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

Bruce N. Alpert
Gabelli Funds, LLC
One Corporate Center
Rye, New York 10580-1422

Registrant’s telephone number, including area code: 1-800-422-3554

Date of fiscal year end: December 31

Date of reporting period: September 30, 2010

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 

 

The Schedule(s) of Investments is attached herewith.

The Gabelli Convertible and Income Securities Fund Inc. Third Quarter Report September 30, 2010

Mario J. Gabelli, CFA  

     During the third quarter of 2010, The Gabelli Convertible and Income Securities Fund’s (the “Fund”) total return was 7.4% on a net asset value (“NAV”) basis compared with gains of 11.3%, 3.3%, and 9.6% for the Standard & Poor’s (“S&P”) 500 Index, the Barclays Capital Government/Corporate Bond Index, and the Lipper Convertible Securities Fund Average, respectively. The total return for the Fund’s publicly traded shares was 7.3% during the third quarter of 2010.

     Enclosed is the investment portfolio as of September 30, 2010.

																																		Since
						Year to																												Inception
		Quarter				Date				1 Year				3 Year				5 Year				10 Year				15 Year				20 Year				(07/03/89)
Gabelli Convertible and Income Securities Fund
NAV Total Return (b)			7.36	%			4.85	%			8.83	%			(1.85	)%			2.95	%			3.63	%			4.99	%			6.48	%			6.50	%
Investment Total Return (c)			7.31				7.53				12.07				(3.28	)			(0.02	)			4.38				5.44				N/A	(d)			5.26	(d)
S&P 500 Index			11.30				3.91				10.18				(7.15	)			0.64				(0.43	)			6.45				9.05				8.51	(e)
Barclays Capital Government/Corporate Bond Index			3.28				8.95				8.73				7.46				6.15				6.52				6.44				7.30				7.23	(e)
Lipper Convertible Securities Fund Average			9.64				8.04				13.32				(0.71	)			3.64				3.09				6.97				9.40				8.55	(e)

 

THE GABELLI CONVERTIBLE AND INCOME SECURITIES FUND INC.
SCHEDULE OF INVESTMENTS
September 30, 2010 (Unaudited)

Principal						Market
Amount						Value
				CONVERTIBLE CORPORATE BONDS — 28.0%
				Aerospace — 3.1%
				GenCorp Inc., Sub. Deb. Cv.,
$	1,800,000			2.250%, 11/15/24		$	1,746,000
	1,600,000			4.063%, 12/31/39 (a)			1,450,000
							3,196,000
				Automotive — 0.7%
	600,000			Navistar International Corp., Sub. Deb. Cv., 3.000%, 10/15/14			677,250
				Automotive: Parts and Accessories — 2.1%
	2,114,000			Standard Motor Products Inc., Sub. Deb. Cv., 15.000%, 04/15/11 (b)			2,116,114
				Broadcasting — 4.1%
	4,000,000			Sinclair Broadcast Group Inc., Sub. Deb. Cv., 6.000%, 09/15/12			3,950,000
	200,000			Sirius XM Radio Inc., Sub. Deb. Cv., 7.000%, 12/01/14 (a)			219,000
							4,169,000
				Business Services — 1.8%
	1,700,000			The Interpublic Group of Companies Inc., Cv., 4.250%, 03/15/23			1,848,750
				Cable and Satellite — 0.0%
	400,000			Adelphia Communications Corp., Sub. Deb. Cv., 3.250%, 05/01/21† (b)			0
				Computer Hardware — 3.6%
	4,000,000			SanDisk Corp., Cv., 1.000%, 05/15/13			3,690,000
				Consumer Products — 0.2%
	200,000			Eastman Kodak Co., Cv., 7.000%, 04/01/17 (a)			185,250
				Diversified Industrial — 4.4%
	3,000,000			Griffon Corp., Sub. Deb. Cv., 4.000%, 01/15/17 (a)			3,195,000
	1,400,000			Roper Industries Inc., Sub. Deb. Cv. (STEP), 0.000%, 01/15/34†			1,113,000
	50,000			Textron Inc., Ser. TXT, Cv., 4.500%, 05/01/13			85,500
	100,000			Trinity Industries Inc., Sub. Deb. Cv., 3.875%, 06/01/36			91,000
							4,484,500
				Electronics — 0.1%
	100,000			Intel Corp., Sub. Deb. Cv., 3.250%, 08/01/39			117,250
				Energy and Utilities — 1.4%
	100,000			Seadrill Ltd., Cv., 3.625%, 11/08/12			112,000
	900,000			Transocean Ltd., Ser. A, Cv., 1.625%, 12/15/37			897,750
	400,000			UniSource Energy Corp., Cv., 4.500%, 03/01/35 (a)			402,500
							1,412,250
				Entertainment — 0.1%
	50,000			Take-Two Interactive Software Inc., Cv., 4.375%, 06/01/14			59,250
	100,000			THQ Inc., Cv., 5.000%, 08/15/14			90,125
							149,375
				Environmental Services — 0.4%
	350,000			Covanta Holding Corp., Cv., 3.250%, 06/01/14			395,063
				Financial Services — 1.7%
	1,500,000			Janus Capital Group Inc., Cv., 3.250%, 07/15/14			1,717,500
				Food and Beverage — 0.6%
	630,000			Spartan Stores Inc., Cv., 3.375%, 05/15/27			571,725
				Health Care — 0.7%
	100,000			Chemed Corp., Cv., 1.875%, 05/15/14			96,250
	100,000			Kinetic Concepts Inc., Cv., 3.250%, 04/15/15 (a)			100,625
	150,000			Thoratec Corp., Sub. Deb. Cv. (STEP), 1.380%, 05/16/34			164,625
	400,000			Wright Medical Group Inc., Cv., 2.625%, 12/01/14			357,500
							719,000
				Hotels and Gaming — 1.2%
	900,000			Gaylord Entertainment Co., Cv., 3.750%, 10/01/14 (a)			1,179,000
				Metals and Mining — 0.2%
	100,000			Alcoa Inc., Cv., 5.250%, 03/15/14			201,125

