|
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
|
||||||||
|
January 31, 2012 (unaudited)
|
||||||||
|
Principal
|
Optional Call
|
|||||||
|
Amount^
|
Description
|
Rating*
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
||
|
Long-Term Investments - 150.3%
|
||||||||
|
Convertible Bonds - 89.2%
|
||||||||
|
Aerospace & Defense - 1.6%
|
||||||||
|
$2,000,000
|
AAR Corp.(a)
|
B+
|
1.63%
|
03/01/2014
|
N/A
|
$1,895,000
|
||
|
4,900,000
|
L-3 Communications Holdings, Inc.
|
BB+
|
3.00%
|
08/01/2035
|
02/01/16 @ 100
|
4,777,500
|
||
|
6,672,500
|
||||||||
|
Apparel - 0.9%
|
||||||||
|
3,750,000
|
Iconix Brand Group, Inc.(a)
|
NR
|
2.50%
|
06/01/2016
|
N/A
|
3,712,500
|
||
|
Auto Manufacturers - 0.8%
|
||||||||
|
3,000,000
|
Navistar International Corp.
|
B
|
3.00%
|
10/15/2014
|
N/A
|
3,491,250
|
||
|
Biotechnology - 7.6%
|
||||||||
|
10,500,000
|
Amgen, Inc., Series B
|
A+
|
0.38%
|
02/01/2013
|
N/A
|
10,880,625
|
||
|
2,850,000
|
Dendreon Corp.
|
NR
|
2.88%
|
01/15/2016
|
N/A
|
2,390,437
|
||
|
8,100,000
|
Gilead Sciences, Inc.
|
A-
|
1.00%
|
05/01/2014
|
N/A
|
9,831,375
|
||
|
4,920,000
|
Illumina, Inc.(a)
|
NR
|
0.25%
|
03/15/2016
|
N/A
|
4,729,350
|
||
|
3,000,000
|
Vertex Pharmaceuticals, Inc.
|
NR
|
3.35%
|
10/01/2015
|
10/01/13 @ 101
|
3,300,000
|
||
|
31,131,787
|
||||||||
|
Coal - 3.1%
|
||||||||
|
9,933,000
|
Alpha Appalachia Holdings, Inc.
|
BB-
|
3.25%
|
08/01/2015
|
N/A
|
9,312,188
|
||
|
3,875,000
|
Alpha Natural Resources, Inc.
|
B+
|
2.38%
|
04/15/2015
|
N/A
|
3,623,125
|
||
|
12,935,313
|
||||||||
|
Commercial Services - 1.4%
|
||||||||
|
5,000,000
|
Sotheby's
|
BB
|
3.13%
|
06/15/2013
|
N/A
|
5,950,000
|
||
|
Computers - 3.3%
|
||||||||
|
1,700,000
|
EMC Corp., Series B
|
A-
|
1.75%
|
12/01/2013
|
N/A
|
2,826,250
|
||
|
4,500,000
|
Netapp, Inc.
|
NR
|
1.75%
|
06/01/2013
|
N/A
|
5,838,750
|
||
|
3,000,000
|
RadiSys Corp.
|
NR
|
2.75%
|
02/15/2013
|
N/A
|
2,977,500
|
||
|
1,625,000
|
SanDisk Corp.
|
BB
|
1.50%
|
08/15/2017
|
N/A
|
1,885,000
|
||
|
13,527,500
|
||||||||
|
Diversified Financial Services - 2.4%
|
||||||||
|
5,000,000
|
Affiliated Managers Group, Inc.
|
BBB-
|
3.95%
|
08/15/2038
|
08/15/13 @ 100
|
5,493,750
|
||
|
7,350,000
|
QBE Funding Trust (Australia)(b)
|
A
|
0.00%
|
05/12/2030
|
05/12/13 @ 100
|
4,542,300
|
||
|
10,036,050
|
||||||||
|
Electronics - 1.2%
|
||||||||
|
6,000,000
|
Vishay Intertechnology, Inc.(a)
|
BB+
|
2.25%
|
05/15/2041
|
N/A
|
5,130,000
|
||
|
Entertainment - 0.7%
|
||||||||
|
2,500,000
|
International Game Technology
|
BBB
|
3.25%
|
05/01/2014
|
N/A
|
2,868,750
|
||
|
Environmental Control - 0.9%
|
||||||||
|
3,500,000
|
Covanta Holding Corp.
|
B
|
3.25%
|
06/01/2014
|
N/A
|
3,784,375
|
||
|
Health Care Products - 5.4%
|
||||||||
|
5,848,000
|
Hologic, Inc., Series 2010(c)
|
BB+
|
2.00%
|
12/15/2037
|
12/15/16 @ 100
|
6,966,430
|
||
|
6,468,000
|
Hologic, Inc.(d)
|
BB+
|
2.00%
|
12/15/2037
|
12/15/13 @ 100
|
6,346,725
|
||
|
8,575,000
|
Medtronic, Inc., Series B
|
AA-
|
1.63%
|
04/15/2013
|
N/A
|
8,735,781
|
||
|
22,048,936
|
||||||||
|
Health Care Services - 2.9%
|
||||||||
|
4,640,000
|
LifePoint Hospitals, Inc.
|
B
|
3.50%
|
05/15/2014
|
N/A
|
4,918,400
|
||
|
2,989,000
|
Lincare Holdings, Inc., Series B
|
NR
|
2.75%
|
11/01/2037
|
11/01/14 @ 100
|
3,314,054
|
||
|
3,000,000
|
Molina Healthcare, Inc., Series MOH
|
NR
|
3.75%
|
10/01/2014
|
N/A
|
3,607,500
|
||
|
11,839,954
|
||||||||
|
Home Builders - 0.7%
|
||||||||
|
2,350,000
|
Lennar Corp.(a)
|
B+
|
2.75%
|
12/15/2020
|
12/20/15 @ 100
|
2,861,125
|
||
|
Insurance - 1.7%
|
||||||||
|
EUR 632,500
|
AXA SA, Series CS (France)
|
BBB+
|
3.75%
|
01/01/2017
|
N/A
|
1,947,415
|
||
|
$4,760,000
|
Old Republic International Corp.
|
BBB+
|
8.00%
|
05/15/2012
|
N/A
|
4,843,300
|
||
|
6,790,715
|
||||||||
|
Internet - 3.7%
|
||||||||
|
6,000,000
|
Digital River, Inc.
|
NR
|
2.00%
|
11/01/2030
|
11/01/15 @ 100
|
5,362,500
|
||
|
11,300,000
|
WebMD Health Corp.(a)
|
NR
|
2.50%
|
01/31/2018
|
N/A
|
9,831,000
|
||
|
15,193,500
|
||||||||
|
Iron & Steel - 4.6%
|
||||||||
|
2,250,000
|
Allegheny Technologies, Inc.
|
BBB-
|
4.25%
|
06/01/2014
|
N/A
|
3,057,188
|
||
|
5,000,000
|
ArcelorMittal (Luxembourg)
|
BBB-
|
5.00%
|
05/15/2014
|
N/A
|
5,443,750
|
||
|
3,750,000
|
Steel Dynamics, Inc.
|
BB+
|
5.13%
|
06/15/2014
|
N/A
|
4,387,500
|
||
|
5,000,000
|
U.S. Steel Corp.
