|
Investment Company Act file number 811-21309
|
|
Advent Claymore Convertible Securities and Income Fund
|
|
(Exact name of registrant as specified in charter)
|
|
1271 Avenue of the Americas, 45th Floor, New York, NY 10020
|
|
(Address of principal executive offices) (Zip code)
|
|
Robert White
1271 Avenue of the Americas, 45th Floor
New York, NY 10020
|
|
(Name and address of agent for service)
|
|
AVK Advent Claymore Convertible Securities and Income Fund
|
||||||||
|
Portfolio of Investments
|
||||||||
|
January 31, 2013 (unaudited)
|
||||||||
|
Principal
|
Optional Call
|
|||||||
|
Amount~
|
Description
|
Rating*
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
||
|
Long-Term Investments - 153.4%
|
||||||||
|
Convertible Bonds - 93.3%
|
||||||||
|
Advertising - 0.8%
|
||||||||
|
$3,100,000
|
Interpublic Group of Cos., Inc.(a)
|
BB+
|
4.750
|
03/15/2023
|
03/15/13 @ 100
|
$3,278,250
|
||
|
Aerospace & Defense - 0.7%
|
||||||||
|
3,000,000
|
Alliant Techsystems, Inc.(a)
|
BB-
|
3.000
|
08/15/2024
|
08/20/14 @ 100
|
3,202,500
|
||
|
Auto Manufacturers - 1.3%
|
||||||||
|
5,983,000
|
Navistar International Corp.(a)
|
CCC+
|
3.000
|
10/15/2014
|
N/A
|
5,691,329
|
||
|
Auto Parts & Equipment - 0.9%
|
||||||||
|
EUR 11,396,000
|
Faurecia, Series EO (France)
|
B2
|
3.250
|
01/01/2018
|
N/A
|
3,013,067
|
||
|
1,250,000
|
Meritor, Inc.
|
B-
|
4.000
|
02/15/2027
|
02/15/19 @ 100
|
969,531
|
||
|
3,982,598
|
||||||||
|
Biotechnology - 6.8%
|
||||||||
|
2,500,000
|
Cubist Pharmaceuticals, Inc.(a)
|
NR
|
2.500
|
11/01/2017
|
N/A
|
4,012,500
|
||
|
4,052,000
|
Gilead Sciences, Inc., Series C(a)
|
A-
|
1.000
|
05/01/2014
|
N/A
|
7,103,662
|
||
|
11,170,000
|
Illumina, Inc.(a) (b)
|
NR
|
0.250
|
03/15/2016
|
N/A
|
10,765,088
|
||
|
2,150,000
|
Medicines Co.(a) (b)
|
NR
|
1.375
|
06/01/2017
|
N/A
|
2,699,594
|
||
|
4,350,000
|
Vertex Pharmaceuticals, Inc.(a)
|
NR
|
3.350
|
10/01/2015
|
10/01/13 @ 101
|
4,942,687
|
||
|
29,523,531
|
||||||||
|
Building Materials - 0.5%
|
||||||||
|
1,800,000
|
Asia Cement Corp. (Taiwan)(c)
|
NR
|
0.000
|
06/07/2016
|
N/A
|
1,905,750
|
||
|
Coal - 5.5%
|
||||||||
|
6,824,000
|
Alpha Appalachia Holdings, Inc.(a)
|
B+
|
3.250
|
08/01/2015
|
N/A
|
6,585,160
|
||
|
10,165,000
|
Alpha Natural Resources, Inc.(a)
|
B-
|
2.375
|
04/15/2015
|
N/A
|
9,555,100
|
||
|
7,923,000
|
Peabody Energy Corp.(a)
|
B+
|
4.750
|
12/15/2041
|
12/20/36 @ 100
|
7,591,224
|
||
|
23,731,484
|
||||||||
|
Commercial Services - 0.5%
|
||||||||
|
1,950,000
|
Sotheby's(a)
|
BB
|
3.125
|
06/15/2013
|
N/A
|
2,166,937
|
||
|
Computers - 6.8%
|
||||||||
|
3,100,000
|
CACI International, Inc.(a)
|
NR
|
2.125
|
05/01/2014
|
N/A
|
3,425,500
|
||
|
6,529,000
|
EMC Corp., Series B(a) (e)
|
A
|
1.750
|
12/01/2013
|
N/A
|
10,099,580
|
||
|
7,432,000
|
NetApp, Inc.(a)
|
BBB+
|
1.750
|
06/01/2013
|
N/A
|
8,672,215
|
||
|
5,948,000
|
SanDisk Corp.(a)
|
BB
|
1.500
|
08/15/2017
|
N/A
|
7,438,717
|
||
|
29,636,012
|
||||||||
|
Diversified Financial Services - 2.6%
|
||||||||
|
4,400,000
|
Hong Kong Exchanges and Clearing Ltd. (Hong Kong)
|
NR
|
0.500
|
10/23/2017
|
N/A
|
5,008,300
|
||
|
HKD 22,000,000
|
Tong Jie Ltd., Series 363 (British Virgin Islands)(c)
|
NR
|
0.000
|
02/18/2018
|
N/A
|
2,917,571
|
||
|
3,135,000
|
Walter Investment Management Corp.(a)
|
NR
|
4.500
|
11/01/2019
|
N/A
|
3,475,931
|
||
|
11,401,802
|
||||||||
|
Electric - 0.7%
|
||||||||
|
CNY 15,400,000
|
China Power International Development Ltd. (Hong Kong)
|
NR
|
2.250
|
05/17/2016
|
N/A
|
3,071,927
|
||
|
Electrical Components & Equipment - 0.6%
|
||||||||
|
2,667,000
|
General Cable Corp.
|
B+
|
0.875
|
11/15/2013
|
N/A
|
2,672,001
|
||
|
Electronics - 0.7%
|
||||||||
|
2,500,000
|
TPK Holding Co. Ltd., Series REGS (Cayman Islands)(c)
|
NR
|
0.000
|
10/01/2017
|
N/A
|
3,016,250
|
||
|
Gas - 0.7%
|
||||||||
|
2,750,000
|
ENN Energy Holdings Ltd. (Cayman Islands)(c)
|
NR
|
0.000
|
02/26/2018
|
N/A
|
2,846,236
|
||
|
Health Care Products - 5.9%
|
||||||||
|
5,675,000
|
HeartWare International, Inc.(a)
|
NR
|
3.500
|
12/15/2017
|
N/A
|
6,834,828
|
||
|
2,414,000
|
Hologic, Inc., Series 2010(a) (d) (j)
|
B+
|
2.000
|
12/15/2037
|
12/15/16 @ 100
|
2,996,378
|
||
|
5,162,000
|
Hologic, Inc., Series 2012(a) (d) (k)
|
B+
|
2.000
|
03/01/2042
|
03/06/18 @ 100
|
5,581,412
|
||
|
10,160,000
|
Medtronic, Inc., Series B(a)
|
A+
|
1.625
|
04/15/2013
|
N/A
|
10,210,800
|
||
|
25,623,418
|
||||||||
|
Health Care Services - 3.0%
|
||||||||
|
9,260,000
|
LifePoint Hospitals, Inc.(a)
|
B
|
3.500
|
05/15/2014
|
N/A
|
9,890,838
|
||
|
2,609,000
|
Molina Healthcare, Inc., Series MOH(a)
|
NR
|
3.750
|
10/01/2014
|
N/A
|
3,076,989
|
||
|
12,967,827
|
||||||||
|
Home Builders - 2.3%
|
||||||||
|
2,500,000
|
Lennar Corp.(a) (b)
|
BB-
|
2.000
|
12/01/2020
|
12/01/13 @ 100
|
3,828,125
|
||
|
1,250,000
|
Ryland Group, Inc.(a)
|
BB-
|
1.625
|
05/15/2018
|
N/A
|
1,812,500
|
||
|
4,050,000
|
Toll Brothers Finance Corp.(a) (b)
|
BB+
|
0.500
|
09/15/2032
|
09/15/17 @ 100
|
4,366,406
|
||
|
10,007,031
|
||||||||
|
Household Products & Housewares - 1.4%
|
||||||||
|
5,630,000
|
Jarden Corp.(a) (b)
|
B
|
