UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-05715
---------
The Gabelli Convertible and Income Securities Fund Inc.
----------------------------------------------
(Exact name of registrant as specified in charter)
One Corporate Center
Rye, New York 10580-1422
----------------------------------------------
(Address of principal executive offices) (Zip code)
Bruce N. Alpert
Gabelli Funds, LLC
One Corporate Center
Rye, New York 10580-1422
----------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 1-800-422-3554
--------------
Date of fiscal year end: December 31
-----------
Date of reporting period: September 30, 2006
------------------
Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 239.24 and 274.5 of
this chapter), to file reports with the Commission, not later than 60 days after
the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use
the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and
the Commission will make this information public. A registrant is not required
to respond to the collection of information contained in Form N-Q unless the
Form displays a currently valid Office of Management and Budget ("OMB") control
number. Please direct comments concerning the accuracy of the information
collection burden estimate and any suggestions for reducing the burden to the
Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC
20549. The OMB has reviewed this collection of information under the clearance
requirements of 44 U.S.C. ss. 3507.
ITEM 1. SCHEDULE OF INVESTMENTS.
The Schedule(s) of Investments is attached herewith.
THE GABELLI CONVERTIBLE AND INCOME SECURITIES FUND INC.
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2006 (UNAUDITED)
PRINCIPAL MARKET
AMOUNT VALUE*
------ ------
CONVERTIBLE CORPORATE BONDS -- 29.2%
AEROSPACE -- 2.7%
$ 830,000 GenCorp Inc.,
Sub. Deb. Cv.,
5.750%, 04/15/07 ................$ 850,750
3,356,000 Kaman Corp.,
Sub. Deb. Cv.,
6.000%, 03/15/12 ................ 3,272,100
------------
4,122,850
------------
AUTOMOTIVE: PARTS AND ACCESSORIES -- 6.3%
6,900,000 Standard Motor Products Inc.,
Sub. Deb. Cv.,
6.750%, 07/15/09 ................ 6,555,000
3,000,000 The Pep Boys -
Manny, Moe & Jack, Cv.,
4.250%, 06/01/07 ................ 2,996,250
------------
9,551,250
------------
BROADCASTING -- 3.9%
5,000,000 Sinclair Broadcast Group Inc.,
Sub. Deb. Cv.,
6.000%, 09/15/12 ................ 4,468,750
1,500,000 Sinclair Broadcast Group Inc.,
Sub. Deb. Cv. (STEP),
4.875%, 07/15/18 ................ 1,340,625
------------
5,809,375
------------
BUSINESS SERVICES -- 1.6%
900,000 BBN Corp., Sub. Deb. Cv.,
6.000%, 04/01/12+ (a)(d) ........ 0
2,600,000 Trans-Lux Corp.,
Sub. Deb. Cv.,
8.250%, 03/01/12 ................ 2,353,000
------------
2,353,000
------------
CABLE -- 0.0%
400,000 Adelphia Communications Corp.,
Sub. Deb. Cv.,
3.250%, 05/01/21+ (d) ........... 2,400
------------
COMMUNICATIONS EQUIPMENT -- 8.1%
3,000,000 Agere Systems Inc.,
Sub. Deb. Cv.,
6.500%, 12/15/09 ................ 3,022,500
2,000,000 Lucent Technologies Inc.,
Sub. Deb. Cv.,
8.000%, 08/01/31 ................ 2,017,500
5,500,000 Nortel Networks Corp., Cv.,
4.250%, 09/01/08 ................ 5,280,000
1,900,000 TriQuint Semiconductor Inc.,
Sub. Deb. Cv.,
4.000%, 03/01/07 ................ 1,892,875
------------
12,212,875
------------
CONSUMER PRODUCTS -- 0.1%
100,000 Church & Dwight Co. Inc.,
Deb. Cv.,
5.250%, 08/15/33 (b) ............ 134,875
------------
PRINCIPAL MARKET
AMOUNT VALUE*
------ ------
DIVERSIFIED INDUSTRIAL -- 0.6%
$ 1,400,000 Roper Industries Inc.,
Cv. (STEP),
1.481%, 01/15/34 ................$ 831,250
------------
ELECTRONICS -- 0.0%
10,000 Artesyn Technologies Inc.,
Sub. Deb. Cv.,
5.500%, 08/15/10 (b) ............ 13,691
------------
