Investment Company Act file number
|
811-21504
|
Advent/Claymore Enhanced Growth & 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)
|
LCM Advent/Claymore Enhanced Growth & Income Fund
|
|||||||
Portfolio of Investments
|
|||||||
January 31, 2013 (unaudited)
|
|||||||
Principal
|
Optional Call
|
||||||
Amount~
|
Description
|
Rating*
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
|
Long-Term Investments - 129.3%
|
|||||||
Convertible Bonds - 84.3%
|
|||||||
Auto Manufacturers - 1.5%
|
|||||||
2,395,000
|
Navistar International Corp(i)
|
CCC+
|
3.000%
|
10/15/2014
|
N/A
|
$2,278,244
|
|
Auto Parts & Equipment - 1.2%
|
|||||||
EUR 4,088,000
|
Faurecia, Series EO (France)
|
B2
|
3.250%
|
01/01/2018
|
N/A
|
1,080,855
|
|
927,000
|
Meritor, Inc.(c) (i)
|
B-
|
4.000%
|
02/15/2027
|
02/15/19 @ 100
|
719,004
|
|
1,799,859
|
|||||||
Biotechnology - 6.5%
|
|||||||
1,000,000
|
Cubist Pharmaceuticals, Inc.(i)
|
NR
|
2.500%
|
11/01/2017
|
N/A
|
1,605,000
|
|
1,250,000
|
Gilead Sciences, Inc., Series C(i)
|
A-
|
1.000%
|
05/01/2014
|
N/A
|
2,191,406
|
|
3,064,000
|
Illumina, Inc.(a) (h) (i)
|
NR
|
0.250%
|
03/15/2016
|
N/A
|
2,952,930
|
|
775,000
|
Medicines Co.(a)
|
NR
|
1.375%
|
06/01/2017
|
N/A
|
973,109
|
|
700,000
|
United Therapeutics Corp.(i)
|
NR
|
1.000%
|
09/15/2016
|
N/A
|
889,438
|
|
1,000,000
|
Vertex Pharmaceuticals, Inc.
|
NR
|
3.350%
|
10/01/2015
|
10/01/13 @ 101
|
1,136,250
|
|
9,748,133
|
|||||||
Coal - 5.4%
|
|||||||
5,670,000
|
Alpha Natural Resources, Inc.(i)
|
B-
|
2.375%
|
04/15/2015
|
N/A
|
5,329,800
|
|
2,870,000
|
Peabody Energy Corp.(i)
|
B+
|
4.750%
|
12/15/2041
|
12/20/36 @ 100
|
2,749,819
|
|
8,079,619
|
|||||||
Computers - 4.9%
|
|||||||
1,000,000
|
CACI International, Inc.
|
NR
|
2.125%
|
05/01/2014
|
N/A
|
1,105,000
|
|
2,353,000
|
EMC Corp., Series B(i)
|
A
|
1.750%
|
12/01/2013
|
N/A
|
3,639,809
|
|
2,145,000
|
SanDisk Corp.(i)
|
BB
|
1.500%
|
08/15/2017
|
N/A
|
2,682,590
|
|
7,427,399
|
|||||||
Diversified Financial Services - 3.9%
|
|||||||
1,600,000
|
Hong Kong Exchanges and Clearing Ltd. (Hong Kong)
|
NR
|
0.500%
|
10/23/2017
|
N/A
|
1,821,200
|
|
HKD 10,000,000
|
Tong Jie Ltd., Series 363 (British Virgin Islands)(b)
|
NR
|
0.000%
|
02/18/2018
|
N/A
|
1,326,169
|
|
2,500,000
|
Walter Investment Management Corp.(i)
|
NR
|
4.500%
|
11/01/2019
|
N/A
|
2,771,875
|
|
5,919,244
|
|||||||
Electric - 0.7%
|
|||||||
CNY 5,000,000
|
China Power International Development Ltd. (Hong Kong)
|
NR
|
2.250%
|
05/17/2016
|
N/A
|
997,379
|
|
Electrical Components & Equipment - 0.6%
|
|||||||
968,000
|
General Cable Corp.
