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
|
||||||||
July 31, 2013 (unaudited)
|
||||||||
Principal
|
Optional Call
|
|||||||
Amount ~
|
Description
|
Rating*
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
||
Long-Term Investments - 128.6%
|
||||||||
Convertible Bonds - 100.5%
|
||||||||
Auto Manufacturers - 4.0%
|
||||||||
$2,704,000
|
Navistar International Corp.(i) (j)
|
CCC
|
3.000%
|
10/15/2014
|
N/A
|
$2,729,350
|
||
2,750,000
|
Tesla Motors, Inc.(i) (j)
|
NR
|
1.500%
|
06/01/2018
|
N/A
|
3,588,750
|
||
6,318,100
|
||||||||
Auto Parts & Equipment - 1.1%
|
||||||||
1,922,000
|
Meritor, Inc.(c) (j)
|
B-
|
4.000%
|
02/15/2027
|
02/15/19 @ 100
|
1,792,265
|
||
Biotechnology - 5.8%
|
||||||||
1,562,000
|
Cubist Pharmaceuticals, Inc.(j)
|
NR
|
2.500%
|
11/01/2017
|
N/A
|
3,444,210
|
||
366,000
|
Dendreon Corp.(j)
|
NR
|
2.875%
|
01/15/2016
|
N/A
|
267,638
|
||
1,250,000
|
Gilead Sciences, Inc., Series C(j)
|
A-
|
1.000%
|
05/01/2014
|
N/A
|
3,403,125
|
||
544,000
|
InterMune, Inc.(j)
|
NR
|
2.500%
|
12/15/2017
|
N/A
|
771,800
|
||
1,132,000
|
Merrimack Pharmaceuticals, Inc.
|
NR
|
4.500%
|
07/15/2020
|
N/A
|
1,171,186
|
||
9,057,959
|
||||||||
Building Materials - 0.4%
|
||||||||
513,000
|
Cemex SAB de CV (Mexico)
|
NR
|
4.875%
|
03/15/2015
|
N/A
|
615,600
|
||
Coal - 4.1%
|
||||||||
5,256,000
|
Alpha Appalachia Holdings, Inc.(j)
|
B
|
3.250%
|
08/01/2015
|
N/A
|
4,924,215
|
||
1,677,000
|
Alpha Natural Resources, Inc.(j)
|
B-
|
2.375%
|
04/15/2015
|
N/A
|
1,563,802
|
||
6,488,017
|
||||||||
Computers - 2.0%
|
||||||||
1,953,000
|
EMC Corp., Series B(j)
|
A
|
1.750%
|
12/01/2013
|
N/A
|
3,188,282
|
||
Diversified Financial Services - 1.9%
|
||||||||
1,600,000
|
HKEx International Ltd. (Hong Kong)
|
NR
|
0.500%
|
10/23/2017
|
N/A
|
1,680,000
|
||
HKD 10,000,000
|
Tong Jie Ltd., Series 363 (British Virgin Islands)(b)
|
NR
|
0.000%
|
02/18/2018
|
N/A
|
1,282,985
|
||
2,962,985
|
||||||||
Electric - 0.4%
|
||||||||
CNY 2,300,000
|
China Power International Development Ltd. (Hong Kong)
|
NR
|
2.250%
|
05/17/2016
|
N/A
|
593,867
|
||
Electrical Components & Equipment - 2.1%
|
||||||||
JPY 300,000,000
|
Nidec Corp. (Japan)(b)
|
NR
|
0.000%
|
09/18/2015
|
N/A
|
3,285,039
|
||
Electronics - 0.8%
|
||||||||
1,250,000
|
TPK Holding Co. Ltd., Series REGS (Cayman Islands)(b)
|
NR
|
0.000%
|
10/01/2017
|
N/A
|
1,331,250
|
||
Food - 0.6%
|
||||||||
GBP 550,000
|
J Sainsbury PLC (United Kingdom)
|
NR
|
4.250%
|
07/16/2014
|
N/A
|
927,633
|
||
Gas - 0.9%
|
