|
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, 2014 (unaudited)
|
||||||||
|
Principal
|
Optional Call
|
|||||||
|
Amount ~
|
Description
|
Rating*
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
||
|
Long-Term Investments - 124.5%
|
||||||||
|
Convertible Bonds - 86.7%
|
||||||||
|
Auto Manufacturers - 0.7%
|
||||||||
|
$ 1,207,000
|
Navistar International Corp.(a)
|
CCC-
|
4.500%
|
10/15/2018
|
N/A
|
$ 1,189,649
|
||
|
|
||||||||
|
|
Auto Parts & Equipment - 1.8%
|
|||||||
|
401,000
|
Meritor, Inc.
|
B-
|
7.875%
|
03/01/2026
|
12/01/20 @ 100
|
584,207
|
||
|
2,327,000
|
Meritor, Inc.(d) (h)
|
B-
|
4.000%
|
02/15/2027
|
02/15/19 @ 100
|
2,300,821
|
||
|
|
2,885,028
|
|||||||
|
|
|
|||||||
|
|
Biotechnology - 9.8%
|
|
||||||
|
3,057,000
|
Cubist Pharmaceuticals, Inc.(a) (h)
|
NR
|
1.125%
|
09/01/2018
|
N/A
|
3,612,992
|
||
|
672,000
|
Emergent Biosolutions, Inc.(a)
|
NR
|
2.875%
|
01/15/2021
|
N/A
|
701,400
|
||
|
2,646,000
|
Exelixis, Inc.
|
NR
|
4.250%
|
08/15/2019
|
N/A
|
3,661,402
|
||
|
1,388,000
|
Gilead Sciences, Inc., Series C(h)
|
A-
|
1.000%
|
05/01/2014
|
N/A
|
4,954,293
|
||
|
408,000
|
Gilead Sciences, Inc., Series D
|
A-
|
1.625%
|
05/01/2016
|
N/A
|
1,445,852
|
||
|
605,000
|
Incyte Corp. Ltd.(a)
|
NR
|
0.375%
|
11/15/2018
|
N/A
|
860,991
|
||
|
544,000
|
InterMune, Inc.(h)
|
NR
|
2.500%
|
12/15/2017
|
N/A
|
707,540
|
||
|
15,944,470
|
||||||||
|
|
||||||||
|
Diversified Financial Services - 2.2%
|
|
|||||||
|
EUR 2,000,000
|
Magyar Nemzeti Vagyonkezelo Zrt, Series RICH (Hungary)
|
Ba1
|
3.375%
|
04/02/2019
|
N/A
|
2,863,647
|
||
|
663,000
|
Walter Investment Management Corp.
|
NR
|
4.500%
|
11/01/2019
|
N/A
|
644,353
|
||
|
3,508,000
|
||||||||
|
|
||||||||
|
Electric - 0.3%
|
|
|||||||
|
EUR 300,000
|
CEZ MH BV, Series MOL (Netherlands)(b)
|
A-
|
0.000%
|
08/04/2017
|
N/A
|
421,800
|
||
|
|
||||||||
|
Electrical Components & Equipment - 1.4%
|
|
|||||||
|
JPY 200,000,000
|
Nidec Corp. (Japan)(b)
|
NR
|
0.000%
|
09/18/2015
|
N/A
|
2,332,696
|
||
|
|
||||||||
|
Gas - 0.5%
|
|
|||||||
|
750,000
|
ENN Energy Holdings Ltd. (Cayman Islands)(b)
|
NR
|
0.000%
|
02/26/2018
|
N/A
|
894,938
|
||
|
|
||||||||
|
Hand & Machine Tools - 0.7%
|
|
|||||||
|
JPY 90,000,000
|
OSG Corp. (Japan)(b)
|
NR
|
0.000%
|
04/04/2022
|
N/A
|
1,168,848
|
||
|
|
||||||||
|
Health Care Products - 4.3%
|
|
|||||||
|
2,024,000
|
HeartWare International, Inc.(h)
|
NR
|
3.500%
|
12/15/2017
|
N/A
|
2,514,820
|
||
|
1,284,000
|
Hologic, Inc., Series 2010(c) (d) (h)
|
B+
|
2.000%
|
12/15/2037
|
12/15/16 @ 100
|
1,464,563
|
||
|
1,068,000
|
Volcano Corp.(h)
|
NR
|
1.750%
|
12/01/2017
|
N/A
|
1,076,010
|
||
|
1,408,000
|
Wright Medical Group, Inc.(h)
|
NR
|
2.000%
|
08/15/2017
|
N/A
|
1,871,760
|
||
|
|
6,927,153
|
|||||||
|
|
|
|||||||
|
|
Health Care Services - 1.2%
|
|
||||||
|
1,855,000
|
LifePoint Hospitals, Inc.(h)
|
B
|
3.500%
|
05/15/2014
|
N/A
|
1,986,009
|
||
|
|
|
|||||||
|
|
Home Builders - 5.1%
|
|
||||||
|
1,810,000
|
DR Horton, Inc., Series DHI(h)
|
BB
|
2.000%
|
05/15/2014
|
N/A
|
3,269,312
|
||
|
1,513,000
|
Lennar Corp.(a) (h)
|
BB-
|
3.250%
|
11/15/2021
|
11/20/16 @ 100
|
