Semiannual
Report
April 30, 2010
(Unaudited)
|
Advent/Claymore
Enhanced
Growth & Income
Fund
|
LCM
|
|
|
www.claymore.com/lcm
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|
•
|
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|
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|
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Fund and adviser contact
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Dear
Shareholder
|
|||
Tracy
V. Maitland
President
and Chief Executive Officer
|
We thank you for your investment
in the Advent/Claymore Enhanced Growth & Income Fund (the “Fund”).
This report covers the Fund’s performance for the semiannual period ended
April 30, 2010.
Advent Capital Management, LLC
serves as the Fund’s Investment Manager. Based in New York, New York, with
additional investment personnel in London, England, Advent is a
credit-oriented firm specializing in the management of global convertible,
high-yield and equity securities across three lines of business—long-only
strategies, hedge funds and closed-end funds. As of April 30, 2010, Advent managed
approximately $5.25 billion in assets.
Claymore Advisors, LLC
(“Claymore”) serves as the Investment Adviser to the Fund. Claymore
Securities, Inc. is an affiliate of Claymore Advisors, LLC. Claymore and
its associated entities are wholly-owned subsidiaries of Guggenheim
Partners, LLC (“Guggenheim Partners”), a global, diversified financial
services firm with more than $100 billion in assets under supervision. At
its reconvened special meeting of shareholders held on March 12, 2010, shareholders of the Fund
approved a new investment advisory agreement between the Fund and
Claymore. Shareholder approval of the investment advisory agreement was
needed because the October 2009 acquisition of Claymore by Guggenheim
Partners resulted in the automatic termination of the previous investment
advisory agreement between the Fund and Claymore. Claymore Securities,
Inc. offers strategic investment solutions for financial advisors and
their clients. In total, Claymore entities provide supervision,
management, or servicing on approximately $15.9 billion in assets as of
March 31, 2010.
The Fund’s primary investment
objective is to seek current income and current gains from trading
securities, with a secondary objective of long-term capital appreciation. Under normal market
conditions, the Fund invests at least 70% of its managed assets in a
diversified portfolio of equity securities and convertible securities of
U.S. and non-U.S. issuers and up to 30% of assets in non-convertible high
yield securities.
Additionally, the Fund intends to engage in a strategy of writing
(selling) covered call options on at least 50% of the securities held in
the portfolio of the Fund, thus generating option writing premiums. Advent
seeks international investment opportunities in each asset class, with an
emphasis on large multinational companies. Appreciation potential is
provided by investments in convertibles and common stock, while the
allocation to high-yield securities is primarily a source of income. The
balance between convertible securities, equities and high-yield securities
and the degree to which the Fund engages in a covered call strategy will
vary from time to time based on security valuations, interest rates,
equity market volatility and other economic and market factors. This
ability to move among the three asset classes is quite beneficial to the
Fund’s ability to balance return and risk. An important new strategy for
the Fund is the use of leverage (borrowing), which is being utilized to
finance the purchase of additional securities that provide increased
income and potentially greater appreciation potential for common
shareholders than could be achieved from an unleveraged
portfolio.
All Fund returns cited—whether
based on net asset value (“NAV”) or market price—assume the
reinvestment of all distributions. For the six-month period ending April
30, 2010, the Fund generated a total return based on market price of
20.10% and a return of 12.48% based on NAV. As of April 30, 2010, the
Fund’s market price of $12.01 represented a discount of 4.76% to NAV of
$12.61. As of October 31, 2009, the Fund’s market price of $10.48
repre-
|
sented a discount of 10.58% to NAV
of $11.72. The market value of the Fund’s shares fluctuates from time to
time, and it may be higher or lower than the Fund’s
NAV.
The Fund paid quarterly dividends
of $0.264 in November 2009 and February 2010. The most recent dividend
represents an annualized distribution rate of 8.79% based on the Fund’s
closing market price of $12.01 on April 30, 2010. There is no guarantee of
any future distributions or that the current returns and distribution rate
will be maintained.
We encourage shareholders to
consider the opportunity to reinvest their distributions from the Fund
through the Dividend Reinvestment Plan (“DRIP”), which is described in
detail on page 30 of the Fund’s semiannual report. When shares trade at a
discount to NAV, the DRIP takes advantage of the discount by reinvesting
the quarterly dividend distribution in common shares of the Fund purchased
in the market at a price less than NAV. Conversely, when the market price
of the Fund’s common shares is at a premium above NAV, the DRIP reinvests
participants’ dividends in newly-issued common
shares at NAV, subject to an IRS limitation that the purchase price cannot
be more than 5% below the market price per share. The DRIP provides a
cost-effective means to accumulate additional shares and enjoy the
benefits of compounding returns over time. The DRIP plan effectively
provides an income averaging technique, which causes shareholders to
accumulate a larger number of Fund shares when the market price is
depressed than when the price is higher.
The Fund is managed by a team of
experienced and seasoned professionals led by myself in my capacity as
Chief Investment Officer (as well as President and Founder) of Advent
Capital Management, LLC. We encourage you to read the following
Questions
& Answers section, which provides more
information about the factors that impacted the Fund’s
performance.
We thank you for your investment
in the Fund and we are honored that you have chosen the Advent/Claymore
Enhanced Growth & Income Fund as part of your investment portfolio.
For the most up-to-date information on your investment, please visit the
Fund’s website at www.claymore.com/lcm.
|
Sincerely,
|
|
Tracy V.
Maitland
|
President and Chief Executive
Officer of the
Advent/Claymore Enhanced Growth & Income
Fund
|
May 31,
2010
|
Questions
& Answers
|
What is a covered
call?
|
A
call is an option (or contract) that gives its holder the right, but
not the
obligation, to buy shares of the underlying security at a specified
price
on or before a pre-determined expiration date. After this predeter-
mined
date, the option and its corresponding rights expire. A covered
call
is when the seller of the call option also owns the security on
which the
call is written. Covered call strategies are generally used as a
hedge—to
limit losses by obtaining premium income from the sale of calls,
while still maintaining upside
potential.
|
Fund
Summary
|
As of April 30, 2010 (unaudited)
|
Fund
Statistics
|
||
Share Price
|
$12.01
|
|
Common Share Net Asset
Value
|
$12.61
|
|
Premium/Discount to
NAV
|
-4.76%
|
|
Net Assets ($000)
|
$171,498
|
Total
Returns
|
||
(Inception 1/31/05)
|
Market
|
NAV
|
Six- Month
non-annualized
|
20.10%
|
12.48%
|
One Year
|
56.83%
|
32.34%
|
Three Year - average
annual
|
-5.59%
|
-6.21%
|
Five Year - average
annual
|
2.58%
|
2.04%
|
Since Inception - average
annual
|
-0.01%
|
0.75%
|
% of Long
Term
|
||
Top Ten
Industries
|
Investments
|
|
Telecommunications
|
6.9%
|
|
Banks
|
5.9%
|
|
Pharmaceuticals
|
5.8%
|
|
Oil &
Gas
|
5.7%
|
|
Insurance
|
5.6%
|
|
Exchange-Traded
Funds
|
4.9%
|
|
Biotechnology
|
4.1%
|
|
Healthcare-Products
|
3.7%
|
|
Mining
|
3.5%
|
|
Computers
|
3.4%
|
% of Long
Term
|
||
Top Ten
Issuers
|
Investments
|
|
Citigroup,
Inc.
|
2.5%
|
|
EMC Corp.
|
2.2%
|
|
Bank of America
Corp.
|
2.0%
|
|
International Game
Technology
|
1.9%
|
|
Lucent Technologies Capital Trust
I
|
1.8%
|
|
Wells Fargo &
Co.
|
1.6%
|
|
Apria Healthcare Group,
Inc.
|
1.5%
|
|
JPMorgan Chase &
Co.
|
1.5%
|
|
Beckman Coulter,
Inc.
|
1.5%
|
|
Clear Channel Worldwide Holdings,
Inc.
|
1.5%
|
Portfolio
of Investments
|
As of April 30, 2010 (unaudited)
|
Principal
|
|||
Amount
|
Value
|
Long-Term Investments —
125.2%
|
|||||
Convertible Bonds — 60.6%
|
|||||
Agriculture – 1.3%
|
|||||
CNY
|
15,000,000
|
China Green Holdings Ltd., Ser.
