Investment Company Act file number
|
811-21309
|
Advent Claymore Convertible Securities and 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)
|
Item 1. | Schedule of Investments. |
Attached hereto. |
Advent Claymore Convertible Securities & Income Fund
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
January 31, 2015
|
American Airlines Group, Inc.
|
47,000
|
2,306,760
|
|||
Wynn Resorts Ltd.
|
8,300
|
1,227,985
|
|||
Total Consumer, Cyclical
|
3,534,745
|
||||
Gilead Sciences, Inc.*,1
|
18,200
|
1,907,906
|
|||
Pfizer, Inc.2
|
50,850
|
1,589,063
|
|||
Total Consumer, Non-cyclical
|
3,496,969
|
||||
Dow Chemical Co.2
|
52,200
|
2,357,352
|
|||
Royal Dutch Shell plc — Class B ADR
|
35,200
|
2,252,448
|
|||
Apple, Inc.1
|
15,600
|
1,827,696
|
|||
Citigroup, Inc.
|
25,000
|
1,173,750
|
|||
NorthStar Realty Finance Corp.2
|
34,100
|
644,831
|
|||
Total Financial
|
1,818,581
|
||||
Total Common Stocks
|
|||||
(Cost $15,769,545)
|
15,287,791
|
||||
Financial - 4.0%
|
|||||
Wells Fargo & Co. 7.50% 2,3
|
7,032
|
8,740,777
|
|||
American Tower Corp.
|
|||||
5.25% due 05/15/17
|
22,400
|
2,458,400
|
|||
KeyCorp 7.75% 2,3
|
18,000
|
2,380,500
|
|||
Weyerhaeuser Co.
|
|||||
6.38% due 07/01/16
|
32,557
|
1,879,190
|
|||
Alexandria Real Estate Equities, Inc.
|
|||||
7.00% 3
|
50,000
|
1,457,500
|
|||
Total Financial
|
16,916,367
|
||||
Consumer, Non-Cyclical - 3.1%
|
|||||
Tyson Foods, Inc.
|
|||||
4.75% due 07/15/17
|
199,528
|
9,870,650
|
|||
Kindred Healthcare, Inc.
|
|||||
7.50% due 12/01/17
|
3,439
|
3,327,863
|
|||
Total Consumer, Non-Cyclical
|
13,198,513
|
||||
Utilities - 2.9%
|
|||||
Dominion Resources, Inc.
|
|||||
6.38% due 07/01/172
|
95,011
|
4,913,968
|
|||
NextEra Energy, Inc.
|
|||||
5.89% due 09/01/152
|
67,850
|
4,667,402
|
|||
Exelon Corp.
|
|||||
6.50% due 06/01/172
|
56,700
|
2,982,987
|
|||
Total Utilities
|
12,564,357
|
||||
Energy - 2.1%
|
|||||
Chesapeake Energy Corp.
|
|||||
5.75% 2,3,4
|
7,179
|
7,289,824
|
|||
Penn Virginia Corp. 6.00% 2,3,4
|
25,400
|
1,495,425
|
|||
Total Energy
|
8,785,249
|
||||
Industrial - 1.7%
|
|||||
United Technologies Corp.
|
|||||
7.50% due 08/01/152
|
64,077
|
3,840,775
|
|||
Stanley Black & Decker, Inc.
|
|||||
4.75% due 11/17/152
|
25,123
|
3,353,921
|
|||
Total Industrial
|
7,194,696
|
||||
Basic Materials - 1.1%
|
|||||
Alcoa, Inc.
|
|||||
5.38% due 10/01/172
|
94,026
|
4,701,300
|
|||
Shares
|
Value
|
||||
CONVERTIBLE PREFERRED STOCKS† - 15.7% (continued)
|
|||||
Communications - 0.4%
|
|||||
T-Mobile US, Inc.
|
|||||
5.50% due 12/15/17
|
32,672
|
$
|
1,871,452
|
||
Consumer, Cyclical - 0.4%
|
|||||
William Lyon Homes
|
|||||
6.50% due 12/01/17
|
17,300
|
1,794,875
|
|||
Total Convertible Preferred Stocks
|
|||||
(Cost $67,957,040)
|
67,026,809
|
||||
Shares
|
Value
|
||||
Goldman Sachs Financial Prime Obligations - Administration Share Class5
|
7,562,969
|
7,562,969
|
|||
Total Short Term Investments
|
|||||
(Cost $7,562,969)
|
7,562,969
|
||||
Twitter, Inc.
|
|||||
1.00% due 09/15/212,4
|
|||||
0.25% due 09/15/192,4
|
|||||
Priceline Group, Inc.
|
|||||
1.00% due 03/15/182
|
|||||
0.90% due 09/15/212,4
|
|||||
Ctrip.com International Ltd.
|
|||||
1.25% due 10/15/182
|
|||||
Clearwire Communications LLC / Clearwire Finance, Inc.
|
|||||
8.25% due 12/01/402,4
|
|||||
Ciena Corp.