|
B+
|
0.875%
|
11/15/2013
|
N/A
|
969,815
|
|
Electronics - 0.8%
|
|||||||
1,000,000
|
TPK Holding Co. Ltd., Series REGS (Cayman Islands)(b)
|
NR
|
0.000%
|
10/01/2017
|
N/A
|
1,206,500
|
|
Gas - 0.7%
|
|||||||
1,000,000
|
ENN Energy Holdings Ltd. (Cayman Islands)(b)
|
NR
|
0.000%
|
02/26/2018
|
N/A
|
1,034,995
|
|
Health Care Products - 6.2%
|
|||||||
2,000,000
|
HeartWare International, Inc.(i)
|
NR
|
3.500%
|
12/15/2017
|
N/A
|
2,408,750
|
|
872,000
|
Hologic, Inc., Series 2010(c) (d) (i)
|
B+
|
2.000%
|
12/15/2037
|
12/15/16 @ 100
|
1,082,370
|
|
1,950,000
|
Hologic, Inc., Series 2012(c) (e) (i)
|
B+
|
2.000%
|
03/01/2042
|
03/06/18 @ 100
|
2,108,438
|
|
3,681,000
|
Medtronic, Inc., Series B
|
A+
|
1.625%
|
04/15/2013
|
N/A
|
3,699,405
|
|
9,298,963
|
|||||||
Health Care Services - 2.4%
|
|||||||
2,500,000
|
LifePoint Hospitals, Inc.(i)
|
B
|
3.500%
|
05/15/2014
|
N/A
|
2,670,312
|
|
800,000
|
Molina Healthcare, Inc., Series MOH
|
NR
|
3.750%
|
10/01/2014
|
N/A
|
943,500
|
|
3,613,812
|
|||||||
Home Builders - 1.1%
|
|||||||
400,000
|
Ryland Group, Inc.
|
BB-
|
1.625%
|
05/15/2018
|
N/A
|
580,000
|
|
1,000,000
|
Toll Brothers Finance Corp.(a) (i)
|
BB+
|
0.500%
|
09/15/2032
|
09/15/17 @ 100
|
1,078,125
|
|
1,658,125
|
|||||||
Home Furnishings - 0.6%
|
|||||||
JPY 100,000,000
|
Sharp Corp., Series 20 (Japan)(b)
|
B+
|
0.000%
|
09/30/2013
|
N/A
|
944,006
|
|
Household Products & Housewares - 1.4%
|
|||||||
1,953,000
|
Jarden Corp.(a) (i)
|
B
|
1.875%
|
09/15/2018
|
N/A
|
2,155,624
|
|
Internet - 4.3%
|
|||||||
800,000
|
BroadSoft, Inc.(i)
|
NR
|
1.500%
|
07/01/2018
|
N/A
|
874,500
|
|
3,510,000
|
priceline.com, Inc.(a) (i)
|
BBB
|
1.000%
|
03/15/2018
|
N/A
|
3,893,906
|
|
2,000,000
|
WebMD Health Corp.(i)
|
NR
|
2.500%
|
01/31/2018
|
N/A
|
1,776,250
|
|
6,544,656
|
|||||||
Iron & Steel - 0.8%
|
|||||||
1,101,000
|
United States Steel Corp.(i)
|
BB
|
4.000%
|
05/15/2014
|
N/A
|
1,161,555
|
|
Lodging - 1.7%
|
|||||||
2,346,000
|
MGM Resorts International(i)
|
B+
|
4.250%
|
04/15/2015
|
N/A
|
2,548,342
|
|
Machinery-Diversified - 0.9%
|
|||||||
1,000,000
|
AGCO Corp.(i)
|
BB+
|
1.250%
|
12/15/2036
|
12/19/13 @ 100
|
1,335,000
|
|
Mining - 7.7%
|
|||||||
600,000
|
African Minerals Ltd. (Bermuda)
|
NR
|
8.500%
|
02/10/2017
|
02/24/15 @ 110
|
624,300
|
|
4,600,000
|
Kinross Gold Corp. (Canada)(i)
|
BBB-
|
1.750%
|
03/15/2028
|
03/20/13 @ 100
|
4,602,875
|
|
2,207,000
|
Newmont Mining Corp., Series B(i)
|
BBB+
|
1.625%
|
07/15/2017
|
N/A
|
2,704,954
|
|
3,318,000
|
Royal Gold, Inc.(i)
|
NR
|
2.875%
|
06/15/2019
|
N/A
|
3,645,653
|
|
11,577,782
|
|||||||
Oil & Gas - 3.4%
|
|||||||
2,995,000
|
Chesapeake Energy Corp.(i)
|
BB-
|
2.250%
|
12/15/2038
|
12/15/18 @ 100
|
2,628,112
|
|
1,700,000
|
Lukoil International Finance BV (Netherlands)(i)
|
BBB-
|
2.625%
|
06/16/2015
|
N/A
|
1,927,800
|
|
600,000
|
Stone Energy Corp.(a)
|
B-
|
1.750%
|
03/01/2017
|
N/A
|
555,000
|
|
5,110,912
|
|||||||
Oil & Gas Services - 2.9%
|
|||||||
1,000,000
|
Hornbeck Offshore Services, Inc.(a)
|
BB-
|
1.500%
|
09/01/2019
|
N/A
|
1,043,125
|
|
400,000
|
Subsea 7 SA, Series ACY (Luxembourg)(i)
|
NR
|
2.250%
|
10/11/2013
|
N/A
|
466,400
|
|
EUR 2,160,000
|
Technip SA, Series TEC (France)
|
BBB+
|
0.500%
|
01/01/2016
|
N/A
|
2,823,616
|
|
4,333,141
|
|||||||
Pharmaceuticals - 8.3%
|
|||||||
1,844,000
|
Auxilium Pharmaceuticals, Inc.
