|
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 & Income Fund
|
||||||||
|
Portfolio of Investments
|
||||||||
|
July 31, 2013 (unaudited)
|
||||||||
|
Principal
|
Optional Call
|
|||||||
|
Amount~
|
Description
|
Rating*
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
||
|
Long-Term Investments - 149.6%
|
||||||||
|
Convertible Bonds - 107.0%
|
||||||||
|
Aerospace & Defense - 1.1%
|
||||||||
|
$3,000,000
|
Alliant Techsystems, Inc.(a)
|
BB
|
3.000%
|
08/15/2024
|
08/20/14 @ 100
|
$3,783,750
|
||
|
1,301,000
|
L-3 Communications Holdings, Inc.(a)
|
BB+
|
3.000%
|
08/01/2035
|
N/A
|
1,402,641
|
||
|
5,186,391
|
||||||||
|
Airlines - 0.1%
|
||||||||
|
292,000
|
United Airlines, Inc.
|
B
|
4.500%
|
01/15/2015
|
N/A
|
559,545
|
||
|
Apparel - 0.1%
|
||||||||
|
313,000
|
Iconix Brand Group, Inc.(a) (b)
|
NR
|
1.500%
|
03/15/2018
|
N/A
|
375,796
|
||
|
Auto Manufacturers - 1.6%
|
||||||||
|
6,966,000
|
Navistar International Corp.(a) (c)
|
CCC
|
3.000%
|
10/15/2014
|
N/A
|
7,031,306
|
||
|
EUR 200,000
|
Volkswagen International Finance NV (Netherlands)(b)
|
BBB
|
5.500%
|
11/09/2015
|
N/A
|
302,329
|
||
|
7,333,635
|
||||||||
|
Auto Parts & Equipment - 1.2%
|
||||||||
|
EUR 2,687,000
|
Faurecia, Series EO (France)
|
B3
|
3.250%
|
01/01/2018
|
N/A
|
869,769
|
||
|
4,866,000
|
Meritor, Inc.(a) (d)
|
B-
|
4.000%
|
02/15/2027
|
02/15/19 @ 100
|
4,537,545
|
||
|
5,407,314
|
||||||||
|
Banks - 0.1%
|
||||||||
|
400,000
|
National Bank of Abu Dhabi PJSC, Series NBAD (United Arab Emirates)
|
A+
|
1.000%
|
03/12/2018
|
N/A
|
418,000
|
||
|
Biotechnology - 5.8%
|
||||||||
|
4,460,000
|
Cubist Pharmaceuticals, Inc.(a)
|
NR
|
2.500%
|
11/01/2017
|
N/A
|
9,834,300
|
||
|
1,016,000
|
Dendreon Corp.(a)
|
NR
|
2.875%
|
01/15/2016
|
N/A
|
742,950
|
||
|
3,907,000
|
Gilead Sciences, Inc., Series C(a)
|
A-
|
1.000%
|
05/01/2014
|
N/A
|
10,636,807
|
||
|
1,324,000
|
InterMune, Inc.(a)
|
NR
|
2.500%
|
12/15/2017
|
N/A
|
1,878,425
|
||
|
2,839,000
|
Merrimack Pharmaceuticals, Inc.
|
NR
|
4.500%
|
07/15/2020
|
N/A
|
2,937,277
|
||
|
180,000
|
QIAGEN Finance Luxembourg SA, Series QGEN (Luxembourg)
|
NR
|
1.500%
|
08/18/2024
|
N/A
|
296,244
|
||
|
26,326,003
|
||||||||
|
Building Materials - 0.7%
|
||||||||
|
1,600,000
|
Asia Cement Corp. (Taiwan)(e)
|
NR
|
0.000%
|
06/07/2016
|
N/A
|
1,636,000
|
||
|
1,237,000
|
Cemex SAB de CV (Mexico)
|
NR
|
4.875%
|
03/15/2015
|
N/A
|
1,484,400
|
||
|
3,120,400
|
||||||||
|
Coal - 3.2%
|
||||||||
|
12,629,000
|
Alpha Appalachia Holdings, Inc.(a)
|
B
|
3.250%
|
08/01/2015
|
N/A
|
11,831,794
|
||
|
2,740,000
|
Alpha Natural Resources, Inc.(a)
|
B-
|
2.375%
|
04/15/2015
|
N/A
|
2,555,050
|
||
|
14,386,844
|
||||||||
|
Commercial Services - 0.1%
|
||||||||
|
JPY 40,000,000
|
Park24 Co. Ltd. (Japan)(e)
|
NR
|
0.000%
|
04/26/2018
|
N/A
|
432,718
|
||
|
Computers - 3.0%
|
||||||||
|
EUR 534,500
|
Capital Gemini SA, Series CAP (France)
|
BBB
|
3.500%
|
01/01/2014
|
N/A
|
302,421
|
||
|
7,749,000
|
EMC Corp., Series B(a)
|
A
|
1.750%
|
12/01/2013
|
N/A
|
12,650,281
|
||
|
EUR 356,500
|
Ingenico, Series ING (France)
|
NR
|
2.750%
|
01/01/2017
|
N/A
|
282,493
|
||
|
310,000
|
SanDisk Corp.(a)
|
BB
|
1.500%
|
08/15/2017
|
N/A
|
394,281
|
||
|
13,629,476
|
||||||||
|
Diversified Financial Services - 2.1%
|
||||||||
|
295,000
|
Air Lease Corp.
|
NR
|
3.875%
|
12/01/2018
|
N/A
|
370,041
|
||
|
4,100,000
|
Hong Kong Exchanges and Clearing Ltd. (China)
|
NR
|
0.500%
|
10/23/2017
|
N/A
|
4,305,000
|
||
|
HKD 14,000,000
|
Tong Jie Ltd., Series 363 (British Virgin Islands)(e)
|
NR
|
0.000%
|
02/18/2018
|
N/A
|
1,796,179
|
||
|
2,867,000
|
Walter Investment Management Corp.(a)
|
NR
|
4.500%
|
11/01/2019
|
N/A
|
3,076,649
|
||
|
9,547,869
|
||||||||
|
Electric - 0.4%
|
||||||||
|
CNY 7,500,000
|
China Power International Development Ltd. (China)
|
NR
|
2.250%
|
05/17/2016
|
N/A
|
1,936,522
|
||
|
Electrical Components & Equipment - 2.2%
|
||||||||
|
9,877,000
|
General Cable Corp.(a)
|
B+
|
0.875%
|
11/15/2013
|
N/A
|
9,858,481
|
||
|
Electronics - 0.7%
|
||||||||
|
2,750,000
|
TPK Holding Co. Ltd., Series REGS (Cayman Islands)(e)
|
NR
|
0.000%
|
10/01/2017
|
N/A
|
2,928,750
|
||
|
JPY 20,000,000
|
Yaskawa Electric Corp. (Japan)(e)
|
NR
|
0.000%
|
03/16/2017
|
N/A
|
259,977
|
||
|
3,188,727
|
||||||||
|
Engineering & Construction - 0.1%
|
||||||||
|
400,000
|
YTL Corp. Finance Labuan Ltd. (Malaysia)
|
NR
|
1.875%
|
03/18/2015
|
N/A
|
439,500
|
||
|
Food - 0.6%
|
||||||||
|
GBP 1,550,000
|
J Sainsbury PLC (United Kingdom)
|
NR
|
4.250%
|
07/16/2014
|
N/A
|
2,614,238
|
||
|
Gas - 0.9%
|
||||||||
|
3,500,000
|
ENN Energy Holdings Ltd. (Cayman Islands)(e)
|
NR
|
0.000%
|
02/26/2018
|
N/A
|
3,915,625
|
||
|
Hand & Machine Tools - 0.7%
|
||||||||
|
EUR 200,000
|
KUKA AG, Series KU2 (Germany)
|
NR
|
2.000%
|
02/12/2018
|
N/A
|
293,428
|
||
|
JPY 240,000,000
|
OSG Corp. (Japan)(e)
|
NR
|
0.000%
|
04/04/2022
|
N/A
|
2,956,230
|
||
|
3,249,658
|
||||||||
|
Health Care Products - 9.9%
|
||||||||
|
6,698,000
|
HeartWare International, Inc.(a)
|
NR
|
3.500%
|
12/15/2017
|
N/A
|
8,230,167
|
||
|
HKD 100,000,000
|
Hengan International Group Co. Ltd. (Cayman Islands)(e)
|
NR
|
0.000%
|
06/27/2018
|
N/A
|
13,281,154
|
||
|
2,247,000
|
Hologic, Inc., Series 2010(a) (d) (f)
|
B+
|
2.000%
|
12/15/2037
|
12/15/16 @ 100
|
2,650,056
|
||
|
9,750,000
|
Hologic, Inc.(a) (d) (g)
|
B+
|
2.000%
|
12/15/2037
|
12/15/13 @ 100
|
9,804,893
|
||
|
6,940,000
|
Hologic, Inc., Series 2012(a) (d) (h)
|
B+
|
2.000%
|
03/01/2042
|
03/06/18 @ 100
|
7,417,125
|
||
|
3,957,000
|
Volcano Corp.(a)
|
NR
|
1.750%
|
12/01/2017
|
N/A
|
3,778,935
|
||
|
45,162,330
|
||||||||
|
Health Care Services - 2.4%
|
||||||||
|
7,481,000
|
LifePoint Hospitals, Inc.(a)
|
B
|
3.500%
|
05/15/2014
|
N/A
|
8,210,397
|
||
|
2,414,000
|
Molina Healthcare, Inc.(a) (b)
|
NR
|
1.125%
|
01/15/2020
|
N/A
|
2,656,909
|
||
|
10,867,306
|
||||||||
|
Holding Companies-Diversified - 0.2%
|
||||||||
|
400,000
|
Giant Great Ltd. (British Virgin Islands)
|
NR
|
3.000%
|
07/21/2016
|
N/A
|
489,700
|
||
|
400,000
|
Siem Industries, Inc., Series SUBC (Cayman Islands)
|
NR
|
1.000%
|
09/12/2019
|
N/A
|
385,520
|
||
|
875,220
|
||||||||
|
Home Builders - 3.0%
|
||||||||
|
4,780,000
|
Lennar Corp.(a) (b)
|
BB-
|
2.000%
|
12/01/2020
|
12/01/13 @ 100
|
6,022,800
|
||
|
4,134,000
|
Ryland Group, Inc.(a)
|
BB-
|
1.625%
|
05/15/2018
|
N/A
|
5,865,113
|
||
|
1,549,000
|
Toll Brothers Finance Corp.(a) (b)
|
BB+
|
0.500%
|
09/15/2032
|
09/15/17 @ 100
|
1,556,745
|
||
|
13,444,658
|
||||||||
|
Household Products & Housewares - 0.9%
|
||||||||
|
4,037,000
|
Jarden Corp.(a) (b)
|
B
|
1.500%
|
06/15/2019
|
N/A
|
4,158,110
|
||
|
Insurance - 2.2%
|
||||||||
|
6,933,000
|
Radian Group, Inc.(a)
|
B-
|
3.000%
|
11/15/2017
|
N/A
|
9,883,858
|
||
|
Internet - 4.9%
|
||||||||
|
406,000
|
BroadSoft, Inc.
