NPORT-EX 2 gugg82731.htm ADVENT CONVERTIBLE AND INCOME FUND NQ
Advent Convertible and Income Fund  
SCHEDULE OF INVESTMENTS (Unaudited)       July 31, 2021

 

   Shares  Value
COMMON STOCKS† - 14.2%
Consumer, Cyclical - 4.3%          
Marriott International, Inc. — Class A*   40,000   $5,839,200 
General Motors Co.*,1   75,000    4,263,000 
Brinker International, Inc.*,1   60,000    3,260,400 
Spirit Airlines, Inc.*   100,000    2,698,000 
Thor Industries, Inc.1   20,000    2,367,200 
Brunswick Corp.   20,000    2,088,000 
Penn National Gaming, Inc.*,1   30,000    2,051,400 
NIO, Inc. ADR*,1   45,000    2,010,600 
Hanesbrands, Inc.   100,000    1,826,000 
Caesars Entertainment, Inc.*   20,000    1,747,200 
Visteon Corp.*,1   15,000    1,710,750 
Total Consumer, Cyclical        29,861,750 
Basic Materials - 1.9%          
United States Steel Corp.   150,000    3,972,000 
LyondellBasell Industries N.V.*   35,000    3,476,550 
Freeport-McMoRan, Inc.   80,000    3,048,000 
Alcoa Corp.*   70,000    2,810,500 
Total Basic Materials        13,307,050 
Financial - 1.9%          
Gaming and Leisure Properties, Inc. REIT   76,735    3,632,635 
PNC Financial Services Group, Inc.   15,000    2,736,150 
Fifth Third Bancorp   75,000    2,721,750 
Ventas, Inc. REIT   45,000    2,690,100 
Visa, Inc. — Class A   5,000    1,231,950 
Total Financial        13,012,585 
Industrial - 1.9%          
Lockheed Martin Corp.   8,000    2,973,360 
United Parcel Service, Inc. — Class B   15,000    2,870,400 
Union Pacific Corp.   12,000    2,625,120 
Honeywell International, Inc.   10,000    2,337,900 
Caterpillar, Inc.1   10,000    2,067,500 
Total Industrial        12,874,280 
Technology - 1.8%          
Microchip Technology, Inc.1   26,000    3,721,120 
ON Semiconductor Corp.*,1   85,000    3,320,100 
Advanced Micro Devices, Inc.*   30,000    3,185,700 
Take-Two Interactive Software, Inc.*,1   15,000    2,601,300 
Total Technology        12,828,220 
Consumer, Non-cyclical - 1.4%          
Teladoc Health, Inc.*,1   25,000    3,711,250 
AbbVie, Inc.   30,000    3,489,000 
Humana, Inc.1   6,500    2,768,090 
Total Consumer, Non-cyclical        9,968,340 
Energy - 1.0%          
ConocoPhillips   90,000    5,045,400 
Valero Energy Corp.   30,000    2,009,100 
Total Energy        7,054,500 
Total Common Stocks          
(Cost $88,192,305)        98,906,725 
CONVERTIBLE PREFERRED STOCKS† - 16.5%          
Financial - 3.0%          
KKR & Company, Inc., 6.00% due 09/15/231   117,636    9,768,493 
Bank of America Corp., 7.25%1   3,430   5,074,857 
Wells Fargo & Co., 7.50%1   3,000    4,561,201 
2020 Mandatory Exchangeable Trust, 6.50% due 05/16/231,2   810    1,522,282 
Total Financial        20,926,833 
Consumer, Non-cyclical - 2.6%          
Boston Scientific Corp., 5.50% due 06/01/231   51,306    6,303,455 
Elanco Animal Health, Inc., 5.00% due 02/01/231   93,687    5,172,459 
Danaher Corp., 5.00% due 04/15/231   2,421    3,879,919 
Avantor, Inc., 6.25% due 05/15/221   13,170    1,523,110 
Becton Dickinson and Co., 6.00% due 06/01/23   25,521    1,434,791 
Total Consumer, Non-cyclical        18,313,734 
Industrial - 2.6%          
Fluor Corp., 6.50%*,1,2   8,652    8,688,338 
Colfax Corp., 5.75% due 01/15/221   30,000    5,561,400 
Stanley Black & Decker, Inc., 5.25% due 11/15/221   29,424    3,472,032 
Total Industrial        17,721,770 
Technology - 2.2%          
Broadcom, Inc., 8.00% due 09/30/221   6,583    10,166,390 
Change Healthcare, Inc., 6.00% due 06/30/221   73,037    5,309,060 
Total Technology        15,475,450 
Communications - 2.0%          
2020 Cash Mandatory Exchangeable Trust, 5.25% due 06/01/23*,1,2   7,344    9,223,624 
ViacomCBS, Inc., 5.75% due 04/01/241   61,787    4,490,679 
Total Communications        13,714,303 
Utilities - 1.8%          

NextEra Energy, Inc.

5.28% due 03/01/231

   105,823    5,432,953 
6.22% due 09/01/231   77,832    4,038,703 
American Electric Power Company, Inc., 6.13% due 08/15/231   29,153    1,547,150 
AES Corp., 6.88% due 02/15/241   15,109    1,531,750 
Total Utilities        12,550,556 
Consumer, Cyclical - 1.4%          
Aptiv plc, 5.50% due 06/15/23   53,289    9,997,016 
Basic Materials - 0.9%          
ArcelorMittal S.A., 5.50% due 05/18/231   76,209    6,326,109 
Total Convertible Preferred Stocks          
(Cost $86,487,529)        115,025,771 
 
 

 

Advent Convertible and Income Fund  
SCHEDULE OF INVESTMENTS (Unaudited)       July 31, 2021

 

