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
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The Gabelli Convertible and Income Securities Fund Inc.
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(Exact name of registrant as specified in charter)
One Corporate Center
Rye, New York 10580-1422
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(Address of principal executive offices) (Zip code)
Bruce N. Alpert
Gabelli Funds, LLC
One Corporate Center
Rye, New York 10580-1422
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(Name and address of agent for service)
Registrant's telephone number, including area code: 1-800-422-3554
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Date of fiscal year end: December 31
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Date of reporting period: March 31, 2006
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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
MARCH 31, 2006 (UNAUDITED)
PRINCIPAL MARKET
AMOUNT VALUE*
----------- --------
CONVERTIBLE CORPORATE BONDS -- 36.2%
AEROSPACE -- 3.2%
$ 830,000 GenCorp Inc., Sub. Deb. Cv.,
5.750%, 04/15/07 .......................... $ 935,825
3,356,000 Kaman Corp., Sub. Deb. Cv.,
6.000%, 03/15/12 .......................... 3,632,870
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4,568,695
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AUTOMOTIVE: PARTS AND ACCESSORIES -- 6.1%
3,000,000 Pep Boys - Manny, Moe & Jack, Cv.,
4.250%, 06/01/07 .......................... 2,943,750
6,900,000 Standard Motor Products Inc.,
Sub. Deb. Cv.,6.750%, 07/15/09 ............ 5,865,000
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8,808,750
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BROADCASTING -- 4.4%
Sinclair Broadcast Group Inc.,
Sub. Deb. Cv.,
5,000,000 6.000%, 09/15/12 .......................... 4,418,750
2,200,000 4.875%, 07/15/18 .......................... 1,944,250
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6,363,000
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BUSINESS SERVICES -- 4.6%
900,000 BBN Corp., Sub. Deb. Cv.,
6.000%, 04/01/12+ (a)(c) .................. 0
3,000,000 Franklin Resources Inc., Cv.,
Zero Coupon, 05/11/31 ..................... 2,662,500
Trans-Lux Corp., Sub. Deb. Cv.,
1,500,000 7.500%, 12/01/06 .......................... 1,479,375
2,600,000 8.250%, 03/01/12 .......................... 2,450,500
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6,592,375
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CABLE -- 0.6%
400,000 Adelphia Communications Corp.,
Sub. Deb. Cv.,
3.250%, 05/01/21+ (c) ..................... 11,500
800,000 Charter Communications Inc.,
Cv., 4.750%, 06/01/06 ..................... 796,000
100,000 Mediacom Communications Corp.,
Cv., 5.250%, 07/01/06 ..................... 100,000
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907,500
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COMMUNICATIONS EQUIPMENT -- 8.2%
2,600,000 Agere Systems Inc., Sub. Deb. Cv.,
6.500%, 12/15/09 .......................... 2,574,000
2,000,000 Lucent Technologies Inc.,
Sub. Deb. Cv.,
8.000%, 08/01/31 .......................... 2,027,500
5,500,000 Nortel Networks Corp.,
Cv., 4.250%, 09/01/08 ..................... 5,218,125
2,000,000 TriQuint Semiconductor Inc.,
Sub. Deb. Cv., 4.000%, 03/01/07 ........... 1,965,000
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11,784,625
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PRINCIPAL MARKET
AMOUNT VALUE*
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CONSUMER PRODUCTS -- 0.1%
$ 100,000 Church & Dwight Co. Inc., Deb. Cv.,
5.250%, 08/15/33 (b) ...................... $ 130,875
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DIVERSIFIED INDUSTRIAL -- 0.6%
1,400,000 Roper Industries Inc., Cv.,
1.481%, 01/15/34 .......................... 894,250
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ELECTRONICS -- 0.0%
10,000 Artesyn Technologies Inc.,
Sub. Deb. Cv.,
5.500%, 08/15/10 (b) ...................... 13,613
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ENERGY AND UTILITIES -- 0.9%
500,000 Devon Energy Corp., Deb. Cv.,
4.950%, 08/15/08 .......................... 582,500
257,000 Moran Energy Inc., Sub. Deb. Cv.,
8.750%, 01/15/08 .......................... 253,145
400,000 Unisouce Energy Corp., Cv.,
4.500%, 03/01/35 (b) ...................... 392,000
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1,227,645
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EQUIPMENT AND SUPPLIES -- 1.1%
1,500,000 Robbins & Myers Inc., Sub. Deb. Cv.,
8.000%, 01/31/08 .......................... 1,571,250
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FINANCIAL SERVICES -- 0.4%
500,000 Conseco Inc., Cv.,
3.500%, 09/30/35 (b) ...................... 551,250
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HEALTH CARE -- 0.0%
150,000 Sabratek Corp., Sub. Deb. Cv.,
6.000%, 04/15/06+ (a)(c) .................. 0
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HOTELS AND GAMING -- 1.5%
800,000(e) LGF (Jersey) Ltd., Cv.,
3.375%, 10/02/10 .......................... 2,083,500
10,000 Wynn Resorts Ltd., Sub. Deb. Cv.,
6.000%, 07/15/15 (b) ...................... 33,375
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2,116,875
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MANUFACTURED HOUSING AND
RECREATIONAL VEHICLES -- 0.1%
100,000 Fleetwood Enterprises Inc., Cv.,
5.000%, 12/15/23 (b) ...................... 115,000
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METALS AND MINING -- 0.9%
1,000,000 Inco Ltd., Cv.,
Zero Coupon, 03/29/21 ..................... 1,327,500
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REAL ESTATE -- 1.6%
Palm Harbor Homes Inc., Cv.,
1,550,000 3.250%, 05/15/24 (b) ...................... 1,451,187
950,000 3.250%, 05/15/24 .......................... 889,438
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2,340,625
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2
THE GABELLI CONVERTIBLE AND INCOME SECURITIES FUND INC.