|
NR
|
1.500%
|
07/15/2018
|
N/A
|
1,944,268
|
|
1,651,000
|
Endo Health Solutions, Inc.(i)
|
NR
|
1.750%
|
04/15/2015
|
N/A
|
2,037,953
|
|
639,000
|
Isis Pharmaceuticals, Inc.(a)
|
NR
|
2.750%
|
10/01/2019
|
N/A
|
745,633
|
|
1,000,000
|
Medivation, Inc.
|
NR
|
2.625%
|
04/01/2017
|
N/A
|
1,339,375
|
|
1,600,000
|
Salix Pharmaceuticals Ltd.(a)
|
NR
|
1.500%
|
03/15/2019
|
N/A
|
1,670,000
|
|
JPY 75,000,000
|
Sawai Pharmaceutical Co. Ltd. (Japan)(b)
|
NR
|
0.000%
|
09/17/2015
|
N/A
|
937,911
|
|
1,925,000
|
Shire PLC, Series SHP (Jersey)
|
NR
|
2.750%
|
05/09/2014
|
N/A
|
2,227,225
|
|
1,471,000
|
Theravance, Inc.
|
NR
|
2.125%
|
01/15/2023
|
N/A
|
1,529,840
|
|
12,432,205
|
|||||||
Real Estate - 1.1%
|
|||||||
1,540,000
|
Forest City Enterprises, Inc.(i)
|
B
|
4.250%
|
08/15/2018
|
N/A
|
1,673,787
|
|
Real Estate Investment Trusts - 3.4%
|
|||||||
690,000
|
Boston Properties, LP(i)
|
A-
|
3.750%
|
05/15/2036
|
05/18/13 @ 100
|
740,887
|
|
1,500,000
|
Host Hotels & Resorts, LP(a) (i)
|
BB+
|
2.500%
|
10/15/2029
|
10/20/15 @ 100
|
2,036,250
|
|
2,000,000
|
SL Green Operating Partnership, LP(a) (i)
|
BB+
|
3.000%
|
10/15/2017
|
N/A
|
2,308,750
|
|
5,085,887
|
|||||||
Semiconductors - 5.1%
|
|||||||
1,500,000
|
Advanced Micro Devices, Inc.
|
B
|
6.000%
|
05/01/2015
|
N/A
|
1,443,750
|
|
2,000,000
|
Intel Corp.(i)
|
A-
|
3.250%
|
08/01/2039
|
N/A
|
2,408,750
|
|
1,500,000
|
Micron Technology, Inc., Series A(i)
|
NR
|
1.500%
|
08/01/2031
|
08/05/15 @ 100
|
1,538,438
|
|
750,000
|
ON Semiconductor Corp., Series B
|
BB
|
2.625%
|
12/15/2026
|
12/20/16 @ 100
|
837,656
|
|
1,300,000
|
SK Hynix, Inc. (South Korea)
|
NR
|
2.650%
|
05/14/2015
|
N/A
|
1,389,050
|
|
7,617,644
|
|||||||
Software - 1.9%
|
|||||||
3,000,000
|
Electronic Arts, Inc.
|
NR
|
0.750%
|
07/15/2016
|
N/A
|
2,848,125
|
|
Telecommunications - 4.3%
|
|||||||
1,500,000
|
Ciena Corp.
|
B
|
0.875%
|
06/15/2017
|
N/A
|
1,346,250
|
|
3,000,000
|
Ciena Corp.(a) (i)
|
B
|
3.750%
|
10/15/2018
|
N/A
|
3,386,250
|
|
1,200,000
|
Level 3 Communications, Inc.
|
CCC
|
6.500%
|
10/01/2016
|
N/A
|
1,744,500
|
|
6,477,000
|
|||||||
Transportation - 0.6%
|
|||||||
918,000
|
Ship Finance International Ltd. (Bermuda)
|
NR
|
3.250%
|
02/01/2018
|
N/A
|
929,475
|
|
Total Convertible Bonds - 84.3%
|
|||||||
(Cost $123,034,069)
|
126,807,228
|
||||||
Corporate Bonds - 19.5%
|
|||||||
Auto Manufacturers - 1.3%
|
|||||||
2,000,000
|
Navistar International Corp.(i)
|
CCC+
|
8.250%
|
11/01/2021
|
11/01/14 @ 104
|
1,975,000
|
|
Auto Parts & Equipment - 2.0%
|
|||||||
1,600,000
|
Goodyear Tire & Rubber Co.
|
B+
|
8.250%
|
08/15/2020
|
08/15/15 @ 104
|
1,764,000
|
|
1,204,000
|
Meritor, Inc.