1.875
|
09/15/2018
|
N/A
|
6,214,112
|
||
|
Internet - 5.6%
|
||||||||
|
9,975,000
|
priceline.com, Inc.(a) (b) (e)
|
BBB
|
1.000
|
03/15/2018
|
N/A
|
11,066,016
|
||
|
2,883,000
|
Symantec Corp., Series B(a) (e)
|
BBB
|
1.000
|
06/15/2013
|
N/A
|
3,353,289
|
||
|
11,300,000
|
WebMD Health Corp.(a)
|
NR
|
2.500
|
01/31/2018
|
N/A
|
10,035,813
|
||
|
24,455,118
|
||||||||
|
Investment Companies - 0.6%
|
||||||||
|
2,400,000
|
Billion Express Investments Ltd. (British Virgin Islands)
|
NR
|
0.750
|
10/18/2015
|
N/A
|
2,549,400
|
||
|
Iron & Steel - 0.7%
|
||||||||
|
3,058,000
|
United States Steel Corp.(a)
|
BB
|
4.000
|
05/15/2014
|
N/A
|
3,226,190
|
||
|
Lodging - 2.2%
|
||||||||
|
8,768,000
|
MGM Resorts International(a)
|
B+
|
4.250
|
04/15/2015
|
N/A
|
9,524,240
|
||
|
Mining - 7.2%
|
||||||||
|
1,000,000
|
African Minerals Ltd. (Bermuda)
|
NR
|
8.500
|
02/10/2017
|
02/24/15 @ 110
|
1,040,500
|
||
|
12,800,000
|
Kinross Gold Corp. (Canada)
|
BBB-
|
1.750
|
03/15/2028
|
03/20/13 @ 100
|
12,808,000
|
||
|
6,113,000
|
Newmont Mining Corp., Series B(a)
|
BBB+
|
1.625
|
07/15/2017
|
N/A
|
7,492,246
|
||
|
9,143,000
|
Royal Gold, Inc.(a)
|
NR
|
2.875
|
06/15/2019
|
N/A
|
10,045,871
|
||
|
31,386,617
|
||||||||
|
Oil & Gas - 3.9%
|
||||||||
|
8,254,000
|
Chesapeake Energy Corp.(a)
|
BB-
|
2.250
|
12/15/2038
|
12/15/18 @ 100
|
7,242,885
|
||
|
533,000
|
Goodrich Petroleum Corp.(e)
|
CCC
|
5.000
|
10/01/2029
|
10/01/14 @ 100
|
512,013
|
||
|
3,330,000
|
Premier Oil Finance Jersey Ltd., Series PMO (Jersey)
|
NR
|
2.500
|
07/27/2018
|
N/A
|
3,993,786
|
||
|
5,598,000
|
Stone Energy Corp.(a) (b)
|
B-
|
1.750
|
03/01/2017
|
N/A
|
5,178,150
|
||
|
16,926,834
|
||||||||
|
Oil & Gas Services - 3.7%
|
||||||||
|
2,451,000
|
Helix Energy Solutions Group, Inc.(a)
|
NR
|
3.250
|
03/15/2032
|
03/20/18 @ 100
|
3,089,792
|
||
|
3,895,000
|
Hornbeck Offshore Services, Inc.(a) (b)
|
BB-
|
1.500
|
09/01/2019
|
N/A
|
4,062,972
|
||
|
EUR 6,616,500
|
Technip SA, Series TEC (France)
|
BBB+
|
0.500
|
01/01/2016
|
N/A
|
8,649,285
|
||
|
15,802,049
|
||||||||
|
Pharmaceuticals - 8.0%
|
||||||||
|
5,076,000
|
Auxilium Pharmaceuticals, Inc.
|
NR
|
1.500
|
07/15/2018
|
N/A
|
5,352,008
|
||
|
4,525,000
|
Endo Health Solutions, Inc.(a)
|
NR
|
1.750
|
04/15/2015
|
N/A
|
5,585,547
|
||
|
2,348,000
|
Isis Pharmaceuticals, Inc.(a) (b)
|
NR
|
2.750
|
10/01/2019
|
N/A
|
2,739,822
|
||
|
3,750,000
|
Salix Pharmaceuticals Ltd.(a)
|
NR
|
2.750
|
05/15/2015
|
N/A
|
4,659,375
|
||
|
4,557,000
|
Salix Pharmaceuticals Ltd.(a) (b)
|
NR
|
1.500
|
03/15/2019
|
N/A
|
4,756,369
|
||
|
JPY 103,000,000
|
Sawai Pharmaceutical Co. Ltd. (Japan)(c)
|
NR
|
0.000
|
09/17/2015
|
N/A
|
1,288,064
|
||
|
5,325,000
|
Shire PLC, Series SHP (Jersey)
|
NR
|
2.750
|
05/09/2014
|
N/A
|
6,161,025
|
||
|
4,065,000
|
Theravance, Inc.
|
NR
|
2.125
|
01/15/2023
|
N/A
|
4,227,600
|
||
|
34,769,810
|
||||||||
|
Real Estate - 0.6%
|
||||||||
|
2,435,000
|
Forest City Enterprises, Inc.(a)
|
B
|
4.250
|
08/15/2018
|
N/A
|
2,646,541
|
||
|
Real Estate Investment Trusts - 5.2%
|
||||||||
|
6,459,000
|
Annaly Capital Management, Inc.(a)
|
NR
|
4.000
|
02/15/2015
|
N/A
|
7,762,911
|
||
|
3,847,000
|
Health Care REIT, Inc.(a)
|
BBB-
|
3.000
|
12/01/2029
|
12/01/14 @ 100
|
4,767,875
|
||
|
1,300,000
|
Host Hotels & Resorts, LP(a) (b)
|
BB+
|
2.500
|
10/15/2029
|
10/20/15 @ 100
|
1,764,750
|
||
|
7,000,000
|
SL Green Operating Partnership, LP(a) (b)
|
BB+
|
3.000
|
10/15/2017
|
N/A
|
8,080,625
|
||
|
22,376,161
|
||||||||
|
Semiconductors - 6.6%
|
||||||||
|
7,811,000
|
Intel Corp.(a)
|
A-
|
3.250
|
08/01/2039
|
N/A
|
9,407,373
|
||
|
1,250,000
|
Microchip Technology, Inc.(a)
|
NR
|
2.125
|
12/15/2037
|
N/A
|
1,626,563
|
||
|
6,053,000
|
Micron Technology, Inc., Series A(a)
|
NR
|
1.500
|
08/01/2031
|
08/05/15 @ 100
|
6,208,108
|
||
|
1,255,000
|
Novellus Systems, Inc.(a)
|
BBB-
|
2.625
|
05/15/2041
|
N/A
|
1,755,431
|
||
|
3,600,000
|
SK Hynix, Inc. (South Korea)
|
NR
|
2.650
|
05/14/2015
|
N/A
|
3,846,600
|
||
|
4,237,000
|
Xilinx, Inc.(a)
|
BBB+
|
2.625
|
06/15/2017
|
N/A
|
5,873,541
|
||
|
28,717,616
|
||||||||
|
Software - 3.7%
|
||||||||
|
8,152,000
|
Electronic Arts, Inc.(a)
|
NR
|
0.750
|
07/15/2016
|
N/A
|
7,739,305
|
||
|
6,015,000
|
Nuance Communications, Inc.(a)
|
BB-
|
2.750
|
11/01/2031
|
11/06/17 @ 100
|
6,740,560
|
||
|
1,583,000
|
Take-Two Interactive Software, Inc.(a)
|
NR
|
1.750
|
12/01/2016
|
N/A
|
1,573,106
|
||
|
16,052,971
|
||||||||
|
Telecommunications - 3.0%
|
||||||||
|
3,864,000
|
Ciena Corp.(a)
|
B
|
0.875
|
06/15/2017
|
N/A
|
3,467,940
|
||
|
5,618,000
|
Ciena Corp.(a) (b)
|
B
|
3.750
|
10/15/2018
|
N/A
|
6,341,318
|
||
|
2,797,000
|
Ciena Corp.
|
NR
|
4.000
|
12/15/2020
|
N/A
|
3,303,956
|
||
|
13,113,214
|
||||||||
|
Transportation - 0.6%
|
||||||||
|
2,542,000
|
Ship Finance International Ltd. (Bermuda)
|
NR
|
3.250
|
02/01/2018
|
N/A
|
2,573,775
|
||
|
Total Convertible Bonds - 93.3%
|
||||||||
|
(Cost $386,152,179)
|
405,059,531
|
|||||||
|
Corporate Bonds - 46.5%
|
||||||||
|
Aerospace & Defense - 0.2%
|
||||||||
|
625,000
|
Kratos Defense & Security Solutions, Inc.