ENERGY AND UTILITIES -- 0.9%
500,000 Devon Energy Corp.,
Deb. Cv.,
4.950%, 08/15/08 ................ 630,625
257,000 Moran Energy Inc.,
Sub. Deb. Cv.,
8.750%, 01/15/08 ................ 253,145
400,000 Unisource Energy Corp., Cv.,
4.500%, 03/01/35 (b) ............ 415,000
------------
1,298,770
------------
FINANCIAL SERVICES -- 0.3%
500,000 Conseco Inc., Cv. (STEP),
3.500%, 09/30/35 (b) ............ 516,875
------------
HEALTH CARE -- 0.0%
150,000 Sabratek Corp.,
Sub. Deb. Cv.,
6.000%, 04/16/07+ (a)(d) ........ 0
------------
HOTELS AND GAMING -- 0.0%
10,000 Wynn Resorts Ltd.,
Sub. Deb. Cv.,
6.000%, 07/15/15 (b) ............ 29,888
------------
MANUFACTURED HOUSING AND RECREATIONAL VEHICLES -- 0.1%
100,000 Fleetwood Enterprises Inc.,
Sub. Deb. Cv.,
5.000%, 12/15/23 (b) ............ 95,500
------------
METALS AND MINING -- 1.3%
1,000,000 Inco Ltd., Cv.,
Zero Coupon, 03/29/21 ........... 2,030,000
------------
REAL ESTATE -- 1.4%
Palm Harbor Homes Inc., Cv.,
1,550,000 3.250%, 05/15/24 (b) ........... 1,305,875
950,000 3.250%, 05/15/24 ............... 800,375
------------
2,106,250
------------
RETAIL -- 0.1%
60,000 Costco Wholesale Corp.,
Sub. Deb. Cv.,
Zero Coupon, 08/19/17 ........... 68,025
10,000 Pier 1 Imports Inc.,
Cv. (STEP),
6.375%, 02/15/36 ................ 9,612
------------
77,637
------------
TELECOMMUNICATIONS -- 0.0%
80,000 AMNEX Inc., Sub. Deb. Cv.,
8.500%,
09/25/49+ (a)(b)(c)(d) .......... 0
2
THE GABELLI CONVERTIBLE AND INCOME SECURITIES FUND INC.
SCHEDULE OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2006 (UNAUDITED)
PRINCIPAL MARKET
AMOUNT VALUE*
------ ------
CONVERTIBLE CORPORATE BONDS (Continued)
Telecommunications (Continued)
$ 50,000 Commonwealth Telephone
Enterprises Inc., Cv.,
3.250%, 07/15/23 ................$ 53,750
------------
53,750
------------
TRANSPORTATION -- 0.8%
1,000,000 GATX Corp., Cv.,
7.500%, 02/01/07 ................ 1,225,000
------------
WIRELESS COMMUNICATIONS -- 1.0%
1,500,000 Nextel Communications
Inc., Cv.,
5.250%, 01/15/10 ................ 1,483,125
------------
TOTAL CONVERTIBLE
CORPORATE BONDS ................. 43,948,361
------------
SHARES
------
CONVERTIBLE PREFERRED STOCKS -- 4.4%
AEROSPACE -- 0.7%
8,000 Northrop Grumman Corp.,
7.000% Cv. Pfd., Ser. B ......... 1,064,000
------------
AUTOMOTIVE -- 0.0%
500 Ford Motor Co. Capital Trust II,
6.500% Cv. Pfd. ................. 16,795
------------
BROADCASTING -- 0.7%
100 Gray Television Inc.,
8.000% Cv. Pfd.,
Ser. C (a)(b)(c) ................ 1,000,000
------------
BUSINESS SERVICES -- 0.4%
14,561 Interep National Radio Sales Inc.,
4.000% Cv. Pfd.,
Ser. A+ (a)(b)(c) ............... 509,637
20,000 Key3Media Group Inc.,
5.500% Cv. Pfd.,
Ser. B+ (a)(d) .................. 117
------------
509,754
------------
COMMUNICATIONS EQUIPMENT -- 0.6%
800 Lucent Technologies
Capital Trust I,
7.750% Cv. Pfd. ................. 818,000
------------
ENERGY AND UTILITIES -- 0.6%
6,000 AES Trust III,
6.750% Cv. Pfd. ................. 293,400
500 El Paso Corp.,
4.990% Cv. Pfd. (b) ............. 608,042
300 El Paso Corp. Capital Trust I,
4.750% Cv. Pfd., Ser. C ......... 11,169
------------
912,611
------------
MARKET
SHARES VALUE*
------ ------
ENTERTAINMENT -- 0.6%
2,000 Metromedia International
Group Inc.,
7.250% Cv. Pfd.+ ................$ 84,000
35,000 Six Flags Inc.,
7.250% Cv. Pfd., Ser. B ......... 745,500
------------
829,500
------------
FINANCIAL SERVICES -- 0.0%
100 Alleghany Corp.,
5.750% Cv. Pfd. ................. 28,563
------------
REAL ESTATE -- 0.1%
8,000 Glenborough Realty Trust Inc.,
7.750% Cv. Pfd., Ser. A ......... 202,080
------------
TELECOMMUNICATIONS -- 0.4%
15,000 Cincinnati Bell Inc.,
6.750% Cv. Pfd., Ser. B ......... 660,000
------------
TRANSPORTATION -- 0.3%