|
B-
|
8.125%
|
09/15/2015
|
N/A
|
1,268,715
|
|
3,032,715
|
|||||||
Banks - 1.1%
|
|||||||
1,668,000
|
Synovus Financial Corp.
|
B-
|
5.125%
|
06/15/2017
|
N/A
|
1,663,830
|
|
Diversified Financial Services - 0.7%
|
|||||||
1,000,000
|
Air Lease Corp.
|
NR
|
5.625%
|
04/01/2017
|
N/A
|
1,060,000
|
|
Electronics - 0.7%
|
|||||||
200,000
|
NXP BV / NXP Funding, LLC (Netherlands)(a)
|
B
|
5.750%
|
02/15/2021
|
02/15/17 @ 103
|
200,000
|
|
918,000
|
Viasystems, Inc.(a)
|
BB-
|
7.875%
|
05/01/2019
|
05/01/15 @ 106
|
920,295
|
|
1,120,295
|
|||||||
Health Care Products - 1.1%
|
|||||||
1,500,000
|
Merge Healthcare, Inc.(i)
|
B+
|
11.750%
|
05/01/2015
|
05/01/13 @ 106
|
1,612,500
|
|
Health Care Services - 1.4%
|
|||||||
1,900,000
|
HCA, Inc.
|
B-
|
6.500%
|
02/15/2016
|
N/A
|
2,075,750
|
|
60,000
|
Health Net, Inc.
|
BB
|
6.375%
|
06/01/2017
|
N/A
|
63,750
|
|
2,139,500
|
|||||||
Household Products & Housewares - 1.6%
|
|||||||
2,250,000
|
Reynolds Group Issuer, Inc.(i)
|
CCC+
|
8.500%
|
05/15/2018
|
05/15/14 @ 104
|
2,373,750
|
|
Iron & Steel - 0.7%
|
|||||||
1,000,000
|
Edgen Murray Corp.(a)
|
B+
|
8.750%
|
11/01/2020
|
11/01/15 @ 107
|
1,027,500
|
|
Media - 1.8%
|
|||||||
1,550,000
|
Clear Channel Worldwide Holdings, Inc., Series B
|
B
|
7.625%
|
03/15/2020
|
03/15/15 @ 106
|
1,627,500
|
|
921,000
|
Media General, Inc.
|
B-
|
11.750%
|
02/15/2017
|
02/15/14 @ 106
|
1,059,150
|
|
2,686,650
|
|||||||
Mining - 1.4%
|
|||||||
1,000,000
|
FMG Resources August 2006 Pty Ltd. (Australia)(a) (i)
|
B+
|
6.875%
|
02/01/2018
|
02/01/14 @ 105
|
1,041,250
|
|
1,000,000
|
FMG Resources August 2006 Pty Ltd. (Australia)(a)
|
B+
|
8.250%
|
11/01/2019
|
11/01/15 @ 104
|
1,077,500
|
|
2,118,750
|
|||||||
Oil & Gas - 2.8%
|
|||||||
1,200,000
|
Alta Mesa Holdings, LP / Alta Mesa Finance Services Corp.(i)
|
B
|
9.625%
|
10/15/2018
|
10/15/14 @ 105
|
1,266,000
|
|
500,000
|
Calumet Specialty Products Partners, LP / Calumet Finance Corp.(a)
|
B
|
9.625%
|
08/01/2020
|
08/01/16 @ 105
|
561,250
|
|
1,500,000
|
OGX Austria GmbH (Austria)(a) (i)
|
B
|
8.375%
|
04/01/2022
|
04/01/17 @ 104
|
1,350,000
|
|
1,000,000
|
PetroBakken Energy Ltd. (Canada)(a)
|
CCC+
|
8.625%
|
02/01/2020
|
02/01/16 @ 104
|
1,025,000
|
|
4,202,250
|
|||||||
Pharmaceuticals - 0.1%
|
|||||||
200,000
|
Elan Finance PLC / Elan Finance Corp. (Ireland)(a)
|
BB-
|
6.250%
|
10/15/2019
|
10/15/15 @ 105
|
215,000
|
|
Software - 1.4%
|
|||||||
2,000,000
|
First Data Corp.(a)
|
B-
|
8.250%
|
01/15/2021
|
01/15/16 @ 104
|
2,070,000
|
|
Telecommunications - 1.4%
|
|||||||
1,370,000
|
Cricket Communications, Inc.
|
B-
|
7.750%
|
10/15/2020
|
10/15/15 @ 104
|
1,428,225
|
|
750,000
|
NII Capital Corp.
