gug58937-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: November 1, 2013 – January 31, 2014                                                                                                           


 
 

 
 
Item 1.    Schedule of Investments.
Attached hereto.
 
 
AVK Advent Claymore Convertible Securities & Income Fund
         
Portfolio of Investments
         
January 31, 2014 (unaudited)
         
                 
 
Principal
         
Optional Call
 
 
Amount~
 
Description
Rating*
Coupon
Maturity
Provisions**
Value
     
Long-Term Investments - 145.0%
         
     
Convertible Bonds - 90.5%
         
     
Airlines - 0.1%
         
 
117,000
 
United Airlines, Inc.
B
4.500%
01/15/2015
N/A
$    286,358
                 
     
Apparel - 0.1%
         
 
EUR 200,000
 
Adidas AG, Series ADS (Germany)
NR
0.250%
06/14/2019
N/A
325,917
 
163,000
 
Iconix Brand Group, Inc.(a) (b)
NR
1.500%
03/15/2018
N/A
212,919
               
538,836
                 
     
Auto Manufacturers - 0.8%
         
 
3,124,000
 
Navistar International Corp.(a)
CCC-
4.500%
10/15/2018
N/A
3,079,093
 
EUR 400,000
 
Volkswagen International Finance NV (Netherlands)(a)
BBB
5.500%
11/09/2015
N/A
624,759
               
3,703,852
                 
     
Auto Parts & Equipment - 1.8%
         
 
EUR 2,437,000
 
Faurecia, Series EO (France)
B3
3.250%
01/01/2018
N/A
1,055,512
 
1,043,000
 
Meritor, Inc.(b)
B-
7.875%
03/01/2026
12/01/20 @ 100
1,519,520
 
5,905,000
 
Meritor, Inc.(b) (c)
B-
4.000%
02/15/2027
02/15/19 @ 100
5,838,569
               
8,413,601
                 
     
Banks - 0.2%
         
 
EUR 400,000
 
CaixaBank SA, Series REPS (Spain)
NR
4.500%
11/22/2016
N/A
530,142
 
EUR 400,000
 
CAJA de Ahorros y Pensiones de Barcelona, Series CABK (Spain)
NR
1.000%
11/25/2017
N/A
605,499
               
1,135,641
                 
     
Biotechnology - 8.8%
         
 
7,706,000
 
Cubist Pharmaceuticals, Inc.(a) (b)
NR
1.125%
09/01/2018
N/A
9,107,529
 
304,000
 
Cubist Pharmaceuticals, Inc.(a)
NR
1.875%
09/01/2020
N/A
360,050
 
1,716,000
 
Emergent Biosolutions, Inc.(a)
NR
2.875%
01/15/2021
N/A
1,791,075
 
6,760,000
 
Exelixis, Inc.
NR
4.250%
08/15/2019
N/A
9,354,150
 
3,948,000
 
Gilead Sciences, Inc., Series C(b)
A-
1.000%
05/01/2014
N/A
14,091,893
 
1,039,000
 
Gilead Sciences, Inc., Series D
A-
1.625%
05/01/2016
N/A
3,681,961
 
1,563,000
 
Incyte Corp. Ltd.(a)
NR
0.375%
11/15/2018
N/A
2,224,344
 
1,111,000
 
InterMune, Inc.(b)
NR
2.500%
12/15/2017
N/A
1,444,994
 
100,000
 
Medicines Co.
NR
1.375%
06/01/2017
N/A
139,375
               
42,195,371
                 
     
Commercial Services - 0.1%
         
 
JPY 40,000,000
 
Park24 Co. Ltd. (Japan)(d)
NR
0.000%
04/26/2018
N/A
427,024
                 
     
Computers - 0.3%
         
 
EUR 2,999
 
Cap Gemini SA, Series CAP (France)(d)
BBB
0.000%
01/01/2019
N/A
302,061
 
EUR 32,986
 
Econocom Group, Series EBAB (Belgium)
NR
1.500%
01/15/2019
N/A
504,285
 
EUR 356,500
 
Ingenico, Series ING (France)
NR
2.750%
01/01/2017
N/A
312,473
 
390,000
 
SanDisk Corp.(a)
BB
0.500%
10/15/2020
N/A
391,462
               
1,510,281
                 
     
Diversified Financial Services - 2.7%
         
 
422,000
 
Air Lease Corp.
NR
3.875%
12/01/2018
N/A
581,569
 
700,000
 
Hong Kong Exchanges and Clearing Ltd. (China)
NR
0.500%
10/23/2017
N/A
734,650
 
EUR 6,200,000
 
Magyar Nemzeti Vagyonkezelo Zrt, Series RICH (Hungary)
Ba1
3.375%
04/02/2019
N/A
8,877,305
 
354,000
 
Portfolio Recovery Associates, Inc.(a)
NR
3.000%
08/01/2020
N/A
383,869
 
2,271,000
 
Walter Investment Management Corp.(b)
NR
4.500%
11/01/2019
N/A
2,207,128
               
12,784,521
                 
     
Electric - 0.4%
         
 
EUR 1,200,000
 
CEZ MH BV, Series MOL (Netherlands)(d)
A-
0.000%
08/04/2017
N/A
1,687,198
 
CNY 2,200,000
 
China Power International Development Ltd. (China)
NR
2.250%
05/17/2016
N/A
461,329
               
2,148,527
                 
     
Electrical Components & Equipment - 0.1%
         
 
JPY 40,000,000
 
Nidec Corp. (Japan)(d)
NR
0.000%
09/18/2015
N/A
466,539
                 
     
Electronics - 0.2%
         
 
283,000
 
Vishay Intertechnology, Inc.(a)
BB+
2.250%
11/15/2040
N/A
311,477
 
JPY 35,000,000
 
Yaskawa Electric Corp. (Japan)(d)
NR
0.000%
03/16/2017
N/A
479,862
               
791,339
                 
     
Engineering & Construction - 0.1%
         
 
400,000
 
YTL Corp. Finance Labuan Ltd. (Malaysia)
NR
1.875%
03/18/2015
N/A
418,000
                 
     
Gas - 0.3%
         
 
1,250,000
 
ENN Energy Holdings Ltd. (Cayman Islands)(d)
NR
0.000%
02/26/2018
N/A
1,491,563
                 
     
Hand & Machine Tools - 0.8%
         
 
EUR 500,000
 
KUKA AG, Series KU2 (Germany)
NR
2.000%
02/12/2018
N/A
810,479
 
JPY 240,000,000
 
OSG Corp. (Japan)(d)
NR
0.000%
04/04/2022
N/A
3,116,929
               
3,927,408
                 
     
Health Care Products - 4.1%
         
 
5,232,000
 
HeartWare International, Inc.(b)
NR
3.500%
12/15/2017
N/A
6,500,760
 
HKD 6,000,000
 
Hengan International Group Co. Ltd. (Cayman Islands)(d)
NR
0.000%
06/27/2018
N/A
807,490
 