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 2006 (UNAUDITED)
PRINCIPAL MARKET
AMOUNT VALUE*
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CONVERTIBLE CORPORATE BONDS (CONTINUED)
RETAIL -- 0.0%
$ 60,000 Costco Wholesale Corp., Sub. Deb. Cv.,
Zero Coupon, 08/19/17 ..................... $ 74,100
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TELECOMMUNICATIONS -- 0.0%
80,000 AMNEX Inc., Sub. Deb. Cv.,
8.500%, 09/25/49+ (a)(b)(c)(d) ............ 0
50,000 Commonwealth Telephone
Enterprises Inc., Cv.,
3.250%, 07/15/23 .......................... 49,562
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49,562
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TRANSPORTATION -- 0.9%
GATX Corp., Cv.,
1,000,000 7.500%, 02/01/07 .......................... 1,272,500
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WIRELESS COMMUNICATIONS -- 1.0%
1,500,000 Nextel Communications Inc., Cv.,
5.250%, 01/15/10 .......................... 1,507,500
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TOTAL CONVERTIBLE CORPORATE BONDS ........... 52,217,490
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SHARES
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CONVERTIBLE PREFERRED STOCKS -- 7.5%
AEROSPACE -- 0.7%
8,000 Northrop Grumman Corp.,
7.000% Cv. Pfd., Ser. B ................... 1,078,000
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AUTOMOTIVE -- 0.0%
1,000 Ford Motor Co. Capital Trust II,
6.500% Cv. Pfd. ........................... 30,050
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AVIATION: PARTS AND SERVICES -- 3.0%
33,600 Sequa Corp.,
$5.00 Cv. Pfd.............................. 4,326,000
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BROADCASTING -- 0.7%
100 Gray Television Inc.,
8.000% Cv. Pfd., Ser. C (a)(b)(d) ......... 1,000,000
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BUSINESS SERVICES -- 0.3%
14,001 Interep National Radio Sales Inc.,
4.000% Cv. Pfd., Ser. A+ (a)(b)(d) ........ 490,035
20,000 Key3Media Group Inc.,
5.500% Cv. Pfd., Ser. B+ (a)(c) ........... 117
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490,152
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MARKET
SHARES VALUE*
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COMMUNICATIONS EQUIPMENT -- 0.6%
800 Lucent Technologies Capital Trust I,
7.750% Cv. Pfd. ........................... $ 809,600
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ENERGY AND UTILITIES -- 0.6%
6,000 AES Trust III,6.750% Cv. Pfd. ............... 279,960
500 El Paso Corp.,4.990% Cv. Pfd. (b) ........... 545,869
300 El Paso Corp. Capital Trust I,
4.750% Cv Pfd., Ser. C ................... 10,800
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836,629
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ENTERTAINMENT -- 0.7%
2,000 Metromedia International Group Inc.,
7.250% Cv. Pfd.+ .......................... 79,000
40,000 Six Flags Inc.,
7.250% Cv. Pfd., Ser. B.................... 942,000
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1,021,000
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TELECOMMUNICATIONS -- 0.5%
15,000 Cincinnati Bell Inc.,
6.750% Cv. Pfd., Ser. B ................... 648,750
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TRANSPORTATION -- 0.4%
2,500 GATX Corp.,$2.50 Cv. Pfd. ................. 518,125
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TOTAL CONVERTIBLE
PREFERRED STOCKS .......................... 10,758,306
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COMMON STOCKS -- 27.9%
AUTOMOTIVE: PARTS AND ACCESSORIES -- 1.2%
40,000 Genuine Parts Co. ........................... 1,753,200
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CABLE AND SATELLITE -- 1.5%
25,000 Cablevision Systems Corp., Cl. A+ ........... 667,500
5,000 DIRECTV Group Inc.+ ......................... 82,000
15,000 EchoStar Communications Corp., Cl. A+ ....... 448,050
25,000 Rogers Communications Inc., Cl. B ........... 953,750
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2,151,300
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COMMUNICATIONS EQUIPMENT -- 0.8%
45,000 Corning Inc.+ ............................... 1,210,950
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COMPUTER HARDWARE -- 0.1%
2,000 International Business Machines Corp. ....... 164,940
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CONSUMER PRODUCTS -- 0.3%
10,000 Avon Products Inc. .......................... 311,700
10,000 Swedish Match AB ............................ 136,740
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448,440
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3
THE GABELLI CONVERTIBLE AND INCOME SECURITIES FUND INC.
