|
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, 2014 (unaudited)
|
|||||||
|
Principal
|
Optional Call
|
||||||
|
Amount~
|
Description
|
Rating*
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
|
|
Long-Term Investments - 129.3%
|
|||||||
|
Convertible Bonds - 65.1%
|
|||||||
|
Airlines - 0.9%
|
|||||||
|
EUR 800,000
|
International Consolidated Airlines Group SA (Spain) (c)
|
NR
|
1.750%
|
05/31/2018
|
N/A
|
$ 1,315,629
|
|
|
|
|
||||||
|
|
Auto Manufacturers - 2.7%
|
|
|||||
|
1,179,000
|
Navistar International Corp.(a)(c)
|
CCC-
|
4.500%
|
10/15/2018
|
N/A
|
1,206,264
|
|
|
1,500,000
|
Tesla Motors, Inc. (c) (h)
|
B-
|
1.250%
|
03/01/2021
|
N/A
|
1,409,063
|
|
|
EUR 1,000,000
|
Volkswagen International Finance NV, Series REGS (Germany) (c)
|
BBB
|
5.500%
|
11/09/2015
|
N/A
|
1,457,122
|
|
|
|
4,072,449
|
||||||
|
|
|
||||||
|
|
Auto Parts & Equipment - 1.1%
|
|
|||||
|
1,015,000
|
Meritor, Inc. (c) (h)
|
B-
|
7.875%
|
03/01/2026
|
12/01/20 @ 100
|
1,612,581
|
|
|
|
|
||||||
|
|
Banks - 1.3%
|
|
|||||
|
EUR 700,000
|
CaixaBank SA, Series REPS (Spain) (c)
|
NR
|
4.500%
|
11/22/2016
|
N/A
|
966,103
|
|
|
700,000
|
CAJA de Ahorros y Pensiones de Barcelona, Series CABK (Spain)(c)
|
NR
|
1.000%
|
11/25/2017
|
N/A
|
1,054,612
|
|
|
|
2,020,715
|
||||||
|
|
|
||||||
|
|
Biotechnology - 7.6%
|
|
|||||
|
2,000,000
|
BioMarin Pharmaceutical, Inc. (c) (h)
|
NR
|
1.500%
|
10/15/2020
|
N/A
|
2,111,250
|
|
|
2,749,000
|
Cubist Pharmaceuticals, Inc.(a) (c) (h)
|
NR
|
1.125%
|
09/01/2018
|
N/A
|
2,958,611
|
|
|
756,000
|
Exelixis, Inc. (c) (h)
|
NR
|
4.250%
|
08/15/2019
|
N/A
|
711,585
|
|
|
810,000
|
Incyte Corp. Ltd. (a) (c)
|
NR
|
0.375%
|
11/15/2018
|
N/A
|
978,581
|
|
|
500,000
|
InterMune, Inc. (c) (h)
|
NR
|
2.500%
|
12/15/2017
|
N/A
|
1,713,438
|
|
|
700,000
|
Isis Pharmaceuticals, Inc. (c)
|
NR
|
2.750%
|
10/01/2019
|
N/A
|
1,410,500
|
|
|
1,165,000
|
Medivation, Inc. (c) (h)
|
NR
|
2.625%
|
04/01/2017
|
N/A
|
1,799,925
|
|
|
|
11,683,890
|
||||||
|
|
|
||||||
|
|
Diversified Financial Services - 1.4%
|
|
|||||
|
EUR 1,500,000
|
Magyar Nemzeti Vagyonkezelo Zrt, Series RICH (Hungary) (c)
|
Ba1
|
3.375%
|
04/02/2019
|
N/A
|
2,119,593
|
|
|
|
|
||||||
|
|
Electrical Components & Equipment - 1.6%
|
|
|||||
|
JPY 200,000,000
|
Nidec Corp. (Japan)(b)
|
NR
|
0.000%
|
09/18/2015
|
N/A
|
2,509,457
|
|
|
|
|
||||||
|
|
Electronics - 0.9%
|
|
|||||
|
1,430,000
|
Fluidigm Corp.(c)
|
NR
|
2.750%
|
02/01/2034
|
02/06/21 @ 100
|
1,332,581
|
|
|
|
|
||||||
|
|
Gas - 1.3%
|
|
|||||
|
750,000
|
ENN Energy Holdings Ltd. (Cayman Islands) (b)
|
NR
|
0.000%
|
02/26/2018
|
N/A
|
928,125
|
|
|
HKD 8,000,000
|
Shine Power International Ltd. (British Virgin Islands) (b)
|
NR
|
0.000%
|
07/28/2019
|
N/A
|
1,016,768
|
|
|
|
1,944,893
|
||||||
|
|
|
||||||
|
|
Hand & Machine Tools - 0.7%
|
|
|||||
|
JPY 90,000,000
|
OSG Corp. (Japan) (b)
|
NR
|
0.000%
|
04/04/2022
|
N/A
|
1,089,391
|
|
|
|
|
||||||
|
|
Health Care Products - 3.2%
|
|
|||||
|
1,683,000
|
HeartWare International, Inc. (c) (h)
|
NR
|
3.500%
|
12/15/2017
|
N/A
|
1,934,398
|
|
|
1,068,000
|
Volcano Corp. (c) (h)
|
NR
|
1.750%
|
12/01/2017
|
N/A
|
1,013,933
|
|
|
1,408,000
|
Wright Medical Group, Inc. (c) (h)
|
NR
|
2.000%
