gugg60179-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, 2014 – July 31, 2014
 
 
 
 

 
 

 
Item 1.   Schedule of Investments.
Attached hereto.
 
 
AVK Advent Claymore Convertible Securities & Income Fund
         
Portfolio of Investments
         
July 31, 2014 (unaudited)
         
               
Principal
         
Optional Call
 
Amount~
 
Description
Rating*
Coupon
Maturity
Provisions**
Value
   
Long-Term Investments - 150.2%
         
   
Convertible Bonds - 89.8%
         
   
Airlines - 0.5%
         
$899,000
 
United Airlines, Inc.(a)
B
4.500%
01/15/2015
N/A
$2,225,587
               
   
Apparel - 0.4%
         
1,363,000
 
Iconix Brand Group, Inc.(a)
NR
1.500%
03/15/2018
N/A
1,961,016
               
   
Auto Manufacturers - 1.9%
         
500,000
 
Ford Motor Co.
BBB-
4.250%
11/15/2016
N/A
987,500
1,500,000
 
Tesla Motors, Inc.
B-
1.250%
03/01/2021
N/A
1,409,062
EUR 4,300,000
 
Volkswagen International Finance NV, Series REGS (Netherlands)
BBB
5.500%
11/09/2015
N/A
6,265,627
             
8,662,189
               
   
Auto Parts & Equipment - 0.5%
         
1,500,000
 
Meritor, Inc.
B-
7.875%
03/01/2026
12/01/20 @ 100
2,383,125
               
   
Banks - 0.5%
         
EUR 1,800,000
 
CaixaBank SA, Series REPS (Spain)
NR
4.500%
11/22/2016
N/A
2,484,265
               
   
Biotechnology - 8.3%
         
4,946,000
 
BioMarin Pharmaceutical, Inc.(a)
NR
1.500%
10/15/2020
N/A
5,221,121
5,895,000
 
Cubist Pharmaceuticals, Inc.(a) (b)
NR
1.125%
09/01/2018
N/A
6,344,494
304,000
 
Cubist Pharmaceuticals, Inc.(b)
NR
1.875%
09/01/2020
N/A
327,750
3,348,000
 
Exelixis, Inc.(a)
NR
4.250%
08/15/2019
N/A
3,151,305
1,227,000
 
Gilead Sciences, Inc., Series D(a)
A-
1.625%
05/01/2016
N/A
4,935,614
3,523,000
 
Illumina, Inc.(a) (b)
BBB-
0.500%
06/15/2021
N/A
3,516,394
1,750,000
 
Incyte Corp. Ltd.(a) (b)
NR
0.375%
11/15/2018
N/A
2,114,219
443,000
 
Incyte Corp. Ltd.(b)
NR
1.250%
11/15/2020
N/A
535,753
1,986,000
 
InterMune, Inc.
NR
2.500%
09/15/2018
N/A
2,992,654
1,000,000
 
Isis Pharmaceuticals, Inc.
NR
2.750%
10/01/2019
N/A
2,015,000
2,863,000
 
Medivation, Inc.(a)
NR
2.625%
04/01/2017
N/A
4,423,335
2,518,000
 
Theravance, Inc.(a)
NR
2.125%
01/15/2023
N/A
2,700,555
             
38,278,194
               
   
Commercial Services - 0.6%
         
1,545,000
 
Live Nation Entertainment, Inc.(a) (b)
NR
2.500%
05/15/2019
N/A
1,589,419
1,237,000
 
Macquarie Infrastructure Co., LLC
BBB-
2.875%
07/15/2019
N/A
1,344,464
             
2,933,883
               
   
Computers - 1.3%
         
2,339,000
 
SanDisk Corp.(a) (b)
BB+
0.500%
10/15/2020
N/A
2,732,244
2,024,000
 
Spansion, LLC(a) (b)
NR
2.000%
09/01/2020
N/A
3,087,865
             
5,820,109
               
   
Diversified Financial Services - 2.9%
         
2,646,000
 
Air Lease Corp.(a)
NR
3.875%
12/01/2018
N/A
3,702,746
EUR 2,300,000
 
Azimut Holding SpA (Italy)
NR
2.125%
11/25/2020
N/A
3,499,312
2,000,000
 
Encore Capital Group, Inc.(b)
NR
2.875%
03/15/2021
N/A
1,915,000
1,906,000
 
Portfolio Recovery Associates, Inc.(b)
NR
3.000%
08/01/2020
N/A
2,249,080
2,181,000
 
Walter Investment Management Corp.(a)
NR
4.500%
11/01/2019
N/A
2,022,878
             
13,389,016
               
   
Electrical Components & Equipment - 0.6%
         
1,579,000
 
General Cable Corp.(a) (c)
B
4.500%
11/15/2029
N/A
1,444,785
1,000,000
 
SunPower Corp.(b)
NR
0.875%
06/01/2021
N/A
1,130,625
             
2,575,410
               
   
Electronics - 1.0%
         
2,500,000
 
Fluidigm Corp.(a)
NR
2.750%
02/01/2034
02/06/21 @ 100
2,329,688
2,058,000
 
Vishay Intertechnology, Inc.(a) (b)
BB+
2.250%
11/15/2040
N/A
2,400,142
             
4,729,830
               
   
Energy-Alternate Sources - 0.3%
         
1,500,000
 
Solazyme, Inc.
NR
5.000%
10/01/2019
N/A
1,535,625
               
   
Health Care Products - 3.6%
         
3,750,000
 
HeartWare International, Inc.(a)
NR
3.500%
12/15/2017
N/A
4,310,156
1,029,000
 
Hologic, Inc., Series 2010(a) (c) (d)
B+
2.000%
12/15/2037
12/15/16 @ 100
1,302,328
1,000,000
 
Spectranetics Corp.
NR
2.625%
06/01/2034
06/05/21 @ 100
1,125,625
1,200,000
 
Teleflex, Inc.
B+
3.875%
08/01/2017
N/A
2,144,250
4,000,000
 
Volcano Corp.(a)
NR
1.750%
12/01/2017
N/A
3,797,500
2,957,000
 
Wright Medical Group, Inc.(a)
NR
2.000%
08/15/2017
N/A
4,030,761
             
16,710,620
               
   
Health Care Services - 2.3%
         
2,418,000
 
Brookdale Senior Living, Inc.(a)
NR
2.750%
06/15/2018
N/A
3,306,615
2,000,000
 
HealthSouth Corp.
B
2.000%
12/01/2043
12/01/18 @ 100
2,285,000
1,355,000
 
Molina Healthcare, Inc.(a)
NR
1.125%
01/15/2020
N/A
1,594,666
2,116,000
 
WellPoint, Inc.(a)
A-
2.750%
10/15/2042
N/A
3,323,442
             
10,509,723
               
   
Home Builders - 0.8%
         
2,928,000
 
Ryland Group, Inc.(a)
BB-
1.625%
05/15/2018
N/A
3,552,030
               
   
Household Products & Housewares - 1.5%
         
2,229,000
 
Jarden Corp.(a)
BB-
1.500%
06/15/2019
N/A
2,591,213
4,355,000
 
Jarden Corp.(b)
BB-
1.125%
03/15/2034
N/A
4,322,337
             
6,913,550
               
   
Insurance - 2.4%
         
1,975,000
 
Fidelity National Financial, Inc.(a)
BBB-
4.250%
08/15/2018
N/A
3,213,078
3,898,000
 