|
B-
|
8.875%
|
12/15/2019
|
12/15/14 @ 104
|
633,750
|
|
2,061,975
|
|||||||
Total Corporate Bonds - 19.5%
|
|||||||
(Cost $29,055,096)
|
29,359,715
|
||||||
Number
|
|||||||
of Shares
|
Description
|
Rating*
|
Coupon
|
Maturity
|
Value
|
||
Convertible Preferred Stocks - 8.7%
|
|||||||
Auto Manufacturers - 2.3%
|
|||||||
80,972
|
General Motors Co., Series B(i)
|
NR
|
4.750%
|
12/01/2013
|
3,507,707
|
||
Auto Parts & Equipment - 0.9%
|
|||||||
27,450
|
Goodyear Tire & Rubber Co.
|
NR
|
5.875%
|
04/01/2014
|
1,284,386
|
||
Banks - 2.4%
|
|||||||
2,000
|
Bank of America Corp., Series L(f) (i)
|
BB+
|
7.250%
|
-
|
2,371,540
|
||
50,000
|
Synovus Financial Corp., Series tMED
|
NR
|
8.250%
|
05/15/2013
|
1,152,500
|
||
3,524,040
|
|||||||
Insurance - 1.0%
|
|||||||
31,823
|
MetLife, Inc.
|
BBB-
|
5.000%
|
03/26/2014
|
1,552,644
|
||
Iron & Steel - 2.1%
|
|||||||
121,435
|
ArcelorMittal, Series MTUS (Luxembourg)(h) (i)
|
B+
|
6.000%
|
01/15/2016
|
|
3,164,900
|
|
Total Convertible Preferred Stocks - 8.7%
|
|||||||
(Cost $11,772,051)
|
13,033,677
|
||||||
Common Stocks - 16.8%
|
|||||||
Apparel - 0.4%
|
|||||||
17,000
|
Deckers Outdoor Corp.(g) (h) (i)
|
679,150
|
|||||
Banks - 2.6%
|
|||||||
39,900
|
Citigroup, Inc.(h) (i)
|
1,682,184
|
|||||
50,000
|
Mitsubishi UFJ Financial Group, Inc., ADR (Japan)
|
283,000
|
|||||
70,000
|
Mizuho Financial Group, Inc., ADR (Japan)
|
278,600
|
|||||
37,000
|
Sumitomo Mitsui Financial Group, Inc., ADR (Japan)
|
299,330
|
|||||
50,000
|
SunTrust Banks, Inc.(h) (i)
|
1,418,500
|
|||||
3,961,614
|
|||||||
Biotechnology - 2.9%
|
|||||||
25,755
|
Amgen, Inc.(h)
|
2,201,022
|
|||||
22,000
|
Illumina, Inc.(g) (h) (i)
|
1,113,860
|
|||||
16,000
|
Life Technologies Corp.(g) (h)
|
1,035,040
|
|||||
4,349,922
|
|||||||
Computers - 0.3%
|
|||||||
1,000
|
Apple, Inc.(h)
|
455,310
|
|||||
Electronics - 0.7%
|
|||||||
92,400
|
Vishay Intertechnology, Inc.(g) (h) (i)
|
1,015,476
|
|||||
Insurance - 0.9%
|
|||||||
36,333
|
American International Group, Inc.(g) (h) (i)
|
1,374,477
|
|||||
Internet - 0.8%
|
|||||||
1,500
|
Google, Inc., Class A(g) (h) (i)
|
1,133,535
|
|||||
Lodging - 1.6%
|
|||||||
20,000
|
Las Vegas Sands Corp.(h) (i)
|
1,105,000
|
|||||
10,000
|
Wynn Resorts Ltd.(h) (i)
|
1,252,200
|
|||||
2,357,200
|
|||||||
Media - 0.6%
|
|||||||
25,000
|
DISH Network Corp., Class A(h) (i)
|
931,750
|
|||||
Oil & Gas - 0.6%
|
|||||||
10,000
|
Occidental Petroleum Corp.(h) (i)
|
882,700
|
|||||
Pharmaceuticals - 2.4%
|
|||||||
17,000
|
BioMarin Pharmaceutical, Inc.(g) (h) (i)
|
933,130
|
|||||
75,000
|
Elan Corp. PLC, ADR (Ireland)(g) (h)
|
788,250
|
|||||
100,000
|
MannKind Corp.(g)
|
242,000
|
|||||
21,200
|
Onyx Pharmaceuticals, Inc.(g) (h) (i)
|
1,643,424
|
|||||
3,606,804
|
|||||||
Real Estate Investment Trusts - 0.5%
|
|||||||
39,064
|
Spirit Realty Capital, Inc.