See accompanying notes to schedule of investments.

THE GABELLI CONVERTIBLE AND INCOME SECURITIES FUND INC.
SCHEDULE OF INVESTMENTS (Continued)
September 30, 2010 (Unaudited)

Principal						Market
Amount						Value
				CONVERTIBLE CORPORATE BONDS (Continued)
				Retail — 1.6%
$	60,000			Costco Wholesale Corp., Sub. Deb. Cv., Zero Coupon, 08/19/17		$	88,125
	100,000			Pier 1 Imports Inc., Cv. (STEP), 6.375%, 02/15/36			101,625
	2,000,000			The Great Atlantic & Pacific Tea Co. Inc., Cv., 5.125%, 06/15/11			1,457,500
							1,647,250
				TOTAL CONVERTIBLE CORPORATE BONDS			28,476,402

Shares
				CONVERTIBLE PREFERRED STOCKS — 3.7%
				Automotive — 1.4%
	30,000			Ford Motor Co. Capital Trust II, 6.500% Cv. Pfd.			1,437,300
				Business Services — 0.0%
	20,000			Key3Media Group Inc. (STEP), 5.500% Cv. Pfd., Ser. B† (b)			117
				Communications Equipment — 0.5%
	600			Lucent Technologies Capital Trust I, 7.750% Cv. Pfd.			486,000
				Energy and Utilities — 0.9%
	6,000			AES Trust III, 6.750% Cv. Pfd.			292,080
	500			El Paso Corp., 4.990% Cv. Pfd. (a)			569,625
	300			El Paso Energy Capital Trust I, 4.750% Cv. Pfd.			11,475
	5			Whiting Petroleum Corp., 6.250%, Cv. Pfd.			1,155
							874,335
				Financial Services — 0.0%
	20,000			Federal National Mortgage Association, 8.750%, Cv. Pfd., Ser. 08-1			8,200
				Health Care — 0.0%
	100			Elite Pharmaceuticals Inc., $2.32 Cv. Pfd., Ser. C† (b)(c)			5,727
				Telecommunications — 0.5%
	14,000			Cincinnati Bell Inc., 6.750% Cv. Pfd., Ser. B			546,000
				Transportation — 0.4%
	2,500			GATX Corp., $2.50 Cv. Pfd., Ser. A (b)			366,250
				TOTAL CONVERTIBLE PREFERRED STOCKS			3,723,929
				COMMON STOCKS — 34.8%
				Aerospace — 0.7%
	1,000			Rockwell Automation Inc.			61,730
	65,000			Rolls-Royce Group plc†			616,222
							677,952
				Automotive: Parts and Accessories — 1.3%
	30,000			Genuine Parts Co.			1,337,700
				Cable and Satellite — 0.1%
	493,409			Adelphia Recovery Trust† (b)			0
	2,000			Rogers Communications Inc., Cl. B			74,860
							74,860
				Communications Equipment — 0.3%
	17,000			Corning Inc.			310,760
				Computer Hardware — 0.9%
	7,000			International Business Machines Corp.			938,980
				Computer Software and Services — 1.7%
	8,000			Diebold Inc.			248,720
	9,000			Furmanite Corp.†			43,920
	20,000			McAfee Inc.†			945,200
	20,000			Microsoft Corp.			489,800
							1,727,640
				Consumer Products — 1.2%
	2,000			Kimberly-Clark Corp.			130,100
	40,000			Swedish Match AB			1,067,007
							1,197,107
				Diversified Industrial — 2.1%
	100,000			General Electric Co.			1,625,000
	355,000			National Patent Development Corp.†			493,450
	880			Textron Inc.			18,093
							2,136,543
				Energy and Utilities — 8.3%
	4,400			Anadarko Petroleum Corp.			251,020
	6,000			BP plc, ADR			247,020
	1,500			CH Energy Group Inc.			66,240
	8,000			Chevron Corp.			648,400
	5,000			ConocoPhillips			287,150
	6,000			CONSOL Energy Inc.			221,760
	3,000			Devon Energy Corp.			194,220
	15,000			Exxon Mobil Corp.			926,850
	50,000			Great Plains Energy Inc.			945,000
	14,000			Halliburton Co.			462,980
	38,000			Mirant Corp.†			378,480
	1,200,000			Mirant Corp., Escrow† (b)			0