Radian Group, Inc.(a)
B-
3.000%
11/15/2017
N/A
5,064,964
399,000
 
Radian Group, Inc.
B-
2.250%
03/01/2019
N/A
532,665
CHF 1,750,000
 
Swiss Life Holding AG, Series SLHN (Switzerland)(e)
BBB
0.000%
12/02/2020
N/A
2,170,131
             
10,980,838
               
   
Internet - 7.7%
         
6,747,000
 
Ctrip.com International Ltd. (Cayman Islands)(a) (b)
NR
1.250%
10/15/2018
N/A
7,409,049
1,492,000
 
MercadoLibre, Inc.(b)
NR
2.250%
07/01/2019
N/A
1,524,637
6,430,000
 
Priceline Group, Inc.(a) (f)
BBB+
1.000%
03/15/2018
N/A
9,307,425
5,000,000
 
SINA Corp. (Cayman Islands)(a) (b)
NR
1.000%
12/01/2018
N/A
4,621,875
5,000,000
 
TIBCO Software, Inc.(a)
NR
2.250%
05/01/2032
05/05/17 @ 100
5,075,000
2,013,000
 
Vipshop Holdings Ltd. (Cayman Islands)(a)
NR
1.500%
03/15/2019
N/A
2,531,348
5,080,000
 
Yahoo!, Inc.(a) (b) (e)
BB+
0.000%
12/01/2018
N/A
5,146,675
             
35,616,009
               
   
Investment Companies - 1.1%
         
5,302,000
 
Prospect Capital Corp.(a) (b)
BBB
4.750%
04/15/2020
N/A
5,222,470
               
   
Leisure Time - 0.4%
         
1,607,000
 
Callaway Golf Co.(a)
NR
3.750%
08/15/2019
08/15/15 @ 100
1,873,159
               
   
Lodging - 1.2%
         
3,708,000
 
MGM Resorts International(a)
B+
4.250%
04/15/2015
N/A
5,513,333
               
   
Machinery-Diversified - 0.8%
         
2,963,000
 
Chart Industries, Inc.(a)
BB-
2.000%
08/01/2018
N/A
3,896,345
               
   
Media - 2.6%
         
2,983,000
 
Liberty Interactive, LLC(a)
BB
0.750%
03/30/2043
04/05/23 @ 100
4,168,742
4,500,000
 
Liberty Interactive, LLC(a) (b)
BB
1.000%
09/30/2043
10/05/16 @ 100
4,618,125
3,340,000
 
Liberty Media Corp.(b)
NR
1.375%
10/15/2023
N/A
3,427,675
             
12,214,542
               
   
Mining - 5.5%
         
1,200,000
 
Glencore Finance Europe SA (Luxembourg)
BBB
5.000%
12/31/2014
N/A
1,400,400
12,500,000
 
Goldcorp, Inc. (Canada)
NR
2.000%
08/01/2014
N/A
12,500,000
5,000,000
 
Newmont Mining Corp., Series B(a)
BBB
1.625%
07/15/2017
N/A
5,356,250
3,019,000
 
Royal Gold, Inc.(a)
NR
2.875%
06/15/2019
N/A
3,290,710
2,000,000
 
Stillwater Mining Co., Series SWC(a)
B+
1.750%
10/15/2032
10/20/19 @ 100
2,987,500
             
25,534,860
               
   
Miscellaneous Manufacturing - 0.5%
         
1,178,000
 
Trinity Industries, Inc.(a)
BB+
3.875%
06/01/2036
06/01/18 @ 100
2,181,509
               
   
Oil & Gas - 3.7%
         
7,161,000
 
Chesapeake Energy Corp.(a)
BB+
2.250%
12/15/2038
12/15/18 @ 100
6,923,792
2,750,000
 
Cobalt International Energy, Inc.(a)
CCC-
2.625%
12/01/2019
N/A
2,447,500
1,400,000
 
Cobalt International Energy, Inc.
CCC-
3.125%
05/15/2024
N/A
1,381,625
5,000,000
 
Energy XXI Bermuda Ltd. (Bermuda)(a) (b)
B-
3.000%
12/15/2018
N/A
4,743,750
1,441,000
 
Stone Energy Corp.
B-
1.750%
03/01/2017
N/A
1,663,454
             
17,160,121
               
   
Oil & Gas Services - 1.7%
         
1,000,000
 
Helix Energy Solutions Group, Inc.
NR
3.250%
03/15/2032
03/20/18 @ 100
1,318,750
2,560,000
 
Hornbeck Offshore Services, Inc.(a)
BB-
1.500%
09/01/2019
N/A
2,980,800
1,500,000
 
Newpark Resources, Inc.
B+
4.000%
10/01/2017
N/A
1,983,750
1,300,000
 
SEACOR Holdings, Inc.
BB-
2.500%
12/15/2027
12/19/17 @ 100
1,429,188
             
7,712,488
               
   
Pharmaceuticals - 3.8%
         
3,668,000
 
Array BioPharma, Inc.(a)
NR
3.000%
06/01/2020
N/A
3,452,505
2,974,000
 
Auxilium Pharmaceuticals, Inc.(a)
NR
1.500%
07/15/2018
N/A
3,174,745
921,000
 
Herbalife Ltd. (Cayman Islands)(a) (b)
NR
2.000%
08/15/2019
N/A
755,225
4,076,000
 
Omnicare, Inc.(a)
BB
3.500%
02/15/2044
02/15/19 @ 93
4,501,432
2,466,000
 
Orexigen Therapeutics, Inc.(a) (b)
NR
2.750%
12/01/2020
N/A
2,378,149
1,667,000
 
Salix Pharmaceuticals Ltd.(a)
NR
1.500%
03/15/2019
N/A
3,452,774
             
17,714,830
               
   
Real Estate - 1.3%
         
5,953,000
 
Forest City Enterprises, Inc.(a)
BB-
3.625%
08/15/2020
08/15/18 @ 100
6,217,164
               
   
Real Estate Investment Trusts - 8.0%
         
3,268,000
 
American Realty Capital Properties, Inc.(a)
NR
3.000%
08/01/2018
N/A
3,339,487
8,500,000
 
Annaly Capital Management, Inc.(a)
NR
5.000%
05/15/2015
N/A
8,648,750
EUR 1,600,000
 