|
NR
|
1.500%
|
07/01/2018
|
N/A
|
418,180
|
||
|
2,619,000
|
Equinix, Inc.(a)
|
B+
|
3.000%
|
10/15/2014
|
N/A
|
4,264,060
|
||
|
5,507,000
|
priceline.com, Inc.(a) (c)
|
BBB
|
1.000%
|
03/15/2018
|
N/A
|
6,601,516
|
||
|
11,300,000
|
WebMD Health Corp.(a)
|
NR
|
2.500%
|
01/31/2018
|
N/A
|
11,045,750
|
||
|
22,329,506
|
||||||||
|
Investment Companies - 1.8%
|
||||||||
|
EUR 200,000
|
Aabar Investments PJSC, Series REGS (United Arab Emirates)
|
NR
|
4.000%
|
05/27/2016
|
N/A
|
290,799
|
||
|
5,429,000
|
Ares Capital Corp.(a) (b)
|
BBB
|
4.375%
|
01/15/2019
|
N/A
|
5,395,069
|
||
|
2,400,000
|
Billion Express Investments Ltd. (British Virgin Islands)
|
NR
|
0.750%
|
10/18/2015
|
N/A
|
2,466,600
|
||
|
8,152,468
|
||||||||
|
Iron & Steel - 2.1%
|
||||||||
|
456,833
|
ArcelorMittal, Series MTUS (Luxembourg)(a) (c)
|
B+
|
6.000%
|
01/15/2016
|
N/A
|
9,714,828
|
||
|
Lodging - 1.4%
|
||||||||
|
5,518,000
|
MGM Resorts International(a) (c)
|
B+
|
4.250%
|
04/15/2015
|
N/A
|
6,445,714
|
||
|
Machinery-Diversified - 0.5%
|
||||||||
|
232,000
|
AGCO Corp.(a)
|
BB+
|
1.250%
|
12/15/2036
|
12/19/13 @ 100
|
321,610
|
||
|
JPY 31,000,000
|
Ebara Corp., Series 6 (Japan)(e)
|
NR
|
0.000%
|
03/19/2018
|
N/A
|
408,152
|
||
|
JPY 100,000,000
|
IHI Corp. (Japan)(e)
|
NR
|
0.000%
|
03/29/2016
|
N/A
|
1,518,733
|
||
|
2,248,495
|
||||||||
|
Media - 0.2%
|
||||||||
|
GBP 100,000
|
ITV PLC (United Kingdom)
|
BBB-
|
4.000%
|
11/09/2016
|
N/A
|
391,292
|
||
|
320,000
|
Liberty Interactive, LLC(b)
|
BB
|
0.750%
|
03/30/2043
|
04/05/23 @ 100
|
360,800
|
||
|
752,092
|
||||||||
|
Metal Fabricate & Hardware - 0.1%
|
||||||||
|
535,000
|
RTI International Metals, Inc.
|
NR
|
1.625%
|
10/15/2019
|
N/A
|
545,700
|
||
|
Mining - 6.3%
|
||||||||
|
10,200,000
|
Glencore Finance Europe SA (Luxembourg)
|
BBB
|
5.000%
|
12/31/2014
|
N/A
|
11,202,150
|
||
|
2,509,000
|
Goldcorp, Inc. (Canada)(a)
|
BBB+
|
2.000%
|
08/01/2014
|
N/A
|
2,545,067
|
||
|
5,933,000
|
Newmont Mining Corp., Series B(a)
|
BBB+
|
1.625%
|
07/15/2017
|
N/A
|
6,567,089
|
||
|
8,705,000
|
Royal Gold, Inc.(a)
|
NR
|
2.875%
|
06/15/2019
|
N/A
|
8,427,528
|
||
|
28,741,834
|
||||||||
|
Oil & Gas - 3.6%
|
||||||||
|
9,766,000
|
Chesapeake Energy Corp.(a)
|
BB-
|
2.250%
|
12/15/2038
|
12/15/18 @ 100
|
8,569,665
|
||
|
580,000
|
Cobalt International Energy, Inc.(a)
|
NR
|
2.625%
|
12/01/2019
|
N/A
|
649,963
|
||
|
533,000
|
Goodrich Petroleum Corp.
|
CCC
|
5.000%
|
10/01/2029
|
10/01/14 @ 100
|
545,992
|
||
|
500,000
|
Lukoil International Finance BV (Netherlands)
|
BBB
|
2.625%
|
06/16/2015
|
N/A
|
541,250
|
||
|
2,505,000
|
Premier Oil Finance Jersey Ltd., Series PMO (Jersey)
|
NR
|
2.500%
|
07/27/2018
|
N/A
|
2,900,038
|
||
|
300,000
|
Seadrill Ltd. (Bermuda)
|
NR
|
3.375%
|
10/27/2017
|
N/A
|
451,800
|
||
|
2,898,000
|
Stone Energy Corp.(a)
|
B-
|
1.750%
|
03/01/2017
|
N/A
|
2,802,004
|
||
|
16,460,712
|
||||||||
|
Oil & Gas Services - 3.2%
|
||||||||
|
5,278,000
|
Hornbeck Offshore Services, Inc.(a) (b)
|
BB-
|
1.500%
|
09/01/2019
|
N/A
|
6,379,782
|
||
|
EUR 6,228,000
|
Technip SA, Series TEC (France)
|
BBB+
|
0.500%
|
01/01/2016
|
N/A
|
8,157,712
|
||
|
14,537,494
|
||||||||
|
Pharmaceuticals - 7.1%
|
||||||||
|
4,296,000
|
Auxilium Pharmaceuticals, Inc.(a)
|
NR
|
1.500%
|
07/15/2018
|
N/A
|
4,357,755
|
||
|
1,793,000
|
Isis Pharmaceuticals, Inc.(a) (b)
|
NR
|
2.750%
|
10/01/2019
|
N/A
|
3,303,602
|
||
|
2,571,000
|
Medivation, Inc.(a)
|
NR
|
2.625%
|
04/01/2017
|
N/A
|
3,568,869
|
||
|
197,000
|
Pacira Pharmaceuticals, Inc.(b)
|
NR
|
3.250%
|
02/01/2019
|
N/A
|
309,906
|
||
|
4,212,000
|
Salix Pharmaceuticals Ltd.(a)
|
NR
|
1.500%
|
03/15/2019
|
N/A
|
5,404,523
|
||
|
JPY 340,000,000
|
Sawai Pharmaceutical Co. Ltd. (Japan)(e)
|
NR
|
0.000%
|
09/17/2015
|
N/A
|
4,503,431
|
||
|
4,260,000
|
Shire PLC, Series SHP (Jersey)
|
NR
|
2.750%
|
05/09/2014
|
N/A
|
5,009,760
|
||
|
97,000
|
Theravance, Inc.(a)
|
NR
|
2.125%
|
01/15/2023
|
N/A
|
150,350
|
||
|
4,837,000
|
Vivus, Inc.(b)
|
NR
|
4.500%
|
05/01/2020
|
N/A
|
5,659,290
|
||
|
32,267,486
|
||||||||
|
Real Estate - 3.5%
|
||||||||
|
SGD 10,500,000
|
CapitaLand Ltd., Series REGS (Singapore)
|
NR
|
1.850%
|
06/19/2020
|
N/A
|
7,858,825
|
||
|
7,843,000
|
Forest City Enterprises, Inc.(b)
|
BB-
|
3.625%
|
08/15/2020
|
08/15/18 @ 100
|
7,745,498
|
||
|
EUR 90,455
|
IMMOFINANZ AG (Austria)
|
NR
|
4.250%
|
03/08/2018
|
N/A
|
533,291
|
||
|
16,137,614
|
||||||||
|
Real Estate Investment Trusts - 7.6%
|
||||||||
|
8,746,000
|
Annaly Capital Management, Inc.(a)
|
NR
|
5.000%
|
05/15/2015
|
N/A
|
8,860,791
|
||
|
EUR 400,000
|
BENI Stabili SpA (Italy)
|
NR
|
3.375%
|
01/17/2018
|
N/A
|
563,433
|
||
|
2,579,000
|
BioMed Realty, LP(b)
|
NR
|
3.750%
|
01/15/2030
|
01/21/15 @ 100
|
3,151,216
|
||
|
2,486,000
|
Boston Properties, LP(a) (b)
|
A-
|
3.625%
|
02/15/2014
|
N/A
|
2,579,225
|
||
|
293,000
|
DDR Corp.