	20,000			National Fuel Gas Co.			1,036,200

See accompanying notes to schedule of investments.

THE GABELLI CONVERTIBLE AND INCOME SECURITIES FUND INC.
SCHEDULE OF INVESTMENTS (Continued)
September 30, 2010 (Unaudited)

						Market
Shares						Value
				COMMON STOCKS (Continued)
				Energy and Utilities (Continued)
	18,000			NextEra Energy Inc.		$	979,020
	20,000			Northeast Utilities			591,400
	10,000			Progress Energy Inc., CVO†			1,500
	16,000			Royal Dutch Shell plc, Cl. A, ADR			964,800
	12,000			SJW Corp.			295,560
							8,497,600
				Equipment and Supplies — 0.1%
	3,000			Mueller Industries Inc.			79,470
				Financial Services — 6.8%
	24,000			AllianceBernstein Holding LP			633,840
	34,000			American Express Co.			1,429,020
	20,000			AmeriCredit Corp.†			489,200
	2,500			Deutsche Bank AG			137,325
	6,000			GAM Holding Ltd.†			90,978
	5,000			HSBC Holdings plc, ADR			252,950
	5,000			JPMorgan Chase & Co.			190,350
	13,000			Julius Baer Group Ltd.			473,220
	10,000			Marsh & McLennan Companies Inc.			241,200
	13,000			Morgan Stanley			320,840
	6,000			Royal Bank of Canada			312,780
	33,000			The Bank of New York Mellon Corp.			862,290
	60,000			Wells Fargo & Co.			1,507,800
							6,941,793
				Food and Beverage — 3.1%
	6,500			Dr. Pepper Snapple Group Inc.			230,880
	2,000			General Mills Inc.			73,080
	7,021			Kraft Foods Inc., Cl. A			216,668
	100,000			Parmalat SpA			256,564
	200,000			Parmalat SpA, GDR (a)(c)			513,860
	1,020			Pernod-Ricard SA			85,169
	30,000			The Coca-Cola Co.			1,755,600
							3,131,821
				Health Care — 4.1%
	5,000			Baxter International Inc.			238,550
	3,000			Covidien plc			120,570
	33,000			Eli Lilly & Co.			1,205,490
	157,442			Elite Pharmaceuticals Inc.†			9,447
	18,000			Johnson & Johnson			1,115,280
	5,000			Merck & Co. Inc.			184,050
	55,000			Pfizer Inc.			944,350
	10,000			UnitedHealth Group Inc.			351,100
							4,168,837
				Machinery — 0.0%
	1,000			Mueller Water Products Inc., Cl. A			3,020
				Retail — 1.0%
	13,000			Wal-Mart Stores Inc.			695,760
	10,000			Walgreen Co.			335,000
							1,030,760
				Specialty Chemicals — 0.1%
	3,000			International Flavors & Fragrances Inc.			145,560
				Telecommunications — 2.9%
	10,000			BCE Inc.			325,000
	4,000			Belgacom SA			155,983
	3,000			Philippine Long Distance Telephone Co., ADR			179,580
	2,800			Swisscom AG			1,129,232
	16,000			Telekom Austria AG			240,805
	27,000			Verizon Communications Inc.			879,930
							2,910,530
				Transportation — 0.1%
	4,000			GATX Corp.			117,280
				Wireless Communications — 0.0%
	2,000			Turkcell Iletisim Hizmetleri A/S, ADR			33,520
	49			Winstar Communications Inc.† (b)			0
							33,520
				TOTAL COMMON STOCKS			35,461,733
				PREFERRED STOCKS — 0.0%
				Telecommunications — 0.0%
	3,679			PTV Inc., 10.000% Pfd., Ser. A†			294
				RIGHTS — 0.0%
				Financial Services — 0.0%
	2,500			Deutsche Bank AG, expire 10/05/10†			12,425
				WARRANTS — 0.0%
				Food and Beverage — 0.0%
	1,300			Parmalat SpA, GDR, expire 12/31/15† (a)(b)(c)			877
				Health Care — 0.0%
	12,930			Elite Pharmaceuticals Inc., expire 04/24/12† (b)(c)			48
				TOTAL WARRANTS			925