|
B
|
10.000
|
06/01/2017
|
06/01/14 @ 105
|
689,062
|
||
|
Agriculture - 0.3%
|
||||||||
|
1,100,000
|
North Atlantic Trading Co.(b)
|
B-
|
11.500
|
07/15/2016
|
07/15/13 @ 109
|
1,190,750
|
||
|
Apparel - 0.0%+
|
||||||||
|
100,000
|
Wolverine World Wide, Inc.(b)
|
B+
|
6.125
|
10/15/2020
|
10/15/16 @ 103
|
105,500
|
||
|
Auto Manufacturers - 2.0%
|
||||||||
|
1,300,000
|
Ford Motor Co.(a)
|
BB+
|
6.625
|
10/01/2028
|
N/A
|
1,508,617
|
||
|
250,000
|
Jaguar Land Rover Automotive PLC (United Kingdom)(b)
|
BB-
|
7.750
|
05/15/2018
|
05/15/14 @ 106
|
275,625
|
||
|
250,000
|
Jaguar Land Rover Automotive PLC (United Kingdom)(b)
|
BB-
|
8.125
|
05/15/2021
|
05/15/16 @ 104
|
281,875
|
||
|
6,651,000
|
Navistar International Corp.(a) (e)
|
CCC+
|
8.250
|
11/01/2021
|
11/01/14 @ 104
|
6,567,863
|
||
|
8,633,980
|
||||||||
|
Auto Parts & Equipment - 2.8%
|
||||||||
|
1,650,000
|
Dana Holding Corp.(a)
|
BB
|
6.750
|
02/15/2021
|
02/15/16 @ 103
|
1,806,750
|
||
|
5,120,000
|
Goodyear Tire & Rubber Co.(a) (e)
|
B+
|
8.250
|
08/15/2020
|
08/15/15 @ 104
|
5,644,800
|
||
|
654,000
|
Lear Corp.(a)
|
BB
|
7.875
|
03/15/2018
|
03/15/14 @ 104
|
707,955
|
||
|
3,351,000
|
Meritor, Inc.(a)
|
B-
|
8.125
|
09/15/2015
|
N/A
|
3,531,116
|
||
|
500,000
|
Pittsburgh Glass Works, LLC(a) (b)
|
B+
|
8.500
|
04/15/2016
|
04/15/13 @ 104
|
490,000
|
||
|
12,180,621
|
||||||||
|
Banks - 1.9%
|
||||||||
|
1,450,000
|
Ally Financial, Inc.(a)
|
B+
|
7.500
|
09/15/2020
|
N/A
|
1,749,062
|
||
|
975,000
|
CIT Group, Inc.(a) (b)
|
BB-
|
5.500
|
02/15/2019
|
N/A
|
1,048,125
|
||
|
5,516,000
|
Synovus Financial Corp.(a)
|
B-
|
5.125
|
06/15/2017
|
N/A
|
5,502,210
|
||
|
8,299,397
|
||||||||
|
Building Materials - 0.3%
|
||||||||
|
1,325,000
|
Ainsworth Lumber Ltd. (Canada)(b)
|
B
|
7.500
|
12/15/2017
|
12/15/14 @ 104
|
1,419,406
|
||
|
Chemicals - 0.9%
|
||||||||
|
1,425,000
|
LyondellBasell Industries NV (Netherlands)(a)
|
BB+
|
6.000
|
11/15/2021
|
08/17/21 @ 100
|
1,681,500
|
||
|
625,000
|
Phibro Animal Health Corp.(b)
|
B
|
9.250
|
07/01/2018
|
07/01/14 @ 105
|
659,375
|
||
|
625,000
|
US Coatings Acquisition, Inc. / Flash Dutch 2 BV(b)
|
B-
|
7.375
|
05/01/2021
|
02/04/16 @ 106
|
646,094
|
||
|
1,275,000
|
Vertellus Specialties, Inc.(b)
|
B-
|
9.375
|
10/01/2015
|
10/01/13 @ 102
|
1,125,187
|
||
|
4,112,156
|
||||||||
|
Coal - 0.2%
|
||||||||
|
751,000
|
SunCoke Energy, Inc.
|
B+
|
7.625
|
08/01/2019
|
08/01/14 @ 106
|
797,938
|
||
|
Commercial Services - 0.7%
|
||||||||
|
1,050,000
|
Neff Rental, LLC(b)
|
B-
|
9.625
|
05/15/2016
|
05/15/13 @ 107
|
1,097,250
|
||
|
400,000
|
Sotheby's(a) (b)
|
BB
|
5.250
|
10/01/2022
|
10/01/17 @ 103
|
413,000
|
||
|
1,250,000
|
UR Merger Sub Corp.(a)
|
BB
|
5.750
|
07/15/2018
|
07/15/15 @ 103
|
1,350,000
|
||
|
2,860,250
|
||||||||
|
Computers - 0.5%
|
||||||||
|
1,875,000
|
Seagate HDD Cayman (Cayman Islands)(a)
|
BB+
|
7.000
|
11/01/2021
|
05/01/16 @ 104
|
2,067,188
|
||
|
Cosmetics & Personal Care - 0.2%
|
||||||||
|
875,000
|
Albea Beauty Holdings SA (Luxembourg)(b)
|
B+
|
8.375
|
11/01/2019
|
11/01/15 @ 106
|
929,687
|
||
|
Diversified Financial Services - 1.8%
|
||||||||
|
4,968,000
|
Air Lease Corp.(a)
|
NR
|
5.625
|
04/01/2017
|
N/A
|
5,266,080
|
||
|
500,000
|
Ford Motor Credit Co., LLC(a)
|
BB+
|
12.000
|
05/15/2015
|
N/A
|
613,750
|
||
|
1,400,000
|
International Lease Finance Corp.(a)
|
BBB-
|
8.250
|
12/15/2020
|
N/A
|
1,718,500
|
||
|
150,000
|
Nationstar Mortgage, LLC / Nationstar Capital Corp.(a) (b)
|
B2
|
7.875
|
10/01/2020
|
10/01/16 @ 104
|
164,250
|
||
|
7,762,580
|
||||||||
|
Electric - 0.1%
|
||||||||
|
250,000
|
AES Corp.(a)
|
BB-
|
8.000
|
06/01/2020
|
N/A
|
288,750
|
||
|
Electrical Components & Equipment - 0.3%
|
||||||||
|
1,250,000
|
International Wire Group Holdings, Inc.(a) (b)
|
B
|
8.500
|
10/15/2017
|
10/15/15 @ 104
|
1,287,500
|
||
|
Electronics - 0.7%
|
||||||||
|
400,000
|
NXP BV / NXP Funding, LLC (Netherlands)(b)
|
B
|
5.750
|
02/15/2021
|
02/15/17 @ 103
|
400,000
|
||
|
2,537,000
|
Viasystems, Inc.(a) (b)
|
BB-
|
7.875
|
05/01/2019
|
05/01/15 @ 106
|
2,543,342
|
||
|
2,943,342
|
||||||||
|
Engineering & Construction - 0.2%
|
||||||||
|
840,000
|
Empresas ICA SAB de CV (Mexico)(b)
|
B+
|
8.375
|
07/24/2017
|
01/24/15 @ 106
|
879,900
|
||
|
Entertainment - 0.1%
|
||||||||
|
644,000
|
Six Flags Entertainment Corp.(b)
|
BB-
|
5.250
|
01/15/2021
|
01/15/16 @ 104
|
642,390
|
||
|
Food - 0.8%
|
||||||||
|
589,000
|
Bumble Bee Acquisition Corp.(a) (b)
|
B
|
9.000
|
12/15/2017
|
12/15/14 @ 105
|
649,373
|
||
|
1,500,000
|
Land O'Lakes Capital Trust I(a) (b)
|
BB
|
7.450
|
03/15/2028
|
N/A
|
1,485,000
|
||
|
300,000
|
Marfrig Holding Europe BV (Netherlands)(b)
|
B+
|
9.875
|
07/24/2017
|
01/24/16 @ 105
|
296,250
|
||
|
950,000
|
Marfrig Holding Europe BV (Netherlands)(b)
|
B+
|
8.375
|
05/09/2018
|
N/A
|
869,250
|
||
|
3,299,873
|
||||||||
|
Forest Products & Paper - 1.4%
|
||||||||
|
1,200,000
|
Appleton Papers, Inc.(a)
|
CCC+
|
11.250
|
12/15/2015
|
N/A
|
1,305,000
|
||
|
1,050,000
|
Boise Cascade, LLC / Boise Cascade Finance Corp.(b)
|
B+
|
6.375
|
11/01/2020
|
11/01/15 @ 105
|
1,099,875
|
||
|
1,250,000
|
Catalyst Paper Corp. (Canada)
|
NR
|
11.000
|
10/30/2017
|
12/15/13 @ 100
|
1,031,250
|
||
|
1,254,000
|
Resolute Forest Products(a)
|
BB
|
10.250
|
10/15/2018
|
10/15/14 @ 105
|
1,451,505
|
||
|
1,200,000
|
Sappi Papier Holding GmbH (Austria)(a) (b)
|
BB
|
6.625
|
04/15/2021
|
04/15/16 @ 103
|
1,266,000
|
||
|
6,153,630
|
||||||||
|
Hand & Machine Tools - 0.0%+
|
||||||||
|
70,000
|
Mcron Finance Sub, LLC / Mcron Finance Corp.(b)
|
B+
|
8.375
|
05/15/2019
|
05/15/15 @ 106
|
73,850
|
||
|
Health Care Products - 1.5%
|
||||||||
|
250,000
|
DJO Finance, LLC / DJO Finance Corp.(b)
|
CCC+
|
9.875
|
04/15/2018
|
04/15/15 @ 105
|
268,125
|
||
|
5,700,000
|
Merge Healthcare, Inc.(a)
|
B+
|
11.750
|
05/01/2015
|
05/01/13 @ 106
|
6,127,500
|
||
|
6,395,625
|
||||||||
|
Health Care Services - 2.6%
|
||||||||
|
1,125,000
|
Capella Healthcare, Inc.