|
08/15/2017
|
N/A
|
1,919,280
|
|
|
|
4,867,611
|
||||||
|
|
|
||||||
|
|
Healthcare-Products - 1.4%
|
|
|||||
|
2,000,000
|
Insulet Corp.(c)
|
NR
|
2.000%
|
06/15/2019
|
06/20/18 @ 100
|
2,108,750
|
|
|
|
|
||||||
|
|
Healthcare-Services - 0.8%
|
|
|||||
|
1,000,000
|
HealthSouth Corp. (c) (h)
|
B
|
2.000%
|
12/01/2043
|
12/01/18 @ 100
|
1,142,500
|
|
|
|
|
||||||
|
|
Home Furnishings - 1.8%
|
|
|||||
|
JPY 100,000,000
|
Sony Corp. (Japan) (b)
|
NR
|
0.000%
|
11/30/2017
|
N/A
|
1,803,861
|
|
|
EUR 600,000
|
Steinhoff Finance Holding GmbH, Series SHF (South Africa) (c)
|
NR
|
4.000%
|
01/30/2021
|
N/A
|
965,367
|
|
|
|
2,769,228
|
||||||
|
|
|
||||||
|
|
Household Products & Housewares - 1.1%
|
|
|||||
|
1,740,000
|
Jarden Corp. (a) (c) (h)
|
BB-
|
1.125%
|
03/15/2034
|
N/A
|
1,726,950
|
|
|
|
|
||||||
|
|
Internet - 5.1%
|
|
|||||
|
1,567,000
|
Ctrip.com International Ltd. (Cayman Islands) (a) (c) (h)
|
NR
|
1.250%
|
10/15/2018
|
N/A
|
1,720,762
|
|
|
2,600,000
|
Priceline Group, Inc. (c) (h)
|
BBB
|
0.350%
|
06/15/2020
|
N/A
|
3,133,000
|
|
|
1,204,000
|
SINA Corp. (Cayman Islands) (a) (c) (h)
|
NR
|
1.000%
|
12/01/2018
|
N/A
|
1,112,947
|
|
|
820,000
|
Vipshop Holdings Ltd. (Cayman Islands) (c)
|
NR
|
1.500%
|
03/15/2019
|
N/A
|
1,031,150
|
|
|
877,000
|
Yandex NV (Netherlands) (a) (c) (h)
|
NR
|
1.125%
|
12/15/2018
|
N/A
|
794,233
|
|
|
|
7,792,092
|
||||||
|
|
|
||||||
|
|
Lodging - 1.0%
|
|
|||||
|
1,025,000
|
MGM Resorts International (c) (h)
|
B+
|
4.250%
|
04/15/2015
|
N/A
|
1,524,047
|
|
|
|
|
||||||
|
|
Machinery-Diversified - 2.6%
|
|
|||||
|
1,000,000
|
Chart Industries, Inc. (c) (h)
|
BB-
|
2.000%
|
08/01/2018
|
N/A
|
1,315,000
|
|
|
JPY 200,000,000
|
Ebara Corp., Series 6 (Japan) (b)
|
NR
|
0.000%
|
03/19/2018
|
N/A
|
2,722,808
|
|
|
|
4,037,808
|
||||||
|
|
|
||||||
|
|
Media - 1.4%
|
|
|||||
|
1,028,000
|
Liberty Interactive, LLC (c) (h)
|
BB
|
0.750%
|
03/30/2043
|
04/05/23 @ 100
|
1,436,630
|
|
|
654,000
|
Liberty Interactive, LLC (a) (c) (h)
|
BB
|
1.000%
|
09/30/2043
|
10/05/16 @ 100
|
671,167
|
|
|
|
2,107,797
|
||||||
|
|
|
||||||
|
|
Mining - 0.6%
|
|
|||||
|
800,000
|
Glencore Finance Europe SA (Luxembourg) (c)
|
BBB
|
5.000%
|
12/31/2014
|
N/A
|
933,600
|
|
|
|
|
||||||
|
|
Miscellaneous Manufacturing - 1.9%
|
|
|||||
|
JPY 155,000,000
|
Nikkiso Co. Ltd. (Japan) (b)
|
NR
|
0.000%
|
08/02/2018
|
N/A
|
1,583,763
|
|
|
700,000
|
Trinity Industries, Inc. (c) (h)
|
BB+
|
3.875%
|
06/01/2036
|
06/01/18 @ 100
|
1,296,312
|
|
|
|
2,880,075
|
||||||
|
|
|
||||||
|
|
Oil & Gas - 0.7%
|
|
|||||
|
1,150,000
|
Cobalt International Energy, Inc. (c) (h)
|
CCC-
|
2.625%
|
12/01/2019
|
N/A
|
1,023,500
|
|
|
|
|
||||||
|
|
Oil & Gas Services - 0.9%
|
|
|||||
|
1,213,000
|
Hornbeck Offshore Services, Inc.(c) (h)
|
BB-
|
1.500%
|
09/01/2019
|
N/A
|
1,412,387
|
|
|
|
|
||||||
|
|
Pharmaceuticals - 1.5%
|
|
|||||
|
1,000,000
|
Array BioPharma, Inc.(c)
|
NR
|
3.000%
|
06/01/2020
|
N/A
|
941,250
|
|
|
303,000
|
Herbalife Ltd. (Cayman Islands)(a) (c) (e) (h)
|
NR
|
2.000%
|
08/15/2019
|
N/A
|
248,462
|
|
|
1,187,000
|
Orexigen Therapeutics, Inc. (a) (c)
|
NR
|
2.750%
|
12/01/2020
|
N/A
|
1,144,713
|
|
|
|
2,334,425
|
||||||
|
|
|
||||||
|
|
Real Estate - 1.1%