See accompanying notes to schedule of investments.

THE GABELLI CONVERTIBLE AND INCOME SECURITIES FUND INC.
SCHEDULE OF INVESTMENTS (Continued)
September 30, 2010 (Unaudited)

Principal						Market
Amount						Value
				CORPORATE BONDS — 2.0%
				Consumer Products — 0.0%
$	1,500,000			Pillowtex Corp., Sub. Deb., 9.000%, 12/15/10† (b)		$	0
				Electronics — 0.3%
	300,000			Stoneridge Inc., 11.500%, 05/01/12			302,625
				Energy and Utilities — 0.7%
	1,000,000			Texas Competitive Electric Holdings Co. LLC, Ser. B (STEP), 10.250%, 11/01/15			660,000
				Health Care — 0.0%
	150,000			Sabratek Corp., Sub. Deb., 6.000%, 04/15/11† (b)			0
				Machinery — 1.0%
	1,000,000			Terex Corp., Sub. Deb., 7.375%, 01/15/14			1,027,500
				Manufactured Housing and Recreational Vehicles — 0.0%
	103,000			Fleetwood Enterprises Inc., 14.000%, 12/15/11† (b)			15,836
				Telecommunications — 0.0%
				AMNEX Inc., Sub. Deb.,
	30,000			8.500%, 09/25/49† (b)			0
	50,000			8.500%, 09/25/49† (a)(b)(c)			0
							0
				TOTAL CORPORATE BONDS			2,005,961
				U.S. GOVERNMENT OBLIGATIONS — 31.5%
	32,070,000			U.S. Treasury Bills, 0.077% to 0.224%††, 10/07/10 to 03/17/11			32,056,916
TOTAL INVESTMENTS — 100.0% (Cost $98,482,918)						$	101,738,585
				Aggregate tax cost		$	98,989,973
				Gross unrealized appreciation		$	7,272,057
				Gross unrealized depreciation			(4,523,445	)
				Net unrealized appreciation/depreciation		$	2,748,612

Acquisition
Shares/												09/30/2010
Principal						Acquisition		Acquisition				Carrying Value
Amount				Issuer		Date		Cost				Per Unit
$	50,000			AMNEX Inc., Sub. Deb., 8.500%, 09/25/49		09/15/97		$	48,801				—
	100			Elite Pharmaceuticals Inc., $2.32 Cv. Pfd., Ser. C		04/25/07			91,465			$	57.2700
	12,930			Elite Pharmaceuticals Inc., Warrants expire 04/24/12		04/25/07			8,535				0.0037
	200,000			Parmalat SpA, GDR		04/10/03			809,275				2.5693
	1,300			Parmalat SpA, GDR, Warrants expire 12/31/15		11/09/05			—				0.6746

See accompanying notes to schedule of investments.