2,764,062
|
||
|
1,436,000
|
Ryland Group, Inc.(h)
|
BB-
|
1.625%
|
05/15/2018
|
N/A
|
2,250,930
|
||
|
|
8,284,304
|
|||||||
|
|
|
|||||||
|
Home Furnishings - 1.6%
|
|
|||||||
|
JPY 100,000,000
|
Sony Corp. (Japan)(b)
|
NR
|
0.000%
|
11/30/2017
|
N/A
|
1,712,261
|
||
|
EUR 600,000
|
Steinhoff Finance Holding GmbH, Series SHF (Austria)
|
NR
|
4.000%
|
01/30/2021
|
N/A
|
826,996
|
||
|
2,539,257
|
||||||||
|
|
||||||||
|
Household Products & Housewares - 1.0%
|
|
|||||||
|
HKD 12,000,000
|
Biostime International Holdings Ltd. (Cayman Islands)(b)
|
NR
|
0.000%
|
02/20/2019
|
N/A
|
1,574,544
|
||
|
|
||||||||
|
Insurance - 2.9%
|
|
|||||||
|
2,270,000
|
Radian Group, Inc.(h)
|
B-
|
3.000%
|
11/15/2017
|
N/A
|
3,336,900
|
||
|
CHF 1,150,000
|
Swiss Life Holding AG, Series SLHN (Switzerland)(b)
|
BBB
|
0.000%
|
12/02/2020
|
N/A
|
1,384,851
|
||
|
4,721,751
|
||||||||
|
|
||||||||
|
Internet - 5.2%
|
|
|||||||
|
1,893,000
|
Ctrip.com International Ltd. (Cayman Islands)(a) (h)
|
NR
|
1.250%
|
10/15/2018
|
N/A
|
1,733,278
|
||
|
1,602,000
|
Equinix, Inc.(h)
|
B+
|
3.000%
|
10/15/2014
|
N/A
|
2,655,315
|
||
|
1,500,000
|
WebMD Health Corp.(h)
|
NR
|
2.500%
|
01/31/2018
|
N/A
|
1,576,875
|
||
|
2,384,000
|
Yahoo!, Inc.(a) (b) (h)
|
BB+
|
0.000%
|
12/01/2018
|
N/A
|
2,410,820
|
||
|
|
8,376,288
|
|||||||
|
|
|
|||||||
|
|
Iron & Steel - 5.0%
|
|
||||||
|
52,670
|
ArcelorMittal, Series MTUS (Luxembourg)(h)
|
B+
|
6.000%
|
01/15/2016
|
N/A
|
1,300,291
|
||
|
6,569,000
|
United States Steel Corp.(h)
|
BB-
|
4.000%
|
05/15/2014
|
N/A
|
6,753,753
|
||
|
|
8,054,044
|
|||||||
|
|
|
|||||||
|
|
Lodging - 1.4%
|
|
||||||
|
1,674,000
|
MGM Resorts International(h)
|
B+
|
4.250%
|
04/15/2015
|
N/A
|
2,353,016
|
||
|
|
|
|||||||
|
|
Machinery-Diversified - 4.7%
|
|
||||||
|
1,410,000
|
Chart Industries, Inc.(h)
|
B+
|
2.000%
|
08/01/2018
|
N/A
|
2,003,081
|
||
|
JPY 200,000,000
|
Ebara Corp., Series 6 (Japan)(b)
|
NR
|
0.000%
|
03/19/2018
|
N/A
|
2,848,262
|
||
|
1,250,000
|
Haitian International Holdings Ltd. (Cayman Islands)
|
NR
|
2.000%
|
02/13/2019
|
N/A
|
1,237,112
|
||
|
JPY 100,000,000
|
IHI Corp. (Japan)(b)
|
NR
|
0.000%
|
03/29/2016
|
03/28/14 @ 100
|
1,622,788
|
||
|
7,711,243
|
||||||||
|
|
||||||||
|
Media - 0.4%
|
|
|||||||
|
654,000
|
Liberty Interactive, LLC(a) (h)
|
BB
|
1.000%
|
09/30/2043
|
10/05/16 @ 100
|
676,481
|
||
|
|
|
|||||||
|
|
Mining - 3.7%
|
|
||||||
|
4,000,000
|
Glencore Finance Europe SA (Luxembourg)
|
BBB
|
5.000%
|
12/31/2014
|
N/A
|
4,466,000
|
||
|
1,488,000
|
Royal Gold, Inc.(h)
|
NR
|
2.875%
|
06/15/2019
|
N/A
|
1,514,970
|
||
|
|
5,980,970
|
|||||||
|
|
|
|||||||
|
Miscellaneous Manufacturing - 0.7%
|
|
|||||||
|
JPY 100,000,000
|
Nikkiso Co. Ltd. (Japan)(b)
|
NR
|
0.000%
|
08/02/2018
|
N/A
|
1,082,267
|
||
|
|
||||||||
|
Oil & Gas - 3.3%
|
|
|||||||
|
2,791,000
|
Chesapeake Energy Corp.(h)
|
BB-
|
2.250%
|
12/15/2038
|
12/15/18 @ 100
|
2,614,818
|
||
|
3,008,000
|
Cobalt International Energy, Inc.(h)
|
NR
|
2.625%
|
12/01/2019
|
N/A
|
2,680,880
|
||
|
|
5,295,698
|
|||||||
|
|
|
|||||||
|
|
Oil & Gas Services - 0.4%
|
|
||||||
|
582,000
|
Hornbeck Offshore Services, Inc.
