
 2,971,360
  
Frontier Communications Corp.
        
7.63% due 04/15/24
  3,003,000
    
 1,644,143
  
8.50% due 04/01/261,3
  859,000
    
 781,475
  
Altice France S.A.
        
8.13% due 02/01/271,3
  1,800,000
    
 1,772,820
  
Sirius XM Radio, Inc.
        
5.38% due 07/15/261,3
  1,716,000
    
 1,707,420
  
Tribune Media Co.
        
5.88% due 07/15/221
  1,638,000
    
 1,674,855
  
Cincinnati Bell, Inc.
        
8.00% due 10/15/251,3
  1,715,000
    
 1,496,337
  
Total Communications
    
 37,258,809
  
Financial -  2.9%
        
Credit Acceptance Corp.
        
7.38% due 03/15/231
  3,791,000
    
 3,899,991
  
 
 
Face
        
 
Amount~
    
Value
  
CORPORATE BONDS†† - 66.8% (continued)
    
Financial -  2.9% (continued)
        
Navient Corp.
        
8.00% due 03/25/201
3,008,000
   $
3,139,600
  
Radian Group, Inc.
        
7.00% due 03/15/21
  2,575,000
    
 2,716,625
  
CIT Group, Inc.
        
5.00% due 08/15/221
  2,575,000
    
 2,645,813
  
Alliance Data Systems Corp.
        
5.38% due 08/01/223
  2,000,000
    
 2,007,500
  
Fidelity & Guaranty Life Holdings, Inc.
        
5.50% due 05/01/251,3
  1,736,000
    
 1,679,580
  
Total Financial
    
 16,089,109
  
Technology -  2.3%
        
Seagate HDD Cayman
        
4.75% due 01/01/251
  3,407,000
    
 3,227,451
  
NCR Corp.
          
5.00% due 07/15/221
  3,000,000
    
 2,963,400
  
West Corp.
          
8.50% due 10/15/251,3
  3,203,000
    
 2,686,516
  
Dell, Inc.
          
5.88% due 06/15/191
  2,632,000
    
 2,681,350
  
First Data Corp.
        
5.38% due 08/15/231,3
  1,141,000
    
 1,165,959
  
Total Technology
    
 12,724,676
  
Total Corporate Bonds
        
(Cost $377,959,782)
    
372,343,185
  
SENIOR FLOATING RATE INTERESTS††, 5 - 1.6%
      
Consumer, Cyclical -  0.9%
        
PetSmart, Inc.
        
5.28% (3 Month USD LIBOR + 3.00%, Rate Floor: 0.00%) due 03/11/22
  3,908,629
    
 3,286,739
  
Alterra Mountain Co.
        
5.80% (3 Month USD LIBOR + 3.00%, Rate Floor: 0.00%) due 07/31/24
  1,879,020
    
 1,869,625
  
Total Consumer, Cyclical
    
 5,156,364
  
Communications -  0.5%
        
Sprint Communications, Inc.
        
5.06% (3 Month USD LIBOR + 2.50%, Rate Floor: 0.75%) due 02/02/24
  2,947,500
    
 2,884,792
  
Financial -  0.2%
        
Refinitiv (Financial & Risk Us Holdings, Inc.)
    
6.27% (3 Month USD LIBOR + 3.75%, Rate Floor: 0.00%) due 10/01/25
  1,000,000
    
 962,232
  
Total Senior Floating Rate Interests
        
(Cost $9,748,079)
    
9,003,388
  
Total Investments - 169.3%
        
(Cost $943,333,548)
  
$
944,111,580
  
Other Assets & Liabilities, net - (69.3)%
  
(386,418,795
)
Total Net Assets - 100.0%
  
$
557,692,785
  
 
Advent Claymore Convertible Securities & Income Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)                  
January 31, 2019
   
 
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS††
 
Counterparty
Contracts to Sell
Currency
Settlement Date
Settlement Value
Value at
January 31, 2019
Unrealized Appreciation(Depreciation)
Bank of New York Mellon
3,965,686
CHF
03/14/19
$4,023,267
$4,012,748
$10,519
Bank of New York Mellon
2,330,176
CAD
03/14/19
 1,749,644
 1,775,998
(26,354)
Bank of New York Mellon
15,274,835
EUR
03/14/19
 17,494,558
 17,588,002
(93,444)
Bank of New York Mellon
7,528,452
GBP
03/14/19
 9,616,914
 9,923,965
(307,051)
Bank of New York Mellon
1,575,231,697
JPY
03/14/19
 14,056,700
 14,521,634
(464,934)
           
$(881,264)
 