   Shares  Value
MONEY MARKET FUND† - 7.2%
Morgan Stanley Institutional Liquidity Government Portfolio - Institutional Class, 0.03%3   50,221,200   $50,221,200 
Total Money Market Fund          
(Cost $50,221,200)        50,221,200 
    Face
Amount~		     
CONVERTIBLE BONDS†† - 68.6%          
Communications -  18.1%          
Palo Alto Networks, Inc.          
0.38% due 06/01/251   8,942,000    12,876,480 
Snap, Inc.          
0.75% due 08/01/261   2,481,000    8,151,636 
 due 05/01/271,2,4   2,594,000    2,990,882 
Liberty Media Corp.          
1.38% due 10/15/231   3,363,000    4,484,475 
2.75% due 12/01/492   3,500,000    3,676,750 
0.50% due 12/01/501,2   2,304,000    2,534,400 
Wayfair, Inc.          
0.63% due 10/01/251,2   7,329,000    7,145,775 
1.00% due 08/15/261   430,000    754,865 
Etsy, Inc.          
0.25% due 06/15/281,2   5,789,000    6,075,555 
Uber Technologies, Inc.          
 due 12/15/251,2,4   6,015,000    5,897,708 
FireEye, Inc.          
0.88% due 06/01/241   5,118,000    5,792,936 
Viavi Solutions, Inc.          
1.75% due 06/01/231   3,000,000    3,899,892 
1.00% due 03/01/241   1,369,000    1,852,428 
DISH Network Corp.          
3.38% due 08/15/261   2,588,000    2,659,170 
2.38% due 03/15/241   1,998,000    1,938,060 
 due 12/15/251,2,4   934,000    1,096,983 
Q2 Holdings, Inc.          
0.13% due 11/15/251,2   4,037,000    4,039,120 
0.75% due 06/01/261   783,000    1,026,513 
Booking Holdings, Inc.          
0.75% due 05/01/251   3,561,000    5,046,276 
Lyft, Inc.          
1.50% due 05/15/251   2,831,000    4,532,431 
Zendesk, Inc.          
0.63% due 06/15/251   2,933,000    4,012,637 
RealReal, Inc.          
1.00% due 03/01/281,2   3,094,000    2,725,505 
3.00% due 06/15/25   743,000    917,141 
Farfetch Ltd.          
3.75% due 05/01/271   1,000,000    3,238,800 
Okta, Inc.          
0.38% due 06/15/261   2,360,000    2,979,500 
Match Group Financeco 2, Inc.          
0.88% due 06/15/261,2   1,542,000    2,935,582 
Wix.com Ltd.          
 due 08/15/252,4   2,500,000    2,736,250 
Zillow Group, Inc.          
2.75% due 05/15/251   1,484,000    2,653,392 
Twitter, Inc.          
0.25% due 06/15/241   1,895,000    2,618,701 
Expedia Group, Inc.          
 due 02/15/261,2,4   2,372,000    2,542,784 
Yandex N.V.          
0.75% due 03/03/25   1,600,000    2,009,680 
Meituan          
 due 04/27/284   2,100,000    1,951,425 
Just Eat Takeaway.com N.V.          
1.25% due 04/30/26EUR  700,000    836,271 
0.63% due 02/09/28EUR  500,000    553,590 
 due 08/09/254EUR  300,000    335,761 
Delivery Hero SE          
0.88% due 07/15/25EUR  1,300,000    1,708,411 
Bharti Airtel Ltd.          
1.50% due 02/17/25   1,050,000    1,254,750 
Xiaomi Best Time International Ltd.          
 due 12/17/274   900,000    936,900 
MakeMyTrip Ltd.          
 due 02/15/282,4   782,000    790,099 
Pinduoduo, Inc.          
 due 12/01/251,4   775,000    718,813 
Nice Ltd.          
 due 09/15/251,2,4   589,000    660,645 
Shopify, Inc.          
0.13% due 11/01/251   487,000    642,597 
Total Communications        126,231,569 
Consumer, Non-cyclical -  13.2%          
Square, Inc.          
0.25% due 11/01/271,2   6,053,000    7,157,672 
0.13% due 03/01/251   1,558,000    3,262,063 
 due 05/01/261,2,4   490,000    558,906 
Exact Sciences Corp.          
0.38% due 03/15/271   7,009,000    8,515,935 
Dexcom, Inc.          
0.25% due 11/15/251   5,274,000    6,005,767 
0.75% due 12/01/231   262,000    820,224 
Insulet Corp.          
0.38% due 09/01/261   4,333,000    6,003,913 
Shift4 Payments, Inc.          
 due 12/15/251,2,4   2,324,000    3,027,010 
0.50% due 08/01/271,2   2,639,000    2,746,209 
Jazz Investments I Ltd.          
2.00% due 06/15/261   4,002,000    5,202,600 
Chegg, Inc.          
 due 09/01/261,2,4   4,284,000    4,645,998 
0.13% due 03/15/251   270,000    482,625 
Canopy Growth Corp.          
4.25% due 07/15/231,2CAD  4,360,000    3,483,879 
Herbalife Nutrition Ltd.          
2.63% due 03/15/241   3,096,000    3,318,525 
Guardant Health, Inc.          
 due 11/15/271,2,4   2,691,000    2,909,644 
Sarepta Therapeutics, Inc.          
1.50% due 11/15/241   2,293,000    2,813,224 
Teladoc Health, Inc.          
1.25% due 06/01/271   2,233,000    2,392,213 
Nexi SpA          
1.75% due 04/24/27EUR  800,000    1,171,320 
 due 02/24/284 EUR  900,000    1,085,711 
 
 

 

Advent Convertible and Income Fund  
SCHEDULE OF INVESTMENTS (Unaudited)       July 31, 2021

 