|
BB-
|
1.500%
|
09/01/2019
|
N/A
|
645,656
|
||
|
|
|
|||||||
|
|
Pharmaceuticals - 9.5%
|
|
||||||
|
1,924,000
|
Array BioPharma, Inc.
|
NR
|
3.000%
|
06/01/2020
|
N/A
|
2,032,225
|
||
|
1,021,000
|
Auxilium Pharmaceuticals, Inc.(h)
|
NR
|
1.500%
|
07/15/2018
|
N/A
|
1,277,527
|
||
|
4,104,000
|
BioMarin Pharmaceutical, Inc.(h)
|
NR
|
1.500%
|
10/15/2020
|
N/A
|
4,473,360
|
||
|
294,000
|
Isis Pharmaceuticals, Inc.(h)
|
NR
|
2.750%
|
10/01/2019
|
N/A
|
920,036
|
||
|
1,079,000
|
Medivation, Inc.(h)
|
NR
|
2.625%
|
04/01/2017
|
N/A
|
1,791,140
|
||
|
992,000
|
Salix Pharmaceuticals Ltd.(h)
|
NR
|
1.500%
|
03/15/2019
|
N/A
|
1,594,640
|
||
|
1,205,000
|
Theravance, Inc.(h)
|
NR
|
2.125%
|
01/15/2023
|
N/A
|
1,831,600
|
||
|
1,886,000
|
Vivus, Inc.(a) (h)
|
NR
|
4.500%
|
05/01/2020
|
N/A
|
1,479,331
|
||
|
|
15,399,859
|
|||||||
|
|
|
|||||||
|
|
Real Estate - 1.0%
|
|
||||||
|
1,626,000
|
Forest City Enterprises, Inc.(a) (h)
|
BB-
|
3.625%
|
08/15/2020
|
08/15/18 @ 100
|
1,643,276
|
||
|
|
|
|||||||
|
|
Real Estate Investment Trusts - 1.1%
|
|
||||||
|
1,008,000
|
ProLogis, LP
|
BBB
|
3.250%
|
03/15/2015
|
N/A
|
1,154,160
|
||
|
500,000
|
SL Green Operating Partnership, LP(a) (h)
|
BB+
|
3.000%
|
10/15/2017
|
N/A
|
631,250
|
||
|
|
1,785,410
|
|||||||
|
|
|
|||||||
|
|
Semiconductors - 5.2%
|
|
||||||
|
1,207,000
|
Micron Technology, Inc.
|
BB-
|
1.875%
|
06/01/2014
|
N/A
|
1,950,814
|
||
|
2,036,000
|
Micron Technology, Inc., Series G
|
BB-
|
3.000%
|
11/15/2043
|
11/20/18 @ 83
|
2,159,433
|
||
|
1,004,000
|
Novellus Systems, Inc.
|
BBB
|
2.625%
|
05/15/2041
|
N/A
|
1,589,457
|
||
|
529,000
|
NVIDIA Corp.(a)
|
BB+
|
1.000%
|
12/01/2018
|
N/A
|
542,556
|
||
|
1,893,000
|
SunEdison, Inc.(a)
|
NR
|
2.000%
|
10/01/2018
|
N/A
|
2,263,318
|
||
|
|
8,505,578
|
|||||||
|
|
|
|||||||
|
|
Software - 3.8%
|
|
||||||
|
1,329,000
|
Allscripts Healthcare Solutions, Inc.(a) (h)
|
NR
|
1.250%
|
07/01/2020
|
N/A
|
1,563,236
|
||
|
2,677,000
|
Nuance Communications, Inc.(h)
|
BB-
|
2.750%
|
08/15/2027
|
08/20/14 @ 100
|
2,794,119
|
||
|
1,612,000
|
ServiceNow, Inc.(a) (b)
|
NR
|
0.000%
|
11/01/2018
|
N/A
|
1,755,065
|
||
|
6,112,420
|
||||||||
|
|
||||||||
|
Telecommunications - 7.8%
|
|
|||||||
|
EUR 487,626
|
Alcatel-Lucent, Series ALU (France)
|
CCC+
|
4.250%
|
07/01/2018
|
N/A
|
2,299,586
|
||
|
2,849,000
|
Ciena Corp.(h)
|
B
|
0.875%
|
06/15/2017
|
N/A
|
2,923,787
|
||
|
1,202,000
|
Ciena Corp.