Beni Stabili SpA (Italy)
NR
3.375%
01/17/2018
N/A
2,479,582
6,949,000
 
Colony Financial, Inc.(a)
NR
3.875%
01/15/2021
N/A
7,083,637
308,000
 
DDR Corp.
BBB-
1.750%
11/15/2040
11/20/15 @ 100
369,793
982,000
 
Host Hotels & Resorts, LP(a) (b)
BBB
2.500%
10/15/2029
10/20/15 @ 100
1,642,395
2,252,000
 
NorthStar Realty Finance, LP(b)
NR
5.375%
06/15/2033
06/15/23 @ 100
4,062,045
4,259,000
 
Spirit Realty Capital, Inc.(a)
NR
3.750%
05/15/2021
N/A
4,312,259
4,398,000
 
Starwood Property Trust, Inc.(a)
BB-
4.000%
01/15/2019
N/A
4,999,976
             
36,937,924
               
   
Semiconductors - 7.4%
         
275,000
 
GT Advanced Technologies, Inc.(a)
NR
3.000%
12/15/2020
N/A
384,141
1,270,000
 
Microchip Technology, Inc.
NR
2.125%
12/15/2037
N/A
2,247,900
8,636,000
 
Micron Technology, Inc., Series G(a)
BB
3.000%
11/15/2043
11/20/18 @ 83
10,649,267
1,447,000
 
Novellus Systems, Inc.
BBB
2.625%
05/15/2041
N/A
3,028,752
2,990,000
 
NVIDIA Corp.(a) (b)
BB+
1.000%
12/01/2018
N/A
3,251,625
2,864,000
 
ON Semiconductor Corp., Series B(a)
BB+
2.625%
12/15/2026
12/20/16 @ 100
3,264,960
2,600,000
 
Semiconductor Manufacturing International Corp., Series REGS (Cayman Islands)(e)
NR
0.000%
11/07/2018
N/A
2,879,500
108,000
 
SunEdison, Inc.(b)
NR
2.000%
10/01/2018
N/A
167,265
5,916,000
 
SunEdison, Inc.(a) (b)
NR
0.250%
01/15/2020
N/A
5,971,463
1,643,000
 
Xilinx, Inc.(a)
A-
2.625%
06/15/2017
N/A
2,423,425
             
34,268,298
               
   
Software - 8.1%
         
3,000,000
 
Akamai Technologies, Inc.(a) (b) (e)
NR
0.000%
02/15/2019
N/A
3,045,015
1,525,000
 
Allscripts Healthcare Solutions, Inc.(a)
NR
1.250%
07/01/2020
N/A
1,740,406
1,188,000
 
Bottomline Technologies de, Inc.
NR
1.500%
12/01/2017
N/A
1,361,745
9,287,000
 
Citrix Systems, Inc.(a) (b)
BBB
0.500%
04/15/2019
N/A
10,117,026
1,000,000
 
Concur Technologies, Inc.
NR
0.500%
06/15/2018
N/A
1,110,000
3,621,000
 
Cornerstone OnDemand, Inc.(a)
NR
1.500%
07/01/2018
N/A
3,951,416
HKD 21,000,000
 
Kingsoft Corp. Ltd. (Cayman Islands)
NR
1.250%
04/11/2019
N/A
2,574,719
4,000,000
 
Nuance Communications, Inc.(a)
BB-
2.750%
08/15/2027
09/04/14 @ 100
4,102,500
2,948,000
 
Proofpoint, Inc.(b)
NR
1.250%
12/15/2018
N/A
3,397,570
2,966,000
 
ServiceNow, Inc.(a) (b) (e)
NR
0.000%
11/01/2018
N/A
3,199,573
2,450,000
 
Workday, Inc.(a)
NR
0.750%
07/15/2018
N/A
3,027,281
             
37,627,251
               
   
Telecommunications - 6.4%
         
EUR 500,000
 
Alcatel-Lucent, Series ALU (France)
CCC+
4.250%
07/01/2018
N/A
2,063,197
3,000,000
 
Ciena Corp.(b)
NR
4.000%
03/15/2015
N/A
3,358,125
6,000,000
 
Ciena Corp.(a)
B
0.875%
06/15/2017
N/A
5,973,750
229,000
 
Ciena Corp.
NR
4.000%
12/15/2020
N/A
300,133
12,500,000
 
Clearwire Communications, LLC / Clearwire Finance, Inc.(a) (b)
Ba1
8.250%
12/01/2040
12/01/17 @ 100
14,468,750
394,000
 
Finisar Corp.(b)
NR
0.500%
12/15/2033
12/22/18 @ 100
385,874
500,000
 
Palo Alto Networks, Inc.(b) (e)
NR
0.000%
07/01/2019
N/A
510,000
EUR 1,500,000
 
Telecom Italia Finance SA, Series REGS (Luxembourg)
B+
6.125%
11/15/2016
N/A
2,356,720
             
29,416,549
               
   
Transportation - 0.2%
         
1,100,000
 
UTi Worldwide, Inc. (British Virgin Islands)(b)
NR
4.500%
03/01/2019
N/A
1,145,375
               
   
Total Convertible Bonds - 89.8%
         
   
(Cost $415,166,393)
       
415,897,237
               
   
Corporate Bonds - 40.8%
         
   
Aerospace & Defense - 1.2%
         
5,305,000
 
Kratos Defense & Security Solutions, Inc.(a) (b)
B
7.000%
05/15/2019
05/15/16 @ 105
5,503,937
               
   
Agriculture - 0.1%
         
625,000
 
Vector Group Ltd.(b)
B+
7.750%
02/15/2021
02/15/16 @ 106
665,625
               
   
Auto Manufacturers - 0.9%
         
1,250,000
 
Allied Specialty Vehicles, Inc.(a) (b)
B+
8.500%
11/01/2019
11/01/16 @ 104
1,331,250
2,500,000
 
Chrysler Group, LLC / CG Co.-Issuer, Inc.(a)
B
8.000%
06/15/2019
06/15/15 @ 104
2,675,000
             
4,006,250
               
   
Auto Parts & Equipment - 0.8%
         
1,075,000
 
Dana Holding Corp.(a)
BB+
6.750%
02/15/2021
02/15/16 @ 103
1,142,188
1,000,000
 
Goodyear Tire & Rubber Co.(a)
B+
8.250%
08/15/2020
08/15/15 @ 104
1,085,000
1,250,000
 
TRW Automotive, Inc.(a) (b)
BBB-
4.500%
03/01/2021
N/A
1,278,125
             
3,505,313
               
   
Banks - 2.2%
         
1,500,000
 
CIT Group, Inc.(a)
BB-
5.375%
05/15/2020
N/A
1,595,625
1,040,000
 
Credit Agricole SA (France)(a) (b) (g) (l)
BB+
7.875%
-
01/23/24 @ 100
1,106,040
7,282,000
 