   Face
Amount~		  Value
CONVERTIBLE BONDS†† - 68.6% (continued)          
Consumer, Non-cyclical -  13.2% (continued)          
Supernus Pharmaceuticals, Inc.          
0.63% due 04/01/231   2,000,000   $1,958,750 
Halozyme Therapeutics, Inc.          
0.25% due 03/01/271,2   2,136,000    1,957,110 
BioMarin Pharmaceutical, Inc.          
1.25% due 05/15/271   1,974,000    1,952,187 
Livongo Health, Inc.          
0.88% due 06/01/251   1,262,000    1,831,685 
NeoGenomics, Inc.          
0.25% due 01/15/281   1,600,000    1,579,000 
Amadeus IT Group S.A.          
1.50% due 04/09/25 EUR  1,000,000    1,545,472 
Stride, Inc.          
1.13% due 09/01/271,2   1,629,000    1,492,001 
Fine Perfection Investment Ltd.          
 due 04/17/224   1,350,000    1,412,775 
China Conch Venture          
 due 09/05/234 HKD  10,000,000    1,376,879 
QIAGEN N.V.          
1.00% due 11/13/24   1,000,000    1,283,841 
Sabre GLBL, Inc.          
4.00% due 04/15/251   702,000    1,220,076 
Omnicell, Inc.          
0.25% due 09/15/251,2   743,000    1,173,011 
Repay Holdings Corp.          
 due 02/01/261,2,4   1,139,000    1,140,424 
Orpea S.A.          
0.38% due 05/17/27   6,356**   1,108,681 
Insmed, Inc.          
0.75% due 06/01/281   1,081,000    1,102,620 
ADM Ag Holding Ltd.          
 due 08/26/234   1,000,000    1,048,500 
Pharmaron Beijing Company Ltd.          
 due 06/18/264   800,000    833,600 
Shanghai Port Group BVI Holding Company Ltd.          
 due 08/09/224   728,000    783,692 
Menicon Company Ltd.          
 due 01/29/254JPY  70,000,000    762,187 
Afterpay Ltd.          
 due 03/12/264 AUD  1,100,000    689,900 
Total Consumer, Non-cyclical        91,855,829 
Technology -  13.1%          
RingCentral, Inc.          
 due 03/01/251,4   6,916,000    7,330,960 
 due 03/15/261,2,4   1,500,000    1,471,875 
LivePerson, Inc.          
 due 12/15/261,2,4   6,998,000    7,597,029 
Zynga, Inc.          
0.25% due 06/01/241   2,614,000    3,484,723 
 due 12/15/261,2,4   1,900,000    1,996,187 
Microchip Technology, Inc.          
0.13% due 11/15/241   2,461,000    2,705,562 
1.63% due 02/15/27   827,000    1,769,284 
Datadog, Inc.          
0.13% due 06/15/251   3,000,000    4,170,000 
Workday, Inc.          
0.25% due 10/01/221   2,457,000    3,987,957 
Pegasystems, Inc.          
0.75% due 03/01/251   3,445,000    3,923,166 
ON Semiconductor Corp.          
 due 05/01/271,2,4   2,651,000    2,824,906 
1.63% due 10/15/231   505,000    981,909 
KBR, Inc.          
2.50% due 11/01/231   2,371,000    3,771,372 
Rapid7, Inc.          
0.25% due 03/15/271,2   2,951,000    3,696,127 
Zscaler, Inc.          
0.13% due 07/01/251   2,000,000    3,346,000 
Splunk, Inc.          
1.13% due 09/15/251   2,557,000    3,097,166 
Silicon Laboratories, Inc.          
0.63% due 06/15/251   2,230,000    3,031,462 
STMicroelectronics N.V.          
 due 08/04/274   1,800,000    2,254,477 
 due 08/04/254   600,000    751,625 
Akamai Technologies, Inc.          
0.38% due 09/01/271   2,542,000    3,004,326 
CyberArk Software Ltd.          
 due 11/15/241,4   2,386,000    2,727,437 
MongoDB, Inc.          
0.25% due 01/15/261   1,380,000    2,492,625 
Envestnet, Inc.          
1.75% due 06/01/231   2,000,000    2,450,000 
Lumentum Holdings, Inc.          
0.50% due 12/15/261   2,134,000    2,352,735 
Coupa Software, Inc.          
0.38% due 06/15/261   1,844,000    1,979,534 
Blackline, Inc.          
 due 03/15/261,2,4   1,880,000    1,843,575 
Atos SE          
 due 11/06/244 EUR  1,200,000    1,755,960 
Pure Storage, Inc.          
0.13% due 04/15/231   1,504,000    1,583,712 
Bandwidth, Inc.          
0.50% due 04/01/281,2   1,559,000    1,568,354 
Dropbox, Inc.          
 due 03/01/281,2,4   1,386,000    1,564,101 
Tyler Technologies, Inc.          
0.25% due 03/15/261,2   1,328,000    1,522,552 
Lenovo Group Ltd.          
3.38% due 01/24/24   950,000    1,208,875 
Teradyne, Inc.          
1.25% due 12/15/231   256,000    1,021,440 
United Microelectronics Corp.          
 due 07/07/264   900,000    915,714 
Globalwafers Company Ltd.          
 due 06/01/264   800,000    840,560 
 
 

 

Advent Convertible and Income Fund  
SCHEDULE OF INVESTMENTS (Unaudited)       July 31, 2021

  