THE GABELLI CONVERTIBLE AND INCOME SECURITIES FUND INC. (the “Fund”)
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

          The Fund’s financial statements are prepared in accordance with U.S. generally accepted accounting principles (“GAAP”), which may require the use of management estimates and assumptions. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.

Security Valuation. Portfolio securities listed or traded on a nationally recognized securities exchange or traded in the U.S. over-the-counter market for which market quotations are readily available are valued at the last quoted sale price or a market’s official closing price as of the close of business on the day the securities are being valued. If there were no sales that day, the security is valued at the average of the closing bid and asked prices or, if there were no asked prices quoted on that day, then the security is valued at the closing bid price on that day. If no bid or asked prices are quoted on such day, the security is valued at the most recently available price or, if the Board of Directors (the “Board”) so determines, by such other method as the Board shall determine in good faith to reflect its fair market value. Portfolio securities traded on more than one national securities exchange or market are valued according to the broadest and most representative market, as determined by Gabelli Funds, LLC (the “Adviser”).

          Portfolio securities primarily traded on a foreign market are generally valued at the preceding closing values of such securities on the relevant market, but may be fair valued pursuant to procedures established by the Board if market conditions change significantly after the close of the foreign market but prior to the close of business on the day the securities are being valued. Debt instruments with remaining maturities of sixty days or less that are not credit impaired are valued at amortized cost, unless the Board determines such amount does not reflect the securities’ fair value, in which case these securities will be fair valued as determined by the Board. Debt instruments having a maturity greater than sixty days for which market quotations are readily available are valued at the average of the latest bid and asked prices. If there were no asked prices quoted on such day, the security is valued using the closing bid price. U.S. government obligations with maturities greater than sixty days are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, and reference data. Certain securities are valued principally using dealer quotations. Futures contracts are valued at the closing settlement price of the exchange or board of trade on which the applicable contract is traded.

          Securities and assets for which market quotations are not readily available are fair valued as determined by the Board. Fair valuation methodologies and procedures may include, but are not limited to: analysis and review of available financial and non-financial information about the company; comparisons with the valuation and changes in valuation of similar securities, including a comparison of foreign securities with the equivalent U.S. dollar value ADR securities at the close of the U.S. exchange; and evaluation of any other information that could be indicative of the value of the security.

          The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:

	•		Level 1 — quoted prices in active markets for identical securities;
	•		Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
	•		Level 3 — significant unobservable inputs (including the Fund’s determinations as to the fair value of investments).

THE GABELLI CONVERTIBLE AND INCOME SECURITIES FUND INC.
NOTES TO SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

          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 summary of the Fund’s investments in securities and other financial instruments by inputs used to value the Fund’s investments as of September 30, 2010 is as follows:

		Valuation Inputs
		Level 1				Level 2				Level 3				Total
		Quoted				Other Significant				Significant				Market Value
		Prices				Observable Inputs				Unobservable Inputs				at 9/30/10
INVESTMENTS IN SECURITIES:
ASSETS (Market Value):
Convertible Corporate Bonds		$	112,000			$	28,364,402			$	0			$	28,476,402
Convertible Preferred Stocks:
Business Services			—				—				117				117
Health Care			—				—				5,727				5,727
Transportation			—				366,250				—				366,250
Other Industries (a)			3,351,835				—				—				3,351,835
Total Convertible Preferred Stocks			3,351,835				366,250				5,844				3,723,929
Common Stocks:
Cable and Satellite			74,860				—				0				74,860
Energy and Utilities			8,496,100				1,500				0				8,497,600
Wireless Communications			33,520				—				0				33,520
Other Industries (a)			26,855,753				—				—				26,855,753
Total Common Stocks			35,460,233				1,500				0				35,461,733
Preferred Stocks (a)			—				—				294				294
Rights (a)			12,425				—				—				12,425
Warrants (a)			—				925				—				925
Corporate Bonds			—				1,990,125				15,836				2,005,961
U.S. Government Obligations			—				32,056,916				—				32,056,916
TOTAL INVESTMENTS IN SECURITIES — ASSETS		$	38,936,493			$	62,780,118			$	21,974			$	101,738,585
OTHER FINANCIAL INSTRUMENTS:
ASSETS (Unrealized Appreciation): *
EQUITY CONTRACT
Contract for Difference Swap Agreement		$	—			$	16,528			$	—			$	16,528