2,500 GATX Corp.,$2.50 Cv. Pfd. ........ 491,562
------------
TOTAL CONVERTIBLE
PREFERRED STOCKS ................ 6,532,865
------------
COMMON STOCKS -- 34.5%
AUTOMOTIVE: PARTS AND ACCESSORIES -- 1.3%
45,000 Genuine Parts Co. ................ 1,940,850
------------
AVIATION: PARTS AND SERVICES -- 0.2%
3,800 Sequa Corp., Cl. A+ .............. 356,668
------------
BROADCASTING -- 0.1%
10,000 Emmis Communications Corp.,
Cl. A+ .......................... 122,500
------------
BUSINESS SERVICES -- 0.2%
10,000 Aramark Corp., Cl. B ............. 328,600
------------
CABLE AND SATELLITE -- 0.6%
10,000 EchoStar Communications
Corp., Cl. A+ ................... 327,400
10,000 Rogers Communications Inc.,
Cl. B ........................... 548,700
------------
876,100
------------
COMMUNICATIONS EQUIPMENT -- 0.6%
40,000 Corning Inc.+ .................... 976,400
------------
COMPUTER HARDWARE -- 0.8%
14,000 International Business
Machines Corp. .................. 1,147,160
------------
COMPUTER SOFTWARE AND SERVICES -- 2.4%
50,000 Click Commerce Inc.+ ............. 1,131,000
2,000 Microsoft Corp. .................. 54,660
50,000 MRO Software Inc.+ ............... 1,283,500
15,000 ProQuest Co.+ .................... 195,300
25,000 The Reynolds & Reynolds Co.,
Cl. A ........................... 987,750
------------
3,652,210
------------
3
THE GABELLI CONVERTIBLE AND INCOME SECURITIES FUND INC.
SCHEDULE OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2006 (UNAUDITED)
MARKET
SHARES VALUE*
------ ------
COMMON STOCKS (Continued)
CONSUMER PRODUCTS -- 0.4%
14,000 Avon Products Inc. ...............$ 429,240
4,000 Hanesbrands Inc.+ ................ 90,040
10,000 Swedish Match AB ................. 162,729
------------
682,009
------------
CONSUMER SERVICES -- 0.4%
20,000 IAC/InterActiveCorp+ ............. 575,200
------------
DIVERSIFIED INDUSTRIAL -- 1.2%
40,000 General Electric Co. ............. 1,412,000
37,000 WHX Corp.+ ....................... 333,000
------------
1,745,000
------------
ELECTRONICS -- 1.8%
15,000 Intel Corp. ...................... 308,550
50,000 Metrologic Instruments Inc.+ ..... 908,000
100,000 Symbol Technologies Inc. ......... 1,486,000
------------
2,702,550
------------
ENERGY AND UTILITIES -- 10.9%
8,000 Anadarko Petroleum Corp. ......... 350,640
10,000 BP plc, ADR ...................... 655,800
4,000 Cameron International Corp.+ ..... 193,240
3,000 CH Energy Group Inc. ............. 154,410
20,000 Chevron Corp. .................... 1,297,200
8,000 ConocoPhillips ................... 476,240
2,000 Devon Energy Corp. ............... 126,300
20,000 Duke Energy Corp. ................ 604,000
25,000 Exxon Mobil Corp. ................ 1,677,500
27,000 FPL Group Inc. ................... 1,215,000
1,000 Giant Industries Inc.+ ........... 81,200
25,000 Great Plains Energy Inc. ......... 775,500
17,000 Halliburton Co. .................. 483,650
28,000 Kinder Morgan Inc. ............... 2,935,800
50,000 Mirant Corp.+ .................... 1,365,500
2,000 National Fuel Gas Co. ............ 72,700
35,000 Northeast Utilities .............. 814,450
10,000 NS Group Inc.+ ................... 645,500
5,000 Peoples Energy Corp. ............. 203,250
10,000 Progress Energy Inc., CVO+ ....... 3,300
20,000 Royal Dutch Shell plc,
Cl. A, ADR ...................... 1,322,000
17,000 SJW Corp. ........................ 508,470
18,000 Xcel Energy Inc. ................. 371,700
------------
16,333,350
------------
EQUIPMENT AND SUPPLIES -- 0.3%
15,000 Mueller Industries Inc. .......... 527,550
------------
MARKET
SHARES VALUE*
------ ------
FINANCIAL SERVICES -- 4.0%
10,000 AllianceBernstein Holding LP .....$ 689,900
35,000 American Express Co. ............. 1,962,800