||||||||
1,250,000
|
ENN Energy Holdings Ltd. (Cayman Islands)(b)
|
NR
|
0.000%
|
02/26/2018
|
N/A
|
1,398,437
|
||
Hand & Machine Tools - 1.5%
|
||||||||
JPY 105,000,000
|
Disco Corp. (Japan)(b)
|
NR
|
0.000%
|
12/16/2014
|
N/A
|
1,215,953
|
||
JPY 90,000,000
|
OSG Corp. (Japan)(b)
|
NR
|
0.000%
|
04/04/2022
|
N/A
|
1,108,586
|
||
2,324,539
|
||||||||
Health Care Products - 9.1%
|
||||||||
2,360,000
|
HeartWare International, Inc.(j)
|
NR
|
3.500%
|
12/15/2017
|
N/A
|
2,899,850
|
||
HKD 29,000,000
|
Hengan International Group Co. Ltd. (Cayman Islands)(b)
|
NR
|
0.000%
|
06/27/2018
|
N/A
|
3,851,535
|
||
687,000
|
Hologic, Inc., Series 2010(c) (d) (j)
|
B+
|
2.000%
|
12/15/2037
|
12/15/16 @ 100
|
810,230
|
||
2,500,000
|
Hologic, Inc.(c) (g)
|
B+
|
2.000%
|
12/15/2037
|
12/15/13 @ 100
|
2,514,075
|
||
2,596,000
|
Hologic, Inc., Series 2012(c) (e) (j)
|
B+
|
2.000%
|
03/01/2042
|
03/06/18 @ 100
|
2,774,475
|
||
1,465,000
|
Volcano Corp.(j)
|
NR
|
1.750%
|
12/01/2017
|
N/A
|
1,399,075
|
||
14,249,240
|
||||||||
Health Care Services - 1.9%
|
||||||||
1,855,000
|
LifePoint Hospitals, Inc.(j)
|
B
|
3.500%
|
05/15/2014
|
N/A
|
2,035,863
|
||
829,000
|
Molina Healthcare, Inc.(a) (j)
|
NR
|
1.125%
|
01/15/2020
|
N/A
|
912,418
|
||
2,948,281
|
||||||||
Home Builders - 2.6%
|
||||||||
1,026,000
|
Lennar Corp.(a) (j)
|
BB-
|
2.000%
|
12/01/2020
|
12/01/13 @ 100
|
1,292,760
|
||
1,536,000
|
Ryland Group, Inc.
|
BB-
|
1.625%
|
05/15/2018
|
N/A
|
2,179,200
|
||
616,000
|
Toll Brothers Finance Corp.(a)
|
BB+
|
0.500%
|
09/15/2032
|
09/15/17 @ 100
|
619,080
|
||
4,091,040
|
||||||||
Home Furnishings - 1.4%
|
||||||||
JPY 100,000,000
|
Sony Corp. (Japan)(b)
|
NR
|
0.000%
|
11/30/2017
|
N/A
|
2,204,768
|
||
Household Products & Housewares - 0.9%
|
||||||||
1,381,000
|
Jarden Corp.(a) (j)
|
B
|
1.500%
|
06/15/2019
|
N/A
|
1,422,430
|
||
Insurance - 1.9%
|
||||||||
2,137,000
|
Radian Group, Inc.
|
B-
|
3.000%
|
11/15/2017
|
N/A
|
3,046,561
|
||
Internet - 3.6%
|
||||||||
1,000,000
|
Equinix, Inc.(j)
|
B+
|
3.000%
|
10/15/2014
|
N/A
|
1,628,125
|
||
1,746,000
|
priceline.com, Inc.(i) (j)
|
BBB
|
1.000%
|
03/15/2018
|
N/A
|
2,093,017
|
||
2,000,000
|
WebMD Health Corp.(j)
|
NR
|
2.500%
|
01/31/2018
|
N/A
|
1,955,000
|
||
5,676,142
|
||||||||
Investment Companies - 1.4%
|
||||||||
2,152,000
|
Ares Capital Corp.(a)
|
BBB
|
4.375%
|
01/15/2019
|
N/A
|
2,138,550
|
||
Lodging - 1.4%
|
||||||||
1,888,000
|
MGM Resorts International(i) (j)
|
B+
|
4.250%
|
04/15/2015
|
N/A
|
2,205,420
|
||