(a)		Please refer to the Schedule of Investments (“SOI”) for the industry classifications of these portfolio holdings.
*		Other financial instruments are derivatives not reflected in the SOI, such as futures, forwards, and swaps, which are valued at the unrealized appreciation/depreciation of the instrument.

          The Fund did not have significant transfers between Level 1 and Level 2 during the period ended September 30, 2010.

THE GABELLI CONVERTIBLE AND INCOME SECURITIES FUND INC.
NOTES TO SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

          The following table reconciles Level 3 investments for which significant unobservable inputs were used to determine fair value:

																																		Net change
																																		in unrealized
																																		appreciation/
																																		depreciation
														Change in																				during the
		Balance				Accrued				Realized				unrealized				Net				Transfers				Transfers				Balance				period on Level 3
		as of				discounts/				gain/				appreciation/				purchases/				into				out of				as of				investments held
		12/31/09				(premiums)				(loss)				depreciation				(sales)				Level 3†				Level 3†				9/30/10				at 9/30/10
INVESTMENTS IN SECURITIES:
ASSETS (Market Value):
Convertible Corporate Bonds		$	0			$	—			$	—			$	—			$	—			$	—			$	—			$	0			$	—
Convertible Preferred Stocks:
Business Services			117				—				(1,347,183	)			1,347,183				(0	)			—				—				117				—
Health Care			8,832				—				—				(3,105	)			—				—				—				5,727				(3,105	)
Total Convertible Preferred Stocks			8,949				—				(1,347,183	)			1,344,078				(0	)			—				—				5,844				(3,105	)
Common Stocks:
Cable and Satellite			0				—				—				—				—				—				—				0				—
Energy and Utilities			0				—				—				—				—				—				—				0				—
Wireless Communications			0				—				—				—				—				—				—				0				—
Total Common Stocks			0				—				—				—				—				—				—				0				—
Preferred Stocks:
Telecommunications			—				—				—				—				—				294				—				294				—
Corporate Bonds			35,120				—				—				(19,284	)			—				—				—				15,836				(19,284	)
TOTAL INVESTMENTS IN SECURITIES		$	44,069			$	—			$	(1,347,183	)		$	1,324,794			$	(0	)		$	294			$	—			$	21,974			$	(22,389	)

†		The Fund’s policy is to recognize transfers into and transfers out of Level 3 as of the beginning of the reporting period.

          In January 2010, the Financial Accounting Standards Board (“FASB”) issued amended guidance to improve disclosure about fair value measurements which requires additional disclosures about transfers between Levels 1 and 2 and separate disclosures about purchases, sales, issuances, and settlements in the reconciliation of fair value measurements using significant unobservable inputs (Level 3). FASB also clarified existing disclosure requirements relating to the levels of disaggregation of fair value measurement and inputs and valuation techniques used to measure fair value. The amended guidance is effective for financial statements for fiscal years beginning after December 15, 2009 and interim periods within those fiscal years. Management has adopted the amended guidance and determined that there was no material impact to the Fund’s financial statements except for additional disclosures made in the notes. Disclosures about purchases, sales, issuances, and settlements in the rollforward of activity in Level 3 fair value measurements are effective for fiscal years beginning after December 15, 2010 and for interim periods within those fiscal years. Management is currently evaluating the impact of the additional disclosure requirements on the Fund’s financial statements.

Foreign Currency Translations. The books and records of the Fund are maintained in U.S. dollars. Foreign currencies, investments, and other assets and liabilities are translated into U.S. dollars at the current exchange rates. Purchases and sales of investment securities, income, and expenses are translated at the exchange rate prevailing on the respective dates of such transactions. Unrealized gains and losses that result from changes in foreign exchange rates and/or changes in market prices of securities have been included in unrealized appreciation/depreciation on investments and foreign currency translations. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of interest and dividends recorded on the books of the Fund and the amounts actually received. The portion of foreign currency gains and losses related to fluctuation in exchange rates between the initial purchase trade date and subsequent sale trade date is included in realized gain/loss on investments.