|
BBB-
|
1.750%
|
11/15/2040
|
11/20/15 @ 100
|
350,135
|
||
|
GBP 300,000
|
Derwent London Capital Jersey Ltd. (Jersey)
|
BBB
|
2.750%
|
07/15/2016
|
N/A
|
549,189
|
||
|
2,000,000
|
Derwent London Capital No. 2 Jersey Ltd., Series DLN (Jersey)
|
BBB
|
1.125%
|
07/24/2019
|
N/A
|
3,049,943
|
||
|
380,000
|
Host Hotels & Resorts, LP(a) (b)
|
BBB-
|
2.500%
|
10/15/2029
|
10/20/15 @ 100
|
539,363
|
||
|
510,000
|
NorthStar Realty Finance, LP(b)
|
NR
|
5.375%
|
06/15/2033
|
06/15/23 @ 100
|
540,919
|
||
|
1,758,000
|
Redwood Trust, Inc.(a)
|
NR
|
4.625%
|
04/15/2018
|
N/A
|
1,756,901
|
||
|
6,571,000
|
SL Green Operating Partnership, LP(a) (b)
|
BB+
|
3.000%
|
10/15/2017
|
N/A
|
8,074,116
|
||
|
4,402,000
|
Starwood Property Trust, Inc.(a)
|
BB-
|
4.000%
|
01/15/2019
|
N/A
|
4,671,623
|
||
|
34,686,854
|
||||||||
|
Retail - 0.1%
|
||||||||
|
JPY 20,000,000
|
AEON Co. Ltd., Series 7 (Japan)
|
BBB+
|
0.300%
|
11/22/2013
|
N/A
|
300,697
|
||
|
155,000
|
Group 1 Automotive, Inc.(d)
|
B+
|
2.250%
|
06/15/2036
|
06/15/16 @ 100
|
198,884
|
||
|
499,581
|
||||||||
|
Semiconductors - 6.9%
|
||||||||
|
7,602,000
|
Advanced Micro Devices, Inc.(a)
|
B
|
6.000%
|
05/01/2015
|
N/A
|
7,872,821
|
||
|
291,000
|
LAM Research Corp.(a)
|
BBB-
|
1.250%
|
05/15/2018
|
N/A
|
340,106
|
||
|
277,000
|
Microchip Technology, Inc.
|
NR
|
2.125%
|
12/15/2037
|
N/A
|
426,753
|
||
|
2,601,000
|
Micron Technology, Inc.
|
BB-
|
1.875%
|
06/01/2014
|
N/A
|
2,913,120
|
||
|
6,064,000
|
Micron Technology, Inc., Series A(a) (c)
|
NR
|
1.500%
|
08/01/2031
|
08/05/15 @ 100
|
8,686,680
|
||
|
183,000
|
Novellus Systems, Inc.
|
BBB-
|
2.625%
|
05/15/2041
|
N/A
|
283,765
|
||
|
370,000
|
ON Semiconductor Corp., Series B
|
BB+
|
2.625%
|
12/15/2026
|
12/20/16 @ 100
|
427,813
|
||
|
4,600,000
|
SK Hynix, Inc. (South Korea)
|
NR
|
2.650%
|
05/14/2015
|
N/A
|
5,023,200
|
||
|
3,455,000
|
Xilinx, Inc.(a)
|
BBB+
|
2.625%
|
06/15/2017
|
N/A
|
5,638,128
|
||
|
31,612,386
|
||||||||
|
Software - 7.8%
|
||||||||
|
4,412,000
|
Allscripts Healthcare Solutions, Inc.(a) (b)
|
NR
|
1.250%
|
07/01/2020
|
N/A
|
4,988,317
|
||
|
1,932,000
|
Cornerstone OnDemand, Inc.(b)
|
NR
|
1.500%
|
07/01/2018
|
N/A
|
2,047,920
|
||
|
4,568,000
|
Electronic Arts, Inc.(a)
|
NR
|
0.750%
|
07/15/2016
|
N/A
|
5,027,655
|
||
|
9,995,000
|
Nuance Communications, Inc.(a)
|
BB-
|
2.750%
|
08/15/2027
|
08/20/14 @ 100
|
11,569,213
|
||
|
8,737,000
|
Salesforce.com, Inc.(a) (b)
|
BB
|
0.250%
|
04/01/2018
|
N/A
|
8,704,236
|
||
|
2,900,000
|
Take-Two Interactive Software, Inc.
|
NR
|
1.000%
|
07/01/2018
|
N/A
|
3,059,500
|
||
|
35,396,841
|
||||||||
|
Telecommunications - 6.0%
|
||||||||
|
2,874,000
|
Ciena Corp.(a)
|
B
|
0.875%
|
06/15/2017
|
N/A
|
2,798,558
|
||
|
6,363,000
|
Ciena Corp.(a) (b)
|
B
|
3.750%
|
10/15/2018
|
N/A
|
8,617,888
|
||
|
13,184,000
|
Clearwire Communications, LLC / Clearwire Finance, Inc.(a) (b)
|
NR
|
8.250%
|
12/01/2040
|
12/01/17 @ 100
|
14,667,200
|
||
|
415,000
|
Ixia
|
NR
|
3.000%
|
12/15/2015
|
N/A
|
455,981
|
||
|
JPY 40,000,000
|
KDDI Corp. (Japan)(e)
|
NR
|
0.000%
|
12/14/2015
|
N/A
|
769,051
|
||
|
27,308,678
|
||||||||
|
Transportation - 0.6%
|
||||||||
|
2,357,000
|
Ship Finance International Ltd. (Bermuda)
|
NR
|
3.250%
|
02/01/2018
|
N/A
|
2,371,731
|
||
|
JPY 20,000,000
|
Yamato Holdings (Japan)(e)
|
NR
|
0.000%
|
03/07/2016
|
N/A
|
265,823
|
||
|
2,637,554
|
||||||||
|
Total Convertible Bonds - 107.0%
|
||||||||
|
(Cost $460,722,564)
|
486,794,061
|
|||||||
|
Corporate Bonds - 34.7%
|
||||||||
|
Aerospace & Defense - 0.1%
|
||||||||
|
625,000
|
Kratos Defense & Security Solutions, Inc.(a)
|
B
|
10.000%
|
06/01/2017
|
06/01/14 @ 105
|
678,125
|
||
|
Auto Manufacturers - 0.4%
|
||||||||
|
625,000
|
Chrysler Group, LLC / CG Co.-Issuer, Inc.(a)
|
B
|
8.000%
|
06/15/2019
|
06/15/15 @ 104
|
685,156
|
||
|
625,000
|
Ford Motor Co.(a)
|
BB+
|
6.625%
|
10/01/2028
|
N/A
|
703,626
|
||
|
325,000
|
Navistar International Corp.
|
CCC
|
8.250%
|
11/01/2021
|
11/01/14 @ 104
|
333,938
|
||
|
1,722,720
|
||||||||
|
Auto Parts & Equipment - 0.6%
|
||||||||
|
1,075,000
|
Dana Holding Corp.(a)
|
BB
|
6.750%
|
02/15/2021
|
02/15/16 @ 103
|
1,152,938
|
||
|
1,000,000
|
Goodyear Tire & Rubber Co.(a)
|
B+
|
8.250%
|
08/15/2020
|
08/15/15 @ 104
|
1,120,000
|
||
|
500,000
|
Pittsburgh Glass Works, LLC(a) (b)
|
B+
|
8.500%
|
04/15/2016
|
04/15/14 @ 102
|
521,250
|
||
|
2,794,188
|
||||||||
|
Banks - 2.5%
|
||||||||
|
3,255,000
|
Ally Financial, Inc.(a)
|
B+
|
4.625%
|
06/26/2015
|
N/A
|
3,362,780
|
||
|
1,450,000
|
Ally Financial, Inc.(a)
|
B+
|
7.500%
|
09/15/2020
|
N/A
|
1,689,250
|
||
|
975,000
|
CIT Group, Inc.(a) (b)
|
BB-
|
5.500%
|
02/15/2019
|
N/A
|
1,027,406
|
||
|
5,334,000
|
Synovus Financial Corp.(a)
|
B+
|
5.125%
|
06/15/2017
|
N/A
|
5,440,680
|
||
|
11,520,116
|
||||||||
|
Building Materials - 0.5%
|
||||||||
|
1,138,000
|
Ainsworth Lumber Co. Ltd. (Canada)(a) (b)
|
B
|
7.500%
|
12/15/2017
|
12/15/14 @ 104
|
1,211,970
|
||
|
1,050,000
|
Boise Cascade Co.(a)
|
B+
|
6.375%
|
11/01/2020
|
11/01/15 @ 105
|
1,090,687
|
||
|
2,302,657
|
||||||||
|
Chemicals - 1.8%
|
||||||||
|
625,000
|
Ashland, Inc.(a) (b)
|
BB
|
4.750%
|
08/15/2022
|
05/15/22 @ 100
|
618,750
|
||
|
625,000
|
Ashland, Inc.(b)
|
BB
|
4.750%
|
08/15/2022
|
N/A
|
618,750
|
||
|
1,250,000
|
Celanese US Holdings, LLC(a)
|
BB+
|
4.625%
|
11/15/2022
|
N/A
|
1,221,875
|
||
|
1,250,000
|
Cornerstone Chemical Co., Series AI(a)
|
B-
|
9.375%
|
03/15/2018
|
03/15/15 @ 107
|
1,318,750
|
||
|
625,000
|
Phibro Animal Health Corp.(a) (b)
|
B
|
9.250%
|
07/01/2018
|
07/01/14 @ 105
|
671,875
|
||
|
1,250,000
|
Rockwood Specialties Group, Inc.(a)
|
BB
|
4.625%
|
10/15/2020
|
10/15/15 @ 103
|
1,275,000
|
||
|
1,250,000
|
Tronox Finance, LLC(a) (b)
|
BB-
|
6.375%
|
08/15/2020
|
08/15/15 @ 105
|
1,203,125
|
||
|
1,275,000
|
Vertellus Specialties, Inc.(a) (b)
|
CCC+
|
9.375%
|
10/01/2015
|
10/01/13 @ 102
|
1,192,125
|
||
|
8,120,250
|
||||||||
|
Coal - 0.2%
|
||||||||
|
751,000
|
SunCoke Energy, Inc.(a)
|
B+
|
7.625%
|
08/01/2019
|
08/01/14 @ 106
|
786,673
|
||
|
Commercial Services - 1.2%
|
||||||||
|
625,000
|
Cenveo Corp.