Machinery-Diversified - 2.6%
|
||||||||
JPY 200,000,000
|
Ebara Corp., Series 6 (Japan)(b)
|
NR
|
0.000%
|
03/19/2018
|
N/A
|
2,633,237
|
||
JPY 100,000,000
|
IHI Corp. (Japan)(b)
|
NR
|
0.000%
|
03/29/2016
|
N/A
|
1,518,733
|
||
4,151,970
|
||||||||
Mining - 6.2%
|
||||||||
3,800,000
|
Glencore Finance Europe SA (Luxembourg)
|
BBB
|
5.000%
|
12/31/2014
|
N/A
|
4,173,350
|
||
2,207,000
|
Newmont Mining Corp., Series B(j)
|
BBB+
|
1.625%
|
07/15/2017
|
N/A
|
2,442,873
|
||
3,318,000
|
Royal Gold, Inc.(j)
|
NR
|
2.875%
|
06/15/2019
|
N/A
|
3,212,239
|
||
9,828,462
|
||||||||
Miscellaneous Manufacturing - 0.7%
|
||||||||
JPY 100,000,000
|
Nikkiso Co. Ltd., Series 6376 (Japan)(b)
|
NR
|
0.000%
|
08/02/2018
|
N/A
|
1,109,639
|
||
Oil & Gas - 2.3%
|
||||||||
4,058,000
|
Chesapeake Energy Corp.(j)
|
BB-
|
2.250%
|
12/15/2038
|
12/15/18 @ 100
|
3,560,895
|
||
Oil & Gas Services - 2.7%
|
||||||||
1,923,000
|
Hornbeck Offshore Services, Inc.(a) (j)
|
BB-
|
1.500%
|
09/01/2019
|
N/A
|
2,324,426
|
||
EUR 1,500,000
|
Technip SA, Series TEC (France)
|
BBB+
|
0.500%
|
01/01/2016
|
N/A
|
1,964,767
|
||
4,289,193
|
||||||||
Pharmaceuticals - 8.5%
|
||||||||
1,471,000
|
Auxilium Pharmaceuticals, Inc.(j)
|
NR
|
1.500%
|
07/15/2018
|
N/A
|
1,492,146
|
||
702,000
|
Isis Pharmaceuticals, Inc.(a) (j)
|
NR
|
2.750%
|
10/01/2019
|
N/A
|
1,293,435
|
||
1,100,000
|
Medivation, Inc.(j)
|
NR
|
2.625%
|
04/01/2017
|
N/A
|
1,526,937
|
||
1,600,000
|
Salix Pharmaceuticals Ltd.(j)
|
NR
|
1.500%
|
03/15/2019
|
N/A
|
2,053,000
|
||
JPY 235,000,000
|
Sawai Pharmaceutical Co. Ltd. (Japan)(b)
|
NR
|
0.000%
|
09/17/2015
|
N/A
|
3,112,666
|
||
1,445,000
|
Shire PLC, Series SHP (Jersey)
|
NR
|
2.750%
|
05/09/2014
|
N/A
|
1,699,320
|
||
1,886,000
|
Vivus, Inc.(a)
|
NR
|
4.500%
|
05/01/2020
|
N/A
|
2,206,620
|
||
13,384,124
|
||||||||
Real Estate - 3.4%
|
||||||||
SGD 3,750,000
|
CapitaLand Ltd., Series REGS (Singapore)
|
NR
|
1.850%
|
06/19/2020
|
N/A
|
2,806,723
|
||
2,631,000
|
Forest City Enterprises, Inc.(a)
|
BB-
|
3.625%
|
08/15/2020
|
08/15/18 @ 100
|
2,598,603
|
||
5,405,326
|
||||||||
Real Estate Investment Trusts - 3.5%
|
||||||||
1,029,000
|
BioMed Realty, LP(a)
|
NR
|
3.750%
|
01/15/2030
|
01/21/15 @ 100
|
1,257,309
|
||
GBP 900,000
|
Derwent London Capital No. 2 Jersey Ltd., Series DLN (Jersey)
|
BBB
|
1.125%
|
07/24/2019
|
N/A
|
1,372,475
|
||
1,000,000
|
SL Green Operating Partnership, LP(a) (j)
|
BB+
|
3.000%
|
10/15/2017
|
N/A
|
1,228,750
|
||
1,500,000
|
Starwood Property Trust, Inc.