Counterparty
Contracts to Buy
Currency
Settlement Date
Settlement Value
Value at
January 31, 2019
Unrealized Appreciation
(Depreciation)
Bank of New York Mellon
79,000
GBP
03/14/19
$100,233
$104,137
$3,904
Bank of New York Mellon
187,000
EUR
03/14/19
213,189
215,318
2,129
Bank of New York Mellon
240,000
CHF
03/14/19
241,235
242,848
1,613
Bank of New York Mellon
40,000
GBP
03/14/19
52,738
52,728
(10)
Bank of New York Mellon
177,069
CHF
03/14/19
180,816
179,170
 (1,646)
Bank of New York Mellon
997,093
EUR
03/14/19
1,150,296
1,148,089
(2,207)
Bank of New York Mellon
102,250,000
JPY
03/14/19
947,797
942,615
(5,182)
            $(1,399)
 
~
  
The face amount is denominated in U.S. dollars unless otherwise indicated.
*
  
Non-income producing security.
†
  
Value determined based on Level 1 inputs — See Note 3.
††
  
Value determined based on Level 2 inputs — See Note 3.
1
  
All or a portion of these securities have been physically segregated in connection with borrowings and reverse repurchase agreements. As of January 31, 2019 the total value of securities segregated was 756,559,907.
2
  
Rate indicated is the 7-day yield as of January 31, 2019.
3
  
Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $319,287,579 (cost $317,462,945), or 57.3% of total net assets.
4
  
Zero coupon rate security.
5
  
Variable rate security.  Rate indicated is the rate effective at January 31, 2019. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
6
  
Perpetual maturity.
 7   Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date. 
 
ADR
American Depositary Receipt
CAD
Canadian Dollar
CHF
Swiss Franc
CNY  Chinese Yuan 
EUR
Euro
GBP
British Pound
HKD
Hong Kong Dollar
JPY
Japanese Yen
LIBOR
London Interbank Offered Rate
plc
Public Limited Company
REIT
Real Estate Investment Trust
   
See Sector Classification in Other Information section.
 
The following table summarizes the inputs used to value the Fund's investments at January 31, 2019 (See Note 3 in the Notes to Schedule of Investments):
 
Investments in Securities (Assets)
  
Level 1 Quoted
Prices
    
Level 2
Significant
Observable
Inputs
    
Level 3
Significant
Unobservable
Inputs
    
Total
  
Common Stocks
  
$
86,883,403
    
$
—
    
$
—
    
$
86,883,403
  
Convertible Preferred Stocks
    
59,509,199
      
—
      
—
      
59,509,199
  
Money Market Fund
    
30,746,931
              
—
      
30,746,931
  
Convertible Bonds
    
—
      
385,625,474
      
—
      
385,625,474
  
Corporate Bonds
    
—
      
372,343,185
      
—
      
372,343,185
  
Senior Floating Rate Interests
            
9,003,388
      
—
      
9,003,388
  
Forward Foreign Currency Exchange Contracts*
    
—
      
18,165
      
—
      
18,165
  
Total Assets
  
$
177,139,533
    
$
766,990,212
    
$
—
    
$
944,129,745
  
 
Advent Claymore Convertible Securities & Income Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)                  
January 31, 2019
   
 
 
 
Investments in Securities (Liabilities)
  
Level 1 Quoted
Prices
    
Level 2
Significant
Observable
Inputs
    
Level 3
Significant
Unobservable
Inputs
    
Total
  
Forward Foreign Currency Exchange Contracts*
  
$
—
    
$
900,828
    
$
—
    
$
900,828
  
 
 
* This derivative is reported as unrealized appreciation/depreciation at period end.
 
Please refer to the detailed portfolio for the breakdown of investment type by industry category.
 
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $177,017,680 are categorized as Level 2 within the disclosure hierarchy.
 
The Fund did not hold any Level 3 securities during the period ended January 31, 2019.
 
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 January 31, 2019, there were no transfers between levels.
 
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)     
 
   

 
Note 1 — Organization and Significant Accounting Policies

Organization

Advent Claymore Convertible Securities and Income Fund (the “Fund”) was organized as a Delaware statutory trust on February 19, 2003. The Fund is registered as a diversified, closed-end management investment company under the Investment Company Act of 1940, as amended.
 
The Fund’s investment objective is to provide total return through a combination of capital appreciation and current income. The Fund pursues its investment objective by investing at least 80% of its managed assets in a diversified portfolio of convertible securities and non-convertible income producing securities.
For information on the Fund’s other significant accounting policies, please refer to the Fund’s most recent semi-annual or annual shareholder report.

Significant 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 ("U.S. 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, 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.

The following is a summary of significant accounting policies followed by the Fund.