Synovus Financial Corp.(a)
B+
5.125%
06/15/2017
N/A
7,500,460
             
10,202,125
               
   
Biotechnology - 0.3%
         
1,250,000
 
Novasep Holding SAS (France)(b)
B-
8.000%
12/15/2016
N/A
1,243,875
               
   
Building Materials - 1.8%
         
1,050,000
 
Boise Cascade Co.(a)
B+
6.375%
11/01/2020
11/01/15 @ 105
1,113,000
6,108,000
 
Cemex SAB de CV (Mexico)(a) (b) (g)
B+
4.984%
10/15/2018
N/A
6,538,614
EUR 625,000
 
Pfleiderer GmbH (Germany)(b)
CCC+
7.875%
08/01/2019
08/01/16 @ 104
813,253
             
8,464,867
               
   
Chemicals - 2.1%
         
1,250,000
 
Ashland, Inc.(a)
BB
4.750%
08/15/2022
05/15/22 @ 100
1,215,625
1,312,000
 
Celanese US Holdings, LLC
BB+
5.875%
06/15/2021
N/A
1,426,800
1,250,000
 
Celanese US Holdings, LLC(a)
BB+
4.625%
11/15/2022
N/A
1,250,000
1,250,000
 
Cornerstone Chemical Co., Series AI(a)
B-
9.375%
03/15/2018
03/15/15 @ 107
1,334,375
625,000
 
HIG BBC Intermediate Holdings, LLC / HIG BBC Holdings Corp.(b) (h)
NR
10.500%
09/15/2018
03/15/16 @ 105
643,750
625,000
 
Kissner Milling Co. Ltd. (Canada)(a) (b)
B-
7.250%
06/01/2019
06/01/16 @ 106
640,625
EUR 1,040,000
 
Novacap International SAS (France)(b) (g)
B
5.209%
05/01/2019
05/01/15 @ 101
1,422,829
1,900,000
 
Vertellus Specialties, Inc.(a) (b)
CCC+
9.375%
10/01/2015
10/01/14 @ 100
1,919,000
             
9,853,004
               
   
Coal - 0.2%
         
500,000
 
CONSOL Energy, Inc.(a) (b)
BB
5.875%
04/15/2022
04/15/17 @ 104
507,813
272,000
 
SunCoke Energy, Inc.(a)
B+
7.625%
08/01/2019
08/01/15 @ 104
288,524
             
796,337
               
   
Commercial Services - 1.5%
         
925,000
 
ADT Corp.(a)
BB-
6.250%
10/15/2021
N/A
959,687
1,250,000
 
Cenveo Corp.(b)
B
6.000%
08/01/2019
02/01/19 @ 100
1,215,625
325,000
 
Live Nation Entertainment, Inc.(b)
B+
5.375%
06/15/2022
06/15/17 @ 104
326,625
4,096,000
 
Prospect Medical Holdings, Inc.(a) (b)
B-
8.375%
05/01/2019
05/01/15 @ 106
4,454,400
             
6,956,337
               
   
Distribution & Wholesale - 0.1%
         
300,000
 
Global Partners, LP/GLP Finance Corp.(b)
B+
6.250%
07/15/2022
07/15/17 @ 105
298,125
               
   
Diversified Financial Services - 0.8%
         
1,450,000
 
Ally Financial, Inc.(a)
BB
7.500%
09/15/2020
N/A
1,676,562
625,000
 
Jefferies Finance, LLC / JFIN Co.-Issuer Corp.(a) (b)
B
6.875%
04/15/2022
04/15/17 @ 105
627,344
1,450,000
 
Nationstar Mortgage, LLC / Nationstar Capital Corp.(a)
B+
6.500%
06/01/2022
12/01/17 @ 103
1,417,375
             
3,721,281
               
   
Electric - 0.3%
         
1,250,000
 
Calpine Corp.(a) (b)
BB
7.875%
01/15/2023
01/15/17 @ 104
1,359,375
               
   
Engineering & Construction - 0.2%
         
1,077,000
 
MasTec, Inc.(a)
BB-
4.875%
03/15/2023
03/15/18 @ 102
1,062,191
               
   
Entertainment - 0.4%
         
1,250,000
 
Churchill Downs, Inc.(a) (b)
BB
5.375%
12/15/2021
12/15/16 @ 104
1,269,338
644,000
 
Six Flags Entertainment Corp.(a) (b)
BB-
5.250%
01/15/2021
01/15/16 @ 104
642,390
             
1,911,728
               
   
Environmental Control - 0.6%
         
1,250,000
 
Casella Waste Systems, Inc.(a)
CCC+
7.750%
02/15/2019
02/15/15 @ 104
1,293,750
1,250,000
 
Clean Harbors, Inc.(a)
BB+
5.125%
06/01/2021
12/01/16 @ 103
1,250,000
             
2,543,750
               
   
Food - 1.0%
         
1,500,000
 
Land O'Lakes Capital Trust I(a) (b)
BB
7.450%
03/15/2028
N/A
1,545,000
GBP 750,000
 
R&R Ice Cream PLC (United Kingdom)(a) (b)
B
5.500%
05/15/2020
05/15/16 @ 103
1,249,131
1,836,000
 
Simmons Foods, Inc.(b)
CCC
10.500%
11/01/2017
11/01/14 @ 105
1,962,225
             
4,756,356
               
   
Forest Products & Paper - 0.8%
         
1,875,000
 
Appvion, Inc.(b)
CCC+
9.000%
06/01/2020
12/01/16 @ 105
1,797,656
625,000
 
Catalyst Paper Corp. (Canada)(a) (h) (i)
NR
11.000%
10/30/2017
09/08/14 @ 100
503,125
1,200,000
 
Sappi Papier Holding GmbH (Austria)(a) (b)
BB
6.625%
04/15/2021
04/15/16 @ 103
1,275,000
300,000
 
Tembec Industries, Inc. (Canada)
CCC+
11.250%
12/15/2018
12/15/14 @ 106
323,250
             
3,899,031
               
   
Health Care Products - 0.4%
         
1,875,000
 
Biomet, Inc.(a)
B-
6.500%
08/01/2020
08/01/15 @ 105
2,027,156
               
   
Health Care Services - 2.6%
         
1,250,000
 
Fresenius Medical Care US Finance, Inc.(a) (b)
BB+
5.750%
02/15/2021
N/A
1,353,125
1,250,000
 
Gentiva Health Services, Inc.(a)
CCC+
11.500%
09/01/2018
09/01/15 @ 103
1,326,562
2,575,000
 
HCA Holdings, Inc.(a)
B-
7.750%
05/15/2021
11/15/15 @ 104
2,784,219
1,875,000
 
Health Net, Inc.(a)
BB
6.375%
06/01/2017
N/A
2,048,437
625,000
 
HealthSouth Corp.(a)
BB-
8.125%
02/15/2020
02/15/15 @ 104
662,500
1,875,000
 
IASIS Healthcare, LLC / IASIS Capital Corp.(a)
CCC+
8.375%
05/15/2019
05/15/15 @ 104
1,987,500
1,625,000
 