|
BB-
|
4.000%
|
01/15/2019
|
N/A
|
1,591,875
|
||
5,450,409
|
||||||||
Semiconductors - 6.3%
|
||||||||
3,045,000
|
Advanced Micro Devices, Inc.(j)
|
B
|
6.000%
|
05/01/2015
|
N/A
|
3,153,478
|
||
1,014,000
|
Micron Technology, Inc.(i)
|
BB-
|
1.875%
|
06/01/2014
|
N/A
|
1,135,680
|
||
1,816,000
|
Micron Technology, Inc., Series A(i) (j)
|
NR
|
1.500%
|
08/01/2031
|
08/05/15 @ 100
|
2,601,420
|
||
2,800,000
|
SK Hynix, Inc. (South Korea)
|
NR
|
2.650%
|
05/14/2015
|
N/A
|
3,057,600
|
||
9,948,178
|
||||||||
Software - 8.0%
|
||||||||
1,732,000
|
Allscripts Healthcare Solutions, Inc.(a)
|
NR
|
1.250%
|
07/01/2020
|
N/A
|
1,958,242
|
||
699,000
|
Cornerstone OnDemand, Inc.(a) (j)
|
NR
|
1.500%
|
07/01/2018
|
N/A
|
740,940
|
||
1,676,000
|
Electronic Arts, Inc.(j)
|
NR
|
0.750%
|
07/15/2016
|
N/A
|
1,844,648
|
||
3,677,000
|
Nuance Communications, Inc.(j)
|
BB-
|
2.750%
|
08/15/2027
|
08/20/14 @ 100
|
4,256,128
|
||
3,333,000
|
Salesforce.com, Inc.(a) (j)
|
BB
|
0.250%
|
04/01/2018
|
N/A
|
3,320,501
|
||
500,000
|
Take-Two Interactive Software, Inc.
|
NR
|
1.000%
|
07/01/2018
|
N/A
|
527,500
|
||
12,647,959
|
||||||||
Telecommunications - 6.5%
|
||||||||
1,089,000
|
Ciena Corp.(j)
|
B
|
0.875%
|
06/15/2017
|
N/A
|
1,060,414
|
||
2,408,000
|
Ciena Corp.(a) (j)
|
B
|
3.750%
|
10/15/2018
|
N/A
|
3,261,335
|
||
3,606,000
|
Clearwire Communications, LLC / Clearwire Finance, Inc.(a) (j)
|
NR
|
8.250%
|
12/01/2040
|
12/01/17 @ 100
|
4,011,675
|
||
JPY 100,000,000
|
KDDI Corp. (Japan)(b)
|
NR
|
0.000%
|
12/14/2015
|
N/A
|
1,922,627
|
||
10,256,051
|
||||||||
Total Convertible Bonds - 100.5%
|
||||||||
(Cost $149,717,481)
|
158,298,611
|
|||||||
Corporate Bonds - 6.3%
|
||||||||
Diversified Financial Services - 0.4%
|
||||||||
$607,000
|
SLM Corp., Series MTN
|
BBB-
|
3.875%
|
09/10/2015
|
N/A
|
621,416
|
||
Household Products & Housewares - 1.9%
|
||||||||
2,815,000
|
Reynolds Group Issuer, Inc.