   Face
Amount~		  Value
CONVERTIBLE BONDS†† - 68.6% (continued)          
Technology -  13.1% (continued)          
Xero Investments Ltd.          
 due 12/02/254   609,000   $604,433 
Total Technology        91,627,720 
Consumer, Cyclical -  10.9%          
Royal Caribbean Cruises Ltd.          
4.25% due 06/15/231   6,260,000    8,057,422 
2.88% due 11/15/231,2   3,722,000    4,446,644 
Southwest Airlines Co.          
1.25% due 05/01/251   6,820,000    10,029,662 
Ford Motor Co.          
 due 03/15/261,2,4   8,438,000    9,070,850 
JetBlue Airways Corp.          
0.50% due 04/01/261,2   5,608,000    5,529,488 
Winnebago Industries, Inc.          
1.50% due 04/01/251   2,566,000    3,411,176 
Meritor, Inc.          
3.25% due 10/15/371   3,000,000    3,230,625 
IMAX Corp.          
0.50% due 04/01/261,2   3,279,000    3,053,733 
NCL Corporation Ltd.          
5.38% due 08/01/25   1,450,000    2,304,050 
Zhongsheng Group Holdings Ltd.          
 due 05/21/254HKD  11,000,000    2,303,698 
Live Nation Entertainment, Inc.          
2.00% due 02/15/251   2,000,000    2,152,000 
Marriott Vacations Worldwide Corp.          
 due 01/15/261,2,4   1,018,000    1,089,260 
1.50% due 09/15/221   920,000    1,052,250 
Tesla, Inc.          
2.00% due 05/15/241   169,000    1,868,718 
DraftKings, Inc.          
 due 03/15/281,2,4   2,058,000    1,814,127 
LCI Industries          
1.13% due 05/15/261,2   1,603,000    1,736,049 
Cinemark Holdings, Inc.          
4.50% due 08/15/251,2   1,223,000    1,686,976 
Dufry One BV          
0.75% due 03/30/26CHF  1,400,000    1,477,495 
Spirit Airlines, Inc.          
1.00% due 05/15/261   1,492,000    1,403,375 
WH Smith plc          
1.63% due 05/07/26GBP  900,000    1,223,141 
NIO, Inc.          
0.50% due 02/01/271,2   1,315,000    1,144,050 
RH          
 due 09/15/241,4   358,000    1,122,596 
Zalando SE          
0.05% due 08/06/25EUR  700,000    1,034,254 
Cheesecake Factory, Inc.          
0.38% due 06/15/261   923,000    866,466 
Sony Corp.          
 due 09/30/224JPY  40,000,000    835,900 
Singapore Airlines Ltd.          
1.63% due 12/03/25SGD  1,000,000    835,795 
Cracker Barrel Old Country Store, Inc.          
0.63% due 06/15/261,2   834,000    835,043 
JET2 plc          
1.63% due 06/10/26 GBP  600,000    825,763 
Harvest International Co.          
 due 11/21/224 HKD  4,000,000    724,984 
International Consolidated Airlines Group S.A.          
1.13% due 05/18/28EUR  600,000    686,796 
Total Consumer, Cyclical        75,852,386 
Financial -  4.5%          
Pebblebrook Hotel Trust          
1.75% due 12/15/261   6,004,000    6,721,478 
LendingTree, Inc.          
0.63% due 06/01/221   3,472,000    3,940,720 
0.50% due 07/15/251   1,992,000    1,801,167 
Kite Realty Group, LP          
0.75% due 04/01/272   3,000,000    3,046,800 
Summit Hotel Properties, Inc.          
1.50% due 02/15/261   2,518,000    2,574,655 
JPMorgan Chase Bank North America          
 due 09/18/224EUR  700,000    1,270,374 
0.13% due 01/01/231,2   1,085,000    1,158,237 
SBI Holdings, Inc.          
 due 07/25/254JPY  200,000,000    1,990,888 
PRA Group, Inc.          
3.50% due 06/01/231   1,636,000    1,768,925 
Vingroup JSC          
3.00% due 04/20/26   1,400,000    1,489,600 
Realogy Group LLC / Realogy Company-Issuer Corp.          
0.25% due 06/15/261,2   1,150,000    1,170,884 
Cornwall Jersey Ltd.          
0.75% due 04/16/26GBP  800,000    1,026,478 
LEG Immobilien AG          
0.88% due 09/01/25EUR  600,000    919,360 
No. Va Land Investment Group Corp.          
5.25% due 07/16/26   800,000    780,400 
ESR Cayman Ltd.          
1.50% due 09/30/25   714,000    777,903 
Best Path Global Ltd.          
 due 06/01/224HKD  6,000,000    752,007 
Total Financial        31,189,876 
Industrial -  3.5%          
Middleby Corp.          
1.00% due 09/01/251,2   2,177,000    3,400,474 
Greenbrier Companies, Inc.          
2.88% due 04/15/281,2   3,059,000    3,211,950 
Kaman Corp.          
3.25% due 05/01/24   2,500,000    2,581,250 
Cellnex Telecom S.A.          
0.50% due 07/05/28 EUR  1,500,000    2,463,053 
Scorpio Tankers, Inc.          
3.00% due 05/15/252   2,146,000    2,089,294 
Safran S.A.          
0.88% due 05/15/27   10,870**   1,766,035 
 
 

 

Advent Convertible and Income Fund  
SCHEDULE OF INVESTMENTS (Unaudited)       July 31, 2021

 

   Face
Amount~		  Value
CONVERTIBLE BONDS†† - 68.6% (continued)          
Industrial -  3.5% (continued)          
Deutsche Post AG          
0.05% due 06/30/25EUR 1,100,000   $1,604,030 
Chart Industries, Inc.          
1.00% due 11/15/241,2   590,000    1,585,625 
Itron, Inc.          
 due 03/15/261,2,4   1,450,000    1,493,351 
MINEBEA MITSUMI, Inc.          
 due 08/03/224JPY  90,000,000    1,172,665 
Sika A.G.          
0.15% due 06/05/25CHF  620,000    1,157,019 
Vinci S.A.          
0.38% due 02/16/22   1,000,000    1,130,500 
Prysmian SpA          
 due 02/02/264EUR  400,000    481,906 
Total Industrial        24,137,152 
Energy -  2.2%          
Pioneer Natural Resources Co.          
0.25% due 05/15/251   4,681,000    6,899,794 
CNX Resources Corp.          
2.25% due 05/01/261   2,000,000    2,430,000 
Equities Corp.          
1.75% due 05/01/261   1,305,000    1,933,880 
RAG-Stiftung          
 due 06/17/264 EUR  800,000    1,110,620 
SolarEdge Technologies, Inc.          
 due 09/15/251,2,4   855,000    1,023,862 
NextEra Energy Partners, LP          
 due 11/15/251,2,4   887,000    966,830 
MBT Systems GmbH          
3.50% due 07/08/27EUR  700,000    826,698 
Total Energy        15,191,684 
Basic Materials -  1.6%          
Allegheny Technologies, Inc.          
3.50% due 06/15/251   3,000,000    4,625,625 
Ivanhoe Mines Ltd.          
2.50% due 04/15/261,2   1,854,000    2,327,607 
Osisko Gold Royalties Ltd.          
4.00% due 12/31/22CAD  1,300,000    1,135,171 
Century Aluminum Co.          
2.75% due 05/01/282   947,000    987,248 
Brenntag Finance BV          
1.88% due 12/02/22   750,000    927,956 
SSR Mining, Inc.          
2.50% due 04/01/391   719,000    891,560 
Total Basic Materials        10,895,167 
Utilities -  1.5%          
NRG Energy, Inc.          
2.75% due 06/01/481   3,813,000    4,510,779 
Electricite de France S.A.          
 due 09/14/244   237,000**   3,973,250 
CenterPoint Energy, Inc.          
4.57% due 09/15/29   23,210**   1,540,485 
Iberdrola International BV          
 due 11/11/224EUR  500,000    734,715 
Total Utilities        10,759,229 
Total Convertible Bonds          
(Cost $430,714,381)        477,740,612 
CORPORATE BONDS†† - 40.6%          
Consumer, Non-cyclical -  8.2%          
Kraft Heinz Foods Co.          
7.13% due 08/01/392   2,617,000    3,909,091 
Land O'Lakes Capital Trust I          
7.45% due 03/15/281,2   3,151,000    3,632,378 
Tenet Healthcare Corp.          
4.25% due 06/01/291,2   3,396,000    3,468,165 
Horizon Therapeutics USA, Inc.          
5.50% due 08/01/271,2   3,230,000    3,450,916 
Bausch Health Companies, Inc.          
4.88% due 06/01/281,2   3,316,000    3,415,480 
Emergent BioSolutions, Inc.          
3.88% due 08/15/281,2   3,116,000    3,103,162 
United Rentals North America, Inc.          
4.00% due 07/15/301   2,716,000    2,825,007 
Brink's Co.          
4.63% due 10/15/271,2   2,665,000    2,776,878 
Organon & Company / Organon Foreign Debt Co-Issuer BV          
5.13% due 04/30/311,2   1,336,000    1,377,750 
4.13% due 04/30/281,2   1,341,000    1,376,825 
MEDNAX, Inc.          
6.25% due 01/15/271,2   2,573,000    2,713,872 
HLF Financing SARL LLC / Herbalife International, Inc.          
4.88% due 06/01/291,2   2,683,000    2,712,057 
ASGN, Inc.          
4.63% due 05/15/281,2   2,608,000    2,711,811 
Primo Water Holdings, Inc.          
4.38% due 04/30/291,2   2,682,000    2,685,353 
Edgewell Personal Care Co.          
4.13% due 04/01/291,2   2,650,000    2,670,074 
Korn Ferry          
4.63% due 12/15/271,2   2,109,000    2,184,755 
Gartner, Inc.          
3.63% due 06/15/291,2   2,047,000    2,098,175 
Jazz Securities DAC          
4.38% due 01/15/291,2   2,011,000    2,096,688 
Nielsen Finance LLC / Nielsen Finance Co.          
5.63% due 10/01/281,2   1,931,000    2,043,027 
Varex Imaging Corp.          
7.88% due 10/15/271,2   1,774,000    1,985,156 
HCA, Inc.          
5.88% due 02/01/291   1,375,000    1,684,375 
TriNet Group, Inc.          
3.50% due 03/01/291,2   1,354,000    1,358,455 
NESCO Holdings II, Inc.          
5.50% due 04/15/291,2   792,000    818,750 
Total Consumer, Non-cyclical        57,098,200 
Consumer, Cyclical -  7.4%          
Staples, Inc.          
7.50% due 04/15/261,2   2,708,000    2,752,100 
10.75% due 04/15/272   942,000    915,035 
Ford Motor Co.          
7.45% due 07/16/311   2,729,000    3,617,440 
 