|
|
|||||
|
1,626,000
|
Forest City Enterprises, Inc. (c) (h)
|
NR
|
3.625%
|
08/15/2020
|
08/15/18 @ 100
|
1,698,154
|
|
|
|
|
||||||
|
|
Real Estate Investment Trusts - 0.8%
|
|
|||||
|
EUR 800,000
|
Beni Stabili SpA (Italy) (c)
|
NR
|
3.375%
|
01/17/2018
|
N/A
|
1,239,791
|
|
|
|
|
||||||
|
|
Semiconductors - 3.9%
|
|
|||||
|
HKD 12,000,000
|
ASM Pacific Technology Ltd. (Cayman Islands) (c)
|
NR
|
2.000%
|
03/28/2019
|
N/A
|
1,664,505
|
|
|
1,500,000
|
Micron Technology, Inc., Series G (c) (h)
|
BB
|
3.000%
|
11/15/2043
|
11/20/18 @ 83
|
1,849,688
|
|
|
1,021,000
|
ON Semiconductor Corp., Series B (c) (h)
|
BB+
|
2.625%
|
12/15/2026
|
12/20/16 @ 100
|
1,163,940
|
|
|
1,334,000
|
SunEdison, Inc.(a) (c)
|
NR
|
0.250%
|
01/15/2020
|
N/A
|
1,346,506
|
|
|
|
6,024,639
|
||||||
|
|
|
||||||
|
|
Software - 7.2%
|
|
|||||
|
1,506,000
|
Akamai Technologies, Inc.(a) (b) (h)
|
NR
|
0.000%
|
02/15/2019
|
N/A
|
1,528,597
|
|
|
1,124,000
|
Allscripts Healthcare Solutions, Inc.(a) (h)
|
NR
|
1.250%
|
07/01/2020
|
N/A
|
1,282,765
|
|
|
2,000,000
|
Citrix Systems, Inc.(a) (c) (h)
|
BBB
|
0.500%
|
04/15/2019
|
N/A
|
2,178,750
|
|
|
1,643,000
|
Cornerstone OnDemand, Inc. (c) (h)
|
NR
|
1.500%
|
07/01/2018
|
N/A
|
1,792,924
|
|
|
HKD 8,000,000
|
Kingsoft Corp. Ltd. (Cayman Islands) (c)
|
NR
|
1.250%
|
04/11/2019
|
N/A
|
980,845
|
|
|
1,029,000
|
ServiceNow, Inc.(a) (b) (h)
|
NR
|
0.000%
|
11/01/2018
|
N/A
|
1,110,034
|
|
|
1,750,000
|
Workday, Inc. (c) (h)
|
NR
|
0.750%
|
07/15/2018
|
N/A
|
2,162,344
|
|
|
|
11,036,259
|
||||||
|
|
|
||||||
|
|
Telecommunications - 8.6%
|
|
|||||
|
EUR 237,626
|
Alcatel-Lucent, Series ALU (France) (c)
|
CCC+
|
4.250%
|
07/01/2018
|
N/A
|
980,538
|
|
|
1,000,000
|
Ciena Corp.(a) (c) (h)
|
NR
|
4.000%
|
03/15/2015
|
N/A
|
1,119,375
|
|
|
2,249,000
|
Ciena Corp. (c) (h)
|
B
|
0.875%
|
06/15/2017
|
N/A
|
2,239,161
|
|
|
3,606,000
|
Clearwire Communications, LLC / Clearwire Finance, Inc. (a) (c) (h)
|
Ba1
|
8.250%
|
12/01/2040
|
12/01/17 @ 100
|
4,173,945
|
|
|
EUR 1,000,000
|
Nokia OYJ, Series REGS (Finland) (c)
|
BB
|
5.000%
|
10/26/2017
|
N/A
|
3,336,438
|
|
|
800,000
|
Telecom Italia Finance SA, Series REGS (Italy) (c)
|
B+
|
6.125%
|
11/15/2016
|
N/A
|
1,256,917
|
|
|
|
13,106,374
|
||||||
|
|
|
||||||
|
|
Total Convertible Bonds - 65.1%
|
|
|||||
|
|
(Cost $97,545,779)
|
99,467,166
|
|||||
|
|
|
||||||
|
|
Corporate Bonds - 15.5%
|
|
|||||
|
|
Aerospace & Defense - 1.3%
|
|
|||||
|
1,854,000
|
Kratos Defense & Security Solutions, Inc.(a) (c) (h)
|
B
|
7.000%
|
05/15/2019
|
05/15/16 @ 105
|
1,923,525
|
|
|
|
|
||||||
|
|
Banks - 1.8%
|
|
|||||
|
400,000
|
Credit Agricole SA (France) (a) (c) (d)
|
BB+
|
7.875%
|
01/29/2049
|
01/23/24 @ 100
|
425,400
|
|
|
2,312,000
|
Synovus Financial Corp. (c) (h)
|
B+
|
5.125%
|
06/15/2017
|
N/A
|
2,381,360
|
|
|
|
2,806,760
|
||||||
|
|
|
||||||
|
|
Building Materials - 1.7%
|
|
|||||
|
2,424,000
|
Cemex SAB de CV (Mexico) (a) (d) (h)
|
B+
|
4.984%
|
10/15/2018
|
N/A
|
2,594,892
|
|
|
|
|
||||||
|
|
Chemicals - 0.4%
|
|
|||||
|
EUR 412,000
|
Novacap International SAS (France) (a) (d)
|
B
|
5.209%
|
05/01/2019
|
05/01/15 @ 101
|
563,659
|
|
|
|
|
||||||
|
|
Commercial Services - 0.8%
|
|
|||||
|
1,140,000
|