|
CCC+
|
8.500%
|
05/15/2018
|
05/15/14 @ 104
|
2,941,675
|
||
Lodging - 1.1%
|
||||||||
1,213,537
|
Inn of the Mountain Gods Resort & Casino(a) (f) (j)
|
NR
|
1.250%
|
11/30/2020
|
10/01/13 @ 100
|
1,149,827
|
||
500,000
|
MTR Gaming Group, Inc.(j)
|
B-
|
11.500%
|
08/01/2019
|
08/01/15 @ 106
|
528,750
|
||
1,678,577
|
||||||||
Media - 1.1%
|
||||||||
1,650,000
|
Media General, Inc.(j)
|
B+
|
11.750%
|
02/15/2017
|
02/15/14 @ 106
|
1,831,500
|
||
Mining - 0.5%
|
||||||||
715,000
|
FMG Resources August 2006 Pty Ltd. (Australia)(a) (j)
|
B+
|
6.875%
|
02/01/2018
|
02/01/14 @ 105
|
731,981
|
||
Oil & Gas - 1.3%
|
||||||||
500,000
|
Alta Mesa Holdings, LP / Alta Mesa Finance Services Corp.(j)
|
B
|
9.625%
|
10/15/2018
|
10/15/14 @ 105
|
527,500
|
||
1,578,000
|
Lightstream Resources Ltd. (Canada)(a)
|
CCC+
|
8.625%
|
02/01/2020
|
02/01/16 @ 104
|
1,546,440
|
||
2,073,940
|
||||||||
Total Corporate Bonds - 6.3%
|
||||||||
(Cost $9,867,994)
|
9,879,089
|
|||||||
Number
|
||||||||
of Shares
|
Description
|
Value
|
||||||
Convertible Preferred Stock - 4.1%
|
||||||||
Insurance - 0.8%
|
||||||||
$ 20,626
|
MetLife, Inc.(j)
|
BBB-
|
5.000%
|
03/26/2014
|
$ 1,176,920
|
|||
Iron & Steel - 2.2%
|
||||||||
165,163
|
ArcelorMittal, Series MTUS (Luxembourg)(i) (j)
|
B+
|
6.000%
|
01/15/2016
|
3,512,290
|
|||
Telecommunications - 1.1%
|
||||||||
1,824
|
Lucent Technologies Capital Trust I
|
CCC-
|
7.750%
|
03/15/2017
|
1,793,448
|
|||
Total Convertible Preferred Stocks - 4.1%
|
||||||||
(Cost $6,851,102)
|
6,482,658
|
|||||||
Common Stocks - 17.3%
|
||||||||
Auto Manufacturers - 1.4%
|
||||||||
61,700
|
General Motors Co.(h) (i) (j)
|
2,213,179
|
||||||
Banks - 4.4%
|
||||||||
299,800
|
Mitsubishi UFJ Financial Group, Inc. (Japan)
|
1,831,933
|
||||||
914,600
|
Mizuho Financial Group, Inc. (Japan)
|
1,887,691
|
||||||
50,000
|
Morgan Stanley(i) (j)
|
1,360,500
|
||||||
41,500
|
Sumitomo Mitsui Financial Group, Inc. (Japan)
|
1,892,405
|
||||||
6,972,529
|
||||||||
Biotechnology - 1.3%
|
||||||||
8,000
|
Alexion Pharmaceuticals, Inc.(h) (i) (j)
|
929,840
|
||||||
100,000
|
Amarin Corp. PLC - ADR (United Kingdom)(h) (i) (j)
|
546,000
|
||||||
76,532
|
Harvard Bioscience, Inc.(h) (j)
|
409,446
|
||||||
10,000
|
NPS Pharmaceuticals, Inc.(h)
|
180,100
|
||||||
2,065,386
|
||||||||
Commercial Services - 0.3%
|
||||||||
25,800
|
Park24 Co. Ltd. (Japan)
|
473,216
|
||||||
Computers - 0.3%
|
||||||||
40,491
|
Dell, Inc.
|
513,021
|
||||||
Health Care Services - 0.5%
|
||||||||
27,000
|
Brookdale Senior Living, Inc.(h) (j)
|
786,240
|
||||||
Insurance - 1.2%
|
||||||||
40,000
|
American International Group, Inc.(i) (j)
|
1,820,400
|
||||||
Media - 0.6%
|
||||||||
21,698
|
DISH Network Corp., Class A (h)
|
968,816
|
||||||
Miscellaneous Manufacturing - 0.4%
|
||||||||
23,900
|
FUJIFILM Holdings Corp. (Japan)
|
523,173
|
||||||
Pharmaceuticals - 3.2%
|
||||||||
27,000
|
BioMarin Pharmaceutical, Inc.(h) (i) (j)
|
1,745,550
|
||||||
15,000
|
Onyx Pharmaceuticals, Inc.(h) (i) (j)
|
1,969,500
|
||||||
7,000
|
Pharmacyclics, Inc.(h) (i) (j)
|
760,410
|
||||||
40,000
|
Vivus, Inc.(h)
|
592,400
|
||||||
5,067,860
|
||||||||
Retail - 2.6%
|
||||||||
87,500
|
Aeropostale, Inc.(h) (i) (j)
|
1,323,875
|
||||||
50,000
|
JC Penney Co., Inc.(h) (i) (j)
|
730,000
|
||||||
20,000
|
Lululemon Athletica, Inc.(h) (i) (j)
|
1,391,400
|
||||||
7,500
|
Tiffany & Co. (i) (j)
|
596,325
|
||||||
4,041,600
|
||||||||
Telecommunications - 1.1%
|
||||||||
25,000
|
T-Mobile US, Inc.(i)
|
602,750
|
||||||
39,378
|
Vodafone Group PLC, ADR (United Kingdom) (j)
|
1,179,371
|
||||||
1,782,121
|
||||||||
Total Common Stocks - 17.3%
|
||||||||
(Cost $25,718,639)
|
27,227,541
|
|||||||
Warrants - 0.4%
|
||||||||
159,000
|
MannKind Corp., expiring 02/08/2016(h) (j)
|
548,550
|
||||||
(Cost $70,560)
|
||||||||
Total Long-Term Investments - 128.6%
|
||||||||
(Cost $192,225,776)
|
202,436,449
|
|||||||
Contracts (100 shares per contract)
|
Options Purchased (h)
|
Expiration
Date
|
Exercise
Price
|
Value
|
||||
Call Options Purchased - 0.3%
|
||||||||
200
|
American International Group, Inc.