3,688,000
 
Hologic, Inc., Series 2010(b) (c) (e)
B+
2.000%
12/15/2037
12/15/16 @ 100
4,206,625
 
2,787,000
 
Volcano Corp.(b)
NR
1.750%
12/01/2017
N/A
2,807,902
 
3,807,000
 
Wright Medical Group, Inc.(b)
NR
2.000%
08/15/2017
N/A
5,060,931
               
19,383,708
                 
     
Health Care Services - 1.6%
         
 
225,000
 
Brookdale Senior Living, Inc.
NR
2.750%
06/15/2018
N/A
263,391
 
5,981,000
 
LifePoint Hospitals, Inc.(b)
B
3.500%
05/15/2014
N/A
6,403,408
 
366,000
 
Molina Healthcare, Inc.(a) (b)
NR
1.125%
01/15/2020
N/A
397,796
 
381,000
 
WellPoint, Inc.
A-
2.750%
10/15/2042
N/A
496,967
               
7,561,562
                 
     
Holding Companies-Diversified - 0.3%
         
 
400,000
 
Giant Great Ltd. (British Virgin Islands)
NR
3.000%
07/21/2016
N/A
533,500
 
EUR 200,000
 
Industrivarden AB, Series INDU (Sweden)
A-
2.500%
02/27/2015
N/A
335,249
 
EUR 300,000
 
OHL Investments SA, Series OHL (Spain)
NR
4.000%
04/25/2018
N/A
420,748
 
400,000
 
Siem Industries, Inc., Series SUBC (Cayman Islands)
NR
1.000%
09/12/2019
N/A
389,840
               
1,679,337
                 
     
Home Builders - 4.6%
         
 
4,700,000
 
DR Horton, Inc., Series DHI(b)
BB
2.000%
05/15/2014
N/A
8,489,375
 
3,904,000
 
Lennar Corp.(a) (b)
BB-
3.250%
11/15/2021
11/20/16 @ 100
7,132,120
 
3,928,000
 
Ryland Group, Inc.(b)
BB-
1.625%
05/15/2018
N/A
6,157,140
               
21,778,635
                 
     
Home Furnishings - 0.5%
         
 
EUR 1,700,000
 
Steinhoff Finance Holding GmbH, Series SHF (Austria)
NR
4.000%
01/30/2021
N/A
2,343,155
                 
     
Household Products & Housewares - 1.1%
         
 
HKD 34,000,000
 
Biostime International Holdings Ltd. (Cayman Islands)(d)
NR
0.000%
02/20/2019
N/A
4,461,208
 
580,000
 
Jarden Corp.(a) (b)
BB-
1.500%
06/15/2019
N/A
703,975
               
5,165,183
                 
     
Insurance - 2.7%
         
 
5,898,000
 
Radian Group, Inc.(b)
B-
3.000%
11/15/2017
N/A
8,670,060
 
327,000
 
Radian Group, Inc.
B-
2.250%
03/01/2019
N/A
496,631
 
CHF 2,960,000
 
Swiss Life Holding AG, Series SLHN (Switzerland)(d)
BBB
0.000%
12/02/2020
N/A
3,564,485
               
12,731,176
                 
     
Internet - 5.3%
         
 
360,000
 
BroadSoft, Inc.
NR
1.500%
07/01/2018
N/A
387,000
 
6,186,000
 
Ctrip.com International Ltd. (Cayman Islands)(a) (f)
NR
1.250%
10/15/2018
N/A
5,664,056
 
4,171,000
 
Equinix, Inc.(b)
B+
3.000%
10/15/2014
N/A
6,913,432
 
726,000
 
priceline.com, Inc.(b)
BBB
1.000%
03/15/2018
N/A
1,000,519
 
435,000
 
SINA Corp. (Cayman Islands)(a)
NR
1.000%
12/01/2018
N/A
406,181
 
3,750,000
 
WebMD Health Corp.(b)
NR
2.500%
01/31/2018
N/A
3,942,188
 
6,800,000
 
Yahoo!, Inc.(a) (b) (d)
BB+
0.000%
12/01/2018
N/A
6,876,500
               
25,189,876
                 
     
Investment Companies - 1.2%
         
 
EUR 200,000
 
Aabar Investments PJSC, Series REGS (United Arab Emirates)
NR
4.000%
05/27/2016
N/A
315,561
 
5,400,000
 
Billion Express Investments Ltd. (British Virgin Islands)
NR
0.750%
10/18/2015
N/A
5,448,600
               
5,764,161
                 
     
Iron & Steel - 4.4%
         
 
147,624
 
ArcelorMittal, Series MTUS (Luxembourg)(b)
B+
6.000%
01/15/2016
N/A
3,644,467
 
16,983,000
 
United States Steel Corp.(b)
BB-
4.000%
05/15/2014
N/A
17,460,647
               
21,105,114
                 
     
Lodging - 1.5%
         
 
5,000,000
 
MGM Resorts International(b) (f)
B+
4.250%
04/15/2015
N/A
7,028,125
                 
     
Machinery-Diversified - 1.9%
         
 
3,821,000
 
Chart Industries, Inc.(b)
B+
2.000%
08/01/2018
N/A
5,428,208
 
JPY 31,000,000
 
Ebara Corp., Series 6 (Japan)(d)
NR
0.000%
03/19/2018
N/A
441,481
 
1,750,000
 
Haitian International Holdings Ltd. (Cayman Islands)
NR
2.000%
02/13/2019
N/A
1,731,957
 
JPY 100,000,000
 
IHI Corp. (Japan)(d)
NR
0.000%
03/29/2016
03/28/14 @ 100
1,622,788
               
9,224,434
                 
     
Media - 1.3%
         
 
336,000
 
Liberty Interactive, LLC(a)
BB
0.750%
03/30/2043
04/05/23 @ 100
405,300
 
5,310,000
 
Liberty Interactive, LLC(a) (b)
BB
1.000%
09/30/2043
10/05/16 @ 100
5,492,532
 
401,000
 
Liberty Media Corp.(a)
NR
1.375%
10/15/2023
N/A
373,431
               
6,271,263
                 
     
Metal Fabricate & Hardware - 0.1%
         
 
309,000
 
RTI International Metals, Inc.
NR
1.625%
10/15/2019
N/A
316,532
                 
     
Mining - 4.0%
         
 
13,800,000
 
Glencore Finance Europe SA (Luxembourg)
BBB
5.000%
12/31/2014
N/A
15,407,700
 
3,712,000
 
Royal Gold, Inc.(b)
NR
2.875%
06/15/2019
N/A
3,779,280
               
19,186,980
                 
     
Miscellaneous Manufacturing - 0.2%
         
 
JPY 30,000,000
 
Nikkiso Co. Ltd. (Japan)(d)
NR
0.000%
08/02/2018
N/A
324,680
 
500,000
 
Siemens Financieringsmaatschappij NV, Series WW (Netherlands)
A+
1.650%
08/16/2019
N/A
582,453
               