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 2006 (UNAUDITED)
MARKET
SHARES VALUE*
------ --------
COMMON STOCKS (CONTINUED)
CONSUMER SERVICES -- 0.4%
20,000 IAC/InterActiveCorp+ ........................ $ 589,400
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DIVERSIFIED INDUSTRIAL -- 1.0%
30,000 General Electric Co. ........................ 1,043,400
38,000 WHX Corp.+ .................................. 385,700
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1,429,100
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ENERGY AND UTILITIES -- 8.9%
4,000 Anadarko Petroleum Corp. .................... 404,040
10,000 BP plc, ADR ................................. 689,400
3,000 CH Energy Group Inc. ........................ 144,000
22,574 Chevron Corp. ............................... 1,308,615
10,000 ConocoPhillips .............................. 631,500
4,000 Cooper Cameron Corp.+ ....................... 176,320
22,000 Duke Energy Corp. ........................... 641,300
28,000 Exxon Mobil Corp. ........................... 1,704,080
36,337 FPL Group Inc. .............................. 1,458,567
20,000 Great Plains Energy Inc. .................... 563,000
50,000 Mirant Corp.+ ............................... 1,250,000
4,000 National Fuel Gas Co. ....................... 130,880
40,000 Northeast Utilities ......................... 781,200
2,000 Occidental Petroleum Corp. .................. 185,300
10,000 Progress Energy Inc., CVO+ .................. 3,300
8,000 Public Service Enterprise Group Inc. ........ 512,320
20,000 Royal Dutch Shell plc, Cl. A, ADR ........... 1,245,200
16,000 SJW Corp. ................................... 429,600
30,000 Xcel Energy Inc. ............................ 544,500
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12,803,122
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EQUIPMENT AND SUPPLIES -- 0.1%
5,000 Mueller Industries Inc. ..................... 178,450
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FINANCIAL SERVICES -- 3.6%
5,000 AllianceBernstein Holding LP. ............... 331,250
30,000 American Express Co. ........................ 1,576,500
4,000 American International Group Inc. ........... 264,360
8,000 Ameriprise Financial Inc. ................... 360,480
57,000 Citigroup Inc. .............................. 2,692,110
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5,224,700
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FOOD AND BEVERAGE -- 2.2%
2,000 Anheuser-Busch Companies Inc. ............... 85,540
10,000 Cadbury Schweppes plc, ADR .................. 400,000
24,000 Coca-Cola Co. ............................... 1,004,880
18,000 General Mills Inc. .......................... 912,240
213,860 Parmalat SpA, GDR+ (b) ...................... 672,889
2,528 Pernod-Ricard SA, ADR ....................... 120,105
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3,195,654
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MARKET
SHARES VALUE*
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HEALTH CARE -- 3.2%
12,000 Bristol-Myers Squibb Co. .................... $ 295,320
22,000 Eli Lilly & Co. ............................. 1,216,600
27,000 Merck & Co. Inc. ............................ 951,210
75,000 Pfizer Inc. ................................. 1,869,000
15,000 Schering-Plough Corp. ....................... 284,850
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4,616,980
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HOTELS AND GAMING -- 0.5%
100,000 Ladbrokes plc ............................... 675,852
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REAL ESTATE INVESTMENT TRUSTS -- 0.9%
30,000 Arden Realty Inc. ........................... 1,353,900
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TELECOMMUNICATIONS -- 1.4%
25,693 Philippine Long Distance
Telephone Co., ADR ........................ 965,286
28,715 Verizon Communications Inc. ................. 978,033
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1,943,319
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WIRELESS COMMUNICATIONS -- 1.8%
90,000 Nextel Partners Inc., Cl. A+ . .............. 2,548,800
49 Winstar Communications Inc.+ (a) ............ 0
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2,548,800
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TOTAL COMMON STOCKS.......................... 40,288,107
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PREFERRED STOCKS -- 0.0%
TELECOMMUNICATIONS -- 0.0%
3,679 PTV Inc., 10.000% Pfd., Ser. A+ ............. 8,921
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PRINCIPAL
AMOUNT
-------
CORPORATE BONDS -- 0.9%
DIVERSIFIED INDUSTRIAL -- 0.9%
$2,000,000 GP Strategies Corp., Sub. Deb.,
6.000%, 08/14/08 (a)(d) ................... 1,325,397
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SHARES
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WARRANTS -- 0.5%
BUSINESS SERVICES -- 0.0%
87,500 Interep National Radio Sales Inc.,
expire 05/06/07+ (a)(b)(d) ................ 0
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CONSUMER PRODUCTS -- 0.0%
4,331 Pillowtex Corp., expire 11/24/09+ (a) ....... 1
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4
THE GABELLI CONVERTIBLE AND INCOME SECURITIES FUND INC.