|
August 2013
|
$52.50
|
$600
|
||||
10,000
|
iShares MSCI Emerging Markets ETF(i)
|
September 2013
|
$43.00
|
100,000
|
||||
500
|
NetApp, Inc.
|
August 2013
|
$44.00
|
20,000
|
||||
2,000
|
Nokia OYJ
|
August 2013
|
$5.00
|
2,000
|
||||
600
|
Onyx Pharmaceuticals, Inc.
|
August 2013
|
$135.00
|
138,000
|
||||
1,568
|
Onyx Pharmaceuticals, Inc.
|
August 2013
|
$140.00
|
188,160
|
||||
400
|
ViroPharma, Inc.
|
August 2013
|
$35.00
|
55,600
|
||||
850
|
Vivus, Inc.
|
August 2013
|
$15.00
|
59,500
|
||||
(Cost $702,574)
|
563,860
|
|||||||
Put Options Purchased - 0.6%
|
||||||||
500
|
General Cable Corp.
|
September 2013
|
$29.00
|
48,750
|
||||
2,000
|
iShares Russell 2000 ETF
|
August 2013
|
$102.00
|
42,000
|
||||
2,000
|
SPDR S&P 500 ETF Trust(i)
|
September 2013
|
$164.00
|
366,000
|
||||
2,000
|
SPDR S&P 500 ETF Trust(i)
|
September 2013
|
$165.00
|
408,000
|
||||
200
|
Tesla Motors, Inc.
|
January 2014
|
$85.00
|
92,000
|
||||
(Cost $1,227,352)
|
956,750
|
|||||||
Total Options Purchased - 0.9%
|
||||||||
(Cost $1,929,926)
|
1,520,610
|
|||||||
Total Investments - 129.5%
|
||||||||
(Cost $194,155,702)
|
203,957,059
|
|||||||
Other Assets in excess of Liabilities - 3.9%
|
6,141,552
|
|||||||
Total Value of Options Written - (1.7%) (Premiums received $2,404,915)
|
(2,644,536)
|
|||||||
Borrowings - (31.7% of Net Assets or 24.5% of Total Investments)
|
(50,000,000)
|
|||||||
Net Assets - 100.0%
|
$ 157,454,075
|
ADR - American Depositary Receipt
|
||
CNY - Chinese Renminbi
|
||
EUR - Euro
|
||
GBP - Pound Sterling
|
||
HKD - Hong Kong Dollar
|
||
JPY - Japanese Yen
|
||
LLC - Limited Liability Company
|
||
LP - Limited Partnership
|
||
N/A- Not Applicable
|
||
OYJ - Public Traded Company
|
||
PLC - Public Limited Company
|
||
Pty - Proprietary
|
||
SA - Corporation
|
||
SAB de CV - Publicly Traded Company
|
||
SGD - Singapore Dollar
|
||
*
|
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.
|
|
(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 July 31, 2013, these securities amounted to $34,015,322, which represents 21.6% 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 July 31, 2013.
|
|
(d)
|
Security becomes an accreting bond after December 15, 2016 with a 2.00% principal accretion rate.
|
|
(e)
|
Security becomes an accreting bond after March 1, 2018 with a 2.00% principal accretion rate.
|
|
(f)
|
The issuer of this security will make interest payments of 1.250% payment-in-kind shares until first out notes are repaid. Thereafter, 2.250% payment-in-kind shares and 11.875% in cash.
