UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

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: March 31, 2011

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.

 

 

Item 1. Schedule of Investments.

The Schedule(s) of Investments is attached herewith.

		The Gabelli Convertible and Income Securities Fund Inc. First Quarter Report March 31, 2011		Mario J. Gabelli, CFA

To Our Shareholders,

     During the first quarter of 2011, The Gabelli Convertible and Income Securities Fund’s (the “Fund”) net asset value (“NAV”) total return was 4.6% compared with gains of 5.9%, 0.2% and 5.2% 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 8.8% during the first quarter of 2011.

Enclosed is the investment portfolio as of March 31, 2011.

Comparative Results

Average Annual Returns through March 31, 2011 (a) (Unaudited)

																														Since
																														Inception
		Quarter				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)			4.55	%			9.65	%			3.71	%			3.85	%			4.40	%			5.29	%			6.46	%			6.78	%
Investment Total Return (c)			8.77				8.33				5.60				2.38				4.53				6.22				N/A	(d)			6.03	(d)
S&P 500 Index			5.92				15.65				2.35				2.62				3.29				6.80				8.72				9.12	(e)
Barclays Capital Government/Corporate Bond Index			0.22				5.27				4.81				5.79				5.47				N/A	(f)			N/A	(f)			5.64	(f)
Lipper Convertible Securities Fund Average			5.24				18.20				7.51				6.27				6.35				7.81				8.94				8.69	(e)

THE GABELLI CONVERTIBLE AND INCOME SECURITIES FUND INC.
SCHEDULE OF INVESTMENTS
March 31, 2011 (Unaudited)

Principal						Market
Amount						Value
				CONVERTIBLE CORPORATE BONDS — 26.4%
				Aerospace — 3.4%
				GenCorp Inc., Sub. Deb. Cv.,
$	1,800,000			2.250%, 11/15/24		$	1,800,000
	1,850,000			4.063%, 12/31/39			1,852,313
							3,652,313
				Automotive — 0.9%
	600,000			Navistar International Corp., Sub. Deb. Cv., 3.000%, 10/15/14			909,000
				Automotive: Parts and Accessories — 2.0%
	2,114,000			Standard Motor Products Inc., Sub. Deb. Cv., 15.000%, 04/15/11 (a)			2,159,451
				Broadcasting — 0.2%
	200,000			Sirius XM Radio Inc., Sub. Deb. Cv., 7.000%, 12/01/14 (b)			266,000
				Building and Construction — 0.2%
				Lennar Corp., Cv.,
	100,000			2.000%, 12/01/20 (b)			101,125
	100,000			2.750%, 12/15/20 (b)			109,125
							210,250
				Business Services — 1.8%
	1,700,000			The Interpublic Group of Companies Inc., Cv., 4.250%, 03/15/23			1,950,750
				Cable and Satellite — 0.0%
	400,000			Adelphia Communications Corp., Sub. Deb. Cv., 3.250%, 05/01/21† (a)			0
				Computer Hardware — 3.7%
	4,000,000			SanDisk Corp., Cv., 1.000%, 05/15/13			3,945,000
				Consumer Products — 0.2%
	200,000			Eastman Kodak Co., Cv., 7.000%, 04/01/17			179,250
				Diversified Industrial — 4.8%
	3,000,000			Griffon Corp., Sub. Deb. Cv., 4.000%, 01/15/17 (b)			3,378,750
	1,400,000			Roper Industries Inc., Sub. Deb. Cv. (STEP), Zero Coupon, 01/15/34			1,506,750
	50,000			Textron Inc., Ser. TXT, Cv., 4.500%, 05/01/13			107,250
	100,000			Trinity Industries Inc., Sub. Deb. Cv., 3.875%, 06/01/36			109,500
							5,102,250
				Electronics — 0.6%
	100,000			Intel Corp., Sub. Deb. Cv., 3.250%, 08/01/39			118,125
	500,000			LeCroy Corp., Sub. Deb. Cv., 4.000%, 10/15/26			536,875
							655,000
				Energy and Utilities — 0.5%
	100,000			Seadrill Ltd., Cv., 3.625%, 11/08/12			129,875
	400,000			UniSource Energy Corp., Cv., 4.500%, 03/01/35 (b)			427,000
							556,875
				Entertainment — 0.2%
	50,000			Take-Two Interactive Software Inc., Cv., 4.375%, 06/01/14			79,687
	100,000			THQ Inc., Cv., 5.000%, 08/15/14			98,375
							178,062
				Environmental Services — 0.4%
	350,000			Covanta Holding Corp., Cv., 3.250%, 06/01/14			414,750
				Financial Services — 1.7%
	1,500,000			Janus Capital Group Inc., Cv., 3.250%, 07/15/14			1,807,500
				Health Care — 1.6%
	100,000			Beckman Coulter Inc., Cv., 2.500%, 12/15/36			119,250
	100,000			Chemed Corp., Cv., 1.875%, 05/15/14			104,875
	100,000			Kinetic Concepts Inc., Cv., 3.250%, 04/15/15 (b)			124,875
	1,000,000			King Pharmaceuticals Inc., Cv, 1.250%, 04/01/26			1,015,000
	150,000			Thoratec Corp., Sub. Deb. Cv. (STEP), 1.380%, 05/16/34			116,063
	250,000			Wright Medical Group Inc., Cv., 2.625%, 12/01/14			251,250
							1,731,313
				Hotels and Gaming — 1.2%
	900,000			Gaylord Entertainment Co., Cv., 3.750%, 10/01/14 (b)			1,285,875
				Metals and Mining — 0.3%
	100,000			Alcoa Inc., Cv., 5.250%, 03/15/14			281,750