Prospect Medical Holdings, Inc. (a) (c) (h)
|
B-
|
8.375%
|
05/01/2019
|
05/01/15 @ 106
|
1,239,750
|
|
|
|
|
||||||
|
|
Food - 0.5%
|
|
|||||
|
738,000
|
Simmons Foods, Inc. (a) (c)
|
CCC
|
10.500%
|
11/01/2017
|
11/01/14 @ 105
|
788,738
|
|
|
|
|
||||||
|
|
Media - 2.5%
|
|
|||||
|
3,687,000
|
Clear Channel Communications, Inc.(c)
|
CCC+
|
9.000%
|
12/15/2019
|
07/15/15 @ 105
|
3,797,610
|
|
|
|
|
||||||
|
|
Miscellaneous Manufacturing - 1.6%
|
|
|||||
|
1,480,000
|
Bombardier, Inc. (Canada) (a) (c)
|
BB-
|
4.750%
|
04/15/2019
|
N/A
|
1,435,600
|
|
|
923,000
|
LSB Industries, Inc.(c) (h)
|
B+
|
7.750%
|
08/01/2019
|
08/01/16 @ 104
|
994,533
|
|
|
|
2,430,133
|
||||||
|
|
|
||||||
|
|
Oil & Gas - 1.6%
|
|
|||||
|
500,000
|
Alta Mesa Holdings, LP / Alta Mesa Finance Services Corp.(c) (h)
|
CCC+
|
9.625%
|
10/15/2018
|
10/15/15 @ 102
|
525,000
|
|
|
1,842,000
|
Halcon Resources Corp. (c)
|
CCC+
|
8.875%
|
05/15/2021
|
11/15/16 @ 104
|
1,920,285
|
|
|
|
2,445,285
|
||||||
|
|
|
||||||
|
|
Oil & Gas Services - 0.3%
|
|
|||||
|
442,000
|
McDermott International, Inc. (Panama) (a) (c)
|
BB
|
8.000%
|
05/01/2021
|
05/01/17 @ 104
|
453,050
|
|
|
|
|
||||||
|
|
Private Equity - 1.1%
|
|
|||||
|
EUR 1,000,000
|
Emma Delta Finance (Cyprus)(a) (c)
|
NR
|
12.000%
|
10/15/2017
|
N/A
|
1,685,880
|
|
|
|
|
||||||
|
|
Software - 1.9%
|
|
|||||
|
2,494,000
|
First Data Corp.(c) (h)
|
CCC+
|
11.750%
|
08/15/2021
|
05/15/16 @ 109
|
2,924,215
|
|
|
|
|
||||||
|
Total Corporate Bonds - 15.5%
|
|
||||||
|
(Cost $23,486,419)
|
23,653,497
|
||||||
|
|
|||||||
|
Number of
|
|
||||||
|
Shares
|
Description
|
Value
|
|||||
|
Convertible Preferred Stocks - 11.4%
|
|
||||||
|
Electric - 2.2%
|
|
||||||
|
14,250
|
Dominion Resources, Inc. (c)
|
BBB
|
6.375%
|
-
|
722,475
|
||
|
23,350
|
Exelon Corp.(c)
|
BBB-
|
6.500%
|
-
|
1,146,018
|
||
|
25,450
|
NextEra Energy, Inc. (c) (h)
|
BBB
|
5.889%
|
-
|
1,532,599
|
||
|
3,401,092
|
|||||||
|
|
|||||||
|
Food - 1.5%
|
|
||||||
|
12,600
|
Post Holdings, Inc.(c)
|
NR
|
5.250%
|
-
|
1,234,540
|
||
|
21,500
|
Tyson Foods, Inc.(c)
|
NR
|
4.750%
|
-
|
1,051,142
|
||
|
2,285,682
|
|||||||
|
|
|||||||
|
Gas - 0.6%
|
|
||||||
|
15,100
|
Laclede Group, Inc.(c)
|
NR
|
6.750%
|
-
|
816,910
|
||
|
|
|||||||
|
Hand & Machine Tools - 1.4%
|
|
||||||
|
16,320
|
Stanley Black & Decker, Inc. (c) (h)
|
Baa3
|
4.750%
|
11/17/2015
|
2,140,368
|
||
|
|
|||||||
|
Insurance - 1.2%
|
|
||||||
|
62,207
|
MetLife, Inc. (c) (h)
|
BBB-
|
5.000%
|
10/8/2014
|
1,882,384
|
||
|
|
|||||||
|
Oil & Gas - 3.2%
|
|
||||||
|
3,132
|
Chesapeake Energy Corp.(a) (c) (f) (h)
|
B+
|
5.750%
|
-
|
3,738,825
|
||
|
12,000
|
Penn Virginia Corp., Series B (a) (c)
|
NR
|
6.000%
|
-
|
1,201,944
|
||
|
4,940,769
|
|||||||
|
Real Estate Investment Trusts - 1.3%
|
|
||||||
|
17,200
|
American Tower Corp., Series A (c) (h)
|
NR
|
5.250%
|
-
|
1,898,020
|
||
|
|
|||||||
|
Total Convertible Preferred Stocks - 11.4%
|
|
||||||
|
(Cost $17,344,203)
|
17,365,225
|
||||||
|
|
|||||||
|
Common Stocks - 35.2%
|
|
||||||
|
Advertising - 1.1%
|
|
||||||
|
35,000
|
Lamar Advertising Co., Class A (h)
|
1,755,250
|
|||||
|
|
|||||||
|
Aerospace & Defense - 1.8%
|
|
||||||
|
10,000
|
L-3 Communications Holdings, Inc.