907,133
                 
     
Oil & Gas - 3.2%
         
 
7,161,000
 
Chesapeake Energy Corp.(b)
BB-
2.250%
12/15/2038
12/15/18 @ 100
6,708,962
 
7,923,000
 
Cobalt International Energy, Inc.(b)
NR
2.625%
12/01/2019
N/A
7,061,374
 
500,000
 
Lukoil International Finance BV (Netherlands)
BBB
2.625%
06/16/2015
N/A
529,750
 
400,000
 
Premier Oil Finance Jersey Ltd., Series PMO (Jersey)
NR
2.500%
07/27/2018
N/A
432,720
 
300,000
 
Seadrill Ltd. (Bermuda)
NR
3.375%
10/27/2017
N/A
409,800
               
15,142,606
                 
     
Oil & Gas Services - 0.7%
         
 
2,002,000
 
Hornbeck Offshore Services, Inc.(b)
BB-
1.500%
09/01/2019
N/A
2,220,969
 
EUR 1,011,500
 
Technip SA, Series TEC (France)
BBB+
0.500%
01/01/2016
N/A
1,196,470
               
3,417,439
                 
     
Pharmaceuticals - 8.4%
         
 
3,801,000
 
Array BioPharma, Inc.(b)
NR
3.000%
06/01/2020
N/A
4,014,806
 
2,929,000
 
Auxilium Pharmaceuticals, Inc.(b)
NR
1.500%
07/15/2018
N/A
3,664,911
 
10,996,000
 
BioMarin Pharmaceutical, Inc.(b)
NR
1.500%
10/15/2020
N/A
11,985,640
 
768,000
 
Isis Pharmaceuticals, Inc.(b)
NR
2.750%
10/01/2019
N/A
2,403,360
 
2,637,000
 
Medivation, Inc.(b)
NR
2.625%
04/01/2017
N/A
4,377,420
 
557,000
 
Omnicare, Inc.
BB
3.500%
02/15/2044
02/15/19 @ 93
582,065
 
2,693,000
 
Salix Pharmaceuticals Ltd.(b)
NR
1.500%
03/15/2019
N/A
4,328,998
 
3,325,000
 
Theravance, Inc.(b)
NR
2.125%
01/15/2023
N/A
5,054,000
 
4,837,000
 
Vivus, Inc.(a) (b)
NR
4.500%
05/01/2020
N/A
3,794,022
               
40,205,222
                 
     
Real Estate - 2.9%
         
 
SGD 9,500,000
 
CapitaLand Ltd., Series REGS (Singapore)
NR
1.850%
06/19/2020
N/A
6,742,978
 
6,149,000
 
Forest City Enterprises, Inc.(a) (b)
BB-
3.625%
08/15/2020
08/15/18 @ 100
6,214,333
 
EUR 90,455
 
IMMOFINANZ AG (Austria)
NR
4.250%
03/08/2018
N/A
602,304
 
GBP 200,000
 
Unite Jersey Issuer Ltd., Series UTG (Jersey)
NR
2.500%
10/10/2018
N/A
340,359
               
13,899,974
                 
     
Real Estate Investment Trusts - 4.3%
         
 
4,483,000
 
Annaly Capital Management, Inc.(b)
NR
5.000%
05/15/2015
N/A
4,581,066
 
EUR 400,000
 
Beni Stabili SpA (Italy)
NR
3.375%
01/17/2018
N/A
587,024
 
308,000
 
DDR Corp.
BBB-
1.750%
11/15/2040
11/20/15 @ 100
347,847
 
GBP 300,000
 
Derwent London Capital Jersey Ltd. (Jersey)
BBB
2.750%
07/15/2016
N/A
597,312
 
GBP 300,000
 
Great Portland Estates Capital Jersey Ltd., Series GPOR (Jersey)
NR
1.000%
09/10/2018
N/A
521,385
 
272,000
 
Host Hotels & Resorts, LP(a) (b)
BBB
2.500%
10/15/2029
10/20/15 @ 100
390,830
 
471,000
 
NorthStar Realty Finance, LP(a)
NR
5.375%
06/15/2033
06/15/23 @ 100
697,669
 
304,000
 
Pennymac Corp.(a)
NR
5.375%
05/01/2020
N/A
296,590
 
2,603,000
 
ProLogis, LP(b)
BBB
3.250%
03/15/2015
N/A
2,980,435
 
7,400,000
 
SL Green Operating Partnership, LP(a) (b)
BB+
3.000%
10/15/2017
N/A
9,342,500
 
407,000
 
Starwood Property Trust, Inc.(b)
BB-
4.000%
01/15/2019
N/A
473,646
               
20,816,304
                 
     
Retail - 0.1%
         
 
253,000
 
Group 1 Automotive, Inc.(c)
BB
2.250%
06/15/2036
06/15/16 @ 100
293,796
 
EUR 208,047
 
Rallye SA, Series COFP (France)
NR
1.000%
10/02/2020
N/A
302,151
               
595,947
                 
     
Semiconductors - 6.9%
         
 
320,000
 
Microchip Technology, Inc.
NR
2.125%
12/15/2037
N/A
557,400
 
3,201,000
 
Micron Technology, Inc.(b)
BB-
1.875%
06/01/2014
N/A
5,173,616
 
5,909,000
 
Micron Technology, Inc., Series G(b)
BB-
3.000%
11/15/2043
11/20/18 @ 83
6,267,233
 
2,968,000
 
Novellus Systems, Inc.(b)
BBB
2.625%
05/15/2041
N/A
4,698,715
 
1,623,000
 
NVIDIA Corp.(a)
BB+
1.000%
12/01/2018
N/A
1,664,589
 
257,000
 
ON Semiconductor Corp., Series B
BB+
2.625%
12/15/2026
12/20/16 @ 100
290,410
 
2,600,000
 
Semiconductor Manufacturing International Corp., Series REGS (Cayman Islands)(d)
NR
0.000%
11/07/2018
N/A
2,981,576
 