|
|||||
0.88% due 06/15/172
|
|||||
4.00% due 12/15/202
|
|||||
Finisar Corp.
|
|||||
0.50% due 12/15/332
|
|||||
SINA Corp.
|
|||||
1.00% due 12/01/182
|
|||||
Qihoo 360 Technology Company Ltd.
|
|||||
0.50% due 08/15/202,4
|
|||||
1.75% due 08/15/212,4
|
|||||
Yahoo!, Inc.
|
|||||
0.00% due 12/01/182,6
|
|||||
Liberty Interactive LLC
|
|||||
0.75% due 03/30/432
|
|||||
LinkedIn Corp.
|
|||||
0.50% due 11/01/192,4
|
|||||
Liberty Media Corp.
|
|||||
1.38% due 10/15/23
|
|||||
Yandex N.V.
|
|||||
1.13% due 12/15/182
|
|||||
Web.com Group, Inc.
|
|||||
1.00% due 08/15/18
|
|||||
WebMD Health Corp.
|
|||||
1.50% due 12/01/20
|
|||||
Vipshop Holdings Ltd.
|
|||||
1.50% due 03/15/19
|
Advent Claymore Convertible Securities & Income Fund
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
January 31, 2015
|
Face
|
|||||
Amount~
|
Value
|
||||
CONVERTIBLE BONDS†† - 84.7% (continued)
|
|||||
Communications - 18.9% (continued)
|
|||||
Palo Alto Networks, Inc.
|
|||||
0.00% due 07/01/192,4,6
|
$
|
$
|
|||
Omnicare, Inc.
|
|||||
3.50% due 02/15/442
|
|||||
3.25% due 12/15/352
|
|||||
Gilead Sciences, Inc.
|
|||||
1.63% due 05/01/162
|
|||||
Hologic, Inc.
|
|||||
0.00% due 12/15/432,6,7,10
|
|||||
2.00% due 03/01/427,11
|
|||||
Salix Pharmaceuticals Ltd.
|
|||||
1.50% due 03/15/192
|
|||||
BioMarin Pharmaceutical, Inc.
|
|||||
1.50% due 10/15/202
|
3,776,000
|
4,880,480
|
|||
Anthem, Inc.
|
|||||
2.75% due 10/15/422
|
|||||
HealthSouth Corp.
|
|||||
2.00% due 12/01/432
|
|||||
Array BioPharma, Inc.
|
|||||
3.00% due 06/01/202
|
|||||
Depomed, Inc.
|
|||||
2.50% due 09/01/212
|
|||||
Molina Healthcare, Inc.
|
|||||
1.13% due 01/15/202
|
|||||
Incyte Corp.
|
|||||
0.38% due 11/15/182
|
|||||
Illumina, Inc.
|
|||||
0.50% due 06/15/212,4
|
|||||
Jazz Investments I Ltd.
|
|||||
1.88% due 08/15/212,4
|
|||||
Isis Pharmaceuticals, Inc.
|
|||||
1.00% due 11/15/214
|
|||||
Spectranetics Corp.
|
|||||
2.63% due 06/01/342
|
|||||
Wright Medical Group, Inc.
|
|||||
2.00% due 08/15/172
|
|||||
Huron Consulting Group, Inc.
|
|||||
1.25% due 10/01/194
|
|||||
Medicines Co.
|
|||||
1.38% due 06/01/17
|
|||||
Euronet Worldwide, Inc.
|
|||||
1.50% due 10/01/442,4
|
|||||
Emergent Biosolutions, Inc.
|
|||||
2.88% due 01/15/214
|
|||||
Medivation, Inc.
|
|||||
2.63% due 04/01/172
|
|||||
Live Nation Entertainment, Inc.
|
|||||
2.50% due 05/15/192,4
|
|||||
J Sainsbury plc
|
|||||
1.25% due 11/21/19
|
|||||
Teleflex, Inc.
|
|||||
3.88% due 08/01/172
|
|||||
Macquarie Infrastructure Company LLC
|
|||||
2.88% due 07/15/192
|
|||||
Face
|
|||||
Amount~
|
Value
|
||||
CONVERTIBLE BONDS†† - 84.7% (continued)
|
|||||
Consumer, Non-cyclical - 18.8% (continued)
|
|||||
Orexigen Therapeutics, Inc.
|
|||||
2.75% due 12/01/20
|
$
|
$
|
|||
Theravance, Inc.
|
|||||
2.13% due 01/15/232
|
|||||
Accuray, Inc.
|
|||||
3.75% due 08/01/16
|
|||||
Ligand Pharmaceuticals, Inc.
|
|||||
0.75% due 08/15/194
|
|||||
Micron Technology, Inc.
|
|||||
3.00% due 11/15/432
|
|||||
SunEdison, Inc.
|
|||||
0.25% due 01/15/202,4
|
|||||
2.38% due 04/15/224
|
|||||
Intel Corp.
|
|||||
3.25% due 08/01/392
|
1,984,000
|
3,228,970
|
|||
3.48% due 12/15/352
|
|||||
Lam Research Corp.