CGHL, NR
|
|||
0.00%, 10/29/10 (Bermuda) (c
)
|
$
|
2,265,356
|
|||
Airlines – 0.6%
|
|||||
$
|
1,000,000
|
UAL Corp.,
CCC
|
|||
4.50%, 6/30/21
(a)
|
1,011,200
|
||||
Apparel – 1.2%
|
|||||
HK$
|
13,000,000
|
Yue Yuen Industrial Holdings Ltd.,
NR
|
|||
0.00%, 11/17/11
(Bermuda)
|
2,007,181
|
||||
Auto Manufacturers – 1.6%
|
|||||
$
|
900,000
|
Ford Motor Co.,
CCC
|
|||
4.25%, 11/15/16
(a)
|
1,400,625
|
||||
$
|
1,100,000
|
Navistar International Corp.,
B
|
|||
3.00%, 10/15/14
(a)
|
1,289,750
|
||||
2,690,375
|
|||||
Biotechnology – 4.6%
|
|||||
$
|
1,075,000
|
American Oriental Bioengineering,
Inc., NR
|
|||
5.00%, 7/15/15
(e)
|
874,781
|
||||
$
|
1,000,000
|
Amgen, Inc.,
A+
|
|||
0.375%,
2/1/13
|
1,006,250
|
||||
$
|
2,500,000
|
Amylin Pharmaceuticals, Inc.,
NR
|
|||
3.00%, 6/15/14
(a)
|
2,200,000
|
||||
$
|
450,000
|
Human Genome Sciences, Inc.,
NR
|
|||
2.25%,
10/15/11
|
830,812
|
||||
$
|
2,450,000
|
Life Technologies Corp.,
BBB-
|
|||
3.25%,
6/15/25
|
2,958,375
|
||||
7,870,218
|
|||||
Building Materials – 1.3%
|
|||||
$
|
1,996,000
|
Cemex SAB de CV,
NR
|
|||
4.875%, 3/15/15 (Mexico)
(a)(e)
|
2,290,410
|
||||
Chemicals – 0.4%
|
|||||
HK$
|
4,450,000
|
Sinofert Holdings Ltd.,
NR
|
|||
0.00%, 8/7/11
(Bermuda)
|
770,611
|
||||
Coal – 1.0%
|
|||||
$
|
1,000,000
|
Massey Energy Co.,
BB-
|
|||
3.25%, 8/1/15 (a)
|
841,250
|
||||
$
|
800,000
|
Peabody Energy Corp.,
B+
|
|||
4.75%, 12/15/41
(a)
|
875,000
|
||||
1,716,250
|
|||||
Computers – 2.3%
|
|||||
$
|
2,000,000
|
EMC Corp.,
A-
|
|||
1.75%, 12/1/11
(a)
|
2,522,500
|
||||
$
|
700,000
|
EMC Corp.,
A-
|
|||
1.75%, 12/1/13
(a)
|
911,750
|
||||
$
|
400,000
|
Maxtor Corp./Seagate Technology,
B
|
|||
2.375%, 8/15/12 (Cayman Islands)
(a)
|
466,000
|
||||
3,900,250
|
Electrical Components &
Equipment – 1.6%
|
|||||
CNY
|
15,900,000
|
China High Speed Transmission
Equipment Group Co., Ltd., Ser. CHIS, NR
|
|||
0.00%, 5/14/11 (Cayman Islands) (c
)
|
2,789,990
|
||||
Electronics – 1.5%
|
|||||
JPY
|
220,000,000
|
|
Toshiba Corp.,
BBB
|
||
0.00%, 7/21/11
(Japan)
|
2,587,037
|
||||
Engineering & Construction
– 1.1%
|
|||||
$
|
1,400,000
|
Jaiprakash Associates Ltd.,
NR
|
|||
0.00%, 9/12/12
(India)
|
1,830,500
|
||||
Entertainment – 2.3%
|
|||||
$
|
3,150,000
|
International Game Technology,
BBB
|
|||
3.25%, 5/1/14
(a)(e)
|
4,012,312
|
||||
Forest Products & Paper
– 1.2%
|
|||||
$
|
1,925,000
|
Sino-Forest Corp.,
BB
|
|||
4.25%, 12/15/16 (Canada)
(e)
|
2,054,938
|
||||
Healthcare – Products – 3.7%
|
|||||
$
|
2,900,000
|
Beckman Coulter, Inc.,
BBB
|
|||
2.50%,
12/15/36
|
3,240,750
|
||||
$
|
1,950,000
|
Hologic, Inc.,
BB-
|
|||
2.00%, 12/15/37
(f)
|
1,755,000
|
||||
$
|
1,130,000
|
NuVasive, Inc.,
NR
|
|||
2.25%,
3/15/13
|
1,269,838
|
||||
6,265,588
|
|||||
Holdings Companies – Diversified – 0.9%
|
|||||
€
|
1,000,000
|
Industrivarden AB, Ser. INDU,
A
|
|||
2.50%, 2/27/15
(Sweden)
|
1,524,447
|
||||
Insurance – 1.1%
|
|||||
$
|
1,625,000
|
MGIC Investment Corp.,
CCC+
|
|||
5.00%, 5/1/17
(a)
|
1,807,813
|
||||
Internet – 0.8%
|
|||||
$
|
1,225,000
|
Symantec Corp.,
NR
|
|||
1.00%, 6/15/13
(a)
|
1,310,750
|
||||
Iron/Steel – 0.8%
|
|||||
$
|
1,200,000
|
Steel Dynamics, Inc.,
BB+
|
|||
5.125%, 6/15/14
(a)
|
1,378,500
|
||||
Lodging – 3.2%
|
|||||
HK$
|
18,100,000
|
Champion Path Holdings Ltd.,
NR
|
|||
0.00%, 10/28/15 (Hong
Kong)
|
2,590,338
|
||||
$
|
2,611,000
|
MGM Mirage,
CCC+
|
|||
4.25%, 4/15/15
(a)(e)
|
2,842,727
|
||||
5,433,065
|
|||||
Media – 0.6%
|
|||||
$
|
1,050,000
|
XM Satellite Radio, Inc.,
CCC+
|
|||
7.00%, 12/1/14 (e)
|
1,119,563
|
||||
Mining – 4.0%
|
|||||
$
|
2,200,000
|
Enercoal Resources Pte Ltd.,
NR
|
|||
9.25%, 8/5/14
(Indonesia)
|
2,240,049
|
||||
$
|
1,325,000
|
Goldcorp, Inc.,
BBB+
|
|||
2.00%, 8/1/14 (Canada)
(a)(e)
|
1,578,406
|
||||
$
|
1,600,000
|
Jaguar Mining, Inc.,
NR
|
|||
4.50%, 11/1/14 (Canada)
(e)
|
1,782,000
|
Principal
|
|||
Amount
|
Value
|
Mining
(continued)
|
|||||
$
|
1,000,000
|
Newmont Mining Corp.,
BBB+
|
|||
1.25%,
7/15/14
|
$
|
1,342,500
|
|||
6,942,955
|
|||||
Miscellaneous Manufacturing
– 2.4%
|
|||||
$
|
1,000,000
|
Danaher Corp.,
A+
|
|||
0.00%, 1/22/21
(a)
|
1,217,500
|
||||
$
|
1,100,000
|
Textron, Inc., Ser. TXT, Ser.
BBB-
|
|||
4.50%, 5/1/13
(a)
|
2,037,750
|
||||
$
|
1,025,000
|
Trinity Industries, Inc.,
BB-
|
|||
3.875%, 6/1/36
(a)
|
876,375
|
||||
4,131,625
|
|||||
Oil and Gas – 3.8%
|
|||||
$
|
2,000,000
|
Carrizo Oil & Gas, Inc.,
NR
|
|||
4.375%, 6/1/28
(a)
|
1,790,000
|
||||
$
|
1,150,000
|
Chesapeake Energy Corp.,
BB
|
|||
2.25%, 12/15/38
(a)
|
849,562
|
||||
$
|
1,700,000
|
Goodrich Petroleum Corp.,
NR
|
|||
5.00%, 10/1/29
(a)
|
1,538,500
|
||||
$
|
2,300,000
|
PetroBakken Energy Ltd., Ser.
REGS, NR
|
|||
3.125%, 2/8/16
(Canada)
|
2,286,478
|
||||
6,464,540
|
|||||
Oil and Gas Services –
1.3%
|
|||||
$
|
1,050,000
|
Cameron International Corp.,
BBB+
|
|||
2.50%, 6/15/26
(a)
|
1,324,312
|
||||
$
|
560,000
|
Core Laboratories LP,
NR
|
|||
0.25%, 10/31/11 (Netherlands)
(a)
|
905,800
|
||||
2,230,112
|
|||||
Pharmaceuticals – 5.7%
|
|||||
CHF
|
1,265,000
|
Actelion Finance SCA,
NR
|
|||
0.00%, 11/22/11
(Switzerland)
|
1,194,742
|
||||
$
|
1,350,000
|
Allergan, Inc.,
NR
|
|||
1.50%,
4/1/26
|
1,528,875
|
||||
$
|
2,750,000
|
Cephalon, Inc.,
NR
|
|||
2.50%, 5/1/14
(a)
|
3,076,562
|
||||
$
|
2,000,000
|
Mylan, Inc.,
BB-
|
|||
1.25%, 3/15/12
(a)
|
2,215,000
|
||||
$
|
1,400,000
|
Teva Pharmaceutical Finance Co.