|
760,186
|
|||||
Retail - 1.7%
|
|||||||
20,000
|
Limited Brands, Inc.(h) (i)
|
960,400
|
|||||
25,000
|
Tiffany & Co.(h) (i)
|
1,643,750
|
|||||
2,604,150
|
|||||||
Semiconductors - 0.8%
|
|||||||
34,000
|
Microchip Technology, Inc.(h) (i)
|
1,137,300
|
|||||
Total Common Stocks - 16.8%
|
|||||||
(Cost $23,646,428)
|
25,249,574
|
||||||
Warrants - 0.0%***
|
|||||||
99,000
|
MannKind Corp., expiring 02/15/2019
|
67,320
|
|||||
(Cost $30,360)
|
|||||||
Total Long-Term Investments - 129.3%
|
|||||||
(Cost $187,538,004)
|
194,517,514
|
||||||
Contracts (100 share per contract)
|
Options Purchased
|
Expiration
Date
|
Exercise
Price
|
Value
|
|||
Put Options Purchased - 0.4%
|
|||||||
7,000
|
iShares Russell 2000 Index Fund (g) (h)
|
March 2013
|
$86.00
|
658,000
|
|||
(Cost $815,264)
|
|||||||
Total Investments - 129.7%
|
|||||||
(Cost $188,353,268)
|
195,175,514
|
||||||
Other Assets in excess of Liabilities - 4.4%
|
6,659,555
|
||||||
Total Value of Options Written - (0.9%) (Premiums received $1,407,935)
|
(1,378,306)
|
||||||
Borrowings - (33.2% of Net Assets or 25.6% of Total Investments)
|
(50,000,000)
|
||||||
Net Assets - 100.0%
|
$ 150,456,763
|
ADR - American Depositary Receipt
|
||||||||
BV - Limited Liability Company
|
||||||||
CNY - Chinese Yuan
|
||||||||
EUR - Euro
|
||||||||
HKD - Hong Kong Dollar
|
||||||||
JPY - Japanese Yen
|
||||||||
LLC - Limited Liability Company
|
||||||||
LP - Limited Partnership
|
||||||||
N/A- Not Applicable
|
||||||||
PLC - Public Limited Company
|
||||||||
Pty - Proprietary
|
||||||||
SA - Corporation
|
||||||||
GmbH - Limited Liability
|
||||||||
~
|
The principal amount is denominated in U.S. Dollars unless otherwise noted.
|
|||||||
*
|
Ratings shown are per Standard & Poor's Rating Group, Moody's Investor Services, Inc. or Fitch Ratings. Securities classified as NR are not rated. (For securities not rated by Standard & Poor's Rating Group, the rating by Moody's Investor Services, Inc. is provided. Likewise, for securities not rated by Standard & Poor's Rating Group and Moody's Investor Services, Inc., the rating by Fitch Ratings is provided.) All ratings are unaudited. The ratings apply to the credit worthiness of the issuers of the underlying securities and not to the Fund or its shares.
|
|||||||
**
|
Date and price of the earliest optional call or put provision. There may be other call provisions at varying prices at later dates.
|
|||||||
***
|
Amount is less than 0.1%.
|
|||||||
(a)
|
Securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2013, these securities amounted to $32,286,497, which represents 21.5% of net assets.
|
|||||||
(b)
|
Zero coupon bond.
|
|||||||
(c )
|
Security is a "step-down" bond where the coupon decreases or steps down at a predetermined date. The rate shown reflects the rate in effect at January 31, 2013.
|
|||||||
(d)
|
Security becomes an accreting bond after December 15, 2016 with a 2.00% principal accretion rate.
|
|||||||
(e)
|
Security become an accreting bond after March 1, 2018 with a 2.00% principal accretion rate.
|
|||||||
(f)
|
Security is perpetual and, thus does not have a predetermined maturity date. The coupon rate shown is in effect as of January 31, 2013.
|
|||||||
(g)
|
Non-income producing security.
|
|||||||
(h)
|
All or a portion of this security is segregated as collateral (or potential collateral for future transactions) for written options.
|
|||||||
(i)
|
All or a portion of this security has been physically segregated in connection with the line of credit and forward exchange currency contracts. As of January 31, 2013, the total amount segregated was $100,638,655.
|
|||||||
See previously submitted notes to financial statements for the period ended October 31, 2012.
|
||||||||
Contracts (100 shares
per contract) |
Call Options Written (a)
|
Expiration
Month
|
Exercise
Price
|
Market Value
|
|
360
|
American International Group, Inc.
|
May 2013
|
$ 37.00
|
$(90,720)
|
|
250
|
Amgen, Inc.
|
April 2013
|
87.50
|
(49,500)
|
|
10
|
Apple, Inc.
|
June 2013
|
515.00
|
(9,200)
|
|
920
|
ArcelorMittal
|
January 2014
|
20.00
|
(97,520)
|
|
170
|
BioMarin Pharmaceutical, Inc.
|
July 2013
|
60.00
|
(59,500)
|
|
399
|
Citigroup, Inc.
|
June 2013
|
47.00
|
(41,496)
|
|
170
|
Deckers Outdoor Corp.
|
June 2013
|
45.00
|
(61,200)
|
|
250
|
DISH Network Corp.
|
June 2013
|
43.00
|
(28,750)
|
|
500
|
Elan Corp. PLC
|
July 2013
|
11.00
|
(37,500)
|
|
15
|
Google, Inc.