|
BB
|
4.00%
|
05/15/2014
|
N/A
|
5,993,750
|
||
|
18,882,188
|
||||||||
|
Lodging - 2.3%
|
||||||||
|
1,400,000
|
Gaylord Entertainment Co.(a)
|
NR
|
3.75%
|
10/01/2014
|
N/A
|
1,708,000
|
||
|
7,368,000
|
MGM Resorts International
|
B-
|
4.25%
|
04/15/2015
|
N/A
|
7,810,080
|
||
|
9,518,080
|
||||||||
|
Media - 1.0%
|
||||||||
|
2,850,000
|
XM Satellite Radio, Inc.(a)
|
BB
|
7.00%
|
12/01/2014
|
N/A
|
3,997,125
|
||
|
Mining - 3.4%
|
||||||||
|
6,350,000
|
Goldcorp, Inc. (Canada)
|
BBB+
|
2.00%
|
08/01/2014
|
N/A
|
8,175,625
|
||
|
4,000,000
|
Newmont Mining Corp., Series A
|
BBB+
|
1.25%
|
07/15/2014
|
N/A
|
5,710,000
|
||
|
13,885,625
|
||||||||
|
Miscellaneous Manufacturing - 1.0%
|
||||||||
|
3,975,000
|
Trinity Industries, Inc.
|
BB-
|
3.88%
|
06/01/2036
|
06/01/18 @ 100
|
4,009,781
|
||
|
Oil & Gas - 3.1%
|
||||||||
|
5,835,000
|
Chesapeake Energy Corp.
|
BB+
|
2.50%
|
05/15/2037
|
05/15/17 @ 100
|
5,127,506
|
||
|
7,300,000
|
Lukoil International Finance BV (Russia)
|
BBB-
|
2.63%
|
06/16/2015
|
N/A
|
7,721,575
|
||
|
12,849,081
|
||||||||
|
Packaging & Containers - 2.3%
|
||||||||
|
9,650,000
|
Owens-Brockway Glass Container, Inc.(a)
|
BB
|
3.00%
|
06/01/2015
|
N/A
|
9,505,250
|
||
|
Pharmaceuticals - 4.7%
|
||||||||
|
2,700,000
|
ENDO Pharmaceuticals Holdings, Inc.
|
NR
|
1.75%
|
04/15/2015
|
N/A
|
3,729,375
|
||
|
2,500,000
|
Isis Pharmaceuticals, Inc.
|
NR
|
2.63%
|
02/15/2027
|
02/15/13 @ 100
|
2,365,625
|
||
|
8,818,000
|
Omnicare, Inc., Series OCR
|
B+
|
3.25%
|
12/15/2035
|
12/15/15 @ 100
|
8,443,235
|
||
|
4,000,000
|
Shire PLC, Series SHP (Channel Islands)
|
NR
|
2.75%
|
05/09/2014
|
N/A
|
4,628,000
|
||
|
19,166,235
|
||||||||
|
Real Estate - 1.0%
|
||||||||
|
3,781,000
|
Forest City Enterprises, Inc.
|
NR
|
3.63%
|
10/15/2014
|
10/15/13 @ 100
|
4,081,117
|
||
|
Real Estate Investment Trusts - 8.0%
|
||||||||
|
2,100,000
|
Annaly Capital Management, Inc.
|
NR
|
4.00%
|
02/15/2015
|
N/A
|
2,493,750
|
||
|
6,398,000
|
Boston Properties, LP
|
A-
|
3.75%
|
05/15/2036
|
05/18/13 @ 100
|
7,389,690
|
||
|
3,000,000
|
DDR Corp.
|
NR
|
1.75%
|
11/15/2040
|
11/20/15 @ 100
|
3,180,000
|
||
|
6,200,000
|
Health Care REIT, Inc.
|
BBB-
|
3.00%
|
12/01/2029
|
12/01/14 @ 100
|
7,347,000
|
||
|
1,300,000
|
Host Hotels & Resorts, LP(a)
|
BB+
|
2.50%
|
10/15/2029
|
10/20/15 @ 100
|
1,745,250
|
||
|
4,960,000
|
NorthStar Realty Finance, LP(a)
|
NR
|
7.50%
|
03/15/2031
|
03/15/16 @ 100
|
4,625,200
|
||
|
5,500,000
|
SL Green Operating Partnership(a)
|
BB+
|
3.00%
|
10/15/2017
|
N/A
|
6,063,750
|
||
|
32,844,640
|
||||||||
|
Retail - 2.1%
|
||||||||
|
9,250,000
|
RadioShack Corp.(a)
|
Ba3
|
2.50%
|
08/01/2013
|
N/A
|
8,718,125
|
||
|
Semiconductors - 9.5%
|
||||||||
|
9,964,000
|
Advanced Micro Devices, Inc.
|
B+
|
6.00%
|
05/01/2015
|
N/A
|
10,175,735
|
||
|
5,000,000
|
Intel Corp.(h)
|
A-
|
2.95%
|
12/15/2035
|
N/A
|
5,643,750
|
||
|
5,000,000
|
Lam Research Corp.(a)
|
BB+
|
0.50%
|
05/15/2016
|
N/A
|
5,081,250
|
||
|
3,000,000
|
Linear Technology Corp., Series A
|
NR
|
3.00%
|
05/01/2027
|
05/01/14 @ 100
|
3,210,000
|
||
|
3,000,000
|
Micron Technology, Inc., Series A(a)
|
NR
|
1.50%
|
08/01/2031
|
08/05/15 @ 100
|
2,992,500
|
||
|
4,000,000
|
ON Semiconductor Corp.
|
BB
|
2.63%
|
12/15/2026
|
12/20/13 @ 100
|
4,555,000
|
||
|
2,000,000
|
Photronics, Inc.(a)
|
NR
|
3.25%
|
04/01/2016
|
N/A
|
2,012,500
|
||
|
5,000,000
|
Rovi Corp.
|
NR
|
2.63%
|
02/15/2040
|
02/20/15 @ 100
|
5,375,000
|
||
|
39,045,735
|
||||||||
|
Telecommunications - 7.9%
|
||||||||
|
13,825,000
|
Alcatel-Lucent USA, Inc., Series B (France)
|
B
|
2.88%
|
06/15/2025
|
06/20/13 @ 100
|
12,701,719
|
||
|
1,344,000
|
Anixter International, Inc.
|
B+
|
1.00%
|
02/15/2013
|
N/A
|
1,607,760
|
||
|
GBP 4,000,000
|
Cable & Wireless Worldwide PLC (United Kingdom)
|
NR
|
5.75%
|
11/24/2014
|
N/A
|
5,775,667
|
||
|
$5,000,000
|
Ciena Corp.(a)
|
NR
|
4.00%
|
03/15/2015
|
N/A
|
5,337,500
|
||
|
4,000,000
|
SBA Communications Corp.
|
NR
|
1.88%
|
05/01/2013
|
N/A
|
4,755,000
|
||
|
1,685,000
|
Virgin Media, Inc.
|
B+
|
6.50%
|
11/15/2016
|
N/A
|
2,556,988
|
||
|
32,734,634
|
||||||||
|
Total Convertible Bonds - 89.2%
|
||||||||
|
(Cost $342,765,232)
|
367,211,871
|
|||||||
|
Corporate Bonds - 50.2%
|
||||||||
|
Advertising - 0.3%
|
||||||||
|
1,250,000
|
Lamar Media Corp.