See accompanying notes to schedule of investments.

THE GABELLI CONVERTIBLE AND INCOME SECURITIES FUND INC.
SCHEDULE OF INVESTMENTS (Continued)
March 31, 2011 (Unaudited)

Principal						Market
Amount						Value
				CONVERTIBLE CORPORATE BONDS (Continued)
				Retail — 1.0%
$	60,000			Costco Wholesale Corp., Sub. Deb. Cv., Zero Coupon, 08/19/17		$	97,725
	630,000			Spartan Stores Inc., Cv., 3.375%, 05/15/27			606,375
	1,200,000			The Great Atlantic & Pacific Tea Co. Inc., Cv., 5.125%, 06/15/11†			408,000
							1,112,100
				Telecommunications — 1.7%
	1,800,000			NII Holdings Inc., Cv., 3.125%, 06/15/12			1,818,000
				TOTAL CONVERTIBLE CORPORATE BONDS			28,215,489
Shares
				CONVERTIBLE PREFERRED STOCKS — 1.6%
				Business Services — 0.0%
	20,000			Key3Media Group Inc. (STEP), 5.500% Cv. Pfd., Ser. B† (a)			117
				Communications Equipment — 0.4%
	400			Lucent Technologies Capital Trust I, 7.750% Cv. Pfd.			392,000
				Energy and Utilities — 0.3%
	6,000			AES Trust III, 6.750% Cv. Pfd.			292,800
	300			El Paso Energy Capital Trust I, 4.750% Cv. Pfd.			13,275
	5			Whiting Petroleum Corp., 6.250%, Cv. Pfd.			1,734
							307,809
				Financial Services — 0.0%
	20,000			Federal National Mortgage Association, 8.750%, Cv. Pfd., Ser. 08-1			17,400
				Health Care — 0.0%
	100			Elite Pharmaceuticals Inc., $2.32 Cv. Pfd., Ser. C† (a)(c)			6,845
				Telecommunications — 0.5%
	14,000			Cincinnati Bell Inc., 6.750% Cv. Pfd., Ser. B			551,600
				Transportation — 0.4%
	2,500			GATX Corp., $2.50 Cv. Pfd., Ser. A (a)			483,250
				TOTAL CONVERTIBLE PREFERRED STOCKS			1,759,021
				COMMON STOCKS — 57.4%
				Aerospace — 0.7%
	1,000			Rockwell Automation Inc.			94,650
	65,000			Rolls-Royce Group plc†			645,453
							740,103
				Automotive: Parts and Accessories — 1.5%
	30,000			Genuine Parts Co.			1,609,200
				Cable and Satellite — 0.1%
	493,409			Adelphia Recovery Trust† (a)			0
	2,000			Rogers Communications Inc., Cl. B			72,800
							72,800
				Communications Equipment — 0.4%
	20,000			Corning Inc.			412,600
				Computer Hardware — 1.1%
	7,000			International Business Machines Corp.			1,141,490
				Computer Software and Services — 0.8%
	11,000			Diebold Inc.			390,060
	20,000			Microsoft Corp.			507,200
							897,260
				Consumer Products — 1.6%
	2,000			Kimberly-Clark Corp.			130,540
	40,000			Swedish Match AB			1,330,186
	3,500			The Procter & Gamble Co.			215,600
							1,676,326
				Diversified Industrial — 2.6%
	5,000			Crane Co.			242,150
	100,000			General Electric Co.			2,005,000
	355,000			National Patent Development Corp.†			539,600
	880			Textron Inc.			24,103
							2,810,853
				Electronics — 0.7%
	6,000			Dionex Corp.†			708,300

See accompanying notes to schedule of investments.