|
June 2013
|
750.00
|
(62,700)
|
|
220
|
Illumina, Inc.
|
January 2014
|
60.00
|
(53,900)
|
|
200
|
Las Vegas Sands Corp.
|
June 2013
|
60.00
|
(43,200)
|
|
160
|
Life Technologies Corp.
|
August 2013
|
75.00
|
(25,600)
|
|
200
|
Limited Brands, Inc.
|
May 2012
|
50.00
|
(30,400)
|
|
340
|
Microchip Technology, Inc.
|
April 2013
|
35.00
|
(18,700)
|
|
100
|
Occidental Petroleum Corp.
|
May 2013
|
85.00
|
(54,500)
|
|
212
|
Onyx Pharmaceuticals, Inc.
|
August 2013
|
100.00
|
(43,460)
|
|
500
|
SunTrust Banks, Inc.
|
April 2013
|
30.00
|
(27,500)
|
|
250
|
Tiffany & Co.
|
August 2013
|
67.50
|
(110,000)
|
|
924
|
Vishay Intertechnology, Inc.
|
July 2013
|
12.50
|
(36,960)
|
|
100
|
Wynn Resorts Ltd.
|
June 2013
|
130.00
|
(60,000)
|
|
Total Value of Call Options Written
|
(1,042,306)
|
||||
(Premiums received $(997,208))
|
|||||
Put Options Written (a)
|
|||||
7,000
|
iShares Russell 2000 Index Fund
|
March 2013
|
83.00
|
(336,000)
|
|
(Premiums received $(410,727))
|
|||||
Total Value of Options Written
|
|||||
(Premiums received $(1,407,935))
|
$(1,378,306)
|
||||
(a)
|
Non-income producing security.
|
Country Breakdown as a % of Long-Term Investments
|
|
United States
|
82.5%
|
Canada
|
2.9%
|
France
|
2.0%
|
Luxembourg
|
1.9%
|
Hong Kong
|
1.5%
|
Japan
|
1.4%
|
Cayman Islands
|
1.1%
|
Jersey
|
1.1%
|
Netherlands
|
1.1%
|
Australia
|
1.1%
|
Bermuda
|
0.8%
|
South Korea
|
0.7%
|
Austria
|
0.7%
|
British Virgin Islands
|
0.7%
|
Ireland
|
0.5%
|
Subject to change daily.
|
At January 31, 2013, the following forward exchange currency contracts were outstanding:
|
||||||||||||||||||
Forward Exchange Currency Contracts
|
||||||||||||||||||
Contracts to Sell
|
Counterparty
|
Settlement Date
|
Settlement Value
|
Value at 1/31/2013
|
Net Unrealized Appreciation (Depreciation)
|
|||||||||||||
EUR
|
7,828,000 |
|
|
|
||||||||||||||
for USD
|
10,276,134 |
The Bank of New York Mellon
|
3/19/2013
|
$ | 10,276,134 | $ | 10,628,433 | $ | (352,299 | ) | ||||||||
EUR
|
9,072 |
|
||||||||||||||||
for USD
|
12,238 |
The Bank of New York Mellon
|
2/4/2013
|
12,238 | 12,314 | (76 | ) | |||||||||||
GBP
|
2,700,000 | |||||||||||||||||
for USD
|
4,466,503 |
The Bank of New York Mellon
|
3/19/2013
|
4,466,503 | 4,390,599 | 75,904 | ||||||||||||
HKD
|
5,215,500 | |||||||||||||||||
for USD
|
672,421 |
The Bank of New York Mellon
|
2/4/2013
|
672,421 | 672,490 | (69 | ) | |||||||||||
JPY
|
187,500,000 | |||||||||||||||||
for USD
|
2,214,240 |
The Bank of New York Mellon
|
3/19/2013
|
2,214,240 | 2,055,197 | 159,043 | ||||||||||||
(117,497 | ) | |||||||||||||||||
Contracts to Buy
|
Counterparty
|
Settlement Date
|
Settlement Value
|
Value at 1/31/2013
|
Net Unrealized Appreciation (Depreciation)
|
|||||||||||||
EUR
|
4,858,000 |
|
||||||||||||||||
for USD
|
6,470,865 |
The Bank of New York Mellon
|
3/19/2013
|
$ | 6,470,865 | $ | 6,595,928 | $ | 125,063 | |||||||||
GBP
|
2,770,000 | |||||||||||||||||
for USD
|
4,477,001 |
The Bank of New York Mellon
|
3/19/2013
|
4,477,000 | 4,390,599 | (86,401 | ) | |||||||||||
HKD
|
10,050,000 | |||||||||||||||||
for USD
|
1,296,540 |
The Bank of New York Mellon
|
2/15/2013
|
1,296,540 | 1,295,921 | (619 | ) | |||||||||||
JPY
|
16,000,000 | |||||||||||||||||
for USD
|
181,188 |
The Bank of New York Mellon
|
3/19/2013
|
181,188 | 175,377 | (5,811 | ) | |||||||||||
$ | 32,232 | |||||||||||||||||
Total unrealized depreciation on forward exchange currency contracts
|
$ | (85,265 | ) | |||||||||||||||
At January 31, 2013, the cost and related gross unrealized appreciation and depreciation on investments for
|
|||||||||||
tax purposes were 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 Depreciation on Derivatives and Foreign Currency
|
||||||||||||||
$ | 189,179,310 | $ | 8,506,053 | $ | (2,509,849 | ) | $ | 5,996,204 | $ | (55,636 | ) | |||||||
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 for which there are no transactions on a given day
|
|||||||||||
are valued at the mean of the closing bid and asked prices. Securities
|
|||||||||||
traded on NASDAQ are valued at the NASDAQ Official Closing Price.