|
BB-
|
7.88%
|
04/15/2018
|
04/15/14 @ 104
|
1,371,875
|
||
|
Agriculture - 0.2%
|
||||||||
|
750,000
|
North Atlantic Trading Co.(a)
|
B2
|
11.50%
|
07/15/2016
|
07/15/13 @ 109
|
748,125
|
||
|
Auto Manufacturers - 0.5%
|
||||||||
|
500,000
|
Chrysler Group, LLC/CG Co-Issuer, Inc.(a)
|
B
|
8.25%
|
06/15/2021
|
06/15/16 @ 104
|
480,000
|
||
|
1,000,000
|
Ford Motor Co.
|
BB+
|
6.63%
|
10/01/2028
|
N/A
|
1,074,532
|
||
|
250,000
|
Jaguar Land Rover PLC (United Kingdom)(a)
|
B+
|
7.75%
|
05/15/2018
|
05/15/14 @ 106
|
249,375
|
||
|
250,000
|
Jaguar Land Rover PLC (United Kingdom)(a)
|
B+
|
8.13%
|
05/15/2021
|
05/15/16 @ 104
|
246,250
|
||
|
2,050,157
|
||||||||
|
Auto Parts & Equipment - 2.3%
|
||||||||
|
500,000
|
Cooper Tire & Rubber Co.
|
BB-
|
8.00%
|
12/15/2019
|
N/A
|
522,500
|
||
|
3,750,000
|
Dana Holding Corp.
|
BB-
|
6.50%
|
02/15/2019
|
02/15/15 @ 103
|
4,007,813
|
||
|
320,000
|
Goodyear Tire & Rubber Co.
|
B+
|
8.25%
|
08/15/2020
|
08/15/15 @ 104
|
349,600
|
||
|
750,000
|
Lear Corp.
|
BB
|
7.88%
|
03/15/2018
|
03/15/14 @ 104
|
821,250
|
||
|
500,000
|
Pittsburgh Glass Works, LLC(a)
|
B+
|
8.50%
|
04/15/2016
|
04/15/13 @ 104
|
506,250
|
||
|
2,780,000
|
TRW Automotive, Inc.(a)
|
BB+
|
8.88%
|
12/01/2017
|
12/01/13 @ 104
|
3,085,800
|
||
|
9,293,213
|
||||||||
|
Banks - 2.1%
|
||||||||
|
1,750,000
|
Ally Financial, Inc.
|
B+
|
8.30%
|
02/12/2015
|
N/A
|
1,934,835
|
||
|
5,400,000
|
Capital One Capital V
|
BB+
|
10.25%
|
08/15/2039
|
N/A
|
5,683,500
|
||
|
1,000,000
|
Synovus Financial Corp.
|
B-
|
5.13%
|
06/15/2017
|
N/A
|
897,500
|
||
|
8,515,835
|
||||||||
|
Beverages - 1.0%
|
||||||||
|
3,750,000
|
Constellation Brands, Inc.
|
BB+
|
7.25%
|
09/01/2016
|
N/A
|
4,228,125
|
||
|
Building Materials - 0.2%
|
||||||||
|
750,000
|
Masco Corp.
|
BBB-
|
7.13%
|
03/15/2020
|
N/A
|
772,986
|
||
|
Chemicals - 1.1%
|
||||||||
|
250,000
|
CF Industries, Inc.
|
BB+
|
6.88%
|
05/01/2018
|
N/A
|
290,625
|
||
|
1,000,000
|
CF Industries, Inc.
|
BB+
|
7.13%
|
05/01/2020
|
N/A
|
1,200,000
|
||
|
1,000,000
|
Chevron Phillips Chemical Co., LLC(a)
|
BBB
|
4.75%
|
02/01/2021
|
11/01/20 @ 100
|
1,141,376
|
||
|
802,053
|
Lyondell Chemical Co.
|
BB+
|
11.00%
|
05/01/2018
|
05/01/13 @ 100
|
882,258
|
||
|
1,375,000
|
Vertellus Specialties, Inc.(a)
|
B
|
9.38%
|
10/01/2015
|
04/01/13 @ 105
|
1,031,250
|
||
|
4,545,509
|
||||||||
|
Coal - 0.4%
|
||||||||
|
1,075,000
|
Alpha Natural Resources, Inc.
|
BB
|
6.25%
|
06/01/2021
|
06/01/16 @ 103
|
1,069,625
|
||
|
100,000
|
Peabody Energy Corp.(a)
|
BB+
|
6.00%
|
11/15/2018
|
N/A
|
103,500
|
||
|
100,000
|
Peabody Energy Corp.(a)
|
BB+
|
6.25%
|
11/15/2021
|
N/A
|
103,500
|
||
|
500,000
|
SunCoke Energy, Inc.
|
B+
|
7.63%
|
08/01/2019
|
08/01/14 @ 106
|
507,500
|
||
|
1,784,125
|
||||||||
|
Commercial Services - 0.6%
|
||||||||
|
1,000,000
|
Avis Budget Car Rental, LLC
|
B
|
8.25%
|
01/15/2019
|
10/15/14 @ 104
|
1,057,500
|
||
|
1,000,000
|
Emergency Medical Services Corp.
|
B-
|
8.13%
|
06/01/2019
|
06/01/14 @ 106
|
1,025,000
|
||
|
500,000
|
Neff Rental, LLC(a)
|
B-
|
9.63%
|
05/15/2016
|
05/15/13 @ 107
|
472,500
|
||
|
2,555,000
|
||||||||
|
Computers - 3.2%
|
||||||||
|
11,693,000
|
Seagate HDD Cayman (Ireland)
|
BB+
|
7.75%
|
12/15/2018
|
12/15/14 @ 104
|
13,008,463
|
||
|
Diversified Financial Services - 3.2%
|
||||||||
|
5,578,000
|
Ford Motor Credit Co., LLC
|
BB+
|
12.00%
|
05/15/2015
|
N/A
|
7,000,390
|
||
|
1,500,000
|
International Lease Finance Corp.
|
BBB-
|
8.25%
|
12/15/2020
|
N/A
|
1,605,000
|
||
|
1,000,000
|
Marfrig Holding Europe BV (Netherlands)(a)
|
B+
|
8.38%
|
05/09/2018
|
N/A
|
845,000
|
||
|
5,000,000
|
Textron Financial Corp.(a) (e)
|
B
|
6.00%
|
02/15/2067
|
02/15/17 @ 100
|
3,825,000
|
||
|
13,275,390
|
||||||||
|
Electric - 1.4%
|
||||||||
|
3,850,000
|
AES Corp.
|
BB-
|
7.75%
|
10/15/2015
|
N/A
|
4,254,250
|
||
|
250,000
|
AES Corp.
|
BB-
|
8.00%
|
06/01/2020
|
N/A
|
285,000
|
||
|
750,000
|
AES Corp.(a)
|
BB-
|
7.38%
|
07/01/2021
|
N/A
|
832,500
|
||
|
750,000
|
Texas Competitive Electric Holdings Co., LLC(a)
|
CCC
|
11.50%
|
10/01/2020
|
04/01/16 @ 106
|
570,000
|
||
|
5,941,750
|
||||||||
|
Entertainment - 0.2%
|
||||||||
|
650,000
|
Mohegan Tribal Gaming Authority
|
CC
|
6.13%
|
02/15/2013
|
04/16/12 @ 100
|
536,250
|
||
|
200,000
|
Production Resource Group, Inc.(a)
|
B-
|
8.88%
|
05/01/2019
|
05/01/14 @ 107
|
181,000
|
||
|
717,250
|
||||||||
|
Food - 1.3%
|
||||||||
|
1,000,000
|
Bumble Bee Acquisition Corp.(a)
|
B
|
9.00%
|
12/15/2017
|
12/15/14 @ 105
|
1,035,000
|
||
|
750,000
|
Del Monte Foods Co.