 

 

Advent Convertible and Income Fund  
SCHEDULE OF INVESTMENTS (Unaudited)       July 31, 2021

  

   Face
Amount~		  Value
CORPORATE BONDS†† - 40.6% (continued)          
Consumer, Cyclical -  7.4% (continued)          
American Airlines Incorporated/AAdvantage Loyalty IP Ltd.          
5.75% due 04/20/291,2   3,306,000   $3,571,108 
QVC, Inc.          
4.75% due 02/15/271   3,154,000    3,385,030 
LSF9 Atlantis Holdings LLC / Victra Finance Corp.          
7.75% due 02/15/261,2   2,943,000    3,079,246 
Churchill Downs, Inc.          
4.75% due 01/15/281,2   1,479,000    1,534,462 
5.50% due 04/01/271,2   1,376,000    1,433,923 
Hilton Domestic Operating Company, Inc.          
4.88% due 01/15/301   2,761,000    2,965,549 
Boyd Gaming Corp.          
4.75% due 06/15/311,2   2,704,000    2,800,951 
Hilton Grand Vacations Borrower Escrow LLC / Hilton Grand Vacations Borrower Esc          
5.00% due 06/01/291,2   2,696,000    2,723,796 
Carnival Corp.          
5.75% due 03/01/271,2   1,980,000    2,005,987 
4.00% due 08/01/281,2   677,000    676,154 
Downstream Development Authority of the Quapaw Tribe of Oklahoma          
10.50% due 02/15/231,2   2,546,000    2,664,885 
Tenneco, Inc.          
5.13% due 04/15/291,2   2,359,000    2,429,770 
Michaels Companies, Inc.          
7.88% due 05/01/291,2   2,331,000    2,421,956 
Royal Caribbean Cruises Ltd.          
7.50% due 10/15/271   1,963,000    2,250,128 
Everi Holdings, Inc.          
5.00% due 07/15/291,2   2,038,000    2,086,403 
FirstCash, Inc.          
4.63% due 09/01/281,2   1,968,000    2,048,649 
American Greetings Corp.          
8.75% due 04/15/251,2   1,931,000    2,022,983 
Cooper-Standard Automotive, Inc.          
5.63% due 11/15/261,2   2,043,000    1,884,177 
Macy's Retail Holdings LLC          
4.50% due 12/15/341   1,370,000    1,273,607 
99 Escrow Issuer, Inc.          
7.50% due 01/15/261,2   1,337,000    1,261,794 
Total Consumer, Cyclical        51,805,133 
Communications -  7.2%          
Twitter, Inc.          
3.88% due 12/15/271,2   4,000,000    4,283,480 
Sirius XM Radio, Inc.          
5.50% due 07/01/291,2   2,783,000    3,051,741 
4.00% due 07/15/281,2   682,000    704,165 
CommScope, Inc.          
8.25% due 03/01/271,2   3,277,000    3,473,735 
CSC Holdings LLC          
6.50% due 02/01/291,2   2,709,000    2,995,707 
Hughes Satellite Systems Corp.          
5.25% due 08/01/261   1,955,000    2,188,623 
6.63% due 08/01/261   652,000    734,781 
DIRECTV Holdings LLC / DIRECTV Financing Company, Inc.          
5.88% due 08/15/272   2,708,000    2,799,395 
MDC Partners, Inc.          
7.50% due 05/01/241,2   2,710,000    2,768,400 
News Corp.          
3.88% due 05/15/291,2   2,668,000    2,719,826 
Lumen Technologies, Inc.          
4.00% due 02/15/271,2   2,634,000    2,709,727 
Avaya, Inc.          
6.13% due 09/15/281,2   2,516,000    2,695,265 
Nexstar Media, Inc.          
4.75% due 11/01/281,2   2,586,000    2,670,032 
Beasley Mezzanine Holdings LLC          
8.63% due 02/01/261,2   2,608,000    2,644,147 
Sprint Capital Corp.          
6.88% due 11/15/281   1,955,000    2,524,394 
Match Group Holdings II LLC          
4.63% due 06/01/281,2   2,249,000    2,366,420 
Urban One, Inc.          
7.38% due 02/01/281,2   1,956,000    2,095,639 
Scripps Escrow, Inc.          
5.88% due 07/15/271,2   1,984,000    2,056,039 
Mav Acquisition Corp.          
5.75% due 08/01/281,2   2,031,000    2,026,319 
Audacy Capital Corp.          
6.50% due 05/01/271,2   1,582,000    1,635,424 
Entercom Media Corp.          
6.75% due 03/31/292   997,000    1,018,131 
Total Communications        50,161,390 
Energy -  5.9%          
Occidental Petroleum Corp.          
6.13% due 01/01/311   2,638,000    3,119,962 
3.40% due 04/15/261   2,636,000    2,665,853 
Parkland Corp.          
5.88% due 07/15/271,2   3,040,000    3,247,298 
New Fortress Energy, Inc.          
6.50% due 09/30/261,2   3,200,000    3,236,944 
DCP Midstream Operating, LP          
5.63% due 07/15/271   2,615,000    2,977,936 
Genesis Energy Limited Partnership / Genesis Energy Finance Corp.          
8.00% due 01/15/271   2,825,000    2,906,233 
Endeavor Energy Resources Limited Partnership / EER Finance, Inc.          
6.63% due 07/15/251,2   2,672,000    2,828,980 
Tallgrass Energy Partners Limited Partnership / Tallgrass Energy Finance Corp.          
6.00% due 03/01/271,2   2,672,000    2,765,654 
 