|
B
|
9.250
|
07/01/2017
|
07/01/13 @ 107
|
1,220,625
|
||
|
2,550,000
|
HCA Holdings, Inc.
|
B-
|
6.500
|
02/15/2016
|
N/A
|
2,785,875
|
||
|
2,250,000
|
HCA Holdings, Inc.(a)
|
B-
|
7.750
|
05/15/2021
|
11/15/15 @ 104
|
2,469,375
|
||
|
2,043,000
|
Health NET, Inc.(a)
|
BB
|
6.375
|
06/01/2017
|
N/A
|
2,170,687
|
||
|
1,250,000
|
IASIS Healthcare, LLC / IASIS Capital Corp.
|
CCC+
|
8.375
|
05/15/2019
|
05/15/14 @ 106
|
1,275,000
|
||
|
1,375,000
|
Tenet Healthcare Corp.
|
B+
|
8.875
|
07/01/2019
|
07/01/14 @ 104
|
1,557,188
|
||
|
11,478,750
|
||||||||
|
Home Builders - 0.0%+
|
||||||||
|
150,000
|
Beazer Homes USA, Inc.(b)
|
CCC
|
7.250
|
02/01/2023
|
02/01/18 @ 104
|
151,875
|
||
|
Household Products & Housewares - 2.3%
|
||||||||
|
7,225,000
|
Reynolds Group Issuer, Inc.(a)
|
CCC+
|
8.500
|
05/15/2018
|
05/15/14 @ 104
|
7,622,375
|
||
|
200,000
|
Reynolds Group Issuer, Inc.
|
CCC+
|
9.875
|
08/15/2019
|
08/15/15 @ 105
|
219,000
|
||
|
500,000
|
Reynolds Group Issuer, Inc.(a)
|
B+
|
5.750
|
10/15/2020
|
10/15/15 @ 104
|
512,500
|
||
|
125,000
|
Spectrum Brands Escrow Corp.(b)
|
B3
|
6.375
|
11/15/2020
|
11/15/16 @ 103
|
133,281
|
||
|
125,000
|
Spectrum Brands Escrow Corp.(b)
|
B-
|
6.625
|
11/15/2022
|
11/15/17 @ 103
|
135,313
|
||
|
700,000
|
Spectrum Brands, Inc.(a)
|
B
|
9.500
|
06/15/2018
|
06/15/14 @ 105
|
795,375
|
||
|
400,000
|
Yankee Candle Co., Inc., Series B
|
CCC+
|
9.750
|
02/15/2017
|
02/15/14 @ 102
|
416,004
|
||
|
9,833,848
|
||||||||
|
Internet - 0.1%
|
||||||||
|
500,000
|
NetFlix, Inc.(b)
|
BB-
|
5.375
|
02/01/2021
|
N/A
|
500,000
|
||
|
Iron & Steel - 1.1%
|
||||||||
|
35,000
|
AK Steel Corp.
|
B-
|
8.375
|
04/01/2022
|
04/01/17 @ 104
|
32,200
|
||
|
2,780,000
|
Edgen Murray Corp.(b)
|
B+
|
8.750
|
11/01/2020
|
11/01/15 @ 107
|
2,856,450
|
||
|
650,000
|
Optima Specialty Steel, Inc.(a) (b)
|
B
|
12.500
|
12/15/2016
|
12/15/14 @ 106
|
702,000
|
||
|
CAD 90,000
|
Russel Metals, Inc. (Canada)(b)
|
Ba1
|
6.000
|
04/19/2022
|
04/19/17 @ 103
|
93,708
|
||
|
835,000
|
Steel Dynamics, Inc.(a) (b)
|
BB+
|
6.375
|
08/15/2022
|
08/15/17 @ 103
|
905,975
|
||
|
4,590,333
|
||||||||
|
Leisure Time - 0.2%
|
||||||||
|
300,000
|
Carlson Wagonlit BV (Netherlands)(b)
|
B+
|
6.875
|
06/15/2019
|
06/15/15 @ 105
|
319,500
|
||
|
100,000
|
Royal Caribbean Cruises Ltd. (Liberia)(a)
|
BB
|
5.250
|
11/15/2022
|
N/A
|
106,500
|
||
|
625,000
|
Viking Cruises Ltd. (Bermuda)(b)
|
B+
|
8.500
|
10/15/2022
|
10/15/17 @ 104
|
692,187
|
||
|
1,118,187
|
||||||||
|
Lodging - 1.1%
|
||||||||
|
900,000
|
Caesars Entertainment Operating Co., Inc.
|
B
|
8.500
|
02/15/2020
|
02/15/16 @ 104
|
907,313
|
||
|
300,000
|
MCE Finance Ltd. (Cayman Islands)(b)
|
BB-
|
5.000
|
02/15/2021
|
02/15/16 @ 104
|
299,674
|
||
|
1,250,000
|
MGM Resorts International(a)
|
B+
|
7.625
|
01/15/2017
|
N/A
|
1,376,563
|
||
|
2,149,756
|
MTR Gaming Group, Inc.
|
B-
|
11.500
|
08/01/2019
|
08/01/15 @ 106
|
2,289,490
|
||
|
4,873,040
|
||||||||
|
Machinery-Diversified - 0.5%
|
||||||||
|
570,000
|
Case New Holland, Inc.(a)
|
BB+
|
7.875
|
12/01/2017
|
N/A
|
676,875
|
||
|
1,225,000
|
Cleaver-Brooks, Inc.(a) (b)
|
B
|
8.750
|
12/15/2019
|
12/15/15 @ 107
|
1,315,344
|
||
|
1,992,219
|
||||||||
|
Media - 3.1%
|
||||||||
|
900,000
|
American Media, Inc.
|
B2
|
11.500
|
12/15/2017
|
12/15/13 @ 109
|
823,500
|
||
|
1,500,000
|
CCO Holdings, LLC(a)
|
BB-
|
6.500
|
04/30/2021
|
04/30/15 @ 105
|
1,612,500
|
||
|
4,296,000
|
Clear Channel Worldwide Holdings, Inc., Series B(a)
|
B
|
7.625
|
03/15/2020
|
03/15/15 @ 106
|
4,510,800
|
||
|
3,819,000
|
Media General, Inc.