|
|
(g)
|
Security becomes an accreting bond after December 15, 2013 with a 2.00% principal accretion rate.
|
|
(h)
|
Non-income producing security.
|
|
(i)
|
All or a portion of this security is segregated as collateral (or potential collateral for future transactions) for written options.
|
|
(j)
|
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 July 31, 2013, the total amount segregated was $110,490,966.
|
Contracts (100 shares per contract)
|
Call Options Written (a)
|
Expiration
Month
|
Exercise
Price
|
Market Value
|
|
875
|
Aeropostale, Inc.
|
January 2014
|
$ 18.00
|
$(70,000)
|
|
80
|
Alexion Pharmaceuticals, Inc.
|
January 2014
|
120.00
|
(73,600)
|
|
1,000
|
Amarin Corp PLC
|
January 2014
|
8.00
|
(90,000)
|
|
600
|
American International Group, Inc.
|
November 2013
|
52.50
|
(38,400)
|
|
922
|
ArcelorMittal
|
January 2014
|
14.00
|
(68,689)
|
|
270
|
BioMarin Pharmaceutical, Inc.
|
January 2014
|
80.00
|
(37,800)
|
|
617
|
General Motors Co.
|
December 2013
|
39.00
|
(74,657)
|
|
10,000
|
iShares MSCI Emerging Markets ETF
|
September 2013
|
44.00
|
(40,000)
|
|
500
|
JC Penney Co., Inc.
|
August 2013
|
20.00
|
(1,000)
|
|
200
|
Lululemon Athletica, Inc.
|
January 2014
|
75.00
|
(84,000)
|
|
924
|
MGM Resorts International
|
January 2015
|
17.00
|
(254,562)
|
|
1,024
|
Micron Technology, Inc.
|
October 2013
|
15.00
|
(79,872)
|
|
1,026
|
Micron Technology, Inc.
|
January 2014
|
15.00
|
(130,302)
|
|
500
|
Morgan Stanley
|
January 2014
|
30.00
|
(48,500)
|
|
242
|
Navistar International Corp.
|
January 2014
|
39.00
|
(58,080)
|
|
150
|
Onyx Pharmaceuticals, Inc.
|
January 2014
|
145.00
|
(30,000)
|
|
70
|
Pharmacyclics, Inc.
|
January 2014
|
115.00
|
(105,350)
|
|
16
|
priceline.com, Inc.
|
January 2014
|
875.00
|
(108,224)
|
|
130
|
Tesla Motors, Inc.
|
January 2014
|
105.00
|
(494,000)
|
|
100
|
Tesla Motors, Inc.
|
January 2014
|
125.00
|
(262,000)
|
|
75
|
Tiffany & Co.
|
January 2014
|
85.00
|
(23,625)
|
|
250
|
T-Mobile US, Inc.
|
November 2013
|
27.00
|
(29,875)
|
|
Total Value of Call Options Written
|
(2,202,536)
|
||||
(Premiums received $(1,896,715))
|
|||||
Put Options Written
|
|||||
2,000
|
SPDR S&P 500 ETF Trust
|
September 2013
|
159.00
|
(186,000)
|
|
2,000
|
SPDR S&P 500 ETF Trust
|
September 2013
|
161.00
|
(256,000)
|
|
Total Value of Put Options Written
|
(442,000)
|
||||
(Premiums received $(508,200))
|
|||||
Total Value of Options Written
|
|||||
(Premiums received $(2,404,915))
|
$(2,644,536)
|
||||
(a)
|
Non-income producing security.
|
Country Breakdown as a % of Long-Term Investments
|
|
United States
|
70.8%
|
Japan
|
12.2%
|
Luxembourg
|
3.8%
|
Cayman Islands
|
3.3%
|
Jersey
|
1.5%
|
South Korea
|
1.5%
|
Singapore
|
1.4%
|
United Kingdom
|
1.3%
|
Hong Kong
|
1.1%
|
France
|
1.0%
|
Canada
|
0.8%
|
British Virgin Islands
|
0.6%
|
Australia
|
0.4%
|
Mexico
|
0.3%
|
Subject to change daily.