|
CCC+
|
7.63%
|
02/15/2019
|
02/15/14 @ 104
|
741,562
|
||
|
1,500,000
|
Land O'Lakes Capital Trust I(a)
|
BB
|
7.45%
|
03/15/2028
|
N/A
|
1,440,000
|
||
|
600,000
|
Post Holdings, Inc.(a)
|
B1
|
7.38%
|
02/15/2022
|
02/15/17 @ 104
|
622,500
|
||
|
EUR 750,000
|
R&R Ice Cream PLC (United Kingdom)(a)
|
B+
|
8.38%
|
11/15/2017
|
11/15/13 @ 106
|
947,425
|
||
|
$500,000
|
Reddy ICE Corp.
|
CCC+
|
11.25%
|
03/15/2015
|
03/15/13 @ 106
|
470,000
|
||
|
5,256,487
|
||||||||
|
Forest Products & Paper - 0.3%
|
||||||||
|
1,004,000
|
AbitibiBowater, Inc.(a)
|
BB-
|
10.25%
|
10/15/2018
|
10/15/14 @ 105
|
1,137,030
|
||
|
500,000
|
Verso Paper Holdings, LLC, Series B
|
CCC+
|
11.38%
|
08/01/2016
|
08/01/12 @ 104
|
205,000
|
||
|
1,342,030
|
||||||||
|
Health Care Products - 0.3%
|
||||||||
|
1,500,000
|
Rotech Healthcare, Inc.
|
B
|
10.50%
|
03/15/2018
|
03/15/15 @ 105
|
1,185,000
|
||
|
Health Care Services - 2.5%
|
||||||||
|
1,250,000
|
Apria Healthcare Group, Inc.
|
BB+
|
11.25%
|
11/01/2014
|
11/01/12 @ 103
|
1,310,938
|
||
|
1,750,000
|
Capella Healthcare, Inc.
|
B
|
9.25%
|
07/01/2017
|
07/01/13 @ 107
|
1,789,375
|
||
|
3,100,000
|
HCA, Inc.
|
B-
|
5.75%
|
03/15/2014
|
N/A
|
3,220,125
|
||
|
1,000,000
|
IASIS Healthcare, LLC / IASIS Capital Corp.
|
CCC+
|
8.38%
|
05/15/2019
|
05/15/14 @ 106
|
967,500
|
||
|
250,000
|
Select Medical Corp.
|
CCC+
|
7.63%
|
02/01/2015
|
02/01/13 @ 100
|
248,750
|
||
|
1,300,000
|
Select Medical Corp.(e)
|
CCC+
|
6.27%
|
09/15/2015
|
03/19/12 @ 100
|
1,168,375
|
||
|
1,500,000
|
Tenet Healthcare Corp.
|
CCC+
|
8.00%
|
08/01/2020
|
08/01/15 @ 104
|
1,556,250
|
||
|
10,261,313
|
||||||||
|
Holding Companies-Diversified - 0.3%
|
||||||||
|
1,000,000
|
Leucadia National Corp.
|
B+
|
8.65%
|
01/15/2027
|
01/15/13 @ 102
|
1,020,000
|
||
|
Home Builders - 0.2%
|
||||||||
|
750,000
|
Beazer Homes USA, Inc.
|
CCC
|
8.13%
|
06/15/2016
|
N/A
|
652,500
|
||
|
Household Products & Housewares - 1.4%
|
||||||||
|
1,000,000
|
Reynolds Group Issuer, Inc.(a)
|
B-
|
9.25%
|
05/15/2018
|
05/15/14 @ 104
|
1,002,500
|
||
|
500,000
|
Reynolds Group Issuer, Inc.(a)
|
BB-
|
7.13%
|
04/15/2019
|
10/15/14 @ 104
|
527,500
|
||
|
150,000
|
Spectrum Brands Holdings, Inc.(a)
|
B
|
9.50%
|
06/15/2018
|
06/15/14 @ 105
|
170,813
|
||
|
2,500,000
|
Spectrum Brands Holdings, Inc.
|
B
|
9.50%
|
06/15/2018
|
06/15/14 @ 105
|
2,846,875
|
||
|
1,000,000
|
Yankee Candle Co., Inc., Series B
|
CCC+
|
9.75%
|
02/15/2017
|
02/15/13 @ 103
|
1,007,500
|
||
|
5,555,188
|
||||||||
|
Insurance - 2.1%
|
||||||||
|
5,700,000
|
Liberty Mutual Group, Inc.(a) (e)
|
BB
|
10.75%
|
06/15/2058
|
06/15/38 @ 100
|
7,324,500
|
||
|
1,000,000
|
MetLife, Inc.
|
BBB
|
10.75%
|
08/01/2039
|
08/01/34 @ 100
|
1,394,082
|
||
|
8,718,582
|
||||||||
|
Investment Companies - 0.1%
|
||||||||
|
500,000
|
Offshore Group Investment Ltd. (Cayman Islands)
|
B-
|
11.50%
|
08/01/2015
|
02/01/13 @ 109
|
556,250
|
||
|
Iron & Steel - 0.5%
|
||||||||
|
575,000
|
Algoma Acquisition Corp. (Canada)(a)
|
CCC+
|
9.88%
|
06/15/2015
|
06/15/12 @ 102
|
497,375
|
||
|
750,000
|
Edgen Murray Corp.
|
B-
|
12.25%
|
01/15/2015
|
01/15/13 @ 106
|
701,250
|
||
|
650,000
|
Optima Specialty Steel, Inc.(a)
|
B
|
12.50%
|
12/15/2016
|
12/15/14 @ 106
|
669,500
|
||
|
1,868,125
|
||||||||
|
Leisure Time - 0.2%
|
||||||||
|
750,000
|
Brunswick Corp.
|
B
|
7.13%
|
08/01/2027
|
N/A
|
690,000
|
||
|
Lodging - 3.9%
|
||||||||
|
1,000,000
|
Caesars Entertainment Operating Co., Inc.
|
CCC
|
10.00%
|
12/15/2018
|
12/15/13 @ 105
|
777,500
|
||
|
1,750,000
|
Marina District Finance Co., Inc.
|
BB-
|
9.88%
|
08/15/2018
|
08/15/14 @ 105
|
1,645,000
|
||
|
1,250,000
|
MGM Resorts International
|
B-
|
7.63%
|
01/15/2017
|
N/A
|
1,250,000
|
||
|
650,000
|
MTR Gaming Group, Inc.(a)
|
B-
|
11.50%
|
08/01/2019
|
08/01/15 @ 106
|
598,000
|
||
|
3,305,000
|
Starwood Hotels & Resorts Worldwide, Inc.
|
BB+
|
6.75%
|
05/15/2018
|
N/A
|
3,809,012
|
||
|
7,106,000
|
Wynn Las Vegas, LLC / Wynn Las Vegas Capital Corp.
|
BBB-
|
7.75%
|
08/15/2020
|
08/15/15 @ 104
|
8,065,310
|
||
|
16,144,822
|
||||||||
|
Machinery-Construction & Mining - 0.1%
|
||||||||
|
250,000
|
Terex Corp.
|
BB-
|
10.88%
|
06/01/2016
|
06/01/13 @ 105
|
283,750
|
||
|
Machinery-Diversified - 0.4%
|
||||||||
|
1,500,000
|
Case New Holland, Inc.