|
1,049,600
|
|||||
|
10,000
|
Lockheed Martin Corp. (g) (h)
|
1,669,700
|
|||||
|
2,719,300
|
|||||||
|
|
|||||||
|
Airlines - 0.9%
|
|
||||||
|
36,984
|
Delta Air Lines, Inc.
|
1,385,421
|
|||||
|
|
|||||||
|
Auto Manufacturers - 2.6%
|
|
||||||
|
71,589
|
Ford Motor Co.
|
1,218,445
|
|||||
|
80,000
|
General Motors Co. (h)
|
2,705,600
|
|||||
|
3,924,045
|
|||||||
|
|
|||||||
|
Auto Parts & Equipment - 0.8%
|
|
||||||
|
65,000
|
American Axle & Manufacturing Holdings, Inc.
|
1,195,350
|
|||||
|
|
|||||||
|
Banks - 2.8%
|
|
||||||
|
30,000
|
Citigroup, Inc. (h)
|
1,467,300
|
|||||
|
350,000
|
Intesa Sanpaolo SpA (Italy)
|
1,044,309
|
|||||
|
41,500
|
Sumitomo Mitsui Financial Group, Inc. (Japan)
|
1,719,162
|
|||||
|
4,230,771
|
|||||||
|
|
|||||||
|
Biotechnology - 1.8%
|
|
||||||
|
100,000
|
Agenus, Inc.
|
330,000
|
|||||
|
145,000
|
Coronado Biosciences, Inc. (h)
|
226,200
|
|||||
|
10,000
|
InterMune, Inc.
|
438,700
|
|||||
|
20,000
|
Vertex Pharmaceuticals, Inc.
|
1,778,200
|
|||||
|
2,773,100
|
|||||||
|
|
|||||||
|
Commercial Services - 0.3%
|
|
||||||
|
25,800
|
Park24 Co. Ltd. (Japan)
|
477,188
|
|||||
|
|
|||||||
|
Diversified Financial Services - 0.8%
|
|
||||||
|
45,000
|
Azimut Holding SpA (Italy)
|
1,163,257
|
|||||
|
|
|||||||
|
Electric - 1.1%
|
|
||||||
|
29,400
|
Consolidated Edison, Inc. (h)
|
1,649,046
|
|||||
|
|
|||||||
|
Electronics - 0.6%
|
|
||||||
|
32,000
|
Fluidigm Corp.(c)
|
916,160
|
|||||
|
|
|||||||
|
Health Care Services - 0.9%
|
|
||||||
|
20,000
|
LifePoint Hospitals, Inc.
|
1,434,400
|
|||||
|
|
|||||||
|
Internet - 1.6%
|
|
||||||
|
4,000
|
Amazon.com, Inc.(h)
|
1,251,960
|
|||||
|
2,000
|
Google, Inc., Class A
|
1,159,100
|
|||||
|
2,411,060
|
|||||||
|
|
|||||||
|
Lodging - 1.5%
|
|
||||||
|
11,000
|
Wynn Resorts Ltd. (c) (h)
|
2,345,200
|
|||||
|
|
|||||||
|
Media - 1.3%
|
|
||||||
|
13,000
|
Directtv (h)
|
1,118,650
|
|||||
|
10,000
|
Time Warner, Inc.
|
830,200
|
|||||
|
1,948,850
|
|||||||
|
|
|||||||
|
Miscellaneous Manufacturing - 0.4%
|
|
||||||
|
23,900
|
Fujifilm Holdings Corp. (Japan)
|
689,912
|
|||||
|
|
|||||||
|
Oil & Gas - 3.5%
|
|
||||||
|
22,000
|
Anadarko Petroleum Corp. (h)
|
2,350,700
|
|||||
|
10,000
|
ConocoPhillips
|
825,000
|
|||||
|
125,000
|
Lightstream Resources Ltd. (Canada)
|
826,712
|
|||||
|
13,000
|
Occidental Petroleum Corp.
|
1,270,230
|
|||||
|
7,325
|
Par Petroleum Corp.