|
CCC
|
11.500%
|
05/15/2017
|
05/15/15 @ 106
|
553,125
|
||
|
925,000
|
Cenveo Corp.(a)
|
CCC+
|
8.875%
|
02/01/2018
|
02/01/14 @ 104
|
908,813
|
||
|
1,050,000
|
Neff Rental, LLC / Neff Finance Corp.(a) (b)
|
B
|
9.625%
|
05/15/2016
|
05/15/14 @ 104
|
1,115,625
|
||
|
1,250,000
|
Prospect Medical Holdings, Inc.(b)
|
B-
|
8.375%
|
05/01/2019
|
05/01/15 @ 106
|
1,318,750
|
||
|
400,000
|
Sotheby's(a) (b)
|
BB
|
5.250%
|
10/01/2022
|
10/01/17 @ 103
|
388,000
|
||
|
1,250,000
|
United Rentals North America, Inc.(a)
|
BB
|
5.750%
|
07/15/2018
|
07/15/15 @ 103
|
1,343,750
|
||
|
5,628,063
|
||||||||
|
Computers - 0.3%
|
||||||||
|
1,250,000
|
Seagate HDD Cayman (Cayman Islands)(a) (b)
|
BB+
|
4.750%
|
06/01/2023
|
N/A
|
1,200,000
|
||
|
Diversified Financial Services - 1.3%
|
||||||||
|
1,530,000
|
Air Lease Corp.(a) (d)
|
BBB-
|
5.625%
|
04/01/2017
|
N/A
|
1,614,150
|
||
|
1,400,000
|
International Lease Finance Corp.(a)
|
BBB-
|
8.250%
|
12/15/2020
|
N/A
|
1,624,000
|
||
|
100,000
|
Nationstar Mortgage, LLC / Nationstar Capital Corp.
|
B+
|
6.500%
|
08/01/2018
|
08/01/15 @ 103
|
101,500
|
||
|
150,000
|
Nationstar Mortgage, LLC / Nationstar Capital Corp.(a)
|
B+
|
7.875%
|
10/01/2020
|
10/01/16 @ 104
|
161,625
|
||
|
825,000
|
Nationstar Mortgage, LLC / Nationstar Capital Corp.
|
B+
|
6.500%
|
07/01/2021
|
01/01/17 @ 103
|
827,062
|
||
|
1,561,000
|
SLM Corp., Series MTN
|
BBB-
|
3.875%
|
09/10/2015
|
N/A
|
1,598,074
|
||
|
5,926,411
|
||||||||
|
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
|
1,303,125
|
||
|
Entertainment - 0.1%
|
||||||||
|
644,000
|
Six Flags Entertainment Corp.(a) (b)
|
BB-
|
5.250%
|
01/15/2021
|
01/15/16 @ 104
|
631,120
|
||
|
Environmental Control - 0.3%
|
||||||||
|
1,250,000
|
Casella Waste Systems, Inc.
|
CCC
|
7.750%
|
02/15/2019
|
02/15/15 @ 104
|
1,218,750
|
||
|
Food - 0.5%
|
||||||||
|
1,500,000
|
Land O'Lakes Capital Trust I(a) (b)
|
BB
|
7.450%
|
03/15/2028
|
N/A
|
1,492,500
|
||
|
950,000
|
Marfrig Holding Europe BV (Netherlands)(a) (b)
|
B
|
9.875%
|
07/24/2017
|
01/24/16 @ 105
|
964,250
|
||
|
2,456,750
|
||||||||
|
Forest Products & Paper - 0.8%
|
||||||||
|
1,200,000
|
Appvion, Inc.(a)
|
CCC+
|
11.250%
|
12/15/2015
|
N/A
|
1,362,000
|
||
|
925,000
|
Catalyst Paper Corp. (Canada)(a) (i)
|
NR
|
11.000%
|
10/30/2017
|
12/15/13 @ 100
|
557,312
|
||
|
300,000
|
Neenah Paper, Inc.(b)
|
BB-
|
5.250%
|
05/15/2021
|
05/15/16 @ 104
|
297,000
|
||
|
1,200,000
|
Sappi Papier Holding GmbH (Austria)(a) (b)
|
BB
|
6.625%
|
04/15/2021
|
04/15/16 @ 103
|
1,167,000
|
||
|
300,000
|
Tembec Industries, Inc. (Canada)
|
CCC+
|
11.250%
|
12/15/2018
|
12/15/14 @ 106
|
327,000
|
||
|
3,710,312
|
||||||||
|
Health Care Products - 0.3%
|
||||||||
|
1,250,000
|
Biomet, Inc.
|
B-
|
6.500%
|
08/01/2020
|
08/01/15 @ 105
|
1,318,750
|
||
|
Health Care Services - 1.5%
|
||||||||
|
2,575,000
|
HCA Holdings, Inc.(a)
|
B-
|
7.750%
|
05/15/2021
|
11/15/15 @ 104
|
2,806,750
|
||
|
1,875,000
|
Health Net, Inc.(a)
|
BB
|
6.375%
|
06/01/2017
|
N/A
|
1,968,750
|
||
|
625,000
|
HealthSouth Corp.(a)
|
BB-
|
8.125%
|
02/15/2020
|
02/15/15 @ 104
|
687,500
|
||
|
1,250,000
|
IASIS Healthcare, LLC / IASIS Capital Corp.(a)
|
CCC+
|
8.375%
|
05/15/2019
|
05/15/14 @ 106
|
1,318,750
|
||
|
6,781,750
|
||||||||
|
Home Builders - 0.1%
|
||||||||
|
325,000
|
DR Horton, Inc.
|
BB
|
5.750%
|
08/15/2023
|
05/15/23 @ 100
|
325,000
|
||
|
Household Products & Housewares - 2.2%
|
||||||||
|
8,750,000
|
Reynolds Group Issuer, Inc.(a)
|
CCC+
|
8.500%
|
05/15/2018
|
05/15/14 @ 104
|
9,143,750
|
||
|
200,000
|
Reynolds Group Issuer, Inc.
|
CCC+
|
9.875%
|
08/15/2019
|
08/15/15 @ 105
|
217,000
|
||
|
500,000
|
Reynolds Group Issuer, Inc.(a)
|
B+
|
5.750%
|
10/15/2020
|
10/15/15 @ 104
|
510,000
|
||
|
9,870,750
|
||||||||
|
Insurance - 0.1%
|
||||||||
|
300,000
|
Fidelity & Guaranty Life Holdings, Inc.(b)
|
BB-
|
6.375%
|
04/01/2021
|
04/01/16 @ 105
|
306,000
|
||
|
Internet - 0.4%
|
||||||||
|
1,250,000
|
Equinix, Inc.(a)
|
BB
|
5.375%
|
04/01/2023
|
04/01/18 @ 103
|
1,246,875
|
||
|
500,000
|
NetFlix, Inc.(b)
|
BB-
|
5.375%
|
02/01/2021
|
N/A
|
507,500
|
||
|
1,754,375
|
||||||||
|
Investment Companies - 0.1%
|
||||||||
|
EUR 300,000
|
R&R PIK PLC (United Kingdom)(b)
|
CCC+
|
9.250%
|
05/15/2018
|
05/10/14 @ 102
|
413,293
|
||
|
Iron & Steel - 0.4%
|
||||||||
|
300,000
|
Commercial Metals Co.
|
BB+
|
4.875%
|
05/15/2023
|
02/15/23 @ 100
|
280,500
|
||
|
748,000
|
Edgen Murray Corp.(a) (b)
|
B+
|
8.750%
|
11/01/2020
|
11/01/15 @ 107
|
751,740
|
||
|
150,000
|
Permian Holdings, Inc.(b)
|
B-
|
10.500%
|
01/15/2018
|
07/15/15 @ 108
|
148,500
|
||
|
835,000
|
Steel Dynamics, Inc.(a) (b)
|
BB+
|
6.375%
|
08/15/2022
|
08/15/17 @ 103
|
880,925
|
||
|
2,061,665
|
||||||||
|
Leisure Time - 0.2%
|
||||||||
|
300,000
|
Carlson Wagonlit BV (Netherlands)(b)
|
B+
|
6.875%
|
06/15/2019
|
06/15/15 @ 105
|
312,375
|
||
|
625,000
|
Viking Cruises Ltd. (Bermuda)(a) (b)
|
B+
|
8.500%
|
10/15/2022
|
10/15/17 @ 104
|
692,187
|
||
|
1,004,562
|
||||||||
|
Lodging - 1.5%
|
||||||||
|
900,000
|
Caesars Entertainment Operating Co., Inc.(a)
|
B-
|
8.500%
|
02/15/2020
|
02/15/16 @ 104
|
840,938
|
||
|
2,947,305
|
Inn of the Mountain Gods Resort & Casino(a) (b) (j)
|
NR
|
1.250%
|
11/30/2020
|
10/01/13 @ 100
|
2,792,571
|
||
|
300,000
|
MCE Finance Ltd. (Cayman Islands)(b)
|
BB-
|
5.000%
|
02/15/2021
|
02/15/16 @ 104
|
287,250
|
||
|
2,594,756
|
MTR Gaming Group, Inc.(a) (k)
|
B-
|
11.500%
|
08/01/2019
|
08/01/15 @ 106
|
2,743,954
|
||
|
6,664,713
|
||||||||
|
Machinery-Diversified - 0.3%
|
||||||||
|
570,000
|
Case New Holland, Inc.(a)
|
BB+
|
7.875%
|
12/01/2017
|
N/A
|
671,175
|
||
|
625,000
|
Cleaver-Brooks, Inc.(a) (b)
|
B
|
8.750%
|
12/15/2019
|
12/15/15 @ 107
|
673,437
|
||
|
1,344,612
|
||||||||
|
Media - 2.3%
|
||||||||
|
875,000
|
CCO Holdings, LLC / CCO Holdings Capital Corp.(a)
|
BB-
|
6.500%
|
04/30/2021
|
04/30/15 @ 105
|
903,437
|
||
|
625,000
|
CCO Holdings, LLC / CCO Holdings Capital Corp.