|
NR
|
4.000%
|
12/15/2020
|
N/A
|
1,737,641
|
||
|
3,606,000
|
Clearwire Communications, LLC / Clearwire Finance, Inc.(a) (h)
|
Ba1
|
8.250%
|
12/01/2040
|
12/01/17 @ 100
|
4,191,975
|
||
|
EUR 500,000
|
Nokia OYJ, Series REGS (Finland)
|
B+
|
5.000%
|
10/26/2017
|
N/A
|
1,433,172
|
||
|
12,586,161
|
||||||||
|
|
||||||||
|
Total Convertible Bonds - 86.7%
|
|
|||||||
|
(Cost $131,567,752)
|
140,586,814
|
|||||||
|
|
||||||||
|
Corporate Bonds - 7.5%
|
|
|||||||
|
|
Banks - 0.9%
|
|
||||||
|
1,416,000
|
Synovus Financial Corp.
|
B+
|
5.125%
|
06/15/2017
|
N/A
|
1,490,340
|
||
|
|
|
|||||||
|
|
Chemicals - 1.3%
|
|
||||||
|
1,020,000
|
Ashland, Inc.
|
BB
|
4.750%
|
08/15/2022
|
05/15/22 @ 100
|
981,750
|
||
|
1,020,000
|
Rockwood Specialties Group, Inc.
|
BB+
|
4.625%
|
10/15/2020
|
10/15/15 @ 103
|
1,040,400
|
||
|
|
2,022,150
|
|||||||
|
|
|
|||||||
|
|
Commercial Services - 0.5%
|
|
||||||
|
715,000
|
Prospect Medical Holdings, Inc.(a)
|
B-
|
8.375%
|
05/01/2019
|
05/01/15 @ 106
|
782,925
|
||
|
|
|
|||||||
|
|
Diversified Financial Services - 1.1%
|
|
||||||
|
1,728,000
|
SLM Corp., Series MTN
|
BBB-
|
4.625%
|
09/25/2017
|
N/A
|
1,784,160
|
||
|
|
|
|||||||
|
|
Media - 0.7%
|
|
||||||
|
1,121,000
|
DISH DBS Corp.
|
BB-
|
4.625%
|
07/15/2017
|
N/A
|
1,177,050
|
||
|
|
|
|||||||
|
|
Miscellaneous Manufacturing - 0.3%
|
|
||||||
|
511,000
|
LSB Industries, Inc.(a)
|
B+
|
7.750%
|
08/01/2019
|
08/01/16 @ 104
|
544,215
|
||
|
|
|
|||||||
|
|
Oil & Gas - 0.3%
|
|
||||||
|
500,000
|
Alta Mesa Holdings, LP / Alta Mesa Finance Services Corp.(h)
|
B
|
9.625%
|
10/15/2018
|
10/15/14 @ 105
|
538,750
|
||
|
|
|
|||||||
|
|
Pipelines - 1.2%
|
|
||||||
|
1,829,000
|
Regency Energy Partners, LP / Regency Energy Finance Corp.
|
BB
|
5.750%
|
09/01/2020
|
06/01/20 @ 100
|
1,902,160
|
||
|
|
|
|||||||
|
|
Software - 1.2%
|
|
||||||
|
1,625,000
|
First Data Corp.(h)
|
B-
|
12.625%
|
01/15/2021
|
01/15/16 @ 113
|
1,901,250
|
||
|
|
|
|||||||
|
|
Total Corporate Bonds - 7.5%
|
|
||||||
|
|
(Cost $12,102,893)
|
12,143,000
|
||||||
|
|
|
|||||||
|
Number
|
|
|||||||
|
of Shares
|
Description
|
Value
|
||||||
|
|
Convertible Preferred Stocks - 3.2%
|
|
||||||
|
|
Aerospace & Defense - 0.8%
|
|
||||||
|
20,015
|
United Technologies Corp.(h)
|
BBB+
|
7.500%
|
08/01/2015
|
1,289,566
|
|||
|
|
|
|||||||
|
|
Insurance - 0.4%
|
|
||||||
|
20,626
|
MetLife, Inc.(h)
|
BBB-
|
5.000%
|
03/26/2014
|
601,248
|
|||
|
|
|
|||||||
|
|
Oil & Gas - 1.7%
|
|
||||||
|
2,432
|
Chesapeake Energy Corp.(a) (e) (h)
|
B-
|
5.750%
|
-
|
2,801,360
|
|||
|
|
|
|||||||
|
|
Savings & Loans - 0.3%
|
|
||||||
|
9,600
|
New York Community Capital Trust V
|
BB
|
6.000%
|
11/01/2051
|
466,618
|
|||
|
|
|
|||||||
|
|
Total Convertible Preferred Stocks - 3.2%
|
|
||||||
|
|
(Cost $5,227,656)
|
5,158,792
|
||||||
|
|
|
|||||||
|
|
Common Stocks - 26.8%
|
|
||||||
|
|
Auto Manufacturers - 1.2%
|
|
||||||
|
55,678
|
General Motors Co.(h)
|
2,008,862
|
||||||
|
|
|
|||||||
|
|
Banks - 4.9%
|
|
||||||
|
41,000
|
JPMorgan Chase & Co.(g) (h)
|
2,269,760
|
||||||
|
299,800
|
Mitsubishi UFJ Financial Group, Inc. (Japan)
|
1,831,401
|
||||||
|
914,600
|
Mizuho Financial Group, Inc. (Japan)
|
1,963,989
|
||||||
|
41,500
|
Sumitomo Mitsui Financial Group, Inc. (Japan)
|
1,962,994
|
||||||
|
|
8,028,144
|
|||||||
|
|
|
|||||||
|
|
Biotechnology - 2.4%
|
|
||||||
|
100,000
|