|
138,076
|
|||||
|
5,410,718
|
|||||||
|
|
|||||||
|
Oil & Gas Services - 0.9%
|
|
||||||
|
20,000
|
Hornbeck Offshore Services, Inc. (h)
|
874,000
|
|||||
|
5,000
|
Schlumberger Ltd. (Curacao)
|
541,950
|
|||||
|
1,415,950
|
|||||||
|
|
|||||||
|
Pharmaceuticals - 1.3%
|
|
||||||
|
26,000
|
Merck & Co., Inc. (g) (h)
|
1,475,240
|
|||||
|
4,082
|
Pharmacyclics, Inc.
|
491,636
|
|||||
|
1,966,876
|
|||||||
|
|
|||||||
|
Real Estate Investment Trusts - 1.2%
|
|
||||||
|
30,300
|
Hospitality Properties Trust
|
865,671
|
|||||
|
59,250
|
NorthStar Realty Finance Corp. (h)
|
953,925
|
|||||
|
1,819,596
|
|||||||
|
|
|||||||
|
Retail - 3.7%
|
|
||||||
|
24,618
|
Limited Brands, Inc. (h)
|
1,427,105
|
|||||
|
16,193
|
Lululemon Athletica, Inc.(h)
|
622,945
|
|||||
|
30,600
|
Macy's, Inc. (h)
|
1,768,374
|
|||||
|
30,600
|
Target Corp. (h)
|
1,823,454
|
|||||
|
5,641,878
|
|||||||
|
|
|||||||
|
Semiconductors - 1.3%
|
|
||||||
|
15,000
|
Texas Instruments, Inc. (g) (h)
|
693,750
|
|||||
|
30,000
|
Xilinx, Inc. (h)
|
1,233,900
|
|||||
|
1,927,650
|
|||||||
|
|
|||||||
|
Telecommunications - 3.0%
|
|
||||||
|
30,900
|
T-Mobile US, Inc. (h)
|
1,017,846
|
|||||
|
30,900
|
Verizon Communications, Inc.
|
1,557,978
|
|||||
|
60,800
|
Vodafone Group PLC, ADR (United Kingdom) (g) (h)
|
2,019,776
|
|||||
|
4,595,600
|
|||||||
|
|
|||||||
|
Total Common Stocks - 35.2%
|
|
||||||
|
(Cost $55,437,150)
|
53,796,578
|
||||||
|
|
|||||||
|
Exchange Traded Funds - 2.1%
|
|
||||||
|
40,000
|
ProShares UltraShort QQQ (h)
|
1,941,600
|
|||||
|
25,000
|
ProShares UltraShort Russell2000 (h)
|
1,211,250
|
|||||
|
(Cost $3,274,118)
|
3,152,850
|
||||||
|
|
|||||||
|
Right - 0.0%***
|
|
||||||
|
Oil & Gas - 0.0%
|
|
||||||
|
7,325
|
Par Petroleum Corp.
|
4,484
|
|||||
|
(Cost $0)
|
|
||||||
|
|
|||||||
|
Warrants - 0.1%
|
|
||||||
|
200,000
|
Vringo, Inc., expiring 06/21/2015(d)
|
180,000
|
|||||
|
(Cost $237,720)
|
|
||||||
|
|
|||||||
|
Total Long-Term Investments - 129.3%
|
|
||||||
|
(Cost $197,325,389)
|
197,619,800
|
||||||
|
|
|||||||
|
Contracts (100 shares
per contract)
|
Options Purchased(d)
|
Expiration
Date
|
Exercise
Price
|
Value
|
|||
|
Call Options Purchased - 0.6%
|
|
||||||
|
3,625
|
iShares Russell 2000 ETF (g)
|
August 2014
|
$111.00
|
960,625
|
|||
|
(Cost $500,149)
|
|
||||||
|
|
|||||||
|
Short-Term Investments - 3.3%
|
|
||||||
|
Money Market - 3.3%
|
|
||||||
|
4,967,451
|
Bny Cash Reserve
|
4,967,451
|
|||||
|
(Cost $4,967,451)
|
|
||||||
|
|
|||||||
|
Total Investments - 133.2%
|
|
||||||
|
(Cost $202,792,989)
|
203,547,876
|
||||||
|
Liabilities in excess of Other Assets - (0.2%)
|
(283,730)
|
||||||
|
Total Value of Options Written - (0.3%) (Premiums received $385,046)
|
(460,790)
|
||||||
|
Borrowings - (32.7% of Net Assets or 24.6% of Total Investments)
|
(50,000,000)
|
||||||
|
Net Assets - 100.0%
|
$ 152,803,356
|
||||||
|
ADR - American Depositary Receipt
|
||||||||
|
Eur - Euro
|
||||||||
|
GmbH - Limited Liability
|
||||||||
|
HKD - Hong Kong Dollar
|
||||||||
|
JPY - Japanese Yen
|
||||||||
|
LLC - Limited Liability Company
|
||||||||
|
LP - Limited Partnership
|
||||||||
|
N/A- Not Applicable
|
||||||||
|
NV - Publicly Traded Company
|
||||||||
|
OYJ - Public Traded Company
|
||||||||
|
PLC - Public Limited Company
|
||||||||
|
SA - Corporation
|
||||||||
|
SAB de CV - Publicly Traded Company
|
||||||||
|
SpA - Limited Share Company
|
||||||||
|
~
|
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 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 July 31, 2014 these securities amounted to $41,353,927, which represents 27.1% of net assets.