|
|||||
0.50% due 05/15/162
|
|||||
1.25% due 05/15/182
|
|||||
SanDisk Corp.
|
|||||
0.50% due 10/15/202
|
|||||
Cornerstone OnDemand, Inc.
|
|||||
1.50% due 07/01/182
|
|||||
Verint Systems, Inc.
|
|||||
1.50% due 06/01/212
|
|||||
ServiceNow, Inc.
|
|||||
0.00% due 11/01/182,6
|
|||||
Red Hat, Inc.
|
|||||
0.25% due 10/01/192,4
|
|||||
Proofpoint, Inc.
|
|||||
1.25% due 12/15/182
|
|||||
Microchip Technology, Inc.
|
|||||
2.13% due 12/15/372
|
|||||
Akamai Technologies, Inc.
|
|||||
0.00% due 02/15/192,4,6
|
|||||
Kingsoft Corp. Ltd.
|
|||||
1.25% due 04/11/19
|
|||||
NVIDIA Corp.
|
|||||
1.00% due 12/01/182
|
|||||
Synchronoss Technologies, Inc.
|
|||||
0.75% due 08/15/19
|
|||||
PROS Holdings, Inc.
|
|||||
2.00% due 12/01/194
|
|||||
Allscripts Healthcare Solutions, Inc.
|
|||||
1.25% due 07/01/202
|
|||||
Xilinx, Inc.
|
|||||
2.63% due 06/15/172
|
|||||
Nuance Communications, Inc.
|
|||||
2.75% due 11/01/312
|
|||||
salesforce.com, Inc.
|
|||||
0.25% due 04/01/182
|
|||||
Bottomline Technologies de, Inc.
|
|||||
1.50% due 12/01/17
|
Advent Claymore Convertible Securities & Income Fund
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
January 31, 2015
|
Face
|
|||||
Amount~
|
Value
|
||||
CONVERTIBLE BONDS†† - 84.7% (continued)
|
|||||
Technology - 18.5% (continued)
|
|||||
ON Semiconductor Corp.
|
|||||
2.63% due 12/15/262
|
$
|
$
|
|||
Envestnet, Inc.
|
|||||
1.75% due 12/15/19
|
|||||
Citrix Systems, Inc.
|
|||||
0.50% due 04/15/192,4
|
|||||
Workday, Inc.
|
|||||
0.75% due 07/15/18
|
|||||
Brocade Communications Systems, Inc.
|
|||||
1.38% due 01/01/204
|
|||||
Colony Financial, Inc.
|
|||||
3.88% due 01/15/212
|
|||||
Forest City Enterprises, Inc.
|
|||||
3.63% due 08/15/202
|
5,953,000
|
6,715,728
|
|||
Starwood Property Trust, Inc.
|
|||||
4.00% due 01/15/192
|
|||||
Radian Group, Inc.
|
|||||
2.25% due 03/01/192
|
|||||
Air Lease Corp.
|
|||||
3.88% due 12/01/182
|
|||||
Brookdale Senior Living, Inc.
|
|||||
2.75% due 06/15/182
|
|||||
PRA Group, Inc.
|
|||||
3.00% due 08/01/202
|
|||||
Fidelity National Financial, Inc.
|
|||||
4.25% due 08/15/182
|
|||||
American Realty Capital Properties, Inc.
|
|||||
3.00% due 08/01/18
|
|||||
iStar Financial, Inc.
|
|||||
3.00% due 11/15/162
|
|||||
Starwood Waypoint Residential Trust
|
|||||
4.50% due 10/15/172,4
|
|||||
Pennymac Corp.
|
|||||
5.38% due 05/01/202
|
|||||
Encore Capital Group, Inc.
|
|||||
2.88% due 03/15/214
|
|||||
Annaly Capital Management, Inc.
|
|||||
5.00% due 05/15/152
|
|||||
Host Hotels & Resorts, LP
|
|||||
2.50% due 10/15/292,4
|
|||||
DDR Corp.
|
|||||
1.75% due 11/15/40
|
|||||
Jarden Corp.
|
|||||
1.13% due 03/15/342,4
|
|||||
1.50% due 06/15/192
|
|||||
Fiat Chrysler Automobiles NV
|
|||||
7.88% due 12/15/162
|
|||||
MGM Resorts International
|
|||||
4.25% due 04/15/152
|
|||||
Iconix Brand Group, Inc.
|
|||||
2.50% due 06/01/16
|
|||||
Face
|
|||||
Amount~
|
Value
|
||||
CONVERTIBLE BONDS†† - 84.7% (continued)
|
|||||
Consumer, Cyclical - 8.0% (continued)
|
|||||
Ryland Group, Inc.
|
|||||
1.63% due 05/15/182
|
$
|
$
|
|||
Meritor, Inc.
|
|||||
7.88% due 03/01/262
|
|||||
4.00% due 02/15/192,7
|
|||||
Standard Pacific Corp.
|
|||||
1.25% due 08/01/322
|
|||||
LGI Homes, Inc.