3,500,000
 
SK Hynix, Inc. (South Korea)
NR
2.650%
05/14/2015
N/A
4,333,000
 
5,137,000
 
SunEdison, Inc.(a) (b)
NR
2.000%
10/01/2018
N/A
6,141,926
 
406,000
 
Xilinx, Inc.(b)
A-
2.625%
06/15/2017
N/A
654,168
               
32,762,633
                 
     
Software - 5.0%
         
 
3,109,000
 
Allscripts Healthcare Solutions, Inc.(a) (b)
NR
1.250%
07/01/2020
N/A
3,656,961
 
298,000
 
Cornerstone OnDemand, Inc.(a)
NR
1.500%
07/01/2018
N/A
376,411
 
3,476,000
 
Electronic Arts, Inc.(b)
NR
0.750%
07/15/2016
N/A
3,903,983
 
9,995,000
 
Nuance Communications, Inc.(b)
BB-
2.750%
08/15/2027
08/20/14 @ 100
10,432,281
 
379,000
 
Proofpoint, Inc.(a)
NR
1.250%
12/15/2018
N/A
471,618
 
261,000
 
Salesforce.com, Inc.(a)
BB
0.250%
04/01/2018
N/A
299,661
 
4,536,000
 
ServiceNow, Inc.(a) (b) (d)
NR
0.000%
11/01/2018
N/A
4,938,570
               
24,079,485
                 
     
Telecommunications - 7.3%
         
 
EUR 1,266,050
 
Alcatel-Lucent, Series ALU (France)
CCC+
4.250%
07/01/2018
N/A
5,970,541
 
7,401,000
 
Ciena Corp.(b)
B
0.875%
06/15/2017
N/A
7,595,276
 
3,324,000
 
Ciena Corp.(b)
NR
4.000%
12/15/2020
N/A
4,805,257
 
13,184,000
 
Clearwire Communications, LLC / Clearwire Finance, Inc.(a) (b)
Ba1
8.250%
12/01/2040
12/01/17 @ 100
15,326,400
 
334,000
 
Finisar Corp.(a)
NR
0.500%
12/15/2033
12/22/18 @ 100
353,622
 
355,000
 
Ixia
NR
3.000%
12/15/2015
N/A
375,413
 
EUR 200,000
 
Nokia OYJ, Series REGS (Finland)
B+
5.000%
10/26/2017
N/A
573,269
               
34,999,778
                 
     
Transportation - 0.1%
         
 
JPY 40,000,000
 
Yamato Holdings Co., Ltd.(Japan)(d)
NR
0.000%
03/07/2016
N/A
482,914
                 
     
Total Convertible Bonds - 90.5%
         
     
(Cost $403,953,424)
       
432,277,537
                 
     
Corporate Bonds - 37.0%
         
     
Aerospace & Defense - 0.3%
         
 
1,250,000
 
Kratos Defense & Security Solutions, Inc.(b)
B
10.000%
06/01/2017
06/01/14 @ 105
1,343,750
                 
     
Auto Manufacturers - 0.8%
         
 
1,250,000
 
Allied Specialty Vehicles, Inc.(a) (b)
B+
8.500%
11/01/2019
11/01/16 @ 104
1,318,750
 
2,500,000
 
Chrysler Group, LLC / CG Co.-Issuer, Inc.
B
8.000%
06/15/2019
06/15/15 @ 104
2,734,375
               
4,053,125
                 
     
Auto Parts & Equipment - 0.7%
         
 
1,075,000
 
Dana Holding Corp.(b)
BB
6.750%
02/15/2021
02/15/16 @ 103
1,166,375
 
1,000,000
 
Goodyear Tire & Rubber Co.(b)
B+
8.250%
08/15/2020
08/15/15 @ 104
1,116,200
 
1,250,000
 
TRW Automotive, Inc.(a) (b)
BBB-
4.500%
03/01/2021
N/A
1,271,875
               
3,554,450
                 
     
Banks - 4.9%
         
 
5,214,000
 
Ally Financial, Inc.(b)
BB
4.625%
06/26/2015
N/A
5,415,803
 
1,450,000
 
Ally Financial, Inc.(b)
BB
7.500%
09/15/2020
N/A
1,709,187
 
975,000
 
CIT Group, Inc.(a) (b)
BB-
5.500%
02/15/2019
N/A
1,043,250
 
9,769,000
 
Emigrant Bancorp, Inc.(a) (b)
B-
6.250%
06/15/2014
N/A
9,974,999
 
5,202,000
 
Synovus Financial Corp.(b)
B+
5.125%
06/15/2017
N/A
5,475,105
               
23,618,344
                 
     
Building Materials - 0.2%
         
 
1,050,000
 
Boise Cascade Co.(b)
B+
6.375%
11/01/2020
11/01/15 @ 105
1,099,875
                 
     
Chemicals - 2.4%
         
 
3,848,000
 
Ashland, Inc.(b)
BB
4.750%
08/15/2022
05/15/22 @ 100
3,703,700
 
1,250,000
 
Celanese US Holdings, LLC(b)
BB+
4.625%
11/15/2022
N/A
1,214,062
 
1,250,000
 
Cornerstone Chemical Co., Series AI(b)
B-
9.375%
03/15/2018
03/15/15 @ 107
1,331,250
 
3,848,000
 
Rockwood Specialties Group, Inc.(b)
BB+
4.625%
10/15/2020
10/15/15 @ 103
3,924,960
 
1,275,000
 
Vertellus Specialties, Inc.(a) (b)
CCC+
9.375%
10/01/2015
10/01/14 @ 100
1,275,000
               
11,448,972
                 
     
Coal - 0.2%
         
 
751,000
 
SunCoke Energy, Inc.(b)
B+
7.625%
08/01/2019
08/01/14 @ 106
812,958
                 
     
Commercial Services - 1.1%
         
 
925,000
 
ADT Corp.(a) (b)
BB-
6.250%
10/15/2021
N/A
957,560
 
925,000
 
Cenveo Corp.(b)
CCC+
8.875%
02/01/2018
02/01/15 @ 102
920,375
 
3,069,000
 
Prospect Medical Holdings, Inc.(a) (b)
B-
8.375%
05/01/2019
05/01/15 @ 106
3,360,555
               
5,238,490
                 
     
Computers - 0.1%
         
 
625,000
 
Seagate HDD Cayman (Cayman Islands)(a) (b)
BBB-
4.750%
06/01/2023
N/A
601,563
                 
     
Diversified Financial Services - 1.2%
         
 
1,450,000
 
Nationstar Mortgage, LLC / Nationstar Capital Corp.(b)
B+
6.500%
07/01/2021
01/01/17 @ 103
1,370,250
 
4,422,000
 
SLM Corp., Series MTN
BBB-
4.625%
09/25/2017
N/A
4,565,715
               
5,935,965
                 
     
Engineering & Construction - 0.2%
         
 
1,077,000
 
MasTec, Inc.
BB-
4.875%
03/15/2023
03/15/18 @ 102
1,017,765
                 
     
Entertainment - 0.4%
         
 
1,250,000
 
Churchill Downs, Inc.(a)
BB
5.375%
12/15/2021
12/15/16 @ 104
1,265,625
 
644,000
 
Six Flags Entertainment Corp.(a) (b)
BB-
5.250%
01/15/2021
01/15/16 @ 104
639,170
               
