gug57615-nq.htm
UNITED STATES
 SECURITIES AND EXCHANGE COMMISSION
Washington, DC  20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

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)

Registrant’s telephone number, including area code:  (212) 482-1600                                                                                                                     

Date of fiscal year end: October 31                                                                

Date of reporting period: May 1, 2013 – July 31, 2013                                                                                                

 
 
 
 

 
 
 

Item 1.                      Schedule of Investments.
Attached hereto.
 
 
 
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%