2,000 American International
Group Inc. ...................... 132,520
8,000 Ameriprise Financial Inc. ........ 375,200
57,000 Citigroup Inc. ................... 2,831,190
------------
5,991,610
------------
FOOD AND BEVERAGE -- 2.8%
4,000 Anheuser-Busch Companies Inc. .... 190,040
10,000 Cadbury Schweppes plc, ADR ....... 427,700
23,000 General Mills Inc. ............... 1,301,800
213,860 Parmalat SpA, GDR+ (b) ........... 766,667
632 Pernod-Ricard SA ................. 131,511
30,000 The Coca-Cola Co. ................ 1,340,400
------------
4,158,118
------------
HEALTH CARE -- 3.1%
22,000 Eli Lilly & Co. .................. 1,254,000
20,000 Merck & Co. Inc. ................. 838,000
75,000 Pfizer Inc. ...................... 2,127,000
15,000 Schering-Plough Corp. ............ 331,350
3,000 UnitedHealth Group Inc. .......... 147,600
------------
4,697,950
------------
HOTELS AND GAMING -- 1.3%
273,037 Ladbrokes plc .................... 1,988,642
------------
METALS AND MINING -- 0.0%
1,000 Peabody Energy Corp. ............. 36,780
------------
RETAIL -- 0.5%
5,000 Costco Wholesale Corp. ........... 248,400
10,000 The Home Depot Inc. .............. 362,700
2,000 Wal-Mart Stores Inc. ............. 98,640
------------
709,740
------------
SPECIALTY CHEMICALS -- 0.3%
6,000 Ashland Inc. ..................... 382,680
------------
TELECOMMUNICATIONS -- 1.3%
16,000 Philippine Long Distance
Telephone Co., ADR .............. 696,960
35,715 Verizon Communications Inc. ...... 1,326,098
------------
2,023,058
------------
WIRELESS COMMUNICATIONS -- 0.0%
49 Winstar Communications Inc.+ (a) . 0
------------
TOTAL COMMON STOCKS .............. 51,954,725
------------
PREFERRED STOCKS -- 0.0%
Telecommunications -- 0.0%
3,679 PTV Inc., 10.000% Pfd., Ser. A ... 14,256
------------
4
THE GABELLI CONVERTIBLE AND INCOME SECURITIES FUND INC.
SCHEDULE OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2006 (UNAUDITED)
PRINCIPAL MARKET
AMOUNT VALUE*
------ ------
CORPORATE BONDS -- 0.9%
Diversified Industrial -- 0.9%
$ 2,000,000 GP Strategies Corp., Sub. Deb.,
6.000%, 08/14/08 (a)(c) .........$ 1,337,839
------------
SHARES
------
WARRANTS -- 0.4%
BUSINESS SERVICES -- 0.0%
87,500 Interep National Radio Sales Inc.,
expire 05/06/07+ (a)(b)(c) ...... 0
------------
CONSUMER PRODUCTS -- 0.0%
4,331 Pillowtex Corp.,
expire 11/24/09+ (a) ............ 0
------------
DIVERSIFIED INDUSTRIAL -- 0.4%
262,431 GP Strategies Corp.,
expire 08/14/08+ (a)(c) ......... 575,157
379,703 National Patent Development
Corp., expire
08/14/08+ (a)(c) ................ 50,156
11,220 WHX Corp., expire 02/28/08+ ...... 12,903
------------
638,216
------------
FOOD AND BEVERAGE -- 0.0%
1,300 Parmalat SpA, GDR,
expire 12/31/15+ (b)(c) ......... 0
------------
TOTAL WARRANTS ................... 638,216
------------
PRINCIPAL
AMOUNT
------
U.S. GOVERNMENT OBLIGATIONS -- 30.6%
$46,841,000 U.S. Treasury Bills,
4.773% to 5.174%++,
10/12/06 to 03/08/07 ............ 46,042,110
------------
TOTAL INVESTMENTS -- 100.0%
(Cost $145,375,298) .........................$150,468,372
============
--------------
Aggregate book cost .................$145,699,059
============
Gross unrealized appreciation .......$ 9,090,085
Gross unrealized depreciation ....... (4,320,772)
-------------
Net unrealized appreciation
(depreciation) .....................$ 4,769,313
============
--------------
(a) Security fair valued under procedures established by the Board of
Directors. The procedures may include reviewing available financial
information about the company and reviewing valuation of comparable
securities and other factors on a regular basis. At September 30, 2006,
the market value of fair valued securities amounted to $3,472,906 or
2.31% of total investments.