|
B-
|
11.750
|
02/15/2017
|
02/15/14 @ 106
|
4,391,850
|
||
|
EUR 1,000,000
|
Nara Cable Funding II Ltd. (Ireland)(b)
|
B+
|
8.500
|
03/01/2020
|
03/01/16 @ 109
|
1,339,617
|
||
|
625,000
|
Univision Communications, Inc.(b)
|
B+
|
6.875
|
05/15/2019
|
05/15/15 @ 103
|
659,375
|
||
|
13,337,642
|
||||||||
|
Mining - 2.6%
|
||||||||
|
1,250,000
|
American Gilsonite Co.(a) (b)
|
B
|
11.500
|
09/01/2017
|
09/01/14 @ 109
|
1,325,000
|
||
|
6,712,000
|
FMG Resources August 2006 Pty Ltd. (Australia)(a) (b)
|
B+
|
8.250
|
11/01/2019
|
11/01/15 @ 104
|
7,232,180
|
||
|
1,400,000
|
Inmet Mining Corp. (Canada)(a) (b)
|
B+
|
8.750
|
06/01/2020
|
06/01/16 @ 104
|
1,561,000
|
||
|
625,000
|
Kaiser Aluminum Corp.(a)
|
BB-
|
8.250
|
06/01/2020
|
06/01/16 @ 104
|
701,563
|
||
|
350,000
|
New Gold, Inc. (Canada)(b)
|
BB-
|
6.250
|
11/15/2022
|
11/15/17 @ 103
|
371,000
|
||
|
11,190,743
|
||||||||
|
Miscellaneous Manufacturing - 0.3%
|
||||||||
|
150,000
|
Bombardier, Inc. (Canada)(b)
|
BB
|
6.125
|
01/15/2023
|
N/A
|
153,375
|
||
|
625,000
|
Dispensing Dynamics International(b)
|
B-
|
12.500
|
01/01/2018
|
01/01/16 @ 106
|
620,313
|
||
|
450,000
|
Trinseo Materials Operating SCA / Trinseo Materials Finance, Inc. (Luxembourg)(b)
|
B+
|
8.750
|
02/01/2019
|
08/01/15 @ 104
|
446,625
|
||
|
1,220,313
|
||||||||
|
Oil & Gas - 5.9%
|
||||||||
|
1,750,000
|
Alta Mesa Holdings, LP / Alta Mesa Finance Services Corp.(a)
|
B
|
9.625
|
10/15/2018
|
10/15/14 @ 105
|
1,846,250
|
||
|
1,100,000
|
Bill Barrett Corp.(a)
|
BB-
|
7.625
|
10/01/2019
|
10/01/15 @ 104
|
1,163,250
|
||
|
800,000
|
BreitBurn Energy Partners, LP / BreitBurn Finance Corp.(a) (b)
|
B
|
7.875
|
04/15/2022
|
01/15/17 @ 104
|
850,000
|
||
|
2,374,000
|
Calumet Specialty Products Partners, LP / Calumet Finance Corp.(a) (b)
|
B
|
9.625
|
08/01/2020
|
08/01/16 @ 105
|
2,664,815
|
||
|
950,000
|
Chesapeake Energy Corp.(a)
|
BB-
|
7.250
|
12/15/2018
|
N/A
|
1,073,500
|
||
|
400,000
|
Clayton Williams Energy, Inc.(a)
|
B-
|
7.750
|
04/01/2019
|
04/01/15 @ 104
|
398,000
|
||
|
1,300,000
|
Drill Rigs Holdings, Inc. (Marshall Islands)(b)
|
B
|
6.500
|
10/01/2017
|
10/01/15 @ 103
|
1,303,250
|
||
|
1,250,000
|
Energy XXI Gulf Coast, Inc.(a)
|
B+
|
9.250
|
12/15/2017
|
12/15/14 @ 105
|
1,429,688
|
||
|
175,000
|
EP Energy, LLC / EP Energy Finance, Inc.(a)
|
B
|
9.375
|
05/01/2020
|
05/01/16 @ 105
|
196,875
|
||
|
100,000
|
EPL Oil & Gas, Inc.(b)
|
B-
|
8.250
|
02/15/2018
|
02/15/15 @ 104
|
105,750
|
||
|
1,250,000
|
Halcon Resources Corp.(b)
|
CCC+
|
9.750
|
07/15/2020
|
07/15/16 @ 105
|
1,375,000
|
||
|
1,250,000
|
Hercules Offshore, Inc.(a) (b)
|
B
|
10.250
|
04/01/2019
|
04/01/15 @ 108
|
1,390,625
|
||
|
226,000
|
Offshore Group Investment Ltd. (Cayman Islands)
|
B-
|
11.500
|
08/01/2015
|
08/01/13 @ 106
|
245,775
|
||
|
1,000,000
|
OGX Austria GmbH (Austria)(b)
|
B
|
8.375
|
04/01/2022
|
04/01/17 @ 104
|
900,000
|
||
|
350,000
|
Parker Drilling Co.(a)
|
B+
|
9.125
|
04/01/2018
|
04/01/14 @ 105
|
379,750
|
||
|
2,466,000
|
PetroBakken Energy Ltd. (Canada)(a) (b)
|
CCC+
|
8.625
|
02/01/2020
|
02/01/16 @ 104
|
2,527,650
|
||
|
1,503,000
|
Plains Exploration & Production Co.(a)
|
B
|
6.125
|
06/15/2019
|
06/15/16 @ 103
|
1,664,572
|
||
|
633,000
|
Plains Exploration & Production Co.
|
B
|
6.750
|
02/01/2022
|
02/01/17 @ 103
|
716,081
|
||
|
500,000
|
Range Resources Corp.(a)
|
BB
|
8.000
|
05/15/2019
|
05/15/14 @ 104
|
557,500
|
||
|
180,000
|
Range Resources Corp.(a)
|
BB
|
5.000
|
08/15/2022
|
02/15/17 @ 103
|
189,900
|
||
|
1,250,000
|
Samson Investment Co.(a) (b)
|
B-
|
9.750
|
02/15/2020
|
02/15/16 @ 105
|
1,335,938
|
||
|
630,000
|
SandRidge Energy, Inc.
|
B
|
7.500
|
03/15/2021
|
03/15/16 @ 104
|
670,950
|
||
|
420,000
|
SandRidge Energy, Inc.
|
B
|
7.500
|
02/15/2023
|
08/15/17 @ 104
|
448,350
|
||
|
1,250,000
|
Tesoro Corp.(a)
|
BB+
|
5.375
|
10/01/2022
|
10/01/17 @ 103
|
1,306,250
|
||
|
250,000
|
Unit Corp.
|
BB-
|
6.625
|
05/15/2021
|
05/15/16 @ 103
|
260,625
|
||
|
500,000
|
W&T Offshore, Inc.
|
B
|
8.500
|
06/15/2019
|
06/15/15 @ 104
|
537,500
|
||
|
25,537,844
|
||||||||
|
Oil & Gas Services - 0.5%
|
||||||||
|
500,000
|
Forbes Energy Services Ltd.
|
B
|
9.000
|
06/15/2019
|
06/15/15 @ 105
|
447,500
|
||
|
1,500,000
|
SESI, LLC(a)
|
BBB-
|
6.375
|
05/01/2019
|
05/01/15 @ 103
|
1,612,500
|
||
|
2,060,000
|
||||||||
|
Packaging & Containers - 0.0%+
|
||||||||
|
125,000
|
Sealed Air Corp.(b)
|
BB-
|
8.375
|
09/15/2021
|
09/15/16 @ 104
|
144,063
|
||
|
Pharmaceuticals - 0.5%
|
||||||||
|
1,000,000
|
Elan Finance PLC / Elan Finance Corp. (Ireland)(b)
|
BB-
|
6.250
|
10/15/2019
|
10/15/15 @ 105
|
1,075,000
|
||
|
625,000
|
Valeant Pharmaceuticals International(b)
|
BB-
|
6.375
|
10/15/2020
|
10/15/16 @ 103
|
646,875
|
||
|
625,000
|
VPI Escrow Corp.(b)
|
BB-
|
6.375
|
10/15/2020
|
10/15/16 @ 103
|
651,563
|
||
|
2,373,438
|
||||||||
|
Pipelines - 0.5%
|
||||||||
|
150,000
|
Atlas Pipeline Partners, LP / Atlas Pipeline Finance Corp.(b)
|
B+
|
5.875
|
08/01/2023
|
02/01/18 @ 103
|
149,812
|
||
|
500,000
|
Crosstex Energy, LP / Crosstex Energy Finance Corp.
|
B+
|
8.875
|
02/15/2018
|
02/15/14 @ 104
|
539,375
|
||
|
425,000
|
Eagle Rock Energy Partners, LP(a) (b)
|
B
|
8.375
|
06/01/2019
|
06/01/15 @ 104
|
444,125
|
||
|
750,000
|
Eagle Rock Energy Partners, LP(a)
|
B
|
8.375
|
06/01/2019
|
06/01/15 @ 104
|
783,750
|
||
|
400,000
|
Tesoro Logistics, LP(b)
|
BB-
|
5.875
|
10/01/2020
|
10/01/16 @ 103
|
420,000
|
||
|
2,337,062
|
||||||||
|
Real Estate - 0.2%
|
||||||||
|
750,000
|
Kennedy-Wilson, Inc.
|
BB-
|
8.750
|
04/01/2019
|
04/01/15 @ 104
|
798,750
|
||
|
Real Estate Investment Trusts - 0.4%
|
||||||||
|
840,000
|
Host Hotels & Resorts, LP(a)
|
BB+
|
6.000
|
10/01/2021
|
07/01/21 @ 100
|
964,950
|
||
|
570,000
|
OMEGA Healthcare Investors, Inc.(a)
|
BBB-
|
5.875
|
03/15/2024
|
03/15/17 @ 103
|
607,050
|
||
|
1,572,000
|
||||||||
|
Retail - 1.4%
|
||||||||
|
625,000
|
Burlington Coat Factory Warehouse Corp.
|
CCC
|
10.000
|
02/15/2019
|
02/15/15 @ 105
|
682,813
|
||
|
625,000
|
Dave & Buster's, Inc.