1,904,795
                 
     
Environmental Control - 0.7%
         
 
1,250,000
 
Casella Waste Systems, Inc.(b)
CCC
7.750%
02/15/2019
02/15/15 @ 104
1,287,500
 
1,875,000
 
Clean Harbors, Inc.(b)
BB+
5.125%
06/01/2021
12/01/16 @ 103
1,884,375
               
3,171,875
                 
     
Food - 0.5%
         
 
1,500,000
 
Land O'Lakes Capital Trust I(a) (b)
BB
7.450%
03/15/2028
N/A
1,436,250
 
950,000
 
Marfrig Holding Europe BV (Netherlands)(a) (b)
B
9.875%
07/24/2017
01/24/16 @ 105
935,750
               
2,372,000
                 
     
Forest Products & Paper - 0.7%
         
 
1,250,000
 
Appvion, Inc.(a)
CCC+
9.000%
06/01/2020
12/01/16 @ 105
1,289,062
 
625,000
 
Catalyst Paper Corp. (Canada)(b) (g)
NR
11.000%
10/30/2017
03/10/14 @ 100
506,250
 
1,200,000
 
Sappi Papier Holding GmbH (Austria)(a) (b)
BB
6.625%
04/15/2021
04/15/16 @ 103
1,212,000
 
300,000
 
Tembec Industries, Inc. (Canada)
CCC+
11.250%
12/15/2018
12/15/14 @ 106
330,750
               
3,338,062
                 
     
Health Care Products - 0.3%
         
 
1,250,000
 
Biomet, Inc.(b)
B-
6.500%
08/01/2020
08/01/15 @ 105
1,339,062
                 
     
Health Care Services - 2.1%
         
 
1,250,000
 
Fresenius Medical Care US Finance, Inc.(a) (b)
BB+
5.750%
02/15/2021
N/A
1,334,375
 
2,575,000
 
HCA Holdings, Inc.(b)
B-
7.750%
05/15/2021
11/15/15 @ 104
2,832,500
 
1,875,000
 
Health Net, Inc.(b)
BB
6.375%
06/01/2017
N/A
2,048,438
 
625,000
 
HealthSouth Corp.(b)
BB-
8.125%
02/15/2020
02/15/15 @ 104
684,375
 
1,250,000
 
IASIS Healthcare, LLC / IASIS Capital Corp.(b)
CCC+
8.375%
05/15/2019
05/15/14 @ 106
1,340,625
 
1,625,000
 
Tenet Healthcare Corp.(a) (b)
B+
6.000%
10/01/2020
N/A
1,713,359
               
9,953,672
                 
     
Household Products & Housewares - 0.3%
         
 
1,250,000
 
Reynolds Group Issuer, Inc. / Reynolds Group Issuer, LLC
CCC+
9.000%
04/15/2019
10/15/14 @ 105
1,339,063
                 
     
Insurance - 0.1%
         
 
300,000
 
Fidelity & Guaranty Life Holdings, Inc.(a)
BB-
6.375%
04/01/2021
04/01/16 @ 105
317,250
                 
     
Internet - 0.4%
         
 
1,250,000
 
Equinix, Inc.(b)
BB
5.375%
04/01/2023
04/01/18 @ 103
1,231,250
 
500,000
 
NetFlix, Inc.(b)
BB-
5.375%
02/01/2021
N/A
506,875
               
1,738,125
                 
     
Iron & Steel - 0.2%
         
 
300,000
 
Commercial Metals Co.
BB+
4.875%
05/15/2023
02/15/23 @ 100
283,500
 
835,000
 
Steel Dynamics, Inc.(b)
BB+
6.375%
08/15/2022
08/15/17 @ 103
914,325
               
1,197,825
                 
     
Leisure Time - 0.3%
         
 
1,250,000
 
Carlson Wagonlit BV (Netherlands)(a) (b)
B+
6.875%
06/15/2019
06/15/15 @ 105
1,310,937
                 
     
Lodging - 0.2%
         
 
900,000
 
Caesars Entertainment Operating Co., Inc.(b)
B-
8.500%
02/15/2020
02/15/16 @ 104
853,313
 
16
 
MTR Gaming Group, Inc.
B-
11.500%
08/01/2019
08/01/15 @ 106
18
               
853,331
                 
     
Machinery-Construction & Mining - 0.2%
         
 
775,000
 
Permian Holdings, Inc.(a)
B-
10.500%
01/15/2018
07/15/15 @ 108
771,125
                 
     
Machinery-Diversified - 0.3%
         
 
1,250,000
 
Waterjet Holdings, Inc.(a)
B
7.625%
02/01/2020
02/01/17 @ 104
1,281,250
                 
     
Media - 3.0%
         
 
625,000
 
Clear Channel Communications, Inc.
CCC+
9.000%
12/15/2019
07/15/15 @ 105
640,625
 
312,000
 
Clear Channel Communications, Inc.
CCC+
11.250%
03/01/2021
03/01/16 @ 108
340,080
 
6,000,000
 
Clear Channel Worldwide Holdings, Inc., Series B(b)
B
7.625%
03/15/2020
03/15/15 @ 106
6,360,000
 
2,859,000
 
DISH DBS Corp.
BB-
4.625%
07/15/2017
N/A
3,001,950
 
625,000
 
DISH DBS Corp.
BB-
5.125%
05/01/2020
N/A
626,562
 
1,900,000
 
Radio One, Inc.(a)
CCC
9.250%
02/15/2020
02/15/17 @ 105
1,947,500
 
1,250,000
 
Starz, LLC / Starz Finance Corp.(b)
BB
5.000%
09/15/2019
09/15/15 @ 103
1,292,188
               
14,208,905
                 
     
Mining - 1.0%
         
 
1,250,000
 
American Gilsonite Co.(a) (b)
B-
11.500%
09/01/2017
09/01/14 @ 109
1,206,250
 
375,000
 
Barminco Finance Pty Ltd. (Australia)(a)
B-
9.000%
06/01/2018
N/A
352,500
 
960,000
 
FMG Resources August 2006 Pty Ltd. (Australia)(a) (b)
BB-
8.250%
11/01/2019
11/01/15 @ 104
1,060,800
 
1,025,000
 
FQM Akubra, Inc. (Canada)(a) (b)
B+
8.750%
06/01/2020
06/01/16 @ 104
1,171,062
 
1,250,000
 
St Barbara Ltd. (Australia)(a) (b)
B
8.875%
04/15/2018
10/15/15 @ 107
1,043,750
               
4,834,362
                 
     
Miscellaneous Manufacturing - 0.8%
         
 
925,000
 
Dispensing Dynamics International(a) (b)
B-
12.500%
01/01/2018
01/01/16 @ 106
1,003,625
 