Tenet Healthcare Corp.(a)
B+
6.000%
10/01/2020
N/A
1,702,188
             
11,864,531
               
   
Home Furnishings - 0.2%
         
EUR 625,000
 
Magnolia BC SA (Luxembourg)(b)
B
9.000%
08/01/2020
08/01/16 @ 105
865,519
               
   
Household Products & Housewares - 0.4%
         
1,875,000
 
Reynolds Group Issuer, Inc.(a)
CCC+
9.000%
04/15/2019
10/15/15 @ 102
1,964,063
               
   
Internet - 0.3%
         
1,250,000
 
Equinix, Inc.(a)
BB
5.375%
04/01/2023
04/01/18 @ 103
1,262,500
               
   
Investment Companies - 0.3%
         
1,250,000
 
Covenant Surgical Partners, Inc.(b)
B-
8.750%
08/01/2019
08/01/16 @ 107
1,250,000
               
   
Iron & Steel - 0.3%
         
300,000
 
Commercial Metals Co.
BB+
4.875%
05/15/2023
02/15/23 @ 100
290,250
835,000
 
Steel Dynamics, Inc.(a)
BB+
6.375%
08/15/2022
08/15/17 @ 103
893,450
             
1,183,700
               
   
Leisure Time - 0.5%
         
1,250,000
 
Carlson Wagonlit BV (Netherlands)(a) (b)
B+
6.875%
06/15/2019
06/15/15 @ 105
1,335,938
GBP 625,000
 
Travelex Financing PLC (United Kingdom)(b)
B
8.000%
08/01/2018
08/01/15 @ 104
1,121,136
             
2,457,074
               
   
Lodging - 0.0%+
         
16
 
MTR Gaming Group, Inc.
B-
11.500%
08/01/2019
08/01/15 @ 106
18
               
   
Machinery-Construction & Mining - 0.2%
         
775,000
 
Permian Holdings, Inc.(a) (b)
B-
10.500%
01/15/2018
07/15/15 @ 108
790,500
               
   
Machinery-Diversified - 0.3%
         
1,250,000
 
Waterjet Holdings, Inc.(a) (b)
B
7.625%
02/01/2020
02/01/17 @ 104
1,318,750
               
   
Media - 1.6%
         
4,988,000
 
Clear Channel Communications, Inc.
CCC+
9.000%
12/15/2019
07/15/15 @ 105
5,137,640
312,000
 
Clear Channel Communications, Inc.
CCC+
11.250%
03/01/2021
03/01/16 @ 108
344,370
625,000
 
DISH DBS Corp.(a)
BB-
5.125%
05/01/2020
N/A
639,062
1,250,000
 
Starz, LLC / Starz Finance Corp.(a)
BB
5.000%
09/15/2019
09/15/15 @ 103
1,275,000
             
7,396,072
               
   
Mining - 1.0%
         
625,000
 
Barminco Finance Pty Ltd. (Australia)(a) (b)
B-
9.000%
06/01/2018
N/A
575,000
625,000
 
Compass Minerals International, Inc.(a) (b)
BB+
4.875%
07/15/2024
05/15/24 @ 100
615,625
589,000
 
First Quantum Minerals Ltd. (Canada)(a) (b)
B+
6.750%
02/15/2020
02/15/17 @ 103
603,725
589,000
 
First Quantum Minerals Ltd. (Canada)(a) (b)
B+
7.000%
02/15/2021
02/15/18 @ 104
609,615
1,250,000
 
FMG Resources August 2006 Pty Ltd. (Australia)(a) (b)
BB-
8.250%
11/01/2019
11/01/15 @ 104
1,345,313
1,250,000
 
St Barbara Ltd. (Australia)(a) (b)
B-
8.875%
04/15/2018
10/15/15 @ 107
993,750
             
4,743,028
               
   
Miscellaneous Manufacturing - 1.7%
         
2,265,000
 
Bombardier, Inc. (Canada)(a) (b)
BB-
4.750%
04/15/2019
N/A
2,197,050
925,000
 
Dispensing Dynamics International(a) (b)
B-
12.500%
01/01/2018
01/01/16 @ 106
1,009,406
3,912,000
 
LSB Industries, Inc.(a)
B+
7.750%
08/01/2019
08/01/16 @ 104
4,215,180
625,000
 
Polymer Group, Inc.(a) (b)
CCC+
6.875%
06/01/2019
12/01/15 @ 105
632,031
             
8,053,667
               
   
Oil & Gas - 7.4%
         
2,542,000
 
Alta Mesa Holdings, LP / Alta Mesa Finance Services Corp.(a)
CCC+
9.625%
10/15/2018
10/15/15 @ 102
2,669,100
300,000
 
American Energy-Permian Basin, LLC / AEPB Finance Corp.(b)
CCC+
7.125%
11/01/2020
01/31/17 @ 105
289,875
1,425,000
 
American Energy-Permian Basin, LLC / AEPB Finance Corp.(b)
CCC+
7.375%
11/01/2021
07/31/17 @ 104
1,376,906
800,000
 
BreitBurn Energy Partners, LP / BreitBurn Finance Corp.(a)
B-
7.875%
04/15/2022
01/15/17 @ 104
840,000
875,000
 
Chesapeake Energy Corp.
BB+
6.625%
08/15/2020
N/A
979,453
650,000
 
Chesapeake Energy Corp.
BB+
6.875%
11/15/2020
N/A
734,500
1,650,000
 
Clayton Williams Energy, Inc.(a)
B-
7.750%
04/01/2019
04/01/15 @ 104
1,740,750
975,000
 
Drill Rigs Holdings, Inc. (Marshall Islands)(a) (b)
B
6.500%
10/01/2017
10/01/15 @ 103
989,625
1,250,000
 
Energy XXI Gulf Coast, Inc.(a)
B
7.500%
12/15/2021
12/15/16 @ 106
1,312,500
465,000
 
Energy XXI Gulf Coast, Inc.(a) (b)
B
6.875%
03/15/2024
03/15/19 @ 103
463,837
1,250,000
 
Halcon Resources Corp.
CCC+
9.750%
07/15/2020
07/15/16 @ 105
1,343,750
7,052,000
 
Halcon Resources Corp.(a)
CCC+
8.875%
05/15/2021
11/15/16 @ 104
7,351,710
1,250,000
 
Lightstream Resources Ltd. (Canada)(a) (b)
B-
8.625%
02/01/2020
02/01/16 @ 104
1,300,000
250,000
 
Northern Blizzard Resources, Inc. (Canada)(a) (b)
B-
7.250%
02/01/2022
02/01/17 @ 105
264,375
1,550,000
 
Oasis Petroleum, Inc.(a) (b)
B+
6.875%
03/15/2022
09/15/17 @ 103
1,685,625
1,250,000
 
PBF Holding Co., LLC / PBF Finance Corp.(a)
BB+
8.250%
02/15/2020
02/15/16 @ 104
1,346,875
1,250,000
 