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 2006 (UNAUDITED)
MARKET
SHARES VALUE*
------ --------
WARRANTS (CONTINUED)
DIVERSIFIED INDUSTRIAL -- 0.5%
262,431 GP Strategies Corp.,
expire 08/14/08+ (a)(d) ................... $ 585,636
379,703 National Patent Development Corp.,
expire 08/14/08+ (a)(d) 100,014
11,220 WHX Corp., expire 02/28/08+.................. 11,781
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697,431
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FOOD AND BEVERAGE -- 0.0%
1,300 Parmalat SpA, GDR,
expire 12/31/15+ (b) ...................... 0
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TOTAL WARRANTS............................... 697,432
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PRINCIPAL
AMOUNT
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U.S. GOVERNMENT OBLIGATIONS -- 27.1%
$38,980,000 U.S. Treasury Bills,
4.327% to 4.756%++,
04/06/06 to 09/07/06 (f) .................. 38,866,169
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TOTAL INVESTMENTS -- 100.0%
(Cost $138,425,979) ................................... $144,161,822
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For Federal tax purposes:
Aggregate cost.................................. $138,838,845
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Gross unrealized appreciation................... $ 10,182,330
Gross unrealized depreciation................... (4,859,353)
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Net unrealized appreciation (depreciation) ..... $ 5,322,977
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SECURITIES SOLD SHORT -- (0.3)%
SHARES
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AVIATION: PARTS AND SERVICES -- (0.3)%
5,000 Sequa Corp., Cl. A+.......................... $ 489,000
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TOTAL SECURITIES SOLD SHORT
(Total Proceeds $494,710) ................. $ 489,000
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(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 March 31, 2006, the
market value of fair valued securities amounted to $3,501,200 or 2.43% 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 March 31,
2006, the market value of Rule 144A securities amounted to $5,396,093 or
3.74% of total investments. Except as noted in (d), these securities are
liquid.
(c) Security in default.
(d) At March 31, 2006, the Fund held restricted and illiquid securities
amounting to $3,501,082 or 2.36% of net assets, which were valued under
methods approved by the Board as follows:
ACQUISITION
SHARES/ 03/31/2006
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 $ 0.6627
262,431 GP Strategies Corp. Warrants
expire 08/14/08 ............. 08/08/03 637,065 2.2316
100 Gray Television Inc.,
8.000% Cv. Pfd., Ser. C ..... 04/22/02 1,000,000 10,000.0000
14,001 Interep National Radio Sales Inc.,
4.000% Cv. Pfd., Ser. A ..... 05/03/02 1,347,184 35.0000
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 .... 11/24/05 -- 0.2634
(e) Principal amount denoted in British Pounds.
(f) At March 31, 2006, $1,000,000 of the principal amount was pledged as
collateral for security sold short.
+ Non-income producing security.
++ Represents annualized yield at date of purchase.
ADR American Depository Receipt
CVO Contingent Value Obligation
GDR Global Depository Receipt
* 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.
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By (Signature and Title)* /s/ Bruce N. Alpert
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Bruce N. Alpert, Principal Executive Officer
Date May 1, 2006
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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
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Bruce N. Alpert, Principal Executive Officer
Date May 1, 2006
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By (Signature and Title)* /s/ Agnes Mullady
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Agnes Mullady, Principal Financial Officer &
Treasurer
Date May 1, 2006
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* Print the name and title of each signing officer under his or her signature.