|
|||||
4.25% due 11/15/194
|
|||||
Tesla Motors, Inc.
|
|||||
1.25% due 03/01/212
|
|||||
Vishay Intertechnology, Inc.
|
|||||
2.25% due 11/15/402,4
|
|||||
Greenbrier Companies, Inc.
|
|||||
3.50% due 04/01/182
|
1,645,000
|
2,361,603
|
|||
Chart Industries, Inc.
|
|||||
2.00% due 08/01/182
|
|||||
Fluidigm Corp.
|
|||||
2.75% due 02/01/34
|
|||||
Trinity Industries, Inc.
|
|||||
3.88% due 06/01/362
|
|||||
UTi Worldwide, Inc.
|
|||||
4.50% due 03/01/194
|
|||||
Hornbeck Offshore Services, Inc.
|
|||||
1.50% due 09/01/192
|
|||||
General Cable Corp.
|
|||||
4.50% due 11/15/197
|
|||||
BW Group Ltd.
|
|||||
1.75% due 09/10/19
|
|||||
SunPower Corp.
|
|||||
0.88% due 06/01/214
|
|||||
Newpark Resources, Inc.
|
|||||
4.00% due 10/01/172
|
|||||
CaixaBank S.A.
|
|||||
4.50% due 11/22/16
|
|||||
Helix Energy Solutions Group, Inc.
|
|||||
3.25% due 03/15/322
|
|||||
Chesapeake Energy Corp.
|
|||||
2.25% due 12/15/382
|
|||||
SEACOR Holdings, Inc.
|
|||||
2.50% due 12/15/272
|
|||||
Stone Energy Corp.
|
|||||
1.75% due 03/01/17
|
|||||
Royal Gold, Inc.
|
|||||
2.88% due 06/15/192
|
|||||
United States Steel Corp.
|
|||||
2.75% due 04/01/192
|
Advent Claymore Convertible Securities & Income Fund
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
January 31, 2015
|
Face
|
|||||
Amount~
|
Value
|
||||
CONVERTIBLE BONDS†† - 84.7% (continued)
|
|||||
Basic Materials - 1.4% (continued)
|
|||||
B2Gold Corp.
|
|||||
3.25% due 10/01/18
|
$
|
$
|
|||
CenterPoint Energy, Inc.
|
|||||
3.94% due 09/15/292,7
|
|||||
Total Convertible Bonds
|
|||||
(Cost $363,334,986)
|
362,626,481
|
||||
Tenet Healthcare Corp.
|
|||||
6.00% due 10/01/202
|
|||||
8.13% due 04/01/22
|
|||||
Prospect Medical Holdings, Inc.
|
|||||
8.38% due 05/01/192,4
|
|||||
Valeant Pharmaceuticals International
|
|||||
6.38% due 10/15/204
|
2,000,000
|
2,122,499
|
|||
6.75% due 08/15/212,4
|
|||||
United Rentals North America, Inc.
|
|||||
7.38% due 05/15/20
|
|||||
5.75% due 11/15/24
|
|||||
HCA, Inc.
|
|||||
6.50% due 02/15/202
|
|||||
Fresenius Medical Care US Finance II, Inc.
|
|||||
5.63% due 07/31/192,4
|
|||||
HCA Holdings, Inc.
|
|||||
7.75% due 05/15/212
|
|||||
CHS/Community Health Systems, Inc.
|
|||||
5.13% due 08/15/18
|
|||||
Mallinckrodt International Finance S.A.
|
|||||
3.50% due 04/15/18
|
|||||
Health Net, Inc.
|
|||||
6.38% due 06/01/172
|
|||||
Biomet, Inc.
|
|||||
6.50% due 08/01/202
|
|||||
IASIS Healthcare LLC / IASIS Capital Corp.
|
|||||
8.38% due 05/15/19
|
|||||
Cott Beverages, Inc.
|
|||||
6.75% due 01/01/204
|
|||||
Cenveo Corp.
|
|||||
8.50% due 09/15/224
|
|||||
11.50% due 05/15/17
|
|||||
Land O'Lakes Capital Trust I
|
|||||
7.45% due 03/15/282,4
|
|||||
Gentiva Health Services, Inc.
|
|||||
11.50% due 09/01/18
|
|||||
Sotheby's
|
|||||
5.25% due 10/01/224
|
|||||
Novasep Holding SAS
|
|||||
8.00% due 12/15/164
|
|||||
Face
|
|||||
Amount~
|
Value
|
||||
CORPORATE BONDS†† - 52.8% (continued)
|
|||||
Consumer, Non-cyclical - 11.8% (continued)
|
|||||
Omnicare, Inc.
|
|||||
5.00% due 12/01/24
|
$
|
$
|
|||
4.75% due 12/01/22
|
|||||
R&R Ice Cream plc
|
|||||
5.50% due 05/15/202,4
|
|||||
Vector Group Ltd.
|
|||||
7.75% due 02/15/21
|
|||||
HealthSouth Corp.