LLC, Ser. C, A-
|
|||
0.25%, 2/1/26 (Israel)
(a)
|
1,762,250
|
||||
9,777,429
|
|||||
Real Estate – 1.9%
|
|||||
$
|
1,617,000
|
Forest City Enterprises, Inc.,
B-
|
|||
5.00%, 10/15/16
(a)(e)
|
2,150,610
|
||||
HK$
|
8,900,000
|
Soho China Ltd.,
NR
|
|||
3.75%, 7/2/14 (Cayman
Islands)
|
1,163,079
|
||||
3,313,689
|
|||||
Retail – 1.1%
|
|||||
$
|
500,000
|
Saks, Inc.,
B-
|
|||
2.00%, 3/15/24
(a)
|
500,625
|
||||
$
|
1,250,000
|
Sonic Automotive, Inc.,
B-
|
|||
5.00%, 10/1/29
(a)
|
1,389,063
|
||||
1,889,688
|
Semiconductors – 2.6%
|
|||||
$
|
750,000
|
Intel Corp.,
A-
|
|||
3.25%, 8/1/39
(a)(e)
|
917,812
|
||||
$
|
2,000,000
|
ON Semiconductor Corp.,
B+
|
|||
2.625%, 12/15/26
(a)
|
2,057,500
|
||||
$
|
1,500,000
|
Xilinx, Inc.,
BB
|
|||
3.125%, 3/15/37
(a)
|
1,410,000
|
||||
4,385,312
|
|||||
Telecommunications – 3.9%
|
|||||
$
|
2,500,000
|
ADC Telecommunications, Inc.,
NR
|
|||
0.8308%, 6/15/13
(a)(d)
|
2,212,500
|
||||
$
|
1,000,000
|
Arris Group, Inc.,
NR
|
|||
2.00%,
11/15/26
|
1,012,500
|
||||
$
|
1,000,000
|
CommScope, Inc.,
B
|
|||
3.25%, 7/1/15
(a)
|
1,357,500
|
||||
JPY
|
68,000,000
|
Softbank Corp.,
BB+
|
|||
1.75%, 3/31/14
(Japan)
|
892,033
|
||||
$
|
1,000,000
|
Virgin Media, Inc.,
B
|
|||
6.50%, 11/15/16
(a)
|
1,246,250
|
||||
6,720,783
|
|||||
Utility – 0.8%
|
|||||
€
|
1,000,000
|
International Power Jersey II
Ltd., BB
|
|||
3.25%, 7/20/13 (United
Kingdom)
|
1,411,423
|
||||
Total Convertible Bonds –
60.6%
|
|||||
(Cost
$95,028,492)
|
103,903,910
|
||||
Corporate Bonds – 22.2%
|
|||||
Beverage – 1.8%
|
|||||
$
|
3,000,000
|
Constellation Brands, Inc.,
BB
|
|||
7.25%,
9/1/16
|
3,078,750
|
||||
Chemicals – 1.2%
|
|||||
$
|
2,000,000
|
LBI Escrow Corp.,
BB
|
|||
8.00%, 11/1/17
(e)
|
2,072,500
|
||||
Diversified Financial Services
– 1.9%
|
|||||
$
|
1,350,000
|
Capital One Capital V,
BB
|
|||
10.25%,
8/15/39
|
1,620,000
|
||||
$
|
1,500,000
|
CIT Group Funding Co. of Delaware
LLC, B+
|
|||
10.25%,
5/1/14
|
1,560,000
|
||||
3,180,000
|
|||||
Electric – 1.5%
|
|||||
$
|
2,500,000
|
NRG Energy, Inc.,
BB-
|
|||
7.25%,
2/1/14
|
2,534,375
|
||||
Food – 1.2%
|
|||||
$
|
1,000,000
|
Smithfield Foods, Inc.,
B-
|
|||
7.00%,
8/1/11
|
1,025,000
|
||||
$
|
1,000,000
|
Smithfield Foods, Inc.,
B+
|
|||
10.00%, 7/15/14, Senior Secured
Notes (e)
|
1,122,500
|
||||
2,147,500
|
|||||
Healthcare-Products – 1.0%
|
|||||
$
|
1,500,000
|
Biomet, Inc.,
B-
|
|||
10.00%,
10/15/17
|
1,650,000
|
Principal
|
|||
Amount
|
Value
|
Healthcare – Services – 2.9%
|
|||||
$
|
3,000,000
|
Apria Healthcare Group, Inc.,
BB+
|
|||
11.25%, 11/1/14
(e)
|
$
|
3,296,250
|
|||
$
|
1,500,000
|
HCA, Inc.,
BB-
|
|||
9.25%,
11/15/16
|
1,621,875
|
||||
4,918,125
|
|||||
Insurance – 2.5%
|
|||||
$
|
1,000,000
|
AXA SA, BBB
|
|||
6.379%, 12/14/36 (France)
(d)(e)
|
890,000
|
||||
$
|
1,850,000
|
Liberty Mutual Group, Inc.,
BB
|
|||
10.75%, 6/15/58
(d)(e)
|
2,155,250
|
||||
$
|
1,000,000
|
Metlife, Inc.,
BBB
|
|||
10.75%,
8/1/39
|
1,288,353
|
||||
4,333,603
|
|||||
Machinery-Diversified –
1.5%
|
|||||
$
|
2,500,000
|
Case New Holland, Inc.,
BB+
|
|||
7.75%, 9/1/13
(e)
|
2,631,250
|
||||
Media – 2.8%
|
|||||
$
|
3,000,000
|
Clear Channel Worldwide Holdings,
Inc., B
|
|||
9.25%, 12/15/17
(e)
|
3,213,750
|
||||
500,000
|
Univision Communications, Inc.,
B-
|
||||
12.00%, 7/1/14
(e)
|
552,500
|
||||
$
|
1,000,000
|
UPC Holding BV,
B-
|
|||
9.875%, 4/15/18 (Netherlands)
(e)
|
1,055,000
|
||||
4,821,250
|
|||||
Pharmaceuticals – 1.0%
|
|||||
$
|
1,665,000
|
Axcan Intermediate Holdings, Inc.,
B
|
|||
12.75%,
3/1/16
|
1,748,250
|
||||
Retail – 1.5%
|
|||||
$
|
2,450,000
|
Toys R Us Property Co. LLC,
B+
|
|||
8.50%, 12/1/17
(e)
|
2,590,875
|
||||
Telecommunications – 1.4%
|
|||||
$
|
1,873,000
|
iPCS, Inc.,
BB-
|
|||
2.37%, 5/1/13
(d)
|
1,769,985
|
||||
$
|
500,000
|
NII Capital Corp.,
BB-
|
|||
10.00%, 8/15/16
(e)
|
555,000
|
||||
2,324,985
|
|||||
Total Corporate Bonds –
22.2%
|
|||||
(Cost
$35,772,627)
|
38,031,463
|
Number
|
|||
of Shares
|
Value
|
Convertible Preferred Stocks
– 17.0%
|
|||||
Agriculture – 1.1%
|
|||||
46,850
|
Archer-Daniels-Midland Co., 6.25%,
2011 (a)
|
1,855,260
|
|||
Auto Manufacturers – 0.9%
|
|||||
31,200
|
Ford Motor Co. Capital Trust II,
6.50%, 2032 (a)
|
1,525,680
|
|||
Banks – 5.9%
|
|||||
1,650
|
Bank of America Corp., Ser. L,
7.25%, 2049 (a)
|
1,620,283
|
|||
26,070
|
Citigroup, Inc., 7.50%,
2012
|
3,436,547
|
15,626
|
Keycorp, Ser. A, 7.75%, 2049
(a)
|
1,640,730
|
||
3,565
|
Wells Fargo & Co., Ser. L,
7.50%, 2049 (a)
|
3,515,090
|
||
10,212,650
|
||||
Electric – 1.2%
|
||||
31,050
|
Great Plains Energy, Inc., 12.00%,
2012
|
2,035,327
|
||
Food Products – 1.1%
|
||||
155,600
|
2009 Dole Food Automatic Common
Exchange Security Trust,
|
|||
7.00%, 2012
(e)
|
1,830,727
|
|||
Insurance – 3.2%
|
||||
103,049
|
Hartford Financial Services Group,
Inc., 7.25%, 2013 (a)
|
2,733,890
|
||
103,775
|
XL Capital Ltd., 10.75%, 2011
(Cayman Islands) (a)
|
2,782,208
|
||
5,516,098
|
||||
Oil & Gas – 0.9%
|
||||
6,888
|
Whiting Petroleum Corp., 6.25%,
2049 (a)
|
1,517,771
|
||
Real Estate – 0.5%
|
||||
14,996
|
Forest City Enterprises, Inc.,
Ser. A, 7.00%, 2049 (a)
|
932,564
|
||
Telecommunications – 2.2%
|
||||
4,617
|
Lucent Technologies Capital Trust
I, 7.75%, 2017 (France)
|
3,829,802
|
||
Total Convertible Preferred Stocks
– 17.0%
|
||||
(Cost
$24,868,868)
|
29,255,879
|
|||
Common Stocks — 13.6%
|
||||
Agriculture – 1.0%
|
||||
21,000
|
Lorillard, Inc.