Penn Virginia Corp.(a)
B-
8.500%
05/01/2020
05/01/17 @ 104
1,390,625
1,225,000
 
QEP Resources, Inc.(a)
BB+
6.875%
03/01/2021
N/A
1,362,813
1,450,000
 
Range Resources Corp.(a)
BB
5.000%
08/15/2022
02/15/17 @ 103
1,493,500
1,250,000
 
Samson Investment Co.(a) (b)
CCC+
10.750%
02/15/2020
02/15/16 @ 105
1,271,875
1,100,000
 
SandRidge Energy, Inc.(a)
B-
8.125%
10/15/2022
04/15/17 @ 104
1,177,000
100,000
 
Seventy Seven Energy, Inc.(b)
B
6.500%
07/15/2022
07/15/17 @ 105
101,000
1,250,000
 
Tesoro Corp. (a)
BB+
5.375%
10/01/2022
10/01/17 @ 103
1,262,500
250,000
 
Unit Corp.(a)
BB-
6.625%
05/15/2021
05/15/16 @ 103
263,750
1,250,000
 
W&T Offshore, Inc.(a)
B-
8.500%
06/15/2019
06/15/15 @ 104
1,337,500
             
34,349,444
               
   
Oil & Gas Services - 0.6%
         
800,000
 
Forbes Energy Services Ltd.(a)
B
9.000%
06/15/2019
06/15/15 @ 105
816,000
190,000
 
Gulfmark Offshore, Inc.(a)
BB-
6.375%
03/15/2022
03/15/17 @ 103
190,950
1,500,000
 
SESI, LLC(a)
BBB-
6.375%
05/01/2019
05/01/15 @ 103
1,582,500
             
2,589,450
               
   
Pharmaceuticals - 0.6%
         
625,000
 
JLL/Delta Dutch Newco BV (Netherlands)(b)
CCC+
7.500%
02/01/2022
02/01/17 @ 106
646,094
1,875,000
 
Valeant Pharmaceuticals International(b)
B
6.750%
08/15/2021
02/15/16 @ 103
1,957,031
             
2,603,125
               
   
Pipelines - 0.7%
         
1,175,000
 
Eagle Rock Energy Partners, LP / Eagle Rock Energy Finance Corp.
B
8.375%
06/01/2019
06/01/15 @ 104
1,263,125
300,000
 
Genesis Energy, LP / Genesis Energy Finance Corp.
B
5.750%
02/15/2021
02/15/17 @ 103
304,500
1,250,000
 
Regency Energy Partners, LP / Regency Energy Finance Corp.(a)
BB
5.750%
09/01/2020
06/01/20 @ 100
1,306,250
400,000
 
Tesoro Logistics, LP / Tesoro Logistics Finance Corp.
BB-
5.875%
10/01/2020
10/01/16 @ 103
414,000
             
3,287,875
               
   
Real Estate - 0.2%
         
750,000
 
Kennedy-Wilson, Inc.(a)
BB-
8.750%
04/01/2019
04/01/15 @ 104
807,188
               
   
Real Estate Investment Trusts - 0.2%
         
450,000
 
DuPont Fabros Technology, LP(a)
BB
5.875%
09/15/2021
09/15/16 @ 104
461,250
570,000
 
Omega Healthcare Investors, Inc.(a)
BBB-
5.875%
03/15/2024
03/15/17 @ 103
597,075
             
1,058,325
               
   
Retail - 0.1%
         
625,000
 
First Cash Financial Services, Inc.(a) (b)
BB-
6.750%
04/01/2021
04/01/17 @ 105
667,188
               
   
Semiconductors - 0.2%
         
375,000
 
Advanced Micro Devices, Inc.(b)
B
7.000%
07/01/2024
07/01/19 @ 104
366,562
625,000
 
Micron Technology, Inc.(b)
BB
5.500%
02/01/2025
08/01/19 @ 103
623,438
             
990,000
               
   
Software - 2.0%
         
77,000
 
Activision Blizzard, Inc.(a) (b)
BB+
6.125%
09/15/2023
09/15/18 @ 103
83,160
868,000
 
First Data Corp.(a)
B-
11.250%
01/15/2021
01/15/16 @ 108
985,180
7,000,100
 
First Data Corp.(a)
CCC+
11.750%
08/15/2021
05/15/16 @ 109
8,207,617
             
9,275,957
               
   
Telecommunications - 2.4%
         
1,311,000
 
Altice SA (Luxembourg)(a) (b)
B
7.750%
05/15/2022
05/15/17 @ 106
1,343,775
1,350,000
 
EarthLink Holdings Corp.(a)
B+
7.375%
06/01/2020
06/01/16 @ 106
1,437,750
300,000
 
Hughes Satellite Systems Corp.(a)
B+
6.500%
06/15/2019
N/A
332,625
3,125,000
 
Sprint Communications, Inc.(a) (b)
BB+
9.000%
11/15/2018
N/A
3,671,875
1,250,000
 
Telecom Italia SpA (Italy)(a) (b)
BB+
5.303%
05/30/2024
N/A
1,215,625
650,000
 
Telesat Canada / Telesat, LLC (Canada)(a) (b)
B
6.000%
05/15/2017
05/15/15 @ 102
666,575
1,275,000
 
T-Mobile USA, Inc.(a)
BB
6.633%
04/28/2021
04/28/17 @ 103
1,343,531
500,000
 
Windstream Corp.(a)
B
7.750%
10/01/2021
10/01/16 @ 104
541,875
650,000
 
Windstream Corp.(a)
B
7.500%
06/01/2022
06/01/17 @ 104
702,813
             
11,256,444
               
   
Transportation - 1.3%
         
475,000
 
Eletson Holdings (Liberia)(a) (b)
B
9.625%
01/15/2022
01/15/18 @ 105
502,312
715,000
 
Navios Maritime Acquisition Corp. / Navios Acquisition Finance US, Inc. (Marshall Islands)(a) (b)
B+
8.125%
11/15/2021
11/15/16 @ 106
727,513
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
642,187
1,250,000
 
Navios Maritime Holdings, Inc. / Navios Maritime Finance II US, Inc. (Marshall Islands)(a) (b)
BB-
7.375%
01/15/2022
01/15/17 @ 106
1,275,000
450,000
 
Navios South American Logistics, Inc. / Navios Logistics Finance US, Inc. (Marshall Islands)(b)
B+
7.250%
05/01/2022
05/01/17 @ 105
460,125
400,000
 
Swift Services Holdings, Inc.(a)
B+
10.000%
11/15/2018
11/15/14 @ 105
429,000
NOK 12,000,000
 
Teekay Corp. (Marshall Islands)(g)
NR
6.480%
10/09/2015
N/A
1,950,604
             
5,986,741
               
   
Total Corporate Bonds - 40.8%
         
   
(Cost $186,276,373)
       
188,797,822
               
Number
             
of Shares
 
Description
       
Value
   
Term Loans - 0.7%(j)
         
902,468
 
Caraustar Industries, Inc.
B+
7.500%
05/01/2019
N/A
             911,869
1,250,000
 