2,873,000
 
LSB Industries, Inc.(a) (b)
B+
7.750%
08/01/2019
08/01/16 @ 104
3,059,745
               
4,063,370
                 
     
Oil & Gas - 5.8%
         
 
2,542,000
 
Alta Mesa Holdings, LP / Alta Mesa Finance Services Corp.(b)
B
9.625%
10/15/2018
10/15/14 @ 105
2,739,005
 
1,100,000
 
Bill Barrett Corp.(b)
B
7.625%
10/01/2019
10/01/15 @ 104
1,193,500
 
800,000
 
BreitBurn Energy Partners, LP / BreitBurn Finance Corp.(b)
B-
7.875%
04/15/2022
01/15/17 @ 104
855,000
 
1,850,000
 
Chesapeake Oilfield Operating, LLC / Chesapeake Oilfield Finance, Inc.(b)
BB-
6.625%
11/15/2019
11/15/15 @ 103
1,951,750
 
1,250,000
 
Clayton Williams Energy, Inc.(a) (b)
B3
7.750%
04/01/2019
04/01/15 @ 104
1,300,000
 
400,000
 
Clayton Williams Energy, Inc.(b)
B-
7.750%
04/01/2019
04/01/15 @ 104
416,000
 
975,000
 
Drill Rigs Holdings, Inc. (Marshall Islands)(a) (b)
B
6.500%
10/01/2017
10/01/15 @ 103
1,035,937
 
1,250,000
 
Energy XXI Gulf Coast, Inc.(a) (b)
B+
7.500%
12/15/2021
12/15/16 @ 106
1,303,125
 
1,250,000
 
Halcon Resources Corp.(a)
CCC+
9.750%
07/15/2020
07/15/16 @ 105
1,301,562
 
1,250,000
 
Lightstream Resources Ltd. (Canada)(a)
B-
8.625%
02/01/2020
02/01/16 @ 104
1,275,000
 
925,000
 
Midstates Petroleum Co., Inc. / Midstates Petroleum Co., LLC
B-
10.750%
10/01/2020
10/01/16 @ 105
1,005,937
 
250,000
 
Northern Blizzard Resources, Inc. (Canada)(a)
B-
7.250%
02/01/2022
02/01/17 @ 105
250,312
 
925,000
 
Oasis Petroleum, Inc.(a) (b)
B
6.875%
03/15/2022
09/15/17 @ 103
985,125
 
1,250,000
 
PBF Holding Co., LLC / PBF Finance Corp.(b)
BB+
8.250%
02/15/2020
02/15/16 @ 104
1,371,875
 
1,875,000
 
Plains Exploration & Production Co.(b)
BBB
6.750%
02/01/2022
02/01/17 @ 103
2,064,844
 
1,225,000
 
QEP Resources, Inc.(b)
BB+
6.875%
03/01/2021
N/A
1,326,063
 
1,450,000
 
Range Resources Corp.(b)
BB
5.000%
08/15/2022
02/15/17 @ 103
1,444,563
 
1,250,000
 
Samson Investment Co.(a) (b)
CCC+
10.500%
02/15/2020
02/15/16 @ 105
1,381,250
 
1,100,000
 
SandRidge Energy, Inc.(b)
B-
8.125%
10/15/2022
04/15/17 @ 104
1,156,375
 
625,000
 
Talos Production, LLC / Talos Production Finance, Inc.(a)
CCC+
9.750%
02/15/2018
02/15/15 @ 105
645,313
 
1,250,000
 
Tesoro Corp.(b)
BB+
5.375%
10/01/2022
10/01/17 @ 103
1,281,250
 
250,000
 
Unit Corp.
BB-
6.625%
05/15/2021
05/15/16 @ 103
263,750
 
1,250,000
 
W&T Offshore, Inc.(b)
B
8.500%
06/15/2019
06/15/15 @ 104
1,343,750
               
27,891,286
                 
     
Oil & Gas Services - 0.5%
         
 
800,000
 
Forbes Energy Services Ltd.(b)
B
9.000%
06/15/2019
06/15/15 @ 105
786,000
 
1,500,000
 
SESI, LLC(b)
BBB-
6.375%
05/01/2019
05/01/15 @ 103
1,601,250
               
2,387,250
                 
     
Pharmaceuticals - 0.4%
         
 
625,000
 
JLL/Delta Dutch Newco BV (Netherlands)(a)
CCC+
7.500%
02/01/2022
02/01/17 @ 106
625,781
 
1,250,000
 
Valeant Pharmaceuticals International(a) (b)
B
6.375%
10/15/2020
10/15/16 @ 103
1,340,625
               
1,966,406
                 
     
Pipelines - 1.8%
         
 
500,000
 
Crosstex Energy, LP / Crosstex Energy Finance Corp.(b)
B+
8.875%
02/15/2018
02/15/15 @ 102
525,312
 
1,175,000
 
Eagle Rock Energy Partners, LP / Eagle Rock Energy Finance Corp.(b)
B
8.375%
06/01/2019
06/01/15 @ 104
1,283,688
 
300,000
 
Genesis Energy, LP / Genesis Energy Finance Corp.
B
5.750%
02/15/2021
02/15/17 @ 103
306,000
 
5,932,000
 
Regency Energy Partners, LP / Regency Energy Finance Corp.(b)
BB
5.750%
09/01/2020
06/01/20 @ 100
6,169,280
 
400,000
 
Tesoro Logistics, LP / Tesoro Logistics Finance Corp.
BB-
5.875%
10/01/2020
10/01/16 @ 103
412,000
               
8,696,280
                 
     
Real Estate - 0.2%
         
 
750,000
 
Kennedy-Wilson, Inc.(b)
BB-
8.750%
04/01/2019
04/01/15 @ 104
819,375
                 
     
Real Estate Investment Trusts - 0.4%
         
 
1,000,000
 
Corrections Corp. of America(b)
BB+
4.625%
05/01/2023
02/01/23 @ 100
942,500
 
450,000
 
DuPont Fabros Technology, LP
BB
5.875%
09/15/2021
09/15/16 @ 104
469,125
 
570,000
 
OMEGA Healthcare Investors, Inc.(b)
BBB-
5.875%
03/15/2024
03/15/17 @ 103
582,825
               