|
|||||||||||
Equity securities not listed on a securities exchange or NASDAQ are
|
|||||||||||
valued at the mean of the closing bid and asked prices. Debt securities
|
|||||||||||
are valued by independent pricing services or dealers using the mean of
|
|||||||||||
the closing bid and asked 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 are valued at the last sales price or official closing price on
|
|||||||||||
the exchange where the security is principally traded. The 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. Futures contracts are valued using the settlement price
|
|||||||||||
established each day on the exchange on which they are 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 asked prices
|
|||||||||||
on the primary exchange on which they are traded. Short-term securities
|
|||||||||||
with remaining maturities of 60 days or less are valued at amortized cost,
|
|||||||||||
which approximates market value.
|
|||||||||||
For those securities where quotations or prices are not available, the valuations
|
|||||||||||
are determined in accordance with procedures established in good faith by management
|
|||||||||||
and approved by the Board of Trustees ("Trustees"). A valuation committee consisting
|
|||||||||||
of representatives from investments, fund administration, legal and compliance is responsible for the oversight
|
|||||||||||
of the valuation process of the Fund and convenes monthly, or more frequently as needed. The valuation
|
|||||||||||
committee reviews monthly Level 3 fair valued securities methodology, price overrides, broker quoted securities,
|
|||||||||||
price source changes, illiquid securities, stale priced securities, halted securities, price challenges, fair valued
|
|||||||||||
securities sold and back testing trade prices in relation to prior day closing prices. On a quarterly basis, the
|
|||||||||||
valuations and methodologies of all Level 3 fair valued securities are presented to the Fund's Trustees.
|
|||||||||||
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
|
|||||||||||
pricing context 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 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 Trustees at January 31, 2013.
|
|||||||||||
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 Bond & 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 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 January 31, 2013.
|
|||||||||||
The following table represents the Fund’s investments carried by caption and by level
|
|||||||||||
within the fair value hierarchy as of January 31, 2013:
|
|||||||||||
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
|
$ | - | $ | 126,807 | $ | - | $ | 126,807 | ||||||||
Convertible Preferred Stocks
|
13,034 | - | - | 13,034 | ||||||||||||
Common Stocks
|
25,250 | - | - | 25,250 | ||||||||||||
Corporate Bonds
|
- | 29,360 | - | 29,360 | ||||||||||||
Warrants
|
67 | - | 67 | |||||||||||||
Options Purchased
|
658 | - | - | 658 | ||||||||||||
Foreign Exchange Currency Contracts
|
- | 360 | - | 360 | ||||||||||||
Total
|
$ | 38,942 | $ | 156,594 | $ | - | $ | 195,536 | ||||||||
Liabilities:
|
||||||||||||||||
Options Written
|
$ | 1,378 | $ | - | $ | - | $ | 1,378 | ||||||||
Foreign Exchange Currency Contracts
|
- | 445 | - | 445 | ||||||||||||
Total
|
$ | 1,378 | $ | 445 | $ | - | $ | 1,823 |
If not referenced in the table, please refer to the Portfolio of Investments
|
|||||||||||
for the breakdown of investment type by industry category.
|
|||||||||||
During the three months ended January 31, 2013, there were no transfers between
|
|||||||||||
Level 1 and Level 2 and there were no Level 3 transfers.
|
|
(a)
|
The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) as of a date within 90 days of the filing date of this report and have concluded, based on such evaluation, that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant on this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.
|
|
(b)
|
There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the registrant’s last fiscal quarter that has materially affected or is reasonably likely to materially affect the registrant’s internal control over financial reporting.
|
Advent/Claymore Enhanced Growth & Income Fund
|
By:
|
/s/ Tracy V. Maitland |
Date:
|
March 27, 2013
|
By:
|
/s/ Tracy V. Maitland |
Date:
|
March 27, 2013
|
By:
|
/s/ Robert White |
Date:
|
March 27, 2013
|