(a)
|
1,645,770
|
||
Banks – 0.4%
|
||||
5,000
|
Bank of America Corp.
(a)
|
89,150
|
||
20,000
|
Sumitomo Mitsui Financial Group,
Inc. (Japan)
|
663,759
|
||
752,909
|
||||
Biotechnology – 0.5%
|
||||
30,000
|
American Oriental Bioengineering,
Inc. (b)
|
121,500
|
||
35,000
|
Amylin Pharmaceuticals, Inc.
(a)(b)
|
722,400
|
||
843,900
|
||||
Computers – 1.9%
|
||||
8,000
|
Apple, Inc.
(b)
|
2,088,960
|
||
64,000
|
EMC Corp.
(a)(b)
|
1,216,640
|
||
3,305,600
|
||||
Electrical Components &
Equipment – 0.2%
|
||||
110,000
|
China High Speed Transmission
Equipment Co. Ltd. (Cayman Islands)
|
264,374
|
||
Engineering & Construction
– 0.4%
|
||||
12,500
|
Fluor Corp.
(a)
|
660,500
|
||
Entertainment – 0.0%
|
||||
1,000
|
International Game Technology
(a)
|
21,080
|
||
Food – 0.5%
|
||||
44,710
|
Smithfield Foods, Inc.
(a)(b)
|
837,865
|
||
Insurance – 0.1%
|
||||
25,000
|
MGIC Investment Corp.
(a)(b)
|
260,750
|
||
Iron/Steel – 0.1%
|
||||
2,700
|
ArcelorMittal (Luxembourg)
(a)
|
104,841
|
Number
|
|||
of Shares
|
|
Value
|
Lodging – 0.1%
|
||||
30,820
|
Morgans Hotel Group Co.
(b)
|
$
|
261,045
|
|
Mining – 0.4%
|
||||
2,000
|
Freeport-McMoRan Copper &
Gold, Inc. (a)
|
151,060
|
||
30,000
|
Xstrata PLC (United
Kingdom)
|
498,916
|
||
649,976
|
||||
Miscellaneous Manufacturing
– 1.6%
|
||||
54,100
|
Honeywell International, Inc.
(a)
|
2,568,127
|
||
7,000
|
Textron, Inc.
(a)
|
159,880
|
||
2,000
|
Trinity Industries, Inc.
(a)
|
49,780
|
||
2,777,787
|
||||
Oil & Gas – 2.4%
|
||||
27,500
|
Chesapeake Energy Corp.
(a)
|
654,500
|
||
20,000
|
Exxon Mobil Corp.
(a)
|
1,357,000
|
||
5,000
|
Goodrich Petroleum Corp.
(a)(b)
|
84,650
|
||
25,900
|
PetroBakken Energy Ltd.
(Canada)
|
705,515
|
||
65,000
|
Valero Energy Corp.
(a)
|
1,351,350
|
||
4,153,015
|
||||
Pharmaceuticals – 0.5%
|
||||
1,000
|
Cephalon, Inc.
(a)(b)
|
64,200
|
||
100,000
|
Somaxon Pharmaceuticals, Inc.
(b)
|
719,000
|
||
1,000
|
Teva Pharmaceutical Industries
Ltd., ADR (Israel) (a)
|
58,730
|
||
841,930
|
||||
Retail – 0.9%
|
||||
69,637
|
RadioShack Corp.
(a)
|
1,500,677
|
||
Semiconductors – 1.4%
|
||||
80,000
|
Intel Corp.
(a)
|
1,826,400
|
||
75,000
|
ON Semiconductor Corp.
(a)(b)
|
595,500
|
||
2,000
|
Xilinx, Inc.
(a)
|
51,560
|
||
2,473,460
|
||||
Telecommunications – 1.2%
|
||||
3,400
|
ADC Telecommunications, Inc.
(a)(b)
|
27,234
|
||
5,000
|
CommScope, Inc.
(a)(b)
|
162,900
|
||
10,000
|
QUALCOMM, Inc.
(a)
|
387,400
|
||
49,000
|
Verizon Communications, Inc.
(a)
|
1,415,610
|
||
1,993,144
|
||||
Total Common Stocks – 13.6%
|
||||
(Cost
$22,598,432)
|
23,348,623
|
|||
Exchange-Traded Funds –
6.2%
|
||||
132,000
|
Financial Select Sector SPDR Fund
(a)
|
2,131,800
|
||
94,300
|
Industrial Select Sector SPDR Fund
(a)
|
3,077,009
|
||
40,000
|
iPATH S&P 500 VIX Short-Term Futures ETN
(b)
|
847,200
|
||
85,000
|
PowerShares DB US Dollar Index
Bullish Fund (b)
|
2,035,750
|
||
40,100
|
ProShares UltraShort Basic
Materials (a)
|
1,384,653
|
||
28,000
|
ProShares UltraShort FTSE/Xinhua
China 25 (a)
|
1,146,040
|
||
(Cost
$10,224,931)
|
10,622,452
|
Preferred Stock – 3.3%
|
||||||
Banks – 1.0%
|
||||||
2,000
|
Ally Financial, 7.00%,
(e)
|
1,698,688
|
||||
Diversified Financial Services
– 2.3%
|
||||||
75,000
|
Citigroup Capital XII,
8.50%
|
1,953,750
|
||||
80,000
|
JPMorgan Chase Capital XXIX,
6.70%
|
1,940,000
|
||||
3,893,750
|
||||||
Total Preferred Stock –
3.3%
|
||||||
(Cost
$5,654,000)
|
5,592,438
|
|||||
Warrants – 2.3%
|
||||||
676,513
|
Bank of America Corp.
(a)
|
2,557,219
|
||||
96,659
|
JPMorgan Chase & Co.
(a)
|
1,342,594
|
||||
(Cost
$2,913,758)
|
3,899,813
|
|||||
Total Long-Term Investments
– 125.2%
|
||||||
(Cost
$197,061,108)
|
214,654,578
|
|||||
Contracts
|
||||||
(100 shares
|
Expiration
|
Exercise
|
|
|||
per
contract)
|
Options Purchased(b)
|
Date
|
Price
|
Value
|
||
|
||||||
Call Options Purchased –
0.5%
|
||||||
1,000
|
General Electric
Co.
|
May 2010
|
20.00
|
16,000
|
||
1,000
|
Exxon Mobil Corp.