|
|||||||
|
(b)
|
Zero coupon bond.
|
|||||||
|
(c)
|
Floating or variable rate coupon. The rate shown is as of July 31, 2014.
|
|||||||
|
(d)
|
Non-income producing security.
|
|||||||
|
(e)
|
Security is a payment-in-kind bond.
|
|||||||
|
(f)
|
Security is perpetual and, thus does not have a predetermined maturity date.
|
|||||||
|
(g)
|
All or a portion of this 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 July 31, 2014, the total amount segregated was $106,245,469.
|
|||||||
|
See previously submitted notes to financial statements for the period ended April 30, 2014.
|
||||||||
|
Country Breakdown
|
% of Long-Term Investments
|
|
|
United States
|
74.5%
|
|
|
Japan
|
6.4%
|
|
|
Cayman Islands
|
3.9%
|
|
|
Italy
|
1.7%
|
|
|
Finland
|
1.7%
|
|
|
Spain
|
1.7%
|
|
|
Mexico
|
1.3%
|
|
|
Canada
|
1.1%
|
|
|
Netherlands
|
1.1%
|
|
|
Luxembourg
|
1.1%
|
|
|
Hungary
|
1.1%
|
|
|
United Kingdom
|
1.0%
|
|
|
France
|
1.0%
|
|
|
Cyprus
|
0.9%
|
|
|
British Virgin Islands
|
0.5%
|
|
|
Austria
|
0.5%
|
|
|
Curacao
|
0.3%
|
|
|
Panama
|
0.2%
|
|
|
Subject to change daily.
|
|
Contracts (100 shares per contract)
|
Options Written (a)
|
Expiration
Month
|
Exercise
Price
|
Value
|
|
|
Call Options Written
|
|||||
|
(100)
|
Lockheed Martin Corp.
|
September 2014
|
$ 175.00
|
(10,000)
|
|
|
(260)
|
Merck & Co., Inc.
|
August 2014
|
60.00
|
(1,300)
|
|
|
(150)
|
Texas Instruments, Inc.
|
January 2015
|
50.00
|
(15,300)
|
|
|
(608)
|
Vodafone Group PLC
|
October 2014
|
35.00
|
(33,440)
|
|
|
(Cost $105,451)
|
(60,040)
|
||||
|
Put Options Written
|
|||||
|
(875)
|
iShares Russell 2000 ETF
|
August 2014
|
107.00
|
$(112,000)
|
|
|
(2,750)
|
iShares Russell 2000 ETF
|
August 2014
|
106.00
|
(288,750)
|
|
|
(Cost $279,595)
|
(400,750)
|
||||
|
Total Value of Options Written
|
(460,790)
|
||||
|
(Premiums received $385,046)
|
|||||
|
(a) Non-income producing security.
|
|||||
|
At July 31, 2014, the following forward exchange currency contracts were outstanding:
|
|||||||
|
Forward Exchange Currency Contracts
|
|||||||
|
Contracts to Sell
|
Counterparty
|
Settlement Date
|
Settlement Value
|
Value at 7/31/2014
|
Net Unrealized Appreciation (Depreciation)
|
||
|
CHF
|
1,331,000
|
|
|
|
|||
|
for USD
|
1,480,015
|
The Bank of New York Mellon
|
9/19/2014
|
$ 1,480,015
|
$ 1,464,278
|
15,737
|
|
|
EUR
|
18,996,000
|
||||||
|
for USD
|
25,716,347
|
The Bank of New York Mellon
|
9/19/2014
|
25,716,347
|
25,421,041
|
295,306
|
|
|
GBP
|
254,000
|
||||||
|
for USD
|
430,393
|
The Bank of New York Mellon
|
9/19/2014
|
430,392
|
428,645
|
1,747
|
|
|
JPY
|
1,257,000,000
|
||||||
|
for USD
|
12,312,291
|
The Bank of New York Mellon
|
9/19/2014
|
12,312,291
|
12,227,432
|
84,859
|
|
|
$ 397,649
|
|||||||
|
Contracts to Buy
|
Counterparty
|
Settlement Date
|
Settlement Value
|
Value at 1/31/2014
|
Net Unrealized Appreciation (Depreciation)
|
||
|
CHF
|
1,331,000
|
||||||
|
for USD
|
1,496,560
|
The Bank of New York Mellon
|
9/19/2014
|
$ 1,496,560
|
$ 1,464,279
|
$ (32,281)
|
|
|
EUR
|
4,217,000
|
||||||
|
for USD
|
5,743,995
|
The Bank of New York Mellon
|
9/19/2014
|
$ 5,743,995
|
$ 5,643,321
|
$ (100,674)
|
|
|
GBP
|
254,000
|
||||||
|
for USD
|
430,165
|
The Bank of New York Mellon
|
9/19/2014
|
430,165
|
428,645
|
(1,520)
|
|
|
$ (134,475)
|
|||||||
|
Total unrealized appreciation on forward exchange currency contracts
|
$ 263,174
|
||||||
|
At July 31, 2014, the cost and related gross unrealized appreciation and depreciation on investments for tax purposes, excluding
|
||||
|
written options, forward exchange currency contracts and foreign currency translations are as follows:
|
||||
|
Cost of Investments
for Tax Purposes |
Gross Tax Unrealized
Appreciation |
Gross Tax Unrealized Depreciation
|
Net Tax Unrealized
Appreciation on Investments |
Net Tax Unrealized
Appreciation on Derivatives and Foreign Currency |
|
$ 198,577,279
|
$ 7,592,063
|
$ (7,568,916)
|
$ 23,147
|
$ 188,409
|
|
Equity securities listed on an exchange are valued at the last reported sale price on the primary exchange on which they are traded. Equity securities traded on an exchange or other over-the-counter market and for which there are no transactions on a given day are valued at the mean of the closing bid and ask prices. Securities traded on NASDAQ are valued at the NASDAQ Official Closing Price. Debt securities are valued by independent pricing services or dealers using the mean of the closing bid and ask prices for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. If sufficient market activity is limited or does not exist, the pricing providers or broker-dealers may utilize proprietary valuation models which consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, or other unique security features in order to estimate relevant cash flows, which are then discounted to calculate a security’s fair value. Exchange-traded funds and listed closed-end funds are valued at the last sale price or official closing price on the exchange where the security is principally traded. 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 ask 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. The Fund values money market funds at net asset value.