|
CCC+
|
11.000
|
06/01/2018
|
06/01/14 @ 106
|
709,375
|
||
|
1,000,000
|
Fiesta Restaurant Group, Inc.
|
B
|
8.875
|
08/15/2016
|
02/15/14 @ 104
|
1,087,500
|
||
|
1,500,000
|
HOA Restaurant Group, LLC(b)
|
B-
|
11.250
|
04/01/2017
|
04/01/14 @ 106
|
1,314,375
|
||
|
750,000
|
Jo-Ann Stores, Inc.(b)
|
CCC+
|
8.125
|
03/15/2019
|
03/15/14 @ 104
|
776,250
|
||
|
625,000
|
Rite AID Corp.(a)
|
CCC
|
9.250
|
03/15/2020
|
03/15/16 @ 105
|
698,437
|
||
|
100,000
|
Sally Holdings, LLC / Sally Capital, Inc.(a)
|
BB+
|
5.750
|
06/01/2022
|
06/01/17 @ 103
|
106,250
|
||
|
625,000
|
Toys "R" Us, Inc.
|
CCC+
|
7.375
|
10/15/2018
|
N/A
|
546,875
|
||
|
215,000
|
Wok Acquisition Corp.(b)
|
CCC+
|
10.250
|
06/30/2020
|
06/30/16 @ 105
|
231,394
|
||
|
6,153,269
|
||||||||
|
Software - 1.5%
|
||||||||
|
5,760,000
|
First Data Corp.(a) (b)
|
B-
|
8.250
|
01/15/2021
|
01/15/16 @ 104
|
5,961,600
|
||
|
380,000
|
First Data Corp.
|
B-
|
12.625
|
01/15/2021
|
01/15/16 @ 113
|
406,600
|
||
|
6,368,200
|
||||||||
|
Storage & Warehousing - 1.0%
|
||||||||
|
4,359,000
|
Niska Gas Storage US, LLC(a)
|
B+
|
8.875
|
03/15/2018
|
03/15/14 @ 104
|
4,566,052
|
||
|
Telecommunications - 3.0%
|
||||||||
|
1,250,000
|
Cincinnati Bell, Inc.
|
CCC+
|
8.750
|
03/15/2018
|
03/15/14 @ 104
|
1,326,563
|
||
|
300,000
|
Hughes Satellite Systems Corp.
|
B+
|
6.500
|
06/15/2019
|
N/A
|
333,000
|
||
|
625,000
|
Intelsat Luxembourg SA (Luxembourg)
|
CCC+
|
11.250
|
02/04/2017
|
02/15/14 @ 103
|
663,281
|
||
|
1,000,000
|
Level 3 Communications, Inc.
|
CCC
|
11.875
|
02/01/2019
|
02/01/15 @ 106
|
1,165,000
|
||
|
2,500,000
|
NII Capital Corp.(a)
|
B-
|
8.875
|
12/15/2019
|
12/15/14 @ 104
|
2,112,500
|
||
|
1,100,000
|
NII Capital Corp.(a)
|
B-
|
7.625
|
04/01/2021
|
04/01/16 @ 104
|
869,000
|
||
|
1,800,000
|
Sorenson Communications, Inc.(b)
|
NR
|
10.500
|
02/01/2015
|
02/01/14 @ 100
|
1,530,000
|
||
|
2,210,000
|
Sprint Nextel Corp.(a)
|
B+
|
11.500
|
11/15/2021
|
N/A
|
3,030,462
|
||
|
650,000
|
Telesat Canada / Telesat, LLC (Canada)(b)
|
B-
|
6.000
|
05/15/2017
|
05/15/14 @ 103
|
685,750
|
||
|
500,000
|
Windstream Corp.
|
B
|
7.750
|
10/01/2021
|
10/01/16 @ 104
|
548,750
|
||
|
650,000
|
Windstream Corp.
|
B
|
7.500
|
06/01/2022
|
06/01/17 @ 104
|
706,875
|
||
|
12,971,181
|
||||||||
|
Transportation - 0.8%
|
||||||||
|
190,000
|
Gulfmark Offshore, Inc.(a) (b)
|
BB-
|
6.375
|
03/15/2022
|
03/15/17 @ 103
|
197,125
|
||
|
625,000
|
Navios Maritime Holdings, Inc. / Navios Maritime Finance II US, Inc. (Marshall
Islands) |
B+
|
8.125
|
02/15/2019
|
02/15/15 @ 104
|
534,375
|
||
|
950,000
|
Navios Maritime Holdings, Inc. / Navios Maritime Finance US, Inc. (Marshall Islands)
|
BB-
|
8.875
|
11/01/2017
|
11/01/13 @ 104
|
942,875
|
||
|
275,000
|
Navios South American Logistics, Inc. / Navios Logistics Finance US, Inc. (Marshall
Islands) |
B+
|
9.250
|
04/15/2019
|
04/15/14 @ 107
|
276,375
|
||
|
1,250,000
|
Ship Finance International Ltd. (Bermuda)
|
B+
|
8.500
|
12/15/2013
|
03/01/13 @ 100
|
1,258,906
|
||
|
400,000
|
Swift Services Holdings, Inc.
|
B+
|
10.000
|
11/15/2018
|
11/15/14 @ 105
|
453,500
|
||
|
3,663,156
|
||||||||
|
Total Corporate Bonds - 46.5%
|
||||||||
|
(Cost $194,816,657)
|
201,845,340
|
|||||||
|
Term Loans - 0.4%(f)
|
||||||||
|
1,243,687
|
Chrysler Group LLC / CG Co.-Issuer, Inc., Tranche B
|
Ba2
|
6.000
|
05/24/2017
|
N/A
|
1,272,756
|
||
|
625,000
|
Intrawest ULC
|
NR
|
10.750
|
12/04/2018
|
N/A
|
632,031
|
||
|
(Cost $1,885,138)
|
1,904,787
|
|||||||
|
Number
|
||||||||
|
of Shares
|
Description
|
Rating*
|
Coupon
|
Maturity
|
Value
|
|||
|
Convertible Preferred Stocks - 9.5%
|
||||||||
|
Auto Manufacturers - 2.2%
|
||||||||
|
222,842
|
General Motors Co., Series B(a)
|
BB-
|
4.750
|
12/01/2013
|
9,653,515
|
|||
|
Auto Parts & Equipment - 0.8%
|
||||||||
|
76,400
|
Goodyear Tire & Rubber Co.
|
NR
|
5.875
|
04/01/2014
|
3,574,756
|
|||
|
Banks - 2.9%
|
||||||||
|
9,228
|
Bank of America Corp., Series L(a) (g)
|
BB+
|
7.250
|
-
|
10,942,286
|
|||
|
62,000
|
Synovus Financial Corp., Series tMED(e)
|
NR
|
8.250
|
05/15/2013
|
1,429,100
|
|||
|
12,371,386
|
||||||||
|
Insurance - 1.0%
|
||||||||
|
89,141
|
MetLife, Inc.(a)
|
BBB-
|
5.000
|
03/26/2014
|
4,349,189
|
|||
|
Iron & Steel - 2.1%
|
||||||||
| 338,718 | ArcelorMittal, Series MTUS (Luxembourg) | B+ | 6.000 | 01/15/2016 | 8,827,838 | |||
|
Oil & Gas - 0.5%
|
||||||||
|
42,150
|
Apache Corp., Series D(a)
|
BBB
|
6.000
|
08/01/2013
|
1,994,960
|
|||
|
Total Convertible Preferred Stocks - 9.5%
|
||||||||
|
(Cost $36,893,956)
|
40,771,644
|
|||||||
|
Common Stocks - 3.6%
|
||||||||
|
Apparel - 0.4%
|
||||||||
|
47,000
|
Deckers Outdoor Corp.(e) (h)
|
1,877,650
|
||||||
|
Biotechnology - 1.2%
|
||||||||
|
43,681
|
Amgen, Inc.(h)
|
3,732,978
|
||||||
|
31,900
|
Illumina, Inc.(e) (h)
|
1,615,097
|
||||||
|
5,348,075
|
||||||||
|
Health Care Services - 0.3%
|
||||||||
|
49,747
|
Brookdale Senior Living, Inc.(a) (h)
|
1,343,666
|
||||||
|
Media - 0.3%
|
||||||||
|
31,124
|
DISH Network Corp., Class A
|
1,159,992
|
||||||
|
Pharmaceuticals - 0.8%
|
||||||||
|
125,350
|
Elan Corp. PLC, ADR (Ireland)(a) (h)
|
1,317,428
|
||||||
|
25,401
|
Onyx Pharmaceuticals, Inc.(e) (h)
|
1,969,086
|
||||||
|
3,286,514
|
||||||||
|
Real Estate Investment Trusts - 0.4%
|
||||||||
|
90,660
|
Spirit Realty Capital, Inc.