Amarin Corp. PLC, ADR (United Kingdom)(f) (h)
|
183,000
|
||||||
|
14,000
|
Celgene Corp.(f) (g) (h)
|
2,127,020
|
||||||
|
145,000
|
Coronado Biosciences, Inc.(f) (g) (h)
|
394,400
|
||||||
|
15,000
|
Vertex Pharmaceuticals, Inc.(f) (g)
|
1,185,600
|
||||||
|
|
3,890,020
|
|||||||
|
|
|
|||||||
|
|
Commercial Services - 0.3%
|
|
||||||
|
25,800
|
Park24 Co. Ltd. (Japan)
|
535,808
|
||||||
|
|
|
|||||||
|
|
Entertainment - 0.5%
|
|
||||||
|
15,000
|
Gaming and Leisure Properties, Inc., REIT(h)
|
520,500
|
||||||
|
20,000
|
Penn National Gaming, Inc.(f) (g) (h)
|
234,600
|
||||||
|
|
755,100
|
|||||||
|
|
|
|||||||
|
|
Health Care Services - 0.5%
|
|
||||||
|
27,000
|
Brookdale Senior Living, Inc.(f) (h)
|
741,420
|
||||||
|
|
|
|||||||
|
|
Insurance - 1.8%
|
|
||||||
|
60,000
|
American International Group, Inc.(g) (h)
|
2,877,600
|
||||||
|
|
|
|||||||
|
|
Internet - 2.5%
|
|
||||||
|
1,000
|
Google, Inc., Class A(f) (g)
|
1,180,970
|
||||||
|
80,135
|
Yahoo!, Inc.(f) (h)
|
2,886,463
|
||||||
|
|
4,067,433
|
|||||||
|
|
|
|||||||
|
|
Investment Companies - 0.3%
|
|
||||||
|
40,000
|
Caesars Acquisition Co., Class A(f)
|
529,200
|
||||||
|
|
|
|||||||
|
|
Lodging - 1.0%
|
|
||||||
|
40,000
|
Boyd Gaming Corp.(f)
|
422,400
|
||||||
|
15,000
|
Las Vegas Sands Corp.(g)
|
1,147,800
|
||||||
|
|
1,570,200
|
|||||||
|
|
|
|||||||
|
|
Media - 3.0%
|
|
||||||
|
20,203
|
DISH Network Corp., Class A(f)
|
1,139,045
|
||||||
|
28,100
|
Time Warner Cable, Inc.(h)
|
3,744,887
|
||||||
|
|
4,883,932
|
|||||||
|
|
|
|||||||
|
|
Miscellaneous Manufacturing - 0.4%
|
|
||||||
|
23,900
|
FUJIFILM Holdings Corp. (Japan)
|
709,372
|
||||||
|
|
|
|||||||
|
|
Oil & Gas - 0.7%
|
|
||||||
|
50,000
|
Par Petroleum Corp.(f)
|
1,120,000
|
||||||
|
|
|
|||||||
|
|
Oil & Gas Services - 1.5%
|
|
||||||
|
47,300
|
Hornbeck Offshore Services, Inc.(f) (h)
|
2,020,183
|
||||||
|
4,575
|
Technip SA (France)
|
390,229
|
||||||
|
|
2,410,412
|
|||||||
|
|
|
|||||||
|
|
Pharmaceuticals - 1.0%
|
|
||||||
|
20,300
|
MannKind Corp.(f)
|
110,026
|
||||||
|
12,000
|
Pharmacyclics, Inc.(f) (g) (h)
|
1,596,840
|
||||||
|
|
1,706,866
|
|||||||
|
|
|
|||||||
|
|
Real Estate Investment Trusts - 0.8%
|
|
||||||
|
31,900
|
ProLogis, Inc.
|
1,236,444
|
||||||
|
|
|
|||||||
|
|
Retail - 2.2%
|
|
||||||
|
70,000
|
Aeropostale, Inc.(f) (h)
|
493,500
|
||||||
|
30,000
|
Lululemon Athletica, Inc.(f) (g) (h)
|
1,370,700
|
||||||
|
20,000
|
Tiffany & Co.(g) (h)
|
1,663,800
|
||||||
|
|
3,528,000
|
|||||||
|
|
|
|||||||
|
|
Telecommunications - 1.8%
|
|
||||||
|
61,200
|
Ixia(f)
|
782,748
|
||||||
|
20,138
|
T-Mobile US, Inc.(f)
|
615,618
|
||||||
|
39,378
|
Vodafone Group PLC, ADR (United Kingdom)(h)
|
1,459,349
|
||||||
|
|
2,857,715
|
|||||||
|
|
|
|||||||
|
|
Total Common Stocks - 26.8%
|
|
||||||
|
|
(Cost $44,688,214)
|
43,456,528
|
||||||
|
|
|
|||||||
|
|
Warrants - 0.3%
|
|
||||||
|
122,616
|
MannKind Corp., expiring 02/08/2016(f) (h)
|
275,886
|
||||||
|
200,000
|
Vringo, Inc., expiring 06/21/2015(f)
|
256,000
|
||||||
|
|
(Cost $283,903)
|
531,886
|
||||||
|
|
|
|||||||
|
|
Total Long-Term Investments - 124.5%
|
|
||||||
|
|
(Cost $193,870,418)
|
201,877,020
|
||||||
|
|
|
|||||||
|
Contracts (100 shares
per contract) |
Options Purchased (f)
|
Expiration
Date
|
Exercise
Price
|
Value
|
||||
|
|
Call Options Purchased - 1.4%
|
|
||||||
|
2,000
|
Aeropostale, Inc.