|
BB+
|
7.88%
|
12/01/2017
|
N/A
|
1,736,250
|
||
|
Media - 2.7%
|
||||||||
|
1,500,000
|
CCO Holdings, LLC
|
BB-
|
6.50%
|
04/30/2021
|
04/30/15 @ 105
|
1,567,500
|
||
|
537,000
|
Clear Channel Worldwide Holdings, Inc., Series B
|
B
|
9.25%
|
12/15/2017
|
12/15/12 @ 107
|
594,727
|
||
|
4,378,000
|
DISH DBS Corp.
|
BB-
|
7.13%
|
02/01/2016
|
N/A
|
4,826,745
|
||
|
500,000
|
Gannett Co., Inc.
|
Baa3
|
10.00%
|
04/01/2016
|
N/A
|
567,500
|
||
|
750,000
|
Gray Television, Inc.
|
CCC
|
10.50%
|
06/29/2015
|
11/01/12 @ 108
|
781,875
|
||
|
1,000,000
|
Univision Communications, Inc.(a)
|
CCC+
|
8.50%
|
05/15/2021
|
11/15/15 @ 104
|
975,000
|
||
|
1,600,000
|
XM Satellite Radio, Inc.(a)
|
BB
|
7.63%
|
11/01/2018
|
11/01/14 @ 104
|
1,722,000
|
||
|
11,035,347
|
||||||||
|
Mining - 0.4%
|
||||||||
|
1,125,000
|
FMG Resources August 2006 Pty Ltd. (Australia)(a)
|
B+
|
6.88%
|
02/01/2018
|
02/01/14 @ 105
|
1,150,312
|
||
|
500,000
|
FMG Resources August 2006 Pty Ltd. (Australia)(a)
|
B+
|
8.25%
|
11/01/2019
|
11/01/15 @ 104
|
538,750
|
||
|
1,689,062
|
||||||||
|
Oil & Gas - 3.4%
|
||||||||
|
2,500,000
|
Alta Mesa Holdings, LP / Alta Mesa Finance Services Corp.
|
B
|
9.63%
|
10/15/2018
|
10/15/14 @ 105
|
2,362,500
|
||
|
250,000
|
Bill Barrett Corp.
|
BB-
|
7.63%
|
10/01/2019
|
10/01/15 @ 104
|
255,625
|
||
|
500,000
|
Carrizo Oil & Gas, Inc.
|
B-
|
8.63%
|
10/15/2018
|
10/15/14 @ 104
|
505,000
|
||
|
1,000,000
|
Clayton Williams Energy, Inc.(a)
|
B
|
7.75%
|
04/01/2019
|
04/01/15 @ 104
|
975,000
|
||
|
1,250,000
|
Energy XXI Gulf Coast, Inc.
|
B
|
9.25%
|
12/15/2017
|
12/15/14 @ 105
|
1,371,875
|
||
|
1,000,000
|
Hercules Offshore, Inc.(a)
|
B-
|
10.50%
|
10/15/2017
|
10/15/13 @ 105
|
1,005,000
|
||
|
1,000,000
|
Petrohawk Energy Corp.
|
BBB+
|
7.25%
|
08/15/2018
|
08/15/14 @ 104
|
1,145,000
|
||
|
1,000,000
|
Pioneer Natural Resources Co.
|
BBB-
|
6.65%
|
03/15/2017
|
N/A
|
1,140,769
|
||
|
500,000
|
Plains Exploration & Production Co.
|
BB
|
6.75%
|
02/01/2022
|
02/01/17 @ 103
|
546,250
|
||
|
500,000
|
Range Resources Corp.
|
BB
|
8.00%
|
05/15/2019
|
05/15/14 @ 104
|
553,750
|
||
|
1,500,000
|
Tesoro Corp.
|
BB+
|
9.75%
|
06/01/2019
|
06/01/14 @ 105
|
1,706,250
|
||
|
250,000
|
Unit Corp.
|
BB-
|
6.63%
|
05/15/2021
|
05/15/16 @ 103
|
253,750
|
||
|
500,000
|
United Refining Co.
|
B
|
10.50%
|
02/28/2018
|
02/28/15 @ 105
|
470,000
|
||
|
500,000
|
W&T Offshore, Inc.
|
B
|
8.50%
|
06/15/2019
|
06/15/15 @ 104
|
534,375
|
||
|
1,000,000
|
Western Refining, Inc.(a)
|
B+
|
11.25%
|
06/15/2017
|
06/15/13 @ 106
|
1,135,000
|
||
|
13,960,144
|
||||||||
|
Oil & Gas Services - 1.1%
|
||||||||
|
500,000
|
Forbes Energy Services Ltd.
|
B-
|
9.00%
|
06/15/2019
|
06/15/15 @ 105
|
480,000
|
||
|
650,000
|
Green Field Energy Services, Inc.(a)
|
CCC+
|
13.00%
|
11/15/2016
|
11/15/14 @ 110
|
643,500
|
||
|
1,500,000
|
SESI, LLC
|
BB+
|
6.38%
|
05/01/2019
|
05/01/15 @ 103
|
1,563,750
|
||
|
1,518,000
|
Stallion Oilfield Holdings Ltd.
|
B
|
10.50%
|
02/15/2015
|
02/15/13 @ 105
|
1,647,030
|
||
|
4,334,280
|
||||||||
|
Packaging & Containers - 0.0%+
|
||||||||
|
125,000
|
Sealed Air Corp.(a)
|
BB
|
8.38%
|
09/15/2021
|
09/15/16 @ 104
|
141,250
|
||
|
Pharmaceuticals - 3.4%
|
||||||||
|
2,760,000
|
Aptalis Pharma, Inc.
|
B
|
12.75%
|
03/01/2016
|
03/01/13 @ 103
|
2,953,200
|
||
|
EUR 2,000,000
|
Capsugel FinanceCo SCA (Luxembourg)(a)
|
B
|
9.88%
|
08/01/2019
|
08/01/14 @ 107
|
2,834,092
|
||
|
$500,000
|
ENDO Pharmaceuticals Holdings, Inc.
|
BB-
|
7.25%
|
01/15/2022
|
07/15/16 @ 104
|
553,125
|
||
|
6,028,000
|
Omnicare, Inc.
|
BB
|
7.75%
|
06/01/2020
|
06/01/15 @ 104
|
6,706,150
|
||
|
1,000,000
|
Valeant Pharmaceuticals International(a)
|
BB-
|
7.00%
|
10/01/2020
|
10/01/15 @ 104
|
1,021,250
|
||
|
14,067,817
|
||||||||
|
Pipelines - 0.3%
|
||||||||
|
500,000
|
Crosstex Energy, LP
|
B+
|
8.88%
|
02/15/2018
|
02/15/14 @ 104
|
545,000
|
||
|
750,000
|
Eagle Rock Energy Partners, LP(a)
|
B-
|
8.38%
|
06/01/2019
|
06/01/15 @ 104
|
768,750
|
||
|
1,313,750
|
||||||||
|
Real Estate - 0.1%
|
||||||||
|
500,000
|
Kennedy-Wilson, Inc.(a)
|
BB-
|
8.75%
|
04/01/2019
|
04/01/15 @ 104
|
506,250
|
||
|
Real Estate Investment Trusts - 1.0%
|
||||||||
|
4,100,000
|
Rouse Co., LP
|
BB+
|
6.75%
|
11/09/2015
|
05/09/13 @ 103
|
4,264,000
|
||
|
Retail - 2.5%
|
||||||||
|
325,000
|
Bon-Ton Department Stores, Inc.