(a)
|
July 2010
|
60.00
|
830,000
|
||
(Cost
$850,460)
|
846,000
|
|||||
Total Investments – 125.7%
|
||||||
(Cost
$197,911,568)
|
215,500,578
|
|||||
Other Assets in excess of Liabilities –
3.6%
|
6,115,264
|
|||||
Total Options Written (Premiums
received $104,950) – (0.1%)
|
(117,878)
|
|||||
Borrowings – (29.2%)
|
(50,000,000)
|
|||||
Net Assets – 100.0%
|
$
|
171,497,964
|
(a)
|
All or a portion of this security position
represents cover (directly or through conversion rights) for outstanding
options written.
|
(b)
|
Non-income producing
security.
|
(c)
|
The reference entity is
denominated in Chinese Yuan, but traded in U.S. dollars.
|
(d) | Variable rate or floating rate security. The rate shown is as of April 30, 2010. |
(e)
|
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 April 30, 2010, these
securities amounted to 25.2% of net
assets.
|
(f)
|
Security becomes a 0% coupon,
accreting bond after December 15, 2013 with a 2.0% principal accretion
rate. Ratings shown are per Standard & Poor’s. Securities classified
as NR are not rated by Standard &
Poors.
|
Contracts
|
|||||||||
(100 shares
|
Expiration
|
Exercise
|
Market
|
||||||
per
contract)
|
Call Options Written(a)
|
Date
|
Price
|
Value
|
|||||
49
|
ADC Telecommunications,
Inc.
|
May 2010
|
$ |
7.50
|
$
|
3,553
|
|||
50
|
Amylin Pharmaceuticals,
Inc.
|
June 2010
|
24.00
|
3,250
|
|||||
27
|
ArcelorMittal
|
June 2010
|
46.00
|
1,080
|
|||||
10
|
Archer-Daniels-Midland
Co.
|
May 2010
|
31.00
|
75
|
|||||
50
|
Bank of America
Corp.
|
May 2010
|
20.00
|
300
|
|||||
40
|
Cameron International
Corp.
|
May 2010
|
50.00
|
400
|
|||||
10
|
Carrizo Oil & Gas,
Inc.
|
May 2010
|
30.00
|
50
|
|||||
3
|
Cemex SAB de
CV
|
June 2010
|
14.00
|
45
|
|||||
10
|
Cephalon,
Inc.
|
May 2010
|
70.00
|
400
|
|||||
50
|
Chesapeake Energy
Corp.
|
May 2010
|
25.00
|
2,100
|
|||||
50
|
CommScope,
Inc.
|
May 2010
|
30.00
|
16,000
|
|||||
10
|
CommScope,
Inc.
|
May 2010
|
35.00
|
350
|
|||||
10
|
Core Laboratories
LP
|
June 2010
|
155.00
|
3,300
|
|||||
10
|
Danaher
Corp.
|
May 2010
|
85.00
|
1,550
|
|||||
100
|
EMC Corp.
|
May 2010
|
21.00
|
400
|
|||||
20
|
Exxon Mobil
Corp.
|
June 2010
|
75.00
|
400
|
|||||
100
|
Financial Select Sector SPDR
Fund
|
May 2010
|
18.00
|
200
|
|||||
50
|
Fluor Corp.
|
May 2010
|
50.00
|
19,500
|
|||||
20
|
Ford Motor
Co.
|
May 2010
|
15.00
|
140
|
|||||
20
|
Forest City Enterprises,
Inc.
|
June 2010
|
17.50
|
450
|
|||||
20
|
Freeport-McMoRan Copper &
Gold, Inc.
|
August 2010
|
90.00
|
3,900
|
|||||
25
|
Goldcorp,
Inc.
|
May 2010
|
42.00
|
5,475
|
|||||
25
|
Goodrich Petroleum
Corp.
|
May 2010
|
20.00
|
375
|
|||||
10
|
Hartford Financial Services Group,
Inc.
|
June 2010
|
35.00
|
150
|
|||||
50
|
Honeywell International,
Inc.
|
May 2010
|
48.00
|
4,000
|
|||||
100
|
Industrial Select Sector SPDR
Fund
|
June 2010
|
34.00
|
4,200
|
|||||
100
|
Intel Corp.
|
May 2010
|
25.00
|
500
|
|||||
10
|
International Game
Technology
|
May 2010
|
20.00
|
1,490
|
|||||
10
|
JPMorgan Chase &
Co.
|
May 2010
|
50.00
|
30
|
|||||
20
|
KeyCorp
|
May 2010
|
9.00
|
1,000
|
|||||
50
|
Lorillard,
Inc.
|
May 2010
|
85.00
|
625
|
|||||
20
|
Massey Energy
Co.
|
May 2010
|
46.00
|
500
|
|||||
50
|
MGIC Investment
Corp.
|
June 2010
|
12.50
|
1,850
|
|||||
20
|
MGM Mirage
|
May 2010
|
17.00
|
1,120
|
|||||
25
|
Mylan, Inc.
|
May 2010
|
24.00
|
150
|
|||||
10
|
Navistar International
Corp.
|
May 2010
|
55.00
|
175
|
|||||
100
|
ON Semiconductor
Corp.
|
June 2010
|
10.00
|
1,000
|
|||||
20
|
Peabody Energy
Corp.
|
May 2010
|
49.00
|
1,740
|
|||||
10
|
ProShares UltraShort Basic
Materials
|
May 2010
|
49.00
|
300
|
|||||
40
|
ProShares UltraShort FTSE/Xinhua
China 25
|
May 2010
|
50.00
|
2,000
|
|||||
100
|
QUALCOMM,
Inc.
|
May 2010
|
40.00
|
4,100
|
|||||
75
|
RadioShack
Corp.
|
May 2010
|
26.00
|
750
|
|||||
20
|
Saks, Inc.
|
May 2010
|
10.00
|
1,000
|
|||||
10
|
Maxtor Corp./Seagate
Technology
|
May 2010
|
20.00
|
200
|
|||||
25
|
Smithfield Foods,
Inc.
|
May 2010
|
22.50
|
125
|
|||||
25
|
Sonic Automotive,
Inc.
|
May 2010
|
12.50
|
500
|
20
|
Steel Dynamics,
Inc.
|
June 2010
|
|
19.00
|
250
|
||
10
|
Symantec
Corp.
|
May 2010
|
19.00
|
150
|
|||
10
|
Teva Pharmaceutical Industries
Ltd.
|
June 2010
|
65.00
|
320
|
|||
100
|
Textron,
Inc.
|
May 2010
|
25.00
|
3,000
|
|||
20
|
Trinity Industries,
Inc.
|
May 2010
|
22.50
|
5,400
|
|||
10
|
UAL Corp.
|
May 2010
|
25.00
|
310
|
|||
50
|
Valero Energy
Corp.
|
May 2010
|
20.00
|
6,100
|
|||
10
|
Verizon Communications,
Inc.
|
May 2010
|
31.00
|
30
|
|||
10
|
Virgin Media,
Inc.
|
May 2010
|
20.00
|
150
|
|||
10
|
Wells Fargo &
Co.
|
May 2010
|
34.00
|
570
|
|||
10
|
Whiting Petroleum
Corp.
|
June 2010
|
95.00
|
2,600
|
|||
20
|
Xilinx,
Inc.
|
May 2010
|
29.00
|
150
|
|||
10
|
XL Capital
Ltd.
|
May 2010
|
22.00
|
50
|
Total Call Options
Written
|
|||||||
(Premiums received
$82,180)
|
109,878
|
Put Options Written(a)
|
|||||||
1,000
|
General Electric
Co.