THE GABELLI CONVERTIBLE AND INCOME SECURITIES FUND INC.
SCHEDULE OF INVESTMENTS (Continued)
March 31, 2011 (Unaudited)

						Market
Shares						Value
				COMMON STOCKS (Continued)
				Energy and Utilities — 11.0%
	4,400			Anadarko Petroleum Corp.		$	360,448
	6,000			BP plc, ADR			264,840
	1,500			CH Energy Group Inc.			75,810
	7,500			Chevron Corp.			805,725
	4,500			ConocoPhillips			359,370
	6,000			CONSOL Energy Inc.			321,780
	3,000			Devon Energy Corp.			275,310
	28,614			El Paso Corp.			515,052
	15,000			Exxon Mobil Corp.			1,261,950
	55,000			GenOn Energy Inc.†			209,550
	1,200,000			GenOn Energy Inc., Escrow† (a)			0
	50,000			Great Plains Energy Inc.			1,001,000
	11,000			Halliburton Co.			548,240
	5,000			Hess Corp.			426,050
	20,000			National Fuel Gas Co.			1,480,000
	21,000			NextEra Energy Inc.			1,157,520
	20,000			Northeast Utilities			692,000
	10,000			Progress Energy Inc.			461,400
	10,000			Progress Energy Inc., CVO†			1,450
	16,000			Royal Dutch Shell plc, Cl. A, ADR			1,165,760
	12,000			SJW Corp.			277,800
	3,000			Weatherford International Ltd.†			67,800
							11,728,855
				Equipment and Supplies — 0.1%
	4,000			Mueller Industries Inc.			146,480
				Financial Services — 9.4%
	28,000			AllianceBernstein Holding LP			610,400
	34,000			American Express Co.			1,536,800
	6,000			Deutsche Bank AG			354,420
	6,000			GAM Holding AG†			113,990
	5,500			HSBC Holdings plc, ADR			284,900
	14,000			JPMorgan Chase & Co.			645,400
	13,000			Julius Baer Group Ltd.			564,159
	4,500			M&T Bank Corp.			398,115
	10,000			Marsh & McLennan Companies Inc.			298,100
	13,000			Morgan Stanley			355,160
	8,000			Northern Trust Corp.			406,000
	10,000			PNC Financial Services Group Inc.			629,900
	10,000			Royal Bank of Canada			619,700
	7,000			State Street Corp.			314,580
	33,000			The Bank of New York Mellon Corp.			985,710
	60,000			Wells Fargo & Co.			1,902,000
							10,019,334
				Food and Beverage — 3.8%
	8,000			Dr Pepper Snapple Group Inc.			297,280
	2,000			General Mills Inc.			73,100
	7,021			Kraft Foods Inc., Cl. A			220,178
	200,000			Parmalat SpA			670,049
	200,000			Parmalat SpA, GDR (b)(c)			670,960
	1,020			Pernod-Ricard SA			95,261
	30,000			The Coca-Cola Co.			1,990,500
							4,017,328
				Health Care — 11.2%
	11,000			Abbott Laboratories			539,550
	5,000			Baxter International Inc.			268,850
	15,000			Beckman Coulter Inc.			1,246,050
	18,000			Becton, Dickinson and Co.			1,433,160
	1,000			Cephalon Inc.†			75,780
	1,500			Covidien plc			77,910
	40,000			Eli Lilly & Co.			1,406,800
	238,501			Elite Pharmaceuticals Inc.†			18,603
	40,000			Genzyme Corp.†			3,046,000
	22,000			Johnson & Johnson			1,303,500
	12,000			Merck & Co. Inc.			396,120
	58,000			Pfizer Inc.			1,177,980
	13,000			Roche Holding AG, ADR			467,350
	10,000			UnitedHealth Group Inc.			452,000
							11,909,653
				Machinery — 2.6%
	30,000			Bucyrus International Inc.			2,743,500
	1,000			Mueller Water Products Inc., Cl. A			4,480
							2,747,980
				Retail — 2.2%
	45,000			CVS Caremark Corp.			1,544,400
	13,000			Wal-Mart Stores Inc.			676,650
	2,000			Walgreen Co.			80,280
							2,301,330
				Specialty Chemicals — 3.6%
	10,000			International Flavors & Fragrances Inc.			623,000
	24,000			The Lubrizol Corp.			3,215,040
							3,838,040
				Telecommunications — 3.8%
	23,000			Atheros Communications Inc.†			1,026,950
	10,000			BCE Inc.			363,400
	4,000			Belgacom SA			154,956
	3,000			Philippine Long Distance Telephone Co., ADR			160,500
	2,500			Swisscom AG			1,114,589
	16,000			Telekom Austria AG			234,007
	27,000			Verizon Communications Inc.			1,040,580
							4,094,982