|
February 2014
|
$10.00
|
6,000
|
||||
|
200
|
Alexion Pharmaceuticals, Inc.
|
May 2014
|
$150.00
|
380,000
|
||||
|
500
|
BioMarin Pharmaceutical, Inc.
|
February 2014
|
$80.00
|
25,000
|
||||
|
2,200
|
BioMarin Pharmaceutical, Inc.
|
March 2014
|
$80.00
|
495,000
|
||||
|
1,000
|
Coronado Biosciences, Inc.
|
February 2014
|
$15.00
|
5,000
|
||||
|
1,000
|
Incyte Corp. Ltd.
|
February 2014
|
$65.00
|
450,000
|
||||
|
350
|
Medivation, Inc.
|
January 2014
|
$70.00
|
700,000
|
||||
|
1,708
|
NetApp, Inc.
|
February 2014
|
$46.00
|
69,174
|
||||
|
2,000
|
SPDR S&P 500 ETF Trust
|
March 2014
|
$195.00
|
16,000
|
||||
|
200
|
Vertex Pharmaceuticals, Inc.
|
July 2014
|
$100.00
|
162,000
|
||||
|
500
|
Wright Medical Group, Inc.
|
February 2014
|
$35.00
|
12,500
|
||||
|
600
|
Yahoo!, Inc.
|
February 2014
|
$41.00
|
7,200
|
||||
|
(Cost $2,147,137)
|
2,327,874
|
|||||||
|
Put Options Purchased - 1.0%
|
||||||||
|
6,800
|
iShares MSCI Emerging Markets ETF
|
February 2014
|
$37.00
|
353,600
|
||||
|
6,000
|
iShares MSCI Emerging Markets ETF
|
February 2014
|
$37.00
|
120,000
|
||||
|
1,800
|
SPDR S&P 500 ETF Trust
|
February 2014
|
$175.00
|
286,200
|
||||
|
5,000
|
SPDR S&P 500 ETF Trust
|
February 2014
|
$176.00
|
925,000
|
||||
|
(Cost $1,753,600)
|
1,684,800
|
|||||||
|
Total Options Purchased - 2.4%
|
||||||||
|
|
(Cost $3,900,737)
|
4,012,674
|
||||||
|
|
|
|||||||
|
|
||||||||
|
Total Investments - 126.9%
|
|
|||||||
|
(Cost $197,771,155)
|
205,889,694
|
|||||||
|
Other Assets in excess of Liabilities - 4.1%
|
6,651,066
|
|||||||
|
Total Value of Options Written - (0.2%) (Premiums received $631,291)
|
(356,800)
|
|||||||
|
Borrowings - (30.8% of Net Assets or 22.6% of Total Investments)
|
(50,000,000)
|
|||||||
|
Net Assets - 100.0%
|
$ 162,183,960
|
|||||||
|
ADR - American Depositary Receipt
|
||||||||
|
AG - Stock Corporation
|
||||||||
|
BV - Limited Liability Company
|
||||||||
|
CHF - Swiss Franc
|
||||||||
|
EUR - Euro
|
||||||||
|
GmbH - Limited Liability
|
||||||||
|
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
|
||||||||
|
SA - Corporation
|
||||||||
|
~
|
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.
|
|||||||
|
(a)
|
Securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2014, these securities amounted to $32,148,180, which represents 19.8% of net assets.
|
|||||||
|
(b)
|
Zero coupon bond.
|
|||||||
|
(c)
|
Security becomes an accreting bond after December 15, 2016 with a 2.00% principal accretion rate.
|
|||||||
|
(d)
|
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, 2014.
|
|||||||
|
(e)
|
Security is perpetual and, thus does not have a predetermined maturity date.
|
|||||||
|
(f)
|
Non-income producing security.
|
|||||||
|
(g)
|
Security represents cover for outstanding written options.
|
|||||||
|
(h)
|
All or a portion of this security has been physically segregated in connection with the line of credit, written options or forward exchange currency contracts. As of January 31, 2014, the total amount segregated was $110,294,312.
|
|||||||
|
Country Breakdown as a % of Long-Term Investments
|
||||
|
United States
|
80.1%
|
|||
|
Japan
|
8.8%
|
|||
|
Luxembourg
|
2.9%
|
|||
|
Cayman Islands
|
2.7%
|
|||
|
Hungary
|
1.4%
|
|||
|
France
|
1.3%
|
|||
|
United Kingdom
|
0.8%
|
|||
|
Finland
|
0.7%
|
|||
|
Switzerland
|
0.7%
|
|||
|
Austria
|
0.4%
|
|||
|
Netherlands
|
0.2%
|
|||
|
Subject to change daily.