|
|||||
8.13% due 02/15/202
|
|||||
JLL/Delta Dutch Newco BV
|
|||||
7.50% due 02/01/224
|
|||||
Cerberus Nightingale 1 SARL
|
|||||
8.25% due 02/01/20
|
|||||
FAGE Dairy Industry S.A. / FAGE USA Dairy Industry, Inc.
|
|||||
9.88% due 02/01/204
|
|||||
Live Nation Entertainment, Inc.
|
|||||
7.00% due 09/01/204
|
300,000
|
321,750
|
|||
Reynolds Group Issuer Incorporated / Reynolds Group Issuer LLC / Reynolds Group Issuer
|
|||||
7.13% due 04/15/192
|
|||||
5.75% due 10/15/202
|
|||||
Cemex SAB de CV
|
|||||
3.00% due 03/13/154
|
|||||
Clean Harbors, Inc.
|
|||||
5.13% due 06/01/212
|
|||||
5.25% due 08/01/20
|
|||||
Sanmina Corp.
|
|||||
4.38% due 06/01/192,4
|
|||||
MasTec, Inc.
|
|||||
4.88% due 03/15/232
|
|||||
Navios Maritime Holdings Incorporated / Navios Maritime Finance II US Inc
|
|||||
7.38% due 01/15/222,4
|
|||||
8.13% due 02/15/19
|
|||||
Teekay Corp.
|
|||||
6.48% due 10/09/15
|
|||||
Cleaver-Brooks, Inc.
|
|||||
8.75% due 12/15/194
|
|||||
Navios Maritime Acquisition Corporation / Navios Acquisition Finance US, Inc.
|
|||||
8.13% due 11/15/212,4
|
|||||
Waterjet Holdings, Inc.
|
|||||
7.63% due 02/01/202,4
|
|||||
Casella Waste Systems, Inc.
|
|||||
7.75% due 02/15/19
|
|||||
Boise Cascade Co.
|
|||||
6.38% due 11/01/202
|
|||||
Eletson Holdings
|
|||||
9.63% due 01/15/222,4
|
Advent Claymore Convertible Securities & Income Fund
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
January 31, 2015
|
Face
|
|||||
Amount~
|
Value
|
||||
CORPORATE BONDS†† - 52.8% (continued)
|
|||||
Industrial - 7.1% (continued)
|
|||||
Dispensing Dynamics International
|
|||||
12.50% due 01/01/184
|
$
|
$
|
|||
Silk Bidco AS
|
|||||
7.50% due 02/01/22
|
|||||
LSB Industries, Inc.
|
|||||
7.75% due 08/01/192
|
|||||
Permian Holdings, Inc.
|
|||||
10.50% due 01/15/182,4
|
|||||
Pfleiderer GmbH
|
|||||
7.88% due 08/01/194
|
|||||
Navios South American Logistics Incorporated / Navios Logistics Finance US Inc
|
|||||
7.25% due 05/01/224
|
|||||
KLX, Inc.
|
|||||
5.88% due 12/01/224
|
275,000
|
272,250
|
|||
Celanese US Holdings LLC
|
|||||
5.88% due 06/15/212
|
|||||
4.63% due 11/15/222
|
|||||
Ashland, Inc.
|
|||||
4.75% due 08/15/222
|
|||||
FMG Resources August 2006 Pty Ltd.
|
|||||
8.25% due 11/01/192,4
|
|||||
Steel Dynamics, Inc.
|
|||||
5.13% due 10/01/214
|
|||||
6.38% due 08/15/222
|
|||||
Appvion, Inc.
|
|||||
9.00% due 06/01/204
|
|||||
Cornerstone Chemical Co.
|
|||||
9.38% due 03/15/182
|
|||||
Sappi Papier Holding GmbH
|
|||||
6.63% due 04/15/212,4
|
|||||
Novacap International SAS
|
|||||
5.09% due 05/01/194
|
|||||
Verso Paper Holdings LLC / Verso Paper, Inc.
|
|||||
11.75% due 01/15/19
|
|||||
Compass Minerals International, Inc.
|
|||||
4.88% due 07/15/242,4
|
|||||
St. Barbara Ltd.
|
|||||
8.88% due 04/15/184
|
|||||
First Quantum Minerals Ltd.
|
|||||
6.75% due 02/15/202,4
|
|||||
7.00% due 02/15/212,4
|
|||||
Commercial Metals Co.
|
|||||
4.88% due 05/15/23
|
|||||
Kissner Milling Company Ltd.
|
|||||
7.25% due 06/01/192,4
|
|||||
HIG BBC Intermediate Holdings LLC / HIG BBC Holdings Corp.
|
|||||
10.50% due 09/15/184,8
|
|||||
Starz LLC / Starz Finance Corp.
|
|||||
5.00% due 09/15/192
|
|||||
Face
|
|||||
Amount~
|
Value
|
||||
CORPORATE BONDS†† - 52.8% (continued)
|
|||||
Communications - 6.7% (continued)
|
|||||
UPCB Finance III Ltd.