Energy & Exploration Partners
NR
7.750%
01/22/2019
N/A
1,232,812
1,250,000
 
Sprint Industrial Holdings LLC
CCC+
11.250%
05/14/2019
N/A
1,262,500
   
(Cost $3,355,339)
       
3,407,181
               
   
Convertible Preferred Stocks - 9.0%
         
   
Aerospace & Defense - 1.1%
         
83,250
 
United Technologies Corp.(a)
BBB+
7.500%
08/01/2015
 
4,938,390
               
   
Electric - 1.5%
         
40,950
 
Dominion Resources, Inc.(a)
BBB
6.375%
-
 
2,076,165
33,700
 
Exelon Corp.
BBB-
6.500%
-
 
1,653,996
50,000
 
NextEra Energy, Inc.(a)
BBB
5.889%
-
 
3,011,000
             
6,741,161
               
   
Food - 0.7%
         
69,524
 
Tyson Foods, Inc.
NR
4.750%
-
 
3,399,049
               
   
Gas - 0.4%
         
38,150
 
Laclede Group, Inc.
NR
6.750%
-
 
2,063,915
               
   
Hand & Machine Tools - 1.2%
         
38,605
 
Stanley Black & Decker, Inc.(a)
Baa3
4.750%
11/17/2015
 
5,063,046
2,801
 
Stanley Black & Decker, Inc.
BBB+
6.250%
11/17/2016
 
317,633
             
5,380,679
               
   
Insurance - 0.5%
         
74,583
 
MetLife, Inc.(a)
BBB-
5.000%
10/08/2014
 
2,256,882
               
   
Oil & Gas - 2.8%
         
6,977
 
Chesapeake Energy Corp.(a) (b) (l)
B+
5.750%
-
 
8,328,794
9,667
 
Energy XXI Bermuda Ltd. (Bermuda)(l)
CCC
5.625%
-
 
2,471,127
22,000
 
Penn Virginia Corp., Series B(a) (b) (k) (l)
 
6.000%
-
 
2,203,564
             
        13,003,485
               
   
Real Estate Investment Trusts - 0.8%
         
35,500
 
American Tower Corp., Series A(a)
NR
5.250%
-
 
3,917,425
               
   
Total Convertible Preferred Stocks - 9.0%
         
   
(Cost $42,077,606)
       
41,700,986
               
   
Common Stocks - 9.9%
         
   
Aerospace & Defense - 0.3%
         
8,250
 
Lockheed Martin Corp.
       
1,377,502
               
   
Airlines - 0.3%
         
39,712
 
Delta Air Lines, Inc.
       
1,487,612
               
   
Auto Manufacturers - 0.9%
         
58,514
 
Ford Motor Co.
       
995,909
89,793
 
General Motors Co.(a)
       
3,036,799
             
4,032,708
               
   
Banks - 0.4%
         
36,825
 
Citigroup, Inc.
       
1,801,111
               
   
Beverages - 0.2%
         
11,700
 
PepsiCo, Inc.
       
1,030,770
               
   
Electric - 0.2%
         
19,000
 
Consolidated Edison, Inc.
       
1,065,710
               
   
Internet - 0.9%
         
10,225
 
Amazon.com, Inc.(k)
       
3,200,322
22,975
 
Yahoo!, Inc.(f) (k)
       
822,735
             
4,023,057
               
   
Lodging - 0.4%
         
9,550
 
Wynn Resorts Ltd.
       
2,036,060
               
   
Media - 0.6%
         
31,850
 
DIRECTV(a) (k)
       
2,740,692
               
   
Oil & Gas - 0.6%
         
300,000
 
Lightstream Resources Ltd. (Canada)
       
1,984,109
40,700
 
Par Petroleum Corp.(k)
       
767,195
             
2,751,304
               
   
Oil & Gas Services - 0.4%
         
42,900
 
Hornbeck Offshore Services, Inc.(a) (k)
       
1,874,730
               
   
Pharmaceuticals - 0.7%
         
39,000
 
Merck & Co., Inc.(f)
       
2,212,860
7,514
 
Pharmacyclics, Inc.(k)
       
904,986
             
3,117,846
               
   
Real Estate Investment Trusts - 0.1%
         
34,100
 
NorthStar Realty Finance Corp.(a) (k)
       
549,010
               
   
Retail - 2.0%
         
35,000
 
L Brands, Inc.
       
2,028,950
25,207
 
Lululemon Athletica, Inc. (Canada)(a) (k)
       
969,713
44,025
 
Macy's, Inc.
       
2,544,205
58,200
 
Target Corp.
       
3,468,138
             
9,011,006
               
   
Semiconductors - 0.4%
         
43,875
 
Texas Instruments, Inc.(f)
       
2,029,219
               
   
Telecommunications - 1.5%
         
58,500
 
T-Mobile US, Inc.(k)
       
1,926,990
43,875
 
Verizon Communications, Inc.(a)
       
2,212,177
86,175
 
Vodafone Group PLC, ADR (United Kingdom)(f)
       
2,862,734
             
7,001,901
               
   
Total Common Stocks - 9.9%
         
   
(Cost $45,809,394)
       
45,930,238
               
   
Right - 0.0%+
         
   
Oil & Gas - 0.0%+
         
46,700
 
Par Petroleum Corp. (k)
       
28,585
   
(Cost $0)
         
               
   
Total Long-Term Investments - 150.2%
         
   
(Cost $692,685,105)
       
695,762,049
               
Contracts
 
Options Purchased
 
Expiration
Date
Exercise
Price
 
Value
   
Put Options Purchased - 0.2%
         
3,187
 
SPDR S&P 500 ETF Trust
 
September 2014
$189.00
 
             940,165
   
(Cost $827,476)
         
               
Number
             
of Shares
 
Description
       
Value
   
Short-Term Investments - 6.2%
         
   
Money Markets - 6.2%
         
18,743,907
 
Goldman Sachs Financial Prime Obligations - Administration Share Class(m)
       
        18,743,907
10,074,181
 
Goldman Sachs Prime Obligations - Administration Share Class(m)
       
10,074,181
   
(Cost $28,818,088)
       
28,818,088
               
   
Total Investments - 156.6%
         
   
(Cost $722,330,669)
       
725,520,302
   
Assets in excess of other Liabilities - 0.1%
       
201,922
   
Total Value of Options Written - (0.1%) (Premiums received $438,635)
       
            (294,742)
   
Margin Loan - (36.7% of Net Assets or 23.4% of Total Investments)
       
     (170,000,000)
   
Reverse Repurchase Agreements - (19.9% of Net Assets or 12.7% of Total Investments)
       
       (92,000,000)
   
Net Assets  - 100.0%
       
$    463,427,482
 
 
ADR - American Depositary Receipt
     
 
AG - Stock Corporation
       
 
BV - Limited Liability Company
     
 
CHF - Swiss Franc
         
 
EUR - Euro
         
 
GBP - Great Britain Pound
     
 
GmbH - Limited Liability
       
 
HKD - Hong Kong Dollar
       
 
LLC - Limited Liability Company
     
 
LP - Limited Partnership
       
 
N/A- Not Applicable
         
 
NOK - Norwegian Krone
       
 
NV - Publicly Traded Company
     
 
PLC - Public Limited Company
     
 
Pty - Proprietary
         
 
S&P - Standard & Poor's
       
 
SA - Corporation
         
 
SpA - Limited Share Company
     
 
SAB de CV - Publicly Traded 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.
     