|
CCC+
|
10.25%
|
03/15/2014
|
03/15/12 @ 100
|
207,188
|
||
|
1,750,000
|
Burlington Coat Factory Warehouse Corp.
|
Caa1
|
10.00%
|
02/15/2019
|
02/15/15 @ 105
|
1,671,250
|
||
|
1,000,000
|
Dave & Buster's, Inc.
|
CCC+
|
11.00%
|
06/01/2018
|
06/01/14 @ 106
|
1,058,750
|
||
|
1,000,000
|
Fiesta Restaurant Group(a)
|
B
|
8.88%
|
08/15/2016
|
02/15/14 @ 104
|
1,025,000
|
||
|
1,500,000
|
HOA Restaurant Group, LLC(a)
|
B
|
11.25%
|
04/01/2017
|
04/01/14 @ 106
|
1,402,500
|
||
|
650,000
|
Landry's Acquisition Co.(a)
|
B
|
11.63%
|
12/01/2015
|
12/01/12 @ 106
|
700,375
|
||
|
1,000,000
|
Landry's Restaurants, Inc.
|
B
|
11.63%
|
12/01/2015
|
12/01/12 @ 106
|
1,077,500
|
||
|
750,000
|
Needle Merger Sub Corp.(a)
|
CCC+
|
8.13%
|
03/15/2019
|
03/15/14 @ 104
|
732,187
|
||
|
400,000
|
Rite AID Corp.
|
CCC
|
9.38%
|
12/15/2015
|
06/15/12 @ 102
|
405,000
|
||
|
500,000
|
Rite AID Corp.
|
B+
|
9.75%
|
06/12/2016
|
06/12/13 @ 105
|
551,250
|
||
|
1,500,000
|
Toys "R" US Property Co. II, LLC
|
B+
|
8.50%
|
12/01/2017
|
12/01/13 @ 104
|
1,614,375
|
||
|
10,445,375
|
||||||||
|
Software - 0.2%
|
||||||||
|
250,000
|
Emdeon, Inc.(a)
|
Caa1
|
11.00%
|
12/31/2019
|
12/31/15 @ 106
|
271,250
|
||
|
625,000
|
Lawson Software, Inc.(a)
|
B-
|
11.50%
|
07/15/2018
|
07/15/15 @ 106
|
634,375
|
||
|
905,625
|
||||||||
|
Storage & Warehousing - 0.2%
|
||||||||
|
1,000,000
|
Niska Gas Storage US, LLC
|
BB-
|
8.88%
|
03/15/2018
|
03/15/14 @ 104
|
966,250
|
||
|
Telecommunications - 3.9%
|
||||||||
|
1,500,000
|
Crown Castle International Corp.
|
B-
|
9.00%
|
01/15/2015
|
01/15/13 @ 106
|
1,642,500
|
||
|
300,000
|
EH Holding Corp.(a)
|
B+
|
6.50%
|
06/15/2019
|
N/A
|
313,875
|
||
|
150,000
|
EH Holding Corp.(a)
|
B-
|
7.63%
|
06/15/2021
|
N/A
|
159,000
|
||
|
1,000,000
|
Intelsat Jackson Holdings SA (Luxembourg)
|
CCC+
|
11.25%
|
06/15/2016
|
06/15/12 @ 104
|
1,062,500
|
||
|
1,000,000
|
Intelsat Luxembourg SA (Luxembourg)
|
CCC+
|
11.25%
|
02/04/2017
|
02/15/13 @ 106
|
1,012,500
|
||
|
500,000
|
Level 3 Communications, Inc.
|
CCC
|
11.88%
|
02/01/2019
|
02/01/15 @ 106
|
547,500
|
||
|
1,500,000
|
NII Capital Corp.
|
B+
|
7.63%
|
04/01/2021
|
04/01/16 @ 104
|
1,545,000
|
||
|
2,000,000
|
SBA Telecommunications, Inc.
|
B+
|
8.00%
|
08/15/2016
|
08/15/12 @ 106
|
2,175,000
|
||
|
750,000
|
Virgin Media Finance PLC, Series 1 (United Kingdom)
|
BB-
|
9.50%
|
08/15/2016
|
08/15/13 @ 105
|
851,250
|
||
|
4,500,000
|
Virgin Media Finance PLC (United Kingdom)
|
BB-
|
8.38%
|
10/15/2019
|
10/15/14 @ 104
|
5,062,500
|
||
|
EUR 500,000
|
Wind Acquisition Finance SA (Luxembourg)(a)
|
BB-
|
11.75%
|
07/15/2017
|
07/15/13 @ 106
|
600,592
|
||
|
$500,000
|
Windstream Corp.
|
B+
|
7.75%
|
10/01/2021
|
10/01/16 @ 104
|
542,500
|
||
|
650,000
|
Windstream Corp.(a)
|
B+
|
7.50%
|
06/01/2022
|
06/01/17 @ 104
|
684,125
|
||
|
16,198,842
|
||||||||
|
Transportation - 0.7%
|
||||||||
|
1,500,000
|
Navios Maritime Holdings, Inc. (Marshall Island)
|
BB-
|
8.88%
|
11/01/2017
|
11/01/13 @ 104
|
1,492,500
|
||
|
1,000,000
|
Ship Finance International Ltd. (Bermuda)
|
B+
|
8.50%
|
12/15/2013
|
03/05/12 @ 100
|
962,500
|
||
|
400,000
|
Swift Services Holdings, Inc.
|
B
|
10.00%
|
11/15/2018
|
11/15/14 @ 105
|
436,500
|
||
|
2,891,500
|
||||||||
|
Total Corporate Bonds - 50.2%
|
||||||||
|
(Cost $200,717,040)
|
206,797,592
|
|||||||
|
Term Loans - 0.7%(f)
|
||||||||
|
$995,000
|
Chrysler Group LLC/CG Co-Issuer, Inc., Tranche B
|
Ba2
|
6.00%
|
05/24/2017
|
N/A
|
$976,513
|
||
|
1,250,000
|
Media General, Inc.
|
NR
|
5.04%
|
03/29/2013
|
N/A
|
1,161,458
|
||
|
1,000,000
|
Revel Entertainment
|
NR
|
9.00%
|
02/17/2017
|
N/A
|
966,250
|
||
|
(Cost $3,003,532)
|
3,104,221
|
|||||||
|
Number
|
||||||||
|
of Shares
|
Description
|
Value
|
||||||
|
Convertible Preferred Stocks - 6.1%
|
||||||||
|
Airlines - 0.5%
|
||||||||
|
63,650
|
Continental Airlines Finance Trust II
|
Caa1
|
6.00%
|
11/15/2030
|
2,108,406
|
|||
|
Auto Manufacturers - 0.9%
|
||||||||
|
93,500
|
General Motors Co., Series B
|
B+
|
4.75%
|
12/01/2013
|
3,745,610
|
|||
|
Banks - 0.6%
|
||||||||
|
1,509
|
Bank of America Corp., Series L (g)
|
BB+
|
7.25%
|
-
|
1,390,498
|
|||
|
7,000
|
Fifth Third Bancorp, Series G(g)
|
BB+
|
8.50%
|
-
|
993,650
|
|||
|
2,384,148
|
||||||||
|
Electric - 0.4%
|
||||||||
|
30,000
|
PPL Corp.