|
|||||
6.63% due 07/01/202,4
|
$
|
$
|
|||
Equinix, Inc.
|
|||||
4.88% due 04/01/20
|
|||||
5.38% due 04/01/232
|
|||||
Alliance Data Systems Corp.
|
|||||
6.38% due 04/01/204
|
|||||
Sprint Communications, Inc.
|
|||||
9.00% due 11/15/184
|
|||||
11.50% due 11/15/21
|
|||||
Sprint Corp.
|
|||||
7.88% due 09/15/232
|
|||||
DISH DBS Corp.
|
|||||
6.75% due 06/01/212
|
|||||
EarthLink Holdings Corp.
|
|||||
7.38% due 06/01/202
|
1,350,000
|
1,370,250
|
|||
Altice S.A.
|
|||||
7.75% due 05/15/222,4
|
|||||
Wind Acquisition Finance S.A.
|
|||||
7.00% due 04/23/21
|
|||||
ViaSat, Inc.
|
|||||
6.88% due 06/15/20
|
|||||
West Corp.
|
|||||
5.38% due 07/15/224
|
|||||
Telesat Canada / Telesat LLC
|
|||||
6.00% due 05/15/172,4
|
|||||
Clear Channel Worldwide Holdings, Inc.
|
|||||
6.50% due 11/15/22
|
|||||
Hughes Satellite Systems Corp.
|
|||||
6.50% due 06/15/192
|
|||||
iHeartCommunications, Inc.
|
|||||
11.25% due 03/01/21
|
|||||
Credit Agricole S.A.
|
|||||
7.88% 2,3,4,9
|
|||||
Synovus Financial Corp.
|
|||||
7.88% due 02/15/192
|
|||||
5.13% due 06/15/172
|
|||||
Ally Financial, Inc.
|
|||||
8.00% due 03/15/202
|
|||||
CIT Group, Inc.
|
|||||
5.50% due 02/15/192,4
|
|||||
Kennedy-Wilson, Inc.
|
|||||
5.88% due 04/01/242
|
|||||
Corrections Corporation of America
|
|||||
4.63% due 05/01/23
|
|||||
Nationstar Mortgage LLC / Nationstar Capital Corp.
|
|||||
6.50% due 06/01/222
|
|||||
Covenant Surgical Partners, Inc.
|
|||||
8.75% due 08/01/192,4
|
|||||
E*TRADE Financial Corp.
|
|||||
5.38% due 11/15/222
|
|||||
Ocwen Financial Corp.
|
|||||
6.63% due 05/15/194
|
Advent Claymore Convertible Securities & Income Fund
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
January 31, 2015
|
Face
|
|||||
Amount~
|
Value
|
||||
CORPORATE BONDS†† - 52.8% (continued)
|
|||||
Financial - 6.3% (continued)
|
|||||
Omega Healthcare Investors, Inc.
|
|||||
5.88% due 03/15/242
|
$
|
$
|
|||
Jefferies Finance LLC / JFIN Company-Issuer Corp.
|
|||||
6.88% due 04/15/222,4
|
|||||
DuPont Fabros Technology, LP
|
|||||
5.88% due 09/15/212
|
|||||
Greystar Real Estate Partners LLC
|
|||||
8.25% due 12/01/224
|
250,000
|
256,250
|
|||
MGM Resorts International
|
|||||
5.25% due 03/31/202
|
|||||
6.00% due 03/15/232
|
|||||
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp.
|
|||||
5.63% due 10/15/21
|
|||||
Chrysler Group LLC / CG Company-Issuer, Inc.
|
|||||
8.00% due 06/15/192
|
|||||
Lennar Corp.
|
|||||
4.50% due 06/15/192
|
|||||
Churchill Downs, Inc.
|
|||||
5.38% due 12/15/212
|
|||||
Chinos Intermediate Holdings A, Inc.
|
|||||
7.75% due 05/01/194,8
|
|||||
Carlson Wagonlit BV
|
|||||
6.88% due 06/15/192,4
|
|||||
Allied Specialty Vehicles, Inc.
|
|||||
8.50% due 11/01/192,4
|
|||||
Regal Entertainment Group
|
|||||
5.75% due 03/15/22
|
|||||
Dana Holding Corp.
|
|||||
6.75% due 02/15/212
|
|||||
Speedway Motorsports, Inc.
|
|||||
5.13% due 02/01/234
|
|||||
Travelex Financing plc
|
|||||
8.00% due 08/01/184
|
|||||
Magnolia BC S.A.
|
|||||
9.00% due 08/01/204
|
|||||
First Cash Financial Services, Inc.
|
|||||
6.75% due 04/01/212
|
|||||
Global Partners Limited Partnership / GLP Finance Corp.
|
|||||
6.25% due 07/15/224
|
|||||
MTR Gaming Group, Inc.
|
|||||
11.50% due 08/01/19
|
|||||
Penn Virginia Corp.
|
|||||
8.50% due 05/01/20
|
|||||
Alta Mesa Holdings Limited Partnership / Alta Mesa Finance Services Corp.