 

 

Advent Convertible and Income Fund  
SCHEDULE OF INVESTMENTS (Unaudited)       July 31, 2021

 

   Face
Amount~		  Value
CORPORATE BONDS†† - 40.6% (continued)          
Energy -  5.9% (continued)          
Harvest Midstream I, LP          
7.50% due 09/01/281,2   2,202,000   $2,357,879 
Calumet Specialty Products Partners Limited Partnership / Calumet Finance Corp.          
11.00% due 04/15/252   1,971,000    2,181,897 
Aethon United BR Limited Partnership / Aethon United Finance Corp.          
8.25% due 02/15/261,2   1,956,000    2,094,868 
Hilcorp Energy I Limited Partnership / Hilcorp Finance Co.          
6.00% due 02/01/311,2   1,990,000    2,078,545 
Apache Corp.          
4.88% due 11/15/271   1,931,000    2,078,055 
Indigo Natural Resources LLC          
5.38% due 02/01/291,2   1,963,000    2,050,658 
ChampionX Corp.          
6.38% due 05/01/261   1,777,000    1,852,620 
Alliance Resource Operating Partners Limited Partnership / Alliance Resource Finance Corp.          
7.50% due 05/01/252   1,757,000    1,776,854 
DT Midstream, Inc.          
4.38% due 06/15/311,2   337,000    350,084 
4.13% due 06/15/291,2   337,000    346,084 
Total Energy        40,916,404 
Industrial -  3.3%          
Dycom Industries, Inc.          
4.50% due 04/15/291,2   3,335,000    3,381,006 
Western Global Airlines LLC          
10.38% due 08/15/251,2   2,725,000    3,078,937 
VM Consolidated, Inc.          
5.50% due 04/15/291,2   2,988,000    3,055,200 
EnerSys          
4.38% due 12/15/271,2   2,913,000    3,051,819 
GFL Environmental, Inc.          
3.50% due 09/01/281,2   2,598,000    2,610,263 
MasTec, Inc.          
4.50% due 08/15/281,2   2,291,000    2,423,878 
Intertape Polymer Group, Inc.          
4.38% due 06/15/291,2   2,022,000    2,073,055 
Watco Companies LLC / Watco Finance Corp.          
6.50% due 06/15/271,2   1,619,000    1,733,641 
APi Group DE, Inc.          
4.13% due 07/15/291,2   1,432,000    1,398,083 
Total Industrial        22,805,882 
Basic Materials -  2.7%          
Valvoline, Inc.          
4.25% due 02/15/302   2,818,000    2,926,197 
Compass Minerals International, Inc.          
6.75% due 12/01/271,2   2,141,000    2,293,717 
Ingevity Corp.          
3.88% due 11/01/281,2   2,223,000    2,226,190 
Alcoa Nederland Holding BV          
5.50% due 12/15/271,2   1,976,000    2,139,099 
New Gold, Inc.          
7.50% due 07/15/271,2   1,963,000   2,119,196 
Commercial Metals Co.          
4.88% due 05/15/231   2,000,000    2,106,230 
First Quantum Minerals Ltd.          
6.88% due 10/15/272   1,831,000    1,986,754 
Century Aluminum Co.          
7.50% due 04/01/281,2   1,674,000    1,790,795 
Novelis Corp.          
3.88% due 08/15/312   1,354,000    1,369,612 
Total Basic Materials        18,957,790 
Technology -  2.7%          
Amkor Technology, Inc.          
6.63% due 09/15/271,2   3,000,000    3,228,357 
Seagate HDD Cayman          
5.75% due 12/01/341   1,371,000    1,626,417 
4.88% due 06/01/271   1,263,000    1,411,403 
Unisys Corp.          
6.88% due 11/01/271,2   2,625,000    2,862,654 
Ahead DB Holdings LLC          
6.63% due 05/01/281,2   2,680,000    2,763,830 
NCR Corp.          
5.13% due 04/15/291,2   1,983,000    2,066,822 
Synaptics, Inc.          
4.00% due 06/15/291,2   1,993,000    2,023,273 
Booz Allen Hamilton, Inc.          
4.00% due 07/01/291,2   1,364,000    1,408,678 
Alteryx, Inc.          
1.00% due 08/01/261   1,316,000    1,219,011 
Total Technology        18,610,445 
Financial -  2.1%          
NMI Holdings, Inc.          
7.38% due 06/01/251,2   2,972,000    3,397,903 
Iron Mountain, Inc.          
4.88% due 09/15/271,2   2,970,000    3,086,394 
Credit Acceptance Corp.          
6.63% due 03/15/261   2,512,000    2,656,440 
Radian Group, Inc.          
4.88% due 03/15/271   1,647,000    1,791,137 
Advisor Group Holdings, Inc.          
10.75% due 08/01/271,2   1,417,000    1,569,342 
VistaJet Malta Finance plc / XO Management Holding, Inc.          
10.50% due 06/01/241,2   1,294,000    1,408,202 
AG Issuer LLC          
6.25% due 03/01/281,2   764,000    803,025 
Total Financial        14,712,443 
Utilities -  1.1%          
NRG Energy, Inc.          
5.25% due 06/15/291,2   2,598,000    2,789,953 
AmeriGas Partners Limited Partnership / AmeriGas Finance Corp.          
5.75% due 05/20/271   2,230,000    2,519,153 
 