|
May 2010
|
17.00
|
8,000
|
|||
(Premiums received
$22,770)
|
Total Options
Written
|
||||||||
(Premiums received
$104,950)
|
$
|
117,878
|
Statement
of Assets
and Liabilities
|
April 30, 2010 (unaudited)
|
Assets
|
||||
Investments, at value (cost
$197,911,568)
|
$ | 215,500,578 | ||
Cash & Cash
Equivalents
|
7,414,208 | |||
Receivable for securities
sold
|
2,340,646 | |||
Dividends and interest
receivable
|
1,676,918 | |||
Foreign currency, at value (cost
$487,813)
|
488,311 | |||
Unrealized appreciation on foreign
exchange currency contracts
|
251,946 | |||
Tax Reclaims
receivable
|
56,281 | |||
Other
assets
|
23,645 | |||
Total
assets
|
227,752,533 | |||
Liabilities
|
||||
Borrowings
|
50,000,000 | |||
Payable for securities
purchased
|
5,797,474 | |||
Options written, at value
(premiums received of $104,950)
|
117,878 | |||
Investment Management fee
payable
|
93,016 | |||
Investment Advisory fee
payable
|
89,368 | |||
Administrative fee
payable
|
4,805 | |||
Interest due on
borrowings
|
3,715 | |||
Unrealized depreciation on foreign
exchange currency contracts
|
100 | |||
Accrued expenses and other
liabilities
|
148,213 | |||
Total
liabilities
|
56,254,569 | |||
Net Assets
|
$ | 171,497,964 | ||
Composition of Net
Assets
|
||||
Common stock, $0.001 par value per
share; unlimited number of shares authorized, 13,603,025 shares issued and
outstanding
|
$ | 13,603 | ||
Additional paid-in
capital
|
243,316,208 | |||
Accumulated net realized loss on
investments, options, swaps and foreign currency
transactions
|
(84,725,492 | ) | ||
Accumulated net unrealized
appreciation on investments, options and foreign currency
translation
|
17,828,836 | |||
Distributions in excess of net
investment income
|
(4,935,191 | ) | ||
Net Assets
|
$ | 171,497,964 | ||
Net Asset
Value
|
||||
(based on 13,603,025 common shares
outstanding)
|
$ | 12.61 |
Statement
of Operations
|
For the
six months ended April 30, 2010 (unaudited)
|
Investment
Income
|
||||||||
Interest
|
$ | 2,432,894 | ||||||
Dividends (net of foreign
withholding taxes of $1,071)
|
1,319,702 | |||||||
Total
income
|
$ | 3,752,596 | ||||||
Expenses
|
||||||||
Investment Management
fee
|
462,789 | |||||||
Investment Advisory
fee
|
444,641 | |||||||
Line of credit
fee
|
144,479 | |||||||
Professional
fees
|
92,461 | |||||||
Trustees’ fees and
expenses
|
74,352 | |||||||
Fund
accounting
|
32,782 | |||||||
Printing
expense
|
31,471 | |||||||
Administration
fee
|
24,758 | |||||||
Custodian
fee
|
20,368 | |||||||
Insurance
|
11,472 | |||||||
NYSE listing
fee
|
10,498 | |||||||
Transfer agent
fee
|
9,511 | |||||||
Miscellaneous
|
6,815 | |||||||
Interest
Expense
|
119,052 | |||||||
Total
expenses
|
1,485,449 | |||||||
Net investment
income
|
2,267,147 | |||||||
Realized and Unrealized Gain
(Loss) on Investments, Options and Foreign Currency
Transactions
|
||||||||
Net realized gain (loss)
on:
|
||||||||
Investments
|
11,937,201 | |||||||
Options
|
(537,260 | ) | ||||||
Foreign currency
transactions
|
37,813 | |||||||
Change in net unrealized
appreciation (depreciation) on:
|
||||||||
Investments
|
5,951,511 | |||||||
Options
|
(552,126 | ) | ||||||
Foreign currency
translation
|
206,308 | |||||||
Net realized and unrealized gain on
investments, options and foreign currency
transactions
|
17,043,447 | |||||||
Net Increase in Net Assets
Resulting from Operations
|
$ | 19,310,594 |
Statement
of Changes
in Net Assets
|
For the
Six
|
For the
|
|||||||
Months
ended
|
Year Ended
|
|||||||
April 30, 2010(unaudited)
|
October 31,
2009
|
|||||||
Change in Net Assets from
Operations
|
||||||||
Net investment
income
|
$ | 2,267,147 | $ | 5,333,606 | ||||
Net realized gain (loss) on
investments, options, swaps and foreign currency
transactions
|
11,437,754 | (47,458,544 | ) | |||||
Net change in unrealized
appreciation (depreciation) on investments, options
and
|
||||||||
foreign currency
translation
|
5,605,693 | 68,646,666 | ||||||
Net increase in net assets
resulting from operations
|
19,310,594 | 26,521,728 | ||||||
Distributions to Common
Shareholders from
|
||||||||
Net investment
income
|
(7,182,397 | ) | (9,090,807 | ) | ||||
Return of
Capital
|
– | (6,443,848 | ) | |||||
Total dividends and distributions
to common shareholders
|
(7,182,397 | ) | (15,534,655 | ) | ||||
Total increase in net
assets
|
12,128,197 | 10,987,073 | ||||||
Net Assets
|
||||||||
Beginning of
year
|
159,369,767 | 148,382,694 | ||||||
End of year (including
distributions in excess of net investment income of
|
||||||||
$(4,935,191) and $(19,941),
respectively)
|
$ | 171,497,964 | $ | 159,369,767 |
Statement
of Cash
Flows
|
For the six months ended April 30, 2010 (unaudited)
|
Cash Flows from Operating
Activities:
|
||||
Net increase in net assets
resulting from operations
|
$ | 19,310,594 | ||
Adjustments to Reconcile Net
Increase in Net Assets Resulting from Operations to Net Cash Used in
Operating and
Investing
Activities:
|
||||
Net change in unrealized
appreciation on investments
|
(5,951,511 | ) | ||
Net change in unrealized
depreciation on options
|
552,126 | |||
Net change in unrealized
appreciation on foreign currency transactions
|
(206,308 | ) | ||
Net realized gain on
investments
|
(11,937,201 | ) | ||
Net realized loss on
options
|
537,260 | |||
Net realized gain on foreign
currency transactions
|
(37,813 | ) | ||
Purchase of long-term
investments
|
(165,410,961 | ) | ||
Proceeds from sale of long-term
investments
|
113,219,905 | |||
Cost of written options assigned
and closed
|
(528,053 | ) | ||
Net Amortization of premium and
other
|
(1,886,173 | ) | ||
Decrease in receivable for
securities sold
|
5,764,992 | |||
Increase in dividends and interest
receivable
|
(441,999 | ) | ||
Decrease in foreign
currency
|
12,951 | |||
Decrease in tax reclaims
receivable
|
25,065 | |||
Decrease in other
assets
|
15,814 | |||
Increase in payable for
investments purchased
|
4,805,528 | |||
Increase in interest due on
borrowings
|
3,715 | |||
Premiums received on call options
written
|
626,371 | |||
Increase in investment management
fee payable
|
22,282 | |||
Increase in investment advisory
fee payable
|
21,407 | |||
Increase in administrative fee
payable
|
1,067 | |||
Decrease in accrued expenses and
other liabilities
|
(19,462 | ) | ||
Net Cash Provided in Operating and
Investing Activities
|
(41,500,404 | ) | ||
Cash Flows From 4Financing
Activities:
|
||||
Dividends paid to common
shareholders
|
(7,182,397 | ) | ||
Proceeds from
borrowings
|
50,000,000 | |||
Net Cash Provided by Financing
Activities
|
42,817,603 | |||
Net increase in
cash
|
1,317,199 | |||
Cash at Beginning of
Period
|
6,097,009 | |||
Cash at End of
Period
|
$ | 7,414,208 | ||
Supplemental Disclosure of Cash
Flow Information: Cash paid during the period for
interest
|
$ | 115,337 |
Financial Highlights
|
Per share operating performance
for a common share outstanding throughout the
period
|
For the Six Months Ended April 30,
2010
(unaudited)
|
For the
Year Ended
October 31, 2009 |
For the
Year Ended
October 31,
2008
|
For the
Year Ended
October 31,
2007
|
For the
Year Ended
October 31,
2006
|
For the Period
January
31,2005
through
October 31,
2005
|
Net asset value, beginning of
period
|
$ | 11.72 | $ | 10.91 | $ | 20.09 | $ | 19.41 | $ | 18.51 | $ | 19.10 | (a) | |||||||||||
Income from investment
operations
|
||||||||||||||||||||||||
Net investment income (b)
|
0.17 | 0.39 | 0.47 | 0.44 | 0.58 | 0.47 | ||||||||||||||||||
Net realized and unrealized gain
(loss)
on investments,
options,
swaps and foreign currency transactions
|
1.25 | 1.56 | (8.05 | ) | 1.84 | 1.92 | (0.22 | ) | ||||||||||||||||
Total from investment
operations
|
1.42 | 1.95 | (7.58 | ) | 2.28 | 2.50 | 0.25 | |||||||||||||||||
Common shares’ offering
expenses
charged to paid-in
capital
|
– | – | – | – | – | (0.04 | ) | |||||||||||||||||
Distributions to Common
Shareholders
|
||||||||||||||||||||||||
Net investment
income
|
(0.53 | ) | (0.67 | ) | (0.90 | ) | (1.60 | ) | (1.60 | ) | (0.80 | ) | ||||||||||||
Return of
capital
|
– | (0.47 | ) | (0.70 | ) | – | – | – | ||||||||||||||||
Total dividends and distributions
to
Common
Shareholders
|
(0.53 | ) | (1.14 | ) | (1.60 | ) | (1.60 | ) | (1.60 | ) | (0.80 | ) | ||||||||||||
Net asset value, end of
period
|
$ | 12.61 | $ | 11.72 | $ | 10.91 | $ | 20.09 | $ | 19.41 | $ | 18.51 | ||||||||||||
Market value, end of
period
|
$ | 12.01 | $ | 10.48 | $ | 8.97 | $ | 17.46 | $ | 18.78 | $ | 16.83 | ||||||||||||
Total investment return
(c)
|
||||||||||||||||||||||||
Net asset
value
|
12.48 | % | 19.74 | % | -40.37 | % | 12.24 | % | 14.11 | % | 1.12 | % | ||||||||||||
Market
value
|
20.10 | % | 34.17 | % | -42.88 | % | 1.08 | % | 22.20 | % | -12.08 | % | ||||||||||||
Ratios and supplemental
data
|
||||||||||||||||||||||||
Net assets, end of period
(thousands)
|
$ | 171,498 | $ | 159,370 | $ | 148,383 | $ | 273,288 | $ | 263,648 | $ | 251,349 | ||||||||||||
Ratios to Average Net Assets
applicable
to Common
Shares:
|
||||||||||||||||||||||||
Operating
Expenses
|
1.60 | %(e) | 1.42 | % | 1.34 | % | 1.26 | % | 1.29 | % | 1.38 | %(e) | ||||||||||||
Interest Expense (d)
|
0.15 | %(e) | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||
Total
Expenses
|
1.75 | %(e) | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||
Net investment income,
including
interest
expense
|
2.79 | %(e) | 3.68 | % | 2.91 | % | 2.21 | % | 3.09 | % | 3.37 | %(e) | ||||||||||||
Portfolio turnover rate
(f)
|
64 | % | 236 | % | 192 | % | 181 | % | 415 | % | 246 | % | ||||||||||||
Senior
Indebtedness
|
||||||||||||||||||||||||
Total Borrowings outstanding
(in
thousands)
|
$ | 50,000 | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||
Asset Coverage per $1000 of
indebtedness (g)
|
$ | 4,430 | N/A | N/A | N/A | N/A | N/A |
*
|
Commencement of investment
operations.