(b) Security exempt from registration under Rule 144A of the Securities Act
of 1933, as amended. These securities may be resold in transactions
exempt from registration, normally to qualified institutional buyers. At
September 30, 2006, the market value of Rule 144A securities amounted to
$5,396,050 or 3.59% of total investments. Except as noted in (c), these
securities are liquid.
(c) At September 30, 2006, the Fund held investments in restricted and
illiquid securities amounting to $3,472,789 or 2.31% of total
investments, which were valued under methods approved by the Board as
follows:
Acquisition
Shares/ 09/30/2006
Principal Acquisition Acquisition Carrying Value
Amount Issuer Date Cost Per Unit
------ ------ ------ ------ --------
$ 80,000 Amnex Inc.,
8.500%, 09/25/49 ........... 09/15/97 $ 71,773 --
2,000,000 GP Strategies Corp.,
6.000%, 08/14/08 ........... 08/14/03 1,362,935 $ 0.6689
262,431 GP Strategies Corp.
Warrants expire 08/14/08 ... 08/08/03 637,065 2.5694
100 Gray Television Inc.,
8.000% Cv. Pfd., Ser. C .... 04/22/02 1,000,000 10,000.0000
14,561 Interep National Radio
Sales Inc.,
4.000% Cv. Pfd., Ser. A .... 05/03/02 1,347,184 35.0001
87,500 Interep National Radio
Sales Inc.
Warrants expire 05/06/07 ... 05/03/02 -- --
379,703 National Patent
Development Corp.
Warrants expire 08/14/08 ... 11/24/04 -- 0.1321
(d) Security in default.
+ Non-income producing security.
++ Represents annualized yield at date of purchase.
ADR American Depository Receipt
CVO Contingent Value Obligation
GDR Global Depository Receipt
STEP Step coupon bond. The rate disclosed is that in effect at September 30,
2006.
* Portfolio securities are valued at the last quoted sale price or
closing values. If these are unavailable, then the average of the
closing bid and asked prices is used. If there is no asked price, the
security is valued at the closing bid price on that day. Debt
instruments are valued at the average of the closing bid and asked
prices. If the security matures in 60 days or less and is not credit
impaired, it is valued at amortized cost. All securities and assets for
which market quotations are not readily available or any security that
the Board determines does not reflect its fair market value are valued
in good faith under procedures established by the Board.
5
ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers,
or persons performing similar functions, have concluded that the
registrant's disclosure controls and procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940, as amended (the
"1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within
90 days of the filing date of the report that includes the disclosure
required by this paragraph, based on their evaluation of these controls
and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR
270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities
Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or
240.15d-15(b)).
(b) There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17
CFR 270.30a-3(d)) that occurred during the registrant's last fiscal
quarter that have materially affected, or are reasonably likely to
materially affect, the registrant's internal control over financial
reporting.
ITEM 3. EXHIBITS.
Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of
the Sarbanes-Oxley Act of 2002 are 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.
(Registrant) The Gabelli Convertible and Income Securities Fund Inc.
--------------------------------------------------------------------
By (Signature and Title)* /s/ Bruce N. Alpert
-------------------------------------------------------
Bruce N. Alpert, Principal Executive Officer
Date 11/03/06
----------------------------------------------------------------------------
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 (Signature and Title)* /s/ Bruce N. Alpert
-------------------------------------------------------
Bruce N. Alpert, Principal Executive Officer
Date 11/03/06
----------------------------------------------------------------------------
By (Signature and Title)* /s/ Agnes Mullady
-------------------------------------------------------
Agnes Mullady,
Principal Financial Officer & Treasurer
Date 11/03/06
----------------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.