 

 

Advent Convertible and Income Fund  
SCHEDULE OF INVESTMENTS (Unaudited)       July 31, 2021

 

 

   Face
Amount~		  Value
CORPORATE BONDS†† - 40.6% (continued)          
Utilities -  1.1% (continued)          
Talen Energy Supply LLC          
7.25% due 05/15/271,2   2,248,000   $2,053,728 
7.63% due 06/01/281,2   333,000    304,249 
Total Utilities        7,667,083 
Total Corporate Bonds          
(Cost $272,939,087)        282,734,770 
SENIOR FLOATING RATE INTERESTS††,5 - 0.3%          
Consumer, Cyclical -  0.3%          
Intrawest Resorts Holdings, Inc.          
2.85% (1 Month USD LIBOR + 2.75%, Rate Floor: 0.00%) due 07/31/24   2,357,636    2,336,512 
Total Senior Floating Rate Interests          
(Cost $2,355,563)        2,336,512 
Total Investments - 147.4%          
(Cost $930,910,065)       $1,026,965,590 
Other Assets & Liabilities, net - (47.4)%        (330,382,958)
Total Net Assets - 100.0%       $696,582,632 

 

 

Forward Foreign Currency Exchange Contracts††                 
                  
Counterparty   Contracts to Sell    Currency   Settlement Date   Settlement Value    

Value at

July 31, 2021

    Unrealized Appreciation 
Bank of New York Mellon   25,260,455    EUR   09/13/21  $30,789,193   $29,980,649   $808,544 
Bank of New York Mellon   6,145,123    CAD   09/13/21   5,084,799    4,922,383    162,416 
Bank of New York Mellon   2,300,562    GBP   09/13/21   3,259,496    3,198,938    60,558 
Bank of New York Mellon   3,050,405    CHF   09/13/21   3,414,152    3,369,668    44,484 
Bank of New York Mellon   943,679    AUD   09/13/21   731,512    693,813    37,699 
Bank of New York Mellon   1,115,097    SGD   09/13/21   842,372    823,446    18,926 
Bank of New York Mellon   527,394,700    JPY   09/13/21   4,821,577    4,807,093    14,484 
Bank of New York Mellon   51,968,890    HKD   09/13/21   6,697,943    6,688,038    9,905 
                          $1,157,016 
                             
Counterparty   Contracts to Buy    Currency   Settlement Date   Settlement Value    

Value at

July 31, 2021

    Unrealized Appreciation (Depreciation) 
Bank of New York Mellon   695,832    CHF   09/13/21  $761,453   $768,659   $7,206 
Bank of New York Mellon   2,583,192    EUR   09/13/21   3,062,992    3,065,890    2,898 
Bank of New York Mellon   137,375    CAD   09/13/21   109,815    110,040    225 
Bank of New York Mellon   10,900,000    HKD   09/13/21   1,404,281    1,402,755    (1,526)
                          $8,803 

  

~ The face amount is denominated in U.S. dollars unless otherwise indicated.
* Non-income producing security.
** Represents shares.
† Value determined based on Level 1 inputs — See Note 3.
†† Value determined based on Level 2 inputs — See Note 3.
1 All or a portion of these securities have been physically segregated in connection with the borrowings and reverse repurchase agreements. As of July 31, 2021, the total value of securities segregated was $442,168,255.
2 Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $402,882,620 (cost $389,454,198), or 57.8% of total net assets.
 
 

 

3 Rate indicated is the 7-day yield as of July 31, 2021.
4 Zero coupon rate security.
5 Variable rate security. Rate indicated is the rate effective at July 31, 2021. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.

 

  ADR — American Depositary Receipt
  AUD — Australian Dollar
  CAD — Canadian Dollar
  CHF — Swiss Franc
  EUR — Euro
  GBP — British Pound
  HKD — Hong Kong Dollar
  JPY — Japanese Yen
  LIBOR — London Interbank Offered Rate
  LLC — Limited Liability Company
  plc — Public Limited Company
  REIT — Real Estate Investment Trust
  SARL —  Société à Responsabilité Limitée
  SGD — Singapore Dollar
 
        See Sector Classification in Other Information section.

 

The following table summarizes the inputs used to value the Fund's investments at July 31, 2021 (See Note 3 in the Notes to Schedule of Investments):
 
Investments in Securities (Assets)   Level 1 Quoted Prices     Level 2 Significant Observable Inputs     Level 3 Significant Unobservable Inputs     Total  
Common Stocks  $98,906,725   $—     $—     $98,906,725 
Convertible Preferred Stocks   115,025,771    —      —      115,025,771 
Money Market Fund   50,221,200    —      —      50,221,200 
Convertible Bonds   —      477,740,612    —      477,740,612 
Corporate Bonds   —      282,734,770    —      282,734,770 
Senior Floating Rate Interests   —      2,336,512    —      2,336,512 
Forward Foreign Currency Exchange Contracts**   —      1,167,345    —      1,167,345 
Total Assets  $264,153,696   $763,979,239   $—     $1,028,132,935 

 

Investments in Securities (Liabilities)   

Level 1

Quoted

Prices

 

    Level 2 Significant Observable Inputs     

Level 3

Significant

Unobservable

Inputs

 

    Total  
Forward Foreign Currency Exchange Contracts**  $—     $1,526   $—     $1,526 
                     

 

** This derivative is reported as unrealized appreciation/depreciation at period end.
 

Please refer to the detailed portfolio for the breakdown of investment type by industry category.

 

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $156,019,890 are categorized as Level 2 within the disclosure hierarchy — See Note 2.
           