|
BB-
|
5.250%
|
09/30/2022
|
09/30/17 @ 103
|
585,937
|
||
|
625,000
|
Clear Channel Communications, Inc.
|
CCC+
|
9.000%
|
12/15/2019
|
07/15/15 @ 105
|
626,562
|
||
|
312,000
|
Clear Channel Communications, Inc.
|
CCC+
|
11.250%
|
03/01/2021
|
03/01/16 @ 108
|
334,620
|
||
|
625,000
|
DISH DBS Corp.(b)
|
BB-
|
5.125%
|
05/01/2020
|
N/A
|
617,188
|
||
|
5,051,000
|
Media General, Inc.(a)
|
B+
|
11.750%
|
02/15/2017
|
02/15/14 @ 106
|
5,606,610
|
||
|
1,250,000
|
Starz, LLC / Starz Finance Corp.(a)
|
BB
|
5.000%
|
09/15/2019
|
09/15/15 @ 103
|
1,265,625
|
||
|
625,000
|
Univision Communications, Inc.(a) (b)
|
B+
|
6.875%
|
05/15/2019
|
05/15/15 @ 103
|
670,313
|
||
|
10,610,292
|
||||||||
|
Mining - 1.6%
|
||||||||
|
1,250,000
|
American Gilsonite Co.(a) (b)
|
B
|
11.500%
|
09/01/2017
|
09/01/14 @ 109
|
1,321,875
|
||
|
375,000
|
Barminco Finance Pty Ltd. (Australia)(b)
|
B-
|
9.000%
|
06/01/2018
|
N/A
|
345,000
|
||
|
2,135,000
|
FMG Resources August 2006 Pty Ltd. (Australia)(a) (b)
|
B+
|
6.875%
|
02/01/2018
|
02/01/14 @ 105
|
2,185,706
|
||
|
335,000
|
FMG Resources August 2006 Pty Ltd. (Australia)(a) (b)
|
B+
|
8.250%
|
11/01/2019
|
11/01/15 @ 104
|
355,100
|
||
|
1,025,000
|
FQM Akubra, Inc. (Canada)(a) (b)
|
B+
|
8.750%
|
06/01/2020
|
06/01/16 @ 104
|
1,081,375
|
||
|
625,000
|
Kaiser Aluminum Corp.(a)
|
BB-
|
8.250%
|
06/01/2020
|
06/01/16 @ 104
|
703,125
|
||
|
1,250,000
|
St Barbara Ltd. (Australia)(a) (b)
|
B
|
8.875%
|
04/15/2018
|
10/15/15 @ 107
|
1,150,000
|
||
|
7,142,181
|
||||||||
|
Miscellaneous Manufacturing - 0.6%
|
||||||||
|
925,000
|
Dispensing Dynamics International(b)
|
B-
|
12.500%
|
01/01/2018
|
01/01/16 @ 106
|
948,125
|
||
|
625,000
|
LSB Industries, Inc.(b)
|
B+
|
7.750%
|
08/01/2019
|
08/01/16 @ 104
|
625,000
|
||
|
1,075,000
|
Trinseo Materials Operating SCA / Trinseo Materials Finance, Inc.
(Luxembourg)(a) (b)
|
B+
|
8.750%
|
02/01/2019
|
08/01/15 @ 104
|
1,072,313
|
||
|
2,645,438
|
||||||||
|
Oil & Gas - 4.8%
|
||||||||
|
2,542,000
|
Alta Mesa Holdings, LP / Alta Mesa Finance Services Corp.(a)
|
B
|
9.625%
|
10/15/2018
|
10/15/14 @ 105
|
2,681,810
|
||
|
1,100,000
|
Bill Barrett Corp.(a)
|
B+
|
7.625%
|
10/01/2019
|
10/01/15 @ 104
|
1,171,500
|
||
|
800,000
|
BreitBurn Energy Partners, LP / BreitBurn Finance Corp.
|
B-
|
7.875%
|
04/15/2022
|
01/15/17 @ 104
|
810,000
|
||
|
200,000
|
Calumet Specialty Products Partners, LP/Calumet Finance Corp.
|
B
|
9.625%
|
08/01/2020
|
08/01/16 @ 105
|
222,000
|
||
|
950,000
|
Chesapeake Energy Corp.(a)
|
BB-
|
7.250%
|
12/15/2018
|
N/A
|
1,075,875
|
||
|
400,000
|
Clayton Williams Energy, Inc.(a)
|
B-
|
7.750%
|
04/01/2019
|
04/01/15 @ 104
|
411,000
|
||
|
975,000
|
Drill Rigs Holdings, Inc. (Marshall Islands)(a) (b)
|
B
|
6.500%
|
10/01/2017
|
10/01/15 @ 103
|
996,937
|
||
|
175,000
|
EP Energy, LLC / EP Energy Finance, Inc.(a)
|
B
|
9.375%
|
05/01/2020
|
05/01/16 @ 105
|
199,500
|
||
|
5,548,000
|
Lightstream Resources Ltd. (Canada)(a) (b)
|
CCC+
|
8.625%
|
02/01/2020
|
02/01/16 @ 104
|
5,437,040
|
||
|
350,000
|
Midstates Petroleum Co., Inc. / Midstates Petroleum Co., LLC(b)
|
B-
|
9.250%
|
06/01/2021
|
06/01/16 @ 107
|
344,313
|
||
|
350,000
|
Parker Drilling Co.
|
B+
|
9.125%
|
04/01/2018
|
04/01/14 @ 105
|
376,250
|
||
|
1,503,000
|
Plains Exploration & Production Co.(a)
|
BBB
|
6.125%
|
06/15/2019
|
06/15/16 @ 103
|
1,611,007
|
||
|
625,000
|
Plains Exploration & Production Co.(a)
|
BBB
|
6.750%
|
02/01/2022
|
02/01/17 @ 103
|
669,674
|
||
|
500,000
|
Range Resources Corp.(a)
|
BB
|
8.000%
|
05/15/2019
|
05/15/14 @ 104
|
542,500
|
||
|
180,000
|
Range Resources Corp.(a)
|
BB
|
5.000%
|
08/15/2022
|
02/15/17 @ 103
|
182,700
|
||
|
1,250,000
|
Samson Investment Co.(a) (b)
|
B-
|
10.000%
|
02/15/2020
|
02/15/16 @ 105
|
1,331,250
|
||
|
630,000
|
SandRidge Energy, Inc.(a)
|
B-
|
7.500%
|
03/15/2021
|
03/15/16 @ 104
|
626,850
|
||
|
445,000
|
SandRidge Energy, Inc.(a)
|
B-
|
8.125%
|
10/15/2022
|
04/15/17 @ 104
|
453,900
|
||
|
625,000
|
Talos Production, LLC / Talos Production Finance, Inc.(b)
|
CCC+
|
9.750%
|
02/15/2018
|
02/15/15 @ 105
|
612,500
|
||
|
1,250,000
|
Tesoro Corp.(a)
|
BB+
|
5.375%
|
10/01/2022
|
10/01/17 @ 103
|
1,243,750
|
||
|
250,000
|
Unit Corp.
|
BB-
|
6.625%
|
05/15/2021
|
05/15/16 @ 103
|
261,250
|
||
|
500,000
|
W&T Offshore, Inc.(a)
|
B
|
8.500%
|
06/15/2019
|
06/15/15 @ 104
|
531,250
|
||
|
21,792,856
|
||||||||
|
Oil & Gas Services - 0.5%
|
||||||||
|
800,000
|
Forbes Energy Services Ltd.(a)
|
B
|
9.000%
|
06/15/2019
|
06/15/15 @ 105
|
808,000
|
||
|
1,500,000
|
SESI, LLC(a)
|
BBB-
|
6.375%
|
05/01/2019
|
05/01/15 @ 103
|
1,590,000
|
||
|
2,398,000
|
||||||||
|
Pharmaceuticals - 0.3%
|
||||||||
|
1,250,000
|
Valeant Pharmaceuticals International(a) (b)
|
B
|
6.375%
|
10/15/2020
|
10/15/16 @ 103
|
1,296,875
|
||
|
Pipelines - 1.5%
|
||||||||
|
500,000
|
Crosstex Energy, LP / Crosstex Energy Finance Corp.(a)
|
B+
|
8.875%
|
02/15/2018
|
02/15/14 @ 104
|
535,000
|
||
|
1,175,000
|
Eagle Rock Energy Partners, LP / Eagle Rock Energy Finance Corp.(a)
|
B
|
8.375%
|
06/01/2019
|
06/01/15 @ 104
|
1,216,125
|
||
|
300,000
|
Genesis Energy, LP / Genesis Energy Finance Corp.
|
B
|
5.750%
|
02/15/2021
|
02/15/17 @ 103
|
297,750
|
||
|
4,359,000
|
Niska Gas Storage US, LLC / Niska Gas Storage Canada ULC(a)
|
B+
|
8.875%
|
03/15/2018
|
03/15/14 @ 104
|
4,576,950
|
||
|
400,000
|
Tesoro Logistics, LP(b)
|
BB-
|
5.875%
|
10/01/2020
|
10/01/16 @ 103
|
406,000
|
||
|
7,031,825
|
||||||||
|
Real Estate - 0.2%
|
||||||||
|
750,000
|
Kennedy-Wilson, Inc.(a)
|
BB-
|
8.750%
|
04/01/2019
|
04/01/15 @ 104
|
817,500
|
||
|
Real Estate Investment Trusts - 0.5%
|
||||||||
|
1,465,000
|
Host Hotels & Resorts, LP(a)
|
BBB-
|
6.000%
|
10/01/2021
|
07/01/21 @ 100
|
1,603,869
|
||
|
570,000
|
OMEGA Healthcare Investors, Inc.(a)
|
BBB-
|
5.875%
|
03/15/2024
|
03/15/17 @ 103
|
588,525
|
||
|
2,192,394
|
||||||||
|
Retail - 1.1%
|
||||||||
|
625,000
|
Burlington Coat Factory Warehouse Corp.