|
||||
|
See previously submitted notes to financial statements for the period ended October 31, 2013.
|
||||
|
Contracts (100
shares per contract) |
Call Options Written (a)
|
Expiration
Month
|
Exercise
Price
|
Value
|
|
|
600
|
American International Group, Inc.
|
August 2014
|
$ 60.00
|
$ (30,600)
|
|
|
140
|
Celgene Corp.
|
July 2014
|
195.00
|
(39,130)
|
|
|
1,000
|
Coronado Biosciences, Inc.
|
February 2014
|
17.50
|
(10,000)
|
|
|
10
|
Google, Inc.
|
June 2014
|
1,300.00
|
(24,190)
|
|
|
410
|
JPMorgan Chase & Co.
|
June 2014
|
67.50
|
(7,380)
|
|
|
150
|
Las Vegas Sands Corp.
|
June 2014
|
85.00
|
(36,600)
|
|
|
300
|
Lululemon Athletica, Inc.
|
June 2014
|
60.00
|
(25,200)
|
|
|
200
|
Penn National Gaming, Inc.
|
April 2014
|
65.00
|
(31,000)
|
|
|
120
|
Pharmacyclics, Inc.
|
May 2014
|
160.00
|
(73,200)
|
|
|
200
|
Tiffany & Co.
|
May 2014
|
100.00
|
(9,000)
|
|
|
150
|
Vertex Pharmaceuticals, Inc.
|
July 2014
|
120.00
|
(70,500)
|
|
|
Total Value of Call Options Written
|
$ (356,800)
|
||||
|
(Premiums received $631,291)
|
|||||
|
(a) Non-income producing security.
|
|||||
|
At January 31, 2014, the following forward exchange currency contracts were outstanding:
|
||||||||||||||||||
|
Forward Exchange Currency Contracts
|
||||||||||||||||||
|
Contracts to Sell
|
Counterparty
|
Settlement Date
|
Settlement Value
|
Value at 1/31/2014
|
Net Unrealized
Appreciation
(Depreciation)
|
|||||||||||||
|
CHF
|
1,210,000 |
|
|
|
||||||||||||||
|
for USD
|
1,364,472 |
The Bank of New York Mellon
|
3/19/2014
|
$ | 1,364,472 | $ | 1,336,568 | $ | 27,904 | |||||||||
|
EUR
|
9,385,000 | |||||||||||||||||
|
for USD
|
12,900,913 |
The Bank of New York Mellon
|
3/19/2014
|
12,900,913 | 12,656,354 | 244,559 | ||||||||||||
|
JPY
|
873,949 | |||||||||||||||||
|
for USD
|
8,460 |
The Bank of New York Mellon
|
2/3/2014
|
8,460 | 8,569 | (109 | ) | |||||||||||
|
JPY
|
1,908,000,000 | |||||||||||||||||
|
for USD
|
18,518,821 |
The Bank of New York Mellon
|
3/19/2014
|
18,518,821 | 18,712,960 | (194,139 | ) | |||||||||||
| $ | 78,215 | |||||||||||||||||
|
Contracts to Buy
|
Counterparty
|
Settlement Date
|
Settlement Value
|
Value at 1/31/2014
|
Net Unrealized
Appreciation
(Depreciation)
|
|||||||||||||
|
EUR
|
300,000 | |||||||||||||||||
|
for USD
|
406,380 |
The Bank of New York Mellon
|
2/4/2014
|
$ | 406,380 | $ | 404,566 | $ | (1,814 | ) | ||||||||
|
EUR
|
3,270,000 | |||||||||||||||||
|
for USD
|
4,450,323 |
The Bank of New York Mellon
|
3/19/2014
|
4,450,323 | 4,409,832 | (40,491 | ) | |||||||||||
|
HKD
|
12,000,000 | |||||||||||||||||
|
for USD
|
1,547,608 |
The Bank of New York Mellon
|
2/20/2014
|
1,547,608 | 1,545,511 | (2,097 | ) | |||||||||||
|
JPY
|
97,000,000 | |||||||||||||||||
|
for USD
|
949,515 |
The Bank of New York Mellon
|
3/19/2014
|
949,515 | 951,340 | 1,825 | ||||||||||||
| $ | (42,577 | ) | ||||||||||||||||
|
Total unrealized appreciation on forward exchange currency contracts
|
$ | 35,638 | ||||||||||||||||
|
At January 31, 2014, the cost and related gross unrealized appreciation and depreciation on investments for tax purposes, excluding written options, forward exchange currency contracts and foreign currency translations are as follows:
|
|
Cost of Investments for Tax Purposes
|
Gross Tax
Unrealized Appreciation
|
Gross Tax
Unrealized Depreciation
|
Net Tax
Unrealized
Appreciation
on Investments
|
Net Tax
Unrealized
Appreciation
on Derivatives
and Foreign Currency
|
||||||||||||||
| $ | 198,502,895 | $ | 16,211,059 | $ | (8,824,260 | ) | $ | 7,386,799 | $ | 310,068 | ||||||||
|
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. 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 investment management, 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, unchanged 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 January 31, 2014.