1,994,450
                 
     
Software - 1.2%
         
 
1,000,000
 
Activision Blizzard, Inc.(a) (b)
BB+
6.125%
09/15/2023
09/15/18 @ 103
1,045,000
 
4,162,000
 
First Data Corp.(b)
B-
12.625%
01/15/2021
01/15/16 @ 113
4,869,540
               
5,914,540
                 
     
Telecommunications - 2.0%
         
 
1,350,000
 
EarthLink Holdings Corp.(b)
B+
7.375%
06/01/2020
06/01/16 @ 106
1,383,750
 
300,000
 
Hughes Satellite Systems Corp.(b)
B+
6.500%
06/15/2019
N/A
327,750
 
625,000
 
Intelsat Luxembourg SA (Luxembourg)(a)
B-
7.750%
06/01/2021
06/01/17 @ 104
672,656
 
1,000,000
 
Level 3 Communications, Inc.
CCC+
11.875%
02/01/2019
02/01/15 @ 106
1,155,000
 
2,500,000
 
Sprint Corp.(a) (b)
BB-
7.875%
09/15/2023
N/A
2,675,000
 
650,000
 
Telesat Canada / Telesat, LLC (Canada)(a) (b)
B
6.000%
05/15/2017
05/15/14 @ 103
676,813
 
1,275,000
 
T-Mobile USA, Inc.(b)
BB
6.633%
04/28/2021
04/28/17 @ 103
1,346,719
 
500,000
 
Windstream Corp.(b)
B
7.750%
10/01/2021
10/01/16 @ 104
527,500
 
650,000
 
Windstream Corp.(b)
B
7.500%
06/01/2022
06/01/17 @ 104
664,625
               
9,429,813
                 
     
Transportation - 1.1%
         
 
475,000
 
Eletson Holdings (Greece)(a)
B
9.625%
01/15/2022
01/15/18 @ 105
497,563
 
190,000
 
Gulfmark Offshore, Inc.(b)
BB-
6.375%
03/15/2022
03/15/17 @ 103
192,375
 
715,000
 
Navios Maritime Acquisition Corp. / Navios Acquisition Finance US, Inc. (Marshall Islands)(a)
B
8.125%
11/15/2021
11/15/16 @ 106
732,875
 
625,000
 
Navios Maritime Holdings, Inc. / Navios Maritime Finance II US, Inc. (Marshall Islands)(b)
B+
8.125%
02/15/2019
02/15/15 @ 104
640,625
 
1,250,000
 
Navios Maritime Holdings, Inc. / Navios Maritime Finance II US, Inc. (Marshall Islands)(a)
BB-
7.375%
01/15/2022
01/15/17 @ 106
1,262,500
 
900,000
 
Navios South American Logistics, Inc. / Navios Logistics Finance US, Inc. (Marshall Islands)(b)
B+
9.250%
04/15/2019
04/15/14 @ 107
968,625
 
400,000
 
Swift Services Holdings, Inc.(b)
B+
10.000%
11/15/2018
11/15/14 @ 105
443,000
 
375,000
 
Ultrapetrol Bahamas Ltd. (Bahamas)
B-
8.875%
06/15/2021
06/15/16 @ 107
405,000
               
5,142,563
                 
     
Total Corporate Bonds - 37.0%
         
     
(Cost $173,075,943)
       
176,962,229
                 
 
Number
             
 
of Shares
 
Description
       
Value
     
Term Loans - 0.7%(h)
         
 
595,179
 
Caraustar Industries, Inc.
B+
7.500%
05/01/2019
N/A
           611,670
 
1,240,625
 
Sorenson Communication, Inc.
B-
9.500%
10/31/2014
N/A
1,260,268
 
1,250,000
 
Sprint Industrial Holdings LLC
CCC+
11.250%
05/14/2019
N/A
1,262,500
     
(Cost $3,060,511)
       
3,134,438
                 
     
Convertible Preferred Stocks - 3.6%
         
     
Aerospace & Defense - 0.8%
         
 
59,171
 
United Technologies Corp.(b)
BBB+
7.500%
08/01/2015
 
3,812,388
                 
     
Diversified Financial Services - 0.2%
         
 
16,230
 
AMG Capital Trust II(b)
BB+
5.150%
10/15/2037
 
982,929
                 
     
Electric - 0.1%
         
 
5,800
 
NextEra Energy, Inc.
NR
5.799%
09/01/2016
 
307,400
                 
     
Hand & Machine Tools - 0.1%
         
 
2,801
 
Stanley Black & Decker, Inc.
BBB+
6.250%
11/17/2016
 
285,002
                 
     
Insurance - 0.3%
         
 
56,814
 
MetLife, Inc.(b)
BBB-
5.000%
03/26/2014
 
1,656,128
                 
     
Oil & Gas - 1.8%
         
 
7,362
 
Chesapeake Energy Corp.(a) (b) (i)
B-
5.750%
-
 
8,480,104
                 
     
Real Estate Investment Trusts - 0.1%
         
 
11,273
 
Alexandria Real Estate Equities, Inc., Series D(i)
NR
7.000%
-
 
294,563
 
3,965
 
Health Care REIT, Inc., Series I(i)
BB+
6.500%
-
 
215,260
               
509,823
                 
     
Savings & Loans - 0.2%
         
 
24,700
 
New York Community Capital Trust V
BB
6.000%
11/01/2051
 
1,200,568
                 
     
Total Convertible Preferred Stocks - 3.6%
         
     
(Cost $17,253,250)
       
17,234,342
                 
     
Common Stocks - 13.0%
         
     
Auto Manufacturers - 1.2%
         
 
159,718
 
General Motors Co.(b)
       
5,762,630
                 
     
Banks - 1.2%
         
 
103,000
 
JPMorgan Chase & Co.(f)
       
5,702,080
                 
     
Biotechnology - 0.1%
         
 
2,600
 
Celgene Corp.(f) (j)
       
395,018
                 
     
Health Care Services - 0.3%
         
 
49,747
 
Brookdale Senior Living, Inc.(b) (j)
       
1,366,053
                 
     
Insurance - 0.0%+
         
 
-
 
MetLife, Inc.(k)
       
49
                 
     
Internet - 1.5%
         
 
204,600
 
Yahoo!, Inc.(f) (j)
       
7,369,692
                 
     
Media - 2.6%
         
 
52,023
 
DISH Network Corp., Class A(b) (j)
       
2,933,057
 
72,900
 
Time Warner Cable, Inc.(b)
       
9,715,383
               
12,648,440
                 
     
Oil & Gas - 0.4%
         
 
65,300
 
Par Petroleum Corp.(j)
       
1,462,720
 
124,200
 
Premier Oil PLC (United Kingdom)
       
554,380
               
2,017,100
                 
     
Oil & Gas Services - 1.3%
         
 
121,600
 
Hornbeck Offshore Services, Inc.(b) (j)
       
5,193,536
 
11,900
 
Technip SA (France)(j)
       
1,015,020
               
6,208,556
                 
     
Pharmaceuticals - 0.1%
         
 
52,000
 
MannKind Corp.(j)
       
281,840
                 
     
Real Estate Investment Trusts - 0.7%
         
 
81,000
 
Prologis, Inc.
       