|
1,764,244
|
||||||
|
Software - 0.2%
|
||||||||
|
94,016
|
Activision Blizzard, Inc.(a)
|
1,070,842
|
||||||
|
Total Common Stocks - 3.6%
|
||||||||
|
(Cost $15,609,142)
|
15,850,983
|
|||||||
|
Warrants - 0.1%
|
||||||||
|
421,146
|
MannKind Corp.(a) (h)
|
02/15/2019
|
286,379
|
|||||
|
(Cost $270,407)
|
||||||||
|
Total Long-Term Investments - 153.4%
|
||||||||
|
(Cost $635,627,479)
|
665,718,664
|
|||||||
|
Contracts
|
Options Purchased(h)
|
Expiration
Month
|
Exercise
Price
|
Value
|
||||
|
Call Options Purchased - 0.0%+
|
||||||||
|
933
|
Microsoft Corp.
|
July 2013
|
$33.00
|
10,263
|
||||
|
(Cost $28,002)
|
||||||||
|
Put Options Purchased - 0.1%
|
||||||||
|
6,226
|
iShares Russell 2000 Index Fund
|
March 2013
|
$86.00
|
585,244
|
||||
|
(Cost $790,937)
|
||||||||
|
Total Options Purchased - 0.1%
|
||||||||
|
(Cost $818,939)
|
595,507
|
|||||||
|
Number
|
||||||||
|
of Shares
|
Description
|
Value
|
||||||
|
Short-Term Investments - 7.1%
|
||||||||
|
Money Market - 7.1%
|
||||||||
|
30,817,181
|
Goldman Sachs Financial Prime Obligations – Administration Share Class(i)
|
30,817,181
|
||||||
|
(Cost $30,817,181)
|
||||||||
|
Total Investments - 160.6%
|
||||||||
|
(Cost $667,263,599)
|
697,131,352
|
|||||||
|
Other Assets in excess of Liabilities - 0.4%
|
1,382,098
|
|||||||
|
Total Value of Options Written - (0.2%) (Premiums received $1,224,459)
|
(963,633)
|
|||||||
|
Preferred Shares, at redemption value - (-0.4% of Net Assets
|
||||||||
|
Applicable to Common Shareholders or -0.2% of Total Investments)
|
(1,575,000)
|
|||||||
|
Margin Loan - (39.2%)
|
(170,000,000)
|
|||||||
|
Reverse Repurchase Agreements - (21.2%)
|
(92,000,000
|
|||||||
|
Net Assets Applicable to Common Shareholders - 100.0%
|
$433,974,817
|
|||||||
|
ADR - American Depositary Receipt
|
||||||||
|
BV - Limited Liability Company
|
||||||||
|
CAD - Canadian Dollar
|
||||||||
|
CNY - Chinese Yuan Renminbi
|
||||||||
|
EUR - Euro
|
||||||||
|
GmbH - Limited Liability
|
||||||||
|
HKD - Hong Kong Dollar
|
||||||||
|
JPY - Japanese Yen
|
||||||||
|
LLC - Limited Liability Company
|
||||||||
|
LP - Limited Partnership
|
||||||||
|
N/A- Not Applicable
|
||||||||
|
NV - Publicly Traded Company
|
||||||||
|
PLC - Public Limited Company
|
||||||||
|
Pty - Proprietary
|
||||||||
|
SA - Corporation
|
||||||||
|
SAB de CV - Publicly Traded Company
|
||||||||
|
SCA - Limited Partnership
|
||||||||
|
ULC - Unlimited Liability Company
|
||||||||
|
|
All percentages shown in the Portfolio of Investments are based on Net Assets Applicable to Common Shareholders, unless otherwise noted.
|
|||||||
|
~
|
The principal amount is denominated in U.S. Dollars unless otherwise noted.
|
|||||||
|
*
|
Ratings shown are per Standard & Poor's, Moody's or Fitch. Securities classified as NR are not rated. (For securities not rated by Standard & Poor's Rating Group, the rating by Moody's Investor Services, Inc. is provided. Likewise, for securities not rated by Standard & Poor's Rating Group and Moody's Investor Services, Inc., the rating by Fitch Ratings is provided.) All ratings are unaudited. The ratings apply to the credit worthiness of the issuers of the underlying securities and not to the Fund or its shares.
|
|||||||
|
**
|
Date and price of the earliest optional call provision. There may be other call provisions at varying prices at later dates. All optional provisions are unaudited.
|
|||||||
|
+
|
Less than 0.1%
|
|||||||
|
(a)
|
All or a portion of these securities have been physically segregated in connection with borrowings and reverse repurchase agreements. As of January 31, 2013, the total amount segregated was $444,025,148.
|
|||||||
|
(b)
|
Securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2013 these securities amounted to $141,965,078, which represents 32.7% of net assets applicable to common shares.
|
|||||||
|
(c)
|
Zero coupon bond.
|
|||||||
|
(d)
|
Security is a "step coupon" bond where the coupon increases or decreases at a predetermined date. The rate shown reflects the rate in effect at the end of the reporting period.
|
|||||||
|
(e)
|
All or a portion of this security is segregated as collateral (or a potential collateral for future transactions) for written options.
|
|||||||
|
(f)
|
Term loans held by the Fund have a variable interest rate feature which is periodically adjusted based on an underlying interest rate benchmark. In addition, term loans may include mandatory and/or optional prepayment terms. As a result, the actual maturity dates of the loan may be different than the date disclosed in the portfolio of investments. Term loans may be considered restricted in that the Fund may be contractually obligated to secure approval from the Agent Bank and/or Borrower prior to the sale or disposition of loan.
|
|||||||
|
(g)
|
Security is perpetual and, thus does not have a predetermined maturity date. The coupon rate shown is in effect as of January 31, 2013.
|
|||||||
|
(h)
|
Non-income producing security.
|
|||||||
|
(i)
|
All or a portion of this security has been segregated in connection with forward exchange currency contracts and unfunded loan commitments. At January 31, 2013, the total amount segregated was $30,817,181.
|
|||||||
| (j) | Security becomes an accreting bond after December 15, 2016 with a 2.00% principal accretion rate. | |||||||
| (k) | Security becomes an accreting bond after March 1, 2018 with a 2.00% principal accretion rate. | |||||||
|
Contracts (100 shares per contract)
|
Options Written(a)
|
Expiration
Month
|
Exercise
Price
|
Value
|
||
|
Call Options Written - (0.1%)
|
||||||
|
2,540
|
ArcelorMittal
|
January 2014
|
$20.00
|
$(269,240)
|
||
|
470
|
Deckers Outdoor Corp.
|
June 2013
|
45.00
|
(169,200)
|
||
|
319
|
Illumina, Inc.
|
January 2014
|
60.00
|
(78,155)
|
||
|
254
|
Onyx Pharmaceuticals, Inc.
|
August 2013
|
100.00
|
(52,070)
|
||
|
89
|
priceline.com, Inc.
|
April 2013
|
770.00
|
(96,120)
|
||
|
Total Value of Call Options Written
|
(664,785)
|
|||||
|
(Premiums received $820,013)
|
||||||
|
Put Options Written - (0.1%)
|
||||||
|
6,226
|
iShares Russell 2000 Index Fund
|
March 2013
|
83.00
|
(298,848)
|
||
|
(Premiums received $404,446)
|
||||||
|
Total Value of Options Written - (0.2%)
|
||||||
|
(Premiums received $1,224,459)
|
$(963,633)
|
|||||
|
(a)
|
Non-income producing security.
|
|||||
|
Country Breakdown as % of Long-Term Investments*
|
||
|
United States
|
83.6%
|
|
|
Canada
|
3.1%
|
|
|
France
|
1.8%
|
|
|
Luxembourg
|
1.6%
|
|
|
Jersey
|
1.5%
|
|
|
Cayman Islands
|
1.3%
|
|
|
Hong Kong
|
1.2%
|
|
|
Australia
|
1.1%
|
|
|
Bermuda
|
0.8%
|
|
|
British Virgin Islands
|
0.8%
|
|
|
South Korea
|
0.6%
|
|
|
Ireland
|
0.6%
|
|
|
Netherlands
|
0.5%
|
|
|
Marshall Islands
|
0.5%
|
|
|
Austria
|
0.3%
|
|
|
Taiwan
|
0.3%
|
|
|
Japan
|
0.2%
|
|
|
Mexico
|
0.1%
|
|
|
United Kingdom
|
0.1%
|
|
|
Liberia
|
0.0%**
|
|
|
*Subject to change daily.