|
||||||||||||||
|
GAAP requires disclosure of fair valuation measurements as of each measurement date. In compliance with GAAP, the Fund follows a fair value
|
||||||||||||||
|
hierarchy that distinguishes between market data obtained from independent sources (observable inputs) and the Fund's own market assumptions
|
||||||||||||||
|
(unobservable inputs). These inputs are used in determining the value of the Fund's investments and summarized in the following fair value hierarchy:
|
||||||||||||||
|
Level 1 – quoted prices in active markets for identical securities
|
||||||||||||||
|
Level 2 - quoted prices in inactive markets or other significant observable inputs (e.g. quoted prices for similar securities;
|
||||||||||||||
|
interest rates; prepayment speed; credit risk; yield curves)
|
||||||||||||||
|
Level 3 - significant unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine
|
||||||||||||||
|
fair value)
|
||||||||||||||
|
Observable inputs are those based upon market data obtained from independent sources, and unobservable inputs reflect the Fund's own
|
||||||||||||||
|
assumptions based on the best information available. A financial instrument's level within the fair value hierarchy is based on the lowest level
|
||||||||||||||
|
of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing
|
||||||||||||||
|
securities are not necessarily an indication of the risk associated with investing in those securities.
|
||||||||||||||
|
The following are certain inputs and techniques that are generally utilized to evaluate how to classify each major type of investment
|
||||||||||||||
|
in accordance with GAAP.
|
||||||||||||||
|
Equity Securities (Common and Preferred Stock) – Equity securities traded in active markets where market quotations are readily available are categorized as Level 1. Equity securities traded in inactive markets and certain foreign equities are valued using inputs which include broker quotes, prices of securities closely related where the security held is not trading but the related security is trading, and evaluated price quotes received from independent pricing providers. To the extent that these inputs are observable, such securities are categorized as Level 2. To the extent that these inputs are unobservable, such securities are categorized as Level 3.
|
||||||||||||||
|
Convertible Bonds & Notes – Convertible bonds and notes are valued by independent pricing providers who employ matrix pricing models utilizing various inputs such as market prices, broker quotes, prices of securities with comparable maturities and qualities, and closing prices of corresponding underlying securities. To the extent that these inputs are observable, such securities are categorized as Level 2. To the extent that these inputs are unobservable, such securities are categorized as Level 3.
|
||||||||||||||
|
Corporate Bonds & Notes – Corporate bonds and notes are valued by independent pricing providers who employ matrix pricing models utilizing various inputs such as market prices, broker quotes, and prices of securities with comparable maturities and qualities and closing prices of corresponding underlying securities. To the extent that these inputs are observable, such securities are categorized as Level 2. To the extent that these inputs are unobservable, such securities are categorized as Level 3.
|
||||||||||||||
|
Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous
|
||||||||||||||
|
fiscal year, and are effective using the fair value as of the end of the current fiscal period.
|
||||||||||||||
|
The Fund did not hold any Level 3 securities during the three months ended January 31, 2014.
|
||||||||||||||
|
The following table represents the Fund's investments carried by caption and by level within the fair value
|
||||||||||||||
|
hierarchy as of January 31, 2014.
|
||||||||||||||
|
Quoted Prices in
Active Markets
for Identical Assets
|
Significant Other
Observable Inputs
|
Significant
Unobservable Inputs
|
|||||||||||||
|
Description
|
(Level 1)
|
(Level 2)
|
(Level 3)
|
Total
|
|||||||||||
|
|
|||||||||||||||
|
(Value in $000s)
|
|||||||||||||||
|
Assets:
|
|||||||||||||||
|
Convertible Bonds
|
$ | - | $ | 140,587 | $ | - | $ | 140,587 | |||||||
|
Convertible Preferred Stocks
|
5,159 | 5,159 | |||||||||||||
|
Common Stocks
|
43,456 | - | - | 43,456 | |||||||||||
|
Corporate Bonds
|
- | 12,143 | - | 12,143 | |||||||||||
|
Warrants
|
532 | - | 532 | ||||||||||||
|
Options Purchased
|
4,013 | - | - | 4,013 | |||||||||||
|
Foreign Exchange Currency Contracts
|
- | 274 | - | 274 | |||||||||||
|
Total
|
$ | 52,628 | $ | 153,536 | $ | - | $ | 206,164 | |||||||
|
Liabilities:
|
|||||||||||||||
|
Options Written
|
$ | 357 | $ | - | $ | - | $ | 357 | |||||||
|
Foreign Exchange Currency Contracts
|
- | 238 | - | 238 | |||||||||||
|
Total
|
$ | 357 | $ | 238 | $ | - | $ | 595 | |||||||
|
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, 2014, 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:
|
March 28, 2014
|
|
By:
|
/s/ Tracy V. Maitland |
|
Date:
|
March 28, 2014
|
|
By:
|
/s/ Robert White |
|
Date:
|
March 28, 2014
|