|
(a)
|
Before deduction of offering
expenses charged to
capital.
|
(b) | Based on average shares outstanding during the period. |
(c)
|
Total investment return is
calculated assuming a purchase of a common share at the beginning of the
period and a sale on the last day of the period reported either at net
asset value (“NAV”) or market price per share. Dividends and distributions
are assumed to be reinvested at NAV for NAV returns or the prices obtained
under the Fund’s Dividend Reinvestment Plan for market value returns.
Total investment return does not reflect brokerage commissions. A return
calculated for a period of less than one year is not
annualized.
|
(d)
|
Interest expense ratio relates to
interest associated with borrowings.
|
(e) | Annualized. |
(f)
|
Portfolio turnover is not
annualized for periods less than one
year.
|
(g)
|
Calculated by subtracting the
Fund’s total liabilities (not including the borrowings) from the Fund’s
total assets and dividing by the total
borrowings.
|
Notes
to Financial
Statements
|
April 30, 2010 (unaudited)
|
Description
|
Quoted Prices in Active Markets
for Identical Assets
(Leve1)
|
Significant Other Observable
Inputs
(Level 2)
|
Significant Unobservable
Inputs
(Level 3)
|
Total
|
||||||||||||
(value in
$000s)
|
||||||||||||||||
Assets:
|
||||||||||||||||
Convertible
Bonds
|
$ | – | $ | 103,904 | $ | – | $ | 103,904 | ||||||||
Convertible Preferred
Stocks:
|
||||||||||||||||
Agriculture
|
1,855 | – | – | 1,855 | ||||||||||||
Auto
Manufacturers
|
1,526 | – | – | 1,526 | ||||||||||||
Banks
|
10,213 | – | – | 10,213 | ||||||||||||
Electric
|
2,035 | – | – | 2,035 | ||||||||||||
Food
Products
|
– | 1,831 | – | 1,831 | ||||||||||||
Insurance
|
5,516 | – | – | 5,516 | ||||||||||||
Oil &
Gas
|
1,518 | – | – | 1,518 | ||||||||||||
Real
Estate
|
– | 932 | – | 932 | ||||||||||||
Telecommunications
|
– | 3,830 | – | 3,830 | ||||||||||||
Common
Stocks
|
23,349 | – | – | 23,349 | ||||||||||||
Corporate
Bonds
|
– | 38,031 | – | 38,031 | ||||||||||||
Exchange-Traded
Funds
|
10,622 | – | – | 10,622 | ||||||||||||
Options
Purchased
|
846 | – | – | 846 | ||||||||||||
Preferred
Stock:
|
||||||||||||||||
Banks
|
– | 1,699 | – | 1,699 | ||||||||||||
Diversified Financial
Services
|
3,894 | – | – | 3,894 | ||||||||||||
Warrants
|
3,900 | – | – | 3,900 | ||||||||||||
Foreign
Exchange
|
||||||||||||||||
Currency
Contracts
|
– | 252 | – | 252 | ||||||||||||
Total
|
$ | 65,274 | $ | 150,479 | $ | – | $ | 215,753 | ||||||||
Liabilities:
|
||||||||||||||||
Options
Written
|
$ | 118 | $ | – | $ | – | $ | 118 | ||||||||
Foreign Exchange
Currency
Contracts
|
– | – | – | – | ||||||||||||
Total
|
$ | 118 | $ | – | $ | – | $ | 118 |
Managed
Assets
|
Rate
|
First
$200,000,000
|
0.0275%
|
Next
$300,000,000
|
0.0200%
|
Next
$500,000,000
|
0.0150%
|
Over
$1,000,000,000
|
0.0100%
|
Cost of
|
Net Tax
|
Net Tax
Unrealized
|
||
Investments
|
Gross Tax
|
Gross Tax
|
Unrealized
|
Appreciation
|
for Tax
|
Unrealized
|
Unrealized
|
Appreciation
|
on Derivatives
and
|
Purposes
|
Appreciation
|
Depreciation
|
on
Investments
|
Foreign
Currency
|
$198,925,115
|
$19,877,934
|
$(3,302,471)
|
$16,575,463
|
$239,815
|
Undistributed
|
Undistributed
|
Ordinary
|
Long-Term
|
Income/
|
Gains/
|
(Accumulated
|
(Accumulated
|
Ordinary
Loss)
|
Capital
Loss)
|
–
|
$(95,101,353)
|
Number of
Contracts
|
Premiums
Received
|
|||||||
Options outstanding, beginning of
year
|
3,973 | $ | 290,564 | |||||
Options written during the
year
|
13,983 | 626,371 | ||||||
Options expired during the
year
|
(5,995 | ) | (283,932 | ) | ||||
Options closed during the
year
|
(7,416 | ) | (455,334 | ) | ||||
Options assigned during the
year
|
(1,596 | ) | (72,719 | ) | ||||
Options outstanding, end of
year
|
2,949 | $ | 104,950 |
Short
Contracts
|
Current
Value
|
Unrealized
Appreciation/
Depreciation
|
||||||
EURO, 500,000 expiring
6/16/10
|
$ | 664,917 | $ | 22,083 | ||||
Japanese Yen, 380,000,000 expiring
6/16/10
|
4,043,949 | 151,701 | ||||||
Pound Sterling, 300,000 expiring
6/16/10
|
459,100 | (100 | ) | |||||
Swiss Franc, 3,300,000 expiring
6/16/10
|
3,063,200 | 78,162 | ||||||
$ | 251,846 |
Statement of Asset & Liabilities Presentation of Fair
Values of Derivative
Instruments:
|
||||
(amounts in thousands) | ||||
Asset
Derivatives
|
Liability
Derivatives
|
|||
Derivatives not accounted for as
hedging
instruments
|
Statement of
Assets and Liabilities
Location
|
Fair Value
|
Statement of
Assets and Liabilities
Location
|
Fair
Value
|
Equity
contracts
|
Investments in
securities (options
purchased)
|
$846
|
Options written,
at value
|
$118
|
Foreign exchange currency
contracts
|
Unrealized
appreciation on currency
contracts
|
252
|
Unrealized
depreciation on currency
contracts
|
–
|
Total
|
$1,098
|
$118
|
Effect of Derivative Instruments on the Statement of Operations: | |||
(amount in
thousands)
|
Amount of Realized Gain/(Loss) on Derivatives | |||
Derivatives not accounted for as
hedging instruments
|
Options
|
Foreign
Currency Transactions |
Total
|
Equity
contracts
|
$(537)
|
$ –
|
$(537)
|
Foreign exchange currency
contracts
|
–
|
38
|
38
|
Total
|
$(537)
|
$38
|
$(499)
|
Change in Unrealized Appreciation on Derivatives | |||
Derivatives not accounted for as
hedging
instruments
|
Options
|
Foreign
Currency Transactions |
Total
|
Equity
contracts
|
$(552)
|
$
–
|
$(552)
|
Foreign exchange currency
contracts
|
–
|
206
|
206
|
Total
|
$(552)
|
$206
|
$(346)
|
Supplemental Information
|
(unaudited)
|
In Favor
|
Against
|
# of Shares
Withheld
|
|
New Investment Advisory
Agreement
|
6,267,292
|
186,139
|
375,524
|
Name, Address, Year
of
Birth and
Position(s)
Held with
Registrant
|
Term of
Office*
and Length of
Time Served
|
Principal Occupations
During
the Past Five Years
and
Other
Affiliations
|
Number of
Funds
in Fund
Complex**
Overseen by
Trustee
|
Other
Directorships
Held by
Trustee
|
Independent
Trustees:
|
||||
Daniel Black+
Year of birth:
1960
Trustee
|
Since 2005
|
Partner, the
Wicks Group of Cos., LLC (2003-present). Formerly, Managing Director
and Co-head of the
Merchant Banking Group at BNY Capital Markets, a division of The
Bank of New York Co.,
Inc. (1998-2003).
|
3
|
Director of Penn
Foster Education Group, Inc.
|
Randall C.