|
CCC
|
10.000%
|
02/15/2019
|
02/15/15 @ 105
|
701,562
|
||
|
625,000
|
Dave & Buster's, Inc.(a)
|
B-
|
11.000%
|
06/01/2018
|
06/01/14 @ 106
|
696,875
|
||
|
1,000,000
|
Fiesta Restaurant Group, Inc.(a)
|
B
|
8.875%
|
08/15/2016
|
02/15/14 @ 104
|
1,070,000
|
||
|
90,000
|
Hot Topic, Inc.(b)
|
B
|
9.250%
|
06/15/2021
|
06/15/16 @ 107
|
94,050
|
||
|
750,000
|
Jo-Ann Stores, Inc.(b)
|
CCC+
|
8.125%
|
03/15/2019
|
03/15/14 @ 104
|
774,375
|
||
|
950,000
|
Rite AID Corp.
|
CCC
|
9.250%
|
03/15/2020
|
03/15/16 @ 105
|
1,062,813
|
||
|
625,000
|
Toys "R" Us, Inc.
|
CCC+
|
7.375%
|
10/15/2018
|
N/A
|
571,094
|
||
|
4,970,769
|
||||||||
|
Telecommunications - 2.5%
|
||||||||
|
1,250,000
|
Cincinnati Bell, Inc.(a)
|
CCC+
|
8.750%
|
03/15/2018
|
03/15/14 @ 104
|
1,306,250
|
||
|
1,350,000
|
EarthLink, Inc.(a) (b)
|
B+
|
7.375%
|
06/01/2020
|
06/01/16 @ 106
|
1,339,875
|
||
|
EUR 300,000
|
Eircom Finance Ltd. (Ireland)(b)
|
B
|
9.250%
|
05/15/2020
|
05/15/16 @ 105
|
374,454
|
||
|
EUR 300,000
|
Eircom Finance Ltd., Series REGS (Ireland)
|
B
|
9.250%
|
05/15/2020
|
05/15/16 @ 105
|
374,454
|
||
|
300,000
|
Hughes Satellite Systems Corp.(a)
|
B+
|
6.500%
|
06/15/2019
|
N/A
|
320,250
|
||
|
625,000
|
Intelsat Luxembourg SA (Luxembourg)(b)
|
CCC+
|
7.750%
|
06/01/2021
|
06/01/17 @ 104
|
660,156
|
||
|
1,000,000
|
Level 3 Communications, Inc.
|
CCC+
|
11.875%
|
02/01/2019
|
02/01/15 @ 106
|
1,157,500
|
||
|
1,100,000
|
NII Capital Corp.(a)
|
CCC
|
7.625%
|
04/01/2021
|
04/01/16 @ 104
|
893,750
|
||
|
1,925,000
|
Sprint Nextel Corp.(a) (b)
|
BB+
|
9.000%
|
11/15/2018
|
N/A
|
2,285,937
|
||
|
625,000
|
Sprint Nextel Corp.(b)
|
BB+
|
7.000%
|
03/01/2020
|
N/A
|
684,375
|
||
|
650,000
|
Telesat Canada / Telesat, LLC (Canada)(a) (b)
|
B-
|
6.000%
|
05/15/2017
|
05/15/14 @ 103
|
665,438
|
||
|
500,000
|
Windstream Corp.(a)
|
B
|
7.750%
|
10/01/2021
|
10/01/16 @ 104
|
535,000
|
||
|
650,000
|
Windstream Corp.(a)
|
B
|
7.500%
|
06/01/2022
|
06/01/17 @ 104
|
672,750
|
||
|
11,270,189
|
||||||||
|
Transportation - 0.8%
|
||||||||
|
190,000
|
Gulfmark Offshore, Inc.(a)
|
BB-
|
6.375%
|
03/15/2022
|
03/15/17 @ 103
|
195,225
|
||
|
625,000
|
Navios Maritime Holdings, Inc. / Navios Maritime Finance II US, Inc.
(Marshall Islands)(a)
|
B+
|
8.125%
|
02/15/2019
|
02/15/15 @ 104
|
597,656
|
||
|
950,000
|
Navios Maritime Holdings, Inc. / Navios Maritime Finance US, Inc.
(Marshall Islands)(a)
|
BB-
|
8.875%
|
11/01/2017
|
11/01/13 @ 104
|
1,001,062
|
||
|
625,000
|
Navios South American Logistics, Inc. / Navios Logistics Finance US, Inc.
(Marshall Islands)(a) (b)
|
B+
|
9.250%
|
04/15/2019
|
04/15/14 @ 107
|
676,563
|
||
|
275,000
|
Navios South American Logistics, Inc. / Navios Logistics Finance US, Inc.
(Marshall Islands)
|
B+
|
9.250%
|
04/15/2019
|
04/15/14 @ 107
|
297,688
|
||
|
400,000
|
Swift Services Holdings, Inc.(a)
|
B+
|
10.000%
|
11/15/2018
|
11/15/14 @ 105
|
449,000
|
||
|
375,000
|
Ultrapetrol Bahamas Ltd. (Bahamas)(b)
|
B-
|
8.875%
|
06/15/2021
|
06/15/16 @ 107
|
384,375
|
||
|
3,601,569
|
||||||||
|
Total Corporate Bonds - 34.7%
|
||||||||
|
(Cost $154,175,524)
|
157,614,618
|
|||||||
|
Term Loans - 0.8%(l)
|
||||||||
|
625,000
|
Caraustar Industries, Inc.
|
B+
|
7.500%
|
05/01/2019
|
N/A
|
$631,094
|
||
|
625,000
|
Intrawest ULC
|
CCC
|
10.750%
|
12/04/2018
|
N/A
|
651,562
|
||
|
1,246,875
|
Sorenson Communication, Inc.
|
B-
|
9.500%
|
10/31/2014
|
N/A
|
1,248,434
|
||
|
1,250,000
|
Sprint Industrial Holdings, LLC
|
CCC+
|
11.250%
|
05/14/2019
|
N/A
|
1,262,500
|
||
|
(Cost $3,706,667)
|
3,793,590
|
|||||||
|
Number
|
||||||||
|
of Shares
|
Description
|
Value
|
||||||
|
Convertible Preferred Stocks - 3.1%
|
||||||||
|
Advertising - 0.1%
|
||||||||
|
348
|
Interpublic Group of Cos., Inc., Series B(m)
|
B+
|
5.250%
|
-
|
461,225
|
|||
|
Aerospace & Defense - 0.1%
|
||||||||
|
4,490
|
United Technologies Corp.
|
BBB+
|
7.500%
|
08/01/2015
|
287,944
|
|||
|
Auto Manufacturers - 0.3%
|
||||||||
|
23,035
|
General Motors Co., Series B(a)
|
BB-
|
4.750%
|
12/01/2013
|
1,150,368
|
|||
|
Banks - 0.2%
|
||||||||
|
780
|
Bank of America Corp., Series L(a) (m)
|
BB+
|
7.250%
|
-
|
875,815
|
|||
|
Diversified Financial Services - 0.2%
|
||||||||
|
14,095
|
AMG Capital Trust II(a)
|
BB+
|
5.150%
|
10/15/2037
|
812,224
|
|||
|
Insurance - 0.7%
|
||||||||
|
59,946
|
MetLife, Inc.(a)
|
BBB-
|
5.000%
|
03/26/2014
|
3,420,519
|
|||
|
Oil & Gas - 0.2%
|
||||||||
|
832
|
Chesapeake Energy Corp.(a) (b) (m)
|
B-
|
5.750%
|
-
|
916,968
|
|||
|
Real Estate Investment Trusts - 0.1%
|
||||||||
|
11,273
|
Alexandria Real Estate Equities, Inc., Series D(m)
|
NR
|
7.000%
|
-
|
287,477
|
|||
|
3,965
|
Health Care REIT, Inc., Series I(m)
|
BB+
|
6.500%
|
-
|
238,059
|
|||
|
525,536
|
||||||||
|
Telecommunications - 1.2%
|
||||||||
|
5,639
|
Lucent Technologies Capital Trust I
|
CCC-
|
7.750%
|
03/15/2017
|
5,544,547
|
|||
|
Total Convertible Preferred Stocks - 3.1%
|
||||||||
|
(Cost $13,116,692)
|
13,995,146
|
|||||||
|
Common Stocks - 3.7%
|
||||||||
|
Auto Manufacturers - 1.2%
|
||||||||
|
148,984
|
General Motors Co.(c) (n)
|
5,344,056
|
||||||
|
Computers - 0.3%
|
||||||||
|
103,873
|
Dell, Inc.
|
1,316,071
|
||||||
|
Health Care Services - 0.3%
|
||||||||
|
49,747
|
Brookdale Senior Living, Inc.(a) (n)
|
1,448,633
|
||||||
|
Insurance - 0.4%
|
||||||||
|
39,000
|
American International Group, Inc.(c)
|
1,774,890
|
||||||
|
Media - 0.5%
|
||||||||
|
55,873
|
DISH Network Corp., Class A(a) (n)
|
2,494,729
|
||||||
|
Telecommunications - 1.0%
|
||||||||
|
149,916
|
Vodafone Group PLC, ADR (United Kingdom)(a)
|
4,489,984
|
||||||
|
Total Common Stocks - 3.7%
|
||||||||
|
(Cost $16,346,081)
|
16,868,363
|
|||||||
|
Warrants - 0.3%
|
||||||||
|
446,146
|
MannKind Corp.(a) (n)
|
02/08/2016
|
1,539,204
|
|||||
|
(Cost $287,157)
|
||||||||
|
Total Long-Term Investments - 149.6%
|
||||||||
|
(Cost $648,354,685)
|
680,604,982
|
|||||||
|
Contracts
|
Options Purchased(n)
|
Expiration
Date
|
Exercise
Price
|
Value
|
||||
|
Call Options Purchased - 0.0%+
|
||||||||
|
1,456
|
Onyx Pharmaceuticals, Inc.