|
|||
|
The Board of Trustees of the Fund (“Board”) has adopted Valuation Procedures (the “Procedures”) to establish the method by which the portfolio securities of the Fund will be valued in accordance with the Investment Company Act of 1940 and the rules and regulations thereunder. The Board has delegated the day-to-day responsibility for the valuation of the Fund’s portfolio securities to Advent Capital Management, LLC, in its capacity as the investment adviser or investment manager to the Fund (the “Adviser”). The Adviser is required to make valuation determinations in accordance with the Procedures acting through its valuation committee (the “Committee”). Among other things, the Committee will determine in good faith the fair value of Fund portfolio securities for which market quotations are not readily available in accordance with the Procedures. The Procedures state that the current fair value of a portfolio security is the amount which the Fund might reasonably expect to receive upon the current sale of the security when both the buyer and the seller have no compulsion to buy or sell and both parties have reasonable knowledge of the relevant facts. Information about the Committee’s fair value determinations is presented to the Board on a quarterly basis.
|
|||
|
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) fair value. Such fair value is the amount that the Fund might reasonably expect to receive for the security (or asset) upon its current sale. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one security to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
|
|||
|
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, prices of securities with comparable maturities and qualities and closing prices of corresponding underlying securities. To the extent that these inputs are observable, such securities are categorized as Level 2. To the extent that these inputs are unobservable, such securities are categorized as Level 3.
|
|||
|
The Fund did not hold any Level 3 securities during the period ended July 31, 2014.
|
|||
|
Transfers between levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
|
|||
|
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy as of July 31, 2014:
|
|||
|
Quoted Prices in Active Markets for Identical Assets
|
Significant Other Observable Inputs
|
Significant Unobservable Inputs
|
||||||||||||
|
Description
|
(Level 1)
|
(Level 2)
|
(Level 3)
|
Total
|
||||||||||
|
(value in $000s)
|
||||||||||||||
|
Assets:
|
||||||||||||||
|
Convertible Bonds
|
$ | - | $ | 99,467 | $ | - | $ | 99,467 | ||||||
|
Corporate Bonds
|
- | 23,653 | - | 23,653 | ||||||||||
|
Convertible Preferred Stocks
|
17,365 | - | - | 17,365 | ||||||||||
|
Common Stocks
|
53,797 | - | - | 53,797 | ||||||||||
|
Rights
|
- | 4 | - | 4 | ||||||||||
|
Call Options Purchased
|
961 | - | - | 961 | ||||||||||
|
Put Options Purchased
|
- | - | - | - | ||||||||||
|
Exchange Traded Funds
|
3,153 | - | - | 3,153 | ||||||||||
|
Money Market Fund
|
4,967 | - | - | 4,967 | ||||||||||
|
Forward Exchange Currency Contracts
|
- | 398 | - | 398 | ||||||||||
|
Warrants
|
- | 180 | - | 180 | ||||||||||
|
Total
|
$ | 80,243 | $ | 123,702 | $ | - | $ | 203,945 | ||||||
|
Liabilities:
|
||||||||||||||
|
Options Written
|
$ | 461 | $ | - | $ | - | $ | 461 | ||||||
|
Forward Exchange Currency Contracts
|
- | 134 | - | 134 | ||||||||||
|
Total
|
$ | 461 | $ | 134 | $ | - | $ | 595 | ||||||
| If not referenced in the table, please refer to the Portfolio of Investments for a breakdown of investment type by industry category. | ||||||||||||||
|
There were no transfers between levels during the nine months ended July 31, 2014.
|
||||||||||||||
|
(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
Tracy V. MaitlandPresident and Chief Executive Officer
|
|
Date:
|
September 29, 2014 |
|
By:
|
/s/ Tracy V. Maitland
Tracy V. MaitlandPresident and Chief Executive Officer
|
|
Date:
|
September 29, 2014
|
|
By:
|
/s/ Robert White
Robert WhiteTreasurer and Chief Financial Officer
|
|
Date:
|
September 29, 2014
|