|
At July 31, 2013, the following forward exchange currency contracts were outstanding:
|
||||||||||||||||||
Forward Exchange Currency Contracts
|
||||||||||||||||||
Contracts to Sell
|
Counterparty
|
Settlement Date
|
Settlement Value
|
Value at 7/31/2013
|
Net Unrealized Appreciation (Depreciation)
|
|||||||||||||
EUR
|
1,498,000 |
|
|
|
||||||||||||||
for USD
|
1,999,650 |
The Bank of New York Mellon
|
9/19/2013
|
$ | 1,999,650 | $ | 1,989,470 | $ | 10,180 | |||||||||
GBP
|
2,105,000 | |||||||||||||||||
for USD
|
3,259,758 |
The Bank of New York Mellon
|
9/19/2013
|
3,259,758 | 3,190,180 | 69,578 | ||||||||||||
JPY
|
3,042,000,000 | |||||||||||||||||
for USD
|
31,884,317 |
The Bank of New York Mellon
|
9/19/2013
|
31,884,317 | 30,936,872 | 947,445 | ||||||||||||
SGD
|
3,544,000 | |||||||||||||||||
for USD
|
2,827,487 |
The Bank of New York Mellon
|
9/19/2013
|
2,827,487 | 2,781,986 | 45,501 | ||||||||||||
1,072,704 | ||||||||||||||||||
Contracts to Buy
|
Counterparty
|
Settlement Date
|
Settlement Value
|
Value at 7/31/2013
|
Net Unrealized Appreciation (Depreciation)
|
|||||||||||||
GBP
|
591,000 | |||||||||||||||||
for USD
|
901,077 |
The Bank of New York Mellon
|
9/19/2013
|
$ | 901,077 | $ | 895,675 | $ | (5,402 | ) | ||||||||
JPY
|
110,250,000 | |||||||||||||||||
for USD
|
1,100,959 |
The Bank of New York Mellon
|
8/2/2013
|
1,100,959 | 1,120,940 | 19,981 | ||||||||||||
JPY
|
551,000,000 | |||||||||||||||||
for USD
|
5,695,244 |
The Bank of New York Mellon
|
9/19/2013
|
5,695,244 | 5,603,621 | (91,623 | ) | |||||||||||
(77,044 | ) | |||||||||||||||||
Total unrealized appreciation on forward exchange currency contracts
|
$ | 995,660 |
At July 31, 2013, 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
|
||||||||||||||
$ | 194,981,744 | $ | 13,997,454 | $ | (5,022,139 | ) | $ | 8,975,315 | $ | 756,039 |
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 Funds 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 likley 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 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 Trustees at July 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 distinguished 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 spread; 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, 2013.
|
||||||||||||||
The following table represents the Fund’s investments carried by caption and by level within the fair value hierarchy
|
||||||||||||||
as of July 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
|
$ | - | $ | 158,299 | $ | - | $ | 158,299 | ||||||||
Convertible Preferred Stocks:
|
||||||||||||||||
Insurance
|
1,177 | - | 1,177 | |||||||||||||
Iron & Steel
|
3,512 | - | - | 3,512 | ||||||||||||
Telecommunications
|
- | 1,793 | - | 1,793 | ||||||||||||
Common Stocks
|
27,228 | - | - | 27,228 | ||||||||||||
Corporate Bonds
|
- | 9,879 | - | 9,879 | ||||||||||||
Warrants
|
548 | - | 548 | |||||||||||||
Options Purchased
|
1,521 | - | - | 1,521 | ||||||||||||
Foreign Exchange Currency Contracts
|
- | 1,073 | - | 1,073 | ||||||||||||
Total
|
$ | 33,438 | $ | 171,592 | $ | - | $ | 205,030 | ||||||||
Liabilities:
|
||||||||||||||||
Options Written
|
$ | 2,645 | $ | - | $ | - | $ | 2,645 | ||||||||
Foreign Exchange Currency Contracts
|
- | 77 | - | 77 | ||||||||||||
Total
|
$ | 2,645 | $ | 77 | $ | - | $ | 2,722 |
If not referenced in the table, please refer to the Portfolio of Investments for a breakdown of investment type by industry category.
|
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During the period ended July 31, 2013, there were no transfers between Levels.
|
|
(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:
|
September 26, 2013
|
By:
|
/s/ Tracy V. Maitland |
Date:
|
September 26, 2013
|
By:
|
/s/ Robert White |
Date:
|
September 26, 2013
|