The Fund did not hold any Level 3 securities during the period ended July 31, 2021.

 

 

 
 

 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) July 31, 2021

 

Note 1 – Organization and Significant Accounting Policies

 

Organization

Advent Convertible and Income Fund (the “Fund”) was organized as a Delaware statutory trust on February 19, 2003. The Fund is registered as a diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”).

 

The Fund’s investment objective is to provide total return through a combination of capital appreciation and current income. The Fund pursues its investment objective by investing at least 80% of its managed assets in a diversified portfolio of convertible securities and non-convertible income producing securities.

 

For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual or annual shareholder report. 

 

Significant Accounting Policies

The Fund operates as an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies. 

 

The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Fund. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.

 

(a) Valuation of Investments 

The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund's investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund's securities and/or other assets.

 

Valuations of the Fund's securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Fund's officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.

 

If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.

 

Securities listed on an exchange or on an over-the-counter market will be valued at the last reported sale price on the primary exchange or market on which they are traded; provided, however, that securities listed on the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market system will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price.

 

Equity securities that are traded on an exchange or on the over-the-counter (“OTC”) market and for which there are no transactions on a given day are valued at the mean of the closing bid and asked prices.

 

Open-end investment companies are valued at their net asset value as of the close of business, on the valuation date.

 

Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“NYSE”). The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity,

 
 

 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) July 31, 2021

 

and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Procedures, the Valuation Committee is authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

 

Debt securities are valued based on prices provided by independent pricing services or, if not available or if Advent Capital Management, LLC (“Advent” or the “Investment Adviser”) considers that price to not represent fair value, by 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 services or dealers may utilize proprietary valuation models which may, for example, 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. Short-term debt securities with remaining maturities of 60 days or less at the time of valuation are valued at amortized cost, which approximates market value. Short-term debt securities which have a term-to-maturity greater than 60 days from the date of purchase are valued at their current market quotations until maturity or disposition. Convertible securities are valued in the same manner as debt securities. Repurchase agreements are valued at amortized cost, provided such amounts approximate market value.

 

Typically, loans are valued using information provided by an independent third party pricing service which uses broker quotes, among other inputs. If the pricing service cannot or does not provide a valuation for a particular loan, or such valuation is deemed unreliable, such investment is valued based on a quote from a broker-dealer or is fair valued by the Valuation Committee.

 

Exchange-traded options are valued at the mean of the bid and ask prices on the principal exchange on which they are traded. OTC options are valued using a price provided by an independent pricing service.

 

Forward foreign currency exchange contracts are valued by pricing services or, if not available or if Advent considers that price to not represent fair value, by dealers using the mid price. Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency. Futures contracts are valued using the settlement price established each day on the exchange on which they are traded.

 

Investments for which market quotations are not readily available are fair-valued as determined in good faith by Advent, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis. 

  

Note 2 – Financial Instruments and Derivatives

As part of its investment strategy, the Fund utilizes derivative instruments. These investments involve, to varying degrees, elements of market risk. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Schedule of Investments.

 

Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.

 

The Fund utilized derivatives for the following purposes:

 

Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.

 

Income: the use of any instrument that distributes cash flows typically based upon some rate of interest.

 
 

 

 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) July 31, 2021

 

Options Purchased and Written

A call option on a security gives the purchaser of the option the right to buy, and the writer of a call option the obligation to sell, the underlying security. The purchaser of a put option has the right to sell, and the writer of the put option the obligation to buy, the underlying security at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid.

 

The risk in writing a call option is that a Fund may incur a loss if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there may be an imperfect correlation between the movement in prices of options and the underlying securities where a Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, a Fund may be at risk because of the counterparty’s inability to perform.

 

Forward Foreign Currency Exchange Contracts

A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of contracts may be cash settled, in an amount equal to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.

 

The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the Fund may be exposed to risk if the counterparties cannot meet the contract terms or if the currency value changes unfavorably as compared to the U.S. dollar.

 

In conjunction with the use of derivative instruments, the Fund is required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Fund uses margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Fund as collateral.

 

The Fund has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Fund monitors the counterparty credit risk.

 

Reverse Repurchase Agreements

The Fund may enter into reverse repurchase agreements as part of its financial leverage strategy. Under a reverse repurchase agreement, the Fund temporarily transfers possession of a portfolio instrument to another party, such as a bank or broker-dealer, in return for cash. At the same time, the Fund agrees to repurchase the instrument at an agreed upon time and price, which reflects an interest payment. Such agreements have the economic effect of borrowings. The Fund may enter into such agreements when it is able to invest the cash acquired at a rate higher than the cost of the agreement, which would increase earned income. When the Fund enters into a reverse repurchase agreement, any fluctuations in the market value of either the instruments transferred to another party or the instruments in which the proceeds may be invested would affect the market value of the Fund's assets. As a result, such transactions may increase fluctuations in the market value of the Fund's assets.

 

Note 3 – Fair Value Measurement  

In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:

 

Level 1 — quoted prices in active markets for identical assets or liabilities.

 

Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).

 

Level 3 — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.

 

 
 

 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) July 31, 2021

 

The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.

 

Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they will be determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information and analysis.

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change. 

 

Note 4 – Federal Income Tax Information

The Fund intends to continue to comply with the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Accordingly, no provision for U.S. federal income taxes is required. In addition, by distributing substantially all of its ordinary income and long-term capital gains, if any, during each calendar year, the Fund avoids a 4% federal excise tax that is assessed on the amount of the under distribution.

 

At July 31, 2021, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

 

Tax Cost  Tax Unrealized Appreciation  Tax Unrealized Depreciation  Net Tax Unrealized Appreciation (Depreciation)
$933,722,997   $103,030,691   $(8,622,279)  $94,408,412 

 

Note 5 – COVID-19

The global ongoing crisis caused by the outbreak of COVID-19 and the current recovery underway is causing disruption to consumer demand and economic output and supply chains. There are still travel restrictions and quarantines, and adverse impacts on local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and public health conditions around the world, the Fund’s investments and a shareholder’s investment in the Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Fund, the Fund, its service providers, the markets in which it invests and market intermediaries are also impacted by quarantines and similar measures intended to respond to and contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational and other risks.

 

 

 
 

OTHER INFORMATION (Unaudited)    July 31, 2021

 

 

Sector Classification

 

Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. The Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Fund usually classifies sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.