(a) Valuation of Investments
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 other 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 over-the-counter (“OTC”) swap agreements entered into by the Fund is accounted for using the unrealized appreciation or depreciation 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. Swaps are valued daily by independent pricing services or dealers using the mid-price. 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. The Fund values money market funds at net asset 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: market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)     
 
   
 
 
anticipated cash flows or collateral, spread over U.S. Treasury Securities and other information analysis. In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market. There were no securities fair valued in accordance with such procedures established by the Board of Trustees as of January 31, 2019.
  
Senior loans in which the Fund invests generally pay interest rates which are periodically adjusted by reference to a base short-term floating rate, plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the one-month or three-month London Inter-Bank Offered Rate (LIBOR), (ii) the prime rate offered by one or more major United States banks, or (iii) the bank’s certificate of deposit rate. Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. The interest rate indicated is the rate in effect at January 31, 2019.
  
Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency. The change in value of the contract is recorded as unrealized appreciation or depreciation until the contract is closed. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.
  
Note 2 — Derivatives

As part of its investment strategy, the Fund utilizes a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Schedule of Investments.

Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.

The Fund may utilize derivatives for the following purposes:
  
Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.

Higher Investment Returns: the use of an instrument to seek to obtain increased investment returns.

Income: the use of any instrument that distributes cash flows typically based upon some rate of interest.
 
Speculation: the use of an instrument to express macro-economic and other investment views.

Forward Foreign Currency Exchange Contracts

A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of contracts may be cash settled, in an amount equal to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.
 
The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the Fund may be exposed to risk if the counterparties cannot meet the contract terms or if the currency value changes unfavorably as compared to the U.S. dollar.
 
In conjunction with the use of derivative instruments, the Fund is required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Fund uses margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Fund. 
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)     
 
   

 
There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets. A Fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates and the imposition of currency controls or other political developments in the U.S. or abroad. In addition, the Fund may incur transaction costs in connection with conversions between various currencies. The Fund may, but is not obligated to, engage in currency hedging transactions, which generally involve buying currency forward, options or futures contracts. However, not all currency risks may be effectively hedged, and in some cases the costs of hedging techniques may outweigh expected benefits. In such instances, the value of securities denominated in foreign currencies can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar.

The Fund may invest in securities of foreign companies directly, or in financial instruments which are indirectly linked to the performance of foreign issuers. Foreign markets can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market. Investing in securities of foreign companies directly, or in financial instruments that are indirectly linked to the performance of foreign issuers, may involve risks not typically associated with investing in U.S. issuers. The value of securities denominated in foreign currencies, and of dividends or interest from such securities, can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar. Foreign securities markets generally have less trading volume and less liquidity than U.S. markets, and prices in some foreign markets may fluctuate more than those of securities traded on U.S. markets. Many foreign countries lack accounting and disclosure standards comparable to those that apply to U.S. companies, and it may be more difficult to obtain reliable information regarding a foreign issuer’s financial condition and operations. Transaction costs and costs associated with custody services are generally higher for foreign securities than they are for U.S. securities. Some foreign governments levy withholding taxes against dividend and interest income. Although in some countries portions of these taxes are recoverable, the non-recovered portion will reduce the income received by the Fund.

The Fund has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Fund monitors the counterparty credit risk.
 
Note 3 — Fair Value Measurement  

In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:

Level 1 — quoted prices in active markets for identical assets or liabilities.
 
Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).
 
Level 3 — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.

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 U.S. 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.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)     
 
   
 

 
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, 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. OTC derivative contracts including forward foreign currency exchange 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.
 
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
 
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change. 
  
Note 4 — Federal Income Tax Information

The Fund intends to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Fund from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax is required.
 
Tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Fund’s tax positions taken, or to be taken, on federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund’s federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
 
At January 31, 2019, the cost of securities for federal income tax purposes, the aggregate gross unrealized appreciation for all securities for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all securities for which there was an excess of tax cost over value were as follows:
 
Tax Cost
Tax Unrealized Appreciation
Tax Unrealized Depreciation
Net Unrealized Depreciation
$945,063,554
$30,711,833
 $(32,546,470)
 $(1,834,637)

Note 5 — Reverse Repurchase Agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement, a Fund sells securities and agrees to repurchase them at a particular price at a future date. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, such buyer or its trustee or receiver may receive an extension of time to determine whether to enforce the Fund's obligation to repurchase the securities, and the Fund's use of the proceeds of the reverse repurchase agreement may effectively be restricted pending such decision.


 
OTHER INFORMATION (Unaudited)     
 
   


Sector Classification
Information in the “Schedule of Investments” is categorized by sectors using sector-level classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. The Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Fund usually classifies sectors/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:
March 28, 2019

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, 2019

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

Date:
March 28, 2019