3,139,560
                 
     
Retail - 1.7%
         
 
78,000
 
Lululemon Athletica, Inc. (Canada)(f)(j)
       
3,563,820
 
55,700
 
Tiffany & Co.(f)
       
4,633,683
               
8,197,503
                 
     
Telecommunications - 1.9%
         
 
156,000
 
Ixia(b) (j)
       
1,995,240
 
52,402
 
T-Mobile US, Inc.(j)
       
1,601,929
 
149,916
 
Vodafone Group PLC, ADR (United Kingdom)(b) (j)
       
5,555,887
               
9,153,056
                 
     
Total Common Stocks - 13.0%
         
     
(Cost $62,677,307)
       
62,241,577
                 
     
Warrants - 0.2%
         
 
344,053
 
MannKind Corp., expiring 02/08/2016(b) (j)
       
774,119
     
(Cost $211,649)
         
                 
     
Total Long-Term Investments - 145.0%
         
     
(Cost $660,232,084)
       
692,624,242
                 
 
Contracts (100 shares
per contract)
 
 
Options Purchased(j)
 
Expiration
Date
Exercise
Price
 
 
Value
     
Call Options Purchased - 0.0%+
         
 
1,580
 
Yahoo!, Inc.
 
February 2014
$41.00
 
 $            18,960
                 
     
Put Options Purchased - 0.2%
         
 
8,700
 
iShares MSCI Emerging Markets ETF
 
February 2014
$37.00
 
$          452,400
 
4,700
 
SPDR S&P 500 ETF Trust
 
February 2014
     175.00
 
747,300
               
         1,199,700
                 
     
Total Options Purchased - 0.2%
         
     
(Cost $1,481,615)
       
1,218,660
                 
                 
 
Number
             
 
of Shares
 
Description
       
Value
     
Short-Term Investments - 12.8%
         
     
Money Market - 12.8%
         
 
61,211,941
 
Goldman Sachs Financial Prime Obligations - Administration Share Class(l)
   
$      61,211,941
     
(Cost $61,211,941)
         
                 
     
Total Investments - 158.0%
         
     
(Cost $722,925,640)
       
755,054,843
     
Liabilities in excess of Other Assets - (3.1%)
       
      (15,124,098)
     
Total Value of Options Written - 0.0%+ (Premiums received $238,923)
     
          (116,392)
     
Margin Loan – (35.6% of Net Assets or 22.5% of Total Investments)
 
(170,000,000)
     
Reverse Repurchase Agreements – (19.3% of Net Assets or 12.2% of Total Investments)
 
(92,000,000)
     
Net Assets  - 100.0%
       
$   477,814,353
 
 
AB - Stock Company
             
 
ADR - American Depositary Receipt
         
 
AG - Stock Corporation
         
 
BV - Limited Liability Company
         
 
CHF - Swiss Franc
         
 
CNY - Chinese Yuan Renminbi
         
 
EUR - Euro
           
 
GBP - Great Britian Pound
         
 
GmbH - Limited Liability
         
 
HKD - Hong Kong Dollar
         
 
JPY - Japanese Yen
         
 
LLC - Limited Liability Company
         
 
LP - Limited Partnership
         
 
N/A- Not Applicable
         
 
NV - Publicly Traded Company
         
 
OYJ - Public Traded Company
         
 
PJSC - Private Joint Stock Company
         
 
PLC - Public Limited Company
         
 
Pty - Property
         
 
REIT - Real Estate Investment Trust
         
 
S&P - Standard & Poor's
         
 
SA - Corporation
         
 
SGD - Singapore Dollar
         
 
SpA - Limited Share Company
         
                 
 
All percentages shown in the Portfolio of Investments are based on Net Assets, unless otherwise noted.
~
The principal amount is denominated in U.S. Dollars unless otherwise noted.
   
*
Ratings shown are per Standard & Poor's Rating Group, Moody's Investor Services, Inc. or Fitch Ratings.  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 optional call provisions are unaudited.
+
Less than 0.1%
         
(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, 2014 these securities amounted to $171,545,648, which represents 35.9% of net assets.
(b)
All or a portion of these securities have been physically segregated in connection with borrowings and reverse repurchase agreements.  As of January 31, 2014, the total amount segregated was $452,712,743.
(c)
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.
(d)
Zero coupon bond.
         
(e)
Security becomes an accreting bond after December 15, 2016 with a 2.00% principal accretion rate.
(f)
All or a portion of this security represents cover for outstanding written options.
   
(g)
The issuer of this security may elect on May 1 or November 1 of each year 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. During the period, the issuer has elected to pay the 11.000% coupon entirely in cash.
(h)
Term loans held by the Fund have a variable interest rate feature which is periodically adjusted based on an underlying interest rate benchmark.  The rate presented is as of period end.  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.
(i)
Security is perpetual and, thus does not have a predetermined maturity date.  The coupon rate shown is in effect as of January 31, 2014.
(j)
Non-income producing security.
         
(k)
Represents less than one share.
         
(l)
All or a portion of this security has been set aside as collateral for forward exchange currency contracts. At January 31, 2014, the total amount segregated was $61,211,941.
                 
See the previously submitted notes to financial statements for the period ended October 31, 2013.
                 
 
Contracts (100 shares
per contract)
 
Options Written(a)
 
Expiration
Month
Exercise
Price
 
Value
   
Call Options Written - (0.0%)+
         
26
 
Celgene Corp.
 
July 2014
$195.00
 
$(7,267)
1,030
 
JPMorgan Chase & Co.
 
June 2014
67.50
 
(18,540)
780
 
Lululemon Athletica, Inc.
 
June 2014
60.00
 
(65,520)
557
 
Tiffany & Co.
 
May 2014
100.00
 
(25,065)
   
Total Value of Options Written - (0.0%)+
         
   
(Premiums received $238,923)
       
$(116,392)
 
+
Less than 0.1%
         
(a)
Non-income producing security.
         
 
 
 
 
 
 

 
 Country Breakdown
 % of Long-Term Investments
 United States
81.7%
 Luxembourg
2.8%
 Cayman Islands
2.7%
 France
1.5%
 Hungary
1.3%
 Canada
1.1%
 Japan
1.0%
 Singapore
1.0%
 Netherlands
0.9%
 United Kingdom
0.9%
 British Virgin Islands
0.9%
 Marshall Islands
0.7%
 South Korea
0.6%
 Austria
0.6%
 Switzerland
0.5%
 Australia
0.3%
 Jersey
0.3%
 Spain
0.2%