|
|||||||
|
**Less than 0.1%.
|
|||||||
|
See previously submitted notes to financial statements for the period ended October 31, 2012.
|
|||||||
|
AVK | Advent/Claymore Convertible Securities & Income Fund
|
||||||||
|
Portfolio of Investments
|
||||||||
|
January 31, 2013 (unaudited)
|
||||||||
|
Forward exchange currency contracts
|
||||||||
|
Net Unrealized
|
||||||||
|
Contracts to Buy
|
Counterparty
|
Settlement Date
|
Settlement Value
|
Value at 1/31/13
|
Appreciation/(Depreciation)
|
|||
|
EUR
|
500,000
|
|||||||
|
for USD
|
673,700
|
The Bank of New York Mellon
|
2/1/2013
|
673,700
|
678,700
|
$ 5,000
|
||
|
EUR
|
1,366,000
|
|||||||
|
for USD
|
1,823,188
|
The Bank of New York Mellon
|
3/19/2013
|
1,823,188
|
1,854,681
|
31,493
|
||
|
EUR
|
4,073,000
|
|||||||
|
for USD
|
5,432,405
|
The Bank of New York Mellon
|
3/19/2013
|
5,432,405
|
5,530,098
|
97,693
|
||
|
EUR
|
3,543,000
|
|||||||
|
for USD
|
4,734,405
|
The Bank of New York Mellon
|
3/19/2013
|
4,734,405
|
4,810,493
|
76,088
|
||
|
HKD
|
12,000,000
|
|||||||
|
for USD
|
1,548,108
|
The Bank of New York Mellon
|
2/15/2013
|
1,548,108
|
1,547,369
|
(739)
|
||
|
HKD
|
2,024,000
|
|||||||
|
for USD
|
261,114
|
The Bank of New York Mellon
|
2/15/2013
|
261,114
|
260,989
|
(125)
|
||
|
HKD
|
8,100,000
|
|||||||
|
for USD
|
1,044,972
|
The Bank of New York Mellon
|
2/15/2013
|
1,044,972
|
1,044,474
|
(498)
|
||
|
JPY
|
102,500,000
|
|||||||
|
for USD
|
1,177,453
|
The Bank of New York Mellon
|
3/19/2013
|
1,177,453
|
1,123,508
|
(53,945)
|
||
|
$ 154,967
|
||||||||
|
Net Unrealized
|
||||||||
|
Contracts to Sell
|
Counterparty
|
Settlement Date
|
Settlement Value
|
Value at 1/31/13
|
Appreciation/
(Depreciation) |
|||
|
EUR
|
357,000
|
|||||||
|
for USD
|
480,629
|
The Bank of New York Mellon
|
2/1/2013
|
480,629
|
484,591
|
$ (3,962)
|
||
|
EUR
|
151,875
|
|||||||
|
for USD
|
204,469
|
The Bank of New York Mellon
|
2/1/2013
|
204,469
|
206,155
|
(1,686)
|
||
|
EUR
|
8,600,000
|
|||||||
|
for USD
|
11,272,381
|
The Bank of New York Mellon
|
3/19/2013
|
11,272,381
|
11,676,612
|
(404,231)
|
||
|
EUR
|
1,700,000
|
|||||||
|
for USD
|
2,227,986
|
The Bank of New York Mellon
|
3/19/2013
|
2,227,986
|
2,308,168
|
(80,182)
|
||
|
EUR
|
670,000
|
|||||||
|
for USD
|
875,460
|
The Bank of New York Mellon
|
3/19/2013
|
875,460
|
909,690
|
(34,230)
|
||
|
EUR
|
1,255,000
|
|||||||
|
for USD
|
1,641,527
|
The Bank of New York Mellon
|
3/19/2013
|
1,641,527
|
1,703,970
|
(62,443)
|
||
|
EUR
|
2,046,000
|
|||||||
|
for USD
|
2,670,132
|
The Bank of New York Mellon
|
3/19/2013
|
2,670,132
|
2,777,947
|
(107,815)
|
||
|
EUR
|
3,000,000
|
|||||||
|
for USD
|
3,956,325
|
The Bank of New York Mellon
|
3/19/2013
|
3,956,325
|
4,073,237
|
(116,912)
|
||
|
EUR
|
25,326
|
|||||||
|
for USD
|
34,165
|
The Bank of New York Mellon
|
2/4/2013
|
34,165
|
34,378
|
(213)
|
||
|
EUR
|
300,000
|
|||||||
|
for USD
|
407,490
|
The Bank of New York Mellon
|
3/19/2013
|
407,490
|
407,324
|
166
|
||
|
JPY
|
215,000,000
|
|||||||
|
for USD
|
2,575,238
|
The Bank of New York Mellon
|
3/19/2013
|
2,575,238
|
2,356,626
|
218,612
|
||
|
$ (592,896)
|
||||||||
| Total unrealized depreciation for forward currency contracts |
$ (437,929)
|
|||||||
|
AVK Advent Claymore Convertible Securities and Income Fund
|
||||||||
|
Portfolio of Investments
|
||||||||
|
January 31, 2013 (unaudited)
|
||||||||
|
Unfunded Loan Commitments
|
||||||||
|
At January 31, 2013, the Fund had the following unfunded loan commitments which could be extended at the option of the borrower:
|
||||||||
|
Commitment
|
||||||||
|
Borrower
|
Term
|
Maturity Date
|
Commitment Fee Rate
|
Rate if Funded
|
Par Value
|
Value
|
||
|
DuPont Performance Coatings
|
Bridge for 8 year term loan
|
10/24/13
|
0.75%
|
Libor + 750bps
|
$ 2,500,000
|
-
|
||
|
Spectrum Brands, Inc.
|
Bridge for term loan
|
10/10/13
|
0.50%
|
Libor + 650bps
|
$ 1,250,000
|
-
|
||
|
Cost of Investments for Tax Purposes
|
Gross Tax Unrealized Appreciation
|
Gross Tax Unrealized Depreciation
|
Net Tax Unrealized Appreciation on Investments
|
Net Tax
Unrealized
Depreciation
Derivatives
and Foreign
Currency
|
||||
|
$ 669,428,478
|
$ 35,899,908
|
$ (8,197,034)
|
$ 27,702,874
|
$ (177,103)
|
|
Quoted Prices in Active Markets for Identical Assets
|
Significant Other
Observable Inputs |
Significant Unobservable Inputs
|
||||||||||
|
Description
|
(Level 1)
|
(Level 2)
|
(Level 3)
|
Total
|
||||||||
|
(Value in $000s)
|
||||||||||||
|
Assets:
|
||||||||||||
|
Convertible Bonds
|
$ | - | $ | 413,888 | $ | - | $ | 413,888 | ||||
|
Corporate Bonds
|
- | 201,845 | - | 201,845 | ||||||||
|
Term Loans
|
- | 1,905 | - | 1,905 | ||||||||
|
Convertible Preferred Stocks
|
31,944 | - | - | 31,944 | ||||||||
|
Common Stocks
|
15,851 | - | - | 15,851 | ||||||||
|
Warrants
|
- | 286 | - | 286 | ||||||||
|
Call Options Purchased
|
10 | - | - | 10 | ||||||||
|
Put Options Purchased
|
585 | - | - | 585 | ||||||||
|
Money Market Fund
|
30,817 | - | - | 30,817 | ||||||||
|
Forward Exchange Currency Contracts
|
- | 155 | - | 155 | ||||||||
|
Total
|
$ | 79,207 | $ | 618,079 | $ | - | $ | 697,286 | ||||
|
Liabilities:
|
||||||||||||
|
Call Options Written
|
$ | 665 | $ | - | $ | - | $ | 665 | ||||
|
Put Options Written
|
299 | - | - | 299 | ||||||||
|
Forward Exchange Currency Contracts
|
- | 593 | - | 593 | ||||||||
|
Total
|
$ | 964 | $ | 593 | $ | - | $ | 1,557 | ||||
|
|
(a)
|
The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “Investment Company Act”)) as of a date within 90 days of the filing date of this report and have concluded based on such evaluation, that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant on this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.
|
|
|
(b)
|
There was no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the registrant’s last fiscal quarter that has materially affected or is reasonably likely to materially affect the registrant’s internal control over financial reporting.
|
|
Advent Claymore Convertible Securities and Income Fund
|
|
By:
|
/s/ Tracy V. Maitland |
|
Date:
|
March 27, 2013
|
|
By:
|
/s/ Tracy V. Maitland |
|
Date:
|
March 27, 2013
|
|
By:
|
/s/ Robert White |
|
Date:
|
March 27, 2013
|