+
Less than 0.1%
         
*
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.
 
(a)
All or a portion of these securities have been physically segregated in connection with borrowings and reverse repurchase agreements.  As of July 31, 2014, the total amount segregated was $455,659,599.
(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.  As of July 31, 2014 these securities amounted to $217,570,255, which represents 47.0% of net assets.
(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)
Security becomes an accreting bond after December 15, 2016 with a 2.00% principal accretion rate.
     
(e)
Zero coupon bond.
         
(f)
All or a portion of this security represents cover for outstanding written options.
     
(g)
Floating or variable rate coupon.  The rate shown is as of July 31, 2014.
     
(h)
Security is a pay-in-kind bond.
     
(i)
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.
(j)
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.
(k)
Non-income producing security.
     
(l)
Security is perpetual and, thus does not have a predetermined maturity date.
     
(m)
All or a portion of these securities have been physically segregated as collateral for forward exchange currency contracts. As of July 31, 2014, the total amount segregated was $28,818,088.
             
 
See previously submitted notes to financial statements for the period ended April 30, 2014.
     
             
 
 
 
 

 
 
 
 
Contracts (100 shares per contract)
Options Written(a)
Expiration
Month
Exercise
Price
Value
   
Call Options Written - (0.1%)
     
388
 
Merck & Co., Inc.
October 2014
$60.00
$   (20,176)
34
 
Priceline Group, Inc.
October 2014
1,280.00
(190,400)
437
 
Texas Instruments, Inc.
January 2015
50.00
(44,574)
368
 
Vodafone Group PLC
January 2015
42.00
(5,152)
246
 
Yahoo!, Inc.
October 2014
40.00
(34,440)
   
Total Value of Options Written - (0.1%)
     
   
(Premiums received $438,635)
   
$(294,742)
(a)
Non-income producing security.
     
 
 
 
 

 
 
 
 
At July 31, 2014, the cost and related gross unrealized appreciation and depreciation on investments for tax purposes, excluding written options, forward exchange currency contracts and foreign currency translations are as follows:
         
Cost of Investments
 for Tax Purposes
Gross Tax
Unrealized
Appreciation
Gross Tax
Unrealized
Depreciation
Net Tax Unrealized
Appreciation on
|Investments
Net Tax Unrealized
Appreciation on
Derivatives and
Foreign Currency
 $                                             724,833,740
 $      19,433,852
 $  (18,747,290)
 $           686,562
 $           483,539
         
 
Equity securities listed on an exchange are valued at the last reported sale price on the primary exchange on which they are traded. Equity securities traded on an exchange or on the over-the-counter market and for which there are no transactions on a given day are valued at the mean of the closing bid and ask prices. Securities traded on NASDAQ are valued at the NASDAQ Official Closing Price. Debt securities are valued by independent pricing services or dealers using the mean of the closing bid and ask prices for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. If sufficient market activity is limited or does not exist, the pricing providers or broker-dealers may utilize proprietary valuation models which consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, or other unique security features in order to estimate relevant cash flows, which are then discounted to calculate a security’s fair value. Exchange-traded funds and listed closed-end funds are valued at the last sale price or official closing price on the exchange where the security is principally traded. Exchange-traded options are valued at the closing price, if traded that day. If not traded, they are valued at the mean of the bid and ask prices on the primary exchange on which they are traded. Futures contracts are valued using the settlement price established each day on the exchange on which they are traded. Swaps are valued daily by independent pricing services or dealers using the mid price. Forward exchange currency contracts are valued daily at current exchange rates. The Fund values money market funds at net asset value. Short-term securities with remaining maturities of 60 days or less at the time of purchase are valued at amortized cost, which approximates market value.
 
The Board of Trustees of the Fund (“Board”) has adopted Valuation Procedures (the “Procedures”) to establish the method by which the portfolio securities of the Fund will be valued in accordance with the Investment Company Act of 1940 and the rules and regulations thereunder. The Board has delegated the day-to-day responsibility for the valuation of the Fund’s portfolio securities to Advent Capital Management, LLC, in its capacity as the investment adviser or investment manager to the Fund (the “Adviser”). The Adviser is required to make valuation determinations in accordance with the Procedures acting through its valuation committee (the “Committee”). Among other things, the Committee will determine in good faith the fair value of Fund portfolio securities for which market quotations are not readily available in accordance with the Procedures. The Procedures state that the current fair value of a portfolio security is the amount which the Fund might reasonably expect to receive upon the current sale of the security when both the buyer and the seller have no compulsion to buy or sell and both parties have reasonable knowledge of the relevant facts. Information about the Committee’s fair value determinations is presented to the Board on a quarterly basis.
 
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) fair value. Such fair value is the amount that the Fund might reasonably expect to receive for the security (or asset) upon its current sale. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one security to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security). There were no securities fair valued in accordance with such procedures established by the Board of Trustees as of July 31, 2014.
 
GAAP requires disclosure of fair valuation measurements as of each measurement date. In compliance with GAAP, the Fund follows a fair value hierarchy that distinguishes between market data obtained from independent sources (observable inputs) and the Fund’s own market assumptions (unobservable inputs). These inputs are used in determining the value of the Fund’s investments and summarized in the following fair value hierarchy:
 
Level 1 - quoted prices in active markets for identical securities;
 
Level 2 - quoted prices in inactive markets or other significant observable inputs (e.g. quoted prices for similar securities; interest rates; prepayment speed; credit risk; yield curves);
 
Level 3 - significant unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair value).
 
Observable inputs are those based upon market data obtained from independent sources, and unobservable inputs reflect the Fund’s own assumptions based on the best information available. A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
 
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.
 
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.
 
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.
 
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, 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.
 
The Fund did not hold any Level 3 securities during the period ended July 31, 2014.
 
Transfers between levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
 
The following table represents the Fund’s investments carried by caption and by level within the fair value hierarchy as of July 31, 2014:
 
 
   
Quoted Prices in
Active Markets for
Identical Assets
   
Significant
Other
Observable
Inputs
     
Significant
Unobservable
Inputs
     
Description
 
(Level 1)
   
(Level 2)
   
(Level 3)
   
Total
 
(Value in $000s)
                       
Assets:
                       
Convertible Bonds
  $ -     $ 415,897     $ -     $ 415,897  
Corporate Bonds
    -       188,798       -       188,798  
Term Loans
    -       3,407       -       3,407  
Convertible Preferred Stocks
    41,701       -       -       41,701  
Common Stocks
    45,930       -