|
|||||
9.63% due 10/15/182
|
|||||
Face
|
|||||
Amount~
|
Value
|
||||
CORPORATE BONDS†† - 52.8% (continued)
|
|||||
Energy - 5.3% (continued)
|
|||||
PBF Holding Company LLC / PBF Finance Corp.
|
|||||
8.25% due 02/15/202
|
$
|
$
|
|||
Tesoro Logistics Limited Partnership / Tesoro Logistics Finance Corp.
|
|||||
6.13% due 10/15/21
|
|||||
Regency Energy Partners Limited Partnership / Regency Energy Finance Corp.
|
|||||
5.88% due 03/01/22
|
1,375,000
|
1,512,500
|
|||
SESI LLC
|
|||||
6.38% due 05/01/192
|
|||||
Oasis Petroleum, Inc.
|
|||||
6.88% due 03/15/222
|
|||||
Clayton Williams Energy, Inc.
|
|||||
7.75% due 04/01/192
|
|||||
QEP Resources, Inc.
|
|||||
6.88% due 03/01/212
|
|||||
Genesis Energy Limited Partnership / Genesis Energy Finance Corp.
|
|||||
5.75% due 02/15/21
|
|||||
Tesoro Corp.
|
|||||
5.38% due 10/01/222
|
|||||
California Resources Corp.
|
|||||
5.50% due 09/15/214
|
|||||
BreitBurn Energy Partners Limited Partnership / BreitBurn Finance Corp.
|
|||||
7.88% due 04/15/222
|
|||||
W&T Offshore, Inc.
|
|||||
8.50% due 06/15/192
|
|||||
CONSOL Energy, Inc.
|
|||||
5.88% due 04/15/222
|
|||||
Energy XXI Gulf Coast, Inc.
|
|||||
9.25% due 12/15/17
|
|||||
First Data Corp.
|
|||||
11.75% due 08/15/21
|
|||||
11.25% due 01/15/21
|
|||||
12.63% due 01/15/21
|
|||||
NXP BV / NXP Funding LLC
|
|||||
5.75% due 02/15/212,4
|
|||||
Nuance Communications, Inc.
|
|||||
5.38% due 08/15/202,4
|
|||||
Audatex North America, Inc.
|
|||||
6.00% due 06/15/214
|
|||||
Micron Technology, Inc.
|
|||||
5.50% due 02/01/254
|
|||||
Total Corporate Bonds
|
|||||
(Cost $230,954,959)
|
225,596,101
|
||||
10.50% due 10/30/19
|
|||||
Sprint Industrial Holdings LLC
|
|||||
11.25% due 05/14/19
|
Advent Claymore Convertible Securities & Income Fund
|
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
January 31, 2015
|
Face
|
|||||
Amount~
|
Value
|
||||
Caraustar Industries, Inc.
|
|||||
7.50% due 05/01/19
|
$
|
$
|
|||
Total Senior Floating Rate Interests
|
|||||
(Cost $3,445,156)
|
3,372,048
|
||||
Total Investments - 159.4%
|
|||||
(Cost $689,024,655)
|
$
|
681,472,199
|
|||
Gilead Sciences, Inc. Expiring February 2015 with strike price of $111.00
|
182
|
(29,120)
|
|||
Apple, Inc. Expiring February 2015 with strike price of $117.00
|
156
|
(47,424)
|
|||
Total Call Options Written
|
|||||
(Premiums received $77,556)
|
(76,544)
|
||||
Other Assets & Liabilities, net - (59.4)%
|
(253,902,468)
|
||||
$
|
(427,493,187)
|
*
|
Non-income producing security.
|
|
**
|
Less than 0.1%
|
|
~
|
The face amount is denominated in U.S. Dollars, unless otherwise noted.
|
|
†
|
Value determined based on Level 1 inputs — See Notes.
|
|
††
|
Value determined based on Level 2 inputs — See Notes.
|
|
1
|
All or a portion of these securities represent cover for outstanding written options. At January 31, 2015, the total amount segregated was $3,735,602.
|
|
2
|
All or a portion of these securities have been physically segregated in connection with borrowings and reverse repurchase agreements. As of January 31, 2015, the total value was $427,642,806.
|
|
3
|
Perpetual maturity.
|
|
4
|
Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $174,568,801 (cost $179,786,950), or 40.8% of total net assets.
|
|
5
|
All or a portion of these securities are reserved and/or pledged with the custodian for forward exchange currency contracts and option contracts. At January 31, 2015, the total amount segregated was $15,137,811.
|
|
6
|
Zero coupon rate security.
|
|
7
|
Security is a step up/step down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity.
|
|
8
|
Security is a pay-in-kind bond.
|
|
9
|
Variable rate security. Rate indicated is rate effective at January 31, 2015.
|
|
10
|
Security is an accreting bond until December 15, 2017, with a 4.00% principal accretion rate, and then accretes at a 2.00% principal accretion rate until maturity.