See accompanying notes to schedule of investments.

THE GABELLI CONVERTIBLE AND INCOME SECURITIES FUND INC.
SCHEDULE OF INVESTMENTS (Continued)
March 31, 2011 (Unaudited)

						Market
Shares						Value
				COMMON STOCKS (Continued)
				Transportation — 0.3%
	7,000			GATX Corp.		$	270,620
				Wireless Communications — 0.0%
	3,000			Turkcell Iletisim Hizmetleri A/S, ADR			45,090
	49			Winstar Communications Inc.† (a)			0
							45,090
				TOTAL COMMON STOCKS			61,188,624
				WARRANTS — 0.0%
				Food and Beverage — 0.0%
	1,300			Parmalat SpA, GDR, expire 12/31/15† (a)(b)(c)			1,798
				Health Care — 0.0%
	12,930			Elite Pharmaceuticals Inc., expire 04/24/12† (a)(c)			79
				TOTAL WARRANTS			1,877
Principal
Amount
				CORPORATE BONDS — 0.6%
				Consumer Products — 0.0%
$	1,500,000			Pillowtex Corp., Sub. Deb., 9.000%, 12/15/11† (a)			0
				Energy and Utilities — 0.6%
	1,000,000			Texas Competitive Electric Holdings Co. LLC, Ser. B (STEP), 10.250%, 11/01/15			587,500
				Health Care 0.0%
	150,000			Sabratek Corp., Sub. Deb., 6.000%, 04/15/11† (a)			0
				Manufactured Housing and Recreational Vehicles — 0.0%
	103,000			Fleetwood Enterprises Inc., 14.000%, 12/15/11† (a)			0
				TOTAL CORPORATE BONDS			587,500
				U.S. GOVERNMENT OBLIGATIONS — 14.0%
	14,904,000			U.S. Treasury Bills, 0.120% to 0.207%††, 05/12/11 to 09/15/11			14,898,128
TOTAL INVESTMENTS — 100.0% (Cost $96,071,604)						$	106,650,639
				Aggregate tax cost		$	96,574,728
				Gross unrealized appreciation		$	13,583,851
				Gross unrealized depreciation			(3,507,940	)
				Net unrealized appreciation/depreciation		$	10,075,911

Notional

Termination

Unrealized

Amount

Date

Appreciation

EQUITY CONTRACT FOR DIFFERENCE SWAP AGREEMENT

$

441,421

(47,500 Shares)

Rolls-Royce Group plc

06/27/11

$

30,060

														03/31/11
Acquisition						Acquisition				Acquisition				Carrying Value
Shares				Issuer		Date				Cost				Per Unit
	100			Elite Pharmaceuticals Inc., $2.32 Cv. Pfd., Ser. C			04/25/07			$	91,465			$	68.4500
	12,930			Elite Pharmaceuticals Inc., Warrants expire 04/24/12			04/25/07				8,535				0.0061
	200,000			Parmalat SpA, GDR			04/10/03				809,275				3.3548
	1,300			Parmalat SpA, GDR, Warrants expire 12/31/15			11/09/05				—				1.3831

See accompanying notes to schedule of investments.