|
August 2013
|
$140.00
|
$174,720
|
||||
|
(Cost $145,946)
|
||||||||
|
Put Options Purchased - 0.2%
|
||||||||
|
3,255
|
SPDR S&P 500 ETF Trust
|
September 2013
|
$165.00
|
664,020
|
||||
|
(Cost $689,857)
|
||||||||
|
Total Options Purchased - 0.2%
|
||||||||
|
(Cost $835,803)
|
838,740
|
|||||||
|
Number
|
||||||||
|
of Shares
|
Description
|
Value
|
||||||
|
Short-Term Investments - 8.1%
|
||||||||
|
Money Market - 8.1%
|
||||||||
|
36,865,200
|
Goldman Sachs Financial Prime Obligations - Administration Share Class (o)
|
$36,865,200
|
||||||
|
(Cost $36,865,200)
|
||||||||
|
Total Investments - 157.9%
|
||||||||
|
(Cost $686,055,688)
|
718,308,922
|
|||||||
|
Other Assets in excess of Liabilities - 0.2%
|
979,619
|
|||||||
|
Total Value of Options Written - (0.5%) (Premiums received $2,129,134)
|
(2,438,641)
|
|||||||
|
Margin Loan - (37.4%)
|
(170,000,000)
|
|||||||
|
Reverse Repurchase Agreements - (20.2%)
|
(92,000,000)
|
|||||||
|
Net Assets - 100.0%
|
$454,849,900
|
|
ADR - American Depositary Receipt
|
||||||||
|
AG - Stock Corporation
|
||||||||
|
BV - Limited Liability Company
|
||||||||
|
CNY - Chinese Yuan Renminbi
|
||||||||
|
EUR - Euro
|
||||||||
|
GBP - Great Britain Pound
|
||||||||
|
GmbH - Limited Liability
|
||||||||
|
HKD - Hong Kong Dollar
|
||||||||
|
JPY - Japense Yen
|
||||||||
|
LLC - Limited Liability Company
|
||||||||
|
LP - Limited Partnership
|
||||||||
|
N/A- Not Applicable
|
||||||||
|
NV - Publicly Traded Company
|
||||||||
|
PLC - Public Limited Company
|
||||||||
|
PJSC - Private Joint Stock Company
|
||||||||
|
Pty - Proprietary
|
||||||||
|
S&P - Standard & Poor's
|
||||||||
|
SA - Corporation
|
||||||||
|
SAB de CV - Publicly Traded Company
|
||||||||
|
SCA - Limited Partnership
|
||||||||
|
SGD - Singapore Dollar
|
||||||||
|
SpA - Limited Share Company
|
||||||||
|
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 Rating Group ("S&P), Moody's Investor Services, Inc. ("Moody's) or Fitch Ratings ("Fitch"). Securities classified as NR are not rated. (For securities not rated by S&P, the rating by Moody's is provided. Likewise, for securities not rated by S&P and Moody's, the rating by Fitch 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 call 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 July 31, 2013, the total amount segregated was $439,853,068.
|
|||||||
|
(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 July 31, 2013 these securities amounted to $152,498,911, which represents 33.5% of net assets applicable to common shares.
|
|||||||
|
(c)
|
All or a portion of this security is segregated as collateral (or a potential collateral for future transactions) for written options.
|
|||||||
|
(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)
|
Zero coupon bond.
|
|||||||
|
(f)
|
Security becomes an accreting bond after December 15, 2016 with a 2.00% principal accretion rate.
|
|||||||
|
(g)
|
Security becomes an accreting bond after December 15, 2013 with a 2.00% principal accretion rate.
|
|||||||
|
(h)
|
Security becomes an accreting bond after March 1, 2018 with a 2.00% principal accretion rate.
|
|||||||
|
(i)
|
The issuer of this security may elect to pay the 11.000% coupon entirely in cash, or accrue interest at a rate of 13.000% per annum and make interest payments as follows: (1) 7.5% in cash and (2) 5.5% payment-in-kind shares issued out of the restructuring.
|
|||||||
|
(j)
|
The issuer of this security will make interest payments of 1.250% payment-in-kind shares until first notes issued are repaid. Thereafter, 2.125% payment-in-kind shares and 11.875% in cash.
|
|||||||
|
(k)
|
The issuer of this security may elect to accrue interest at a rate of 11.500% per annum and make interest payments as follows: (1) 10.500% in cash and (2) 1.000% in payment-in-kind shares until August 1, 2013. Thereafter, the issuer will pay the 11.500% coupon entirely in cash.
|
|||||||
|
(l)
|
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 amounts disclosed in the portfolios 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.
|
|||||||
|
(m)
|
Security is perpetual and, thus does not have a predetermined maturity date. The coupon rate shown is in effect as of July 31, 2013.
|
|||||||
|
(n)
|
Non-income producing security.
|
|||||||
|
(o)
|
All or a portion of this security has been segregated in connection with forward exchange currency contracts. At July 31, 2013, the total amount segregated was $36,865,200.
|
|||||||
|
Contracts (100 shares per contract)
|
Options Written(a)
|
Expiration
Month
|
Exercise
Price
|
Value
|
|||
|
Call Options Written - (0.4%)
|
|||||||
|
390
|
American International Group, Inc.
|
November 2013
|
$52.50
|
$(24,960)
|
|||
|
2,541
|
ArcelorMittal
|
January 2014
|
14.00
|
(189,305)
|
|||
|
1,486
|
General Motors Co.
|
December 2013
|
39.00
|
(179,806)
|
|||
|
2,540
|
MGM Resorts International
|
January 2015
|
17.00
|
(699,770)
|
|||
|
2,478
|
Micron Technology, Inc.
|
January 2014
|
15.00
|
(314,706)
|
|||
|
2,473
|
Micron Technology, Inc.
|
October 2013
|
15.00
|
(192,894)
|
|||
|
625
|
Navistar International Corp.
|
January 2014
|
39.00
|
(150,000)
|
|||
|
40
|
priceline.com, Inc.
|
January 2014
|
875.00
|
(270,560)
|
|||
|
Total Value of Call Options Written
|
(2,022,001)
|
||||||
|
(Premiums received $(1,729,452))
|
|||||||
|
Put Options Written - (0.1%)
|
|||||||
|
3,255
|
SPDR S&P 500 ETF Trust
|
September 2013
|
161.00
|
(416,640)
|
|||
|
(Premiums received $(399,682))
|
|||||||
|
Total Value of Options Written - (0.5%)
|
|||||||
|
(Premiums received $(2,129,134))
|
$(2,438,641)
|
||||||
|
(a)
|
Non-income producing security.
|
||||||
|
Country Breakdown as % of Long-Term Investments*
|
|
|
United States
|
79.1%
|
|
Luxembourg
|
3.4%
|
|
Cayman Islands
|
3.2%
|
|
Canada
|
1.7%
|
|
Jersey
|
1.7%
|
|
Japan
|
1.7%
|
|
France
|
1.4%
|
|
United Kingdom
|
1.2%
|
|
Singapore
|
1.2%
|
|
China
|
0.9%
|
|
South Korea
|
0.7%
|
|
British Virgin Islands
|
0.7%
|
|
Australia
|
0.6%
|
|
Marshall Islands
|
0.5%
|
|
Bermuda
|
0.5%
|
|
Netherlands
|
0.3%
|
|
Austria
|
0.3%
|
|
Taiwan
|
0.2%
|
|
Mexico
|
0.2%
|
|
Ireland
|
0.1%
|
|
United Arab Emirates
|
0.1%
|
|
Italy
|
0.1%
|
|
Malaysia
|
0.1%
|
|
Bahamas
|
0.1%
|
|
Germany
|
0.0%**
|
|
*Subject to change daily.