|
|
11
|
Security becomes an accreting bond after December 15, 2016, with a 2.00% principal accretion rate.
|
|
ADR
|
American Depositary Receipt
|
|
BV
|
Limited Liability Company
|
|
EUR
|
Euro
|
|
GBP
|
Great Britain Pound
|
|
GmbH
|
Limited Liability
|
|
HKD
|
Hong Kong Dollar
|
|
NOK
|
Norwegian Krone
|
|
NV
|
Publicly Traded Company
|
|
plc
|
Public Limited Company
|
|
Pty
|
Proprietary
|
|
SA
|
Corporation
|
|
SAB de CV
|
Publicly Traded Company
|
Forward Exchange Currency Contracts
|
||||||||||||||
Net Unrealized
|
||||||||||||||
Contracts to Buy
|
Counterparty
|
Settlement Date
|
Settlement Value
|
Value at 1/31/15
|
Depreciation
|
|||||||||
EUR
|
1,120,000 | |||||||||||||
for USD
|
1,377,664 |
The Bank of New York Mellon
|
03/19/2015
|
$ | 1,377,664 | $ | 1,264,383 | $ | (113,281 | ) | ||||
$ | (113,281 | ) | ||||||||||||
Net Unrealized
|
||||||||||||||
Contracts to Sell
|
Counterparty
|
Settlement Date
|
Settlement Value
|
Value at 1/31/15
|
Appreciation/(Depreciation)
|
|||||||||
EUR
|
56,015 | |||||||||||||
for USD
|
63,399 |
The Bank of New York Mellon
|
02/02/2015
|
$ | 63,399 | $ | 63,211 | $ | 188 | |||||
EUR
|
3,782,000 | |||||||||||||
for USD
|
4,714,339 |
The Bank of New York Mellon
|
03/19/2015
|
4,714,339 | 4,269,550 | 444,789 | ||||||||
EUR
|
13,371 | |||||||||||||
for USD
|
15,133 |
The Bank of New York Mellon
|
02/02/2015
|
15,133 | 15,088 | 45 | ||||||||
GBP
|
25,000 | |||||||||||||
for USD
|
37,823 |
The Bank of New York Mellon
|
02/02/2015
|
37,823 | 37,548 | 275 | ||||||||
GBP
|
1,000,000 | |||||||||||||
for USD
|
1,569,520 |
The Bank of New York Mellon
|
03/19/2015
|
1,569,520 | 1,501,421 | 68,099 | ||||||||
NOK
|
12,175,000 | |||||||||||||
for USD
|
1,637,954 |
The Bank of New York Mellon
|
03/19/2015
|
1,637,954 | 1,568,803 | 69,151 | ||||||||
$ | 582,547 | |||||||||||||
Total unrealized appreciation for forward currency contracts | $ | 469,266 |
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
|
|||||||||
$ | 691,173,190 | $ | 21,995,563 | $ | (31,696,554 | ) | $ | (9,700,991 | ) | $ | 471,684 |
Quoted Prices in Active
Markets for Identical Assets |
Significant Other
Observable Inputs |
Significant
Unobservable Inputs |
|||||||||
Description
|
(Level 1)
|
(Level 2)
|
(Level 3)
|
Total
|
|||||||
Assets:
|
|||||||||||
Convertible Bonds
|
$ | - | $ | 362,626,481 | $ | - | $ | 362,626,481 | |||
Corporate Bonds
|
- | 225,596,101 | - | 225,596,101 | |||||||
Convertible Preferred Stocks
|
67,026,809 | - | - | 67,026,809 | |||||||
Common Stocks
|
15,287,791 | - | - | 15,287,791 | |||||||
Senior Floating Rate Interests
|
- | 3,372,048 | - | 3,372,048 | |||||||
Short Term Investments
|
7,562,969 | - | - | 7,562,969 | |||||||
Forward Exchange Currency Contracts
|
- | 582,547 | - | 582,547 | |||||||
Total
|
$ | 89,877,569 | $ | 592,177,177 | $ | - | $ | 682,054,746 | |||
Liabilities:
|
|||||||||||
Call Options Written
|
$ | 76,544 | $ | - | $ | - | $ | 76,544 | |||
Forward Exchange Currency Contracts
|
- | 113,281 | - | 113,281 | |||||||
Total
|
$ | 76,544 | $ | 113,281 | $ | - | $ | 189,825 |
Item 2. | Controls and Procedures. |
(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 (the “Investment Company Act”)) 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 changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) 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.
|
Item 3. | Exhibits. |
Advent Claymore Convertible Securities and Income Fund
|
By:
|
/s/ Tracy V. Maitland |
Tracy V. Maitland
|
|
President and Chief Executive Officer
|
|
Date:
|
March 30, 2015 |
By:
|
/s/ Tracy V. Maitland |
Tracy V. Maitland
|
|
President and Chief Executive Officer
|
|
Date:
|
March 30, 2015 |
By:
|
/s/ Robert White |
Robert White
|
|
Treasurer and Chief Financial Officer
|
|
Date:
|
March 30, 2015 |