THE GABELLI CONVERTIBLE AND INCOME SECURITIES FUND INC.
NOTES TO SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

Foreign Securities. The Fund may directly purchase securities of foreign issuers. Investing in securities of foreign issuers involves special risks not typically associated with investing in securities of U.S. issuers. The risks include possible revaluation of currencies, the inability to repatriate funds, less complete financial information about companies, and possible future adverse political and economic developments. Moreover, securities of many foreign issuers and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. issuers.

Foreign Taxes. The Fund may be subject to foreign taxes on income, gains on investments, or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.

Restricted and Illiquid Securities. The Fund may invest up to 15% of its net assets in securities for which the markets are illiquid. Illiquid securities include securities the disposition of which is subject to substantial legal or contractual restrictions. The sale of illiquid securities often requires more time and results in higher brokerage charges or dealer discounts and other selling expenses than does the sale of securities eligible for trading on national securities exchanges or in the over-the-counter markets. Restricted securities may sell at a price lower than similar securities that are not subject to restrictions on resale. Securities freely saleable among qualified institutional investors under special rules adopted by the SEC may be treated as liquid if they satisfy liquidity standards established by the Board. The continued liquidity of such securities is not as well assured as that of publicly traded securities, and accordingly the Board will monitor their liquidity. For the restricted and illiquid securities the Fund held as of September 30, 2010, refer to the Schedule of Investments.

Derivative Financial Instruments. The Fund may engage in various portfolio investment strategies by investing in a number of derivative financial instruments for the purpose of increasing the income of the Fund, hedging against changes in the value of its portfolio securities and in the value of securities it intends to purchase, or hedging against a specific transaction with respect to either the currency in which the transaction is denominated or another currency. Investing in certain derivative financial instruments, including participation in the options, futures, or swap markets, entails certain execution, liquidity, hedging, tax, and securities, interest, credit, or currency market risks. Losses may arise if the Adviser’s prediction of movements in the direction of the securities, foreign currency, and interest rate markets is inaccurate. Losses may also arise if the counterparty does not perform its duties under a contract, or that, in the event of default, the Fund may be delayed in or prevented from obtaining payments or other contractual remedies owed to it under derivative contracts. The creditworthiness of the counterparties is closely monitored in order to minimize these risks. Participation in derivative transactions involves investment risks, transaction costs, and potential losses to which the Fund would not be subject absent the use of these strategies. The consequences of these risks, transaction costs, and losses may have a negative impact on the Fund’s ability to pay distributions.

          The Fund’s derivative contracts held at September 30, 2010, if any, are not accounted for as hedging instruments under GAAP.

          Swap Agreements. The Fund may enter into equity and contract for difference swap transactions for the purpose of increasing the income of the Fund. The use of swaps is a highly specialized activity that involves investment techniques and risks different from those associated with ordinary portfolio security transactions. In a swap, a set of future cash flows is exchanged between two counterparties. One of these cash flow streams will typically be based on a reference interest rate combined with the performance of a notional value of shares of a stock. The other will be based on the performance of the shares of a stock. Depending on the general state of short-term interest rates and the returns on the Fund’s portfolio securities at the time a swap transaction reaches its scheduled termination date, there is a risk that the Fund will not be able to obtain a replacement transaction or that the terms of the replacement will not be as favorable as on the expiring transaction.

THE GABELLI CONVERTIBLE AND INCOME SECURITIES FUND INC.
NOTES TO SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

          The Fund has entered into an equity contract for difference swap agreement with The Goldman Sachs Group, Inc. Details of the swap at September 30, 2010 are as follows:

Notional		Equity Security		Interest Rate/		Termination		Net Unrealized
Amount		Received		Equity Security Paid		Date		Appreciation
		Market Value Appreciation on:		One month LIBOR plus 90 bps plus Market Value Depreciation on:
$433,636 (47,500 Shares)		Rolls-Royce Group plc		Rolls-Royce Group plc		6/27/11		$16,528

          The Fund’s volume of activity in equity contract for difference swap agreements during the period ended September 30, 2010 had an average monthly notional amount of approximately $412,640.