Barnes++
Year of birth:
1951
Trustee
|
Since 2005
|
Private Investor
(2001-present), Formerly, Senior Vice President, Treasurer, PepsiCo,
Inc. (1993-1997),
President, Pizza Hut International (1991-1993) and Senior Vice
President, Strategic
Planning and New Business Development (1987-1990) of PepsiCo, Inc.
(1987-1997).
|
44
|
None.
|
Derek Medina+
Year of birth:
1966
Trustee
|
Since 2004
|
Senior Vice
President, Business Affairs at ABC News (2008-present). Vice President,
Business Affairs and News
Planning at ABC News (2003-2008). Formerly, Executive Director, Office
of the President at
ABC News (2000-2003). Former Associate at Cleary Gottlieb Steen &
Hamilton (law firm)
(1995-1998). Former associate in Corporate Finance at J.P. Morgan/
Morgan Guaranty
(1988-1990).
|
3
|
Director of Young
Scholar’s Institute.
|
Ronald A.
Nyberg++
Year of birth:
1953
Trustee
|
Since 2004
|
Partner of Nyberg
& Cassioppi, LLC, a law firm specializing in corporate law, estate
planning and business
transactions (2000-present). Formerly, Executive Vice President, General
Counsel and Corporate
Secretary of Van Kampen Investments (1982-1999).
|
47
|
None.
|
Gerald L. Seizert,
CFP+
Year of birth:
1952
Trustee
|
Since 2004
|
Chief Executive
Officer of Seizert Capital Partners, LLC, where he directs the equity
disciplines of the firm and
serves as a co-manager of the firm’s hedge fund, Proper Associates,
LLC (2000-present).
Formerly, Co-Chief Executive (1998-1999) and a Managing Partner and
Chief Investment
Officer-Equities of Munder Capital Management, LLC (1995-1999).
Former Vice President
and Portfolio Manager of Loomis, Sayles & Co., L.P. (asset manager)
(1984-1995). Former Vice
President and Portfolio Manager at First of America Bank
(1978-1984).
|
3
|
Former Director of Loomis, Sayles
and Co., L.P.
|
Michael A.
Smart+
Year of birth:
1960
Trustee
|
Since 2004
|
Managing Partner,
Cordova, Smart & Williams LLC, Advisor to First Atlantic Capital Ltd.,
(2001-present). Formerly, a Managing Director in Investment Banking-The
Private Equity Group (1995-2001) and a Vice President in Investment
Banking-Corporate Finance (1992-1995) at Merrill Lynch & Co. Founding
Partner of The Carpediem Group, a private placement firm (1991-1992).
Former Associate at Dillon, Read and Co.
(investment bank) (1988-1990).
|
3
|
Director,
Country Pure Foods, Chairman, Board of Directors, Berkshire Blanket,
Inc., President and Chairman, Board of Directors, Sqwincher
Holdings, Board of Directors, Sprint Industrial Holdings,
Co-chair
of the Board of H20
plus.
|
Interested
Trustees:
|
||||
Tracy V.
Maitland+***
Year of birth: 1960
Trustee, President
and
Chief Executive
Officer
|
Since 2004
|
President of
Advent Capital Management, LLC, which he founded in 1995. Prior to June
2001, President of
Advent Capital Management, a division of Utendahl
Capital.
|
3
|
None.
|
+
|
Address for all Trustees noted:
1065 Avenue of the Americas, 31st Floor, New York, NY
10018
|
++
|
Address for all Trustees noted:
2455 Corporate West Drive, Lisle, IL
60532
|
*
|
After a Trustee’s initial term,
each Trustee is expected to serve a three-year term concurrent with the
class of Trustees for which he
serves:
|
|
--- Messrs. Seizert, Medina and
Barnes, as Class III Trustees, are expected to stand for re-election at
the Fund’s 2010 annual meeting of
shareholders.
|
|
--- Messrs. Smart and Black, as
Class I Trustees, are expected to stand for re-election at the Fund’s 2011
annual meeting of
shareholders.
|
|
--- Messrs. Maitland and Nyberg,
as a Class II Trustees, are expected to stand for re-election at the
Fund’s 2012 annual meeting of
shareholders.
|
**
|
The Claymore Fund Complex consists
of U.S. registered investment companies advised or serviced by Claymore
Advisors, LLC or Claymore Securities, Inc. The Claymore Fund Complex is
overseen by multiple Boards of
Trustees
|
***
|
Mr. Maitland is an “interested
person” (as defined
in section 2(a)(19) of the 1940 Act) of the Fund because of his position
as an officer of Advent Capital Management, LLC, the Fund’s Investment
Manager.
|
Name, Address*, Year of Birth and
Position(s) Held with Registrant
|
Term of Office** and
Length of Time Served |
Principal Occupations During the
Past Five Years and Other Affiliations
|
Officers:
|
||
F. Barry
Nelson
Year of birth:
1943
Vice President and Assistant
Secretary
|
Since 2005
|
Co-Portfolio Manager at Advent
Capital Management, LLC (2001-present). Prior to 2001, Mr. Nelson held the
same position at Advent Capital Management, a division of Utendahl
Capital.
|
Robert White
Year of birth:
1965
Treasurer and
Chief Financial
Officer
|
Since 2005
|
Chief Financial Officer, Advent
Capital Management, LLC (2005-present). Previously, Vice President, Client
Service Manager, Goldman Sachs Prime Brokerage
(1997-2005).
|
Rodd Baxter
Year of birth:
1950
Secretary and Chief Compliance
Officer
|
Since 2005
|
General Counsel, Advent Capital
Management, LLC (2002-present); Formerly, Director and Senior Counsel, SG
Cowen Securities Corp.
(1998-2002).
|
*
|
Address for all Officers unless
otherwise noted: 1065 Avenue of the Americas, 31st Floor, New York, NY
10018
|
**
|
Officers serve at the pleasure of
the Board of Trustees and until his or her successor is appointed and
qualified or until his or her earlier resignation or
removal.
|
Dividend
Reinvestment Plan
|
(unaudited)
|
Investment
Management Agreement Re-Approval
|
(unaudited)
|
Fund
Information
|
Board of
Trustees
|
Officers
|
Investment
Manager
|
Randall C.
Barnes
|
Tracy V.
Maitland
|
Advent Capital Management,
LLC
|
President and Chief Executive
Officer
|
New York, New
York
|
|
Daniel
Black
|
||
F. Barry
Nelson
|
Investment Adviser
and
|
|
Tracy V.
Maitland*
|
Vice President and Assistant
Secretary
|
Administrator
|
Chairman
|
Claymore Advisors
LLC
|
|
Robert
White
|
Lisle,
Illinois
|
|
Derek Medina |
Treasurer and Chief Financial
Officer
|
|
Custodian and Transfer
Agent
|
||
Ronald A.
Nyberg
|
Rodd Baxter
|
The Bank of New York
Mellon
|
Secretary and Chief Compliance
Officer
|
New York, New
York
|
|
Gerald L.
Seizert
|
||
Legal
Counsel
|
||
Michael A.
Smart
|
Skadden, Arps, Slate, Meagher
&
|
|
Flom LLP
|
||
* Trustee is an “interested
person” of the Fund
as defined in the Investment Company Act of
1940, as amended.
|
New York, New
York
|
|
Independent Registered Public | ||
Accounting
Firm
|
||
PricewaterhouseCoopers
LLP
|
||
New York, New
York
|
|
•
|
If your shares are held in a
Brokerage Account, contact your
Broker.
|
|
•
|
If you have physical possession of
your shares in certificate form, contact the Fund’s Custodian and Transfer
Agent:
|
1
|
Screen the convertible and
high-yield markets for securities with attractive risk/reward
characteristics and favorable cash
flows;
|
2
|
Analyze the quality of issues to
help manage downside risk;
|
3
|
Analyze fundamentals to identify
catalysts for favorable performance;
and
|
4
|
Continually monitor the portfolio
for improving or deteriorating trends in the financials of each
investment.
|
Advent Capital Management,
LLC
1065
Avenue of the Americas
New
York, New York 10018
|
Claymore Securities,
Inc.
2455
Corporate West Drive
Lisle,
IL 60532
Member
FINRA/SIPC
(6/10)
|
|