|
NR
|
8.75%
|
05/01/2014
|
1,576,800
|
|||
|
Hand & Machine Tools - 0.4%
|
||||||||
|
12,663
|
Stanley Black & Decker, Inc.
|
BBB+
|
4.75%
|
11/17/2015
|
1,496,640
|
|||
|
Housewares - 0.4%
|
||||||||
|
37,290
|
Newell Financial Trust I
|
BB
|
5.25%
|
12/01/2027
|
1,640,760
|
|||
|
Insurance - 1.9%
|
||||||||
|
114,250
|
MetLife, Inc.
|
BBB-
|
5.00%
|
09/11/2013
|
7,827,268
|
|||
|
Oil & Gas - 1.0%
|
||||||||
|
73,300
|
Apache Corp., Series D
|
BBB+
|
6.00%
|
08/01/2013
|
4,209,619
|
|||
|
Total Convertible Preferred Stocks - 6.1%
|
||||||||
|
(Cost $22,709,903)
|
24,989,251
|
|||||||
|
Common Stocks - 4.1%
|
||||||||
|
Banks - 1.5%
|
||||||||
|
165,000
|
JPMorgan Chase & Co.
|
6,154,500
|
||||||
|
Beverages - 0.7%
|
||||||||
|
45,000
|
PepsiCo, Inc.
|
2,955,150
|
||||||
|
Internet - 0.4%
|
||||||||
|
96,000
|
Symantec Corp.(i)
|
1,650,240
|
||||||
|
Oil & Gas - 0.9%
|
||||||||
|
30,000
|
Diamond Offshore Drilling, Inc.
|
1,869,000
|
||||||
|
20,000
|
Occidental Petroleum Corp.
|
1,995,400
|
||||||
|
3,864,400
|
||||||||
|
Pharmaceuticals - 0.6%
|
||||||||
|
60,000
|
Sanofi-Aventis SA, ADR (France)
|
2,227,800
|
||||||
|
Total Common Stocks - 4.1%
|
||||||||
|
(Cost $15,065,329)
|
16,852,090
|
|||||||
|
Warrants - 0.0%+
|
||||||||
|
650
|
Greenfield Energy Service (i)
|
11/15/2021
|
39,650
|
|||||
|
(Cost $25,340)
|
||||||||
|
Total Long-Term Investments - 150.3%
|
||||||||
|
(Cost $584,286,376)
|
618,994,675
|
|||||||
|
Contracts (100 shares per contract)
|
Put Options Purchased(i)
|
Expiration
Date
|
Exercise
Price
|
Value
|
||||
|
Put Options Purchased - 0.5%
|
||||||||
|
2,543
|
Chesapeake Energy Corp.
|
April 2012
|
$17.00
|
101,720
|
||||
|
3,556
|
Jefferies Group, Inc.
|
February 2012
|
$14.00
|
106,680
|
||||
|
1,200
|
Jefferies Group, Inc.
|
April 2012
|
$14.00
|
114,000
|
||||
|
7,270
|
SPDR S&P 500 ETF Trust
|
March 2012
|
$127.00
|
1,475,810
|
||||
|
(Cost $2,062,885)
|
1,798,210
|
|||||||
|
Short-Term Investment - 11.5%
|
||||||||
|
Number
|
||||||||
|
of Shares
|
Description
|
Value
|
||||||
|
Money Market Fund - 11.5%
|
||||||||
|
47,481,886
|
Goldman Sachs Financial Prime Obligations
|
47,481,886
|
||||||
|
(Cost $47,481,886)
|
||||||||
|
Total Investments - 162.3%
|
||||||||
|
(Cost $633,831,147)
|
668,274,771
|
|||||||
|
Other Assets in excess of Liabilities - 2.2%
|
9,313,358
|
|||||||
|
Total value of Options Written - (0.9%) (Premiums received $3,185,244)
|
(3,728,600)
|
|||||||
|
Preferred Shares, at redemption value - (-63.6% of Net Assets
|
||||||||
|
Applicable to Common Shareholders or -39.2% of Total Investments)
|
(262,000,000)
|
|||||||
|
Net Assets Applicable to Common Shareholders - 100.0%
|
$ 411,859,529
|
|||||||
|
Contracts (100
shares per contract) |
Call Options Written(i)(j)
|
Expiration
Month
|
Exercise
Price
|
Value
|
|
|
Call Options Written - (0.9%)
|
|||||
|
2,330
|
Chesapeake Energy Corp.
|
January 2013
|
$30.00
|
$ (230,670)
|
|
|
300
|
Diamond Offshore Drilling, Inc.
|
June 2012
|
66.75
|
(54,900)
|
|
|
1,350
|
General Motors Co.
|
January 2013
|
30.00
|
(174,150)
|
|
|
1,650
|
JPMorgan Chase & Co.
|
January 2013
|
37.00
|
(717,750)
|
|
|
2,238
|
MetLife, Inc.
|
January 2013
|
35.00
|
(1,163,760)
|
|
|
200
|
Occidental Petroleum Corp.
|
February 2012
|
95.00
|
(110,000)
|
|
|
450
|
PepsiCo, Inc.
|
July 2012
|
67.50
|
(68,850)
|
|
|
600
|
Sanofi Aventis SA
|
March 2012
|
38.00
|
(39,000)
|
|
|
7,270
|
SPDR S&P 500 ETF Trust
|
March 2012
|
124.00
|
(995,990)
|
|
|
938
|
Symantec Corp.
|
January 2013
|
17.50
|
(173,530)
|
|
|
Total Value of Options Written - (0.9%)
|
|||||
|
(Premiums received $3,185,244)
|
$(3,728,600)
|
|
ADR - American Depositary Receipt
|
||
|
BV - Limited Liability Company
|
||
|
LLC - Limited Liability Company
|
||
|
LP - Limited Partnership
|
||
|
N/A- Not Applicable
|
||
|
PLC - Public Limited Company
|
||
|
Pty - Propriety
|
||
|
SA - Corporation
|
||
|
S&P - Standard & Poor's
|
||
|
SCA - Limited Partnership
|
|
|
All percentages shown in the Portfolio of Investments are based on Net Assets Applicable to Common Shareholders, 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 or put provision. There may be other call provisions at varying prices at later dates. All call provisions are unaudited.
|
|
+
|
Less than 0.1%
|
|
^
|
The principal amount is denominated in U.S. Dollars unless otherwise noted.
|
|
(a)
|
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, 2012 these securities amounted to $130,278,427, which represents 31.6% of net assets applicable to common shares.
|
|
(b)
|
Zero coupon bond.
|
|
(c)
|
Security becomes an accreting bond after December 15, 2016 with a 2.00% principal accretion rate.
|
|
(d)
|
Security becomes an accreting bond after December 15, 2013 with a 2.00% principal accretion rate.
|
|
(e)
|
Floating or variable rate coupon. The rate shown is as of January 31, 2012.
|
|
(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 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.
|
|
(g)
|
Security is perpetual and, thus does not have a predetermined maturity date. The coupon rate shown is in effect as of January 31, 2012.
|
|
(h)
|
A portion of this security has been physically segregated in connection with forward currency contracts. As of January 31, 2012, the total amount segregated was $3,371,250.
|
|
(i)
|
Non-income producing security.
|
|
(j)
|
At January 31, 2012, cash in the amount of $8,163,876 has been segregated as collateral for written options.
|
|
See previously submitted notes to financial statements for the period ended October 31, 2011.