          Futures Contracts. The Fund may engage in futures contracts for the purpose of hedging against changes in the value of its portfolio securities and in the value of securities it intends to purchase. Upon entering into a futures contract, the Fund is required to deposit with the broker an amount of cash or cash equivalents equal to a certain percentage of the contract amount. This is known as the “initial margin.” Subsequent payments (“variation margin”) are made or received by the Fund each day, depending on the daily fluctuations in the value of the contract, which are included in unrealized appreciation/depreciation on futures contracts. The Fund recognizes a realized gain or loss when the contract is closed.

          There are several risks in connection with the use of futures contracts as a hedging instrument. The change in value of futures contracts primarily corresponds with the value of their underlying instruments, which may not correlate with the change in value of the hedged investments. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market. During the period ended September 30, 2010, the Fund had no investments in futures contracts.

          Forward Foreign Exchange Contracts. The Fund may engage in forward foreign exchange contracts for the purpose of hedging a specific transaction with respect to either the currency in which the transaction is denominated or another currency as deemed appropriate by the Adviser. Forward foreign exchange contracts are valued at the forward rate and are marked-to-market daily. The change in market value is included in unrealized appreciation/depreciation on foreign currency translations. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

          The use of forward foreign exchange contracts does not eliminate fluctuations in the underlying prices of the Fund’s portfolio securities, but it does establish a rate of exchange that can be achieved in the future. Although forward foreign exchange contracts limit the risk of loss due to a decline in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency increase. In addition, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. During the period ended September 30, 2010, the Fund had no investments in forward foreign exchange contracts.

          The following table summarizes the net unrealized appreciation of derivatives held at September 30, 2010 by primary risk exposure:

		Net Unrealized
		Appreciation at
Asset Derivatives:		September 30, 2010
Equity Contract		$	16,528

Tax Information. The Fund intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended.

          At December 31, 2009, the Fund had net capital loss carryforwards for federal income tax purposes of $6,349,308, which are available to reduce future required distributions of net capital gains to shareholders through 2017.

DIRECTORS AND OFFICERS
THE GABELLI CONVERTIBLE AND INCOME SECURITIES FUND INC.
One Corporate Center, Rye, NY 10580-1422

Directors

Mario J. Gabelli, CFA

Chairman & Chief Executive Officer,

GAMCO Investors, Inc.

E. Val Cerutti

Chief Executive Officer,

Cerutti Consultants, Inc.

Anthony J. Colavita

President,

Anthony J. Colavita, P.C.

Dugald A. Fletcher

President, Fletcher & Company, Inc.

Anthony R. Pustorino

Certified Public Accountant,

Professor Emeritus, Pace University

Werner J. Roeder, MD

Medical Director,

Lawrence Hospital

Anthonie C. van Ekris

Chairman, BALMAC International, Inc.

Salvatore J. Zizza

Chairman, Zizza & Co., Ltd.

Officers

Bruce N. Alpert

President

Peter D. Goldstein

Chief Compliance Officer

Christopher Haydon

Ombudsman

Laurissa M. Martire

Vice President

Agnes Mullady

Treasurer & Secretary

Investment Adviser
Gabelli Funds, LLC
One Corporate Center
Rye, New York 10580-1422

Custodian
State Street Bank and Trust Company

Counsel
Skadden, Arps, Slate, Meagher & Flom LLP

Transfer Agent and Registrar
Computershare Trust Company, N.A.

Stock Exchange Listing

				6.00%
		Common		Preferred
NYSE–Symbol:		GCV		GCV PrB
Shares Outstanding:		13,297,318		965,548

The Net Asset Value per share appears in the Publicly Traded Funds column, under the heading “Convertible Securities Funds,” in Monday’s The Wall Street Journal. It is also listed in Barron’s Mutual Funds/Closed End Funds section under the heading “Convertible Securities Funds.”

The Net Asset Value per share may be obtained each day by calling (914) 921-5070 or visiting www.gabelli.com.

(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.

Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

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 11/26/10

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 11/26/10

By (Signature and Title)*		/s/ Agnes Mullady   Agnes Mullady, Principal Financial Officer and Treasurer

Date 11/26/10