|
|
|
**Less than 0.1%.
|
|
AVK | Advent/Claymore Convertible Securities & Income Fund
|
||||||||||||
|
Portfolio of Investments
|
||||||||||||
|
July 31, 2013 (unaudited)
|
||||||||||||
|
Forward exchange currency contracts
|
||||||||
|
Net Unrealized
|
||||||||
|
Contracts to Buy
|
Counterparty
|
Settlement Date
|
Settlement Value
|
Value at 7/31/13
|
Appreciation/(Depreciation)
|
|||
|
EUR
|
1,357,000
|
|||||||
|
for USD
|
1,768,797
|
The Bank of New York Mellon
|
9/19/13
|
1,768,796
|
1,802,210
|
$33,414
|
||
|
GBP
|
438,000
|
|||||||
|
for USD
|
672,811
|
The Bank of New York Mellon
|
9/19/13
|
672,811
|
663,800
|
(9,011)
|
||
|
GBP
|
242,000
|
|||||||
|
for USD
|
368,902
|
The Bank of New York Mellon
|
9/19/13
|
368,902
|
366,757
|
(2,145)
|
||
|
GBP
|
100,000
|
|||||||
|
for USD
|
154,230
|
The Bank of New York Mellon
|
8/1/13
|
154,230
|
151,605
|
(2,625)
|
||
|
GBP
|
1,418,000
|
|||||||
|
for USD
|
2,161,975
|
The Bank of New York Mellon
|
9/19/13
|
2,161,975
|
2,149,015
|
(12,960)
|
||
|
JPY
|
104,000,000
|
|||||||
|
for USD
|
1,064,801
|
The Bank of New York Mellon
|
9/19/13
|
1,064,801
|
1,057,671
|
(7,130)
|
||
|
JPY
|
141,000,000
|
|||||||
|
for USD
|
1,484,887
|
The Bank of New York Mellon
|
9/19/13
|
1,484,887
|
1,433,957
|
(50,930)
|
||
|
SGD
|
271,000
|
|||||||
|
for USD
|
212,688
|
The Bank of New York Mellon
|
9/19/13
|
212,688
|
212,731
|
43
|
||
|
$(51,344)
|
||||||||
|
Net Unrealized
|
||||||||
|
Contracts to Sell
|
Counterparty
|
Settlement Date
|
Settlement Value
|
Value at 7/31/13
|
Appreciation/(Depreciation)
|
|||
|
EUR
|
4,562,000
|
|||||||
|
for USD
|
6,089,723
|
The Bank of New York Mellon
|
9/19/13
|
6,089,723
|
6,058,720
|
$31,003
|
||
|
EUR
|
95,000
|
|||||||
|
for USD
|
121,947
|
The Bank of New York Mellon
|
9/19/13
|
121,947
|
126,168
|
(4,221)
|
||
|
EUR
|
282,000
|
|||||||
|
for USD
|
372,732
|
The Bank of New York Mellon
|
9/19/13
|
372,732
|
374,520
|
(1,788)
|
||
|
EUR
|
5,222,000
|
|||||||
|
for USD
|
6,970,743
|
The Bank of New York Mellon
|
9/19/13
|
6,970,743
|
6,935,255
|
35,488
|
||
|
GBP
|
1,280,000
|
|||||||
|
for USD
|
2,012,736
|
The Bank of New York Mellon
|
9/19/13
|
2,012,736
|
1,939,872
|
72,864
|
||
|
GBP
|
100,625
|
|||||||
|
for USD
|
153,735
|
The Bank of New York Mellon
|
8/1/13
|
153,735
|
152,553
|
1,182
|
||
|
GBP
|
2,942,000
|
|||||||
|
for USD
|
4,626,148
|
The Bank of New York Mellon
|
9/19/13
|
4,626,148
|
4,458,675
|
167,473
|
||
|
GBP
|
2,200,000
|
|||||||
|
for USD
|
3,345,423
|
The Bank of New York Mellon
|
9/19/13
|
3,345,423
|
3,334,155
|
11,268
|
||
|
JPY
|
426,000,000
|
|||||||
|
for USD
|
4,491,397
|
The Bank of New York Mellon
|
9/19/13
|
4,491,397
|
4,332,383
|
159,014
|
||
|
JPY
|
40,000,000
|
|||||||
|
for USD
|
420,634
|
The Bank of New York Mellon
|
9/19/13
|
420,634
|
406,796
|
13,838
|
||
|
JPY
|
20,000,000
|
|||||||
|
for USD
|
197,755
|
The Bank of New York Mellon
|
9/19/13
|
197,755
|
203,398
|
(5,643)
|
||
|
JPY
|
65,000,000
|
|||||||
|
for USD
|
649,841
|
The Bank of New York Mellon
|
9/19/13
|
649,841
|
661,044
|
(11,203)
|
||
|
JPY
|
806,000,000
|
|||||||
|
for USD
|
8,497,807
|
The Bank of New York Mellon
|
9/19/13
|
8,497,807
|
8,196,949
|
300,858
|
||
|
SGD
|
1,181,000
|
|||||||
|
for USD
|
942,230
|
The Bank of New York Mellon
|
9/19/13
|
942,230
|
927,067
|
15,163
|
||
|
SGD
|
9,000,000
|
|||||||
|
for USD
|
7,180,412
|
The Bank of New York Mellon
|
9/19/13
|
7,180,411
|
7,064,863
|
115,548
|
||
|
$900,844
|
||||||||
| Total unrealized appreciation for forward currency contracts |
$849,500
|
|||||||
|
At July 31, 2013, the cost and related gross unrealized appreciation and depreciation on investments for tax purposes, excluding written options, forward exchange currency contracts and foreign currency translations are as follows:
|
|
Cost of Investments for Tax Purposes
|
Gross Tax Unrealized Appreciation
|
Gross Tax Unrealized Depreciation
|
Net Tax Unrealized Appreciation on Investments
|
Net Tax
Unrealized
Appreciation
Derivatives
and Foreign
Currency
|
||||||||||||||
| $ | 688,220,567 | $ | 42,773,284 | $ | (12,684,929 | ) | $ | 30,088,355 | $ | 539,993 | ||||||||
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Securities listed on an exchange are valued at the last reported sale price on the primary exchange on which they are traded. Equity securities traded on an exchange for which there are no transactions on a given day are valued at the mean of the closing bid and asked prices. Securities traded on NASDAQ are valued at the NASDAQ Official Closing Price. Equity securities not listed on a securities exchange or NASDAQ are valued at the mean of the closing bid and asked prices. Debt securities are valued by independent pricing services or dealers using the mean of the closing bid and asked prices for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. If sufficient market activity is limited or does not exist, the pricing providers or broker-dealers may utilize proprietary valuation models which consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, or other unique security features in order to estimate relevant cash flows, which are then discounted to calculate a security’s fair value. Exchange traded options are valued at the closing price, if traded that day. If not traded, they are valued at the mean of the bid and asked prices on the primary exchange on which they are traded. Futures contracts are valued using the settlement price established each day on the exchange on which they are traded. Swaps are valued daily by independent pricing services or dealers using the mid price. Forward exchange currency contracts are valued daily at current exchange rates. The Fund values money market funds at net asset value. Short-term securities with remaining maturities of 60 days or less at the time of purchase are valued at amortized cost, which approximates market value.
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For those securities where quotations or prices are not available, the valuations are determined in accordance with procedures established in good faith by management and approved by the Board of Trustees. A valuation committee consisting of representatives from investments, fund administration, legal and compliance is responsible for the oversight of the valuation process of the Fund and convenes monthly, or more frequently as needed. The valuation committee reviews monthly Level 3 fair valued securities methodology, price overrides, broker quoted securities, price source changes, illiquid securities, stale priced securities, halted securities, price challenges, fair valued securities sold and back testing trade prices in relation to prior day closing prices. On a quarterly basis, the valuations and methodologies of all Level 3 fair valued securities are presented to the Fund’s Board of Trustees.
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Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) fair value. Such fair value is the amount that the Fund might reasonably expect to receive for the security (or asset) upon its current sale. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one security to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security). There were no securities fair valued in accordance with such procedures established by the Board of Trustees at July 31, 2013.
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GAAP requires disclosure of fair valuation measurements as of each measurement date. In compliance with GAAP, the Fund follows a fair value hierarchy that distinguishes between market data obtained from independent sources (observable inputs) and the Fund's own market assumptions (unobservable inputs). These inputs are used in determining the value of the Fund's investments and summarized in the following fair value hierarchy:
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Level 1 - quoted prices in active markets for identical securities
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Level 2 - quoted prices in inactive markets or other significant observable inputs (e.g. quoted prices for similar securities; interest rates; prepayment speed; credit risk; yield curves)
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Level 3 - significant unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair value)
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Observable inputs are those based upon market data obtained from independent sources, and unobservable inputs reflect the fund's own assumptions based on the best information available. 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.
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The following are certain inputs and techniques that are generally utilized to evaluate how to classify each major type of investment in accordance with GAAP.
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Equity Securities (Common and Preferred Stock) – Equity securities traded in active markets where market quotations are readily available are categorized as Level 1.Equity securities traded in inactive markets and certain foreign equities are valued using inputs which include broker quotes, prices of securities closely related where the security held is not trading but the related security is trading, and evaluated price quotes received from independent pricing providers. To the extent that these inputs are observable, such securities are categorized as Level 2. To the extent that these inputs are unobservable, such securities are categorized as Level 3.
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Convertible Bonds & Notes – Convertible bonds and notes are valued by independent pricing providers who employ matrix pricing models utilizing various inputs such as market prices, broker quotes, prices of securities with comparable maturities and qualities, and closing prices of corresponding underlying securities. To the extent that these inputs are observable, such securities are categorized as Level 2. To the extent that these inputs are unobservable, such securities are categorized as Level 3.
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Corporate Bonds & Notes – Corporate bonds and notes are valued by independent pricing providers who employ matrix pricing models utilizing various inputs such as market prices, broker quotes, and prices of securities with comparable maturities and qualities. To the extent that these inputs are observable, such securities are categorized as Level 2. To the extent that these inputs are unobservable, such securities are categorized as Level 3.
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The Fund did not hold any Level 3 securities during the period ended July 31, 2013.
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The following table represents the Fund’s investments carried by caption and by level within the fair value hierarchy as of July 31, 2013:
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Quoted Prices in Active Markets for Identical Assets
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Significant Other Observable Inputs
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Significant Unobservable Inputs
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Description
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(Level 1)
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(Level 2)
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(Level 3)
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Total
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(Value in $000s)
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Assets:
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Convertible Bonds
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$ | - | $ | 486,794 | $ | - | $ | 486,794 | ||||||||
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Corporate Bonds
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- | 157,615 | - | 157,615 | ||||||||||||
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Term Loans
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- | 3,793 | - | 3,793 | ||||||||||||
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Convertible Preferred Stocks
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13,995 | - | - | 13,995 | ||||||||||||
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Common Stocks
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16,868 | - | - | 16,868 | ||||||||||||
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Warrants
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- | 1,539 | - | 1,539 | ||||||||||||
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Call Options Purchased
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175 | - | - | 175 | ||||||||||||
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Put Options Purchased
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664 | - | - | 664 | ||||||||||||
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Money Market Fund
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36,865 | - | - | 36,865 | ||||||||||||
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Forward Exchange Currency Contracts
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- | 957 | - | 957 | ||||||||||||
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Total
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$ | 68,567 | $ | 650,698 | $ | - | $ | 719,265 | ||||||||
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Liabilities:
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Call Options Written
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$ | 2,022 | $ | - | $ | - | $ | 2,022 | ||||||||
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Put Options Written
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417 | - | - | 417 | ||||||||||||
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Forward Exchange Currency Contracts
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- | 107 | - | 107 | ||||||||||||
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Total
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$ | 2,439 | $ | 107 | $ | - | $ | 2,546 | ||||||||
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If not referenced in the table, please refer to the Portfolio of Investments for a breakdown of investment type by industry category.
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There were no transfers between levels.
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(a)
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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.
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(b)
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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.
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Advent Claymore Convertible Securities and Income Fund
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By:
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/s/Tracy V. Maitland
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Date:
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September 27, 2013
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By:
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/s/Tracy V. Maitland
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Date:
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September 27, 2013
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By:
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/s/Robert White |
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Date:
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September 27, 2013
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