|
|
Country Breakdown as % of Long-Term Investments*
|
|
|
United States
|
86.3%
|
|
France
|
2.7%
|
|
United Kingdom
|
2.1%
|
|
Ireland
|
2.1%
|
|
Luxembourg
|
1.8%
|
|
Canada
|
1.4%
|
|
Russia
|
1.3%
|
|
Australia
|
1.0%
|
|
Channel Islands
|
0.7%
|
|
Marshall Islands
|
0.2%
|
|
Bermuda
|
0.2%
|
|
Netherlands
|
0.1%
|
|
Cayman Islands
|
0.1%
|
|
*Subject to change daily.
|
|
|
AVK | Advent/Claymore Convertible Securities & Income Fund
|
||||||||||||||||||
|
Portfolio of Investments
|
||||||||||||||||||
|
January 31, 2012 (unaudited)
|
||||||||||||||||||
|
Forward exchange currency contracts
|
||||||||||||||||||
|
Net Unrealized
|
||||||||||||||||||
|
Contracts to Buy
|
Counterparty
|
Settlement Date
|
Settlement Value
|
Value at 1/31/12
|
Appreciation/(Depreciation)
|
|||||||||||||
|
EUR
|
733,609 | |||||||||||||||||
|
for USD
|
969,611 |
The Bank of New York Mellon
|
2/3/2012
|
969,611 | 960,336 | (9,275 | ) | |||||||||||
|
EUR
|
1,024,000 | |||||||||||||||||
|
for USD
|
1,314,711 |
The Bank of New York Mellon
|
3/16/2012
|
1,314,711 | 1,340,611 | $ | 25,900 | |||||||||||
| $ | 16,625 | |||||||||||||||||
|
Net Unrealized
|
||||||||||||||||||
|
Contracts to Sell
|
Counterparty
|
Settlement Date
|
Settlement Value
|
Value at 1/31/12
|
Appreciation/(Depreciation)
|
|||||||||||||
|
EUR
|
98,750 | |||||||||||||||||
|
for USD
|
129,214 |
The Bank of New York Mellon
|
2/3/2012
|
129,214 | 129,268 | $ | (54 | ) | ||||||||||
|
EUR
|
3,260,000 | |||||||||||||||||
|
for USD
|
4,248,203 |
The Bank of New York Mellon
|
3/16/2012
|
4,248,203 | 4,267,962 | (19,759 | ) | |||||||||||
| (19,813 | ) | |||||||||||||||||
| Total unrealized depreciation for forward currency contracts | $ | (3,188 | ) | |||||||||||||||
|
AVK | Advent/Claymore Convertible Securities & Income Fund
|
|||||||||||||||||||||||
|
Portfolio of Investments
|
|||||||||||||||||||||||
|
January 31, 2012 (unaudited)
|
|||||||||||||||||||||||
|
Credit Default Swap Agreements
|
|||||||||||||||||||||||
|
Counterparty
|
Reference Entity
|
Buy/Sell Protection
|
Termination Date
|
Implied Credit Spread at January 31, 2012(1)
|
Notional Amount (000)
|
Paying Fixed Rate
|
Upfront Premium (Paid)
|
Unrealized (Depreciation)
|
|||||||||||||||
|
Citigroup
|
France Republic
|
Buy
|
3/20/2017
|
1.85 | % | $ | 5,950 | 0.25 | % | $ | (589,260 | ) | $ | (142,036 | ) | ||||||||
|
Interest Rate Swap Agreements
|
|||||||||||||||||||||||
|
Counterparty
|
Floating Rate
|
Termination Date
|
Notional Amount (000)
|
Pay Fixed Rate
|
Unrealized (Depreciation)
|
||||||||||||||||||
|
Bank of America Merrill Lynch(2)
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1 Month LIBOR + 90bps
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12/13/2016
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$ | 99,769 | 2.15 | % | $ | (1,889,500 | ) | ||||||||||||||
| Total unrealized depreciation for swap agreements | $ | (2,031,536 | ) | ||||||||||||||||||||
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1 Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as
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of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular
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referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of
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the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted”
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indicates a credit event has occurred for the referenced entity or obligation.
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2 The Fund pays the fixed rate and receives the floating rate
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At January 31, 2012, the cost and related gross unrealized appreciation and depreciation on investments for
tax purposes are as follows:
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Cost of Investments for Tax Purposes
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Gross Tax Unrealized Appreciation
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Gross Tax Unrealized Depreciation
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Net Tax Unrealized Appreciation on Investments
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| $ | 637,883,427 | $ | 40,829,407 | $ | (10,438,063) | $ | 30,391,344 | |||||||
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GAAP requires disclosure of fair valuation measurements as of each measurement date. In compliance
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with GAAP, the Fund follows a fair value hierarchy that distinguishes between market data obtained from
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independent sources (observable inputs) and the Fund's own market assumptions (unobservable inputs).
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These inputs are used in determining the value of the Fund's investments and summarized in the following
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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
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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
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to determine fair value)
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Observable inputs are those based upon market data obtained from independent sources, and unobservable
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inputs reflect the fund's own assumptions based on the best information available. A financial
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instrument's level within the fair value hierarchy is based on the lowest level of any input both individually and
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in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities
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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 January 31, 2012.
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The following table represents the Fund’s investments carried by caption and by level within the
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fair value hierarchy as of January 31, 2012:
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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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(Value in $000s)
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(Level 1)
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(Level 2)
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(Level 3)
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Total
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Description
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Assets:
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Convertible Preferred Stocks:
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Airlines
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$ | - | $ | 2,108 | $ | - | $ | 2,108 | ||||||||
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Auto Manufacturers
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3,745 | - | - | 3,745 | ||||||||||||
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Banks
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2,384 | - | - | 2,384 | ||||||||||||
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Electric
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1,577 | - | - | 1,577 | ||||||||||||
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Hand & Machine Tools
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1,497 | - | - | 1,497 | ||||||||||||
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Housewares
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- | 1,641 | - | 1,641 | ||||||||||||
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Insurance
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7,827 | - | - | 7,827 | ||||||||||||
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Oil & Gas
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4,210 | - | - | 4,210 | ||||||||||||
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Convertible Bonds
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- | 367,212 | - | 367,212 | ||||||||||||
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Corporate Bonds
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- | 206,798 | - | 206,798 | ||||||||||||
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Common Stock
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16,852 | - | - | 16,852 | ||||||||||||
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Warrants
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- | 40 | - | 40 | ||||||||||||
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Term Loan
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- | 3,104 | - | 3,104 | ||||||||||||
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Put Options Purchased
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1,798 | - | - | 1,798 | ||||||||||||
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Money Market Fund
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47,482 | - | - | 47,482 | ||||||||||||
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Total
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$ | 87,372 | $ | 580,903 | $ | - | $ | 668,275 | ||||||||
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Liabilities:
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Call Options Written
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$ | 3,729 | $ | - | $ | - | $ | 3,729 | ||||||||
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Credit Default Swaps
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- | 142 | - | 142 | ||||||||||||
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Forward Exchange Currency Contracts
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- | 3 | - | 3 | ||||||||||||
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Interest Rate Swaps
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- | 1,900 | - | 1,900 | ||||||||||||
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Total
|
$ | 3,729 | $ | 2,045 | $ | - | $ | 5,774 | ||||||||
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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 Level 1 and Level 2 during the period ended January 31, 2012.
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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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March 30, 2012
|
|
By:
|
/s/Tracy V. Maitland |
|
Date:
|
March 30, 2012 |
|
By:
|
/s/Robert White |
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Date:
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March 30, 2012 |