THE GABELLI CONVERTIBLE AND INCOME SECURITIES FUND INC.
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 March 31, 2011 is as follows:

		Valuation Inputs
		Level 1				Level 2				Level 3				Total
		Quoted				Other Significant				Significant				Market Value
		Prices				Observable Inputs				Unobservable Inputs				at 3/31/11
INVESTMENTS IN SECURITIES:
ASSETS (Market Value):
Convertible Corporate Bonds		$	537,875			$	27,677,614			$	0			$	28,215,489
Convertible Preferred Stocks:
Business Services			—				—				117				117
Health Care			—				—				6,845				6,845
Transportation			—				483,250				—				483,250
Other Industries (a)			1,268,809				—				—				1,268,809
Total Convertible Preferred Stocks			1,268,809				483,250				6,962				1,759,021
Common Stocks:
Cable and Satellite			72,800				—				0				72,800
Energy and Utilities			11,728,855				—				0				11,728,855
Wireless Communications			45,090				—				0				45,090
Other Industries (a)			49,341,879				—				—				49,341,879
Total Common Stocks			61,188,624				—				0				61,188,624
Warrants (a)			—				1,877				—				1,877
Corporate Bonds			—				587,500				0				587,500
U.S. Government Obligations			—				14,898,128				—				14,898,128
TOTAL INVESTMENTS IN SECURITIES — ASSETS		$	62,995,308			$	43,648,369			$	6,962			$	106,650,639
OTHER FINANCIAL INSTRUMENTS:
ASSETS (Unrealized Appreciation):*
EQUITY CONTRACT
Contract for Difference Swap Agreement		$	—			$	30,060			$	—			$	30,060
TOTAL OTHER FINANCIAL INSTRUMENTS		$	—			$	30,060			$	—			$	30,060

           The Fund did not have significant transfers between Level 1 and Level 2 during the period ended March 31, 2011.

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												Transfers				Transfers				Balance				period on Level 3
		as of				discounts/				gain/				appreciation/												into				out of				as of				investments held
		12/31/10				(premiums)				(loss)				depreciation				Purchases				Sales				Level 3†				Level 3†				3/31/11				at 3/31/11
INVESTMENTS IN SECURITIES:
ASSETS (Market Value):
Convertible Corporate Bonds		$	472,500			$	—			$	—			$	—			$	—			$	—			$	—			$	(472,500	)		$	0			$	—
Convertible Preferred Stocks:
Business Services			117				—				—				—				—				—				—				—				117				—
Health Care			4,484				—				—				2,361				—				—				—				—				6,845				2,361
Total Convertible Preferred Stocks			4,601				—				—				2,361				—				—				—				—				6,962				2,361
Common Stocks:
Cable and Satellite			0				—				—				—				—				—				—				—				0				—
Energy and Utilities			0				—				—				—				—				—				—				—				0				—
Wireless Communications			0				—				—				—				—				—				—				—				0				—
Total Common Stocks			0				—				—				—				—				—				—				—				0				—
Preferred Stocks:
Telecommunications			—				—				—				—				—				—				—				—				—				—
Warrants:
Consumer Products			—				—				—				—				—				—				—				—				—				—
Corporate Bonds			0				—				—				—				—				—				—				—				0				—
TOTAL INVESTMENTS IN SECURITIES		$	477,101			$	—			$	—			$	2,361			$	—			$	—			$	—			$	(472,500	)		$	6,962			$	2,361

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.

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 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 March 31, 2011, 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 purposes 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 March 31, 2011, if any, are not accounted for as hedging instruments under GAAP.

     Swap Agreements. The Fund may enter into equity 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 an equity contract for difference 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 Fund has entered into an equity contract for difference swap agreement with The Goldman Sachs Group, Inc. Details of the swap at March 31, 2011 are reflected within the Schedule of Investments and further details are as follows:

Notional		Equity Security		Interest Rate/		Termination		Net Unrealized
Amount		Received		Equity Security Paid		Date		Appreciation
				One month LIBOR plus 90 bps
		Market Value		plus Market Value
		Appreciation on:		Depreciation on:
$441,421 (47,500 Shares)		Rolls-Royce Group plc		Rolls-Royce Group plc		6/27/11		$30,060

     The Fund’s volume of activity in equity contract for difference swap agreements during the period ended March 31, 2011 had an average monthly notional amount of approximately $473,085.

     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, and 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 March 31, 2011, the Fund held 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 investments and 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 March 31, 2011, the Fund held no investments in forward foreign exchange contracts.

     The following table summarizes the net unrealized appreciation of derivatives held at March 31, 2011 by primary risk exposure:

		Net Unrealized
Asset Derivatives:		Appreciation
Equity Contract		$	30,060

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, 2010, the Fund had net capital loss carryforwards for federal income tax purposes of $8,013,754, which are available to reduce future required distributions of net capital gains to shareholders. $6,354,767 of the loss carryforward is available through 2017; and $1,658,987 is available through 2018.

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:			13,445,171				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.

The NASDAQ symbol for the Net Asset Value is “XGCVX.”

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 5/31/11

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 5/31/11

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

Date 5/31/11